As filed with the Securities and Exchange Commission on May 7, 2021
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
811-05518
Investment Company Act file number
The RBB FUND, INC.
(Exact name of registrant as specified in charter)
615 East Michigan Street
Milwaukee, WI 53202
(Address of principal executive offices) (Zip code)
Salvatore Faia, President
c/o U.S. Bancorp Fund Services, LLC
615 East Michigan Street
Milwaukee, WI 53202
(Name and address of agent for service)
(414) 765-5366
Registrant's telephone number, including area code
Date of fiscal year end: August 31
Date of reporting period: February 28, 2021
Item 1. Reports to Stockholders.
(a)
Abbey Capital Futures Strategy Fund
of
THE RBB FUND, INC.
Semi-Annual Report
February 28, 2021
(Unaudited)
Abbey Capital Futures Strategy Fund
Semi-Annual Investment Adviser’s Report
February 28, 2021 (Unaudited)
Dear Shareholder,
The Abbey Capital Futures Strategy Fund (the “Fund”) Class I returned +6.94% net of fees for the 6-month fiscal period ended February 28, 2021. Positive performance was driven by trading in base metals, agricultural commodities, equities and energy, with trading in precious metals being the main detractor during the 6-month period. The Fund’s core allocation to diversified trendfollowing (“Trendfollowing”) strategies generated most of the positive performance, while the performance of the Fund’s non-Trendfollowing allocation was also positive in aggregate during the period. The Fund may invest up to 25% of its total assets in Abbey Capital Master Offshore Fund Limited (“ACMOF”), a wholly-owned subsidiary of the Fund that invests substantially all of its assets in Abbey Capital Offshore Fund SPC (“ACOF”), which is a wholly-owned and controlled segregated portfolio company that invests in managed futures and foreign exchange. The Fund may also invest a portion of its assets into Abbey Capital Onshore Series LLC (“ACOS”), a wholly-owned subsidiary of the Fund which is a multi-adviser fund that invests in managed futures and foreign exchange contracts.
Average Total Returns for the Periods Ended February 28, 2021
2021 | 1 Year | SEP. 1, 2020 TO | 5 Years | ANNUALIZED | |
Class I Shares | 3.54% | 10.83% | 6.94% | 1.03% | 4.67% |
Class A Shares* | 3.49% | 10.52% | 6.70% | 0.76% | 4.40% |
Class A Shares (max load)* | -2.47% | 4.21% | 0.55% | -0.43% | 3.47% |
Class C Shares** | 3.40% | 9.74% | 6.44% | 0.02% | 3.64% |
BofA Merrill Lynch 3-Month T-Bill Index*** | 0.02% | 0.40% | 0.06% | 1.20% | 0.91% |
S&P 500® Total Return Index*** | 1.72% | 31.29% | 9.74% | 16.82% | 12.72% |
Barclay CTA Index*** | 1.47% | 7.50% | 4.14% | 1.05% | 2.00% |
Barclay CTA numbers are based on the estimates available on the BarclayHedge website as of March 11, 2021
Source: Abbey Capital and Bloomberg
Performance quoted is past performance and does not guarantee future results. Investment return and principal value will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the returns quoted. Visit www.abbeycapital.com for returns updated daily. Call (US Toll Free) 1-844-261-6484 or (international callers) + 1-508-871-3276 for returns current to the most recent month-end.
Please note the above is shown for illustrative purposes only
* | Class A Shares performance prior to its inception on August 29, 2014 is the performance of Class I Shares, adjusted for the Class A Shares expense ratio. There is a maximum sales charge (load) imposed on purchases (as a percentage of offering price) of 5.75% in Class A Shares. |
** | Class C Shares performance prior to its inception on October 6, 2015 is the performance of Class I Shares, adjusted for the Class C Shares expense ratio. |
*** | The Barclay CTA Index is derived from data that is self-reported by investment managers based on the performance of privately managed funds. In contrast, the S&P 500® Total Return Index and the Bank of America Merrill Lynch 3-Month T-Bill Index are comprised of publicly traded securities. As a result of these differences, these indices may not be directly comparable, and the table above is shown for illustrative purposes only. |
Abbey Capital Limited (the “Adviser”) has contractually agreed to waive its advisory fee and/or reimburse expenses in order to limit total annual fund operating expenses (excluding acquired fund fees and expenses, brokerage commissions, extraordinary items, interest or taxes) to 1.79%, 2.04% and 2.79% of the Fund’s average daily net assets attributable to Class I Shares, Class A Shares, and Class C Shares, respectively. This contractual limitation is in effect until December 31, 2021, and may not be terminated without the approval of the Board of Directors of The RBB Fund, Inc. In addition,
1
Abbey Capital Futures Strategy Fund
Semi-Annual Investment Adviser’s Report (Continued)
February 28, 2021 (Unaudited)
the Adviser may recoup any waived or reimbursed amounts from the Fund within three years from the date on which such waiver or reimbursement was made by the Adviser, provided such reimbursement does not cause the Fund to exceed expense limitations that were in effect at the time of the waiver or reimbursement. Without the expense limitation agreement, the expense ratios are 1.90%, 2.15% and 2.90% of the Fund’s average daily net assets attributable to Class I Shares, Class A Shares, and Class C Shares, respectively, as stated in the Fund’s current prospectus dated December 31, 2020 (and which may differ from the actual expense ratios for the period covered by this report). The quoted performance would have been lower without the expense limitation.
Please refer to the prospectus for further information on expenses and fees.
Performance Analysis
The 6-month period ended February 28, 2021 was a positive period for Fund performance. Trendfollowing sub-advisers recorded the largest gains, while the non-Trendfollowing trading styles were also positive in aggregate.
Performance was negative during September and October 2020 as market sentiment shifted, with investors turning more cautious due to rising COVID-19 cases in the US and Europe, concerns about valuations in the technology sector and uncertainty ahead of the upcoming US election. This bearish shift in risk sentiment was difficult for the Fund’s Trendfollowing sub-advisers, as trends in many sectors reversed, while the Fund’s non-Trendfollowing sub-advisers were positive during this period.
Fund performance turned more positive from November 2020 through February 2021. Progress towards a COVID-19 vaccine, Biden’s victory in the US Presidential election and the prospect of a significant fiscal spending deal in the US saw strong trends emerge in many growth sensitive sectors like equities, energy and base metals. The Fund’s Trendfollowing and Value sub-advisers were positive during this period, while its Global Macro sub-advisers were negative.
Optimism about the economic growth outlook for 2021 grew as the COVID-19 vaccine rollout picked up momentum, and a weaker USD and rising inflation expectations in the US and elsewhere saw strong uptrends emerge in many commodity markets during the 6-month period. Talk of a potential “commodity super-cycle” by many market commentators was another factor driving the rally in commodities. The Fund was long in base metals throughout the period, recording gains in copper, aluminium and nickel. Copper was the standout contract, with the Fund’s Trendfollowing and Value sub-advisers profiting as prices hit a 9-year high on an improved global growth outlook, low inventories and solid Chinese demand.
Crude oil declined in September and October 2020 on COVID-19 related demand concerns, before prices rallied strongly in November and December 2020 as the global growth outlook turned more positive. Price uptrends continued in 2021, with Organization of the Petroleum Exporting Countries (OPEC) supply cuts and weather-related disruptions to US production boosting prices. The Fund profited from short positions in crude oil and distillates in September 2020. Further gains occurred once positioning turned long in November 2020 and price uptrends emerged.
Equities was another positive sector for Fund performance during the period. Global equities had declined in September and October 2020, before rallying in November 2020 as various pharmaceutical companies announced positive results from vaccine trials. The MSCI World Index recorded its strongest monthly return in 45 years in November 2020, and uptrends in equities continued in subsequent months with the prospect of a US fiscal stimulus deal a key factor behind this rally. Trendfollowing sub-advisers held long equity positions throughout the period and thus saw positive performance, with longs in Japanese indices seeing the largest gains as the Nikkei 225 outperformed other global indices and reached a 30-year high. Global Macro sub-advisers were close to flat in the equities sector, while Value sub-advisers were negative due to losses from short positions in Japanese stocks.
The Fund’s Trendfollowing sub-advisers profited from strong trends in agricultural commodities, most notably in soybeans and corn. Soybean prices rallied to a 6-year high due to strong Chinese demand, South American weather concerns and forecasts of lower supplies. Corn futures were also supported by Chinese demand and supply concerns, with prices hitting a 7-year high during the period. Cotton was another positive contract, with Trendfollowing and Value sub-advisers both profiting from long exposures.
2
Abbey Capital Futures Strategy Fund
Semi-Annual Investment Adviser’s Report (Concluded)
February 28, 2021 (Unaudited)
Performance in currencies was mixed, with the Fund’s modest gains in emerging market currencies largely offset by losses in major currencies. Gains from the short USD positions held by Trendfollowing and Value sub-advisers were largely offset by losses from Global Macro sub-advisers, who saw losses from short AUD/USD exposures as the AUD rose alongside commodity prices.
Gold prices declined during the period, despite a weaker USD and rising inflation expectations, as global bond yields rose and market sentiment turned more bullish. Long precious metal exposures were the largest detractor from Fund performance at the sector level, with longs in gold being the main source of losses. Trendfollowing sub-advisers drove losses in gold, while Value sub-advisers saw further losses within the sector due to shorts in palladium.
The Fund’s performance in fixed income was also negative. As a result of strong uptrends in prices earlier in 2020, Trendfollowing sub-advisers maintained long fixed income positions for much of the period and saw losses as global yields rose despite global central bank guidance remaining dovish. A more optimistic growth outlook for 2021, rising inflation expectations and the prospect of another round of US fiscal stimulus all contributed to a rise in global yields during the period. Global Macro and Value sub-advisers both saw gains from maintaining a short bias in fixed income throughout the period.
Key to Currency Abbreviations | |
USD | US Dollar |
AUD | Australian Dollar |
An investment in the Fund is speculative and involves substantial risk. It is possible that an investor may lose some or all of their investment. The Fund may invest up to 25% of its total assets in Abbey Capital Master Offshore Fund Limited (“ACMOF ”), which invests substantially all of its assets in Abbey Capital Offshore Fund SPC (“ACOF”), which is a multi-adviser fund that invests in managed futures and foreign exchange. The Fund may also invest a portion of its assets into Abbey Capital Onshore Series LLC (“ACOS”), which is a multi-adviser fund that invests in managed futures and foreign exchange. All investments in securities involve risk of the loss of capital. An investment in the Fund includes the risks inherent in an investment in securities, as well as specific risks associated with this open-ended investment product. Among the risks associated with investing in this Fund are Commodity Sector Risk, Counter-Party Risk, Credit Risk, Currency Risk, Manager and Management Risks, Subsidiary Risk, Tax Risk, Emerging Markets Risk, Leveraging Risk, Foreign Investment Risk, Fixed Income Securities Risks, Short Sale Risk and Portfolio Turnover Risks. The Fund may invest in or utilize derivative investments, futures contracts, and hedging strategies. One or more Trading Advisers, from time to time, may invest a substantial portion of the assets managed in a specific industry sector. As a result, the Fund’s investment portfolio may be subject to greater risk and volatility than if investments had been made in the securities of a broader range of issuers. There can be no assurance that the Fund’s strategy (hedging or otherwise) will be successful or that it will employ such strategies with respect to all or any portion of its portfolio. The value of the Fund’s portfolio investments should be expected to fluctuate. Investing in managed futures is not suitable for all investors given its speculative nature and the high level of risk involved. The Fund is appropriate only for investors who can bear the risks associated with the product. This brief statement cannot disclose all of the risks and other factors necessary to evaluate an investment in the Fund. Investors are urged to take appropriate investment advice and to carefully consider their investment objectives, personal situation, and factors such as net worth, income, age, risk tolerance and liquidity needs before investing in the Fund. Before investing, investors should carefully consider the Fund’s investment objectives, risks, tax considerations, sales charges and expenses.
Fund holdings and sector allocations are subject to change and should not be considered recommendations to buy or sell any security. Please refer to the Consolidated Portfolio of Investments in this report for a complete list of Fund holdings.
The Abbey Capital Futures Strategy Fund is distributed by Quasar Distributions, LLC.
3
Abbey Capital Futures Strategy Fund
Performance Data
February 28, 2021 (Unaudited)
Average Annual Total Returns for the Periods Ended February 28, 2021 | |||||
Six | One | Five | Since | ||
Class A Shares (without sales charge) (Pro forma July 1, 2014 to August 29, 2014) | 6.70% | 10.52% | 0.76% | 4.40%* | |
Class A Shares (with sales charge) (Pro forma July 1, 2014 to August 29, 2014) | 0.55% | 4.21% | -0.43% | 3.47%* | |
S&P 500® Total Return Index | 9.74% | 31.29% | 16.82% | 12.72%** | |
BofA Merrill Lynch 3-Month U.S. Treasury Bill Index*** | 0.06% | 0.40% | 1.20% | 0.91%** | |
Barclay CTA Index*** | 4.14% | 7.50% | 1.05% | 2.00%** |
† | Not annualized. |
†† | Inception date of Class A Shares of the Fund was August 29, 2014. |
* | Class A Shares performance prior to its inception on August 29, 2014 is the performance of Class I Shares, adjusted for the Class A Shares expense ratio. |
** | Performance is from the inception date of the Fund and is not the inception date of the index itself. The above is shown for illustrative purposes only. |
*** | This is not a primary benchmark of the Fund. Results of the index performance are presented for general comparative purposes. |
The Fund charges a 5.75% maximum sales charge on purchases (as a percentage of offering price) of Class A Shares. The performance data quoted reflects fee waivers in effect and would have been less in their absence. The Adviser has contractually agreed to waive its advisory fee and/or reimburse expenses in order to limit total annual Fund operating expenses (excluding acquired fund fees and expenses, brokerage commissions, extraordinary items, interest or taxes) to 2.04% of the Fund’s average daily net assets attributable to Class A Shares. Without the limitation arrangement, the gross expense ratio is 2.15% for Class A Shares as stated in the current prospectus (and which may differ from the actual expense ratio for the period covered by this report). This contractual limitation is in effect until December 31, 2021 and may not be terminated without the approval of the Board of Directors of The RBB Fund, Inc. Please see the Consolidated Financial Highlights for current figures.
4
Abbey Capital Futures Strategy Fund
Performance Data (Continued)
February 28, 2021 (Unaudited)
Average Annual Total Returns for the Periods Ended February 28, 2021 | |||||
Six | One | Five | Since | ||
Class I Shares | 6.94% | 10.83% | 1.03% | 4.67% | |
S&P 500® Total Return Index | 9.74% | 31.29% | 16.82% | 12.72%* | |
BofA Merrill Lynch 3-Month U.S. Treasury Bill Index** | 0.06% | 0.40% | 1.20% | 0.91%* | |
Barclay CTA Index** | 4.14% | 7.50% | 1.05% | 2.00%* |
† | Not annualized. |
†† | Inception date of Class I Shares of the Fund was July 1, 2014. |
* | Performance is from the inception date of the Fund and is not the inception date of the index itself. The above is shown for illustrative purposes only. |
** | This is not a primary benchmark of the Fund. Results of the index performance are presented for general comparative purposes. |
The performance data quoted reflects fee waivers in effect and would have been less in their absence. The Adviser has contractually agreed to waive its advisory fee and/or reimburse expenses in order to limit total annual Fund operating expenses (excluding acquired fund fees and expenses, brokerage commissions, extraordinary items, interest or taxes) to 1.79% of the Fund’s average daily net assets attributable to Class I Shares. Without the limitation arrangement, the gross expense ratio is 1.90% for Class I Shares, as stated in the current prospectus (and which may differ from the actual expense ratios for the period covered by this report). This contractual limitation is in effect until December 31, 2021 and may not be terminated without the approval of the Board of Directors of The RBB Fund, Inc. Please see the Consolidated Financial Highlights for current figures.
5
Abbey Capital Futures Strategy Fund
Performance Data (Continued)
February 28, 2021 (Unaudited)
Average Annual Total Returns for the Periods Ended February 28, 2021 | |||||
Six | One | Five | Since | ||
Class C Shares (Pro forma July 1, 2014 to October 6, 2015) | 6.44% | 9.74% | 0.02% | 3.64%* | |
S&P 500® Total Return Index | 9.74% | 31.29% | 16.82% | 12.72%** | |
BofA Merrill Lynch 3-Month U.S. Treasury Bill Index*** | 0.06% | 0.40% | 1.20% | 0.91%** | |
Barclay CTA Index*** | 4.14% | 7.50% | 1.05% | 2.00%** |
† | Not annualized. |
†† | Inception date of Class C Shares of the Fund was October 6, 2015. |
* | Class C Shares performance prior to its inception on October 6, 2015 is the performance of Class I Shares, adjusted for the Class C Shares expense ratio. |
** | Performance is from the inception date of the Fund and is not the inception date of the index itself. The above is shown for illustrative purposes only. |
*** | This is not a primary benchmark of the Fund. Results of the index performance are presented for general comparative purposes. |
The performance data quoted reflects fee waivers in effect and would have been less in their absence. The Adviser has contractually agreed to waive its advisory fee and/or reimburse expenses in order to limit total annual Fund operating expenses (excluding acquired fund fees and expenses, brokerage commissions, extraordinary items, interest or taxes) to 2.79% of the Fund’s average daily net assets attributable to Class C Shares. Without the limitation arrangement, the gross expense ratio is 2.90% for Class C Shares, as stated in the current prospectus (and which may differ from the actual expense ratios for the period covered by this report). This contractual limitation is in effect until December 31, 2021 and may not be terminated without the approval of the Board of Directors of The RBB Fund, Inc. Please see the Consolidated Financial Highlights for current figures.
Performance quoted is past performance and does not guarantee future results. Investment return and principal value of an investment will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the returns quoted. Visit www.abbeycapital.com for returns updated daily. Call (US Toll Free) 1-844-261-6484 or (international callers) + 1-508-871-3276 for returns current to the most recent month-end.
The Barclay CTA Index is derived from data which is self-reported by investment managers based on the performance of privately managed funds. In contrast, the S&P 500® Total Return Index and the BofA Merrill Lynch 3-Month U.S. Treasury Bill Index are comprised of publicly traded securities. As a result of these differences, these indices may not be directly comparable. Additionally, these indices are not available for direct investment and the above is shown for illustrative purposes only.
6
Abbey Capital Futures Strategy Fund
Performance Data (Concluded)
February 28, 2021 (Unaudited)
Barclay CTA Index
The Barclay CTA Index is a leading industry benchmark of representative performance of commodity trading advisors. There are currently 510 programs included in the calculation of the Barclay CTA Index for 2020. The Barclay CTA Index is equally weighted and rebalanced at the beginning of each year.
BofA Merrill Lynch 3-Month U.S. Treasury Bill Index
The BofA Merrill Lynch 3-Month U.S. Treasury Bill Index is an unmanaged market index of U.S. Treasury securities maturing in 90 days that assumes reinvestment of all income.
MSCI World Index
The MSCI World Index captures large and mid cap representation across 23 Developed Markets (DM) countries. With 1,583 constituents, the index covers approximately 85% of the free float-adjusted market capitalization in each country.
Nikkei 225 Index
The Nikkei 225 Index is a price-weighted index comprised of Japan’s top 225 blue-chip companies traded on the Tokyo Stock Exchange.
S&P 500® Index
The S&P 500® Index is a market-capitalization-weighted index of 500 U.S. stocks chosen for market size, liquidity and industry grouping, among other factors. The S&P 500® Index is designed to be a leading indicator of U.S. equities and is meant to reflect the risk/return characteristics of the large cap universe. The S&P 500® Index was first introduced on January 1, 1923, though expanded to 500 stocks on March 4, 1957.
The S&P 500® Total Return Index
The S&P 500® Total Return Index is the total return version of the S&P 500® Index. Dividends are reinvested on a daily basis and all regular cash dividends are assumed reinvested in the index on the ex-dividend date.
A basis point is one hundredth of one percent.
Portfolio composition is subject to change. It is not possible to invest directly in an index.
7
Abbey Capital Futures Strategy Fund
Fund Expense Examples
February 28, 2021 (Unaudited)
As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments, (if any) and (2) ongoing costs, including management fees, distribution and/or service (12b-1) fees and other Fund expenses. These examples are intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
These examples are based on an investment of $1,000 invested at the beginning of the six-month period from September 1, 2020 through February 28, 2021, and held for the entire period.
ACTUAL EXPENSES
The first section in the accompanying table provides information about actual account values and actual expenses. You may use the information in this section, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first section under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
The second section of the accompanying table provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare these 5% hypothetical examples with the 5% hypothetical examples that appear in the shareholder reports of other funds.
Please note that the expenses shown in the accompanying table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads) on purchase payments (if any). Therefore, the second section of the accompanying table is useful in comparing ongoing costs only and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
Beginning | Ending | Expenses Paid | Annualized | Actual Six- | |
Actual | |||||
Class A Shares | $ 1,000.00 | $ 1,067.00 | $ 10.46 | 2.04% | 6.70% |
Class I Shares | 1,000.00 | 1,069.40 | 9.18 | 1.79 | 6.94 |
Class C Shares | 1,000.00 | 1,064.40 | 14.28 | 2.79 | 6.44 |
Hypothetical (5% return before expenses) | |||||
Class A Shares | $ 1,000.00 | $ 1,014.68 | $ 10.19 | 2.04% | N/A |
Class I Shares | 1,000.00 | 1,015.92 | 8.95 | 1.79 | N/A |
Class C Shares | 1,000.00 | 1,010.96 | 13.91 | 2.79 | N/A |
* | Expenses are equal to the Funds’ Class A Shares, Class I Shares, and Class C Shares annualized six-month expense ratios for the period September 1, 2020 to February 28, 2021, multiplied by the average account value over the period, multiplied by the number of days (181) in the most recent fiscal half-year, then divided by 365 to reflect the one half year period. The Fund’s ending account values in the first section in the table is based on the actual six-month total investment return for the Fund’s respective share classes. |
8
Abbey Capital Futures Strategy Fund
Consolidated Portfolio Holdings Summary Table
February 28, 2021 (Unaudited)
The following table presents a consolidated summary of the portfolio holdings of the Fund:
% of Net | Value | |||||||
SHORT-TERM INVESTMENTS: | ||||||||
U.S. Treasury Obligations | 83.5 | % | $ | 855,137,143 | ||||
Money Market Deposit Account | 3.1 | 31,797,559 | ||||||
PURCHASED OPTIONS | 0.1 | 1,063,153 | ||||||
OTHER ASSETS IN EXCESS OF LIABILITIES | ||||||||
(including futures, forward foreign currency contracts and written options) | 13.3 | 135,898,244 | ||||||
NET ASSETS | 100.0 | % | $ | 1,023,896,099 |
The Fund seeks to achieve its investment objective by allocating its assets between a “Managed Futures” strategy and a “Fixed
Income” strategy.
As a result of the Fund’s use of derivatives, the Fund may hold significant amounts of U.S. Treasuries or short-term investments.
Portfolio holdings are subject to change at any time.
Refer to the Consolidated Portfolio of Investments for a detailed listing of the Fund’s holdings.
The accompanying notes are an integral part of the consolidated financial statements.
9
Abbey Capital Futures Strategy Fund
Consolidated Portfolio of Investments
February 28, 2021 (Unaudited)
Coupon* | Maturity | Par | Value | |||||||||||||
SHORT-TERM INVESTMENTS — 86.6% | ||||||||||||||||
U.S. TREASURY OBLIGATIONS — 83.5% | ||||||||||||||||
U.S. Treasury Bills | 0.102 | % | 03/04/21 | $ | 32,955 | $ | 32,954,949 | |||||||||
U.S. Treasury Bills | 0.102 | % | 03/11/21 | 18,211 | 18,210,861 | |||||||||||
U.S. Treasury Bills | 0.078 | % | 03/18/21 | 37,901 | 37,900,687 | |||||||||||
U.S. Treasury Bills | 0.085 | % | 03/25/21 | 9,887 | 9,886,819 | |||||||||||
U.S. Treasury Bills | 0.076 | % | 04/01/21 | 47,859 | 47,857,660 | |||||||||||
U.S. Treasury Bills | 0.100 | % | 04/08/21 | 10,701 | 10,700,675 | |||||||||||
U.S. Treasury Bills | 0.097 | % | 04/15/21 | 12,396 | 12,395,535 | |||||||||||
U.S. Treasury Bills | 0.096 | % | 04/22/21 | 32,082 | 32,080,957 | |||||||||||
U.S. Treasury Bills | 0.090 | % | 04/29/21 | 44,342 | 44,339,821 | |||||||||||
U.S. Treasury Bills | 0.080 | % | 05/06/21 | 50,468 | 50,465,225 | |||||||||||
U.S. Treasury Bills | 0.084 | % | 05/13/21 | 45,002 | 44,998,577 | |||||||||||
U.S. Treasury Bills | 0.066 | % | 05/20/21 | 26,124 | 26,121,823 | |||||||||||
U.S. Treasury Bills | 0.071 | % | 05/27/21 | 25,760 | 25,758,133 | |||||||||||
U.S. Treasury Bills | 0.072 | % | 06/03/21 | 16,363 | 16,361,089 | |||||||||||
U.S. Treasury Bills | 0.066 | % | 06/10/21 | 8,356 | 8,355,181 | |||||||||||
U.S. Treasury Bills | 0.077 | % | 06/17/21 | 22712 | 22,709,103 | |||||||||||
U.S. Treasury Bills | 0.080 | % | 06/24/21 | 19,964 | 19,961,450 | |||||||||||
U.S. Treasury Bills | 0.062 | % | 07/01/21 | 34,076 | 34,071,093 | |||||||||||
U.S. Treasury Bills | 0.071 | % | 07/08/21 | 69,020 | 69,010,108 | |||||||||||
U.S. Treasury Bills | 0.076 | % | 07/15/21 | 25,742 | 25,738,110 | |||||||||||
U.S. Treasury Bills | 0.065 | % | 07/22/21 | 2,572 | 2,571,565 | |||||||||||
U.S. Treasury Bills | 0.050 | % | 07/29/21 | 16,385 | 16,381,929 | |||||||||||
U.S. Treasury Bills | 0.037 | % | 08/05/21 | 43,377 | 43,368,015 | |||||||||||
U.S. Treasury Bills | 0.044 | % | 08/12/21 | 74,926 | 74,909,786 | |||||||||||
U.S. Treasury Bills | 0.031 | % | 08/19/21 | 34,507 | 34,498,805 | |||||||||||
U.S. Treasury Bills | 0.041 | % | 08/26/21 | 93,550 | 93,529,187 | |||||||||||
TOTAL U.S. TREASURY OBLIGATIONS ($855,099,893) | 855,137,143 | |||||||||||||||
Number of | ||||||||||||||||
MONEY MARKET DEPOSIT ACCOUNT — 3.1% | ||||||||||||||||
U.S. Bank Money Market Deposit Account, 0.01% (United States)(a) | 31,798 | 31,797,559 | ||||||||||||||
TOTAL MONEY MARKET DEPOSIT ACCOUNT ($31,797,559) | 31,797,559 | |||||||||||||||
TOTAL SHORT-TERM INVESTMENTS | ||||||||||||||||
(Cost $886,897,452) | 886,934,702 | |||||||||||||||
TOTAL PURCHASED OPTIONS — 0.1%** | ||||||||||||||||
(Cost $752,625) | 1,063,153 | |||||||||||||||
TOTAL INVESTMENTS — 86.7% | ||||||||||||||||
(Cost $887,650,077) | 887,997,855 | |||||||||||||||
OTHER ASSETS IN EXCESS OF LIABILITIES — 13.3% | 135,898,244 | |||||||||||||||
NET ASSETS — 100.0% | $ | 1,023,896,099 |
* | Short-term investments’ coupon reflect the annualized effective yield on the date of purchase for discounted investments. |
** | See page 28 for detailed information regarding the Purchased Options. |
(a) | The rate shown is as of February 28, 2021. |
The accompanying notes are an integral part of the consolidated financial statements.
10
Abbey Capital Futures Strategy Fund
Consolidated Portfolio of Investments (Continued)
February 28, 2021 (Unaudited)
Futures contracts outstanding as of February 28, 2021 were as follows:
Long Contracts | Expiration | Number of | Notional | Value and | ||||||||||||
3-Month Euro Euribor | Sep-21 | 452 | $ | 137,028,571 | $ | (52,545 | ) | |||||||||
3-Month Euro Euribor | Dec-21 | 239 | 72,455,373 | (42,451 | ) | |||||||||||
3-Month Euro Euribor | Mar-22 | 34 | 5,152,960 | (4,178 | ) | |||||||||||
3-Month Euro Euribor | Jun-22 | 813 | 246,420,485 | (206,682 | ) | |||||||||||
3-Month Euro Euribor | Sep-22 | 19 | 5,758,618 | (4,811 | ) | |||||||||||
3-Month Euro Euribor | Dec-22 | 24 | 7,272,234 | (7,058 | ) | |||||||||||
3-Month Euro Euribor | Mar-23 | 24 | 7,270,062 | (8,114 | ) | |||||||||||
3-Month Euro Euribor | Jun-23 | 24 | 5,753,460 | (7,646 | ) | |||||||||||
3-Month Euro Euribor | Sep-23 | 13 | 3,935,205 | (5,776 | ) | |||||||||||
3-Month Euro Euribor | Dec-23 | 11 | 3,328,628 | (5,369 | ) | |||||||||||
3-Month Euro Euribor | Mar-24 | 12 | 3,629,963 | (5,113 | ) | |||||||||||
90-DAY Bank Bill | Jun-21 | 30 | 23,079,509 | (2,618 | ) | |||||||||||
90-DAY Bank Bill | Sep-21 | 228 | 175,386,976 | (29,814 | ) | |||||||||||
90-DAY Bank Bill | Dec-21 | 37 | 28,459,115 | (5,423 | ) | |||||||||||
90-DAY Bank Bill | Mar-22 | 24 | 18,458,602 | (4,096 | ) | |||||||||||
90-DAY Bank Bill | Jun-22 | 10 | 7,690,326 | (1,706 | ) | |||||||||||
90-DAY Bank Bill | Sep-22 | 6 | 4,613,400 | (1,516 | ) | |||||||||||
90-DAY Eurodollar Futures | Jun-21 | 22 | 5,490,650 | 1,700 | ||||||||||||
90-DAY Eurodollar Futures | Sep-21 | 291 | 72,611,775 | (11,625 | ) | |||||||||||
90-DAY Eurodollar Futures | Dec-21 | 587 | 146,412,475 | (23,363 | ) | |||||||||||
90-DAY Eurodollar Futures | Mar-22 | 37 | 9,231,038 | (1,525 | ) | |||||||||||
90-DAY Eurodollar Futures | Jun-22 | 1,006 | 250,858,675 | (62,875 | ) | |||||||||||
90-DAY Eurodollar Futures | Sep-22 | 72 | 17,941,500 | (15,488 | ) | |||||||||||
90-DAY Eurodollar Futures | Dec-22 | 81 | 20,159,888 | (30,913 | ) | |||||||||||
90-DAY Eurodollar Futures | Mar-23 | 48 | 11,936,400 | (29,463 | ) | |||||||||||
90-DAY Eurodollar Futures | Jun-23 | 80 | 12,660,750 | (44,950 | ) | |||||||||||
90-DAY Eurodollar Futures | Sep-23 | 28 | 6,933,850 | (33,575 | ) | |||||||||||
90-DAY Eurodollar Futures | Dec-23 | 23 | 5,687,325 | (31,538 | ) | |||||||||||
90-DAY Eurodollar Futures | Mar-24 | 14 | 3,457,475 | (17,738 | ) | |||||||||||
90-DAY Eurodollar Futures | Jun-24 | 9 | 2,219,625 | 1,125 | ||||||||||||
90-DAY Sterling Futures | Sep-21 | 508 | 88,397,676 | (90,846 | ) | |||||||||||
90-DAY Sterling Futures | Dec-21 | 564 | 98,107,924 | (118,587 | ) | |||||||||||
90-DAY Sterling Futures | Mar-22 | 95 | 16,510,381 | (23,293 | ) | |||||||||||
90-DAY Sterling Futures | Jun-22 | 23 | 3,995,247 | (9,535 | ) | |||||||||||
90-DAY Sterling Futures | Sep-22 | 13 | 2,256,825 | (7,279 | ) | |||||||||||
90-DAY Sterling Futures | Dec-22 | 21 | 3,643,263 | (13,949 | ) | |||||||||||
90-DAY Sterling Futures | Mar-23 | 5 | 866,791 | (3,457 | ) | |||||||||||
90-DAY Sterling Futures | Jun-23 | 2 | 346,472 | (1,524 | ) | |||||||||||
90-DAY Sterling Futures | Sep-23 | 1 | 173,132 | (801 | ) | |||||||||||
Amsterdam Index Futures | Mar-21 | 70 | 10,994,124 | (561,335 | ) | |||||||||||
AUD/USD Currency Futures | Mar-21 | 694 | 53,510,870 | (40,359 | ) | |||||||||||
Australian 10-Year Bond Futures | Mar-21 | 81 | 8,543,002 | (274,086 | ) | |||||||||||
Australian 3-Year Bond Futures | Mar-21 | 291 | 26,152,123 | (116,563 | ) | |||||||||||
Bank Acceptance Futures | Jun-21 | 10 | 1,955,151 | 49 | ||||||||||||
Bank Acceptance Futures | Sep-21 | 68 | 13,293,022 | (717 | ) | |||||||||||
Bank Acceptance Futures | Dec-21 | 44 | 8,597,478 | (1,434 | ) | |||||||||||
Bank Acceptance Futures | Mar-22 | 39 | 6,247,682 | (4,145 | ) | |||||||||||
Bank Acceptance Futures | Jun-22 | 24 | 4,678,218 | (8,830 | ) | |||||||||||
Bank Acceptance Futures | Sep-22 | 14 | 2,724,285 | (8,850 | ) |
The accompanying notes are an integral part of the consolidated financial statements.
11
Abbey Capital Futures Strategy Fund
Consolidated Portfolio of Investments (Continued)
February 28, 2021 (Unaudited)
Long Contracts | Expiration | Number of | Notional | Value and | ||||||||||||
Brent Crude Futures | May-21 | 227 | $ | 14,623,340 | $ | 471,160 | ||||||||||
Brent Crude Futures | Jun-21 | 31 | 1,975,630 | 96,810 | ||||||||||||
Brent Crude Futures | Jul-21 | 5 | 315,200 | 2,840 | ||||||||||||
Brent Crude Futures | Dec-21 | 14 | 848,400 | 132,340 | ||||||||||||
Brent Crude Oil Last Day | May-21 | 11 | 708,620 | 1,410 | ||||||||||||
CAC40 10 Euro Futures | Mar-21 | 154 | 10,589,230 | (152,598 | ) | |||||||||||
CAD Currency Futures | Mar-21 | 753 | 59,257,335 | (137,487 | ) | |||||||||||
Canadian 10-Year Bond Futures | Jun-21 | 788 | 86,552,444 | (1,507,937 | ) | |||||||||||
Canola Futures (Winnipeg Commodity Exchange) | May-21 | 12 | 139,405 | 1,352 | ||||||||||||
Canola Futures (Winnipeg Commodity Exchange) | Jul-21 | 5 | 55,382 | 1,418 | ||||||||||||
Cattle Feeder Futures | Apr-21 | 2 | 142,575 | (1,688 | ) | |||||||||||
CHF Currency Futures | Mar-21 | 97 | 13,342,350 | (40,475 | ) | |||||||||||
Cocoa Futures | May-21 | 22 | 572,880 | 19,230 | ||||||||||||
Cocoa Futures | Jul-21 | 8 | 207,520 | 3,120 | ||||||||||||
Cocoa Futures ICE | May-21 | 31 | 738,955 | 42,395 | ||||||||||||
Cocoa Futures ICE | Jul-21 | 3 | 47,954 | 571 | ||||||||||||
Cocoa Futures ICE | Sep-21 | 1 | 23,977 | 683 | ||||||||||||
Coffee ‘C’ Futures | May-21 | 293 | 15,107,813 | 1,327,406 | ||||||||||||
Coffee ‘C’ Futures | Jul-21 | 9 | 470,138 | 27,469 | ||||||||||||
Coffee ‘C’ Futures | Sep-21 | 4 | 211,350 | 8,456 | ||||||||||||
Coffee Robusta Futures | May-21 | 7 | 103,110 | 2,220 | ||||||||||||
Coffee Robusta Futures | Jul-21 | 6 | 89,400 | 1,140 | ||||||||||||
Copper Futures | May-21 | 308 | 31,512,250 | (109,400 | ) | |||||||||||
Copper Futures | Jul-21 | 2 | 204,525 | (3,400 | ) | |||||||||||
Corn Futures | May-21 | 497 | 13,605,375 | 68,025 | ||||||||||||
Corn Futures | Jul-21 | 195 | 5,216,250 | 223,238 | ||||||||||||
Corn Futures | Sep-21 | 13 | 318,175 | 4,088 | ||||||||||||
Corn Futures | Dec-21 | 17 | 400,138 | 23,813 | ||||||||||||
Cotton No.2 Futures | May-21 | 206 | 9,149,490 | 511,460 | ||||||||||||
Cotton No.2 Futures | Jul-21 | 11 | 493,405 | 3,500 | ||||||||||||
DAX Index Futures | Mar-21 | 52 | 21,581,183 | 14,969 | ||||||||||||
DJIA Mini E-CBOT | Mar-21 | 87 | 13,446,720 | 104,955 | ||||||||||||
Dutch TTF Gas Futures | Apr-21 | 5 | 68,168 | (657 | ) | |||||||||||
Dutch TTF Gas Futures | May-21 | 5 | 69,879 | (610 | ) | |||||||||||
E-Mini Consumer Staples Select Futures | Mar-21 | 2 | 127,180 | (7,140 | ) | |||||||||||
E-Mini Crude Oil | Apr-21 | 12 | 369,000 | 5,588 | ||||||||||||
E-Mini Energy Select Futures | Mar-21 | 3 | 150,030 | 7,120 | ||||||||||||
E-Mini Financial Select Futures | Mar-21 | 1 | 99,213 | 650 | ||||||||||||
E-Mini Health Care Select Futures | Mar-21 | 2 | 227,160 | (8,960 | ) | |||||||||||
E-Mini Natural Gas | Apr-21 | 1 | 6,928 | (623 | ) | |||||||||||
Emissions ICE | Dec-21 | 62 | 2,788,769 | 316,442 | ||||||||||||
Emissions ICE | Dec-22 | 3 | 136,099 | 25,362 | ||||||||||||
EUR Foreign Exchange Currency Futures | Mar-21 | 582 | 87,892,913 | (578,129 | ) | |||||||||||
Euro E-Mini Futures | Mar-21 | 3 | 226,528 | (2,503 | ) | |||||||||||
Euro STOXX 50 | Mar-21 | 269 | 11,771,853 | 142,240 | ||||||||||||
Euro/CHF 3-Month Futures ICE | Dec-21 | 3 | 830,099 | (852 | ) | |||||||||||
Euro/JPY Futures | Mar-21 | 51 | 7,704,184 | 137,178 | ||||||||||||
Euro-Bobl Futures | Mar-21 | 274 | 44,369,083 | (263,088 | ) | |||||||||||
Euro-BTP Futures | Mar-21 | 151 | 27,291,900 | (323,536 | ) | |||||||||||
Euro-Bund Futures | Mar-21 | 102 | 21,339,993 | (371,569 | ) | |||||||||||
Euro-Oat Futures | Mar-21 | 77 | 15,183,347 | (315,151 | ) |
The accompanying notes are an integral part of the consolidated financial statements.
12
Abbey Capital Futures Strategy Fund
Consolidated Portfolio of Investments (Continued)
February 28, 2021 (Unaudited)
Long Contracts | Expiration | Number of | Notional | Value and | ||||||||||||
Euro-Schatz Futures | Mar-21 | 42 | $ | 5,684,222 | $ | (3,867 | ) | |||||||||
FTSE 100 Index Futures | Mar-21 | 324 | 29,067,779 | (678,121 | ) | |||||||||||
FTSE China A50 Index | Mar-21 | 142 | 2,584,968 | (132,780 | ) | |||||||||||
FTSE Taiwan Index | Mar-21 | 9 | 498,780 | (10,178 | ) | |||||||||||
FTSE/JSE TOP 40 | Mar-21 | 42 | 1,672,256 | 84,322 | ||||||||||||
FTSE/MIB Index Futures | Mar-21 | 25 | 3,443,038 | 2,322 | ||||||||||||
Gasoline RBOB Futures | Apr-21 | 236 | 19,333,356 | 1,463,124 | ||||||||||||
Gasoline RBOB Futures | May-21 | 12 | 978,616 | 53,470 | ||||||||||||
Gasoline RBOB Futures | Jun-21 | 2 | 161,574 | 14,494 | ||||||||||||
Gasoline RBOB Futures | Jul-21 | 1 | 79,762 | 2,734 | ||||||||||||
GBP Currency Futures | Mar-21 | 631 | 54,999,538 | 312,656 | ||||||||||||
Gold 100 Oz Futures | Apr-21 | 50 | 5,532,160 | (396,642 | ) | |||||||||||
Gold 100 Oz Futures | Jun-21 | 2 | 346,320 | (26,030 | ) | |||||||||||
Hang Seng China Enterprises Index Futures | Mar-21 | 96 | 6,976,181 | (389,154 | ) | |||||||||||
Hang Seng Index Futures | Mar-21 | 133 | 24,828,027 | (1,132,693 | ) | |||||||||||
IBEX 35 Index Futures | Mar-21 | 7 | 692,255 | 4,136 | ||||||||||||
JPY Currency Futures | Mar-21 | 96 | 11,254,200 | (302,524 | ) | |||||||||||
Kansas City Hard Red Winter Wheat Futures | May-21 | 68 | 2,154,750 | (12,063 | ) | |||||||||||
Kansas City Hard Red Winter Wheat Futures | Jul-21 | 74 | 2,359,675 | (12,163 | ) | |||||||||||
Lean Hogs Futures | Apr-21 | 57 | 1,987,020 | 193,310 | ||||||||||||
Lean Hogs Futures | Jun-21 | 122 | 4,595,740 | 87,650 | ||||||||||||
Live Cattle Futures | Apr-21 | 22 | 1,056,000 | (28,040 | ) | |||||||||||
Live Cattle Futures | Jun-21 | 64 | 3,031,680 | 72,980 | ||||||||||||
Live Cattle Futures | Aug-21 | 6 | 280,920 | (410 | ) | |||||||||||
Live Cattle Futures | Oct-21 | 6 | 96,500 | (180 | ) | |||||||||||
LME Aluminum Forward | Mar-21 | 1,505 | 80,207,094 | 5,792,180 | ||||||||||||
LME Aluminum Forward | Apr-21 | 63 | 3,375,225 | 200,601 | ||||||||||||
LME Aluminum Forward | May-21 | 43 | 2,313,400 | 324 | ||||||||||||
LME Aluminum Forward | Jun-21 | 611 | 32,982,544 | 2,052,805 | ||||||||||||
LME Aluminum Forward - 90 Day Settlement | Mar-21 | 1 | 55,934 | 4,446 | ||||||||||||
LME Aluminum Forward - 90 Day Settlement | Mar-21 | 1 | 53,656 | 2,161 | ||||||||||||
LME Aluminum Forward - 90 Day Settlement | Mar-21 | 28 | 1,499,302 | 87,052 | ||||||||||||
LME Aluminum Forward - 90 Day Settlement | Mar-21 | 3 | 160,529 | 5,893 | ||||||||||||
LME Aluminum Forward - 90 Day Settlement | Mar-21 | 4 | 213,893 | 7,686 | ||||||||||||
LME Aluminum Forward - 90 Day Settlement | Mar-21 | 2 | 106,873 | 4,648 | ||||||||||||
LME Aluminum Forward - 90 Day Settlement | Mar-21 | 6 | 320,213 | 20,121 | ||||||||||||
LME Aluminum Forward - 90 Day Settlement | Mar-21 | 1 | 53,294 | 3,347 | ||||||||||||
LME Aluminum Forward - 90 Day Settlement | Mar-21 | 8 | 426,300 | 26,378 | ||||||||||||
LME Aluminum Forward - 90 Day Settlement | Mar-21 | 2 | 106,675 | 5,613 | ||||||||||||
LME Aluminum Forward - 90 Day Settlement | Mar-21 | 1 | 53,350 | 3,300 | ||||||||||||
LME Aluminum Forward - 90 Day Settlement | Mar-21 | 1 | 53,412 | 3,424 | ||||||||||||
LME Aluminum Forward - 90 Day Settlement | Mar-21 | 1 | 53,432 | 3,807 | ||||||||||||
LME Aluminum Forward - 90 Day Settlement | Apr-21 | 23 | 1,230,356 | 56,856 | ||||||||||||
LME Aluminum Forward - 90 Day Settlement | Apr-21 | 1 | 53,500 | 3,393 | ||||||||||||
LME Aluminum Forward - 90 Day Settlement | Apr-21 | 1 | 53,544 | 3,281 | ||||||||||||
LME Aluminum Forward - 90 Day Settlement | Apr-21 | 3 | 160,688 | 10,691 | ||||||||||||
LME Aluminum Forward - 90 Day Settlement | Apr-21 | 22 | 1,178,513 | 97,986 | ||||||||||||
LME Aluminum Forward - 90 Day Settlement | Apr-21 | 1 | 53,575 | 3,075 | ||||||||||||
LME Aluminum Forward - 90 Day Settlement | Apr-21 | 5 | 267,875 | 15,141 | ||||||||||||
LME Aluminum Forward - 90 Day Settlement | Apr-21 | 1 | 53,614 | 3,426 | ||||||||||||
LME Aluminum Forward - 90 Day Settlement | May-21 | 2 | 107,381 | 3,184 |
The accompanying notes are an integral part of the consolidated financial statements.
13
Abbey Capital Futures Strategy Fund
Consolidated Portfolio of Investments (Continued)
February 28, 2021 (Unaudited)
Long Contracts | Expiration | Number of | Notional | Value and | ||||||||||||
LME Aluminum Forward - 90 Day Settlement | May-21 | 1 | $ | 53,700 | $ | 3,388 | ||||||||||
LME Aluminum Forward - 90 Day Settlement | May-21 | 18 | 967,226 | 36,151 | ||||||||||||
LME Aluminum Forward - 90 Day Settlement | May-21 | 1 | 53,742 | 1,692 | ||||||||||||
LME Aluminum Forward - 90 Day Settlement | May-21 | 2 | 107,570 | 2,770 | ||||||||||||
LME Aluminum Forward - 90 Day Settlement | May-21 | 18 | 969,300 | (5,829 | ) | |||||||||||
LME Copper Forward | Mar-21 | 453 | 102,981,056 | 19,882,679 | ||||||||||||
LME Copper Forward | Apr-21 | 25 | 5,677,656 | 337,961 | ||||||||||||
LME Copper Forward | Jun-21 | 129 | 29,263,650 | 3,440,211 | ||||||||||||
LME Copper Forward - 90 Day Settlement | Mar-21 | 2 | 456,963 | 68,913 | ||||||||||||
LME Copper Forward - 90 Day Settlement | Mar-21 | 1 | 227,781 | 33,738 | ||||||||||||
LME Copper Forward - 90 Day Settlement | Mar-21 | 12 | 2,732,775 | 420,020 | ||||||||||||
LME Copper Forward - 90 Day Settlement | Mar-21 | 1 | 227,531 | 33,081 | ||||||||||||
LME Copper Forward - 90 Day Settlement | Mar-21 | 2 | 454,863 | 62,428 | ||||||||||||
LME Copper Forward - 90 Day Settlement | Mar-21 | 1 | 227,381 | 31,170 | ||||||||||||
LME Copper Forward - 90 Day Settlement | Mar-21 | 1 | 227,331 | 31,114 | ||||||||||||
LME Copper Forward - 90 Day Settlement | Mar-21 | 1 | 227,231 | 26,919 | ||||||||||||
LME Copper Forward - 90 Day Settlement | Mar-21 | 1 | 227,200 | 31,048 | ||||||||||||
LME Copper Forward - 90 Day Settlement | Mar-21 | 2 | 454,388 | 63,675 | ||||||||||||
LME Copper Forward - 90 Day Settlement | Mar-21 | 1 | 227,181 | 31,021 | ||||||||||||
LME Copper Forward - 90 Day Settlement | Mar-21 | 1 | 227,156 | 30,961 | ||||||||||||
LME Copper Forward - 90 Day Settlement | Apr-21 | 10 | 2,271,563 | 270,625 | ||||||||||||
LME Copper Forward - 90 Day Settlement | Apr-21 | 1 | 227,156 | 23,876 | ||||||||||||
LME Copper Forward - 90 Day Settlement | Apr-21 | 2 | 454,313 | 56,725 | ||||||||||||
LME Copper Forward - 90 Day Settlement | Apr-21 | 1 | 227,156 | 27,694 | ||||||||||||
LME Copper Forward - 90 Day Settlement | Apr-21 | 8 | 1,817,250 | 226,700 | ||||||||||||
LME Copper Forward - 90 Day Settlement | Apr-21 | 1 | 227,106 | 28,303 | ||||||||||||
LME Copper Forward - 90 Day Settlement | Apr-21 | 2 | 453,907 | 34,095 | ||||||||||||
LME Copper Forward - 90 Day Settlement | May-21 | 2 | 453,953 | 52,376 | ||||||||||||
LME Copper Forward - 90 Day Settlement | May-21 | 8 | 1,816,038 | 166,112 | ||||||||||||
LME Copper Forward - 90 Day Settlement | May-21 | 1 | 227,014 | 20,402 | ||||||||||||
LME Copper Forward - 90 Day Settlement | May-21 | 2 | 454,047 | 35,010 | ||||||||||||
LME Copper Forward - 90 Day Settlement | May-21 | 1 | 227,038 | 17,213 | ||||||||||||
LME Copper Forward - 90 Day Settlement | May-21 | 9 | 2,042,381 | (4,381 | ) | |||||||||||
LME Lead Forward | Mar-21 | 175 | 8,934,844 | 194,433 | ||||||||||||
LME Lead Forward | Apr-21 | 20 | 1,024,625 | (32,285 | ) | |||||||||||
LME Lead Forward | Jun-21 | 36 | 1,849,500 | (42,888 | ) | |||||||||||
LME Nickel Forward | Mar-21 | 76 | 8,454,240 | 810,302 | ||||||||||||
LME Nickel Forward | Apr-21 | 13 | 1,447,446 | (9,051 | ) | |||||||||||
LME Nickel Forward | Jun-21 | 30 | 3,344,400 | (16,200 | ) | |||||||||||
LME Nickel Forward - 90 Day Settlement | Mar-21 | 1 | 111,194 | 7,520 | ||||||||||||
LME Nickel Forward - 90 Day Settlement | Mar-21 | 1 | 111,198 | 7,527 | ||||||||||||
LME Nickel Forward - 90 Day Settlement | Mar-21 | 8 | 889,774 | 102,505 | ||||||||||||
LME Nickel Forward - 90 Day Settlement | Mar-21 | 1 | 111,227 | 9,587 | ||||||||||||
LME Nickel Forward - 90 Day Settlement | Mar-21 | 3 | 333,708 | 34,788 | ||||||||||||
LME Nickel Forward - 90 Day Settlement | Mar-21 | 1 | 111,243 | 11,589 | ||||||||||||
LME Nickel Forward - 90 Day Settlement | Mar-21 | 2 | 222,492 | 23,181 | ||||||||||||
LME Nickel Forward - 90 Day Settlement | Mar-21 | 1 | 111,249 | 9,039 | ||||||||||||
LME Nickel Forward - 90 Day Settlement | Mar-21 | 1 | 111,269 | 10,289 | ||||||||||||
LME Nickel Forward - 90 Day Settlement | Apr-21 | 1 | 111,292 | 6,832 | ||||||||||||
LME Nickel Forward - 90 Day Settlement | Apr-21 | 9 | 1,001,661 | 40,872 | ||||||||||||
LME Nickel Forward - 90 Day Settlement | Apr-21 | 4 | 445,249 | 31,423 |
The accompanying notes are an integral part of the consolidated financial statements.
14
Abbey Capital Futures Strategy Fund
Consolidated Portfolio of Investments (Continued)
February 28, 2021 (Unaudited)
Long Contracts | Expiration | Number of | Notional | Value and | ||||||||||||
LME Nickel Forward - 90 Day Settlement | Apr-21 | 3 | $ | 333,947 | $ | 15,059 | ||||||||||
LME Nickel Forward - 90 Day Settlement | Apr-21 | 1 | 111,319 | 3,169 | ||||||||||||
LME Nickel Forward - 90 Day Settlement | Apr-21 | 1 | 111,335 | 5,108 | ||||||||||||
LME Nickel Forward - 90 Day Settlement | Apr-21 | 9 | 1,002,078 | 8,418 | ||||||||||||
LME Nickel Forward - 90 Day Settlement | Apr-21 | 2 | 222,703 | 8,653 | ||||||||||||
LME Nickel Forward - 90 Day Settlement | Apr-21 | 1 | 111,355 | 5,143 | ||||||||||||
LME Nickel Forward - 90 Day Settlement | Apr-21 | 1 | 111,359 | (5,557 | ) | |||||||||||
LME Nickel Forward - 90 Day Settlement | May-21 | 1 | 111,377 | (5,656 | ) | |||||||||||
LME Nickel Forward - 90 Day Settlement | May-21 | 9 | 1,002,657 | (5,353 | ) | |||||||||||
LME Nickel Forward - 90 Day Settlement | May-21 | 2 | 222,864 | (11,111 | ) | |||||||||||
LME Nickel Forward - 90 Day Settlement | May-21 | 3 | 334,305 | (16,927 | ) | |||||||||||
LME Nickel Forward - 90 Day Settlement | May-21 | 1 | 111,438 | (6,762 | ) | |||||||||||
LME Nickel Forward - 90 Day Settlement | May-21 | 7 | 780,182 | (28,109 | ) | |||||||||||
LME Palladium Forward - 90 Day Settlement | Mar-21 | 1 | 50,969 | (550 | ) | |||||||||||
LME Palladium Forward - 90 Day Settlement | Mar-21 | 1 | 51,005 | (552 | ) | |||||||||||
LME Palladium Forward - 90 Day Settlement | Mar-21 | 10 | 510,105 | (17,395 | ) | |||||||||||
LME Palladium Forward - 90 Day Settlement | Mar-21 | 1 | 51,016 | (553 | ) | |||||||||||
LME Palladium Forward - 90 Day Settlement | Mar-21 | 2 | 102,090 | 2,351 | ||||||||||||
LME Palladium Forward - 90 Day Settlement | Mar-21 | 1 | 51,051 | 1,176 | ||||||||||||
LME Palladium Forward - 90 Day Settlement | Mar-21 | 2 | 102,175 | 3,234 | ||||||||||||
LME Palladium Forward - 90 Day Settlement | Apr-21 | 2 | 102,319 | 1,673 | ||||||||||||
LME Palladium Forward - 90 Day Settlement | Apr-21 | 4 | 204,656 | 1,656 | ||||||||||||
LME Palladium Forward - 90 Day Settlement | Apr-21 | 3 | 153,563 | 2,496 | ||||||||||||
LME Palladium Forward - 90 Day Settlement | Apr-21 | 1 | 51,197 | (315 | ) | |||||||||||
LME Palladium Forward - 90 Day Settlement | Apr-21 | 1 | 51,222 | 1,172 | ||||||||||||
LME Palladium Forward - 90 Day Settlement | Apr-21 | 3 | 153,694 | 218 | ||||||||||||
LME Palladium Forward - 90 Day Settlement | Apr-21 | 1 | 51,227 | 403 | ||||||||||||
LME Palladium Forward - 90 Day Settlement | May-21 | 1 | 51,249 | 562 | ||||||||||||
LME Palladium Forward - 90 Day Settlement | May-21 | 1 | 51,253 | 216 | ||||||||||||
LME Palladium Forward - 90 Day Settlement | May-21 | 5 | 256,380 | (4,395 | ) | |||||||||||
LME Palladium Forward - 90 Day Settlement | May-21 | 1 | 51,280 | (1,606 | ) | |||||||||||
LME Palladium Forward - 90 Day Settlement | May-21 | 2 | 102,613 | (4,300 | ) | |||||||||||
LME Palladium Forward - 90 Day Settlement | May-21 | 5 | 256,538 | (8,886 | ) | |||||||||||
LME Silver Forward - 90 Day Settlement | Mar-21 | 1 | 143,025 | 48,533 | ||||||||||||
LME Silver Forward - 90 Day Settlement | Mar-21 | 1 | 132,695 | 38,420 | ||||||||||||
LME Silver Forward - 90 Day Settlement | Mar-21 | 5 | 662,225 | 175,784 | ||||||||||||
LME Silver Forward - 90 Day Settlement | Mar-21 | 1 | 132,395 | 35,370 | ||||||||||||
LME Silver Forward - 90 Day Settlement | Mar-21 | 2 | 264,590 | 66,420 | ||||||||||||
LME Silver Forward - 90 Day Settlement | Mar-21 | 2 | 263,065 | 57,040 | ||||||||||||
LME Silver Forward - 90 Day Settlement | Mar-21 | 1 | 131,483 | 31,183 | ||||||||||||
LME Silver Forward - 90 Day Settlement | Mar-21 | 1 | 131,383 | 24,668 | ||||||||||||
LME Silver Forward - 90 Day Settlement | Mar-21 | 2 | 262,465 | 49,065 | ||||||||||||
LME Silver Forward - 90 Day Settlement | Apr-21 | 4 | 524,930 | 102,461 | ||||||||||||
LME Silver Forward - 90 Day Settlement | Apr-21 | 1 | 131,233 | 26,208 | ||||||||||||
LME Silver Forward - 90 Day Settlement | Apr-21 | 1 | 131,233 | 14,533 | ||||||||||||
LME Silver Forward - 90 Day Settlement | Apr-21 | 1 | 131,233 | 14,540 | ||||||||||||
LME Silver Forward - 90 Day Settlement | Apr-21 | 1 | 131,195 | 14,695 | ||||||||||||
LME Silver Forward - 90 Day Settlement | Apr-21 | 1 | 129,903 | 14,753 | ||||||||||||
LME Silver Forward - 90 Day Settlement | May-21 | 1 | 129,787 | 14,212 | ||||||||||||
LME Silver Forward - 90 Day Settlement | May-21 | 1 | 129,776 | 14,126 | ||||||||||||
LME Silver Forward - 90 Day Settlement | May-21 | 3 | 389,260 | 39,577 |
The accompanying notes are an integral part of the consolidated financial statements.
15
Abbey Capital Futures Strategy Fund
Consolidated Portfolio of Investments (Continued)
February 28, 2021 (Unaudited)
Long Contracts | Expiration | Number of | Notional | Value and | ||||||||||||
LME Silver Forward - 90 Day Settlement | May-21 | 1 | $ | 129,720 | $ | 6,845 | ||||||||||
LME Silver Forward - 90 Day Settlement | May-21 | 1 | 128,345 | (4,730 | ) | |||||||||||
LME Silver Forward - 90 Day Settlement | May-21 | 1 | 128,345 | (5,131 | ) | |||||||||||
LME Zinc Forward | Mar-21 | 129 | 8,963,888 | 300,673 | ||||||||||||
LME Zinc Forward | Apr-21 | 12 | 835,800 | (14,445 | ) | |||||||||||
LME Zinc Forward | Jun-21 | 74 | 5,171,675 | 63,291 | ||||||||||||
LME Zinc Forward - 90 Day Settlement | Mar-21 | 1 | 71,969 | 2,044 | ||||||||||||
LME Zinc Forward - 90 Day Settlement | Mar-21 | 1 | 69,388 | 638 | ||||||||||||
LME Zinc Forward - 90 Day Settlement | Mar-21 | 1 | 69,394 | (69 | ) | |||||||||||
LME Zinc Forward - 90 Day Settlement | Mar-21 | 7 | 486,241 | (13,575 | ) | |||||||||||
LME Zinc Forward - 90 Day Settlement | Mar-21 | 2 | 138,965 | (2,635 | ) | |||||||||||
LME Zinc Forward - 90 Day Settlement | Mar-21 | 1 | 69,485 | (1,803 | ) | |||||||||||
LME Zinc Forward - 90 Day Settlement | Mar-21 | 3 | 208,495 | (809 | ) | |||||||||||
LME Zinc Forward - 90 Day Settlement | Mar-21 | 1 | 69,545 | 221 | ||||||||||||
LME Zinc Forward - 90 Day Settlement | Mar-21 | 1 | 69,550 | (255 | ) | |||||||||||
LME Zinc Forward - 90 Day Settlement | Apr-21 | 2 | 139,170 | (2,999 | ) | |||||||||||
LME Zinc Forward - 90 Day Settlement | Apr-21 | 6 | 417,579 | (10,023 | ) | |||||||||||
LME Zinc Forward - 90 Day Settlement | Apr-21 | 3 | 208,859 | 1,640 | ||||||||||||
LME Zinc Forward - 90 Day Settlement | Apr-21 | 2 | 139,288 | 6,919 | ||||||||||||
LME Zinc Forward - 90 Day Settlement | Apr-21 | 2 | 139,275 | 6,815 | ||||||||||||
LME Zinc Forward - 90 Day Settlement | Apr-21 | 3 | 208,997 | 5,353 | ||||||||||||
LME Zinc Forward - 90 Day Settlement | Apr-21 | 2 | 139,360 | 6,960 | ||||||||||||
LME Zinc Forward - 90 Day Settlement | Apr-21 | 1 | 69,687 | 4,787 | ||||||||||||
LME Zinc Forward - 90 Day Settlement | May-21 | 6 | 418,650 | (4,656 | ) | |||||||||||
LME Zinc Forward - 90 Day Settlement | May-21 | 2 | 139,575 | (3,325 | ) | |||||||||||
LME Zinc Forward - 90 Day Settlement | May-21 | 1 | 69,788 | (2,869 | ) | |||||||||||
LME Zinc Forward - 90 Day Settlement | May-21 | 1 | 69,784 | (2,829 | ) | |||||||||||
LME Zinc Forward - 90 Day Settlement | May-21 | 7 | 488,688 | (9,508 | ) | |||||||||||
Long Gilt Futures | Jun-21 | 402 | 71,559,887 | (686,780 | ) | |||||||||||
Low Sulphur Gasoil G Futures | Mar-21 | 7 | 372,400 | 42,425 | ||||||||||||
Low Sulphur Gasoil G Futures | Apr-21 | 207 | 11,027,925 | 393,875 | ||||||||||||
Low Sulphur Gasoil G Futures | May-21 | 18 | 959,400 | 61,400 | ||||||||||||
Low Sulphur Gasoil G Futures | Jun-21 | 2 | 106,400 | 10,525 | ||||||||||||
Low Sulphur Gasoil G Futures | Jul-21 | 1 | 53,100 | 3,450 | ||||||||||||
Lumber Futures | May-21 | 1 | 93,247 | (737 | ) | |||||||||||
MAIZE Futures | Jun-21 | 1 | 13,272 | 302 | ||||||||||||
MDAX Index Futures | Mar-21 | 1 | 188,348 | (3,463 | ) | |||||||||||
Micro EUR/USD Futures | Mar-21 | 6 | 90,611 | (1,284 | ) | |||||||||||
Mill Wheat Euro | May-21 | 43 | 595,341 | 17,178 | ||||||||||||
Mill Wheat Euro | Sep-21 | 14 | 168,706 | 814 | ||||||||||||
Mill Wheat Euro | Dec-21 | 6 | 72,212 | (15 | ) | |||||||||||
Mini FTSE/MIB Pound Futures | Mar-21 | 4 | 110,177 | (626 | ) | |||||||||||
Mini H-Shares Index Futures | Mar-21 | 15 | 218,006 | (10,745 | ) | |||||||||||
Mini HSI Index Futures | Mar-21 | 50 | 1,866,769 | (103,121 | ) | |||||||||||
MSCI EAFE Index Futures | Mar-21 | 32 | 3,462,400 | 18,465 | ||||||||||||
MSCI Emerging Markets Index Futures | Mar-21 | 101 | 6,757,405 | 69,170 | ||||||||||||
MSCI Singapore Exchange ETS | Mar-21 | 21 | 533,347 | 10,899 | ||||||||||||
MXN Currency Futures | Mar-21 | 378 | 8,987,680 | (412,535 | ) | |||||||||||
Nasdaq 100 E-Mini | Mar-21 | 96 | 24,789,120 | (372,979 | ) | |||||||||||
Natural Gas Futures | Apr-21 | 30 | 831,300 | (48,300 | ) |
The accompanying notes are an integral part of the consolidated financial statements.
16
Abbey Capital Futures Strategy Fund
Consolidated Portfolio of Investments (Continued)
February 28, 2021 (Unaudited)
Long Contracts | Expiration | Number of | Notional | Value and | ||||||||||||
Natural Gas Futures | May-21 | 1 | $ | 28,090 | $ | (860 | ) | |||||||||
Natural Gas Futures | Jun-21 | 3 | 85,860 | (4,370 | ) | |||||||||||
Natural Gas Futures | Oct-21 | 2 | 58,780 | (530 | ) | |||||||||||
Natural Gas Futures ICE | Apr-21 | 5 | 83,153 | (5,036 | ) | |||||||||||
Nikkei 225 (Chicago Mercantile Exchange) | Mar-21 | 5 | 732,125 | 59,825 | ||||||||||||
Nikkei 225 (Osaka Securities Exchange) | Mar-21 | 29 | 7,957,690 | 311,459 | ||||||||||||
Nikkei 225 (Singapore Exchange) | Mar-21 | 69 | 9,470,143 | 98,309 | ||||||||||||
Nikkei 225 Mini | Mar-21 | 181 | 4,966,696 | 275,522 | ||||||||||||
Nikkei/Yen Futures | Mar-21 | 7 | 961,560 | 34,171 | ||||||||||||
NY Harbor Ultra-Low Sulfur Diesel Futures | Apr-21 | 226 | 17,494,705 | 689,861 | ||||||||||||
NY Harbor Ultra-Low Sulfur Diesel Futures | May-21 | 21 | 1,618,382 | 71,740 | ||||||||||||
NY Harbor Ultra-Low Sulfur Diesel Futures | Jul-21 | 1 | 76,650 | 1,483 | ||||||||||||
NY Harbor Ultra-Low Sulfur Diesel Futures | Dec-21 | 8 | 612,494 | 120,191 | ||||||||||||
NZD Currency Futures | Mar-21 | 268 | 19,387,120 | 243,150 | ||||||||||||
OMX Stockholm 30 Index Futures | Mar-21 | 430 | 10,210,329 | (107,834 | ) | |||||||||||
Palladium Futures | Jun-21 | 1 | 231,350 | (2,210 | ) | |||||||||||
Palm Oil Futures | Apr-21 | 4 | 96,850 | 11,884 | ||||||||||||
Palm Oil Futures | May-21 | 26 | 600,939 | 35,837 | ||||||||||||
Palm Oil Futures | Jun-21 | 9 | 200,179 | 15,423 | ||||||||||||
Palm Oil Futures | Jul-21 | 2 | 43,002 | 2,891 | ||||||||||||
Platinum Futures | Apr-21 | 32 | 1,896,480 | 111,870 | ||||||||||||
Rapeseed Euro | May-21 | 11 | 326,160 | 28,806 | ||||||||||||
Rapeseed Euro | Aug-21 | 6 | 153,383 | 6,742 | ||||||||||||
Red Wheat Futures (Minneapolis Grain Exchange) | May-21 | 17 | 542,937 | 2,000 | ||||||||||||
Red Wheat Futures (Minneapolis Grain Exchange) | Jul-21 | 4 | 129,350 | (1,550 | ) | |||||||||||
Rough Rice Futures | May-21 | 3 | 78,270 | (230 | ) | |||||||||||
Russell 2000 E-Mini | Mar-21 | 69 | 7,587,240 | 397,533 | ||||||||||||
S&P 500 E-Mini Futures | Mar-21 | 161 | 30,664,060 | 315,304 | ||||||||||||
S&P Mid 400 E-Mini | Mar-21 | 17 | 4,240,990 | 198,355 | ||||||||||||
S&P/TSX 60 IX Futures | Mar-21 | 56 | 9,432,783 | 158,859 | ||||||||||||
SGX Iron Ore 62% Futures | Mar-21 | 11 | 190,674 | 13,563 | ||||||||||||
SGX Iron Ore 62% Futures | Apr-21 | 37 | 354,984 | 13,151 | ||||||||||||
SGX Iron Ore 62% Futures | May-21 | 12 | 197,652 | 8,054 | ||||||||||||
SGX Iron Ore 62% Futures | Jun-21 | 2 | 32,052 | 188 | ||||||||||||
SGX Nifty 50 | Mar-21 | 108 | 3,137,292 | (59,334 | ) | |||||||||||
Short BTP Future | Mar-21 | 73 | 9,947,539 | (13,465 | ) | |||||||||||
Silver Futures | May-21 | 72 | 9,518,400 | (482,425 | ) | |||||||||||
Silver Futures | Jul-21 | 3 | 397,050 | (19,805 | ) | |||||||||||
Soybean Futures | May-21 | 177 | 12,427,613 | 215,725 | ||||||||||||
Soybean Futures | Jul-21 | 122 | 8,488,150 | 149,663 | ||||||||||||
Soybean Futures | Nov-21 | 14 | 856,100 | 42,950 | ||||||||||||
Soybean Meal Futures | May-21 | 160 | 6,742,400 | (92,150 | ) | |||||||||||
Soybean Meal Futures | Jul-21 | 10 | 418,700 | (5,310 | ) | |||||||||||
Soybean Oil Futures | May-21 | 122 | 3,655,608 | 284,802 | ||||||||||||
Soybean Oil Futures | Jul-21 | 23 | 673,440 | 45,162 | ||||||||||||
Soybean Oil Futures | Dec-21 | 40 | 1,063,440 | 188,334 | ||||||||||||
SPI 200 Futures | Mar-21 | 80 | 10,201,364 | (56,363 | ) | |||||||||||
STOXX Europe 600 Banks Index | Mar-21 | 10 | 72,755 | 2,959 | ||||||||||||
STOXX Europe 600 Index | Mar-21 | 39 | 948,637 | 27,177 | ||||||||||||
Sugar No. 11 (World) | Mar-22 | 2 | 35,324 | 941 |
The accompanying notes are an integral part of the consolidated financial statements.
17
Abbey Capital Futures Strategy Fund
Consolidated Portfolio of Investments (Continued)
February 28, 2021 (Unaudited)
Long Contracts | Expiration | Number of | Notional | Value and | ||||||||||||
Sugar No. 11 (World) | May-21 | 889 | $ | 16,378,936 | $ | 386,254 | ||||||||||
Sugar No. 11 (World) | Jul-21 | 82 | 1,455,664 | 33,690 | ||||||||||||
Sugar No. 11 (World) | Oct-21 | 3 | 52,416 | 6,193 | ||||||||||||
Topix Index Futures | Mar-21 | 79 | 13,899,760 | 534,593 | ||||||||||||
U.S. Treasury 10-Year Notes (Chicago Board of Trade) | Jun-21 | 88 | 4,379,718 | 13,187 | ||||||||||||
U.S. Treasury 2-Year Notes (Chicago Board of Trade) | Jun-21 | 548 | 101,110,656 | (76,040 | ) | |||||||||||
U.S. Treasury 5-Year Notes (Chicago Board of Trade) | Jun-21 | 845 | 104,753,594 | (629,430 | ) | |||||||||||
U.S. Treasury Long Bond (Chicago Board of Trade) | Jun-21 | 3 | 477,656 | (1,439 | ) | |||||||||||
USD/NOK Futures | Mar-21 | 2 | 199,382 | (1,612 | ) | |||||||||||
USD/SEK Futures | Mar-21 | 6 | 599,034 | 2,638 | ||||||||||||
Wheat (Chicago Board of Trade) | May-21 | 321 | 10,597,012 | (19,735 | ) | |||||||||||
Wheat (Chicago Board of Trade) | Jul-21 | 204 | 6,630,000 | 163,300 | ||||||||||||
Wheat (Chicago Board of Trade) | Sep-21 | 3 | 96,937 | 1,675 | ||||||||||||
Wheat (Chicago Board of Trade) | Dec-21 | 25 | 812,500 | 43,450 | ||||||||||||
White Sugar ICE | May-21 | 28 | 637,140 | 13,715 | ||||||||||||
White Sugar ICE | Aug-21 | 10 | 220,500 | 7,265 | ||||||||||||
WTI Crude Futures | Apr-21 | 396 | 24,354,000 | 655,940 | ||||||||||||
WTI Crude Futures | May-21 | 30 | 1,836,900 | 96,350 | ||||||||||||
WTI Crude Futures | Jun-21 | 110 | 6,681,400 | 22,150 | ||||||||||||
WTI Crude Futures | Jul-21 | 5 | 300,600 | 7,320 | ||||||||||||
WTI Crude Futures | Dec-21 | 13 | 743,600 | 125,910 | ||||||||||||
WTI Crude Futures IPE | Apr-21 | 10 | 615,000 | 19,110 | ||||||||||||
WTI Crude Futures IPE | May-21 | 1 | 61,230 | 1,070 | ||||||||||||
WTI Crude Futures IPE | Jul-21 | 1 | 60,120 | 1,120 | ||||||||||||
$ | 37,004,453 |
Short Contracts | Expiration | Number of | Notional | Value and | ||||||||||||
10-Year Mini Japanese Government Bond Futures | Mar-21 | 19 | $ | (2,687,931 | ) | $ | 6,886 | |||||||||
3-Month Euro Euribor | Jun-24 | 1 | (302,376 | ) | 60 | |||||||||||
90-DAY Eurodollar Futures | Sep-21 | 422 | (105,299,550 | ) | (3,200 | ) | ||||||||||
90-DAY Eurodollar Futures | Dec-22 | 10 | (2,488,875 | ) | (625 | ) | ||||||||||
90-DAY Eurodollar Futures | Mar-23 | 1 | (248,675 | ) | 13 | |||||||||||
90-DAY Eurodollar Futures | Jun-23 | 289 | (71,744,250 | ) | 234,238 | |||||||||||
90-DAY Eurodollar Futures | Dec-23 | 131 | (32,393,025 | ) | 117,075 | |||||||||||
90-DAY Eurodollar Futures | Mar-24 | 1 | (246,963 | ) | 1,363 | |||||||||||
90-DAY Eurodollar Futures | Jun-25 | 4 | (982,700 | ) | 238 | |||||||||||
90-DAY Sterling Futures | Dec-21 | 671 | (116,720,598 | ) | 85,821 | |||||||||||
90-DAY Sterling Futures | Mar-22 | 9 | (1,564,141 | ) | 714 | |||||||||||
90-DAY Sterling Futures | Jun-22 | 15 | (2,605,596 | ) | 1,715 | |||||||||||
90-DAY Sterling Futures | Sep-22 | 12 | (2,083,223 | ) | 2,116 | |||||||||||
90-DAY Sterling Futures | Dec-22 | 227 | (39,381,940 | ) | 63,574 | |||||||||||
90-DAY Sterling Futures | Mar-23 | 9 | (1,560,223 | ) | 1,750 | |||||||||||
90-DAY Sterling Futures | Jun-23 | 15 | (2,598,543 | ) | 1,846 | |||||||||||
90-DAY Sterling Futures | Sep-23 | 7 | (1,211,922 | ) | 1,306 | |||||||||||
90-DAY Sterling Futures | Dec-23 | 189 | (32,697,208 | ) | 109,288 | |||||||||||
90-DAY Sterling Futures | Mar-24 | 4 | (691,517 | ) | 836 |
The accompanying notes are an integral part of the consolidated financial statements.
18
Abbey Capital Futures Strategy Fund
Consolidated Portfolio of Investments (Continued)
February 28, 2021 (Unaudited)
Short Contracts | Expiration | Number of | Notional | Value and | ||||||||||||
AUD/USD Currency Futures | Mar-21 | 432 | $ | (33,309,360 | ) | $ | (781,614 | ) | ||||||||
Australian 10-Year Bond Futures | Mar-21 | 400 | (42,187,668 | ) | 1,544,979 | |||||||||||
Australian 3-Year Bond Futures | Mar-21 | 10 | (898,698 | ) | 2,397 | |||||||||||
Brent Crude Futures | May-21 | 12 | (773,040 | ) | 10,560 | |||||||||||
CAD Currency Futures | Mar-21 | 146 | (11,489,470 | ) | (6,950 | ) | ||||||||||
Canadian 10-Year Bond Futures | Jun-21 | 221 | (24,274,226 | ) | 288,653 | |||||||||||
CHF Currency Futures | Mar-21 | 65 | (8,665,650 | ) | 39,141 | |||||||||||
DAX-Mini Futures | Mar-21 | 1 | (83,005 | ) | 1,014 | |||||||||||
DJIA Mini E-CBOT | Mar-21 | 4 | (618,240 | ) | 4,035 | |||||||||||
Dollar Index | Mar-21 | 149 | (13,541,418 | ) | (21,302 | ) | ||||||||||
E-Mini Technology Select Futures | Mar-21 | 1 | (131,680 | ) | 820 | |||||||||||
EUR Foreign Exchange Currency Futures | Mar-21 | 296 | (44,701,550 | ) | 233,087 | |||||||||||
Euro BUXL 30-Year Bond Futures | Mar-21 | 21 | (5,316,320 | ) | 53,354 | |||||||||||
Euro STOXX 50 | Mar-21 | 177 | (7,745,792 | ) | (48,708 | ) | ||||||||||
Euro/CHF 3-Month Futures ICE | Jun-21 | 2 | (553,510 | ) | 385 | |||||||||||
Euro/CHF 3-Month Futures ICE | Sep-21 | 3 | (830,099 | ) | 605 | |||||||||||
Euro/GBP Futures | Mar-21 | 1 | (108,167 | ) | 427 | |||||||||||
Euro-Bobl Futures | Mar-21 | 425 | (68,820,658 | ) | 202,254 | |||||||||||
Euro-BTP Futures | Mar-21 | 524 | (94,708,317 | ) | 1,610,140 | |||||||||||
Euro-Bund Futures | Mar-21 | 938 | (196,244,253 | ) | 2,874,174 | |||||||||||
Euro-Oat Futures | Mar-21 | 11 | (2,169,049 | ) | 27,666 | |||||||||||
Euro-Schatz Futures | Mar-21 | 905 | (122,481,450 | ) | 52,768 | |||||||||||
FTSE 100 Index Futures | Mar-21 | 147 | (11,662,998 | ) | 151,093 | |||||||||||
Gasoline RBOB Futures | Apr-21 | 8 | (655,368 | ) | (13,999 | ) | ||||||||||
GBP Currency Futures | Mar-21 | 23 | (2,004,738 | ) | (59,176 | ) | ||||||||||
Gold 100 Oz Futures | Apr-21 | 207 | (35,786,160 | ) | 794,300 | |||||||||||
Hang Seng Index Futures | Mar-21 | 27 | (5,040,276 | ) | 167,377 | |||||||||||
JPN 10-Year Bond (Osaka Securities Exchange) | Mar-21 | 126 | (178,039,495 | ) | 1,112,904 | |||||||||||
JPY Currency Futures | Mar-21 | 725 | (60,843,019 | ) | 763,123 | |||||||||||
Lean Hogs Futures | Jul-21 | 1 | (37,820 | ) | (2,870 | ) | ||||||||||
Live Cattle Futures | Apr-21 | 1 | (48,000 | ) | 240 | |||||||||||
LME Aluminum Forward | Mar-21 | 1,505 | (80,207,094 | ) | (5,211,794 | ) | ||||||||||
LME Aluminum Forward | Apr-21 | 13 | (696,475 | ) | (10,397 | ) | ||||||||||
LME Aluminum Forward | Jun-21 | 398 | (21,484,538 | ) | (229,416 | ) | ||||||||||
LME Aluminum Forward - 90 Day Settlement | Mar-21 | 1 | (55,934 | ) | (4,584 | ) | ||||||||||
LME Aluminum Forward - 90 Day Settlement | Mar-21 | 1 | (53,656 | ) | (2,719 | ) | ||||||||||
LME Aluminum Forward - 90 Day Settlement | Mar-21 | 28 | (1,499,302 | ) | (87,205 | ) | ||||||||||
LME Aluminum Forward - 90 Day Settlement | Mar-21 | 3 | (160,529 | ) | (8,954 | ) | ||||||||||
LME Aluminum Forward - 90 Day Settlement | Mar-21 | 4 | (213,893 | ) | (8,843 | ) | ||||||||||
LME Aluminum Forward - 90 Day Settlement | Mar-21 | 2 | (106,873 | ) | (3,866 | ) | ||||||||||
LME Aluminum Forward - 90 Day Settlement | Mar-21 | 6 | (320,213 | ) | (14,519 | ) | ||||||||||
LME Aluminum Forward - 90 Day Settlement | Mar-21 | 1 | (53,294 | ) | (2,119 | ) | ||||||||||
LME Aluminum Forward - 90 Day Settlement | Mar-21 | 8 | (426,300 | ) | (16,613 | ) | ||||||||||
LME Aluminum Forward - 90 Day Settlement | Mar-21 | 2 | (106,675 | ) | (5,763 | ) | ||||||||||
LME Aluminum Forward - 90 Day Settlement | Mar-21 | 1 | (53,350 | ) | (3,488 | ) | ||||||||||
LME Aluminum Forward - 90 Day Settlement | Mar-21 | 1 | (53,412 | ) | (2,431 | ) | ||||||||||
LME Aluminum Forward - 90 Day Settlement | Mar-21 | 1 | (53,432 | ) | (2,444 | ) | ||||||||||
LME Aluminum Forward - 90 Day Settlement | Apr-21 | 23 | (1,230,356 | ) | (97,941 | ) | ||||||||||
LME Aluminum Forward - 90 Day Settlement | Apr-21 | 1 | (53,500 | ) | (2,788 | ) | ||||||||||
LME Aluminum Forward - 90 Day Settlement | Apr-21 | 1 | (53,544 | ) | (4,458 | ) | ||||||||||
LME Aluminum Forward - 90 Day Settlement | Apr-21 | 3 | (160,688 | ) | (12,561 | ) |
The accompanying notes are an integral part of the consolidated financial statements.
19
Abbey Capital Futures Strategy Fund
Consolidated Portfolio of Investments (Continued)
February 28, 2021 (Unaudited)
Short Contracts | Expiration | Number of | Notional | Value and | ||||||||||||
LME Aluminum Forward - 90 Day Settlement | Apr-21 | 22 | $ | (1,178,513 | ) | $ | (48,856 | ) | ||||||||
LME Aluminum Forward - 90 Day Settlement | Apr-21 | 1 | (53,575 | ) | (1,931 | ) | ||||||||||
LME Aluminum Forward - 90 Day Settlement | Apr-21 | 5 | (267,875 | ) | (19,288 | ) | ||||||||||
LME Aluminum Forward - 90 Day Settlement | Apr-21 | 1 | (53,614 | ) | (1,945 | ) | ||||||||||
LME Aluminum Forward - 90 Day Settlement | May-21 | 2 | (107,381 | ) | (7,769 | ) | ||||||||||
LME Aluminum Forward - 90 Day Settlement | May-21 | 1 | (53,700 | ) | (1,994 | ) | ||||||||||
LME Aluminum Forward - 90 Day Settlement | May-21 | 12 | (644,817 | ) | 1,992 | |||||||||||
LME Aluminum Forward - 90 Day Settlement | May-21 | 1 | (53,742 | ) | 358 | |||||||||||
LME Aluminum Forward - 90 Day Settlement | May-21 | 2 | (107,570 | ) | 733 | |||||||||||
LME Aluminum Forward - 90 Day Settlement | May-21 | 1 | (53,793 | ) | 270 | |||||||||||
LME Aluminum Forward - 90 Day Settlement | May-21 | 4 | (215,200 | ) | 1,035 | |||||||||||
LME Aluminum Forward - 90 Day Settlement | May-21 | 1 | (53,813 | ) | (88 | ) | ||||||||||
LME Aluminum Forward - 90 Day Settlement | May-21 | 1 | (53,850 | ) | (388 | ) | ||||||||||
LME Aluminum Forward - 90 Day Settlement | May-21 | 6 | (323,175 | ) | 3,363 | |||||||||||
LME Copper Forward | Mar-21 | 453 | (102,981,056 | ) | (16,523,525 | ) | ||||||||||
LME Copper Forward | Apr-21 | 4 | (908,425 | ) | (43,144 | ) | ||||||||||
LME Copper Forward | Jun-21 | 80 | (18,148,000 | ) | 46,030 | |||||||||||
LME Copper Forward - 90 Day Settlement | Mar-21 | 2 | (456,963 | ) | (71,679 | ) | ||||||||||
LME Copper Forward - 90 Day Settlement | Mar-21 | 1 | (227,781 | ) | (33,869 | ) | ||||||||||
LME Copper Forward - 90 Day Settlement | Mar-21 | 12 | (2,732,775 | ) | (356,555 | ) | ||||||||||
LME Copper Forward - 90 Day Settlement | Mar-21 | 1 | (227,531 | ) | (27,576 | ) | ||||||||||
LME Copper Forward - 90 Day Settlement | Mar-21 | 2 | (454,863 | ) | (65,250 | ) | ||||||||||
LME Copper Forward - 90 Day Settlement | Mar-21 | 1 | (227,381 | ) | (30,794 | ) | ||||||||||
LME Copper Forward - 90 Day Settlement | Mar-21 | 1 | (227,331 | ) | (27,338 | ) | ||||||||||
LME Copper Forward - 90 Day Settlement | Mar-21 | 1 | (227,231 | ) | (31,105 | ) | ||||||||||
LME Copper Forward - 90 Day Settlement | Mar-21 | 1 | (227,200 | ) | (30,188 | ) | ||||||||||
LME Copper Forward - 90 Day Settlement | Mar-21 | 2 | (454,388 | ) | (54,523 | ) | ||||||||||
LME Copper Forward - 90 Day Settlement | Mar-21 | 1 | (227,181 | ) | (31,331 | ) | ||||||||||
LME Copper Forward - 90 Day Settlement | Mar-21 | 1 | (227,156 | ) | (33,581 | ) | ||||||||||
LME Copper Forward - 90 Day Settlement | Apr-21 | 10 | (2,271,563 | ) | (279,249 | ) | ||||||||||
LME Copper Forward - 90 Day Settlement | Apr-21 | 1 | (227,156 | ) | (23,044 | ) | ||||||||||
LME Copper Forward - 90 Day Settlement | Apr-21 | 2 | (454,313 | ) | (58,638 | ) | ||||||||||
LME Copper Forward - 90 Day Settlement | Apr-21 | 1 | (227,156 | ) | (28,306 | ) | ||||||||||
LME Copper Forward - 90 Day Settlement | Apr-21 | 8 | (1,817,250 | ) | (164,962 | ) | ||||||||||
LME Copper Forward - 90 Day Settlement | Apr-21 | 1 | (227,106 | ) | (25,219 | ) | ||||||||||
LME Copper Forward - 90 Day Settlement | Apr-21 | 2 | (453,907 | ) | (50,276 | ) | ||||||||||
LME Copper Forward - 90 Day Settlement | May-21 | 2 | (453,953 | ) | (65,703 | ) | ||||||||||
LME Copper Forward - 90 Day Settlement | May-21 | 8 | (1,816,038 | ) | 3,956 | |||||||||||
LME Copper Forward - 90 Day Settlement | May-21 | 1 | (227,014 | ) | 487 | |||||||||||
LME Copper Forward - 90 Day Settlement | May-21 | 2 | (454,047 | ) | (34,372 | ) | ||||||||||
LME Copper Forward - 90 Day Settlement | May-21 | 1 | (227,038 | ) | (16,350 | ) | ||||||||||
LME Copper Forward - 90 Day Settlement | May-21 | 1 | (226,931 | ) | 5,306 | |||||||||||
LME Copper Forward - 90 Day Settlement | May-21 | 1 | (226,925 | ) | 1,313 | |||||||||||
LME Lead Forward | Mar-21 | 165 | (8,424,281 | ) | (326,623 | ) | ||||||||||
LME Nickel Forward | Mar-21 | 70 | (7,786,800 | ) | (231,341 | ) | ||||||||||
LME Nickel Forward | Apr-21 | 2 | (222,684 | ) | (594 | ) | ||||||||||
LME Nickel Forward | Jun-21 | 1 | (111,480 | ) | 1,760 | |||||||||||
LME Nickel Forward - 90 Day Settlement | Mar-21 | 1 | (111,194 | ) | (15,314 | ) | ||||||||||
LME Nickel Forward - 90 Day Settlement | Mar-21 | 1 | (111,198 | ) | (14,778 | ) | ||||||||||
LME Nickel Forward - 90 Day Settlement | Mar-21 | 8 | (889,774 | ) | (79,259 | ) | ||||||||||
LME Nickel Forward - 90 Day Settlement | Mar-21 | 1 | (111,227 | ) | (4,686 | ) |
The accompanying notes are an integral part of the consolidated financial statements.
20
Abbey Capital Futures Strategy Fund
Consolidated Portfolio of Investments (Continued)
February 28, 2021 (Unaudited)
Short Contracts | Expiration | Number of | Notional | Value and | ||||||||||||
LME Nickel Forward - 90 Day Settlement | Mar-21 | 3 | $ | (333,708 | ) | $ | (14,862 | ) | ||||||||
LME Nickel Forward - 90 Day Settlement | Mar-21 | 1 | (111,243 | ) | (9,183 | ) | ||||||||||
LME Nickel Forward - 90 Day Settlement | Mar-21 | 2 | (222,492 | ) | (20,022 | ) | ||||||||||
LME Nickel Forward - 90 Day Settlement | Mar-21 | 1 | (111,249 | ) | (4,671 | ) | ||||||||||
LME Nickel Forward - 90 Day Settlement | Mar-21 | 1 | (111,269 | ) | (4,670 | ) | ||||||||||
LME Nickel Forward - 90 Day Settlement | Apr-21 | 1 | (111,292 | ) | (4,669 | ) | ||||||||||
LME Nickel Forward - 90 Day Settlement | Apr-21 | 9 | (1,001,661 | ) | (44,808 | ) | ||||||||||
LME Nickel Forward - 90 Day Settlement | Apr-21 | 4 | (445,249 | ) | (27,332 | ) | ||||||||||
LME Nickel Forward - 90 Day Settlement | Apr-21 | 3 | (333,947 | ) | (2,868 | ) | ||||||||||
LME Nickel Forward - 90 Day Settlement | Apr-21 | 1 | (111,319 | ) | (956 | ) | ||||||||||
LME Nickel Forward - 90 Day Settlement | Apr-21 | 1 | (111,335 | ) | (2,795 | ) | ||||||||||
LME Nickel Forward - 90 Day Settlement | Apr-21 | 9 | (1,002,078 | ) | 9,073 | |||||||||||
LME Nickel Forward - 90 Day Settlement | Apr-21 | 2 | (222,703 | ) | 1,143 | |||||||||||
LME Nickel Forward - 90 Day Settlement | Apr-21 | 1 | (111,355 | ) | (5,245 | ) | ||||||||||
LME Nickel Forward - 90 Day Settlement | Apr-21 | 1 | (111,359 | ) | (4,619 | ) | ||||||||||
LME Nickel Forward - 90 Day Settlement | May-21 | 1 | (111,377 | ) | 584 | |||||||||||
LME Nickel Forward - 90 Day Settlement | May-21 | 9 | (1,002,657 | ) | 43,450 | |||||||||||
LME Nickel Forward - 90 Day Settlement | May-21 | 2 | (222,864 | ) | 2,046 | |||||||||||
LME Nickel Forward - 90 Day Settlement | May-21 | 3 | (334,305 | ) | 10,785 | |||||||||||
LME Nickel Forward - 90 Day Settlement | May-21 | 1 | (111,438 | ) | 3,995 | |||||||||||
LME Nickel Forward - 90 Day Settlement | May-21 | 1 | (111,462 | ) | 648 | |||||||||||
LME Palladium Forward - 90 Day Settlement | Mar-21 | 1 | (50,969 | ) | 1,724 | |||||||||||
LME Palladium Forward - 90 Day Settlement | Mar-21 | 1 | (51,005 | ) | 1,733 | |||||||||||
LME Palladium Forward - 90 Day Settlement | Mar-21 | 10 | (510,105 | ) | (9,302 | ) | ||||||||||
LME Palladium Forward - 90 Day Settlement | Mar-21 | 1 | (51,016 | ) | 1,221 | |||||||||||
LME Palladium Forward - 90 Day Settlement | Mar-21 | 2 | (102,090 | ) | (90 | ) | ||||||||||
LME Palladium Forward - 90 Day Settlement | Mar-21 | 1 | (51,051 | ) | 175 | |||||||||||
LME Palladium Forward - 90 Day Settlement | Mar-21 | 2 | (102,175 | ) | (4,313 | ) | ||||||||||
LME Palladium Forward - 90 Day Settlement | Apr-21 | 2 | (102,319 | ) | 394 | |||||||||||
LME Palladium Forward - 90 Day Settlement | Apr-21 | 4 | (204,656 | ) | (2,743 | ) | ||||||||||
LME Palladium Forward - 90 Day Settlement | Apr-21 | 3 | (153,563 | ) | (4,975 | ) | ||||||||||
LME Palladium Forward - 90 Day Settlement | Apr-21 | 1 | (51,197 | ) | (168 | ) | ||||||||||
LME Palladium Forward - 90 Day Settlement | Apr-21 | 1 | (51,222 | ) | (172 | ) | ||||||||||
LME Palladium Forward - 90 Day Settlement | Apr-21 | 3 | (153,694 | ) | 1,176 | |||||||||||
LME Palladium Forward - 90 Day Settlement | Apr-21 | 1 | (51,227 | ) | (689 | ) | ||||||||||
LME Palladium Forward - 90 Day Settlement | May-21 | 1 | (51,249 | ) | 826 | |||||||||||
LME Palladium Forward - 90 Day Settlement | May-21 | 1 | (51,253 | ) | 822 | |||||||||||
LME Palladium Forward - 90 Day Settlement | May-21 | 4 | (205,104 | ) | 6,523 | |||||||||||
LME Palladium Forward - 90 Day Settlement | May-21 | 1 | (51,280 | ) | 1,808 | |||||||||||
LME Palladium Forward - 90 Day Settlement | May-21 | 2 | (102,613 | ) | 3,343 | |||||||||||
LME Palladium Forward - 90 Day Settlement | May-21 | 1 | (51,300 | ) | 2,963 | |||||||||||
LME Palladium Forward - 90 Day Settlement | May-21 | 5 | (256,563 | ) | 2,163 | |||||||||||
LME Silver Forward - 90 Day Settlement | Mar-21 | 1 | (143,025 | ) | (49,000 | ) | ||||||||||
LME Silver Forward - 90 Day Settlement | Mar-21 | 1 | (132,695 | ) | (35,559 | ) | ||||||||||
LME Silver Forward - 90 Day Settlement | Mar-21 | 5 | (662,225 | ) | (143,850 | ) | ||||||||||
LME Silver Forward - 90 Day Settlement | Mar-21 | 1 | (132,395 | ) | (25,635 | ) | ||||||||||
LME Silver Forward - 90 Day Settlement | Mar-21 | 2 | (264,590 | ) | (60,693 | ) | ||||||||||
LME Silver Forward - 90 Day Settlement | Mar-21 | 2 | (263,065 | ) | (57,625 | ) | ||||||||||
LME Silver Forward - 90 Day Settlement | Mar-21 | 1 | (131,483 | ) | (25,932 | ) | ||||||||||
LME Silver Forward - 90 Day Settlement | Mar-21 | 1 | (131,383 | ) | (31,008 | ) |
The accompanying notes are an integral part of the consolidated financial statements.
21
Abbey Capital Futures Strategy Fund
Consolidated Portfolio of Investments (Continued)
February 28, 2021 (Unaudited)
Short Contracts | Expiration | Number of | Notional | Value and | ||||||||||||
LME Silver Forward - 90 Day Settlement | Mar-21 | 2 | $ | (262,465 | ) | $ | (59,465 | ) | ||||||||
LME Silver Forward - 90 Day Settlement | Apr-21 | 4 | (524,930 | ) | (69,680 | ) | ||||||||||
LME Silver Forward - 90 Day Settlement | Apr-21 | 1 | (131,233 | ) | (27,358 | ) | ||||||||||
LME Silver Forward - 90 Day Settlement | Apr-21 | 1 | (131,232 | ) | (25,708 | ) | ||||||||||
LME Silver Forward - 90 Day Settlement | Apr-21 | 1 | (131,232 | ) | (25,033 | ) | ||||||||||
LME Silver Forward - 90 Day Settlement | Apr-21 | 1 | (131,195 | ) | (20,795 | ) | ||||||||||
LME Silver Forward - 90 Day Settlement | Apr-21 | 1 | (129,903 | ) | (13,489 | ) | ||||||||||
LME Silver Forward - 90 Day Settlement | May-21 | 1 | (129,786 | ) | (13,373 | ) | ||||||||||
LME Silver Forward - 90 Day Settlement | May-21 | 1 | (129,775 | ) | (13,362 | ) | ||||||||||
LME Silver Forward - 90 Day Settlement | May-21 | 2 | (256,890 | ) | 11,335 | |||||||||||
LME Silver Forward - 90 Day Settlement | May-21 | 3 | (385,035 | ) | 14,215 | |||||||||||
LME Silver Forward - 90 Day Settlement | May-21 | 1 | (128,320 | ) | (3,220 | ) | ||||||||||
LME Zinc Forward | Mar-21 | 119 | (8,269,012 | ) | (212,731 | ) | ||||||||||
LME Zinc Forward | Apr-21 | 1 | (69,650 | ) | (3,113 | ) | ||||||||||
LME Zinc Forward | Jun-21 | 13 | (908,537 | ) | 3,709 | |||||||||||
LME Zinc Forward - 90 Day Settlement | Mar-21 | 1 | (71,969 | ) | (656 | ) | ||||||||||
LME Zinc Forward - 90 Day Settlement | Mar-21 | 1 | (69,388 | ) | 1,931 | |||||||||||
LME Zinc Forward - 90 Day Settlement | Mar-21 | 1 | (69,394 | ) | (194 | ) | ||||||||||
LME Zinc Forward - 90 Day Settlement | Mar-21 | 7 | (486,241 | ) | 8,342 | |||||||||||
LME Zinc Forward - 90 Day Settlement | Mar-21 | 2 | (138,965 | ) | 2,923 | |||||||||||
LME Zinc Forward - 90 Day Settlement | Mar-21 | 1 | (69,485 | ) | 197 | |||||||||||
LME Zinc Forward - 90 Day Settlement | Mar-21 | 3 | (208,495 | ) | 6,218 | |||||||||||
LME Zinc Forward - 90 Day Settlement | Mar-21 | 1 | (69,545 | ) | (482 | ) | ||||||||||
LME Zinc Forward - 90 Day Settlement | Mar-21 | 1 | (69,550 | ) | 2,600 | |||||||||||
LME Zinc Forward - 90 Day Settlement | Apr-21 | 2 | (139,170 | ) | 165 | |||||||||||
LME Zinc Forward - 90 Day Settlement | Apr-21 | 6 | (417,579 | ) | (15,182 | ) | ||||||||||
LME Zinc Forward - 90 Day Settlement | Apr-21 | 3 | (208,859 | ) | (515 | ) | ||||||||||
LME Zinc Forward - 90 Day Settlement | Apr-21 | 2 | (139,288 | ) | (5,113 | ) | ||||||||||
LME Zinc Forward - 90 Day Settlement | Apr-21 | 2 | (139,275 | ) | (3,548 | ) | ||||||||||
LME Zinc Forward - 90 Day Settlement | Apr-21 | 3 | (208,997 | ) | (6,759 | ) | ||||||||||
LME Zinc Forward - 90 Day Settlement | Apr-21 | 2 | (139,360 | ) | (9,123 | ) | ||||||||||
LME Zinc Forward - 90 Day Settlement | Apr-21 | 1 | (69,687 | ) | 163 | |||||||||||
LME Zinc Forward - 90 Day Settlement | May-21 | 6 | (418,650 | ) | 8,145 | |||||||||||
LME Zinc Forward - 90 Day Settlement | May-21 | 2 | (139,575 | ) | 5,713 | |||||||||||
LME Zinc Forward - 90 Day Settlement | May-21 | 1 | (69,787 | ) | 2,325 | |||||||||||
LME Zinc Forward - 90 Day Settlement | May-21 | 1 | (69,783 | ) | 1,343 | |||||||||||
LME Zinc Forward - 90 Day Settlement | May-21 | 1 | (69,812 | ) | 363 | |||||||||||
Long Gilt Futures | Jun-21 | 502 | (61,413,336 | ) | 558,926 | |||||||||||
Nasdaq 100 E-Mini | Mar-21 | 15 | (3,873,300 | ) | (42,557 | ) | ||||||||||
Natural Gas Futures | Apr-21 | 93 | (2,577,030 | ) | 80,967 | |||||||||||
Natural Gas Futures | May-21 | 45 | (1,264,050 | ) | 17,890 | |||||||||||
New Zealand 3-Month Bank Bill Futures | Sep-21 | 3 | (216,049 | ) | 95 | |||||||||||
Nikkei 225 (Singapore Exchange) | Mar-21 | 105 | (14,411,088 | ) | 84,563 | |||||||||||
NY Harbor Ultra-Low Sulfur Diesel Futures | Apr-21 | 123 | (9,521,455 | ) | (56,196 | ) | ||||||||||
NZD Currency Futures | Mar-21 | 4 | (289,360 | ) | (2,361 | ) | ||||||||||
Orange Juice Futures | May-21 | 10 | (167,625 | ) | 2,018 | |||||||||||
Platinum Futures | Apr-21 | 158 | (9,363,870 | ) | (576,525 | ) | ||||||||||
S&P 500 E-Mini Futures | Mar-21 | 23 | (4,380,580 | ) | 92,033 | |||||||||||
Silver Futures | May-21 | 24 | (3,172,800 | ) | 1,425 | |||||||||||
STOXX Dividend Futures | Dec-21 | 1 | (11,305 | ) | (350 | ) |
The accompanying notes are an integral part of the consolidated financial statements.
22
Abbey Capital Futures Strategy Fund
Consolidated Portfolio of Investments (Continued)
February 28, 2021 (Unaudited)
Short Contracts | Expiration | Number of | Notional | Value and | ||||||||||||
Swiss Federal Bond Futures | Mar-21 | 5 | $ | (915,737 | ) | $ | 2,660 | |||||||||
U.S. Treasury 10-Year Notes (Chicago Board of Trade) | Jun-21 | 658 | (87,328,937 | ) | 541,789 | |||||||||||
U.S. Treasury 2-Year Notes (Chicago Board of Trade) | Jun-21 | 74 | (16,336,656 | ) | 8,805 | |||||||||||
U.S. Treasury 5-Year Notes (Chicago Board of Trade) | Jun-21 | 382 | (47,356,063 | ) | 299,789 | |||||||||||
U.S. Treasury Long Bond (Chicago Board of Trade) | Jun-21 | 290 | (46,173,437 | ) | 347,328 | |||||||||||
U.S. Treasury Ultra 10-Year Notes | Jun-21 | 13 | (1,915,468 | ) | (4,531 | ) | ||||||||||
U.S. Treasury Ultra Long Bond (Chicago Board of Trade) | Jun-21 | 51 | (9,642,187 | ) | 13,055 | |||||||||||
$ | (14,494,088 | ) | ||||||||||||||
Total Futures Contracts | $ | 22,510,365 |
Forward foreign currency contracts outstanding as of February 28, 2021 were as follows:
Currency Purchased | Currency Sold | Expiration | Counterparty | Unrealized | ||||
AUD | 13,600,000 | NZD | 14,577,314 | Mar 01 2021 | BOA | $ (68,280) | ||
AUD | 2,568,179 | USD | 2,045,144 | Mar 01 2021 | BOA | (69,043) | ||
AUD | 2,568,179 | USD | 2,021,748 | Mar 02 2021 | BOA | (45,641) | ||
AUD | 49,643,543 | CAD | 48,518,184 | Mar 03 2021 | BOA | 72,960 | ||
AUD | 8,437,025 | EUR | 5,375,000 | Mar 03 2021 | BOA | 6,084 | ||
AUD | 8,598,842 | GBP | 4,875,000 | Mar 03 2021 | BOA | (175,537) | ||
AUD | 9,600,000 | JPY | 772,822,980 | Mar 03 2021 | BOA | 136,417 | ||
AUD | 36,400,000 | NZD | 39,059,758 | Mar 03 2021 | BOA | (214,507) | ||
AUD | 16,168,179 | USD | 12,574,841 | Mar 03 2021 | BOA | (134,068) | ||
AUD | 10,400,132 | USD | 7,877,393 | Mar 17 2021 | BOA | 125,638 | ||
AUD | 25,943,000 | USD | 19,781,626 | Mar 19 2021 | BOA | 182,042 | ||
AUD | 37,908,000 | USD | 29,340,672 | Apr 16 2021 | BOA | (167,193) | ||
BRL | 11,911,172 | USD | 2,168,854 | Mar 02 2021 | BOA | (43,843) | ||
BRL | 7,001,559 | USD | 1,324,805 | Mar 17 2021 | BOA | (76,416) | ||
BRL | 1,102,814 | USD | 200,000 | Apr 05 2021 | BOA | (3,500) | ||
CAD | 11,545,910 | USD | 9,158,914 | Mar 01 2021 | BOA | (86,144) | ||
CAD | 17,623,098 | AUD | 17,800,000 | Mar 02 2021 | BOA | 151,904 | ||
CAD | 11,545,910 | USD | 9,075,974 | Mar 02 2021 | BOA | (3,179) | ||
CAD | 31,191,341 | AUD | 31,843,543 | Mar 03 2021 | BOA | 7,933 | ||
CAD | 9,800,000 | JPY | 808,781,980 | Mar 03 2021 | BOA | 113,119 | ||
CAD | 11,400,000 | USD | 8,971,717 | Mar 03 2021 | BOA | (13,553) | ||
CAD | 12,203,139 | USD | 9,571,308 | Mar 17 2021 | BOA | 18,314 | ||
CAD | 13,200,000 | USD | 10,362,177 | Mar 19 2021 | BOA | 10,865 | ||
CAD | 1,460,000 | USD | 1,152,505 | Apr 16 2021 | BOA | (5,163) | ||
CHF | 250,000 | JPY | 29,381,299 | Mar 01 2021 | BOA | (791) | ||
CHF | 16,743,365 | USD | 18,458,634 | Mar 01 2021 | BOA | (50,908) | ||
CHF | 250,000 | JPY | 29,351,500 | Mar 02 2021 | BOA | (507) | ||
CHF | 16,743,365 | USD | 18,486,044 | Mar 02 2021 | BOA | (77,870) | ||
CHF | 1,619,772 | EUR | 1,500,000 | Mar 03 2021 | BOA | (29,140) | ||
CHF | 605,032 | GBP | 500,000 | Mar 03 2021 | BOA | (31,409) | ||
CHF | 4,500,000 | JPY | 526,035,425 | Mar 03 2021 | BOA | 12,447 | ||
CHF | 23,993,365 | USD | 26,564,883 | Mar 03 2021 | BOA | (185,192) | ||
CHF | 22,235,000 | USD | 25,030,588 | Mar 19 2021 | BOA | (570,842) | ||
CHF | 221,000 | USD | 245,862 | Apr 16 2021 | BOA | (2,560) |
The accompanying notes are an integral part of the consolidated financial statements.
23
Abbey Capital Futures Strategy Fund
Consolidated Portfolio of Investments (Continued)
February 28, 2021 (Unaudited)
Currency Purchased | Currency Sold | Expiration | Counterparty | Unrealized | ||||
CLP | 220,413,000 | USD | 300,000 | Mar 04 2021 | BOA | $ 4,529 | ||
CLP | 219,873,000 | USD | 300,000 | Mar 11 2021 | BOA | 3,821 | ||
CLP | 71,805,000 | USD | 100,000 | Mar 16 2021 | BOA | (771) | ||
CLP | 4,198,861,897 | USD | 5,757,345 | Mar 17 2021 | BOA | 45,242 | ||
CLP | 287,212,000 | USD | 400,000 | Mar 18 2021 | BOA | (3,083) | ||
CLP | 141,176,000 | USD | 200,000 | Mar 24 2021 | BOA | (4,880) | ||
CLP | 211,835,756 | USD | 300,000 | Mar 25 2021 | BOA | (7,216) | ||
CLP | 211,884,100 | USD | 300,000 | Mar 31 2021 | BOA | (7,124) | ||
CNH | 1,000,000 | USD | 154,336 | Mar 02 2021 | BOA | (186) | ||
CNH | 41,685,734 | USD | 6,400,000 | Mar 03 2021 | BOA | 25,441 | ||
CNH | 85,677,917 | USD | 13,080,439 | Mar 17 2021 | BOA | 111,249 | ||
COP | 5,229,779,625 | USD | 1,500,000 | Mar 17 2021 | BOA | (66,925) | ||
CZK | 33,789,848 | EUR | 1,300,000 | Mar 17 2021 | BOA | (11,404) | ||
EUR | 200,000 | GBP | 174,351 | Mar 01 2021 | BOA | (1,585) | ||
EUR | 99,566 | SEK | 1,000,000 | Mar 01 2021 | BOA | 1,706 | ||
EUR | 5,171,012 | USD | 6,289,140 | Mar 01 2021 | BOA | (49,673) | ||
EUR | 1,875,000 | AUD | 2,936,066 | Mar 02 2021 | BOA | 3,287 | ||
EUR | 100,000 | GBP | 86,900 | Mar 02 2021 | BOA | (407) | ||
EUR | 482,969 | NOK | 5,000,000 | Mar 02 2021 | BOA | 6,111 | ||
EUR | 6,375,000 | SEK | 64,917,189 | Mar 02 2021 | BOA | 4,023 | ||
EUR | 3,225,031 | USD | 3,919,213 | Mar 02 2021 | BOA | (27,732) | ||
EUR | 5,250,000 | CAD | 8,088,759 | Mar 03 2021 | BOA | (21,140) | ||
EUR | 7,125,000 | CHF | 7,857,992 | Mar 03 2021 | BOA | (41,978) | ||
EUR | 4,400,000 | GBP | 3,902,815 | Mar 03 2021 | BOA | (128,160) | ||
EUR | 600,000 | HUF | 215,219,980 | Mar 03 2021 | BOA | 7,753 | ||
EUR | 7,300,000 | JPY | 923,739,040 | Mar 03 2021 | BOA | 142,466 | ||
EUR | 700,000 | PLN | 3,165,860 | Mar 03 2021 | BOA | (158) | ||
EUR | 5,375,000 | USD | 6,503,626 | Mar 03 2021 | BOA | (17,754) | ||
EUR | 550,000 | CZK | 14,554,842 | Mar 17 2021 | BOA | (7,123) | ||
EUR | 4,700,000 | HUF | 1,704,391,543 | Mar 17 2021 | BOA | 2,402 | ||
EUR | 2,863,471 | NOK | 30,188,427 | Mar 17 2021 | BOA | (25,036) | ||
EUR | 5,821,428 | PLN | 26,265,492 | Mar 17 2021 | BOA | 17,227 | ||
EUR | 7,576,083 | SEK | 76,856,865 | Mar 17 2021 | BOA | 41,231 | ||
EUR | 3,709,037 | USD | 4,517,595 | Mar 17 2021 | BOA | (40,205) | ||
EUR | 29,046,000 | USD | 35,254,439 | Mar 19 2021 | BOA | (189,257) | ||
GBP | 1,359,576 | EUR | 1,578,423 | Mar 01 2021 | BOA | (10,374) | ||
GBP | 38,324,915 | USD | 54,170,525 | Mar 01 2021 | BOA | (775,464) | ||
GBP | 4,875,000 | AUD | 8,796,820 | Mar 02 2021 | BOA | 23,192 | ||
GBP | 38,638,037 | USD | 54,140,970 | Mar 02 2021 | BOA | (309,447) | ||
GBP | 2,125,000 | CHF | 2,668,142 | Mar 03 2021 | BOA | 27,108 | ||
GBP | 10,077,844 | EUR | 11,500,000 | Mar 03 2021 | BOA | 164,022 | ||
GBP | 5,750,000 | JPY | 830,528,238 | Mar 03 2021 | BOA | 219,306 | ||
GBP | 43,013,037 | USD | 59,774,796 | Mar 03 2021 | BOA | 152,330 | ||
GBP | 5,451,008 | USD | 7,409,534 | Mar 17 2021 | BOA | 185,817 | ||
GBP | 27,200,000 | USD | 37,099,562 | Mar 19 2021 | BOA | 801,142 | ||
HUF | 892,487,400 | USD | 3,000,000 | Mar 03 2021 | BOA | (29,803) | ||
HUF | 1,359,236,137 | EUR | 3,800,000 | Mar 17 2021 | BOA | (64,439) | ||
HUF | 1,520,597,607 | USD | 5,153,733 | Mar 17 2021 | BOA | (94,057) | ||
HUF | 980,000,000 | USD | 3,286,567 | Apr 16 2021 | BOA | (26,689) | ||
IDR | 9,856,657,000 | USD | 700,000 | Mar 31 2021 | BOA | (9,922) | ||
ILS | 6,789,201 | USD | 2,100,000 | Mar 03 2021 | BOA | (48,791) |
The accompanying notes are an integral part of the consolidated financial statements.
24
Abbey Capital Futures Strategy Fund
Consolidated Portfolio of Investments (Continued)
February 28, 2021 (Unaudited)
Currency Purchased | Currency Sold | Expiration | Counterparty | Unrealized | ||||
ILS | 8,099,590 | USD | 2,500,000 | Mar 17 2021 | BOA | $ (52,403) | ||
INR | 717,848,500 | USD | 9,811,961 | Mar 02 2021 | BOA | (48,257) | ||
INR | 58,588,000 | USD | 800,000 | Mar 04 2021 | BOA | (3,326) | ||
INR | 58,518,000 | USD | 800,000 | Mar 12 2021 | BOA | (5,282) | ||
INR | 1,000,574,925 | USD | 13,503,359 | Mar 17 2021 | BOA | 74,164 | ||
INR | 58,382,000 | USD | 800,000 | Mar 18 2021 | BOA | (7,901) | ||
INR | 58,112,960 | USD | 800,000 | Mar 25 2021 | BOA | (12,446) | ||
INR | 160,806,802 | USD | 2,200,000 | Mar 26 2021 | BOA | (21,078) | ||
JPY | 29,324,800 | CHF | 250,000 | Mar 01 2021 | BOA | 261 | ||
JPY | 224,620,770 | EUR | 1,744,206 | Mar 01 2021 | BOA | 2,690 | ||
JPY | 6,671,357,278 | USD | 62,812,893 | Mar 01 2021 | BOA | (225,233) | ||
JPY | 716,753,058 | AUD | 8,600,000 | Mar 02 2021 | BOA | 106,971 | ||
JPY | 16,799,422 | CAD | 200,000 | Mar 02 2021 | BOA | 446 | ||
JPY | 58,695,902 | CHF | 500,000 | Mar 02 2021 | BOA | 948 | ||
JPY | 314,332,210 | EUR | 2,427,641 | Mar 02 2021 | BOA | 19,638 | ||
JPY | 749,323,321 | NZD | 9,600,000 | Mar 02 2021 | BOA | 93,351 | ||
JPY | 6,416,232,100 | USD | 60,218,039 | Mar 02 2021 | BOA | (23,324) | ||
JPY | 50,899,740 | AUD | 600,000 | Mar 03 2021 | BOA | 15,850 | ||
JPY | 82,871,020 | CAD | 1,000,000 | Mar 03 2021 | BOA | (8,332) | ||
JPY | 58,623,300 | CHF | 500,000 | Mar 03 2021 | BOA | 258 | ||
JPY | 179,194,260 | EUR | 1,400,000 | Mar 03 2021 | BOA | (8,195) | ||
JPY | 199,736,001 | GBP | 1,375,000 | Mar 03 2021 | BOA | (41,828) | ||
JPY | 74,815,500 | NZD | 1,000,000 | Mar 03 2021 | BOA | (20,659) | ||
JPY | 550,000,000 | USD | 5,275,257 | Mar 03 2021 | BOA | (115,314) | ||
JPY | 574,715,649 | USD | 5,539,823 | Mar 17 2021 | BOA | (147,046) | ||
JPY | 5,345,042,000 | USD | 51,484,045 | Mar 19 2021 | BOA | (1,328,134) | ||
JPY | 4,400,500,000 | USD | 41,535,185 | Apr 16 2021 | BOA | (227,592) | ||
KRW | 10,053,378,271 | USD | 9,011,669 | Mar 02 2021 | BOA | (63,584) | ||
KRW | 17,678,052,011 | USD | 16,173,473 | Mar 17 2021 | BOA | (438,937) | ||
KRW | 9,989,280,000 | USD | 9,000,000 | Mar 24 2021 | BOA | (108,840) | ||
KRW | 1,548,684,403 | USD | 1,400,000 | Mar 31 2021 | BOA | (21,529) | ||
MXN | 55,000,000 | USD | 2,637,807 | Mar 01 2021 | BOA | (9,721) | ||
MXN | 87,500,000 | USD | 4,362,499 | Mar 03 2021 | BOA | (182,354) | ||
MXN | 99,952,014 | USD | 4,972,590 | Mar 17 2021 | BOA | (205,742) | ||
MXN | 131,456,000 | USD | 6,562,146 | Mar 19 2021 | BOA | (294,393) | ||
MXN | 154,560,000 | USD | 7,560,847 | Apr 16 2021 | BOA | (213,323) | ||
NOK | 5,000,000 | EUR | 483,072 | Mar 02 2021 | BOA | (6,236) | ||
NOK | 7,772,661 | EUR | 750,000 | Mar 03 2021 | BOA | (8,564) | ||
NOK | 29,861,677 | USD | 3,500,000 | Mar 03 2021 | BOA | (55,975) | ||
NOK | 85,716,599 | EUR | 8,272,103 | Mar 17 2021 | BOA | (99,851) | ||
NOK | 28,384,599 | USD | 3,284,393 | Mar 17 2021 | BOA | (10,737) | ||
NZD | 14,490,433 | AUD | 13,600,000 | Mar 01 2021 | BOA | 5,503 | ||
NZD | 86,882 | USD | 63,879 | Mar 01 2021 | BOA | (1,103) | ||
NZD | 24,323,649 | AUD | 22,800,000 | Mar 03 2021 | BOA | 31,504 | ||
NZD | 10,600,000 | JPY | 784,766,440 | Mar 03 2021 | BOA | 296,641 | ||
NZD | 8,700,000 | USD | 6,200,673 | Mar 03 2021 | BOA | 85,565 | ||
NZD | 8,994,770 | AUD | 8,405,000 | Mar 09 2021 | BOA | 31,756 | ||
NZD | 6,595,820 | USD | 4,696,327 | Mar 17 2021 | BOA | 69,515 | ||
NZD | 17,381,000 | USD | 12,401,333 | Mar 19 2021 | BOA | 157,383 | ||
PHP | 74,680,413 | USD | 1,550,000 | Mar 17 2021 | BOA | (11,620) | ||
PHP | 19,377,985 | USD | 400,000 | Mar 31 2021 | BOA | (954) |
The accompanying notes are an integral part of the consolidated financial statements.
25
Abbey Capital Futures Strategy Fund
Consolidated Portfolio of Investments (Continued)
February 28, 2021 (Unaudited)
Currency Purchased | Currency Sold | Expiration | Counterparty | Unrealized | ||||
PLN | 20,948,844 | USD | 5,600,000 | Mar 03 2021 | BOA | $ (9,670) | ||
PLN | 22,479,587 | EUR | 5,019,225 | Mar 17 2021 | BOA | (59,284) | ||
PLN | 9,015,118 | USD | 2,440,174 | Mar 17 2021 | BOA | (34,076) | ||
PLN | 122,080,000 | USD | 32,729,263 | Apr 16 2021 | BOA | (137,802) | ||
RUB | 185,400,907 | USD | 2,500,000 | Mar 17 2021 | BOA | (18,264) | ||
RUB | 7,388,613 | USD | 100,000 | Mar 31 2021 | BOA | (1,255) | ||
SEK | 1,000,000 | EUR | 99,546 | Mar 01 2021 | BOA | (1,682) | ||
SEK | 64,543,148 | EUR | 6,375,000 | Mar 03 2021 | BOA | (48,405) | ||
SEK | 38,687,431 | NOK | 39,500,000 | Mar 03 2021 | BOA | 26,293 | ||
SEK | 36,025,594 | USD | 4,300,000 | Mar 03 2021 | BOA | (33,323) | ||
SEK | 177,151,400 | EUR | 17,382,075 | Mar 17 2021 | BOA | 2,062 | ||
SEK | 43,691,799 | USD | 5,178,886 | Mar 17 2021 | BOA | (3,254) | ||
SEK | 118,710,000 | USD | 14,252,295 | Apr 16 2021 | BOA | (185,606) | ||
SGD | 19,950,525 | USD | 15,000,000 | Mar 03 2021 | BOA | (38,215) | ||
SGD | 7,969,074 | USD | 5,975,261 | Mar 17 2021 | BOA | 822 | ||
THB | 100,556,446 | USD | 3,350,000 | Mar 17 2021 | BOA | (13,287) | ||
TRY | 11,884,325 | USD | 1,601,909 | Mar 01 2021 | BOA | (3,760) | ||
TRY | 25,181,972 | USD | 3,500,000 | Mar 03 2021 | BOA | (116,543) | ||
TRY | 2,500,000 | USD | 333,839 | Mar 17 2021 | BOA | (84) | ||
TWD | 130,335,083 | USD | 4,709,025 | Mar 17 2021 | BOA | (29,000) | ||
TWD | 97,695,500 | USD | 3,500,000 | Mar 19 2021 | BOA | 8,077 | ||
TWD | 97,345,500 | USD | 3,500,000 | Mar 24 2021 | BOA | (4,335) | ||
TWD | 2,781,100 | USD | 100,000 | Mar 31 2021 | BOA | (126) | ||
TWD | 19,331,163 | USD | 700,000 | Apr 06 2021 | BOA | (5,758) | ||
USD | 2,021,671 | AUD | 2,568,179 | Mar 01 2021 | BOA | 45,569 | ||
USD | 1,978,011 | AUD | 2,568,179 | Mar 02 2021 | BOA | 1,905 | ||
USD | 4,568,005 | AUD | 5,800,000 | Mar 03 2021 | BOA | 105,135 | ||
USD | 4,156,334 | AUD | 5,409,031 | Mar 17 2021 | BOA | (5,983) | ||
USD | 16,893,348 | AUD | 21,955,000 | Mar 19 2021 | BOA | (1,473) | ||
USD | 746,671 | AUD | 946,000 | Apr 16 2021 | BOA | 18,642 | ||
USD | 2,184,987 | BRL | 11,911,172 | Mar 02 2021 | BOA | 59,977 | ||
USD | 1,550,000 | BRL | 8,160,991 | Mar 17 2021 | BOA | 94,883 | ||
USD | 1,100,000 | BRL | 6,007,008 | Apr 05 2021 | BOA | 29,668 | ||
USD | 9,075,546 | CAD | 11,545,910 | Mar 01 2021 | BOA | 2,776 | ||
USD | 2,115,483 | CAD | 2,700,000 | Mar 03 2021 | BOA | (6,187) | ||
USD | 4,477,144 | CAD | 5,724,036 | Mar 17 2021 | BOA | (20,990) | ||
USD | 7,471,160 | CAD | 9,487,000 | Mar 19 2021 | BOA | 15,929 | ||
USD | 18,484,616 | CHF | 16,743,365 | Mar 01 2021 | BOA | 76,890 | ||
USD | 18,413,466 | CHF | 16,743,365 | Mar 02 2021 | BOA | 5,292 | ||
USD | 1,413,755 | CHF | 1,250,000 | Mar 03 2021 | BOA | 39,433 | ||
USD | 8,178,462 | CHF | 7,250,000 | Mar 19 2021 | BOA | 203,056 | ||
USD | 77,201,983 | CHF | 69,258,000 | Apr 16 2021 | BOA | 955,483 | ||
USD | 300,000 | CLP | 219,909,000 | Mar 04 2021 | BOA | (3,833) | ||
USD | 300,000 | CLP | 215,460,000 | Mar 11 2021 | BOA | 2,277 | ||
USD | 100,000 | CLP | 72,009,144 | Mar 16 2021 | BOA | 489 | ||
USD | 3,582,904 | CLP | 2,618,196,966 | Mar 17 2021 | BOA | (35,294) | ||
USD | 400,000 | CLP | 282,422,000 | Mar 18 2021 | BOA | 9,702 | ||
USD | 200,000 | CLP | 142,031,714 | Mar 24 2021 | BOA | 3,697 | ||
USD | 154,329 | CNH | 1,000,000 | Mar 02 2021 | BOA | 179 | ||
USD | 3,895,682 | CNH | 25,392,166 | Mar 17 2021 | BOA | (13,908) |
The accompanying notes are an integral part of the consolidated financial statements.
26
Abbey Capital Futures Strategy Fund
Consolidated Portfolio of Investments (Continued)
February 28, 2021 (Unaudited)
Currency Purchased | Currency Sold | Expiration | Counterparty | Unrealized | ||||
USD | 650,000 | COP | 2,332,783,775 | Mar 17 2021 | BOA | $ 10,766 | ||
USD | 2,492,472 | EUR | 2,048,383 | Mar 01 2021 | BOA | 20,844 | ||
USD | 965,824 | EUR | 797,411 | Mar 02 2021 | BOA | 3,629 | ||
USD | 457,677 | EUR | 379,258 | Mar 03 2021 | BOA | 36 | ||
USD | 11,053,651 | EUR | 9,116,351 | Mar 17 2021 | BOA | 48,784 | ||
USD | 19,580,395 | EUR | 16,106,000 | Mar 19 2021 | BOA | 136,760 | ||
USD | 88,449,232 | EUR | 73,284,000 | Apr 16 2021 | BOA | (77,010) | ||
USD | 55,372,329 | GBP | 39,510,140 | Mar 01 2021 | BOA | 325,989 | ||
USD | 53,822,786 | GBP | 38,638,037 | Mar 02 2021 | BOA | (8,737) | ||
USD | 3,346,926 | GBP | 2,460,834 | Mar 17 2021 | BOA | (81,962) | ||
USD | 14,474,879 | GBP | 10,679,000 | �� | Mar 19 2021 | BOA | (405,328) | |
USD | 2,406,600 | GBP | 1,734,000 | Apr 16 2021 | BOA | (9,860) | ||
USD | 1,516,504 | HUF | 449,093,212 | Mar 17 2021 | BOA | 22,179 | ||
USD | 300,000 | IDR | 4,295,974,000 | Mar 31 2021 | BOA | (767) | ||
USD | 1,400,000 | ILS | 4,561,963 | Mar 17 2021 | BOA | 21,431 | ||
USD | 9,800,000 | INR | 717,848,500 | Mar 02 2021 | BOA | 36,295 | ||
USD | 800,000 | INR | 58,462,000 | Mar 04 2021 | BOA | 5,039 | ||
USD | 800,000 | INR | 58,346,000 | Mar 12 2021 | BOA | 7,618 | ||
USD | 2,922,152 | INR | 214,282,189 | Mar 17 2021 | BOA | 14,402 | ||
USD | 800,000 | INR | 58,068,960 | Mar 18 2021 | BOA | 12,148 | ||
USD | 6,600,000 | INR | 490,007,117 | Apr 05 2021 | BOA | (27,838) | ||
USD | 65,129,595 | JPY | 6,895,921,550 | Mar 01 2021 | BOA | 435,175 | ||
USD | 63,368,886 | JPY | 6,730,564,310 | Mar 02 2021 | BOA | 225,222 | ||
USD | 60,216,344 | JPY | 6,416,232,100 | Mar 03 2021 | BOA | 21,104 | ||
USD | 6,666,858 | JPY | 697,158,033 | Mar 17 2021 | BOA | 125,158 | ||
USD | 52,326,275 | JPY | 5,442,033,000 | Mar 19 2021 | BOA | 1,260,236 | ||
USD | 1,815,997 | JPY | 192,400,000 | Apr 16 2021 | BOA | 9,934 | ||
USD | 9,000,000 | KRW | 10,053,378,273 | Mar 02 2021 | BOA | 51,915 | ||
USD | 12,773,652 | KRW | 14,156,443,826 | Mar 17 2021 | BOA | 173,561 | ||
USD | 100,000 | KRW | 111,144,400 | Mar 31 2021 | BOA | 1,071 | ||
USD | 2,646,344 | MXN | 55,000,000 | Mar 01 2021 | BOA | 18,258 | ||
USD | 3,913,619 | MXN | 81,500,000 | Mar 03 2021 | BOA | 20,112 | ||
USD | 2,230,000 | MXN | 45,297,302 | Mar 17 2021 | BOA | 69,710 | ||
USD | 427,414 | MXN | 8,645,000 | Mar 19 2021 | BOA | 15,225 | ||
USD | 6,448,828 | MXN | 135,900,000 | Apr 16 2021 | BOA | (11,630) | ||
USD | 3,500,000 | NOK | 30,049,573 | Mar 02 2021 | BOA | 34,307 | ||
USD | 843,451 | NOK | 7,227,122 | Mar 17 2021 | BOA | 9,932 | ||
USD | 724,835 | NZD | 1,000,000 | Mar 02 2021 | BOA | 2,281 | ||
USD | 433,378 | NZD | 600,000 | Mar 03 2021 | BOA | (156) | ||
USD | 2,145,079 | NZD | 3,000,694 | Mar 17 2021 | BOA | (23,087) | ||
USD | 3,968,419 | NZD | 5,545,000 | Mar 19 2021 | BOA | (38,144) | ||
USD | 900,000 | PHP | 43,635,977 | Mar 17 2021 | BOA | 1,120 | ||
USD | 100,000 | PHP | 4,883,700 | Mar 31 2021 | BOA | (569) | ||
USD | 810,201 | PLN | 2,990,839 | Mar 17 2021 | BOA | 11,958 | ||
USD | 13,868,886 | PLN | 51,780,000 | Apr 16 2021 | BOA | 45,280 | ||
USD | 2,800,000 | RUB | 207,210,360 | Mar 03 2021 | BOA | 21,936 | ||
USD | 2,150,000 | RUB | 160,294,864 | Mar 17 2021 | BOA | 4,328 | ||
USD | 100,000 | RUB | 7,404,958 | Mar 31 2021 | BOA | 1,036 | ||
USD | 4,300,000 | SEK | 36,074,540 | Mar 02 2021 | BOA | 27,569 | ||
USD | 1,310,577 | SEK | 10,917,008 | Mar 17 2021 | BOA | 17,373 | ||
USD | 15,000,000 | SGD | 19,907,784 | Mar 02 2021 | BOA | 70,197 |
The accompanying notes are an integral part of the consolidated financial statements.
27
Abbey Capital Futures Strategy Fund
Consolidated Portfolio of Investments (Continued)
February 28, 2021 (Unaudited)
Currency Purchased | Currency Sold | Expiration | Counterparty | Unrealized | ||||
USD | 1,500,000 | SGD | 1,997,866 | Mar 17 2021 | BOA | $ 1,781 | ||
USD | 600,000 | THB | 18,097,597 | Mar 17 2021 | BOA | (523) | ||
USD | 1,600,000 | TRY | 11,884,325 | Mar 01 2021 | BOA | 1,851 | ||
USD | 3,500,000 | TRY | 26,288,412 | Mar 03 2021 | BOA | (32,117) | ||
USD | 181,887 | TRY | 1,500,000 | Mar 17 2021 | BOA | (18,366) | ||
USD | 850,000 | TWD | 23,566,620 | Mar 17 2021 | BOA | 3,778 | ||
USD | 3,500,000 | TWD | 97,450,500 | Mar 19 2021 | BOA | 720 | ||
USD | 100,000 | TWD | 2,785,900 | Mar 31 2021 | BOA | (47) | ||
USD | 2,688,995 | ZAR | 41,202,112 | Mar 17 2021 | BOA | (26,547) | ||
USD | 306,702 | ZAR | 4,580,000 | Apr 16 2021 | BOA | 5,983 | ||
ZAR | 50,047,610 | USD | 3,300,000 | Mar 03 2021 | BOA | 5,546 | ||
ZAR | 130,989,509 | USD | 8,615,793 | Mar 17 2021 | BOA | 17,441 | ||
ZAR | 84,840,000 | USD | 5,711,216 | Apr 16 2021 | BOA | (140,692) | ||
Total Forward Foreign Currency Contracts | $ (935,833) |
Put/Call | Counterparty | Number of | Notional | Value | ||||||||||||||||
PURCHASED OPTIONS — 0.1% | ||||||||||||||||||||
Euro Currency Futures, Expires 6/11/21, Strike Price $99.315 | Put | N/A | 170 | EUR 6,788,440 | $ | 69,062 | ||||||||||||||
Euro Currency Futures, Expires 6/11/21, Strike Price $99.5 | Put | N/A | 420 | EUR 16,771,440 | 275,625 | |||||||||||||||
IMM Eurodollar Futures, Expires 12/13/21, Strike Price $99.5 | Put | N/A | 1,876 | EUR 74,867,408 | 93,800 | |||||||||||||||
IMM Eurodollar Futures, Expires 3/14/22, Strike Price $99.375 | Put | N/A | 1,626 | EUR 64,906,668 | 91,463 | |||||||||||||||
10-Year U.S. Treasury Futures, Expires 3/26/21, Strike Price $133 | Put | N/A | 525 | USD 69,678,000 | 533,203 | |||||||||||||||
TOTAL PURCHASED OPTIONS (COST $752,625) | $ | 1,063,153 | ||||||||||||||||||
WRITTEN OPTIONS — (0.0%) | ||||||||||||||||||||
IMM Eurodollar Futures, Expires 12/13/21, Strike Price $99.25 | Put | N/A | (1,876 | ) | EUR 74,867,408 | $ | (58,625 | ) | ||||||||||||
IMM Eurodollar Futures, Expires 3/14/22, Strike Price $99 | Put | N/A | (1,626 | ) | EUR 64,906,668 | (60,975 | ) | |||||||||||||
10-Year U.S. Treasury Futures, Expires 3/26/21, Strike Price $132 | Put | N/A | (525 | ) | USD 69,678,000 | (328,125 | ) | |||||||||||||
TOTAL WRITTEN OPTIONS (PREMIUMS RECEIVED $353,691) | $ | (447,725 | ) |
The accompanying notes are an integral part of the consolidated financial statements.
28
Abbey Capital Futures Strategy Fund
Consolidated Portfolio of Investments (Concluded)
February 28, 2021 (Unaudited)
AUD | Australian Dollar | JSE | Johannesburg Stock Exchange | |
BOA | Bank of America | KRW | Korean Won | |
BRL | Brazilian Real | LME | London Mercantile Exchange | |
BUXL | German Bond | MIB | Milano Indice di Borsa | |
CAD | Canadian Dollar | MXN | Mexican Peso | |
CHF | Swiss Franc | NOK | Norwegian Krone | |
CLP | Chilean Peso | NZD | New Zealand Dollar | |
CNH | Chinese Yuan Renminbi | OMX | Stockholm Stock Exchange | |
COP | Colombian Peso | PHP | Philippine Peso | |
CZK | Czech Koruna | PLN | Polish Zloty | |
DAX | German Stock Exchange | RBOB | Reformulated Blendstock for Oxygenate Blending | |
DJIA | Dow Jones Industrial Average | RUB | Russian Ruble | |
EUR | Euro | SEK | Swedish Krona | |
FTSE | Financial Times Stock Exchange | SGD | Singapore Dollar | |
GBP | British Pound | THB | Thai Baht | |
HUF | Hungarian Forint | TRY | Turkish Lira | |
IBEX | Index of the Bolsa de Madrid | TSX | Toronto Stock Exchange | |
ICE | Intercontinental Exchange | TWD | Taiwan Dollar | |
ILS | Israeli New Shekel | USD | United States Dollar | |
INR | Indian Rupee | WTI | West Texas Intermediate | |
JPY | Japanese Yen | ZAR | South African Rand |
The accompanying notes are an integral part of the consolidated financial statements.
29
Abbey Capital Futures Strategy Fund
Consolidated Statement of Assets And Liabilities
February 28, 2021 (Unaudited)
ASSETS | ||||
Investments, at value (cost $887,650,077) | $ | 887,997,855 | ||
Deposits with broker for forward foreign currency contracts | 25,099,170 | |||
Deposits with broker for futures contracts | 94,541,618 | |||
Receivables for: | ||||
Capital shares sold | 5,471,584 | |||
Interest and dividends receivable | 416 | |||
Unrealized appreciation on forward foreign currency contracts | 8,904,826 | |||
Unrealized appreciation on futures contracts | 62,315,858 | |||
Prepaid expenses and other assets | 77,852 | |||
Total assets | 1,084,409,179 | |||
LIABILITIES | ||||
Options written, at value (premiums received $353,691) | 447,725 | |||
Due to broker | 8,068,239 | |||
Payables for: | ||||
Advisory fees | 1,276,884 | |||
Capital shares redeemed | 925,738 | |||
Administration and accounting services fees | 56,503 | |||
Unrealized depreciation on forward foreign currency contracts | 9,840,659 | |||
Unrealized depreciation on futures contracts | 39,805,493 | |||
Other accrued expenses and liabilities | 91,839 | |||
Total liabilities | 60,513,080 | |||
Net assets | $ | 1,023,896,099 | ||
NET ASSETS CONSIST OF: | ||||
Par value | $ | 85,445 | ||
Paid-in capital | 1,056,008,814 | |||
Total distributable earnings/(losses) | (32,198,160 | ) | ||
Net assets | $ | 1,023,896,099 | ||
CLASS A SHARES: | ||||
Net assets | $ | 15,479,795 | ||
Shares outstanding ($0.001 par value, 100,000,000 shares authorized) | 1,302,784 | |||
Net asset value and redemption price per share | $ | 11.88 | ||
Maximum offering price per share (100/94.25 of $12.45) | $ | 12.60 | ||
CLASS I SHARES: | ||||
Net assets | $ | 1,002,910,926 | ||
Shares outstanding ($0.001 par value, 300,000,000 shares authorized) | 83,666,369 | |||
Net asset value, offering and redemption price per share | $ | 11.99 | ||
CLASS C SHARES: | ||||
Net assets | $ | 5,505,378 | ||
Shares outstanding ($0.001 par value, 100,000,000 shares authorized) | 475,608 | |||
Net asset value, offering and redemption price per share | $ | 11.58 |
The accompanying notes are an integral part of the consolidated financial statements.
30
Abbey Capital Futures Strategy Fund
Consolidated Statement of Operations
For the Six Months Ended February 28, 2021 (Unaudited)
INVESTMENT INCOME | ||||
Interest | $ | 146,732 | ||
Total investment income | 146,732 | |||
EXPENSES | ||||
Advisory fees (Note 2) | 8,070,449 | |||
Administration and accounting services fees (Note 2) | 220,086 | |||
Directors fees | 67,826 | |||
Legal fees | 58,407 | |||
Transfer agent fees (Note 2) | 55,298 | |||
Officers fees | 45,049 | |||
Registration and filing fees | 38,438 | |||
Audit and tax service fees | 36,111 | |||
Printing and shareholder reporting fees | 34,025 | |||
Custodian fees (Note 2) | 28,688 | |||
Distribution fees (Class A Shares) (Note 2) | 17,947 | |||
Distribution fees (Class C Shares) (Note 2) | 19,245 | |||
Other expenses | 39,066 | |||
Total expenses before waivers and/or reimbursements | 8,730,635 | |||
Less: waivers and/or reimbursements (Note 2) | (529,385 | ) | ||
Net expenses after waivers and/or reimbursements | 8,201,250 | |||
Net investment income/(loss) | (8,054,518 | ) | ||
NET REALIZED AND UNREALIZED GAIN/(LOSS) FROM INVESTMENTS | ||||
Net realized gain/(loss) from: | ||||
Investments | (533,995 | ) | ||
Futures contracts | 53,372,497 | |||
Foreign currency transactions | (13,177,928 | ) | ||
Forward foreign currency contracts | 7,423,476 | |||
Written options | 292,181 | |||
Net change in unrealized appreciation/(depreciation) on: | ||||
Investments | 657,976 | |||
Futures contracts | 14,589,207 | |||
Foreign currency translations | 13,351,075 | |||
Forward foreign currency contracts | (4,307,870 | ) | ||
Written options | (265,852 | ) | ||
Net realized and unrealized gain/(loss) from investments | 71,400,767 | |||
NET INCREASE/(DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ | 63,346,249 |
The accompanying notes are an integral part of the consolidated financial statements.
31
Abbey Capital Futures Strategy Fund
Consolidated Statements of Changes in Net Assets
For the | For the | |||||||
INCREASE/(DECREASE) IN NET ASSETS FROM OPERATIONS: | ||||||||
Net investment income/(loss) | $ | (8,054,518 | ) | $ | (6,047,474 | ) | ||
Net realized gain/(loss) from investments, futures contracts, foreign currency transactions, forward foreign currency contracts and written options | 47,376,231 | 20,349,434 | ||||||
Net change in unrealized appreciation/(depreciation) on investments, futures contracts, foreign currency translations, forward foreign currency contracts and written options | 24,024,536 | (21,238,500 | ) | |||||
Net increase/(decrease) in net assets resulting from operations | 63,346,249 | (6,936,540 | ) | |||||
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS FROM: | ||||||||
Total distributable earnings | (13,983,998 | ) | (55,609,182 | ) | ||||
Net decrease in net assets from dividends and distributions to shareholders | (13,983,998 | ) | (55,609,182 | ) | ||||
CAPITAL SHARE TRANSACTIONS: | ||||||||
Class A Shares | ||||||||
Proceeds from shares sold | 3,886,320 | 11,637,864 | ||||||
Proceeds from reinvestment of distributions | 162,829 | 842,070 | ||||||
Shares redeemed | (3,804,228 | ) | (9,326,005 | ) | ||||
Total from Class A Shares | 244,921 | 3,153,929 | ||||||
Class I Shares | ||||||||
Proceeds from shares sold | 221,561,792 | 550,575,119 | ||||||
Proceeds from reinvestment of distributions | 7,562,347 | 27,643,486 | ||||||
Shares redeemed | (158,523,967 | ) | (340,759,738 | ) | ||||
Total from Class I Shares | 70,600,172 | 237,458,867 | ||||||
Class C Shares | ||||||||
Proceeds from shares sold | 1,037,696 | 1,689,269 | ||||||
Proceeds from reinvestment of distributions | 48,938 | 272,687 | ||||||
Shares redeemed | (1,014,163 | ) | (897,578 | ) | ||||
Total from Class C Shares | 72,471 | 1,064,378 | ||||||
Net increase/(decrease) in net assets from capital share transactions | 70,917,564 | 241,677,174 | ||||||
Total increase/(decrease) in net assets | 120,279,815 | 179,131,452 | ||||||
NET ASSETS: | ||||||||
Beginning of period | 903,616,284 | 724,484,832 | ||||||
End of period | $ | 1,023,896,099 | $ | 903,616,284 |
The accompanying notes are an integral part of the consolidated financial statements.
32
Abbey Capital Futures Strategy Fund
Consolidated Statements of Changes in Net Assets (Concluded)
For the | For the | |||||||
SHARE TRANSACTIONS: | ||||||||
Class A Shares | ||||||||
Shares sold | 341,424 | 1,030,370 | ||||||
Shares reinvested | 14,551 | 78,405 | ||||||
Shares redeemed | (336,391 | ) | (824,612 | ) | ||||
Total Class A Shares | 19,584 | 284,163 | ||||||
Class I Shares | ||||||||
Shares sold | 19,245,527 | 48,875,127 | ||||||
Shares reinvested | 669,827 | 2,554,851 | ||||||
Shares redeemed | (13,920,104 | ) | (30,121,088 | ) | ||||
Total Class I Shares | 5,995,250 | 21,308,890 | ||||||
Class C Shares | ||||||||
Shares sold | 94,419 | 154,982 | ||||||
Shares reinvested | 4,482 | 25,921 | ||||||
Shares redeemed | (92,321 | ) | (82,318 | ) | ||||
Total Class C Shares | 6,580 | 98,585 | ||||||
Net increase/(decrease) in shares outstanding | 6,021,414 | 21,691,638 |
The accompanying notes are an integral part of the consolidated financial statements.
33
Abbey Capital Futures Strategy Fund
Consolidated Financial Highlights
Contained below is per share operating performance data for Class A Shares outstanding, total investment return/(loss), ratios to average net assets and other supplemental data for the respective periods. This information has been derived from information provided in the consolidated financial statements. |
Class A Shares | ||||||||||||||||||||||||
For the | For the | For the | For the | For the | For the | |||||||||||||||||||
Per Share Operating Performance | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 11.28 | $ | 12.45 | $ | 11.28 | $ | 11.15 | $ | 11.77 | $ | 12.01 | ||||||||||||
Net investment income/(loss)(1) | (0.11 | ) | (0.11 | ) | (0.01 | ) | (0.07 | ) | (0.18 | ) | (0.24 | ) | ||||||||||||
Net realized and unrealized gain/(loss) from investments | 0.87 | (0.14 | ) | 1.18 | 0.20 | (0.44 | ) | 0.01 | ||||||||||||||||
Net increase/(decrease) in net assets resulting from operations | 0.76 | (0.25 | ) | 1.17 | 0.13 | (0.62 | ) | (0.23 | ) | |||||||||||||||
Dividends and distributions to shareholders from: | ||||||||||||||||||||||||
Net investment income | (0.16 | ) | (0.64 | ) | — | — | — | (0.01 | ) | |||||||||||||||
Net realized capital gains | — | (0.28 | ) | — | — | — | — | |||||||||||||||||
Total dividends and distributions to shareholders | (0.16 | ) | (0.92 | ) | — | — | — | (0.01 | ) | |||||||||||||||
Net asset value, end of period | $ | 11.88 | $ | 11.28 | $ | 12.45 | $ | 11.28 | $ | 11.15 | $ | 11.77 | ||||||||||||
Total investment return/(loss)(2) | 6.70 | %(4) | (1.64 | )% | 10.37 | % | 1.08 | % | (5.18 | )% | (1.94 | )% | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (000’s omitted) | $ | 15,480 | $ | 14,469 | $ | 12,434 | $ | 15,539 | $ | 15,401 | $ | 17,125 | ||||||||||||
Ratio of expenses to average net assets with waivers and/or reimbursements (including interest expense)(3) | 2.04 | %(5) | 2.04 | % | 2.04 | % | 2.04 | % | 2.14 | % | 2.26 | % | ||||||||||||
Ratio of expenses to average net assets with waivers and/or reimbursements (excluding interest expense)(3) | 2.04 | %(5) | 2.04 | % | 2.04 | % | 2.04 | % | 2.14 | % | 2.24 | % | ||||||||||||
Ratio of expenses to average net assets without waivers and/or reimbursements (including interest expense)(3) | 2.15 | %(5) | 2.15 | % | 2.14 | % | 2.13 | % | 2.28 | % | 2.42 | % | ||||||||||||
Ratio of net investment income/(loss) to average net assets | (2.00 | )%(5) | (0.98 | )% | (0.05 | )% | (0.65 | )% | (1.60 | )% | (2.01 | )% | ||||||||||||
Portfolio turnover rate(6) | 0 | %(4) | 0 | % | 0 | % | 0 | % | 0 | % | 0 | % |
(1) | Calculated based on average shares outstanding for the period. |
(2) | Total investment return/(loss) is calculated assuming a purchase of shares on the first day and a sale of shares on the last day of each year reported and includes reinvestments of dividends and distributions, if any. Total return does not reflect any applicable sales charge. |
(3) | Effective February 28, 2017, the Adviser has contractually agreed to waive its advisory fee and/or reimburse expenses in order to limit total annual Fund operating expenses (excluding acquired Fund fees and expenses, brokerage commissions, extraordinary items, interest or taxes) to 2.04% of the Fund’s average daily net assets attributable to Class A Shares. Prior to February 28, 2017, the contractual fee waiver limited total annual Fund operating expenses (excluding acquired fund fees and expenses, brokerage commissions, extraordinary items, interest or taxes) to 2.24% of the Fund’s average daily net assets attributable to Class A Shares. |
(4) | Not annualized. |
(5) | Annualized. |
(6) | Portfolio turnover rate is calculated for the Fund, as a whole, for the entire period. |
The accompanying notes are an integral part of the consolidated financial statements.
34
Abbey Capital Futures Strategy Fund
Consolidated Financial Highlights (Continued)
Contained below is per share operating performance data for Class I Shares outstanding, total investment return/(loss), ratios to average net assets and other supplemental data for the respective periods. This information has been derived from information provided in the consolidated financial statements. |
Class I Shares | ||||||||||||||||||||||||
For the | For the | For the | For the | For the | For the | |||||||||||||||||||
Per Share Operating Performance | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 11.38 | $ | 12.55 | $ | 11.36 | $ | 11.20 | $ | 11.80 | $ | 12.03 | ||||||||||||
Net investment income/(loss)(1) | (0.10 | ) | (0.09 | ) | 0.02 | (0.05 | ) | (0.15 | ) | (0.21 | ) | |||||||||||||
Net realized and unrealized gain/(loss) from investments | 0.89 | (0.14 | ) | 1.19 | 0.21 | (0.45 | ) | 0.01 | ||||||||||||||||
Net increase/(decrease) in net assets resulting from operations | 0.79 | (0.23 | ) | 1.21 | 0.16 | (0.60 | ) | (0.20 | ) | |||||||||||||||
Dividends and distributions to shareholders from: | ||||||||||||||||||||||||
Net investment income | (0.18 | ) | (0.66 | ) | (0.02 | ) | — | — | (0.03 | ) | ||||||||||||||
Net realized capital gains | — | (0.28 | ) | — | — | — | — | |||||||||||||||||
Total dividends and distributions to shareholders | (0.18 | ) | (0.94 | ) | (0.02 | ) | — | — | (0.03 | ) | ||||||||||||||
Net asset value, end of period | $ | 11.99 | $ | 11.38 | $ | 12.55 | $ | 11.36 | $ | 11.20 | $ | 11.80 | ||||||||||||
Total investment return/(loss)(2) | 6.94 | %(4) | (1.39 | )% | 10.63 | % | 1.34 | % | (5.00 | )% | (1.68 | )% | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (000’s omitted) | $ | 1,002,911 | $ | 883,997 | $ | 707,564 | $ | 913,437 | $ | 772,413 | $ | 739,842 | ||||||||||||
Ratio of expenses to average net assets with waivers and/or reimbursements (including interest expense)(3) | 1.79 | %(5) | 1.79 | % | 1.79 | % | 1.79 | % | 1.89 | % | 2.01 | % | ||||||||||||
Ratio of expenses to average net assets with waivers and/or reimbursements (excluding interest expense)(3) | 1.79 | %(5) | 1.79 | % | 1.79 | % | 1.79 | % | 1.89 | % | 1.99 | % | ||||||||||||
Ratio of expenses to average net assets without waivers and/or reimbursements (including interest expense)(3) | 1.90 | %(5) | 1.90 | % | 1.89 | % | 1.88 | % | 2.03 | % | 2.17 | % | ||||||||||||
Ratio of net investment income/(loss) to average net assets | (1.75 | )%(5) | (0.73 | )% | 0.20 | % | (0.40 | )% | (1.35 | )% | (1.76 | )% | ||||||||||||
Portfolio turnover rate(6) | 0 | %(4) | 0 | % | 0 | % | 0 | % | 0 | % | 0 | % |
(1) | Calculated based on average shares outstanding for the period. |
(2) | Total investment return/(loss) is calculated assuming a purchase of shares on the first day and a sale of shares on the last day of each period reported and includes reinvestments of dividends and distributions, if any. |
(3) | Effective February 28, 2017, the Adviser has contractually agreed to waive its advisory fee and/or reimburse expenses in order to limit total annual Fund operating expenses (excluding acquired Fund fees and expenses, brokerage commissions, extraordinary items, interest or taxes) to 1.79% of the Fund’s average daily net assets attributable to Class I Shares. Prior to February 28, 2017, the contractual fee waiver limited total annual Fund operating expenses (excluding acquired fund fees and expenses, brokerage commissions, extraordinary items, interest or taxes) to 1.99% of the Fund’s average daily net assets attributable to Class I Shares. |
(4) | Not annualized. |
(5) | Annualized. |
(6) | Portfolio turnover rate is calculated for the Fund, as a whole, for the entire period. |
The accompanying notes are an integral part of the consolidated financial statements.
35
Abbey Capital Futures Strategy Fund
Consolidated Financial Highlights (Concluded)
Contained below is per share operating performance data for Class C Shares outstanding, total investment return/(loss), ratios to average net assets and other supplemental data for the respective periods. This information has been derived from information provided in the consolidated financial statements. |
Class C Shares | ||||||||||||||||||||||||
For the | For the | For the | For the | For the | For the | |||||||||||||||||||
Per Share Operating Performance | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 10.98 | $ | 12.11 | $ | 11.06 | $ | 11.01 | $ | 11.71 | $ | 11.99 | ||||||||||||
Net investment income/(loss)(2) | (0.15 | ) | (0.19 | ) | (0.08 | ) | (0.16 | ) | (0.26 | ) | (0.30 | ) | ||||||||||||
Net realized and unrealized gain/(loss) from investments | 0.86 | (0.14 | ) | 1.13 | 0.21 | (0.44 | ) | 0.03 | ||||||||||||||||
Net increase/(decrease) in net assets resulting from operations | 0.71 | (0.33 | ) | 1.05 | 0.05 | (0.70 | ) | (0.27 | ) | |||||||||||||||
Dividends and distributions to shareholders from: | ||||||||||||||||||||||||
Net investment income | (0.11 | ) | (0.52 | ) | — | — | — | (0.01 | ) | |||||||||||||||
Net realized capital gains | — | (0.28 | ) | — | — | — | — | |||||||||||||||||
Total dividends and distributions to shareholders | (0.11 | ) | (0.80 | ) | — | — | — | (0.01 | ) | |||||||||||||||
Net asset value, end of period | $ | 11.58 | $ | 10.98 | $ | 12.11 | $ | 11.06 | $ | 11.01 | $ | 11.71 | ||||||||||||
Total investment return/(loss)(3) | 6.44 | %(4) | (2.40 | )% | 9.49 | % | 0.36 | % | (5.89 | )% | (2.22 | )%(4) | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (000’s omitted) | $ | 5,505 | $ | 5,151 | $ | 4,487 | $ | 8,481 | $ | 9,462 | $ | 8,380 | ||||||||||||
Ratio of expenses to average net assets with waivers and/or reimbursements (including interest expense)(6) | 2.79 | %(5) | 2.79 | % | 2.79 | % | 2.79 | % | 2.89 | % | 3.01 | %(5) | ||||||||||||
Ratio of expenses to average net assets with waivers and/or reimbursements (excluding interest expense)(6) | 2.79 | %(5) | 2.79 | % | 2.79 | % | 2.79 | % | 2.89 | % | 2.99 | %(5) | ||||||||||||
Ratio of expenses to average net assets without waivers and/or reimbursements (including interest expense)(6) | 2.90 | %(5) | 2.90 | % | 2.89 | % | 2.88 | % | 3.03 | % | 3.17 | %(5) | ||||||||||||
Ratio of net investment income/(loss) to average net assets | (2.75 | )%(5) | (1.73 | )% | (0.80 | )% | (1.40 | )% | (2.35 | )% | (2.76 | )%(5) | ||||||||||||
Portfolio turnover rate(7) | 0 | %(4) | 0 | % | 0 | % | 0 | % | 0 | % | 0 | %(4) |
(1) | Inception date of Class C Shares of the Fund was October 6, 2015. |
(2) | Calculated based on average shares outstanding for the period. |
(3) | Total investment return/(loss) is calculated assuming a purchase of shares on the first day and a sale of shares on the last day of the period reported and includes reinvestments of dividends and distributions, if any. |
(4) | Not annualized. |
(5) | Annualized. |
(6) | Effective February 28, 2017, the Adviser has contractually agreed to waive its advisory fee and/or reimburse expenses in order to limit total annual Fund operating expenses (excluding acquired Fund fees and expenses, brokerage commissions, extraordinary items, interest or taxes) to 2.79% of the Fund’s average daily net assets attributable to Class C Shares. Prior to February 28, 2017, the contractual fee waiver limited total annual Fund operating expenses (excluding acquired fund fees and expenses, brokerage commissions, extraordinary items, interest or taxes) to 2.99% of the Fund’s average daily net assets attributable to Class C Shares. |
(7) | Portfolio turnover rate is calculated for the Fund, as a whole, for the entire period. |
The accompanying notes are an integral part of the consolidated financial statements.
36
Abbey Capital Futures Strategy Fund
Notes To Consolidated Financial Statements
February 28, 2021 (Unaudited)
1. Organization and Significant Accounting Policies
The RBB Fund, Inc. (“RBB” or the “Company”) was incorporated under the laws of the State of Maryland on February 29, 1988 and is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. RBB is a “series fund,” which is a mutual fund divided into separate portfolios. Each portfolio is treated as a separate entity for certain matters under the 1940 Act, and for other purposes, and a shareholder of one portfolio is not deemed to be a shareholder of any other portfolio. Currently, RBB has thirty-six separate investment portfolios, including the Abbey Capital Futures Strategy Fund (the “Fund”), which commenced investment operations on July 1, 2014. The Fund is authorized to offer four classes of shares, Class A Shares, Class I Shares, Class C Shares and Class T Shares. Class A Shares are sold subject to a front-end maximum sales charge of 5.75%. Front-end sales charges may be reduced or waived under certain circumstances. Class T Shares are not currently available for sale.
RBB has authorized capital of one hundred billion shares of common stock of which 87.923 billion shares are currently classified into one hundred and ninety classes of common stock. Each class represents an interest in an active or inactive RBB investment portfolio.
The Fund seeks to achieve its investment objective by allocating its assets between a “Managed Futures” strategy and a “Fixed Income” strategy.
The Fund is an investment company and follows accounting and reporting guidance in the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946 “Financial Services – Investment Companies.”
The end of the reporting period for the Fund is February 28, 2021, and the period covered by these Notes to Consolidated Financial Statements is the six months ended February 28, 2021 (the “current fiscal period”).
CONSOLIDATION OF SUBSIDIARIES – The Managed Futures strategy is achieved by the Fund investing up to 25% of its total assets in Abbey Capital Master Offshore Fund Limited (the “Cayman Subsidiary”), a wholly-owned and controlled subsidiary of the Fund organized under the laws of the Cayman Islands. Effective on or about October 1, 2018, the Fund’s previous wholly-owned subsidiary, the Abbey Capital Offshore Fund Limited, became a wholly-owned subsidiary of the Cayman Subsidiary through a share exchange between the Fund and the Cayman Subsidiary and registered as a segregated portfolio company under the laws of the Cayman Islands under the name Abbey Capital Offshore Fund SPC (the “SPC”). The Cayman Subsidiary serves solely as an intermediate entity through which the Fund invests in the SPC and makes no independent investment decisions and has no investment or other discretion over the Fund’s investable assets.
The Fund may also invest a portion of its assets in segregated series of another wholly-owned subsidiary of the Fund, the Abbey Capital Onshore Series LLC (the “Onshore Subsidiary”), which was formed on August 16, 2018.
The consolidated financial statements of the Fund include the financial statements of the Cayman Subsidiary, the Onshore Subsidiary and SPC. The Fund consolidates the results of subsidiaries in which the Fund holds a controlling financial interest. All inter-company accounts and transactions have been eliminated. As of the end of the reporting period, the net assets of the Cayman Subsidiary and SPC were $225,569,327, which represented 22.03% of the Fund’s net assets. As of the end of the reporting period, the net assets of the Onshore Subsidiary were $218,389,023, which represented 21.33% of the Fund’s net assets.
Portfolio Valuation — The Fund’s net asset value (“NAV”) is calculated once daily at the close of regular trading hours on the New York Stock Exchange (“NYSE”) (generally 4:00 p.m. Eastern time) on each day the NYSE is open. Securities held by the Fund are valued using the closing price or the last sale price on a national securities exchange or the National Association of Securities Dealers Automatic Quotation System (“NASDAQ”) market system where they are primarily traded. Fixed income securities are valued using an independent pricing service, which considers such factors as security prices, yields, maturities and ratings, and are deemed representative of market values at the close of the market. Forward exchange contracts are valued by interpolating between spot and forward currency rates as quoted by an independent pricing service. Futures contracts are generally valued using the settlement price determined by the relevant exchange. Options for which the primary market is a national securities exchange are valued at the last sale price on the
37
Abbey Capital Futures Strategy Fund
Notes To Consolidated Financial Statements (Continued)
February 28, 2021 (Unaudited)
exchange on which they are traded, or, in the absence of any sale, will be valued at the mean of the last bid and ask prices prior to the market close. Options not traded on a national securities exchange are valued at the last quoted bid price for long option positions and the closing ask price for short option positions. If market quotations are unavailable or deemed unreliable, securities will be valued in accordance with procedures adopted by the Company’s Board of Directors (the “Board”). Relying on prices supplied by pricing services or dealers or using fair valuation may result in values that are higher or lower than the values used by other investment companies and investors to price the same investments.
Fair Value Measurements — The inputs and valuation techniques used to measure the fair value of the Fund’s investments are summarized into three levels as described in the hierarchy below:
● Level 1 – | Prices are determined using quoted prices in active markets for identical securities. |
● Level 2 – | Prices are determined using other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.). |
● Level 3 – | Prices are determined using significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments). |
The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The following is a summary of the inputs used, as of the end of the reporting period, in valuing the Fund’s investments carried at fair value:
TOTAL | LEVEL 1 | LEVEL 2 | LEVEL 3 | |||||||||||||
Short-Term Investments | $ | 886,934,702 | $ | 886,934,702 | $ | — | $ | — | ||||||||
Commodity Contracts | ||||||||||||||||
Futures Contracts | 47,022,583 | 47,022,583 | — | — | ||||||||||||
Equity Contracts | ||||||||||||||||
Futures Contracts | 3,374,249 | 3,374,249 | — | — | ||||||||||||
Foreign Currency Contracts | ||||||||||||||||
Forward Foreign Currency Contracts | 8,904,826 | — | 8,904,826 | — | ||||||||||||
Futures Contracts | 1,731,400 | 1,731,400 | — | — | ||||||||||||
Interest Rate Contracts | ||||||||||||||||
Futures Contracts | 10,187,626 | 10,187,626 | — | — | ||||||||||||
Purchased Options | 1,063,153 | 1,063,153 | — | — | ||||||||||||
Total Assets | $ | 959,218,539 | $ | 950,313,713 | $ | 8,904,826 | $ | — |
38
Abbey Capital Futures Strategy Fund
Notes To Consolidated Financial Statements (Continued)
February 28, 2021 (Unaudited)
TOTAL | LEVEL 1 | LEVEL 2 | LEVEL 3 | |||||||||||||
Commodity Contracts | ||||||||||||||||
Futures Contracts | $ | (27,954,768 | ) | $ | (27,954,768 | ) | $ | — | $ | — | ||||||
Equity Contracts | ||||||||||||||||
Futures Contracts | (3,879,039 | ) | (3,879,039 | ) | — | — | ||||||||||
Foreign Currency Contracts | ||||||||||||||||
Forward Foreign Currency Contracts | (9,840,659 | ) | — | (9,840,659 | ) | — | ||||||||||
Futures Contracts | (2,388,311 | ) | (2,388,311 | ) | — | — | ||||||||||
Interest Rate Contracts | ||||||||||||||||
Futures Contracts | (5,583,375 | ) | (5,583,375 | ) | — | — | ||||||||||
Written Options | (447,725 | ) | (447,725 | ) | — | — | ||||||||||
Total Liabilities | $ | (50,093,877 | ) | $ | (40,253,218 | ) | $ | (9,840,659 | ) | $ | — |
At the end of each quarter, management evaluates the classification of Levels 1, 2 and 3 assets and liabilities. Various factors are considered, such as changes in liquidity from the prior reporting period; whether or not a broker is willing to execute at the quoted price; the depth and consistency of prices from third party pricing services; and the existence of contemporaneous, observable trades in the market. Additionally, management evaluates the classification of Levels 1, 2 and 3 assets and liabilities on a quarterly basis for changes in listings or delistings on national exchanges.
Due to the inherent uncertainty of determining the fair value of investments that do not have a readily available market value, the fair value of the Fund’s investments may fluctuate from period to period. Additionally, the fair value of investments may differ significantly from the values that would have been used had a ready market existed for such investments and may differ materially from the values the Fund may ultimately realize. Further, such investments may be subject to legal and other restrictions on resale or otherwise less liquid than publicly traded securities.
For fair valuations using significant unobservable inputs, U.S. generally accepted accounting principles (“U.S. GAAP”) requires the Fund to present a reconciliation of the beginning to ending balances for reported market values that presents changes attributable to total realized and unrealized gains or losses, purchase and sales, and transfers in and out of Level 3 during the period. Transfers in and out between levels are based on values at the end of the period. A reconciliation of Level 3 investments is presented only when the Fund had an amount of Level 3 investments at the end of the reporting period that was meaningful in relation to its net assets. The amounts and reasons for all Level 3 transfers are disclosed if the Fund had an amount of total Level 3 transfers during the reporting period that was meaningful in relation to its net assets as of the end of the reporting period.
During the current fiscal period, the Fund had no Level 3 transfers.
Disclosures about Derivative instruments and Hedging Activities — Derivative instruments are defined as financial instruments whose value and performance are based on the value and performance of another security or financial instrument. Derivative instruments that the Fund used during the period include options, forward foreign currency contracts and futures contracts.
During the current fiscal period, the Fund used long and short contracts on U.S. and foreign equity market indices, U.S. and foreign government bonds, foreign currencies, interest rates and commodities (through investment in the Abbey Capital Master Offshore Fund Limited and the SPC), to gain investment exposure in accordance with its investment objective.
The following tables provide quantitative disclosures about fair value amounts of, and gains and losses on, the Fund’s derivative instruments as of and for the current fiscal period.
39
Abbey Capital Futures Strategy Fund
Notes To Consolidated Financial Statements (Continued)
February 28, 2021 (Unaudited)
The following tables list the fair values and location on the Consolidated Statement of Assets and Liabilities of the Fund’s derivative holdings as of the end of the reporting period, grouped by derivative type and primary risk exposure category by contract type.
Derivative Type | Consolidated | Equity | Interest | Foreign | Commodity | Total | ||||||||||||||||||
Asset Derivatives | ||||||||||||||||||||||||
Purchased Options | Investments, at value | $ | — | $ | 1,063,153 | $ | — | $ | — | $ | 1,063,153 | |||||||||||||
Forward Contracts (a) | Unrealized appreciation on forward foreign currency contracts | — | — | 8,904,826 | — | 8,904,826 | ||||||||||||||||||
Futures Contracts (a) | Unrealized appreciation on futures contracts | 3,374,249 | 10,187,626 | 1,731,400 | 47,022,583 | 62,315,858 | ||||||||||||||||||
Total Value- Assets | $ | 3,374,249 | $ | 11,250,779 | $ | 10,636,226 | $ | 47,022,583 | $ | 72,283,837 | ||||||||||||||
Liability Derivatives | ||||||||||||||||||||||||
Written Options | Options written, at value | $ | — | $ | (447,725 | ) | $ | — | $ | — | $ | (447,725 | ) | |||||||||||
Forward Contracts (a) | Unrealized depreciation on forward foreign currency contracts | — | — | (9,840,659 | ) | — | (9,840,659 | ) | ||||||||||||||||
Futures Contracts (a) | Unrealized depreciation on futures contracts | (3,879,039 | ) | (5,583,375 | ) | (2,388,311 | ) | (27,954,768 | ) | (39,805,493 | ) | |||||||||||||
Total Value- Liabilities | $ | (3,879,039 | ) | $ | (6,031,100 | ) | $ | (12,228,970 | ) | $ | (27,954,768 | ) | $ | (50,093,877 | ) |
(a) | This amount represents the cumulative appreciation/(depreciation) of forwards and futures contracts as reported on the Consolidated Portfolio of Investments. |
The following table lists the amounts of realized gains/(losses) included in net increase/(decrease) in net assets resulting from operations during the current fiscal period, grouped by derivative type and primary risk exposure category by contract type.
Derivative Type | Consolidated | Equity | Interest | Foreign | Commodity | Total | ||||||||||||||||||
Realized Gain/(Loss) | ||||||||||||||||||||||||
Purchased Options | Net realized gain/(loss) from investments | $ | — | $ | (334,322 | ) | $ | (269,176 | ) | $ | 260,663 | $ | (342,835 | ) | ||||||||||
Futures Contracts | Net realized gain/(loss) from futures contracts | 20,096,450 | (6,165,358 | ) | (225,697 | ) | 39,667,102 | 53,372,497 | ||||||||||||||||
Forward Contracts | Net realized gain/(loss) from forward foreign currency contracts | — | — | 7,423,476 | — | 7,423,476 | ||||||||||||||||||
Written Options | Net realized gain/(loss) from written options | — | 90,470 | 203,024 | (1,313 | ) | 292,181 | |||||||||||||||||
Total Realized Gain/(Loss) | $ | 20,096,450 | $ | (6,409,210 | ) | $ | 7,131,627 | $ | 39,926,452 | $ | 60,745,319 |
40
Abbey Capital Futures Strategy Fund
Notes To Consolidated Financial Statements (Continued)
February 28, 2021 (Unaudited)
The following table lists the amounts of change in unrealized appreciation/(depreciation) included in net increase/(decrease) in net assets resulting from operations during the current fiscal period, grouped by derivative type and primary risk exposure category by contract type.
Derivative Type | Consolidated | Equity | Interest | Foreign | Commodity | Total | ||||||||||||||||||
Change in Unrealized Appreciation/(Depreciation) | ||||||||||||||||||||||||
Purchased Options | Net change in unrealized appreciation/(depreciation) on investments | $ | — | $ | 629,753 | $ | — | $ | — | $ | 629,753 | |||||||||||||
Futures Contracts | Net change in unrealized appreciation/(depreciation) on futures contracts | (6,318,849 | ) | 4,479,831 | (1,548,386 | ) | 17,976,611 | 14,589,207 | ||||||||||||||||
Forward Contracts | Net change in unrealized appreciation/(depreciation) on forward foreign currency contracts | — | — | (4,307,870 | ) | — | (4,307,870 | ) | ||||||||||||||||
Written Options | Net change in unrealized appreciation/(depreciation) on written options | — | (265,852 | ) | — | — | (265,852 | ) | ||||||||||||||||
Total Change in Unrealized Appreciation/(Depreciation) | $ | (6,318,849 | ) | $ | 4,843,732 | $ | (5,856,256 | ) | $ | 17,976,611 | $ | 10,645,238 |
During the current fiscal period, the Fund’s quarterly average volume of derivatives was as follows:
Purchased | Written | Long Futures | Short Futures | Forward Foreign | Forward Foreign |
$748,031 | $(364,555) | $4,435,863,211 | $(1,614,958,450) | $(1,992,073,548) | $1,993,423,310 |
For financial reporting purposes, the Fund does not offset fair value amounts recognized for derivative instruments and fair value amounts recognized for the right to reclaim cash collateral (receivables) or the obligation to return cash collateral (payables) arising from derivative instruments recognized at fair value executed with the same counterparty under a master netting arrangement.
41
Abbey Capital Futures Strategy Fund
Notes To Consolidated Financial Statements (Continued)
February 28, 2021 (Unaudited)
The following is a summary of financial and derivative instruments that are subject to enforceable master netting agreements (or similar arrangements) and collateral received and pledged in connection with the master netting agreements (or similar arrangements).
Gross Amount Not | Gross Amount Not | |||||||||||||||||||||||||||||||||||
Description | Gross Amount | Financial | Collateral | Net | Gross Amount | Financial | Collateral | Net | ||||||||||||||||||||||||||||
Assets | Liabilities | |||||||||||||||||||||||||||||||||||
Forward Foreign Currency Contracts | $ | 8,904,826 | $ | (8,904,826 | ) | $ | — | $ | — | $ | 9,840,659 | $ | (8,904,826 | ) | $ | (935,833 | ) | $ | — |
(1) | Net amount represents the net amount receivable from the counterparty in the event of default. |
(2) | Actual collateral pledged may be more than the amount shown. |
(3) | Net amount represents the net amount payable to the counterparty in the event of default. |
Use of Estimates — The preparation of consolidated financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the consolidated financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates and those differences could be significant.
Investment Transactions, Investment Income and Expenses — The Fund records security transactions based on trade date for financial reporting purposes. The cost of investments sold is determined by use of the specific identification method for both financial reporting and income tax purposes in determining realized gains and losses on investments. Interest income (including amortization of premiums and accretion of discounts) is accrued when earned. Dividend income is recorded on the ex-dividend date. Distributions received on securities that represent a return of capital or capital gain are recorded as a reduction of cost of investments and/or as a realized gain. The Fund’s investment income, expenses (other than class specific expenses) and unrealized and realized gains and losses are allocated daily to each class of shares based upon the relative proportion of net assets of each class at the beginning of the day. Expenses incurred on behalf of a specific class, fund or fund family of the Company are charged directly to the class, fund or fund family (in proportion to net assets). Expenses incurred for all of the RBB funds (such as director or professional fees) are charged to all funds in proportion to their average net assets of RBB, or in such other manner as the Board deems fair or equitable. Expenses and fees, including investment advisory and administration fees, are accrued daily and taken into account for the purpose of determining the NAV of the Fund.
Dividends and Distributions to Shareholders — Dividends from net investment income and distributions from net realized capital gains, if any, are declared and paid at least annually to shareholders and recorded on the ex-dividend date. Income dividends and capital gain distributions are determined in accordance with U.S. federal income tax regulations, which may differ from U.S. GAAP.
U.S. Tax Status — No provision is made for U.S. income taxes as it is the Fund’s intention to continue to qualify for and elect the tax treatment applicable to regulated investment companies under Subchapter M of the Internal Revenue Code of 1986, as amended, and make the requisite distributions to its shareholders which will be sufficient to relieve it from U.S. income and excise taxes.
42
Abbey Capital Futures Strategy Fund
Notes To Consolidated Financial Statements (Continued)
February 28, 2021 (Unaudited)
The Cayman Subsidiary is registered as an “exempted company” and the SPC as an “exempted segregated portfolio company” pursuant to the Companies Law (Revised) of the Cayman Islands (as amended). Each of the Cayman Subsidiary and the SPC has received an undertaking from the Governor in Cabinet of the Cayman Islands to the effect that, for a period of twenty years from the date of the undertaking, no law that thereafter is enacted in the Cayman Islands imposing any tax or duty to be levied on profits, income or on gains or appreciation, or any tax in the nature of estate duty or inheritance tax, will apply to any property comprised in or any income arising under the Cayman Subsidiary or the SPC, or to the shareholders thereof, in respect of any such property or income. For U.S. federal income tax purposes, the Cayman Subsidiary is treated as a “controlled foreign corporation.” The SPCs are treated as an entity disregarded from its owner, the Cayman Subsidiary, for U.S. income tax purposes. The Onshore Subsidiary is treated as an entity disregarded from its owner, the Fund, for U.S. income tax purposes.
Foreign Currency Translation — Assets and liabilities initially expressed in non-U.S. currencies are translated into U.S. dollars based on the applicable exchange rates at the date of the last business day of the financial statement period. Purchases and sales of securities, interest income, dividends, variation margin received and expenses denominated in foreign currencies are translated into U.S. dollars at the exchange rates in effect on the transaction date.
The Fund does not separately report the effect of changes in foreign exchange rates from changes in market prices of securities held. Such changes are included with the net realized gain or loss and change in unrealized appreciation or depreciation on investments in the Consolidated Statement of Operations. Other foreign currency transactions resulting in realized and unrealized gain or loss are reported separately as net realized gain or loss and change in unrealized appreciation or depreciation on foreign currencies in the Consolidated Statement of Operations.
Currency Risk —Investment in foreign securities involves currency risk associated with securities that trade or are denominated in currencies other than the U.S. dollar and which may be affected by fluctuations in currency exchange rates. An increase in the strength of the U.S. dollar relative to a foreign currency may cause the U.S. dollar value of an investment in that country to decline. Foreign currencies also are subject to risks caused by inflation, interest rates, budget deficits and low savings rates, political factors and government controls. Forward foreign currency exchange contracts may limit potential gains from a favorable change in value between the U.S. dollar and foreign currencies. Unanticipated changes in currency pricing may result in poorer overall performance for the Fund than if it had not engaged in these contracts.
Commodity Sector Risk — Exposure to the commodities markets may subject the Fund to greater volatility than investments in traditional securities. The value of commodity-linked derivative instruments may be affected by changes in overall market movements, commodity index volatility, changes in interest rates or factors affecting a particular industry or commodity, such as drought, floods, weather, livestock disease, embargoes, tariffs and international economic, political and regulatory developments. The prices of energy, industrial metals, precious metals, agriculture and livestock sector commodities may fluctuate widely due to factors such as changes in value, supply and demand and governmental regulatory policies. The commodity-linked securities in which the Fund invests may be issued by companies in the financial services sector, and events affecting the financial services sector may cause the Fund’s share value to fluctuate.
Foreign Securities Market Risk — A substantial portion of the trades of the Fund are expected to take place on markets or exchanges outside the United States. There is no limit to the amount of assets of the Fund that may be committed to trading on foreign markets. The risk of loss in trading foreign futures and options on futures contracts can be substantial. Participation in foreign futures and options on futures contracts involves the execution and clearing of trades on, or subject to the rules of, a foreign board of trade or exchange. Some of these foreign markets, in contrast to U.S. exchanges, are so-called principals’ markets in which performance is the responsibility only of the individual counterparty with whom the trader has entered into a commodity interest transaction and not of the exchange or clearing corporation. In these kinds of markets, there is risk of bankruptcy or other failure or refusal to perform by the counterparty.
43
Abbey Capital Futures Strategy Fund
Notes To Consolidated Financial Statements (Continued)
February 28, 2021 (Unaudited)
Counterparty Risk — The derivative contracts entered into by the Fund, the SPC or Onshore Subsidiary may be privately negotiated in the over-the-counter market. These contracts also involve exposure to credit risk, since contract performance depends in part on the financial condition of the counterparty. Relying on a counterparty exposes the Fund to the risk that a counterparty will not settle a transaction in accordance with its terms and conditions because of a dispute over the terms of the contract (whether or not bona fide) or because of a credit or liquidity problem, thus causing the Fund to suffer a loss. If a counterparty defaults on its payment obligations to the Fund, this default will cause the value of an investment in the Fund to decrease.
Credit Risk — Credit risk refers to the possibility that the issuer of the security or a counterparty in respect of a derivative instrument will not be able to satisfy its payment obligations to the Fund when due. Changes in an issuer’s credit rating or the market’s perception of an issuer’s creditworthiness may also affect the value of the Fund’s investment in that issuer. Securities rated in the four highest categories by the rating agencies are considered investment grade but they may also have some speculative characteristics. Investment grade ratings do not guarantee that bonds will not lose value or default. In addition, the credit quality of securities may be lowered if an issuer’s financial condition changes.
Coronavirus (Covid-19) Pandemic — The global outbreak of COVID-19 (commonly referred to as “coronavirus”) has disrupted economic markets and the prolonged economic impact is uncertain. The ultimate economic fallout from the pandemic, and the long-term impact on economies, markets, industries and individual companies are not known. The operational and financial performance of individual companies and the market in general depends on future developments, including the duration and spread of the outbreak, and such uncertainty may in turn adversely affect the value and liquidity of the Fund’s investments, impair the Fund’s ability to satisfy redemption requests, and negatively impact the Fund’s performance.
Options — An option on a futures contract gives the purchaser the right, in exchange for a premium, to assume a position in a futures contract at a specified exercise price during the term of the option. The Fund may use futures contracts and related options for: bona fide hedging; attempting to offset changes in the value of securities held or expected to be acquired or be disposed of; attempting to minimize fluctuations in foreign currencies; attempting to gain exposure to a particular market, index or instrument; or other risk management purposes. The risk associated with purchasing an option is that the Fund pays a premium whether or not the option is exercised. Additionally, the Fund bears the risk of loss of premium and change in market value should the counterparty not perform under the contract. Put and call options are accounted for in the same manner as other securities owned. The cost of securities acquired through the exercise of call options is increased by the premiums paid. The proceeds from securities sold through the exercise of put options are decreased by the premiums paid.
Options Written — The Fund may enter into options written for: bona fide hedging; attempting to offset changes in the value of securities held or expected to be acquired or be disposed of; attempting to minimize fluctuations in foreign currencies; attempting to gain exposure to a particular market, index or instrument; or other risk management purposes. Such options may relate to particular securities or domestic stock indices, and may or may not be listed on exchanges regulated by the Commodity Futures Trading Commission or on other non-U.S. exchanges. An option on a futures contract gives the purchaser the right, in return for the premium paid, to assume a position in the contract (a long position if the option is a call and a short position if the option is a put) at a specified exercise price at any time during the option exercise period. The writer of the option is required upon exercise to assume a short futures position (if the option is a call) or a long futures position (if the option is a put). Upon exercise of the option, the accumulated cash balance in the writer’s futures margin account is delivered to the holder of the option. That balance represents the amount by which the market price of the futures contract at exercise exceeds, in the case of a call, or is less than, in the case of a put, the exercise price of the option. The maximum risk of loss associated with writing put options is limited to the exercised fair value of the option contract. The maximum risk of loss associated with writing call options is potentially unlimited. The Fund also has the additional risk of being unable to enter into a closing transaction at an acceptable price if a liquid secondary market does not exist. The Fund also may write over-the-counter options where completing the obligation depends upon the credit standing of the other party. Option contracts also involve the risk that they may result in loss due to unanticipated developments in market conditions or other causes. Written options are initially recorded as liabilities to the extent of premiums received and subsequently marked to market to reflect the current value of the option written. Gains or losses are realized when the option transaction expires or closes.
44
Abbey Capital Futures Strategy Fund
Notes To Consolidated Financial Statements (Continued)
February 28, 2021 (Unaudited)
When an option is exercised, the proceeds on sales for a written call option or the purchase cost for a written put option is adjusted by the amount of the premium received. Listed option contracts present minimal counterparty credit risk since they are exchange traded and the exchange’s clearinghouse, as counterparty to all exchange-traded options, guarantees the options against default. As of the end of the reporting period, all of the Fund’s written options are exchange-traded options.
Futures Contracts — The Fund uses futures contracts in the normal course of pursuing its investment objective. Upon entering into a futures contract, the Fund must deposit initial margin in addition to segregating cash or liquid assets sufficient to meet its obligation to purchase or provide securities, or to pay the amount owed at the expiration of an index-based futures contract. Such liquid assets may consist of cash, cash equivalents, liquid debt or equity securities or other acceptable assets. Pursuant to the futures contract, the Fund agrees to receive from, or pay to the broker, an amount of cash equal to the daily fluctuation in value of the contract. Such a receipt of payment is known as “variation margin” and is recorded by the Fund as an unrealized gain or loss. When the contract is closed, the Fund records a realized gain or loss equal to the difference between the proceeds from (or cost of) the closing transactions and the Fund’s basis in the contract. Futures contracts have market risks, including the risk that the change in the value of the contract may not correlate with changes in the value of the underlying securities. Use of long futures contracts subjects the Fund to risk of loss in excess of the amount shown on the Consolidated Statement of Assets and Liabilities, up to the notional value of the futures contract. Use of short futures contracts subjects the Fund to unlimited risk of loss.
Forward Foreign Currency Contracts — In the normal course of pursuing its investment objectives, the Fund is subject to foreign investment and currency risk. The Fund uses forward foreign currency contracts (“forward contracts”) for purposes of hedging, duration management, as a substitute for securities, to increase returns, for currency hedging or risk management, or to otherwise help achieve the Fund’s investment objective. These contracts are marked-to-market daily at the applicable translation rates. The Fund records realized gains or losses at the time the forward contract is closed. A forward contract is extinguished through a closing transaction or upon delivery of the currency or entering an offsetting contract. Risks may arise upon entering these contracts from the potential inability of a counterparty to meet the terms of their contracts and from unanticipated movements in the value of a foreign currency relative to the U.S. dollar or other currencies. The Fund’s maximum risk of loss from counterparty credit risk related to forward foreign currency contracts is the fair value of the contract. The risk may be mitigated to some extent if a master netting arrangement between the Fund and the counterparty is in place and to the extent the Fund obtains collateral to cover the Fund’s exposure to the counterparty.
Cash and Cash Equivalents — Cash and cash equivalents are valued at cost plus accrued interest, which approximates market value.
Other — In the normal course of business, the Fund may enter into contracts that provide general indemnifications. The Fund’s maximum exposure under these arrangements is dependent on claims that may be made against the Fund in the future, and, therefore, cannot be estimated; however, the Fund expects the risk of material loss from such claims to be remote.
2. Investment Adviser and Other Services
Abbey Capital Limited (“Abbey Capital” or the “Adviser”) serves as the investment adviser to the Fund and the Cayman Subsidiary, Onshore Subsidiary and SPC. The Adviser allocates the assets of the Onshore Subsidiary and SPC (via the Cayman Subsidiary) to one or more Trading Advisers unaffiliated with the Adviser to manage. The Adviser also has the ultimate responsibility to oversee the Trading Advisers, and to recommend their hiring, termination and replacement, subject to approval by the Board. The Fund compensates the Adviser for its services at an annual rate based on the Fund’s average daily net assets (the “Advisory Fee”), payable on a monthly basis in arrears, as shown in the following table. The Adviser compensates the Trading Advisers out of the Advisory Fee.
The Adviser has contractually agreed to waive its advisory fee and/or reimburse expenses in order to limit total annual Fund operating expenses (excluding certain items discussed below) to the rates (“Expense Caps”) shown in the following table of the Fund’s average daily net assets. In determining the Adviser’s obligation to waive advisory fees
45
Abbey Capital Futures Strategy Fund
Notes To Consolidated Financial Statements (Continued)
February 28, 2021 (Unaudited)
and/or reimburse expenses, the following expenses are not taken into account and could cause net total annual Fund operating expenses to exceed the Expense Caps as applicable: acquired fund fees and expenses, brokerage commissions, extraordinary expenses, interest and taxes. This contractual limitation is in effect until December 31, 2021 and may not be terminated without the approval of the Board. The Adviser may discontinue these arrangements at any time after December 31, 2021.
Advisory | Expense Caps | |||
Class A | Class I | Class C | Class T | |
1.77% | 2.04% | 1.79% | 2.79% | 2.04% |
During the current fiscal period, investment advisory fees accrued, waived and/or reimbursed were as follows:
Gross | Waivers and/or | Net |
$8,070,449 | $(529,385) | $7,541,064 |
If at any time the Fund’s total annual fund operating expenses (not including acquired fund fees and expenses, brokerage commissions, extraordinary items, interest or taxes) for a year are less than the relevant share class’s Expense Cap, the Adviser may recoup any waived or reimbursed amounts from the Fund within three years from the date on which such waiver or reimbursement was made, provided such reimbursement does not cause the Fund to exceed expense limitations that were in effect at the time of the waiver or reimbursement.
As of the end of the reporting period, the Fund had amounts available for recoupment as follows:
Expiration | ||||
August 31, | August 31, | August 31, | August 31, | Total |
$368,105 | $770,182 | $843,630 | $529,385 | $2,511,302 |
Aspect Capital Limited, Crabel Capital Management, LLC, Eclipse Capital Management, Inc., Episteme Capital Partners LLP, GAM Systematic LLP, Graham Capital Management, LP, P/E Global, LLC, Revolution Capital Management, LLC, Trigon Investment Advisors, LLC, Tudor Investment Corporation, Welton Investment Partners, LLC and Winton Capital Management Limited each served as a Trading Adviser to the Fund during the current fiscal period.
Effective November 23, 2020, Winton Capital Management Limited serves as a Trading Adviser to the Fund.
U.S. Bancorp Fund Services, LLC (“Fund Services”), doing business as U.S. Bank Global Fund Services, serves as administrator for the Fund. For providing administrative and accounting services, Fund Services is entitled to receive a monthly fee, subject to certain minimum and out of pocket expenses.
Fund Services serves as the Fund’s transfer and dividend disbursing agent. For providing transfer agent services, Fund Services is entitled to receive a monthly fee, subject to certain minimum and out of pocket expenses.
U.S. Bank, N.A. (the “Custodian”) provides certain custodial services to the Fund. The Custodian is entitled to receive a monthly fee, subject to certain minimum and out of pocket expenses.
Quasar Distributors, LLC (the “Distributor”), a wholly-owned broker-dealer subsidiary of Foreside Financial Group, LLC, serves as the principal underwriter and distributor of the Fund’s shares pursuant to a Distribution Agreement with RBB.
46
Abbey Capital Futures Strategy Fund
Notes To Consolidated Financial Statements (Continued)
February 28, 2021 (Unaudited)
The Board has adopted a Plan of Distribution for the Class A Shares, Class C Shares and Class T Shares (the “Plan”) pursuant to Rule 12b-1 under the 1940 Act. Under the Plan, the Fund’s distributor is entitled to receive from the Fund a distribution fee with respect to the Shares, which is accrued daily and paid monthly, of up to 0.25% on an annualized basis of the average daily net assets of the Class A Shares and Class T Shares and up to 1.00% of the Class C Shares. The actual amount of such compensation under the Plan is agreed upon by the Board and by the Distributor. Because these fees are paid out of the Fund’s assets on an ongoing basis, over time these fees will increase the cost of your investment and may cost you more than paying other types of sales charges. Amounts paid to the Distributor under the Plan may be used by the Distributor to cover expenses that are related to (i) the sale of the Shares, (ii) ongoing servicing and/or maintenance of the accounts of shareholders, and (iii) sub-transfer agency services, subaccounting services or administrative services related to the sale of the Shares, all as set forth in the Fund’s 12b-1 Plan.
For compensation amounts paid to Fund Services and the Custodian, please refer to the Consolidated Statement of Operations.
3. Director And Officer Compensation
The Directors of the Company receive an annual retainer and meeting fees for meetings attended. An employee of Vigilant Compliance, LLC serves as President and Chief Compliance Officer of the Company. Vigilant Compliance, LLC is compensated for the services provided to the Company. Employees of RBB serve as Treasurer, Secretary and Director of Marketing & Business Development of the Company. They are compensated for services provided. Certain employees of Fund Services serve as officers of the Company. They are not compensated by the Fund or the Company. For Director and Officer compensation amounts, please refer to the Consolidated Statement of Operations.
4. Purchases and Sales of Investment Securities
During the current fiscal period, there were no purchases or sales of investment securities or long-term U.S. Government securities (excluding short-term investments and derivative transactions) by the Fund.
5. Federal Income Tax Information
The Fund has followed the authoritative guidance on accounting for and disclosure of uncertainty in tax positions, which requires the Fund to determine whether a tax position is more likely than not to be sustained upon examination, including resolution of any related appeals or litigation processes, based on the technical merits of the position. The Fund has determined that there was no effect on the consolidated financial statements from following this authoritative guidance. In the normal course of business, the Fund is subject to examination by federal, state and local jurisdictions, where applicable, for tax years for which applicable statutes of limitations have not expired.
As of August 31, 2020, the federal tax cost and aggregate gross unrealized appreciation and depreciation of investments held by the Fund were as follows(a):
Federal Tax | Unrealized | Unrealized | Net |
$897,094,482 | $33,240,239 | $(78,885,792) | $(45,645,553) |
(a) | The difference between the book basis and tax basis cost and aggregate gross unrealized appreciation and depreciation of investments is attributable primarily to timing differences related to taxable income from a wholly-owned controlled foreign corporation. |
Distributions to shareholders, if any, from net investment income and realized gains are determined in accordance with federal income tax regulations, which may differ from net investment income and realized gains recognized for financial reporting purposes. Accordingly, the character of distributions and composition of net assets for tax purposes
47
Abbey Capital Futures Strategy Fund
Notes To Consolidated Financial Statements (Concluded)
February 28, 2021 (Unaudited)
may differ from those reflected in the accompanying consolidated financial statements. To the extent these differences are permanent, such amounts are reclassified within the capital accounts based on the tax treatment; temporary differences do not require such reclassification.
Permanent differences as of August 31, 2020, primarily attributable to disallowed book income from the Cayman Subsidiary, were reclassified to the following accounts:
Distributable | Paid-In |
$(36,660,580) | $36,660,580 |
As of August 31, 2020, the components of distributable earnings/(deficits) on a tax basis were as follows:
Undistributed | Undistributed | Net Unrealized | Capital Loss | Qualified | Other |
$13,983,998 | $— | $(74,889,584) | $(20,654,825) | $— | $— |
The differences between the book and tax basis components of distributable earnings/(deficits) relate principally to the timing of recognition of income and gains of the Cayman Subsidiary for federal income tax purposes.
The tax character of dividends and distributions paid during the fiscal year ended August 31, 2020 was as follows:
Ordinary | Long-Term | Total |
$46,899,626 | $8,709,556 | $55,609,182 |
Accumulated capital losses represent net capital loss carry forwards as of August 31, 2020 that may be available to offset future realized capital gains and thereby reduce future capital gains distributions. Under the Regulated Investment Company Modernization Act of 2010, the Fund is permitted to carry forward capital losses incurred in taxable years beginning after December 22, 2010 for an unlimited period. Additionally, capital losses that are carried forward will retain their character as either short-term or long-term capital losses rather than being considered all short-term as under the previous law. As of August 31, 2020, the Fund had short-term capital losses of $(18,473,632) and long-term capital losses of $(2,181,193) to offset future capital gains of $20,654,825.
6. Subsequent Events
Management has evaluated the impact of all subsequent events on the Fund through the date the financial statements were issued and has determined that there were no significant events requiring recognition or disclosure in the financial statements.
48
Abbey Capital Futures Strategy Fund
Other Information
(Unaudited)
Proxy Voting
Policies and procedures that the Fund uses to determine how to vote proxies relating to portfolio securities as well as information regarding how the Fund voted proxies relating to portfolio securities for the most recent twelve-month period ended June 30 are available without charge, upon request, by calling (844) 261-6484 and on the Securities and Exchange Commission’s (“SEC”) website at http://www.sec.gov.
Quarterly Portfolio Schedules
The Company files its complete schedule of portfolio holdings with the SEC for the first and third fiscal quarters of each fiscal year (quarters ended November 30 and May 31) as an exhibit to its report on Form N-PORT. The Company’s Form N-PORT is available on the SEC’s website at http://www.sec.gov.
Approval of Trading Advisory Agreement
As required by the 1940 Act, the Board, including all of the Directors who are not “interested persons” of the Company, as that term is defined in the 1940 Act (the “Independent Directors”), considered the approval of a new Trading Advisory Agreement by and among Abbey Capital, the Onshore Subsidiary, the SPC and Winton Capital Management Limited (“Winton”) at a meeting of the Board held on September 16-17, 2020 (the “Meeting”). At the Meeting, the Board, including all of the Independent Directors, approved the new Trading Advisory Agreement for an initial period ending August 16, 2021. The Board’s decision to approve the Trading Advisory Agreement reflects the exercise of its business judgment. In approving the Trading Advisory Agreement, the Board considered information provided by Abbey Capital and Winton, with the assistance and advice of counsel to the Independent Directors and the Company.
In considering the approval of the Trading Advisory Agreement between Abbey Capital and Winton, the Board took into account all materials provided prior to and during the Meeting and at other meetings throughout the past year, the presentations made during the Meeting, and the discussions held during the Meeting. Among other things, the Board considered (i) the nature, extent, and quality of services to be provided to the Fund by Winton; (ii) descriptions of the experience and qualifications of the personnel providing those services; (iii) Winton’s investment philosophies and processes; (iv) Winton’s assets under management and client descriptions; (v) Winton’s soft dollar commission and trade allocation policies; (vi) Winton’s advisory fee arrangements with the Company and other similarly managed clients, as applicable; (vii) Winton’s compliance procedures; and (viii) Winton’s financial information and insurance coverage.
The Board also considered the fees payable to Winton under the proposed Trading Advisory Agreement with Winton and the services to be provided by Winton. In this regard, the Board noted that the fees for Winton were payable by Abbey Capital.
After reviewing the information regarding the Adviser’s and Winton’s costs, profitability and economies of scale, and after considering the services to be provided by Winton, the Board concluded that the trading advisory fees to be paid by Abbey Capital to Winton were fair and reasonable, that the Trading Advisory Agreement is in the best interests of the Fund and its shareholders and does not involve a conflict of interest from which the Adviser derives an inappropriate advantage, and that the Trading Advisory Agreement with Winton should be approved for an initial period ending August 16, 2021.
Liquidity Risk Management Program
The Company has adopted and implemented a Liquidity Risk Management Program (the “Company Program”) as required by rule 22e-4 under the 1940 Act. In accordance with the Company Program, the Adviser has adopted and implemented a liquidity risk management program (the “Adviser Program” and together with the Company Program,
49
Abbey Capital Futures Strategy Fund
Other Information (Concluded)
(Unaudited)
the “Programs”) on behalf of the Fund. The Programs seek to assess, manage and review the Fund’s Liquidity Risk. “Liquidity Risk” is defined as the risk that the Fund could not meet requests to redeem shares issued by the Fund without significant dilution of remaining investors’ interest in the Fund.
The Board has appointed Vigilant Compliance, LLC (“Vigilant”) as the program administrator for the Company Program and the Chief Risk Officer of the Adviser as the program administrator for the Adviser Program. The process of monitoring and determining the liquidity of the Fund’s investments is supported by one or more third-party vendors.
At meetings held during the fiscal period, the Board and its Investment and Liquidity Risk Committee received and reviewed a written report (the “Report”) of Vigilant and the Adviser concerning the operation of the Programs for the period from June 1, 2019 to June 30, 2020 (the “Period”). The Report summarized the operation of the Programs and the information and factors considered by Vigilant and the Adviser in reviewing the adequacy and effectiveness of the implementation of the Programs with respect to the Fund. Such information and factors included, among other things: (i) the methodology used to classify the liquidity of the Fund’s portfolio investments and the Adviser’s assessment that the Fund’s strategy remained appropriate for an open-end mutual fund; (ii) analyses of the Fund’s trading environment and reasonably anticipated trading size; (iii) that the Fund held primarily highly liquid assets (investments that the Fund anticipates can be converted to cash within 3 business days or less in current market conditions without significantly changing their market value); (iv) that the Fund held a percentage of highly liquid assets above its highly liquid investment minimum at all times during the Period; (v) confirmation that the Fund did not breach the 15% maximum illiquid security threshold (investments that cannot be sold or disposed of in seven days or less in current market conditions without the sale of the investment significantly changing the market value of the investment) during the Period and the procedures for monitoring compliance with the limit; (vi) that the processes, technologies and third-party vendors used to assess, manage, and/or periodically review the Fund’s Liquidity Risk functioned appropriately during the Period; and (vii) that the Programs operated adequately during the Period. The Report also indicated that there were no material changes made to the Programs during the Period.
Based on the review, the Report concluded that the Programs were being implemented effectively and reasonably designed to assess and manage Liquidity Risk in the Fund’s portfolio.
There can be no assurance that the Company Program or the Adviser Program will achieve its objectives under all circumstances in the future. Please refer to the Fund’s prospectus for more information regarding the Fund’s exposure to liquidity risk and other risks to which it may be subject.
50
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Investment Adviser
Abbey Capital Limited
1-2 Cavendish Row
Dublin 1, Ireland
Administrator and Transfer Agent
U.S. Bancorp Fund Services, LLC
P.O. Box 701
Milwaukee, WI 53201
Principal Underwriter
Quasar Distributors, LLC
111 E Kilbourn Ave, Suite 2200
Milwaukee, WI 53202
Custodian
U.S. Bank, N.A.
1555 North Rivercenter Drive, Suite 302
Milwaukee, WI 53212
Independent Registered Public Accounting Firm
Ernst & Young LLP
One Commerce Square
2005 Market Street, Suite 700
Philadelphia, PA 19103
Legal Counsel
Faegre Drinker Biddle & Reath LLP
One Logan Square, Suite 2000
Philadelphia, PA 19103-6996
AFS-SAR21
Abbey Capital Multi Asset Fund
of
THE RBB FUND, INC.
Semi-Annual Report
February 28, 2021
(Unaudited)
Abbey Capital Multi Asset Fund
Semi-Annual Investment Adviser’s Report
February 28, 2021 (Unaudited)
Dear Shareholder,
The Abbey Capital Multi Asset Fund (the “Fund”) Class I Shares returned +12.62% net of fees for the 6-month fiscal period ended February 28, 2021. Positive performance was driven by the managed futures component of the Fund’s investment strategy, with gains stemming from trading in energy, base metals, equities and agricultural commodities. The Fund’s long US equity component was also positive over the 6-month period. The Fund allocates assets to its underlying trading advisers through its investment in ACMAF Master Offshore Limited (the “ACMAF Master”), a wholly-owned subsidiary of the Fund which invests substantially all of its assets in ACMAF Offshore SPC, which is a wholly-owned and controlled segregated portfolio company that invests in managed futures and foreign exchange. The Fund invests up to 25% of its assets into the ACMAF Master and invests its remaining assets in a long-only US equity strategy consisting of S&P 500 futures only and a fixed income strategy consisting primarily of U.S. Treasury obligations. The Fund allocates approximately 50% of its assets to S&P 500 futures and 100% of its assets to a managed futures strategy.
Abbey Global, LP (the “Predecessor Fund”), transferred all of its assets to the Fund on April 11, 2018.
Average Total Returns for the Periods Ended February 28, 2021
2021 YTD | 1 Year | SEP. 1, 2020 TO | 5 Years | 10 Years | ANNUALIZED | |
Class I Shares | 5.52% | 34.49% | 12.62% | 11.50% | 10.37% | 11.09% |
BofA Merrill Lynch 3-Month T-Bill Index* | 0.02% | 0.40% | 0.06% | 1.20% | 0.63% | 1.33% |
S&P 500® Total Return Index* | 1.72% | 31.29% | 9.74% | 16.82% | 13.43% | 9.14% |
Barclay CTA Index* | 1.47% | 7.50% | 4.14% | 1.05% | 0.70% | 3.60% |
Barclay CTA numbers are based on the estimates available on the BarclayHedge website as of March 11, 2021
Source: Abbey Capital and Bloomberg
Performance quoted is past performance and does not guarantee future results. Additionally, the Predecessor Fund was not registered under the Investment Company Act of 1940 (“1940 Act”), and thus was not subject to certain investment and operational restrictions that are imposed by the 1940 Act. If the Predecessor Fund had been registered under the 1940 Act, its performance may have been adversely affected. Accordingly, Fund performance may be different than the Predecessor Fund’s restated past performance, which is included in the table above for the period between inception of the Fund on May 14, 2002 and April 11, 2018. Investment return and principal value will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the returns quoted. Visit www.abbeycapital.com for returns updated daily. Call (US Toll Free) 1-844-261-6484 or (international callers) + 1-508-871-3276 for returns current to the most recent month-end.
Please note the above is shown for illustrative purposes only.
Performance from May 14, 2002 to April 11, 2018 is performance of the Predecessor Fund. The Fund commenced operations as a series of The RBB Fund, Inc. on April 11, 2018, when all of the assets of the Predecessor Fund transferred to Class I Shares of the Fund. The Fund’s objectives, policies, guidelines and restrictions are in all material respects equivalent to the Predecessor Fund. Performance of the Predecessor Fund is not an indicator of future Fund results. Performance from April 2014 to April 2018 represents proprietary performance as the only investors for that period were Abbey Capital Limited and its officers.
* | The Barclay CTA Index is derived from data which is self-reported by investment managers based on the performance of privately managed funds. In contrast, the S&P 500® Total Return Index and the Bank of America Merrill Lynch 3-Month T-Bill Index are comprised of publicly traded securities. As a result of these differences, these indices may not be directly comparable and the table above is shown for illustrative purposes only. |
1
Abbey Capital Multi Asset Fund
Semi-Annual Investment Adviser’s Report (Continued)
February 28, 2021 (Unaudited)
Abbey Capital Limited (the “Adviser”) has contractually agreed to waive its advisory fee and/or reimburse expenses in order to limit total annual fund operating expenses (excluding acquired fund fees and expenses, brokerage commissions, extraordinary items, interest or taxes) to 1.79% of the Fund’s average daily net assets attributable to Class I Shares. This contractual limitation is in effect until December 31, 2021, and may not be terminated without the approval of the Board of Directors of The RBB Fund, Inc. In addition, the Adviser may recoup any waived or reimbursed amounts from the Fund within three years from the date on which such waiver or reimbursement was made by the Adviser, provided such reimbursement does not cause the Fund to exceed expense limitations that were in effect at the time of the waiver or reimbursement. Without the expense limitation agreement, the expense ratio is 2.45% of the Fund’s average daily net assets attributable to Class I Shares, as stated in the Fund’s current prospectus dated December 31, 2020 (and which may differ from the actual expense ratio for the period covered by this report). The quoted performance would have been lower without the expense limitation.
Please refer to the prospectus for further information on expenses and fees.
Performance Analysis
The 6-month period ended February 28, 2021 was a positive period for Fund performance, with both the managed futures allocation and the long US equity allocation recording gains.
Performance was negative during September and October 2020 as market sentiment shifted, with investors turning more cautious due to rising COVID-19 cases in the US and Europe, concerns about valuations in the technology sector and uncertainty ahead of the upcoming US election. This bearish shift in risk sentiment was difficult for the Fund’s managed futures allocation as trends in many sectors reversed, while the long US equity allocation was also negative as US equities declined.
Fund performance turned more positive from November 2020 through February 2021.. Progress towards a COVID-19 vaccine, Biden’s victory in the US Presidential election and the prospect of a significant fiscal spending deal in the US saw equities rally sharply and strong trends emerge in other growth sensitive sectors like energy and base metals. Both the Fund’s managed futures allocation and its long US equity allocation were positive over this period.
Equities was the top-performing sector at the Fund level. Global equities had declined in September and October 2020, before rallying in November 2020 as various pharmaceutical companies announced positive results from vaccine trials. The MSCI World Index recorded its strongest monthly return in 45 years in November 2020, and uptrends in equities continued in subsequent months with the prospect of a US fiscal stimulus deal a key factor behind this rally. The Fund’s managed futures allocation held long equity positions throughout the period and thus saw positive performance, with longs in Japanese indices seeing the largest gains as the Nikkei 225 outperformed other global indices and reached a 30-year high. The Fund’s long US equity allocation was also profitable due to its consistent long exposure in S&P 500 futures with the S&P 500 Index rising +8.88% over the 6-month period.
Optimism about the economic growth outlook for 2021 grew as the COVID-19 vaccine rollout picked up momentum, and a weaker USD and rising inflation expectations in the US and elsewhere saw strong uptrends emerge in many commodity markets during this period. Talk of a potential “commodity super-cycle” by many market commentators was another factor driving the rally in commodities.
Crude oil declined in September and October 2020 on COVID-19 related demand concerns, before prices rallied strongly in November and December 2020 as the global growth outlook turned more positive. Price uptrends continued in 2021, with Organization of the Petroleum Exporting Countries (OPEC) supply cuts and weather-related disruptions to US production boosting prices. The Fund profited from short positions in crude oil and distillates in September 2020. Further gains occurred once positioning turned long in November 2020 and price uptrends emerged.
The Fund’s long positions in base metals held throughout the period resulted in further gains. Copper was the standout contract as prices hit a 9-year high on an improved global growth outlook, low inventories and solid Chinese demand. Longs in aluminium and nickel saw further gains.
2
Abbey Capital Multi Asset Fund
Semi-Annual Investment Adviser’s Report (Concluded)
February 28, 2021 (Unaudited)
The Fund profited from strong trends in agricultural commodities, most notably in soybeans and corn. Soybean prices rallied to a 6-year high due to strong Chinese demand, South American weather concerns and forecasts of lower supplies. Corn futures were also supported by Chinese demand and supply concerns, with prices hitting a 7-year high during the period. Cotton was another positive contract, with the managed futures allocation profiting from long exposures.
Performance in currencies was mixed, with the Fund’s modest gains in major currencies largely offset by losses in emerging market currencies. In major currencies, gains occurred from short USD positions against the AUD, NZD and CAD, with each of these three currencies rising alongside commodity prices. In emerging market currencies, longs in the MXN and PLN drove losses.
Gold prices declined during the period, despite a weaker USD and rising inflation expectations, as global bond yields rose and market sentiment turned more bullish. Long precious metal exposures were the largest detractor from Fund performance at the sector level, with longs in gold being the main source of losses.
The Fund’s performance in fixed income was also negative. As a result of strong uptrends in prices earlier in 2020, the managed futures allocation maintained long fixed income positions for much of the period and saw losses as global yields rose despite global central bank guidance remaining dovish. A more optimistic growth outlook for 2021, rising inflation expectations and the prospect of another round of US fiscal stimulus all contributed to a rise in global yields during the period.
Key to Currency Abbreviations | |
USD | US Dollar |
AUD | Australian Dollar |
NZD | New Zealand Dollar |
CAD | Canadian Dollar |
MXN | Mexican Peso |
PLN | Polish Zloty |
An investment in the Fund is speculative and involves substantial risk. It is possible that an investor may lose some or all of their investment. The Fund may invest up to 25% of its total assets in ACMAF Master, which invests substantially all of its assets in ACMAF Offshore SPC, which is a wholly-owned and controlled segregated portfolio company that invests in managed futures and foreign exchange. All investments in securities involve risk of the loss of capital. An investment in the Fund includes the risks inherent in an investment in securities, as well as specific risks associated with this open-ended investment product. Among the risks associated with investing in this Fund are Commodity Sector Risk, Counter-Party Risk, Credit Risk, Currency Risk, Manager and Management Risks, Subsidiary Risk, Tax Risk, Emerging Markets Risk, Leveraging Risk, Foreign Investment Risk, Fixed Income Securities Risks, Short Sale Risk and Portfolio Turnover Risks. The Fund may invest in or utilize derivative investments, futures contracts, and hedging strategies. One or more Trading Advisers, from time to time, may invest a substantial portion of the assets managed in a specific industry sector. As a result, the Fund’s investment portfolio may be subject to greater risk and volatility than if investments had been made in the securities of a broader range of issuers. There can be no assurance that the Fund’s strategy (hedging or otherwise) will be successful or that it will employ such strategies with respect to all or any portion of its portfolio. The value of the Fund’s portfolio investments should be expected to fluctuate. Investing in managed futures is not suitable for all investors given its speculative nature and the high level of risk involved. The Fund is appropriate only for investors who can bear the risks associated with the product. This brief statement cannot disclose all of the risks and other factors necessary to evaluate an investment in the Fund. Investors are urged to take appropriate investment advice and to carefully consider their investment objectives, personal situation, and factors such as net worth, income, age, risk tolerance and liquidity needs before investing in the Fund. Before investing, investors should carefully consider the Fund’s investment objectives, risks, tax considerations, sales charges and expenses.
Fund holdings and sector allocations are subject to change and should not be considered recommendations to buy or sell any security. Please refer to the Consolidated Portfolio of Investments in this report for a complete list of Fund holdings.
The Abbey Capital Multi Asset Fund is distributed by Quasar Distributions, LLC.
3
Abbey Capital Multi Asset Fund
Performance Data
February 28, 2021 (Unaudited)
Average Annual Total Returns for the Periods Ended February 28, 2021 | ||||||
Six | One | Five | Ten | Since | ||
Class I Shares* | 12.62% | 34.49% | 11.50% | 10.37% | 11.09% | |
S&P 500® Total Return Index | 9.74% | 31.29% | 16.82% | 13.43% | 9.14%** | |
BofA Merrill Lynch 3-Month U.S. Treasury Bill Index*** | 0.06% | 0.40% | 1.20% | 0.63% | 1.33%** | |
Barclay CTA Index*** | 4.14% | 7.50% | 1.05% | 0.70% | 3.60%** |
† | Not annualized. |
* | Performance from May 14, 2002 to April 10, 2018 is performance of Abbey Global LP (the “Predecessor Fund”). The Fund commenced operations as a series of The RBB Fund, Inc. on April 11, 2018, when all the assets of the Predecessor Fund transferred to Class I Shares of the Fund. |
** | Performance is from the inception date of the Predecessor Fund only and is not the inception date of the benchmark itself. |
*** | This is not a primary benchmark of the Fund. Results of the index performance are presented for general comparative purposes. |
The performance quoted reflects fee waivers in effect and would have been less in their absence. The Adviser has contractually agreed to waive its advisory fee and/or reimburse expenses in order to limit total annual Fund operating expenses (excluding acquired fund fees and expenses, brokerage commissions, extraordinary items, interest or taxes) to 1.79% of the Fund’s average daily net assets attributable to Class I Shares. Without the limitation arrangement, the gross expense ratio is 2.45% for Class I Shares, as stated in the current prospectus (and which may differ from the actual expense ratio for the period covered by this report). This contractual limitation is in effect until December 31, 2021 and may not be terminated without the approval of the Board of Directors of The RBB Fund, Inc. Please see the Consolidated Financial Highlights for current figures.
Performance quoted is past performance and does not guarantee future results. Investment return and principal value of an investment will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the returns quoted. Visit www.abbeycapital.com for returns updated daily. Call (US Toll Free) 1-844-261-6484 or (international callers) + 1-508-871-3276 for returns current to the most recent month-end.
The Barclay CTA Index is derived from data which is self-reported by investment managers based on the performance of privately managed funds. In contrast, the S&P 500® Total Return Index and the BofA Merrill Lynch 3-Month U.S. Treasury Bill Index are comprised of publicly traded securities. As a result of these differences, these indices may not be directly comparable. Additionally, these indices are not available for direct investment and the above is shown for illustrative purposes only.
4
Abbey Capital Multi Asset Fund
Performance Data (Concluded)
February 28, 2021 (Unaudited)
Barclay CTA Index
The Barclay CTA Index is a leading industry benchmark of representative performance of commodity trading advisors. There are currently 510 programs included in the calculation of the Barclay CTA Index for 2020. The Barclay CTA Index is equally weighted and rebalanced at the beginning of each year.
BofA Merrill Lynch 3-Month U.S. Treasury Bill Index
The BofA Merrill Lynch 3-Month U.S. Treasury Bill Index is an unmanaged market index of U.S. Treasury securities maturing in 90 days that assumes reinvestment of all income.
MSCI World Index
The MSCI World Index captures large and mid cap representation across 23 Developed Markets (DM) countries. With 1,583 constituents, the index covers approximately 85% of the free float-adjusted market capitalization in each country.
Nikkei 225 Index
The Nikkei 225 Index is a price-weighted index comprised of Japan’s top 225 blue-chip companies traded on the Tokyo Stock Exchange.
S&P 500® Index
The S&P 500® Index is a market-capitalization-weighted index of 500 U.S. stocks chosen for market size, liquidity and industry grouping, among other factors. The S&P 500® Index is designed to be a leading indicator of U.S. equities and is meant to reflect the risk/return characteristics of the large cap universe. The S&P 500® Index was first introduced on January 1, 1923, though expanded to 500 stocks on March 4, 1957.
The S&P 500® Total Return Index
The S&P 500® Total Return Index is the total return version of the S&P 500® Index. Dividends are reinvested on a daily basis and all regular cash dividends are assumed reinvested in the index on the ex-dividend date.
A basis point is one hundredth of one percent.
Portfolio composition is subject to change. It is not possible to invest directly in an index.
5
Abbey Capital Multi Asset Fund
Fund Expense Example
February 28, 2021 (Unaudited)
As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments, (if any) and (2) ongoing costs, including management fees, distribution and/or service (12b-1) fees and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
This example is based on an investment of $1,000 invested at the beginning of the six-month period from September 1, 2020 through February 28, 2021, and held for the entire period.
ACTUAL EXPENSES
The first line of the accompanying table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
The second line of the accompanying table provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare these 5% hypothetical examples with the 5% hypothetical examples that appear in the shareholder reports of other funds.
Please note that the expenses shown in the accompanying table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads) on purchase payments (if any). Therefore, the second line of the accompanying table is useful in comparing ongoing costs only and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
Class I Shares | |||||
Beginning | Ending | Expenses Paid | Annualized | Actual Six-Month | |
Actual | $1,000.00 | $1,126.20 | $9.44 | 1.79% | 12.62% |
Hypothetical (5% return before expenses) | 1,000.00 | 1,015.92 | 8.95 | 1.79 | N/A |
* | Expenses are equal to the Fund’s annualized six-month expense ratio for the period September 1, 2020 to February 28, 2021, multiplied by the average account value over the period, multiplied by the number of days (181) in the most recent fiscal half-year, then divided by 365 to reflect the one half year period. The Fund’s ending account value on the first line in the table is based on the actual six-month total investment return for the Fund. |
6
Abbey Capital Multi Asset Fund
Consolidated Portfolio Holdings Summary Table
February 28, 2021 (Unaudited)
The following table presents a consolidated summary of the portfolio holdings of the Fund:
% of Net | Value | |||||||
SHORT-TERM INVESTMENTS: | ||||||||
U.S. Treasury Obligations | 81.8 | % | $ | 49,006,583 | ||||
Money Market Deposit Account | 3.4 | 2,015,346 | ||||||
OTHER ASSETS IN EXCESS OF LIABILITIES | ||||||||
(including futures and forward foreign currency contracts) | 14.8 | 8,859,252 | ||||||
NET ASSETS | 100.0 | % | $ | 59,881,181 |
The Fund seeks to achieve its investment objective by allocating its assets between a “Managed Futures” strategy and a “Long U.S. Equity” Strategy and a “Fixed Income” strategy.
As a result of the Fund’s use of derivatives, the Fund may hold significant amounts of U.S. Treasuries or short-term investments.
Portfolio holdings are subject to change at any time.
Refer to the Consolidated Portfolio of Investments for a detailed listing of the Fund’s holdings.
The accompanying notes are an integral part of the consolidated financial statements.
7
Abbey Capital Multi Asset Fund
Consolidated Portfolio of Investments
February 28, 2021 (Unaudited)
Coupon* | Maturity | Par | Value | |||||||||||||
SHORT-TERM INVESTMENTS — 85.2% | ||||||||||||||||
U.S. TREASURY OBLIGATIONS — 81.8% | ||||||||||||||||
U.S. Treasury Bills | 0.101% | 03/04/21 | $ | 740 | $ | 739,999 | ||||||||||
U.S. Treasury Bills | 0.103% | 03/11/21 | 1,110 | 1,109,992 | ||||||||||||
U.S. Treasury Bills | 0.081% | 03/18/21 | 1,961 | 1,960,984 | ||||||||||||
U.S. Treasury Bills | 0.086% | 03/25/21 | 1,289 | 1,288,976 | ||||||||||||
U.S. Treasury Bills | 0.065% | 04/01/21 | 1,626 | 1,625,954 | ||||||||||||
U.S. Treasury Bills | 0.100% | 04/08/21 | 2,187 | 2,186,934 | ||||||||||||
U.S. Treasury Bills | 0.096% | 04/15/21 | 478 | 477,982 | ||||||||||||
U.S. Treasury Bills | 0.096% | 04/22/21 | 527 | 526,983 | ||||||||||||
U.S. Treasury Bills | 0.086% | 04/29/21 | 172 | 171,992 | ||||||||||||
U.S. Treasury Bills | 0.074% | 05/06/21 | 1,359 | 1,358,925 | ||||||||||||
U.S. Treasury Bills | 0.085% | 05/13/21 | 3,412 | 3,411,740 | ||||||||||||
U.S. Treasury Bills | 0.068% | 05/20/21 | 762 | 761,936 | ||||||||||||
U.S. Treasury Bills | 0.071% | 05/27/21 | 2,074 | 2,073,849 | ||||||||||||
U.S. Treasury Bills | 0.079% | 06/03/21 | 539 | 538,937 | ||||||||||||
U.S. Treasury Bills | 0.061% | 06/10/21 | 284 | 283,972 | ||||||||||||
U.S. Treasury Bills | 0.079% | 06/17/21 | 3,864 | 3,863,507 | ||||||||||||
U.S. Treasury Bills | 0.071% | 06/24/21 | 503 | 502,936 | ||||||||||||
U.S. Treasury Bills | 0.063% | 07/01/21 | 931 | 930,866 | ||||||||||||
U.S. Treasury Bills | 0.071% | 07/08/21 | 1,153 | 1,152,835 | ||||||||||||
U.S. Treasury Bills | 0.076% | 07/15/21 | 645 | 644,903 | ||||||||||||
U.S. Treasury Bills | 0.071% | 07/22/21 | 10,195 | 10,193,279 | ||||||||||||
U.S. Treasury Bills | 0.030% | 07/29/21 | 1,175 | 1,174,780 | ||||||||||||
U.S. Treasury Bills | 0.032% | 08/05/21 | 1,353 | 1,352,721 | ||||||||||||
U.S. Treasury Bills | 0.045% | 08/12/21 | 3,282 | 3,281,290 | ||||||||||||
U.S. Treasury Bills | 0.029% | 08/19/21 | 2,963 | 2,962,297 | ||||||||||||
U.S. Treasury Bills | 0.041% | 08/26/21 | 4,429 | 4,428,014 | ||||||||||||
TOTAL U.S. TREASURY OBLIGATIONS ($49,004,175) | 49,006,583 | |||||||||||||||
Number of | ||||||||||||||||
MONEY MARKET DEPOSIT ACCOUNT — 3.4% | ||||||||||||||||
U.S. Bank Money Market Deposit Account, 0.01% (United States)(a) | 2,015 | 2,015,346 | ||||||||||||||
TOTAL MONEY MARKET DEPOSIT ACCOUNT ($2,015,346) | 2,015,346 | |||||||||||||||
TOTAL SHORT-TERM INVESTMENTS | ||||||||||||||||
(Cost $51,019,521) | 51,021,929 | |||||||||||||||
TOTAL INVESTMENTS — 85.2% | ||||||||||||||||
(Cost $51,019,521) | 51,021,929 | |||||||||||||||
OTHER ASSETS IN EXCESS OF LIABILITIES — 14.8% | 8,859,252 | |||||||||||||||
NET ASSETS — 100.0% | $ | 59,881,181 |
* | Short-term investments’ coupon reflect the annualized effective yield on the date of purchase for discounted investments. |
(a) | The rate shown is as of February 28, 2021. |
The accompanying notes are an integral part of the consolidated financial statements.
8
Abbey Capital Multi Asset Fund
Consolidated Portfolio of Investments (Continued)
February 28, 2021 (Unaudited)
Futures contracts outstanding as of February 28, 2021 were as follows:
Long Contracts | Expiration | Number of | Notional | Value and | ||||||||||||
3-Month Euro Euribor | Sep-21 | 7 | $ | 2,122,124 | $ | (664 | ) | |||||||||
3-Month Euro Euribor | Dec-21 | 4 | 1,212,642 | (362 | ) | |||||||||||
3-Month Euro Euribor | Mar-22 | 2 | 606,231 | — | ||||||||||||
3-Month Euro Euribor | Jun-22 | 56 | 16,973,613 | (14,569 | ) | |||||||||||
3-Month Euro Euribor | Mar-23 | 1 | 302,919 | (392 | ) | |||||||||||
3-Month Euro Euribor | Jun-23 | 1 | 302,814 | 15 | ||||||||||||
3-Month Euro Euribor | Mar-24 | 1 | 302,497 | (422 | ) | |||||||||||
90-DAY Bank Bill | Sep-21 | 13 | 10,000,135 | (1,821 | ) | |||||||||||
90-DAY Bank Bill | Dec-21 | 2 | 1,538,331 | (284 | ) | |||||||||||
90-DAY Bank Bill | Mar-22 | 1 | 769,108 | (209 | ) | |||||||||||
90-DAY Bank Bill | Jun-22 | 1 | 769,033 | (152 | ) | |||||||||||
90-DAY Bank Bill | Sep-22 | 1 | 768,900 | (227 | ) | |||||||||||
90-DAY Eurodollar Futures | Jun-21 | 2 | 499,150 | 175 | ||||||||||||
90-DAY Eurodollar Futures | Sep-21 | 34 | 8,483,850 | (1,200 | ) | |||||||||||
90-DAY Eurodollar Futures | Dec-21 | 23 | 5,736,775 | (1,225 | ) | |||||||||||
90-DAY Eurodollar Futures | Jun-22 | 2 | 498,725 | (113 | ) | |||||||||||
90-DAY Eurodollar Futures | Sep-22 | 3 | 747,563 | (825 | ) | |||||||||||
90-DAY Eurodollar Futures | Dec-22 | 4 | 995,550 | (1,563 | ) | |||||||||||
90-DAY Eurodollar Futures | Mar-23 | 1 | 248,675 | (600 | ) | |||||||||||
90-DAY Eurodollar Futures | Jun-23 | 5 | 496,500 | (1,388 | ) | |||||||||||
90-DAY Eurodollar Futures | Jun-24 | 1 | 246,625 | 125 | ||||||||||||
90-DAY Sterling Futures | Sep-21 | 2 | 348,022 | (383 | ) | |||||||||||
90-DAY Sterling Futures | Dec-21 | 3 | 521,851 | (914 | ) | |||||||||||
90-DAY Sterling Futures | Mar-22 | 9 | 1,042,761 | (1,977 | ) | |||||||||||
90-DAY Sterling Futures | Jun-22 | 3 | 521,119 | (1,149 | ) | |||||||||||
90-DAY Sterling Futures | Sep-22 | 1 | 173,602 | (462 | ) | |||||||||||
90-DAY Sterling Futures | Dec-22 | 2 | 346,977 | (1,097 | ) | |||||||||||
Amsterdam Index Futures | Mar-21 | 5 | 785,295 | (41,358 | ) | |||||||||||
AUD/USD Currency Futures | Mar-21 | 52 | 4,009,460 | (53,182 | ) | |||||||||||
Australian 3-Year Bond Futures | Mar-21 | 19 | 1,707,526 | (8,774 | ) | |||||||||||
Bank Acceptance Futures | Sep-21 | 5 | 977,428 | (373 | ) | |||||||||||
Bank Acceptance Futures | Dec-21 | 4 | 781,589 | (452 | ) | |||||||||||
Bank Acceptance Futures | Mar-22 | 3 | 585,720 | (825 | ) | |||||||||||
Bank Acceptance Futures | Jun-22 | 2 | 389,851 | (835 | ) | |||||||||||
Bank Acceptance Futures | Sep-22 | 1 | 194,592 | (766 | ) | |||||||||||
Brent Crude Futures | May-21 | 17 | 1,095,140 | 22,930 | ||||||||||||
Brent Crude Futures | Jun-21 | 2 | 127,460 | 7,210 | ||||||||||||
Brent Crude Futures | Dec-21 | 2 | 121,200 | 21,360 | ||||||||||||
Brent Crude Oil Last Day | May-21 | 1 | 64,420 | 150 | ||||||||||||
CAC40 10 Euro Futures | Mar-21 | 6 | 412,567 | (5,840 | ) | |||||||||||
CAD Currency Futures | Mar-21 | 58 | 4,564,310 | (21,416 | ) | |||||||||||
CHF Currency Futures | Mar-21 | 12 | 1,650,600 | (5,413 | ) | |||||||||||
Cocoa Futures | May-21 | 1 | 26,040 | 1,510 | ||||||||||||
Coffee ‘C’ Futures | May-21 | 4 | 206,250 | 10,106 | ||||||||||||
Copper Futures | May-21 | 13 | 1,330,063 | (23,463 | ) | |||||||||||
Copper Futures | Jul-21 | 1 | 102,263 | (2,188 | ) | |||||||||||
Corn Futures | May-21 | 18 | 492,750 | 2,225 | ||||||||||||
Corn Futures | Jul-21 | 13 | 347,750 | 20,175 |
The accompanying notes are an integral part of the consolidated financial statements.
9
Abbey Capital Multi Asset Fund
Consolidated Portfolio of Investments (Continued)
February 28, 2021 (Unaudited)
Long Contracts | Expiration | Number of | Notional | Value and | ||||||||||||
Corn Futures | Sep-21 | 1 | $ | 24,475 | $ | 300 | ||||||||||
Corn Futures | Dec-21 | 1 | 23,538 | 1,313 | ||||||||||||
Cotton No.2 Futures | May-21 | 10 | 399,735 | 27,355 | ||||||||||||
DAX Index Futures | Mar-21 | 6 | 2,490,136 | 33,497 | ||||||||||||
DJIA Mini E-CBOT | Mar-21 | 6 | 927,360 | 15,210 | ||||||||||||
E-Mini Energy Select Futures | Mar-21 | 2 | 100,020 | 14,410 | ||||||||||||
E-Mini Technology Select Futures | Mar-21 | 1 | 131,680 | 2,460 | ||||||||||||
Emissions ICE | Dec-21 | 6 | 269,881 | 45,258 | ||||||||||||
EUR Foreign Exchange Currency Futures | Mar-21 | 50 | 7,550,938 | (40,445 | ) | |||||||||||
Euro BUXL 30-Year Bond Futures | Mar-21 | 1 | 253,158 | (16,602 | ) | |||||||||||
Euro STOXX 50 | Mar-21 | 9 | 393,853 | 2,347 | ||||||||||||
Euro/JPY Futures | Mar-21 | 4 | 604,249 | 12,583 | ||||||||||||
Euro-BTP Futures | Mar-21 | 11 | 1,988,152 | (24,276 | ) | |||||||||||
Euro-Bund Futures | Mar-21 | 1 | 209,215 | (1,822 | ) | |||||||||||
Euro-Oat Futures | Mar-21 | 8 | 1,577,490 | (34,302 | ) | |||||||||||
FTSE 100 Index Futures | Mar-21 | 8 | 717,722 | (29,961 | ) | |||||||||||
FTSE China A50 Index | Mar-21 | 11 | 200,244 | (10,076 | ) | |||||||||||
FTSE/JSE TOP 40 | Mar-21 | 3 | 119,447 | 1,695 | ||||||||||||
FTSE/MIB Index Futures | Mar-21 | 1 | 137,721 | (2,721 | ) | |||||||||||
Gasoline RBOB Futures | Apr-21 | 14 | 1,146,894 | 134,140 | ||||||||||||
GBP Currency Futures | Mar-21 | 25 | 2,179,063 | 18,225 | ||||||||||||
Gold 100 Oz Futures | Apr-21 | 1 | 172,880 | (13,740 | ) | |||||||||||
Hang Seng China Enterprises Index Futures | Mar-21 | 4 | 290,674 | (16,025 | ) | |||||||||||
Hang Seng Index Futures | Mar-21 | 7 | 1,306,738 | (56,231 | ) | |||||||||||
IBEX 35 Index Futures | Mar-21 | 1 | 98,894 | 898 | ||||||||||||
JPY Currency Futures | Mar-21 | 7 | 820,619 | (15,700 | ) | |||||||||||
Kansas City Hard Red Winter Wheat Futures | May-21 | 3 | 95,063 | (1,275 | ) | |||||||||||
Lean Hogs Futures | Apr-21 | 2 | 69,720 | 10,170 | ||||||||||||
Lean Hogs Futures | Jun-21 | 8 | 301,360 | 5,130 | ||||||||||||
Live Cattle Futures | Jun-21 | 3 | 142,110 | 6,650 | ||||||||||||
LME Aluminum Forward | Mar-21 | 132 | 7,034,775 | 483,976 | ||||||||||||
LME Aluminum Forward | Jun-21 | 69 | 3,724,706 | 239,921 | ||||||||||||
LME Aluminum Forward — 90 Day Settlement | Mar-21 | 1 | 53,547 | 3,109 | ||||||||||||
LME Aluminum Forward — 90 Day Settlement | Mar-21 | 1 | 53,369 | 2,456 | ||||||||||||
LME Aluminum Forward — 90 Day Settlement | Mar-21 | 1 | 53,288 | 3,297 | ||||||||||||
LME Aluminum Forward — 90 Day Settlement | Apr-21 | 1 | 53,494 | 2,463 | ||||||||||||
LME Aluminum Forward — 90 Day Settlement | Apr-21 | 1 | 53,569 | 4,469 | ||||||||||||
LME Aluminum Forward — 90 Day Settlement | May-21 | 1 | 53,735 | 1,985 | ||||||||||||
LME Aluminum Forward — 90 Day Settlement | May-21 | 1 | 53,813 | (213 | ) | |||||||||||
LME Aluminum Forward — 90 Day Settlement | May-21 | 2 | 107,700 | (436 | ) | |||||||||||
LME Copper Forward | Mar-21 | 40 | 9,093,250 | 1,700,029 | ||||||||||||
LME Copper Forward | Jun-21 | 15 | 3,402,750 | 415,975 | ||||||||||||
LME Copper Forward — 90 Day Settlement | May-21 | 1 | 226,977 | 20,237 | ||||||||||||
LME Copper Forward — 90 Day Settlement | May-21 | 1 | 227,005 | 17,147 | ||||||||||||
LME Copper Forward — 90 Day Settlement | May-21 | 1 | 227,024 | 17,636 | ||||||||||||
LME Lead Forward | Mar-21 | 13 | 663,731 | 13,431 | ||||||||||||
LME Lead Forward | Jun-21 | 4 | 205,500 | (4,807 | ) | |||||||||||
LME Nickel Forward | Mar-21 | 12 | 1,334,880 | 112,712 | ||||||||||||
LME Nickel Forward | Jun-21 | 5 | 557,400 | 2,519 | ||||||||||||
LME Nickel Forward — 90 Day Settlement | Mar-21 | 1 | 111,194 | 7,520 |
The accompanying notes are an integral part of the consolidated financial statements.
10
Abbey Capital Multi Asset Fund
Consolidated Portfolio of Investments (Continued)
February 28, 2021 (Unaudited)
Long Contracts | Expiration | Number of | Notional | Value and | ||||||||||||
LME Palladium Forward — 90 Day Settlement | Apr-21 | 1 | $ | 51,160 | $ | 347 | ||||||||||
LME Palladium Forward — 90 Day Settlement | Apr-21 | 1 | 51,164 | 414 | ||||||||||||
LME Palladium Forward — 90 Day Settlement | Apr-21 | 1 | 51,227 | 389 | ||||||||||||
LME Palladium Forward — 90 Day Settlement | Apr-21 | 2 | 102,463 | 146 | ||||||||||||
LME Palladium Forward — 90 Day Settlement | May-21 | 1 | 51,253 | (1,603 | ) | |||||||||||
LME Palladium Forward — 90 Day Settlement | May-21 | 1 | 51,276 | (849 | ) | |||||||||||
LME Palladium Forward — 90 Day Settlement | May-21 | 1 | 51,308 | (1,777 | ) | |||||||||||
LME Zinc Forward | Mar-21 | 7 | 486,413 | 16,454 | ||||||||||||
LME Zinc Forward | Jun-21 | 5 | 349,438 | (1,205 | ) | |||||||||||
Low Sulphur Gasoil G Futures | Apr-21 | 10 | 532,750 | 25,500 | ||||||||||||
Low Sulphur Gasoil G Futures | May-21 | 1 | 53,300 | 3,475 | ||||||||||||
Low Sulphur Gasoil G Futures | Jul-21 | 1 | 53,100 | 575 | ||||||||||||
Lumber Futures | May-21 | 1 | 93,247 | (5,346 | ) | |||||||||||
Micro EUR/USD Futures | Mar-21 | 2 | 30,204 | (84 | ) | |||||||||||
Mill Wheat Euro | May-21 | 2 | 27,690 | 1,388 | ||||||||||||
Mill Wheat Euro | Sep-21 | 1 | 12,050 | (45 | ) | |||||||||||
Mini H-Shares Index Futures | Mar-21 | 1 | 14,534 | (745 | ) | |||||||||||
Mini HSI Index Futures | Mar-21 | 5 | 186,677 | (10,404 | ) | |||||||||||
MSCI EAFE Index Futures | Mar-21 | 3 | 324,600 | 1,475 | ||||||||||||
MSCI Emerging Markets Index Futures | Mar-21 | 6 | 401,430 | (1,145 | ) | |||||||||||
MSCI Singapore Exchange ETS | Mar-21 | 2 | 50,794 | 1,006 | ||||||||||||
MXN Currency Futures | Mar-21 | 25 | 596,000 | (28,370 | ) | |||||||||||
Nasdaq 100 E-Mini | Mar-21 | 5 | 1,291,100 | 15,704 | ||||||||||||
Natural Gas Futures | Apr-21 | 1 | 27,710 | (270 | ) | |||||||||||
Natural Gas Futures | May-21 | 1 | 28,090 | (1,610 | ) | |||||||||||
Nikkei 225 (Singapore Exchange) | Mar-21 | 7 | 960,739 | 21,577 | ||||||||||||
NY Harbor Ultra-Low Sulfur Diesel Futures | Apr-21 | 14 | 1,083,743 | 54,377 | ||||||||||||
NY Harbor Ultra-Low Sulfur Diesel Futures | May-21 | 1 | 77,066 | 3,646 | ||||||||||||
NY Harbor Ultra-Low Sulfur Diesel Futures | Dec-21 | 1 | 76,562 | 16,044 | ||||||||||||
NZD Currency Futures | Mar-21 | 18 | 1,302,120 | 15,195 | ||||||||||||
OMX Stockholm 30 Index Futures | Mar-21 | 38 | 902,308 | (8,137 | ) | |||||||||||
Palm Oil Futures | Jun-21 | 1 | 22,242 | 1,686 | ||||||||||||
Platinum Futures | Apr-21 | 1 | 59,265 | 2,650 | ||||||||||||
Russell 2000 E-Mini | Mar-21 | 4 | 439,840 | 43,300 | ||||||||||||
S&P 500 E-Mini Futures | Mar-21 | 136 | 25,902,560 | 629,245 | ||||||||||||
S&P Mid 400 E-Mini | Mar-21 | 1 | 249,470 | 25,255 | ||||||||||||
S&P/TSX 60 IX Futures | Mar-21 | 4 | 673,770 | 7,874 | ||||||||||||
SGX Iron Ore 62% Futures | Apr-21 | 2 | 33,808 | 117 | ||||||||||||
SGX Nifty 50 | Mar-21 | 7 | 203,343 | (3,916 | ) | |||||||||||
Short BTP Future | Mar-21 | 6 | 817,606 | (1,400 | ) | |||||||||||
Silver Futures | May-21 | 4 | 528,800 | (26,600 | ) | |||||||||||
Soybean Futures | May-21 | 5 | 351,062 | 9,513 | ||||||||||||
Soybean Futures | Jul-21 | 9 | 626,175 | 9,213 | ||||||||||||
Soybean Futures | Nov-21 | 1 | 61,150 | 1,663 | ||||||||||||
Soybean Meal Futures | May-21 | 2 | 84,280 | (1,500 | ) | |||||||||||
Soybean Oil Futures | May-21 | 5 | 149,820 | 13,164 | ||||||||||||
Soybean Oil Futures | Dec-21 | 2 | 53,172 | 8,328 | ||||||||||||
SPI 200 Futures | Mar-21 | 5 | 637,585 | 3,020 | ||||||||||||
STOXX Europe 600 Banks Index | Mar-21 | 3 | 21,826 | 591 | ||||||||||||
STOXX Europe 600 Index | Mar-21 | 2 | 48,648 | 1,882 |
The accompanying notes are an integral part of the consolidated financial statements.
11
Abbey Capital Multi Asset Fund
Consolidated Portfolio of Investments (Continued)
February 28, 2021 (Unaudited)
Long Contracts | Expiration | Number of | Notional | Value and | ||||||||||||
Sugar No. 11 (World) | May-21 | 75 | $ | 1,381,800 | $ | 10,797 | ||||||||||
Sugar No. 11 (World) | Jul-21 | 4 | 71,008 | 1,590 | ||||||||||||
Sugar No. 11 (World) | Mar-22 | 1 | 17,662 | 470 | ||||||||||||
Topix Index Futures | Mar-21 | 1 | 175,946 | 5,582 | ||||||||||||
U.S. Treasury 10-Year Notes (Chicago Board of Trade) | Jun-21 | 10 | 1,327,187 | 1,391 | ||||||||||||
U.S. Treasury 2-Year Notes (Chicago Board of Trade) | Jun-21 | 59 | 11,259,046 | (8,508 | ) | |||||||||||
U.S. Treasury 5-Year Notes (Chicago Board of Trade) | Jun-21 | 22 | 1,363,656 | (2,664 | ) | |||||||||||
Wheat (Chicago Board of Trade) | May-21 | 26 | 858,325 | (5,263 | ) | |||||||||||
Wheat (Chicago Board of Trade) | Jul-21 | 15 | 487,500 | 9,275 | ||||||||||||
Wheat (Chicago Board of Trade) | Sep-21 | 1 | 32,312 | 1,050 | ||||||||||||
Wheat (Chicago Board of Trade) | Dec-21 | 1 | 32,500 | 1,338 | ||||||||||||
WTI Crude Futures | Apr-21 | 9 | 553,500 | 15,700 | ||||||||||||
WTI Crude Futures | May-21 | 3 | 183,690 | 4,640 | ||||||||||||
WTI Crude Futures | Jun-21 | 7 | 425,180 | 280 | ||||||||||||
WTI Crude Futures | Dec-21 | 2 | 114,400 | 20,850 | ||||||||||||
WTI Crude Futures IPE | Apr-21 | 1 | 61,500 | 1,060 | ||||||||||||
$ | 3,898,784 |
Short Contracts | Expiration | Number of | Notional | Value and | ||||||||||||
10-Year Mini Japanese Government Bond Futures | Mar-21 | 13 | $ | (1,839,111 | ) | $ | 10,273 | |||||||||
90-DAY Eurodollar Futures | Dec-22 | 2 | (497,775 | ) | (125 | ) | ||||||||||
90-DAY Eurodollar Futures | Dec-23 | 9 | (2,225,475 | ) | 8,188 | |||||||||||
90-DAY Sterling Futures | Dec-21 | 77 | (13,394,167 | ) | 10,231 | |||||||||||
90-DAY Sterling Futures | Dec-22 | 15 | (2,602,331 | ) | 4,223 | |||||||||||
90-DAY Sterling Futures | Jun-23 | 1 | (173,236 | ) | (17 | ) | ||||||||||
90-DAY Sterling Futures | Dec-23 | 13 | (2,249,014 | ) | 7,776 | |||||||||||
AUD/USD Currency Futures | Mar-21 | 5 | (385,525 | ) | 4,045 | |||||||||||
Australian 10-Year Bond Futures | Mar-21 | 31 | (3,269,544 | ) | 103,773 | |||||||||||
Australian 3-Year Bond Futures | Mar-21 | 1 | (89,869 | ) | 241 | |||||||||||
CAD Currency Futures | Mar-21 | 2 | (157,390 | ) | 730 | |||||||||||
Canadian 10-Year Bond Futures | Jun-21 | 18 | (1,977,086 | ) | 24,367 | |||||||||||
CHF Currency Futures | Mar-21 | 7 | (962,850 | ) | 3,450 | |||||||||||
Cocoa Futures ICE | May-21 | 1 | (24,631 | ) | (1,310 | ) | ||||||||||
Dollar Index | Mar-21 | 15 | (1,363,230 | ) | (6,053 | ) | ||||||||||
EUR Foreign Exchange Currency Futures | Mar-21 | 1 | (151,019 | ) | 925 | |||||||||||
Euro BUXL 30-Year Bond Futures | Mar-21 | 1 | (253,158 | ) | 532 | |||||||||||
Euro STOXX 50 | Mar-21 | 21 | (918,992 | ) | (7,070 | ) | ||||||||||
Euro-Bobl Futures | Mar-21 | 43 | (6,963,031 | ) | 21,115 | |||||||||||
Euro-Bund Futures | Mar-21 | 29 | (6,067,253 | ) | 30,731 | |||||||||||
Euro-Schatz Futures | Mar-21 | 89 | (12,045,137 | ) | 4,237 | |||||||||||
FTSE 100 Index Futures | Mar-21 | 13 | (986,869 | ) | 14,003 | |||||||||||
Gold 100 Oz Futures | Apr-21 | 23 | (3,976,240 | ) | 77,030 | |||||||||||
Hang Seng Index Futures | Mar-21 | 2 | (186,677 | ) | 11,191 | |||||||||||
JPN 10-Year Bond (Osaka Securities Exchange) | Mar-21 | 6 | (8,478,071 | ) | 52,441 | |||||||||||
JPY Currency Futures | Mar-21 | 41 | (1,992,931 | ) | 20,825 | |||||||||||
LME Aluminum Forward | Mar-21 | 132 | (7,034,775 | ) | (467,059 | ) |
The accompanying notes are an integral part of the consolidated financial statements.
12
Abbey Capital Multi Asset Fund
Consolidated Portfolio of Investments (Continued)
February 28, 2021 (Unaudited)
Short Contracts | Expiration | Number of | Notional | Value and | ||||||||||||
LME Aluminum Forward | Jun-21 | 52 | $ | (2,807,025 | ) | $ | (31,631 | ) | ||||||||
LME Aluminum Forward — 90 Day Settlement | Mar-21 | 1 | (53,547 | ) | (3,662 | ) | ||||||||||
LME Aluminum Forward — 90 Day Settlement | Mar-21 | 1 | (53,369 | ) | (2,413 | ) | ||||||||||
LME Aluminum Forward — 90 Day Settlement | Mar-21 | 1 | (53,288 | ) | (1,700 | ) | ||||||||||
LME Aluminum Forward — 90 Day Settlement | Apr-21 | 1 | (53,494 | ) | (4,470 | ) | ||||||||||
LME Aluminum Forward — 90 Day Settlement | Apr-21 | 1 | (53,569 | ) | (1,925 | ) | ||||||||||
LME Aluminum Forward — 90 Day Settlement | May-21 | 1 | (53,800 | ) | (38 | ) | ||||||||||
LME Aluminum Forward — 90 Day Settlement | May-21 | 1 | (53,813 | ) | 339 | |||||||||||
LME Copper Forward | Mar-21 | 40 | (9,093,250 | ) | (1,460,444 | ) | ||||||||||
LME Copper Forward | Jun-21 | 8 | (1,814,800 | ) | (3,681 | ) | ||||||||||
LME Copper Forward — 90 Day Settlement | May-21 | 1 | (226,977 | ) | (32,877 | ) | ||||||||||
LME Copper Forward — 90 Day Settlement | May-21 | 1 | (227,005 | ) | (20,317 | ) | ||||||||||
LME Copper Forward — 90 Day Settlement | May-21 | 1 | (227,024 | ) | (17,186 | ) | ||||||||||
LME Lead Forward | Mar-21 | 13 | (663,731 | ) | (28,784 | ) | ||||||||||
LME Nickel Forward | Mar-21 | 12 | (1,334,880 | ) | (51,390 | ) | ||||||||||
LME Nickel Forward — 90 Day Settlement | Mar-21 | 1 | (111,194 | ) | (15,224 | ) | ||||||||||
LME Palladium Forward — 90 Day Settlement | Apr-21 | 1 | (51,160 | ) | (435 | ) | ||||||||||
LME Palladium Forward — 90 Day Settlement | Apr-21 | 1 | (51,164 | ) | (140 | ) | ||||||||||
LME Palladium Forward — 90 Day Settlement | Apr-21 | 1 | (51,227 | ) | (173 | ) | ||||||||||
LME Palladium Forward — 90 Day Settlement | Apr-21 | 2 | (102,463 | ) | 2,381 | |||||||||||
LME Palladium Forward — 90 Day Settlement | May-21 | 1 | (51,253 | ) | (203 | ) | ||||||||||
LME Palladium Forward — 90 Day Settlement | May-21 | 1 | (51,276 | ) | 1,650 | |||||||||||
LME Palladium Forward — 90 Day Settlement | May-21 | 1 | (51,313 | ) | 150 | |||||||||||
LME Zinc Forward | Mar-21 | 7 | (486,412 | ) | (15,057 | ) | ||||||||||
Long Gilt Futures | Jun-21 | 50 | (5,518,300 | ) | 50,991 | |||||||||||
Natural Gas Futures | Apr-21 | 3 | (55,420 | ) | (30 | ) | ||||||||||
Natural Gas Futures | May-21 | 2 | (56,180 | ) | 80 | |||||||||||
Natural Gas Futures | Jun-21 | 1 | (28,620 | ) | 1,490 | |||||||||||
Nikkei 225 (Singapore Exchange) | Mar-21 | 3 | (274,496 | ) | 1,501 | |||||||||||
Silver Futures | May-21 | 3 | (396,600 | ) | (225 | ) | ||||||||||
U.S. Treasury 10-Year Notes (Chicago Board of Trade) | Jun-21 | 37 | (4,910,593 | ) | 27,356 | |||||||||||
U.S. Treasury 2-Year Notes (Chicago Board of Trade) | Jun-21 | 2 | (441,531 | ) | (62 | ) | ||||||||||
U.S. Treasury 5-Year Notes (Chicago Board of Trade) | Jun-21 | 38 | (4,710,813 | ) | 29,563 | |||||||||||
U.S. Treasury Long Bond (Chicago Board of Trade) | Jun-21 | 18 | (2,865,937 | ) | 18,859 | |||||||||||
U.S. Treasury Ultra Long Bond (Chicago Board of Trade) | Jun-21 | 3 | (567,187 | ) | 914 | |||||||||||
$ | (1,628,100 | ) | ||||||||||||||
Total Futures Contracts | $ | 2,270,684 |
The accompanying notes are an integral part of the consolidated financial statements.
13
Abbey Capital Multi Asset Fund
Consolidated Portfolio of Investments (Continued)
February 28, 2021 (Unaudited)
Forward foreign currency contracts outstanding as of February 28, 2021 were as follows:
Currency Purchased | Currency Sold | Expiration | Counterparty | Unrealized | ||||||||||||||||||||||||||||
AUD | 1,200,000 | NZD | 1,286,030 | Mar 01 2021 | SOCIETE GENERALE | $ | (5,878 | ) | ||||||||||||||||||||||||
AUD | 308,604 | USD | 245,126 | Mar 01 2021 | SOCIETE GENERALE | (7,669 | ) | |||||||||||||||||||||||||
AUD | 308,604 | USD | 244,230 | Mar 02 2021 | SOCIETE GENERALE | (6,773 | ) | |||||||||||||||||||||||||
AUD | 4,259,022 | CAD | 4,163,262 | Mar 03 2021 | SOCIETE GENERALE | 5,641 | ||||||||||||||||||||||||||
AUD | 983,505 | EUR | 625,000 | Mar 03 2021 | SOCIETE GENERALE | 2,597 | ||||||||||||||||||||||||||
AUD | 883,742 | GBP | 500,000 | Mar 03 2021 | SOCIETE GENERALE | (16,611 | ) | |||||||||||||||||||||||||
AUD | 600,000 | JPY | 48,062,240 | Mar 03 2021 | SOCIETE GENERALE | 10,770 | ||||||||||||||||||||||||||
AUD | 3,000,000 | NZD | 3,219,861 | Mar 03 2021 | SOCIETE GENERALE | (18,149 | ) | |||||||||||||||||||||||||
AUD | 1,508,604 | USD | 1,174,421 | Mar 03 2021 | SOCIETE GENERALE | (13,610 | ) | |||||||||||||||||||||||||
BRL | 524,912 | USD | 100,000 | Mar 17 2021 | SOCIETE GENERALE | (6,407 | ) | |||||||||||||||||||||||||
CAD | 1,387,407 | USD | 1,104,901 | Mar 01 2021 | SOCIETE GENERALE | (14,678 | ) | |||||||||||||||||||||||||
CAD | 1,583,844 | AUD | 1,600,000 | Mar 02 2021 | SOCIETE GENERALE | 13,454 | ||||||||||||||||||||||||||
CAD | 1,387,407 | USD | 1,091,247 | Mar 02 2021 | SOCIETE GENERALE | (1,020 | ) | |||||||||||||||||||||||||
CAD | 2,601,647 | AUD | 2,659,022 | Mar 03 2021 | SOCIETE GENERALE | (1,628 | ) | |||||||||||||||||||||||||
CAD | 800,000 | JPY | 65,951,220 | Mar 03 2021 | SOCIETE GENERALE | 9,908 | ||||||||||||||||||||||||||
CAD | 1,100,000 | USD | 866,298 | Mar 03 2021 | SOCIETE GENERALE | (1,914 | ) | |||||||||||||||||||||||||
CHF | 2,011,955 | USD | 2,217,328 | Mar 01 2021 | SOCIETE GENERALE | (5,377 | ) | |||||||||||||||||||||||||
CHF | 2,011,955 | USD | 2,223,951 | Mar 02 2021 | SOCIETE GENERALE | (11,945 | ) | |||||||||||||||||||||||||
CHF | 269,913 | EUR | 250,000 | Mar 03 2021 | SOCIETE GENERALE | (4,911 | ) | |||||||||||||||||||||||||
CHF | 750,000 | JPY | 88,207,500 | Mar 03 2021 | SOCIETE GENERALE | (2,944 | ) | |||||||||||||||||||||||||
CHF | 2,761,955 | USD | 3,059,307 | Mar 03 2021 | SOCIETE GENERALE | (22,654 | ) | |||||||||||||||||||||||||
CLP | 291,026,803 | USD | 400,000 | Mar 17 2021 | SOCIETE GENERALE | 2,182 | ||||||||||||||||||||||||||
CNH | 4,549,431 | USD | 700,000 | Mar 03 2021 | SOCIETE GENERALE | 1,249 | ||||||||||||||||||||||||||
CNH | 1,635,742 | USD | 250,000 | Mar 17 2021 | SOCIETE GENERALE | 1,853 | ||||||||||||||||||||||||||
COP | 520,164,475 | USD | 150,000 | Mar 17 2021 | SOCIETE GENERALE | (7,463 | ) | |||||||||||||||||||||||||
CZK | 2,606,596 | EUR | 100,000 | Mar 17 2021 | SOCIETE GENERALE | (537 | ) | |||||||||||||||||||||||||
EUR | 621,371 | USD | 754,956 | Mar 01 2021 | SOCIETE GENERALE | (5,195 | ) | |||||||||||||||||||||||||
EUR | 125,000 | AUD | 195,914 | Mar 02 2021 | SOCIETE GENERALE | 84 | ||||||||||||||||||||||||||
EUR | 625,000 | SEK | 6,366,049 | Mar 02 2021 | SOCIETE GENERALE | 203 | ||||||||||||||||||||||||||
EUR | 291,716 | USD | 355,145 | Mar 02 2021 | SOCIETE GENERALE | (3,146 | ) | |||||||||||||||||||||||||
EUR | 500,000 | CAD | 772,609 | Mar 03 2021 | SOCIETE GENERALE | (3,782 | ) | |||||||||||||||||||||||||
EUR | 750,000 | CHF | 826,232 | Mar 03 2021 | SOCIETE GENERALE | (3,401 | ) | |||||||||||||||||||||||||
EUR | 600,000 | GBP | 530,859 | Mar 03 2021 | SOCIETE GENERALE | (15,605 | ) | |||||||||||||||||||||||||
EUR | 700,000 | JPY | 88,672,040 | Mar 03 2021 | SOCIETE GENERALE | 12,776 | ||||||||||||||||||||||||||
EUR | 100,000 | PLN | 454,472 | Mar 03 2021 | SOCIETE GENERALE | (611 | ) | |||||||||||||||||||||||||
EUR | 500,000 | USD | 606,723 | Mar 03 2021 | SOCIETE GENERALE | (3,386 | ) | |||||||||||||||||||||||||
EUR | 50,000 | CZK | 1,325,310 | Mar 17 2021 | SOCIETE GENERALE | (746 | ) | |||||||||||||||||||||||||
EUR | 400,000 | HUF | 144,458,868 | Mar 17 2021 | SOCIETE GENERALE | 2,187 | ||||||||||||||||||||||||||
EUR | 100,000 | NOK | 1,063,644 | Mar 17 2021 | SOCIETE GENERALE | (1,957 | ) | |||||||||||||||||||||||||
EUR | 300,000 | PLN | 1,354,732 | Mar 17 2021 | SOCIETE GENERALE | 575 | ||||||||||||||||||||||||||
EUR | 400,000 | SEK | 4,057,406 | Mar 17 2021 | SOCIETE GENERALE | 2,232 | ||||||||||||||||||||||||||
GBP | 142,533 | EUR | 165,637 | Mar 01 2021 | SOCIETE GENERALE | (1,282 | ) | |||||||||||||||||||||||||
GBP | 6,107,246 | USD | 8,624,183 | Mar 01 2021 | SOCIETE GENERALE | (115,442 | ) | |||||||||||||||||||||||||
GBP | 500,000 | AUD | 903,060 | Mar 02 2021 | SOCIETE GENERALE | 1,746 | ||||||||||||||||||||||||||
GBP | 6,144,983 | USD | 8,633,117 | Mar 02 2021 | SOCIETE GENERALE | (71,766 | ) | |||||||||||||||||||||||||
GBP | 125,000 | CHF | 158,512 | Mar 03 2021 | SOCIETE GENERALE | (124 | ) | |||||||||||||||||||||||||
GBP | 1,051,089 | EUR | 1,200,000 | Mar 03 2021 | SOCIETE GENERALE | 16,401 | ||||||||||||||||||||||||||
GBP | 375,000 | JPY | 54,460,175 | Mar 03 2021 | SOCIETE GENERALE | 11,532 | ||||||||||||||||||||||||||
GBP | 6,394,983 | USD | 8,911,030 | Mar 03 2021 | SOCIETE GENERALE | (1,337 | ) | |||||||||||||||||||||||||
HUF | 59,233,380 | USD | 200,000 | Mar 03 2021 | SOCIETE GENERALE | (2,871 | ) |
The accompanying notes are an integral part of the consolidated financial statements.
14
Abbey Capital Multi Asset Fund
Consolidated Portfolio of Investments (Continued)
February 28, 2021 (Unaudited)
Currency Purchased | Currency Sold | Expiration | Counterparty | Unrealized | ||||||||||||||||||||||||||||
HUF | 107,400,141 | EUR | 300,000 | Mar 17 2021 | SOCIETE GENERALE | $ | (4,781 | ) | ||||||||||||||||||||||||
ILS | 646,002 | USD | 200,000 | Mar 03 2021 | SOCIETE GENERALE | (4,825 | ) | |||||||||||||||||||||||||
ILS | 324,108 | USD | 100,000 | Mar 17 2021 | SOCIETE GENERALE | (2,059 | ) | |||||||||||||||||||||||||
INR | 58,602,000 | USD | 801,048 | Mar 02 2021 | SOCIETE GENERALE | (3,982 | ) | |||||||||||||||||||||||||
INR | 33,279,669 | USD | 450,000 | Mar 17 2021 | SOCIETE GENERALE | 1,596 | ||||||||||||||||||||||||||
JPY | 26,991,500 | EUR | 209,592 | Mar 01 2021 | SOCIETE GENERALE | 323 | ||||||||||||||||||||||||||
JPY | 1,041,980,930 | USD | 9,816,118 | Mar 01 2021 | SOCIETE GENERALE | (40,724 | ) | |||||||||||||||||||||||||
JPY | 49,998,623 | AUD | 600,000 | Mar 02 2021 | SOCIETE GENERALE | 7,394 | ||||||||||||||||||||||||||
JPY | 37,771,610 | EUR | 291,716 | Mar 02 2021 | SOCIETE GENERALE | 2,360 | ||||||||||||||||||||||||||
JPY | 46,845,221 | NZD | 600,000 | Mar 02 2021 | SOCIETE GENERALE | 5,952 | ||||||||||||||||||||||||||
JPY | 1,011,330,690 | USD | 9,491,607 | Mar 02 2021 | SOCIETE GENERALE | (3,676 | ) | |||||||||||||||||||||||||
JPY | 16,690,220 | CAD | 200,000 | Mar 03 2021 | SOCIETE GENERALE | (578 | ) | |||||||||||||||||||||||||
JPY | 29,323,225 | CHF | 250,000 | Mar 03 2021 | SOCIETE GENERALE | 238 | ||||||||||||||||||||||||||
JPY | 12,800,540 | EUR | 100,000 | Mar 03 2021 | SOCIETE GENERALE | (576 | ) | |||||||||||||||||||||||||
JPY | 50,000,000 | USD | 479,554 | Mar 03 2021 | SOCIETE GENERALE | (10,469 | ) | |||||||||||||||||||||||||
KRW | 894,116,765 | USD | 801,507 | Mar 02 2021 | SOCIETE GENERALE | (5,692 | ) | |||||||||||||||||||||||||
KRW | 1,423,974,228 | USD | 1,300,000 | Mar 17 2021 | SOCIETE GENERALE | (32,577 | ) | |||||||||||||||||||||||||
KRW | 887,936,000 | USD | 800,000 | Mar 24 2021 | SOCIETE GENERALE | (9,675 | ) | |||||||||||||||||||||||||
MXN | 4,500,000 | USD | 215,890 | Mar 01 2021 | SOCIETE GENERALE | (865 | ) | |||||||||||||||||||||||||
MXN | 8,000,000 | USD | 397,230 | Mar 03 2021 | SOCIETE GENERALE | (15,045 | ) | |||||||||||||||||||||||||
NOK | 1,697,849 | USD | 200,000 | Mar 03 2021 | SOCIETE GENERALE | (4,183 | ) | |||||||||||||||||||||||||
NOK | 4,115,634 | EUR | 400,000 | Mar 17 2021 | SOCIETE GENERALE | (8,198 | ) | |||||||||||||||||||||||||
NZD | 1,279,050 | AUD | 1,200,000 | Mar 01 2021 | SOCIETE GENERALE | 834 | ||||||||||||||||||||||||||
NZD | 6,980 | USD | 5,095 | Mar 01 2021 | SOCIETE GENERALE | (51 | ) | |||||||||||||||||||||||||
NZD | 1,922,118 | AUD | 1,800,000 | Mar 03 2021 | SOCIETE GENERALE | 3,809 | ||||||||||||||||||||||||||
NZD | 600,000 | JPY | 44,423,160 | Mar 03 2021 | SOCIETE GENERALE | 16,768 | ||||||||||||||||||||||||||
NZD | 600,000 | USD | 428,092 | Mar 03 2021 | SOCIETE GENERALE | 5,442 | ||||||||||||||||||||||||||
PHP | 7,225,261 | USD | 150,000 | Mar 17 2021 | SOCIETE GENERALE | (1,163 | ) | |||||||||||||||||||||||||
PLN | 449,588 | EUR | 100,000 | Mar 03 2021 | SOCIETE GENERALE | (692 | ) | |||||||||||||||||||||||||
PLN | 1,864,626 | USD | 500,000 | Mar 03 2021 | SOCIETE GENERALE | (2,413 | ) | |||||||||||||||||||||||||
PLN | 1,120,437 | EUR | 250,000 | Mar 17 2021 | SOCIETE GENERALE | (2,749 | ) | |||||||||||||||||||||||||
RUB | 14,869,878 | USD | 200,000 | Mar 17 2021 | SOCIETE GENERALE | (955 | ) | |||||||||||||||||||||||||
SEK | 6,305,501 | EUR | 625,000 | Mar 03 2021 | SOCIETE GENERALE | (7,383 | ) | |||||||||||||||||||||||||
SEK | 3,418,039 | NOK | 3,500,000 | Mar 03 2021 | SOCIETE GENERALE | 1,149 | ||||||||||||||||||||||||||
SEK | 1,665,500 | USD | 200,000 | Mar 03 2021 | SOCIETE GENERALE | (2,747 | ) | |||||||||||||||||||||||||
SEK | 10,167,530 | EUR | 1,000,000 | Mar 17 2021 | SOCIETE GENERALE | (2,734 | ) | |||||||||||||||||||||||||
SGD | 1,727,062 | USD | 1,300,000 | Mar 03 2021 | SOCIETE GENERALE | (4,799 | ) | |||||||||||||||||||||||||
SGD | 598,875 | USD | 450,000 | Mar 17 2021 | SOCIETE GENERALE | (898 | ) | |||||||||||||||||||||||||
THB | 9,015,217 | USD | 300,000 | Mar 17 2021 | SOCIETE GENERALE | (853 | ) | |||||||||||||||||||||||||
TRY | 740,397 | USD | 100,066 | Mar 01 2021 | SOCIETE GENERALE | (501 | ) | |||||||||||||||||||||||||
TRY | 2,900,518 | USD | 400,000 | Mar 03 2021 | SOCIETE GENERALE | (10,286 | ) | |||||||||||||||||||||||||
TWD | 9,693,614 | USD | 350,000 | Mar 17 2021 | SOCIETE GENERALE | (1,925 | ) | |||||||||||||||||||||||||
TWD | 8,373,900 | USD | 300,000 | Mar 19 2021 | SOCIETE GENERALE | 692 | ||||||||||||||||||||||||||
TWD | 8,343,900 | USD | 300,000 | Mar 24 2021 | SOCIETE GENERALE | (372 | ) | |||||||||||||||||||||||||
TWD | 2,761,595 | USD | 100,000 | Apr 06 2021 | SOCIETE GENERALE | (822 | ) | |||||||||||||||||||||||||
USD | 244,229 | AUD | 308,604 | Mar 01 2021 | SOCIETE GENERALE | 6,772 | ||||||||||||||||||||||||||
USD | 237,934 | AUD | 308,604 | Mar 02 2021 | SOCIETE GENERALE | 476 | ||||||||||||||||||||||||||
USD | 315,010 | AUD | 400,000 | Mar 03 2021 | SOCIETE GENERALE | 7,226 | ||||||||||||||||||||||||||
USD | 150,000 | BRL | 787,622 | Mar 17 2021 | SOCIETE GENERALE | 9,566 | ||||||||||||||||||||||||||
USD | 1,091,244 | CAD | 1,387,407 | Mar 01 2021 | SOCIETE GENERALE | 1,020 | ||||||||||||||||||||||||||
USD | 234,806 | CAD | 300,000 | Mar 03 2021 | SOCIETE GENERALE | (935 | ) |
The accompanying notes are an integral part of the consolidated financial statements.
15
Abbey Capital Multi Asset Fund
Consolidated Portfolio of Investments (Concluded)
February 28, 2021 (Unaudited)
Currency Purchased | Currency Sold | Expiration | Counterparty | Unrealized | ||||||||||||||||||||||||||||
USD | 2,223,892 | CHF | 2,011,955 | Mar 01 2021 | SOCIETE GENERALE | $ | 11,940 | |||||||||||||||||||||||||
USD | 2,212,885 | CHF | 2,011,955 | Mar 02 2021 | SOCIETE GENERALE | 879 | ||||||||||||||||||||||||||
USD | 150,000 | CLP | 109,077,902 | Mar 17 2021 | SOCIETE GENERALE | (739 | ) | |||||||||||||||||||||||||
USD | 50,000 | CNH | 323,495 | Mar 17 2021 | SOCIETE GENERALE | 192 | ||||||||||||||||||||||||||
USD | 50,000 | COP | 179,395,425 | Mar 17 2021 | SOCIETE GENERALE | 842 | ||||||||||||||||||||||||||
USD | 300,072 | EUR | 246,142 | Mar 01 2021 | SOCIETE GENERALE | 3,071 | ||||||||||||||||||||||||||
USD | 55,068 | EUR | 45,574 | Mar 03 2021 | SOCIETE GENERALE | 75 | ||||||||||||||||||||||||||
USD | 8,781,215 | GBP | 6,249,779 | Mar 01 2021 | SOCIETE GENERALE | 73,894 | ||||||||||||||||||||||||||
USD | 8,570,408 | GBP | 6,144,983 | Mar 02 2021 | SOCIETE GENERALE | 9,057 | ||||||||||||||||||||||||||
USD | 800,000 | INR | 58,602,000 | Mar 02 2021 | SOCIETE GENERALE | 2,934 | ||||||||||||||||||||||||||
USD | 500,000 | INR | 37,127,838 | Apr 05 2021 | SOCIETE GENERALE | (2,191 | ) | |||||||||||||||||||||||||
USD | 10,093,539 | JPY | 1,068,972,430 | Mar 01 2021 | SOCIETE GENERALE | 64,923 | ||||||||||||||||||||||||||
USD | 9,883,289 | JPY | 1,049,102,300 | Mar 02 2021 | SOCIETE GENERALE | 40,999 | ||||||||||||||||||||||||||
USD | 9,491,705 | JPY | 1,011,330,690 | Mar 03 2021 | SOCIETE GENERALE | 3,692 | ||||||||||||||||||||||||||
USD | 800,000 | KRW | 894,116,763 | Mar 02 2021 | SOCIETE GENERALE | 4,185 | ||||||||||||||||||||||||||
USD | 1,050,000 | KRW | 1,165,262,315 | Mar 17 2021 | SOCIETE GENERALE | 12,846 | ||||||||||||||||||||||||||
USD | 216,585 | MXN | 4,500,000 | Mar 01 2021 | SOCIETE GENERALE | 1,560 | ||||||||||||||||||||||||||
USD | 336,037 | MXN | 7,000,000 | Mar 03 2021 | SOCIETE GENERALE | 1,626 | ||||||||||||||||||||||||||
USD | 200,000 | NOK | 1,714,970 | Mar 02 2021 | SOCIETE GENERALE | 2,208 | ||||||||||||||||||||||||||
USD | 72,462 | NZD | 100,000 | Mar 02 2021 | SOCIETE GENERALE | 207 | ||||||||||||||||||||||||||
USD | 100,000 | PHP | 4,855,526 | Mar 17 2021 | SOCIETE GENERALE | (21 | ) | |||||||||||||||||||||||||
USD | 150,000 | RUB | 11,238,001 | Mar 17 2021 | SOCIETE GENERALE | (429 | ) | |||||||||||||||||||||||||
USD | 200,000 | SEK | 1,677,384 | Mar 02 2021 | SOCIETE GENERALE | 1,342 | ||||||||||||||||||||||||||
USD | 1,300,000 | SGD | 1,725,909 | Mar 02 2021 | SOCIETE GENERALE | 5,658 | ||||||||||||||||||||||||||
USD | 100,000 | SGD | 133,394 | Mar 17 2021 | SOCIETE GENERALE | (33 | ) | |||||||||||||||||||||||||
USD | 50,000 | THB | 1,496,787 | Mar 17 2021 | SOCIETE GENERALE | 332 | ||||||||||||||||||||||||||
USD | 100,000 | TRY | 740,397 | Mar 01 2021 | SOCIETE GENERALE | 434 | ||||||||||||||||||||||||||
USD | 400,000 | TRY | 3,003,866 | Mar 03 2021 | SOCIETE GENERALE | (3,600 | ) | |||||||||||||||||||||||||
USD | 300,000 | TWD | 8,352,900 | Mar 19 2021 | SOCIETE GENERALE | 61 | ||||||||||||||||||||||||||
USD | 100,000 | ZAR | 1,514,447 | Mar 17 2021 | SOCIETE GENERALE | 186 | ||||||||||||||||||||||||||
ZAR | 3,057,988 | USD | 200,000 | Mar 03 2021 | SOCIETE GENERALE | 1,974 | ||||||||||||||||||||||||||
ZAR | 3,742,202 | USD | 250,000 | Mar 17 2021 | SOCIETE GENERALE | (3,359 | ) | |||||||||||||||||||||||||
Total Forward Foreign Currency Contracts | $ | (169,250 | ) |
AUD | Australian Dollar | LME | London Mercantile Exchange | |
BRL | Brazilian Real | MIB | Milano Indice di Borsa | |
CAD | Canadian Dollar | MXN | Mexican Peso | |
CHF | Swiss Franc | NOK | Norwegian Krone | |
CLP | Chilean Peso | NZD | New Zealand Dollar | |
CNH | Chinese Yuan Renminbi | OMX | Stockholm Stock Exchange | |
COP | Colombian Peso | PHP | Philippine Peso | |
CZK | Czech Koruna | PLN | Polish Zloty | |
DAX | Deutscher Aktienindex | RBOB | Reformulated Blendstock for Oxygenate Blending | |
DJIA | Dow Jones Industrial Average | RUB | Russian Ruble | |
EUR | Euro | SEK | Swedish Krona | |
FTSE | Financial Times Stock Exchange | SGD | Singapore Dollar | |
GBP | British Pound | THB | Thai Baht | |
HUF | Hungarian Forint | TRY | Turkish Lira | |
ILS | Israeli New Shekel | TWD | Taiwan Dollar | |
INR | Indian Rupee | USD | United States Dollar | |
JPY | Japanese Yen | WTI | West Texas Intermediate | |
KRW | Korean Won | ZAR | South African Rand |
The accompanying notes are an integral part of the consolidated financial statements.
16
Abbey Capital Multi Asset Fund
Consolidated Statement of Assets And Liabilities
February 28, 2021 (Unaudited)
ASSETS | ||||
Investments, at value (cost $51,019,521) | $ | 51,021,929 | ||
Deposits with broker for forward foreign currency contracts | 1,753,409 | |||
Deposits with broker for futures contracts | 5,461,600 | |||
Receivables for: | ||||
Capital shares sold | 55,000 | |||
Interest and dividends receivable | 22 | |||
Unrealized appreciation on forward foreign currency contracts | 412,124 | |||
Unrealized appreciation on futures contracts | 5,021,341 | |||
Prepaid expenses and other assets | 24,658 | |||
Total assets | 63,750,083 | |||
LIABILITIES | ||||
Due to broker | 175,552 | |||
Payables for: | ||||
Capital shares redeemed | 270,000 | |||
Advisory fees | 64,241 | |||
Administration and accounting services fees | 7,232 | |||
Unrealized depreciation on forward foreign currency contracts | 581,374 | |||
Unrealized depreciation on futures contracts | 2,750,657 | |||
Other accrued expenses and liabilities | 19,846 | |||
Total liabilities | 3,868,902 | |||
Net assets | $ | 59,881,181 | ||
NET ASSETS CONSIST OF: | ||||
Par value | $ | 5,306 | ||
Paid-in capital | 57,665,638 | |||
Total distributable earnings/(losses) | 2,210,237 | |||
Net assets | $ | 59,881,181 | ||
CLASS I SHARES: | ||||
Net assets | $ | 59,881,181 | ||
Shares outstanding ($0.001 par value, 100,000,000 shares authorized) | 5,305,660 | |||
Net asset value, offering and redemption price per share | $ | 11.29 |
The accompanying notes are an integral part of the consolidated financial statements.
17
Abbey Capital Multi Asset Fund
Consolidated Statement of Operations
For the Six Months Ended February 28, 2021 (Unaudited)
INVESTMENT INCOME | ||||
Interest | $ | 3,483 | ||
Total investment income | 3,483 | |||
EXPENSES | ||||
Advisory fees (Note 2) | 383,871 | |||
Administration and accounting services fees (Note 2) | 38,617 | |||
Audit and tax service fees | 36,113 | |||
Registration and filing fees | 16,496 | |||
Legal fees | 13,534 | |||
Director fees | 7,413 | |||
Printing and shareholder reporting fees | 6,853 | |||
Officer fees | 1,659 | |||
Custodian fees (Note 2) | 1,276 | |||
Transfer agent fees (Note 2) | 636 | |||
Other expenses | 1,749 | |||
Total expenses before waivers and/or reimbursements | 508,217 | |||
Less: waivers and/or reimbursements (Note 2) | (120,008 | ) | ||
Net expenses after waivers and/or reimbursements | 388,209 | |||
Net investment income/(loss) | (384,726 | ) | ||
NET REALIZED AND UNREALIZED GAIN/(LOSS) FROM INVESTMENTS | ||||
Net realized gain/(loss) from: | ||||
Investments | (101 | ) | ||
Futures contracts | 6,186,407 | |||
Foreign currency transactions | (160,258 | ) | ||
Forward foreign currency contracts | 486,492 | |||
Net change in unrealized appreciation/(depreciation) on: | ||||
Investments | 2,278 | |||
Futures contracts | (407,445 | ) | ||
Foreign currency translations | 164,823 | |||
Forward foreign currency contracts | (245,686 | ) | ||
Net realized and unrealized gain/(loss) from investments | 6,026,510 | |||
NET INCREASE/(DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ | 5,641,784 |
The accompanying notes are an integral part of the consolidated financial statements.
18
Abbey Capital Multi Asset Fund
Consolidated Statements of Changes in Net Assets
For the Six | For the | |||||||
INCREASE/(DECREASE) IN NET ASSETS FROM OPERATIONS: | ||||||||
Net investment income/(loss) | $ | (384,726 | ) | $ | (226,708 | ) | ||
Net realized gain/(loss) from investments, futures contracts, foreign currency transactions and forward foreign currency contracts | 6,512,540 | 3,252,777 | ||||||
Net change in unrealized appreciation/(depreciation) on investments, futures contracts, foreign currency translations and forward foreign currency contracts | (486,030 | ) | 1,510,227 | |||||
Net increase/(decrease) in net assets resulting from operations | 5,641,784 | 4,536,296 | ||||||
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS FROM: | ||||||||
Total distributable earnings | (4,134,208 | ) | (3,011,201 | ) | ||||
Net decrease in net assets from dividends and distributions to shareholders | (4,134,208 | ) | (3,011,201 | ) | ||||
CAPITAL SHARE TRANSACTIONS: | ||||||||
Class I Shares | ||||||||
Proceeds from shares sold | 18,557,610 | 5,162,687 | ||||||
Proceeds from reinvestment of distributions | 4,109,948 | 2,892,850 | ||||||
Shares redeemed | (1,865,543 | ) | (250,926 | ) | ||||
Total from Class I Shares | 20,802,015 | 7,804,611 | ||||||
Net increase/(decrease) in net assets from capital share transactions | 20,802,015 | 7,804,611 | ||||||
Total increase/(decrease) in net assets | 22,309,591 | 9,329,706 | ||||||
NET ASSETS: | ||||||||
Beginning of period | 37,571,590 | 28,241,884 | ||||||
End of period | $ | 59,881,181 | $ | 37,571,590 | ||||
SHARE TRANSACTIONS: | ||||||||
Class I Shares | ||||||||
Shares sold | 1,690,352 | 524,318 | ||||||
Shares reinvested | 397,480 | 314,099 | ||||||
Shares redeemed | (176,912 | ) | (25,056 | ) | ||||
Total Class I Shares | 1,910,920 | 813,361 | ||||||
Net increase/(decrease) in shares outstanding | 1,910,920 | 813,361 |
The accompanying notes are an integral part of the consolidated financial statements.
19
Abbey Capital Multi Asset Fund
Consolidated Financial Highlights
Contained below is per share operating performance data for Class I Shares outstanding, total investment return, ratios to average net assets and other supplemental data for the respective periods. This information has been derived from information provided in the consolidated financial statements. |
For the | For the | For the | For the | |||||||||||||
Per Share Operating Performance | ||||||||||||||||
Net asset value, beginning of period | $ | 11.07 | $ | 10.94 | $ | 10.65 | $ | 10.00 | ||||||||
Net investment income/(loss)(2) | (0.10 | ) | (0.08 | ) | 0.02 | (0.01 | ) | |||||||||
Net realized and unrealized gain/(loss) from investments | 1.41 | 1.38 | 1.09 | 0.66 | ||||||||||||
Net increase/(decrease) in net assets resulting from operations | 1.31 | 1.30 | 1.11 | 0.65 | ||||||||||||
Dividends and distributions to shareholders from: | ||||||||||||||||
Net investment income | (0.17 | ) | (0.96 | ) | (0.36 | ) | — | |||||||||
Net realized capital gains | (0.92 | ) | (0.21 | ) | (0.46 | ) | — | |||||||||
Total dividends and distributions to shareholders | (1.09 | ) | (1.17 | ) | (0.82 | ) | — | |||||||||
Net asset value, end of period | $ | 11.29 | $ | 11.07 | $ | 10.94 | $ | 10.65 | ||||||||
Total investment return/(loss)(3) | 12.62 | %(4) | 13.97 | % | 12.20 | % | 6.50 | %(4) | ||||||||
Ratios/Supplemental Data | ||||||||||||||||
Net assets, end of period (000’s omitted) | $ | 59,881 | $ | 37,572 | $ | 28,242 | $ | 21,608 | ||||||||
Ratio of expenses to average net assets with waivers and/or reimbursements(6) | 1.79 | %(5) | 1.79 | % | 1.79 | % | 1.79 | %(5) | ||||||||
Ratio of expenses to average net assets without waivers and/or reimbursements(6) | 2.34 | %(5) | 2.45 | % | 2.27 | % | 2.84 | %(5) | ||||||||
Ratio of net investment income/(loss) to average net assets | (1.77 | )%(5) | (0.76 | )% | 0.25 | % | (0.25 | )%(5) | ||||||||
Portfolio turnover rate | 0 | %(4) | 0 | % | 0 | % | 0 | %(4) |
(1) | Inception date of Class I Shares of the Fund was April 11, 2018. |
(2) | Calculated based on average shares outstanding for the period. |
(3) | Total investment return is calculated assuming a purchase of shares on the first day and a sale of shares on the last day of the period reported and includes reinvestments of dividends and distributions, if any. |
(4) | Not annualized. |
(5) | Annualized. |
(6) | The Adviser has contractually agreed to waive its advisory fee and/or reimburse expenses in order to limit total annual Fund operating expenses (excluding acquired Fund fees and expenses, brokerage commissions, extraordinary items, interest or taxes) to 1.79% of the Fund’s average daily net assets attributable to Class I Shares. |
The accompanying notes are an integral part of the consolidated financial statements.
20
Abbey Capital Multi Asset Fund
Notes To Consolidated Financial Statements
February 28, 2021 (Unaudited)
1. Organization and Significant Accounting Policies
The RBB Fund, Inc. (“RBB” or the “Company”) was incorporated under the laws of the State of Maryland on February 29, 1988 and is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. RBB is a “series fund,” which is a mutual fund divided into separate portfolios. Each portfolio is treated as a separate entity for certain matters under the 1940 Act, and for other purposes, and a shareholder of one portfolio is not deemed to be a shareholder of any other portfolio. Currently, RBB has thirty-six separate investment portfolios, including the Abbey Capital Multi Asset Fund (the “Fund”), which commenced investment operations on April 11, 2018. The Fund is authorized to offer three classes of shares, Class A Shares, Class I Shares and Class C Shares. Class A Shares will be sold subject to a front-end maximum sales charge of 5.75%. Front-end sales charges may be reduced or waived under certain circumstances. Class A Shares and Class C Shares have not yet commenced operations as of the end of the reporting period.
RBB has authorized capital of one hundred billion shares of common stock of which 87.923 billion shares are currently classified into one hundred and ninety classes of common stock. Each class represents an interest in an active or inactive RBB investment portfolio.
The Fund seeks to achieve its investment objective by allocating its assets between a “Managed Futures” strategy, a “Long U.S. Equity” strategy and a “Fixed Income” strategy.
The Fund is an investment company and follows accounting and reporting guidance in the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946 “Financial Services – Investment Companies.”
The end of the reporting period for the Fund is February 28, 2021, and the period covered by these Notes to Consolidated Financial Statements is the six months ended February 28, 2021 (the “current fiscal period”).
Consolidation of Subsidiaries — The Managed Futures strategy is achieved by the Fund investing up to 25% of its total assets in ACMAF Master Offshore Limited (the “Cayman Subsidiary”), a wholly-owned and controlled subsidiary of the Fund organized under the laws of the Cayman Islands. Effective on or about November 12, 2020, the Fund’s previous wholly-owned subsidiary, the Abbey Capital Multi Asset Offshore Fund Limited, became a wholly-owned subsidiary of the Cayman Subsidiary through a share exchange between the Fund and the Cayman Subsidiary and registered as a segregated portfolio company under the laws of the Cayman Islands under the name ACMAF Offshore SPC (the “SPC”). The Cayman Subsidiary serves solely as an intermediate entity through which the Fund invests in the SPC and makes no independent investment decisions and has no investment or other discretion over the Fund’s investable assets.
The consolidated financial statements of the Fund include the financial statements of the Cayman Subsidiary and SPC. The Fund consolidates the results of subsidiaries in which the Fund holds a controlling financial interest (greater than 50%). All inter-company accounts and transactions have been eliminated. As of the end of the reporting period, the net assets of the Cayman Subsidiary and SPC were $13,135,374, which represented 21.94% of the Fund’s net assets.
Portfolio Valuation — The Fund’s net asset value (“NAV”) is calculated once daily at the close of regular trading hours on the New York Stock Exchange (“NYSE”) (generally 4:00 p.m. Eastern time) on each day the NYSE is open. Securities held by the Fund are valued using the closing price or the last sale price on a national securities exchange or the National Association of Securities Dealers Automatic Quotation System (“NASDAQ”) market system where they are primarily traded. Fixed income securities are valued using an independent pricing service, which considers such factors as security prices, yields, maturities and ratings, and are deemed representative of market values at the close of the market. Forward exchange contracts are valued by interpolating between spot and forward currency rates as quoted by an independent pricing service. Futures contracts are generally valued using the settlement price determined by the relevant exchange. If market quotations are unavailable or deemed unreliable, securities will be valued in accordance with procedures adopted by the Company’s Board of Directors (the “Board”). Relying on prices supplied by pricing services or dealers or using fair valuation may result in values that are higher or lower than the values used by other investment companies and investors to price the same investments.
21
Abbey Capital Multi Asset Fund
Notes To Consolidated Financial Statements (Continued)
February 28, 2021 (Unaudited)
Fair Value Measurements — The inputs and valuation techniques used to measure the fair value of the Fund’s investments are summarized into three levels as described in the hierarchy below:
● Level 1 – | Prices are determined using quoted prices in active markets for identical securities. |
● Level 2 – | Prices are determined using other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.). |
● Level 3 – | Prices are determined using significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments). |
The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The following is a summary of the inputs used, as of the end of the reporting period, in valuing the Fund’s investments carried at fair value:
Total | Level 1 | Level 2 | Level 3 | |||||||||||||
Short-Term Investments | $ | 51,021,929 | $ | 51,021,929 | $ | — | $ | — | ||||||||
Commodity Contracts | ||||||||||||||||
Futures Contracts | 3,684,123 | 3,684,123 | — | — | ||||||||||||
Equity Contracts | ||||||||||||||||
Futures Contracts | 853,723 | 853,723 | — | — | ||||||||||||
Foreign Currency Contracts | ||||||||||||||||
Forward Foreign Currency Contracts | 412,124 | — | 412,124 | — | ||||||||||||
Futures Contracts | 75,978 | 75,978 | — | — | ||||||||||||
Interest Rate Contracts | ||||||||||||||||
Futures Contracts | 407,517 | 407,517 | — | — | ||||||||||||
Total Assets | $ | 56,455,394 | $ | 56,043,270 | $ | 412,124 | $ | — |
Total | Level 1 | Level 2 | Level 3 | |||||||||||||
Commodity Contracts | ||||||||||||||||
Futures Contracts | $ | (2,252,564 | ) | $ | (2,252,564 | ) | $ | — | $ | — | ||||||
Equity Contracts | ||||||||||||||||
Futures Contracts | (193,629 | ) | (193,629 | ) | — | — | ||||||||||
Foreign Currency Contracts | ||||||||||||||||
Forward Foreign Currency Contracts | (581,374 | ) | — | (581,374 | ) | — | ||||||||||
Futures Contracts | (170,663 | ) | (170,663 | ) | — | — | ||||||||||
Interest Rate Contracts | ||||||||||||||||
Futures Contracts | (133,801 | ) | (133,801 | ) | — | — | ||||||||||
Total Liabilities | $ | (3,332,031 | ) | $ | (2,750,657 | ) | $ | (581,374 | ) | $ | — |
At the end of each quarter, management evaluates the classification of Levels 1, 2 and 3 assets and liabilities. Various factors are considered, such as changes in liquidity from the prior reporting period; whether or not a broker is willing to execute at the quoted price; the depth and consistency of prices from third party pricing services; and the existence of contemporaneous, observable trades in the market. Additionally, management evaluates the classification of Levels 1, 2 and 3 assets and liabilities on a quarterly basis for changes in listings or delistings on national exchanges.
22
Abbey Capital Multi Asset Fund
Notes To Consolidated Financial Statements (Continued)
February 28, 2021 (Unaudited)
Due to the inherent uncertainty of determining the fair value of investments that do not have a readily available market value, the fair value of the Fund’s investments may fluctuate from period to period. Additionally, the fair value of investments may differ significantly from the values that would have been used had a ready market existed for such investments and may differ materially from the values the Fund may ultimately realize. Further, such investments may be subject to legal and other restrictions on resale or otherwise less liquid than publicly traded securities.
For fair valuations using significant unobservable inputs, U.S. generally accepted accounting principles (“U.S. GAAP”) requires the Fund to present a reconciliation of the beginning to ending balances for reported market values that presents changes attributable to total realized and unrealized gains or losses, purchase and sales, and transfers in and out of Level 3 during the period. Transfers in and out between levels are based on values at the end of the period. A reconciliation of Level 3 investments is presented only when the Fund had an amount of Level 3 investments at the end of the reporting period that was meaningful in relation to its net assets. The amounts and reasons for Level 3 transfers are disclosed if the Fund had an amount of total Level 3 transfers during the reporting period that was meaningful in relation to its net assets as of the end of the reporting period.
During the current fiscal period, the Fund had no Level 3 transfers.
Disclosures about Derivative instruments and Hedging Activities — Derivative instruments are defined as financial instruments whose value and performance are based on the value and performance of another security or financial instrument. Derivative instruments that the Fund used during the period include forward foreign currency contracts and futures contracts.
During the current fiscal period, the Fund used long and short contracts on U.S. and foreign equity market indices, U.S. and foreign government bonds, foreign currencies, interest rates and commodities (through investment in the Cayman Subsidiary and SPC), to gain investment exposure in accordance with its investment objective.
The following tables provide quantitative disclosures about fair value amounts of, and gains and losses on, the Fund’s derivative instruments as of and for the current fiscal period.
The following tables list the fair values of the Fund’s derivative holdings and location on the Consolidated Statement of Assets and Liabilities as of the end of the reporting period, grouped by derivative type and primary risk exposure category by contract type.
Derivative Type | Consolidated | Equity | Interest | Foreign | Commodity | Total | ||||||||||||||||||
Asset Derivatives | ||||||||||||||||||||||||
Forward Contracts (a) | Unrealized appreciation on forward foreign currency contracts | $ | — | $ | — | $ | 412,124 | $ | — | $ | 412,124 | |||||||||||||
Futures Contracts (a) | Unrealized appreciation on futures contracts | 853,723 | 407,517 | 75,978 | 3,684,123 | 5,021,341 | ||||||||||||||||||
Total Value- Assets | $ | 853,723 | $ | 407,517 | $ | 488,102 | $ | 3,684,123 | $ | 5,433,465 | ||||||||||||||
Liability Derivatives | ||||||||||||||||||||||||
Forward Contracts (a) | Unrealized depreciation on forward foreign currency contracts | $ | — | $ | — | $ | (581,374 | ) | $ | — | $ | (581,374 | ) | |||||||||||
Futures Contracts (a) | Unrealized depreciation on futures contracts | (193,629 | ) | (133,801 | ) | (170,663 | ) | (2,252,564 | ) | (2,750,657 | ) | |||||||||||||
Total Value- Liabilities | $ | (193,629 | ) | $ | (133,801 | ) | $ | (752,037 | ) | $ | (2,252,564 | ) | $ | (3,332,031 | ) |
(a) | This amount represents the cumulative appreciation/(depreciation) of forwards and futures contracts as reported on the Consolidated Portfolio of Investments. |
23
Abbey Capital Multi Asset Fund
Notes To Consolidated Financial Statements (Continued)
February 28, 2021 (Unaudited)
The following table lists the amounts of realized gains/(losses) included in net increase/(decrease) in net assets resulting from operations during the current fiscal period, grouped by derivative type and primary risk exposure category by contract type.
Derivative Type | Consolidated | Equity | Interest | Foreign | Commodity | Total | ||||||||||||||||||
Realized Gain/(Loss) | ||||||||||||||||||||||||
Futures Contracts | Net realized gain/(loss) from futures contracts | $ | 4,109,332 | $ | (213,675 | ) | $ | 189,607 | $ | 2,101,143 | $ | 6,186,407 | ||||||||||||
Forward Contracts | Net realized gain/(loss) from forward foreign currency contracts | — | — | 486,492 | — | 486,492 | ||||||||||||||||||
Total Realized Gain/(Loss) | $ | 4,109,332 | $ | (213,675 | ) | $ | 676,099 | $ | 2,101,143 | $ | 6,672,899 |
The following table lists the amounts of change in unrealized appreciation/(depreciation) included in net increase/(decrease) in net assets resulting from operations during the current fiscal period, grouped by derivative type and primary risk exposure category by contract type.
Derivative Type | Consolidated | Equity | Interest | Foreign | Commodity | Total | ||||||||||||||||||
Change in Unrealized Appreciation/(Depreciation) | ||||||||||||||||||||||||
Futures Contracts | Net change in unrealized appreciation/(depreciation) on futures contracts | $ | (1,743,274 | ) | $ | 247,389 | $ | (323,007 | ) | $ | 1,411,447 | $ | (407,445 | ) | ||||||||||
Forward Contracts | Net change in unrealized appreciation/(depreciation) on forward foreign currency contracts | — | — | (245,686 | ) | — | (245,686 | ) | ||||||||||||||||
Total Change in Unrealized Appreciation/(Depreciation) | $ | (1,743,274 | ) | $ | 247,389 | $ | (568,693 | ) | $ | 1,411,447 | $ | (653,131 | ) |
During the current fiscal period, the Fund’s quarterly average volume of derivatives was as follows:
Long Futures | Short Futures | Forward Foreign | Forward Foreign |
$228,793,891 | $(69,981,209) | $(54,761,038) | $54,728,931 |
For financial reporting purposes, the Fund does not offset fair value amounts recognized for derivative instruments and fair value amounts recognized for the right to reclaim cash collateral (receivables) or the obligation to return cash collateral (payables) arising from derivative instruments recognized at fair value executed with the same counterparty under a master netting arrangement.
24
Abbey Capital Multi Asset Fund
Notes To Consolidated Financial Statements (Continued)
February 28, 2021 (Unaudited)
The following is a summary of financial and derivative instruments that are subject to enforceable master netting agreements (or similar arrangements) and collateral received and pledged in connection with the master netting agreements (or similar arrangements).
Gross Amount Not | Gross Amount Not | |||||||||||||||||||||||||||||||||||
Description | Gross Amount | Financial | Collateral | Net | Gross Amount | Financial | Collateral | Net | ||||||||||||||||||||||||||||
Assets | Liabilities | |||||||||||||||||||||||||||||||||||
Forward Foreign Currency Contracts | $ | 412,124 | $ | (412,124 | ) | $ | — | $ | — | $ | 581,374 | $ | (412,124 | ) | $ | (169,250 | ) | $ | — |
(1) | Net amount represents the net amount receivable from the counterparty in the event of default. |
(2) | Actual collateral pledged may be more than the amount shown. |
(3) | Net amount represents the net amount payable to the counterparty in the event of default. |
Use of Estimates — The preparation of consolidated financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the consolidated financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates and those differences could be significant.
Investment Transactions, Investment Income and Expenses — The Fund records security transactions based on trade date for financial reporting purposes. The cost of investments sold is determined by use of the specific identification method for both financial reporting and income tax purposes in determining realized gains and losses on investments. Interest income (including amortization of premiums and accretion of discounts) is accrued when earned. Dividend income is recorded on the ex-dividend date. Distributions received on securities that represent a return of capital or capital gain are recorded as a reduction of cost of investments and/or as a realized gain. The Fund’s investment income, expenses (other than class specific expenses) and unrealized and realized gains and losses are allocated daily to each class of shares based upon the relative proportion of net assets of each class at the beginning of the day. Expenses incurred on behalf of a specific class, fund or fund family of the Company are charged directly to the class, fund or fund family (in proportion to net assets). Expenses incurred for all of the RBB funds (such as director or professional fees) are charged to all funds in proportion to their average net assets of RBB, or in such other manner as the Board deems fair or equitable. Expenses and fees, including investment advisory and administration fees, are accrued daily and taken into account for the purpose of determining the NAV of the Fund.
Dividends and Distributions to Shareholders — Dividends from net investment income and distributions from net realized capital gains, if any, are declared and paid at least annually to shareholders and recorded on the ex-dividend date. Income dividends and capital gain distributions are determined in accordance with U.S. federal income tax regulations, which may differ from U.S. GAAP.
U.S. Tax Status — No provision is made for U.S. income taxes as it is the Fund’s intention to continue to qualify for and elect the tax treatment applicable to regulated investment companies under Subchapter M of the Internal Revenue Code of 1986, as amended, and make the requisite distributions to its shareholders which will be sufficient to relieve it from U.S. income and excise taxes.
25
Abbey Capital Multi Asset Fund
Notes To Consolidated Financial Statements (Continued)
February 28, 2021 (Unaudited)
The Cayman Subsidiary is registered as an “exempted company” and the SPC as an “exempted segregated portfolio company” pursuant to the Companies Law (Revised) of the Cayman Islands (as amended). Each of the Cayman Subsidiary and the SPC has received an undertaking from the Governor in Cabinet of the Cayman Islands to the effect that, for a period of twenty years from the date of the undertaking, no law that thereafter is enacted in the Cayman Islands imposing any tax or duty to be levied on profits, income or on gains or appreciation, or any tax in the nature of estate duty or inheritance tax, will apply to any property comprised in or any income arising under the Cayman Subsidiary or the SPC, or to the shareholders thereof, in respect of any such property or income. For U.S. federal income tax purposes, the Cayman Subsidiary is treated as a “controlled foreign corporation” and the SPC is treated as disregarded as an entity separate from its owner.
Foreign Currency Translation — Assets and liabilities initially expressed in non-U.S. currencies are translated into U.S. dollars based on the applicable exchange rates at the date of the last business day of the financial statement period. Purchases and sales of securities, interest income, dividends, variation margin received and expenses denominated in foreign currencies are translated into U.S. dollars at the exchange rates in effect on the transaction date.
The Fund does not separately report the effect of changes in foreign exchange rates from changes in market prices of securities held. Such changes are included with the net realized gain or loss and change in unrealized appreciation or depreciation on investments in the Consolidated Statement of Operations. Other foreign currency transactions resulting in realized and unrealized gain or loss are reported separately as net realized gain or loss and change in unrealized appreciation or depreciation on foreign currencies in the Consolidated Statement of Operations.
Currency Risk —Investment in foreign securities involves currency risk associated with securities that trade or are denominated in currencies other than the U.S. dollar and which may be affected by fluctuations in currency exchange rates. An increase in the strength of the U.S. dollar relative to a foreign currency may cause the U.S. dollar value of an investment in that country to decline. Foreign currencies also are subject to risks caused by inflation, interest rates, budget deficits and low savings rates, political factors and government controls. Forward foreign currency exchange contracts may limit potential gains from a favorable change in value between the U.S. dollar and foreign currencies. Unanticipated changes in currency pricing may result in poorer overall performance for the Fund than if it had not engaged in these contracts.
Commodity Sector Risk — Exposure to the commodities markets may subject the Fund to greater volatility than investments in traditional securities. The value of commodity-linked derivative instruments may be affected by changes in overall market movements, commodity index volatility, changes in interest rates or factors affecting a particular industry or commodity, such as drought, floods, weather, livestock disease, embargoes, tariffs and international economic, political and regulatory developments. The prices of energy, industrial metals, precious metals, agriculture and livestock sector commodities may fluctuate widely due to factors such as changes in value, supply and demand and governmental regulatory policies. The commodity-linked securities in which the Fund invests may be issued by companies in the financial services sector, and events affecting the financial services sector may cause the Fund’s share value to fluctuate.
Foreign Securities Market Risk — A substantial portion of the trades of the Fund are expected to take place on markets or exchanges outside the United States. There is no limit to the amount of assets of the Fund that may be committed to trading on foreign markets. The risk of loss in trading foreign futures and options on futures contracts can be substantial. Participation in foreign futures and options on futures contracts involves the execution and clearing of trades on, or subject to the rules of, a foreign board of trade or exchange. Some of these foreign markets, in contrast to U.S. exchanges, are so-called principals’ markets in which performance is the responsibility only of the individual counterparty with whom the trader has entered into a commodity interest transaction and not of the exchange or clearing corporation. In these kinds of markets, there is risk of bankruptcy or other failure or refusal to perform by the counterparty.
26
Abbey Capital Multi Asset Fund
Notes To Consolidated Financial Statements (Continued)
February 28, 2021 (Unaudited)
Counterparty Risk — The derivative contracts entered into by the Fund, the Cayman Subsidiary or the SPC may be privately negotiated in the over-the-counter market. These contracts also involve exposure to credit risk, since contract performance depends in part on the financial condition of the counterparty. Relying on a counterparty exposes the Fund to the risk that a counterparty will not settle a transaction in accordance with its terms and conditions because of a dispute over the terms of the contract (whether or not bona fide) or because of a credit or liquidity problem, thus causing the Fund to suffer a loss. If a counterparty defaults on its payment obligations to the Fund, this default will cause the value of an investment in the Fund to decrease.
Credit Risk — Credit risk refers to the possibility that the issuer of the security or a counterparty in respect of a derivative instrument will not be able to satisfy its payment obligations to the Fund when due. Changes in an issuer’s credit rating or the market’s perception of an issuer’s creditworthiness may also affect the value of the Fund’s investment in that issuer. Securities rated in the four highest categories by the rating agencies are considered investment grade but they may also have some speculative characteristics. Investment grade ratings do not guarantee that bonds will not lose value or default. In addition, the credit quality of securities may be lowered if an issuer’s financial condition changes.
Coronavirus (COVID-19) Pandemic — The global outbreak of COVID-19 (commonly referred to as “coronavirus”) has disrupted economic markets and the prolonged economic impact is uncertain. The ultimate economic fallout from the pandemic, and the long-term impact on economies, markets, industries and individual companies are not known. The operational and financial performance of individual companies and the market in general depends on future developments, including the duration and spread of the outbreak, and such uncertainty may in turn adversely affect the value and liquidity of the Fund’s investments, impair the Fund’s ability to satisfy redemption requests, and negatively impact the Fund’s performance.
Futures Contracts — The Fund uses futures contracts in the normal course of pursuing its investment objective. Upon entering into a futures contract, the Fund must deposit initial margin in addition to segregating cash or liquid assets sufficient to meet its obligation to purchase or provide securities, or to pay the amount owed at the expiration of an index-based futures contract. Such liquid assets may consist of cash, cash equivalents, liquid debt or equity securities or other acceptable assets. Pursuant to the futures contract, the Fund agrees to receive from, or pay to the broker, an amount of cash equal to the daily fluctuation in value of the contract. Such a receipt of payment is known as “variation margin” and is recorded by the Fund as an unrealized gain or loss. When the contract is closed, the Fund records a realized gain or loss equal to the difference between the proceeds from (or cost of) the closing transactions and the Fund’s basis in the contract. Futures contracts have market risks, including the risk that the change in the value of the contract may not correlate with changes in the value of the underlying securities. Use of long futures contracts subjects the Fund to risk of loss in excess of the amount shown on the Consolidated Statement of Assets and Liabilities, up to the notional value of the futures contract. Use of short futures contracts subjects the Fund to unlimited risk of loss.
Forward Foreign Currency Contracts — In the normal course of pursuing its investment objectives, the Fund is subject to foreign investment and currency risk. The Fund uses forward foreign currency contracts (“forward contracts”) for purposes of hedging, duration management, as a substitute for securities, to increase returns, for currency hedging or risk management, or to otherwise help achieve the Fund’s investment objective. These contracts are marked-to-market daily at the applicable translation rates. The Fund records realized gains or losses at the time the forward contract is closed. A forward contract is extinguished through a closing transaction or upon delivery of the currency or entering an offsetting contract. Risks may arise upon entering these contracts from the potential inability of a counterparty to meet the terms of their contracts and from unanticipated movements in the value of a foreign currency relative to the U.S. dollar or other currencies. The Fund’s maximum risk of loss from counterparty credit risk related to forward foreign currency contracts is the fair value of the contract. The risk may be mitigated to some extent if a master netting arrangement between the Fund and the counterparty is in place and to the extent the Fund obtains collateral to cover the Fund’s exposure to the counterparty.
Cash and Cash Equivalents — Cash and cash equivalents are valued at cost plus accrued interest, which approximates market value.
27
Abbey Capital Multi Asset Fund
Notes To Consolidated Financial Statements (Continued)
February 28, 2021 (Unaudited)
Other — In the normal course of business, the Fund may enter into contracts that provide general indemnifications. The Fund’s maximum exposure under these arrangements is dependent on claims that may be made against the Fund in the future, and, therefore, cannot be estimated; however, the Fund expects the risk of material loss from such claims to be remote.
2. Investment Adviser and Other Services
Abbey Capital Limited (“Abbey Capital” or the “Adviser”) serves as the investment adviser to the Fund, the Cayman Subsidiary and the SPC. The Adviser allocates the assets of the SPC (via the Cayman Subsidiary) to one or more Trading Advisers unaffiliated with the Adviser to manage. The Adviser also has the ultimate responsibility to oversee the Trading Advisers, and to recommend their hiring, termination and replacement, subject to approval by the Board. The Fund compensates the Adviser for its services at an annual rate based on the Fund’s average daily net assets (the “Advisory Fee”), payable on a monthly basis in arrears, as shown in the following table. The Adviser compensates the Trading Advisers out of the Advisory Fee.
The Adviser has contractually agreed to waive its advisory fee and/or reimburse expenses in order to limit total annual Fund operating expenses (excluding certain items discussed below) to the rates (“Expense Caps”) shown in the following table of the Fund’s average daily net assets. In determining the Adviser’s obligation to waive advisory fees and/or reimburse expenses, the following expenses are not taken into account and could cause net total annual Fund operating expenses to exceed the Expense Caps as applicable: acquired fund fees and expenses, brokerage commissions, extraordinary expenses, interest and taxes. This contractual limitation is in effect until December 31, 2021 and may not be terminated without the approval of the Board. The Adviser may discontinue these arrangements at any time after December 31, 2021.
Advisory | Expense Caps | ||
Class A | Class I | Class C | |
1.77% | 2.04% | 1.79% | 2.79% |
During the current fiscal period, investment advisory fees accrued, waived and/or reimbursed were as follows:
Gross | Waivers and/or | Net |
$383,871 | $(120,008) | $263,863 |
If at any time the Fund’s total annual fund operating expenses (not including acquired fund fees and expenses, brokerage commissions, extraordinary items, interest or taxes) for a year are less than the relevant share class’s Expense Cap, the Adviser may recoup any waived or reimbursed amounts from the Fund within three years from the date on which such waiver or reimbursement was made, provided such reimbursement does not cause the Fund to exceed expense limitations that were in effect at the time of the waiver or reimbursement.
As of the end of the reporting period, the Fund had amounts available for recoupment as follows:
Expiration | ||||
August 31, | August 31, | August 31, | August 31, | Total |
$84,306 | $106,779 | $195,654 | $120,008 | $506,747 |
28
Abbey Capital Multi Asset Fund
Notes To Consolidated Financial Statements (Continued)
February 28, 2021 (Unaudited)
Aspect Capital Limited, Crabel Capital Management, LLC, Eclipse Capital Management, Inc., Revolution Capital Management, LLC, Tudor Investment Corporation and Welton Investment Partners, LLC each served as a Trading Adviser to the Fund during the period.
U.S. Bancorp Fund Services, LLC (“Fund Services”), doing business as U.S. Bank Global Fund Services, serves as administrator for the Fund. For providing administrative and accounting services, Fund Services is entitled to receive a monthly fee, subject to certain minimum and out of pocket expenses.
Fund Services serves as the Fund’s transfer and dividend disbursing agent. For providing transfer agent services, Fund Services is entitled to receive a monthly fee, subject to certain minimum and out of pocket expenses.
U.S. Bank, N.A. (the “Custodian”) provides certain custodial services to the Fund. The Custodian is entitled to receive a monthly fee, subject to certain minimum and out of pocket expenses.
Quasar Distributors, LLC (the “Distributor”), a wholly-owned broker-dealer subsidiary of Foreside Financial Group, LLC, serves as the principal underwriter and distributor of the Fund’s shares pursuant to a Distribution Agreement with RBB.
For compensation amounts paid to Fund Services and the Custodian, please refer to the Consolidated Statement of Operations.
The Board has adopted a Plan of Distribution for the Class A Shares and Class C Shares (the “Plan”) pursuant to Rule 12b-1 under the 1940 Act. Under the Plan, the Fund’s distributor is entitled to receive from the Fund a distribution fee with respect to the Shares, which is accrued daily and paid monthly, of up to 0.25% on an annualized basis of the average daily net assets of the Class A Shares and up to 1.00% of the Class C Shares. The actual amount of such compensation under the Plan is agreed upon by the Board and by the Distributor. Because these fees are paid out of the Fund’s assets on an ongoing basis, over time these fees will increase the cost of your investment and may cost you more than paying other types of sales charges. Amounts paid to the Distributor under the Plan may be used by the Distributor to cover expenses that are related to (i) the sale of the Shares, (ii) ongoing servicing and/or maintenance of the accounts of shareholders, and (iii) sub-transfer agency services, subaccounting services or administrative services related to the sale of the Shares, all as set forth in the Fund’s 12b-1 Plan.
3. Director And Officer Compensation
The Directors of the Company receive an annual retainer and meeting fees for meetings attended. An employee of Vigilant Compliance, LLC serves as President and Chief Compliance Officer of the Company. Vigilant Compliance, LLC is compensated for the services provided to the Company. Employees of RBB serve as Treasurer, Secretary and Director of Marketing & Business Development of the Company. They are compensated for services provided. Certain employees of Fund Services serve as officers of the Company. They are not compensated by the Fund or the Company. For Director and Officer compensation amounts, please refer to the Consolidated Statement of Operations.
4. Purchases and Sales of Investment Securities
During the current fiscal period, there were no purchases or sales of investment securities or long-term U.S. Government securities (excluding short-term investments and derivative transactions) by the Fund.
5. Federal Income Tax Information
The Fund has followed the authoritative guidance on accounting for and disclosure of uncertainty in tax positions, which requires the Fund to determine whether a tax position is more likely than not to be sustained upon examination, including resolution of any related appeals or litigation processes, based on the technical merits of the position. The
29
Abbey Capital Multi Asset Fund
Notes To Consolidated Financial Statements (Concluded)
February 28, 2021 (Unaudited)
Fund has determined that there was no effect on the consolidated financial statements from following this authoritative guidance. In the normal course of business, the Fund is subject to examination by federal, state and local jurisdictions, where applicable, for tax years for which applicable statutes of limitations have not expired.
As of August 31, 2020, the federal tax cost and aggregate gross unrealized appreciation and depreciation of investments held by the Fund were as follows(a):
Federal Tax | Unrealized | Unrealized | Net |
$37,526,764 | $1,063 | $(2,161,673) | $(2,160,610) |
(a) | The difference between the book basis and tax basis cost and aggregate gross unrealized appreciation and depreciation of investments is attributable primarily to timing differences related to taxable income from a wholly-owned controlled foreign corporation. |
Distributions to shareholders, if any, from net investment income and realized gains are determined in accordance with federal income tax regulations, which may differ from net investment income and realized gains recognized for financial reporting purposes. Accordingly, the character of distributions and composition of net assets for tax purposes may differ from those reflected in the accompanying consolidated financial statements. To the extent these differences are permanent, such amounts are reclassified within the capital accounts based on the tax treatment; temporary differences do not require such reclassification.
Permanent differences as of August 31, 2020, primarily attributable to disallowed book income from the Cayman Subsidiary were reclassified to the following accounts:
Distributable | Paid-In |
$(1,405,513) | $1,405,513 |
As of August 31, 2020, the components of distributable earnings on a tax basis were as follows:
Undistributed | Undistributed | Net Unrealized | Capital Loss | Qualified | Other |
$2,064,937 | $2,069,200 | $(3,431,476) | $— | $— | $— |
The differences between the book and tax basis components of distributable earnings relate principally to the timing of recognition of income and gains of the Cayman Subsidiary for federal income tax purposes.
The tax character of dividends and distributions paid during the fiscal year ended August 31, 2020 was as follows:
Ordinary | Long-Term | Total |
$2,675,202 | $335,999 | $3,011,201 |
6. Subsequent Events
Management has evaluated the impact of all subsequent events on the Fund through the date the financial statements were issued and has determined that there were no significant events requiring recognition or disclosure in the financial statements.
30
Abbey Capital Multi Asset Fund
Other Information
(Unaudited)
Proxy Voting
Policies and procedures that the Fund uses to determine how to vote proxies relating to portfolio securities as well as information regarding how the Fund voted proxies relating to portfolio securities for the most recent twelve-month period ended June 30 are available without charge, upon request, by calling (844) 261-6484 and on the SEC’s website at http://www.sec.gov.
Quarterly Portfolio Schedules
The Company files its complete schedule of portfolio holdings with the SEC for the first and third fiscal quarters of each fiscal year (quarters ended November 30 and May 31) as an exhibit to its report on Form N-PORT. The Company’s Form N-PORT is available on the SEC’s website at http://www.sec.gov.
Liquidity Risk Management Program
The Company has adopted and implemented a Liquidity Risk Management Program (the “Company Program”) as required by rule 22e-4 under the 1940 Act. In accordance with the Company Program, the Adviser has adopted and implemented a liquidity risk management program (the “Adviser Program” and together with the Company Program, the “Programs”) on behalf of the Fund. The Programs seek to assess, manage and review the Fund’s Liquidity Risk. “Liquidity Risk” is defined as the risk that the Fund could not meet requests to redeem shares issued by the Fund without significant dilution of remaining investors’ interest in the Fund.
The Board has appointed Vigilant Compliance, LLC (“Vigilant”) as the program administrator for the Company Program and the Chief Risk Officer of the Adviser as the program administrator for the Adviser Program. The process of monitoring and determining the liquidity of the Fund’s investments is supported by one or more third-party vendors.
At meetings held during the fiscal period, the Board and its Investment and Liquidity Risk Committee received and reviewed a written report (the “Report”) of Vigilant and the Adviser concerning the operation of the Programs for the period from June 1, 2019 to June 30, 2020 (the “Period”). The Report summarized the operation of the Programs and the information and factors considered by Vigilant and the Adviser in reviewing the adequacy and effectiveness of the implementation of the Programs with respect to the Fund. Such information and factors included, among other things: (i) the methodology used to classify the liquidity of the Fund’s portfolio investments and the Adviser’s assessment that the Fund’s strategy remained appropriate for an open-end mutual fund; (ii) analyses of the Fund’s trading environment and reasonably anticipated trading size; (iii) that the Fund held primarily highly liquid assets (investments that the Fund anticipates can be converted to cash within 3 business days or less in current market conditions without significantly changing their market value); (iv) that the Fund held a percentage of highly liquid assets above its highly liquid investment minimum at all times during the Period; (v) confirmation that the Fund did not breach the 15% maximum illiquid security threshold (investments that cannot be sold or disposed of in seven days or less in current market conditions without the sale of the investment significantly changing the market value of the investment) during the Period and the procedures for monitoring compliance with the limit; (vi) that the processes, technologies and third-party vendors used to assess, manage, and/or periodically review the Fund’s Liquidity Risk functioned appropriately during the Period; and (vii) that the Programs operated adequately during the Period. The Report also indicated that there were no material changes made to the Programs during the Period.
Based on the review, the Report concluded that the Programs were being implemented effectively and reasonably designed to assess and manage Liquidity Risk in the Fund’s portfolio.
There can be no assurance that the Company Program or the Adviser Program will achieve its objectives under all circumstances in the future. Please refer to the Fund’s prospectus for more information regarding the Fund’s exposure to liquidity risk and other risks to which it may be subject.
31
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[THIS PAGE INTENTIONALLY LEFT BLANK]
Investment Adviser
Abbey Capital Limited
1-2 Cavendish Row
Dublin 1, Ireland
Administrator and Transfer Agent
U.S. Bancorp Fund Services, LLC
P.O. Box 701
Milwaukee, WI 53201
Principal Underwriter
Quasar Distributors, LLC
111 E Kilbourn Ave, Suite 2200
Milwaukee, WI 53202
Custodian
U.S. Bank, N.A.
1555 North Rivercenter Drive, Suite 302
Milwaukee, WI 53212
Independent Registered Public Accounting Firm
Ernst & Young LLP
One Commerce Square
2005 Market Street, Suite 700
Philadelphia, PA 19103
Legal Counsel
Faegre Drinker Biddle & Reath LLP.
One Logan Square, Suite 2000
Philadelphia, PA 19103-6996
AMA-SAR21
ADARA SMALLER COMPANIES FUND
of
The RBB Fund, Inc.
SEMI-ANNUAL REPORT
February 28, 2021
(Unaudited)
This report is submitted for the general information of the shareholders of the Fund. It is not authorized for distribution unless preceded or accompanied by a current prospectus for the Fund.
ADARA SMALLER COMPANIES FUND
SEMI-ANNUAL report
Performance Data
February 28, 2021 (UNAUDITED)
Average Annual Total Returns for the Periods Ended February 28, 2021 | ||||||
Six | One | Three | Five | Since | ||
Adara Smaller Companies Fund | 49.19% | 68.03% | 21.47% | 22.16% | 15.86%* | |
Russell 2000® Index | 41.69% | 51.00% | 14.87% | 17.92% | 12.86%** |
† | Not annualized. |
* | The Fund commenced operations on October 21, 2014. |
** | Benchmark performance is from inception date of the Fund only and is not the inception date of the benchmark itself. |
Performance quoted is past performance and does not guarantee future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the returns quoted. Returns shown do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. Performance data current to the most recent month-end may be obtained by calling (844) 261-6482.
The Fund’s total annual Fund operating expenses, as stated in the current prospectus dated December 31, 2020, are 0.90% of average daily net assets. This ratio may differ from the actual expenses incurred by the Fund for the period covered by this report.
The Fund invests in common stocks, preferred stocks, warrants to acquire common stocks and securities convertible into common stocks. Portfolio composition is subject to change.
The Fund evaluates performance as compared to that of the Russell 2000® Index. The Russell 2000® Index is a widely-recognized, capitalization-weighted index that measures the performance of the smallest 2,000 companies in the Russell 3000® Index and is considered representative of small-cap stocks. It is impossible to invest directly in an index.
Investment Considerations
Investing in the Fund involves risk and an investor may lose money. The success of the Fund’s strategy depends on the Adviser’s ability to select Sub-Advisers and each manager’s ability to select investments for the Fund. The Fund may invest in riskier types of investments including small and micro-cap stocks, Initial Public Offerings (IPOs), special situations and illiquid securities all of which may be more volatile and less liquid.
3
ADARA SMALLER COMPANIES FUND
Fund Expense Example
February 28, 2021 (UNAUDITED)
As a shareholder of the Fund, you incur two types of costs: (1) transaction costs and (2) ongoing costs, including management fees and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
This example is based on an investment of $1,000 invested at the beginning of the six-month period from September 1, 2020 through February 28, 2021 and held for the entire period.
Actual Expenses
The first line of the accompanying table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The second line of the accompanying table provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare these 5% hypothetical examples with the 5% hypothetical examples that appear in the shareholder reports of other funds.
Please note that the expenses shown in the accompanying table are meant to highlight your ongoing costs only and do not reflect any transactional costs. Therefore, the second line of the accompanying table is useful in comparing ongoing costs only and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
Beginning | Ending | Expenses Paid | Annualized | Actual Six Month | |
Class I Shares | |||||
Actual | $ 1,000.00 | $ 1,491.90 | $ 5.19 | 0.84% | 49.19% |
Hypothetical (5% return before expenses) | 1,000.00 | 1,020.63 | 4.21 | 0.84% | N/A |
* | Expenses are equal to the Fund’s annualized six-month expense ratio in the table above, multiplied by the average account value over the period, multiplied by the number of days (181) in the most recent fiscal half-year, then divided by 365 to reflect the one-half year period. The Fund’s ending account value on the first line in the table is based on the actual six-month total investment return for the Fund. |
4
ADARA SMALLER COMPANIES FUND
Portfolio Holdings Summary Table
February 28, 2021 (UNAUDITED)
The following table presents a summary by security type of the portfolio holdings of the Fund:
% of Net | Value | |||||||
COMMON STOCKS: | ||||||||
Banks | 8.7 | % | $ | 46,094,210 | ||||
Software | 7.3 | 38,554,883 | ||||||
Healthcare-Products | 5.6 | 29,735,756 | ||||||
Retail | 5.5 | 28,916,889 | ||||||
Biotechnology | 5.1 | 27,222,384 | ||||||
Semiconductors | 5.0 | 26,274,841 | ||||||
Commercial Services | 4.2 | 22,169,429 | ||||||
Internet | 3.9 | 20,837,356 | ||||||
Computers | 3.2 | 16,882,264 | ||||||
Machinery-Diversified | 2.9 | 15,406,756 | ||||||
Auto Parts & Equipment | 2.5 | 13,306,503 | ||||||
Insurance | 2.5 | 13,298,195 | ||||||
REITS | 2.5 | 13,165,088 | ||||||
Transportation | 2.4 | 12,706,452 | ||||||
Telecommunications | 2.3 | 11,957,974 | ||||||
Electronics | 2.2 | 11,813,397 | ||||||
Pharmaceuticals | 2.1 | 10,872,249 | ||||||
Food | 1.6 | 8,506,910 | ||||||
Home Furnishings | 1.5 | 8,075,692 | ||||||
Engineering & Construction | 1.4 | 7,482,930 | ||||||
Savings & Loans | 1.2 | 6,585,452 | ||||||
Oil & Gas | 1.2 | 6,505,587 | ||||||
Healthcare-Services | 1.2 | 6,461,661 | ||||||
Oil & Gas Services | 1.2 | 6,264,436 | ||||||
Diversified Financial Services | 1.2 | 6,194,047 | ||||||
Entertainment | 1.1 | 5,877,394 | ||||||
Home Builders | 1.1 | 5,669,333 | ||||||
Agriculture | 1.0 | 5,159,449 | ||||||
Environmental Control | 0.9 | 4,926,097 | ||||||
Aerospace/Defense | 0.9 | 4,769,225 | ||||||
Building Materials | 0.9 | 4,564,367 | ||||||
Leisure Time | 0.8 | 4,436,308 | ||||||
Distribution/Wholesale | 0.8 | 4,363,159 | ||||||
Miscellaneous Manufacturing | 0.8 | 4,325,945 | ||||||
Energy-Alternate Sources | 0.8 | 4,067,942 | ||||||
Airlines | 0.7 | 3,905,169 | ||||||
Metal Fabricate/Hardware | 0.7 | 3,694,199 | ||||||
Apparel | 0.6 | 3,264,004 | ||||||
Machinery-Construction & Mining | 0.6 | 3,116,448 | ||||||
Investment Companies | 0.6 | 3,086,701 | ||||||
Beverages | 0.6 | 3,037,163 | ||||||
Real Estate | 0.6 | 2,998,381 | ||||||
Electrical Components & Equipment | 0.5 | 2,895,865 | ||||||
Textiles | 0.5 | 2,476,294 | ||||||
Housewares | 0.5 | 2,461,918 | ||||||
Chemicals | 0.4 | 2,301,587 | ||||||
Hand/Machine Tools | 0.4 | 2,300,243 | ||||||
Cosmetics/Personal Care | 0.4 | 1,997,935 | ||||||
Lodging | 0.3 | 1,723,930 | ||||||
Gas | 0.2 | 1,219,021 | ||||||
Mining | 0.2 | 906,750 | ||||||
Holding Companies-Divers | 0.2 | 893,791 | ||||||
Packaging & Containers | 0.2 | 779,806 | ||||||
Media | 0.1 | 723,598 | ||||||
Iron/Steel | 0.1 | 651,831 | ||||||
Electric | 0.1 | 597,998 | ||||||
Forest Products & Paper | 0.1 | 419,672 | ||||||
Coal | 0.1 | 416,813 | ||||||
Household Products/Wares | 0.1 | 416,310 | ||||||
Water | 0.1 | 277,771 | ||||||
Office/Business Equipment | 0.0 | 166,378 | ||||||
Auto Manufacturers | 0.0 | 149,552 | ||||||
Office Furnishings | 0.0 | 73,949 | ||||||
Advertising | 0.0 | 37,666 | ||||||
SHORT-TERM INVESTMENTS | 3.9 | 20,792,323 | ||||||
LIABILITIES IN EXCESS OF OTHER ASSETS | (0.3 | ) | (1,583,952 | ) | ||||
NET ASSETS | 100.0 | % | $ | 529,649,674 |
Portfolio holdings are subject to change at any time.
The accompanying notes are an integral part of the financial statements.
5
ADARA SMALLER COMPANIES FUND
Portfolio of Investments
February 28, 2021 (Unaudited)
Number of | Value | |||||||
COMMON STOCKS — 96.4% | ||||||||
Advertising — 0.0% | ||||||||
National CineMedia, Inc. | 7,980 | $ | 37,666 | |||||
Aerospace/Defense — 0.9% | ||||||||
AAR Corp.* | 11,755 | 467,614 | ||||||
Aerovironment, Inc.* | 1,433 | 157,745 | ||||||
Barnes Group, Inc. | 208 | 10,889 | ||||||
Cubic Corp. | 15,404 | 1,069,808 | ||||||
Embraer SA, SP ADR* | 154,833 | 1,362,530 | ||||||
Hexcel Corp.* | 15,628 | 840,161 | ||||||
Mercury Systems, Inc.* | 2,290 | 149,674 | ||||||
Moog, Inc., Class A | 1,762 | 136,837 | ||||||
National Presto Industries, Inc. | 728 | 74,496 | ||||||
Park Aerospace Corp. | 35,959 | 499,471 | ||||||
4,769,225 | ||||||||
Agriculture — 1.0% | ||||||||
Darling Ingredients, Inc.* | 8,943 | 563,767 | ||||||
Fresh Del Monte Produce, Inc. | 3,240 | 83,398 | ||||||
Tejon Ranch Co.* | 2,951 | 48,160 | ||||||
Turning Point Brands, Inc. | 33,572 | 1,651,742 | ||||||
Universal Corp. | 3,775 | 191,846 | ||||||
Vector Group Ltd. | 9,371 | 127,914 | ||||||
Village Farms International, Inc.* | 130,904 | 2,066,974 | ||||||
Vital Farms, Inc.* | 15,695 | 425,648 | ||||||
5,159,449 | ||||||||
Airlines — 0.7% | ||||||||
Allegiant Travel Co.* | 3,982 | 1,004,220 | ||||||
Mesa Air Group, Inc.* | 76,780 | 936,716 | ||||||
SkyWest, Inc.* | 12,143 | 684,501 | ||||||
Spirit Airlines, Inc.* | 35,667 | 1,279,732 | ||||||
3,905,169 | ||||||||
Apparel — 0.6% | ||||||||
Capri Holdings Ltd.* | 5,836 | 272,366 | ||||||
Crocs, Inc.* | 34,950 | 2,681,364 | ||||||
Kontoor Brands, Inc. | 4,168 | 176,098 | ||||||
Skechers U.S.A., Inc., Class A* | 3,666 | 134,176 | ||||||
3,264,004 | ||||||||
Auto Manufacturers — 0.0% | ||||||||
Wabash National Corp. | 9,020 | 149,552 | ||||||
Auto Parts & Equipment — 2.5% | ||||||||
Dorman Products, Inc.* | 1,452 | 144,779 | ||||||
Fox Factory Holding Corp.* | 17,080 | 2,171,722 | ||||||
Gentherm, Inc.* | 3,355 | 237,500 | ||||||
Meritor, Inc.* | 26,341 | 799,976 | ||||||
Methode Electronics, Inc. | 18,360 | 714,755 | ||||||
Modine Manufacturing Co.* | 57,238 | 793,891 | ||||||
Motorcar Parts of America, Inc.* | 2,100 | 44,688 | ||||||
Shyft Group Inc., (The) | 145,066 | 4,771,221 | ||||||
Unique Fabricating, Inc.* | 211,220 | 1,436,296 | ||||||
Westport Fuel Systems, Inc.* | 63,280 | 592,934 |
Number of | Value | |||||||
Auto Parts & Equipment — (Continued) | ||||||||
XPEL, Inc.* | 33,066 | $ | 1,598,741 | |||||
13,306,503 | ||||||||
Banks — 8.7% | ||||||||
Allegiance Bancshares, Inc. | 1,446 | 54,442 | ||||||
American River Bankshares | 111,864 | 1,654,468 | ||||||
Ameris Bancorp | 2,245 | 106,952 | ||||||
Atlantic Capital Bancshares, Inc.* | 58,762 | 1,195,807 | ||||||
Bank of Commerce Holdings | 153,260 | 1,665,936 | ||||||
Banner Corp. | 1,733 | 89,735 | ||||||
Baycom Corp.* | 31,568 | 539,497 | ||||||
Boston Private Financial Holdings, Inc. | 35,397 | 487,063 | ||||||
Cadence BanCorp | 43,952 | 901,895 | ||||||
Capital Bancorp, Inc.* | 90,320 | 1,440,604 | ||||||
Central Pacific Financial Corp. | 3,784 | 85,632 | ||||||
City Holding Co. | 4,208 | 316,484 | ||||||
Civista Bancshares, Inc. | 56,670 | 1,089,764 | ||||||
Community Bank System, Inc. | 1,997 | 142,166 | ||||||
Community Trust Bancorp, Inc. | 1,481 | 60,514 | ||||||
Customers Bancorp, Inc.* | 13,377 | 358,236 | ||||||
CVB Financial Corp. | 8,715 | 186,588 | ||||||
Dime Community Bancshares, Inc. | 2,193 | 64,496 | ||||||
Eagle Bancorp, Inc. | 2,728 | 133,372 | ||||||
Esquire Financial Holdings, Inc.* | 106,765 | 2,382,995 | ||||||
Farmers National Bancorp | 97,200 | 1,345,248 | ||||||
First BanCorp | 46,257 | 485,236 | ||||||
First Bancshares, Inc., (The) | 37,480 | 1,201,984 | ||||||
First Business Financial Services, Inc. | 74,839 | 1,661,426 | ||||||
First Commonwealth Financial Corp. | 18,699 | 250,754 | ||||||
First Financial Bancorp | 24,487 | 549,243 | ||||||
First Financial Bankshares, Inc. | 13,162 | 587,815 | ||||||
First Hawaiian, Inc. | 13,502 | 376,571 | ||||||
First Midwest Bancorp, Inc. | 9,219 | 182,352 | ||||||
First Northwest Bancorp | 78,120 | 1,271,794 | ||||||
Flagstar Bancorp, Inc. | 2,203 | 95,588 | ||||||
Glacier Bancorp, Inc. | 3,879 | 210,242 | ||||||
Great Western Bancorp, Inc. | 3,502 | 93,959 | ||||||
Heritage Financial Corp. | 5,563 | 144,026 | ||||||
HomeStreet, Inc. | 2,570 | 110,407 | ||||||
Hope Bancorp, Inc. | 28,103 | 369,835 | ||||||
Horizon Bancorp | 50,107 | 894,911 | ||||||
Independent Bank Corp. | 1,226 | 104,835 | ||||||
Independent Bank Group, Inc. | 581 | 40,490 | ||||||
LCNB Corp. | 75,165 | 1,275,550 | ||||||
Live Oak Bancshares, Inc. | 35,572 | 1,960,373 | ||||||
Meta Financial Group, Inc. | 31,733 | 1,405,454 |
The accompanying notes are an integral part of the financial statements.
6
ADARA SMALLER COMPANIES FUND
Portfolio of Investments (Continued)
February 28, 2021 (Unaudited)
Number of | Value | |||||||
Banks — (Continued) | ||||||||
Metropolitan Bank Holding Corp.* | 43,056 | $ | 2,227,287 | |||||
NBT Bancorp, Inc. | 1,326 | 48,041 | ||||||
Northeast Bank | 100,640 | 2,613,621 | ||||||
OFG Bancorp | 8,517 | 164,463 | ||||||
Orrstown Financial Services, Inc. | 48,920 | 952,962 | ||||||
Parke Bancorp, Inc. | 92,271 | 1,674,719 | ||||||
Preferred Bank | 2,012 | 116,595 | ||||||
Premier Financial Bancorp, Inc. | 96,777 | 1,503,914 | ||||||
S&T Bancorp, Inc. | 9,347 | 269,941 | ||||||
Seacoast Banking Corp. of Florida* | 28,135 | 1,011,453 | ||||||
Silvergate Capital Corp., Class A* | 18,177 | 2,318,658 | ||||||
Simmons First National Corp., Class A | 4,546 | 133,107 | ||||||
Southside Bancshares, Inc. | 4,513 | 156,059 | ||||||
Tompkins Financial Corp. | 1,660 | 128,368 | ||||||
Triumph Bancorp, Inc.* | 26,944 | 2,066,605 | ||||||
TrustCo Bank Corp. | 9,324 | 64,149 | ||||||
UMB Financial Corp. | 3,164 | 266,947 | ||||||
United Community Banks, Inc. | 12,730 | 420,854 | ||||||
Veritex Holdings, Inc. | 11,815 | 343,580 | ||||||
Walker & Dunlop, Inc. | 1,239 | 123,479 | ||||||
West Bancorporation, Inc. | 77,650 | 1,772,749 | ||||||
Westamerica Bancorp | 2,361 | 141,920 | ||||||
46,094,210 | ||||||||
Beverages — 0.6% | ||||||||
Celsius Holdings, Inc.* | 50,020 | 2,977,691 | ||||||
MGP Ingredients, Inc. | 931 | 59,472 | ||||||
3,037,163 | ||||||||
Biotechnology — 5.1% | ||||||||
Agrify Corp.* | 77,172 | 989,345 | ||||||
Allogene Therapeutics, Inc.* | 17,614 | 611,382 | ||||||
AnaptysBio, Inc.* | 31,644 | 908,183 | ||||||
ANI Pharmaceuticals, Inc.* | 1,201 | 34,949 | ||||||
Apellis Pharmaceuticals, Inc.* | 18,260 | 879,584 | ||||||
Applied Therapeutics, Inc.* | 34,079 | 740,196 | ||||||
Avid Bioservices, Inc.* | 91,895 | 1,891,199 | ||||||
Aziyo Biologics, Inc., Class A* | 21,158 | 336,835 | ||||||
Biohaven Pharmaceutical Holding Co., Ltd.* | 6,772 | 575,485 | ||||||
Black Diamond Therapeutics, Inc.* | 15,010 | 420,280 | ||||||
Celldex Therapeutics, Inc.* | 22,083 | 598,008 | ||||||
Cogent Biosciences, Inc.* | 31,805 | 249,351 | ||||||
Crinetics Pharmaceuticals, Inc.* | 61,321 | 937,598 | ||||||
Emergent BioSolutions, Inc.* | 10,583 | 1,015,968 | ||||||
Essa Pharma, Inc.* | 24,520 | 664,247 | ||||||
EyePoint Pharmaceuticals, Inc.* | 53,379 | 577,027 | ||||||
Gamida Cell Ltd.* | 67,430 | 631,145 |
Number of | Value | |||||||
Biotechnology — (Continued) | ||||||||
Intra-Cellular Therapies, Inc.* | 14,981 | $ | 530,777 | |||||
Ligand Pharmaceuticals, Inc.* | 978 | 144,959 | ||||||
Mirati Therapeutics, Inc.* | 5,694 | 1,144,039 | ||||||
Myriad Genetics, Inc.* | 3,311 | 100,952 | ||||||
Nektar Therapeutics* | 5,506 | 124,931 | ||||||
NeoGenomics, Inc.* | 33,647 | 1,714,988 | ||||||
Olema Pharmaceuticals, Inc.* | 11,896 | 474,888 | ||||||
Relay Therapeutics, Inc.* | 56,047 | 2,313,060 | ||||||
Seer, Inc.* | 14,105 | 680,284 | ||||||
SpringWorks Therapeutics, Inc.* | 39,588 | 3,406,547 | ||||||
TG Therapeutics, Inc.* | 16,279 | 712,532 | ||||||
Turning Point Therapeutics, Inc.* | 12,145 | 1,432,017 | ||||||
Twist Bioscience Corp.* | 7,814 | 1,075,519 | ||||||
UNITY Biotechnology, Inc.* | 6,262 | 42,644 | ||||||
Xenon Pharmaceuticals, Inc.* | 21,649 | 404,403 | ||||||
Y-mAbs Therapeutics, Inc.* | 24,426 | 859,062 | ||||||
27,222,384 | ||||||||
Building Materials — 0.9% | ||||||||
AAON, Inc. | 2,783 | 214,569 | ||||||
American Woodmark Corp.* | 2,580 | 240,998 | ||||||
Apogee Enterprises, Inc. | 7,722 | 288,803 | ||||||
Armstrong World Industries, Inc. | 16,311 | 1,395,895 | ||||||
AZEK Co., Inc., (The)* | 17,975 | 792,877 | ||||||
Boise Cascade Co. | 3,571 | 178,336 | ||||||
Gibraltar Industries, Inc.* | 4,141 | 361,716 | ||||||
PGT Innovations, Inc.* | 6,101 | 143,923 | ||||||
Simpson Manufacturing Co., Inc. | 2,069 | 201,645 | ||||||
SPX Corp.* | 4,521 | 251,322 | ||||||
UFP Industries, Inc. | 8,103 | 494,283 | ||||||
4,564,367 | ||||||||
Chemicals — 0.4% | ||||||||
AdvanSix, Inc.* | 3,917 | 108,893 | ||||||
American Vanguard Corp. | 1,365 | 26,645 | ||||||
Axalta Coating Systems Ltd.* | 17,118 | 468,006 | ||||||
Balchem Corp. | 1,142 | 136,309 | ||||||
Chemours Co., (The) | 9,276 | 218,264 | ||||||
GCP Applied Technologies, Inc.* | 3,880 | 96,185 | ||||||
Innospec, Inc. | 1,121 | 112,604 | ||||||
Koppers Holdings, Inc.* | 7,974 | 266,411 | ||||||
Kraton Corp.* | 5,466 | 203,281 | ||||||
Rogers Corp.* | 1,868 | 339,005 | ||||||
Stepan Co. | 2,701 | 325,984 | ||||||
2,301,587 | ||||||||
Coal — 0.1% | ||||||||
Warrior Met Coal, Inc. | 21,743 | 416,813 | ||||||
Commercial Services — 4.2% | ||||||||
Acacia Research Corp.* | 304,070 | 2,158,897 | ||||||
Alarm.com Holdings, Inc.* | 394 | 34,625 | ||||||
American Public Education, Inc.* | 1,140 | 33,562 | ||||||
AMN Healthcare Services, Inc.* | 3,294 | 240,034 |
The accompanying notes are an integral part of the financial statements.
7
ADARA SMALLER COMPANIES FUND
Portfolio of Investments (Continued)
February 28, 2021 (Unaudited)
Number of | Value | |||||||
Commercial Services — (Continued) | ||||||||
ARC Document Solutions, Inc. | 568,860 | $ | 1,200,295 | |||||
ASGN, Inc.* | 2,386 | 221,826 | ||||||
Barrett Business Services, Inc. | 41,798 | 2,976,018 | ||||||
BGSF, Inc. | 138,670 | 1,933,060 | ||||||
Brink’s Co., (The) | 4,054 | 311,469 | ||||||
CAI International, Inc. | 57,520 | 2,530,880 | ||||||
Cass Information Systems, Inc. | 1,240 | 53,419 | ||||||
CoreCivic, Inc.* | 124,117 | 891,160 | ||||||
CRA International, Inc. | 41,300 | 2,278,521 | ||||||
Cross Country Healthcare, Inc.* | 6,965 | 77,381 | ||||||
Deluxe Corp. | 1,530 | 60,481 | ||||||
Ennis, Inc. | 9,230 | 182,939 | ||||||
Forrester Research, Inc.* | 938 | 42,379 | ||||||
Green Dot Corp., Class A* | 4,948 | 233,842 | ||||||
HealthEquity, Inc.* | 10,908 | 898,274 | ||||||
Heidrick & Struggles International, Inc. | 2,031 | 72,893 | ||||||
HMS Holdings Corp.* | 9,256 | 340,482 | ||||||
Insperity, Inc. | 4,690 | 416,003 | ||||||
MarketAxess Holdings, Inc. | 1,203 | 668,796 | ||||||
Medifast, Inc. | 1,970 | 498,390 | ||||||
Monro Muffler Brake, Inc. | 1,999 | 123,918 | ||||||
Progyny, Inc.* | 16,883 | 710,605 | ||||||
Rent-A-Center, Inc. | 3,409 | 196,904 | ||||||
Resources Connection, Inc. | 5,457 | 69,631 | ||||||
SP Plus Corp.* | 20,477 | 678,812 | ||||||
Strategic Education, Inc. | 2,810 | 255,485 | ||||||
TechTarget, Inc.* | 9,258 | 774,246 | ||||||
Viad Corp.* | 24,001 | 1,004,202 | ||||||
22,169,429 | ||||||||
Computers — 3.2% | ||||||||
3D Systems Corp.* | 10,015 | 358,938 | ||||||
CACI International, Inc., Class A* | 1,145 | 253,434 | ||||||
Cognyte Software Ltd.* | 26,465 | 764,045 | ||||||
Computer Services, Inc. | 16,980 | 1,018,800 | ||||||
Diebold Nixdorf, Inc.* | 12,251 | 177,884 | ||||||
DXC Technology Co.* | 39,946 | 1,007,438 | ||||||
Endava PLC, SP ADR* | 28,201 | 2,494,378 | ||||||
ExlService Holdings, Inc.* | 1,497 | 126,676 | ||||||
Insight Enterprises, Inc.* | 2,176 | 181,892 | ||||||
MAXIMUS, Inc. | 11,850 | 963,168 | ||||||
MTS Systems Corp.* | 6,227 | 363,408 | ||||||
NCR Corp.* | 51,206 | 1,779,921 | ||||||
OneSpan, Inc.* | 1,543 | 36,044 | ||||||
Perspecta, Inc. | 37,444 | 1,093,365 | ||||||
Quantum Corp.* | 230,500 | 1,922,370 | ||||||
Rimini Street, Inc.* | 217,562 | 1,690,457 | ||||||
Science Applications International Corp. | 1,681 | 144,785 | ||||||
Telos Corp.* | 18,405 | 613,255 | ||||||
Tenable Holdings, Inc.* | 18,054 | 738,589 | ||||||
TTEC Holdings, Inc. | 3,501 | 294,574 |
Number of | Value | |||||||
Computers — (Continued) | ||||||||
Unisys Corp.* | 1,755 | $ | 43,085 | |||||
WNS Holdings, Ltd., ADR* | 10,919 | 815,758 | ||||||
16,882,264 | ||||||||
Cosmetics/Personal Care — 0.4% | ||||||||
elf Beauty, Inc.* | 35,388 | 907,702 | ||||||
Inter Parfums, Inc.* | 14,900 | 1,090,233 | ||||||
1,997,935 | ||||||||
Distribution/Wholesale — 0.8% | ||||||||
Core-Mark Holding Co., Inc. | 2,213 | 72,100 | ||||||
Fossil Group, Inc.* | 4,632 | 70,128 | ||||||
G-III Apparel Group Ltd.* | 19,012 | 547,355 | ||||||
Manitex International, Inc.* | 300,110 | 2,256,827 | ||||||
Pool Corp. | 2,106 | 705,026 | ||||||
RESIDEO TECHNOLOGIES, Inc.* | 7,214 | 173,280 | ||||||
SiteOne Landscape Supply, Inc.* | 3,209 | 508,659 | ||||||
WESCO International, Inc.* | 371 | 29,784 | ||||||
4,363,159 | ||||||||
Diversified Financial Services — 1.2% | ||||||||
Cowen, Inc., Class A | 37,724 | 1,276,958 | ||||||
Encore Capital Group, Inc.* | 3,458 | 115,566 | ||||||
Enova International, Inc.* | 3,612 | 110,888 | ||||||
Evercore Partners, Inc., Class A | 6,504 | 778,984 | ||||||
Houlihan Lokey, Inc. | 11,981 | 761,512 | ||||||
Interactive Brokers Group, Inc., Class A | 3,063 | 221,731 | ||||||
Moelis & Co., Class A | 13,979 | 721,876 | ||||||
Silvercrest Asset Management Group, Inc., Class A | 112,956 | 1,585,902 | ||||||
Virtus Investment Partners, Inc. | 807 | 202,476 | ||||||
Waddell & Reed Financial, Inc., Class A | 5,577 | 139,927 | ||||||
WisdomTree Investments, Inc. | 1,040 | 5,512 | ||||||
World Acceptance Corp.* | 2,155 | 272,715 | ||||||
6,194,047 | ||||||||
Electric — 0.1% | ||||||||
ALLETE, Inc. | 534 | 33,177 | ||||||
Ameresco, Inc., Class A* | 7,956 | 454,447 | ||||||
Unitil Corp. | 2,638 | 110,374 | ||||||
597,998 | ||||||||
Electrical Components & Equipment — 0.5% | ||||||||
Encore Wire Corp. | 1,278 | 83,747 | ||||||
Insteel Industries, Inc. | 708 | 21,863 | ||||||
Littelfuse, Inc. | 1,079 | 280,777 | ||||||
nLight, Inc.* | 65,831 | 2,509,478 | ||||||
2,895,865 | ||||||||
Electronics — 2.2% | ||||||||
Atkore International Group, Inc.* | 18,742 | 1,267,896 | ||||||
Brady Corp., Class A | 2,928 | 153,457 | ||||||
Camtek Ltd. (Israel)* | 23,049 | 636,152 |
The accompanying notes are an integral part of the financial statements.
8
ADARA SMALLER COMPANIES FUND
Portfolio of Investments (Continued)
February 28, 2021 (Unaudited)
Number of | Value | |||||||
Electronics — (Continued) | ||||||||
Coherent, Inc.* | 1,014 | $ | 245,327 | |||||
Comtech Telecommunications Corp. | 98,797 | 2,655,663 | ||||||
FARO Technologies, Inc.* | 2,255 | 210,752 | ||||||
II-VI, Inc.* | 3,812 | 321,352 | ||||||
Itron, Inc.* | 12,808 | 1,501,610 | ||||||
Ituran Location and Control Ltd.* | 27,351 | 592,970 | ||||||
Kimball Electronics, Inc.* | 24,490 | 575,025 | ||||||
nVent Electric PLC | 11,997 | 315,041 | ||||||
OSI Systems, Inc.* | 1,136 | 107,488 | ||||||
Plexus Corp.* | 2,641 | 221,791 | ||||||
Rekor Systems, Inc.* | 45,819 | 708,362 | ||||||
Sanmina Corp.* | 6,648 | 236,802 | ||||||
SMTC Corp.* | 122,010 | 712,538 | ||||||
SYNNEX Corp. | 830 | 74,003 | ||||||
TTM Technologies, Inc.* | 8,548 | 120,698 | ||||||
Vicor Corp.* | 11,742 | 1,156,470 | ||||||
11,813,397 | ||||||||
Energy-Alternate Sources — 0.8% | ||||||||
Green Plains, Inc.* | 25,355 | 641,989 | ||||||
Plug Power, Inc.* | 15,344 | 742,343 | ||||||
Renewable Energy Group, Inc.* | 4,229 | 328,889 | ||||||
REX American Resources Corp.* | 840 | 79,019 | ||||||
SolarEdge Technologies, Inc.* | 1,052 | 313,822 | ||||||
Sunnova Energy International, Inc.* | 25,130 | 1,126,829 | ||||||
TPI Composites, Inc.* | 17,521 | 835,051 | ||||||
4,067,942 | ||||||||
Engineering & Construction — 1.4% | ||||||||
Aegion Corp.* | 6,474 | 167,353 | ||||||
Arcosa, Inc. | 619 | 35,116 | ||||||
Comfort Systems USA, Inc. | 27,414 | 1,698,023 | ||||||
EMCOR Group, Inc. | 4,741 | 461,631 | ||||||
Exponent, Inc. | 11,503 | 1,109,695 | ||||||
Mistras Group, Inc.* | 47,590 | 378,816 | ||||||
MYR Group, Inc.* | 5,139 | 302,944 | ||||||
Sterling Construction Co., Inc.* | 79,950 | 1,821,261 | ||||||
TopBuild Corp.* | 2,707 | 515,440 | ||||||
WillScot Mobile Mini Holdings Corp., Class A* | 35,797 | 992,651 | ||||||
7,482,930 | ||||||||
Entertainment — 1.1% | ||||||||
Bally’s Corp.* | 40,278 | 2,397,346 | ||||||
Everi Holdings, Inc.* | 112,898 | 1,705,889 | ||||||
GAN Ltd.* | 49,641 | 1,267,831 | ||||||
Monarch Casino & Resort, Inc.* | 3,215 | 217,527 | ||||||
Scientific Games Corp.* | 6,167 | 288,801 | ||||||
5,877,394 | ||||||||
Environmental Control — 0.9% | ||||||||
Harsco Corp.* | 52,837 | 864,414 |
Number of | Value | |||||||
Environmental Control — (Continued) | ||||||||
Montrose Environmental Group, Inc.* | 58,701 | $ | 2,869,305 | |||||
Tetra Tech, Inc. | 3,198 | 442,507 | ||||||
US Ecology, Inc.* | 19,625 | 749,871 | ||||||
4,926,097 | ||||||||
Food — 1.6% | ||||||||
B&G Foods, Inc. | 10,026 | 304,089 | ||||||
Cal-Maine Foods, Inc.* | 1,270 | 48,387 | ||||||
Hostess Brands, Inc.* | 117,747 | 1,694,379 | ||||||
Ingles Markets, Inc., Class A | 19,436 | 1,009,895 | ||||||
J&J Snack Foods Corp. | 578 | 91,763 | ||||||
Laird Superfood, Inc.* | 12,813 | 505,729 | ||||||
Landec Corp.* | 131,885 | 1,470,518 | ||||||
Sanderson Farms, Inc. | 1,371 | 209,077 | ||||||
SpartanNash Co. | 7,719 | 140,717 | ||||||
SunOpta, Inc.* | 97,201 | 1,510,504 | ||||||
United Natural Foods, Inc.* | 8,258 | 218,424 | ||||||
Weis Markets, Inc. | 1,995 | 106,633 | ||||||
Whole Earth Brands, Inc.* | 93,281 | 1,196,795 | ||||||
8,506,910 | ||||||||
Forest Products & Paper — 0.1% | ||||||||
Clearwater Paper Corp., Class A* | 2,737 | 95,822 | ||||||
Glatfelter Corp. | 1,806 | 28,986 | ||||||
Schweitzer-Mauduit International, Inc. | 6,314 | 294,864 | ||||||
419,672 | ||||||||
Gas — 0.2% | ||||||||
Northwest Natural Holding, Co. | 13,528 | 649,209 | ||||||
Southwest Gas Holdings, Inc. | 8,569 | 534,277 | ||||||
Spire, Inc. | 535 | 35,535 | ||||||
1,219,021 | ||||||||
Hand/Machine Tools — 0.4% | ||||||||
Franklin Electric Co., Inc. | 1,896 | 142,314 | ||||||
Hurco Cos., Inc. | 47,350 | 1,488,211 | ||||||
MSA Safety, Inc. | 4,160 | 669,718 | ||||||
2,300,243 | ||||||||
Healthcare-Products — 5.6% | ||||||||
ABIOMED, Inc.* | 1,453 | 471,571 | ||||||
Accuray, Inc.* | 6,598 | 32,858 | ||||||
Acutus Medical, Inc.* | 31,063 | 644,868 | ||||||
Adaptive Biotechnologies Corp.* | 10,077 | 570,056 | ||||||
Alphatec Holdings, Inc.* | 168,343 | 2,701,905 | ||||||
Axonics Modulation Technologies, Inc.* | 26,669 | 1,341,717 | ||||||
BioLife Solutions, Inc.* | 10,548 | 413,798 | ||||||
Castle Biosciences, Inc.* | 25,449 | 1,936,160 | ||||||
Cerus Corp.* | 71,465 | 438,795 | ||||||
CRH Medical Corp.* | 388,986 | 1,505,376 | ||||||
GenMark Diagnostics, Inc.* | 59,729 | 1,167,702 |
The accompanying notes are an integral part of the financial statements.
9
ADARA SMALLER COMPANIES FUND
Portfolio of Investments (Continued)
February 28, 2021 (Unaudited)
Number of | Value | |||||||
Healthcare-Products — (Continued) | ||||||||
Glaukos Corp.* | 1,260 | $ | 119,146 | |||||
Haemonetics Corp.* | 3,260 | 412,390 | ||||||
ICU Medical, Inc.* | 578 | 119,935 | ||||||
Inari Medical, Inc.* | 7,576 | 792,450 | ||||||
Inogen, Inc.* | 810 | 42,517 | ||||||
Inspire Medical Systems, Inc.* | 11,021 | 2,565,579 | ||||||
Integra LifeSciences Holdings Corp.* | 3,088 | 211,034 | ||||||
Invacare Corp.* | 3,749 | 34,116 | ||||||
Luminex Corp. | 2,591 | 84,259 | ||||||
Masimo Corp.* | 2,530 | 634,347 | ||||||
Meridian Bioscience, Inc.* | 4,211 | 88,768 | ||||||
Merit Medical Systems, Inc.* | 3,088 | 172,063 | ||||||
Natera, Inc.* | 24,691 | 2,866,378 | ||||||
Natus Medical, Inc.* | 1,895 | 49,099 | ||||||
Neogen Corp.* | 2,310 | 189,235 | ||||||
NuVasive, Inc.* | 789 | 47,600 | ||||||
Omnicell, Inc.* | 8,850 | 1,123,065 | ||||||
OraSure Technologies, Inc.* | 9,706 | 102,884 | ||||||
OrthoPediatrics Corp.* | 17,822 | 970,586 | ||||||
Pulmonx Corp.* | 14,584 | 828,809 | ||||||
Quanterix Corp.* | 22,158 | 1,678,469 | ||||||
Repligen Corp.* | 5,967 | 1,267,331 | ||||||
SeaSpine Holdings Corp.* | 45,823 | 866,971 | ||||||
SI-BONE, Inc.* | 39,237 | 1,231,649 | ||||||
Sientra, Inc.* | 70,326 | 547,136 | ||||||
Surmodics, Inc.* | 1,097 | 57,209 | ||||||
Tandem Diabetes Care, Inc.* | 4,527 | 434,547 | ||||||
Varex Imaging Corp.* | 7,739 | 177,455 | ||||||
West Pharmaceutical Services, Inc. | 2,836 | 795,923 | ||||||
29,735,756 | ||||||||
Healthcare-Services — 1.2% | ||||||||
Amedisys, Inc.* | 2,182 | 553,442 | ||||||
Chemed Corp. | 621 | 276,475 | ||||||
Community Health Systems, Inc.* | 2,836 | 24,276 | ||||||
eHealth, Inc.* | 1,438 | 85,446 | ||||||
Ensign Group, Inc., (The) | 2,070 | 169,781 | ||||||
Fulgent Genetics, Inc.* | 12,981 | 1,314,456 | ||||||
LHC Group, Inc.* | 6,070 | 1,102,980 | ||||||
MEDNAX, Inc.* | 28,434 | 694,643 | ||||||
ModivCare, Inc.* | 2,212 | 283,711 | ||||||
National HealthCare Corp. | 783 | 54,458 | ||||||
Ontrak, Inc.* | 5,772 | 340,202 | ||||||
Pennant Group Inc., (The)* | 2,221 | 117,224 | ||||||
Personalis, Inc.* | 38,664 | 1,192,011 | ||||||
RadNet, Inc.* | 2,821 | 52,019 | ||||||
Tivity Health, Inc.* | 2,357 | 56,097 | ||||||
US Physical Therapy, Inc. | 1,232 | 144,440 | ||||||
6,461,661 |
Number of | Value | |||||||
Holding Companies-Divers — 0.2% | ||||||||
CF Finance Acquisition Corp. II, Class A* | 89,648 | $ | 893,791 | |||||
Home Builders — 1.1% | ||||||||
Century Communities, Inc.* | 9,495 | 525,358 | ||||||
Installed Building Products, Inc. | 9,774 | 1,068,885 | ||||||
LCI Industries | 2,012 | 283,571 | ||||||
LGI Homes, Inc.* | 6,282 | 686,308 | ||||||
M/I Homes, Inc.* | 5,874 | 293,113 | ||||||
MDC Holdings, Inc. | 4,064 | 229,900 | ||||||
Skyline Corp.* | 50,127 | 2,218,120 | ||||||
Winnebago Industries, Inc. | 5,231 | 364,078 | ||||||
5,669,333 | ||||||||
Home Furnishings — 1.5% | ||||||||
Ethan Allen Interiors, Inc. | 5,139 | 131,661 | ||||||
iRobot Corp.* | 2,288 | 283,964 | ||||||
Lovesac Co., (The)* | 34,047 | 1,964,172 | ||||||
Purple Innovation, Inc.* | 68,279 | 2,511,984 | ||||||
Sleep Number Corp.* | 2,991 | 410,156 | ||||||
Universal Electronics, Inc.* | 29,380 | 1,709,622 | ||||||
VOXX International Corp.* | 51,333 | 1,064,133 | ||||||
8,075,692 | ||||||||
Household Products/Wares — 0.1% | ||||||||
Central Garden & Pet Co.* | 1,283 | 58,505 | ||||||
Quanex Building Products Corp. | 1,957 | 47,614 | ||||||
WD-40 Co. | 995 | 310,191 | ||||||
416,310 | ||||||||
Housewares — 0.5% | ||||||||
Lifetime Brands, Inc. | 141,800 | 1,839,146 | ||||||
Tupperware Brands Corp.* | 20,372 | 622,772 | ||||||
2,461,918 | ||||||||
Insurance — 2.5% | ||||||||
American Equity Investment Life Holding Co. | 53,296 | 1,472,568 | ||||||
Axis Capital Holdings Ltd. | 27,937 | 1,411,657 | ||||||
BRP Group, Inc., Class A* | 35,315 | 936,907 | ||||||
Employers Holdings, Inc. | 3,682 | 122,574 | ||||||
Genworth Financial, Inc., Class A* | 197,438 | 616,006 | ||||||
GoHealth, Inc., Class A* | 48,314 | 655,621 | ||||||
Goosehead Insurance, Inc., Class A | 12,972 | 1,680,393 | ||||||
HCI Group, Inc. | 2,480 | 143,518 | ||||||
Heritage Insurance Holdings, Inc. | 166,330 | 1,615,064 | ||||||
Horace Mann Educators Corp. | 1,864 | 71,839 | ||||||
Midwest Holding, Inc.* | 7,488 | 374,400 | ||||||
NMI Holdings, Inc., Class A* | 9,565 | 218,656 | ||||||
RLI Corp. | 1,478 | 154,214 | ||||||
Safety Insurance Group, Inc. | 1,702 | 134,594 | ||||||
Selective Insurance Group, Inc. | 3,866 | 262,231 |
The accompanying notes are an integral part of the financial statements.
10
ADARA SMALLER COMPANIES FUND
Portfolio of Investments (Continued)
February 28, 2021 (Unaudited)
Number of | Value | |||||||
Insurance — (Continued) | ||||||||
Stewart Information Services Corp. | 2,200 | $ | 103,840 | |||||
Trean Insurance Group, Inc.* | 31,447 | 532,083 | ||||||
United Fire Group, Inc. | 2,567 | 75,598 | ||||||
Universal Insurance Holdings, Inc. | 6,184 | 92,080 | ||||||
White Mountains Insurance Group Ltd. | 2,196 | 2,624,352 | ||||||
13,298,195 | ||||||||
Internet — 3.9% | ||||||||
Bandwidth, Inc., Class A* | 10,039 | 1,589,776 | ||||||
CarParts.com, Inc.* | 77,379 | 1,371,930 | ||||||
ChannelAdvisor Corp.* | 106,440 | 2,405,544 | ||||||
DHI Group, Inc.* | 502,230 | 1,561,935 | ||||||
ePlus, Inc.* | 15,512 | 1,466,815 | ||||||
Eventbrite, Inc., Class A* | 45,673 | 907,523 | ||||||
fuboTV, Inc.* | 32,054 | 1,131,506 | ||||||
HyreCar, Inc.* | 57,395 | 590,595 | ||||||
Liquidity Services, Inc.* | 28,106 | 438,735 | ||||||
Magnite, Inc.* | 76,608 | 3,743,833 | ||||||
Open Lending Corp., Class A* | 32,001 | 1,223,718 | ||||||
Overstock.com, Inc.* | 13,532 | 908,944 | ||||||
Perion Network Ltd.* | 88,607 | 1,758,849 | ||||||
Q2 Holdings, Inc.* | 6,009 | 732,377 | ||||||
Stamps.com, Inc.* | 1,311 | 238,510 | ||||||
Upwork, Inc.* | 14,231 | 766,766 | ||||||
20,837,356 | ||||||||
Investment Companies — 0.6% | ||||||||
Cannae Holdings, Inc.* | 60,272 | 2,251,159 | ||||||
Grid Dynamics Holdings, Inc.* | 56,039 | 835,542 | ||||||
3,086,701 | ||||||||
Iron/Steel — 0.1% | ||||||||
Allegheny Technologies, Inc.* | 7,199 | 141,532 | ||||||
Carpenter Technology Corp. | 11,908 | 484,179 | ||||||
Cleveland-Cliffs, Inc.* | 1,958 | 26,120 | ||||||
651,831 | ||||||||
Leisure Time — 0.8% | ||||||||
Callaway Golf Co.* | 4,678 | 130,750 | ||||||
Liberty TripAdvisor Holdings, Inc., Class A* | 37,187 | 209,363 | ||||||
Lindblad Expeditions Holdings, Inc.* | 38,536 | 802,705 | ||||||
Malibu Boats, Inc., Class A* | 17,973 | 1,339,707 | ||||||
Vista Outdoor, Inc.* | 61,809 | 1,953,783 | ||||||
4,436,308 | ||||||||
Lodging — 0.3% | ||||||||
Boyd Gaming Corp.* | 4,776 | 280,351 | ||||||
Extended Stay America, Inc. | 89,719 | 1,443,579 | ||||||
1,723,930 |
Number of | Value | |||||||
Machinery-Construction & Mining — 0.6% | ||||||||
Argan, Inc. | 26,500 | $ | 1,325,530 | |||||
Terex Corp. | 43,490 | 1,790,918 | ||||||
3,116,448 | ||||||||
Machinery-Diversified — 2.9% | ||||||||
Applied Industrial Technologies, Inc. | 1,045 | 89,212 | ||||||
Chart Industries, Inc.* | 28,602 | 4,092,660 | ||||||
CIRCOR International, Inc.* | 6,879 | 244,961 | ||||||
Colfax Corp.* | 14,671 | 650,659 | ||||||
Columbus McKinnon Corp. | 28,610 | 1,440,227 | ||||||
Curtiss-Wright Corp. | 2,004 | 221,422 | ||||||
GrafTech International Ltd. | 110,417 | 1,306,233 | ||||||
Hydrofarm Holdings Group, Inc.* | 26,801 | 1,701,327 | ||||||
Ichor Holdings Ltd.* | 31,910 | 1,364,472 | ||||||
Kornit Digital Ltd.* | 8,251 | 933,436 | ||||||
NN, Inc.* | 166,040 | 1,014,504 | ||||||
SPX FLOW, Inc.* | 1,840 | 113,270 | ||||||
Tennant Co. | 2,414 | 183,947 | ||||||
Toro Co., (The) | 5,348 | 538,918 | ||||||
Twin Disc, Inc.* | 182,770 | 1,511,508 | ||||||
15,406,756 | ||||||||
Media — 0.1% | ||||||||
EW Scripps Co., (The), Class A | 6,465 | 121,671 | ||||||
Gannett Co., Inc.* | 7,889 | 39,050 | ||||||
Scholastic Corp. | 3,196 | 92,045 | ||||||
Tribune Publishing Co.* | 2,214 | 37,594 | ||||||
World Wrestling Entertainment, Inc., Class A | 8,770 | 433,238 | ||||||
723,598 | ||||||||
Metal Fabricate/Hardware — 0.7% | ||||||||
AZZ, Inc. | 1,964 | 100,341 | ||||||
Mueller Industries, Inc. | 5,975 | 242,824 | ||||||
Northwest Pipe Co.* | 87,230 | 2,968,437 | ||||||
Proto Labs, Inc.* | 1,495 | 217,791 | ||||||
Standex International Corp. | 1,485 | 145,619 | ||||||
Tredegar Corp. | 1,259 | 19,187 | ||||||
3,694,199 | ||||||||
Mining — 0.2% | ||||||||
Arconic Corp.* | 1,693 | 37,110 | ||||||
Astec Industries, Inc. | 3,361 | 228,279 | ||||||
Century Aluminum Co.* | 18,637 | 255,886 | ||||||
Kaiser Aluminum Corp. | 3,076 | 350,972 | ||||||
Livent Corp.* | 1,853 | 34,503 | ||||||
906,750 | ||||||||
Miscellaneous Manufacturing — 0.8% | ||||||||
Axon Enterprise, Inc.* | 5,340 | 883,716 | ||||||
EnPro Industries, Inc. | 4,961 | 398,567 | ||||||
ESCO Technologies, Inc. | 1,920 | 202,886 | ||||||
Fabrinet* | 12,502 | 1,104,302 | ||||||
John Bean Technologies Corp. | 2,493 | 367,892 |
The accompanying notes are an integral part of the financial statements.
11
ADARA SMALLER COMPANIES FUND
Portfolio of Investments (Continued)
February 28, 2021 (Unaudited)
Number of | Value | |||||||
Miscellaneous Manufacturing — (Continued) | ||||||||
Materion Corp. | 2,877 | $ | 197,017 | |||||
Myers Industries, Inc. | 2,441 | 54,044 | ||||||
Raven Industries, Inc.* | 3,538 | 138,690 | ||||||
Sturm Ruger & Co., Inc. | 2,066 | 140,901 | ||||||
Trinseo SA | 12,949 | 837,930 | ||||||
4,325,945 | ||||||||
Office Furnishings — 0.0% | ||||||||
Interface, Inc. | 5,954 | 73,949 | ||||||
Office/Business Equipment — 0.0% | ||||||||
Pitney Bowes, Inc. | 19,620 | 166,378 | ||||||
Oil & Gas — 1.2% | ||||||||
Evolution Petroleum Corp. | 72,213 | 256,356 | ||||||
Helmerich & Payne, Inc. | 4,567 | 131,210 | ||||||
HollyFrontier Corp. | 24,475 | 927,113 | ||||||
Matador Resources Co. | 115,260 | 2,407,781 | ||||||
Patterson-UTI Energy, Inc. | 112,890 | 835,386 | ||||||
PBF Energy, Inc., Class A* | 14,079 | 199,922 | ||||||
PDC Energy, Inc.* | 21,646 | 756,528 | ||||||
Range Resources Corp.* | 29,237 | 281,845 | ||||||
Southwestern Energy Co.* | 112,602 | 456,038 | ||||||
Talos Energy, Inc.* | 23,929 | 253,408 | ||||||
6,505,587 | ||||||||
Oil & Gas Services — 1.2% | ||||||||
Core Laboratories NV | 9,482 | 336,990 | ||||||
DMC Global, Inc.* | 43,548 | 2,743,089 | ||||||
Helix Energy Solutions Group, Inc.* | 49,185 | 241,007 | ||||||
Natural Gas Services Group, Inc.* | 173,060 | 1,799,824 | ||||||
NOW, Inc.* | 7,442 | 79,108 | ||||||
Oceaneering International, Inc.* | 48,849 | 576,418 | ||||||
Profire Energy, Inc.* | 439,640 | 488,000 | ||||||
6,264,436 | ||||||||
Packaging & Containers — 0.2% | ||||||||
Matthews International Corp., Class A | 5,499 | 196,314 | ||||||
TriMas Corp.* | 17,371 | 583,492 | ||||||
779,806 | ||||||||
Pharmaceuticals — 2.1% | ||||||||
AdaptHealth Corp.* | 34,348 | 1,056,888 | ||||||
Alector, Inc.* | 19,543 | 355,292 | ||||||
Amphastar Pharmaceuticals, Inc.* | 3,464 | 60,724 | ||||||
Corcept Therapeutics, Inc.* | 3,486 | 87,673 | ||||||
Covetrus, Inc.* | 5,812 | 215,974 | ||||||
Cytokinetics, Inc.* | 96,901 | 1,814,956 | ||||||
Eagle Pharmaceuticals, Inc.* | 1,008 | 44,856 | ||||||
Enanta Pharmaceuticals, Inc.* | 4,093 | 201,867 | ||||||
Endo International PLC* | 26,244 | 208,115 | ||||||
Fulcrum Therapeutics, Inc.* | 44,064 | 555,647 |
Number of | Value | |||||||
Pharmaceuticals — (Continued) | ||||||||
Kala Pharmaceuticals, Inc.* | 5,132 | $ | 38,028 | |||||
MERUS NV* | 38,584 | 868,140 | ||||||
Mirum Pharmaceuticals, Inc.* | 25,370 | 465,793 | ||||||
Myovant Sciences Ltd.* | 35,756 | 803,080 | ||||||
Odonate Therapeutics, Inc.* | 36,425 | 766,746 | ||||||
Owens & Minor, Inc. | 7,220 | 245,552 | ||||||
Pacira BioSciences, Inc.* | 826 | 60,711 | ||||||
Phibro Animal Health Corp., Class A | 5,524 | 119,153 | ||||||
PMV Pharmaceuticals, Inc.* | 14,912 | 561,138 | ||||||
Premier, Inc., Class A | 55,476 | 1,876,198 | ||||||
Revance Therapeutics, Inc.* | 14,572 | 382,661 | ||||||
Spectrum Pharmaceuticals, Inc.* | 12,698 | 43,554 | ||||||
USANA Health Sciences, Inc.* | 407 | 39,503 | ||||||
10,872,249 | ||||||||
Real Estate — 0.6% | ||||||||
Cushman & Wakefield PLC* | 18,475 | 285,993 | ||||||
eXp World Holdings, Inc.* | 24,334 | 1,469,530 | ||||||
Newmark Group, Inc., Class A | 27,808 | 278,636 | ||||||
Realogy Holdings Corp.* | 7,502 | 113,130 | ||||||
Redfin Corp.* | 10,522 | 796,937 | ||||||
St Joe Co., (The) | 1,076 | 54,155 | ||||||
2,998,381 | ||||||||
REITS — 2.5% | ||||||||
Agree Realty Corp. | 1,641 | 105,943 | ||||||
Alexander & Baldwin, Inc. | 4,543 | 79,366 | ||||||
Alexander’s, Inc. | 430 | 116,577 | ||||||
Alpine Income Property Trust, Inc. | 95,504 | 1,749,633 | ||||||
Apollo Commercial Real Estate Finance, Inc. | 44,054 | 585,478 | ||||||
ARMOUR Residential REIT, Inc. | 7,185 | 86,723 | ||||||
CareTrust REIT, Inc. | 3,664 | 81,267 | ||||||
CatchMark Timber Trust, Inc., Class A | 4,462 | 45,557 | ||||||
Centerspace | 1,467 | 100,680 | ||||||
Chatham Lodging Trust* | 17,141 | 238,774 | ||||||
Community Healthcare Trust, Inc. | 2,769 | 121,365 | ||||||
CoreSite Realty Corp. | 1,355 | 164,917 | ||||||
DiamondRock Hospitality Co.* | 13,130 | 132,876 | ||||||
Diversified Healthcare Trust | 12,664 | 56,988 | ||||||
Easterly Government Properties, Inc. | 8,828 | 194,039 | ||||||
EastGroup Properties, Inc. | 2,590 | 352,525 | ||||||
Franklin Street Properties Corp. | 14,185 | 70,358 | ||||||
Getty Realty Corp. | 5,173 | 144,741 | ||||||
Global Medical REIT, Inc. | 134,830 | 1,816,160 | ||||||
Great Ajax Corp. | 164,710 | 1,852,989 | ||||||
Healthcare Realty Trust, Inc. | 2,820 | 81,385 | ||||||
Industrial Logistics Properties Trust | 1,672 | 35,563 |
The accompanying notes are an integral part of the financial statements.
12
ADARA SMALLER COMPANIES FUND
Portfolio of Investments (Continued)
February 28, 2021 (Unaudited)
Number of | Value | |||||||
REITS — (Continued) | ||||||||
KKR Real Estate Finance Trust, Inc. | 9,611 | $ | 177,131 | |||||
Lexington Realty Trust | 12,112 | 129,841 | ||||||
LTC Properties, Inc. | 1,083 | 44,306 | ||||||
Mack-Cali Realty Corp. | 4,857 | 67,852 | ||||||
Medical Properties Trust, Inc. | 5,867 | 126,669 | ||||||
New York Mortgage Trust, Inc. | 183,589 | 765,566 | ||||||
NexPoint Residential Trust, Inc. | 2,319 | 95,172 | ||||||
Office Properties Income Trust | 5,407 | 136,743 | ||||||
One Liberty Properties, Inc. | 1,957 | 41,899 | ||||||
PennyMac Mortgage Investment Trust | 24,404 | 462,944 | ||||||
PS Business Parks, Inc. | 1,242 | 179,916 | ||||||
Ready Capital Corp. | 6,588 | 86,435 | ||||||
Redwood Trust, Inc. | 77,920 | 766,733 | ||||||
Retail Opportunity Investments Corp. | 28,261 | 446,806 | ||||||
Retail Properties of America, Inc., Class A | 11,959 | 125,928 | ||||||
Saul Centers, Inc. | 4,226 | 149,685 | ||||||
Tanger Factory Outlet Centers, Inc. | 33,410 | 525,873 | ||||||
Uniti Group, Inc. | 17,970 | 214,023 | ||||||
Universal Health Realty Income Trust | 3,063 | 189,753 | ||||||
Urstadt Biddle Properties, Inc., Class A | 4,563 | 73,556 | ||||||
Washington Real Estate Investment Trust | 6,410 | 144,353 | ||||||
13,165,088 | ||||||||
Retail — 5.5% | ||||||||
American Eagle Outfitters, Inc. | 37,439 | 962,182 | ||||||
Asbury Automotive Group, Inc.* | 2,463 | 417,355 | ||||||
Aspen Aerogels, Inc.* | 60,246 | 1,340,473 | ||||||
At Home Group, Inc.* | 44,290 | 1,115,665 | ||||||
Big Lots, Inc. | 7,174 | 455,836 | ||||||
BJ’s Restaurants, Inc.* | 12,277 | 681,742 | ||||||
BJ’s Wholesale Club Holdings, Inc.* | 48,234 | 1,938,042 | ||||||
Bloomin’ Brands, Inc.* | 20,453 | 508,052 | ||||||
Boot Barn Holdings, Inc.* | 34,618 | 2,091,620 | ||||||
Buckle, Inc., (The) | 2,951 | 113,436 | ||||||
Build-A-Bear Workshop, Inc.* | 157,600 | 1,107,928 | ||||||
Casey’s General Stores, Inc. | 1,888 | 381,300 | ||||||
Children’s Place, Inc., (The)* | 527 | 36,495 | ||||||
Clean Energy Fuels Corp.* | 50,287 | 655,742 | ||||||
DineEquity, Inc.* | 1,134 | 89,711 | ||||||
El Pollo Loco Holdings, Inc.* | 9,027 | 165,465 | ||||||
FirstCash, Inc. | 2,930 | 185,528 | ||||||
Five Below, Inc.* | 3,696 | 687,900 | ||||||
Freshpet, Inc.* | 5,869 | 914,860 | ||||||
GMS, Inc.* | 16,779 | 614,111 |
Number of | Value | |||||||
Retail — (Continued) | ||||||||
Group 1 Automotive, Inc. | 2,270 | $ | 346,039 | |||||
GrowGeneration Corp.* | 68,132 | 3,108,863 | ||||||
Guess?, Inc. | 12,246 | 308,722 | ||||||
Haverty Furniture Cos., Inc. | 4,009 | 145,006 | ||||||
Hibbett Sports, Inc.* | 1,413 | 90,799 | ||||||
J. Alexander’s Holdings, Inc.* | 44,156 | 386,365 | ||||||
Lithia Motors, Inc., Class A | 382 | 142,849 | ||||||
Lumber Liquidators Holdings, Inc.* | 2,256 | 55,881 | ||||||
Michaels Cos Inc., (The)* | 6,050 | 90,750 | ||||||
MSC Industrial Direct Co., Inc., Class A | 4,693 | 404,208 | ||||||
Murphy USA, Inc. | 12,593 | 1,569,717 | ||||||
ODP Corp., (The)* | 1,764 | 67,508 | ||||||
Ollie’s Bargain Outlet Holdings, Inc.* | 4,124 | 340,972 | ||||||
Papa John’s International, Inc. | 10,409 | 938,788 | ||||||
PriceSmart, Inc. | 1,079 | 104,070 | ||||||
RH* | 2,399 | 1,176,398 | ||||||
Shake Shack, Inc., Class A* | 7,718 | 914,429 | ||||||
Shoe Carnival, Inc. | 32,852 | 1,608,434 | ||||||
Signet Jewelers Ltd.* | 5,100 | 253,878 | ||||||
Texas Roadhouse, Inc.* | 2,804 | 254,828 | ||||||
Vroom, Inc.* | 16,401 | 725,744 | ||||||
Wingstop, Inc. | 4,926 | 670,675 | ||||||
World Fuel Services Corp. | 18,749 | 582,719 | ||||||
Zumiez, Inc.* | 3,678 | 165,804 | ||||||
28,916,889 | ||||||||
Savings & Loans — 1.2% | ||||||||
Axos Financial, Inc.* | 3,461 | 160,140 | ||||||
Banc of California, Inc. | 5,748 | 106,683 | ||||||
Berkshire Hills Bancorp, Inc. | 19,129 | 385,641 | ||||||
Brookline Bancorp, Inc. | 4,158 | 59,168 | ||||||
Eagle Bancorp Montana, Inc. | 73,060 | 1,590,516 | ||||||
FS Bancorp, Inc. | 33,352 | 2,022,132 | ||||||
Northfield Bancorp, Inc. | 4,651 | 63,672 | ||||||
Northwest Bancshares, Inc. | 5,826 | 82,263 | ||||||
Pacific Premier Bancorp, Inc. | 8,033 | 323,730 | ||||||
Provident Financial Services, Inc. | 10,750 | 217,473 | ||||||
Riverview Bancorp, Inc. | 238,490 | 1,574,034 | ||||||
6,585,452 | ||||||||
Semiconductors — 5.0% | ||||||||
ACM Research, Inc., Class A* | 12,787 | 1,242,385 | ||||||
Advanced Energy Industries, Inc. | 2,466 | 257,574 | ||||||
Allegro MicroSystems, Inc.* | 12,997 | 339,742 | ||||||
Amtech Systems, Inc.* | 248,050 | 2,378,799 | ||||||
Axcelis Technologies, Inc.* | 20,256 | 746,839 | ||||||
AXT, Inc.* | 161,562 | 2,088,997 | ||||||
Brooks Automation, Inc. | 14,336 | 1,192,182 | ||||||
Cirrus Logic, Inc.* | 3,525 | 288,274 |
The accompanying notes are an integral part of the financial statements.
13
ADARA SMALLER COMPANIES FUND
Portfolio of Investments (Continued)
February 28, 2021 (Unaudited)
Number of | Value | |||||||
Semiconductors — (Continued) | ||||||||
CMC Materials, Inc. | 1,581 | $ | 269,560 | |||||
Diodes, Inc.* | 10,149 | 796,899 | ||||||
FormFactor, Inc.* | 53,622 | 2,432,830 | ||||||
Impinj, Inc.* | 19,014 | 1,216,326 | ||||||
inTEST Corp.* | 121,550 | 1,039,253 | ||||||
Kulicke & Soffa Industries, Inc. | 6,419 | 320,051 | ||||||
Lattice Semiconductor Corp.* | 16,527 | 795,279 | ||||||
MKS Instruments, Inc. | 1,371 | 226,078 | ||||||
Monolithic Power Systems, Inc. | 1,952 | 731,063 | ||||||
Onto Innovation, Inc.* | 3,032 | 189,379 | ||||||
Photronics, Inc.* | 138,545 | 1,650,071 | ||||||
Power Integrations, Inc. | 15,698 | 1,387,232 | ||||||
Semtech Corp.* | 16,011 | 1,173,766 | ||||||
Silicon Laboratories, Inc.* | 5,881 | 915,907 | ||||||
SiTime Corp.* | 23,772 | 2,316,106 | ||||||
Ultra Clean Holdings, Inc.* | 47,555 | 2,205,601 | ||||||
Veeco Instruments, Inc.* | 3,472 | 74,648 | ||||||
26,274,841 | ||||||||
Software — 7.3% | ||||||||
1Life Healthcare, Inc.* | 7,611 | 361,599 | ||||||
8x8, Inc.* | 4,085 | 139,748 | ||||||
ACI Worldwide, Inc.* | 5,847 | 223,706 | ||||||
Allscripts Healthcare Solutions, Inc.* | 2,480 | 38,266 | ||||||
Asure Software, Inc.* | 265,392 | 2,067,404 | ||||||
Avaya Holdings Corp.* | 134,300 | 3,984,681 | ||||||
Blackbaud, Inc.* | 799 | 54,987 | ||||||
Blackline, Inc.* | 7,433 | 921,841 | ||||||
BM Technologies, Inc.* | 2,075 | 26,145 | ||||||
Bottomline Technologies de, Inc.* | 2,442 | 109,597 | ||||||
Brightcove, Inc.* | 43,026 | 937,106 | ||||||
Cardlytics, Inc.* | 17,041 | 2,256,740 | ||||||
CDK Global, Inc. | 30,755 | 1,542,056 | ||||||
Cogent Communications Holdings, Inc. | 1,297 | 77,625 | ||||||
Computer Programs & Systems, Inc.* | 28,349 | 891,576 | ||||||
Concentrix Corp.* | 830 | 102,513 | ||||||
CSG Systems International, Inc. | 2,981 | 137,573 | ||||||
Digital Turbine, Inc.* | 37,822 | 3,122,962 | ||||||
Docebo, Inc.* | 29,960 | 1,304,458 | ||||||
Domo, Inc., Class B* | 28,020 | 1,785,715 | ||||||
Ebix, Inc. | 5,151 | 125,581 | ||||||
Five9, Inc.* | 3,941 | 730,031 | ||||||
Immersion Corp.* | 3,570 | 35,379 | ||||||
Intelligent Systems Corp.* | 19,242 | 763,523 | ||||||
LivePerson, Inc.* | 19,157 | 1,257,082 | ||||||
ManTech International Corp., Class A | 2,301 | 179,846 | ||||||
MicroStrategy, Inc., Class A* | 477 | 357,946 |
Number of | Value | |||||||
Software — (Continued) | ||||||||
Motorsport Games, Inc., Class A* | 19,675 | $ | 528,274 | |||||
NEOGAMES SA* | 41,807 | 1,268,006 | ||||||
Pagerduty, Inc.* | 15,513 | 694,052 | ||||||
Phreesia, Inc.* | 17,701 | 1,084,186 | ||||||
Progress Software Corp. | 5,306 | 225,717 | ||||||
PROS Holdings, Inc.* | 15,208 | 720,859 | ||||||
PubMatic, Inc., Class A* | 41,346 | 2,679,634 | ||||||
Schrodinger, Inc.* | 18,496 | 1,895,470 | ||||||
Smith Micro Software, Inc.* | 246,550 | 1,627,230 | ||||||
Tabula Rasa HealthCare, Inc.* | 803 | 32,562 | ||||||
Take-Two Interactive Software, Inc.* | 3,504 | 646,348 | ||||||
Talend S.A., ADR* | 7,560 | 383,519 | ||||||
VERITONE, Inc.* | 22,226 | 801,247 | ||||||
Viant Technology, Inc., Class A* | 16,761 | 831,178 | ||||||
Workiva, Inc.* | 5,144 | 520,316 | ||||||
Zovio, Inc.* | 210,643 | 1,080,599 | ||||||
38,554,883 | ||||||||
Telecommunications — 2.3% | ||||||||
ATN International, Inc. | 2,688 | 130,852 | ||||||
Aviat Networks, Inc.* | 14,429 | 884,931 | ||||||
Calix, Inc.* | 79,676 | 3,147,999 | ||||||
Cambium Networks Corp.* | 51,608 | 2,182,502 | ||||||
Cincinnati Bell, Inc.* | 2,642 | 40,370 | ||||||
IDT Corp., Class B | 3,111 | 55,842 | ||||||
Iridium Communications, Inc.* | 9,628 | 368,849 | ||||||
Liberty Latin America Ltd., Class C* | 92,028 | 1,008,627 | ||||||
NetGear, Inc.* | 2,616 | 104,640 | ||||||
One Stop Systems, Inc.* | 111,232 | 717,446 | ||||||
ORBCOMM, Inc.* | 85,933 | 655,669 | ||||||
Plantronics, Inc.* | 3,217 | 130,256 | ||||||
Shenandoah Telecommunications Co. | 2,153 | 95,486 | ||||||
Sierra Wireless, Inc.* | 84,572 | 1,422,501 | ||||||
Viavi Solutions, Inc.* | 23,640 | 382,613 | ||||||
Vonage Holdings Corp.* | 47,609 | 629,391 | ||||||
11,957,974 | ||||||||
Textiles — 0.5% | ||||||||
Albany International Corp., Class A | 1,126 | 89,010 | ||||||
UniFirst Corp. | 9,853 | 2,387,284 | ||||||
2,476,294 |
The accompanying notes are an integral part of the financial statements.
14
ADARA SMALLER COMPANIES FUND
Portfolio of Investments (CONCLUDED)
February 28, 2021 (Unaudited)
Number of | Value | |||||||
Transportation — 2.4% | ||||||||
Air Transport Services Group, Inc.* | 112,237 | $ | 2,978,770 | |||||
ArcBest Corp. | 7,779 | 458,883 | ||||||
Bristow Group, Inc.* | 2,104 | 56,008 | ||||||
CryoPort, Inc.* | 40,582 | 2,412,194 | ||||||
Diamond S Shipping, Inc.* | 138,670 | 1,123,227 | ||||||
Echo Global Logistics, Inc.* | 6,531 | 181,954 | ||||||
Knight-Swift Transportation Holdings, Inc., Class A | 1,873 | 80,914 | ||||||
Marten Transport Ltd. | 55,129 | 891,987 | ||||||
PAM Transportation Services, Inc.* | 27,579 | 1,599,306 | ||||||
Saia, Inc.* | 8,184 | 1,641,138 | ||||||
SEACOR Holdings, Inc.* | 689 | 29,289 | ||||||
Star Bulk Carriers Corp. | 88,976 | 1,252,782 | ||||||
12,706,452 | ||||||||
Water — 0.1% | ||||||||
American States Water Co. | 1,758 | 128,422 | ||||||
California Water Service Group | 1,969 | 108,197 | ||||||
York Water Co., (The) | 989 | 41,152 | ||||||
277,771 | ||||||||
TOTAL COMMON STOCKS | ||||||||
(Cost $311,594,186) | 510,441,303 | |||||||
Number of | Value | |||||||
SHORT-TERM INVESTMENTS — 3.9% | ||||||||
U.S. Bank Money Market Deposit Account, 0.01%(a) | 20,792,323 | $ | 20,792,323 | |||||
TOTAL SHORT-TERM INVESTMENTS | ||||||||
(Cost $20,792,323) | 20,792,323 | |||||||
TOTAL INVESTMENTS — 100.3% | ||||||||
(Cost $332,388,509) | 531,233,626 | |||||||
LIABILITIES IN EXCESS OF OTHER ASSETS — (0.3)% | (1,583,952 | ) | ||||||
NET ASSETS — 100.0% | $ | 529,649,674 |
* Non-income producing security.
(a) | The rate shown is as of February 28, 2021. |
ADR | American Depositary Receipt |
PLC | Public Limited Company |
REIT | Real Estate Investment Trust |
SP ADR | Sponsored ADR |
The accompanying notes are an integral part of the financial statements.
15
ADARA SMALLER COMPANIES FUND
STATEMENT of Assets and Liabilities
February 28, 2021 (Unaudited)
ASSETS | ||||
Investments, at value (cost $311,596,186) | $ | 510,441,303 | ||
Short-term investments, at value (cost $20,792,323) | 20,792,323 | |||
Receivables for: | ||||
Investments sold | 4,384,644 | |||
Dividends | 1,580,281 | |||
Capital shares sold | 16,303 | |||
Prepaid expenses and other assets | 48,839 | |||
Total assets | 537,263,693 | |||
LIABILITIES | ||||
Payables for: | ||||
Investments purchased | 6,145,580 | |||
Sub-advisory fees | 281,129 | |||
Capital shares redeemed | 1,160,000 | |||
Other accrued expenses and liabilities | 27,310 | |||
Total liabilities | 7,614,019 | |||
Net assets | $ | 529,649,674 | ||
NET ASSETS CONSIST OF: | ||||
Par value | $ | 26,189 | ||
Paid-in capital | 278,787,671 | |||
Total distributable earnings/(loss) | 250,835,814 | |||
Net assets | $ | 529,649,674 | ||
CAPITAL SHARES: | ||||
Net Assets | $ | 529,649,674 | ||
Shares outstanding ($0.001 par value, 100,000,000 shares authorized) | 26,188,651 | |||
Net asset value, offering and redemption price per share | $ | 20.22 |
The accompanying notes are an integral part of the financial statements.
16
ADARA SMALLER COMPANIES FUND
Statement of Operations
FOR THE SIX MONTHS ENDED February 28, 2021 (Unaudited)
INVESTMENT INCOME | ||||
Dividends (net of foreign taxes withheld of $1,534) | $ | 1,643,541 | ||
Total investment income | 1,643,541 | |||
EXPENSES | ||||
Sub-advisory fees (Note 2) | 1,573,462 | |||
Administration and accounting services fees (Note 2) | 82,972 | |||
Legal fees | 26,959 | |||
Director fees | 26,808 | |||
Custodian fees (Note 2) | 20,326 | |||
Transfer agent fees (Note 2) | 19,753 | |||
Officer fees | 17,379 | |||
Audit and tax service fees | 16,078 | |||
Registration and filing fees | 10,824 | |||
Printing and shareholder reporting fees | 2,844 | |||
Other expenses | 20,655 | |||
Total expenses | 1,818,060 | |||
Net investment income/(loss) | (174,519 | ) | ||
NET REALIZED AND UNREALIZED GAIN/(LOSS) FROM INVESTMENTS | ||||
Net realized gain/(loss) from investments | 65,615,359 | |||
Net change in unrealized appreciation/(depreciation) on investments | 111,887,161 | |||
Net realized and unrealized gain/(loss) on investments | 177,502,520 | |||
NET INCREASE/(DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ | 177,328,001 |
The accompanying notes are an integral part of the financial statements.
17
ADARA SMALLER COMPANIES FUND
Statements of Changes in Net Assets
For the | For the | |||||||
INCREASE/(DECREASE) IN NET ASSETS FROM OPERATIONS | ||||||||
Net investment income/(loss) | $ | (174,519 | ) | $ | (229,541 | ) | ||
Net realized gain/(loss) from investments | 65,615,359 | 6,307,080 | ||||||
Net change in unrealized appreciation/(depreciation) on investments | 111,887,161 | 28,965,105 | ||||||
Net increase/(decrease) in net assets resulting from operations | 177,328,001 | 35,042,644 | ||||||
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS FROM: | ||||||||
Total distributable earnings | (5,747,679 | ) | (11,162,154 | ) | ||||
Net decrease in net assets from dividends and distributions to shareholders | (5,747,679 | ) | (11,162,154 | ) | ||||
CAPITAL SHARE TRANSACTIONS: | ||||||||
Proceeds from shares sold | 13,260,128 | 63,211,072 | ||||||
Reinvestment of distributions | 5,252,862 | 9,841,826 | ||||||
Shares redeemed | (21,885,840 | ) | (27,350,514 | ) | ||||
Net increase/(decrease) in net assets resulting from capital share transactions | (3,372,850 | ) | 45,702,384 | |||||
Total increase/(decrease) in net assets | 168,207,472 | 69,582,874 | ||||||
NET ASSETS: | ||||||||
Beginning of period | 361,442,202 | 291,859,328 | ||||||
End of period | $ | 529,649,674 | $ | 361,442,202 | ||||
SHARE TRANSACTIONS: | ||||||||
Shares sold | 801,481 | 5,655,888 | ||||||
Shares reinvested | 311,927 | 755,321 | ||||||
Shares redeemed | (1,257,979 | ) | (2,715,130 | ) | ||||
Net increase/(decrease) in shares | (144,571 | ) | 3,696,079 |
The accompanying notes are an integral part of the financial statements.
18
ADARA SMALLER COMPANIES FUND
Financial Highlights
Contained below is per share operating performance data for shares outstanding, total investment return/(loss), ratios to average net assets and other supplemental data for the respective periods. This information has been derived from information provided in the financial statements. |
For the | For the | For the | For the | For the | For the | |||||||||||||||||||
Per Share Operating Performance | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 13.73 | $ | 12.89 | $ | 16.76 | $ | 12.94 | $ | 11.20 | $ | 10.59 | ||||||||||||
Net investment income/(loss)(1) | (0.01 | ) | (0.01 | ) | (0.01 | ) | (0.01 | ) | (0.02 | ) | (0.03 | ) | ||||||||||||
Net realized and unrealized gain/(loss) from investments | 6.72 | 1.33 | (1.99 | ) | 4.36 | 1.76 | 0.64 | |||||||||||||||||
Net increase/(decrease) in net assets resulting from operations | 6.71 | 1.32 | (2.00 | ) | 4.35 | 1.74 | 0.61 | |||||||||||||||||
Dividends and distributions to shareholders from: | ||||||||||||||||||||||||
Net realized capital gains | (0.22 | ) | (0.48 | ) | (1.87 | ) | (0.53 | ) | — | — | (2) | |||||||||||||
Total dividends and distributions to shareholders | (0.22 | ) | (0.48 | ) | (1.87 | ) | (0.53 | ) | — | — | ||||||||||||||
Net asset value, end of period | $ | 20.22 | $ | 13.73 | $ | 12.89 | $ | 16.76 | $ | 12.94 | $ | 11.20 | ||||||||||||
Total investment return/(loss)(3) | 49.19 | %(4) | 10.47 | % | (11.16 | )% | 34.54 | % | 15.54 | % | 5.76 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (000’s omitted) | $ | 529,650 | $ | 361,442 | $ | 291,859 | $ | 349,352 | $ | 262,480 | $ | 225,101 | ||||||||||||
Ratio of expenses to average net assets | 0.84 | %(5) | 0.90 | % | 0.93 | % | 0.90 | % | 0.92 | % | 1.15 | % | ||||||||||||
Ratio of net investment income/(loss) to average net assets | (0.08 | )%(5) | (0.08 | )% | (0.08 | )% | (0.07 | )% | (0.15 | )% | (0.26 | )% | ||||||||||||
Portfolio turnover rate | 43 | %(4) | 101 | % | 80 | % | 86 | % | 88 | % | 101 | % |
(1) | Calculated based on average shares outstanding for the period. |
(2) | Amount represents less than $0.005 per share. |
(3) | Total investment return/(loss) is calculated assuming a purchase of shares on the first day and a sale of shares on the last day of each period reported and includes reinvestments of dividends and distributions, if any. |
(4) | Not annualized |
(5) | Annualized |
The accompanying notes are an integral part of the financial statements.
19
ADARA SMALLER COMPANIES FUND
NOTES TO FINANCIAL STATEMENTS
February 28, 2021 (Unaudited)
1. Organization and Significant Accounting Policies
The RBB Fund, Inc. (“RBB” or the “Company”) was incorporated under the laws of the State of Maryland on February 29, 1988 and is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. RBB is a “series fund,” which is a mutual fund divided into separate portfolios. Each portfolio is treated as a separate entity for certain matters under the 1940 Act, and for other purposes, and a shareholder of one portfolio is not deemed to be a shareholder of any other portfolio. Currently, RBB has thirty-six separate investment portfolios, including the Adara Smaller Companies Fund (the “Fund”), which commenced investment operations on October 21, 2014.
RBB has authorized capital of one hundred billion shares of common stock of which 87.923 billion shares are currently classified into one hundred and ninety classes of common stock. Each class represents an interest in an active or inactive RBB investment portfolio.
The Fund’s investment objective seeks capital appreciation.
The Fund is an investment company and follows accounting and reporting guidance in the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946 “Financial Services - Investment Companies”.
The end of the reporting period for the Fund is February 28, 2021, and the period covered by these Notes to Financial Statements is for the six months ended February 28, 2021 (the “current fiscal period”).
PORTFOLIO VALUATION – The Fund’s net asset value (“NAV”) is calculated once daily at the close of regular trading hours on the New York Stock Exchange (“NYSE”) (generally 4:00 p.m. Eastern time) on each day the NYSE is open. Securities held by the Fund are valued using the closing price or the last sale price on a national securities exchange or the National Association of Securities Dealers Automatic Quotation System (“NASDAQ”) market system where they are primarily traded. Equity securities traded in the over-the-counter (“OTC”) market are valued at their closing prices. If there were no transactions on that day, securities traded principally on an exchange or on NASDAQ will be valued at the mean of the last bid and ask prices prior to the market close. Fixed income securities are valued using an independent pricing service, which considers such factors as security prices, yields, maturities and ratings, and are deemed representative of market values at the close of the market. Foreign securities are valued based on prices from the primary market in which they are traded, and are translated from the local currency into U.S. dollars using current exchange rates. Investments in other open-end investment companies, if any, are valued based on the NAV of those investment companies (which may use fair value pricing as disclosed in their prospectuses). If market quotations are unavailable or deemed unreliable, securities will be valued in accordance with procedures adopted by the Company’s Board of Directors (the “Board”). Relying on prices supplied by pricing services or dealers or using fair valuation may result in values that are higher or lower than the values used by other investment companies and investors to price the same investments.
FAIR VALUE MEASUREMENTS – The inputs and valuation techniques used to measure the fair value of the Fund’s investments are summarized into three levels as described in the hierarchy below:
● Level 1 — | Prices are determined using quoted prices in active markets for identical securities. |
● Level 2 — | Prices are determined using other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.). |
● Level 3 — | Prices are determined using significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments). |
The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
20
ADARA SMALLER COMPANIES FUND
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
February 28, 2021 (Unaudited)
The following is a summary of the inputs used, as of the end of the reporting period, in valuing the Fund’s investments carried at fair value:
Total | Level 1 | Level 2 | Level 3 | |||||||||||||
Common Stocks | $ | 510,441,303 | $ | 510,441,303 | $ | — | $ | — | ||||||||
Short-Term Investments | 20,792,323 | 20,792,323 | — | — | ||||||||||||
Total Investments* | $ | 531,233,626 | $ | 531,233,626 | $ | — | $ | — |
* | Please refer to the Portfolio of Investments for further details. |
At the end of each quarter, management evaluates the classification of Levels 1, 2 and 3 assets and liabilities. Various factors are considered, such as changes in liquidity from the prior reporting period; whether or not a broker is willing to execute at the quoted price; the depth and consistency of prices from third party pricing services; and the existence of contemporaneous, observable trades in the market. Additionally, management evaluates the classification of Levels 1, 2 and 3 assets and liabilities on a quarterly basis for changes in listings or delistings on national exchanges.
Due to the inherent uncertainty of determining the fair value of investments that do not have a readily available market value, the fair value of the Fund’s investments may fluctuate from period to period. Additionally, the fair value of investments may differ significantly from the values that would have been used had a ready market existed for such investments and may differ materially from the values the Fund may ultimately realize. Further, such investments may be subject to legal and other restrictions on resale or otherwise less liquid than publicly traded securities.
For fair valuations using significant unobservable inputs, U.S. generally accepted accounting principles (“U.S. GAAP”) requires the Fund to present a reconciliation of the beginning to ending balances for reported market values that presents changes attributable to total realized and unrealized gains or losses, purchase and sales, and transfers in and out of Level 3 during the period. Transfers in and out between levels are based on values at the end of the period. A reconciliation of Level 3 investments is presented only when the Fund had an amount of Level 3 investments at the end of the reporting period that was meaningful in relation to its net assets. The amounts and reasons for Level 3 transfers are disclosed if the Fund had an amount of total Level 3 transfers during the reporting period that was meaningful in relation to its net assets as of the end of the reporting period.
During the current fiscal period, the Fund had no Level 3 transfers.
REITS — The Fund has made certain investments in real estate investment trusts (“REITs”) which pay dividends to their shareholders based upon available funds from operations. It is quite common for these dividends to exceed the REITs’ taxable earnings and profits resulting in the excess portion being designated as a return of capital. The Fund intends to include the gross dividends from such REITs in its annual distributions to shareholders and, accordingly, a portion of the Fund’s distributions may also be designated as a return of capital.
USE OF ESTIMATES — The preparation of financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates and those differences could be significant.
INVESTMENT TRANSACTIONS, INVESTMENT INCOME AND EXPENSES — The Fund records security transactions based on trade date for financial reporting purposes. The cost of investments sold is determined by use of the specific identification method for both financial reporting and income tax purposes in determining realized gains and losses on investments. Interest income (including amortization of premiums and accretion of discounts) is accrued when earned. Dividend income is recorded on the ex-dividend date. Distributions received on securities that represent a return of capital or capital gain are recorded as a reduction of cost of investments and/or as a realized gain. The Fund’s investment income, expenses (other than class specific expenses) and unrealized and realized gains and losses are
21
ADARA SMALLER COMPANIES FUND
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
February 28, 2021 (Unaudited)
allocated daily to each class of shares based upon the relative proportion of net assets of each class at the beginning of the day. Expenses incurred on behalf of a specific class, fund or fund family of the Company are charged directly to the class, fund or fund family (in proportion to net assets). Expenses incurred for all of the RBB funds (such as director or professional fees) are charged to all funds in proportion to their average net assets of RBB, or in such other manner as the Board deems fair or equitable. Expenses and fees, including investment advisory and administration fees, are accrued daily and taken into account for the purpose of determining the NAV of the Fund.
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS — Dividends from net investment income and distributions from net realized capital gains (including net short-term capital gains), if any, are declared and paid at least annually to shareholders recorded on the ex-dividend date. Income dividends and capital gain distributions are determined in accordance with U.S. federal income tax regulations, which may differ from U.S. GAAP.
U.S. TAX STATUS — No provision is made for U.S. income taxes as it is the Fund’s intention to continue to qualify for and elect the tax treatment applicable to regulated investment companies under Subchapter M of the Internal Revenue Code of 1986, as amended, and make the requisite distributions to its shareholders which will be sufficient to relieve it from U.S. income and excise taxes.
CORONAVIRUS (COVID-19) PANDEMIC — The global outbreak of COVID-19 (commonly referred to as “coronavirus”) has disrupted economic markets and the prolonged economic impact is uncertain. The ultimate economic fallout from the pandemic, and the long-term impact on economies, markets, industries and individual issuers are not known. The operational and financial performance of the issuers of securities in which the Fund invests depends on future developments, including the duration and spread of the outbreak, and such uncertainty may in turn adversely affect the value and liquidity of the Fund’s investments, impair the Fund’s ability to satisfy redemption requests, and negatively impact the Fund’s performance.
CASH AND CASH EQUIVALENTS — Cash and cash equivalents are valued at cost plus accrued interest, which approximates market value.
OTHER — In the normal course of business, the Fund may enter into contracts that provide general indemnifications. The Fund’s maximum exposure under these arrangements is dependent on claims that may be made against the Fund in the future, and, therefore, cannot be estimated; however, the Fund expects the risk of material loss from such claims to be remote.
2. Investment Adviser and Other Services
Altair Advisers, LLC (“Altair” or the “Adviser”) serves as the investment adviser to the Fund. Aperio Group, LLC, Driehaus Capital Management, LLC, Pacific Ridge Capital Partners, LLC, Pier Capital, LLC and River Road Asset Management, LLC each serve as an investment sub-adviser (“Sub-Adviser”) to the Fund.
The Fund is managed by the Adviser and one or more Sub-Advisers unaffiliated with the Adviser. The Adviser also has the ultimate responsibility to oversee the Sub-Advisers, and to recommend their hiring, termination and replacement, subject to approval by the Board. The Adviser has an investment team that is jointly responsible for the day-to-day management of the Fund. The Sub-Advisers provide investment advisory services to the portion of the Fund’s portfolio allocated to them by the Adviser. The Adviser and the Fund have entered into sub-advisory agreements with the Sub-Advisers to manage the Fund, subject to supervision of the Adviser and the Board, and in accordance with the investment objective and restrictions of the Fund. The Fund compensates the Sub-Advisers for their services at an annual rate based on the Fund’s average daily net assets, (the “Sub-Advisory Fee”), not to exceed 1.00%, payable on a monthly basis in arrears.
During the current fiscal period, collectively, sub-advisory fees accrued were $1,573,462, or the rate of 0.73%.
22
ADARA SMALLER COMPANIES FUND
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
February 28, 2021 (Unaudited)
The Fund is currently only available to clients of the Adviser and to other investors at the Fund’s discretion. The Adviser does not receive a separate management fee from the Fund. However, pursuant to the Fund’s investment advisory agreement with the Adviser, the Adviser is entitled to receive reimbursement for out-of-pocket expenses it incurs in connection with its compliance monitoring of Fund trading, up to 0.01% of the Fund’s average daily net assets. During the current fiscal period, the Adviser received $11,945.
U.S. Bancorp Fund Services, LLC (“Fund Services”), doing business as U.S. Bank Global Fund Services, serves as administrator for the Fund. For providing administrative and accounting services, Fund Services is entitled to receive a monthly fee, subject to certain minimum and out of pocket expenses.
Fund Services serves as the Fund’s transfer and dividend disbursing agent. For providing transfer agent services, Fund Services is entitled to receive a monthly fee, subject to certain minimum and out of pocket expenses.
U.S. Bank, N.A. (the “Custodian”) provides certain custodial services to the Fund. The Custodian is entitled to receive a monthly fee, subject to certain minimum and out of pocket expenses.
Quasar Distributors, LLC (the “Distributor”), a wholly-owned broker-dealer subsidiary of Foreside Financial Group, LLC, serves as the principal underwriter and distributor of the Fund’s shares pursuant to a Distribution Agreement with RBB.
For compensation amounts paid to Fund Services and the Custodian, please refer to the Statement of Operations.
3. Director and Officer Compensation
The Directors of the Company receive an annual retainer and meeting fees for meetings attended. An employee of Vigilant Compliance, LLC serves as President and Chief Compliance Officer of the Company. Vigilant Compliance, LLC is compensated for the services provided to the Company. Employees of RBB serve as Treasurer, Secretary and Director of Marketing & Business Development of the Company. They are compensated for services provided. Certain employees of Fund Services serve as officers of the Company. They are not compensated by the Fund or the Company. For Director and Officer compensation amounts, please refer to the Statement of Operations.
4. Purchases and Sales of Investment Securities
During the current fiscal period, aggregate purchases and sales of investment securities (excluding short-term investments) of the Fund were as follows:
PURCHASES | SALES |
$175,104,607 | $172,769,428 |
There were no purchases or sales of long-term U.S. Government securities during the current fiscal period.
5. Federal Income Tax Information
The Fund has followed the authoritative guidance on accounting for and disclosure of uncertainty in tax positions, which requires the Fund to determine whether a tax position is more likely than not to be sustained upon examination, including resolution of any related appeals or litigation processes, based on the technical merits of the position. The Fund has determined that there was no effect on the financial statements from following this authoritative guidance. In the normal course of business, the Fund is subject to examination by federal, state and local jurisdictions, where applicable, for tax years for which applicable statutes of limitations have not expired.
23
ADARA SMALLER COMPANIES FUND
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
February 28, 2021 (Unaudited)
As of August 31, 2020, the federal tax cost and aggregate gross unrealized appreciation and depreciation of investments held by the Fund were as follows:
FEDERAL | UNREALIZED | UNREALIZED | Net Unrealized |
$275,401,252 | $106,431,837 | $(23,409,494) | $83,022,343 |
Distributions to shareholders, if any, from net investment income and realized gains are determined in accordance with federal income tax regulations, which may differ from net investment income and realized gains recognized for financial reporting purposes. Accordingly, the character of distributions and composition of net assets for tax purposes may differ from those reflected in the accompanying financial statements. To the extent these differences are permanent, such amounts are reclassified within the capital accounts based on the tax treatment; temporary differences do not require such reclassification.
Permanent differences as of August 31, 2020, primarily attributable to current year write-off of Passive Foreign Investment Company (PFIC) sales and distributions, were reclassified among the following accounts:
Distributable | PAID-IN |
$106,846 | $(106,846) |
As of August 31, 2020, the components of distributable earnings on a tax basis were as follows:
UNDISTRIBUTED | UNDISTRIBUTED | CAPITAL LOSS | NET UNREALIZED | QUALIFIED |
$— | $— | $(3,603,734) | $83,022,343 | $(163,117) |
The differences between the book and tax basis components of distributable earnings relate primarily to the timing of recognition of income and gains for federal income tax purposes. Short-term and foreign currency gains, if applicable, are reported as ordinary income for federal income tax purposes.
The tax character of dividends and distributions paid during the fiscal year ended August 31, 2020 were as follows:
ORDINARY | LONG-TERM | TOTAL | ||||||||||
2020 | $ | — | $ | 11,162,154 | $ | 11,162,154 |
Pursuant to federal income tax rules applicable to regulated investment companies, the Fund may elect to treat certain capital losses between November 1 and August 31 and late year ordinary losses ((i) ordinary losses between January 1 and August 31, and (ii) specified ordinary and currency losses between November 1 and August 31) as occurring on the first day of the following tax year. For the fiscal year ended August 31, 2020, any amount of losses elected within the tax return will not be recognized for federal income tax purposes until September 1, 2020. The Fund deferred qualified late-year losses of $163,117 which will be treated as arising on the first business day of the following fiscal year.
Under the Regulated Investment Company Modernization Act of 2010, the Fund is permitted to carry forward capital losses incurred in taxable years beginning after December 22, 2010 for an unlimited period. Additionally, capital losses that are carried forward will retain their character as either short-term or long-term capital losses rather than being considered all short-term as under the previous law. As of August 31, 2020, the Fund had capital loss carryforwards of $3,603,734.
24
ADARA SMALLER COMPANIES FUND
NOTES TO FINANCIAL STATEMENTS (CONCLUDED)
February 28, 2021 (Unaudited)
6. SUBSEQUENT EVENTS
Management has evaluated the impact of all subsequent events on the Fund through the date the financial statements were issued, and has determined that there was the following subsequent event:
On March 9, 2021, Mr. Richard Driehaus, the founder of Driehaus Capital Management LLC (“Driehaus”), passed away, causing Driehaus to undergo a technical change in control. This change in control resulted in the automatic termination of the Fund’s sub-advisory agreement with Driehaus. Following the termination, the rules under the 1940 Act permitted the Board to approve an interim sub-advisory agreement with Driehaus within ten business days. Accordingly, on March 16, 2021, the Board approved an interim sub-advisory agreement effective March 9, 2021. The interim sub-advisory agreement will terminate upon the earlier of: (a) 150 calendar days after the effective date; or (b) the effective date of a new sub-advisory agreement.
25
ADARA SMALLER COMPANIES FUND
Other Information (Unaudited)
Proxy Voting
Policies and procedures that the Fund uses to determine how to vote proxies relating to portfolio securities as well as information regarding how the Fund voted proxies relating to portfolio securities for the most recent twelve-month period ended June 30 are available without charge, upon request, by calling (844) 261-6482 and on the Securities and Exchange Commission’s (“SEC”) website at http://www.sec.gov.
Quarterly Portfolio Schedules
The Company files a complete schedule of portfolio holdings with the SEC for the first and third fiscal quarters of each fiscal year (quarters ended November 30 and May 31) as an exhibit to its report on Form N-PORT. The Company’s Form N-PORT is available on the SEC website at http://www.sec.gov.
APPROVAL OF SUB-ADVISORY AGREEMENT WITH APERIO GROUP, LLC
As required by the 1940 Act, the Board, including all of the Directors who are not “interested persons” of the Company, as that term is defined in the 1940 Act (the “Independent Directors”), considered the approval of a new sub-advisory agreement among Altair, the Company, on behalf of the Fund, and Aperio Group, LLC (“Aperio”) (the “Sub-Advisory Agreement”) at a special meeting of the Board held on December 10, 2020 (the “Meeting”). At the Meeting, the Board, including all of the Independent Directors, approved the Sub-Advisory Agreement for an initial period ending August 16, 2021. The Board’s decision to approve the Sub-Advisory Agreement reflects the exercise of its business judgment. In approving the Sub-Advisory Agreement, the Board considered information provided by Altair and Aperio, with the assistance and advice of counsel to the Independent Directors and the Company.
In considering the Sub-Advisory Agreement between Altair and Aperio, the Board took into account all materials provided prior to and during the Meeting and at other meetings throughout the past year, the presentations made during the Meeting, and the discussions held during the Meeting. Among other things, the Board considered (i) the nature, extent, and quality of services provided to the Fund by Aperio; (ii) descriptions of the experience and qualifications of the personnel providing those services; (iii) Aperio’s investment philosophies and processes; (iv) Aperio’s assets under management and client descriptions; (v) Aperio’s soft dollar commission and trade allocation policies, including information on the types of research and services obtained in connection with soft dollar commissions; (vi) Aperio’s advisory fee arrangements and other similarly managed clients, as applicable; (vii) Aperio’s compliance procedures; (viii) Aperio’s financial information and insurance coverage, including the effect of the change of control on Aperio’s operations; (ix) the extent to which economies of scale are relevant to the Fund; (x) a report prepared by Broadridge/Lipper comparing the Fund’s management fees and total expense ratio to those of its Lipper Group and comparing the performance of the Fund to the performance of its Lipper Group; and (xi) a report comparing the performance of the Fund to the performance of its benchmark. The Board acknowledged that it relied, in part, on its prior review of Aperio at its May 13-14, 2020 meeting whereby the Board had performed its review and annual renewal of the Fund’s prior sub-advisory agreement with Aperio.
The Board considered the nature, extent, and quality of services to be provided by Aperio. The Board also considered the fees payable to Aperio under the proposed Sub-Advisory Agreement with Aperio and the services to be provided by Aperio.
After reviewing the information regarding Aperio’s costs, profitability and economies of scale, and after considering the services to be provided by Aperio, the Board concluded that the sub-advisory fees to be paid by the Fund to Aperio were fair and reasonable and that the Sub-Advisory Agreement should be approved for an initial period ending August 16, 2021.
26
ADARA SMALLER COMPANIES FUND
Liquidity Risk Management Program
(Unaudited)
The Company has adopted and implemented a Liquidity Risk Management Program (the “Company Program”) as required by rule 22e-4 under the 1940 Act. In accordance with the Company Program, the Adviser has adopted and implemented a liquidity risk management program (the “Adviser Program” and together with the Company Program, the “Programs”) on behalf of the Fund. The Programs seek to assess, manage and review the Fund’s Liquidity Risk. “Liquidity Risk” is defined as the risk that the Fund could not meet requests to redeem shares issued by the Fund without significant dilution of remaining investors’ interest in the Fund.
The Board has appointed Vigilant Compliance, LLC (“Vigilant”) as the program administrator for the Company Program and the Adviser as the program administrator for the Adviser Program. The Adviser has delegated oversight of the Adviser Program to its Compliance Committee, whose process of monitoring and determining the liquidity of the Fund’s investments is supported by one or more third-party vendors.
At meetings held during the fiscal period, the Board and its Investment and Liquidity Risk Committee received and reviewed a written report (the “Report”) of Vigilant and the Adviser concerning the operation of the Programs for the period from June 1, 2019 to June 30, 2020 (the “Period”). The Report summarized the operation of the Programs and the information and factors considered by Vigilant and the Adviser in reviewing the adequacy and effectiveness of the implementation of the Programs with respect to the Fund. Such information and factors included, among other things: (i) the methodology used to classify the liquidity of each Fund’s portfolio investments and the Adviser’s assessment that the Fund’s strategy remained appropriate for an open-end mutual fund; (ii) analyses of the Fund’s trading environment and reasonably anticipated trading size; (iii) that the Fund held primarily highly liquid assets (investments that the Fund anticipates can be converted to cash within 3 business days or less in current market conditions without significantly changing their market value); (iv) that the Fund held a percentage of highly liquid assets above its highly liquid investment minimum at all times during the Period; (v) confirmation that the Fund did not breach the 15% maximum illiquid security threshold (investments that cannot be sold or disposed of in seven days or less in current market conditions without the sale of the investment significantly changing the market value of the investment) and the procedures for monitoring compliance with the limit; (vi) that the processes, technologies and third-party vendors used to assess, manage, and/or periodically review the Fund’s Liquidity Risk functioned appropriately during the Period; and (vii) that the Programs operated adequately during the Period. The Report also indicated that there were no material changes made to the Programs during the Period.
Based on the review, the Report concluded that the Programs were being implemented effectively and reasonably designed to assess and manage Liquidity Risk in the Fund’s portfolio.
There can be no assurance that the Company Program or the Adviser Program will achieve its objectives under all circumstances in the future. Please refer to the Fund’s prospectus for more information regarding the Fund’s exposure to liquidity risk and other risks to which it may be subject.
27
Investment Adviser
Altair Advisers, LLC
303 West Madison Street, Suite 600
Chicago, IL 60606
Administrator and Transfer Agent
U.S. Bancorp Fund Services, LLC
P.O. Box 701
Milwaukee, WI 53201
Principal Underwriter
Quasar Distributors, LLC
111 E Kilbourn Ave, Suite 2200
Milwaukee, WI 53202
Custodian
U.S. Bank, N.A.
1555 North Rivercenter Drive, Suite 302
Milwaukee, WI 53212
Independent Registered Public Accounting Firm
PricewaterhouseCoopers LLP
Two Commerce Square
2001 Market Street, Suite 1800
Philadelphia, PA 19103
Legal Counsel
Faegre Drinker Biddle & Reath LLP
One Logan Square, Suite 2000
Philadelphia, PA 19103-6996
ADA-SAR21
AQUARIUS INTERNATIONAL FUND
of
The RBB Fund, Inc.
SEMI-ANNUAL REPORT
February 28, 2021
(Unaudited)
This report is submitted for the general information of the shareholders of the Fund.
It is not authorized for distribution unless preceded or accompanied by a current prospectus for the Fund.
AQUARIUS INTERNATIONAL FUND
SEMI-Annual Report
Performance Data
February 28, 2021 (UNAUDITED)
Average Annual Total Returns for the Periods Ended February 28, 2021 | ||||
Six | One | Since | ||
Aquarius International Fund | 13.75% | 22.91% | 5.37%* | |
MSCI AC WORLD INDEX ex USA Gross Index | 8.79% | 8.79% | 0.75%** |
† | Not annualized. |
* | The Fund commenced operations on April 17, 2018. |
** | Benchmark performance is from inception date of the Fund only and is not the inception date of the benchmark itself. |
Performance quoted is past performance and does not guarantee future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the returns quoted. Returns shown do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. Performance data current to the most recent month-end may be obtained by calling (844) 261-6482.
The Fund’s total annual Fund operating expenses, as stated in the current prospectus dated December 31, 2020, are 0.75% of average daily net assets. This ratio may differ from the actual expenses incurred by the Fund for the period covered by this report.
The Fund invests in common stocks, preferred stocks, warrants to acquire common stocks and securities convertible into common stocks. Portfolio composition is subject to change.
The MSCI ACWI ex USA Index captures large and mid cap representation across 22 of 23 Developed Markets (DM) countries (excluding the US) and 27 Emerging Markets (EM) countries. With 2,357 constituents, the index covers approximately 85% of the global equity opportunity set outside the US. It is impossible to invest directly in an index.
Investment Considerations
Investing in the Fund involves risk and an investor may lose money. The success of the Fund’s strategy depends on the Adviser’s ability to select Sub-Advisers and each manager’s ability to select investments for the Fund. The Fund may invest in riskier type investments including small, micro-cap and large cap stocks, Initial Public Offerings (IPOs), special situations, foreign markets, emerging markets and illiquid securities all of which may be more volatile and less liquid.
1
AQUARIUS INTERNATIONAL FUND
Fund Expense Example
February 28, 2021 (UNAUDITED)
As a shareholder of the Fund, you incur two types of costs: (1) transaction costs and (2) ongoing costs, including management fees and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
This example is based on an investment of $1,000 invested at the beginning of the six-month period from September 1, 2020 through February 28, 2021 and held for the entire period.
Actual Expenses
The first line of the accompanying table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The second line of the accompanying table provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare these 5% hypothetical examples with the 5% hypothetical examples that appear in the shareholder reports of other funds.
Please note that the expenses shown in the accompanying table are meant to highlight your ongoing costs only and do not reflect any transactional costs. Therefore, the second line of the accompanying table is useful in comparing ongoing costs only and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
Beginning | Ending | Expenses Paid | Annualized | Actual Six Month | |
Actual | $ 1,000.00 | $ 1,137.50 | $ 72.87 | 0.77% | 13.75% |
Hypothetical (5% return before expenses) | 1,000.00 | 939.52 | 66.12 | 0.77 | N/A |
* | Expenses are equal to the Fund’s annualized six-month expense ratio in the table above, multiplied by the average account value over the period, multiplied by the number of days (181) in the most recent fiscal half-year, then divided by 365 to reflect the one-half year period. The Fund’s ending account value on the first line in the table is based on the actual six-month total investment return for the Fund. |
2
AQUARIUS INTERNATIONAL FUND
Portfolio Holdings Summary Table
February 28, 2021 (Unaudited)
The following table presents a summary by security type of the portfolio holdings of the Fund:
% of Net | Value | |||||||
COMMON STOCKS: | ||||||||
Semiconductors | 8.8 | % | $ | 29,365,859 | ||||
Internet | 7.0 | 23,462,963 | ||||||
Pharmaceuticals | 6.9 | 23,163,662 | ||||||
Banks | 6.5 | 21,800,598 | ||||||
Insurance | 5.2 | 17,378,224 | ||||||
Beverages | 5.2 | 17,367,466 | ||||||
Commercial Services | 3.4 | 11,388,035 | ||||||
Telecommunications | 3.1 | 10,342,838 | ||||||
Oil & Gas | 2.9 | 9,666,792 | ||||||
Retail | 2.9 | 9,591,584 | ||||||
Investment Companies | 2.7 | 8,918,682 | ||||||
Healthcare-Products | 2.5 | 8,352,146 | ||||||
Chemicals | 2.4 | 7,908,473 | ||||||
Software | 2.2 | 7,390,367 | ||||||
Electronics | 2.2 | 7,258,624 | ||||||
Diversified Financial Services | 2.1 | 6,906,779 | ||||||
Apparel | 2.0 | 6,724,883 | ||||||
Cosmetics/Personal Care | 1.8 | 5,971,926 | ||||||
Food | 1.8 | 5,931,263 | ||||||
Machinery-Diversified | 1.8 | 5,837,970 | ||||||
Building Materials | 1.7 | 5,554,523 | ||||||
Media | 1.4 | 4,703,962 | ||||||
Computers | 1.2 | 4,061,902 | ||||||
Distribution/Wholesale | 1.1 | 3,821,718 | ||||||
Airlines | 1.1 | 3,551,923 | ||||||
Mining | 1.0 | 3,474,361 | ||||||
Lodging | 0.8 | 2,803,599 | ||||||
Electrical Components & Equipment | 0.8 | 2,790,894 | ||||||
Auto Manufacturers | 0.8 | 2,773,083 | ||||||
Real Estate | 0.8 | 2,768,417 | ||||||
Miscellaneous Manufacturing | 0.8 | 2,737,216 | ||||||
Water | 0.8 | 2,629,073 | ||||||
Hand/Machine Tools | 0.8 | 2,490,841 | ||||||
Healthcare-Services | 0.7 | 2,177,802 | ||||||
Food Service | 0.6 | 1,893,209 | ||||||
Home Builders | 0.5 | 1,699,630 | ||||||
Biotechnology | 0.5 | 1,668,428 | ||||||
Transportation | 0.4 | 1,305,832 | ||||||
Private Equity | 0.4 | 1,301,062 | ||||||
Electric | 0.3 | 1,086,483 | ||||||
Iron/Steel | 0.3 | 1,044,479 | ||||||
Agriculture | 0.3 | 1,017,358 | ||||||
Auto Parts & Equipment | 0.2 | 810,385 | ||||||
Machinery-Construction & Mining | 0.2 | 793,321 | ||||||
REITS | 0.2 | 745,278 | ||||||
Environmental Control | 0.2 | 662,277 | ||||||
Engineering & Construction | 0.2 | 651,189 | ||||||
Home Furnishings | 0.2 | 640,206 | ||||||
Gas | 0.2 | 526,731 | ||||||
Household Products/Wares | 0.2 | 505,450 | ||||||
Aerospace/Defense | 0.1 | 341,731 | ||||||
Energy-Alternate Sources | 0.1 | 335,926 | ||||||
Toys/Games/Hobbies | 0.1 | 272,351 | ||||||
Pipelines | 0.1 | 241,500 | ||||||
Advertising | 0.1 | 233,800 | ||||||
Entertainment | 0.1 | 212,308 | ||||||
Holding Companies-Diversification | 0.0 | 127,594 | ||||||
Office/Business Equipment | 0.0 | 121,456 | ||||||
Forest Products & Paper | 0.0 | 95,617 | ||||||
Leisure Time | 0.0 | 78,489 | ||||||
Coal | 0.0 | 57,071 | ||||||
PREFERRED STOCKS: | ||||||||
Cosmetics/Personal Care | 0.3 | 970,410 | ||||||
Chemicals | 0.3 | 871,906 | ||||||
Airlines | 0.2 | 531,341 | ||||||
Banks | 0.1 | 199,729 | ||||||
Auto Manufacturers | 0.0 | 68,165 | ||||||
Electronics | 0.0 | 45,199 | ||||||
Electric | 0.0 | 35,258 | ||||||
EXCHANGE TRADED FUNDS: | ||||||||
Diversified Financial Services | 0.1 | 416,044 | ||||||
SHORT-TERM INVESTMENTS | 6.0 | 20,024,954 | ||||||
OTHER ASSETS IN EXCESS OF OTHER LIABILITIES | 0.3 | 1,096,926 | ||||||
NET ASSETS | 100.0 | % | $ | 333,797,541 |
Portfolio holdings are subject to change at any time.
The accompanying notes are an integral part of the financial statements.
3
AQUARIUS INTERNATIONAL FUND
Portfolio Holdings Summary Table
February 28, 2021 (Unaudited)
The following table presents a summary by country of the portfolio holdings of the Fund:
% of Net | Value | |||||||
COMMON STOCKS: | ||||||||
Australia | 2.5 | % | $ | 8,469,038 | ||||
Austria | 0.1 | 302,960 | ||||||
Belgium | 2.2 | 7,413,261 | ||||||
Brazil | 0.6 | 1,989,952 | ||||||
Canada | 1.3 | 4,387,906 | ||||||
Cayman Islands | 9.1 | 30,426,478 | ||||||
China | 2.1 | 7,062,134 | ||||||
Colombia | 0.0 | 53,939 | ||||||
Cyprus | 0.1 | 350,996 | ||||||
Denmark | 1.3 | 4,200,890 | ||||||
Egypt | 0.1 | 207,680 | ||||||
Finland | 0.7 | 2,308,800 | ||||||
France | 5.5 | 18,227,815 | ||||||
Germany | 3.3 | 10,878,477 | ||||||
Hong Kong | 1.6 | 5,229,663 | ||||||
Hungary | 0.1 | 329,254 | ||||||
India | 3.5 | 11,791,894 | ||||||
Indonesia | 0.3 | 871,619 | ||||||
Ireland | 6.0 | 20,094,185 | ||||||
Israel | 0.7 | 2,452,850 | ||||||
Italy | 1.1 | 3,524,288 | ||||||
Japan | 8.2 | 27,359,040 | ||||||
Luxembourg | 0.0 | 82,239 | ||||||
Mexico | 0.3 | 1,010,269 | ||||||
Netherlands | 3.2 | 10,729,887 | ||||||
New Zealand | 0.0 | 33,683 | ||||||
Norway | 0.1 | 481,814 | ||||||
Papua New Guinea | 0.0 | 103,180 | ||||||
Philippines | 0.0 | 69,327 | ||||||
Portugal | 0.0 | 74,158 | ||||||
South Korea | 4.9 | 16,376,899 | ||||||
Russia | 0.6 | 1,897,928 | ||||||
Singapore | 0.6 | 2,124,941 | ||||||
South Africa | 0.3 | 1,067,402 | ||||||
Spain | 0.3 | 945,610 | ||||||
Sweden | 3.0 | 10,003,273 | ||||||
Switzerland | 7.2 | 24,102,419 | ||||||
Taiwan | 4.5 | 14,869,647 | ||||||
Thailand | 1.4 | 4,511,090 | ||||||
Turkey | 0.0 | 33,554 | ||||||
United Kingdom | 14.6 | 48,735,315 | ||||||
United States | 1.3 | 4,351,856 | ||||||
PREFERRED STOCKS: | ||||||||
Brazil | 0.2 | 719,030 | ||||||
Colombia | 0.0 | 47,298 | ||||||
Germany | 0.3 | 985,270 | ||||||
South Korea | 0.3 | 970,410 | ||||||
EXCHANGE TRADED FUNDS: | ||||||||
United States | 0.1 | 416,044 | ||||||
SHORT-TERM INVESTMENTS | ||||||||
United States | 6.0 | 20,024,954 | ||||||
OTHER ASSETS IN EXCESS OF LIABILITIES | 0.3 | 1,096,925 | ||||||
NET ASSETS | 100.0 | % | $ | 333,797,541 |
Portfolio holdings are subject to change at any time.
The accompanying notes are an integral part of the financial statements.
4
AQUARIUS INTERNATIONAL FUND
Portfolio of Investments
February 28, 2021 (Unaudited)
Number of | Value | |||||||
COMMON STOCKS — 92.7% | ||||||||
Advertising — 0.1% | ||||||||
Dentsu, Inc. | 1,800 | $ | 62,854 | |||||
Publicis Groupe SA | 2,188 | 128,657 | ||||||
WPP, PLC | 3,536 | 42,289 | ||||||
233,800 | ||||||||
Aerospace/Defense — 0.1% | ||||||||
Airbus Group SE* | 1,204 | 139,874 | ||||||
MTU Aero Engines AG, ADR | 562 | 67,361 | ||||||
Safran SA | 649 | 88,467 | ||||||
Thales SA | 486 | 46,029 | ||||||
341,731 | ||||||||
Agriculture — 0.3% | ||||||||
British American Tabacco, PLC, SP ADR | 6,138 | 215,198 | ||||||
Imperial Brands, PLC, SP ADR | 3,146 | 59,050 | ||||||
Japan Tobacco, Inc. | 4,730 | 85,644 | ||||||
Origin Enterprises, PLC | 147,132 | 621,723 | ||||||
Swedish Match AB | 498 | 35,743 | ||||||
1,017,358 | ||||||||
Airlines — 1.1% | ||||||||
Ryanair Holding, PLC, SP ADR* | 33,035 | 3,551,923 | ||||||
Apparel — 2.0% | ||||||||
Adidas AG | 4,126 | 1,438,259 | ||||||
Adidas AG, SP ADR | 1,152 | 202,337 | ||||||
Gildan Activewear, Inc.* | 5,757 | 174,840 | ||||||
Hermes International | 80 | 89,123 | ||||||
Kering SA | 139 | 87,910 | ||||||
LVMH Moet Hennessy Louis Vuitton SE | 6,200 | 3,928,435 | ||||||
LVMH Moet Hennessy Louis Vuitton SE, ADR | 2,000 | 254,020 | ||||||
NIKE, Inc., Class B | 3,465 | 467,013 | ||||||
Shenzhou International Group Holdings, Ltd. | 4,000 | 82,946 | ||||||
6,724,883 | ||||||||
Auto Manufacturers — 0.8% | ||||||||
Bayerische Motoren Werke AG, SP ADR | 3,309 | 95,597 | ||||||
BYD Co., Ltd. | 1,500 | 38,445 | ||||||
Daimler AG | 3,623 | 290,439 | ||||||
Ferrari NV | 141 | 27,439 | ||||||
Ferrari NV | 642 | 126,718 | ||||||
Geely Automobile Holdings, Ltd. | 6,982 | 22,585 | ||||||
Geely Automobile Holdings, Ltd., ADR | 883 | 58,269 | ||||||
Hyundai Motor Co. | 353 | 74,259 | ||||||
Kia Motors Corp. | 4,408 | 310,800 | ||||||
Maruti Suzuki India Ltd. | 2,605 | 243,244 | ||||||
NIO, Inc., ADR* | 2,072 | 94,856 | ||||||
Nissan Motor Co., Ltd.* | 10,100 | 55,217 |
Stellantis NV* | 5,160 | 83,572 | ||||||
Tata Motors, Ltd., SP ADR* | 32,755 | 720,283 | ||||||
Toyota Motor Corp. | 600 | 44,336 | ||||||
Toyota Motor Corp., SP ADR | 1,862 | 275,446 | ||||||
Volkswagen AG, ADR | 5,060 | 118,495 | ||||||
Volvo AB, Class B | 3,636 | 93,083 | ||||||
2,773,083 | ||||||||
Auto Parts & Equipment — 0.2% | ||||||||
Continental AG* | 442 | 63,543 | ||||||
Fuyao Glass Industrials Group, Ltd., (a) | 69,580 | 426,454 | ||||||
Magna International, Inc. | 3,010 | 253,442 | ||||||
Michelin | 463 | 66,946 | ||||||
810,385 | ||||||||
Banks — 6.5% | ||||||||
Australia & New Zealand Banking Group, Ltd. | 5,980 | 120,089 | ||||||
Banco Santander SA | 37,238 | 129,480 | ||||||
Bangkok Bank | 267,500 | 1,067,948 | ||||||
Bank Central Asia Tbk PT | 328,970 | 773,983 | ||||||
Bank Leumi Le Israel | 361,991 | 2,195,537 | ||||||
Bank Montreal | 867 | 70,687 | ||||||
Bank of Ireland Group, PLC* | 488,515 | 1,973,405 | ||||||
Bank of Nova Scotia, (The) | 1,749 | 101,949 | ||||||
Bank Rakyat Indonesia Persero Tbk PT, ADR | 2,219 | 36,392 | ||||||
Bankia SA | 40,101 | 78,788 | ||||||
Barclays, PLC | 126,063 | 281,340 | ||||||
Bendigo & Adelaide Bank, Ltd. | 12,614 | 94,759 | ||||||
BNP Paribas SA | 2,636 | 156,703 | ||||||
BOC Hong Kong Holdings, Ltd. | 28,000 | 93,030 | ||||||
CaixaBank SA | 38,503 | 111,514 | ||||||
Canadian Imperial Bank of Commerce | 573 | 52,813 | ||||||
China Construction Bank Corp. | 106,000 | 85,091 | ||||||
China Merchants Bank Co., Ltd., ADR | 554 | 21,456 | ||||||
China Merchants Bank Co., Ltd. | 12,063 | 92,508 | ||||||
Commercial International Bank Egypt SAE, ADR | 4,572 | 17,831 | ||||||
Commercial International Bank Egypt SAE | 48,225 | 189,849 | ||||||
Commerzbank AG* | 18,102 | 118,598 | ||||||
Commonwealth Bank Of Australia | 4,044 | 253,837 | ||||||
Concordia Financial Group, Ltd. | 11,723 | 45,406 | ||||||
Credit Suisse Group AG | 13,720 | 198,481 | ||||||
Dah Sing Financial Holdings, Ltd. | 210,000 | 678,815 | ||||||
DBS Group Holdings, Ltd. | 75,800 | 1,501,947 | ||||||
DBS Group Holdings, Ltd., SP ADR | 1,611 | 128,058 |
The accompanying notes are an integral part of the financial statements.
5
AQUARIUS INTERNATIONAL FUND
Portfolio of Investments (Continued)
February 28, 2021 (Unaudited)
Number of | Value | |||||||
Banks — (Continued) | ||||||||
Deutsche Bank AG* | 8,776 | $ | 107,682 | |||||
DNB ASA | 12,189 | 236,801 | ||||||
FinecoBank Banca Fineco SpA* | 5,751 | 100,868 | ||||||
FirstRand, Ltd. | 13,495 | 44,789 | ||||||
Fukuoka Financial Group, Inc. | 3,000 | 54,198 | ||||||
Grupo Aval Acciones y Valores SA, ADR | 8,589 | 53,939 | ||||||
Grupo Financiero Banorte SAB de CV | 71,118 | 357,137 | ||||||
Hang Seng Bank, Ltd. | 4,400 | 84,978 | ||||||
HDFC Bank, Ltd. | 109,016 | 2,286,626 | ||||||
HDFC Bank, Ltd., ADR | 15,129 | 1,197,309 | ||||||
HSBC Holdings, PLC, SP ADR | 9,910 | 294,426 | ||||||
ICICI Bank, Ltd., SP ADR* | 62,462 | 1,037,494 | ||||||
ING Groep NV | 7,103 | 77,797 | ||||||
Macquarie Group, Ltd. | 749 | 81,988 | ||||||
Mediobanca Banca di Credito Finanziario SpA | 3,974 | 41,266 | ||||||
Mitsubishi UFJ Financial Group Inc., SP ADR | 53,334 | 280,004 | ||||||
National Australia Bank, Ltd., SP ADR | 11,208 | 106,812 | ||||||
National Australia Bank, Ltd. | 7,689 | 145,993 | ||||||
Nedbank Group, Ltd., SP ADR | 2,666 | 22,814 | ||||||
Nordea Bank Abp | 93 | 843 | ||||||
Nordea Bank Abp | 11,504 | 104,190 | ||||||
OTP Bank, PLC* | 7,259 | 329,254 | ||||||
Oversea-Chinese Bank Corp., Ltd. | 9,000 | 73,628 | ||||||
Royal Bank Canada | 3,116 | 265,140 | ||||||
Sberbank Russia, SP ADR | 66,224 | 964,221 | ||||||
Shinhan Financial Group Co., Ltd., SP ADR | 9,162 | 265,423 | ||||||
Societe Generale SA | 2,392 | 59,193 | ||||||
Standard Bank Group, Ltd. | 9,099 | 79,796 | ||||||
Sumitomo Mitsui Financial Group Inc., SP ADR | 56,610 | 397,402 | ||||||
Svenska Handelsbanken AB | 126,185 | 1,330,347 | ||||||
Toronto-Dominion Bank, (The) | 3,414 | 206,103 | ||||||
UBS Group AG | 13,717 | 213,414 | ||||||
United Overseas Bank, Ltd. | 6,000 | 110,184 | ||||||
Woori Financial Group, Inc., SP ADR | 4,696 | 118,245 | ||||||
21,800,598 | ||||||||
Beverages — 5.2% | ||||||||
Anheuser-Busch InBev SA NV, SP ADR | 2,087 | 120,483 | ||||||
Asahi Group Holdings Ltd. | 1,700 | 74,217 | ||||||
Carlsberg A/S | 499 | 78,357 | ||||||
China Resources Beer Holdings Co., Ltd. | 10,000 | 75,447 |
Coca-Cola Amatil, Ltd. | 543,299 | 5,609,405 | ||||||
Coca-Cola European Partners, PLC | 476 | 24,252 | ||||||
Diageo, PLC | 134,730 | 5,300,126 | ||||||
Diageo, PLC, SP ADR | 2,046 | 322,736 | ||||||
Fomento Economico Mexicano SAB de CV, SP ADR | 461 | 31,578 | ||||||
Heineken NV | 592 | 58,496 | ||||||
Kirin Holdings Co., Ltd. | 2,000 | 39,402 | ||||||
Kweichow Moutai Co., Ltd. | 3,272 | 1,076,445 | ||||||
Pernod Ricard SA | 300 | 56,949 | ||||||
Suntory Beverage & Food Ltd. | 800 | 27,463 | ||||||
Thai Beverage, PLC | 6,250,500 | 3,443,142 | ||||||
Wuliangye Yibin Co., Ltd. | 23,699 | 1,028,968 | ||||||
17,367,466 | ||||||||
Biotechnology — 0.5% | ||||||||
Akeso, Inc., (a)* | 24,078 | 157,836 | ||||||
Argenx SE, ADR* | 151 | 49,933 | ||||||
BeiGene Ltd., ADR* | 238 | 76,160 | ||||||
CSL Ltd., SP ADR | 1,030 | 105,719 | ||||||
CSL, Ltd. | 628 | 127,986 | ||||||
Genmab A/S* | 1,453 | 487,315 | ||||||
Genmab A/S, ADR* | 2,330 | 78,917 | ||||||
Innovent Biologics, Inc., (a)* | 31,001 | 319,026 | ||||||
Zai Lab Ltd., ADR* | 1,800 | 265,536 | ||||||
1,668,428 | ||||||||
Building Materials — 1.7% | ||||||||
Anhui Conch Cement Co., Ltd., ADR | 455 | 14,683 | ||||||
Anhui Conch Cement Co., Ltd. | 3,500 | 22,492 | ||||||
Cemex SAB de CV, SP ADR* | 55,954 | 369,856 | ||||||
CRH, PLC | 63,711 | 2,765,771 | ||||||
CRH, PLC, SP ADR | 3,605 | 156,204 | ||||||
Daikin Industries, Ltd., SP ADR | 1,490 | 29,025 | ||||||
Daikin Industries, Ltd. | 249 | 48,527 | ||||||
Geberit AG | 90 | 53,062 | ||||||
James Hardie Industries PLC | 2,896 | 81,225 | ||||||
LafargeHolcim, Ltd.* | 2,013 | 111,051 | ||||||
Semen Indonesia Persero Tbk PT, ADR | 2,421 | 34,439 | ||||||
Sika AG | 6,981 | 1,846,052 | ||||||
TOTO, Ltd. | 365 | 22,136 | ||||||
5,554,523 | ||||||||
Chemicals — 2.4% | ||||||||
Air Liquide SA | 18,577 | 2,797,600 | ||||||
Air Liquide SA, ADR | 1,771 | 53,201 | ||||||
Akzo Nobel NV, ADR | 2,496 | 86,767 | ||||||
Asahi Kasei Corp. | 6,000 | 65,092 | ||||||
Asian Paints Ltd. | 14,003 | 434,778 | ||||||
BASF SE, SP ADR | 9,844 | 201,704 |
The accompanying notes are an integral part of the financial statements.
6
AQUARIUS INTERNATIONAL FUND
Portfolio of Investments (Continued)
February 28, 2021 (Unaudited)
Number of | Value | |||||||
Chemicals — (Continued) | ||||||||
Covestro AG, (a) | 1,716 | $ | 124,249 | |||||
Croda International, PLC | 16,514 | 1,425,755 | ||||||
Fuchs Petrolub SE | 27,450 | 1,191,386 | ||||||
Givaudan SA, ADR | 600 | 45,690 | ||||||
Givaudan SA | 27 | 101,689 | ||||||
ICL Group, Ltd. | 12,592 | 71,774 | ||||||
Johnson Matthey, PLC | 1,377 | 58,840 | ||||||
Kansai Paint Co., Ltd. | 1,360 | 35,584 | ||||||
Koninklijke DSM NV | 561 | 92,501 | ||||||
LANXESS AG | 1,023 | 75,932 | ||||||
LG Chem, Ltd. | 681 | 502,758 | ||||||
Mitsui Chemicals, Inc. | 22 | 681 | ||||||
Nippon Paint Holdings Co., Ltd. | 722 | 53,777 | ||||||
Novozymes A/S, ADR | 920 | 56,709 | ||||||
Shin Etsu Chemical Co., Ltd., ADR | 2,744 | 112,916 | ||||||
Shin-Etsu Chemical Co., Ltd. | 654 | 107,187 | ||||||
Solvay SA | 373 | 45,401 | ||||||
Sumitomo Chemical Co., Ltd. | 13,000 | 63,288 | ||||||
Symrise AG | 500 | 58,411 | ||||||
Umicore SA, ADR | 3,052 | 44,803 | ||||||
7,908,473 | ||||||||
Coal — 0.0% | ||||||||
China Shenhua Energy Co., Ltd. | 30,000 | 57,071 | ||||||
Commercial Services — 3.4% | ||||||||
Adecco Group AG | 374 | 23,538 | ||||||
Adyen NV, (a)* | 884 | 2,062,710 | ||||||
ALD SA, (a) | 57,539 | 842,361 | ||||||
Amadeus IT Group SA, ADR | 1,437 | 101,332 | ||||||
Ashtead Group, PLC | 2,764 | 150,173 | ||||||
Bidvest Group, Ltd., (The) | 3,146 | 34,888 | ||||||
Bureau Veritas SA | 1,739 | 47,043 | ||||||
China Merchants Port Holdings Co., Ltd. | 60,000 | 87,333 | ||||||
Edenred | 1,223 | 67,781 | ||||||
Experian, PLC | 2,543 | 80,725 | ||||||
IHS Markit, Ltd. | 10,530 | 949,385 | ||||||
Intertek Group, PLC | 35,751 | 2,679,852 | ||||||
Localiza Rent a Car SA, ADR* | 4,006 | 42,023 | ||||||
New Oriental Education & Tech Group, Inc., SP ADR* | 3,241 | 575,666 | ||||||
Recruit Holdings Co., Ltd. | 3,292 | 164,499 | ||||||
RELX, PLC | 100,947 | 2,388,619 | ||||||
Rentokil Initial, PLC* | 7,414 | 48,307 | ||||||
Secom Co., Ltd. | 358 | 31,173 | ||||||
SGS SA | 188 | 537,261 | ||||||
TAL Education Group, ADR* | 4,632 | 359,165 | ||||||
Transurban Group | 6,366 | 63,089 | ||||||
Worldline SA (France), (a)* | 573 | 51,112 | ||||||
11,388,035 |
Computers — 1.2% | ||||||||
CGI, Inc.* | 279 | 20,822 | ||||||
CyberArk Software Ltd.* | 576 | 84,574 | ||||||
EPAM Systems, Inc.* | 2,041 | 762,538 | ||||||
Fujitsu Ltd. | 422 | 61,223 | ||||||
Globant S.A.* | 147 | 31,564 | ||||||
Infosys Ltd., SP ADR | 12,897 | 220,797 | ||||||
Logitech International SA | 536 | 57,909 | ||||||
Nomura Research Institute Ltd. | 54,300 | 1,684,710 | ||||||
Obic Co., Ltd. | 400 | 67,383 | ||||||
Tata Consultancy Services, Ltd. | 18,737 | 738,036 | ||||||
Teleperformance | 266 | 94,232 | ||||||
Wipro Ltd., ADR | 38,844 | 238,114 | ||||||
4,061,902 | ||||||||
Cosmetics/Personal Care — 1.8% | ||||||||
Beiersdorf AG | 602 | 59,482 | ||||||
Essity AB, Class B | 3,135 | 94,197 | ||||||
Kao Corp. | 1,250 | 84,099 | ||||||
Kose Corp. | 300 | 48,222 | ||||||
LG Household & Health Care, Ltd. | 220 | 296,188 | ||||||
Lion Corp. | 2,631 | 50,500 | ||||||
L’Oreal SA | 1,866 | 680,996 | ||||||
L’Oreal SA, ADR | 3,400 | 249,084 | ||||||
Natura & Co. Holding SA, ADR | 5,256 | 86,566 | ||||||
Proya Cosmetics Co., Ltd. | 12,694 | 329,955 | ||||||
Unicharm Corp. | 1,087 | 43,065 | ||||||
Unilever PLC-CVA | 69,356 | 3,602,904 | ||||||
Unilever, PLC, ADR | 6,659 | 346,668 | ||||||
5,971,926 | ||||||||
Distribution/Wholesale — 1.1% | ||||||||
Bunzl, PLC | 113,869 | 3,555,079 | ||||||
ITOCHU Corp. | 3,700 | 110,512 | ||||||
ITOCHU Corp., ADR | 426 | 25,637 | ||||||
Jardine Cycle & Carriage Ltd. | 4,000 | 62,842 | ||||||
Mitsui & Co., Ltd. | 3,159 | 67,648 | ||||||
3,821,718 | ||||||||
Diversified Financial Services — 2.1% | ||||||||
ASX, Ltd. | 1,017 | 52,959 | ||||||
B3 SA - Brasil Bolsa Balcao* | 33,654 | 326,740 | ||||||
China International Capital Corp. Ltd., (a)* | 19,000 | 43,808 | ||||||
Deutsche Boerse AG | 7,936 | 1,300,296 | ||||||
Deutsche Boerse AG, ADR | 2,810 | 45,747 | ||||||
East Money Information Co., Ltd. | 110,219 | 519,746 | ||||||
Guotai Junan Securities Co., Ltd., (a) | 33,000 | 45,833 | ||||||
Hong Kong Exchange & Clearing, Ltd. | 8,549 | 525,617 | ||||||
Housing Development Finance Corp., Ltd. | 16,156 | 559,114 |
The accompanying notes are an integral part of the financial statements.
7
AQUARIUS INTERNATIONAL FUND
Portfolio of Investments (Continued)
February 28, 2021 (Unaudited)
Number of | Value | |||||||
Diversified Financial Services — (Continued) | ||||||||
Japan Exchange Group, Inc., ADR | 65,600 | $ | 1,416,738 | |||||
KB Financial Group, Inc., ADR | 6,431 | 246,436 | ||||||
London Stock Exchange Group, PLC | 791 | 106,294 | ||||||
London Stock Exchange Group, PLC, ADR | 2,464 | 84,121 | ||||||
Nomura Holdings, Inc. | 14,100 | 82,360 | ||||||
Pagseguro Digital, Ltd.* | 8,460 | 491,188 | ||||||
Rathbone Brothers, PLC | 2,455 | 53,062 | ||||||
Sanlam Ltd., ADR | 5,156 | 41,274 | ||||||
SBI Cards & Payment* | 14,670 | 213,356 | ||||||
SBI Holdings, Inc. | 2,600 | 72,745 | ||||||
Singapore Exchange, Ltd. | 6,000 | 44,671 | ||||||
St James’s Place, PLC | 5,807 | 95,781 | ||||||
Standard Life Aberdeen, PLC | 15,283 | 66,750 | ||||||
Visa, Inc., Class A | 2,223 | 472,143 | ||||||
6,906,779 | ||||||||
Electric — 0.3% | ||||||||
E.ON SE | 4,210 | 42,927 | ||||||
Enel SpA | 14,744 | 139,020 | ||||||
Engie SA, SP ADR | 8,968 | 131,731 | ||||||
Fortis, Inc. | 2,870 | 110,495 | ||||||
Iberdrola SA | 8,686 | 108,852 | ||||||
Iberdrola SA, SP ADR | 1,618 | 81,364 | ||||||
National Grid, PLC | 2,867 | 32,238 | ||||||
National Grid, PLC, SP ADR | 2,605 | 145,593 | ||||||
Orsted A/S, (a) | 381 | 61,408 | ||||||
Power Assets Holdings, Ltd. | 9,500 | 52,715 | ||||||
RWE AG | 1,019 | 38,487 | ||||||
SSE, PLC, ADR | 5,415 | 99,961 | ||||||
Terna Rete Elettrica Nazionale SpA | 6,010 | 41,692 | ||||||
1,086,483 | ||||||||
Electrical Components & Equipment — 0.8% | ||||||||
Contemporary Amperex Technology Co., Ltd. | 11,600 | 576,495 | ||||||
Delta Electronics, Inc. | 31,000 | 312,022 | ||||||
Legrand SA | 19,325 | 1,680,102 | ||||||
Schneider Electric SE | 698 | 103,216 | ||||||
Schneider Electric SE, ADR | 4,025 | 119,059 | ||||||
2,790,894 | ||||||||
Electronics — 2.2% | ||||||||
ABB Ltd. | 4,533 | 130,503 | ||||||
Assa Abloy AB, Class B | 111,187 | 2,789,105 | ||||||
Halma, PLC | 47,676 | 1,509,293 | ||||||
Hirose Electric Co., Ltd. | 427 | 62,593 | ||||||
Hon Hai Precision | 164,352 | 660,243 | ||||||
Hoya Corp. | 670 | 76,197 | ||||||
Hoya Corp., SP ADR | 487 | 55,606 |
Kyocera Corp. | 900 | 58,255 | ||||||
Murata Manufacturing Co., Ltd. | 1,119 | 95,926 | ||||||
Murata Manufacturing Co., Ltd., ADR | 5,048 | 109,037 | ||||||
Nidec Corp. | 78 | 9,946 | ||||||
Nidec Corp., SP ADR | 4,640 | 148,944 | ||||||
Shenzhen Inovance Technology Co., Ltd. | 19,100 | 252,437 | ||||||
Silergy Corp. | 4,715 | 452,635 | ||||||
TXC Corp. | 119,000 | 420,390 | ||||||
Unimicron Technology Corp. | 122,318 | 427,514 | ||||||
7,258,624 | ||||||||
Energy-Alternate Sources — 0.1% | ||||||||
Vestas Wind Systems A/S | 496 | 93,012 | ||||||
Xinyi Solar Holdings, Ltd. | 115,653 | 242,914 | ||||||
335,926 | ||||||||
Engineering & Construction — 0.2% | ||||||||
Ferrovial SA | 3,085 | 76,563 | ||||||
Grupo Aeroportuario del Pacifico SAB de CV, SP ADR, Class B* | 392 | 39,737 | ||||||
Grupo Aeroportuario del Sureste SAB de CV, SP ADR | 471 | 87,677 | ||||||
HOCHTIEF AG | 774 | 69,170 | ||||||
S/INTL AIRPORT | 30,000 | 287,631 | ||||||
Vinci SA, ADR | 3,476 | 90,411 | ||||||
651,189 | ||||||||
Entertainment — 0.1% | ||||||||
MultiChoice Group | 5,548 | 46,804 | ||||||
MultiChoice Group, Ltd., ADR | 93 | 797 | ||||||
Oriental Land Co., Ltd. | 613 | 103,219 | ||||||
Paddy Power Betfair, PLC* | 321 | 61,488 | ||||||
212,308 | ||||||||
Environmental Control — 0.2% | ||||||||
China Conch Venture Holdings, Ltd. | 149,000 | 662,277 | ||||||
Food — 1.8% | ||||||||
Barry Callebaut AG | 40 | 86,531 | ||||||
BRF SA, ADR* | 3,487 | 13,599 | ||||||
China Mengniu Dairy Co., Ltd.* | 115,925 | 633,473 | ||||||
Chocoladefabriken Lindt & Spruengli AG | 6 | 50,348 | ||||||
Cia Brasileira de Distribuicao, SP ADR | 2,775 | 41,542 | ||||||
Coles Group, Ltd. | 4,109 | 48,647 | ||||||
Colruyt SA | 628 | 37,620 | ||||||
Glanbia, PLC | 92,604 | 1,196,232 | ||||||
ICA Gruppen AB | 1,766 | 83,803 | ||||||
JBS SA, ADR | 690 | 6,417 | ||||||
Just Eat Takeaway.com NV, ADR* | 2,870 | 28,413 | ||||||
Kerry Group, PLC, Class A | 139 | 16,725 |
The accompanying notes are an integral part of the financial statements.
8
AQUARIUS INTERNATIONAL FUND
Portfolio of Investments (Continued)
February 28, 2021 (Unaudited)
Number of | Value | |||||||
Food — (Continued) | ||||||||
Koninklijke Ahold Delhaize NV | 696 | $ | 18,378 | |||||
Koninklijke Ahold Delhaize NV, SP ADR | 4,031 | 106,398 | ||||||
Marine Harvest | 1,851 | 44,703 | ||||||
Meiji Holdings Co., Ltd. | 400 | 25,447 | ||||||
Nestle SA | 14,111 | 1,472,747 | ||||||
Nestle SA, SP ADR | 6,845 | 717,493 | ||||||
Ocado Group, PLC* | 2,138 | 65,687 | ||||||
Seven & i Holdings Co., Ltd., ADR | 3,000 | 57,414 | ||||||
Seven & i Holdings Co., Ltd. | 24,300 | 926,178 | ||||||
Tesco, PLC | 9,381 | 29,487 | ||||||
Wilmar International Ltd. | 29,000 | 114,176 | ||||||
Woolworths Group, Ltd. | 2,137 | 65,172 | ||||||
Yakult Honsha Co., Ltd. | 900 | 44,633 | ||||||
5,931,263 | ||||||||
Food Service — 0.6% | ||||||||
Compass Group, PLC* | 85,885 | 1,744,068 | ||||||
Compass Group, PLC, SP ADR* | 7,353 | 149,141 | ||||||
1,893,209 | ||||||||
Forest Products & Paper — 0.0% | ||||||||
Smurfit Kappa Group PLC, ADR | 736 | 34,872 | ||||||
UPM-Kymmene Corp. | 1,590 | 60,745 | ||||||
95,617 | ||||||||
Gas — 0.2% | ||||||||
Beijing Enterprises Holdings, Ltd. | 23,500 | 81,331 | ||||||
China Gas Holdings, Ltd. | 14,200 | 57,240 | ||||||
China Resources Gas Group, Ltd. | 6,000 | 29,996 | ||||||
ENN Energy Holdings, Ltd. | 6,000 | 91,753 | ||||||
Indraprastha Gas Ltd. | 32,460 | 217,767 | ||||||
Snam SpA | 9,397 | 48,644 | ||||||
526,731 | ||||||||
Hand/Machine Tools — 0.8% | ||||||||
Amada Co., Ltd. | 137,300 | 1,677,534 | ||||||
Sandvik AB | 3,286 | 88,248 | ||||||
Schindler Holding AG | 216 | 57,513 | ||||||
Techtronic Industrials Co., Ltd. | 43,860 | 667,546 | ||||||
2,490,841 | ||||||||
Healthcare-Products — 2.5% | ||||||||
Alcon, Inc.* | 67,776 | 4,667,871 | ||||||
Alcon, Inc., ADR* | 1,128 | 77,155 | ||||||
Asahi Intecc Co., Ltd. | 1,004 | 28,833 | ||||||
Cochlear, Ltd. | 376 | 61,347 | ||||||
Coloplast A/S, SP ADR | 1,070 | 16,403 | ||||||
Coloplast A/S, Class B | 327 | 49,810 | ||||||
Essilor International Cie Generale d’Opitque SA | 10,286 | 1,677,988 | ||||||
EssilorLuxottica SA, ADR | 144 | 11,789 |
Fisher & Paykel Healthcare Corp. Ltd. | 1,584 | 33,683 | ||||||
Hengan International Group Co., Ltd. | 7,010 | 48,459 | ||||||
Koninklijke Philips | 22,383 | 1,222,045 | ||||||
Koninklijke Philips NV | 1,898 | 103,251 | ||||||
Olympus Corp. | 2,000 | 42,139 | ||||||
QIAGEN NV* | 2,099 | 104,950 | ||||||
Siemens Healthineers AG, (a) | 1,037 | 57,466 | ||||||
Smith & Nephew PLC | 2,242 | 43,542 | ||||||
Sysmex Corp. | 300 | 31,235 | ||||||
Sysmex Corp., ADR | 450 | 23,513 | ||||||
Terumo Corp. | 1,362 | 50,667 | ||||||
8,352,146 | ||||||||
Healthcare-Services — 0.7% | ||||||||
Aier Eye Hospital Group Co., Ltd. | 51,800 | 580,173 | ||||||
Apollo Hospitals Enterprise, Ltd. | 18,390 | 765,039 | ||||||
Fresenius Medical Care AG & Co., KGaA, ADR | 1,104 | 38,088 | ||||||
Lonza Group AG* | 182 | 114,796 | ||||||
Lonza Group AG, ADR* | 370 | 23,458 | ||||||
PeptiDream, Inc.* | 639 | 30,468 | ||||||
Sonic Healthcare Ltd., SP ADR | 3,345 | 82,253 | ||||||
Wuxi Biologics Cayman, Inc., (a)* | 43,872 | 543,527 | ||||||
2,177,802 | ||||||||
Holding Companies-Diversification — 0.0% | ||||||||
CK Hutchison Holdings, Ltd. | 10,000 | 75,463 | ||||||
Jardine Matheson Holdings, Ltd. | 1,000 | 52,131 | ||||||
127,594 | ||||||||
Home Builders — 0.5% | ||||||||
Berkeley Group Holdings, PLC | 683 | 38,697 | ||||||
Daiwa House Industry Co., Ltd. | 730 | 20,707 | ||||||
Persimmon, PLC | 1,243 | 45,041 | ||||||
Sekisui Chemical Co., Ltd. | 84,800 | 1,519,710 | ||||||
Sekisui House Ltd. | 4,000 | 75,475 | ||||||
1,699,630 | ||||||||
Home Furnishings — 0.2% | ||||||||
Electrolux AB, Class B | 972 | 22,947 | ||||||
Panasonic Corp. | 4,000 | 51,713 | ||||||
Sharp Corp. (Japan) | 3,000 | 57,023 | ||||||
Sony Corp., SP ADR | 4,806 | 508,523 | ||||||
640,206 | ||||||||
Household Products/Wares — 0.2% | ||||||||
Hindustan Unilever Ltd. | 10,835 | 314,019 | ||||||
Reckitt Benckiser Group, PLC, SP ADR | 11,185 | 191,431 | ||||||
505,450 | ||||||||
Insurance — 5.2% | ||||||||
Admiral Group, PLC | 39,077 | 1,691,034 |
The accompanying notes are an integral part of the financial statements.
9
AQUARIUS INTERNATIONAL FUND
Portfolio of Investments (Continued)
February 28, 2021 (Unaudited)
Number of | Value | |||||||
Insurance — (Continued) | ||||||||
Aegon NV | 14,288 | $ | 68,478 | |||||
Ageas SA NV | 2,481 | 139,064 | ||||||
AIA Group, Ltd. | 166,461 | 2,099,311 | ||||||
AIA Group, Ltd., SP ADR | 9,630 | 485,256 | ||||||
Allianz SE, SP ADR | 6,060 | 146,167 | ||||||
Aon, PLC, Class A | 18,859 | 4,294,383 | ||||||
Baloise Holding AG | 522 | 91,299 | ||||||
China Life Insurance Co., Ltd., ADR | 4,936 | 52,025 | ||||||
CNP Assurances* | 12,462 | 224,256 | ||||||
Dai-ichi Life Holdings, Inc. | 6,692 | 118,938 | ||||||
Hannover Rueck SE | 286 | 48,424 | ||||||
HDFC Life Insurance Co., Ltd., (a)* | 48,950 | 466,438 | ||||||
Insurance Australia Group, Ltd. | 12,776 | 49,043 | ||||||
Lancashire Holdings, Ltd. | 302,904 | 2,600,221 | ||||||
Legal & General Group, PLC | 36,815 | 133,867 | ||||||
Manulife Finanical Corp. | 6,860 | 136,651 | ||||||
New China Life Insurance Co., Ltd. | 16,800 | 64,084 | ||||||
NN Group NV | 3,039 | 140,322 | ||||||
Ping An Insurance Group Co. of China, Ltd. | 32,946 | 407,693 | ||||||
Ping An Insurance Group Co. of China, Ltd., ADR | 8,016 | 199,358 | ||||||
Prudential PLC, SP ADR | 2,925 | 58,267 | ||||||
RSA Insurance Group, PLC | 8,130 | 76,755 | ||||||
Sampo, Class A, PLC | 43,112 | 1,918,992 | ||||||
Sun Life Financial, Inc. | 2,753 | 132,309 | ||||||
Suncorp Group, Ltd. | 18,597 | 142,478 | ||||||
T&D Holdings, Inc. | 5,200 | 70,828 | ||||||
Tokio Marine Holdings, Inc. | 460 | 22,852 | ||||||
Topdanmark AS | 26,593 | 1,247,996 | ||||||
Zurich Insurance Group AG | 126 | 51,435 | ||||||
17,378,224 | ||||||||
Internet — 7.0% | ||||||||
51job, Inc., ADR* | 1,093 | 71,701 | ||||||
Alibaba Group Holding, Ltd.* | 26,874 | 807,542 | ||||||
Alibaba Group Holdings, Ltd., SP ADR* | 18,525 | 4,404,504 | ||||||
Autohome, Inc., ADR | 6,967 | 794,517 | ||||||
Baidu, Inc., SP ADR* | 2,611 | 740,114 | ||||||
Delivery Hero SE, (a)* | 2,777 | 354,844 | ||||||
IndiaMart InterMesh Ltd., (a) | 2,832 | 330,933 | ||||||
iQIYI, Inc., ADR* | 1,374 | 34,803 | ||||||
JD.com, Inc.* | 9,241 | 433,401 | ||||||
JD.com, Inc., ADR* | 2,393 | 224,631 | ||||||
JOYY, Inc., ADR | 721 | 85,006 | ||||||
Kakao Corp. | 1,820 | 789,412 | ||||||
KE Holdings, Inc., ADR* | 9,827 | 627,257 | ||||||
LINE Corp., SP ADR*(a) | 1,409 | 72,755 |
Locaweb Servicos de Internet SA, (a)* | 10,272 | 52,201 | ||||||
M3, Inc. | 1,300 | 103,321 | ||||||
Meituan Dianping, Class B, (a)* | 22,517 | 1,011,339 | ||||||
Mercadolibre, Inc.* | 243 | 398,061 | ||||||
Momo, Inc., SP ADR | 2,185 | 34,610 | ||||||
MonotaRO Co., Ltd. | 600 | 34,495 | ||||||
Naspers, Ltd. | 953 | 224,887 | ||||||
Naver Corp. | 2,127 | 708,125 | ||||||
Ozon Holdings, PLC, ADR* | 5,914 | 350,996 | ||||||
Prosus NV* | 949 | 113,136 | ||||||
SEEK Ltd. | 4,272 | 84,507 | ||||||
SINA Corp. (China)* | 739 | 31,903 | ||||||
Tencent Holdings, Ltd. | 91,478 | 7,958,313 | ||||||
Tencent Holdings, Ltd., ADR | 17,513 | 1,527,134 | ||||||
Tencent Music Entertainment Group, ADR* | 12,634 | 324,946 | ||||||
Trip.com Group Ltd., ADR | 897 | 35,387 | ||||||
Vipshop Holdings, Ltd., ADR* | 4,069 | 151,855 | ||||||
Weibo Corp., SP ADR* | 653 | 36,026 | ||||||
Wix.com Ltd.* | 100 | 34,857 | ||||||
Yandex NV* | 6,803 | 435,290 | ||||||
Z Holdings Corp. | 6,577 | 40,154 | ||||||
23,462,963 | ||||||||
Investment Companies — 2.7% | ||||||||
Groupe Bruxelles Lambert SA | 61,424 | 6,075,719 | ||||||
Kinnevik AB* | 849 | 39,397 | ||||||
Melrose Industries, PLC* | 1,162,774 | 2,702,260 | ||||||
Wendel SA | 888 | 101,306 | ||||||
8,918,682 | ||||||||
Iron/Steel — 0.3% | ||||||||
BlueScope Steel, Ltd. | 6,357 | 81,186 | ||||||
Cia Siderurgica Nacional SA, ADR | 41,580 | 243,243 | ||||||
Fortescue Metals Group, Ltd. | 5,658 | 104,493 | ||||||
Nippon Steel & Sumitomo Metal Corp. | 8,000 | 118,526 | ||||||
Posco, SP ADR | 3,580 | 218,738 | ||||||
Vale SA, SP ADR | 12,347 | 208,664 | ||||||
voestalpine AG | 1,763 | 69,629 | ||||||
1,044,479 | ||||||||
Leisure Time — 0.0% | ||||||||
Jardine Strategic Holdings, Ltd. | 1,000 | 25,785 | ||||||
Shimano, Inc. | 236 | 52,704 | ||||||
78,489 | ||||||||
Lodging — 0.8% | ||||||||
Galaxy Entertainment Group, Ltd.* | 5,151 | 46,991 | ||||||
Huazhu Group, Ltd., ADR | 9,765 | 567,737 |
The accompanying notes are an integral part of the financial statements.
10
AQUARIUS INTERNATIONAL FUND
Portfolio of Investments (Continued)
February 28, 2021 (Unaudited)
Number of | Value | |||||||
Lodging — (Continued) | ||||||||
InterContinental Hotels Group, PLC* | 30,843 | $ | 2,167,471 | |||||
Melco Resorts & Entertainment, Ltd., ADR* | 988 | 21,400 | ||||||
2,803,599 | ||||||||
Machinery-Construction & Mining — 0.2% | ||||||||
Hitachi Ltd., ADR | 1,830 | 170,190 | ||||||
Hitachi, Ltd. | 901 | 41,557 | ||||||
Komatsu, Ltd. | 4,400 | 132,090 | ||||||
Mitsubishi Electical Corp. | 3,000 | 44,426 | ||||||
Sany Heavy Industry Co., Ltd. | 57,923 | 368,861 | ||||||
Siemens Energy AG* | 960 | 36,197 | ||||||
793,321 | ||||||||
Machinery-Diversified — 1.8% | ||||||||
Atlas Copco AB, Class A | 1,701 | 97,078 | ||||||
Atlas Copco AB, Class A, SP ADR | 1,656 | 95,054 | ||||||
CNH Industrial NV | 6,623 | 97,760 | ||||||
FANUC Corp. | 2,819 | 704,488 | ||||||
GEA Group AG | 77,042 | 2,667,418 | ||||||
Keyence Corp. | 400 | 190,745 | ||||||
Kone Corp., Class B | 748 | 59,701 | ||||||
Kubota Corp., SP ADR | 883 | 100,856 | ||||||
SMC Corp. | 110 | 65,236 | ||||||
SMC Corp., ADR | 2,280 | 68,514 | ||||||
Spirax-Sarco Engineering, PLC | 7,632 | 1,143,803 | ||||||
Sumitomo Heavy Industries, Ltd. | 2,000 | 55,511 | ||||||
WEG SA | 35,313 | 491,806 | ||||||
5,837,970 | ||||||||
Media — 1.4% | ||||||||
Informa, PLC* | 4,850 | 37,207 | ||||||
Pearson, PLC | 15,198 | 159,275 | ||||||
Shaw Communications, Inc., Class B | 9,386 | 163,410 | ||||||
Thomson Reuters Corp. | 1,419 | 123,297 | ||||||
Vivendi SA, ADR | 5,370 | 185,775 | ||||||
Wolters Kluwer | 50,235 | 3,982,091 | ||||||
Wolters Kluwer NV, SP ADR | 667 | 52,907 | ||||||
4,703,962 | ||||||||
Mining — 1.0% | ||||||||
Agnico Eagle Mines, Ltd. | 1,499 | 83,749 | ||||||
Antofagasta, PLC | 8,790 | 219,380 | ||||||
Barrick Gold Corp. | 6,196 | 115,679 | ||||||
Boliden AB | 2,900 | 114,850 | ||||||
Cameco Corp. | 3,460 | 54,184 | ||||||
Franco-Nevada Corp. | 1,038 | 111,087 | ||||||
Impala Platinum Holdings, Ltd. | 24,338 | 394,624 | ||||||
Lynas Rare Earths, Ltd.* | 97,967 | 451,612 | ||||||
MMC Norilsk Nickel PJSC, ADR | 6,753 | 211,977 | ||||||
Newcrest Mining, Ltd. | 1,769 | 33,243 |
Norsk Hydro ASA | 15,202 | 84,162 | ||||||
Pan American Silver Corp. | 9,014 | 297,642 | ||||||
Polyus PJSC | 1,272 | 239,566 | ||||||
Rio Tinto, PLC, SP ADR | 1,211 | 105,841 | ||||||
South32 Ltd. | 44,192 | 93,905 | ||||||
Southern Copper Corp. | 3,807 | 271,553 | ||||||
Sumitomo Metal Mining Co., Ltd. | 2,000 | 97,006 | ||||||
Teck Resources, Ltd., Class B | 8,215 | 171,118 | ||||||
Vedanta, Ltd., ADR | 19,203 | 216,034 | ||||||
Wheaton Precious Metals Corp. | 2,998 | 107,149 | ||||||
3,474,361 | ||||||||
Miscellaneous Manufacturing — 0.8% | ||||||||
Airtac International Group | 14,747 | 513,221 | ||||||
Alfa Laval AB | 12,908 | 398,728 | ||||||
Orica Ltd. | 5,536 | 53,685 | ||||||
Siemens AG | 1,920 | 297,141 | ||||||
Smiths Group, PLC | 67,142 | 1,374,999 | ||||||
Sunny Optical Technology Group Co., Ltd. | 3,869 | 96,402 | ||||||
Toshiba Corp. | 96 | 3,040 | ||||||
2,737,216 | ||||||||
Office/Business Equipment — 0.0% | ||||||||
Canon, Inc. | 2,700 | 58,558 | ||||||
Fujifilm Holdings Corp. | 1,100 | 62,898 | ||||||
121,456 | ||||||||
Oil & Gas — 2.9% | ||||||||
BP, PLC, SP ADR | 1 | 24 | ||||||
Canadian Natural Resources, Ltd. | 4,335 | 118,302 | ||||||
DCC, PLC | 66,109 | 5,340,235 | ||||||
Eni SpA | 77,456 | 885,555 | ||||||
Equinor ASA, SP ADR | 3,137 | 59,478 | ||||||
Galp Energia SGPS SA | 6,634 | 74,158 | ||||||
Idemitsu Kosan Co., Ltd. | 1,100 | 28,934 | ||||||
Imperial Oil, Ltd. | 2,792 | 61,312 | ||||||
Inpex Corp. | 6,228 | 46,309 | ||||||
Lukoil , PJSC, SP ADR | 6,472 | 482,164 | ||||||
Lundin Petroleum AB | 1,163 | 37,741 | ||||||
Neste Oyj | 756 | 49,934 | ||||||
Oil Search Ltd. | 31,786 | 103,180 | ||||||
OMV AG | 4,843 | 233,331 | ||||||
Petroleo Brasileiro, SP ADR | 10,959 | 86,905 | ||||||
Reliance Industries Ltd. | 29,765 | 843,732 | ||||||
Repsol SA | 7,844 | 98,739 | ||||||
Royal Dutch Shell, PLC, Class A, SP ADR | 14,983 | 614,752 | ||||||
Total SA, SP ADR | 7,259 | 336,818 | ||||||
Ultrapar Participacoes SA, SP ADR | 7,935 | 27,693 |
The accompanying notes are an integral part of the financial statements.
11
AQUARIUS INTERNATIONAL FUND
Portfolio of Investments (Continued)
February 28, 2021 (Unaudited)
Number of | Value | |||||||
Oil & Gas — (Continued) | ||||||||
Woodside Petroleum, Ltd. | 7,291 | $ | 137,496 | |||||
9,666,792 | ||||||||
Pharmaceuticals — 6.9% | ||||||||
Alfresa Holdings Corp. | 206,400 | 3,990,797 | ||||||
Aspen Pharmacare Holdings Ltd., ADR | 6,986 | 65,354 | ||||||
Astellas Pharma, Inc. | 3,700 | 58,501 | ||||||
Astellas Pharma, Inc., ADR | 190 | 3,014 | ||||||
AstraZeneca, PLC, SP ADR | 6,476 | 313,309 | ||||||
Bausch Health Cos., Inc.* | 3,548 | 111,478 | ||||||
Bayer AG | 1,653 | 100,405 | ||||||
Celltrion, Inc.* | 120 | 31,813 | ||||||
Chugai Pharmaceutical Co., Ltd. | 2,100 | 94,280 | ||||||
CSPC Pharmaceutical Group, Ltd. | 23,040 | 24,079 | ||||||
Daiichi Sankyo Co., Ltd. | 2,748 | 78,033 | ||||||
Daiichi Sankyo Co., Ltd., ADR | 876 | 25,045 | ||||||
Divi’s Laboratories Ltd. | 6,347 | 290,025 | ||||||
Dr. Reddy’s Laboratories, Ltd., ADR | 3,953 | 237,062 | ||||||
Eisai Co., Ltd. | 92 | 6,345 | ||||||
Glaxosmithkline, PLC | 151,783 | 2,532,623 | ||||||
Glaxosmithkline, PLC, SP ADR | 3,761 | 126,407 | ||||||
Kobayashi Pharmaceutical Co., Ltd. | 471 | 44,592 | ||||||
Merck KGaA | 587 | 95,427 | ||||||
Novartis AG | 43,326 | 3,731,514 | ||||||
Novartis AG, SP ADR | 24,875 | 2,137,011 | ||||||
Novo-Nordisk AS, SP ADR | 6,449 | 459,491 | ||||||
Orion Corporation, Class B | 672 | 27,568 | ||||||
Otsuka Holdings Co., Ltd. | 1,100 | 43,875 | ||||||
Recordati SpA | 42,894 | 2,180,385 | ||||||
Roche Holdings AG | 7,034 | 2,307,567 | ||||||
Roche Holdings AG, SP ADR | 13,560 | 557,316 | ||||||
Sanofi | 34,381 | 3,155,167 | ||||||
Sanofi, ADR | 5,170 | 237,251 | ||||||
Shionogi & Co., Ltd. | 227 | 11,599 | ||||||
Takeda Pharmaceutical Co., Ltd. | 2,500 | 84,247 | ||||||
UCB SA | 21 | 2,082 | ||||||
23,163,662 | ||||||||
Pipelines — 0.1% | ||||||||
Enbridge, Inc. | 6,937 | 234,540 | ||||||
TC Energy Corp. | 166 | 6,960 | ||||||
241,500 | ||||||||
Private Equity — 0.4% | ||||||||
3i Group, PLC | 3,463 | 53,760 | ||||||
Macquarie Korea Infrastructure Fund | 23,033 | 228,426 | ||||||
Partners Group Holding AG | 851 | 1,018,876 | ||||||
1,301,062 |
Real Estate — 0.8% | ||||||||
Aroundtown SA | 6,368 | 46,305 | ||||||
China Resources Land, Ltd. | 5,714 | 27,154 | ||||||
China Vanke Co., Ltd. | 19,900 | 84,362 | ||||||
CK Asset Holdings, Ltd. | 11,000 | 64,653 | ||||||
Country Garden Holdings Co., Ltd. | 31,000 | 38,587 | ||||||
Country Garden Services Holdings Co., Ltd. | 58,402 | 480,395 | ||||||
Daito Trust Construction Co., Ltd. | 300 | 33,477 | ||||||
Deutsche Wohnen SE | 1,095 | 51,468 | ||||||
Great Eagle Holdings, Ltd. | 356,662 | 1,343,410 | ||||||
Longfor Group Holdings, Ltd., (a) | 6,500 | 38,527 | ||||||
REA Group, Ltd. | 633 | 66,893 | ||||||
Shanghai Industrial Urban Development Group, Ltd. | 20,000 | 2,011 | ||||||
Sun Hung Kai Properties, Ltd. | 8,472 | 137,513 | ||||||
Sunac China Holdings, Ltd. | 19,261 | 82,491 | ||||||
Sunac Services Holdings Ltd., (a)* | 620 | 1,988 | ||||||
Swiss Prime Site AG* | 543 | 50,824 | ||||||
Vonovia SE | 1,595 | 101,584 | ||||||
Wharf Holdings Ltd., (The) | 14,000 | 33,063 | ||||||
Wharf Real Estate Investment Co., Ltd. | 14,000 | 83,712 | ||||||
2,768,417 | ||||||||
REITS — 0.2% | ||||||||
Ascendas Real Estate Investment Trust | 23,000 | 50,306 | ||||||
CapitaLand Mall Trust | 25,000 | 39,128 | ||||||
Daiwa House REIT Investment Corp. | 12 | 31,575 | ||||||
Goodman Group | 6,677 | 85,331 | ||||||
Japan Prime Realty Investment Corp. | 15 | 54,387 | ||||||
Japan Real Estate Investment Corp. | 7 | 42,787 | ||||||
Japan Retail Fund Investment Corp. | 76 | 75,830 | ||||||
Link | 6,000 | 56,637 | ||||||
Nippon Building Fund Inc. | 9 | 55,138 | ||||||
Nippon Prologis REIT, Inc. | 15 | 45,750 | ||||||
Segro, PLC | 5,434 | 68,982 | ||||||
Unibail-Rodamco-Westfield* | 938 | 69,060 | ||||||
United Urban Investment Corp. | 51 | 70,367 | ||||||
745,278 | ||||||||
Retail — 2.9% | ||||||||
ABC-Mart, Inc. | 500 | 28,570 | ||||||
Aeon Co., Ltd. | 676 | 20,413 | ||||||
Alibaba Health Information Technology, Ltd.* | 14,000 | 46,897 | ||||||
ANTA Sports Products, Ltd. | 5,561 | 85,197 |
The accompanying notes are an integral part of the financial statements.
12
AQUARIUS INTERNATIONAL FUND
Portfolio of Investments (Continued)
February 28, 2021 (Unaudited)
Number of | Value | |||||||
Retail — (Continued) | ||||||||
Astra International Tbk PT, ADR | 3,615 | $ | 26,805 | |||||
China International Travel Service Corp., Ltd. | 8,100 | 386,058 | ||||||
Cie Financiere Richemont SA, ADR | 12,160 | 116,614 | ||||||
Dufry AG* | 6,460 | 441,031 | ||||||
Fast Retailing Co., Ltd. | 147 | 145,747 | ||||||
Hennes & Mauritz AB, Class B* | 2,490 | 58,570 | ||||||
Industria de Diseno Textil SA, ADR | 7,152 | 118,999 | ||||||
JD Health International, Inc., (a)* | 27,480 | 502,377 | ||||||
Li Ning Co., Ltd. | 58,295 | 327,184 | ||||||
Moncler SpA | 774 | 47,862 | ||||||
Next, PLC* | 352 | 37,286 | ||||||
Nitori Holdings Co., Ltd. | 353 | 65,908 | ||||||
Pan Pacific International Holdings Corp. | 2,000 | 46,903 | ||||||
Raia Drogasil SA | 87,390 | 362,553 | ||||||
Restaurant Brands International, Inc. | 3,260 | 195,339 | ||||||
Shimamura Co., Ltd. | 300 | 29,978 | ||||||
Sundrug Co., Ltd. | 16,600 | 624,214 | ||||||
Swatch Group AG, (The) | 9,958 | 2,972,183 | ||||||
TITAN COMPANY, Ltd. | 11,580 | 221,697 | ||||||
Tsuruha Holdings | 19,100 | 2,459,193 | ||||||
Wal-Mart de Mexico SAB de CV, SP ADR | 1,129 | 32,120 | ||||||
Welcia Holdings Co., Ltd. | 1,419 | 45,218 | ||||||
Yum China Holdings, Inc. | 1,728 | 103,403 | ||||||
Zhongsheng Group Holdings, Ltd. | 7,000 | 43,265 | ||||||
9,591,584 | ||||||||
Semiconductors — 8.8% | ||||||||
ASE Technology Holding Co., Ltd., ADR | 6,033 | 45,670 | ||||||
ASML Holding NV | 1,429 | 810,415 | ||||||
ASML Holding NV, ADR | 1,129 | 640,245 | ||||||
Infineon Technologies AG | 15,442 | 671,907 | ||||||
Mediatek, Inc. | 32,851 | 1,054,406 | ||||||
Micron Technology, Inc.* | 8,887 | 813,427 | ||||||
NVIDIA Corp. | 1,638 | 898,574 | ||||||
Rohm Co., Ltd. | 40 | 3,961 | ||||||
Samsung Electronic Co., Ltd. | 84,983 | 6,228,036 | ||||||
Samsung Electronic Co., Ltd., GDR | 3,293 | 6,094,317 | ||||||
SiTime Corp.* | 1,695 | 165,144 | ||||||
SK Hynix, Inc. | 917 | 115,180 | ||||||
SUMCO Corp. | 34 | 782 | ||||||
Taiwan Semiconductor Manufacturing Co., Ltd. | 204,000 | 4,456,796 |
Taiwan Semiconductor Manufacturing Co., Ltd., SP ADR | 53,464 | 6,733,256 | ||||||
Tokyo Electron, Ltd. | 400 | 166,807 | ||||||
Tokyo Electron, Ltd., ADR | 1,048 | 110,040 | ||||||
United Microelectronics Corp., SP ADR | 36,418 | 356,896 | ||||||
29,365,859 | ||||||||
Software — 2.2% | ||||||||
Bilibili, Inc., SP ADR* | 785 | 98,886 | ||||||
BlackBerry Ltd.* | 10,732 | 107,857 | ||||||
Dassault Systemes SE | 475 | 98,656 | ||||||
Dassault Systemes SE, ADR | 490 | 101,768 | ||||||
NetEase, Inc., ADR | 14,330 | 1,574,151 | ||||||
Nexon Co., Ltd. | 34,900 | 1,098,891 | ||||||
Open Text Corp. | 2,121 | 94,533 | ||||||
Playtech, PLC* | 303,672 | 2,005,340 | ||||||
SAP SE, SP ADR | 2,021 | 249,290 | ||||||
Sea, Ltd., ADR* | 1,976 | 465,723 | ||||||
SimCorp A/S | 12,314 | 1,495,272 | ||||||
7,390,367 | ||||||||
Telecommunications — 3.1% | ||||||||
America Movil SAB de CV, Class L, SP ADR | 7,257 | 92,164 | ||||||
BCE, Inc. | 5,954 | 254,593 | ||||||
Belgacom SA | 48,548 | 948,088 | ||||||
Chunghwa Telecom Co., Ltd., SP ADR | 10,212 | 402,455 | ||||||
Deutsche Telekom AG, SP ADR | 5,690 | 103,262 | ||||||
Elisa OYJ | 619 | 37,012 | ||||||
GDS Holdings Ltd., ADR* | 6,034 | 616,433 | ||||||
Hikari Tsushin, Inc. | 200 | 39,719 | ||||||
KDDI Corp. | 61,248 | 1,909,314 | ||||||
Millicom International Cellular SA, SDR* | 116 | 4,369 | ||||||
MTN Group, Ltd. | 23,254 | 111,376 | ||||||
NICE Ltd., SP ADR | 288 | 66,107 | ||||||
Nippon Telegraph & Telephone Corp. | 2,100 | 54,401 | ||||||
Nippon Telegraph & Telephone Corp. ADR | 984 | 25,663 | ||||||
Nokia OYJ, SP ADR | 12,708 | 49,815 | ||||||
NTT DOCOMO, Inc., SP ADR | 2,092 | 76,170 | ||||||
Orange SA | 5,001 | 57,621 | ||||||
PLDT, Inc., SP ADR | 2,630 | 69,327 | ||||||
SK Telecom Ltd., SP ADR | 6,177 | 148,742 | ||||||
SoftBank Corp. | 7,979 | 107,894 | ||||||
Softbank Group Corp., ADR | 7,968 | 373,540 | ||||||
Swisscom AG | 80 | 40,186 | ||||||
Tele2 AB, Class B | 1,551 | 19,604 |
The accompanying notes are an integral part of the financial statements.
13
AQUARIUS INTERNATIONAL FUND
Portfolio of Investments (Concluded)
February 28, 2021 (Unaudited)
Number of | Value | |||||||
Telecommunications — (Continued) | ||||||||
Telefonaktiebolaget LM Ericsson, Class B | 366,000 | $ | 4,573,515 | |||||
Telefonaktiebolaget LM Ericsson, SP ADR | 2,495 | 31,262 | ||||||
Telefonica SA | 9,365 | 39,981 | ||||||
Telenor ASA, ADR | 3,481 | 56,671 | ||||||
Turkcell Iletisim Hizmetleri AS, ADR | 6,168 | 33,554 | ||||||
10,342,838 | ||||||||
Toys/Games/Hobbies — 0.1% | ||||||||
Bandai Namco Holdings, Inc. | 800 | 61,194 | ||||||
Nintendo Co., Ltd. | 200 | 122,315 | ||||||
Nintendo Co., Ltd., ADR | 1,152 | 88,842 | ||||||
272,351 | ||||||||
Transportation — 0.4% | ||||||||
Aurizon Holdings Ltd. | 22,111 | 65,111 | ||||||
Canadian National Railway Co. | 3,433 | 375,295 | ||||||
Canadian Pacific Railway, Ltd. | 211 | 75,129 | ||||||
Deutsche Post AG, SP ADR | 3,012 | 149,287 | ||||||
DSV PANALPINA A S, ADR | 826 | 76,198 | ||||||
East Japan Railway Co. | 900 | 67,079 | ||||||
Keio Corp. | 1,000 | 75,028 | ||||||
Kintetsu Group Holdings Co., Ltd. | 842 | 35,421 | ||||||
Mitsui OSK Lines, Ltd. | 3,000 | 95,835 | ||||||
Odakyu Electric Railway Co., Ltd. | 2,000 | 58,781 | ||||||
Poste Italiane SpA, (a) | 3,442 | 38,996 | ||||||
SG Holdings Co., Ltd. | 2,446 | 56,162 | ||||||
West Japan Railway Co. | 475 | 29,238 | ||||||
ZTO Express Cayman, Inc., ADR | 3,209 | 108,272 | ||||||
1,305,832 | ||||||||
Water — 0.8% | ||||||||
Severn Trent, PLC | 1,160 | 35,526 | ||||||
United Utilities Group, PLC | 216,672 | 2,593,548 | ||||||
2,629,074 | ||||||||
TOTAL COMMON STOCKS | ||||||||
(Cost $245,393,956) | 309,537,610 | |||||||
PREFERRED STOCKS — 0.9% | ||||||||
Airlines — 0.2% | ||||||||
Azul SA | 73,743 | 531,341 | ||||||
Auto Manufacturers — 0.0% | ||||||||
Porsche Auto SE, 3.430% | 851 | 68,165 | ||||||
Banks — 0.1% | ||||||||
Banco Bradesco SA, ADR, 2.893% | 36,819 | 152,431 | ||||||
Bancolombia SA, SP ADR, 4.548% | 1,414 | 47,298 | ||||||
199,729 |
Chemicals — 0.3% | ||||||||
Fuchs Petrolub SE, 2.138% | 15,896 | 871,906 | ||||||
Cosmetics/Personal Care — 0.3% | ||||||||
LG Household & Health Care, Ltd., 1.567% | 1,547 | 970,410 | ||||||
Electric — 0.0% | ||||||||
Cia Paranaense de Energia, SP ADR, 5.552%* | 3,320 | 35,258 | ||||||
Electronics — 0.0% | ||||||||
Sartorius AG, 0.084% | 88 | 45,199 | ||||||
TOTAL PREFERRED STOCKS | ||||||||
(Cost $2,514,491) | 2,722,008 | |||||||
EXCHANGE TRADED FUNDS — 0.1% | ||||||||
Diversified Financial Services — 0.1% | ||||||||
Ishares MSCI India ETF | 10,140 | 416,044 | ||||||
TOTAL EXCHANGE TRADED FUNDS | ||||||||
(Cost $331,887) | 416,044 | |||||||
SHORT-TERM INVESTMENTS — 6.0% | ||||||||
U.S. Bank Money Market Deposit Account, 0.01% (b) | 20,024,954 | 20,024,954 | ||||||
TOTAL SHORT-TERM INVESTMENTS | ||||||||
(Cost $20,024,954) | 20,024,954 | |||||||
TOTAL INVESTMENTS — 99.7% | ||||||||
(Cost $268,265,288) | 332,700,616 | |||||||
OTHER ASSETS IN EXCESS OF LIABILITIES — 0.3% | 1,096,925 | |||||||
NET ASSETS — 100.0% | $ | 333,797,541 |
* | Non-income producing security. |
(a) | Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration to qualified institutional buyers. As of February 28, 2021, total market value of Rule 144A securities is $7,533,433 and represents 2.30% of net assets. |
(b) | The rate shown is as of February 28, 2021. |
ADR | American Depositary Receipt |
GDR | Global Depositary Receipt |
PLC | Public Limited Company |
REIT | Real Estate Investment Trust |
SDR | Special Drawing Right |
SP ADR | Sponsored ADR |
The accompanying notes are an integral part of the financial statements.
14
AQUARIUS INTERNATIONAL FUND
STATEMENT of Assets and Liabilities
February 28, 2021 (Unaudited)
ASSETS | ||||
Investments, at value (cost $248,240,334) | $ | 312,675,662 | ||
Short-term investments, at value (cost $20,024,954) | 20,024,954 | |||
Foreign currency at value (cost $419,055) | 427,811 | |||
Receivables for: | ||||
Dividends | 1,084,585 | |||
Investments sold | 1,396,572 | |||
Capital shares sold | 371,840 | |||
Prepaid expenses and other assets | 45,515 | |||
Total assets | 336,026,939 | |||
LIABILITIES | ||||
Payables for: | ||||
Capital shares redeemed | 92,020 | |||
Investments purchased | 1,933,750 | |||
Sub-advisory fees | 125,576 | |||
Other accrued expenses and liabilities | 78,052 | |||
Total liabilities | 2,229,398 | |||
Net assets | $ | 333,797,541 | ||
NET ASSETS CONSIST OF: | ||||
Par value | $ | 29,779 | ||
Paid-in capital | 287,010,788 | |||
Total distributable earnings/(loss) | 46,756,974 | |||
Net assets | $ | 333,797,541 | ||
CAPITAL SHARES: | ||||
Net Assets | $ | 333,797,541 | ||
Shares outstanding ($0.001 par value, 100,000,000 shares authorized) | 29,779,320 | |||
Net asset value, offering and redemption price per share | $ | 11.21 |
The accompanying notes are an integral part of the financial statements.
15
AQUARIUS INTERNATIONAL FUND
Statement of Operations
FOR THE Six Months ENDED February 28, 2021 (Unaudited)
INVESTMENT INCOME | ||||
Dividends (net of foreign taxes withheld of $173,981) | $ | 1,735,787 | ||
Total investment income | 1,735,787 | |||
EXPENSES | ||||
Sub-advisory fees (Note 2) | 723,208 | |||
Custodian fees (Note 2) | 152,243 | |||
Administration and accounting services fees (Note 2) | 127,219 | |||
Transfer agent fees (Note 2) | 31,563 | |||
Legal fees | 24,350 | |||
Director fees | 17,363 | |||
Registration and filing fees | 14,675 | |||
Audit and tax service fees | 13,994 | |||
Officer fees | 13,105 | |||
Printing and shareholder reporting fees | 2,644 | |||
Other expenses | 44,572 | |||
Total expenses | 1,164,936 | |||
Net investment income/(loss) | 570,851 | |||
NET REALIZED AND UNREALIZED GAIN/(LOSS) FROM INVESTMENTS | ||||
Net realized gain/(loss) from investments and foreign currency transactions | 6,102,804 | |||
Net change in unrealized appreciation/(depreciation) on investments and foreign currency translation | 31,934,783 | |||
Net realized and unrealized gain/(loss) on investments | 38,037,587 | |||
NET INCREASE/(DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ | 38,608,438 |
The accompanying notes are an integral part of the financial statements.
16
AQUARIUS INTERNATIONAL FUND
Statements of Changes in Net Assets
For the | For the | |||||||
INCREASE/(DECREASE) IN NET ASSETS FROM OPERATIONS | ||||||||
Net investment income/(loss) | $ | 570,851 | $ | 2,536,880 | ||||
Net realized gain/(loss) from investments and foreign currency transactions | 6,102,804 | (10,909,975 | ) | |||||
Net change in unrealized appreciation/(depreciation) on investments and foreign currency translation | 31,934,783 | 36,219,749 | ||||||
Net increase/(decrease) in net assets resulting from operations | 38,608,438 | 27,846,654 | ||||||
DIVIDEND AND DISTRIBUTIONS TO SHAREHOLDERS FROM: | ||||||||
Total distributable earnings | (2,348,112 | ) | (2,498,204 | ) | ||||
Net decrease in net assets from dividends and distributions to shareholders | (2,348,112 | ) | (2,498,204 | ) | ||||
CAPITAL SHARE TRANSACTIONS: | ||||||||
Proceeds from shares sold | 24,029,182 | 111,312,020 | ||||||
Reinvestment of distributions | 1,902,390 | 1,933,346 | ||||||
Shares redeemed | (7,350,519 | ) | (23,012,232 | ) | ||||
Net increase/(decrease) in net assets resulting from capital share transactions | 18,581,053 | 90,233,134 | ||||||
Total increase/(decrease) in net assets | 54,841,379 | 115,581,584 | ||||||
NET ASSETS: | ||||||||
Beginning of period | 278,956,162 | 163,374,578 | ||||||
End of period | $ | 333,797,541 | $ | 278,956,162 | ||||
SHARE TRANSACTIONS: | ||||||||
Shares sold | 2,214,810 | 12,830,560 | ||||||
Shares reinvested | 175,659 | 199,314 | ||||||
Shares redeemed | (698,974 | ) | (2,575,314 | ) | ||||
Net increase/(decrease) in shares | 1,691,495 | 10,454,560 |
The accompanying notes are an integral part of the financial statements.
17
AQUARIUS INTERNATIONAL FUND
Financial Highlights
Contained below is per share operating performance data for shares outstanding, total investment return/(loss), ratios to average net assets and other supplemental data for the respective periods. This information has been derived from information provided in the financial statements. |
For the | For the | For the | For the Period | |||||||||||||
Per Share Operating Performance | ||||||||||||||||
Net asset value, beginning of period | $ | 9.93 | $ | 9.27 | $ | 9.61 | $ | 10.00 | ||||||||
Net investment income/(loss)(2) | 0.02 | 0.12 | 0.14 | 0.08 | ||||||||||||
Net realized and unrealized gain/(loss) from investments | 1.34 | 0.67 | (0.35 | ) | (0.47 | ) | ||||||||||
Net increase/(decrease) in net assets resulting from operations | 1.36 | 0.79 | (0.21 | ) | (0.39 | ) | ||||||||||
Dividends and distributions to shareholders from: | ||||||||||||||||
Net investment income | (0.08 | ) | (0.13 | ) | (0.13 | ) | — | |||||||||
Total dividends and distributions to shareholders | (0.08 | ) | (0.13 | ) | (0.13 | ) | — | |||||||||
Net asset value, end of period | $ | 11.21 | $ | 9.93 | $ | 9.27 | $ | 9.61 | ||||||||
Total investment return/(loss)(3) | 13.75 | %(4) | 8.61 | % | (2.12 | )% | (3.90 | )%(4) | ||||||||
Ratios/Supplemental Data | ||||||||||||||||
Net assets, end of period (000’s) | $ | 333,798 | $ | 278,956 | $ | 163,375 | $ | 176,968 | ||||||||
Ratio of expenses to average net assets | 0.77 | %(5) | 0.75 | % | 0.94 | % | 0.80 | %(5) | ||||||||
Ratio of net investment income/(loss) to average net assets | 0.38 | %(5) | 1.24 | % | 1.56 | % | 2.21 | %(5) | ||||||||
Portfolio turnover rate | 25 | %(4) | 55 | % | 81 | % | 36 | %(4) |
(1) | Commencement of operations. |
(2) | Calculated based on average shares outstanding for the period. |
(3) | Total investment return/(loss) is calculated assuming a purchase of shares on the first day and a sale of shares on the last day of each period reported and includes reinvestments of dividends and distributions, if any. |
(4) | Not annualized. |
(5) | Annualized. |
The accompanying notes are an integral part of the financial statements.
18
AQUARIUS INTERNATIONAL FUND
NOTES TO FINANCIAL STATEMENTS
February 28, 2021 (Unaudited)
1. Organization and Significant Accounting Policies
The RBB Fund, Inc. (“RBB” or the “Company”) was incorporated under the laws of the State of Maryland on February 29, 1988 and is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. RBB is a “series fund,” which is a mutual fund divided into separate portfolios. Each portfolio is treated as a separate entity for certain matters under the 1940 Act, and for other purposes, and a shareholder of one portfolio is not deemed to be a shareholder of any other portfolio. Currently, RBB has thirty-six separate investment portfolios, including the Aquarius International Fund (the “Fund”), which commenced investment operations on April 17, 2018.
RBB has authorized capital of one hundred billion shares of common stock of which 87.923 billion shares are currently classified into one hundred and ninety classes of common stock. Each class represents an interest in an active or inactive RBB investment portfolio.
The Fund’s investment objective seeks capital appreciation.
The Fund is an investment company and follows accounting and reporting guidance in the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946 “Financial Services - Investment Companies”.
The end of the reporting period for the Fund is February 28, 2021, and the period covered by these Notes to Financial Statements is the six months ended February 28, 2021 (the “current fiscal period”).
PORTFOLIO VALUATION – The Fund’s net asset value (“NAV”) is calculated once daily at the close of regular trading hours on the New York Stock Exchange (“NYSE”) (generally 4:00 p.m. Eastern time) on each day the NYSE is open. Securities held by the Fund are valued using the closing price or the last sale price on a national securities exchange or the National Association of Securities Dealers Automatic Quotation System (“NASDAQ”) market system where they are primarily traded. Equity securities traded in the over-the-counter (“OTC”) market are valued at their closing prices. If there were no transactions on that day, securities traded principally on an exchange or on NASDAQ will be valued at the mean of the last bid and ask prices prior to the market close. Fixed income securities are valued using an independent pricing service, which considers such factors as security prices, yields, maturities and ratings, and are deemed representative of market values at the close of the market. Foreign securities are valued based on prices from the primary market in which they are traded, and are translated from the local currency into U.S. dollars using current exchange rates. Investments in other open-end investment companies, if any, are valued based on the NAV of those investment companies (which may use fair value pricing as disclosed in their prospectuses). If market quotations are unavailable or deemed unreliable, securities will be valued in accordance with procedures adopted by the Company’s Board of Directors (the “Board”). Relying on prices supplied by pricing services or dealers or using fair valuation may result in values that are higher or lower than the values used by other investment companies and investors to price the same investments. Such procedures use fundamental valuation methods, which may include, but are not limited to, an analysis of the effect of any restrictions on the resale of the security, industry analysis and trends, significant changes in the issuer’s financial position, and any other event which could have a significant impact on the value of the security. Determination of fair value involves subjective judgment as the actual market value of a particular security can be established only by negotiations between the parties in a sales transaction, and the difference between the recorded fair value and the value that would be received in a sale could be significant. The Fund may use fair value pricing more frequently for securities traded primarily in non-U.S. markets because, among other things, most foreign markets close well before the Fund values its securities, generally as of 4:00 p.m. Eastern time. The earlier close of these foreign markets gives rise to the possibility that significant events, including broad market moves, government actions or pronouncements, aftermarket trading, or news events may have occurred in the interim. To account for this, the Fund may value foreign securities using fair value prices based on third-party vendor modeling tools (international fair value pricing).
19
AQUARIUS INTERNATIONAL FUND
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
February 28, 2021 (Unaudited)
FAIR VALUE MEASUREMENTS – The inputs and valuation techniques used to measure the fair value of the Fund’s investments are summarized into three levels as described in the hierarchy below:
● Level 1 — | Prices are determined using quoted prices in active markets for identical securities. |
● Level 2 — | Prices are determined using other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.). |
● Level 3 — | Prices are determined using significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments). |
The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The following is a summary of the inputs used, as of the end of the reporting period, in valuing the Fund’s investments carried at fair value:
Total | Level 1 | Level 2 | Level 3 | |||||||||||||
Common Stocks | $ | 309,537,610 | $ | 72,318,442 | $ | 237,219,168 | $ | — | ||||||||
Exchange Traded Funds | 416,044 | 416,044 | — | |||||||||||||
Preferred Stocks | 2,722,008 | 766,329 | 1,955,679 | — | ||||||||||||
Short-Term Investments | 20,024,954 | 20,024,954 | — | |||||||||||||
Total Investments* | $ | 332,700,616 | $ | 93,525,769 | $ | 239,174,847 | $ | — |
* | Please refer to the Portfolio of Investments for further details. |
At the end of each quarter, management evaluates the classification of Levels 1, 2 and 3 assets and liabilities. Various factors are considered, such as changes in liquidity from the prior reporting period; whether or not a broker is willing to execute at the quoted price; the depth and consistency of prices from third party pricing services; and the existence of contemporaneous, observable trades in the market. Additionally, management evaluates the classification of Levels 1, 2 and 3 assets and liabilities on a quarterly basis for changes in listings or delistings on national exchanges.
Due to the inherent uncertainty of determining the fair value of investments that do not have a readily available market value, the fair value of the Fund’s investments may fluctuate from period to period. Additionally, the fair value of investments may differ significantly from the values that would have been used had a ready market existed for such investments and may differ materially from the values the Fund may ultimately realize. Further, such investments may be subject to legal and other restrictions on resale or otherwise less liquid than publicly traded securities.
For fair valuations using significant unobservable inputs, U.S. generally accepted accounting principles (“U.S. GAAP”) requires the Fund to present a reconciliation of the beginning to ending balances for reported market values that presents changes attributable to total realized and unrealized gains or losses, purchase and sales, and transfers in and out of Level 3 during the period. Transfers in and out between levels are based on values at the end of the period. A reconciliation of Level 3 investments is presented only when the Fund had an amount of Level 3 investments at the end of the reporting period that was meaningful in relation to its net assets. The amounts and reasons for Level 3 transfers are disclosed if the Fund had an amount of total Level 3 transfers during the reporting period that was meaningful in relation to its net assets as of the end of the reporting period.
During the current fiscal period, the Fund had no Level 3 transfers.
20
AQUARIUS INTERNATIONAL FUND
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
February 28, 2021 (Unaudited)
REITS — The Fund has made certain investments in real estate investment trusts (“REITs”) which pay dividends to their shareholders based upon available funds from operations. It is quite common for these dividends to exceed the REITs’ taxable earnings and profits resulting in the excess portion being designated as a return of capital. The Fund intends to include the gross dividends from such REITs in its annual distributions to shareholders and, accordingly, a portion of the Fund’s distributions may also be designated as a return of capital.
USE OF ESTIMATES — The preparation of financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates and those differences could be significant.
INVESTMENT TRANSACTIONS, INVESTMENT INCOME AND EXPENSES — The Fund records security transactions based on trade date for financial reporting purposes. The cost of investments sold is determined by use of the specific identification method for both financial reporting and income tax purposes in determining realized gains and losses on investments. Interest income (including amortization of premiums and accretion of discounts) is accrued when earned. Dividend income is recorded on the ex-dividend date. Distributions received on securities that represent a return of capital or capital gain are recorded as a reduction of cost of investments and/or as a realized gain. The Fund’s investment income, expenses (other than class specific expenses) and unrealized and realized gains and losses are allocated daily to each class of shares based upon the relative proportion of net assets of each class at the beginning of the day. Expenses incurred on behalf of a specific class, fund or fund family of the Company are charged directly to the class, fund or fund family (in proportion to net assets). Expenses incurred for all of the RBB funds (such as director or professional fees) are charged to all funds in proportion to their average net assets of RBB, or in such other manner as the Board deems fair or equitable. Expenses and fees, including investment advisory and administration fees, are accrued daily and taken into account for the purpose of determining the NAV of the Fund.
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS — Dividends from net investment income and distributions from net realized capital gains (including net short-term capital gains), if any, are declared and paid at least annually to shareholders recorded on the ex-dividend date. Income dividends and capital gain distributions are determined in accordance with U.S. federal income tax regulations, which may differ from U.S. GAAP.
U.S. TAX STATUS — No provision is made for U.S. income taxes as it is the Fund’s intention to continue to qualify for and elect the tax treatment applicable to regulated investment companies under Subchapter M of the Internal Revenue Code of 1986, as amended, and make the requisite distributions to its shareholders which will be sufficient to relieve it from U.S. income and excise taxes.
FOREIGN CURRENCY TRANSLATION — Assets and liabilities initially expressed in non-U.S. currencies are translated into U.S. dollars based on the applicable exchange rates at the date of the last business day of the financial statement period. Purchases and sales of securities, interest income, dividends, variation margin received and expenses denominated in foreign currencies are translated into U.S. dollars at the exchange rates in effect on the transaction date.
The Fund does not separately report the effect of changes in foreign exchange rates from changes in market prices of securities held. Such changes are included with the net realized gain or loss and change in unrealized appreciation or depreciation on investments in the Statement of Operations. Other foreign currency transactions resulting in realized and unrealized gain or loss are reported separately as net realized gain or loss and change in unrealized appreciation or depreciation on foreign currencies in the Statement of Operations.
CASH AND CASH EQUIVALENTS — Cash and cash equivalents are valued at cost plus accrued interest, which approximates market value.
OTHER — In the normal course of business, the Fund may enter into contracts that provide general indemnifications. The Fund’s maximum exposure under these arrangements is dependent on claims that may be made against the Fund in the future, and, therefore, cannot be estimated; however, the Fund expects the risk of material loss from such claims to be remote.
21
AQUARIUS INTERNATIONAL FUND
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
February 28, 2021 (Unaudited)
The Fund may be subject to taxes imposed by countries in which it invests, with respect to its investments in issuers existing or operating in such countries. Such taxes are generally based on income earned or repatriated and capital gains realized on the sale of such investments. The Fund accrues such taxes when the related income or capital gains are earned or throughout the holding period. Some countries require governmental approval for the repatriation of investment income, capital or the proceeds of sales earned by foreign investors. Additionally, if there is a deterioration in a country’s balance of payments or for other reasons, a country may impose temporary restrictions on foreign capital remittances abroad.
MARKET RISK — Investments in foreign markets may involve certain considerations and risks not typically associated with investments in the United States of America, including the possibility of future political and economic developments and the level of foreign governmental supervision and regulation of foreign securities markets. These markets are generally smaller, less liquid and more volatile than the major securities markets in the United States of America. Consequently, acquisition and disposition of international securities held by the Fund may be inhibited.
CORONAVIRUS (COVID-19) PANDEMIC — The global outbreak of COVID-19 (commonly referred to as “coronavirus”) has disrupted economic markets and the prolonged economic impact is uncertain. The ultimate economic fallout from the pandemic, and the long-term impact on economies, markets, industries and individual issuers are not known. The operational and financial performance of the issuers of securities in which the Fund invests depends on future developments, including the duration and spread of the outbreak, and such uncertainty may in turn adversely affect the value and liquidity of the Fund’s investments, impair the Fund’s ability to satisfy redemption requests, and negatively impact the Fund’s performance.
2. INVESTMENT ADVISER AND OTHER SERVICES
Altair Advisers, LLC (“Altair” or the “Adviser”) serves as the investment adviser to the Fund. Aperio Group, LLC, Driehaus Capital Management, LLC, Mawer Investment Management, Ltd. and Setanta Asset Management Limited each serve as an investment sub-adviser (“Sub-Adviser”) to the Fund.
The Fund is managed by the Adviser and one or more Sub-Advisers unaffiliated with the Adviser. The Adviser also has the ultimate responsibility to oversee the Sub-Advisers, and to recommend their hiring, termination and replacement, subject to approval by the Board. The Adviser has an investment team that is jointly responsible for the day-to-day management of the Fund. The Sub-Advisers provide investment advisory services to the portion of the Fund’s portfolio allocated to them by the Adviser. The Adviser and the Fund have entered into sub-advisory agreements with the Sub-Advisers to manage the Fund, subject to supervision of the Adviser and the Board, and in accordance with the investment objective and restrictions of the Fund. The Fund compensates the Sub-Advisers for their services at an annual rate based on the Fund’s average daily net assets, (the “Sub-Advisory Fee”), not to exceed 0.90%, payable on a monthly basis in arrears.
During the current fiscal period, collectively, sub-advisory fees accrued were $723,208, or the rate of 0.48%.
The Fund is currently only available to clients of the Adviser and to other investors at the Fund’s discretion. The Adviser does not receive a separate management fee from the Fund. However, pursuant to the Fund’s investment advisory agreement with the Adviser, the Adviser is entitled to receive reimbursement for compliance expenses in connection with managing the Fund, up to 0.03% of the Fund’s average daily net assets. During the current fiscal period, the Adviser received $33,323.
U.S. Bancorp Fund Services, LLC (“Fund Services”), doing business as U.S. Bank Global Fund Services, serves as administrator for the Fund. For providing administrative and accounting services, Fund Services is entitled to receive a monthly fee, subject to certain minimum and out of pocket expenses.
Fund Services serves as the Fund’s transfer and dividend disbursing agent. For providing transfer agent services, Fund Services is entitled to receive a monthly fee, subject to certain minimum and out of pocket expenses.
22
AQUARIUS INTERNATIONAL FUND
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
February 28, 2021 (Unaudited)
U.S. Bank, N.A. (the “Custodian”) provides certain custodial services to the Fund. The Custodian is entitled to receive a monthly fee, subject to certain minimum and out of pocket expenses.
Quasar Distributors, LLC (the “Distributor”), a wholly-owned broker-dealer subsidiary of Foreside Financial Group, LLC, serves as the principal underwriter and distributor of the Fund’s shares pursuant to a Distribution Agreement with RBB.
For compensation amounts paid to Fund Services and the Custodian, please refer to the Statement of Operations.
3. DIRECTOR AND OFFICER COMPENSATION
The Directors of the Company receive an annual retainer and meeting fees for meetings attended. An employee of Vigilant Compliance, LLC serves as President and Chief Compliance Officer of the Company. Vigilant Compliance, LLC is compensated for the services provided to the Company. Employees of RBB serve as Treasurer, Secretary and Director of Marketing & Business Development of the Company. They are compensated for services provided. Certain employees of Fund Services serve as officers of the Company. They are not compensated by the Fund or the Company. For Director and Officer compensation amounts, please refer to the Statement of Operations.
4. PURCHASES AND SALES OF INVESTMENT SECURITIES
During the current fiscal period, aggregate purchases and sales of investment securities (excluding short-term investments) of the Fund were as follows:
PURCHASES | SALES |
$87,558,869 | $70,973,749 |
There were no purchases or sales of long-term U.S. Government securities during the current fiscal period.
5. FEDERAL INCOME TAX INFORMATION
The Fund has followed the authoritative guidance on accounting for and disclosure of uncertainty in tax positions, which requires the Fund to determine whether a tax position is more likely than not to be sustained upon examination, including resolution of any related appeals or litigation processes, based on the technical merits of the position. The Fund has determined that there was no effect on the financial statements from following this authoritative guidance. In the normal course of business, the Fund is subject to examination by federal, state and local jurisdictions, where applicable, for tax years for which applicable statutes of limitations have not expired.
As of August 31, 2020, the federal tax cost and aggregate gross unrealized appreciation and depreciation of investments held by the Fund were as follows:
FEDERAL | UNREALIZED | UNREALIZED | Net Unrealized |
$249,065,792 | $45,744,933 | $(16,382,478) | $29,362,455 |
Distributions to shareholders, if any, from net investment income and realized gains are determined in accordance with federal income tax regulations, which may differ from net investment income and realized gains recognized for financial reporting purposes. Accordingly, the character of distributions and composition of net assets for tax purposes may differ from those reflected in the accompanying financial statements. To the extent these differences are permanent, such amounts are reclassified within the capital accounts based on the tax treatment; temporary differences do not require such reclassification.
23
AQUARIUS INTERNATIONAL FUND
NOTES TO FINANCIAL STATEMENTS (CONCLUDED)
February 28, 2021 (Unaudited)
As of August 31, 2020, there were no permanent differences between distributable earning/(loss) and paid-in capital, respectively.
As of August 31, 2020, the components of distributable earnings on a tax basis were as follows:
UNDISTRIBUTED | UNDISTRIBUTED | CAPITAL LOSS | NET UNREALIZED | QUALIFIED |
$2,088,526 | $— | $(20,954,333) | $29,362,455 | $— |
The differences between the book and tax basis components of distributable earnings relate primarily to the timing of recognition of income and gains for federal income tax purposes. Short-term and foreign currency gains are reported as ordinary income for federal income tax purposes.
The tax character of dividends and distributions paid during the fiscal year ended August 31, 2020 were as follows:
ORDINARY | LONG-TERM | TOTAL | |||||||||||||
2020 | $ | 2,498,204 | $ | — | $ | 2,498,204 |
Under the Regulated Investment Company Modernization Act of 2010, the Fund is permitted to carry forward capital losses incurred in taxable years beginning after December 22, 2010 for an unlimited period. Additionally, capital losses that are carried forward will retain their character as either short-term or long-term capital losses rather than being considered all short-term as under the previous law. As of August 31, 2020, the Fund had capital loss carryforwards of $20,954,333.
6. SUBSEQUENT EVENTS
Management has evaluated the impact of all subsequent events on the Fund through the date the financial statements were issued, and has determined that there was the following subsequent event:
On March 9, 2021, Mr. Richard Driehaus, the founder of Driehaus Capital Management LLC (“Driehaus”), passed away, causing Driehaus to undergo a technical change in control. This change in control resulted in the automatic termination of the Fund’s sub-advisory agreement with Driehaus. Following the termination, the rules under the 1940 Act permitted the Board to approve an interim sub-advisory agreement with Driehaus within ten business days. Accordingly, on March 16, 2021, the Board approved an interim sub-advisory agreement effective March 9, 2021. The interim sub-advisory agreement will terminate upon the earlier of: (a) 150 calendar days after the effective date; or (b) the effective date of a new sub-advisory agreement.
24
AQUARIUS INTERNATIONAL FUND
Other Information (Unaudited)
Proxy Voting
Policies and procedures that the Fund uses to determine how to vote proxies relating to portfolio securities as well as information regarding how the Fund voted proxies relating to portfolio securities for the most recent twelve-month period ended June 30 are available without charge, upon request, by calling (844) 261-6482 and on the Securities and Exchange Commission’s (“SEC”) website at http://www.sec.gov.
Quarterly Portfolio Schedules
The Company files a complete schedule of portfolio holdings with the SEC for the first and third fiscal quarters of each fiscal year (quarters ended November 30 and May 31) as an exhibit to its report on Form N-PORT. The Company’s Form N-PORT is available on the SEC website at http://www.sec.gov.
APPROVAL OF SUB-ADVISORY AGREEMENT WITH APERIO GROUP, LLC
As required by the 1940 Act, the Board, including all of the Directors who are not “interested persons” of the Company, as that term is defined in the 1940 Act (the “Independent Directors”), considered the approval of a new sub-advisory agreement among Altair, the Company, on behalf of the Fund, and Aperio Group, LLC (“Aperio”) (the “Sub-Advisory Agreement”) at a special meeting of the Board held on December 10, 2020 (the “Meeting”). At the Meeting, the Board, including all of the Independent Directors, approved the Sub-Advisory Agreement for an initial period ending August 16, 2021. The Board’s decision to approve the Sub-Advisory Agreement reflects the exercise of its business judgment. In approving the Sub-Advisory Agreement, the Board considered information provided by Altair and Aperio, with the assistance and advice of counsel to the Independent Directors and the Company.
In considering the Sub-Advisory Agreement between Altair and Aperio, the Board took into account all materials provided prior to and during the Meeting and at other meetings throughout the past year, the presentations made during the Meeting, and the discussions held during the Meeting. Among other things, the Board considered (i) the nature, extent, and quality of services provided to the Fund by Aperio; (ii) descriptions of the experience and qualifications of the personnel providing those services; (iii) Aperio’s investment philosophies and processes; (iv) Aperio’s assets under management and client descriptions; (v) Aperio’s soft dollar commission and trade allocation policies, including information on the types of research and services obtained in connection with soft dollar commissions; (vi) Aperio’s advisory fee arrangements and other similarly managed clients, as applicable; (vii) Aperio’s compliance procedures; (viii) Aperio’s financial information and insurance coverage, including the effect of the change of control on Aperio’s operations; (ix) the extent to which economies of scale are relevant to the Fund; (x) a report prepared by Broadridge/Lipper comparing the Fund’s management fees and total expense ratio to those of its Lipper Group and comparing the performance of the Fund to the performance of its Lipper Group; and (xi) a report comparing the performance of the Fund to the performance of its benchmark. The Board acknowledged that it relied, in part, on its prior review of Aperio at its May 13-14, 2020 meeting whereby the Board had performed its review and annual renewal of the Fund’s prior sub-advisory agreement with Aperio.
The Board considered the nature, extent, and quality of services to be provided by Aperio. The Board also considered the fees payable to Aperio under the proposed Sub-Advisory Agreement with Aperio and the services to be provided by Aperio.
After reviewing the information regarding Aperio’s costs, profitability and economies of scale, and after considering the services to be provided by Aperio, the Board concluded that the sub-advisory fees to be paid by the Fund to Aperio were fair and reasonable and that the Sub-Advisory Agreement should be approved for an initial period ending August 16, 2021.
25
AQUARIUS INTERNATIONAL FUND
Liquidity Risk Management Program
(Unaudited)
The Company has adopted and implemented a Liquidity Risk Management Program (the “Company Program”) as required by rule 22e-4 under the 1940 Act. In accordance with the Company Program, the Adviser has adopted and implemented a liquidity risk management program (the “Adviser Program” and together with the Company Program, the “Programs”) on behalf of the Fund. The Programs seek to assess, manage and review the Fund’s Liquidity Risk. “Liquidity Risk” is defined as the risk that the Fund could not meet requests to redeem shares issued by the Fund without significant dilution of remaining investors’ interest in the Fund.
The Board has appointed Vigilant Compliance, LLC (“Vigilant”) as the program administrator for the Company Program and the Adviser as the program administrator for the Adviser Program. The Adviser has delegated oversight of the Adviser Program to its Compliance Committee, whose process of monitoring and determining the liquidity of the Fund’s investments is supported by one or more third-party vendors.
At meetings held during the fiscal period, the Board and its Investment and Liquidity Risk Committee received and reviewed a written report (the “Report”) of Vigilant and the Adviser concerning the operation of the Programs for the period from June 1, 2019 to June 30, 2020 (the “Period”). The Report summarized the operation of the Programs and the information and factors considered by Vigilant and the Adviser in reviewing the adequacy and effectiveness of the implementation of the Programs with respect to the Fund. Such information and factors included, among other things: (i) the methodology used to classify the liquidity of each Fund’s portfolio investments and the Adviser’s assessment that the Fund’s strategy remained appropriate for an open-end mutual fund; (ii) analyses of the Fund’s trading environment and reasonably anticipated trading size; (iii) that the Fund held primarily highly liquid assets (investments that the Fund anticipates can be converted to cash within 3 business days or less in current market conditions without significantly changing their market value); (iv) that the Fund held a percentage of highly liquid assets above its highly liquid investment minimum at all times during the Period; (v) confirmation that the Fund did not breach the 15% maximum illiquid security threshold (investments that cannot be sold or disposed of in seven days or less in current market conditions without the sale of the investment significantly changing the market value of the investment) and the procedures for monitoring compliance with the limit; (vi) that the processes, technologies and third-party vendors used to assess, manage, and/or periodically review the Fund’s Liquidity Risk functioned appropriately during the Period; and (vii) that the Programs operated adequately during the Period. The Report also indicated that there were no material changes made to the Programs during the Period.
Based on the review, the Report concluded that the Programs were being implemented effectively and reasonably designed to assess and manage Liquidity Risk in the Fund’s portfolio.
There can be no assurance that the Company Program or the Adviser Program will achieve its objectives under all circumstances in the future. Please refer to the Fund’s prospectus for more information regarding the Fund’s exposure to liquidity risk and other risks to which it may be subject.
26
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Investment Adviser
Altair Advisers, LLC
303 West Madison Street, Suite 600
Chicago, IL 60606
Administrator and Transfer Agent
U.S. Bancorp Fund Services, LLC
P.O. Box 701
Milwaukee, WI 53201
Principal Underwriter
Quasar Distributors, LLC
111 E Kilbourn Ave, Suite 2200
Milwaukee, WI 53202
Custodian
U.S. Bank, N.A.
1555 North Rivercenter Drive, Suite 302
Milwaukee, WI 53212
Independent Registered Public Accounting Firm
PricewaterhouseCoopers LLP
Two Commerce Square
2001 Market Street, Suite 1800
Philadelphia, PA 19103
Legal Counsel
Faegre Drinker Biddle & Reath LLP
One Logan Square, Suite 2000
Philadelphia, PA 19103-6996
AQU-SAR21
Bogle Investment |
Small Cap
Growth Fund
of THE RBB FUND, INC.
Semi-Annual Report
February 28, 2021
(Unaudited)
Beginning on January 1, 2021, as permitted by regulations adopted by the U.S. Securities and Exchange Commission (the “SEC”), paper copies of the Fund’s annual and semi-annual shareholder reports will no longer be sent by mail, unless you specifically request paper copies of the reports. Instead, the reports will be made available on a website and you will be notified by mail each time a report is posted and provided with a website link to access the report.
If you already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. You may elect to receive shareholder reports and other communications from the Fund electronically anytime by contacting your financial intermediary (such as a broker-dealer or a bank) or, if you are a direct investor, by calling 1-877-264-5346.
You may elect to receive all future reports in paper free of charge. If you invest through a financial intermediary, you can contact your financial intermediary to request that you continue to receive paper copies of your shareholder reports. If you invest directly with the Fund, you can call 1-877-264-5346 to inform the Fund that you wish to continue receiving paper copies of your shareholder reports. Your election to receive reports in paper will apply to all funds held in your account if you invest through your financial intermediary or all funds held with the fund complex if you invest directly with the Fund.
This report is submitted for the general information of the shareholders of the Fund. It is not authorized for distribution unless preceded or accompanied by a current prospectus for the Fund.
Bogle Investment Management
Small Cap Growth Fund
Performance Data
February 28, 2021 (Unaudited)
Average Annual Total Returns for the Periods Ended February 28, 2021 | ||||||
Six | One | Five | Ten | Since | ||
Institutional Class Shares | 37.87% | 53.40% | 16.96% | 12.12% | 11.64% | |
Russell 2000® Index | 41.69% | 51.00% | 17.92% | 11.86% | 9.40% |
(1) | Not Annualized. |
(2) | For the period October 1, 1999 (commencement of operations) through February 28, 2021. |
The performance data quoted represents past performance and does not guarantee future results. Current performance may be lower or higher. Performance data current to the most recent month-end may be obtained at 1-877-264-5346. The investment return and principal value of an investment will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. The performance quoted reflects fee waivers in effect and would have been less in their absence. The total annual Fund operating expense ratio, as stated in the current prospectus dated December 31, 2020, is 1.38% for the Fund prior to fee waivers.
Bogle Investment Management, L.P. (the “Adviser” or “Bogle”) waived a portion of its advisory fee and agreed to reimburse a portion of the Bogle Investment Management Small Cap Growth Fund’s (the “Fund”) operating expenses, if necessary, to maintain the expense limitation as set forth in the notes to the financial statements. Total returns shown include fee waivers and expense reimbursements, if any; total returns would have been lower had there been no waivers and reimbursements of fees and expenses in excess of expense limitations. Returns shown include the reinvestment of all dividends and other distributions.
1
Bogle Investment Management
Small Cap Growth Fund
Fund Expense Example
February 28, 2021 (Unaudited)
As a shareholder of the Fund, you incur two types of costs: (1) transaction costs and (2) ongoing costs, including management fees and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
This example is based on an investment of $1,000 invested at the beginning of the six-month period from September 1, 2020 through February 28, 2021 and held for the entire period.
Actual Expenses
The first line of the accompanying table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The second line of the accompanying table provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare these 5% hypothetical examples with the 5% hypothetical examples that appear in the shareholder reports of other funds.
The expenses shown in the accompanying table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as redemption fees. Therefore, the second line of the accompanying table is useful in comparing ongoing costs only and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
Beginning | Ending | Expenses Paid | Annualized | Actual | |
Actual | $1,000.00 | $1,378.70 | $7.37 | 1.25% | 37.87% |
Hypothetical (5% return before expenses) | 1,000.00 | 1,018.60 | 6.26 | 1.25% | N/A |
* | Expenses are equal to the Fund’s annualized six-month expense ratio for the period September 1, 2020 to February 28, 2021, multiplied by the average account value over the period, multiplied by the number of days (181) in the most recent fiscal half-year, then divided by 365 to reflect the one half-year period. The Fund’s ending account value on the first line in the table is based on the actual six-month total investment return for the Fund. |
2
Bogle Investment Management
Small Cap Growth Fund
Portfolio Holdings Summary Table
February 28, 2021 (Unaudited)
The following table presents a summary by security type of the portfolio holdings of the Fund:
% of Net | Value | |||||||
COMMON STOCKS: | ||||||||
Health Technology | 18.3% | $ | 15,986,162 | |||||
Finance | 18.3 | 15,957,691 | ||||||
Technology Services | 11.7 | 10,172,582 | ||||||
Electronic Technology | 7.8 | 6,839,201 | ||||||
Producer Manufacturing | 5.1 | 4,425,884 | ||||||
Consumer Services | 4.9 | 4,236,425 | ||||||
Commercial Services | 4.4 | 3,831,700 | ||||||
Retail Trade | 4.1 | 3,584,379 | ||||||
Consumer Durables | 3.8 | 3,330,806 | ||||||
Consumer Non-Durables | 3.5 | 3,091,016 | ||||||
Non-Energy Minerals | 3.4 | 2,970,576 | ||||||
Process Industries | 3.4 | 2,941,096 | ||||||
Industrial Services | 2.9 | 2,569,959 | ||||||
Transportation | 1.8 | 1,544,287 | ||||||
Utilities | 1.2 | 1,006,807 | ||||||
Distribution Services | 1.0 | 900,331 | ||||||
Communications | 0.7 | 628,698 | ||||||
Health Services | 0.7 | 620,418 | ||||||
Energy Minerals | 0.2 | 183,894 | ||||||
SHORT-TERM INVESTMENTS | 3.7 | 3,219,804 | ||||||
OTHER ASSETS IN EXCESS OF LIABILITIES | -0.9 | (764,345 | ) | |||||
NET ASSETS | 100.0% | $ | 87,277,371 |
Portfolio holdings are subject to change at any time.
The accompanying notes are an integral part of the financial statements.
3
Bogle Investment Management
Small Cap Growth Fund
Portfolio of Investments
February 28, 2021 (Unaudited)
Number | Value | |||||||
COMMON STOCKS—97.2% | ||||||||
COMMERCIAL SERVICES—4.4% | ||||||||
Concentrix Corp.* | 1,102 | $ | 136,108 | |||||
FTI Consulting, Inc.* | 4,700 | 538,385 | ||||||
Huron Consulting Group, Inc.* | 13,154 | 669,539 | ||||||
iClick Interactive Asia Group Ltd., ADR* | 25,500 | 375,105 | ||||||
Kforce, Inc. | 14,764 | 758,131 | ||||||
QuinStreet, Inc.* | 29,847 | 713,045 | ||||||
Stamps.com, Inc.* | 1,540 | 280,172 | ||||||
TriNet Group, Inc.* | 4,500 | 361,215 | ||||||
3,831,700 | ||||||||
COMMUNICATIONS—0.7% | ||||||||
Remark Holdings, Inc.* | 74,700 | 224,847 | ||||||
Shenandoah Telecommunications Co. | 9,106 | 403,851 | ||||||
628,698 | ||||||||
CONSUMER DURABLES—3.8% | ||||||||
Arlo Technologies, Inc.* | 58,300 | 405,768 | ||||||
GoPro, Inc., Class A* | 64,001 | 481,288 | ||||||
Nautilus, Inc.* | 20,149 | 370,943 | ||||||
Niu Technologies, SP ADR* | 7,200 | 269,136 | ||||||
Turtle Beach Corp.* | 19,438 | 581,196 | ||||||
Vista Outdoor, Inc.* | 20,794 | 657,298 | ||||||
Zepp Health Corp., ADR* | 34,191 | 565,177 | ||||||
3,330,806 | ||||||||
CONSUMER NON-DURABLES—3.5% | ||||||||
Central Garden & Pet Co., Class A* | 19,373 | 804,173 | ||||||
Coca-Cola Consolidated, Inc. | 2,200 | 564,652 | ||||||
Nomad Foods Ltd.* | 19,121 | 451,638 | ||||||
Nu Skin Enterprises, Inc., Class A | 11,643 | 595,889 | ||||||
USANA Health Sciences, Inc.* | 6,951 | 674,664 | ||||||
3,091,016 | ||||||||
CONSUMER SERVICES—4.9% | ||||||||
CuriosityStream, Inc.* | 20,809 | 361,452 | ||||||
Dolby Laboratories, Inc., Class A | 3,000 | 292,890 | ||||||
Gravity Co., Ltd., SP ADR* | 2,880 | 336,902 | ||||||
Gray Television, Inc. | 15,391 | 279,347 | ||||||
Liberty TripAdvisor Holdings, Inc., Class A* | 57,600 | 324,288 | ||||||
Lions Gate Entertainment Corp., Class B* | 23,137 | 290,138 | ||||||
Medifast, Inc. | 2,942 | 744,297 | ||||||
Meredith Corp.* | 25,746 | 637,986 | ||||||
MSG Networks, Inc., Class A* | 42,358 | 718,392 |
Number | Value | |||||||
CONSUMER SERVICES—(continued) | ||||||||
New York Times Co., (The), Class A | 4,900 | $ | 250,733 | |||||
4,236,425 | ||||||||
DISTRIBUTION SERVICES—1.0% | ||||||||
Pool Corp. | 642 | 214,922 | ||||||
SpartanNash Co. | 15,100 | 275,273 | ||||||
SYNNEX Corp. | 4,600 | 410,136 | ||||||
900,331 | ||||||||
ELECTRONIC TECHNOLOGY—7.8% | ||||||||
Aviat Networks, Inc.* | 2,700 | 165,591 | ||||||
Axcelis Technologies, Inc.* | 17,950 | 661,816 | ||||||
Cambium Networks Corp.* | 10,101 | 427,171 | ||||||
Canaan, Inc., ADR* | 12,649 | 191,759 | ||||||
Himax Technologies, Inc., ADR* | 33,195 | 447,137 | ||||||
Immersion Corp.* | 28,600 | 283,426 | ||||||
MagnaChip Semiconductor Corp.* | 47,531 | 888,354 | ||||||
NeoPhotonics Corp.* | 72,466 | 696,398 | ||||||
Plantronics, Inc.* | 15,230 | 616,663 | ||||||
Silicon Motion Technology Corp., ADR | 12,314 | 731,944 | ||||||
Smith & Wesson Brands, Inc. | 29,900 | 514,579 | ||||||
Sonos, Inc.* | 17,741 | 690,835 | ||||||
Super Micro Computer, Inc.* | 4,440 | 144,877 | ||||||
United Microelectronics Corp., SP ADR | 25,080 | 245,784 | ||||||
Xperi Holding Corp. | 6,297 | 132,867 | ||||||
6,839,201 | ||||||||
ENERGY MINERALS—0.2% | ||||||||
Peabody Energy Corp.* | 42,766 | 183,894 | ||||||
FINANCE—18.3% | ||||||||
360 DigiTech, Inc., ADR* | 16,200 | 379,566 | ||||||
AMERCO | 400 | 229,888 | ||||||
BGC Partners, Inc., Class A | 106,500 | 477,120 | ||||||
Brightsphere Investment Group, Inc. | 35,555 | 643,546 | ||||||
Clover Health Investments Corp.* | 16,600 | 156,040 | ||||||
Cohen & Co., Inc.* | 5,852 | 100,187 | ||||||
Cohen & Steers, Inc. | 7,600 | 489,288 | ||||||
Cowen, Inc., Class A | 30,400 | 1,029,040 | ||||||
eXp World Holdings, Inc.* | 2,854 | 172,353 | ||||||
Golden Nugget Online Gaming, Inc.* | 15,744 | 224,667 | ||||||
Houlihan Lokey, Inc. | 7,600 | 483,056 | ||||||
Interactive Brokers Group, Inc., Class A | 9,055 | 655,492 | ||||||
InterPrivate Acquisition Corp.* | 32,500 | 450,450 |
The accompanying notes are an integral part of the financial statements.
4
Bogle Investment Management
Small Cap Growth Fund
Portfolio of Investments (Continued)
February 28, 2021 (Unaudited)
Number | Value | |||||||
FINANCE—(Continued) | ||||||||
LendingClub Corp.* | 50,524 | $ | 544,144 | |||||
LexinFintech Holdings Ltd., ADR* | 52,279 | 593,889 | ||||||
LPL Financial Holdings, Inc. | 3,560 | 468,282 | ||||||
Macquarie Infrastructure Corp. | 16,400 | 513,976 | ||||||
Mogo, Inc.* | 17,700 | 139,299 | ||||||
Nelnet, Inc., Class A | 6,117 | 444,094 | ||||||
Noah Holdings Ltd., SP ADR* | 8,349 | 373,200 | ||||||
Piper Jaffray Companies | 998 | 106,107 | ||||||
PJT Partners, Inc., Class A | 9,698 | 676,145 | ||||||
PROG Holdings, Inc.* | 8,981 | 449,050 | ||||||
Realogy Holdings Corp.* | 29,900 | 450,892 | ||||||
Rent-A-Center, Inc. | 800 | 46,208 | ||||||
SEI Investments Co. | 6,273 | 351,288 | ||||||
SiriusPoint Ltd.* | 7,614 | 77,739 | ||||||
SLM Corp. | 23,551 | 371,870 | ||||||
Stepstone Group, Inc., Class A* | 14,969 | 539,034 | ||||||
StoneX Group, Inc.* | 5,587 | 322,314 | ||||||
Sustainable Opportunities Acquisition Corp., Class A* | 34,955 | 368,426 | ||||||
TCG BDC, Inc. | 51,200 | 637,952 | ||||||
Textainer Group Holdings Ltd.* | 29,104 | 757,868 | ||||||
Thunder Bridge Acquisition II Ltd., Class A* | 65,262 | 693,735 | ||||||
Tuscan Holdings Corp.* | 29,800 | 495,276 | ||||||
Up Fintech Holding Ltd., ADR* | 5,700 | 135,945 | ||||||
Virtus Investment Partners, Inc. | 3,628 | 910,265 | ||||||
15,957,691 | ||||||||
HEALTH SERVICES—0.7% | ||||||||
Chemed Corp. | 700 | 311,647 | ||||||
Fulgent Genetics, Inc.* | 1,900 | 192,394 | ||||||
Invitae Corp.* | 2,900 | 116,377 | ||||||
620,418 | ||||||||
HEALTH TECHNOLOGY—18.3% | ||||||||
Alpha Pro Tech Ltd.* | 35,310 | 493,634 | ||||||
Aptose Biosciences, Inc.* | 93,697 | 371,040 | ||||||
Assertio Holdings, Inc.* | 6,475 | 5,523 | ||||||
BellRing Brands, Inc., Class A* | 31,386 | 713,090 | ||||||
Bio-Techne Corp. | 725 | 262,225 | ||||||
Bruker Corp. | 4,088 | 249,286 | ||||||
C4 Therapeutics, Inc.* | 6,701 | 287,607 | ||||||
CareDx, Inc.* | 3,400 | 268,872 | ||||||
Cerus Corp.* | 73,100 | 448,834 | ||||||
Compugen Ltd.* | 32,300 | 301,359 | ||||||
Curis, Inc.* | 26,300 | 258,792 | ||||||
Eagle Pharmaceuticals, Inc.* | 7,819 | 347,946 | ||||||
Eargo, Inc.* | 4,006 | 233,990 |
Number | Value | |||||||
HEALTH TECHNOLOGY—(continued) | ||||||||
Emergent BioSolutions, Inc.* | 3,731 | $ | 358,176 | |||||
Fluidigm Corp.* | 66,300 | 304,980 | ||||||
GenMark Diagnostics, Inc.* | 26,300 | 514,165 | ||||||
Globus Medical, Inc., Class A* | 6,418 | 401,125 | ||||||
Grifols SA, ADR | 26,811 | 435,947 | ||||||
Hill-Rom Holdings, Inc. | 4,434 | 472,975 | ||||||
ICU Medical, Inc.* | 2,584 | 536,180 | ||||||
Inmode Ltd.* | 9,300 | 641,328 | ||||||
Integra LifeSciences Holdings Corp.* | 4,819 | 329,330 | ||||||
Intercept Pharmaceuticals, Inc.* | 14,100 | 305,406 | ||||||
Ironwood Pharmaceuticals, Inc.* | 71,042 | 655,718 | ||||||
Meridian Bioscience, Inc.* | 20,973 | 442,111 | ||||||
Merit Medical Systems, Inc.* | 9,947 | 554,247 | ||||||
NanoString Technologies, Inc.* | 3,500 | 244,265 | ||||||
Natus Medical, Inc.* | 30,875 | 799,971 | ||||||
NextCure, Inc.* | 5,828 | 66,206 | ||||||
NuVasive, Inc.* | 9,500 | 573,135 | ||||||
Oncternal Therapeutics, Inc.* | 28,300 | 184,799 | ||||||
OPKO Health, Inc.* | 55,000 | 247,500 | ||||||
Orthofix Medical, Inc.* | 18,212 | 847,040 | ||||||
Pacific Biosciences of California, Inc.* | 4,287 | 131,054 | ||||||
Qiagen NV* | 4,300 | 215,000 | ||||||
Quanterix Corp.* | 3,106 | 235,280 | ||||||
Quidel Corp.* | 1,281 | 210,417 | ||||||
Repligen Corp.* | 500 | 106,195 | ||||||
Retractable Technologies, Inc.* | 17,500 | 274,750 | ||||||
Sangamo Therapeutics, Inc.* | 29,636 | 340,518 | ||||||
SI-BONE, Inc.* | 17,314 | 543,486 | ||||||
STAAR Surgical Co.* | 2,900 | 301,629 | ||||||
Supernus Pharmaceuticals, Inc.* | 700 | 18,809 | ||||||
Surface Oncology, Inc.* | 5,700 | 48,336 | ||||||
Veracyte, Inc.* | 4,100 | 238,046 | ||||||
Veru, Inc.* | 12,000 | 165,840 | ||||||
15,986,162 | ||||||||
INDUSTRIAL SERVICES—2.9% | ||||||||
Argan, Inc. | 16,211 | 810,874 | ||||||
Construction Partners, Inc., Class A* | 16,236 | 469,870 | ||||||
EMCOR Group, Inc. | 4,200 | 408,954 | ||||||
Primoris Services Corp. | 26,300 | 880,261 | ||||||
2,569,959 | ||||||||
NON-ENERGY MINERALS—3.4% | ||||||||
B2Gold Corp. | 87,200 | 381,064 | ||||||
Boise Cascade Co. | 15,780 | 788,053 | ||||||
Gerdau SA, SP ADR | 80,000 | 366,400 | ||||||
Kinross Gold Corp. | 42,000 | 261,660 |
The accompanying notes are an integral part of the financial statements.
5
Bogle Investment Management
Small Cap Growth Fund
Portfolio of Investments (Concluded)
February 28, 2021 (Unaudited)
Number | Value | |||||||
NON-ENERGY MINERALS—(continued) | ||||||||
Schnitzer Steel Industries, Inc., Class A | 19,335 | $ | 667,831 | |||||
UFP Industries, Inc. | 8,288 | 505,568 | ||||||
2,970,576 | ||||||||
PROCESS INDUSTRIES—3.4% | ||||||||
Aemetis, Inc.* | 29,400 | 289,002 | ||||||
Alto Ingredients, Inc.* | 37,700 | 244,296 | ||||||
Clearwater Paper Corp.* | 17,400 | 609,174 | ||||||
Lakeland Industries, Inc.* | 22,594 | 709,226 | ||||||
Mosaic Co., (The) | 9,500 | 279,300 | ||||||
Rogers Corp.* | 2,715 | 492,718 | ||||||
Scotts Miracle-Gro Co., (The) | 1,489 | 317,380 | ||||||
2,941,096 | ||||||||
PRODUCER MANUFACTURING—5.1% | ||||||||
AAON, Inc. | 4,315 | 332,686 | ||||||
AGCO Corp. | 2,200 | 284,856 | ||||||
Atkore, Inc.* | 15,156 | 1,025,303 | ||||||
Herman Miller, Inc. | 13,700 | 525,464 | ||||||
Lindsay Corp. | 4,000 | 641,000 | ||||||
Mueller Industries, Inc. | 13,600 | 552,704 | ||||||
Pitney Bowes, Inc. | 48,043 | 407,405 | ||||||
Toro Co., (The) | 1,600 | 161,232 | ||||||
Tupperware Brands Corp.* | 16,200 | 495,234 | ||||||
4,425,884 | ||||||||
RETAIL TRADE—4.1% | ||||||||
BJ’s Wholesale Club Holdings, Inc.* | 10,874 | 436,917 | ||||||
Blue Apron Holdings, Inc., Class A* | 37,100 | 326,851 | ||||||
Lumber Liquidators Holdings, Inc.* | 21,712 | 537,806 | ||||||
MarineMax, Inc.* | 13,422 | 599,292 | ||||||
Murphy USA, Inc. | 3,800 | 473,670 | ||||||
ODP Corp, (The)* | 10,454 | 400,075 | ||||||
Revolve Group, Inc.* | 11,300 | 520,930 | ||||||
Williams-Sonoma, Inc. | 2,200 | 288,838 | ||||||
3,584,379 | ||||||||
TECHNOLOGY SERVICES—11.7% | ||||||||
A10 Networks, Inc.* | 78,225 | 730,621 | ||||||
ANGI Homeservices, Inc., Class A* | 35,400 | 529,053 | ||||||
Boingo Wireless, Inc.* | 22,058 | 251,461 | ||||||
Box, Inc., Class A* | 28,528 | 523,489 | ||||||
Cargurus, Inc.* | 11,500 | 298,425 | ||||||
Cars.com, Inc.* | 34,188 | 398,974 | ||||||
ChannelAdvisor Corp.* | 29,877 | 675,220 | ||||||
Cloudera, Inc.* | 25,600 | 413,184 | ||||||
CoreLogic, Inc. | 4,100 | 347,106 | ||||||
Corsair Gaming, Inc.* | 5,800 | 207,872 |
Number | Value | |||||||
TECHNOLOGY SERVICES—(continued) | ||||||||
Criteo SA, SP ADR* | 24,112 | $ | 829,212 | |||||
Dropbox, Inc., Class A* | 14,567 | 328,413 | ||||||
eGain Corp.* | 44,701 | 519,426 | ||||||
LiveRamp Holdings, Inc.* | 5,900 | 372,644 | ||||||
McAfee Corp., Class A | 18,480 | 382,536 | ||||||
Mitek Systems, Inc.* | 36,879 | 563,511 | ||||||
NETGEAR, Inc.* | 17,341 | 693,640 | ||||||
NortonLifeLock, Inc. | 8,300 | 161,933 | ||||||
Sciplay Corp., Class A* | 34,051 | 618,026 | ||||||
Shutterstock, Inc. | 6,905 | 609,228 | ||||||
Teradata Corp.* | 8,100 | 324,810 | ||||||
Upwork, Inc.* | 2,130 | 114,764 | ||||||
Youdao, Inc., ADR* | 2,900 | 92,829 | ||||||
Zynga, Inc., Class A* | 16,700 | 186,205 | ||||||
10,172,582 | ||||||||
TRANSPORTATION—1.8% | ||||||||
Atlas Air Worldwide Holdings, Inc.* | 11,100 | 611,943 | ||||||
Knight-Swift Transportation Holdings, Inc. | 5,600 | 241,920 | ||||||
ModivCare, Inc.* | 5,383 | 690,424 | ||||||
1,544,287 | ||||||||
UTILITIES—1.2% | ||||||||
Just Energy Group, Inc.* | 117,523 | 463,041 | ||||||
Maxeon Solar Technologies Ltd.* | 7,201 | 242,458 | ||||||
Pampa Energia SA, SP ADR* | 831 | 11,077 | ||||||
Vistra Corp. | 16,825 | 290,231 | ||||||
1,006,807 | ||||||||
TOTAL COMMON STOCKS | ||||||||
(Cost $72,574,318) | 84,821,912 | |||||||
SHORT-TERM INVESTMENTS—3.7% | ||||||||
U.S. Bank Money Market Deposit Account, 0.01% (a) | 3,219,804 | |||||||
TOTAL SHORT-TERM INVESTMENTS | ||||||||
(Cost $3,219,804) | 3,219,804 | |||||||
TOTAL INVESTMENTS—100.9% | ||||||||
(Cost $75,794,122) | 88,041,716 | |||||||
LIABILITIES IN EXCESS OF OTHER ASSETS—(0.9)% | (764,345 | ) | ||||||
NET ASSETS—100.0% | $ | 87,277,371 |
* | Non-income producing security. |
(a) | The rate shown is as of February 28, 2021. |
ADR - American Depositary Receipt
SP ADR - Sponsored ADR
The accompanying notes are an integral part of the financial statements.
6
Bogle Investment Management
Small Cap Growth Fund
Statement of Assets and Liabilities
February 28, 2021 (Unaudited)
Assets | ||||
Investments, at value (cost $72,574,318) | $ | 84,821,912 | ||
Short-term investments, at value (cost $3,219,804) | 3,219,804 | |||
Receivables for: | ||||
Investments sold | 2,735,977 | |||
Capital shares sold | 156,052 | |||
Dividends | 23,852 | |||
Prepaid expenses and other assets | 22,582 | |||
Total assets | 90,980,179 | |||
Liabilities | ||||
Payables for: | ||||
Investments purchased | 3,610,512 | |||
Advisory fees | 63,132 | |||
Capital shares redeemed | 11,402 | |||
Other accrued expenses and liabilities | 17,762 | |||
Total liabilities | 3,702,808 | |||
Net assets | $ | 87,277,371 | ||
Net Assets Consist of: | ||||
Par value | $ | 2,369 | ||
Paid-in capital | 65,577,831 | |||
Total distributable earnings/(loss) | 21,697,171 | |||
Net assets | $ | 87,277,371 | ||
Capital Shares: | ||||
Net assets | $ | 87,277,371 | ||
Shares outstanding ($0.001 par value, 100,000,000 shares authorized) | 2,368,911 | |||
Net asset value, offering and redemption price per share | $ | 36.84 |
The accompanying notes are an integral part of the financial statements.
7
Bogle Investment Management
Small Cap Growth Fund
Statement of Operations
For the Six Months Ended February 28, 2021 (Unaudited)
Investment Income | ||||
Dividends (net of foreign taxes withheld of $917) | $ | 361,764 | ||
Total investment income | 361,764 | |||
Expenses | ||||
Advisory fees (Note 2) | 323,509 | |||
Administration and accounting fees (Note 2) | 27,576 | |||
Legal fees | 13,708 | |||
Transfer agent fees (Note 2) | 11,978 | |||
Registration and filing fees | 11,435 | |||
Audit and tax service fees | 9,991 | |||
Director fees | 9,179 | |||
Custodian fees (Note 2) | 8,677 | |||
Officer fees | 8,521 | |||
Printing and shareholder reporting fees | 1,127 | |||
Other expenses | 2,317 | |||
Total expenses before waivers | 428,018 | |||
Less: waivers (Note 2) | (23,632 | ) | ||
Net expenses after waivers | 404,386 | |||
Net investment income/(loss) | (42,622 | ) | ||
Net Realized and Unrealized Gain/(Loss) from Investments | ||||
Net realized gain/(loss) from investments | 13,259,645 | |||
Net change in unrealized appreciation/(depreciation) on investments | 6,606,227 | |||
Net realized and unrealized gain/(loss) on investments | 19,865,872 | |||
Net Increase/(Decrease) in Net Assets Resulting from Operations | $ | 19,823,250 |
The accompanying notes are an integral part of the financial statements.
8
Bogle Investment Management
Small Cap Growth Fund
Statements of Changes in Net Assets
For the | For the | |||||||
Increase/(Decrease) in Net Assets From Operations: | ||||||||
Net investment income/(loss) | $ | (42,622 | ) | $ | (225,757 | ) | ||
Net realized gain/(loss) from investments | 13,259,645 | 378,756 | ||||||
Net change in unrealized appreciation/(depreciation) on investments | 6,606,227 | 5,209,500 | ||||||
Net increase/(decrease) in net assets resulting from operations | 19,823,250 | 5,362,499 | ||||||
Dividends and Distributions to Shareholders: | ||||||||
Total distributable earnings | (3,334,454 | ) | (208,711 | ) | ||||
Net decrease in net assets from dividends and distributions to shareholders | (3,334,454 | ) | (208,711 | ) | ||||
Increase/(Decrease) in Net Assets Derived From Capital Share Transactions: | ||||||||
Proceeds from shares sold | 22,621,258 | 486,094 | ||||||
Reinvestment of distributions | 3,236,287 | 199,405 | ||||||
Distributions for shares redeemed | (12,178,166 | ) | (18,031,798 | ) | ||||
Net increase/(decrease) in net assets from capital share transactions | 13,679,379 | (17,346,299 | ) | |||||
Total increase/(decrease) in net assets | 30,168,175 | (12,192,511 | ) | |||||
Net Assets: | ||||||||
Beginning of period | 57,109,196 | 69,301,707 | ||||||
End of period | $ | 87,277,371 | $ | 57,109,196 | ||||
Shares Transactions: | ||||||||
Shares sold | 576,166 | 19,675 | ||||||
Shares reinvested | 102,414 | 7,251 | ||||||
Shares redeemed | (337,781 | ) | (698,757 | ) | ||||
Net increase/(decrease) in shares outstanding | 340,799 | (671,831 | ) |
The accompanying notes are an integral part of the financial statements.
9
Bogle Investment Management
Small Cap Growth Fund
Financial Highlights
Contained below is per share operating performance data for shares outstanding, total investment return/(loss), ratios to average net assets and other supplemental data for the respective periods. This information has been derived from information provided in the financial statements. |
For the | For the | For the | For the | For the | For the | |||||||||||||||||||
Per Share Operating Performance | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 28.16 | $ | 25.67 | $ | 35.14 | $ | 32.04 | $ | 27.00 | $ | 30.00 | ||||||||||||
Net investment income/(loss)(1) | (0.02 | ) | (0.10 | ) | (0.15 | ) | (0.19 | ) | (0.18 | ) | (0.13 | ) | ||||||||||||
Net realized and unrealized gain/(loss) from investments | 10.40 | 2.68 | (5.55 | ) | 6.63 | 5.22 | 1.21 | |||||||||||||||||
Net increase/(decrease) in net assets resulting from operations | 10.38 | 2.58 | (5.70 | ) | 6.44 | 5.04 | 1.08 | |||||||||||||||||
Dividends and distributions to shareholders from: | ||||||||||||||||||||||||
Net investment income | (0.07 | ) | — | — | — | — | — | |||||||||||||||||
Net realized capital gains | (1.63 | ) | (0.09 | ) | (3.77 | ) | (3.34 | ) | — | (4.08 | ) | |||||||||||||
Total dividends and distributions to shareholders | (1.70 | ) | (0.09 | ) | (3.77 | ) | (3.34 | ) | — | (4.08 | ) | |||||||||||||
Net asset value, end of period | $ | 36.84 | $ | 28.16 | $ | 25.67 | $ | 35.14 | $ | 32.04 | $ | 27.00 | ||||||||||||
Total investment return(2) | 37.87 | %(4) | 10.04 | % | (16.02 | )% | 21.77 | % | 18.69 | % | 4.37 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (000’s omitted) | $ | 87,277 | $ | 57,109 | $ | 69,302 | $ | 96,579 | $ 106,278 | $ | 57,180 | |||||||||||||
Ratio of expenses to average net assets with waivers and reimbursements | 1.25 | %(5) | 1.25 | % | 1.25 | % | 1.25 | % | 1.27 | % | 1.25 | % | ||||||||||||
Ratio of expenses to average net assets without waiver and reimbursements(3) | 1.32 | %(5) | 1.38 | % | 1.37 | % | 1.29 | % | 1.37 | % | 1.42 | % | ||||||||||||
Ratio of net investment income/(loss) to average net assets | (0.13 | )%(5) | (0.38 | )% | (0.53 | )% | (0.57 | )% | (0.61 | )% | (0.50 | )% | ||||||||||||
Portfolio turnover rate | 139 | %(4) | 302 | % | 344 | % | 349 | % | 366 | % | 380 | % |
(1) | Calculated based on average shares outstanding for the period. |
(2) | Total investment return is calculated assuming a purchase of shares on the first day and a sale of shares on the last day of each period reported and includes reinvestments of dividends and distributions, if any. |
(3) | During the current fiscal period, certain fees were waived and/or reimbursed. If such fee waivers and/or reimbursements had not occurred, the ratios would have been as indicated (See Note 2). |
(4) | Not Annualized. |
(5) | Annualized. |
The accompanying notes are an integral part of the financial statements.
10
Bogle Investment Management
Small Cap Growth Fund
Notes to Financial Statements
February 28, 2021 (Unaudited)
1. Organization and Significant Accounting Policies
The RBB Fund, Inc. (“RBB” or the “Company”) was incorporated under the laws of the State of Maryland on February 29, 1988 and is registered under the Investment Company Act of 1940, as amended, (the “1940 Act”), as an open-end management investment company. RBB is a “series fund,” which is a mutual fund divided into separate portfolios. Each portfolio is treated as a separate entity for certain matters under the 1940 Act, and for other purposes, and a shareholder of one portfolio is not deemed to be a shareholder of any other portfolio. Currently, RBB has thirty-six separate investment portfolios, including the Bogle Investment Management Small Cap Growth Fund (the “Fund”), which commenced investment operations on October 1, 1999.
RBB has authorized capital of one hundred billion shares of common stock of which 87.923 billion shares are currently classified into one hundred and ninety classes of common stock. Each class represents an interest in an active or inactive RBB investment portfolio.
The Fund’s investment objective is to provide long-term capital appreciation.
The Fund is an investment company and follows accounting and reporting guidance in the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946 “Financial Services - Investment Companies”.
The end of the reporting period for the Fund is February 28, 2021, and the period covered by these Notes to Financial Statements is the six months ended February 28, 2021 (the “current fiscal period”).
Portfolio Valuation — The Fund’s net asset value (“NAV”) is calculated once daily at the close of regular trading hours on the New York Stock Exchange (“NYSE”) (generally 4:00 p.m. Eastern time) on each day the NYSE is open. Securities held by the Fund are valued using the closing price or the last sale price on a national securities exchange or the National Association of Securities Dealers Automatic Quotation System (“NASDAQ”) market system where they are primarily traded. Equity securities traded in the over-the-counter (“OTC”) market are valued at their closing prices. If there were no transactions on that day, securities traded principally on an exchange or on NASDAQ will be valued at the mean of the last bid and ask prices prior to the market close. Fixed income securities are valued using an independent pricing service, which considers such factors as security prices, yields, maturities and ratings, and are deemed representative of market values at the close of the market. Investments in other open-end investment companies, if any, are valued based on the NAV of those investment companies (which may use fair value pricing as discussed in their prospectuses). If market quotations are unavailable or deemed unreliable, securities will be valued in accordance with procedures adopted by the Company’s Board of Directors (the “Board”). Relying on prices supplied by pricing services or dealers or using fair valuation may result in values that are higher or lower than the values used by other investment companies and investors to price the same investments.
Fair Value Measurements — The inputs and valuation techniques used to measure the fair value of the Fund’s investments are summarized into three levels as described in the hierarchy below:
● Level 1 – | Prices are determined using quoted prices in active markets for identical securities. |
● Level 2 – | Prices are determined using other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.). |
● Level 3 – | Prices are determined using significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments). |
The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
11
Bogle Investment Management
Small Cap Growth Fund
Notes to Financial Statements (Continued)
February 28, 2021 (Unaudited)
The following is a summary of the inputs used, as of the end of the reporting period, in valuing the Fund’s investments carried at fair value:
Total | Level 1 | Level 2 | Level 3 | |||||||||||||
Common Stocks | $ | 84,821,912 | $ | 84,821,912 | $ | — | $ | — | ||||||||
Short-Term Investments | 3,219,804 | 3,219,804 | — | — | ||||||||||||
Total Investments* | $ | 88,041,716 | $ | 88,041,716 | $ | — | $ | — |
* | Please refer to the Portfolio of Investments for further details. |
At the end of each quarter, management evaluates the classification of Levels 1, 2 and 3 assets and liabilities. Various factors are considered, such as changes in liquidity from the prior reporting period; whether or not a broker is willing to execute at the quoted price; the depth and consistency of prices from third party pricing services; and the existence of contemporaneous, observable trades in the market. Additionally, management evaluates the classification of Levels 1, 2 and 3 assets and liabilities on a quarterly basis for changes in listings or delistings on national exchanges.
Due to the inherent uncertainty of determining the fair value of investments that do not have a readily available market value, the fair value of the Fund’s investments may fluctuate from period to period. Additionally, the fair value of investments may differ significantly from the values that would have been used had a ready market existed for such investments and may differ materially from the values the Fund may ultimately realize. Further, such investments may be subject to legal and other restrictions on resale or otherwise less liquid than publicly traded securities.
For fair valuations using significant unobservable inputs, U.S. generally accepted accounting principles (“U.S. GAAP”) requires the Fund to present a reconciliation of the beginning to ending balances for reported market values that presents changes attributable to total realized and unrealized gains or losses, purchase and sales, and transfers in and out of Level 3 during the period. Transfers in and out between levels are based on values at the end of the period. A reconciliation of Level 3 investments is presented only when the Fund had an amount of Level 3 investments at the end of the reporting period that was meaningful in relation to its net assets. The amounts and reasons for Level 3 transfers are disclosed if the Fund had an amount of total Level 3 transfers during the reporting period that was meaningful in relation to its net assets as of the end of the reporting period.
During the current fiscal period, the Fund had no Level 3 transfers.
Use of Estimates — The preparation of financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates and those differences could be significant.
Investment Transactions, Investment Income and Expenses — The Fund records security transactions based on trade date for financial reporting purposes. The cost of investments sold is determined by use of the specific identification method for both financial reporting and income tax purposes in determining realized gains and losses on investments. Interest income (including amortization of premiums and accretion of discounts) is accrued when earned. Dividend income is recorded on the ex-dividend date. Distributions received on securities that represent a return of capital or capital gains are recorded as a reduction of cost of investments and/or as a realized gain. The Fund’s investment income, expenses (other than class specific distribution fees) and unrealized and realized gains and losses are allocated daily to each class of shares based upon the relative proportion of net assets of each class at the beginning of the day. Expenses incurred on behalf of a specific class, fund or fund family of the Company are charged directly to the class, fund or fund family (in proportion to net assets). Expenses incurred for all of the RBB funds (such as director or professional fees) are charged to all funds in proportion to their average net assets of RBB, or in such other manner as the Board deems fair or equitable. Expenses and fees, including investment advisory and administration fees, are accrued daily and taken into account for the purpose of determining the NAV of the Fund.
12
Bogle Investment Management
Small Cap Growth Fund
Notes to Financial Statements (Continued)
February 28, 2021 (Unaudited)
Dividends And Distributions To Shareholders — Dividends from net investment income and distributions from net realized capital gains, if any, are declared and paid at least annually to shareholders and recorded on the ex-dividend date. Income dividends and capital gain distributions are determined in accordance with U.S. federal income tax regulations, which may differ from U.S. GAAP.
U.S. Tax Status — No provision is made for U.S. income taxes as it is the Fund’s intention to continue to qualify for and elect the tax treatment applicable to regulated investment companies under Subchapter M of the Internal Revenue Code of 1986, as amended, and make the requisite distributions to its shareholders which will be sufficient to relieve it from U.S. income and excise taxes.
Coronavirus (COVID-19) Pandemic — The global outbreak of COVID-19 (commonly referred to as “coronavirus”) has disrupted economic markets and the prolonged economic impact is uncertain. The ultimate economic fallout from the pandemic, and the long-term impact on economies, markets, industries and individual issuers are not known. The operational and financial performance of the issuers of securities in which the Fund invests depends on future developments, including the duration and spread of the outbreak, and such uncertainty may in turn adversely affect the value and liquidity of the Fund’s investments, impair the Fund’s ability to satisfy redemption requests, and negatively impact the Fund’s performance.
Cash and Cash Equivalents — Cash and cash equivalents are valued at cost plus accrued interest, which approximates market value.
Other — In the normal course of business, the Fund may enter into contracts that provide general indemnifications. The Fund’s maximum exposure under these arrangements is dependent on claims that may be made against the Fund in the future, and, therefore, cannot be estimated; however, the Fund expects the risk of material loss from such claims to be remote.
2. Investment Adviser and Other Services
Bogle Investment Management, L.P. (“Bogle” or the “Adviser”) serves as the investment adviser to the Fund. The Fund compensates the Adviser for its services at an annual rate based on the Fund’s average daily net assets (the “Advisory Fee”), payable on a monthly basis in arrears, as shown in the accompanying table.
The Adviser has contractually agreed to waive advisory fees and/or reimburse expenses to the extent that total Fund operating expenses (excluding certain items discussed below) exceed the rate (“Expense Cap”) shown in the accompanying table. In determining the Adviser’s obligation to waive advisory fees and/or reimburse expenses, the following expenses are not taken into account and certain of these expenses could cause net total annual Fund operating expenses to exceed the Expense Cap: acquired fund fees and expenses, brokerage commissions, extraordinary items, interest or taxes. This contractual limitation is in effect until December 31, 2021 and may not be terminated without the approval of the Board. The Adviser may discontinue these arrangements at any time after December 31, 2021. The Fund will not pay the Adviser at a later time for any amounts the Adviser may waive and/or any amounts that the Adviser has assumed.
Advisory Fee | Expense Cap |
1.00% | 1.25% |
During the current fiscal period, investment advisory fees accrued and waived were as follows:
Gross | Waivers | Net |
$323,509 | $(23,632) | $299,877 |
13
Bogle Investment Management
Small Cap Growth Fund
Notes to Financial Statements (Continued)
February 28, 2021 (Unaudited)
Effective September 1, 2019, if at any time the Fund’s total annual Fund operating expenses (excluding certain items discussed above) for a year are less than the Expense Cap, the Adviser is entitled to reimbursement by the Fund of the advisory fees forgone and other payments remitted by the Adviser to the Fund within three years from the date on which such waiver or reimbursement was made, provided such reimbursement does not cause the Fund to exceed the Expense Cap that was in effect at the time of the waiver or reimbursement. As of the end of the reporting period, the Fund had amounts available for recoupment as follows:
EXPIRATION | ||||
August 31, 2021 | August 31, 2022 | August 31, 2023 | August 31, 2024 | Total |
$— | $— | $75,685 | $23,632 | $99,317 |
During the period, Bogle notified the Board that it wished to resign as the investment adviser to the Fund. In order to ensure the continued management of the Fund’s assets following the resignation by Bogle, the Board unanimously voted on February 10-11, 2021 to approve (i) an interim investment advisory agreement (the “Interim Advisory Agreement”) between the Company and Summit Global Investments, LLC (“Summit”) to become effective upon the resignation of Bogle, and (ii) a new investment advisory agreement (the “New Advisory Agreement”) between the Company and Summit, which will not become effective unless approved by shareholders of the Fund. Information regarding the Board’s considerations in approving the Interim Advisory Agreement and New Advisory Agreement is included under the heading “Approval of Interim and New Advisory Agreements” below.
U.S. Bancorp Fund Services, LLC (“Fund Services”), doing business as U.S. Bank Global Fund Services, serves as administrator for the Fund. For providing administrative and accounting services, Fund Services is entitled to receive a monthly fee, subject to certain minimum and out of pocket expenses.
Fund Services serves as the Fund’s transfer and dividend disbursing agent. For providing transfer agent services, Fund Services is entitled to receive a monthly fee, subject to certain minimum and out of pocket expenses.
U.S. Bank, N.A. (the “Custodian”) provides certain custodial services to the Fund. The Custodian is entitled to receive a monthly fee, subject to certain minimum and out of pocket expenses.
Quasar Distributors, LLC (the “Distributor”), a wholly-owned broker-dealer subsidiary of Foreside Financial Group, LLC, serves as the principal underwriter and distributor of the Fund’s shares pursuant to a Distribution Agreement with RBB.
For compensation amounts paid to Fund Services and the Custodian, please refer to the Statement of Operations.
3. Director and Officer Compensation
The Directors of the Company receive an annual retainer and meeting fees for meetings attended. An employee of Vigilant Compliance, LLC serves as President and Chief Compliance Officer of the Company. Vigilant Compliance, LLC is compensated for the services provided to the Company. Employees of RBB serve as Treasurer, Secretary and Director of Marketing & Business Development of the Company. They are compensated for services provided. Certain employees of Fund Services serve as officers of the Company. They are not compensated by the Fund or the Company. For Director and Officer compensation amounts, please refer to the Statement of Operations.
14
Bogle Investment Management
Small Cap Growth Fund
Notes to Financial Statements (Continued)
February 28, 2021 (Unaudited)
4. Purchases and Sales of Investment Securities
During the current fiscal period, aggregate purchases and sales of investment securities (excluding short-term investments) of the Fund were as follows:
Purchases | Sales |
$97,474,853 | $88,039,224 |
There were no purchases or sales of long-term U.S. Government securities during the current fiscal period.
5. Federal Income Tax Information
The Fund has followed the authoritative guidance on accounting for and disclosure of uncertainty in tax positions, which requires the Fund to determine whether a tax position is more likely than not to be sustained upon examination, including resolution of any related appeals or litigation processes, based on the technical merits of the position. The Fund has determined that there was no effect on the financial statements from following this authoritative guidance. In the normal course of business, the Fund is subject to examination by federal, state and local jurisdictions, where applicable, for tax years for which applicable statutes of limitations have not expired.
As of August 31, 2020, the federal tax cost and aggregate gross unrealized appreciation and depreciation of investments held by the Fund were as follows:
Federal Tax | Unrealized | Unrealized | Net |
$51,868,805 | $8,550,255 | $(3,346,268) | $5,203,987 |
Distributions to shareholders, if any, from net investment income and realized gains are determined in accordance with federal income tax regulations, which may differ from net investment income and realized gains recognized for financial reporting purposes. Accordingly, the character of distributions and composition of net assets for tax purposes may differ from those reflected in the accompanying financial statements. To the extent these differences are permanent, such amounts are reclassified within the capital accounts based on the tax treatment; temporary differences do not require such reclassification.
Permanent differences as of August 31, 2020, primarily attributable to tax equalization and PFICs, were reclassified among the following accounts:
DISTRIBUTABLE | Paid-In |
$(267) | $267 |
As of August 31, 2020, the components of distributable earnings on a tax basis were as follows:
CAPITAL LOSS | UNDISTRIBUTED | Undistributed | Unrealized | Qualified |
$(16,658) | $21,046 | $— | $5,203,987 | $— |
The differences between the book and tax basis components of distributable earnings relate principally to the timing of recognition of income and gains for federal income tax purposes. Short-term and foreign currency gains, if applicable, are reported as ordinary income for federal income tax purposes.
15
Bogle Investment Management
Small Cap Growth Fund
Notes to Financial Statements (Concluded)
February 28, 2021 (Unaudited)
The tax character of dividends and distributions paid during the fiscal years ended August 31, 2020 is as follows:
Ordinary | LONG-TERM | Total |
$— | $208,711 | $208,711 |
Dividends from net investment income and short-term capital gains are treated as ordinary income dividends for federal income tax purposes.
The Fund is permitted to carry forward capital losses for an unlimited period. Capital losses that are carried forward will retain their character as either short-term or long-term capital losses. As of August 31, 2020, the Fund had capital loss carryforwards of $16,658.
6. Subsequent Events
Management has evaluated the impact of all subsequent events on the Fund through the date the financial statements were issued, and has determined that there was the following subsequent events:
Effective March 15, 2021, Bogle has resigned as the Fund’s investment adviser and Summit serves as the Fund’s investment adviser pursuant to the Interim Advisory Agreement. The Interim Advisory Agreement will remain effective until the earlier of 150 days from March 15, 2021 or the date upon which shareholders approve the New Advisory Agreement. A special meeting of the shareholders will be held on May 6, 2021 at which shareholders will be asked to consider and approve the New Advisory Agreement.
Effective March 15, 2021, the name of the Fund has been changed to the SGI Small Cap Growth Fund.
16
Bogle Investment Management
Small Cap Growth Fund
Other Information (Unaudited)
Proxy Voting
Policies and procedures that the Fund uses to determine how to vote proxies relating to portfolio securities as well as information regarding how the Fund voted proxies relating to portfolio securities for the most recent twelve-month period ended June 30 are available without charge, upon request, by calling (877) 264-5346 and on the SEC’s website at http://www.sec.gov.
Quarterly Portfolio Schedules
The Company files its complete schedule of portfolio holdings with the SEC for the first and third fiscal quarters of each fiscal year (quarters ended November 30 and May 31) as an exhibit to its report on Form N-PORT. The Company’s Form N-PORT is available on the SEC website at http://www.sec.gov.
Approval of Interim and New Advisory Agreements
As required by the 1940 Act, the Board, including a majority of the Directors who are not “interested persons” of the Company, as that term is defined in the 1940 Act (the “Independent Directors”), considered the approval of the Interim Advisory Agreement and New Advisory Agreement (together, the “Advisory Agreements”) at a meeting of the Board held on February 10-11, 2021 (the “Meeting”). At the Meeting, the Board, including all of the Independent Directors approved the Advisory Agreements. In approving the Advisory Agreements, the Board considered information provided by Summit with the assistance and advice of counsel to the Independent Directors of the Company.
In considering the approval of the Advisory Agreements, the Board considered that Summit had demonstrated its abilities as an investment adviser while serving as an investment adviser to six other series of the Company that have commenced investment operations. In addition, the Board considered that the terms of the Interim Advisory Agreement are substantially identical to the terms of the prior investment advisory agreement between the Company, on behalf of the Fund, and Bogle (the “Prior Advisory Agreement”), except that all advisory fees will be placed in escrow pending shareholder approval of the New Advisory Agreement and certain other provisions required pursuant to Rule 15a-4 of the 1940 Act. The Board also considered that the material terms of the New Advisory Agreement are substantially similar to those of the Prior Advisory Agreement and that the advisory fee rate under the New Advisory Agreement would decrease from 1.00% to 0.95% of the Fund’s average daily net assets. In addition, the Board considered that Summit had contractually agreed to waive management fees and reimburse expenses through December 31, 2022 to the extent that Total Annual Fund Operating Expenses (excluding acquired fund fees and expenses, taxes, extraordinary expenses, brokerage commissions and interest) exceed 1.23% of the Fund’s average daily net assets. The Board considered the presentation by Summit earlier in the Meeting and the information received at or prior to the Meeting.
In deciding to approve the Advisory Agreements, the Board did not identify any single factor or group of factors as all important or controlling and considered all factors together. Moreover, not every factor was given the same weight by each Director. The material factors and conclusions that formed the basis for the Board’s determination are described below.
During the course of its deliberations, the Board, including all of the Independent Directors, reached the following conclusions regarding Summit, among others:
● | Services to be Rendered by Summit. The services to be performed by Summit under the Advisory Agreements are substantially the same as the services performed by Bogle under the Prior Advisory Agreement, and will be adequate and appropriate. |
● | Investment Advisory Fees. The fees payable by the Fund under the Interim Advisory Agreement will be the same as the fees paid by the Fund under the Prior Advisory Agreement and the fees payable by the Fund under the New Advisory Agreement will be lower than the fees paid by the Fund under the Prior Advisory Agreement. |
17
Bogle Investment Management
Small Cap Growth Fund
Other Information (Unaudited) (Concluded)
● | Total Expense Ratio. The expense ratio of the Fund will be the same under the Interim Advisory Agreement as under the Prior Advisory Agreement. The expense ratio of the Fund will be lower under the New Advisory Agreement than under the Prior Advisory Agreement. Summit has contractually agreed to waive management fees and reimburse expenses through December 31, 2022 to the extent that Total Annual Fund Operating Expenses (excluding acquired fund fees and expenses, taxes, extraordinary expenses, brokerage commissions and interest) exceed 1.23% of the Fund’s average daily net assets. Previously, Bogle had contractually agreed to waive management fees and reimburse expenses through December 31, 2021 to the extent that Total Annual Fund Operating Expenses (excluding acquired fund fees and expenses, taxes, extraordinary expenses, brokerage commissions and interest) exceed 1.25% of the Fund’s average daily net assets. |
In considering the nature, extent and quality of the services to be provided by Summit, the Directors considered oral and written reports describing the portfolio management, shareholder communication and servicing, prospective shareholder assistance and regulatory compliance services proposed to be provided by Summit to the Fund. The Directors also considered the fact that Summit has not experienced any significant legal, compliance or regulatory difficulties. Based on the information provided and the Directors’ prior experience with Summit, the Directors concluded that the nature and extent of the services that Summit will provide under the Advisory Agreements, as well as the quality of those services, would be satisfactory. In concluding that the advisory fees payable by the Fund were reasonable, the Directors reviewed reports comparing the Fund’s expense ratio and advisory fee paid by the Fund to those of other comparable mutual funds and concluded that the advisory fees proposed to be paid by the Fund under the Advisory Agreements and the Fund’s expense ratio were within the range of comparable mutual funds.
In considering the overall fairness of the New Advisory Agreement, the Directors assessed the degree to which economies of scale that would be expected to be realized if the Fund’s assets increase, whether the Fund was large enough to generate economies of scale, as well as the extent to which fee levels would reflect those economies of scale for the benefit of the Fund’s shareholders. The Directors noted that the Fund’s advisory fee structure did not contain any breakpoint reductions as the Fund’s assets grew in size, but that the feasibility of incorporating breakpoints would continue to be reviewed on a regular basis. The Directors determined that the fee schedules in the Advisory Agreements were reasonable and appropriate.
After considering all of the information, the Directors concluded that, although past performance is not a guarantee of future results, the Fund and its shareholders were likely to benefit from Summit’s investment management services. Finally, in addition to the above factors, the Directors also discussed other benefits received by Summit from its management of the Fund, including, without limitation, possible soft dollar benefits and the ability to market its advisory services for similar products in the future.
Based upon its review, the Board concluded that the Advisory Agreements, with respect to the Fund, were reasonable, fair and in the best interests of the Fund and the Fund’s shareholders, the fees provided under the Advisory Agreements were fair and reasonable and that (i) the Interim Advisory Agreement should be approved for a term ending upon the earlier of 150 days from the effective date of the Interim Advisory Agreement or the date upon which shareholder approval of the New Advisory Agreement is obtained, and (ii) the New Advisory Agreement should be approved, subject to shareholder approval, for an initial term ending August 16, 2022.
18
Bogle Investment Management
Small Cap Growth Fund
Liquidity Risk Management Program (Unaudited)
The Company has adopted and implemented a Liquidity Risk Management Program (the “Company Program”) as required by rule 22e-4 under the 1940 Act. In accordance with the Company Program, the Adviser has adopted and implemented a liquidity risk management program (the “Adviser Program” and together with the Company Program, the “Programs”) on behalf of the Fund. The Programs seek to assess, manage and review the Fund’s Liquidity Risk. “Liquidity Risk” is defined as the risk that the Fund could not meet requests to redeem shares issued by the Fund without significant dilution of remaining investors’ interest in the Fund.
The Board has appointed Vigilant Compliance, LLC (“Vigilant”) as the program administrator for the Company Program and employees of the Adviser as the program administrator for the Adviser Program. The process of monitoring and determining the liquidity of the Fund’s investments is supported by one or more third-party vendors.
At meetings held during the fiscal period, the Board and its Investment and Liquidity Risk Committee received and reviewed a written report (the “Report”) of Vigilant and the Adviser concerning the operation of the Programs for the period from June 1, 2019 to June 30, 2020 (the “Period”). The Report summarized the operation of the Programs and the information and factors considered by Vigilant and the Adviser in reviewing the adequacy and effectiveness of the implementation of the Programs with respect to the Fund. Such information and factors included, among other things: (i) the methodology used to classify the liquidity of the Fund’s portfolio investments and the Adviser’s assessment that the Fund’s strategy remained appropriate for an open-end mutual fund; (ii) analyses of the Fund’s trading environment and reasonably anticipated trading size; (iii) that the Fund held primarily highly liquid assets (investments that the Fund anticipates can be converted to cash within 3 business days or less in current market conditions without significantly changing their market value); (iv) that the Fund held a percentage of highly liquid assets above its highly liquid investment minimum at all times during the Period; (v) confirmation that the Fund did not breach the 15% maximum illiquid security threshold (investments that cannot be sold or disposed of in seven days or less in current market conditions without the sale of the investment significantly changing the market value of the investment) during the Period and the procedures for monitoring compliance with the limit; (vi) that the processes, technologies and third-party vendors used to assess, manage, and/or periodically review the Fund’s Liquidity Risk functioned appropriately during the Period; and (vii) that the Programs operated adequately during the Period. The Report also indicated that there were no material changes made to the Programs during the Period.
Based on the review, the Report concluded that the Programs were being implemented effectively and reasonably designed to assess and manage Liquidity Risk in the Fund’s portfolio.
There can be no assurance that the Company Program or the Adviser Program will achieve its objectives under all circumstances in the future. Please refer to the Fund’s prospectus for more information regarding the Fund’s exposure to liquidity risk and other risks to which it may be subject.
19
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Investment Adviser
Bogle Investment Management, L.P.
2310 Washington Street
Suite 310
Newton Lower Falls, MA 02462
Administrator and Transfer Agent
U.S. Bancorp Fund Services, LLC
P.O. Box 701
Milwaukee, WI 53201
Principal Underwriter
Quasar Distributors, LLC
111 E Kilbourn Ave, Suite 2200
Milwaukee, WI 53202
Custodian
U.S. Bank, N.A.
1555 North Rivercenter Drive, Suite 302
Milwaukee, WI 53212
Independent Registered Public Accounting Firm
PricewaterhouseCoopers LLP
Two Commerce Square, Suite 1800
2001 Market Street
Philadelphia, PA 19103-7042
Legal Counsel
Faegre Drinker Biddle & Reath LLP
One Logan Square, Suite 2000
Philadelphia, PA 19103-6996
BOG-SAR21
Boston Partners Investment Funds
of The RBB Fund, Inc.
Semi-Annual Report
February 28, 2021 (Unaudited)
Boston Partners Small Cap Value Fund II
Boston Partners Long/Short Equity Fund
Boston Partners Long/Short Research Fund
Boston Partners All-Cap Value Fund
WPG Partners Small/Micro Cap Value Fund
Boston Partners Global Equity Fund
Boston Partners Global Long/Short Fund
Boston Partners Emerging Markets Dynamic Equity Fund
(formerly Boston Partners Emerging Markets Long/Short Fund)
Boston Partners Emerging Markets Fund
Boston Partners Global Equity Advantage Fund
BOSTON PARTNERS INVESTMENT FUNDS
Table of Contents
BOSTON PARTNERS INVESTMENT FUNDS
Dear Shareholder,
Stock market results for the six-month period ended February 28, 2021 began with a bang as the S&P 500 Index (“S&P 500”) returned 7.19% during August 2020, its best return for that month since 1984. The rally that month was fueled by signs of progress towards a “CARES 2” act out of Congress, more evidence of a “V” shaped economic recovery, encouraging news regarding a coronavirus vaccine, a lower dollar, a blowout Q2 earnings season and a dovish shift in Federal Reserve (“Fed”) policy regarding inflation and employment targets. While August began with a Q3 GDP forecast of 11.9% from the Atlanta Fed’s GDPNow model, it ended with a Q3 GDP projection of 28.9%, as 96 out of 122 (79%) U.S. economic releases reported during the month beat consensus expectations.
While the next two months saw losses for the S&P, largely as the result of a second wave of coronavirus infections that triggered activity restrictions and lockdowns, November brought four consecutive weeks of positive vaccine news from four different pharmaceutical companies, a Q3 earnings season that saw 84% of the companies that comprise the S&P 500 beating consensus estimates and relief from the completion of the presidential election cycle with Joe Biden winning both the popular and electoral college vote.
December brought the passing of the $908 billion “CARES 2” act and, despite a spike in volatility, the S&P 500 closed the year at a record high, its 33rd of 2020.
2021 began with the market under pressure from a series of negative headlines that included a “fear-of-inflation” spike in interest rates, a GOP challenge to additional fiscal stimulus and repercussions from a new twist on an old form of stock manipulation by a group of retail investors that The Wall Street Journal labeled as “The Reddit Wolves of Wall Street”, but ended on a positive note as vaccination efforts picked up steam, infections fell and economic and earnings growth remained robust.
Over the entire six-month period ended in February, the S&P 500 gained 9.74% on a total return basis (20.84% annualized), though the bulk of that return (9.15% or 94%) occurred after the November 9th Pfizer vaccine announcement.
Ten out of the eleven Global Industry Classification (“GIC”) sectors comprising the S&P 500 posted gains over the six-month period, led by Energy, which advanced by 39.04%, as the price of oil increased by 44% given the combination of increasing demand and a drop in supply due to production cuts by the Organization of the Petroleum Exporting Countries (OPEC).
Given the strength of the economic backdrop, growth became less of a concern for investors, which led to a rotation from stocks, sectors and styles with more defensive characteristics to those with greater cyclical sensitivity and lower valuations. Over the six-month period, the large-cap Russell 1000 Value Index, the Russell Midcap Value Index and the small-cap Russell 2000 Value Index beat their respective Growth counterparts by an average of 10.15% across the three capitalization segments, the largest margin of outperformance since the six-month period ended on August 30, 2002.
Looking Ahead
With COVID-related infections, hospitalizations and deaths down by 50% or more from recent peaks to levels last seen during the summer, and with the number of vaccination shots administered nearing the targeted two million doses per day (even before the shipment of Johnson & Johnson’s newly approved vaccine), states have begun to relax virus-related restrictions on activities ranging from schooling to attending sporting events in person. Correspondingly, high frequency alternative data sources like the Google Community Mobility Report and Apple Mobility Trends are reporting an increase in all types of activities by individuals. When coupled with traditional measures of economic activity that continue to surpass consensus expectations, forecasts for U.S. GDP growth have been on the rise. As recently as February 11th, the Atlanta Fed’s GDPNow model was forecasting 4.5% growth for Q1 GDP, but after incorporating a host of newly-released data, the model now anticipates growth closer to 10% for the quarter. The last time the U.S. experienced that type of growth under more normal circumstances was 1978. Bloomberg’s Survey of Economists’ forecasts for 2021 GDP has risen from 4.1% to 5.5% in the last month alone.
Likewise, consensus expectations for 2021 earnings-per-share growth for the S&P 500 have risen as well, and now stand at over 24%, having started the year at 22%.
There is a misguided belief that an increase in inflation and/or an increase in interest rates is bad for stock returns, but more recent data would suggest otherwise.
Over the last thirty-years, there have been seven periods of a cyclical rise in interest rates, the shortest lasting 8 months, and the longest 37 months (average: 22 months). During each of those periods, the S&P 500 was able to produce a positive return on an annualized basis, from a low of 1.8% to a high of 28.3%, with an average return of 17% across all periods.
Over the same time frame, there have been six periods of a cyclical rise in inflation, the shortest lasting 12 months, and the longest 39 months (average: 26 months). In five-out-of-six of those periods, the S&P 500 posted a positive return, averaging 12.3% on an annualized basis. The lone down period produced an annualized loss of -2.7% over 21 months.
It is true that higher rates and/or inflation do tend to compress price/earnings (“P/E”) multiples, but usually only at higher levels. For example, since 1950, the sweet spot for higher S&P 500 P/E multiples has generally been when the yield of the 10-year Treasury falls between 1% and 3%, with no significant multiple compression occurring until rates exceed 5%. Likewise, the highest P/E multiples usually occur with inflation between 1% and 4% and do not suffer significantly until the Consumer Price Index is increasing by 6% or more, a level where single-digit P/E multiples are more likely to be found.
Even if rates and/or inflation continue to increase modestly this year, we expect that earnings growth should act as a ballast and continue to support higher equity prices.
Semi-Annual Report 2021 | 1
BOSTON PARTNERS INVESTMENT FUNDS
DEFINITIONS (UNAUDITED)
Past Performance is not a guarantee of future results.
Opinions expressed herein are as of February 28, 2021 and are subject to change at any time, are not guaranteed and should not be considered investment advice. This report is for the information of shareholders of the Funds. It may also be used as sales literature when preceded or accompanied by the current prospectus.
Basis point refers to a common unit of measure for interest rates and other percentages in finance. One basis point is equal to 1/100th of 1%, or 0.01%, or 0.0001.
Beta or beta coefficient is a measure of a stock or portfolio’s level of systematic and unsystematic risk based on in its prior performance. In general, a higher beta indicates a more volatile security in relation to its benchmark and lower beta indicates a less volatile security in relation to its benchmark.
Bloomberg Barclays US Aggregate Bond Index “US Aggregate Bond Index” is a broad base bond market index consisting of approximately 17,000 bonds, representing intermediate term investment grade bonds traded in the United States.
Consumer Price Index: An index of the variation in prices paid by typical consumers for retail goods and other items.
Earnings per share: Is the portion of a company’s profit allocated to each outstanding share of common stock.
Free cash flow yield is an indicator that compare free cash flow and market cap. It is a representation of the income created by an investment.
Growth stocks typically are more volatile than value stocks; however, value stocks generally have a lower expected growth rate in earnings and sales.
High Dividend: The MSCI High Dividend Yield Factor aims to capture the high dividend yield equity opportunity set within a standard MSCI parent index (U.S.) by including only securities that offer a higher than average dividend yield (i.e. at least 30% higher) relative to that of the parent index and that pass dividend sustainability and persistence screens.
JP Morgan Emerging Markets Currency Index is a market-cap weighted index of 10 emerging market currencies versus the US dollar.
Mergers and Acquisitions (M&A) is a general term that refers to the consolidation of companies or assets through various types of financial transactions.
Momentum: High Momentum companies are characterized in the literature as companies with high price performance in the recent history, up to 12-months. High Momentum companies tend to continue their high price performance over the near term, typically over a 6 – 12 month period.
MSCI EAFE (EAFE) Index is a stock market index that is designed to measure the equity market performance of developed markets outside of the U.S. & Canada. It is maintained by MSCI Inc., a provider of investment decision support tools; the EAFE acronym stands for Europe, Australasia and Far East.
MSCI Emerging Markets (EM) Index is an index created by Morgan Stanley Capital International (MSCI) designed to measure equity market performance in global emerging markets.
MSCI World Index is an unmanaged index that measures the equity market performance of developed markets.
MSCI World Growth Index captures large and mid-cap securities exhibiting overall growth style characteristics across 23 Developed Markets Countries.
MSCI World Value NR Index is an index tracking value stocks, which are stocks with prices lower than their intrinsic values.
A net return index includes reinvesting the after tax dividends. A gross return index includes reinvesting the before tax dividends. In general, a net return index should under perform a gross return index.
OROA: Operating Return on Operating Assets
P/B: Price/Book: A valuation ratio of a company’s current share price compared to its book value.
P/E: Price/Earnings: A valuation ratio of a company’s current share price compared to its per-share earnings.
Quality has long been established as an investment approach, dating back to Benjamin Graham, but it is less well accepted as a factor, especially when compared with value, size, yield, momentum and low volatility. By “factor”, we mean any characteristic that helps explain the risk and returns of a group of securities.
ROE: Return on Equity: measures a corporation’s profitability by revealing how much profit a company generates with the money invested.
Russell 1000® Index measures the performance of the 1,000 largest companies in the Russell 3000® Index, which represents approximately 92% of the total market capitalization of the Russell 3000 Index. You cannot invest directly in an index.
Russell 2000® Index measures the performance of the 2,000 smallest companies in the Russell 3000® Index, which represents approximately 8% of the total market capitalization of the Russell 3000®Index and is considered representative of small-cap stocks.
Russell 2000® Growth Index is an unmanaged index that measures the performance of Russell 2000 companies with higher price-to-
2 | Semi-Annual Report 2021
BOSTON PARTNERS INVESTMENT FUNDS
DEFINITIONS (CONCLUDED) (UNAUDITED)
book ratios and higher forecasted growth values.
Russell 2000® Value Index is an unmanaged index that measures the performance of the small-cap value segment of the U.S. equity universe. It includes those Russell 2000® Index companies with lower price-to-book ratios and lower forecasted growth values.
Russell 3000® Index measures the performance of the largest 3,000 U.S. companies representing approximately 98% of the investable U.S. equity market.
Russell 3000® Growth Index is a market capitalization weighted index based on the Russell 3000® Index. It includes companies that display signs of above average growth.
Russell 3000® Value Index is an unmanaged index that measures the performance of the broad value segment of the U.S. equity value universe. It includes those Russell 3000® Index companies with lower price-to-book ratios and lower forecasted growth values.
The Russell Midcap® Index measures performance of the 800 smallest companies in the Russell 1000® Index.
The S&P 500® Index is a market–capitalization–weighted index of 500 U.S. stocks chosen for market size, liquidity and industry grouping, among other factors. The S&P 500® Index is designed to be a leading indicator of U.S. equities and is meant to reflect the risk/return characteristics of the large cap universe. The S&P 500® Index was first introduced on January 1, 1923, though expanded to 500 stocks on March 4, 1957.
Trade Weighted U.S. Dollar Index: Major Currencies is a weighted average of the foreign exchange value of the U.S. dollar against a subset of the broad index currencies that circulate widely outside the country of issue. Major currencies index includes the Euro Area, Canada, Japan, United Kingdom, Switzerland, Australia, and Sweden.
Semi-Annual Report 2021 | 3
BOSTON PARTNERS INVESTMENT FUNDS
AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIODS ENDED FEBRUARY 28, 2021 (UNAUDITED)
AVERAGE ANNUAL | ||||||||||||||||||||
SIX MONTH | 1 YEAR | 5 YEAR | 10 YEAR | SINCE INCEPTION | ||||||||||||||||
Boston Partners Small Cap Value Fund II | ||||||||||||||||||||
Institutional Class | 37.07 | % | 30.68 | % | 12.11 | % | 9.57 | % | N/A | |||||||||||
Investor Class | 36.86 | % | 30.37 | % | 11.81 | % | 9.30 | % | N/A | |||||||||||
Russell 2000® Value Index | 46.42 | % | 41.06 | % | 14.22 | % | 9.65 | % | N/A | |||||||||||
Russell 2000® Index(1) | 41.69 | % | 51.00 | % | 17.92 | % | 11.86 | % | N/A |
(1) | This is not a primary benchmark of the Fund. Results of the index performance are presented for general comparative purposes. |
Boston Partners Long/Short Equity Fund | ||||||||||||||||||||
Institutional Class | 9.19 | % | 7.21 | % | 1.67 | % | 3.77 | % | N/A | |||||||||||
Investor Class | 9.02 | % | 6.90 | % | 1.41 | % | 3.51 | % | N/A | |||||||||||
S&P 500® Index | 9.74 | % | 31.29 | % | 16.82 | % | 13.43 | % | N/A | |||||||||||
Boston Partners Long/Short Research Fund | ||||||||||||||||||||
Institutional Class | 11.34 | % | 2.00 | % | 2.36 | % | 4.45 | % | N/A | |||||||||||
S&P 500 Index | 9.74 | % | 31.29 | % | 16.82 | % | 13.43 | % | N/A | |||||||||||
Investor Class | 11.15 | % | 1.76 | % | 2.10 | % | 4.19 | % | N/A | |||||||||||
S&P 500® Index | 9.74 | % | 31.29 | % | 16.82 | % | 13.43 | % | N/A | |||||||||||
Boston Partners All-Cap Value Fund | ||||||||||||||||||||
Institutional Class | 22.51 | % | 26.48 | % | 12.61 | % | 11.07 | % | N/A | |||||||||||
Investor Class | 22.36 | % | 26.18 | % | 12.33 | % | 10.81 | % | N/A | |||||||||||
Russell 3000® Value Index | 20.72 | % | 23.34 | % | 12.17 | % | 10.33 | % | N/A | |||||||||||
Russell 3000® Index(1) | 13.45 | % | 35.33 | % | 17.41 | % | 13.44 | % | N/A |
(1) | This is not a primary benchmark of the Fund. Results of the index performance are presented for general comparative purposes. |
WPG Partners Small/Micro Cap Value Fund | ||||||||||||||||||||
Institutional Class | 45.92 | % | 39.61 | % | 9.52 | % | 5.66 | % | N/A | |||||||||||
Russell 2000® Value Index | 46.42 | % | 41.06 | % | 14.22 | % | 9.65 | % | N/A | |||||||||||
Boston Partners Global Equity Fund | ||||||||||||||||||||
Institutional Class(1) | 25.05 | % | 25.71 | % | 9.81 | % | N/A | 9.92 | % | |||||||||||
MSCI World Index – Net Return | 11.73 | % | 29.34 | % | 14.10 | % | N/A | 11.69 | %(2) |
(1) | Inception date of the fund was December 30, 2011. |
(2) | Index Performance is from inception date of the Class only and is not the inception date of the index itself. |
Boston Partners Global Long/Short Fund | ||||||||||||||||||||
Institutional Class(1) | 15.41 | % | 12.96 | % | 2.36 | % | N/A | 2.16 | % | |||||||||||
MSCI World Index – Net Return | 11.73 | % | 29.34 | % | 14.10 | % | N/A | 9.20 | %(3) | |||||||||||
Investor Class(2) | 15.19 | % | 12.61 | % | 2.08 | % | N/A | 2.20 | % | |||||||||||
MSCI World Index – Net Return | 11.73 | % | 29.34 | % | 14.10 | % | N/A | 9.71 | %(3) |
(1) | Inception date of the class was December 31, 2013. |
(2) | Inception date of the class was April 11, 2014. |
(3) | Index Performance is from inception date of the Class only and is not the inception date of the index itself. |
Boston Partners Emerging Markets Dynamic Equity Fund (formerly Boston Partners Emerging Markets Long/Short Fund) | ||||||||||||||||||||
Institutional Class(1) | 13.37 | % | 22.18 | % | 8.77 | % | N/A | 6.03 | % | |||||||||||
MSCI Emerging Markets Index – Net Return | 22.32 | % | 36.05 | % | 15.24 | % | N/A | 7.66 | %(2) |
(1) | Inception date of the fund was March 1, 2015. The Fund commenced operations as a series of The RBB Fund, Inc. on December 15, 2015, when substantially all of the assets of Boston Partners Emerging Market Long/Short Equity (the “Prior Account”) transferred to the Fund. The Fund is managed in all material respects in a manner equivalent to the management of the Prior Account. Accordingly, the performance information shown above for periods prior to December 15, 2015 is that of the Prior Account. |
(2) | Index Performance is from inception date of the Class only and is not the inception date of the index itself. |
Boston Partners Emerging Markets Fund | ||||||||||||||||||||
Institutional Class(1) | 24.54 | % | 33.84 | % | N/A | N/A | 7.84 | % | ||||||||||||
MSCI Emerging Markets Index – Net Return | 22.32 | % | 36.05 | % | N/A | N/A | 7.68 | %(2) |
(1) | Inception date of the fund was October 17, 2017. |
(2) | Index Performance is from inception date of the Class only and is not the inception date of the index itself. |
4 | Semi-Annual Report 2021
BOSTON PARTNERS INVESTMENT FUNDS
AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIODS ENDED FEBRUARY 28, 2021 (CONCLUDED) (UNAUDITED)
AVERAGE ANNUAL | ||||||||||||||||||||
SIX MONTH | 1 YEAR | 5 YEAR | 10 YEAR | SINCE INCEPTION | ||||||||||||||||
Boston Partners Global Equity Advantage Fund | ||||||||||||||||||||
Institutional Class(1) | 23.79 | % | 26.72 | % | N/A | N/A | 14.21 | % | ||||||||||||
MSCI World Index – Net Return | 11.73 | % | 29.34 | % | N/A | N/A | 19.02 | %(2) |
1) | Inception date of the fund was May 29, 2019. |
2) | Index Performance is from inception date of the Class only and is not the inception date of the index itself. |
Performance quoted is past performance and does not guarantee future results. Investment return and principal value of an investment will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. Boston Partners Global Investors, Inc. waived a portion of its advisory fee and agreed to reimburse a portion of each Fund’s operating expenses, if necessary, to maintain certain expense ratios as set forth in the notes to the financial statements. Total returns shown include fee waivers, expense reimbursements and expense recoupment, if any; total returns would have been lower had there been no assumption of fees and expenses in excess of expense limitations. Each Fund’s annual operating expense ratios below are as stated in the current prospectuses. These ratios may differ from the actual expenses incurred by a Fund for the period covered by this report. Returns shown include the reinvestment of all dividends and other distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. Current performance may be lower or higher than the returns quoted. Visit www.boston-partners.com for returns updated daily. Call 1-888-261-4073 for returns current to the most recent month-end.
Investors should note that the Funds are actively managed mutual funds while the indices are unmanaged, do not incur expenses and are not available for investment.
Small company stocks are generally riskier than large company stocks due to greater volatility and less liquidity.
Value investing involves the risk that a fund’s investment in companies whose securities are believed to be undervalued, relative to their underlying profitability, will not appreciate in value as anticipated.
A long/short strategy uses short sales, which theoretically involve unlimited loss potential since the market price of securities sold short may continuously increase. Increased leverage may cause a fund’s net asset value to be disproportionately volatile. The strategy also may generate high portfolio turnover, which may result in higher costs and capital gains.
International investing is subject to special risks including, but not limited to, currency risk associated with securities denominated in other than the U.S. dollar, which may be affected by fluctuations in currency exchange rates, political, social or economic instability, and differences in taxation, auditing and other financial practices. Investment in emerging market securities may increase these risks.
The following are the Funds’ gross annual operating expense ratios as stated in the most recent prospectuses, as supplemented, for Institutional Class and Investor Class, respectively, dated December 31, 2020:
INSTITUTIONAL CLASS | INVESTOR CLASS | |||||||
Boston Partners Small Cap Value Fund II | 1.09 | % | 1.34 | % | ||||
Boston Partners Long/Short Equity Fund | 2.74 | %(1) | 2.99 | %(1) | ||||
Boston Partners Long/Short Research Fund | 2.21 | %(1) | 2.46 | %(1) | ||||
Boston Partners All-Cap Value Fund | 0.84 | % | 1.09 | % | ||||
WPG Partners Small/Micro Cap Value Fund | 1.31 | % | N/A | |||||
Boston Partners Global Equity Fund | 1.22 | % | 1.47 | % | ||||
Boston Partners Global Long/Short Fund | 2.46 | %(1) | 2.71 | %(1) | ||||
Boston Partners Emerging Markets Dynamic Equity Fund | 2.19 | %(1) | N/A | |||||
Boston Partners Emerging Markets Fund | 2.39 | % | N/A | |||||
Boston Partners Global Equity Advantage Fund | 2.17 | % | N/A |
1 | Includes interest and/or dividend expense on short sales. |
Semi-Annual Report 2021 | 5
BOSTON PARTNERS INVESTMENT FUNDS
FEBRUARY 28, 2021 (UNAUDITED)
As a shareholder of the Fund(s), you incur two types of costs: (1) transaction costs, if any, and (2) ongoing costs, including management fees, distribution and/or service (12b-1) fees, and other Fund expenses. These examples are intended to help you understand your ongoing costs (in dollars) of investing in the Fund(s) and to compare these costs with the ongoing costs of investing in other mutual funds.
These examples are based on an investment of $1,000 invested at the beginning of the six-month period from September 1, 2020 through February 28, 2021, and held for the entire period.
ACTUAL EXPENSES
The first line of the accompanying table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
HYPOTHETICAL EXAMPLES FOR COMPARISON PURPOSES
The second line of the accompanying table provides information about hypothetical account values and hypothetical expenses based on a Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund(s) and other funds. To do so, compare these 5% hypothetical examples with the 5% hypothetical examples that appear in the shareholder reports of other funds.
Please note that the expenses shown in the accompanying table are meant to highlight your ongoing costs only and do not reflect any transactional costs, if any. Therefore, the second line of the accompanying table is useful in comparing ongoing costs only and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
BEGINNING ACCOUNT VALUE SEPTEMBER 1, 2020 | ENDING ACCOUNT VALUE FEBRUARY 28, 2021 | EXPENSES PAID DURING PERIOD* | ANNUALIZED EXPENSE RATIO | ACTUAL SIX-MONTH TOTAL INVESTMENT RETURN FOR THE FUND | ||||||||||||||||
Boston Partners Small Cap Value Fund II | ||||||||||||||||||||
Institutional | ||||||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,370.70 | $ | 5.82 | 0.99 | % | 37.07% | |||||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,019.89 | 4.96 | 0.99 | % | N/A | ||||||||||||||
Investor | ||||||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,368.60 | $ | 7.28 | 1.24 | % | 36.86% | |||||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,018.65 | 6.21 | 1.24 | % | N/A | ||||||||||||||
Boston Partners Long/Short Equity Fund | ||||||||||||||||||||
Institutional | ||||||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,091.90 | $ | 13.54 | 2.61 | %(1) | 9.19% | |||||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,011.85 | 13.02 | 2.61 | %(1) | N/A | ||||||||||||||
Investor | ||||||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,090.20 | $ | 14.82 | 2.86 | %(1) | 9.02% | |||||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,010.61 | 14.26 | 2.86 | %(1) | N/A | ||||||||||||||
Boston Partners Long/Short Research Fund | ||||||||||||||||||||
Institutional | ||||||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,113.40 | $ | 11.79 | 2.25 | %(1) | 11.34% | |||||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,013.64 | 11.23 | 2.25 | %(1) | N/A | ||||||||||||||
Investor | ||||||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,111.50 | $ | 13.09 | 2.50 | %(1) | 11.15% | |||||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,012.40 | 12.47 | 2.50 | %(1) | N/A | ||||||||||||||
Boston Partners All-Cap Value Fund | ||||||||||||||||||||
Institutional | ||||||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,225.10 | $ | 4.41 | 0.80 | % | 22.51% | |||||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,020.83 | 4.01 | 0.80 | % | �� | N/A | |||||||||||||
Investor | ||||||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,223.60 | $ | 5.79 | 1.05 | % | 22.36% | |||||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,019.59 | 5.26 | 1.05 | % | N/A |
6 | Semi-Annual Report 2021
BOSTON PARTNERS INVESTMENT FUNDS
FUND EXPENSE EXAMPLES (CONCLUDED)
FEBRUARY 28, 2021 (UNAUDITED)
BEGINNING ACCOUNT VALUE SEPTEMBER 1, 2020 | ENDING ACCOUNT VALUE FEBRUARY 28, 2021 | EXPENSES PAID DURING PERIOD* | ANNUALIZED EXPENSE RATIO | ACTUAL SIX-MONTH TOTAL INVESTMENT RETURN FOR THE FUND | ||||||||||||||||
WPG Partners Small/Micro Cap Value Fund | ||||||||||||||||||||
Institutional | ||||||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,459.20 | $ | 6.71 | 1.10 | % | 45.92% | |||||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,019.34 | 5.51 | 1.10 | % | N/A | ||||||||||||||
Boston Partners Global Equity Fund | ||||||||||||||||||||
Institutional | ||||||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,250.50 | $ | 5.30 | 0.95 | % | 25.05% | |||||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,020.08 | 4.76 | 0.95 | % | N/A | ||||||||||||||
Boston Partners Global Long/Short Fund | ||||||||||||||||||||
Institutional | ||||||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,154.10 | $ | 12.28 | 2.30 | %(1) | 15.41% | |||||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,013.39 | 11.48 | 2.30 | %(1) | N/A | ||||||||||||||
Investor | ||||||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,151.90 | $ | 13.61 | 2.55 | %(1) | 15.19% | |||||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,012.15 | 12.72 | 2.55 | %(1) | N/A | ||||||||||||||
Boston Partners Emerging Markets | ||||||||||||||||||||
Dynamic Equity Fund | ||||||||||||||||||||
Institutional | ||||||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,133.70 | $ | 10.85 | 2.05 | %(1) | 13.37% | |||||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,014.63 | 10.24 | 2.05 | %(1) | N/A | ||||||||||||||
Boston Partners Emerging Markets Fund | ||||||||||||||||||||
Institutional | ||||||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,245.40 | $ | 5.57 | 1.00 | % | 24.54% | |||||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,019.84 | 5.01 | 1.00 | % | N/A | ||||||||||||||
Boston Partners Global Equity Advantage Fund | ||||||||||||||||||||
Institutional | ||||||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,237.90 | $ | 5.83 | 1.05 | % | 23.79% | |||||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,000.00 | 5.21 | 1.05 | % | N/A |
* | Expenses are equal to each Fund’s annualized six-month expense ratios in the table above, which include waived fees or reimbursed expenses, multiplied by the average account value over the period, multiplied by the number of days (181) in the most recent fiscal half-year, then divided by 365 to reflect the one-half year period. |
(1) | These amounts include dividends paid on securities which the Funds have sold short (“Short-sale dividends”) and related interest expense. The amount of short-sale dividends and related interest expense was 0.13% of average net assets for the six-month period ended February 28, 2021 for both the Institutional Class and Investor Class of the Boston Partners Long/Short Equity Fund, 0.83% of average net assets for the Institutional Class and Investor Class of the Boston Partners Long/Short Research Fund, 0.50% of average net assets of the Institutional Class and Investor Class of the Boston Partners Global Long/Short Fund and 0.37% of average net assets for the Institutional Class of the Boston Partners Emerging Markets Dynamic Equity Fund. |
Semi-Annual Report 2021 | 7
BOSTON PARTNERS INVESTMENT FUNDS | FEBRUARY 28, 2021 (UNAUDITED) |
Portfolio Holdings Summary Tables
BOSTON PARTNERS
SMALL CAP VALUE FUND II
SECURITY TYPE/SECTOR CLASSIFICATION | % OF NET ASSETS | VALUE | ||||||
COMMON STOCK | ||||||||
Financials | 28.7 | % | $ | 228,002,693 | ||||
Industrials | 16.7 | 132,436,341 | ||||||
Information Technology | 14.6 | 115,786,163 | ||||||
Consumer Discretionary | 11.2 | 89,165,973 | ||||||
Energy | 6.9 | 54,656,208 | ||||||
Materials | 6.4 | 51,119,764 | ||||||
Health Care | 6.2 | 49,652,193 | ||||||
Consumer Staples | 3.2 | 25,480,520 | ||||||
Communication Services | 2.0 | 16,191,816 | ||||||
Real Estate | 1.7 | 13,669,323 | ||||||
Utilities | 0.3 | 2,374,168 | ||||||
RIGHTS | 0.0 | — | ||||||
INVESTMENTS PURCHASED WITH PROCEEDS FROM SECURITIES LENDING COLLATERAL | 7.6 | 60,212,726 | ||||||
SHORT-TERM INVESTMENTS | 3.4 | 26,967,112 | ||||||
LIABILITIES IN EXCESS OF OTHER ASSETS | (8.9 | ) | (70,458,955 | ) | ||||
NET ASSETS | 100.0 | % | $ | 795,256,045 |
Portfolio holdings are subject to change at any time.
BOSTON PARTNERS
LONG/SHORT EQUITY FUND
SECURITY TYPE/SECTOR CLASSIFICATION | % OF NET ASSETS | VALUE | ||||||
LONG POSITIONS: | ||||||||
COMMON STOCK | ||||||||
Information Technology | 22.0 | % | $ | 12,594,010 | ||||
Financials | 18.3 | 10,512,122 | ||||||
Health Care | 16.3 | 9,334,372 | ||||||
Industrials | 13.4 | 7,666,445 | ||||||
Consumer Discretionary | 11.4 | 6,542,445 | ||||||
Energy | 6.2 | 3,564,987 | ||||||
Real Estate | 4.8 | 2,766,230 | ||||||
Materials | 3.1 | 1,755,612 | ||||||
Communication Services | 1.9 | 1,063,971 | ||||||
Consumer Staples | 0.7 | 433,335 | ||||||
INVESTMENTS PURCHASED WITH PROCEEDS FROM SECURITIES LENDING COLLATERAL | 12.4 | 7,101,726 | ||||||
SHORT-TERM INVESTMENTS | 0.3 | 173,179 | ||||||
SHORT POSITIONS: | ||||||||
COMMON STOCK | ||||||||
Information Technology | (16.7 | ) | (9,598,953 | ) | ||||
Consumer Discretionary | (10.6 | ) | (6,065,851 | ) | ||||
Health Care | (7.8 | ) | (4,450,645 | ) | ||||
Communication Services | (3.6 | ) | (2,053,831 | ) | ||||
Industrials | (3.5 | ) | (2,000,897 | ) | ||||
Consumer Staples | (1.5 | ) | (836,739 | ) | ||||
Financials | (1.0 | ) | (550,328 | ) | ||||
Real Estate | (0.6 | ) | (364,537 | ) | ||||
Energy | (0.3 | ) | (180,874 | ) | ||||
Utilities | (0.2 | ) | (119,982 | ) | ||||
Materials | (0.0 | ) | (2,865 | ) |
BOSTON PARTNERS
LONG/SHORT EQUITY FUND (continued)
SECURITY TYPE/SECTOR CLASSIFICATION | % OF NET ASSETS | VALUE | ||||||
EXCHANGE TRADED FUNDS | (0.8 | ) | $ | (483,030 | ) | |||
OPTIONS WRITTEN | (0.4 | ) | (222,222 | ) | ||||
OTHER ASSETS IN EXCESS OF LIABILITIES | 36.2 | 20,746,495 | ||||||
NET ASSETS | 100.0 | % | $ | 57,324,175 |
Portfolio holdings are subject to change at any time.
BOSTON PARTNERS
LONG/SHORT RESEARCH FUND
SECURITY TYPE/SECTOR CLASSIFICATION | % OF NET ASSETS | VALUE | ||||||
LONG POSITIONS: | ||||||||
COMMON STOCK | ||||||||
Financials | 16.0 | % | $ | 127,335,870 | ||||
Industrials | 13.6 | 107,886,362 | ||||||
Information Technology | 12.8 | 101,729,048 | ||||||
Consumer Discretionary | 12.8 | 101,481,833 | ||||||
Health Care | 12.1 | 96,470,954 | ||||||
Energy | 10.3 | 81,618,325 | ||||||
Communication Services | 7.9 | 62,788,745 | ||||||
Materials | 5.8 | 45,861,402 | ||||||
Consumer Staples | 4.7 | 37,540,334 | ||||||
Utilities | 0.3 | 2,486,130 | ||||||
Real Estate | 0.2 | 2,074,911 | ||||||
WARRANTS | 0.0 | 29,370 | ||||||
SHORT-TERM INVESTMENTS | 0.6 | 4,872,748 | ||||||
SHORT POSITIONS: | ||||||||
COMMON STOCK | ||||||||
Financials | (8.6 | ) | (68,714,613 | ) | ||||
Industrials | (5.8 | ) | (45,949,917 | ) | ||||
Materials | (5.2 | ) | (41,193,350 | ) | ||||
Consumer Discretionary | (4.5 | ) | (36,031,752 | ) | ||||
Information Technology | (3.9 | ) | (30,725,211 | ) | ||||
Consumer Staples | (3.0 | ) | (23,951,977 | ) | ||||
Health Care | (2.6 | ) | (20,440,417 | ) | ||||
Energy | (2.2 | ) | (17,863,666 | ) | ||||
Communication Services | (1.5 | ) | (11,558,067 | ) | ||||
Real Estate | (0.5 | ) | (4,399,651 | ) | ||||
OTHER ASSETS IN EXCESS OF LIABILITIES | 40.7 | 323,514,257 | ||||||
NET ASSETS | 100.0 | % | $ | 794,861,668 |
Portfolio holdings are subject to change at any time.
The accompanying notes are an integral part of the financial statements.
8 | Semi-Annual Report 2021
BOSTON PARTNERS INVESTMENT FUNDS | FEBRUARY 28, 2021 (UNAUDITED) |
Portfolio Holdings Summary Tables (continued)
BOSTON PARTNERS
ALL-CAP VALUE FUND
SECURITY TYPE/SECTOR CLASSIFICATION | % OF NET ASSETS | VALUE | ||||||
COMMON STOCK | ||||||||
Financials | 23.9 | % | $ | 371,814,627 | ||||
Health Care | 22.9 | 356,814,201 | ||||||
Industrials | 14.6 | 227,957,729 | ||||||
Information Technology | 11.3 | 176,245,164 | ||||||
Consumer Discretionary | 8.5 | 131,644,161 | ||||||
Energy | 5.9 | 91,248,080 | ||||||
Communication Services | 5.0 | 78,427,669 | ||||||
Materials | 4.7 | 73,261,007 | ||||||
Consumer Staples | 1.7 | 26,399,191 | ||||||
Utilities | 0.4 | 5,642,855 | ||||||
RIGHTS | 0.0 | — | ||||||
INVESTMENTS PURCHASED WITH PROCEEDS FROM SECURITIES LENDING COLLATERAL | 4.5 | 70,344,238 | ||||||
SHORT-TERM INVESTMENTS | 0.9 | 13,856,702 | ||||||
LIABILITIES IN EXCESS OF OTHER ASSETS | (4.3 | ) | (66,580,558 | ) | ||||
NET ASSETS | 100.0 | % | $ | 1,557,075,066 |
Portfolio holdings are subject to change at any time.
WPG PARTNERS
SMALL/MICRO CAP VALUE FUND
SECURITY TYPE/SECTOR CLASSIFICATION | % OF NET ASSETS | VALUE | ||||||
COMMON STOCK | ||||||||
Financials | 24.9 | % | $ | 6,360,829 | ||||
Industrials | 16.6 | 4,231,390 | ||||||
Materials | 12.7 | 3,237,852 | ||||||
Real Estate | 9.6 | 2,461,412 | ||||||
Energy | 8.3 | 2,114,434 | ||||||
Information Technology | 7.9 | 2,009,271 | ||||||
Consumer Discretionary | 6.9 | 1,762,527 | ||||||
Consumer Staples | 4.1 | 1,039,955 | ||||||
Utilities | 3.6 | 921,139 | ||||||
Health Care | 2.6 | 680,293 | ||||||
Communication Services | 0.6 | 158,685 | ||||||
WARRANTS | 0.0 | 15 | ||||||
INVESTMENTS PURCHASED WITH PROCEEDS FROM SECURITIES LENDING COLLATERAL | 12.1 | 3,077,226 | ||||||
SHORT-TERM INVESTMENTS | 2.9 | 749,768 | ||||||
LIABILITIES IN EXCESS OF OTHER ASSETS | (12.8 | ) | (3,279,284 | ) | ||||
NET ASSETS | 100.0 | % | $ | 25,525,512 |
Portfolio holdings are subject to change at any time.
BOSTON PARTNERS
GLOBAL EQUITY FUND
SECURITY TYPE/SECTOR CLASSIFICATION | % OF NET ASSETS | VALUE | ||||||
COMMON STOCK | ||||||||
Industrials | 20.2 | % | $ | 32,600,540 | ||||
Consumer Discretionary | 16.6 | 26,770,165 | ||||||
Financials | 16.1 | 26,063,919 | ||||||
Information Technology | 15.1 | 24,365,284 | ||||||
Materials | 12.1 | 19,552,013 | ||||||
Health Care | 8.5 | 13,738,329 | ||||||
Energy | 5.8 | 9,356,925 | ||||||
Communication Services | 2.3 | 3,676,042 | ||||||
Utilities | 1.1 | 1,752,962 | ||||||
Consumer Staples | 0.7 | 1,220,976 | ||||||
PREFERRED STOCK | 0.5 | 774,694 | ||||||
INVESTMENTS PURCHASED WITH PROCEEDS FROM SECURITIES LENDING COLLATERAL | 6.6 | 10,613,155 | ||||||
SHORT-TERM INVESTMENTS | 0.3 | 452,696 | ||||||
LIABILITIES IN EXCESS OF OTHER ASSETS | (5.9 | ) | (9,495,962 | ) | ||||
NET ASSETS | 100.0 | % | $ | 161,441,738 |
Portfolio holdings are subject to change at any time.
BOSTON PARTNERS
GLOBAL LONG/SHORT FUND
SECURITY TYPE/SECTOR CLASSIFICATION | % OF NET ASSETS | VALUE | ||||||
LONG POSITIONS: | ||||||||
COMMON STOCK | ||||||||
Financials | 16.1 | % | $ | 18,947,336 | ||||
Materials | 14.8 | 17,375,633 | ||||||
Industrials | 14.7 | 17,296,565 | ||||||
Information Technology | 14.1 | 16,606,413 | ||||||
Consumer Discretionary | 12.9 | 15,186,100 | ||||||
Energy | 6.3 | 7,411,506 | ||||||
Health Care | 5.5 | 6,488,305 | ||||||
Communication Services | 4.1 | 4,881,646 | ||||||
Consumer Staples | 2.2 | 2,583,296 | ||||||
Utilities | 1.2 | 1,431,347 | ||||||
PREFERRED STOCKS | 1.0 | 1,212,428 | ||||||
SHORT-TERM INVESTMENTS | 7.1 | 8,397,095 |
The accompanying notes are an integral part of the financial statements.
Semi-Annual Report 2021 | 9
BOSTON PARTNERS INVESTMENT FUNDS | FEBRUARY 28, 2021 (UNAUDITED) |
Portfolio Holdings Summary Tables (concluded)
BOSTON PARTNERS
GLOBAL LONG/SHORT FUND (continued)
SECURITY TYPE/SECTOR CLASSIFICATION | % OF NET ASSETS | VALUE | ||||||
SHORT POSITIONS: | ||||||||
COMMON STOCK | ||||||||
Consumer Discretionary | (5.2 | ) | $ | (6,110,299 | ) | |||
Industrials | (4.5 | ) | (5,346,318 | ) | ||||
Information Technology | (4.2 | ) | (4,894,838 | ) | ||||
Consumer Staples | (3.6 | ) | (4,297,035 | ) | ||||
Financials | (3.0 | ) | (3,505,469 | ) | ||||
Materials | (2.5 | ) | (2,964,711 | ) | ||||
Health Care | (2.0 | ) | (2,345,292 | ) | ||||
Communication Services | (1.6 | ) | (1,913,821 | ) | ||||
Real Estate | (0.6 | ) | (680,070 | ) | ||||
OPTIONS WRITTEN | (0.6 | ) | (677,444 | ) | ||||
OTHER ASSETS IN EXCESS OF LIABILITIES | 27.8 | 32,737,545 | ||||||
NET ASSETS | 100.0 | % | $ | 117,819,918 |
Portfolio holdings are subject to change at any time.
BOSTON PARTNERS
EMERGING MARKETS DYNAMIC EQUITY FUND
(formerly Boston Partners Emerging Markets
Long/Short Fund)
SECURITY TYPE/SECTOR CLASSIFICATION | % OF NET ASSETS | VALUE | ||||||
LONG POSITIONS: | ||||||||
COMMON STOCK | ||||||||
Information Technology | 19.5 | % | $ | 14,166,059 | ||||
Consumer Discretionary | 14.5 | 10,521,720 | ||||||
Financials | 8.9 | 6,433,926 | ||||||
Consumer Staples | 7.6 | 5,482,220 | ||||||
Communication Services | 6.6 | 4,752,505 | ||||||
Energy | 6.3 | 4,559,644 | ||||||
Real Estate | 4.8 | 3,463,288 | ||||||
Industrials | 1.5 | 1,123,360 | ||||||
Utilities | 1.1 | 788,804 | ||||||
Health Care | 0.9 | 684,028 | ||||||
PREFERRED STOCKS | 4.3 | 3,112,651 | ||||||
SHORT-TERM INVESTMENTS | 23.3 | 16,882,314 | ||||||
SHORT POSITIONS: | ||||||||
COMMON STOCK | ||||||||
Materials | (0.9 | ) | (648,083 | ) | ||||
Financials | (0.4 | ) | (254,938 | ) | ||||
EXCHANGE TRADED FUNDS | (8.1 | ) | (5,863,257 | ) | ||||
OTHER ASSETS IN EXCESS OF LIABILITIES | 10.1 | 7,291,228 | ||||||
NET ASSETS | 100.0 | % | $ | 72,495,469 |
Portfolio holdings are subject to change at any time.
BOSTON PARTNERS
EMERGING MARKETS FUND
SECURITY TYPE/SECTOR CLASSIFICATION | % OF NET ASSETS | VALUE | ||||||
COMMON STOCK | ||||||||
Information Technology | 23.4 | % | $ | 5,707,122 | ||||
Consumer Discretionary | 21.1 | 5,142,316 | ||||||
Communication Services | 12.1 | 2,955,687 | ||||||
Financials | 10.8 | 2,626,166 | ||||||
Consumer Staples | 7.4 | 1,802,091 | ||||||
Energy | 6.2 | 1,514,193 | ||||||
Real Estate | 5.8 | 1,422,986 | ||||||
Industrials | 0.9 | 214,831 | ||||||
Utilities | 0.6 | 157,509 | ||||||
PREFERRED STOCKS | 4.2 | 1,023,200 | ||||||
SHORT-TERM INVESTMENTS | 8.3 | 2,016,978 | ||||||
LIABILITIES IN EXCESS OF OTHER ASSETS | (0.8 | ) | (188,612 | ) | ||||
NET ASSETS | 100.0 | % | $ | 24,394,467 |
Portfolio holdings are subject to change at any time.
BOSTON PARTNERS
GLOBAL EQUITY ADVANTAGE FUND
SECURITY TYPE/SECTOR CLASSIFICATION | % OF NET ASSETS | VALUE | ||||||
COMMON STOCK | ||||||||
Industrials | 16.4 | % | $ | 7,107,237 | ||||
Consumer Discretionary | 13.4 | 5,814,955 | ||||||
Financials | 13.0 | 5,656,350 | ||||||
Information Technology | 12.3 | 5,310,696 | ||||||
Materials | 9.8 | 4,254,457 | ||||||
Health Care | 6.9 | 2,988,972 | ||||||
Energy | 4.7 | 2,032,576 | ||||||
Communication Services | 1.9 | 804,208 | ||||||
Utilities | 0.9 | 381,622 | ||||||
Consumer Staples | 0.6 | 269,327 | ||||||
PREFERRED STOCKS | 0.4 | 168,949 | ||||||
INVESTMENT COMPANY | 19.1 | 8,286,000 | ||||||
SHORT-TERM INVESTMENTS | 0.3 | 131,906 | ||||||
OTHER ASSETS IN EXCESS OF LIABILITIES | 0.3 | 136,830 | ||||||
NET ASSETS | 100.0 | % | $ | 43,344,085 |
Portfolio holdings are subject to change at any time.
The accompanying notes are an integral part of the financial statements.
10 | Semi-Annual Report 2021
BOSTON PARTNERS INVESTMENT FUNDS | FEBRUARY 28, 2021 (UNAUDITED) |
BOSTON PARTNERS SMALL CAP VALUE FUND II | PORTFOLIO OF INVESTMENTS |
NUMBER OF SHARES | VALUE | |||||||
COMMON STOCKS—97.9% | ||||||||
Communication Services—2.0% | ||||||||
Nexstar Media Group, Inc., Class A(a) | 37,145 | $ | 5,109,295 | |||||
TEGNA, Inc. | 232,226 | 4,233,480 | ||||||
Yelp, Inc.* | 181,624 | 6,849,041 | ||||||
16,191,816 | ||||||||
Consumer Discretionary—11.2% | ||||||||
Beazer Homes USA, Inc.* | 121,028 | 2,138,565 | ||||||
Callaway Golf Co.*(a) | 55,588 | 1,553,685 | ||||||
Carriage Services, Inc.(a) | 96,490 | 3,180,310 | ||||||
Extended Stay America, Inc. | 150,438 | 2,420,547 | ||||||
Foot Locker, Inc. | 146,379 | 7,039,366 | ||||||
Frontdoor, Inc.* | 134,041 | 7,019,727 | ||||||
Hanesbrands, Inc.(a) | 306,502 | 5,422,020 | ||||||
Harley-Davidson, Inc. | 162,863 | 5,809,323 | ||||||
International Game Technology PLC* | 267,706 | 4,896,343 | ||||||
LCI Industries | 48,903 | 6,892,389 | ||||||
Lithia Motors, Inc., Class A | 21,811 | 8,156,223 | ||||||
Movado Group, Inc. | 73,963 | 1,686,356 | ||||||
Sally Beauty Holdings, Inc.*(a) | 275,757 | 4,439,688 | ||||||
Skechers U.S.A., Inc., Class A*(a) | 186,993 | 6,843,944 | ||||||
Standard Motor Products, Inc. | 40,442 | 1,698,968 | ||||||
Steven Madden Ltd. | 153,930 | 5,693,871 | ||||||
Stride, Inc.* | 147,713 | 3,552,498 | ||||||
Tempur Sealy International, Inc. | 110,180 | 3,681,114 | ||||||
Toll Brothers, Inc. | 49,073 | 2,621,480 | ||||||
Travel + Leisure Co. | 55,893 | 3,377,614 | ||||||
TravelCenters of America, Inc.* | 43,342 | 1,041,942 | ||||||
89,165,973 | ||||||||
Consumer Staples—3.2% | ||||||||
Energizer Holdings, Inc.(a) | 193,700 | 8,096,660 | ||||||
Fresh Del Monte Produce, Inc. | 193,266 | 4,974,667 | ||||||
Nomad Foods Ltd.*(a) | 267,495 | 6,318,232 | ||||||
Spectrum Brands Holdings, Inc. | 37,408 | 2,900,990 | ||||||
Universal Corp. | 62,770 | 3,189,971 | ||||||
25,480,520 | ||||||||
Energy—6.9% | ||||||||
Cactus, Inc., Class A | 105,155 | 3,351,290 | ||||||
ChampionX Corp.* | 456,712 | 9,714,264 | ||||||
Delek US Holdings, Inc.* | 213,520 | 5,244,051 | ||||||
Diamondback Energy, Inc.(a) | 34,246 | 2,372,563 | ||||||
Enerplus Corp. | 544,880 | 2,637,219 | ||||||
Helmerich & Payne, Inc. | 175,005 | 5,027,894 | ||||||
HollyFrontier Corp. | 183,553 | 6,952,988 | ||||||
National Energy Services Reunited Corp.* | 165,244 | 2,189,483 | ||||||
NexTier Oilfield Solutions, Inc.* | 345,230 | 1,605,319 | ||||||
ProPetro Holding Corp.* | 343,519 | 3,940,163 | ||||||
Viper Energy Partners LP | 190,080 | 2,980,454 | ||||||
World Fuel Services Corp. | 278,009 | 8,640,520 | ||||||
54,656,208 | ||||||||
Financials—28.7% | ||||||||
AllianceBernstein Holding LP | 79,057 | 2,890,324 | ||||||
AMERISAFE, Inc. | 45,319 | 2,652,068 | ||||||
Ares Commercial Real Estate Corp. | 118,195 | 1,632,273 | ||||||
Artisan Partners Asset Management, Inc., Class A | 74,270 | 3,527,825 | ||||||
Assured Guaranty Ltd. | 322,252 | 14,249,983 | ||||||
Axis Capital Holdings Ltd. | 174,657 | 8,825,418 |
NUMBER OF SHARES | VALUE | |||||||
Financials—(continued) | ||||||||
BankUnited, Inc. | 160,828 | $ | 6,463,677 | |||||
Blackstone Mortgage Trust, Inc., Class A(a) | 205,131 | 5,989,825 | ||||||
Columbia Banking System, Inc. | 52,597 | 2,329,521 | ||||||
Essent Group Ltd. | 187,682 | 7,738,129 | ||||||
Evercore, Inc., Class A | 74,425 | 8,913,882 | ||||||
Federal Agricultural Mortgage Corp., Class C | 55,287 | 4,768,504 | ||||||
First American Financial Corp. | 101,044 | 5,308,852 | ||||||
First Citizens BancShares Inc., Class A(a) | 3,054 | 2,253,516 | ||||||
First Hawaiian, Inc. | 314,431 | 8,769,481 | ||||||
First Horizon National Corp. | 96,149 | 1,557,614 | ||||||
First Merchants Corp. | 90,349 | 3,799,175 | ||||||
First Mid Bancshares, Inc. | 66,363 | 2,414,949 | ||||||
Flushing Financial Corp. | 66,017 | 1,369,853 | ||||||
Hanover Insurance Group, Inc., (The) | 54,012 | 6,230,284 | ||||||
Heritage Financial Corp.(a) | 84,973 | 2,199,951 | ||||||
Heritage Insurance Holdings, Inc. | 96,982 | 941,695 | ||||||
Hope Bancorp, Inc. | 135,940 | 1,788,970 | ||||||
Investors Bancorp, Inc. | 182,364 | 2,432,736 | ||||||
James River Group Holdings Ltd. | 102,323 | 4,697,649 | ||||||
Luther Burbank Corp. | 212,348 | 2,168,073 | ||||||
Merchants Bancorp | 93,302 | 3,175,067 | ||||||
Midland States Bancorp, Inc. | 21,360 | 523,320 | ||||||
Mr Cooper Group, Inc.* | 126,120 | 3,966,474 | ||||||
Navient Corp. | 691,893 | 8,565,635 | ||||||
Nelnet, Inc., Class A | 36,255 | 2,632,113 | ||||||
NMI Holdings, Inc., Class A* | 127,432 | 2,913,095 | ||||||
PacWest Bancorp | 138,074 | 5,003,802 | ||||||
PennyMac Financial Services, Inc. | 109,580 | 6,488,232 | ||||||
PRA Group, Inc.* | 90,848 | 3,348,657 | ||||||
ProAssurance Corp. | 198,949 | 4,923,988 | ||||||
RBB Bancorp | 133,122 | 2,502,694 | ||||||
Reinsurance Group of America, Inc. | 16,545 | 2,022,295 | ||||||
Silvercrest Asset Management Group, Inc., Class A | 374,918 | 5,263,849 | ||||||
SLM Corp. | 1,178,472 | 18,608,073 | ||||||
South State Corp. | 40,409 | 3,186,654 | ||||||
Southern National Bancorp of Virginia, Inc. | 120,053 | 1,704,753 | ||||||
Starwood Property Trust, Inc.(a) | 175,546 | 4,007,715 | ||||||
State Auto Financial Corp.(a) | 55,232 | 1,035,048 | ||||||
Synovus Financial Corp. | 51,770 | 2,190,389 | ||||||
Umpqua Holdings Corp. | 190,212 | 3,246,919 | ||||||
Valley National Bancorp(a) | 485,694 | 5,949,751 | ||||||
Velocity Financial, Inc.*(a) | 289,044 | 2,034,870 | ||||||
Walker & Dunlop, Inc. | 92,453 | 9,213,866 | ||||||
Washington Federal, Inc. | 70,548 | 2,131,960 | ||||||
White Mountains Insurance Group Ltd. | 4,264 | 5,095,736 | ||||||
Wintrust Financial Corp. | 31,951 | 2,353,511 | ||||||
228,002,693 | ||||||||
Health Care—6.2% | ||||||||
Change Healthcare, Inc.* | 625,361 | 14,302,006 | ||||||
Envista Holdings Corp.* | 278,487 | 10,732,889 | ||||||
Hanger, Inc.* | 74,935 | 1,647,071 | ||||||
LHC Group, Inc.* | 27,416 | 4,981,761 | ||||||
Ortho Clinical Diagnostics Holdings PLC*(a) | 128,898 | 2,229,936 |
The accompanying notes are an integral part of the financial statements.
Semi-Annual Report 2021 | 11
BOSTON PARTNERS INVESTMENT FUNDS | FEBRUARY 28, 2021 (UNAUDITED) |
BOSTON PARTNERS SMALL CAP VALUE FUND II | PORTFOLIO OF INVESTMENTS (CONTINUED) |
NUMBER OF SHARES | VALUE | |||||||
Health Care—(continued) | �� | |||||||
R1 RCM, Inc.* | 187,675 | $ | 5,187,337 | |||||
Syneos Health, Inc.* | 136,667 | 10,571,193 | ||||||
49,652,193 | ||||||||
Industrials—16.7% | ||||||||
ABM Industries, Inc. | 254,614 | 10,994,233 | ||||||
ACCO Brands Corp. | 349,096 | 2,827,678 | ||||||
AECOM Technology Corp.* | 82,392 | 4,769,673 | ||||||
Aegion Corp.* | 132,768 | 3,432,053 | ||||||
Altra Industrial Motion Corp. | 44,159 | 2,557,689 | ||||||
ASGN, Inc.* | 105,142 | 9,775,052 | ||||||
Builders FirstSource, Inc.*(a) | 205,668 | 8,898,226 | ||||||
CBIZ, Inc.* | 131,941 | 3,978,021 | ||||||
Covanta Holding Corp. | 157,607 | 2,214,378 | ||||||
CRA International, Inc. | 91,506 | 5,048,386 | ||||||
Curtiss-Wright Corp. | 69,494 | 7,678,392 | ||||||
EMCOR Group, Inc. | 24,118 | 2,348,370 | ||||||
EnerSys | 50,396 | 4,549,751 | ||||||
Ennis, Inc. | 52,614 | 1,042,809 | ||||||
FTI Consulting, Inc.* | 58,335 | 6,682,274 | ||||||
GrafTech International Ltd.(a) | 307,030 | 3,632,165 | ||||||
Harsco Corp.* | 250,042 | 4,090,687 | ||||||
Heidrick & Struggles International, Inc. | 51,600 | 1,851,924 | ||||||
Hillenbrand, Inc. | 77,841 | 3,616,493 | ||||||
ICF International, Inc. | 68,550 | 5,720,497 | ||||||
KAR Auction Services, Inc.* | 654,445 | 9,103,330 | ||||||
Korn/Ferry International | 50,083 | 3,082,609 | ||||||
Landstar System, Inc.(a) | 12,534 | 2,007,195 | ||||||
MasTec, Inc.*(a) | 44,352 | 3,847,536 | ||||||
NN, Inc.* | 250,295 | 1,529,302 | ||||||
Terex Corp. | 90,755 | 3,737,291 | ||||||
WESCO International, Inc.* | 167,169 | 13,420,327 | ||||||
132,436,341 | ||||||||
Information Technology—14.6% | ||||||||
Bel Fuse, Inc., Class B(a) | 141,899 | 2,518,707 | ||||||
Belden, Inc.(a) | 128,806 | 5,694,513 | ||||||
CommScope Holding Co., Inc.* | 166,181 | 2,424,581 | ||||||
Concentrix Corp.* | 96,950 | 11,974,294 | ||||||
Diebold Nixdorf, Inc.* | 188,819 | 2,741,652 | ||||||
DXC Technology Co.* | 198,861 | 5,015,274 | ||||||
EVERTEC, Inc. | 142,640 | 5,548,696 | ||||||
IBEX Holdings Ltd.* | 131,569 | 2,895,834 | ||||||
Insight Enterprises, Inc.* | 79,423 | 6,638,969 | ||||||
InterDigital, Inc.(a) | 108,136 | 6,852,578 | ||||||
MAXIMUS, Inc. | 48,062 | 3,906,479 | ||||||
NCR Corp.* | 220,185 | 7,653,631 | ||||||
Rackspace Technology, Inc.*(a) | 192,088 | 4,037,690 | ||||||
Science Applications International Corp. | 97,533 | 8,400,517 | ||||||
SMART Global Holdings, Inc.*(a) | 117,453 | 5,483,881 | ||||||
Sykes Enterprises, Inc.* | 171,896 | 7,023,671 | ||||||
SYNNEX Corp. | 96,949 | 8,643,973 | ||||||
TTEC Holdings, Inc. | 63,351 | 5,330,353 | ||||||
Ultra Clean Holdings, Inc.*(a) | 75,103 | 3,483,277 | ||||||
Unisys Corp.*(a) | 387,682 | 9,517,593 | ||||||
115,786,163 |
NUMBER OF SHARES | VALUE | |||||||
Materials—6.4% | ||||||||
Graphic Packaging Holding Co. | 1,139,935 | $ | 18,090,768 | |||||
Huntsman Corp. | 95,497 | 2,607,068 | ||||||
Ingevity Corp.* | 65,301 | 4,537,114 | ||||||
Minerals Technologies, Inc. | 29,965 | 2,134,407 | ||||||
Orion Engineered Carbons SA* | 151,579 | 2,682,948 | ||||||
PQ Group Holdings, Inc. | 149,543 | 2,296,981 | ||||||
Schweitzer-Mauduit International, Inc. | 147,238 | 6,876,015 | ||||||
Valvoline, Inc. | 476,541 | 11,894,463 | ||||||
51,119,764 | ||||||||
Real Estate—1.7% | ||||||||
Cousins Properties, Inc.(a) | 238,272 | 7,991,643 | ||||||
Jones Lang LaSalle, Inc.* | 17,631 | 3,067,441 | ||||||
Spirit Realty Capital, Inc. | 60,675 | 2,610,239 | ||||||
13,669,323 | ||||||||
Utilities—0.3% | ||||||||
Pure Cycle Corp.* | 201,885 | 2,374,168 | ||||||
TOTAL COMMON STOCKS (Cost $514,323,211) | 778,535,162 | |||||||
RIGHTS—0.0% | ||||||||
Consumer Discretionary—0.0% | ||||||||
Evercel, Inc., CVR*(a)‡ | 284,149 | 0 | ||||||
TOTAL RIGHTS (Cost $0) | 0 | |||||||
INVESTMENTS PURCHASED WITH PROCEEDS FROM SECURITIES LENDING COLLATERAL—7.6% | ||||||||
Mount Vernon Liquid Assets Portfolio, LLC, 0.13%(b) | 60,212,726 | 60,212,726 | ||||||
TOTAL INVESTMENTS PURCHASED WITH PROCEEDS FROM SECURITIES LENDING COLLATERAL (Cost $60,212,726) | 60,212,726 | |||||||
SHORT-TERM INVESTMENTS—3.4% | ||||||||
U.S. Bank Money Market Deposit Account, 0.01%(b) | 26,967,112 | 26,967,112 | ||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $26,967,112) | 26,967,112 | |||||||
TOTAL INVESTMENTS—108.9% (Cost $601,503,049) | 865,715,000 | |||||||
LIABILITIES IN EXCESS OF OTHER ASSETS—(8.9)% | (70,458,955 | ) | ||||||
NET ASSETS—100.0% | $ | 795,256,045 |
PLC | — | Public Limited Company |
LP | — | Limited Partnership |
* | — | Non-income producing. |
CVR | — | Contingent Value Right |
(a) | — | All or a portion of the security is on loan. At February 28, 2021, the market value of securities on loan was $59,065,413. |
(b) | — | The rate shown is as of February 28, 2021. |
‡ | — | Security has been valued at fair market value using significant unobservable inputs as determined in good faith by or under the direction of The RBB Fund, Inc.’s Board of Directors. As of February 28, 2021, these securities amounted to $0 or 0.0% of net assets. |
Industry classifications may be different than those used for compliance monitoring purposes. |
The accompanying notes are an integral part of the financial statements.
12 | Semi-Annual Report 2021
BOSTON PARTNERS INVESTMENT FUNDS | FEBRUARY 28, 2021 (UNAUDITED) |
BOSTON PARTNERS SMALL CAP VALUE FUND II | PORTFOLIO OF INVESTMENTS (CONCLUDED) |
A summary of the inputs used to value the Fund’s investments carried at fair value as of February 28, 2021 is as follows (see Notes to Portfolio of Investments):
TOTAL | LEVEL 1 | LEVEL 2 | LEVEL 3 | INVESTMENTS MEASURED AT NET ASSET VALUE* | ||||||||||||||||
Common Stock | ||||||||||||||||||||
Communication Services | $ | 16,191,816 | $ | 16,191,816 | $ | — | $ | — | $ | — | ||||||||||
Consumer Discretionary | 89,165,973 | 89,165,973 | — | — | — | |||||||||||||||
Consumer Staples | 25,480,520 | 25,480,520 | — | — | — | |||||||||||||||
Energy | 54,656,208 | 54,656,208 | — | — | — | |||||||||||||||
Financials | 228,002,693 | 228,002,693 | — | — | — | |||||||||||||||
Health Care | 49,652,193 | 49,652,193 | — | — | — | |||||||||||||||
Industrials | 132,436,341 | 132,436,341 | — | — | — | |||||||||||||||
Information Technology | 115,786,163 | 115,786,163 | — | — | — | |||||||||||||||
Materials | 51,119,764 | 51,119,764 | — | — | — | |||||||||||||||
Real Estate | 13,669,323 | 13,669,323 | — | — | — | |||||||||||||||
Utilities | 2,374,168 | 2,374,168 | — | — | — | |||||||||||||||
Rights | — | — | — | — | ** | — | ||||||||||||||
Investments Purchased with Proceeds from Securities Lending Collateral | 60,212,726 | — | — | — | 60,212,726 | |||||||||||||||
Short-Term Investments | 26,967,112 | 26,967,112 | — | — | — | |||||||||||||||
Total Assets | $ | 865,715,000 | $ | 805,502,274 | $ | — | $ | — | ** | $ | 60,212,726 |
* | Certain investments that are measured at fair value using the net asset value per share (or its equivalent) practical expedient have not been categorized in the fair value hierarchy to the amounts presented in the Portfolio of Investments |
** | Value equals zero as of the end of the reporting period |
The accompanying notes are an integral part of the financial statements.
Semi-Annual Report 2021 | 13
BOSTON PARTNERS INVESTMENT FUNDS | February 28, 2021 (unaudited) |
BOSTON PARTNERS LONG/SHORT EQUITY FUND | Portfolio Of Investments |
NUMBER OF SHARES | VALUE | |||||||
LONG POSITIONS—110.8% | ||||||||
COMMON STOCKS—98.1% | ||||||||
Communication Services—1.9% | ||||||||
Facebook, Inc., Class A*† | 4,130 | $ | 1,063,971 | |||||
Consumer Discretionary—11.4% | ||||||||
Alibaba Group Holding Ltd. - SP ADR* | 3,479 | 827,167 | ||||||
AutoZone, Inc.* | 294 | 341,016 | ||||||
Caleres, Inc.(a)† | 24,875 | 394,517 | ||||||
Carriage Services, Inc.(a)† | 11,509 | 379,337 | ||||||
Carter’s, Inc.(a)* | 3,265 | 272,530 | ||||||
Hanesbrands, Inc.† | 28,140 | 497,797 | ||||||
Hooker Furniture Corp.(a) | 9,839 | 332,657 | ||||||
JD.com, Inc. - ADR* | 4,502 | 422,603 | ||||||
Kindred Group PLC | 18,658 | 298,010 | ||||||
LKQ Corp.*† | 12,202 | 480,637 | ||||||
Mohawk Industries, Inc.* | 2,852 | 499,071 | ||||||
Skechers U.S.A., Inc., Class A*† | 10,327 | 377,968 | ||||||
Stellantis NV(a) | 18,294 | 299,656 | ||||||
Stride, Inc.*† | 46,548 | 1,119,479 | ||||||
6,542,445 | ||||||||
Consumer Staples—0.7% | ||||||||
Coca-Cola European Partners PLC | 5,613 | 285,982 | ||||||
SpartanNash Co.(a) | 8,083 | 147,353 | ||||||
433,335 | ||||||||
Energy—6.2% | ||||||||
Canadian Natural Resources Ltd.(a)† | 36,093 | 984,978 | ||||||
Marathon Petroleum Corp.† | 12,494 | 682,422 | ||||||
Phillips 66† | 7,207 | 598,541 | ||||||
Schlumberger Ltd. | 18,161 | 506,874 | ||||||
Solaris Oilfield Infrastructure, Inc., Class A† | 20,029 | 236,542 | ||||||
Teekay LNG Partners LP | 14,508 | 196,003 | ||||||
World Fuel Services Corp. | 11,571 | 359,627 | ||||||
3,564,987 | ||||||||
Financials—18.3% | ||||||||
Aflac, Inc. | 4,918 | 235,523 | ||||||
American International Group, Inc.† | 7,618 | 334,811 | ||||||
Arthur J Gallagher & Co. | 2,190 | 262,362 | ||||||
Bank of America Corp.† | 25,044 | 869,277 | ||||||
Bank OZK† | 13,041 | 537,550 | ||||||
Berkshire Hathaway, Inc., Class B*† | 2,217 | 533,211 | ||||||
BGC Partners, Inc., Class A† | 153,968 | 689,777 | ||||||
Charles Schwab Corp., (The)# | 4,714 | 290,948 | ||||||
Citigroup, Inc.† | 13,105 | 863,357 | ||||||
Evercore, Inc., Class A | 3,948 | 472,852 | ||||||
FedNat Holding Co.† | 17,181 | 118,893 | ||||||
First American Financial Corp. | 4,619 | 242,682 | ||||||
Granite Point Mortgage Trust, Inc.† | 40,835 | 455,719 | ||||||
Heritage Insurance Holdings, Inc.† | 61,401 | 596,204 | ||||||
Jefferies Financial Group, Inc.† | 24,357 | 707,327 | ||||||
KB Financial Group, Inc. - ADR(a) | 12,039 | 461,335 | ||||||
Ladder Capital Corp.† | 15,534 | 177,709 | ||||||
Morgan Stanley† | 7,369 | 566,455 | ||||||
Stifel Financial Corp.(a)† | 16,056 | 980,700 | ||||||
SVB Financial Group* | 722 | 364,870 | ||||||
Universal Insurance Holdings, Inc.† | 14,688 | 218,704 | ||||||
Western Alliance Bancorp | 5,812 | 531,856 | ||||||
10,512,122 |
NUMBER OF SHARES | VALUE | |||||||
Health Care—16.3% | ||||||||
Anthem, Inc.† | 2,600 | $ | 788,294 | |||||
Bausch Health Cos., Inc.* | 24,901 | 782,390 | ||||||
Centene Corp.* | 7,121 | 416,863 | ||||||
Cigna Corp.† | 3,066 | 643,553 | ||||||
CVS Health Corp.† | 10,263 | 699,218 | ||||||
Hanger, Inc.*† | 25,387 | 558,006 | ||||||
Harrow Health, Inc.*† | 43,747 | 335,540 | ||||||
HCA Healthcare, Inc.† | 3,847 | 661,800 | ||||||
Henry Schein, Inc.* | 6,683 | 413,344 | ||||||
Jazz Pharmaceuticals PLC* | 2,185 | 367,167 | ||||||
Johnson & Johnson† | 4,661 | 738,582 | ||||||
Medtronic PLC† | 4,523 | 529,055 | ||||||
Novartis AG - SP ADR† | 10,398 | 893,292 | ||||||
Syneos Health, Inc.*(a) | 5,735 | 443,602 | ||||||
UnitedHealth Group, Inc.† | 1,535 | 509,958 | ||||||
Universal Health Services, Inc., Class B | 4,418 | 553,708 | ||||||
9,334,372 | ||||||||
Industrials—13.4% | ||||||||
Acuity Brands, Inc.(a) | 1,812 | 223,420 | ||||||
AerCap Holdings NV*† | 5,182 | 249,669 | ||||||
ASGN, Inc.*(a) | 4,802 | 446,442 | ||||||
Barrett Business Services, Inc.† | 6,757 | 481,098 | ||||||
Builders FirstSource, Inc.*(a)† | 18,840 | 815,113 | ||||||
China Yuchai International Ltd. | 20,820 | 327,707 | ||||||
Forward Air Corp.(a) | 3,117 | 267,345 | ||||||
Gibraltar Industries, Inc.*(a) | 4,102 | 358,310 | ||||||
Graham Corp.† | 17,306 | 265,474 | ||||||
Heidrick & Struggles International, Inc.† | 10,459 | 375,373 | ||||||
Insperity, Inc. | 4,734 | 419,906 | ||||||
JetBlue Airways Corp.*† | 23,002 | 423,927 | ||||||
Kelly Services, Inc., Class A*† | 16,941 | 352,712 | ||||||
Lockheed Martin Corp. | 1,329 | 438,902 | ||||||
Primoris Services Corp. | 7,350 | 246,004 | ||||||
Quanta Services, Inc. | 7,319 | 613,698 | ||||||
Snap-on, Inc. | 2,338 | 474,871 | ||||||
UFP Industries, Inc. | 7,045 | 429,745 | ||||||
Vectrus, Inc.* | 8,365 | 456,729 | ||||||
7,666,445 | ||||||||
Information Technology—22.0% | ||||||||
Akamai Technologies, Inc.*† | 3,690 | 348,705 | ||||||
Applied Materials, Inc.# | 3,463 | 409,292 | ||||||
Arrow Electronics, Inc.* | 2,826 | 283,335 | ||||||
Box, Inc., Class A*(a) | 12,895 | 236,623 | ||||||
CACI International, Inc., Class A* | 1,700 | 376,278 | ||||||
Capgemini SE - ADR† | 11,059 | 356,321 | ||||||
Cass Information Systems, Inc. | 8,167 | 351,834 | ||||||
Cisco Systems, Inc. | 6,904 | 309,783 | ||||||
Cognizant Technology Solutions Corp., Class A† | 7,963 | 585,121 | ||||||
Concentrix Corp.* | 4,642 | 573,333 | ||||||
Dolby Laboratories, Inc. Class A† | 2,935 | 286,544 | ||||||
EchoStar Corp., Class A*† | 9,653 | 219,123 | ||||||
EVERTEC, Inc.† | 13,380 | 520,482 | ||||||
Fabrinet*(a) | 8,456 | 746,919 | ||||||
Fidelity National Information Services, Inc. | 1,945 | 268,410 | ||||||
FleetCor Technologies, Inc.* | 982 | 272,318 | ||||||
Hackett Group Inc., (The)† | 26,691 | 416,913 |
The accompanying notes are an integral part of the financial statements.
14 | Semi-Annual Report 2021
BOSTON PARTNERS INVESTMENT FUNDS | February 28, 2021 (unaudited) |
BOSTON PARTNERS LONG/SHORT EQUITY FUND | Portfolio Of Investments (continued) |
NUMBER OF SHARES | VALUE | |||||||
Information Technology—(continued) | ||||||||
Hollysys Automation Technologies Ltd. | 21,574 | $ | 324,905 | |||||
HP, Inc.† | 14,748 | 427,250 | ||||||
InterDigital, Inc. | 8,997 | 570,140 | ||||||
KBR, Inc.† | 10,913 | 338,303 | ||||||
Open Text Corp. | 12,921 | 575,889 | ||||||
Oracle Corp.† | 10,685 | 689,289 | ||||||
Perficient, Inc.* | 6,564 | 365,549 | ||||||
Qorvo, Inc.* | 2,045 | 357,323 | ||||||
Sabre Corp.*† | 28,399 | 417,181 | ||||||
Science Applications International Corp.(a) | 2,396 | 206,368 | ||||||
Super Micro Computer, Inc.*† | 10,484 | 342,093 | ||||||
SYNNEX Corp. | 4,642 | 413,881 | ||||||
Telefonaktiebolaget LM Ericsson - SP ADR† | 40,389 | 506,074 | ||||||
Zebra Technologies Corp., Class A*† | 998 | 498,431 | ||||||
12,594,010 | ||||||||
Materials—3.1% | ||||||||
Berry Global Group, Inc.*(a)† | 9,922 | 549,679 | ||||||
Corteva, Inc. | 6,726 | 303,679 | ||||||
POSCO - SP ADR(a) | 4,764 | 291,080 | ||||||
Rio Tinto PLC - SP ADR† | 3,503 | 306,162 | ||||||
Ternium SA - SP ADR† | 9,932 | 305,012 | ||||||
1,755,612 | ||||||||
Real Estate—4.8% | ||||||||
Jones Lang LaSalle, Inc.* | 2,177 | 378,754 | ||||||
Medical Properties Trust, Inc.† | 11,910 | 257,137 | ||||||
Newmark Group, Inc., Class A† | 84,358 | 845,267 | ||||||
RE/MAX Holdings, Inc., Class A(a) | 12,722 | 530,762 | ||||||
Service Properties Trust† | 23,622 | 303,307 | ||||||
Simon Property Group, Inc.(a) | 3,994 | 451,003 | ||||||
2,766,230 | ||||||||
TOTAL COMMON STOCKS (Cost $33,902,269) | 56,233,529 | |||||||
INVESTMENTS PURCHASED WITH | ||||||||
PROCEEDS FROM SECURITIES | ||||||||
LENDING COLLATERAL—-12.4% | ||||||||
Mount Vernon Liquid Assets Portfolio, LLC, 0.13%(b) | 7,101,726 | 7,101,726 | ||||||
TOTAL INVESTMENTS PURCHASED WITH PROCEEDS FROM SECURITIES LENDING COLLATERAL (Cost $7,101,726) | 7,101,726 | |||||||
SHORT-TERM INVESTMENTS—0.3% | ||||||||
U.S. Bank Money Market Deposit Account, 0.01%(b) | 173,179 | 173,179 | ||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $173,179) | 173,179 | |||||||
TOTAL LONG POSITIONS – 110.8% (Cost $41,177,174) | 63,508,434 | |||||||
SECURITIES SOLD SHORT—(46.6%) | ||||||||
COMMON STOCKS—(45.8%) | ||||||||
Communication Services—(3.6%) | ||||||||
CTC Communications Group, Inc.*‡ | (98,900 | ) | 0 | |||||
Netflix, Inc.* | (1,666 | ) | (897,724 | ) | ||||
Roku, Inc.* | (2,378 | ) | (940,451 | ) | ||||
ZoomInfo Technologies, Inc., Class A* | (4,114 | ) | (215,656 | ) | ||||
(2,053,831 | ) |
NUMBER OF SHARES | VALUE | |||||||
Consumer Discretionary—(10.6%) | ||||||||
Arcimoto, Inc.* | (19,035 | ) | $ | (341,107 | ) | |||
CarParts.com, Inc.* | (12,724 | ) | (225,597 | ) | ||||
Carvana Co.* | (4,425 | ) | (1,254,488 | ) | ||||
GameStop Corp., Class A* | (4,482 | ) | (455,999 | ) | ||||
Lululemon Athletica, Inc.* | (711 | ) | (221,604 | ) | ||||
Papa John’s International, Inc. | (6,328 | ) | (570,722 | ) | ||||
Planet Fitness, Inc., Class A* | (9,069 | ) | (780,750 | ) | ||||
Qsound Labs, Inc.*‡ | (4,440 | ) | 0 | |||||
Shake Shack, Inc., Class A* | (4,887 | ) | (579,012 | ) | ||||
Sonos, Inc.* | (7,832 | ) | (304,978 | ) | ||||
Stitch Fix, Inc., Class A* | (2,180 | ) | (166,356 | ) | ||||
Tesla Motors, Inc.* | (1,725 | ) | (1,165,238 | ) | ||||
(6,065,851 | ) | |||||||
Consumer Staples—(1.5%) | ||||||||
Amish Naturals, Inc.*‡ | (25,959 | ) | 0 | |||||
Beyond Meat, Inc.* | (2,247 | ) | (326,894 | ) | ||||
Laird Superfood, Inc.* | (7,684 | ) | (303,287 | ) | ||||
National Beverage Corp. | (4,334 | ) | (206,558 | ) | ||||
(836,739 | ) | |||||||
Energy—(0.3%) | ||||||||
Beard Co.* | (9,710 | ) | (106 | ) | ||||
Uranium Energy Corp.* | (85,268 | ) | (180,768 | ) | ||||
(180,874 | ) | |||||||
Financials—(1.0%) | ||||||||
Bit Digital, Inc.* | (18,005 | ) | (265,754 | ) | ||||
Lemonade, Inc.* | (1,407 | ) | (176,987 | ) | ||||
Siebert Financial Corp. | (23,038 | ) | (107,587 | ) | ||||
(550,328 | ) | |||||||
Health Care—(7.8%) | ||||||||
10X Genomics, Inc., Class A* | (2,761 | ) | (491,430 | ) | ||||
Aspira Women’s Health, Inc.* | (64,106 | ) | (444,255 | ) | ||||
AtriCure, Inc.* | (10,088 | ) | (658,444 | ) | ||||
Bionano Genomics, Inc.* | (14,572 | ) | (141,786 | ) | ||||
BodyTel Scientific, Inc.*‡ | (4,840 | ) | (1 | ) | ||||
Cardiff Oncology, Inc.* | (6,404 | ) | (66,217 | ) | ||||
CareView Communications, Inc.* | (174,320 | ) | (15,131 | ) | ||||
Glaukos Corp.* | (5,099 | ) | (482,161 | ) | ||||
Heska Corp.* | (4,468 | ) | (841,771 | ) | ||||
iRhythm Technologies, Inc.* | (1,760 | ) | (283,184 | ) | ||||
Shockwave Medical, Inc.* | (5,817 | ) | (679,193 | ) | ||||
Zomedica Corp.* | (185,600 | ) | (347,072 | ) | ||||
(4,450,645 | ) | |||||||
Industrials—(3.5%) | ||||||||
AAON, Inc. | (4,348 | ) | (335,231 | ) | ||||
Applied Energetics, Inc.* | (39,131 | ) | (29,544 | ) | ||||
Blue Bird Corp.* | (18,045 | ) | (438,674 | ) | ||||
Capstone Turbine Corp.* | (341 | ) | (2,844 | ) | ||||
Corporate Resource Services, Inc.*‡ | (218,896 | ) | (1,094 | ) | ||||
DynaMotive Energy Systems Corp.*‡ | (72,185 | ) | (7 | ) | ||||
Ener1, Inc.*‡ | (102,820 | ) | (10 | ) | ||||
HyreCar, Inc.* | (29,857 | ) | (307,229 | ) | ||||
Omega Flex, Inc. | (2,864 | ) | (494,040 | ) | ||||
Sunrun, Inc.* | (3,845 | ) | (240,620 | ) | ||||
Valence Technology, Inc.*‡ | (27,585 | ) | (3 | ) | ||||
Virgin Galactic Holdings, Inc.* | (4,072 | ) | (151,601 | ) | ||||
(2,000,897 | ) | |||||||
Information Technology—(16.7%) | ||||||||
3D Systems Corp.* | (4,656 | ) | (166,871 | ) | ||||
8x8, Inc.* | (13,981 | ) | (478,290 | ) |
The accompanying notes are an integral part of the financial statements.
Semi-Annual Report 2021 | 15
BOSTON PARTNERS INVESTMENT FUNDS | February 28, 2021 (unaudited) |
BOSTON PARTNERS LONG/SHORT EQUITY FUND | Portfolio Of Investments (continued) |
NUMBER OF SHARES | VALUE | |||||||
Information Technology—(continued) | ||||||||
Alteryx, Inc., Class A* | (2,482 | ) | $ | (237,279 | ) | |||
ANTs software, Inc.*‡ | (10,334 | ) | (1 | ) | ||||
Appfolio, Inc., Class A* | (2,078 | ) | (340,833 | ) | ||||
Appian Corp.* | (5,782 | ) | (993,926 | ) | ||||
Bill.com Holdings, Inc.* | (1,566 | ) | (258,406 | ) | ||||
Ceridian HCM Holding, Inc.* | (4,145 | ) | (371,641 | ) | ||||
Consygen, Inc.*‡ | (200 | ) | 0 | |||||
Coupa Software, Inc.* | (1,087 | ) | (376,385 | ) | ||||
Cree, Inc.* | (7,337 | ) | (832,456 | ) | ||||
Fastly, Inc., Class A* | (3,751 | ) | (275,999 | ) | ||||
Impinj, Inc.* | (5,186 | ) | (331,748 | ) | ||||
Inseego Corp.* | (26,886 | ) | (392,267 | ) | ||||
Interliant, Inc.*‡ | (600 | ) | 0 | |||||
Marathon Patent Group, Inc.* | (11,200 | ) | (337,680 | ) | ||||
MongoDB, Inc.* | (688 | ) | (265,520 | ) | ||||
Nestor, Inc.*‡ | (15,200 | ) | (1 | ) | ||||
Okta, Inc.* | (782 | ) | (204,454 | ) | ||||
PROS Holdings, Inc.* | (5,267 | ) | (249,656 | ) | ||||
Q2 Holdings, Inc.* | (3,138 | ) | (382,459 | ) | ||||
Rapid7, Inc.* | (4,696 | ) | (358,023 | ) | ||||
RingCentral, Inc., Class A* | (701 | ) | (265,090 | ) | ||||
Riot Blockchain, Inc.* | (14,166 | ) | (619,621 | ) | ||||
Shopify, Inc., Class A* | (205 | ) | (262,599 | ) | ||||
Splunk, Inc.* | (1,979 | ) | (283,017 | ) | ||||
Square, Inc., Class A* | (1,125 | ) | (258,784 | ) | ||||
Stratasys Ltd.* | (5,545 | ) | (191,247 | ) | ||||
SVMK, Inc.* | (14,460 | ) | (269,245 | ) | ||||
Tiger Telematics, Inc.*‡ | (6,510 | ) | 0 | |||||
Uni-Pixel, Inc.* | (19,665 | ) | (175 | ) | ||||
Worldgate Communications, Inc.*‡ | (582,655 | ) | (58 | ) | ||||
Xybernaut Corp.*‡ | (34,156 | ) | 0 | |||||
Yext, Inc.* | (17,586 | ) | (297,555 | ) | ||||
Zoom Video Communications, Inc., | ||||||||
Class A* | (406 | ) | (151,686 | ) | ||||
Zscaler, Inc.* | (712 | ) | (145,981 | ) | ||||
(9,598,953 | ) | |||||||
Materials—(0.0%) | ||||||||
Mountain Province Diamonds, Inc.* | (4,735 | ) | (2,865 | ) | ||||
Real Estate—(0.6%) | ||||||||
Redfin Corp.* | (4,813 | ) | (364,537 | ) | ||||
Utilities—(0.2%) | ||||||||
Cadiz, Inc.* | (11,038 | ) | (119,982 | ) | ||||
TOTAL COMMON STOCKS (Proceeds $(20,619,865)) | (26,225,502 | ) | ||||||
EXCHANGE TRADED FUNDS—(0.8%) | ||||||||
iShares 20+ Year Treasury Bond ETF | (3,375 | ) | (483,030 | ) | ||||
TOTAL EXCHANGE TRADED FUNDS (Proceeds $(573,760)) | (483,030 | ) | ||||||
TOTAL SECURITIES SOLD SHORT—(46.6%) (Proceeds $(21,193,625)) | (26,708,532 | ) |
NUMBER OF CONTRACTS | NOTIONAL AMOUNT | VALUE | ||||||||||
OPTIONS WRITTEN ††—(0.4%) | ||||||||||||
Call Options Written—(0.2%) | ||||||||||||
Applied Materials, Inc. | ||||||||||||
Expiration: 01/21/2022, Exercise Price: 130.00 | (28 | ) | (330,932 | ) | $ | (45,640 | ) | |||||
Charles Schwab Corp., (The) | ||||||||||||
Expiration: 01/21/2022, Exercise Price: 70.00 | (38 | ) | (234,536 | ) | (20,615 | ) | ||||||
ElectraMeccanica Vehicles Corp. | ||||||||||||
Expiration: 03/19/2021, Exercise Price: 11.00 | (208 | ) | (128,336 | ) | (2,080 | ) | ||||||
Ideanomics, Inc. | ||||||||||||
Expiration: 03/19/2021, Exercise Price: 5.50 | (257 | ) | (81,983 | ) | (3,341 | ) | ||||||
Senseonics Holdings, Inc. | ||||||||||||
Expiration: 03/19/2021, Exercise Price: 3.50 | (631 | ) | (215,802 | ) | (37,860 | ) | ||||||
Sunworks, Inc. | ||||||||||||
Expiration: 03/19/2021, Exercise Price: 25.00 | (85 | ) | (112,115 | ) | (3,825 | ) | ||||||
Tesla Motors, Inc. | ||||||||||||
Expiration: 03/19/2021, Exercise Price: 900.00 | (4 | ) | (270,200 | ) | (928 | ) | ||||||
TOTAL CALL OPTIONS WRITTEN (Premiums received $(223,908)) | (114,289 | ) | ||||||||||
Put Options Written—(0.2%) | ||||||||||||
JPMorgan Chase & Co. | ||||||||||||
Expiration: 01/21/2022, Exercise Price: 90.00 | (49 | ) | (721,133 | ) | (12,691 | ) | ||||||
Merck & Co, Inc. | ||||||||||||
Expiration: 06/18/2021, Exercise Price: 72.50 | (83 | ) | (602,746 | ) | (34,777 | ) | ||||||
Pfizer, Inc. | ||||||||||||
Expiration: 06/18/2021, Exercise Price: 33.00 | (182 | ) | (609,518 | ) | (31,304 | ) | ||||||
Wells Fargo & Co. | ||||||||||||
Expiration: 01/21/2022, Exercise Price: 22.50 | (360 | ) | (1,302,120 | ) | (29,161 | ) |
The accompanying notes are an integral part of the financial statements.
16 | Semi-Annual Report 2021
BOSTON PARTNERS INVESTMENT FUNDS | February 28, 2021 (unaudited) |
BOSTON PARTNERS LONG/SHORT EQUITY FUND | Portfolio Of Investments (continued) |
VALUE | ||||
TOTAL PUT OPTIONS WRITTEN (Premiums received $(244,541)) | $ | (107,933 | ) | |
TOTAL OPTIONS WRITTEN (Premiums received $(468,449)) | (222,222 | ) | ||
OTHER ASSETS IN EXCESS OF LIABILITIES—36.2% | 20,746,495 | |||
NET ASSETS—100.0% | $ | 57,324,175 |
ADR | — | American Depositary Receipt |
PLC | — | Public Limited Company |
SP ADR | — | Sponsored American Depositary Receipt |
* | — | Non-income producing. |
(a) | — | All or a portion of the security is on loan. At February 28, 2021, the market value of securities on loan was $6,883,346. |
(b) | — | The rate shown is as of February 28, 2021. |
† | — | Security position is either entirely or partially held in a segregated account as collateral for securities sold short. |
# | — | Security segregated as collateral for options written. |
†† | — | Primary risk exposure is equity contracts. |
‡ | — | Security has been valued at fair market value using significant unobservable inputs as determined in good faith by or under the direction of The RBB Fund, Inc.’s Board of Directors. as of February 28, 2021, these securities amounted to $(1,175) or 0.0% of net assets. |
Industry classifications may be different than those used for compliance monitoring purposes. |
The accompanying notes are an integral part of the financial statements.
Semi-Annual Report 2021 | 17
BOSTON PARTNERS INVESTMENT FUNDS | February 28, 2021 (unaudited) |
BOSTON PARTNERS LONG/SHORT EQUITY FUND | Portfolio Of Investments (concluded) |
A summary of the inputs used to value the Fund’s investments carried at fair value as of February 28, 2021 is as follows (see Notes to Portfolio of Investments):
TOTAL | LEVEL 1 | LEVEL 2 | LEVEL 3 | INVESTMENTS MEASURED AT NET ASSET VALUE* | ||||||||||||||||
Common Stock | ||||||||||||||||||||
Communication Services | $ | 1,063,971 | $ | 1,063,971 | $ | — | $ | — | $ | — | ||||||||||
Consumer Discretionary | 6,542,445 | 6,244,435 | 298,010 | — | — | |||||||||||||||
Consumer Staples | 433,335 | 433,335 | — | — | — | |||||||||||||||
Energy | 3,564,987 | 3,564,987 | — | — | — | |||||||||||||||
Financials | 10,512,122 | 10,512,122 | — | — | — | |||||||||||||||
Health Care | 9,334,372 | 9,334,372 | — | — | — | |||||||||||||||
Industrials | 7,666,445 | 7,666,445 | — | — | — | |||||||||||||||
Information Technology | 12,594,010 | 12,594,010 | — | — | — | |||||||||||||||
Materials | 1,755,612 | 1,755,612 | — | — | — | |||||||||||||||
Real Estate | 2,766,230 | 2,766,230 | — | — | — | |||||||||||||||
Investments Purchased with Proceeds from Securities Lending Collateral | 7,101,726 | — | — | — | 7,101,726 | |||||||||||||||
Short-Term Investments | 173,179 | 173,179 | — | — | — | |||||||||||||||
Total Assets | $ | 63,508,434 | $ | 56,108,698 | $ | 298,010 | $ | — | $ | 7,101,726 | ||||||||||
TOTAL | LEVEL 1 | LEVEL 2 | LEVEL 3 | INVESTMENTS MEASURED AT NET ASSET VALUE* | ||||||||||||||||
Securities Sold Short | ||||||||||||||||||||
Communication Services | $ | (2,053,831 | ) | $ | (2,053,831 | ) | $ | — | $ | — | ** | $ | — | |||||||
Consumer Discretionary | (6,065,851 | ) | (6,065,851 | ) | — | — | ** | — | ||||||||||||
Consumer Staples | (836,739 | ) | (836,739 | ) | — | — | ** | — | ||||||||||||
Energy | (180,874 | ) | (180,768 | ) | (106 | ) | — | — | ||||||||||||
Financials | (550,328 | ) | (550,328 | ) | — | — | — | |||||||||||||
Health Care | (4,450,645 | ) | (4,450,644 | ) | — | (1 | ) | — | ||||||||||||
Industrials | (2,000,897 | ) | (1,999,783 | ) | — | (1,114 | ) | — | ||||||||||||
Information Technology | (9,598,953 | ) | (9,598,893 | ) | — | (60 | ) | — | ||||||||||||
Materials | (2,865 | ) | (2,865 | ) | — | — | — | |||||||||||||
Real Estate | (364,537 | ) | (364,537 | ) | — | — | — | |||||||||||||
Utilities | (119,982 | ) | (119,982 | ) | — | — | — | |||||||||||||
Exchange Traded Funds | (483,030 | ) | (483,030 | ) | — | — | — | |||||||||||||
Options Written | ||||||||||||||||||||
Equity Contracts | (222,222 | ) | (201,607 | ) | (20,615 | ) | — | — | ||||||||||||
Total Liabilities | $ | 26,930,754 | $ | (26,908,858 | ) | $ | (20,721 | ) | $ | (1,175 | ) | $ | — |
* | Certain investments that are measured at fair value using the net asset value per share (or its equivalent) practical expedient have not been categorized in the fair value hierarchy to the amounts presented in the Portfolio of Investments. |
** | Value equals zero as of the end of the reporting period. |
The accompanying notes are an integral part of the financial statements.
18 | Semi-Annual Report 2021
BOSTON PARTNERS INVESTMENT FUNDS | February 28, 2021 (unaudited) |
BOSTON PARTNERS LONG/SHORT RESEARCH FUND | Portfolio Of Investments |
NUMBER OF SHARES | VALUE | |||||||
LONG POSITIONS—97.1% | ||||||||
COMMON STOCKS—96.5% | ||||||||
Communication Services—7.9% | ||||||||
Alphabet, Inc., Class A*† | 4,651 | $ | 9,403,903 | |||||
Alphabet, Inc., Class C* | 3,265 | 6,650,348 | ||||||
Altice USA, Inc., Class A* | 66,483 | 2,234,494 | ||||||
Baidu, Inc. - SP ADR* | 9,010 | 2,553,975 | ||||||
Charter Communications, Inc., Class A* | 5,070 | 3,110,039 | ||||||
Facebook, Inc., Class A* | 59,685 | 15,376,050 | ||||||
Live Nation Entertainment, Inc.* | 31,521 | 2,800,956 | ||||||
NetEase, Inc. - ADR | 20,167 | 2,215,345 | ||||||
Nexstar Media Group, Inc., Class A | 42,463 | 5,840,786 | ||||||
TEGNA, Inc. | 253,526 | 4,621,779 | ||||||
T-Mobile US, Inc.* | 53,656 | 6,437,110 | ||||||
Yelp, Inc.*† | 40,943 | 1,543,960 | ||||||
62,788,745 | ||||||||
Consumer Discretionary—12.8% | ||||||||
Alibaba Group Holding Ltd. – SP ADR* | 26,460 | 6,291,130 | ||||||
AutoNation, Inc.* | 26,239 | 1,968,450 | ||||||
AutoZone, Inc.* | 6,415 | 7,440,887 | ||||||
Caesars Entertainment, Inc.* | 36,558 | 3,415,979 | ||||||
Callaway Golf Co.*† | 142,670 | 3,987,626 | ||||||
Carter’s, Inc.* | 36,899 | 3,079,960 | ||||||
Dick’s Sporting Goods, Inc. | 26,581 | 1,897,086 | ||||||
eBay, Inc.† | 136,773 | 7,716,733 | ||||||
Flutter Entertainment PLC* | 28,367 | 5,483,923 | ||||||
Foot Locker, Inc. | 46,859 | 2,253,449 | ||||||
Gentex Corp.† | 48,987 | 1,733,160 | ||||||
GVC Holdings PLC* | 262,270 | 5,188,543 | ||||||
Hanesbrands, Inc. | 81,486 | 1,441,487 | ||||||
Harley-Davidson, Inc.† | 193,653 | 6,907,602 | ||||||
Hasbro, Inc. | 25,924 | 2,429,338 | ||||||
Las Vegas Sands Corp.* | 78,620 | 4,921,612 | ||||||
LKQ Corp.* | 105,310 | 4,148,161 | ||||||
Mohawk Industries, Inc.* | 22,512 | 3,939,375 | ||||||
PVH Corp.* | 29,138 | 2,912,634 | ||||||
Restaurant Brands International, Inc. | 40,727 | 2,440,362 | ||||||
Ross Stores, Inc.* | 19,779 | 2,307,023 | ||||||
Stride, Inc.* | 252,573 | 6,074,381 | ||||||
Tempur Sealy International, Inc. | 57,057 | 1,906,274 | ||||||
Travel + Leisure Co. | 56,701 | 3,426,441 | ||||||
Ulta Beauty, Inc.* | 8,172 | 2,634,081 | ||||||
Whirlpool Corp. | 9,689 | 1,841,685 | ||||||
Wyndham Hotels & Resorts, Inc. | 33,144 | 2,163,640 | ||||||
Wynn Macau Ltd.* | 811,600 | 1,530,811 | ||||||
101,481,833 | ||||||||
Consumer Staples—4.7% | ||||||||
Coca-Cola European Partners PLC† | 170,236 | 8,673,524 | ||||||
Mondelez International, Inc., Class A | 94,225 | 5,009,001 | ||||||
Nomad Foods Ltd.* | 231,672 | 5,472,093 | ||||||
Philip Morris International, Inc.† | 105,930 | 8,900,239 | ||||||
Procter & Gamble Co., (The) | 43,945 | 5,428,526 | ||||||
Swedish Match AB | 28,013 | 2,010,597 | ||||||
US Foods Holding Corp.* | 56,126 | 2,046,354 | ||||||
37,540,334 | ||||||||
Energy—10.3% | ||||||||
BP PLC - SP ADR† | 354,859 | 8,662,108 | ||||||
Canadian Natural Resources Ltd. | 98,749 | 2,694,860 | ||||||
Cenovus Energy, Inc. | 209,550 | 1,551,124 | ||||||
ChampionX Corp.*† | 149,108 | 3,171,527 |
NUMBER OF SHARES | VALUE | |||||||
Energy—(continued) | ||||||||
ConocoPhillips† | 72,187 | $ | 3,754,446 | |||||
Delek US Holdings, Inc.* | 78,072 | 1,917,448 | ||||||
Diamondback Energy, Inc.† | 79,483 | 5,506,582 | ||||||
Enerplus Corp. | 551,772 | 2,670,844 | ||||||
EOG Resources, Inc. | 67,089 | 4,331,266 | ||||||
Halliburton Co.† | 331,059 | 7,227,018 | ||||||
Helmerich & Payne, Inc. | 162,500 | 4,668,625 | ||||||
HollyFrontier Corp. | 94,640 | 3,584,963 | ||||||
Marathon Petroleum Corp. | 86,242 | 4,710,538 | ||||||
Parex Resources, Inc.* | 203,357 | 3,250,260 | ||||||
PDC Energy, Inc.* | 48,407 | 1,691,825 | ||||||
Pioneer Natural Resources Co. | 37,411 | 5,558,152 | ||||||
Royal Dutch Shell PLC, Class A – SP ADR† | 222,884 | 9,144,931 | ||||||
Schlumberger Ltd. | 256,613 | 7,162,069 | ||||||
Whitehaven Coal Ltd.* | 308,628 | 359,739 | ||||||
81,618,325 | ||||||||
Financials—16.0% | ||||||||
Allstate Corp., (The)† | 31,182 | 3,324,001 | ||||||
American International Group, Inc.† | 37,622 | 1,653,487 | ||||||
Ameriprise Financial, Inc. | 37,307 | 8,253,801 | ||||||
Bank of America Corp.† | 243,692 | 8,458,549 | ||||||
Bank of New York Mellon Corp., (The)† | 85,858 | 3,619,773 | ||||||
Berkshire Hathaway, Inc., Class B*† | 10,113 | 2,432,278 | ||||||
BNP Paribas SA | 44,781 | 2,662,112 | ||||||
Capital One Financial Corp. | 26,496 | 3,184,554 | ||||||
Citigroup, Inc.† | 99,556 | 6,558,749 | ||||||
DBS Group Holdings Ltd. | 80,500 | 1,595,076 | ||||||
Discover Financial Services† | 37,134 | 3,493,195 | ||||||
DNB ASA | 68,620 | 1,333,108 | ||||||
Everest Re Group Ltd. | 10,197 | 2,465,737 | ||||||
Fifth Third Bancorp† | 196,739 | 6,824,876 | ||||||
Goldman Sachs Group, Inc., (The)† | 13,582 | 4,339,177 | ||||||
Hana Financial Group, Inc. | 43,557 | 1,430,699 | ||||||
Huntington Bancshares, Inc.† | 417,997 | 6,412,074 | ||||||
ING Groep NV | 258,502 | 2,831,296 | ||||||
JPMorgan Chase & Co.† | 55,073 | 8,105,093 | ||||||
KeyCorp† | 341,967 | 6,887,215 | ||||||
Moody’s Corp. | 11,699 | 3,215,938 | ||||||
Navient Corp.† | 65,497 | 810,853 | ||||||
Nordea Bank Abp | 250,211 | 2,266,117 | ||||||
OTP Bank PLC* | 24,986 | 1,133,316 | ||||||
Regions Financial Corp. | 275,058 | 5,674,447 | ||||||
Renaissance Holdings Ltd. | 9,556 | 1,595,661 | ||||||
S&P Global, Inc. | 13,994 | 4,609,064 | ||||||
SLM Corp. | 250,915 | 3,961,948 | ||||||
Sumitomo Mitsui Financial Group, Inc. | 48,700 | 1,719,374 | ||||||
Synchrony Financial | 66,039 | 2,554,389 | ||||||
Truist Financial Corp.† | 125,330 | 7,138,797 | ||||||
UBS Group AG | 106,081 | 1,646,377 | ||||||
United Overseas Bank Ltd. | 102,500 | 1,882,313 | ||||||
Wells Fargo & Co.† | 90,197 | 3,262,426 | ||||||
127,335,870 | ||||||||
Health Care—12.1% | ||||||||
Abbott Laboratories† | 59,586 | 7,137,211 | ||||||
AbbVie, Inc.† | 89,078 | 9,597,264 | ||||||
AmerisourceBergen Corp. | 10,329 | 1,045,501 | ||||||
Amgen, Inc. | 10,281 | 2,312,403 | ||||||
Anthem, Inc.† | 11,495 | 3,485,169 | ||||||
AstraZeneca PLC | 29,968 | 2,910,923 | ||||||
Avantor, Inc.*† | 212,201 | 5,914,042 |
The accompanying notes are an integral part of the financial statements.
Semi-Annual Report 2021 | 19
BOSTON PARTNERS INVESTMENT FUNDS | February 28, 2021 (unaudited) |
BOSTON PARTNERS LONG/SHORT RESEARCH FUND | Portfolio Of Investments (continued) |
NUMBER OF SHARES | VALUE | |||||||
Health Care—(continued) | ||||||||
Biogen, Inc.* | 1,507 | $ | 411,230 | |||||
Boston Scientific Corp.*† | 62,088 | 2,407,773 | ||||||
Centene Corp.* | 29,885 | 1,749,468 | ||||||
Cigna Corp.† | 22,296 | 4,679,930 | ||||||
CVS Health Corp.† | 50,939 | 3,470,474 | ||||||
Envista Holdings Corp.* | 30,416 | 1,172,233 | ||||||
HCA Healthcare, Inc. | 17,199 | 2,958,744 | ||||||
Humana, Inc. | 7,557 | 2,869,015 | ||||||
ICON PLC* | 2,457 | 443,931 | ||||||
IQVIA Holdings, Inc.* | 4,957 | 955,660 | ||||||
Jazz Pharmaceuticals PLC* | 1,915 | 321,797 | ||||||
Johnson & Johnson† | 30,072 | 4,765,209 | ||||||
Medtronic PLC | 25,985 | 3,039,465 | ||||||
Merck & Co., Inc.† | 40,298 | 2,926,441 | ||||||
Molina Healthcare, Inc.* | 1,514 | 328,175 | ||||||
Novartis AG - SP ADR | 10,530 | 904,632 | ||||||
Novo Nordisk A/S, Class B | 28,245 | 2,014,916 | ||||||
Ortho Clinical Diagnostics Holdings PLC* | 121,751 | 2,106,292 | ||||||
PPD, Inc.* | 87,064 | 3,052,464 | ||||||
Sanofi | 8,587 | 788,035 | ||||||
Sotera Health Co.* | 109,982 | 2,876,029 | ||||||
Stryker Corp. | 14,451 | 3,507,113 | ||||||
Syneos Health, Inc.* | 10,296 | 796,396 | ||||||
UCB SA | 14,612 | 1,448,875 | ||||||
UnitedHealth Group, Inc. | 26,315 | 8,742,369 | ||||||
Universal Health Services, Inc., Class B | 15,540 | 1,947,628 | ||||||
Zimmer Biomet Holdings, Inc. | 20,754 | 3,384,147 | ||||||
96,470,954 | ||||||||
Industrials—13.6% | ||||||||
Air Canada* | 152,410 | 3,006,044 | ||||||
Allegion PLC | 20,639 | 2,245,110 | ||||||
Allison Transmission Holdings, Inc.† | 134,120 | 5,085,830 | ||||||
Altra Industrial Motion Corp. | 74,727 | 4,328,188 | ||||||
AMETEK, Inc.† | 30,493 | 3,597,259 | ||||||
ASGN, Inc.* | 94,508 | 8,786,409 | ||||||
Boeing Co., (The)* | 12,974 | 2,750,618 | ||||||
BWX Technologies, Inc. | 44,344 | 2,572,396 | ||||||
Caterpillar, Inc. | 12,094 | 2,610,853 | ||||||
Deere & Co. | 12,378 | 4,321,407 | ||||||
Dover Corp. | 12,258 | 1,510,921 | ||||||
Eaton Corp., PLC† | 18,681 | 2,432,079 | ||||||
Expeditors International of Washington, Inc. | 30,448 | 2,796,344 | ||||||
FTI Consulting, Inc.* | 17,717 | 2,029,482 | ||||||
General Dynamics Corp. | 21,909 | 3,581,464 | ||||||
Hexcel Corp.* | 60,668 | 3,261,512 | ||||||
Howmet Aerospace, Inc.* | 119,937 | 3,371,429 | ||||||
Hubbell, Inc. | 9,539 | 1,693,268 | ||||||
Huntington Ingalls Industries, Inc. | 2,691 | 473,374 | ||||||
Huron Consulting Group, Inc.* | 97,849 | 4,980,514 | ||||||
ITT, Inc. | 10,927 | 906,723 | ||||||
Loomis AB | 218,477 | 5,711,381 | ||||||
Oshkosh Corp. | 24,521 | 2,599,226 | ||||||
Owens Corning† | 57,406 | 4,651,034 | ||||||
Parker-Hannifin Corp.† | 8,089 | 2,321,220 | ||||||
Regal Beloit Corp. | 7,339 | 1,003,021 | ||||||
Robert Half International, Inc.† | 35,551 | 2,765,512 | ||||||
Sensata Technologies Holding PLC* | 57,691 | 3,305,117 | ||||||
Southwest Airlines Co.* | 22,630 | 1,315,482 |
NUMBER OF SHARES | VALUE | |||||||
Industrials—(continued) | ||||||||
Teleperformance | 9,507 | $ | 3,367,903 | |||||
Textron, Inc. | 57,523 | 2,895,708 | ||||||
Union Pacific Corp. | 29,190 | 6,011,972 | ||||||
Vertiv Holdings Co. | 105,670 | 2,211,673 | ||||||
WESCO International, Inc.* | 42,176 | 3,385,889 | ||||||
107,886,362 | ||||||||
Information Technology—12.8% | ||||||||
Amdocs Ltd.† | 59,808 | 4,534,045 | ||||||
Applied Materials, Inc. | 52,667 | 6,224,713 | ||||||
Arrow Electronics, Inc.*† | 24,100 | 2,416,266 | ||||||
Broadcom, Inc. | 8,498 | 3,992,955 | ||||||
Capgemini SA | 23,064 | 3,704,077 | ||||||
Cisco Systems, Inc.† | 92,414 | 4,146,616 | ||||||
Concentrix Corp.* | 31,273 | 3,862,528 | ||||||
Fidelity National Information Services, Inc. | 13,072 | 1,803,936 | ||||||
Flex Ltd.*† | 171,772 | 3,124,533 | ||||||
HP, Inc.† | 208,358 | 6,036,131 | ||||||
InterDigital, Inc. | 45,789 | 2,901,649 | ||||||
Jabil, Inc.† | 101,643 | 4,387,928 | ||||||
KLA-Tencor Corp. | 9,973 | 3,103,897 | ||||||
Leidos Holdings, Inc.† | 39,663 | 3,508,192 | ||||||
Micron Technology, Inc.* | 79,226 | 7,251,556 | ||||||
Microsoft Corp.† | 36,386 | 8,455,379 | ||||||
ON Semiconductor Corp.*† | 114,598 | 4,614,861 | ||||||
Oracle Corp.† | 75,339 | 4,860,119 | ||||||
Qorvo, Inc.* | 23,487 | 4,103,884 | ||||||
Samsung Electronics Co., Ltd. | 67,012 | 4,911,019 | ||||||
Science Applications International Corp. | 64,871 | 5,587,339 | ||||||
SS&C Technologies Holdings, Inc. | 68,376 | 4,531,961 | ||||||
Western Digital Corp.* | 53,487 | 3,665,464 | ||||||
101,729,048 | ||||||||
Materials—5.8% | ||||||||
Avery Dennison Corp. | 12,910 | 2,261,961 | ||||||
Corteva, Inc.† | 51,578 | 2,328,747 | ||||||
DuPont de Nemours, Inc. | 100,564 | 7,071,660 | ||||||
Eagle Materials, Inc.* | 16,537 | 2,073,409 | ||||||
FMC Corp. | 47,777 | 4,858,443 | ||||||
Glencore PLC | 368,632 | 1,500,190 | ||||||
Ingevity Corp.* | 26,656 | 1,852,059 | ||||||
Linde PLC | 8,125 | 1,984,694 | ||||||
Mosaic Co., (The)† | 196,851 | 5,787,419 | ||||||
PPG Industries, Inc. | 18,463 | 2,489,182 | ||||||
Steel Dynamics, Inc.† | 79,871 | 3,321,036 | ||||||
Tronox Holdings PLC, Class A | 120,950 | 2,218,223 | ||||||
Valvoline, Inc.† | 121,030 | 3,020,909 | ||||||
West Fraser Timber Co., Ltd. | 35,045 | 2,395,816 | ||||||
WestRock Co. | 61,887 | 2,697,654 | ||||||
45,861,402 | ||||||||
Real Estate—0.2% | ||||||||
Host Hotels & Resorts, Inc.* | 125,070 | 2,074,911 | ||||||
Utilities—0.3% | ||||||||
CenterPoint Energy, Inc. | 70,343 | 1,367,468 | ||||||
Vistra Energy Corp. | 64,850 | 1,118,662 | ||||||
2,486,130 | ||||||||
TOTAL COMMON STOCKS (Cost $505,217,876) | 767,273,914 |
The accompanying notes are an integral part of the financial statements.
20 | Semi-Annual Report 2021
BOSTON PARTNERS INVESTMENT FUNDS | February 28, 2021 (unaudited) |
BOSTON PARTNERS LONG/SHORT RESEARCH FUND | Portfolio Of Investments (continued) |
NUMBER OF SHARES | VALUE | |||||||
WARRANTS—0.0% | ||||||||
Energy—0.0% | ||||||||
Vista Oil & Gas SAB de CV * | 1,204,819 | $ | 29,370 | |||||
TOTAL WARRANTS (Cost $0) | 29,370 | |||||||
SHORT-TERM INVESTMENTS—0.6% | ||||||||
U.S. Bank Money Market Deposit Account, 0.01%(a) | 4,872,748 | 4,872,748 | ||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $4,872,748) | 4,872,748 | |||||||
TOTAL LONG POSITIONS—97.1% (Cost $510,090,623 | 772,176,032 | |||||||
SECURITIES SOLD SHORT—(37.8%) | ||||||||
COMMON STOCKS—(37.8%) | ||||||||
Communication Services—(1.5%) | ||||||||
Dentsu Group, Inc. | (54,900 | ) | (1,917,059 | ) | ||||
JCDecaux SA* | (78,369 | ) | (1,856,366 | ) | ||||
Lions Gate Entertainment Corp., Class A* | (93,075 | ) | (1,351,449 | ) | ||||
Pearson PLC | (165,308 | ) | (1,741,612 | ) | ||||
Twitter, Inc.* | (37,247 | ) | (2,870,254 | ) | ||||
ViacomCBS, Inc., Class B | (28,242 | ) | (1,821,327 | ) | ||||
(11,558,067 | ) | |||||||
Consumer Discretionary—(4.5%) | ||||||||
CarMax, Inc.* | (10,136 | ) | (1,211,353 | ) | ||||
Carvana Co.* | (10,899 | ) | (3,089,866 | ) | ||||
Choice Hotels International, Inc.* | (29,988 | ) | (3,144,842 | ) | ||||
Floor & Decor Holdings, Inc., Class A* | (17,536 | ) | (1,667,498 | ) | ||||
GSX Techedu, Inc. - ADR* | (22,525 | ) | (2,316,696 | ) | ||||
LGI Homes, Inc.* | (32,538 | ) | (3,554,777 | ) | ||||
Monro Muffler Brake, Inc. | (28,552 | ) | (1,769,938 | ) | ||||
Papa John’s International, Inc. | (16,955 | ) | (1,529,171 | ) | ||||
RH* | (4,558 | ) | (2,235,106 | ) | ||||
SeaWorld Entertainment, Inc.* | (63,986 | ) | (3,177,545 | ) | ||||
Shift Technologies, Inc.* | (248,103 | ) | (2,195,712 | ) | ||||
Stitch Fix, Inc., Class A* | (22,891 | ) | (1,746,812 | ) | ||||
Tesla Motors, Inc.* | (3,399 | ) | (2,296,025 | ) | ||||
Vail Resorts, Inc. | (9,970 | ) | (3,082,525 | ) | ||||
Whitbread PLC* | (42,582 | ) | (2,026,944 | ) | ||||
WW International, Inc.* | (33,467 | ) | (986,942 | ) | ||||
(36,031,752 | ) | |||||||
Consumer Staples—(3.0%) | ||||||||
Beiersdorf AG | (28,548 | ) | (2,820,742 | ) | ||||
Beyond Meat, Inc.* | (10,069 | ) | (1,464,838 | ) | ||||
Cal-Maine Foods, Inc.* | (59,438 | ) | (2,264,588 | ) | ||||
Campbell Soup Co. | (45,867 | ) | (2,086,031 | ) | ||||
Fevertree Drinks PLC | (57,288 | ) | (1,818,958 | ) | ||||
Grocery Outlet Holding Corp.* | (32,287 | ) | (1,162,009 | ) | ||||
Hormel Foods Corp. | (47,918 | ) | (2,221,958 | ) | ||||
Japan Tobacco, Inc. | (61,800 | ) | (1,118,983 | ) | ||||
Kellogg Co. | (50,374 | ) | (2,907,083 | ) | ||||
Kimberly-Clark Corp. | (22,654 | ) | (2,907,188 | ) | ||||
Kose Corp. | (13,300 | ) | (2,137,845 | ) | ||||
Rite Aid Corp.* | (53,205 | ) | (1,041,754 | ) | ||||
(23,951,977 | ) | |||||||
Energy—(2.2%) | ||||||||
Baker Hughes Co. | (130,054 | ) | (3,183,722 | ) | ||||
Devon Energy Corp. | 0 | (2 | ) | |||||
Equinor ASA | (69,091 | ) | (1,310,269 | ) | ||||
Hess Corp. | (51,428 | ) | (3,370,077 | ) |
NUMBER OF SHARES | VALUE | |||||||
Energy—(continued) | ||||||||
NOV, Inc.* | (209,174 | ) | $ | (3,158,527 | ) | |||
ONEOK, Inc. | (71,349 | ) | (3,160,047 | ) | ||||
Repsol SA | (292,428 | ) | (3,681,022 | ) | ||||
(17,863,666 | ) | |||||||
Financials—(8.6%) | ||||||||
Bank of Hawaii Corp. | (47,687 | ) | (4,172,612 | ) | ||||
Commerce Bancshares, Inc. | (50,664 | ) | (3,750,686 | ) | ||||
Commonwealth Bank of Australia | (47,081 | ) | (2,955,216 | ) | ||||
Community Bank System, Inc. | (53,672 | ) | (3,820,910 | ) | ||||
Credit Acceptance Corp.* | (7,184 | ) | (2,607,936 | ) | ||||
Cullen/Frost Bankers, Inc. | (38,435 | ) | (4,012,614 | ) | ||||
CVB Financial Corp. | (147,592 | ) | (3,159,945 | ) | ||||
Deutsche Bank AG* | (298,375 | ) | (3,671,741 | ) | ||||
eHealth, Inc.* | (7,991 | ) | (474,825 | ) | ||||
First Financial Bankshares, Inc. | (94,075 | ) | (4,201,389 | ) | ||||
Franklin Resources, Inc. | (147,611 | ) | (3,862,980 | ) | ||||
Glacier Bancorp, Inc. | (72,829 | ) | (3,947,332 | ) | ||||
GoHealth, Inc., Class A* | (76,758 | ) | (1,041,606 | ) | ||||
Hamilton Lane, Inc., Class A | (26,242 | ) | (2,346,035 | ) | ||||
Hang Seng Bank Ltd. | (180,200 | ) | (3,480,248 | ) | ||||
HSBC Holdings PLC | (575,762 | ) | (3,449,040 | ) | ||||
Independent Bank Corp. | (47,685 | ) | (4,077,544 | ) | ||||
M&T Bank Corp. | (21,377 | ) | (3,226,644 | ) | ||||
RLI Corp. | (24,546 | ) | (2,561,130 | ) | ||||
Trustmark Corp. | (52,539 | ) | (1,584,576 | ) | ||||
Westamerica Bancorporation | (55,774 | ) | (3,352,575 | ) | ||||
WisdomTree Investments, Inc. | (557,930 | ) | (2,957,029 | ) | ||||
(68,714,613 | ) | |||||||
Health Care—(2.6%) | ||||||||
Allogene Therapeutics, Inc.* | (31,904 | ) | (1,107,388 | ) | ||||
American Well Corp., Class A* | (34,153 | ) | (835,724 | ) | ||||
BioNTech SE - ADR* | (10,333 | ) | (1,126,607 | ) | ||||
Clover Health Investments Corp.* | (92,799 | ) | (872,311 | ) | ||||
Galapagos NV* | (8,777 | ) | (724,729 | ) | ||||
Glaukos Corp.* | (15,629 | ) | (1,477,878 | ) | ||||
Global Blood Therapeutics, Inc.* | (14,579 | ) | (621,065 | ) | ||||
GoodRx Holdings, Inc., Class A* | (24,312 | ) | (1,082,370 | ) | ||||
Inovalon Holdings, Inc., Class A* | (90,202 | ) | (2,215,361 | ) | ||||
Moderna, Inc.* | (7,242 | ) | (1,121,134 | ) | ||||
Nippon Shinyaku Co., Ltd. | (15,900 | ) | (1,082,809 | ) | ||||
Penumbra, Inc.* | (3,996 | ) | (1,136,582 | ) | ||||
Quidel Corp.* | (5,822 | ) | (956,322 | ) | ||||
Royalty Pharma PLC, Class A | (26,229 | ) | (1,221,485 | ) | ||||
Sage Therapeutics, Inc.* | (16,431 | ) | (1,396,635 | ) | ||||
Siemens Healthineers AG | (27,627 | ) | (1,530,976 | ) | ||||
SmileDirectClub, Inc.* | (84,113 | ) | (975,711 | ) | ||||
Teladoc Health, Inc.* | (4,321 | ) | (955,330 | ) | ||||
(20,440,417 | ) | |||||||
Industrials—(5.8%) | ||||||||
ABB Ltd. | (30,252 | ) | (870,940 | ) | ||||
AO Smith Corp. | (17,309 | ) | (1,027,635 | ) | ||||
Belimo Holding AG | (184 | ) | (1,341,867 | ) | ||||
Central Japan Railway Co. | (19,500 | ) | (3,213,098 | ) | ||||
Chart Industries, Inc.* | (25,691 | ) | (3,676,125 | ) | ||||
Dun & Bradstreet Holdings, Inc.* | (64,898 | ) | (1,418,670 | ) | ||||
Elbit Systems Ltd. | (13,410 | ) | (1,735,659 | ) | ||||
FuelCell Energy, Inc.* | (30,235 | ) | (512,181 | ) | ||||
Healthcare Services Group, Inc. | (41,673 | ) | (1,185,597 | ) | ||||
Keio Corp. | (34,400 | ) | (2,580,949 | ) | ||||
Kennametal, Inc. | (36,847 | ) | (1,376,604 | ) |
The accompanying notes are an integral part of the financial statements.
Semi-Annual Report 2021 | 21
BOSTON PARTNERS INVESTMENT FUNDS | February 28, 2021 (unaudited) |
BOSTON PARTNERS LONG/SHORT RESEARCH FUND | Portfolio Of Investments (continued) |
NUMBER OF SHARES | VALUE | |||||||
Industrials—(continued) | ||||||||
Lennox International, Inc. | (9,861 | ) | $ | (2,758,812 | ) | |||
Lindsay Corp. | (10,383 | ) | (1,663,876 | ) | ||||
Nikola Corp.* | (64,224 | ) | (1,162,454 | ) | ||||
Odakyu Electric Railway Co., Ltd. | (70,500 | ) | (2,072,045 | ) | ||||
Proto Labs, Inc.* | (17,807 | ) | (2,594,124 | ) | ||||
Spirit Airlines, Inc.* | (92,013 | ) | (3,301,427 | ) | ||||
TOTO Ltd. | (14,700 | ) | (891,522 | ) | ||||
Trex Co., Inc.* | (35,819 | ) | (3,282,453 | ) | ||||
Trinity Industries, Inc. | (47,095 | ) | (1,511,750 | ) | ||||
VAT Group AG* | (3,737 | ) | (1,038,905 | ) | ||||
Wartsila OYJ Abp | (171,396 | ) | (1,967,985 | ) | ||||
Xinyi Glass Holdings Ltd. | (1,152,000 | ) | (3,223,353 | ) | ||||
Xylem, Inc. | (15,487 | ) | (1,541,886 | ) | ||||
(45,949,917 | ) | |||||||
Information Technology—(3.9%) | ||||||||
Appian Corp.* | (13,738 | ) | (2,361,562 | ) | ||||
Blackline, Inc.* | (25,071 | ) | (3,109,305 | ) | ||||
Ceridian HCM Holding, Inc.* | (20,646 | ) | (1,851,120 | ) | ||||
Cognex Corp. | (16,597 | ) | (1,370,746 | ) | ||||
Cree, Inc.* | (25,547 | ) | (2,898,563 | ) | ||||
Guidewire Software, Inc.* | (27,707 | ) | (3,075,200 | ) | ||||
Hirose Electric Co., Ltd. | (11,700 | ) | (1,715,083 | ) | ||||
Jack Henry & Associates, Inc. | (11,472 | ) | (1,702,904 | ) | ||||
Landis+Gyr Group AG* | (23,784 | ) | (1,649,602 | ) | ||||
Novanta, Inc.* | (20,402 | ) | (2,699,797 | ) | ||||
Palantir Technologies, Inc., Class A* | (58,081 | ) | (1,388,136 | ) | ||||
Q2 Holdings, Inc.* | (27,187 | ) | (3,313,552 | ) | ||||
Seiko Epson Corp. | (108,700 | ) | (1,801,407 | ) | ||||
Shopify, Inc., Class A* | (1,396 | ) | (1,788,234 | ) | ||||
(30,725,211 | ) | |||||||
Materials—(5.2%) | ||||||||
Albemarle Corp. | (9,007 | ) | (1,415,990 | ) | ||||
Antofagasta PLC | (123,770 | ) | (3,089,046 | ) | ||||
BillerudKorsnas AB | (242,997 | ) | (4,461,238 | ) | ||||
Compass Minerals International, Inc | (49,362 | ) | (3,114,249 | ) | ||||
Ecolab, Inc. | (9,758 | ) | (2,042,935 | ) | ||||
Ferro Corp.* | (164,821 | ) | (2,615,709 | ) | ||||
Greif, Inc., Class A | (51,690 | ) | (2,496,627 | ) | ||||
Johnson Matthey PLC | (61,957 | ) | (2,647,470 | ) | ||||
Mitsubishi Chemical Holdings Corp. | (424,400 | ) | (2,967,796 | ) | ||||
Nippon Paper Industries Co., Ltd. | (229,900 | ) | (3,016,141 | ) | ||||
Quaker Chemical Corp. | (6,165 | ) | (1,740,873 | ) | ||||
Stepan Co. | (16,992 | ) | (2,050,765 | ) | ||||
Tokai Carbon Co., Ltd. | (210,900 | ) | (2,864,865 | ) | ||||
Umicore SA | (72,572 | ) | (4,263,511 | ) | ||||
Wacker Chemie AG | (18,563 | ) | (2,406,135 | ) | ||||
(41,193,350 | ) |
NUMBER OF SHARES | VALUE | |||||||
Real Estate—(0.5%) | ||||||||
Alexandria Real Estate Equities, Inc. | (10,083 | ) | $ | (1,610,154 | ) | |||
Iron Mountain, Inc. | (46,334 | ) | (1,611,960 | ) | ||||
KE Holdings, Inc. - ADR* | (18,448 | ) | (1,177,537 | ) | ||||
(4,399,651 | ) | |||||||
TOTAL COMMON STOCKS (Proceeds $(248,781,917)) | (300,828,621 | ) | ||||||
TOTAL SECURITIES SOLD SHORT—(37.8%) (Proceeds $(248,781,918)) | (300,828,621 | ) | ||||||
OTHER ASSETS IN EXCESS OF LIABILITIES—40.7% | 323,514,257 | |||||||
NET ASSETS—100.0% | $ | 794,861,668 |
ADR | — | American Depositary Receipt |
PLC | — | Public Limited Company |
SP ADR | — | Sponsored American Depositary Receipt |
* | — | Non-income producing. |
(a) | — | The rate shown is as of February 28, 2021. |
† | — | Security position is either entirely or partially held in a segregated account as collateral for securities sold short. |
‡ | — | Security has been valued at fair market value using significant unobservable inputs as determined in good faith by or under the direction of The RBB Fund, Inc.’s Board of Directors. As of February 28, 2021, these securities amounted to $29,370 or 0.0% of net assets |
Industry classifications may be different than those used for compliance monitoring purposes. |
The accompanying notes are an integral part of the financial statements.
22 | Semi-Annual Report 2021
BOSTON PARTNERS INVESTMENT FUNDS | February 28, 2021 (unaudited) |
BOSTON PARTNERS LONG/SHORT RESEARCH FUND | Portfolio Of Investments (continued) |
Contracts For Difference held by the Fund at February 28, 2021, are as follows:
REFERENCE COMPANY | COUNTERPARTY | EXPIRATION DATE | FINANCING RATE | PAYMENT FREQUENCY | NUMBER OF CONTRACTS LONG/ (SHORT) | NOTIONAL AMOUNT | UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||||||||
Long | ||||||||||||||||||||||
United States | ||||||||||||||||||||||
International Game Technology | Goldman Sachs | 09/18/2025 | 0.11% | Monthly | 132,279 | $ | 2,419,383 | $ | 153,092 | |||||||||||||
Total Long | 2,419,383 | 153,092 | ||||||||||||||||||||
Short | ||||||||||||||||||||||
Saudi Arabia | ||||||||||||||||||||||
Saudi Arabian Oil Co. | Goldman Sachs | 09/18/2025 | 0.07 | Monthly | (6,006,386 | ) | $ | (5,955,395 | ) | $ | 49,743 | |||||||||||
South Korea | ||||||||||||||||||||||
Sillajen, Inc. | Goldman Sachs | 09/18/2025 | 0.07 | Monthly | (307,496 | ) | (3,327,107 | ) | 36,971 | |||||||||||||
Taiwan | ||||||||||||||||||||||
ACER, Inc. | Goldman Sachs | 09/18/2025 | 0.07 | Monthly | (1,648,000 | ) | (1,588,684 | ) | (28,497 | ) | ||||||||||||
Advantech Co., Ltd. | Macquarie | 12/23/2021 | 0.01 | Monthly | (173,000 | ) | (2,251,593 | ) | 44,010 | |||||||||||||
(3,840,277 | ) | 15,513 | ||||||||||||||||||||
Thailand | ||||||||||||||||||||||
Thai Oil PCL | Morgan Stanley | 09/22/2022 | 0.07 | Monthly | (4,350,423 | ) | (4,330,057 | ) | 15,307 | |||||||||||||
Total Short | (17,452,836 | ) | 117,534 | |||||||||||||||||||
Net unrealized gain/(loss) on Contracts For Difference | $ | 270,626 |
The accompanying notes are an integral part of the financial statements.
Semi-Annual Report 2021 | 23
BOSTON PARTNERS INVESTMENT FUNDS | February 28, 2021 (unaudited) |
BOSTON PARTNERS LONG/SHORT RESEARCH FUND | Portfolio Of Investments (concluded) |
A summary of the inputs used to value the Fund’s investments carried at fair value as of February 28, 2021 is as follows (see Notes to Portfolio of Investments):
TOTAL | LEVEL 1 | LEVEL 2 | LEVEL 3 | |||||||||||||
Common Stock | ||||||||||||||||
Communication Services | $ | 62,788,745 | $ | 62,788,745 | $ | — | $ | — | ||||||||
Consumer Discretionary | 101,481,833 | 89,278,556 | 12,203,277 | — | ||||||||||||
Consumer Staples | 37,540,334 | 35,529,737 | 2,010,597 | — | ||||||||||||
Energy | 81,618,325 | 81,258,586 | 359,739 | — | ||||||||||||
Financials | 127,335,870 | 110,482,459 | 16,853,411 | — | ||||||||||||
Health Care | 96,470,954 | 89,308,205 | 7,162,749 | — | ||||||||||||
Industrials | 107,886,362 | 98,807,078 | 9,079,284 | — | ||||||||||||
Information Technology | 101,729,048 | 93,113,952 | 8,615,096 | — | ||||||||||||
Materials | 45,861,402 | 44,361,212 | 1,500,190 | — | ||||||||||||
Real Estate | 2,074,911 | 2,074,911 | — | — | ||||||||||||
Utilities | 2,486,130 | 2,486,130 | — | — | ||||||||||||
Warrants | 29,370 | — | — | 29,370 | ||||||||||||
Short-Term Investments | 4,872,748 | 4,872,748 | — | — | ||||||||||||
Contracts For Difference | ||||||||||||||||
Equity Contracts | 299,123 | 262,152 | 36,971 | — | ||||||||||||
Total Assets | $ | 772,475,155 | $ | 714,624,471 | $ | 57,821,314 | $ | 29,370 | ||||||||
TOTAL | LEVEL 1 | LEVEL 2 | LEVEL 3 | |||||||||||||
Securities Sold Short | ||||||||||||||||
Communication Services | $ | (11,558,067 | ) | $ | (6,043,030 | ) | $ | (5,515,037 | ) | $ | — | |||||
Consumer Discretionary | (36,031,752 | ) | (34,004,808 | ) | (2,026,944 | ) | — | |||||||||
Consumer Staples | (23,951,977 | ) | (17,874,407 | ) | (6,077,570 | ) | — | |||||||||
Energy | (17,863,666 | ) | (12,872,375 | ) | (4,991,291 | ) | — | |||||||||
Financials | (68,714,613 | ) | (55,158,368 | ) | (13,556,245 | ) | — | |||||||||
Health Care | (20,440,417 | ) | (17,101,903 | ) | (3,338,514 | ) | — | |||||||||
Industrials | (45,949,917 | ) | (27,013,594 | ) | (18,936,323 | ) | — | |||||||||
Information Technology | (30,725,211 | ) | (25,559,119 | ) | (5,166,092 | ) | — | |||||||||
Materials | (41,193,350 | ) | (15,477,148 | ) | (25,716,202 | ) | — | |||||||||
Real Estate | (4,399,651 | ) | (4,399,651 | ) | — | — | ||||||||||
Contracts For Difference | ||||||||||||||||
Equity Contracts | (28,497 | ) | (28,497 | ) | — | — | ||||||||||
Total Liabilities | $ | (300,857,118 | ) | $ | (215,532,900 | ) | $ | (85,324,218 | ) | $ | — |
The accompanying notes are an integral part of the financial statements.
24 | Semi-Annual Report 2021
BOSTON PARTNERS INVESTMENT FUNDS | February 28, 2021 (unaudited) |
BOSTON PARTNERS ALL-CAP VALUE FUND | Portfolio Of Investments |
NUMBER OF SHARES | VALUE | |||||||
COMMON STOCKS—98.9% | ||||||||
Communication Services—5.0% | ||||||||
Activision Blizzard, Inc. | 85,277 | $ | 8,153,334 | |||||
Alphabet, Inc., Class A* | 7,661 | 15,489,852 | ||||||
Electronic Arts, Inc. | 27,554 | 3,691,409 | ||||||
Facebook, Inc., Class A* | 38,243 | 9,852,162 | ||||||
Interpublic Group of Cos., Inc., (The)(a) | 437,805 | 11,435,467 | ||||||
Momo, Inc. - SP ADR | 150,438 | 2,382,938 | ||||||
NetEase, Inc. - ADR | 86,646 | 9,518,063 | ||||||
Omnicom Group, Inc. | 57,749 | 3,969,089 | ||||||
T-Mobile US, Inc.* | 116,157 | 13,935,355 | ||||||
78,427,669 | ||||||||
Consumer Discretionary—8.5% | ||||||||
AutoZone, Inc.* | 8,457 | 9,809,443 | ||||||
eBay, Inc. | 178,944 | 10,096,020 | ||||||
Foot Locker, Inc. | 277,944 | 13,366,327 | ||||||
Gentex Corp. | 88,602 | 3,134,739 | ||||||
Harley-Davidson, Inc. | 228,311 | 8,143,853 | ||||||
International Game Technology PLC* | 345,572 | 6,320,512 | ||||||
Lear Corp.(a) | 46,042 | 7,647,116 | ||||||
LKQ Corp.* | 338,650 | 13,339,424 | ||||||
Lowe’s Cos., Inc. | 37,596 | 6,005,961 | ||||||
Magna International, Inc.(a) | 61,862 | 5,208,780 | ||||||
Mohawk Industries, Inc.* | 74,444 | 13,026,956 | ||||||
NVR, Inc.* | 2,768 | 12,458,325 | ||||||
Travel + Leisure Co. | 84,689 | 5,117,756 | ||||||
Ulta Beauty, Inc.*(a) | 16,417 | 5,291,692 | ||||||
Whirlpool Corp.(a) | 41,308 | 7,851,825 | ||||||
Wyndham Hotels & Resorts, Inc. | 73,919 | 4,825,432 | ||||||
131,644,161 | ||||||||
Consumer Staples—1.7% | ||||||||
Altria Group, Inc. | 110,738 | 4,828,177 | ||||||
Ambev SA - ADR(a) | 1,223,717 | 3,120,478 | ||||||
Coca-Cola European Partners PLC | 93,704 | 4,774,219 | ||||||
Nomad Foods Ltd.*(a) | 278,890 | 6,587,382 | ||||||
Philip Morris International, Inc. | 84,372 | 7,088,935 | ||||||
26,399,191 | ||||||||
Energy—5.9% | ||||||||
BP PLC - SP ADR | 183,516 | 4,479,626 | ||||||
Canadian Natural Resources Ltd.(a) | 233,225 | 6,364,710 | ||||||
ChampionX Corp.* | 126,140 | 2,682,998 | ||||||
Cimarex Energy Co. | 149,476 | 8,668,113 | ||||||
ConocoPhillips | 108,431 | 5,639,496 | ||||||
Diamondback Energy, Inc.(a) | 136,615 | 9,464,687 | ||||||
EOG Resources, Inc. | 140,951 | 9,099,797 | ||||||
Helmerich & Payne, Inc. | 205,573 | 5,906,112 | ||||||
Marathon Oil Corp.(a) | 731,311 | 8,117,552 | ||||||
Phillips 66 | 64,884 | 5,388,616 | ||||||
Pioneer Natural Resources Co.(a) | 48,052 | 7,139,086 | ||||||
Royal Dutch Shell PLC, Class A – SP ADR(a) | 130,318 | 5,346,948 | ||||||
Schlumberger Ltd. | 340,531 | 9,504,220 | ||||||
World Fuel Services Corp. | 110,879 | 3,446,119 | ||||||
91,248,080 | ||||||||
Financials—23.9% | ||||||||
Aflac, Inc. | 263,118 | 12,600,721 | ||||||
Alleghany Corp. | 20,498 | 13,250,522 | ||||||
Allstate Corp., (The) | 145,579 | 15,518,721 | ||||||
American International Group, Inc. | 492,677 | 21,653,154 | ||||||
Aon PLC, Class A(a) | 37,326 | 8,499,503 |
NUMBER OF SHARES | VALUE | |||||||
Financials—(continued) | ||||||||
Bank of America Corp. | 963,543 | $ | 33,444,578 | |||||
Charles Schwab Corp., (The) | 304,468 | 18,791,765 | ||||||
Chubb Ltd. | 104,703 | 17,022,614 | ||||||
Citigroup, Inc. | 360,731 | 23,764,958 | ||||||
Discover Financial Services | 97,431 | 9,165,334 | ||||||
Fifth Third Bancorp | 216,124 | 7,497,342 | ||||||
Globe Life, Inc. | 81,811 | 7,641,147 | ||||||
Goldman Sachs Group, Inc., (The) | 61,566 | 19,669,106 | ||||||
Huntington Bancshares, Inc.(a) | 685,731 | 10,519,114 | ||||||
JPMorgan Chase & Co. | 227,989 | 33,553,141 | ||||||
KeyCorp | 1,018,439 | 20,511,361 | ||||||
Loews Corp. | 277,206 | 13,253,219 | ||||||
Markel Corp.* | 5,987 | 6,518,646 | ||||||
Renaissance Holdings Ltd.(a) | 88,828 | 14,832,499 | ||||||
Synchrony Financial | 214,792 | 8,308,155 | ||||||
Travelers Cos., Inc., (The) | 71,066 | 10,340,103 | ||||||
Truist Financial Corp. | 294,332 | 16,765,151 | ||||||
Wells Fargo & Co. | 353,936 | 12,801,865 | ||||||
White Mountains Insurance Group Ltd. | 13,298 | 15,891,908 | ||||||
371,814,627 | ||||||||
Health Care—22.9% | ||||||||
AbbVie, Inc. | 199,780 | 21,524,297 | ||||||
AmerisourceBergen Corp. | 100,812 | �� | 10,204,191 | |||||
Amgen, Inc. | 89,508 | 20,132,139 | ||||||
Anthem, Inc. | 54,465 | 16,513,243 | ||||||
Avantor, Inc.*(a) | 507,563 | 14,145,781 | ||||||
Biogen, Inc.* | 42,938 | 11,716,921 | ||||||
Centene Corp.* | 268,670 | 15,727,942 | ||||||
Change Healthcare, Inc.* | 320,868 | 7,338,251 | ||||||
Cigna Corp. | 40,089 | 8,414,681 | ||||||
Humana, Inc. | 32,747 | 12,432,399 | ||||||
Johnson & Johnson | 263,982 | 41,830,588 | ||||||
Laboratory Corp. of America Holdings* | 26,370 | 6,326,427 | ||||||
McKesson Corp. | 106,897 | 18,121,179 | ||||||
Medtronic PLC | 303,839 | 35,540,048 | ||||||
Merck & Co., Inc. | 262,644 | 19,073,207 | ||||||
Molina Healthcare, Inc.*(a) | 31,898 | 6,914,210 | ||||||
Novartis AG - SP ADR(a) | 238,277 | 20,470,377 | ||||||
Pfizer, Inc. | 667,636 | 22,359,130 | ||||||
Roche Holding AG - SP ADR | 196,026 | 8,056,669 | ||||||
Stryker Corp. | 29,962 | 7,271,478 | ||||||
UnitedHealth Group, Inc. | 59,158 | 19,653,471 | ||||||
Zimmer Biomet Holdings, Inc. | 80,017 | 13,047,572 | ||||||
356,814,201 | ||||||||
Industrials—14.6% | ||||||||
Allegion PLC | 6,191 | 673,457 | ||||||
Allison Transmission Holdings, Inc. | 173,503 | 6,579,234 | ||||||
Altra Industrial Motion Corp. | 85,621 | 4,959,168 | ||||||
AMETEK, Inc. | 74,937 | 8,840,318 | ||||||
ASGN, Inc.*(a) | 2,444 | 227,219 | ||||||
Boeing Co., (The)* | 74,236 | 15,738,774 | ||||||
BWX Technologies, Inc. | 155,022 | 8,992,826 | ||||||
Caterpillar, Inc. | 49,258 | 10,633,817 | ||||||
Curtiss-Wright Corp. | 88,849 | 9,816,926 | ||||||
Deere & Co. | 40,247 | 14,051,033 | ||||||
Dover Corp.(a) | 65,321 | 8,051,466 | ||||||
Eaton Corp., PLC | 57,111 | 7,435,281 | ||||||
EnerSys | 61,609 | 5,562,060 | ||||||
Expeditors International of Washington, Inc. | 67,990 | 6,244,202 | ||||||
General Dynamics Corp. | 48,529 | 7,933,036 |
The accompanying notes are an integral part of the financial statements.
Semi-Annual Report 2021 | 25
BOSTON PARTNERS INVESTMENT FUNDS | February 28, 2021 (unaudited) |
BOSTON PARTNERS ALL-CAP VALUE FUND | Portfolio Of Investments (continued) |
NUMBER OF SHARES | VALUE | |||||||
Industrials—(continued) | ||||||||
Howmet Aerospace, Inc.* | 409,647 | $ | 11,515,177 | |||||
Huron Consulting Group, Inc.* | 128,258 | 6,528,332 | ||||||
Landstar System, Inc. | 37,376 | 5,985,393 | ||||||
ManpowerGroup, Inc. | 43,536 | 4,111,540 | ||||||
Masco Corp. | 142,342 | 7,575,441 | ||||||
Oshkosh Corp. | 64,673 | 6,855,338 | ||||||
Owens Corning | 100,832 | 8,169,409 | ||||||
PACCAR, Inc. | 94,615 | 8,609,019 | ||||||
Robert Half International, Inc. | 77,779 | 6,050,428 | ||||||
Sensata Technologies Holding PLC* | 136,333 | 7,810,517 | ||||||
Spirit AeroSystems Holdings, Inc., Class A | 212,052 | 9,082,187 | ||||||
Textron, Inc. | 170,687 | 8,592,384 | ||||||
United Parcel Service, Inc., Class B | 63,967 | 10,095,912 | ||||||
WESCO International, Inc.* | 139,983 | 11,237,835 | ||||||
227,957,729 | ||||||||
Information Technology—11.3% | ||||||||
Amdocs Ltd. | 107,261 | 8,131,456 | ||||||
Analog Devices, Inc.(a) | 36,731 | 5,723,424 | ||||||
Arrow Electronics, Inc.* | 79,718 | 7,992,527 | ||||||
Belden, Inc. | 67,065 | 2,964,944 | ||||||
Cisco Systems, Inc. | 283,946 | 12,740,657 | ||||||
Cognizant Technology Solutions Corp., Class A | 184,266 | 13,539,866 | ||||||
Fidelity National Information Services, Inc. | 69,690 | 9,617,220 | ||||||
Flex Ltd.* | 509,990 | 9,276,718 | ||||||
Hewlett Packard Enterprise Co.(a) | 368,525 | 5,365,724 | ||||||
Jabil, Inc. | 274,236 | 11,838,768 | ||||||
Leidos Holdings, Inc. | 89,742 | 7,937,680 | ||||||
Oracle Corp. | 318,733 | 20,561,466 | ||||||
Qorvo, Inc.* | 140,210 | 24,498,893 | ||||||
Science Applications International Corp. | 160,929 | 13,860,815 | ||||||
SS&C Technologies Holdings, Inc. | 159,388 | 10,564,236 | ||||||
TE Connectivity Ltd. | 59,923 | 7,791,788 | ||||||
Western Digital Corp.* | 56,019 | 3,838,982 | ||||||
176,245,164 | ||||||||
Materials—4.7% | ||||||||
Cemex SAB de CV - SP ADR*(a) | 674,372 | 4,457,599 | ||||||
Corteva, Inc. | 227,874 | 10,288,511 | ||||||
CRH PLC - SP ADR | 188,496 | 8,167,532 | ||||||
DuPont de Nemours, Inc. | 144,536 | 10,163,772 | ||||||
FMC Corp.(a) | 127,338 | 12,949,001 | ||||||
Ingevity Corp.* | 60,228 | 4,184,641 | ||||||
Mosaic Co., (The) | 271,885 | 7,993,419 | ||||||
PPG Industries, Inc. | 37,949 | 5,116,284 | ||||||
Trinseo SA(a) | 65,956 | 4,268,013 | ||||||
Valvoline, Inc.(a) | 227,253 | 5,672,235 | ||||||
73,261,007 |
NUMBER OF SHARES | VALUE | |||||||
Utilities—0.4% | ||||||||
Vistra Energy Corp. | 327,122 | $ | 5,642,855 | |||||
TOTAL COMMON STOCKS (Cost $1,016,283,786) | 1,539,454,684 | |||||||
RIGHTS—0.0% | ||||||||
Information Technology—0.0% | ||||||||
CVR Banctec Inc. - Escrow Shares*‡ | 14,327 | 0 | ||||||
TOTAL RIGHTS (Cost $0) | 0 | |||||||
INVESTMENTS PURCHASED WITH PROCEEDS FROM SECURITIES LENDING COLLATERAL—4.5% | ||||||||
Mount Vernon Liquid Assets Portfolio, LLC, 0.13%(b) | 70,344,238 | 70,344,238 | ||||||
TOTAL INVESTMENTS PURCHASED WITH PROCEEDS FROM SECURITIES LENDING COLLATERAL (Cost $70,344,238) | 70,344,238 | |||||||
SHORT-TERM INVESTMENTS—0.9% | ||||||||
U.S. Bank Money Market Deposit Account, 0.01%(b) | 13,856,702 | 13,856,702 | ||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $13,856,702) | 13,856,702 | |||||||
TOTAL INVESTMENTS—104.3% (Cost $1,100,484,726) | 1,623,655,624 | |||||||
LIABILITIES IN EXCESS OF OTHER ASSETS—(4.3)% | (66,580,558 | ) | ||||||
NET ASSETS—100.0% | $ | 1,557,075,066 |
ADR | — | American Depositary Receipt |
PLC | — | Public Limited Company |
SP ADR | — | Sponsored American Depositary Receipt |
* | — | Non-income producing. |
CVR | — | Contingent Value Right |
(a) | — | All or a portion of the security is on loan. At February 28, 2021, the market value of securities on loan was $68,243,685. |
(b) | — | The rate shown is as of February 28, 2021. |
‡ | — | Security has been valued at fair market value using significant unobservable inputs as determined in good faith by or under the direction of The RBB Fund, Inc.’s Board of Directors. As of February 28, 2021, these securities amounted to $0 or 0.0% of net assets. |
Industry classifications may be different than those used for compliance monitoring purposes. |
The accompanying notes are an integral part of the financial statements.
26 | Semi-Annual Report 2021
BOSTON PARTNERS INVESTMENT FUNDS | February 28, 2021 (unaudited) |
BOSTON PARTNERS ALL-CAP VALUE FUND | Portfolio Of Investments (concluded) |
A summary of the inputs used to value the Fund’s investments carried at fair value as of February 28, 2021 is as follows (see Notes to Portfolio of Investments):
TOTAL | LEVEL 1 | LEVEL 2 | LEVEL 3 | INVESTMENTS MEASURED AT NET ASSET VALUE* | ||||||||||||||||
Common Stock | ||||||||||||||||||||
Communication Services | $ | 78,427,669 | $ | 78,427,669 | $ | — | $ | — | $ | — | ||||||||||
Consumer Discretionary | 131,644,161 | 131,644,161 | — | — | — | |||||||||||||||
Consumer Staples | 26,399,191 | 26,399,191 | — | — | — | |||||||||||||||
Energy | 91,248,080 | 91,248,080 | — | — | — | |||||||||||||||
Financials | 371,814,627 | 371,814,627 | — | — | — | |||||||||||||||
Health Care | 356,814,201 | 356,814,201 | — | — | — | |||||||||||||||
Industrials | 227,957,729 | 227,957,729 | — | — | — | |||||||||||||||
Information Technology | 176,245,164 | 176,245,164 | — | — | — | |||||||||||||||
Materials | 73,261,007 | 73,261,007 | — | — | — | |||||||||||||||
Utilities | 5,642,855 | 5,642,855 | — | — | — | |||||||||||||||
Rights | — | — | — | — | ** | — | ||||||||||||||
Investments Purchased with Proceeds from Securities Lending Collateral | 70,344,238 | — | — | — | 70,344,238 | |||||||||||||||
Short-Term Investments | 13,856,702 | 13,856,702 | — | — | — | |||||||||||||||
Total Assets | $ | 1,623,655,624 | $ | 1,553,311,386 | $ | — | $ | — | ** | $ | 70,344,238 |
* | Certain investments that are measured at fair value using the net asset value per share (or its equivalent) practical expedient have not been categorized in the fair value hierarchy to the amounts presented in the Portfolio of Investments. |
** | Value equals zero as of the end of the reporting period. |
The accompanying notes are an integral part of the financial statements.
Semi-Annual Report 2021 | 27
BOSTON PARTNERS INVESTMENT FUNDS | February 28, 2021 (unaudited) |
WPG PARTNERS SMALL/MICRO CAP VALUE FUND | Portfolio Of Investments |
NUMBER OF SHARES | VALUE | |||||||
COMMON STOCKS—97.8% | ||||||||
Communication Services—0.6% | ||||||||
TripAdvisor, Inc.*(a) | 3,198 | $ | 158,685 | |||||
Consumer Discretionary—6.9% | ||||||||
1-800-Flowers.com, Inc., Class A*(a) | 11,579 | 327,454 | ||||||
BJ’s Restaurants, Inc.*(a) | 7,788 | 432,468 | ||||||
Del Taco Restaurants, Inc. | 17,309 | 173,782 | ||||||
Designer Brands, Inc., Class A* | 15,060 | 188,099 | ||||||
Fossil Group, Inc.* | 3,485 | 52,763 | ||||||
Stride, Inc.* | 9,269 | 222,919 | ||||||
Universal Electronics, Inc.* | 3,416 | 198,777 | ||||||
WW International, Inc.*(a) | 5,638 | 166,265 | ||||||
1,762,527 | ||||||||
Consumer Staples—4.1% | ||||||||
Fresh Del Monte Produce, Inc. | 8,709 | 224,170 | ||||||
Landec Corp.* | 17,738 | 197,779 | ||||||
Primo Water Corp. | 8,440 | 120,607 | ||||||
TreeHouse Foods, Inc.* | 9,944 | 497,399 | ||||||
1,039,955 | ||||||||
Energy—8.3% | ||||||||
Brigham Minerals, Inc., Class A | 8,455 | 120,991 | ||||||
Diamondback Energy, Inc.(a) | 4,923 | 341,066 | ||||||
EQT Corp.*(a) | 13,218 | 235,148 | ||||||
Euronav NV | 26,499 | 233,986 | ||||||
Magnolia Oil & Gas Corp., Class A* | 12,782 | 154,151 | ||||||
National Energy Services Reunited Corp.*(a) | 20,489 | 271,479 | ||||||
Oasis Petroleum, Inc. | 4,542 | 258,258 | ||||||
Teekay Tankers Ltd., Class A*(a) | 25,095 | 315,946 | ||||||
Tourmaline Oil Corp. | 10,078 | 183,409 | ||||||
2,114,434 | ||||||||
Financials—24.9% | ||||||||
Ameris Bancorp(a) | 7,093 | 337,910 | ||||||
Axis Capital Holdings Ltd. | 7,966 | 402,522 | ||||||
Blucora, Inc.* | 14,894 | 241,283 | ||||||
Essent Group Ltd. | 10,477 | 431,967 | ||||||
First Foundation, Inc. | 19,624 | 448,408 | ||||||
First Interstate BancSystem, Inc., Class A | 8,185 | 371,763 | ||||||
Hanover Insurance Group, Inc., (The) | 1,311 | 151,224 | ||||||
HomeStreet, Inc. | 11,816 | 507,615 | ||||||
Kemper Corp. | 3,513 | 265,653 | ||||||
Ladder Capital Corp. | 16,961 | 194,034 | ||||||
National Bank Holdings Corp., Class A | 9,426 | 365,257 | ||||||
Peoples Bancorp, Inc. | 11,455 | 356,709 | ||||||
Popular, Inc. | 11,216 | 749,453 | ||||||
Premier Financial Corp. | 12,550 | 384,783 | ||||||
Triumph Bancorp, Inc.* | 4,224 | 323,981 | ||||||
Washington Trust Bancorp, Inc. | 5,638 | 268,087 | ||||||
Webster Financial Corp. | 10,128 | 560,180 | ||||||
6,360,829 | ||||||||
Health Care—2.6% | ||||||||
Lantheus Holdings, Inc.* | 13,721 | 256,308 | ||||||
Natus Medical, Inc.* | 5,311 | 137,608 | ||||||
PetIQ, Inc.*(a) | 8,308 | 286,377 | ||||||
680,293 |
NUMBER OF SHARES | VALUE | |||||||
Industrials—16.6% | ||||||||
ABM Industries, Inc. | 3,052 | $ | 131,785 | |||||
AerCap Holdings NV* | 13,124 | 632,314 | ||||||
Argan, Inc.(a) | 6,417 | 320,978 | ||||||
Beacon Roofing Supply, Inc.* | 11,440 | 547,175 | ||||||
BrightView Holdings, Inc.* | 11,518 | 183,251 | ||||||
Echo Global Logistics, Inc.* | 6,134 | 170,893 | ||||||
ICF International, Inc. | 2,811 | 234,578 | ||||||
JetBlue Airways Corp.* | 7,878 | 145,192 | ||||||
Knight-Swift Transportation Holdings, Inc., Class A | 11,015 | 475,848 | ||||||
Korn/Ferry International | 3,325 | 204,654 | ||||||
Matrix Service Co.* | 20,949 | 284,278 | ||||||
Matthews International Corp., Class A | 1,731 | 61,797 | ||||||
Tutor Perini Corp.* | 28,025 | 411,968 | ||||||
Univar Solutions, Inc.* | 9,578 | 190,698 | ||||||
Vectrus, Inc.* | 4,322 | 235,981 | ||||||
4,231,390 | ||||||||
Information Technology—7.9% | ||||||||
Alpha & Omega Semiconductor Ltd.* | 2,807 | 98,778 | ||||||
Axcelis Technologies, Inc.* | 7,769 | 286,443 | ||||||
Benchmark Electronics, Inc. | 5,000 | 142,000 | ||||||
Celestica, Inc.* | 20,545 | 170,113 | ||||||
Cognyte Software Ltd.* | 4,341 | 125,325 | ||||||
KBR, Inc. | 22,227 | 689,037 | ||||||
SMART Global Holdings, Inc.*(a) | 10,657 | 497,575 | ||||||
2,009,271 | ||||||||
Materials—12.7% | ||||||||
Chemours Co., (The) | 10,922 | 256,995 | ||||||
Commercial Metals Co. | 17,308 | 435,296 | ||||||
Constellium SE* | 11,291 | 149,493 | ||||||
Forterra, Inc.* | 5,680 | 132,173 | ||||||
Mosaic Co., (The) | 25,179 | 740,263 | ||||||
Schweitzer-Mauduit International, Inc. | 4,984 | 232,753 | ||||||
Tronox Holdings PLC, Class A | 33,044 | 606,027 | ||||||
Valvoline, Inc. | 27,438 | 684,852 | ||||||
3,237,852 | ||||||||
Real Estate—9.6% | ||||||||
Apple Hospitality, Inc.* | 25,952 | 369,816 | ||||||
Brixmor Property Group, Inc. | 30,536 | 600,948 | ||||||
Equity Commonwealth | 12,633 | 356,377 | ||||||
Industrial Logistics Properties Trust | 9,303 | 197,875 | ||||||
LTC Properties, Inc. | 4,110 | 168,140 | ||||||
Office Properties Income Trust | 5,621 | 142,155 | ||||||
RMR Group, Inc., Class A, (The) | 5,472 | 219,920 | ||||||
UMH Properties, Inc. | 23,795 | 406,181 | ||||||
2,461,412 | ||||||||
Utilities—3.6% | ||||||||
ALLETE, Inc. | 3,790 | 235,473 | ||||||
Avista Corp. | 6,370 | 256,138 | ||||||
New Jersey Resources Corp. | 3,127 | 122,860 | ||||||
South Jersey Industries, Inc.(a) | 12,213 | 306,668 | ||||||
921,139 | ||||||||
TOTAL COMMON STOCKS (Cost $18,204,892) | 24,977,787 |
The accompanying notes are an integral part of the financial statements.
28 | Semi-Annual Report 2021
BOSTON PARTNERS INVESTMENT FUNDS | February 28, 2021 (unaudited) |
WPG PARTNERS SMALL/MICRO CAP VALUE FUND | Portfolio Of Investments (continued) |
NUMBER OF SHARES | VALUE | |||||||
WARRANTS—0.0% | ||||||||
Energy—0.0% | ||||||||
TETRA Technologies, Inc. *‡ | 20,950 | $ | 15 | |||||
TOTAL WARRANTS (Cost $4,475) | 15 | |||||||
INVESTMENTS PURCHASED WITH PROCEEDS FROM SECURITIES LENDING COLLATERAL—12.1% | ||||||||
Mount Vernon Liquid Assets Portfolio, LLC, 0.13%(b) | 3,077,226 | 3,077,226 | ||||||
TOTAL INVESTMENTS PURCHASED WITH PROCEEDS FROM SECURITIES LENDING COLLATERAL (Cost $3,077,226) | 3,077,226 | |||||||
SHORT-TERM INVESTMENTS—2.9% | ||||||||
U.S. Bank Money Market Deposit Account, 0.01%(b) | 749,768 | 749,768 | ||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $749,768) | 749,768 | |||||||
TOTAL INVESTMENTS—112.8% (Cost $22,036,361) | 28,804,796 | |||||||
LIABILITIES IN EXCESS OF OTHER ASSETS—(12.8)% | (3,279,284 | ) | ||||||
NET ASSETS—100.0% | $ | 25,525,512 |
PLC | — | Public Limited Company |
* | — | Non-income producing. |
(a) | — | All or a portion of the security is on loan. At February 28, 2021, the market value of securities on loan was $2,982,794. |
(b) | — | The rate shown is as of February 28, 2021. |
‡ | — | Security has been valued at fair market value using significant unobservable inputs as determined in good faith by or under the direction of The RBB Fund, Inc.’s Board of Directors. As of February 28, 2021, these securities amounted to $15 or 0.0% of net assets. |
Industry classifications may be different than those used for compliance monitoring purposes. |
The accompanying notes are an integral part of the financial statements.
Semi-Annual Report 2021 | 29
BOSTON PARTNERS INVESTMENT FUNDS | February 28, 2021 (unaudited) |
WPG PARTNERS SMALL/MICRO CAP VALUE FUND | Portfolio Of Investments (concluded) |
A summary of the inputs used to value the Fund’s investments carried at fair value as of February 28, 2021 is as follows (see Notes to Portfolio of Investments):
TOTAL | LEVEL 1 | LEVEL 2 | LEVEL 3 | INVESTMENTS MEASURED AT NET ASSET VALUE* | ||||||||||||||||
Common Stock | ||||||||||||||||||||
Communication Services | $ | 158,685 | $ | 158,685 | $ | — | $ | — | $ | — | ||||||||||
Consumer Discretionary | 1,762,527 | 1,762,527 | — | — | — | |||||||||||||||
Consumer Staples | 1,039,955 | 1,039,955 | — | — | — | |||||||||||||||
Energy | 2,114,434 | 2,114,434 | — | — | — | |||||||||||||||
Financials | 6,360,829 | 6,360,829 | — | — | — | |||||||||||||||
Health Care | 680,293 | 680,293 | — | — | — | |||||||||||||||
Industrials | 4,231,390 | 4,231,390 | — | — | — | |||||||||||||||
Information Technology | 2,009,271 | 2,009,271 | — | — | — | |||||||||||||||
Materials | 3,237,852 | 3,237,852 | — | — | — | |||||||||||||||
Real Estate | 2,461,412 | 2,461,412 | — | — | — | |||||||||||||||
Utilities | 921,139 | 921,139 | — | — | — | |||||||||||||||
Warrants | 15 | — | — | 15 | — | |||||||||||||||
Investments Purchased with Proceeds from Securities Lending Collateral | 3,077,226 | — | — | — | 3,077,226 | |||||||||||||||
Short-Term Investments | 749,768 | 749,768 | — | — | — | |||||||||||||||
Total Assets | $ | 28,804,796 | $ | 25,727,555 | $ | — | $ | 15 | $ | 3,077,226 |
* | Certain investments that are measured at fair value using the net asset value per share (or its equivalent) practical expedient have not been categorized in the fair value hierarchy to the amounts presented in the Portfolio of Investments. |
The accompanying notes are an integral part of the financial statements.
30 | Semi-Annual Report 2021
BOSTON PARTNERS INVESTMENT FUNDS | February 28, 2021 (unaudited) |
BOSTON PARTNERS GLOBAL EQUITY FUND | Portfolio Of Investments |
NUMBER OF SHARES | VALUE | |||||||
COMMON STOCKS—98.5% | ||||||||
Austria—0.6% | ||||||||
ams AG* | 40,070 | $ | 940,228 | |||||
Bermuda—1.6% | ||||||||
Everest Re Group Ltd. | 11,047 | 2,671,275 | ||||||
Canada—1.1% | ||||||||
Lundin Mining Corp. | 83,605 | 957,194 | ||||||
West Fraser Timber Co., Ltd. | 12,049 | 823,717 | ||||||
1,780,911 | ||||||||
France—8.8% | ||||||||
Accor SA* | 19,996 | 834,494 | ||||||
Airbus Group SE* | 10,632 | 1,235,168 | ||||||
Capgemini SA | 14,526 | 2,332,874 | ||||||
Cie de Saint-Gobain | 42,532 | 2,287,214 | ||||||
Cie Generale des Etablissements Michelin SCA | 8,870 | 1,282,520 | ||||||
Eiffage SA | 18,172 | 1,867,807 | ||||||
Imerys SA | 11,289 | 580,369 | ||||||
Sanofi | 21,522 | 1,975,088 | ||||||
Total SA | 38,273 | 1,784,674 | ||||||
14,180,208 | ||||||||
Germany—8.4% | ||||||||
Brenntag SE | 15,037 | 1,165,169 | ||||||
Continental AG* | 15,287 | 2,197,708 | ||||||
Deutsche Post AG | 40,920 | 2,032,397 | ||||||
Deutsche Telekom AG | 70,557 | 1,283,461 | ||||||
Hannover Rueck SE | 4,903 | 830,153 | ||||||
HeidelbergCement AG | 23,794 | 1,881,939 | ||||||
ProSiebenSat.1 Media SE* | 28,811 | 588,243 | ||||||
Rheinmetall AG | 19,624 | 1,955,501 | ||||||
Siemens AG | 10,185 | 1,576,243 | ||||||
13,510,814 | ||||||||
Hong Kong—0.4% | ||||||||
Topsports International Holdings Ltd. | 455,000 | 668,071 | ||||||
Ireland—1.1% | ||||||||
CRH PLC | 40,373 | 1,753,287 | ||||||
Japan—12.0% | ||||||||
Fuji Corp. | 36,100 | 853,584 | ||||||
Fuji Electric Co., Ltd. | 18,400 | 769,534 | ||||||
Hitachi Ltd. | 53,200 | 2,453,731 | ||||||
Honda Motor Co., Ltd. | 69,500 | 1,921,070 | ||||||
Komatsu Ltd. | 80,600 | 2,419,654 | ||||||
Mitsubishi Gas Chemical Co., Inc. | 48,500 | 1,136,006 | ||||||
NEC Corp. | 28,100 | 1,537,048 | ||||||
Nihon Unisys Ltd. | 30,200 | 874,341 | ||||||
Sony Corp. | 23,900 | 2,523,868 | ||||||
Sumitomo Mitsui Financial Group, Inc. | 55,400 | 1,955,920 | ||||||
Tosoh Corp. | 56,600 | 1,040,471 | ||||||
Yamaha Motor Co., Ltd. | 50,300 | 1,106,346 | ||||||
Zenkoku Hosho Co., Ltd. | 17,600 | 812,558 | ||||||
19,404,131 | ||||||||
Macao—0.6% | ||||||||
Wynn Macau Ltd.* | 481,600 | 908,377 | ||||||
Netherlands—4.5% | ||||||||
Aalberts NV | 17,107 | 798,868 | ||||||
ING Groep NV | 140,754 | 1,541,637 | ||||||
NXP Semiconductors NV | 6,328 | 1,155,176 | ||||||
Signify NV | 28,708 | 1,250,945 | ||||||
Stellantis NV* | 161,643 | 2,618,086 | ||||||
7,364,712 |
NUMBER OF SHARES | VALUE | |||||||
Norway—0.3% | ||||||||
Norsk Hydro ASA | 105,196 | $ | 582,392 | |||||
Singapore—1.4% | ||||||||
DBS Group Holdings Ltd. | 59,100 | 1,171,043 | ||||||
United Overseas Bank Ltd. | 57,900 | 1,063,277 | ||||||
2,234,320 | ||||||||
South Korea—3.9% | ||||||||
KB Financial Group, Inc. | 49,501 | 1,915,971 | ||||||
KT Corp. - SP ADR(a) | 78,396 | 885,091 | ||||||
Posco | 5,736 | 1,424,291 | ||||||
Samsung Electronics Co., Ltd. | 15,528 | 1,137,980 | ||||||
SK Hynix, Inc. | 7,105 | 892,423 | ||||||
6,255,756 | ||||||||
Sweden—1.3% | ||||||||
SKF AB | 38,509 | 1,049,237 | ||||||
Volvo AB | 40,556 | 1,038,250 | ||||||
2,087,487 | ||||||||
Switzerland—2.2% | ||||||||
Glencore PLC | 344,146 | 1,400,541 | ||||||
Novartis AG | 11,650 | 1,003,373 | ||||||
STMicroelectronics NV | 30,458 | 1,182,904 | ||||||
3,586,818 | ||||||||
Taiwan—0.6% | ||||||||
Wiwynn Corp. | 32,000 | 922,457 | ||||||
United Kingdom—6.9% | ||||||||
BAE Systems PLC | 122,815 | 831,345 | ||||||
Entain PLC* | 71,028 | 1,405,162 | ||||||
Inchcape PLC | 169,273 | 1,678,789 | ||||||
Kingfisher PLC* | 220,105 | 815,811 | ||||||
Melrose Industries PLC* | 666,034 | 1,547,848 | ||||||
Persimmon PLC | 27,601 | 1,000,135 | ||||||
Rio Tinto PLC | 9,935 | 861,038 | ||||||
Tesco PLC | 388,460 | 1,220,976 | ||||||
WH Smith PLC | 65,667 | 1,751,280 | ||||||
11,112,384 | ||||||||
United States—42.8% | ||||||||
Allison Transmission Holdings, Inc.(a) | 22,327 | 846,640 | ||||||
Allstate Corp., (The) | 9,862 | 1,051,289 | ||||||
American Express Co. | 5,992 | 810,478 | ||||||
Anthem, Inc. | 6,320 | 1,916,161 | ||||||
Applied Materials, Inc. | 10,863 | 1,283,898 | ||||||
AutoZone, Inc.* | 1,851 | 2,147,012 | ||||||
Bank of America Corp. | 26,577 | 922,488 | ||||||
Cigna Corp. | 12,667 | 2,658,803 | ||||||
Cisco Systems, Inc. | 24,391 | 1,094,424 | ||||||
Citigroup, Inc. | 40,439 | 2,664,121 | ||||||
Concentrix Corp.* | 12,614 | 1,557,955 | ||||||
Corteva, Inc. | 19,286 | 870,763 | ||||||
CVS Health Corp. | 26,612 | 1,813,076 | ||||||
Diamondback Energy, Inc.(a) | 24,205 | 1,676,922 | ||||||
Dick’s Sporting Goods, Inc.(a) | 20,382 | 1,454,663 | ||||||
DuPont de Nemours, Inc.(a) | 37,323 | 2,624,553 | ||||||
Eagle Materials, Inc.* | 6,976 | 874,651 | ||||||
Eaton Corp., PLC | 11,283 | 1,468,934 | ||||||
Goldman Sachs Group Inc., (The) | 7,102 | 2,268,947 | ||||||
Helmerich & Payne, Inc. | 24,305 | 698,283 | ||||||
HollyFrontier Corp. | 27,928 | 1,057,913 | ||||||
Huntington Bancshares Inc.(a) | 144,580 | 2,217,857 | ||||||
ITT, Inc. | 15,391 | 1,277,145 | ||||||
JPMorgan Chase & Co. | 13,294 | 1,956,478 |
The accompanying notes are an integral part of the financial statements.
Semi-Annual Report 2021 | 31
BOSTON PARTNERS INVESTMENT FUNDS | February 28, 2021 (unaudited) |
BOSTON PARTNERS GLOBAL EQUITY FUND | Portfolio Of Investments (continued) |
NUMBER OF SHARES | VALUE | |||||||
United States—(continued) | ||||||||
KeyCorp | 109,753 | $ | 2,210,425 | |||||
LKQ Corp.* | 47,859 | 1,885,166 | ||||||
Marathon Petroleum Corp. | 27,556 | 1,505,109 | ||||||
MasTec, Inc.* | 17,208 | 1,492,794 | ||||||
McKesson Corp. | 9,721 | 1,647,904 | ||||||
Medtronic PLC | 13,655 | 1,597,225 | ||||||
Merck & Co., Inc. | 15,515 | 1,126,699 | ||||||
Micron Technology, Inc.* | 19,044 | 1,743,097 | ||||||
Nexstar Media Group, Inc., Class A | 6,683 | 919,247 | ||||||
NVR, Inc.* | 127 | 571,607 | ||||||
Oracle Corp. | 15,920 | 1,026,999 | ||||||
Owens Corning | 30,061 | 2,435,542 | ||||||
Pioneer Natural Resources Co.(a) | 11,689 | 1,736,635 | ||||||
Schlumberger Ltd. | 32,153 | 897,390 | ||||||
Science Applications International Corp.(a) | 21,611 | 1,861,356 | ||||||
Sensata Technologies Holding PLC* | 22,281 | 1,276,479 | ||||||
SYNNEX Corp. | 12,576 | 1,121,276 | ||||||
TE Connectivity Ltd. | 9,591 | 1,247,118 | ||||||
Textron, Inc. | 22,333 | 1,124,243 | ||||||
Valvoline, Inc.(a) | 67,978 | 1,696,731 | ||||||
Vistra Energy Corp. | 101,621 | 1,752,962 | ||||||
WestRock Co. | 23,952 | 1,044,069 | ||||||
69,133,527 | ||||||||
TOTAL COMMON STOCKS (Cost $120,265,173) | 159,097,155 | |||||||
PREFERRED STOCKS—0.5% | ||||||||
South Korea—0.5% | ||||||||
Samsung Electronics Co., Ltd. 4.114% | 11,977 | 774,694 | ||||||
TOTAL PREFERRED STOCKS (Cost $404,815) | 774,694 |
NUMBER OF SHARES | VALUE | |||||||
INVESTMENTS PURCHASED WITH PROCEEDS FROM SECURITIES LENDING COLLATERAL—6.6% | ||||||||
Mount Vernon Liquid Assets Portfolio, LLC, 0.13%(b) | 10,613,155 | $ | 10,613,155 | |||||
TOTAL INVESTMENTS PURCHASED WITH PROCEEDS FROM SECURITIES LENDING COLLATERAL (Cost $10,613,155) | 10,613,155 | |||||||
SHORT-TERM INVESTMENTS—0.3% | ||||||||
U.S. Bank Money Market Deposit Account, 0.01%(b) | 452,696 | 452,696 | ||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $452,696) | 452,696 | |||||||
TOTAL INVESTMENTS—105.9% (Cost $131,735,839) | 170,937,700 | |||||||
LIABILITIES IN EXCESS OF OTHER ASSETS—(5.9)% | (9,495,962 | ) | ||||||
NET ASSETS—100.0% | $ | 161,441,738 |
PLC | — | Public Limited Company |
SP ADR | — | Sponsored American Depositary Receipt |
* | — | Non-income producing. |
(a) | — | All or a portion of the security is on loan. At February 28, 2021, the market value of securities on loan was $10,252,587. |
(b) | — | The rate shown is as of February 28, 2021. |
Industry classifications may be different than those used for compliance monitoring purposes. |
The accompanying notes are an integral part of the financial statements.
32 | Semi-Annual Report 2021
BOSTON PARTNERS INVESTMENT FUNDS | February 28, 2021 (unaudited) |
BOSTON PARTNERS GLOBAL EQUITY FUND | Portfolio Of Investments (concluded) |
A summary of the inputs used to value the Fund’s investments carried at fair value as of February 28, 2021 is as follows (see Notes to Portfolio of Investments):
TOTAL | LEVEL 1 | LEVEL 2 | LEVEL 3 | INVESTMENTS MEASURED AT NET ASSET VALUE* | ||||||||||||||||
Common Stock | ||||||||||||||||||||
Austria | $ | 940,228 | $ | — | $ | 940,228 | $ | — | $ | — | ||||||||||
Bermuda | 2,671,275 | 2,671,275 | — | — | — | |||||||||||||||
Canada | 1,780,911 | 1,780,911 | — | — | — | |||||||||||||||
France | 14,180,208 | — | 14,180,208 | — | — | |||||||||||||||
Germany | 13,510,814 | — | 13,510,814 | — | — | |||||||||||||||
Hong Kong | 668,071 | — | 668,071 | — | — | |||||||||||||||
Ireland | 1,753,287 | — | 1,753,287 | — | — | |||||||||||||||
Japan | 19,404,131 | — | 19,404,131 | — | — | |||||||||||||||
Macao | 908,377 | — | 908,377 | — | — | |||||||||||||||
Netherlands | 7,364,712 | 3,773,262 | 3,591,450 | — | — | |||||||||||||||
Norway | 582,392 | — | 582,392 | — | — | |||||||||||||||
Singapore | 2,234,320 | — | 2,234,320 | — | — | |||||||||||||||
South Korea | 6,255,756 | 885,091 | 5,370,665 | — | — | |||||||||||||||
Sweden | 2,087,487 | — | 2,087,487 | — | — | |||||||||||||||
Switzerland | 3,586,818 | — | 3,586,818 | — | — | |||||||||||||||
Taiwan | 922,457 | — | 922,457 | — | — | |||||||||||||||
United Kingdom | 11,112,384 | — | 11,112,384 | — | — | |||||||||||||||
United States | 69,133,527 | 69,133,527 | — | — | — | |||||||||||||||
Preferred Stock | ||||||||||||||||||||
South Korea | 774,694 | — | 774,694 | — | — | |||||||||||||||
Investments Purchased with Proceeds from Securities Lending Collateral | 10,613,155 | — | — | — | 10,613,155 | |||||||||||||||
Short-Term Investments | 452,696 | 452,696 | — | — | — | |||||||||||||||
Total Assets | $ | 170,937,700 | $ | 78,696,762 | $ | 81,627,783 | $ | — | $ | 10,613,155 |
* | Certain investments that are measured at fair value using the net asset value per share (or its equivalent) practical expedient have not been categorized in the fair value hierarchy included to reconcile to the amounts presented in the Portfolio of Investments. |
The accompanying notes are an integral part of the financial statements.
Semi-Annual Report 2021 | 33
BOSTON PARTNERS INVESTMENT FUNDS | February 28, 2021 (unaudited) |
BOSTON PARTNERS GLOBAL LONG/SHORT FUND | Portfolio Of Investments |
NUMBER OF SHARES | VALUE | |||||||
LONG POSITIONS—100.0% | ||||||||
COMMON STOCKS—91.9% | ||||||||
Austria—0.6% | ||||||||
ams AG* | 28,408 | $ | 666,583 | |||||
Bermuda—1.9% | ||||||||
Everest Re Group Ltd.† | 9,138 | 2,209,660 | ||||||
Brazil—0.3% | ||||||||
Vasta Platform Ltd.* | 23,507 | 314,289 | ||||||
Canada—1.8% | ||||||||
Copper Mountain Mining Corp.* | 159,968 | 395,960 | ||||||
Enerplus Corp. | 47,191 | 228,427 | ||||||
Kinross Gold Corp. | 104,941 | 652,274 | ||||||
West Fraser Timber Co., Ltd. | 12,845 | 878,135 | ||||||
2,154,796 | ||||||||
China—0.8% | ||||||||
Alibaba Group Holding Ltd.* | 29,560 | 888,254 | ||||||
Finland—1.6% | ||||||||
Metso Outotec Oyj | 83,003 | 932,602 | ||||||
Nordea Bank Abp | 109,599 | 992,619 | ||||||
1,925,221 | ||||||||
France—7.2% | ||||||||
BNP Paribas SA | 37,112 | 2,206,211 | ||||||
Capgemini SA | 2,027 | 325,536 | ||||||
Cie de Saint-Gobain | 42,615 | 2,291,677 | ||||||
Eiffage SA | 12,561 | 1,291,081 | ||||||
Imerys SA | 15,769 | 810,686 | ||||||
Sanofi | 16,954 | 1,555,879 | ||||||
8,481,070 | ||||||||
Germany—6.6% | ||||||||
Continental AG* | 13,025 | 1,872,515 | ||||||
Deutsche Post AG | 35,986 | 1,787,337 | ||||||
Deutsche Telekom AG | 70,095 | 1,275,057 | ||||||
HeidelbergCement AG | 16,573 | 1,310,809 | ||||||
ProSiebenSat.1 Media SE* | 34,176 | 697,782 | ||||||
Rheinmetall AG | 8,272 | 824,292 | ||||||
7,767,792 | ||||||||
Hong Kong—1.5% | ||||||||
Topsports International Holdings Ltd. | 504,000 | 740,017 | ||||||
WH Group Ltd. | 1,104,500 | 990,637 | ||||||
1,730,654 | ||||||||
Italy—0.5% | ||||||||
Enel SpA | 60,085 | 566,535 | ||||||
Japan—12.4% | ||||||||
Fuji Corp. | 27,800 | 657,331 | ||||||
Hitachi Ltd. | 36,400 | 1,678,868 | ||||||
Honda Motor Co., Ltd. | 58,900 | 1,628,072 | ||||||
Komatsu Ltd. | 54,900 | 1,648,127 | ||||||
Kyudenko Corp. | 15,600 | 516,250 | ||||||
Mitsubishi Gas Chemical Co., Inc. | 55,200 | 1,292,938 | ||||||
Resona Holdings, Inc. | 142,800 | 577,017 | ||||||
Sony Corp. | 19,400 | 2,048,663 | ||||||
Sumitomo Mitsui Financial Group, Inc. | 45,500 | 1,606,397 | ||||||
Taiyo Yuden Co., Ltd. | 8,800 | 437,150 | ||||||
Tosoh Corp. | 57,000 | 1,047,824 | ||||||
TS Tech Co., Ltd. | 17,300 | 484,255 | ||||||
Yamaha Motor Co., Ltd. | 46,000 | 1,011,768 | ||||||
14,634,660 | ||||||||
Macao—0.6% | ||||||||
Wynn Macau Ltd.* | 363,200 | 685,055 |
NUMBER OF SHARES | VALUE | |||||||
Netherlands—2.4% | ||||||||
ING Groep NV | 82,143 | $ | 899,688 | |||||
NXP Semiconductors NV | 3,754 | 685,293 | ||||||
Stellantis NV* | 77,581 | 1,256,558 | ||||||
2,841,539 | ||||||||
Norway—0.5% | ||||||||
Norsk Hydro ASA | 111,922 | 619,629 | ||||||
South Korea—6.4% | ||||||||
Hana Financial Group, Inc. | 24,754 | 813,085 | ||||||
KB Financial Group, Inc. | 21,698 | 839,836 | ||||||
KT Corp. - SP ADR† | 49,709 | 561,214 | ||||||
Posco | 4,514 | 1,120,860 | ||||||
Samsung Electronics Co., Ltd. | 10,435 | 764,736 | ||||||
SK Hynix, Inc. | 20,700 | 2,600,023 | ||||||
SK Telecom Co., Ltd. | 3,861 | 846,427 | ||||||
7,546,181 | ||||||||
Spain—0.6% | ||||||||
Applus Services SA* | 72,911 | 751,823 | ||||||
Sweden—1.9% | ||||||||
Volvo AB, Class B | 87,870 | 2,249,507 | ||||||
Switzerland—3.1% | ||||||||
Glencore PLC | 277,620 | 1,129,806 | ||||||
Novartis AG | 10,329 | 889,600 | ||||||
STMicroelectronics NV | 16,232 | 630,406 | ||||||
UBS Group AG | 65,238 | 1,014,995 | ||||||
3,664,807 | ||||||||
Taiwan—0.7% | ||||||||
Wiwynn Corp. | 28,000 | 807,150 | ||||||
United Kingdom—4.7% | ||||||||
DS Smith PLC | 128,824 | 715,749 | ||||||
Kingfisher PLC* | 206,603 | 765,766 | ||||||
Melrose Industries PLC* | 373,525 | 868,064 | ||||||
Synthomer PLC | 115,258 | 741,886 | ||||||
Tesco PLC | 506,713 | 1,592,659 | ||||||
WH Smith PLC | 33,770 | 900,615 | ||||||
5,584,739 | ||||||||
United States—35.8% | ||||||||
AbbVie, Inc. | 8,912 | 960,179 | ||||||
Allison Transmission Holdings, Inc. | 15,988 | 606,265 | ||||||
Alphabet, Inc., Class C*† | 737 | 1,501,166 | ||||||
American International Group, Inc. | 16,092 | 707,243 | ||||||
Anthem, Inc. | 2,768 | 839,230 | ||||||
Applied Materials, Inc.†# | 10,854 | 1,282,834 | ||||||
AutoZone, Inc.* | 1,266 | 1,468,459 | ||||||
Bank of America Corp.† | 22,430 | 778,545 | ||||||
CF Industries Holdings, Inc. | 13,235 | 599,281 | ||||||
Cisco Systems, Inc. | 18,435 | 827,178 | ||||||
Citigroup, Inc.† | 40,350 | 2,658,258 | ||||||
Concentrix Corp.* | 9,321 | 1,151,237 | ||||||
Corteva, Inc.†# | 11,755 | 530,738 | ||||||
CVS Health Corp.† | 16,392 | 1,116,787 | ||||||
Diamondback Energy, Inc.† | 26,128 | 1,810,148 | ||||||
Dick’s Sporting Goods, Inc.† | 6,604 | 471,328 | ||||||
DuPont de Nemours, Inc. | 27,894 | 1,961,506 | ||||||
FMC Corp. | 13,001 | 1,322,072 | ||||||
HollyFrontier Corp. | 32,113 | 1,216,440 | ||||||
JPMorgan Chase & Co.†# | 7,001 | 1,030,337 | ||||||
KeyCorp†# | 61,300 | 1,234,582 | ||||||
Lennar Corp., Class A | 7,840 | 650,485 |
The accompanying notes are an integral part of the financial statements.
34 | Semi-Annual Report 2021
BOSTON PARTNERS INVESTMENT FUNDS | February 28, 2021 (unaudited) |
BOSTON PARTNERS GLOBAL LONG/SHORT FUND | Portfolio Of Investments (continued) |
NUMBER OF SHARES | VALUE | |||||||
United States—(continued) | ||||||||
Marathon Petroleum Corp.† | 33,450 | $ | 1,827,039 | |||||
McKesson Corp. | 6,646 | 1,126,630 | ||||||
Micron Technology, Inc.* | 14,787 | 1,353,454 | ||||||
Microsoft Corp.† | 5,134 | 1,193,039 | ||||||
Oracle Corp.†# | 19,179 | 1,237,237 | ||||||
Owens Corning† | 13,695 | 1,109,569 | ||||||
Pioneer Natural Resources Co. | 10,494 | 1,559,094 | ||||||
Science Applications International Corp. | 11,212 | 965,690 | ||||||
Sensata Technologies Holding PLC* | 30,767 | 1,762,641 | ||||||
Tronox Holdings PLC, Class A | 61,037 | 1,119,419 | ||||||
Viper Energy Partners LP† | 49,130 | 770,358 | ||||||
Virtu Financial, Inc., Class A†# | 21,000 | 572,670 | ||||||
Vistra Energy Corp.† | 50,134 | 864,812 | ||||||
Wells Fargo & Co. | 22,289 | 806,193 | ||||||
WestRock Co.† | 25,833 | 1,126,060 | ||||||
42,118,203 | ||||||||
TOTAL COMMON STOCKS (Cost $84,644,133) | 108,208,147 | |||||||
PREFERRED STOCKS-1.0% | ||||||||
Germany—1.0% | ||||||||
Volkswagen AG 2.880% | 5,795 | 1,212,428 | ||||||
TOTAL PREFERRED STOCKS (Cost $1,154,010) | 1,212,428 | |||||||
SHORT-TERM INVESTMENTS—7.1% | ||||||||
U.S. Bank Money Market Deposit Account, 0.01%(a) | 8,397,095 | 8,397,095 | ||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $8,397,095) | 8,397,095 | |||||||
TOTAL INVESTMENTS—100.0% (Cost $94,195,238) | 117,817,670 | |||||||
SECURITIES SOLD SHORT—(27.2%) | ||||||||
COMMON STOCKS—(27.2%) | ||||||||
Australia—(1.2%) | ||||||||
Afterpay Ltd.* | (3,553 | ) | (324,546 | ) | ||||
Altium Ltd. | (15,532 | ) | (314,500 | ) | ||||
Commonwealth Bank of Australia | (6,692 | ) | (420,049 | ) | ||||
WiseTech Global Ltd. | (19,775 | ) | (413,492 | ) | ||||
(1,472,587 | ) | |||||||
China—(0.9%) | ||||||||
GSX Techedu, Inc. - ADR* | (3,474 | ) | (357,301 | ) | ||||
Microport Scientific Corp. | (54,000 | ) | (317,391 | ) | ||||
Pinduoduo, Inc. – ADR* | (2,352 | ) | (402,568 | ) | ||||
(1,077,260 | ) | |||||||
France—(0.5%) | ||||||||
Remy Cointreau SA | (2,966 | ) | (565,102 | ) | ||||
Germany—(1.8%) | ||||||||
Beiersdorf AG | (5,419 | ) | (535,435 | ) | ||||
Deutsche Bank AG* | (35,892 | ) | (441,680 | ) | ||||
Rational AG | (332 | ) | (284,007 | ) | ||||
Wacker Chemie AG | (3,850 | ) | (499,037 | ) | ||||
Zalando SE* | (3,384 | ) | (347,899 | ) | ||||
(2,108,058 | ) | |||||||
Japan—(4.5%) | ||||||||
CyberAgent, Inc. | (5,300 | ) | (320,076 | ) | ||||
Dentsu Group, Inc. | (8,800 | ) | (307,288 | ) | ||||
Hirose Electric Co., Ltd. | (1,700 | ) | (249,200 | ) | ||||
Ito En, Ltd. | (6,200 | ) | (342,979 | ) | ||||
Japan Tobacco, Inc. | (26,200 | ) | (474,391 | ) |
NUMBER OF SHARES | VALUE | |||||||
Japan—(continued) | ||||||||
Keio Corp. | (5,800 | ) | $ | (435,160 | ) | |||
Kose Corp. | (1,800 | ) | (289,332 | ) | ||||
Mercari, Inc.* | (8,300 | ) | (399,342 | ) | ||||
Mitsubishi Chemical Holdings Corp. | (35,500 | ) | (248,249 | ) | ||||
Nidec Corp. | (2,000 | ) | (255,030 | ) | ||||
Odakyu Electric Railway Co., Ltd. | (15,000 | ) | (440,861 | ) | ||||
PeptiDream, Inc.* | (4,800 | ) | (228,865 | ) | ||||
Rakuten, Inc. | (27,400 | ) | (307,971 | ) | ||||
Sanrio Co., Ltd. | (21,900 | ) | (360,435 | ) | ||||
TOTO Ltd. | (9,700 | ) | (588,283 | ) | ||||
(5,247,462 | ) | |||||||
Luxembourg—(0.3%) | ||||||||
Spotify Technology SA* | (1,282 | ) | (394,061 | ) | ||||
Sweden—(0.6%) | ||||||||
Essity AB | (24,005 | ) | (721,279 | ) | ||||
Switzerland—(1.0%) | ||||||||
ABB Ltd. | (11,918 | ) | (343,113 | ) | ||||
Belimo Holding AG | (52 | ) | (379,223 | ) | ||||
Stadler Rail AG | (9,428 | ) | (470,358 | ) | ||||
(1,192,694 | ) | |||||||
United Kingdom—(0.6%) | ||||||||
Amcor PLC | (43,846 | ) | (479,675 | ) | ||||
Renishaw PLC | (2,576 | ) | (207,222 | ) | ||||
(686,897 | ) | |||||||
United States—(15.8%) | ||||||||
Appfolio, Inc., Class A* | (1,925 | ) | (315,738 | ) | ||||
Appian Corp.* | (1,959 | ) | (336,752 | ) | ||||
Beyond Meat, Inc.* | (2,700 | ) | (392,796 | ) | ||||
Blackline, Inc.* | (3,677 | ) | (456,021 | ) | ||||
Cal-Maine Foods, Inc.* | (10,238 | ) | (390,068 | ) | ||||
Carvana Co.* | (1,877 | ) | (532,129 | ) | ||||
Chipotle Mexican Grill, Inc.* | (222 | ) | (320,124 | ) | ||||
Choice Hotels International, Inc.* | (2,971 | ) | (311,569 | ) | ||||
Cincinnati Financial Corp. | (5,940 | ) | (581,348 | ) | ||||
Clover Health Investments Corp.* | (23,545 | ) | (221,323 | ) | ||||
Cognex Corp. | (3,315 | ) | (273,786 | ) | ||||
Compass Minerals International, Inc. | (7,879 | ) | (497,086 | ) | ||||
Cree, Inc.* | (8,142 | ) | (923,791 | ) | ||||
CVB Financial Corp. | (16,075 | ) | (344,166 | ) | ||||
DoorDash, Inc., Class A* | (1,981 | ) | (335,760 | ) | ||||
Dun & Bradstreet Holdings, Inc.* | (18,754 | ) | (409,962 | ) | ||||
Ecolab, Inc. | (2,608 | ) | (546,011 | ) | ||||
Etsy, Inc.* | (1,167 | ) | (257,055 | ) | ||||
First Financial Bankshares, Inc | (17,945 | ) | (801,424 | ) | ||||
Floor & Decor Holdings, Inc., Class A* | (4,556 | ) | (433,230 | ) | ||||
Glaukos Corp.* | (3,309 | ) | (312,899 | ) | ||||
GoodRx Holdings, Inc., Class A* | (5,748 | ) | (255,901 | ) | ||||
Hormel Foods Corp. | (12,630 | ) | (585,653 | ) | ||||
Lennox International, Inc. | (1,674 | ) | (468,335 | ) | ||||
Middleby Corp., (The)* | (2,574 | ) | (376,859 | ) | ||||
Moderna, Inc.* | (2,728 | ) | (422,322 | ) | ||||
Netflix, Inc.* | (1,204 | ) | (648,775 | ) | ||||
Nikola Corp.* | (15,496 | ) | (280,478 | ) | ||||
Novanta, Inc.* | (2,988 | ) | (395,402 | ) | ||||
Opendoor Technologies, Inc.* | (12,572 | ) | (352,267 | ) | ||||
Packaging Corp. of America | (2,633 | ) | (347,609 | ) | ||||
Palantir Technologies, Inc., Class A* | (10,129 | ) | (242,083 | ) | ||||
Penumbra, Inc.* | (1,039 | ) | (295,523 | ) | ||||
Proto Labs, Inc.* | (921 | ) | (134,171 | ) |
The accompanying notes are an integral part of the financial statements.
Semi-Annual Report 2021 | 35
BOSTON PARTNERS INVESTMENT FUNDS | February 28, 2021 (unaudited) |
BOSTON PARTNERS GLOBAL LONG/SHORT FUND | Portfolio Of Investments (continued) |
NUMBER OF SHARES | VALUE | |||||||
United States—(continued) | ||||||||
Q2 Holdings, Inc.* | (3,629 | ) | $ | (442,302 | ) | |||
Quaker Chemical Corp. | (1,229 | ) | (347,045 | ) | ||||
Quidel Corp.* | (1,772 | ) | (291,069 | ) | ||||
Redfin Corp.* | (4,328 | ) | (327,803 | ) | ||||
RLI Corp. | (4,523 | ) | (471,930 | ) | ||||
Shake Shack, Inc., Class A* | (2,706 | ) | (320,607 | ) | ||||
Stitch Fix, Inc., Class A* | (4,834 | ) | (368,883 | ) | ||||
Tesla, Inc.* | (602 | ) | (406,651 | ) | ||||
Twitter, Inc.* | (5,961 | ) | (459,355 | ) | ||||
Westamerica Bancorporation | (7,401 | ) | (444,874 | ) | ||||
Xylem, Inc. | (4,826 | ) | (480,477 | ) | ||||
Zillow Group, Inc., Class A* | (2,550 | ) | (433,041 | ) | ||||
(18,592,453 | ) | |||||||
TOTAL COMMON STOCKS (Proceeds $(26,437,209)) | (32,057,853 | ) | ||||||
TOTAL SECURITIES SOLD SHORT—(27.2%) (Proceeds $(26,437,209)) | (32,057,853 | ) |
NUMBER OF CONTRACTS | NOTIONAL AMOUNT | VALUE | ||||||||||
OPTIONS WRITTEN††—(0.6%) | ||||||||||||
Call Options Written—(0.6%) | ||||||||||||
Applied Materials, Inc. | ||||||||||||
Expiration: 06/18/2021, Exercise Price: 120.00 | (108 | ) | (1,276,452 | ) | (136,080 | ) | ||||||
Corteva, Inc. | ||||||||||||
Expiration: 06/18/2021, Exercise Price: 42.00 | (117 | ) | (528,255 | ) | (66,690 | ) | ||||||
JPMorgan Chase & Co. | ||||||||||||
Expiration: 06/18/2021, Exercise Price: 140.00 | (70 | ) | (1,030,190 | ) | (103,740 | ) | ||||||
KeyCorp | ||||||||||||
Expiration: 06/18/2021, Exercise Price: 18.00 | (613 | ) | (1,234,582 | ) | (183,900 | ) | ||||||
Oracle Corp. | ||||||||||||
Expiration: 06/18/2021, Exercise Price: 60.00 | (167 | ) | (1,077,317 | ) | (113,226 | ) | ||||||
Virtu Financial, Inc. Class A | ||||||||||||
Expiration: 06/18/2021, Exercise Price: 30.00 | (210 | ) | (572,670 | ) | (34,650 | ) | ||||||
TOTAL CALL OPTIONS WRITTEN (Premiums received $(426,208)) | (638,286 | ) |
NUMBER OF CONTRACTS | NOTIONAL AMOUNT | VALUE | ||||||||||
Put Options Written—(continued) | ||||||||||||
Shake Shack, Inc., Class A | ||||||||||||
Expiration: 06/18/2021, Exercise Price: 100.00 | (27 | ) | (319,896 | ) | $ | (20,048 | ) | |||||
Twitter, Inc. | ||||||||||||
Expiration: 06/18/2021, Exercise Price: 55.00 | (98 | ) | (755,188 | ) | (19,110 | ) | ||||||
TOTAL PUT OPTIONS WRITTEN (Premiums received $(61,905)) | (39,158 | ) | ||||||||||
TOTAL OPTIONS WRITTEN (Premiums received $(488,113)) | (677,444 | ) | ||||||||||
OTHER ASSETS IN EXCESS OF LIABILITIES—27.8% | �� | 32,737,545 | ||||||||||
NET ASSETS—100.0% | $ | 117,819,918 |
ADR | — | American Depositary Receipt |
PLC | — | Public Limited Company |
SP ADR | — | Sponsored American Depositary Receipt |
* | — | Non-income producing. |
(a) | — | The rate shown is as of February 28, 2021. |
† | — | Security position is either entirely or partially held in a segregated account as collateral for securities sold short. |
# | — | Security segregated as collateral for options written. |
†† | — | Primary risk exposure is equity contracts. |
Industry classifications may be different than those used for compliance monitoring purposes. |
The accompanying notes are an integral part of the financial statements.
36 | Semi-Annual Report 2021
BOSTON PARTNERS INVESTMENT FUNDS | February 28, 2021 (unaudited) |
BOSTON PARTNERS GLOBAL LONG/SHORT FUND | Portfolio Of Investments (continued) |
Contracts For Difference held by the Fund at February 28, 2021, are as follows:
REFERENCE COMPANY | COUNTERPARTY | EXPIRATION DATE | FINANCING RATE | PAYMENT FREQUENCY | NUMBER OF CONTRACTS LONG/ (SHORT) | NOTIONAL AMOUNT | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||||
Long | |||||||||||||||||||||||
Netherlands | |||||||||||||||||||||||
Royal Dutch Shell PLC, Class A | Goldman Sachs | 09/18/2025 | 0.04 | % | Monthly | 60,944 | $ | 1,226,742 | $ | 12,575 | |||||||||||||
United Kingdom | |||||||||||||||||||||||
GVC LN | Goldman Sachs | 09/18/2025 | 0.04 | Monthly | 69,813 | 1,374,338 | 60,614 | ||||||||||||||||
Total Long | 2,601,080 | 73,189 | |||||||||||||||||||||
Short | |||||||||||||||||||||||
New Zealand | |||||||||||||||||||||||
a2 Milk Co., Ltd. | Macquarie | 12/21/2021 | 0.08 | Monthly | (34,502 | ) | $ | (238,663 | ) | $ | 29,432 | ||||||||||||
Taiwan | |||||||||||||||||||||||
Advantech Co., Ltd. | Morgan Stanley | 09/22/2022 | 0.07 | Monthly | (32,000 | ) | (416,480 | ) | 8,124 | ||||||||||||||
Formosa Petrochemical Corp. | MacquarieP | 12/23/2021 | 0.08 | Monthly | (111,000 | ) | (398,528 | ) | (18,138 | ) | |||||||||||||
Acer, Inc. | Goldman Sachs | 09/18/2025 | 0.07 | Monthly | (360,000 | ) | (347,043 | ) | (6,225 | ) | |||||||||||||
(815,008 | ) | (16,239 | ) | ||||||||||||||||||||
Thailand | |||||||||||||||||||||||
Airports of Thailand NVDR | Morgan Stanley | 09/22/2022 | 0.07 | Monthly | (170,700 | ) | (362,529 | ) | (1,200 | ) | |||||||||||||
United Kingdom | |||||||||||||||||||||||
Antofagasta PLC | Goldman Sachs | 09/18/2025 | 0.05 | Monthly | (37,088 | ) | (921,038 | ) | (75,788 | ) | |||||||||||||
Blue Prism Group PLC | Goldman Sachs | 09/18/2025 | 0.05 | Monthly | (17,294 | ) | (368,880 | ) | 42,078 | ||||||||||||||
Domino’s Pizza Group PLC | Goldman Sachs | 09/18/2025 | 0.05 | Monthly | (121,817 | ) | (519,670 | ) | 52,551 | ||||||||||||||
Johnson Matthey PLC | Goldman Sachs | 09/18/2025 | 0.05 | Monthly | (6,118 | ) | (260,397 | ) | 2,444 | ||||||||||||||
Pearson PLC | Goldman Sachs | 09/18/2025 | 0.05 | Monthly | (46,864 | ) | (490,336 | ) | 17,444 | ||||||||||||||
Rolls-Royce Holdings PLC | Goldman Sachs | 09/18/2025 | 0.05 | Monthly | (414,226 | ) | (621,538 | ) | (44,844 | ) | |||||||||||||
Schroders PLC | Goldman Sachs | 09/18/2025 | 0.05 | Monthly | (8,124 | ) | (396,483 | ) | 11,728 | ||||||||||||||
(3,578,342 | ) | 5,613 | |||||||||||||||||||||
Total Short | (5,341,585 | ) | 17,606 | ||||||||||||||||||||
Net unrealized gain/(loss) on Contracts For Difference | $ | 90,795 |
The accompanying notes are an integral part of the financial statements.
Semi-Annual Report 2021 | 37
BOSTON PARTNERS INVESTMENT FUNDS | February 28, 2021 (unaudited) |
BOSTON PARTNERS GLOBAL LONG/SHORT FUND | Portfolio Of Investments (concluded) |
A summary of the inputs used to value the Fund’s investments carried at fair value as of February 28, 2021 is as follows (see Notes to Portfolio of Investments):
TOTAL | LEVEL 1 | LEVEL 2 | LEVEL 3 | |||||||||||||
Common Stock | ||||||||||||||||
Austria | $ | 666,583 | $ | — | $ | 666,583 | $ | — | ||||||||
Bermuda | 2,209,660 | 2,209,660 | — | — | ||||||||||||
Brazil | 314,289 | 314,289 | — | — | ||||||||||||
Canada | 2,154,796 | 2,154,796 | — | — | ||||||||||||
China | 888,254 | — | 888,254 | — | ||||||||||||
Finland | 1,925,221 | — | 1,925,221 | — | ||||||||||||
France | 8,481,070 | — | 8,481,070 | — | ||||||||||||
Germany | 7,767,792 | — | 7,767,792 | — | ||||||||||||
Hong Kong | 1,730,654 | — | 1,730,654 | — | ||||||||||||
Italy | 566,535 | — | 566,535 | — | ||||||||||||
Japan | 14,634,660 | — | 14,634,660 | — | ||||||||||||
Macao | 685,055 | — | 685,055 | — | ||||||||||||
Netherlands | 2,841,539 | 1,941,851 | 899,688 | — | ||||||||||||
Norway | 619,629 | — | 619,629 | — | ||||||||||||
South Korea | 7,546,181 | 561,214 | 6,984,967 | — | ||||||||||||
Spain | 751,823 | — | 751,823 | — | ||||||||||||
Sweden | 2,249,507 | — | 2,249,507 | — | ||||||||||||
Switzerland | 3,664,807 | — | 3,664,807 | — | ||||||||||||
Taiwan | 807,150 | — | 807,150 | — | ||||||||||||
United Kingdom | 5,584,739 | — | 5,584,739 | — | ||||||||||||
United States | 42,118,203 | 42,118,203 | — | — | ||||||||||||
Preferred Stock | ||||||||||||||||
Germany | 1,212,428 | — | 1,212,428 | — | ||||||||||||
Short-Term Investments | 8,397,095 | 8,397,095 | — | — | ||||||||||||
Contracts For Difference | ||||||||||||||||
Equity Contracts | 236,991 | 236,991 | — | — | ||||||||||||
Total Assets | $ | 118,054,661 | $ | 57,934,099 | $ | 60,120,562 | $ | — | ||||||||
TOTAL | LEVEL 1 | LEVEL 2 | LEVEL 3 | |||||||||||||
Securities Sold Short | ||||||||||||||||
Australia | $ | (1,472,587 | ) | $ | —- | $ | (1,472,587 | ) | $ | — | ||||||
China | (1,077,260 | ) | (759,869 | ) | (317,391 | ) | — | |||||||||
France | (565,102 | ) | — | (565,102 | ) | — | ||||||||||
Germany | (2,108,058 | ) | (284,007 | ) | (1,824,051 | ) | — | |||||||||
Japan | (5,247,462 | ) | — | (5,247,462 | ) | — | ||||||||||
Luxembourg | (394,061 | ) | (394,061 | ) | — | — | ||||||||||
Sweden | (721,279 | ) | — | (721,279 | ) | — | ||||||||||
Switzerland | (1,192,694 | ) | — | (1,192,694 | ) | — | ||||||||||
United Kingdom | (686,897 | ) | (479,675 | ) | (207,222 | ) | — | |||||||||
United States | (18,592,453 | ) | (18,592,453 | ) | — | — | ||||||||||
Options Written | ||||||||||||||||
Equity Contracts | (677,444 | ) | (590,706 | ) | (86,738 | ) | — | |||||||||
Contracts For Difference | ||||||||||||||||
Equity Contracts | (146,196 | ) | (146,196 | ) | — | — | ||||||||||
Total Liabilities | $ | (32,881,493 | ) | $ | (21,246,967 | ) | $ | (11,634,526 | ) | $ | — |
The accompanying notes are an integral part of the financial statements.
38 | Semi-Annual Report 2021
BOSTON PARTNERS INVESTMENT FUNDS | February 28, 2021 (unaudited) |
BOSTON PARTNERS EMERGING MARKETS DYNAMIC EQUITY FUND | Portfolio Of Investments |
(formerly Boston Partners Emerging Markets Long/Short Fund) |
NUMBER OF SHARES | VALUE | |||||||
LONG POSITIONS—99.3% | ||||||||
COMMON STOCKS—71.7% | ||||||||
Brazil—5.0% | ||||||||
Cia Brasileira de Distribuicao | 21,400 | $ | 319,881 | |||||
Eletromidia SA* | 733,178 | 2,142,938 | ||||||
Vasta Platform Ltd.*† | 51,552 | 689,250 | ||||||
Vivara Participacoes SA* | 113,500 | 482,014 | ||||||
3,634,083 | ||||||||
Canada—1.0% | ||||||||
Parex Resources, Inc.* | 45,096 | 720,771 | ||||||
China—15.2% | ||||||||
Alibaba Group Holding Ltd.* | 24,000 | 721,180 | ||||||
China Meidong Auto Holdings Ltd. | 224,000 | 851,255 | ||||||
China Yongda Automobiles Services Holdings Ltd. | 727,000 | 1,058,395 | ||||||
CIFI Holdings Group Co., Ltd. | 780,165 | 738,829 | ||||||
ENN Energy Holdings Ltd. | 31,400 | 480,172 | ||||||
Industrial & Commercial Bank of China Ltd., Class H | 566,000 | 370,289 | ||||||
Longfor Group Holdings Ltd. | 125,000 | 740,906 | ||||||
Momo, Inc. - SP ADR† | 9,177 | 145,364 | ||||||
NetEase, Inc. - ADR† | 7,267 | 798,280 | ||||||
Ping An Insurance Group Co. of China Ltd., Class H | 116,466 | 1,441,217 | ||||||
Tencent Holdings Ltd. - ADR† | 8,707 | 759,250 | ||||||
Tongcheng-Elong Holdings Ltd.* | 371,200 | 870,566 | ||||||
Trip.com Group Ltd. - ADR† | 13,464 | 531,155 | ||||||
Zhongsheng Group Holdings Ltd. | 246,500 | 1,523,541 | ||||||
11,030,399 | ||||||||
Greece—0.6% | ||||||||
JUMBO SA | 27,864 | 458,855 | ||||||
Hong Kong—3.7% | ||||||||
Melco Resorts & Entertainment Ltd. - ADR*† | 39,401 | 853,426 | ||||||
Swire Properties Ltd. | 223,000 | 717,286 | ||||||
WH Group Ltd. | 1,219,000 | 1,093,333 | ||||||
2,664,045 | ||||||||
Hungary—1.0% | ||||||||
OTP Bank PLC* | 15,484 | 702,324 | ||||||
India—6.4% | ||||||||
Bandhan Bank Ltd.* | 215,269 | 1,011,753 | ||||||
Bharti Airtel Ltd. | 233,472 | 1,765,997 | ||||||
HDFC Bank Ltd. –- ADR† | 3,854 | 305,005 | ||||||
HDFC Bank Ltd. | 17,794 | 373,232 | ||||||
Petronet LNG Ltd. | 259,665 | 901,658 | ||||||
Reliance Industries Ltd. | 10,111 | 286,611 | ||||||
4,644,256 | ||||||||
Indonesia—1.3% | ||||||||
Wismilak Inti Makmur Tbk PT | 13,879,700 | 904,142 | ||||||
Luxembourg—0.8% | ||||||||
Samsonite International SA* | 304,800 | 592,514 | ||||||
Macao—0.8% | ||||||||
Sands China Ltd.* | 88,800 | 418,526 | ||||||
Wynn Macau Ltd.* | 99,600 | 187,862 | ||||||
606,388 | ||||||||
Malaysia—1.6% | ||||||||
Carlsberg Brewery Malaysia Bhd | 198,700 | 1,174,206 |
NUMBER OF SHARES | VALUE | |||||||
Mexico—1.7% | ||||||||
Concentradora Fibra Danhos SA de CV | 438,900 | $ | 537,900 | |||||
Macquarie Mexico Real Estate Management SA de CV | 602,300 | 728,368 | ||||||
1,266,268 | ||||||||
Philippines—0.6% | ||||||||
BDO Unibank, Inc. | 199,930 | 434,167 | ||||||
Russia—1.4% | ||||||||
Sberbank of Russia PJSC - SP ADR | 36,448 | 530,683 | ||||||
Tatneft PJSC | 64,952 | 458,009 | ||||||
988,692 | ||||||||
South Africa—2.5% | ||||||||
Distell Group Holdings Ltd. | 71,925 | 529,502 | ||||||
Naspers Ltd., Class N | 1,388 | 327,537 | ||||||
Pick n Pay Stores Ltd. | 139,726 | 477,135 | ||||||
SPAR Group Ltd., (The) | 37,343 | 469,797 | ||||||
1,803,971 | ||||||||
South Korea—11.2% | ||||||||
Celltrion Healthcare Co., Ltd.* | 153 | 17,040 | ||||||
Celltrion, Inc.* | 53 | 14,040 | ||||||
Grand Korea Leisure Co., Ltd.* | 27,325 | 386,686 | ||||||
GS Retail Co., Ltd. | 15,978 | 514,224 | ||||||
Innocean Worldwide, Inc. | 9,393 | 516,033 | ||||||
KB Financial Group, Inc. | 16,061 | 621,652 | ||||||
Korea Electric Power Corp. | 15,318 | 308,632 | ||||||
Mirae Asset Daewoo Co., Ltd. | 47,676 | 395,316 | ||||||
Samsung Biologics Co., Ltd.* | 980 | 652,946 | ||||||
Samsung Electronics Co., Ltd. | 6,787 | 497,390 | ||||||
Samsung Heavy Industries Co., Ltd.* | 77,270 | 450,223 | ||||||
Samsung Securities Co., Ltd. | 7,651 | 248,288 | ||||||
SK Hynix, Inc. | 27,654 | 3,473,480 | ||||||
8,095,950 | ||||||||
Taiwan—9.9% | ||||||||
Fusheng Precision Co., Ltd. | 124,000 | 896,494 | ||||||
Global Mixed Mode Technology, Inc. | 92,000 | 647,309 | ||||||
Hiwin Technologies Corp. | 47,000 | 673,137 | ||||||
Lotes Co., Ltd. | 57,000 | 1,060,614 | ||||||
Taiwan Semiconductor Manufacturing Co., Ltd. - SP ADR† | 3,062 | 385,628 | ||||||
Tripod Technology Corp. | 249,000 | 1,237,680 | ||||||
Wiwynn Corp. | 78,000 | 2,248,488 | ||||||
7,149,350 | ||||||||
United States—7.0% | ||||||||
Kosmos Energy Ltd.* | 224,600 | 691,768 | ||||||
Micron Technology, Inc.*† | 31,821 | 2,912,576 | ||||||
National Energy Services Reunited Corp.*† | 113,270 | 1,500,829 | ||||||
5,105,173 | ||||||||
TOTAL COMMON STOCKS (Cost $43,264,183) | 51,975,554 | |||||||
PREFERRED STOCKS—4.3% | ||||||||
Brazil—0.8% | ||||||||
Itau Unibanco Holding SA 1.865% | 120,600 | 550,040 | ||||||
Chile—1.0% | ||||||||
Embotelladora Andina SA, Class B 5.807% | 269,847 | 729,592 | ||||||
South Korea—2.5% | ||||||||
Samsung Electronics Co., Ltd. 4.114% | 28,339 | 1,833,019 | ||||||
TOTAL PREFERRED STOCKS (Cost $1,949,642) | 3,112,651 |
The accompanying notes are an integral part of the financial statements.
Semi-Annual Report 2021 | 39
BOSTON PARTNERS INVESTMENT FUNDS | February 28, 2021 (unaudited) |
BOSTON PARTNERS EMERGING MARKETS DYNAMIC EQUITY FUND | Portfolio Of Investments (continued) |
(formerly Boston Partners Emerging Markets Long/Short Fund) |
NUMBER OF SHARES | VALUE | |||||||
SHORT-TERM INVESTMENTS—23.3% | ||||||||
U.S. Bank Money Market Deposit Account, 0.01%(a) | 16,882,314 | $ | 16,882,314 | |||||
TOTAL SHORT-TERM INVESTMENTS (Cost $16,882,314) | 16,882,314 | |||||||
TOTAL INVESTMENTS—99.3% (Cost $62,096,139) | 71,970,519 | |||||||
SECURITIES SOLD SHORT—(9.4%) | ||||||||
COMMON STOCKS—(1.3%) | ||||||||
Mexico—(0.4%) | ||||||||
Grupo Financiero Inbursa SAB de CV | (283,700 | ) | (254,938 | ) | ||||
United Kingdom—(0.9%) | ||||||||
Antofagasta PLC | (25,967 | ) | (648,083 | ) | ||||
TOTAL COMMON STOCKS (Proceeds $(556,981)) | (903,021 | ) | ||||||
EXCHANGE TRADED FUNDS—(8.1%) | ||||||||
Ireland—(1.0%) | ||||||||
iShares MSCI EM UCITS ETF USD Dist (14,020) | (732,684 | ) | ||||||
United States—(7.1%) | ||||||||
iShares MSCI Emerging Markets ETF | (13,660 | ) | (733,952 | ) | ||||
iShares MSCI India ETF | (17,810 | ) | (730,744 | ) | ||||
iShares MSCI South Africa ETF | (7,624 | ) | (352,610 | ) | ||||
iShares MSCI South Korea ETF | (27,198 | ) | (2,392,608 | ) | ||||
VanEck Vectors Russia ETF | (37,624 | ) | (920,659 | ) | ||||
(5,130,573 | ) | |||||||
TOTAL EXCHANGE TRADED FUNDS (Proceeds $(4,781,428)) | (5,863,257 | ) | ||||||
TOTAL SECURITIES SOLD SHORT—(9.4%) (Proceeds $(5,338,408)) | (6,766,278 | ) | ||||||
OTHER ASSETS IN EXCESS OF LIABILITIES—10.1% | 7,291,228 | |||||||
NET ASSETS—100.0% | $ | 72,495,469 | ||||||
ADR | — | American Depositary Receipt |
PLC | — | Public Limited Company |
SP ADR | — | Sponsored American Depositary Receipt |
* | — | Non-income producing. |
† | — | Security position is either entirely or partially held in a segregated account as collateral for securities sold short. |
(a) | — | The rate shown is as of February 28, 2021. |
The accompanying notes are an integral part of the financial statements.
40 | Semi-Annual report 2021
BOSTON PARTNERS INVESTMENT FUNDS | February 28, 2021 (unaudited) |
BOSTON PARTNERS EMERGING MARKETS DYNAMIC EQUITY FUND | Portfolio Of Investments (continued) |
(formerly Boston Partners Emerging Markets Long/Short Fund) |
Contracts For Difference held by the Fund at February 28, 2021, are as follows:
REFERENCE COMPANY | COUNTERPARTY | EXPIRATION DATE | FINANCING RATE | PAYMENT FREQUENCY | NUMBER OF CONTRACTS LONG/ (SHORT) | NOTIONAL AMOUNT | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||||
Long | |||||||||||||||||||||||
China | |||||||||||||||||||||||
Alibaba Group Holding Ltd. | Goldman Sachs | 9/18/2025 | 0.14 | % | Monthly | 19,100 | $ | 572,277 | $ | (78,406 | ) | ||||||||||||
Alibaba Group Holding Ltd. - SP ADR | Goldman Sachs | 9/18/2025 | 0.11 | Monthly | 14,541 | 3,457,267 | (479,476 | ) | |||||||||||||||
Netdragon Websoft Holdings | Goldman Sachs | 9/18/2025 | 0.14 | Monthly | 67,500 | 163,780 | (8,555 | ) | |||||||||||||||
Tencent Holdings Ltd. | Goldman Sachs | 9/18/2025 | 0.14 | Monthly | 32,700 | 2,792,997 | (348,287 | ) | |||||||||||||||
6,986,321 | (914,724 | ) | |||||||||||||||||||||
Hong Kong | |||||||||||||||||||||||
Fortune Real Estate Investment Trust | Goldman Sachs | 9/18/2025 | 0.14 | Monthly | 565,000 | 527,381 | (5,908 | ) | |||||||||||||||
Hang Lung Properties Ltd. | Goldman Sachs | 9/18/2025 | 0.14 | Monthly | 127,000 | 329,107 | (36,078 | ) | |||||||||||||||
856,488 | (41,986 | ) | |||||||||||||||||||||
Macao | |||||||||||||||||||||||
Sands China Ltd. | Goldman Sachs | 9/18/2025 | 0.14 | Monthly | 217,600 | 1,018,363 | 51,752 | ||||||||||||||||
Wynn Macau Ltd. | Goldman Sachs | 9/18/2025 | 0.14 | Monthly | 672,000 | 1,268,374 | 25,802 | ||||||||||||||||
2,286,737 | 77,554 | ||||||||||||||||||||||
Portugal | |||||||||||||||||||||||
Jeronimo Martins | Goldman Sachs | 9/18/2025 | -0.55 | Monthly | 12,338 | 191,290 | (2,452 | ) | |||||||||||||||
Russia | |||||||||||||||||||||||
Detsky Mir PJSC | Goldman Sachs | 9/18/2025 | 0.11 | Monthly | 289,510 | 551,046 | (17,958 | ) | |||||||||||||||
Novolipetsk Steel PJSC | Goldman Sachs | 9/18/2025 | 0.11 | Monthly | 145,320 | 436,460 | 36,345 | ||||||||||||||||
Sberbank of Russia PJSC - SP ADR | Goldman Sachs | 9/18/2025 | 0.11 | Monthly | 21,175 | 306,847 | (7,043 | ) | |||||||||||||||
1,294,353 | 11,344 | ||||||||||||||||||||||
Singapore | |||||||||||||||||||||||
DBS Group Holdings Ltd. | Goldman Sachs | 9/18/2025 | 0.16 | Monthly | 40,200 | 803,156 | 19,469 | ||||||||||||||||
United Overseas Bank Ltd. | Goldman Sachs | 9/18/2025 | 0.16 | Monthly | 24,200 | 447,920 | 11,908 | ||||||||||||||||
1,251,076 | 31,377 | ||||||||||||||||||||||
South Africa | |||||||||||||||||||||||
Naspers Ltd. - SP ADR | Goldman Sachs | 9/18/2025 | 0.11 | Monthly | 24,402 | 1,133,558 | (97,677 | ) | |||||||||||||||
South Korea | |||||||||||||||||||||||
Hana Financial Group | Goldman Sachs | 9/18/2025 | 0.11 | Monthly | 24,145 | 796,237 | (17,754 | ) | |||||||||||||||
Posco | Goldman Sachs | 9/18/2025 | 0.11 | Monthly | 2,301 | 576,530 | 16,493 | ||||||||||||||||
Samsung Electronics Co., Ltd. | Goldman Sachs | 9/18/2025 | 0.11 | Monthly | 24,856 | 1,825,207 | (56,801 | ) | |||||||||||||||
SK Hynix, Inc. | Goldman Sachs | 9/18/2025 | 0.11 | Monthly | 1,361 | 171,412 | 8,175 | ||||||||||||||||
3,369,386 | (49,887 | ) | |||||||||||||||||||||
Switzerland | |||||||||||||||||||||||
Glencore PLC | Goldman Sachs | 9/18/2025 | 0.04 | Monthly | 84,697 | 343,027 | 3,150 | ||||||||||||||||
Taiwan | |||||||||||||||||||||||
Taiwan Semiconductor Manufacturing Co., Ltd. | Goldman Sachs | 9/18/2025 | 0.11 | Monthly | 88,251 | 1,920,119 | (173,561 | ) | |||||||||||||||
Taiwan Semiconductor Manufacturing Co., Ltd. - SP ADR | Goldman Sachs | 9/18/2025 | 0.11 | Monthly | 12,082 | 1,521,607 | (170,690 | ) | |||||||||||||||
Taiwan Semiconductor Manufacturing Co., Ltd. - SP ADR | HSBC | 9/22/2022 | 0.11 | Monthly | 6,231 | 784,732 | (87,970 | ) | |||||||||||||||
4,226,458 | (432,221 | ) | |||||||||||||||||||||
Total Long | 21,938,694 | (1,415,522 | ) |
The accompanying notes are an integral part of the financial statements.
Semi-Annual Report 2021 | 41
BOSTON PARTNERS INVESTMENT FUNDS | February 28, 2021 (unaudited) |
BOSTON PARTNERS EMERGING MARKETS DYNAMIC EQUITY FUND | Portfolio Of Investments (continued) |
(formerly Boston Partners Emerging Markets Long/Short Fund) |
REFERENCE COMPANY | COUNTERPARTY | EXPIRATION DATE | FINANCING RATE | PAYMENT FREQUENCY | NUMBER OF CONTRACTS LONG/ (SHORT) | NOTIONAL AMOUNT | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||||
Short | |||||||||||||||||||||||
Brazil | |||||||||||||||||||||||
M Dias Branco SA | Goldman Sachs | 9/18/2025 | 0.05 | Monthly | (120,600 | ) | $ | (617,397 | ) | $ | 36,039 | ||||||||||||
Natura & Co. Holding SA | Morgan Stanley | 9/22/2022 | 0.07 | Monthly | (71,700 | ) | (590,826 | ) | 96,526 | ||||||||||||||
Ultrapar Participacoes SA | Goldman Sachs | 9/18/2025 | 0.00 | Monthly | (166,900 | ) | (577,160 | ) | 52,521 | ||||||||||||||
(1,785,383 | ) | 185,086 | |||||||||||||||||||||
China | |||||||||||||||||||||||
China Life Insurance Co. | Goldman Sachs | 9/18/2025 | 0.00 | Monthly | (110,000 | ) | (232,013 | ) | 4,510 | ||||||||||||||
Cofco Joycome Foods Ltd. | Goldman Sachs | 9/18/2025 | 0.00 | Monthly | (466,000 | ) | (310,609 | ) | (4,806 | ) | |||||||||||||
KE Holdings, Inc. | Goldman Sachs | 9/18/2025 | 0.07 | Monthly | (2,651 | ) | (169,213 | ) | 10,978 | ||||||||||||||
(711,835 | ) | 10,682 | |||||||||||||||||||||
Columbia | |||||||||||||||||||||||
BanColombia S.A. - SP ADR | Goldman Sachs | 9/18/2025 | 0.07 | Monthly | (14,968 | ) | (500,680 | ) | 36,648 | ||||||||||||||
Hong Kong | |||||||||||||||||||||||
China Taiping Insurance Holdings Co., Ltd. | Goldman Sachs | 9/18/2025 | 0.00 | Monthly | (139,600 | ) | (300,925 | ) | (40,346 | ) | |||||||||||||
Fullshare Holdings Ltd. | Goldman Sachs | 9/18/2025 | 0.00 | Monthly | (19,912,500 | ) | (410,755 | ) | 1,852 | ||||||||||||||
Hong Kong & China Gas | Goldman Sachs | 9/18/2025 | 0.00 | Monthly | (333,734 | ) | (503,412 | ) | (24,151 | ) | |||||||||||||
(1,215,092 | ) | (62,645 | ) | ||||||||||||||||||||
Israel | |||||||||||||||||||||||
Elbit Systems Ltd. | Morgan Stanley | 9/22/2022 | 0.07 | Monthly | (4,037 | ) | (525,290 | ) | 52,924 | ||||||||||||||
Kuwait | |||||||||||||||||||||||
National Bank of Kuwait | Goldman Sachs | 9/18/2025 | 0.07 | Monthly | (174,978 | ) | (476,897 | ) | 8,156 | ||||||||||||||
Malaysia | |||||||||||||||||||||||
Hartalega Holdings Bhd | HSBC | 9/22/2022 | 0.11 | Monthly | (184,700 | ) | (456,331 | ) | 113,105 | ||||||||||||||
Top Glove Corp. Bhd | HSBC | 9/22/2022 | 0.11 | Monthly | (368,100 | ) | (476,552 | ) | 74,868 | ||||||||||||||
(932,883 | ) | 187,973 | |||||||||||||||||||||
Poland | |||||||||||||||||||||||
Powszechna Kasa Oszczednosci Bank Polski SA | Goldman Sachs | 9/18/2025 | 0.07 | Monthly | (43,728 | ) | (351,691 | ) | 17,409 | ||||||||||||||
Saudi Arabia | |||||||||||||||||||||||
Alinma Bank | Goldman Sachs | 9/18/2025 | 0.07 | Monthly | (43,846 | ) | (189,389 | ) | 1,275 | ||||||||||||||
Arab National Bank | Goldman Sachs | 9/18/2025 | 0.07 | Monthly | (66,063 | ) | (341,016 | ) | 15,906 | ||||||||||||||
Banque Saudi Fransi | Goldman Sachs | 9/18/2025 | 0.07 | Monthly | (56,041 | ) | (416,889 | ) | 48,965 | ||||||||||||||
Rabigh Refining and Petrochemical | Goldman Sachs | 9/18/2025 | 0.07 | Monthly | (73,843 | ) | (287,063 | ) | (10,440 | ) | |||||||||||||
Saudi Arabian Oil Co. | Goldman Sachs | 9/18/2025 | 0.07 | Monthly | (51,074 | ) | (470,499 | ) | 3,690 | ||||||||||||||
(1,704,856 | ) | 59,396 | |||||||||||||||||||||
Singapore | |||||||||||||||||||||||
Golden Agri-Resources Ltd. | Goldman Sachs | 9/18/2025 | 0.23 | Monthly | (3,211,600 | ) | (462,448 | ) | 2,373 | ||||||||||||||
Starhub Ltd. | Goldman Sachs | 9/18/2025 | 0.23 | Monthly | (424,300 | ) | (404,125 | ) | 3,052 | ||||||||||||||
(866,573 | ) | 5,425 | |||||||||||||||||||||
South Africa | |||||||||||||||||||||||
Tiger Brands Ltd. | Goldman Sachs | 9/18/2025 | 3.31 | Monthly | (35,806 | ) | (477,224 | ) | 33,171 | ||||||||||||||
South Korea | |||||||||||||||||||||||
Amorepacific Corp. | Goldman Sachs | 9/18/2025 | 0.07 | Monthly | (2,790 | ) | (582,336 | ) | 6,368 | ||||||||||||||
Celltrion Healthcare Co., Ltd. | Macquarie | 12/23/2021 | 0.09 | Monthly | (152 | ) | (16,993 | ) | 2,264 | ||||||||||||||
Celltrion, Inc. | Goldman Sachs | 9/18/2025 | 0.07 | Monthly | (53 | ) | (14,034 | ) | 1,623 | ||||||||||||||
Grand Korea Leisure Co., Ltd. | Goldman Sachs | 9/18/2025 | 0.07 | Monthly | (27,325 | ) | (387,925 | ) | (1,918 | ) | |||||||||||||
Korea Electric Power Corp. | Morgan Stanley | 9/22/2022 | 0.07 | Monthly | (15,318 | ) | (309,496 | ) | 18,425 | ||||||||||||||
Lotte Shopping Co., Ltd. | Goldman Sachs | 9/18/2025 | 0.07 | Monthly | (4,983 | ) | (525,577 | ) | (3,805 | ) | |||||||||||||
Mirae Asset Daewoo Co., Ltd. | Goldman Sachs | 9/18/2025 | 0.07 | Monthly | (72,627 | ) | (603,771 | ) | 63,218 | ||||||||||||||
Paradise Co., Ltd. | Morgan Stanley | 9/22/2022 | 0.07 | Monthly | (28,309 | ) | (433,391 | ) | (13,940 | ) | |||||||||||||
Samsung Biologics Co., Ltd. | Goldman Sachs | 9/18/2025 | 0.07 | Monthly | (1,010 | ) | (674,232 | ) | 56,596 | ||||||||||||||
Samsung Heavy Industries | Goldman Sachs | 9/18/2025 | 0.07 | Monthly | (77,270 | ) | (451,171 | ) | 12,420 | ||||||||||||||
Samsung Securities Co., Ltd. | Morgan Stanley | 9/22/2022 | 0.07 | Monthly | (13,702 | ) | (445,757 | ) | 49,781 | ||||||||||||||
Sillajen, Inc. | Goldman Sachs | 9/18/2025 | 0.07 | Monthly | (10,490 | ) | (113,502 | ) | 1,376 | ||||||||||||||
S-Oil Corp. | Goldman Sachs | 9/18/2025 | 0.07 | Monthly | (7,331 | ) | (554,637 | ) | 32,473 | ||||||||||||||
(5,112,822 | ) | 224,881 |
The accompanying notes are an integral part of the financial statements.
42 | Semi-Annual report 2021
BOSTON PARTNERS INVESTMENT FUNDS | February 28, 2021 (unaudited) |
BOSTON PARTNERS EMERGING MARKETS DYNAMIC EQUITY FUND | Portfolio Of Investments (continued) |
(formerly Boston Partners Emerging Markets Long/Short Fund) |
REFERENCE COMPANY | COUNTERPARTY | EXPIRATION DATE | FINANCING RATE | PAYMENT FREQUENCY | NUMBER OF CONTRACTS LONG/ (SHORT) | NOTIONAL AMOUNT | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||||
Taiwan | |||||||||||||||||||||||
Acer, Inc. | Morgan Stanley | 9/22/2022 | 0.07 | Monthly | (585,000 | ) | $ | (563,944 | ) | $ | (10,272 | ) | |||||||||||
Asustek Computer, Inc. | Goldman Sachs | 9/18/2025 | 0.07 | Monthly | (54,000 | ) | (589,391 | ) | (30,160 | ) | |||||||||||||
Cheng Shin Rubber Co., Ltd. | Goldman Sachs | 9/18/2025 | 0.07 | Monthly | (346,000 | ) | (536,035 | ) | (7,559 | ) | |||||||||||||
Compal Electronics | Goldman Sachs | 9/18/2025 | 0.07 | Monthly | (654,000 | ) | (521,275 | ) | (12,429 | ) | |||||||||||||
Elan Microelectronics Corp. | Goldman Sachs | 9/18/2025 | 0.07 | Monthly | (101,000 | ) | (623,714 | ) | (22,753 | ) | |||||||||||||
Far Eastone Telecomm Co., Ltd. | Goldman Sachs | 9/18/2025 | 0.07 | Monthly | (204,000 | ) | (452,642 | ) | (12,598 | ) | |||||||||||||
Formosa Petrochemical Corp. | Goldman Sachs | 9/18/2025 | 0.07 | Monthly | (150,000 | ) | (538,551 | ) | (24,502 | ) | |||||||||||||
Largan Precision Co., Ltd. | Goldman Sachs | 9/18/2025 | 0.07 | Monthly | (5,000 | ) | (591,509 | ) | (28,127 | ) | |||||||||||||
(4,417,061 | ) | (148,400 | ) | ||||||||||||||||||||
Thailand | |||||||||||||||||||||||
Airports of Thailand NVDR | Morgan Stanley | 9/22/2022 | 0.07 | Monthly | (230,100 | ) | (488,681 | ) | (1,576 | ) | |||||||||||||
PTT Global Chemical PCL - NVDR | Goldman Sachs | 9/18/2025 | 0.07 | Monthly | (247,400 | ) | (515,160 | ) | 32,347 | ||||||||||||||
True Corp. PCL - NVDR | Morgan Stanley | 9/22/2022 | 0.07 | Monthly | (5,071,300 | ) | (528,419 | ) | 19,740 | ||||||||||||||
(1,532,260 | ) | 50,511 | |||||||||||||||||||||
United Kingdom | |||||||||||||||||||||||
HSBC Holdings PLC | Goldman Sachs | 9/18/2025 | 0.00 | Monthly | (92,400 | ) | (563,469 | ) | (18,528 | ) | |||||||||||||
United States | |||||||||||||||||||||||
Synaptics, Inc. | Goldman Sachs | 9/18/2025 | 0.07 | Monthly | (1,869 | ) | (250,502 | ) | 775 | ||||||||||||||
Total Short | (21,424,518 | ) | 643,464 | ||||||||||||||||||||
Net unrealized gain/(loss) on Contracts For Difference | $ | (772,058 | ) |
The accompanying notes are an integral part of the financial statements.
Semi-Annual Report 2021 | 43
BOSTON PARTNERS INVESTMENT FUNDS | February 28, 2021 (unaudited) |
BOSTON PARTNERS EMERGING MARKETS DYNAMIC EQUITY FUND | Portfolio Of Investments (concluded) |
(formerly Boston Partners Emerging Markets Long/Short Fund) |
A summary of the inputs used to value the Fund’s investments carried at fair value as of February 28, 2021 is as follows (see Notes to Portfolio of Investments):
TOTAL | LEVEL 1 | LEVEL 2 | LEVEL 3 | |||||||||||||
Common Stock | ||||||||||||||||
Brazil | $ | 3,634,083 | $ | 3,634,083 | $ | — | $ | — | ||||||||
Canada | 720,771 | 720,771 | — | — | ||||||||||||
China | 11,030,399 | 2,234,049 | 8,796,350 | — | ||||||||||||
Greece | 458,855 | — | 458,855 | — | ||||||||||||
Hong Kong | 2,664,045 | 853,426 | 1,810,619 | — | ||||||||||||
Hungary | 702,324 | — | 702,324 | — | ||||||||||||
India | 4,644,256 | 305,005 | 4,339,251 | — | ||||||||||||
Indonesia | 904,142 | — | 904,142 | — | ||||||||||||
Luxembourg | 592,514 | — | 592,514 | — | ||||||||||||
Macao | 606,388 | — | 606,388 | — | ||||||||||||
Malaysia | 1,174,206 | — | 1,174,206 | — | ||||||||||||
Mexico | 1,266,268 | 1,266,268 | — | — | ||||||||||||
Philippines | 434,167 | — | 434,167 | — | ||||||||||||
Russia | 988,692 | 530,683 | 458,009 | — | ||||||||||||
South Africa | 1,803,971 | 946,932 | 857,039 | — | ||||||||||||
South Korea | 8,095,950 | — | 8,095,950 | — | ||||||||||||
Taiwan | 7,149,350 | 385,628 | 6,763,722 | — | ||||||||||||
United States | 5,105,173 | 5,105,173 | — | — | ||||||||||||
Preferred Stock | ||||||||||||||||
Brazil | 550,040 | 550,040 | — | — | ||||||||||||
Chile | 729,592 | 729,592 | — | — | ||||||||||||
South Korea | 1,833,019 | — | 1,833,019 | — | ||||||||||||
Short-Term Investments | 16,882,314 | 16,882,314 | — | — | ||||||||||||
Contracts For Difference Equity Contracts | 1,084,468 | 1,083,092 | 1,376 | — | ||||||||||||
Total Assets | $ | 73,054,987 | $ | 35,227,056 | $ | 37,827,931 | $ | —- | ||||||||
TOTAL | LEVEL 1 | LEVEL 2 | LEVEL 3 | |||||||||||||
Securities Sold Short | ||||||||||||||||
Mexico | $ | (254,938 | ) | $ | (254,938 | ) | $ | —- | $ | — | ||||||
United Kingdom | (648,083 | ) | — | (648,083 | ) | — | ||||||||||
Exchange Traded Funds | ||||||||||||||||
Ireland | (732,684 | ) | — | (732,684 | ) | — | ||||||||||
United States | (5,130,573 | ) | (5,130,573 | ) | — | — | ||||||||||
Contracts For Difference Equity Contracts | (1,856,526 | ) | (1,751,806 | ) | (104,720 | ) | — | |||||||||
Total Liabilities | $ | (8,622,804 | ) | $ | (7,137,317 | ) | $ | (1,485,487 | ) | $ | —- |
The accompanying notes are an integral part of the financial statements.
44 | Semi-Annual report 2021
BOSTON PARTNERS INVESTMENT FUNDS | February 28, 2021 (unaudited) |
BOSTON PARTNERS EMERGING MARKETS FUND | Portfolio Of Investments |
NUMBER OF SHARES | VALUE | |||||||
COMMON STOCKS—88.3% | ||||||||
Brazil—4.9% | ||||||||
Cia Brasileira de Distribuicao | 6,700 | $ | 100,150 | |||||
Eletromidia SA* | 245,276 | 716,894 | ||||||
Vasta Platform Ltd.* | 16,678 | 222,985 | ||||||
Vivara Participacoes SA* | 37,300 | 158,406 | ||||||
1,198,435 | ||||||||
Canada—1.0% | ||||||||
Parex Resources, Inc.* | 14,837 | 237,140 | ||||||
China—24.2% | ||||||||
Alibaba Group Holding Ltd.* | 16,100 | 483,792 | ||||||
Alibaba Group Holding Ltd. - SP ADR* | 4,432 | 1,053,752 | ||||||
China Meidong Auto Holdings Ltd. | 74,000 | 281,218 | ||||||
China Yongda Automobiles Services Holdings Ltd. | 244,000 | 355,225 | ||||||
CIFI Holdings Group Co., Ltd. | 263,604 | 249,637 | ||||||
ENN Energy Holdings Ltd. | 10,300 | 157,509 | ||||||
Industrial & Commercial Bank of China Ltd., Class H | 183,000 | 119,722 | ||||||
Longfor Group Holdings Ltd. | 42,000 | 248,944 | ||||||
Momo, Inc. - SP ADR | 3,001 | 47,536 | ||||||
NetEase, Inc. - ADR | 2,345 | 257,598 | ||||||
Ping An Insurance Group Co. of China Ltd., Class H | 37,958 | 469,714 | ||||||
Tencent Holdings Ltd. | 10,900 | 948,268 | ||||||
Tencent Holdings Ltd. - ADR | 2,850 | 248,520 | ||||||
Tongcheng-Elong Holdings Ltd.* | 120,000 | 281,433 | ||||||
Trip.com Group Ltd. - ADR | 4,426 | 174,606 | ||||||
Zhongsheng Group Holdings Ltd. | 83,000 | 512,998 | ||||||
5,890,472 | ||||||||
Greece—0.6% | ||||||||
JUMBO SA | 9,159 | 150,828 | ||||||
Hong Kong—4.7% | ||||||||
Fortune Real Estate Investment Trust | 189,000 | 176,582 | ||||||
Hang Lung Properties Ltd. | 41,000 | 106,217 | ||||||
Melco Resorts & Entertainment Ltd. - ADR* | 12,703 | 275,147 | ||||||
Swire Properties Ltd. | 72,200 | 232,234 | ||||||
WH Group Ltd. | 397,000 | 356,073 | ||||||
1,146,253 | ||||||||
Hungary—0.9% | ||||||||
OTP Bank PLC* | 4,999 | 226,745 | ||||||
India—6.2% | ||||||||
Bandhan Bank Ltd.* | 69,894 | 328,498 | ||||||
Bharti Airtel Ltd. | 75,403 | 570,353 | ||||||
HDFC Bank Ltd. - ADR | 1,180 | 93,385 | ||||||
HDFC Bank Ltd. | 5,940 | 124,592 | ||||||
Petronet LNG Ltd. | 84,110 | 292,063 | ||||||
Reliance Industries Ltd. | 3,312 | 93,884 | ||||||
1,502,775 | ||||||||
Indonesia-1.2% | ||||||||
Wismilak Inti Makmur Tbk PT | 4,517,200 | 294,256 | ||||||
Luxembourg—0.8% | ||||||||
Samsonite International SA* | 102,000 | 198,282 | ||||||
Macao—0.8% | ||||||||
Sands China Ltd.* | 30,000 | 141,394 | ||||||
Wynn Macau Ltd.* | 32,000 | 60,357 | ||||||
201,751 | ||||||||
Malaysia—1.6% | ||||||||
Carlsberg Brewery Malaysia Bhd | 67,100 | 396,523 |
NUMBER OF SHARES | VALUE | |||||||
Mexico—1.7% | ||||||||
Concentradora Fibra Danhos SA de CV | 142,600 | $ | 174,765 | |||||
Macquarie Mexico Real Estate Management SA de CV | 194,000 | 234,607 | ||||||
409,372 | ||||||||
Philippines—0.6% | ||||||||
BDO Unibank, Inc. | 66,940 | 145,367 | ||||||
Russia-1.7% | ||||||||
Sberbank of Russia PJSC - SP ADR | 18,405 | 267,977 | ||||||
Tatneft PJSC | 21,002 | 148,095 | ||||||
416,072 | ||||||||
Singapore—1.6% | ||||||||
DBS Group Holdings Ltd. | 12,777 | 253,171 | ||||||
United Overseas Bank Ltd. | 7,700 | 141,403 | ||||||
394,574 | ||||||||
South Africa—4.0% | ||||||||
Distell Group Holdings Ltd. | 23,709 | 174,542 | ||||||
Naspers Ltd. | 449 | 105,954 | ||||||
Naspers Ltd. - SP ADR | 8,249 | 389,518 | ||||||
Pick n Pay Stores Ltd. | 46,809 | 159,843 | ||||||
SPAR Group Ltd., (The) | 12,082 | 151,999 | ||||||
981,856 | ||||||||
South Korea—10.4% | ||||||||
GS Retail Co., Ltd. | 5,242 | 168,705 | ||||||
Hana Financial Group, Inc. | 7,771 | 255,251 | ||||||
Innocean Worldwide | 3,031 | 166,517 | ||||||
KB Financial Group, Inc. | 5,176 | 200,341 | ||||||
Samsung Electronics Co., Ltd. | 7,814 | 572,654 | ||||||
SK Hynix, Inc. | 9,378 | 1,177,923 | ||||||
2,541,391 | ||||||||
Taiwan—14.4% | ||||||||
Fusheng Precision Co., Ltd. | 41,000 | 296,421 | ||||||
Global Mixed Mode Technology, Inc. | 30,000 | 211,079 | ||||||
Hiwin Technologies Corp. | 15,000 | 214,831 | ||||||
Lotes Co., Ltd. | 18,000 | 334,931 | ||||||
Taiwan Semiconductor Manufacturing Co., Ltd. | 20,000 | 436,941 | ||||||
Taiwan Semiconductor Manufacturing Co., Ltd. - SP ADR | 6,877 | 866,089 | ||||||
Tripod Technology Corp. | 81,000 | 402,619 | ||||||
Wiwynn Corp. | 26,000 | 749,496 | ||||||
3,512,407 | ||||||||
United States—7.0% | ||||||||
Kosmos Energy Ltd.* | 76,133 | 234,490 | ||||||
Micron Technology, Inc.* | 10,438 | 955,390 | ||||||
National Energy Services Reunited Corp.* | 38,379 | 508,522 | ||||||
1,698,402 | ||||||||
TOTAL COMMON STOCKS (Cost $17,780,039) | 21,542,901 | |||||||
PREFERRED STOCKS—4.2% | ||||||||
Brazil—0.7% | ||||||||
Itau Unibanco Holding SA 1.865% | 38,900 | 177,418 | ||||||
Chile—1.0% | ||||||||
Embotelladora Andina SA 5.807% | 91,340 | 246,958 | ||||||
South Korea—2.5% | ||||||||
Samsung Electronics Co., Ltd. 4.114% | 9,258 | 598,824 | ||||||
TOTAL PREFERRED STOCKS (Cost $735,952) | 1,023,200 |
The accompanying notes are an integral part of the financial statements.
Semi-Annual Report 2021 | 45
BOSTON PARTNERS INVESTMENT FUNDS | February 28, 2021 (unaudited) |
BOSTON PARTNERS EMERGING MARKETS FUND | Portfolio Of Investments (continued) |
NUMBER OF SHARES | VALUE | |||||||
SHORT-TERM INVESTMENTS—8.3% | ||||||||
U.S. Bank Money Market Deposit Account, 0.01%(a) | 2,016,978 | $ | 2,016,978 | |||||
TOTAL SHORT-TERM INVESTMENTS (Cost $2,016,978) | 2,016,978 | |||||||
TOTAL INVESTMENTS—100.8% (Cost $20,532,969) | 24,583,079 | |||||||
LIABILITIES IN EXCESS OF OTHER ASSETS—(0.8)% | (188,612 | ) | ||||||
NET ASSETS—100.0% | $ | 24,394,467 |
ADR | — American Depositary Receipt |
PLC | — Public Limited Company |
SP ADR | — Sponsored American Depositary Receipt |
* | — Non-income producing. |
(a) | — The rate shown is as of February 28, 2021. |
The accompanying notes are an integral part of the financial statements.
46 | Semi-Annual Report 2021
BOSTON PARTNERS INVESTMENT FUNDS | February 28, 2021 (unaudited) |
BOSTON PARTNERS EMERGING MARKETS FUND | Portfolio Of Investments (continued) |
Contracts For Difference held by the Fund at February 28, 2021, are as follows:
REFERENCE COMPANY | COUNTERPARTY | EXPIRATION DATE | FINANCING RATE | PAYMENT FREQUENCY | NUMBER OF CONTRACTS LONG/ (SHORT) | NOTIONAL AMOUNT | UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||||||||
Long | ||||||||||||||||||||||
China | ||||||||||||||||||||||
Netdragon Websoft Holdings Ltd. | Goldman Sachs | 09/18/2025 | 0.14 | % | Monthly | 21,500 | $ | 52,167 | $ | (2,725 | ) | |||||||||||
Macao | ||||||||||||||||||||||
Sands China Ltd. | Goldman Sachs | 09/18/2025 | 0.14 | Monthly | 70,400 | 329,470 | 16,743 | |||||||||||||||
Wynn Macau Ltd. | Goldman Sachs | 09/18/2025 | 0.14 | Monthly | 221,200 | 417,506 | 8,494 | |||||||||||||||
746,976 | 25,237 | |||||||||||||||||||||
Portugal | ||||||||||||||||||||||
Jeronimo Martins SGPS SA | Goldman Sachs | 09/18/2025 | -0.55 | Monthly | 3,990 | 61,862 | (889 | ) | ||||||||||||||
Russia | ||||||||||||||||||||||
Detsky Mir PJSC | Goldman Sachs | 09/18/2025 | 0.11 | Monthly | 94,320 | 179,527 | (5,851 | ) | ||||||||||||||
Novolipetsk Steel PJSC | Goldman Sachs | 09/18/2025 | 0.11 | Monthly | 46,750 | 140,411 | 8,241 | |||||||||||||||
319,938 | 2,390 | |||||||||||||||||||||
South Korea | ||||||||||||||||||||||
Posco | Goldman Sachs | 09/18/2025 | 0.11 | Monthly | 770 | 192,928 | 2,834 | |||||||||||||||
Taiwan | ||||||||||||||||||||||
Taiwan Semiconductor Manufacturing Co., Ltd. | Goldman Sachs | 09/18/2025 | 0.11 | Monthly | 9,000 | 195,817 | (17,710 | ) | ||||||||||||||
Switzerland | ||||||||||||||||||||||
Glencore PLC | Goldman Sachs | 09/18/2025 | 0.04 | Monthly | 27,252 | 110,372 | 1,014 | |||||||||||||||
Total Long | 1,680,060 | 10,151 | ||||||||||||||||||||
Net unrealized gain/(loss) on Contracts For Difference | $ | 10,151 |
The accompanying notes are an integral part of the financial statements.
Semi-Annual Report 2021 | 47
BOSTON PARTNERS INVESTMENT FUNDS | February 28, 2021 (unaudited) |
BOSTON PARTNERS EMERGING MARKETS FUND | Portfolio Of Investments (concluded) |
A summary of the inputs used to value the Fund’s investments carried at fair value as of February 28, 2021 is as follows (see Notes to Portfolio of Investments):
TOTAL | LEVEL 1 | LEVEL 2 | LEVEL 3 | |||||||||||||
Common Stock | ||||||||||||||||
Brazil | $ | 1,198,435 | $ | 1,198,435 | $ | — | $ | — | ||||||||
Canada | 237,140 | 237,140 | — | — | ||||||||||||
China | 5,890,472 | 1,782,012 | 4,108,460 | — | ||||||||||||
Greece | 150,828 | — | 150,828 | — | ||||||||||||
Hong Kong | 1,146,253 | 275,147 | 871,106 | — | ||||||||||||
Hungary | 226,745 | — | 226,745 | — | ||||||||||||
India | 1,502,775 | 93,385 | 1,409,390 | — | ||||||||||||
Indonesia | 294,256 | — | 294,256 | — | ||||||||||||
Luxembourg | 198,282 | — | 198,282 | — | ||||||||||||
Macao | 201,751 | — | 201,751 | — | ||||||||||||
Malaysia | 396,523 | — | 396,523 | — | ||||||||||||
Mexico | 409,372 | 409,372 | — | — | ||||||||||||
Philippines | 145,367 | — | 145,367 | — | ||||||||||||
Russia | 416,072 | 267,977 | 148,095 | — | ||||||||||||
Singapore | 394,574 | — | 394,574 | — | ||||||||||||
South Africa | 981,856 | 701,360 | 280,496 | — | ||||||||||||
South Korea | 2,541,391 | — | 2,541,391 | — | ||||||||||||
Taiwan | 3,512,407 | 866,089 | 2,646,318 | — | ||||||||||||
United States | 1,698,402 | 1,698,402 | — | — | ||||||||||||
Preferred Stock | ||||||||||||||||
Brazil | 177,418 | 177,418 | — | — | ||||||||||||
Chile | 246,958 | 246,958 | — | — | ||||||||||||
South Korea | 598,824 | — | 598,824 | — | ||||||||||||
Short-Term Investments | 2,016,978 | 2,016,978 | — | — | ||||||||||||
Contracts For Difference | ||||||||||||||||
Equity Contracts | 37,326 | 37,326 | — | — | ||||||||||||
Total Assets | $ | 24,620,405 | $ | 10,007,999 | $ | 14,612,406 | $ | — | ||||||||
TOTAL | LEVEL 1 | LEVEL 2 | LEVEL 3 | |||||||||||||
Contracts For Difference | ||||||||||||||||
Equity Contracts | $ | (27,175 | ) | $ | (27,175 | ) | $ | —- | $ | — | ||||||
Total Liabilities | $ | (27,175 | ) | $ | (27,175 | ) | $ | — | $ | — |
The accompanying notes are an integral part of the financial statements.
48 | Semi-Annual Report 2021
BOSTON PARTNERS INVESTMENT FUNDS | February 28, 2021 (unaudited) |
BOSTON PARTNERS GLOBAL EQUITY ADVANTAGE FUND | Portfolio Of Investments |
NUMBER OF SHARES | VALUE | |||||||
COMMON STOCKS—79.9% | ||||||||
Austria—0.5% | ||||||||
ams AG* | 8,723 | $ | 204,682 | |||||
Bermuda—1.3% | ||||||||
Everest Re Group Ltd. | 2,403 | 581,069 | ||||||
Canada—0.9% | ||||||||
Lundin Mining Corp. | 18,201 | 208,383 | ||||||
West Fraser Timber Co., Ltd. | 2,623 | 179,319 | ||||||
387,702 | ||||||||
France—7.1% | ||||||||
Accor SA* | 4,353 | 181,664 | ||||||
Airbus Group SE* | 2,347 | 272,662 | ||||||
Capgemini SA | 3,162 | 507,817 | ||||||
Cie de Saint-Gobain | 9,254 | 497,646 | ||||||
Cie Generale des Etablissements Michelin SCA | 1,956 | 282,819 | ||||||
Eiffage SA | 3,955 | 406,514 | ||||||
Imerys SA | 2,455 | 126,212 | ||||||
Sanofi | 4,625 | 424,439 | ||||||
TOTAL SA | 8,332 | 388,522 | ||||||
3,088,295 | ||||||||
Germany—6.8% | ||||||||
Brenntag SE | 3,321 | 257,334 | ||||||
Continental AG* | 3,328 | 478,444 | ||||||
Deutsche Post AG | 8,902 | 442,140 | ||||||
Deutsche Telekom AG | 15,560 | 283,043 | ||||||
Hannover Rueck SE | 1,066 | 180,490 | ||||||
HeidelbergCement AG | 5,180 | 409,702 | ||||||
ProSiebenSat.1 Media SE* | 6,286 | 128,343 | ||||||
Rheinmetall AG | 4,272 | 425,698 | ||||||
Siemens AG | 2,220 | 343,570 | ||||||
2,948,764 | ||||||||
Hong Kong—0.3% | ||||||||
Topsports International Holdings Ltd. | 99,000 | 145,361 | ||||||
Ireland—0.9% | ||||||||
CRH PLC | 8,789 | 381,682 | ||||||
Japan—9.7% | ||||||||
Fuji Corp. | 7,900 | 186,796 | ||||||
Fuji Electric Co., Ltd. | 4,000 | 167,290 | ||||||
Hitachi Ltd. | 11,500 | 530,412 | ||||||
Honda Motor Co., Ltd. | 15,000 | 414,619 | ||||||
Komatsu Ltd. | 17,500 | 525,359 | ||||||
Mitsubishi Gas Chemical Co., Inc. | 10,500 | 245,939 | ||||||
NEC Corp. | 6,000 | 328,195 | ||||||
Nihon Unisys Ltd. | 6,600 | 191,081 | ||||||
Sony Corp. | 5,100 | 538,566 | ||||||
Sumitomo Mitsui Financial Group, Inc. | 11,800 | 416,604 | ||||||
Tosoh Corp. | 12,300 | 226,110 | ||||||
Yamaha Motor Co., Ltd. | 11,100 | 244,144 | ||||||
Zenkoku Hosho Co., Ltd. | 3,700 | 170,822 | ||||||
4,185,937 | ||||||||
Macao—0.5% | ||||||||
Wynn Macau Ltd.* | 104,400 | 196,916 | ||||||
Netherlands—3.7% | ||||||||
Aalberts NV | 3,724 | 173,905 | ||||||
ING Groep NV | 30,623 | 335,405 | ||||||
NXP Semiconductors NV | 1,397 | 255,022 | ||||||
Signify NV | 6,323 | 275,523 | ||||||
Stellantis NV* | 35,190 | 569,962 | ||||||
1,609,817 |
NUMBER OF SHARES | VALUE | |||||||
Norway—0.3% | ||||||||
Norsk Hydro ASA | 22,892 | $ | 126,736 | |||||
Singapore—1.1% | ||||||||
DBS Group Holdings Ltd. | 13,100 | 259,571 | ||||||
United Overseas Bank Ltd. | 12,600 | 231,387 | ||||||
490,958 | ||||||||
South Korea—3.1% | ||||||||
KB Financial Group, Inc. | 10,704 | 414,306 | ||||||
KT Corp. - SP ADR | 17,067 | 192,687 | ||||||
Posco | 1,248 | 309,888 | ||||||
Samsung Electronics Co., Ltd. | 3,400 | 249,171 | ||||||
SK Hynix, Inc. | 1,541 | 193,557 | ||||||
1,359,609 | ||||||||
Sweden—1.1% | ||||||||
SKF AB, Class B | 8,266 | 225,220 | ||||||
Volvo AB, Class B | 8,826 | 225,949 | ||||||
451,169 | ||||||||
Switzerland—1.8% | ||||||||
Glencore PLC | 74,921 | 304,899 | ||||||
Novartis AG | 2,539 | 218,675 | ||||||
STMicroelectronics NV | 6,735 | 261,569 | ||||||
785,143 | ||||||||
Taiwan—0.5% | ||||||||
Wiwynn Corp. | 7,000 | 201,787 | ||||||
United Kingdom—5.6% | ||||||||
BAE Systems PLC | 26,559 | 179,780 | ||||||
Entain PLC* | 15,462 | 305,888 | ||||||
Inchcape PLC | 36,851 | 365,475 | ||||||
Kingfisher PLC* | 47,978 | 177,829 | ||||||
Melrose Industries PLC* | 144,998 | 336,972 | ||||||
Persimmon PLC | 6,009 | 217,739 | ||||||
Rio Tinto PLC | 2,174 | 188,414 | ||||||
Tesco PLC | 85,688 | 269,327 | ||||||
WH Smith PLC | 14,295 | 381,235 | ||||||
2,422,659 | ||||||||
United States—34.7% | ||||||||
Allison Transmission Holdings, Inc. | 4,854 | 184,064 | ||||||
Allstate Corp., (The) | 2,134 | 227,484 | ||||||
American Express Co. | 1,304 | 176,379 | ||||||
Anthem, Inc. | 1,376 | 417,189 | ||||||
Applied Materials, Inc. | 2,369 | 279,992 | ||||||
AutoZone, Inc.* | 401 | 465,128 | ||||||
Bank of America Corp. | 5,786 | 200,832 | ||||||
Cigna Corp. | 2,757 | 578,694 | ||||||
Cisco Systems, Inc. | 5,293 | 237,497 | ||||||
Citigroup, Inc. | 8,773 | 577,965 | ||||||
Concentrix Corp.* | 2,746 | 339,158 | ||||||
Corteva, Inc. | 4,198 | 189,540 | ||||||
CVS Health Corp. | 5,793 | 394,677 | ||||||
Diamondback Energy, Inc. | 5,267 | 364,898 | ||||||
Dick’s Sporting Goods, Inc. | 4,445 | 317,240 | ||||||
DuPont de Nemours, Inc. | 8,118 | 570,858 | ||||||
Eagle Materials, Inc.* | 1,517 | 190,201 | ||||||
Eaton Corp., PLC | 2,456 | 319,747 | ||||||
Goldman Sachs Group Inc., (The) | 1,546 | 493,916 | ||||||
Helmerich & Payne, Inc. | 5,206 | 149,568 | ||||||
HollyFrontier Corp. | 6,068 | 229,856 | ||||||
Huntington Bancshares Inc. | 31,457 | 482,550 | ||||||
ITT, Inc. | 3,393 | 281,551 | ||||||
JPMorgan Chase & Co. | 2,899 | 426,646 |
The accompanying notes are an integral part of the financial statements.
Semi-Annual Report 2021 | 49
BOSTON PARTNERS INVESTMENT FUNDS | February 28, 2021 (unaudited) |
BOSTON PARTNERS GLOBAL EQUITY ADVANTAGE FUND | Portfolio Of Investments |
NUMBER OF SHARES | VALUE | |||||||
United States—(continued) | ||||||||
KeyCorp | 23,879 | $ | 480,923 | |||||
LKQ Corp.* | 10,419 | 410,404 | ||||||
Marathon Petroleum Corp. | 5,992 | 327,283 | ||||||
MasTec, Inc.* | 3,750 | 325,313 | ||||||
McKesson Corp. | 2,116 | 358,704 | ||||||
Medtronic PLC | 2,974 | 347,869 | ||||||
Merck & Co., Inc. | 3,425 | 248,724 | ||||||
Micron Technology, Inc.* | 4,145 | 379,392 | ||||||
Nexstar Media Group, Inc., Class A | 1,455 | 200,135 | ||||||
NVR, Inc.* | 27 | 121,523 | ||||||
Oracle Corp. | 3,466 | 223,592 | ||||||
Owens Corning | 6,543 | 530,114 | ||||||
Pioneer Natural Resources Co. | 2,542 | 377,665 | ||||||
Schlumberger Ltd. | 6,979 | 194,784 | ||||||
Science Applications International Corp. | 4,700 | 404,811 | ||||||
Sensata Technologies Holding PLC* | 4,817 | 275,966 | ||||||
SYNNEX Corp. | 2,778 | 247,686 | ||||||
TE Connectivity Ltd. | 2,117 | 275,274 | ||||||
Textron, Inc. | 4,929 | 248,126 | ||||||
Valvoline, Inc. | 14,799 | 369,383 | ||||||
Vistra Energy Corp. | 22,123 | 381,622 | ||||||
WestRock Co. | 5,212 | 227,191 | ||||||
15,052,114 | ||||||||
TOTAL COMMON STOCKS (Cost $27,051,179) | 34,620,400 | |||||||
PREFERRED STOCKS—0.4% | ||||||||
South Korea—0.4% | ||||||||
Samsung Electronics Co., Ltd. 4.114% | 2,612 | 168,949 | ||||||
TOTAL PREFERRED STOCKS (Cost $92,353) | 168,949 | |||||||
INVESTMENT COMPANY—19.1% | ||||||||
United States—19.1% | ||||||||
Campbell Advantage Fund | 1,214,956 | 8,286,000 | ||||||
TOTAL INVESTMENT COMPANY (Cost $7,599,686) | 8,286,000 | |||||||
SHORT-TERM INVESTMENTS—0.3% | ||||||||
U.S. Bank Money Market Deposit Account, 0.01%(a) | 131,906 | 131,906 | ||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $131,906) | 131,906 | |||||||
TOTAL INVESTMENTS—99.7% (Cost $34,875,124) | 43,207,255 | |||||||
OTHER ASSETS IN EXCESS OF LIABILITIES—0.3% | 136,830 | |||||||
NET ASSETS—100.0% | $ | 43,344,085 |
PLC | — Public Limited Company |
SP ADR | — Sponsored American Depositary Receipt |
* | — Non-income producing. |
(a) | — The rate shown is as of February 28, 2021. |
The accompanying notes are an integral part of the financial statements.
50 | Semi-Annual Report 2021
BOSTON PARTNERS INVESTMENT FUNDS | February 28, 2021 (unaudited) |
BOSTON PARTNERS GLOBAL EQUITY ADVANTAGE FUND | Portfolio Of Investments (concluded) |
A summary of the inputs used to value the Fund’s investments carried at fair value as of February 28, 2021 is as follows (see Notes to Portfolio of Investments):
TOTAL | LEVEL 1 | LEVEL 2 | LEVEL 3 | |||||||||||||
Common Stock | ||||||||||||||||
Austria | $ | 204,682 | $ | — | $ | 204,682 | $ | — | ||||||||
Bermuda | 581,069 | 581,069 | — | — | ||||||||||||
Canada | 387,702 | 387,702 | — | — | ||||||||||||
France | 3,088,295 | — | 3,088,295 | — | ||||||||||||
Germany | 2,948,764 | — | 2,948,764 | — | ||||||||||||
Hong Kong | 145,361 | — | 145,361 | — | ||||||||||||
Ireland | 381,682 | — | 381,682 | — | ||||||||||||
Japan | 4,185,937 | — | 4,185,937 | — | ||||||||||||
Macao | 196,916 | — | 196,916 | — | ||||||||||||
Netherlands | 1,609,817 | 824,984 | 784,833 | — | ||||||||||||
Norway | 126,736 | — | 126,736 | — | ||||||||||||
Singapore | 490,958 | — | 490,958 | — | ||||||||||||
South Korea | 1,359,609 | 192,687 | 1,166,922 | — | ||||||||||||
Sweden | 451,169 | — | 451,169 | — | ||||||||||||
Switzerland | 785,143 | — | 785,143 | — | ||||||||||||
Taiwan | 201,787 | — | 201,787 | — | ||||||||||||
United Kingdom | 2,422,659 | — | 2,422,659 | — | ||||||||||||
United States | 15,052,114 | 15,052,114 | — | — | ||||||||||||
Preferred Stock | ||||||||||||||||
South Korea | 168,949 | — | 168,949 | — | ||||||||||||
Investment Company | ||||||||||||||||
United States | 8,286,000 | 8,286,000 | — | — | ||||||||||||
Short-Term Investments | 131,906 | 131,906 | — | — | ||||||||||||
Total Assets | $ | 43,207,255 | $ | 25,456,462 | $ | 17,750,793 | $ | — |
The accompanying notes are an integral part of the financial statements.
Semi-Annual Report 2021 | 51
BOSTON PARTNERS INVESTMENT FUNDS | February 28, 2021 (unaudited) |
STATEMENTS OF ASSETS AND LIABILITIES |
Boston Partners Small Cap Value Fund II | Boston Partners Long/Short Equity Fund | Boston Partners Long/Short Research Fund | Boston Partners All-Cap Value Fund | |||||||||||||||
ASSETS | ||||||||||||||||||
Investments in securities, at value †^ | $ | 778,535,162 | $ | 56,233,529 | $ | 767,303,284 | $ | 1,539,454,684 | ||||||||||
Investments purchased with proceeds from securities lending collateral, at value * | 60,212,726 | 7,101,726 | — | 70,344,238 | ||||||||||||||
Short-term investments, at value ** | 26,967,112 | 173,179 | 4,872,748 | 13,856,702 | ||||||||||||||
Cash | — | — | — | — | ||||||||||||||
Foreign currency, at value# | — | — | — | — | ||||||||||||||
Receivables | ||||||||||||||||||
Investments sold | 784,053 | 581,896 | 37,053,599 | — | ||||||||||||||
Foreign currency deposits with brokers for securities sold short # | — | 3,164,846 | 94,896,995 | — | ||||||||||||||
Deposits with brokers for contracts for difference | — | — | 470,000 | — | ||||||||||||||
Deposits with brokers for securities sold short | — | 24,255,728 | 201,050,113 | — | ||||||||||||||
Capital shares sold | 1,212,666 | 55,833 | 467,891 | 4,096,517 | ||||||||||||||
Dividends and interest | 1,846,288 | 31,825 | 2,582,755 | 2,073,880 | ||||||||||||||
Due from prime broker | — | 44,375 | — | — | ||||||||||||||
Unrealized appreciation on contracts for difference ◊ | — | — | 299,123 | — | ||||||||||||||
Prepaid expenses and other assets | 76,787 | 20,486 | 77,260 | 112,321 | ||||||||||||||
Total assets | 869,634,794 | 91,663,423 | 1,109,073,768 | 1,629,938,342 | ||||||||||||||
LIABILITIES | ||||||||||||||||||
Securities sold short, at fair value ‡ | — | 26,708,532 | 300,828,621 | — | ||||||||||||||
Options written, at value +◊ | — | 222,222 | — | — | ||||||||||||||
Foreign currency overdraft | — | — | — | — | ||||||||||||||
Payables | ||||||||||||||||||
Securities lending collateral (Note 8) | 60,212,726 | 7,101,726 | — | 70,344,238 | ||||||||||||||
Investments purchased | 11,663,214 | 61,213 | 10,536,407 | 673,980 | ||||||||||||||
Capital shares redeemed | 1,818,605 | 67,312 | 1,259,758 | 684,584 | ||||||||||||||
Investment advisory fees | 560,729 | 74,578 | 713,897 | 897,212 | ||||||||||||||
Custodian fees | 6,491 | 25,590 | 59,062 | 13,565 | ||||||||||||||
Distribution and service fees | 91,391 | 3,270 | 2,659 | 74,806 | ||||||||||||||
Dividends on securities sold short | — | — | 291,645 | — | ||||||||||||||
Administration and accounting fees | 19,322 | 13,006 | 103,780 | 65,488 | ||||||||||||||
Transfer agent fees | 3,246 | 16,934 | 182,001 | 59,631 | ||||||||||||||
Unrealized depreciation on contracts for difference ◊ | — | — | 28,497 | — | ||||||||||||||
Other accrued expenses and liabilities | 3,025 | 44,865 | 205,773 | 49,772 | ||||||||||||||
Total liabilities | 74,378,749 | �� | 34,339,248 | 314,212,100 | 72,863,276 | |||||||||||||
Net Assets | $ | 795,256,045 | $ | 57,324,175 | $ | 794,861,668 | $ | 1,557,075,066 | ||||||||||
NET ASSETS CONSIST OF: | ||||||||||||||||||
Par value | $ | 27,866 | $ | 4,918 | $ | 53,656 | $ | 52,706 | ||||||||||
Paid-in Capital | 551,978,604 | 36,637,138 | 545,800,156 | 996,511,342 | ||||||||||||||
Total Distributable earnings/(loss) | 243,249,575 | 20,682,119 | 249,007,856 | 560,511,018 | ||||||||||||||
Net Assets | $ | 795,256,045 | $ | 57,324,175 | $ | 794,861,668 | $ | 1,557,075,066 | ||||||||||
INSTITUTIONAL CLASS | ||||||||||||||||||
Net assets | $ | 698,551,302 | $ | 46,216,001 | $ | 778,485,931 | $ | 1,313,787,958 | ||||||||||
Shares outstanding | 24,333,967 | 3,845,115 | 52,523,525 | 44,435,502 | ||||||||||||||
Net asset value, offering and redemption price per share | $ | 28.71 | $ | 12.02 | $ | 14.82 | $ | 29.57 | ||||||||||
INVESTOR CLASS | ||||||||||||||||||
Net assets | $ | 96,704,743 | $ | 11,108,174 | $ | 16,375,737 | $ | 243,287,108 | ||||||||||
Shares outstanding | 3,531,851 | 1,073,371 | 1,132,406 | 8,270,604 | ||||||||||||||
Net asset value, offering and redemption price per share | $ | 27.38 | $ | 10.35 | $ | 14.46 | $ | 29.42 | ||||||||||
† | Investments in securities, at cost | $ | 514,323,211 | $ | 33,902,269 | $ | 505,217,876 | $ | 1,016,283,786 | |||||||||
^ | Includes market value of securities on loan | $ | $59,065,413 | $ | 6,883,346 | $ | — | $ | 68,243,685 | |||||||||
* | Investments purchased with proceeds from securities lending collateral, at cost | $ | 60,212,726 | $ | 7,101,726 | $ | — | $ | 70,344,238 | |||||||||
** | Short-term investments, at cost | $ | 26,967,112 | $ | 173,179 | $ | 4,872,748 | $ | 13,856,702 | |||||||||
Purchased options, at cost | $ | — | $ | — | $ | — | $ | — | ||||||||||
# | Foreign currency, at cost | $ | — | $ | 2,974,442 | $ | 94,157,436 | $ | — | |||||||||
‡ | Proceeds received, securities sold short | $ | — | $ | 21,193,625 | $ | 248,781,918 | $ | — | |||||||||
+ | Premiums received, options written | $ | — | $ | 468,449 | $ | — | $ | — | |||||||||
◊ | Primary risk exposure is equity contracts |
the accompanying notes are an integral part of the financial statements.
52 | Semi-Annual Report 2021
BOSTON PARTNERS INVESTMENT FUNDS | February 28, 2021 (unaudited) |
STATEMENTS OF ASSETS AND LIABILITIES (CONTINUED) |
WPG Partners Small/Micro Cap Value Fund | Boston Partners Global Equity Fund | Boston Partners Global Long/Short Fund | ||||||||||||
ASSETS | ||||||||||||||
Investments in securities, at value †^ | $ | 24,977,802 | $ | 159,871,849 | $ | 109,420,575 | ||||||||
Investments purchased with proceeds from securities lending collateral, at value * | 3,077,226 | 10,613,155 | — | |||||||||||
Short-term investments, at value ** | 749,768 | 452,696 | 8,397,095 | |||||||||||
Cash | 1,724 | — | 122,587 | |||||||||||
Foreign currency, at value# | — | 351,698 | 465,136 | |||||||||||
Receivables | ||||||||||||||
Investments sold | 402,199 | 610,331 | 2,012,322 | |||||||||||
Foreign currency deposits with brokers for securities sold short # | — | — | — | |||||||||||
Deposits with brokers for contracts for difference | — | — | 110,000 | |||||||||||
Deposits with brokers for securities sold short | — | — | 31,992,320 | |||||||||||
Capital shares sold | — | 30,092 | 196,945 | |||||||||||
Dividends and interest | 19,723 | 700,038 | 936,477 | |||||||||||
Due from prime broker | — | — | — | |||||||||||
Unrealized appreciation on contracts for difference ◊ | — | — | 236,991 | |||||||||||
Prepaid expenses and other assets | 9,664 | 18,887 | 34,393 | |||||||||||
Total assets | 29,238,106 | 172,648,746 | 153,924,841 | |||||||||||
LIABILITIES | ||||||||||||||
Securities sold short, at fair value ‡ | — | — | 32,057,853 | |||||||||||
Options written, at value +◊ | — | — | 677,444 | |||||||||||
Foreign currency overdraft | — | — | — | |||||||||||
Payables | ||||||||||||||
Securities lending collateral (Note 8) | 3,077,226 | 10,613,155 | — | |||||||||||
Investments purchased | 601,300 | 276,778 | 2,853,682 | |||||||||||
Capital shares redeemed | — | — | 96,080 | |||||||||||
Investment advisory fees | 13,710 | 144,966 | 93,492 | |||||||||||
Custodian fees | 1,152 | 28,132 | 15,128 | |||||||||||
Distribution and service fees | — | — | 291 | |||||||||||
Dividends on securities sold short | — | — | 47,780 | |||||||||||
Administration and accounting fees | 3,515 | 28,925 | 46,763 | |||||||||||
Transfer agent fees | 1,199 | 5,814 | 26,289 | |||||||||||
Unrealized depreciation on contracts for difference ◊ | — | — | 146,196 | |||||||||||
Other accrued expenses and liabilities | 14,492 | 109,238 | 43,925 | |||||||||||
Total liabilities | 3,712,594 | 11,207,008 | 36,104,923 | |||||||||||
Net Assets | $ | 25,525,512 | $ | 161,441,738 | $ | 117,819,918 | ||||||||
NET ASSETS CONSIST OF: | ||||||||||||||
Par value | $ | 1,472 | $ | 8,691 | $ | 10,521 | ||||||||
Paid-in Capital | 21,746,821 | 166,006,059 | 138,633,835 | |||||||||||
Total Distributable earnings/(loss) | 3,777,219 | (4,573,012 | ) | (20,824,438 | ) | |||||||||
Net Assets | $ | 25,525,512 | $ | 161,441,738 | $ | 117,819,918 | ||||||||
INSTITUTIONAL CLASS | ||||||||||||||
Net assets | $ | 25,525,512 | $ | 161,441,738 | $ | 111,842,717 | ||||||||
Shares outstanding | 1,471,965 | 8,690,904 | 9,980,934 | |||||||||||
Net asset value, offering and redemption price per share | $ | 17.34 | $ | 18.58 | $ | 11.21 | ||||||||
INVESTOR CLASS | ||||||||||||||
Net assets | $ | — | $ | — | $ | 5,977,201 | ||||||||
Shares outstanding | — | — | 540,012 | |||||||||||
Net asset value, offering and redemption price per share | $ | — | $ | — | $ | 11.07 | ||||||||
† | Investments in securities, at cost | $ | 18,209,367 | $ | 120,669,988 | $ | 85,798,143 | |||||||
^ | Includes market value of securities on loan | $ | 2,982,794 | $ | 10,252,587 | $ | — | |||||||
* | Investments purchased with proceeds from securities lending collateral, at cost | $ | 3,077,226 | $ | 10,613,155 | $ | — | |||||||
** | Short-term investments, at cost | $ | 749,768 | $ | 452,696 | $ | 8,397,095 | |||||||
Purchased options, at cost | $ | — | $ | — | $ | — | ||||||||
# | Foreign currency, at cost | $ | — | $ | 353,614 | $ | 467,839 | |||||||
‡ | Proceeds received, securities sold short | $ | — | $ | — | $ | 26,437,209 | |||||||
+ | Premiums received, options written | $ | — | $ | — | $ | 488,113 | |||||||
◊ | Primary risk exposure is equity contracts |
the accompanying notes are an integral part of the financial statements.
Semi-Annual Report 2021 | 53
BOSTON PARTNERS INVESTMENT FUNDS | February 28, 2021 (unaudited) |
STATEMENTS OF ASSETS AND LIABILITIES (CONCLUDED) |
Boston Partners Emerging Markets Dynamic Equity Fund | Boston Partners Emerging Markets Fund | Boston Partners Global Equity Advantage Fund | ||||||||||||
ASSETS | ||||||||||||||
Investments in securities, at value †^ | $ | 55,088,205 | $ | 22,566,101 | $ | 43,075,349 | ||||||||
Investments purchased with proceeds from securities lending collateral, at value * | — | — | — | |||||||||||
Short-term investments, at value ** | 16,882,314 | 2,016,978 | 131,906 | |||||||||||
Cash | 212,838 | 67,631 | — | |||||||||||
Foreign currency, at value# | — | 100,193 | 76,942 | |||||||||||
Receivables | ||||||||||||||
Investments sold | — | — | 112,430 | |||||||||||
Foreign currency deposits with brokers for securities sold short # | — | — | — | |||||||||||
Deposits with brokers for contracts for difference | 2,695,801 | — | — | |||||||||||
Deposits with brokers for securities sold short | 6,654,853 | — | — | |||||||||||
Capital shares sold | 17,152 | — | — | |||||||||||
Dividends and interest | 172,713 | 56,152 | 61,265 | |||||||||||
Due from prime broker | — | — | — | |||||||||||
Unrealized appreciation on contracts for difference ◊ | 1,084,468 | 37,326 | — | |||||||||||
Prepaid expenses and other assets | 323,150 | 16,966 | 3,563 | |||||||||||
Total assets | 83,131,494 | 24,861,347 | 43,461,455 | |||||||||||
LIABILITIES | ||||||||||||||
Securities sold short, at fair value ‡ | 6,766,278 | — | — | |||||||||||
Options written, at value +◊ | — | — | — | |||||||||||
Foreign currency overdraft | 727,800 | — | — | |||||||||||
Payables | ||||||||||||||
Securities lending collateral (Note 8) | — | — | — | |||||||||||
Investments purchased | 1,070,431 | 385,202 | 60,229 | |||||||||||
Capital shares redeemed | 7,389 | — | — | |||||||||||
Investment advisory fees | 92,904 | 9,731 | 20,332 | |||||||||||
Custodian fees | 29,542 | 22,143 | — | |||||||||||
Distribution and service fees | — | — | — | |||||||||||
Dividends on securities sold short | — | — | — | |||||||||||
Administration and accounting fees | 13,293 | 6,477 | 4,443 | |||||||||||
Transfer agent fees | 273 | 4,854 | 1,618 | |||||||||||
Unrealized depreciation on contracts for difference ◊ | 1,856,526 | 27,175 | — | |||||||||||
Other accrued expenses and liabilities | 71,589 | 11,298 | 30,748 | |||||||||||
Total liabilities | 10,636,025 | 466,880 | 117,370 | |||||||||||
Net Assets | $ | 72,495,469 | $ | 24,394,467 | $ | 43,344,085 | ||||||||
NET ASSETS CONSIST OF: | ||||||||||||||
Par value | $ | 6,167 | $ | 2,014 | $ | 3,552 | ||||||||
Paid-in Capital | 68,459,863 | 20,665,907 | 36,408,349 | |||||||||||
Total Distributable earnings/(loss) | 4,029,439 | 3,726,546 | 6,932,184 | |||||||||||
Net Assets | $ | 72,495,469 | $ | 24,394,467 | $ | 43,344,085 | ||||||||
INSTITUTIONAL CLASS | ||||||||||||||
Net assets | $ | 72,495,469 | $ | 24,394,467 | $ | 43,344,085 | ||||||||
Shares outstanding | 6,166,792 | 2,013,846 | 3,552,439 | |||||||||||
Net asset value, offering and redemption price per share | $ | 11.76 | $ | 12.11 | $ | 12.20 | ||||||||
INVESTOR CLASS | ||||||||||||||
Net assets | $ | — | $ | — | $ | — | ||||||||
Shares outstanding | — | — | — | |||||||||||
Net asset value, offering and redemption price per share | $ | — | $ | — | $ | — | ||||||||
† | Investments in securities, at cost | $ | 45,213,825 | $ | 18,515,991 | $ | 34,743,218 | |||||||
^ | Includes market value of securities on loan | $ | — | $ | — | $ | — | |||||||
* | Investments purchased with proceeds from securities lending collateral, at cost | $ | — | $ | — | $ | — | |||||||
** | Short-term investments, at cost | $ | 16,882,314 | $ | 2,016,978 | $ | 131,906 | |||||||
Purchased options, at cost | $ | — | $ | — | $ | — | ||||||||
# | Foreign currency, at cost | $ | — | $ | 100,120 | $ | 77,361 | |||||||
‡ | Proceeds received, securities sold short | $ | 5,338,408 | $ | — | $ | — | |||||||
+ | Premiums received, options written | $ | — | $ | — | $ | — | |||||||
◊ | Primary risk exposure is equity contracts |
the accompanying notes are an integral part of the financial statements.
54 | Semi-Annual Report 2021
BOSTON PARTNERS INVESTMENT FUNDS | For the Six Months Ended February 28, 2021 (unaudited) |
Boston Partners Small Cap Value Fund II | Boston Partners Long/Short Equity Fund | Boston Partners Long/Short Research Fund | Boston Partners All-Cap Value Fund | |||||||||||||||
Investment Income | ||||||||||||||||||
Dividends † | $ | 5,548,245 | $ | 559,169 | $ | 7,410,552 | $ | 10,665,140 | ||||||||||
Interest | 1,852 | 231 | 465 | 1,868 | ||||||||||||||
Income from securities loaned (Note 8) | 23,591 | 8,367 | — | 23,212 | ||||||||||||||
Total investment income | 5,573,688 | 567,767 | 7,411,017 | 10,690,220 | ||||||||||||||
Expenses | ||||||||||||||||||
Advisory fees (Note 2) | 2,835,689 | 799,763 | 5,698,410 | 4,644,477 | ||||||||||||||
Transfer agent fees (Note 2) | 173,025 | 4,999 | 92,721 | 286,085 | ||||||||||||||
Distribution fees (Investor Class) (Note 2) | 105,230 | 15,778 | 22,356 | 282,303 | ||||||||||||||
Administration and accounting fees (Note 2) | 96,472 | 14,836 | 155,762 | 211,523 | ||||||||||||||
Legal fees | 47,389 | 6,608 | 96,872 | 113,095 | ||||||||||||||
Director’s fees | 44,380 | 5,934 | 89,269 | 99,401 | ||||||||||||||
Printing and shareholder reporting fees | 42,184 | 90 | 49,743 | 69,267 | ||||||||||||||
Registration fees | 26,700 | 17,938 | 30,453 | 22,625 | ||||||||||||||
Officer’s fees | 23,032 | 4,974 | 73,010 | 59,337 | ||||||||||||||
Audit and tax service fees | 18,477 | 24,782 | 28,741 | 18,739 | ||||||||||||||
Custodian fees (Note 2) | 17,823 | — | 93,959 | 26,109 | ||||||||||||||
Other expenses | 14,143 | 6,023 | 72,827 | 34,935 | ||||||||||||||
Dividend expense on securities sold short | — | 35,021 | 2,887,129 | — | ||||||||||||||
Prime broker interest expense | — | 193,067 | 860,445 | — | ||||||||||||||
Total expenses before waivers and/or reimbursements | 3,444,544 | 1,129,813 | 10,251,697 | 5,867,896 | ||||||||||||||
Less: waivers and/or reimbursements net of amounts recouped (Note 2) n | (36,282 | ) | (185,928 | ) | — | (277,618 | ) | |||||||||||
Net expenses after waivers and/or reimbursements net of amounts recouped | 3,408,262 | 943,885 | 10,251,697 | 5,590,278 | ||||||||||||||
Net investment income/(loss) | 2,165,426 | (376,118 | ) | (2,840,680 | ) | 5,099,942 | ||||||||||||
Net realized gain/(loss) from: | ||||||||||||||||||
Investment securities | 38,449,718 | 16,244,773 | 195,471,522 | 38,742,337 | ||||||||||||||
Purchased options ** | — | — | — | — | ||||||||||||||
Securities sold short | — | (8,612,981 | ) | (99,577,729 | ) | — | ||||||||||||
Options written ** | — | 280,742 | — | — | ||||||||||||||
Contracts for difference ** | — | — | (37,317 | ) | — | |||||||||||||
Foreign currency transactions | — | 1,616 | 3,997,919 | (834 | ) | |||||||||||||
Net change in unrealized appreciation/(depreciation) on: | ||||||||||||||||||
Investment securities | 173,437,690 | 2,287,743 | 20,158,126 | 225,648,988 | ||||||||||||||
Purchased options ** | — | — | — | — | ||||||||||||||
Securities sold short | — | (3,859,508 | ) | (19,541,388 | ) | — | ||||||||||||
Options written ** | — | 392,409 | — | — | ||||||||||||||
Contracts for difference ** | — | — | (206,933 | ) | — | |||||||||||||
Foreign currency translation | (62 | ) | 36,591 | (2,529,871 | ) | 167 | ||||||||||||
Net realized and unrealized gain/(loss) | 211,887,346 | 6,771,385 | 97,734,329 | 264,390,658 | ||||||||||||||
Net increase/(decrease) in net assets resulting from operations | $ | 214,052,772 | $ | 6,395,267 | $ | 94,893,649 | $ | 269,490,600 | ||||||||||
† | Net of foreign withholding taxes of | $ | (590 | ) | $ | (1,330 | ) | $ | (216,986 | ) | $ | (43,464 | ) |
n | Includes Acquired fund fees and expenses. See Note 2 for more details. | |||||||||
** | Primary risk exposure is equity contracts. |
the accompanying notes are an integral part of the financial statements.
Semi-Annual Report 2021 | 55
BOSTON PARTNERS INVESTMENT FUNDS | For the Six Months Ended February 28, 2021 (unaudited) |
STATEMENTS OF OPERATIONS (CONTINUED)
WPG Partners Small/Micro Cap Value Fund | Boston Partners Global Equity Fund | Boston Partners Global Long/Short Fund | ||||||||||||
Investment Income | ||||||||||||||
Dividends † | $ | 206,525 | $ | 1,402,401 | $ | 1,301,317 | ||||||||
Interest | 54 | 217 | 494 | |||||||||||
Income from securities loaned (Note 8) | 3,579 | 2,325 | — | |||||||||||
Total investment income | 210,158 | 1,404,943 | 1,301,811 | |||||||||||
Expenses | ||||||||||||||
Advisory fees (Note 2) | 85,016 | 663,366 | 924,184 | |||||||||||
Transfer agent fees (Note 2) | 4,590 | 1,925 | 3,190 | |||||||||||
Distribution fees (Investor Class) (Note 2) | — | — | 7,512 | |||||||||||
Administration and accounting fees (Note 2) | 11,564 | 9,901 | 51,198 | |||||||||||
Legal fees | 1,762 | 11,410 | 10,301 | |||||||||||
Director’s fees | 1,470 | 13,663 | 11,531 | |||||||||||
Printing and shareholder reporting fees | 564 | 16,020 | 18,655 | |||||||||||
Registration fees | 11,038 | 12,107 | 19,983 | |||||||||||
Officer’s fees | 823 | 12,905 | 10,812 | |||||||||||
Audit and tax service fees | 18,440 | 21,858 | 28,399 | |||||||||||
Custodian fees (Note 2) | 3,930 | 393 | 29,313 | |||||||||||
Other expenses | 542 | 20,353 | 2,181 | |||||||||||
Dividend expense on securities sold short | — | — | 195,104 | |||||||||||
Prime broker interest expense | — | — | 91,084 | |||||||||||
Total expenses before waivers and/or reimbursements | 139,739 | 783,901 | 1,403,447 | |||||||||||
Less: waivers and/or reimbursements net of amounts recouped (Note 2) n | (22,801 | ) | (71,072 | ) | — | |||||||||
Net expenses after waivers and/or reimbursements net of amounts recouped | 116,938 | 712,829 | 1,403,447 | |||||||||||
Net investment income/(loss) | 93,220 | 692,114 | (101,636 | ) | ||||||||||
Net realized gain/(loss) from: | ||||||||||||||
Investment securities | 2,697,024 | 11,405,821 | 25,277,585 | |||||||||||
Purchased options ** | — | — | — | |||||||||||
Securities sold short | — | — | (11,048,822 | ) | ||||||||||
Options written ** | — | — | (407,064 | ) | ||||||||||
Contracts for difference ** | — | — | (803,379 | ) | ||||||||||
Foreign currency transactions | (408 | ) | (92,767 | ) | (7,381 | ) | ||||||||
Net change in unrealized appreciation/(depreciation) on: | ||||||||||||||
Investment securities | 5,588,047 | 17,385,215 | 1,885,144 | |||||||||||
Purchased options ** | — | — | — | |||||||||||
Securities sold short | — | — | 2,479,217 | |||||||||||
Options written ** | — | — | (6,146 | ) | ||||||||||
Contracts for difference ** | — | — | (15,737 | ) | ||||||||||
Foreign currency translation | — | (26,090 | ) | (55,924 | ) | |||||||||
Net realized and unrealized gain/(loss) | 8,284,663 | 28,672,179 | 17,297,493 | |||||||||||
Net increase/(decrease) in net assets resulting from operations | $ | 8,377,883 | $ | 29,364,293 | $ | 17,195,857 | ||||||||
† | Net of foreign withholding taxes of | $ | (1,314 | ) | $ | (192,090 | ) | $ | (137,348 | ) |
n | Includes Acquired fund fees and expenses. See Note 2 for more details. |
** | Primary risk exposure is equity contracts. |
the accompanying notes are an integral part of the financial statements.
56 | Semi-Annual Report 2021
BOSTON PARTNERS INVESTMENT FUNDS | For the Six Months Ended February 28, 2021 (unaudited) |
STATEMENTS OF OPERATIONS (CONCLUDED)
Boston Partners Emerging Markets Dynamic Equity Fund | Boston Partners Emerging Markets Fund | Boston Partners Global Equity Advantage Fund | ||||||||||||
Investment Income | ||||||||||||||
Dividends † | $ | 370,063 | $ | 127,367 | $ | 311,716 | ||||||||
Interest | 1,424 | 257 | 47 | |||||||||||
Income from securities loaned (Note 8) | — | — | — | |||||||||||
Total investment income | 371,487 | 127,624 | 311,763 | |||||||||||
Expenses | ||||||||||||||
Advisory fees (Note 2) | 415,098 | 72,497 | 189,994 | |||||||||||
Transfer agent fees (Note 2) | 8,055 | 415 | 616 | |||||||||||
Distribution fees (Investor Class) (Note 2) | — | — | — | |||||||||||
Administration and accounting fees (Note 2) | 33,034 | 16,566 | 16,390 | |||||||||||
Legal fees | 2,889 | 1,213 | 2,797 | |||||||||||
Director’s fees | 4,746 | 852 | 1,161 | |||||||||||
Printing and shareholder reporting fees | 2,026 | 446 | 1,682 | |||||||||||
Registration fees | 11,236 | 10,442 | 18,242 | |||||||||||
Officer’s fees | 2,472 | 592 | 942 | |||||||||||
Audit and tax service fees | 33,002 | 27,694 | 17,669 | |||||||||||
Custodian fees (Note 2) | 46,381 | 34,304 | 18,578 | |||||||||||
Other expenses | 1,400 | 1,415 | 4,227 | |||||||||||
Dividend expense on securities sold short | 75,627 | — | — | |||||||||||
Prime broker interest expense | 141,789 | — | — | |||||||||||
Total expenses before waivers and/or reimbursements | 777,755 | 166,436 | 272,298 | |||||||||||
Less: waivers and/or reimbursements net of amounts recouped (Note 2) n | (95,428 | ) | (69,774 | ) | (127,790 | ) | ||||||||
Net expenses after waivers and/or reimbursements net of amounts recouped | 682,327 | 96,662 | 144,508 | |||||||||||
Net investment income/(loss) | (310,840 | ) | 30,962 | 167,255 | ||||||||||
Net realized gain/(loss) from: | ||||||||||||||
Investment securities | 7,151,771 | 1,549,540 | 1,588,921 | |||||||||||
Purchased options ** | — | — | — | |||||||||||
Securities sold short | (1,786,810 | ) | — | — | ||||||||||
Options written ** | — | — | — | |||||||||||
Contracts for difference ** | (8,704 | ) | 245,921 | — | ||||||||||
Foreign currency transactions | 7,009 | (10,297 | ) | (8,387 | ) | |||||||||
Net change in unrealized appreciation/(depreciation) on: | ||||||||||||||
Investment securities | 5,496,087 | 2,436,378 | 6,568,991 | |||||||||||
Purchased options ** | — | — | — | |||||||||||
Securities sold short | (431,428 | ) | — | — | ||||||||||
Options written ** | — | — | — | |||||||||||
Contracts for difference ** | (1,498,615 | ) | 33,569 | — | ||||||||||
Foreign currency translation | (8,282 | ) | 213 | (2,496 | ) | |||||||||
Net realized and unrealized gain/(loss) | 8,921,028 | 4,255,324 | 8,147,029 | |||||||||||
Net increase/(decrease) in net assets resulting from operations | $ | 8,610,188 | $ | 4,286,286 | $ | 8,314,284 | ||||||||
† | Net of foreign withholding taxes of | $ | (86,412 | ) | $ | (28,096 | ) | $ | (15,544 | ) |
n | Includes Acquired fund fees and expenses. See Note 2 for more details. |
** | Primary risk exposure is equity contracts. |
The accompanying notes are an integral part of the financial statements.
Semi-Annual Report 2021 | 57
BOSTON PARTNERS INVESTMENT FUNDS | (unaudited) |
STATEMENTS OF CHANGES IN NET ASSETS
Boston Partners Small Cap Value Fund II | Boston Partners Long/Short Equity Fund | |||||||||||||||
For the Six Months Ended February 28, 2021 | For the Year Ended August 31, 2020 | For the Six Months Ended February 28, 2021 | For the Year Ended August 31, 2020 | |||||||||||||
Increase/(decrease) in net assets from operations: | ||||||||||||||||
Net investment income/(loss) | $ | 2,165,426 | $ | 4,826,236 | $ | (376,118 | ) | $ | (1,297,585 | ) | ||||||
Net realized gain/(loss) from investments and foreign currency | 38,449,718 | (54,211,771 | ) | 7,914,150 | 27,576,929 | |||||||||||
Net change in unrealized appreciation/(depreciation) on investments and foreign currency translation | 173,437,628 | 14,499,468 | (1,142,765 | ) | (34,054,788 | ) | ||||||||||
Net increase/(decrease) in net assets resulting from operations | 214,052,772 | (34,886,067 | ) | 6,395,267 | (7,775,444 | ) | ||||||||||
Dividends and distributions to shareholders: | ||||||||||||||||
Institutional Class | (3,423,336 | ) | (11,586,422 | ) | (19,343,437 | ) | (16,021,570 | ) | ||||||||
Investor Class | (287,949 | ) | (2,731,799 | ) | (4,425,358 | ) | (2,702,290 | ) | ||||||||
Net decrease in net assets from dividends and distributions to shareholders | (3,711,285 | ) | (14,318,221 | ) | (23,768,795 | ) | (18,723,860 | ) | ||||||||
Capital transactions: | ||||||||||||||||
Institutional Class | ||||||||||||||||
Proceeds from shares sold | 94,444,668 | 238,306,335 | 5,289,408 | 14,783,093 | ||||||||||||
Reinvestment of distributions | 3,242,192 | 11,181,116 | 16,162,041 | 12,844,176 | ||||||||||||
Shares redeemed | (86,295,205 | ) | (132,345,095 | ) | (29,970,161 | ) | (164,092,990 | ) | ||||||||
Investor Class | ||||||||||||||||
Proceeds from shares sold | 6,617,360 | 14,259,177 | 449,537 | 1,332,244 | ||||||||||||
Reinvestment of distributions | 281,646 | 2,687,806 | 4,320,241 | 2,654,278 | ||||||||||||
Shares redeemed | (13,757,583 | ) | (48,635,049 | ) | (4,817,430 | ) | (13,746,832 | ) | ||||||||
Net increase/(decrease) in net assets from capital transactions | 4,533,078 | 85,454,290 | (8,566,364 | ) | (146,226,031 | ) | ||||||||||
Total increase/(decrease) in net assets | 214,874,565 | 36,250,002 | (25,939,892 | ) | (172,725,335 | ) | ||||||||||
Net assets: | ||||||||||||||||
Beginning of period | 580,381,480 | 544,131,478 | 83,264,067 | 255,989,402 | ||||||||||||
End of period | $ | 795,256,045 | $ | 580,381,480 | $ | 57,324,175 | $ | 83,264,067 | ||||||||
Share transactions: | ||||||||||||||||
Institutional Class | ||||||||||||||||
Shares sold | 3,827,225 | 11,884,055 | 408,966 | 886,645 | ||||||||||||
Shares reinvested | 126,254 | 438,132 | 1,349,085 | 756,876 | ||||||||||||
Shares redeemed | (3,519,951 | ) | (6,418,379 | ) | (2,452,063 | ) | (9,945,511 | ) | ||||||||
Net increase/(decrease) | 433,528 | 5,903,808 | (694,012 | ) | (8,301,990 | ) | ||||||||||
Investor Class | ||||||||||||||||
Shares sold | 273,410 | 743,090 | 39,070 | 90,104 | ||||||||||||
Shares reinvested | 11,491 | 110,337 | 418,628 | 173,482 | ||||||||||||
Shares redeemed | (591,782 | ) | (2,508,720 | ) | (446,422 | ) | (942,479 | ) | ||||||||
Net increase/(decrease) | (306,881 | ) | (1,655,293 | ) | 11,276 | (678,893 | ) |
The accompanying notes are an integral part of the financial statements.
58 | Semi-Annual Report 2021
BOSTON PARTNERS INVESTMENT FUNDS | (unaudited) |
STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED)
Boston Partners Long/Short Research Fund | Boston Partners All-Cap Value Fund | |||||||||||||||
For the Six Months Ended February 28, 2021 | For the Year Ended August 31, 2020 | For the Six Months Ended February 28, 2021 | For the Year Ended August 31, 2020 | |||||||||||||
Increase/(decrease) in net assets from operations: | ||||||||||||||||
Net investment income/(loss) | $ | (2,840,680 | ) | $ | (196,417 | ) | $ | 5,099,942 | $ | 22,101,069 | ||||||
Net realized gain/(loss) from investments and foreign currency | 99,854,395 | (22,401,419 | ) | 38,741,503 | 43,597,365 | |||||||||||
Net change in unrealized appreciation/(depreciation) on investments and foreign currency translation | (2,120,066 | ) | (261,403,450 | ) | 225,649,155 | (68,662,122 | ) | |||||||||
Net increase/(decrease) in net assets resulting from operations | 94,893,649 | (284,001,286 | ) | 269,490,600 | (2,963,688 | ) | ||||||||||
Dividends and distributions to shareholders: | ||||||||||||||||
Institutional Class | — | (68,239,780 | ) | (18,329,964 | ) | (39,151,779 | ) | |||||||||
Investor Class | — | (1,083,477 | ) | (3,338,171 | ) | (7,489,376 | ) | |||||||||
Net decrease in net assets from dividends and distributions to shareholders | — | (69,323,257 | ) | (21,668,135 | ) | (46,641,155 | ) | |||||||||
Capital transactions: | ||||||||||||||||
Institutional Class | ||||||||||||||||
Proceeds from shares sold | 50,110,485 | 248,718,211 | 226,544,866 | 217,947,573 | ||||||||||||
Reinvestment of distributions | — | 34,084,072 | 14,385,927 | 31,324,587 | ||||||||||||
Shares redeemed | (447,839,195 | ) | (2,064,431,222 | ) | (185,624,517 | ) | (715,633,581 | ) | ||||||||
Investor Class | ||||||||||||||||
Proceeds from shares sold | 779,146 | 4,371,135 | 13,016,361 | 23,996,472 | ||||||||||||
Reinvestment of distributions | — | 1,080,450 | 3,215,582 | 7,258,422 | ||||||||||||
Shares redeemed | (10,481,498 | ) | (30,400,484 | ) | (36,513,352 | ) | (123,252,441 | ) | ||||||||
Net increase/(decrease) in net assets from capital transactions | (407,431,062 | ) | (1,806,577,838 | ) | 35,024,867 | (558,358,968 | ) | |||||||||
Total increase/(decrease) in net assets | (312,537,413 | ) | (2,159,902,381 | ) | 282,847,332 | (607,963,811 | ) | |||||||||
Net assets: | ||||||||||||||||
Beginning of period | 1,107,399,081 | 3,267,301,462 | 1,274,227,734 | 1,882,191,545 | ||||||||||||
End of period | $ | 794,861,668 | $ | 1,107,399,081 | $ | 1,557,075,066 | $ | 1,274,227,734 | ||||||||
Share transactions: | ||||||||||||||||
Institutional Class | ||||||||||||||||
Shares sold | 3,548,098 | 16,878,926 | 7,959,216 | 9,208,074 | ||||||||||||
Shares reinvested | — | 2,166,820 | 520,287 | 1,157,597 | ||||||||||||
Shares redeemed | (32,374,837 | ) | (149,756,944 | ) | (6,988,333 | ) | (29,943,106 | ) | ||||||||
Net increase/(decrease) | (28,826,739 | ) | (130,711,198 | ) | 1,491,170 | (19,577,435 | ) | |||||||||
Investor Class | ||||||||||||||||
Shares sold | 58,025 | 307,435 | 472,199 | 1,000,678 | ||||||||||||
Shares reinvested | — | 70,205 | 116,803 | 269,329 | ||||||||||||
Shares redeemed | (804,514 | ) | (2,183,851 | ) | (1,377,686 | ) | (5,141,085 | ) | ||||||||
Net increase/(decrease) | (746,489 | ) | (1,806,211 | ) | (788,684 | ) | (3,871,078 | ) |
The accompanying notes are an integral part of the financial statements.
Semi-Annual Report 2021 | 59
BOSTON PARTNERS INVESTMENT FUNDS | (unaudited) |
STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED)
WPG Partners Small/Micro Cap Value Fund | Boston Partners Global Equity Fund | |||||||||||||||
For the Six Months Ended February 28, 2021 | For the Year Ended August 31, 2020 | For the Six Months Ended February 28, 2021 | For the Year Ended August 31, 2020 | |||||||||||||
Increase/(decrease) in net assets from operations: | ||||||||||||||||
Net investment income/(loss) | $ | 93,220 | $ | 152,629 | $ | 692,114 | $ | 4,303,280 | ||||||||
Net realized gain/(loss) from investments and foreign currency | 2,696,616 | (3,385,849 | ) | 11,313,054 | (24,430,807 | ) | ||||||||||
Net change in unrealized appreciation/(depreciation) on investments and foreign currency translation | 5,588,047 | 1,416,754 | 17,359,125 | (17,504,716 | ) | |||||||||||
Net increase/(decrease) in net assets resulting from operations | 8,377,883 | (1,816,466 | ) | 29,364,293 | (37,632,243 | ) | ||||||||||
Dividends and distributions to shareholders: | ||||||||||||||||
Institutional Class | (144,307 | ) | (108,852 | ) | (2,917,436 | ) | (10,116,438 | ) | ||||||||
Investor Class | — | — | — | — | ||||||||||||
Net decrease in net assets from dividends and distributions to shareholders | (144,307 | ) | (108,852 | ) | (2,917,436 | ) | (10,116,438 | ) | ||||||||
Capital transactions: | ||||||||||||||||
Institutional Class | ||||||||||||||||
Proceeds from shares sold | 292,349 | 931,570 | 14,999,193 | 13,415,264 | ||||||||||||
Reinvestment of distributions | 133,250 | 101,138 | 2,898,546 | 10,102,108 | ||||||||||||
Shares redeemed | (2,283,906 | ) | (2,230,051 | ) | (60,372,876 | ) | (481,947,978 | ) | ||||||||
Investor Class | ||||||||||||||||
Proceeds from shares sold | — | — | — | — | ||||||||||||
Reinvestment of distributions | — | — | — | — | ||||||||||||
Shares redeemed | — | — | — | — | ||||||||||||
Net increase/(decrease) in net assets from capital transactions | (1,858,307 | ) | (1,197,343 | ) | (42,475,137 | ) | (458,430,606 | ) | ||||||||
Total increase/(decrease) in net assets | 6,375,269 | (3,122,661 | ) | (16,028,280 | ) | (506,179,287 | ) | |||||||||
Net assets: | ||||||||||||||||
Beginning of period | 19,150,243 | 22,272,904 | 177,470,018 | 683,649,305 | ||||||||||||
End of period | $ | 25,525,512 | $ | 19,150,243 | $ | 161,441,738 | $ | 177,470,018 | ||||||||
Share transactions: | ||||||||||||||||
Institutional Class | ||||||||||||||||
Shares sold | 21,713 | 81,469 | 887,607 | 910,343 | ||||||||||||
Shares reinvested | 9,209 | 6,942 | 169,110 | 595,292 | ||||||||||||
Shares redeemed | (160,483 | ) | (175,463 | ) | (4,080,639 | ) | (32,766,623 | ) | ||||||||
Net increase/(decrease) | (129,561 | ) | (87,052 | ) | (3,023,922 | ) | (31,260,988 | ) | ||||||||
Investor Class | ||||||||||||||||
Shares sold | — | — | — | — | ||||||||||||
Shares reinvested | — | — | — | — | ||||||||||||
Shares redeemed | — | — | — | — | ||||||||||||
Net increase/(decrease) | — | — | — | — |
The accompanying notes are an integral part of the financial statements.
60 | Semi-Annual Report 2021
BOSTON PARTNERS INVESTMENT FUNDS | (unaudited) |
STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED)
Boston Partners Global Long/Short Fund | Boston Partners Emerging Markets Dynamic Equity Fund | |||||||||||||||
For the Six Months Ended February 28, 2021 | For the Year Ended August 31, 2020 | For the Six Months Ended February 28, 2021 | For the Year Ended August 31, 2020 | |||||||||||||
Increase/(decrease) in net assets from operations: | ||||||||||||||||
Net investment income/(loss) | $ | (101,636 | ) | $ | 296,392 | $ | (310,840 | ) | $ | 1,047,706 | ||||||
Net realized gain/(loss) from investments and foreign currency | 13,010,939 | (29,499,627 | ) | 5,363,266 | 2,238,436 | |||||||||||
Net change in unrealized appreciation/(depreciation) on investments and foreign currency translation | 4,286,554 | (32,746,897 | ) | 3,557,762 | 2,437,798 | |||||||||||
Net increase/(decrease) in net assets resulting from operations | 17,195,857 | (61,950,132 | ) | 8,610,188 | 5,723,940 | |||||||||||
Dividends and distributions to shareholders: | ||||||||||||||||
Institutional Class | (79,283 | ) | (7,186,270 | ) | (5,338,757 | ) | (1,296,540 | ) | ||||||||
Investor Class | — | (133,127 | ) | — | — | |||||||||||
Net decrease in net assets from dividends and distributions to shareholders | (79,283 | ) | (7,319,397 | ) | (5,338,757 | ) | (1,296,540 | ) | ||||||||
Capital transactions: | ||||||||||||||||
Institutional Class | ||||||||||||||||
Proceeds from shares sold | 6,967,134 | 43,382,764 | 7,638,475 | 6,398,476 | ||||||||||||
Reinvestment of distributions | 63,426 | 6,592,224 | 5,215,269 | 1,266,707 | ||||||||||||
Shares redeemed | (42,340,010 | ) | (462,183,161 | ) | (3,805,214 | ) | (10,341,205 | ) | ||||||||
Investor Class | ||||||||||||||||
Proceeds from shares sold | 665,313 | 1,161,495 | — | — | ||||||||||||
Reinvestment of distributions | — | 131,740 | — | — | ||||||||||||
Shares redeemed | (1,817,092 | ) | (8,515,110 | ) | — | — | ||||||||||
Net increase/(decrease) in net assets from capital transactions | (36,461,229 | ) | (419,430,048 | ) | 9,048,530 | (2,676,022 | ) | |||||||||
Total increase/(decrease) in net assets | (19,344,655 | ) | (488,699,577 | ) | 12,319,961 | 1,751,378 | ||||||||||
Net assets: | ||||||||||||||||
Beginning of period | 137,164,573 | 625,864,150 | 60,175,508 | 58,424,130 | ||||||||||||
End of period | $ | 117,819,918 | $ | 137,164,573 | $ | 72,495,469 | $ | 60,175,508 | ||||||||
Share transactions: | ||||||||||||||||
Institutional Class | ||||||||||||||||
Shares sold | 678,537 | 4,213,496 | 677,311 | 608,924 | ||||||||||||
Shares reinvested | 5,955 | 609,263 | 461,937 | 118,052 | ||||||||||||
Shares redeemed | (4,161,790 | ) | (48,274,686 | ) | (329,263 | ) | (961,867 | ) | ||||||||
Net increase/(decrease) | (3,477,298 | ) | (43,451,927 | ) | 809,985 | (234,891 | ) | |||||||||
Investor Class | ||||||||||||||||
Shares sold | 64,622 | 115,237 | — | — | ||||||||||||
Shares reinvested | — | 12,301 | — | — | ||||||||||||
Shares redeemed | (181,029 | ) | (848,446 | ) | — | — | ||||||||||
Net increase/(decrease) | (116,407 | ) | (720,908 | ) | — | — |
The accompanying notes are an integral part of the financial statements.
Semi-Annual Report 2021 | 61
BOSTON PARTNERS INVESTMENT FUNDS | (unaudited) |
STATEMENTS OF CHANGES IN NET ASSETS (CONCLUDED)
Boston Partners Emerging Markets Fund | Boston Partners Global Equity Advantage Fund | |||||||||||||||
For the Six Months Ended February 28, 2021 | For the Year Ended August 31, 2020 | For the Six Months Ended February 28, 2021 | For the Year Ended August 31, 2020 | |||||||||||||
Increase/(decrease) in net assets from operations: | ||||||||||||||||
Net investment income/(loss) | $ | 30,962 | $ | 307,777 | $ | 167,255 | $ | 731,457 | ||||||||
Net realized gain/(loss) from investments and foreign currency | 1,785,164 | (1,046,424 | ) | 1,580,534 | (2,958,640 | ) | ||||||||||
Net change in unrealized appreciation/(depreciation) on investments and foreign currency translation | 2,470,160 | 1,653,337 | 6,566,495 | 466,717 | ||||||||||||
Net increase/(decrease) in net assets resulting from operations | 4,286,286 | 914,690 | 8,314,284 | (1,760,466 | ) | |||||||||||
Dividends and distributions to shareholders: | ||||||||||||||||
Institutional Class | (129,801 | ) | (503,507 | ) | (416,614 | ) | (633,996 | ) | ||||||||
Net decrease in net assets from dividends and distributions to shareholders | (129,801 | ) | (503,507 | ) | (416,614 | ) | (633,996 | ) | ||||||||
Capital transactions: | ||||||||||||||||
Institutional Class | ||||||||||||||||
Proceeds from shares sold | 3,599,996 | 6,125,226 | 205,872 | 10,368,392 | ||||||||||||
Reinvestment of distributions | 129,801 | 503,507 | 416,614 | 633,996 | ||||||||||||
Shares redeemed | — | (212,973 | ) | |||||||||||||
Net increase/(decrease) in net assets from capital transactions | 3,729,797 | 6,628,733 | 409,513 | 11,002,388 | ||||||||||||
Total increase/(decrease) in net assets | 7,886,282 | 7,039,916 | 8,307,183 | 8,607,926 | ||||||||||||
Net assets: | ||||||||||||||||
Beginning of period | 16,508,185 | 9,468,269 | 35,036,902 | 26,428,976 | ||||||||||||
End of period | $ | 24,394,467 | $ | 16,508,185 | $ | 43,344,085 | $ | 35,036,902 | ||||||||
Share transactions: | ||||||||||||||||
Institutional Class | ||||||||||||||||
Shares sold | 315,789 | 602,890 | 17,464 | 956,529 | ||||||||||||
Shares reinvested | 11,507 | 52,285 | 37,364 | 59,586 | ||||||||||||
Shares redeemed | — | — | (18,504 | ) | — | |||||||||||
Net increase/(decrease) | 327,296 | 655,175 | 36,324 | 1,016,115 |
The accompanying notes are an integral part of the financial statements.
62 | Semi-Annual Report 2021
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Semi-Annual Report 2021 | 63
BOSTON PARTNERS INVESTMENT FUNDS | |
FINANCIAL HIGHLIGHTS | Per Share Operating Performance |
Contained below is per share operating performance data for each class of shares outstanding, total investment return, ratios to average net assets and other supplemental data for the respective periods. This information has been derived from information provided in the financial statements.
Net Realized | Net Increase/ | Distributions | ||||||||||||||||||||||||||
and | (Decrease) | Dividends to | to | Total | ||||||||||||||||||||||||
Net Asset | Net | Unrealized | in Net Assets | Shareholders | Shareholders | Dividend and | ||||||||||||||||||||||
Value, | Investment | Gain/ | Resulting | from Net | from Net | Distributions | ||||||||||||||||||||||
Beginning | Income/ | (Loss) on | from | Investment | Realized | to | ||||||||||||||||||||||
of Period | (Loss)* | Investments | Operations | Income | Gains | Shareholders | ||||||||||||||||||||||
Boston Partners Small Cap Value Fund II | ||||||||||||||||||||||||||||
Institutional Class | ||||||||||||||||||||||||||||
9/1/20 through 2/28/21† | $ | 21.06 | $ | 0.08 | $ | 7.71 | $ | 7.79 | $ | (0.14 | ) | $ | — | $ | (0.14 | ) | ||||||||||||
8/31/20 | 23.42 | 0.20 | (1.94 | ) | (1.74 | ) | (0.28 | ) | (0.34 | ) | (0.62 | ) | ||||||||||||||||
8/31/19 | 27.74 | 0.23 | (3.12 | ) | (2.89 | ) | (0.12 | ) | (1.31 | ) | (1.43 | ) | ||||||||||||||||
8/31/18 | 24.96 | 0.21 | 3.75 | 3.96 | (0.20 | ) | (0.98 | ) | (1.18 | ) | ||||||||||||||||||
8/31/17 | 23.00 | 0.13 | 2.38 | 2.51 | (0.21 | ) | (0.34 | ) | (0.55 | ) | ||||||||||||||||||
8/31/16 | 21.89 | 0.18 | 2.00 | 2.18 | (0.12 | ) | (0.95 | ) | (1.07 | ) | ||||||||||||||||||
Investor Class | ||||||||||||||||||||||||||||
9/1/20 through 2/28/21† | $ | 20.07 | $ | 0.05 | $ | 7.34 | $ | 7.39 | $ | (0.08 | ) | $ | — | $ | (0.08 | ) | ||||||||||||
8/31/20 | 22.33 | 0.15 | (1.85 | ) | (1.70 | ) | (0.22 | ) | (0.34 | ) | (0.56 | ) | ||||||||||||||||
8/31/19 | 26.53 | 0.16 | (2.99 | ) | (2.83 | ) | (0.06 | ) | (1.31 | ) | (1.37 | ) | ||||||||||||||||
8/31/18 | 23.92 | 0.14 | 3.59 | 3.73 | (0.14 | ) | (0.98 | ) | (1.12 | ) | ||||||||||||||||||
8/31/17 | 22.06 | 0.07 | 2.29 | 2.36 | (0.16 | ) | (0.34 | ) | (0.50 | ) | ||||||||||||||||||
8/31/16 | 21.04 | 0.12 | 1.92 | 2.04 | (0.07 | ) | (0.95 | ) | (1.02 | ) | ||||||||||||||||||
Boston Partners Long/Short Equity Fund | ||||||||||||||||||||||||||||
Institutional Class | ||||||||||||||||||||||||||||
9/1/20 through 2/28/21† | $ | 15.15 | $ | (0.07 | ) | $ | 1.45 | $ | 1.38 | $ | — | $ | (4.51 | ) | $ | (4.51 | ) | |||||||||||
8/31/20 | 17.74 | (0.14 | ) | (0.70 | ) | (0.84 | ) | — | (1.75 | ) | (1.75 | ) | ||||||||||||||||
8/31/19 | 20.51 | (0.18 | ) | (1.06 | ) | (1.24 | ) | — | (1.53 | ) | (1.53 | ) | ||||||||||||||||
8/31/18 | 20.96 | (0.35 | ) | 0.07 | (0.28 | ) | — | (0.17 | ) | (0.17 | ) | |||||||||||||||||
8/31/17 | 20.09 | (0.26 | ) | 1.13 | 0.87 | — | — | — | ||||||||||||||||||||
8/31/16 | 19.04 | (0.35 | ) | 3.04 | 2.69 | — | (1.64 | ) | (1.64 | ) | ||||||||||||||||||
Investor Class | ||||||||||||||||||||||||||||
9/1/20 through 2/28/21† | $ | 13.64 | $ | (0.07 | ) | $ | 1.29 | $ | 1.22 | $ | — | $ | (4.51 | ) | $ | (4.51 | ) | |||||||||||
8/31/20 | 16.17 | (0.16 | ) | (0.62 | ) | (0.78 | ) | — | (1.75 | ) | (1.75 | ) | ||||||||||||||||
8/31/19 | 18.88 | (0.20 | ) | (0.98 | ) | (1.18 | ) | — | (1.53 | ) | (1.53 | ) | ||||||||||||||||
8/31/18 | 19.36 | (0.38 | ) | 0.07 | (0.31 | ) | — | (0.17 | ) | (0.17 | ) | |||||||||||||||||
8/31/17 | 18.60 | (0.29 | ) | 1.05 | 0.76 | — | — | — | ||||||||||||||||||||
8/31/16 | 17.79 | (0.37 | ) | 2.82 | 2.45 | — | (1.64 | ) | (1.64 | ) | ||||||||||||||||||
Boston Partners Long/Short Research Fund | ||||||||||||||||||||||||||||
Institutional Class | ||||||||||||||||||||||||||||
9/1/20 through 2/28/21† | $ | 13.31 | $ | (0.04 | ) | $ | 1.55 | $ | 1.51 | $ | — | $ | — | $ | — | |||||||||||||
8/31/20 | 15.15 | (0.00 | ) | (1.48 | ) | (1.48 | ) | (0.21 | ) | (0.15 | ) | (0.36 | ) | |||||||||||||||
8/31/19 | 16.64 | 0.09 | (0.79 | ) | (0.70 | ) | (0.01 | ) | (0.78 | ) | (0.79 | ) | ||||||||||||||||
8/31/18 | 16.27 | (0.03 | ) | 0.40 | 0.37 | — | — | — | ||||||||||||||||||||
8/31/17 | 15.23 | (0.12 | ) | 1.16 | 1.04 | — | — | — | ||||||||||||||||||||
8/31/16 | 15.20 | (0.06 | )4 | 0.67 | 0.61 | — | (0.58 | ) | (0.58 | ) | ||||||||||||||||||
Investor Class | ||||||||||||||||||||||||||||
9/1/20 through 2/28/21† | $ | 13.01 | $ | (0.06 | ) | $ | 1.51 | $ | 1.45 | $ | — | $ | — | $ | — | |||||||||||||
8/31/20 | 14.81 | (0.04 | ) | (1.44 | ) | (1.48 | ) | (0.17 | ) | (0.15 | ) | (0.32 | ) | |||||||||||||||
8/31/19 | 16.31 | 0.06 | (0.78 | ) | (0.72 | ) | — | (0.78 | ) | (0.78 | ) | |||||||||||||||||
8/31/18 | 15.99 | (0.08 | ) | 0.40 | 0.32 | — | — | — | ||||||||||||||||||||
8/31/17 | 15.00 | (0.15 | ) | 1.14 | 0.99 | — | — | — | ||||||||||||||||||||
8/31/16 | 15.01 | (0.09 | )4 | 0.66 | 0.57 | — | (0.58 | ) | (0.58 | ) |
† | Unaudited. |
* | Calculated based on average shares outstanding for the period. |
^ | Effective January 1, 2016, the Funds do not impose a redemption fee. Prior to January 1, 2016, there was a 1.00% redemption fee on shares redeemed that were held 60 days or less on BP Small Cap Value Fund II and BP Long/Short Research Fund. There was a 2.00% redemption fee on shares redeemed that were held 365 days or less on the BP Long/Short Equity Fund. The redemption fees were retained by the Funds for the benefit of the remaining shareholders and recorded as paid-in capital. |
1 | Total return is calculated by assuming a purchase of shares on the first day and a sale of shares on the last day of the period and is not annualized if period is less than one year. |
2 | Redemption fees, if any, are reflected in total return calculations. |
The accompanying notes are an integral part of the financial statements.
64 | Semi-Annual Report 2021
BOSTON PARTNERS INVESTMENT FUNDS | |
FINANCIAL HIGHLIGHTS (CONTINUED) | Per Share Operating Performance |
Ratio of Expenses | ||||||||||||||||||||||||||||||||||
to Average | ||||||||||||||||||||||||||||||||||
Ratio of Expenses | Net Assets | Ratio of Expenses | Ratio of Net | |||||||||||||||||||||||||||||||
to Average | With Waivers, | to Average Net | Investment | |||||||||||||||||||||||||||||||
Net Assets | Reimbursements | Assets Without | Income/(Loss) | |||||||||||||||||||||||||||||||
With Waivers, | and Recoupments | Waivers, | to Average Net | |||||||||||||||||||||||||||||||
Net Asset | Total | Net Assets, | Reimbursements | if any (Excluding | Reimbursements | Assets With | Portfolio | |||||||||||||||||||||||||||
Redemption | Value, End | Investment | End of Period | and Recoupment | Dividend and | and Recoupments | Waivers and | Turnover | ||||||||||||||||||||||||||
Fees*^ | of Period | Return1,2 | (000) | if any5 | Interest Expense) | if any | Reimbursements | Rate | ||||||||||||||||||||||||||
$ | — | $ | 28.71 | 37.07 | % | $ | 698,551 | 0.99 | %6 | N/A | 1.00 | %6 | 0.68 | %6 | 19 | %7 | ||||||||||||||||||
— | 21.06 | (7.88 | ) | 503,349 | 1.07 | N/A | 1.09 | 0.94 | 46 | |||||||||||||||||||||||||
— | 23.42 | (9.92 | ) | 421,429 | 1.10 | N/A | 1.16 | 0.97 | 29 | |||||||||||||||||||||||||
— | 27.74 | 16.25 | 476,179 | 1.10 | N/A | 1.14 | 0.78 | 40 | ||||||||||||||||||||||||||
— | 24.96 | 10.92 | 362,674 | 1.10 | N/A | 1.18 | 0.53 | 24 | ||||||||||||||||||||||||||
— | 3 | 23.00 | 10.67 | 279,049 | 1.10 | N/A | 1.22 | 0.86 | 29 | |||||||||||||||||||||||||
$ | — | $ | 27.38 | 36.86 | % | $ | 96,705 | 1.24 | %6 | N/A | 1.25 | %6 | 0.43 | %6 | 19 | %7 | ||||||||||||||||||
— | 20.07 | (8.07 | ) | 77,032 | 1.32 | N/A | 1.34 | 0.69 | 46 | |||||||||||||||||||||||||
— | 22.33 | (10.20 | ) | 122,703 | 1.35 | N/A | 1.41 | 0.72 | 29 | |||||||||||||||||||||||||
— | 26.53 | 15.94 | 144,315 | 1.35 | N/A | 1.39 | 0.53 | 40 | ||||||||||||||||||||||||||
— | 23.92 | 10.68 | 159,271 | 1.35 | N/A | 1.43 | 0.28 | 24 | ||||||||||||||||||||||||||
— | 3 | 22.06 | 10.38 | 126,461 | 1.35 | N/A | 1.47 | 0.61 | 29 | |||||||||||||||||||||||||
$ | — | $ | 12.02 | 9.19 | % | $ | 46,216 | 2.61 | %6 | 1.97 | %6 | 3.14 | %6 | (1.01 | %)6 | 15 | %7 | |||||||||||||||||
— | 15.15 | (5.78 | ) | 68,780 | 2.57 | 2.25 | 2.74 | (0.81 | ) | 46 | ||||||||||||||||||||||||
— | 17.74 | (6.05 | ) | 227,834 | 2.67 | 2.45 | 2.68 | (0.94 | ) | 64 | ||||||||||||||||||||||||
— | 20.51 | (1.38 | ) | 651,325 | 3.01 | 2.37 | 3.01 | (1.62 | ) | 58 | ||||||||||||||||||||||||
— | 20.96 | 4.33 | 858,821 | 2.80 | 2.39 | 2.80 | (1.21 | ) | 63 | |||||||||||||||||||||||||
— | 3 | 20.09 | 15.36 | 731,894 | 3.57 | 2.46 | 3.57 | (1.79 | ) | 72 | ||||||||||||||||||||||||
$ | — | $ | 10.35 | 9.02 | % | $ | 11,108 | 2.86 | %6 | 2.22 | %6 | 3.39 | %6 | (1.26 | %)6 | 15 | %7 | |||||||||||||||||
— | 13.64 | (5.99 | ) | 14,484 | 2.82 | 2.50 | 2.99 | (1.06 | ) | 46 | ||||||||||||||||||||||||
— | 16.17 | (6.27 | ) | 28,156 | 2.92 | 2.70 | 2.93 | (1.19 | ) | 64 | ||||||||||||||||||||||||
— | 18.88 | (1.65 | ) | 54,167 | 3.26 | 2.62 | 3.26 | (1.87 | ) | 58 | ||||||||||||||||||||||||
— | 19.36 | 4.09 | 88,103 | 3.05 | 2.64 | 3.05 | (1.46 | ) | 63 | |||||||||||||||||||||||||
— | 3 | 18.60 | 15.07 | 97,417 | 3.82 | 2.71 | 3.82 | (2.04 | ) | 72 | ||||||||||||||||||||||||
$ | — | $ | 14.82 | 11.34 | % | $ | 778,486 | 2.24 | %6 | 1.42 | %6 | 2.24 | %6 | (0.62 | %)6 | 30 | %7 | |||||||||||||||||
— | 13.31 | (10.13 | ) | 1,082,963 | 2.21 | 1.37 | 2.21 | (0.01 | ) | 66 | ||||||||||||||||||||||||
— | 15.15 | (4.05 | ) | 3,212,731 | 2.15 | 1.38 | 2.15 | 0.62 | 60 | |||||||||||||||||||||||||
— | 16.64 | 2.27 | 6,636,897 | 2.09 | 1.34 | 2.09 | (0.19 | ) | 60 | |||||||||||||||||||||||||
— | 16.27 | 6.83 | 6,361,628 | 2.23 | 1.37 | 2.23 | (0.75 | ) | 54 | |||||||||||||||||||||||||
— | 3 | 15.23 | 4.10 | 6,403,404 | 2.51 | 1.41 | 2.51 | (0.38 | )4 | 53 | ||||||||||||||||||||||||
$ | — | $ | 14.46 | 11.15 | % | $ | 16,376 | 2.49 | %6 | 1.67 | %6 | 2.49 | %6 | (0.87 | %)6 | 30 | %7 | |||||||||||||||||
— | 13.01 | (10.32 | ) | 24,436 | 2.46 | 1.62 | 2.46 | (0.26 | ) | 66 | ||||||||||||||||||||||||
— | 14.81 | (4.27 | ) | 54,570 | 2.40 | 1.63 | 2.40 | 0.37 | 60 | |||||||||||||||||||||||||
— | 16.31 | 2.00 | 118,905 | 2.34 | 1.59 | 2.34 | (0.44 | ) | 60 | |||||||||||||||||||||||||
— | 15.99 | 6.60 | 211,455 | 2.48 | 1.63 | 2.48 | (1.00 | ) | 54 | |||||||||||||||||||||||||
— | 3 | 15.00 | 3.88 | 259,400 | 2.76 | 1.66 | 2.76 | (0.63 | )4 | 53 |
3 | Amount is less than $0.005 per share. |
4 | Includes a non-recurring dividend. Without this dividend, net investment loss per share would have been $(0.10) and $(0.13) for Institutional Class and Investor Class, respectively. The ratio of net investment loss would have been (0.66)% and (0.91)% for Institutional Class and Investor Class, respectively. |
5 | Beginning on September 1, 2018, the expense limitation includes acquired fund fees and expenses (AFFE). AFFE are not reflected as expenses in these financial statements and therefore this may cause the net expense ratios after waivers/reimbursements to be lower than the expense limitation in place. |
6 | Annualized |
7 | Not Annualized |
The accompanying notes are an integral part of the financial statements.
Semi-Annual Report 2021 | 65
BOSTON PARTNERS INVESTMENT FUNDS | |
FINANCIAL HIGHLIGHTS (CONTINUED) | Per Share Operating Performance |
Contained below is per share operating performance data for each class of shares outstanding, total investment return, ratios to average net assets and other supplemental data for the respective periods. This information has been derived from information provided in the financial statements.
Net Realized | Net Increase/ | Distributions | ||||||||||||||||||||||||||
and | (Decrease) | Dividends to | to | Total | ||||||||||||||||||||||||
Net Asset | Net | Unrealized | in Net Assets | Shareholders | Shareholders | Dividend and | ||||||||||||||||||||||
Value, | Investment | Gain/ | Resulting | from Net | from Net | Distributions | ||||||||||||||||||||||
Beginning | Income/ | (Loss) on | from | Investment | Realized | to | ||||||||||||||||||||||
of Period | (Loss)* | Investments | Operations | Income | Gains | Shareholders | ||||||||||||||||||||||
Boston Partners All-Cap Value Fund | ||||||||||||||||||||||||||||
Institutional Class | ||||||||||||||||||||||||||||
9/1/20 through 2/28/21† | $ | 24.53 | $ | 0.11 | $ | 5.38 | $ | 5.49 | $ | (0.21 | ) | $ | (0.24 | ) | $ | (0.45 | ) | |||||||||||
8/31/20 | 24.97 | 0.36 | (0.08 | ) | 0.28 | (0.37 | ) | (0.35 | ) | (0.72 | ) | |||||||||||||||||
8/31/19 | 27.86 | 0.34 | (1.76 | ) | (1.42 | ) | (0.29 | ) | (1.18 | ) | (1.47 | ) | ||||||||||||||||
8/31/18 | 25.57 | 0.22 | 3.20 | 3.42 | (0.18 | ) | (0.95 | ) | (1.13 | ) | ||||||||||||||||||
8/31/17 | 23.12 | 0.20 | 3.17 | 3.37 | (0.27 | ) | (0.65 | ) | (0.92 | ) | ||||||||||||||||||
8/31/16 | 22.08 | 0.30 | 2.15 | 2.45 | (0.30 | ) | (1.11 | ) | (1.41 | ) | ||||||||||||||||||
Investor Class | ||||||||||||||||||||||||||||
9/1/20 through 2/28/21† | $ | 24.39 | $ | 0.07 | $ | 5.35 | $ | 5.42 | $ | (0.15 | ) | $ | (0.24 | ) | $ | (0.39 | ) | |||||||||||
8/31/20 | 24.82 | 0.30 | (0.09 | ) | 0.21 | (0.29 | ) | (0.35 | ) | (0.64 | ) | |||||||||||||||||
8/31/19 | 27.69 | 0.27 | (1.75 | ) | (1.48 | ) | (0.21 | ) | (1.18 | ) | (1.39 | ) | ||||||||||||||||
8/31/18 | 25.42 | 0.16 | 3.18 | 3.34 | (0.12 | ) | (0.95 | ) | (1.07 | ) | ||||||||||||||||||
8/31/17 | 23.00 | 0.14 | 3.15 | 3.29 | (0.22 | ) | (0.65 | ) | (0.87 | ) | ||||||||||||||||||
8/31/16 | 21.98 | 0.25 | 2.13 | 2.38 | (0.25 | ) | (1.11 | ) | (1.36 | ) | ||||||||||||||||||
WPG Partners Small/Micro Cap Value Fund | ||||||||||||||||||||||||||||
Institutional Class | ||||||||||||||||||||||||||||
9/1/20 through 2/28/21† | $ | 11.96 | $ | 0.06 | $ | 5.41 | $ | 5.47 | $ | (0.09 | ) | $ | — | $ | (0.09 | ) | ||||||||||||
8/31/20 | 13.19 | 0.09 | (1.26 | ) | (1.17 | ) | (0.06 | ) | — | (0.06 | ) | |||||||||||||||||
8/31/19 | 17.52 | 0.06 | (3.36 | ) | (3.30 | ) | (0.05 | ) | (0.98 | ) | (1.03 | ) | ||||||||||||||||
8/31/18 | 16.13 | 0.04 | 2.50 | 2.54 | (0.06 | ) | (1.09 | ) | (1.15 | ) | ||||||||||||||||||
8/31/17 | 15.50 | 0.05 | 0.65 | 0.70 | (0.07 | ) | — | (0.07 | ) | |||||||||||||||||||
8/31/16 | 15.40 | 0.07 | 0.46 | 0.53 | (0.10 | ) | (0.33 | ) | (0.43 | ) | ||||||||||||||||||
Boston Partners Global Equity Fund | ||||||||||||||||||||||||||||
Institutional Class | ||||||||||||||||||||||||||||
9/1/20 through 2/28/21† | $ | 15.15 | $ | 0.08 | $ | 3.70 | $ | 3.78 | $ | (0.35 | ) | $ | — | $ | (0.35 | ) | ||||||||||||
8/31/20 | 15.91 | 0.15 | (0.67 | ) | (0.52 | ) | (0.24 | ) | — | (0.24 | ) | |||||||||||||||||
8/31/19 | 18.73 | 0.25 | (1.79 | ) | (1.54 | ) | (0.18 | ) | (1.10 | ) | (1.28 | ) | ||||||||||||||||
8/31/18 | 17.39 | 0.16 | 1.56 | 1.72 | (0.12 | ) | (0.26 | ) | (0.38 | ) | ||||||||||||||||||
8/31/17 | 15.60 | 0.14 | 1.95 | 2.09 | (0.30 | ) | — | (0.30 | ) | |||||||||||||||||||
8/31/16 | 14.66 | 0.355 | 0.66 | 1.01 | (0.05 | ) | (0.02 | ) | (0.07 | ) |
† | Unaudited. |
* | Calculated based on average shares outstanding. |
^ | Effective January 1, 2016, the Funds do not impose a redemption fee. Prior to January 1, 2016, there was a 1.00% redemption fee on shares redeemed that were held 60 days or less on BP Global Equity Fund. The WPG Small/Micro Cap Value Fund had a 2.00% redemption fee on shares redeemed within 60 days of purchase. The redemption fees were retained by the Funds for the benefit of the remaining shareholders and recorded as paid-in capital. |
The accompanying notes are an integral part of the financial statements.
66 | Semi-Annual Report 2021
BOSTON PARTNERS INVESTMENT FUNDS | |
FINANCIAL HIGHLIGHTS (CONTINUED) | Per Share Operating Performance |
Ratio of Expenses | ||||||||||||||||||||||||||||||||||
to Average | ||||||||||||||||||||||||||||||||||
Ratio of Expenses | Net Assets | Ratio of Expenses | Ratio of Net | |||||||||||||||||||||||||||||||
to Average | With Waivers, | to Average Net | Investment | |||||||||||||||||||||||||||||||
Net Assets | Reimbursements | Assets Without | Income/(Loss) | |||||||||||||||||||||||||||||||
With Waivers, | and Recoupments | Waivers, | to Average Net | |||||||||||||||||||||||||||||||
Net Asset | Total | Net Assets, | Reimbursements | if any (Excluding | Reimbursements | Assets With | Portfolio | |||||||||||||||||||||||||||
Redemption | Value, End | Investment | End of Period | and Recoupment | Dividend and | and Recoupments | Waivers and | Turnover | ||||||||||||||||||||||||||
Fees*^ | of Period | Return1,2 | (000) | if any6 | Interest Expense) | if any | Reimbursements | Rate | ||||||||||||||||||||||||||
$ | — | $ | 29.57 | 22.51 | % | $ | 1,313,788 | 0.80 | %7 | N/A | 0.84 | %7 | 0.81 | %7 | 30 | %8 | ||||||||||||||||||
— | 24.53 | 0.84 | 1,053,301 | 0.80 | N/A | 0.84 | 1.46 | 37 | ||||||||||||||||||||||||||
— | 24.97 | (4.65 | ) | 1,561,229 | 0.80 | N/A | 0.82 | 1.34 | 33 | |||||||||||||||||||||||||
— | 27.86 | 13.70 | 1,853,976 | 0.80 | N/A | 0.80 | 0.83 | 33 | ||||||||||||||||||||||||||
— | 25.57 | 14.88 | 1,370,288 | 0.80 | N/A | 0.88 | 0.83 | 27 | ||||||||||||||||||||||||||
— | 23.12 | 11.68 | 1,016,106 | 0.77 | N/A | 0.96 | 1.41 | 30 | 3 | |||||||||||||||||||||||||
$ | — | $ | 29.42 | 22.36 | % | $ | 243,287 | 1.05 | %7 | N/A | 1.09 | %7 | 0.56 | %7 | 30 | %8 | ||||||||||||||||||
— | 24.39 | 0.59 | 220,927 | 1.05 | N/A | 1.09 | 1.21 | 37 | ||||||||||||||||||||||||||
— | 24.82 | (4.90 | ) | 320,962 | 1.05 | N/A | 1.07 | 1.09 | 33 | |||||||||||||||||||||||||
— | 27.69 | 13.44 | 510,737 | 1.05 | N/A | 1.05 | 0.58 | 33 | ||||||||||||||||||||||||||
— | 25.42 | 14.56 | 426,904 | 1.05 | N/A | 1.13 | 0.58 | 27 | ||||||||||||||||||||||||||
— | 23.00 | 11.39 | 347,954 | 1.02 | N/A | 1.21 | 1.16 | 30 | 3 | |||||||||||||||||||||||||
$ | — | $ | 17.34 | 45.92 | % | $ | 25,526 | 1.10 | %7 | N/A | 1.31 | %7 | 0.88 | %7 | 74 | %8 | ||||||||||||||||||
— | 11.96 | (8.92 | ) | 19,150 | 1.10 | N/A | 1.31 | 0.74 | 123 | |||||||||||||||||||||||||
— | 13.19 | (18.85 | ) | 22,273 | 1.10 | N/A | 1.23 | 0.40 | 79 | |||||||||||||||||||||||||
— | 17.52 | 16.16 | 32,436 | 1.09 | N/A | 1.11 | 0.23 | 80 | ||||||||||||||||||||||||||
— | 16.13 | 4.50 | 30,781 | 1.10 | N/A | 1.29 | 0.30 | 78 | ||||||||||||||||||||||||||
— | 15.50 | 3.74 | 33,929 | 1.10 | N/A | 1.55 | 0.47 | 62 | ||||||||||||||||||||||||||
$ | — | $ | 18.58 | 25.05 | % | $ | 161,442 | 0.97 | %7 | N/A | 1.06 | %7 | 0.94 | %7 | 56 | %8 | ||||||||||||||||||
— | 15.15 | (3.40 | ) | 177,470 | 0.95 | N/A | 1.22 | 0.96 | 118 | |||||||||||||||||||||||||
— | 15.91 | (7.92 | ) | 683,649 | 0.95 | N/A | 1.03 | 1.55 | 97 | |||||||||||||||||||||||||
— | 18.73 | 9.93 | 666,271 | 0.95 | N/A | 1.03 | 0.88 | 80 | ||||||||||||||||||||||||||
— | 17.39 | 13.59 | 590,525 | 0.95 | N/A | 1.04 | 0.84 | 83 | ||||||||||||||||||||||||||
— | 15.60 | 6.90 | 415,999 | 0.95 | N/A | 1.10 | 2.38 | 5 | 80 |
1 | Total return is calculated by assuming a purchase of shares on the first day and a sale of shares on the last day of the period and is not annualized if period is less than one year. |
2 | Redemption fees, if any, are reflected in total return calculations. |
3 | Portfolio turnover rate excludes securities delivered/received from processing redemptions/subscriptions in-kind. |
4 | Amount is less than $0.005. |
5 | Includes a non-recurring dividend. Without this dividend, net investment income per share would have been $0.18. The ratio of net investment income would have been 1.25%. |
6 | Beginning on September 1, 2018, the expense limitation includes acquired fund fees and expenses (AFFE). AFFE are not reflected as expenses in these financial statements and therefore this may cause the net expense ratios after waivers/reimbursements to be lower than the expense limitation in place. |
7 | Annualized |
8 | Not Annualized |
The accompanying notes are an integral part of the financial statements.
Semi-Annual Report 2021 | 67
BOSTON PARTNERS INVESTMENT FUNDS | |
FINANCIAL HIGHLIGHTS (CONTINUED) | Per Share Operating Performance |
Contained below is per share operating performance data for each class of shares outstanding, total investment return, ratios to average net assets and other supplemental data for the respective periods. This information has been derived from information provided in the financial statements.
Net Realized | Net Increase/ | Distributions | ||||||||||||||||||||||||||
and | (Decrease) | Dividends to | to | Total | ||||||||||||||||||||||||
Net Asset | Net | Unrealized | in Net Assets | Shareholders | Shareholders | Dividend and | ||||||||||||||||||||||
Value, | Investment | Gain/ | Resulting | from Net | from Net | Distributions | ||||||||||||||||||||||
Beginning | Income/ | (Loss) on | from | Investment | Realized | to | ||||||||||||||||||||||
of Period | (Loss)* | Investments | Operations | Income | Gains | Shareholders | ||||||||||||||||||||||
Boston Partners Global Long/Short Fund | �� | |||||||||||||||||||||||||||
Institutional Class | ||||||||||||||||||||||||||||
9/1/20 through 2/28/21† | $ | 9.72 | $ | (0.01 | ) | $ | 1.51 | $ | 1.50 | $ | (0.01 | ) | $ | — | $ | (0.01 | ) | |||||||||||
8/31/20 | 10.74 | 0.01 | (0.89 | ) | (0.88 | ) | (0.14 | ) | — | (0.14 | ) | |||||||||||||||||
8/31/19 | 11.52 | 0.07 | (0.65 | ) | (0.58 | ) | — | (0.20 | ) | (0.20 | ) | |||||||||||||||||
8/31/18 | 11.34 | (0.01 | ) | 0.19 | 0.18 | — | — | — | ||||||||||||||||||||
8/31/17 | 10.90 | (0.11 | ) | 0.57 | 0.46 | (0.02 | ) | — | (0.02 | ) | ||||||||||||||||||
8/31/16 | 10.55 | 0.057 | 0.34 | 0.39 | — | (0.04 | ) | (0.04 | ) | |||||||||||||||||||
Investor Class | ||||||||||||||||||||||||||||
9/1/20 through 2/28/21† | $ | 9.61 | $ | (0.02 | ) | $ | 1.48 | $ | 1.46 | $ | — | $ | — | $ | — | |||||||||||||
8/31/20 | 10.61 | (0.02 | ) | (0.88 | ) | (0.90 | ) | (0.10 | ) | — | (0.10 | ) | ||||||||||||||||
8/31/19 | 11.40 | 0.05 | (0.84 | ) | (0.79 | ) | — | — | — | |||||||||||||||||||
8/31/18 | 11.25 | (0.04 | ) | 0.19 | 0.15 | — | — | — | ||||||||||||||||||||
8/31/17 | 10.85 | (0.13 | ) | 0.54 | 0.41 | (0.01 | ) | — | (0.01 | ) | ||||||||||||||||||
8/31/16 | 10.51 | 0.027 | 0.36 | 0.38 | — | (0.04 | ) | (0.04 | ) | |||||||||||||||||||
Boston Partners Emerging Markets Dynamic Equity Fund | ||||||||||||||||||||||||||||
Institutional Class | ||||||||||||||||||||||||||||
9/1/20 through 2/28/21† | $ | 11.23 | $ | (0.05 | ) | $ | 1.52 | $ | 1.47 | $ | (0.94 | ) | $ | — | $ | (0.94 | ) | |||||||||||
8/31/20 | 10.45 | 0.19 | 0.82 | 1.01 | (0.23 | ) | — | (0.23 | ) | |||||||||||||||||||
8/31/19 | 10.49 | 0.04 | (0.03 | ) | 0.01 | — | (0.05 | ) | (0.05 | ) | ||||||||||||||||||
8/31/18 | 12.12 | (0.05 | ) | (0.87 | ) | (0.92 | ) | (0.26 | ) | (0.45 | ) | (0.71 | ) | |||||||||||||||
8/31/17 | 11.15 | (0.07 | ) | 1.96 | 1.89 | (0.82 | ) | (0.10 | ) | (0.92 | ) | |||||||||||||||||
12/15/15** through 8/31/16 | 10.00 | (0.09 | ) | 1.24 | 1.15 | — | — | — | ||||||||||||||||||||
Boston Partners Emerging Markets Fund | ||||||||||||||||||||||||||||
Institutional Class | ||||||||||||||||||||||||||||
9/1/20 through 2/28/21† | $ | 9.79 | $ | 0.02 | $ | 2.38 | $ | 2.40 | $ | (0.08 | ) | $ | — | $ | (0.08 | ) | ||||||||||||
8/31/20 | 9.18 | �� | 0.21 | 0.89 | 1.10 | (0.49 | ) | — | (0.49 | ) | ||||||||||||||||||
8/31/19 | 9.13 | 0.13 | (0.08 | ) | 0.05 | — | — | — | ||||||||||||||||||||
10/17/17** through 8/31/18 | 10.00 | 0.05 | (0.86 | ) | (0.81 | ) | (0.06 | ) | — | (0.06 | ) | |||||||||||||||||
Boston Partners Global Equity Advantage Fund | ||||||||||||||||||||||||||||
Institutional Class | ||||||||||||||||||||||||||||
9/1/20 through 2/28/21† | $ | 9.96 | $ | 0.05 | $ | 2.31 | $ | 2.36 | $ | (0.12 | ) | $ | — | $ | (0.12 | ) | ||||||||||||
8/31/20 | 10.57 | 0.23 | (0.59 | ) | (0.36 | ) | $ | (0.21 | ) | (0.04 | ) | (0.25 | ) | |||||||||||||||
5/29/19** through 8/31/19 | 10.00 | 0.05 | 0.52 | 0.57 | — | — | — |
† | Unaudited. |
* | Calculated based on average shares outstanding, unless otherwise noted. |
** | Commencement of operations. |
^ | Effective January 1, 2016, the Funds do not impose a redemption fee. Prior to January 1, 2016, there was a 1.00% redemption fee on shares redeemed that were held 60 days or less on BP Global Long/Short Fund. The redemption fees were retained by the Funds for the benefit of the remaining shareholders and recorded as paid-in capital. |
The accompanying notes are an integral part of the financial statements.
68 | Semi-Annual Report 2021
BOSTON PARTNERS INVESTMENT FUNDS | |
FINANCIAL HIGHLIGHTS (CONCLUDED) | Per Share Operating Performance |
Ratio of Expenses | ||||||||||||||||||||||||||||||||||
to Average | ||||||||||||||||||||||||||||||||||
Ratio of Expenses | Net Assets | Ratio of Expenses | Ratio of Net | |||||||||||||||||||||||||||||||
to Average | With Waivers, | to Average Net | Investment | |||||||||||||||||||||||||||||||
Net Assets | Reimbursements | Assets Without | Income/(Loss) | |||||||||||||||||||||||||||||||
With Waivers, | and Recoupments | Waivers, | to Average Net | |||||||||||||||||||||||||||||||
Net Asset | Total | Net Assets, | Reimbursements | if any (Excluding | Reimbursements | Assets With | Portfolio | |||||||||||||||||||||||||||
Redemption | Value, End | Investment | End of Period | and Recoupment | Dividend and | and Recoupments | Waivers and | Turnover | ||||||||||||||||||||||||||
Fees*^ | of Period | Return1,2 | (000) | if any8 | Interest Expense) | if any | Reimbursements | Rate | ||||||||||||||||||||||||||
$ | — | $ | 11.21 | 15.41 | % | $ | 111,843 | 2.30 | %5 | 1.83 | %5 | 2.27 | %5 | (0.18 | %)5 | 57 | %6 | |||||||||||||||||
— | 9.72 | (8.30 | ) | 130,857 | 2.46 | 1.75 | 2.46 | 0.07 | 125 | |||||||||||||||||||||||||
— | 10.74 | (5.00 | ) | 611,254 | 2.47 | 1.65 | 2.47 | 0.69 | 99 | |||||||||||||||||||||||||
— | 11.52 | 1.59 | 913,237 | 2.34 | 1.65 | 2.34 | (0.11 | ) | 85 | |||||||||||||||||||||||||
— | 11.34 | 4.26 | 1,008,234 | 2.63 | 1.70 | 2.63 | (0.94 | ) | 109 | |||||||||||||||||||||||||
— | 4 | 10.90 | 3.74 | 853,621 | 2.99 | 1.74 | 2.99 | 0.47 | 7 | 137 | ||||||||||||||||||||||||
$ | — | $ | 11.07 | 15.19 | % | $ | 5,977 | 2.55 | %5 | 2.08 | %5 | 2.52 | %5 | (0.43 | %)5 | 57 | %6 | |||||||||||||||||
— | 9.61 | (8.55 | ) | 6,308 | 2.71 | 2.00 | 2.71 | (0.18 | ) | 125 | ||||||||||||||||||||||||
— | 10.61 | (5.14 | ) | 14,610 | 2.72 | 1.90 | 2.72 | 0.44 | 99 | |||||||||||||||||||||||||
— | 11.40 | 1.33 | 23,987 | 2.59 | 1.90 | 2.59 | (0.36 | ) | 85 | |||||||||||||||||||||||||
— | 11.25 | 3.92 | 34,030 | 2.88 | 1.95 | 2.88 | (1.17 | ) | 109 | |||||||||||||||||||||||||
— | 4 | 10.85 | 3.66 | 31,294 | 3.24 | 1.99 | 3.24 | 0.22 | 7 | 137 | ||||||||||||||||||||||||
$ | — | $ | 11.76 | 13.37 | % | $ | 72,495 | 2.05 | %5 | 1.40 | %5 | 2.34 | %5 | (0.94 | %)5 | 79 | %6 | |||||||||||||||||
— | 11.23 | 9.75 | 60,176 | 1.66 | 1.49 | 2.19 | 1.81 | 219 | ||||||||||||||||||||||||||
— | 10.45 | 0.18 | 58,424 | 1.96 | 1.96 | 2.44 | 0.43 | 186 | ||||||||||||||||||||||||||
— | 10.49 | (8.11 | ) | 58,245 | 2.00 | 2.00 | 2.37 | (0.47 | ) | 222 | ||||||||||||||||||||||||
— | 12.12 | 18.71 | 56,829 | 2.13 | 2.06 | 2.99 | (0.60 | ) | 184 | |||||||||||||||||||||||||
— | 11.15 | 11.50 | 10,938 | 3.87 | 5 | 2.10 | 5 | 7.82 | 5 | (1.26 | )5 | 229 | 3,6 | |||||||||||||||||||||
$ | — | $ | 12.11 | 24.54 | % | $ | 24,394 | 1.00 | %5 | N/A | 1.72 | %5 | 0.32 | %5 | 67 | %6 | ||||||||||||||||||
— | 9.79 | 12.05 | 16,508 | 1.06 | N/A | 2.39 | 2.29 | 177 | ||||||||||||||||||||||||||
— | 9.18 | 0.55 | 9,468 | 1.07 | N/A | 2.89 | 1.41 | 155 | ||||||||||||||||||||||||||
— | 9.13 | (8.11 | ) | 8,296 | 1.10 | 5 | N/A | 2.95 | 5 | 0.58 | 5 | 146 | 6 | |||||||||||||||||||||
�� | ||||||||||||||||||||||||||||||||||
$ | — | $ | 12.20 | 23.79 | % | $ | 43,344 | 0.76 | %5 | N/A | 1.43 | %5 | 0.88 | %5 | 38 | %6 | ||||||||||||||||||
— | 9.96 | (3.53 | ) | 35,037 | 0.58 | N/A | 1.70 | 2.34 | 124 | |||||||||||||||||||||||||
— | 10.57 | 5.70 | 26,429 | 0.25 | N/A | 1.88 | 1.69 | 16 |
1 | Total return is calculated by assuming a purchase of shares on the first day and a sale of shares on the last day of the period and is not annualized if period is less than one year. |
2 | Redemption fees, if any, are reflected in total return calculations. |
3 | Portfolio turnover rate excludes securities delivered/received from processing redemptions/subscriptions in-kind. |
4 | Amount is less than $0.005. |
5 | Annualized. |
6 | Not Annualized. |
7 | Includes a non-recurring dividend. Without this dividend, net investment income (loss) per share would have been $(0.09) and $(0.12) for Institutional Class and Investor Class, respectively. The ratio of net investment income (loss) would have been (0.88)% and (1.13)% for Institutional Class and Investor Class, respectively. |
8 | Beginning on September 1, 2018, the expense limitation includes acquired fund fees and expenses (AFFE). AFFE are not reflected as expenses in these financial statements and therefore this may cause the net expense ratios after waivers/reimbursements to be lower than the expense limitation in place. |
The accompanying notes are an integral part of the financial statements.
Semi-Annual Report 2021 | 69
BOSTON PARTNERS INVESTMENT FUNDS
February 28, 2021
1. | ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES |
The RBB Fund, Inc (“RBB” or the “Company”) was incorporated under the laws of the State of Maryland on February 29, 1988 and is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. RBB is a “series fund,” which is a mutual fund divided into separate portfolios. Each portfolio is treated as a separate entity for certain matters under the 1940 Act, and for other purposes, and a shareholder of one portfolio is not deemed to be a shareholder of any other portfolio. Currently, RBB has thirty-six separate investment portfolios, including Boston Partners Small Cap Value Fund II (“BP Small Cap Value Fund II”), Boston Partners Long/Short Equity Fund (“BP Long/Short Equity Fund”), Boston Partners Long/Short Research Fund (“BP Long/Short Research Fund”), Boston Partners All-Cap Value Fund (“BP All-Cap Value Fund”), Boston Partners Global Equity Fund (“BP Global Equity Fund”), Boston Partners Global Long/Short Fund (“BP Global Long/Short Fund”), Boston Partners Emerging Markets Dynamic Equity Fund (formerly known as Boston Partners Emerging Markets Long/Short Fund) (“BP Emerging Markets Dynamic Equity Fund”), Boston Partners Emerging Markets Fund (“BP Emerging Markets Fund”) and Boston Partners Global Equity Advantage Fund (“BP Global Equity Advantage Fund”) (collectively the “BP Funds”), and WPG Partners Small/Micro Cap Value Fund (“WPG Small/Micro Cap Value Fund” and, collectively with the BP Funds, the “Funds”). As of the end of the reporting period, the Funds (other than the WPG Small/Micro Cap Value Fund, BP Emerging Markets Dynamic Equity Fund, BP Emerging Markets Fund and BP Global Equity Advantage Fund) each offer two classes of shares, Institutional Class and Investor Class. As of the end of the reporting period, Investor Class shares of the BP Global Equity Fund have not been issued. The WPG Small/Micro Cap Value Fund, BP Emerging Markets Dynamic Equity Fund, BP Emerging Markets Fund and BP Global Equity Advantage Fund are single class funds, offering only the Institutional Class of shares.
RBB has authorized capital of one hundred billion shares of common stock of which 87.923 billion shares are currently classified into one hundred and ninety classes of common stock. Each class represents an interest in an active or inactive RBB investment portfolio.
The investment objective of BP Small Cap Value Fund II and BP All-Cap Value Fund is to seek long-term growth of capital primarily through investment in equity securities. The investment objective of BP Global Equity Fund, BP Global/Long Short Fund, BP Emerging Markets Fund, BP Emerging Markets Dynamic Equity Fund and BP Global Equity Advantage Fund is to seek long-term capital growth. The investment objective of BP Long/Short Equity Fund is to seek long-term capital appreciation while reducing exposure to general equity market risk. The investment objective of WPG Small/Micro Cap Value Fund is to seek appreciation by investing primarily in common stocks, securities convertible into common stocks and in special situations. The investment objective of BP Long/Short Research Fund is to seek long-term total return.
The Funds are investment companies and follow accounting and reporting guidance in the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946 “Financial Services-Investment Companies.”
The end of the reporting period for the Funds is February 28, 2021, and the period covered by these Notes to Financial Statements is the six months ended February 28, 2021 (the “current fiscal period”).
PORTFOLIO VALUATION —Each Fund’s net asset value (“NAV”) is calculated once daily at the close of regular trading hours on the New York Stock Exchange (“NYSE”) (generally 4:00 p.m Eastern time) on each day the NYSE is open. Securities held by a Fund are valued using the closing price or the last sale price on a national securities exchange or the National Association of Securities Dealers Automatic Quotation System (“NASDAQ”) market system where they are primarily traded. Equity securities traded in the over-the-counter (“OTC”) market are valued at their closing prices. If there were no transactions on that day, securities traded principally on an exchange or on NASDAQ will be valued at the mean of the last bid and ask prices prior to the market close. Fixed income securities are valued using an independent pricing service, which considers such factors as security prices, yields, maturities and ratings, and are deemed representative of market values at the close of the market. Foreign securities are valued based on prices from the primary market in which they are traded, and are translated from the local currency into U.S. dollars using current exchange rates. Investments in other open-end investment companies, if any, are valued based on the NAV of the investment companies (which may use fair value pricing as disclosed in their prospectuses). Options for which the primary market is a national securities exchange are valued at the last sale price on the exchange on which they are traded, or, in the absence of any sale, will be valued at the mean of the last bid and ask prices prior to the market close. Options not traded on a national securities exchange are valued at the last quoted bid price for long option positions and the closing ask price for short option positions. If market quotations are unavailable or deemed unreliable, securities will be valued in accordance with procedures adopted by the Company’s Board of Directors (the “Board”). Relying on prices supplied by pricing services or dealers or using fair valuation may result in values that are higher or lower than the values used by other investment companies and investors to price the same investments Such procedures use fundamental valuation methods, which may include, but are not limited to, an analysis of the effect of any restrictions on the resale of the security, industry analysis and trends, significant changes in the issuer’s financial position, and any other event which could have a significant impact on the value of the security. Determination of fair value involves subjective judgment as the actual market value of a particular security can be established only by negotiations between the parties in a sales transaction, and the difference between the recorded fair value and the value that would be received in a sale could be significant. The Funds may use fair value pricing more frequently for securities traded primarily in non-U.S. markets because, among other things, most foreign markets close well before the Funds value their securities, generally as of 4:00 p.m. Eastern time. The earlier close of these foreign markets gives rise to the possibility that significant events, including broad market moves, government actions or pronouncements,
70 | Semi-Annual Report 2021
BOSTON PARTNERS INVESTMENT FUNDS
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
February 28, 2021
aftermarket trading, or news events may have occurred in the interim. To account for this, the Funds may value foreign securities using fair value prices based on third-party vendor modeling tools (international fair value pricing).
FAIR VALUE MEASUREMENTS — The inputs and valuation techniques used to measure the fair value of the Funds’ investments are summarized into three levels as described in the hierarchy below:
• | Level 1 — | Prices are determined using quoted prices in active markets for identical securities. | |
• | Level 2 — | Prices are determined using other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.). | |
• | Level 3 — | Prices are determined using significant unobservable inputs (including the Funds’ own assumptions in determining the fair value of investments). |
The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
A summary of the inputs used to value each Fund’s investments as of the end of the reporting period is included in each Fund’s Portfolio of Investments.
At the end of each quarter, management evaluates the classification of Levels 1, 2 and 3 assets and liabilities. Various factors are considered, such as changes in liquidity from the prior reporting period; whether or not a broker is willing to execute at the quoted price; the depth and consistency of prices from third party pricing services; and the existence of contemporaneous, observable trades in the market. Additionally, management evaluates the classification of Level 1, 2 and 3 assets and liabilities on a quarterly basis for changes in listings or delistings on national exchanges.
Due to the inherent uncertainty of determining the fair value of investments that do not have a readily available market value, the fair value of the Funds’ investments may fluctuate from period to period. Additionally, the fair value of investments may differ significantly from the values that would have been used had a ready market existed for such investments and may differ materially from the values the Funds may ultimately realize. Further, such investments may be subject to legal and other restrictions on resale or otherwise less liquid than publicly traded securities.
For fair valuations using significant unobservable inputs, U.S. generally accepted accounting principles (“U.S. GAAP”) requires each Fund to present a reconciliation of the beginning to ending balances for reported market values that presents changes attributable to total realized and unrealized gains or losses, purchase and sales, and transfers in and out of Level 3 during the period. Transfers in and out between levels are based on values at the end of the period. A reconciliation of Level 3 investments is presented only when a Fund had an amount of Level 3 investments at the end of the reporting period that was meaningful in relation to its net assets. The amounts and reasons for all Level 3 transfers are disclosed if a Fund had an amount of total Level 3 transfers during the reporting period that was meaningful in relation to its net assets as of the end of the reporting period.
During the current fiscal year, the Funds had no significant level 3 investments or transfers.
USE OF ESTIMATES — The preparation of financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates and those differences could be significant.
INVESTMENT TRANSACTIONS, INVESTMENT INCOME AND EXPENSES — The Funds record security transactions based on trade date for financial reporting purposes. The cost of investments sold is determined by use of the specific identification method for both financial reporting and income tax purposes in determining realized gains and losses on investments. Interest income (including amortization of premiums and accretion of discounts) is accrued when earned. Dividend income is recorded on the ex-dividend date. Distributions received on securities that represent a return of capital or capital gain are recorded as a reduction of cost of investments and/or as a realized gain. The Funds’ investment income, expenses (other than class specific expenses) and unrealized and realized gains and losses are allocated daily to each class of shares based upon the relative proportion of net assets of each class at the beginning of the day. Expenses incurred on behalf of a specific class, fund or fund family of the Company are charged directly to the class, fund or fund family (in proportion to net assets). Expenses incurred for all of the RBB funds (such as director or professional fees) are charged to all funds in proportion to their average net assets of RBB, or in such other manner as the Board deems fair or equitable. Offering costs are amortized for a new fund and accrued over a 12-month period from the inception date of the fund. Offering costs are charged directly to the fund in which they are incurred. Expenses and fees, including investment advisory, offering costs, and administration fees, are accrued daily and taken into account for the purpose of determining the NAV of the Funds.
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS — Dividends from net investment income and distributions from net realized capital gains, if any, are declared and paid at least annually to shareholders and recorded on the ex-dividend date. Income dividends and capital gain distributions are determined in accordance with U.S. federal income tax regulations which may differ from U.S. GAAP.
U.S. TAX STATUS — No provision is made for U.S. income taxes as it is each Fund’s intention to qualify or continue to qualify for and elect the tax treatment applicable to regulated investment companies under Subchapter M of the Internal Revenue Code of 1986, as amended, and make the requisite distributions to its shareholders which will be sufficient to relieve it from U.S. income and excise taxes.
Semi-Annual Report 2021 | 71
BOSTON PARTNERS INVESTMENT FUNDS
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
February 28, 2021
FOREIGN CURRENCY TRANSLATION — Assets and liabilities initially expressed in non-U.S. currencies are translated into U.S. dollars based on the applicable exchange rates at the date of the last business day of the financial statement period. Purchases and sales of securities, interest income, dividends, variation margin received and expenses denominated in foreign currencies are translated into U.S. dollars at the exchange rates in effect on the transaction date.
The Funds do not separately report the effect of changes in foreign exchange rates from changes in market prices of securities held. Such changes are included with the net realized gain or loss and change in unrealized appreciation or depreciation on investments in the Statements of Operations. Other foreign currency transactions resulting in realized and unrealized gain or loss are reported separately as net realized gain or loss and change in unrealized appreciation or depreciation on foreign currencies in the Statements of Operations.
CASH AND CASH EQUIVALENTS — Cash and cash equivalents are valued at cost plus accrued interest, which approximates market value.
OTHER — In the normal course of business, the Funds may enter into contracts that provide general indemnifications. Each Fund’s maximum exposure under these arrangements is dependent on claims that may be made against the Funds in the future, and, therefore, cannot be estimated; however, the Funds expect the risk of material loss from such claims to be remote.
CURRENCY RISK — The Funds invest in securities of foreign issuers, including American Depositary Receipts. These markets are subject to special risks associated with foreign investments not typically associated with investing in U.S. markets. Because the foreign securities in which the Funds may invest generally trade in currencies other than the U.S. dollar, changes in currency exchange rates will affect the Funds’ NAV, the value of dividends and interest earned and gains and losses realized on the sale of securities. Because the NAV for the Funds are determined on the basis of U.S. dollars, the Funds may lose money by investing in a foreign security if the local currency of a foreign market depreciates against the U.S. dollar, even if the local currency value of the Funds’ holdings goes up. Generally, a strong U.S. dollar relative to these other currencies will adversely affect the value of the Funds’ holdings in foreign securities.
EMERGING MARKETS RISK — The BP Emerging Markets Dynamic Equity Fund and the BP Emerging Markets Fund invest in emerging market instruments which are subject to certain credit and market risks. The securities and currency markets of emerging market countries are generally smaller, less developed, less liquid and more volatile than the securities and currency markets of the United States and other developed markets. Disclosure and regulatory standards in many respects are less stringent than in other developed markets. There also may be a lower level of monitoring and regulation of securities markets in emerging market countries and the activities of investors in such markets and enforcement of existing regulations may be extremely limited. Political and economic structures in many of these countries may be in their infancy and developing rapidly, and such countries may lack the social, political and economic stability characteristics of more developed countries.
FOREIGN SECURITIES MARKET RISK — Securities of many non-U.S. companies may be less liquid and their prices more volatile than securities of comparable U.S. companies. Securities of companies traded in many countries outside the U.S., particularly emerging markets countries, may be subject to further risks due to the inexperience of local investment professionals and financial institutions, the possibility of permanent or temporary termination of trading and greater spreads between bid and asked prices of securities. In addition, non-U.S. stock exchanges and investment professionals are subject to less governmental regulation, and commissions may be higher than in the United States. Also, there may be delays in the settlement of non-U.S. stock exchange transactions.
CORONAVIRUS (COVID-19) PANDEMIC — The global outbreak of COVID-19 (commonly referred to as “coronavirus”) has disrupted economic markets and the prolonged economic impact is uncertain. The ultimate economic fallout from the pandemic, and the long-term impact on economies, markets, industries and individual issuers are not known. The operational and financial performance of the issuers of securities in which the Funds invest depends on future developments, including the duration and spread of the outbreak, and such uncertainty may in turn adversely affect the value and liquidity of the Funds’ investments, impair the Funds’ ability to satisfy redemption requests, and negatively impact the Funds’ performance.
OPTIONS WRITTEN — The Funds may enter into options written for: bona fide hedging; attempting to offset changes in the value of securities held or expected to be acquired or be disposed of; attempting to minimize fluctuations in foreign currencies; attempting to gain exposure to a particular market, index or instrument; or other risk management purposes. Such options may relate to particular securities or domestic stock indices, and may or may not be listed on exchanges regulated by the Commodity Futures Trading Commission or on other non-U.S. exchanges. An option on a futures contract gives the purchaser the right, in return for the premium paid, to assume a position in the contract (a long position if the option is a call and a short position if the option is a put) at a specified exercise price at any time during the option exercise period. The writer of the option is required upon exercise to assume a short futures position (if the option is a call) or a long futures position (if the option is a put). Upon exercise of the option, the accumulated cash balance in the writer’s futures margin account is delivered to the holder of the option. That balance represents the amount by which the market price of the futures contract at exercise exceeds, in the case of a call, or is less than, in the case of a put, the exercise price of the option. The maximum risk of loss associated with writing put options is limited to the exercised fair value of the option contract. The maximum risk of loss associated with writing call options is potentially unlimited. The Funds also have the additional risk of being unable to enter into a closing transaction at an acceptable price if a liquid secondary market does not exist. The Funds also may write OTC options where completing the obligation depends upon the credit standing of the other party. Option contracts also involve the risk that they may result in loss due to unanticipated developments in market conditions or other causes. Written options are initially recorded as liabilities to the extent of premiums received and subsequently marked to market to reflect the current value of the option written. Gains
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BOSTON PARTNERS INVESTMENT FUNDS
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
February 28, 2021
or losses are realized when the option transaction expires or closes. When an option is exercised, the proceeds on sales for a written call option or the purchase cost for a written put option is adjusted by the amount of the premium received. Listed option contracts present minimal counterparty credit risk since they are exchange traded and the exchange’s clearinghouse, as counterparty to all exchange-traded options, guarantees the options against default. As of the end of the reporting period, all of the Funds’ written options are exchange-traded options.
During the current fiscal period, the Funds’ average quarterly volume of options transactions was as follows:
FUND | PURCHASED OPTIONS (COST) | WRITTEN OPTIONS (PROCEEDS) | |||||||
BP Long/Short Equity Fund | $ | — | $ | 329,021 | |||||
BP Global Long/Short Fund | — | 995,800 |
SHORT SALES — When the investment adviser believes that a security is overvalued, the BP Long/Short Equity Fund, the BP Long/Short Research Fund, the BP Global Long/Short Fund and the BP Emerging Markets Dynamic Equity Fund may sell the security short by borrowing the same security from a broker or other institution and selling the security. A Fund will incur a loss as a result of a short sale if the price of the borrowed security increases between the date of the short sale and the date on which the Fund buys and replaces such borrowed security. A Fund will realize a gain if there is a decline in price of the security between those dates where the decline in price exceeds the costs of borrowing the security and other transaction costs. There can be no assurance that a Fund will be able to close out a short position at any particular time or at an acceptable price. Although a Fund’s gain is limited to the amount at which it sold a security short, its potential loss is unlimited. Until a Fund replaces a borrowed security, it will maintain at all times cash, U.S. Government securities, or other liquid securities in an amount which, when added to any amount deposited with a broker as collateral, will at least equal the current market value of the security sold short. Depending on arrangements made with brokers, a Fund may not receive any payments (including interest) on collateral deposited with them.
In accordance with the terms of its prime brokerage agreements, a Fund may receive rebate income or be charged a fee for 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 Funds record these prime broker charges on a net basis as interest income or interest expense. During the current fiscal period, the BP Long/Short Equity Fund, the BP Long/Short Research Fund, the BP Global Long/Short Fund and the BP Emerging Markets Dynamic Equity Fund had net income/(charges) of $(185,243), $(841,360), $(90,830) and $(141,568), respectively, on borrowed securities. Such amounts are included in prime broker interest expense on the Statements of Operations.
As of the end of the reporting period, BP Long/Short Equity Fund, BP Long/Short Research Fund, BP Global Long/Short Fund and BP Emerging Markets Dynamic Equity Fund had securities sold short valued at $26,708,532, $300,828,621 $32,057,853 and $6,766,278, respectively, for which securities of $29,152,853, $271,434,804, $23,245,733 and $11,288,079 and deposits of $27,420,574, $295,947,108, $31,992,320 and $6,654,853, respectively, were pledged as collateral.
In accordance with Special Custody and Pledge Agreements with Goldman Sachs & Co. (“Goldman Sachs”) (the Funds’ prime broker), BP Long/Short Equity Fund, BP Long/Short Research Fund, BP Global Long/Short Fund and BP Emerging Markets Dynamic Equity Fund may borrow from Goldman Sachs to the extent necessary to maintain required margin cash deposits on short positions. Interest on such borrowings is charged to the Fund based on the LIBOR rate plus an agreed upon spread.
The BP Long/Short Equity Fund, BP Long/Short Research Fund, BP Global Long/Short Fund and BP Emerging Markets Dynamic Equity Fund utilized cash borrowings from Goldman Sachs to meet required margin cash deposits as follows during the current fiscal period:
BP LONG/SHORT EQUITY FUND | BP LONG/SHORT RESEARCH FUND | |||||||||||||||
DAYS UNITIZED | AVERAGE DAILY BORROWINGS | WEIGHTED AVERAGE INTEREST RATE | DAYS UNITIZED | AVERAGE DAILY BORROWINGS | WEIGHTED AVERAGE INTEREST RATE | |||||||||||
179 | EUR 6,588 | 0.14% | 92 | AUD 692,314 | 0.47% | |||||||||||
179 | USD 3,079,837 | 0.51% | 119 | CAD 5 | 0.00% | |||||||||||
108 | CHF 170,771 | 0.37% | ||||||||||||||
149 | EUR 573,564 | 0.14% | ||||||||||||||
163 | GBP 621,508 | 0.45% | ||||||||||||||
162 | HKD 7,405,947 | 0.51% | ||||||||||||||
143 | ILS 169,450 | 0.52% | ||||||||||||||
152 | JPY 138,817,828 | 0.38% | ||||||||||||||
179 | MXN 0 | 0.00% | ||||||||||||||
98 | NOK 1,762,518 | 0.42% | ||||||||||||||
116 | SEK 908,312 | 0.37% | ||||||||||||||
99 | USD 8,955,009 | 0.51% |
Semi-Annual Report 2021 | 73
BOSTON PARTNERS INVESTMENT FUNDS
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
February 28, 2021
BP GLOBAL LONG/SHORT FUND | BP EMERGING MARKETS DYNAMIC EQUITY FUND | |||||||||||||||
DAYS UNITIZED | AVERAGE DAILY BORROWINGS | WEIGHTED AVERAGE INTEREST RATE | DAYS UNITIZED | AVERAGE DAILY BORROWINGS | WEIGHTED AVERAGE INTEREST RATE | |||||||||||
33 | AUD 7,627 | 0.54% | 1 | EUR 4,598 | 0.16% | |||||||||||
25 | CAD 10,899 | 0.62% | 1 | HKD 343,422 | 0.58% | |||||||||||
1 | GBP 133,516 | 0.45% | 140 | USD 110,868 | 0.51% | |||||||||||
20 | HKD 20,041 | 0.49% | ||||||||||||||
137 | JPY 2,022,972 | 0.38% | ||||||||||||||
20 | SEK 59,125 | 0.37% | ||||||||||||||
111 | USD 136,792 | 0.51% |
The BP Long/Short Equity Fund, BP Long/Short Research Fund, BP Global Long/Short Fund and BP Emerging Markets Dynamic Equity Fund incurred interest expense during the current fiscal period on such borrowings, in the amount of $7,824, $19,085, $254 and $221, respectively.
CONTRACTS FOR DIFFERENCE — The BP Long/Short Research Fund, BP Global Long/Short Fund, BP Emerging Markets Dynamic Equity Fund and BP Emerging Markets Fund (for this section only, each a “Fund”) may enter into Contracts for Differences (“CFDs”). CFDs are leveraged derivative instruments that allow a Fund to take a position on the change in the market price of an underlying asset, such as a stock, or the value of an index or currency exchange rate. With a short CFD, a Fund is seeking to profit from falls in the market price of the asset. CFDs are subject to liquidity risk because the liquidity of CFDs is based on the liquidity of the underlying instrument, and are subject to counterparty risk, i.e., the risk that the counterparty to the CFD transaction may be unable or unwilling to make payments or to otherwise honor its financial obligations under the terms of the contract. It is also possible that the market price of the CFD will move between the time the order is placed by a Fund and when it is executed by the issuer, which can result in the trade being executed at a less favorable price. CFDs, like many other derivative instruments, involve the risk that, if the derivative security declines in value, additional margin would be required to maintain the margin level. The seller may require a Fund to deposit additional sums to cover this decline in value, and the margin call may be at short notice. If additional margin is not provided in time, the seller may liquidate the positions at a loss for which a Fund is liable. The potential for margin calls and large losses are much greater in CFDs than in other leveraged products. Most CFDs are traded OTC. CFDs are not registered with the SEC or any U.S. regulator, and are not subject to U.S. regulation. In a short position, the Fund will receive or pay an amount based upon the amount, if any, by which the notional amount of the CFD would have decreased or increased in value had it sold the particular stocks short, less the dividends that would have been paid on those stocks, plus a floating rate of interest on the notional amount of the CFD. All of these components are reflected in the market value of the CFD.
CFDs are marked-to-market daily based upon quotations from market makers and the resulting changes in market values, if any, are recorded as an unrealized gain or loss in the Statements of Operations. Periodic payments made or received are recorded as realized gains or losses. Entering into CFDs involves, to varying degrees, elements of credit and market risk in excess of the amounts recognized on the Statements of Assets and Liabilities. Such risks involve the possibility that there will be no liquid market for these contracts, that the counterparty to the contract may default on its obligation to perform and that there may be unfavorable changes in market conditions. CFDs outstanding at period end, if any, are listed on the Portfolio of Investments. As of the end of the reporting period, BP Long/Short Research Fund, BP Global Long/Short Fund and BP Emerging Markets Dynamic Equity Fund had cash deposits for contracts for difference of $470,000, $110,000 and $2,695,801, respectively, which were pledged as collateral. In connection with CFDs, cash or securities may be segregated as collateral by the Funds’ custodian. As of the end of the reporting period, the BP Long/Short Research Fund, BP Global Long/Short Fund, BP Emerging Markets Dynamic Equity Fund and the BP Emerging Markets Fund held CFDs.
During the current fiscal period, the average volume of CFDs was as follows:
FUND | NOTIONAL AMOUNT LONG | NOTIONAL AMOUNT SHORT | ||||||
BP Long/Short Research Fund | $ | 4,227,757 | $ | 18,750,640 | ||||
BP Global Long/Short Fund | 913,256 | 3,873,297 | ||||||
BP Emerging Markets Dynamic Equity Fund | 18,732,987 | 20,792,290 | ||||||
BP Emerging Markets Fund | 1,350,815 | — |
74 | Semi-Annual Report 2021
BOSTON PARTNERS INVESTMENT FUNDS
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
February 28, 2021
The following is a summary of CFD’s that are subject to enforceable master netting agreements (or similar arrangements) and collateral received and pledged in connection with the master netting agreements (or similar arrangements) as of the end of the reporting period:
GROSS AMOUNT NOT OFFSET IN THE STATEMENTS OF ASSETS AND LIABILITIES | GROSS AMOUNT NOT OFFSET IN THE STATEMENTS OF ASSETS AND LIABILITIES | |||||||||||||||||||||||||||||||
FUND | GROSS AMOUNTS OF RECOGNIZED ASSETS | FINANCIAL INSTRUMENTS | CASH COLLATERAL RECEIVED | NET AMOUNT1 | GROSS AMOUNTS OF RECOGNIZED LIABILITIES | FINANCIAL INSTRUMENTS | CASH COLLATERAL PLEDGED2 | NET AMOUNT3 | ||||||||||||||||||||||||
BP Long/Short Research Fund | ||||||||||||||||||||||||||||||||
Goldman Sachs | $ | 239,806 | $ | 28,497 | $ | — | $ | 211,309 | $ | 28,497 | $ | 28,497 | $ | — | $ | — | ||||||||||||||||
Macquarie | 44,010 | — | — | 44,010 | — | — | 470,000 | — | ||||||||||||||||||||||||
Morgan Stanley | 15,307 | — | — | 15,307 | — | — | — | — | ||||||||||||||||||||||||
Total | $ | 299,123 | $ | 28,497 | $ | — | $ | 270,626 | $ | 28,497 | $ | 28,497 | $ | 470,000 | $ | — | ||||||||||||||||
BP Global Long/Short Fund | ||||||||||||||||||||||||||||||||
Goldman Sachs | $ | 199,435 | $ | 126,858 | $ | — | $ | 72,577 | $ | 126,858 | $ | 126,858 | $ | — | $ | — | ||||||||||||||||
Macquarie | 29,432 | 18,138 | — | 11,294 | 18,138 | 18,138 | 110,000 | — | ||||||||||||||||||||||||
Morgan Stanley | 8,124 | 8,124 | — | — | 1,200 | 8,124 | — | — | ||||||||||||||||||||||||
Total | $ | 236,991 | $ | 153,120 | $ | — | $ | 83,871 | $ | 146,196 | $ | 153,120 | $ | 110,000 | $ | — | ||||||||||||||||
BP Emerging Markets Dynamic Equity Fund | ||||||||||||||||||||||||||||||||
Goldman Sachs | $ | 656,835 | $ | 656,835 | $ | — | $ | — | $ | 1,742,768 | $ | 656,835 | $ | 765,157 | $ | 320,776 | ||||||||||||||||
HSBC | 187,973 | 87,970 | — | 100,003 | 87,970 | 87,970 | 380,000 | — | ||||||||||||||||||||||||
Macquarie | 2,264 | — | — | 2,264 | — | — | 4,859 | — | ||||||||||||||||||||||||
Morgan Stanley | 237,396 | 25,788 | — | 211,608 | 25,788 | 25,788 | 1,545,785 | — | ||||||||||||||||||||||||
Total | $ | 1,084,468 | $ | 770,593 | $ | — | $ | 313,875 | $ | 1,856,526 | $ | 770,593 | $ | 2,695,801 | $ | 320,776 | ||||||||||||||||
BP Emerging Markets Fund | ||||||||||||||||||||||||||||||||
Goldman Sachs | $ | 37,326 | $ | 27,175 | $ | — | $ | 10,151 | $ | 27,175 | $ | 27,175 | $ | — | $ | — | ||||||||||||||||
Total | $ | 37,326 | $ | 27,175 | $ | — | $ | 10,151 | $ | 27,175 | $ | 27,175 | $ | — | $ | — |
1 | Net amount represents the net amount receivable from the counterparty in the event of default. |
2 | Actual collateral pledged may be more than the amount shown. |
3 | Net amount represents the net amount payable to the counterparty in the event of default. |
2. | INVESTMENT ADVISERS AND OTHER SERVICES |
Boston Partners Global Investors, Inc. (“Boston Partners” or the “Adviser”) serves as the investment adviser to each Fund. Each Fund compensates the Adviser for its services at an annual rate based on the Fund’s average daily net assets (the “Advisory Fee”), payable on a monthly basis in arrears, as shown in the following table. Campbell & Company Investment Adviser LLC is a co-adviser to BP Global Equity Advantage Fund and is entitled to 50% of the Advisory Fee.
The Adviser has contractually agreed to waive advisory fees and/or reimburse expenses to the extent that total annual Fund operating expenses (excluding certain items discussed below) exceed the rates (“Expense Caps”) shown in the following table of each Fund’s average daily net assets. In determining the Adviser’s obligation to waive advisory fees and/or reimburse expenses, the following expenses are not taken into account and could cause total annual Fund operating expenses to exceed the Expense Caps as applicable: short sale dividend expense, brokerage commissions, extraordinary expenses, interest and taxes. This contractual limitation for all the Funds (other than the BP Global Equity Advantage Fund) is in effect until February 28, 2022 and may not be terminated without the approval of the Board. For the BP Global Equity Advantage Fund, the contractual limitation is in effect until December 31, 2021 and may not be terminated without the approval of the Board. The Adviser may discontinue these arrangements at any time after these dates.
EXPENSE CAPS | ||||||||||||
FUND | ADVISORY FEE | INSTITUTIONAL CLASS | INVESTOR CLASS | |||||||||
BP Small Cap Value Fund II | 0.85 | % | 0.99 | % | 1.24 | % | ||||||
BP Long/Short Equity Fund | 2.25 | 1.96 | 2.21 | |||||||||
BP Long/Short Research Fund | 1.25 | 1.50 | 1.75 | |||||||||
BP All-Cap Value Fund | 0.70 | 0.80 | 1.05 | |||||||||
WPG Partners Small/Micro Cap Value Fund* | 0.80 | 1.10 | N/A | |||||||||
BP Global Equity Fund | 0.90 | 0.95 | 1.20 | |||||||||
BP Global Long/Short Fund | 1.50 | 2.00 | 2.25 | |||||||||
BP Emerging Markets Dynamic Equity Fund | 1.25 | 1.40 | N/A | |||||||||
BP Emerging Markets Fund | 0.75 | 1.00 | N/A | |||||||||
BP Global Equity Advantage Fund | 1.00 | 1.05 | N/A |
* | 0.80% of net asset up to $500 million, 0.75% of net assets in excess of $500 million. |
Semi-Annual Report 2021 | 75
BOSTON PARTNERS INVESTMENT FUNDS
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
February 28, 2021
The Adviser may recoup from each Fund fees and expenses previously paid, waived, or absorbed for a period of three years after such fees or expenses were incurred, provided that the repayments do not cause the Funds’ operating expenses (excluding brokerage commissions, short sale dividend expense, taxes, interest expense, and any extraordinary expenses) to exceed the Expense Caps of each class of each Fund that were in effect at the time the fees and expenses were paid, waived, or absorbed by the Adviser, as well as the Expense Caps that are currently in effect, if different.
During the current fiscal period, investment advisory fees accrued, waived and/or reimbursed were as follows:
FUND | GROSS ADVISORY FEES | WAIVERS AND/OR REIMBURSEMENTS* | RECOUPMENTS | NET ADVISORY FEES | ||||||||||||
BP Small Cap Value Fund II | $ | 2,835,689 | $ | (37,502 | ) | $1,220 | $ | 2,799,407 | ||||||||
BP Long/Short Equity Fund | 799,763 | (185,928 | ) | — | 613,835 | |||||||||||
BP Long/Short Research Fund | 5,698,410 | — | — | 5,698,410 | ||||||||||||
BP All-Cap Value Fund | 4,644,477 | (277,618 | ) | — | 4,366,859 | |||||||||||
WPG Partners Small/Micro Cap Value Fund | 85,016 | (22,801 | ) | — | 62,215 | |||||||||||
BP Global Equity Fund | 663,366 | (71,072 | ) | — | 592,294 | |||||||||||
BP Global Long/Short Fund | 924,184 | — | — | 924,184 | ||||||||||||
BP Emerging Markets Dynamic Equity Fund | 415,098 | (95,428 | ) | — | 319,670 | |||||||||||
BP Emerging Markets Fund | 72,497 | (69,774 | ) | — | 2,723 | |||||||||||
BP Global Equity Advantage Fund | 189,994 | (127,790 | ) | — | 62,204 |
As of the end of the reporting period, the Funds had amounts available for recoupment as follows:
FUND | August 31, 2022 | August 31, 2023 | August 31, 2024 | TOTAL | ||||||||||||
BP Small Cap Value Fund II | $ | 406,176 | $ | 148,231 | $ | 37,502 | $ | 591,909 | ||||||||
BP Long/Short Equity Fund | 45,543 | 185,928 | 185,928 | 417,399 | ||||||||||||
BP All-Cap Value Fund | 476,070 | 277,618 | 277,618 | 1,031,306 | ||||||||||||
WPG Partners Small/Micro Cap Value Fund | 35,330 | 22,801 | 22,801 | 80,932 | ||||||||||||
BP Global Equity Fund | 608,508 | 71,072 | 71,072 | 750,652 | ||||||||||||
BP Emerging Markets Dynamic Equity Fund | 291,221 | 95,428 | 95,428 | 482,077 | ||||||||||||
BP Emerging Markets Fund | 162,027 | 69,774 | 69,774 | 301,575 | ||||||||||||
BP Global Equity Advantage Fund | 110,276 | 127,790 | 127,790 | 365,856 |
* | Includes Acquired fund fees and expenses. Acquired fund fees and expenses are indirect fees and expenses that the Fund incurs from investing in the shares of other mutual funds, including money market funds and exchange traded funds. |
U.S. Bancorp Fund Services, LLC (“Fund Services”), doing business as U.S. Bank Global Fund Services, serves as administrator for the Funds. For providing administrative and accounting services, Fund Services is entitled to receive a monthly fee, subject to certain minimum and out of pocket expenses.
Fund Services serves as the Funds’ transfer and dividend disbursing agent. For providing transfer agent services, Fund Services is entitled to receive a monthly fee, subject to certain minimum and out of pocket expenses.
U.S. Bank, N.A. (the “Custodian”) provides certain custodial services to the Funds. The Custodian is entitled to receive a monthly fee, subject to certain minimum and out of pocket expenses.
Quasar Distributors, LLC (the “Distributor”), a wholly-owned broker-dealer subsidiary of Foreside Financial Group, LLC, serves as the principal underwriter and distributor of the Funds’ shares pursuant to a Distribution Agreement with RBB.
For compensation amounts paid to Fund Services and the Custodian, please refer to the Statements of Operations.
The Board has approved a Distribution Agreement for the Funds and adopted separate Plans of Distribution for the Investor Class Shares of each BP Fund (the “Plans”) pursuant to Rule 12b-1 under the 1940 Act. Under the Plans, Quasar Distributors, LLC (the “Underwriter”) is entitled to receive from each Fund a distribution fee with respect to the Investor Class Shares, which is accrued daily and paid monthly, of up to 0.25% on an annualized basis of the average daily net assets of the Investor Class Shares. Amounts paid to the Distributor under the Plans may be used by the Distributor to cover expenses that are related to (i) the sale of the Investor Class Shares, (ii) ongoing servicing and/or maintenance of the accounts of shareholders, and (iii) sub-transfer agency services, subaccounting services or administrative services related to the sale of the Investor Class Shares, all as set forth in the Plans.
3. | DIRECTOR AND OFFICER COMPENSATION |
The Directors of the Company receive an annual retainer and meeting fees for meetings attended. An employee of Vigilant Compliance, LLC serves as President and Chief Compliance Officer of the Company. Vigilant Compliance, LLC is compensated for the services provided to the Company. Employees of RBB serve as Treasurer, Secretary and Director of Marketing & Business Development of the Company. They are compensated for services provided. Certain employees of Fund Services serve as officers of the Company. They are not compensated by the Funds or the Company. For Director and Officer compensation amounts, please refer to the Statements of Operations.
76 | Semi-Annual Report 2021
BOSTON PARTNERS INVESTMENT FUNDS
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
february 28, 2021
4. PURCHASES AND SALES OF INVESTMENT SECURITIES
During the current fiscal period, aggregate purchases and sales of investment securities (excluding short-term investments and derivative transactions) of the Funds were as follows:
FUND | PURCHASES | SALES | ||||||
BP Small Cap Value Fund II | $ | 119,688,340 | $ | 122,041,932 | ||||
BP Long/Short Equity Fund | 10,112,462 | 50,177,890 | ||||||
BP Long/Short Research Fund | 268,065,269 | 819,948,377 | ||||||
BP All-Cap Value Fund | 408,426,104 | 398,304,327 | ||||||
WPG Partners Small/Micro Cap Value Fund | 15,367,338 | 17,691,405 | ||||||
BP Global Equity Fund | 81,219,972 | 124,956,255 | ||||||
BP Global Long/Short Fund | 67,213,727 | 121,473,392 | ||||||
BP Emerging Markets Dynamic Equity Fund | 38,730,526 | 40,123,602 | ||||||
BP Emerging Markets Fund | 15,581,035 | 11,731,136 | ||||||
BP Global Equity Advantage Fund | 14,530,675 | 14,193,824 |
There were no purchases or sales of long-term U.S. Government securities during the current fiscal period.
5. CAPITAL SHARE TRANSACTIONS
As of the end of the reporting period, each class of each Fund has 100,000,000 shares of $0.001 par value common stock authorized except for the Institutional Class Shares of the BP Long/Short Research Fund, BP Global Long/Short Fund and WPG Small/Micro Cap Value Fund, which have 750,000,000 shares, 300,000,000 shares and 50,000,000 shares, respectively, of $0.001 par value common stock authorized.
6. RESTRICTED SECURITIES
Each Fund may invest in securities that are subject to legal or contractual restrictions on resale. These securities generally may be resold in transactions exempt from registration or to the public if the securities are registered. Disposal of these securities may involve time-consuming negotiations and expense, and prompt sale at an acceptable price may be difficult. Information regarding restricted securities, if applicable, is included at the end of each Fund’s Schedule of Investments.
As of the end of the reporting period, the Funds did not hold any restricted securities that were illiquid.
7. FEDERAL INCOME TAX INFORMATION
The Funds have followed the authoritative guidance on accounting for and disclosure of uncertainty in tax positions, which requires the Funds to determine whether a tax position is more likely than not to be sustained upon examination, including resolution of any related appeals or litigation processes, based on the technical merits of the position. The Funds have determined that there was no effect on the financial statements from following this authoritative guidance. In the normal course of business, the Funds are subject to examination by federal, state and local jurisdictions, where applicable, for tax years for which applicable statutes of limitations have not expired.
As of August 31, 2020, the federal tax cost and aggregate gross unrealized appreciation and depreciation of investments held by each Fund were as follows:
FUND | FEDERAL TAX COST | UNREALIZED APPRECIATION | UNREALIZED (DEPRECIATION) | NET UNREALIZED APPRECIATION/ (DEPRECIATION) | ||||||||||||
BP Small Cap Value Fund II | $ | 552,034,919 | $ | 131,481,178 | $ | (49,151,254 | ) | $ | 82,329,924 | |||||||
BP Long/Short Equity Fund | 73,979,493 | 26,610,917 | (11,703,093 | ) | 14,907,824 | |||||||||||
BP Long/Short Research Fund | 890,136,870 | 348,689,861 | (182,433,757 | ) | 166,256,104 | |||||||||||
BP All-Cap Value Fund | 1,093,944,273 | 356,556,152 | (65,459,524 | ) | 291,096,628 | |||||||||||
WPG Small/Micro Cap Value Fund | 21,657,283 | 2,737,022 | (2,339,943 | ) | 397,079 | |||||||||||
BP Global Equity Fund | 178,617,646 | 29,862,906 | (18,707,178 | ) | 11,155,728 | |||||||||||
BP Global Long/Short Fund | 127,400,791 | 27,913,506 | (27,019,474 | ) | 894,032 | |||||||||||
BP Emerging Markets Dynamic Equity Fund | 53,685,528 | 6,586,408 | (5,109,081 | ) | 1,477,327 | |||||||||||
BP Emerging Markets Fund | 15,307,184 | 2,435,899 | (1,246,676 | ) | 1,189,223 | |||||||||||
BP Global Equity Advantage Fund | 34,080,015 | 3,589,782 | (2,589,486 | ) | 1,000,296 |
Distributions to shareholders, if any, from net investment income and realized gains are determined in accordance with federal income tax regulations, which may differ from net investment income and realized gains recognized for financial reporting purposes. Accordingly, the character of distributions and composition of net assets for tax purposes may differ from those reflected in the accompanying
Semi-Annual Report 2021 | 77
BOSTON PARTNERS INVESTMENT FUNDS
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
february 28, 2021
financial statements. To the extent these differences are permanent, such amounts are reclassified within the capital accounts based on the tax treatment; temporary differences do not require such reclassification.
The following permanent differences as of August 31, 2020 were reclassified among the following accounts. They are primarily attributable to net investment loss, deemed distributions due to shareholder redemptions and investments in partnerships.
FUND | DISTRIBUTABLE EARNINGS/(LOSS) | PAID-IN CAPITAL | ||||||
BP Small Cap Value Fund II | $ | — | $ | — | ||||
BP Long/Short Equity Fund | 1,797,443 | (1,797,443 | ) | |||||
BP Long/Short Research Fund | (1,816,049 | ) | 1,816,049 | |||||
BP All—Cap Value Fund | (17,626,580 | ) | 17,626,580 | |||||
WPG Small/Micro Cap Value Fund | — | — | ||||||
BP Global Equity Fund | — | — | ||||||
BP Global Long/Short Fund | — | — | ||||||
BP Emerging Markets Dynamic Equity Fund | — | — | ||||||
BP Emerging Markets Fund | — | — | ||||||
BP Global Equity Advantage Fund | — | — |
As of August 31, 2020, the components of distributable earnings on a tax basis were as follows:
FUND | UNDISTRIBUTED ORDINARY INCOME | UNDISTRIBUTED LONG-TERM CAPITAL GAINS | CAPITAL LOSS CARRYFORWARDS | QUALIFIED LATE-YEAR LOSS DEFERRAL | OTHER TEMPORARY DIFFERENCES | UNREALIZED APPRECIATION/ (DEPRECIATION) | ||||||||||||||||||
BP Small Cap Value Fund II | $ | 1,243,496 | $ | — | $ | — | $ | (50,665,332 | ) | $ | — | $ | 82,329,924 | |||||||||||
BP Long/Short Equity Fund | — | 23,768,788 | — | (775,181 | ) | — | 15,062,040 | |||||||||||||||||
BP Long/Short Research Fund | — | — | — | (15,368,510 | ) | (42,817 | ) | 169,525,534 | ||||||||||||||||
BP All-Cap Value Fund | 9,728,866 | 11,862,937 | — | — | — | 291,096,750 | ||||||||||||||||||
WPG Small/Micro Cap Value Fund | 144,307 | — | (4,997,743 | ) | — | — | 397,079 | |||||||||||||||||
BP Global Equity Fund | 2,483,105 | — | (44,714,757 | ) | — | — | 11,211,783 | |||||||||||||||||
BP Global Long/Short Fund | 71,671 | — | (38,967,945 | ) | — | (27,207 | ) | 982,469 | ||||||||||||||||
BP Emerging Markets Dynamic Equity Fund | 4,742,594 | — | (5,466,295 | ) | — | — | 1,481,709 | |||||||||||||||||
BP Emerging Markets Fund | 129,801 | — | (1,747,300 | ) | — | — | 1,187,560 | |||||||||||||||||
BP Global Equity Advantage Fund | 226,713 | — | (2,194,825 | ) | — | — | 1,002,626 |
The differences between the book and tax basis components of distributable earnings relate principally to the timing of recognition of income and gains for federal income tax purposes.
The tax character of dividends and distributions paid during the fiscal year ended August 31, 2020 was as follows:
2020 | ||||||||||||
FUND | ORDINARY INCOME | LONG-TERM GAINS | TOTAL | |||||||||
BP Small Cap Value Fund II | $ | 6,975,898 | $ | 7,342,323 | $ | 14,318,221 | ||||||
BP Long/Short Equity Fund | — | 18,723,860 | 18,723,860 | |||||||||
BP Long/Short Research Fund | 40,387,000 | 28,936,257 | 69,323,257 | |||||||||
BP All-Cap Value Fund | 27,893,874 | 18,747,281 | 46,641,155 | |||||||||
WPG Small/Micro Cap Value Fund | 108,852 | — | 108,852 | |||||||||
BP Global Equity Fund | 10,116,438 | — | 10,116,438 | |||||||||
BP Global Long/Short Fund | 7,319,397 | — | 7,319,397 | |||||||||
BP Emerging Markets Dynamic Equity Fund | 1,296,540 | — | 1,296,540 | |||||||||
BP Emerging Markets Fund | 503,507 | — | 503,507 | |||||||||
BP Global Equity Advantage Fund | 633,996 | — | 633,996 |
Dividends from net investment income and short-term capital gains are treated as ordinary income dividends for federal income tax purposes.
78 | Semi-Annual Report 2021
BOSTON PARTNERS INVESTMENT FUNDS
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
February 28, 2021
Pursuant to federal income tax rules applicable to regulated investment companies, the Funds may elect to treat certain capital losses between November 1 and August 31 and late year ordinary losses ((i) ordinary losses between January 1 and August 31, and (ii) specified ordinary and currency losses between November 1 and August 31) as occurring on the first day of the following tax year. For the year ended August 31, 2020, any amount of losses elected within the tax return will not be recognized for federal income tax purposes until September 1, 2020.
For the fiscal year ended August 31, 2020, the following Funds deferred to September 1, 2020, the following qualified late-year losses.
FUND | LATE-YEAR ORDINARY LOSS DEFERRAL | POST-OCTOBER CAPITAL LOSS DEFERRAL | ||||||
BP Small Cap Value Fund II | $ — | $ | 50,665,332 | |||||
BP Long/Short Equity Fund | 775,181 | — | ||||||
BP Long/Short Research Fund | 15,368,510 | — | ||||||
BP All-Cap Value Fund | — | — | ||||||
WPG Small/Micro Cap Value Fund | — | — | ||||||
BP Global Equity Fund | — | — | ||||||
BP Global Long/Short Fund | — | — | ||||||
BP Emerging Markets Dynamic Equity Fund | — | — | ||||||
BP Emerging Markets Fund | — | — | ||||||
BP Global Equity Advantage Fund | — | — |
Accumulated capital losses represent net capital loss carryforwards as of August 31, 2020 that may be available to offset future realized capital gains and thereby reduce future capital gains distributions. Under the Regulated Investment Company Modernization Act of 2010, the Funds are permitted to carry forward capital losses incurred in taxable years beginning after December 22, 2010 for an unlimited period. Any losses incurred during those future taxable years will be required to be utilized prior to any losses incurred in pre-enactment taxable years. Additionally, post-enactment capital losses that are carried forward will retain their character as either short-term or long-term capital losses rather than being considered all short-term as under the previous law.
As of August 31, 2020, the WPG Small/Micro Cap Value Fund had short-term post-enactment capital losses of $1,924,714 and long-term post-enactment capital losses of $3,073,029. The BP Global Equity Fund had short-term post-enactment capital losses of $44,714,757. The BP Global Long/Short Fund had short-term post-enactment capital losses of $38,967,945. The BP Emerging Markets Dynamic Equity Fund had short-term post-enactment capital losses of $5,466,295. The BP Emerging Markets Fund had short-term post-enactment capital losses of $1,353,370 and long-term post-enactment capital losses of $393,930. The BP Global Equity Advantage Fund had short-term post-enactment capital losses of $2,194,825. The capital losses can be carried forward for an unlimited period.
8. SECURITIES LENDING
Securities may be loaned to financial institutions, such as broker-dealers, and are required to be secured continuously by collateral in cash, cash equivalents, letter of credit or U.S. Government securities maintained on a current basis at an amount at least equal to the market value of the securities loaned. Cash collateral received, pursuant to investment guidelines established by the Funds and approved by the Board, is invested in short-term investments. All such investments are made at the risk of the Funds and, as such, the Funds are liable for investment losses. Such loans would involve risks of delay in receiving additional collateral in the event the value of the collateral decreased below the value of the securities loaned or of delay in recovering the securities loaned or even loss of rights in the collateral should the borrower of the securities fail financially. However, loans will be made only to borrowers deemed by Boston Partners to be of good standing and only when, in Boston Partners’ judgment, the income to be earned from the loans justifies the attendant risks. Any loans of a Fund’s securities will be fully collateralized and marked to market daily. Investments purchased with proceeds from securities lending are overnight and continuous. During the current fiscal period, the Funds participated in securities lending. The market value of securities on loan and cash collateral as of the end of the reporting period and the income generated from the program during the current fiscal period with respect to such loans were as follows:
FUND | MARKET VALUE OF SECURITIES LOANED | MARKET VALUE OF COLLATERAL | INCOME RECEIVED FROM SECURITIES LENDING | |||||||||
BP Small Cap Value Fund II | $ | 59,065,413 | $ | 60,212,726 | $ | 23,591 | ||||||
BP Long/Short Equity Fund | 6,883,346 | 7,101,726 | 8,367 | |||||||||
BP All-Cap Value Fund | 68,243,685 | 70,344,238 | 23,212 | |||||||||
WPG Small/Micro Cap Value Fund | 2,982,794 | 3,077,226 | 3,579 | |||||||||
BP Global Equity Fund | 10,252,587 | 10,613,155 | 2,325 |
Securities lending transactions are entered into by the Funds’ securities lending agent on behalf of the Funds under a Master Securities Lending Agreement (“MSLA”) which permits the Funds’ securities lending agent on behalf of the Funds, under certain circumstances including an event of default (such as bankruptcy or insolvency), to offset amounts payable on behalf of the Funds to the
Semi-Annual Report 2021 | 79
BOSTON PARTNERS INVESTMENT FUNDS
NOTES TO FINANCIAL STATEMENTS (CONCLUDED)
february 28, 2021
same counterparty against amounts to be received and create one single net payment due to or from the Funds. The following table is a summary of the Funds’ open securities lending transactions which are subject to a MSLA as of the end of the reporting period:
GROSS AMOUNT NOT OFFSET IN THE STATEMENTS OF ASSETS AND LIABILITIES | ||||||||||||||||||||||||
FUND | GROSS AMOUNT OF RECOGNIZED ASSETS | GROSS AMOUNTS OFFSET IN THE STATEMENT OF ASSETS AND LIABILITIES | NET AMOUNT OF ASSETS PRESENTED IN THE STATEMENT OF ASSETS AND LIABILITIES | FINANCIAL INSTRUMENTS1 | CASH COLLATERAL RECEIVED | NET AMOUNT | ||||||||||||||||||
BP Small Cap Value Fund II | $ | 59,065,413 | — | $ | 59,065,413 | $ | (59,065,413 | ) | — | — | ||||||||||||||
BP Long/Short Equity Fund | 6,883,346 | — | 6,883,346 | (6,883,346 | ) | — | — | |||||||||||||||||
BP All-Cap Value Fund | 68,243,685 | — | 68,243,685 | (68,243,685 | ) | — | — | |||||||||||||||||
WPG Small/Micro Cap Value Fund | 2,982,794 | — | 2,982,794 | (2,982,794 | ) | — | — | |||||||||||||||||
BP Global Equity Fund | 10,252,587 | — | 10,252,587 | (10,252,587 | ) | — | — |
1 | Amount disclosed is limited to the amount of assets presented in the Statements of Assets and Liabilites. Actual collateral received may be more than the amount shown. |
9. LINE OF CREDIT
The Company, on behalf of the Funds, has established a line of credit (“LoC”) with the Custodian to be used for temporary or emergency purposes, primarily for financing redemption payments. Any loan issued to a Fund utilizing the LoC (each, a “Borrowing Fund” and together, the “Borrowing Funds”) is secured by securities held in the Borrowing Fund’s portfolio. The LoC will mature, unless renewed, on September 14, 2021. Borrowing under the LoC is limited to the lesser of (i) $100,000,000, (ii) 20.0% of the gross market value of a Borrowing Fund, or (iii) 33 1/3% of the net market value of the unencumbered assets of a Borrowing Fund. The interest rate paid by the Borrowing Funds on outstanding borrowings is equal to the prime lending rate of the Custodian, which was 3.25% at February 28, 2021.
During the current fiscal period, the Funds’ LoC borrowing activity was as follows:
AVERAGE BORROWINGS | MAXIMUM AMOUNT OUTSTANDING | INTEREST EXPENSE | AVERAGE INTEREST RATE | |||||||||||||
BP Small Cap Value Fund II | $ | 1,832,207 | $ | 2,514,000 | $ | 9,594 | 3.25 | % | ||||||||
BP Long/Short Equity Fund | 1,100,857 | 5,169,000 | 3,478 | 3.25 | % | |||||||||||
BP Long/Short Research Fund | 7,482,582 | 32,505,000 | 37,153 | 3.25 | % | |||||||||||
WPG Partners Small/Micro Cap Value Fund | 79,091 | 239,000 | 79 | 3.25 | % | |||||||||||
BP Global Equity Fund | 12,698,818 | 32,009,000 | 12,611 | 3.25 | % | |||||||||||
BP Global Long/Short Fund | 76,000 | 76,000 | 21 | 3.25 | % | |||||||||||
BP Global Equity Advantage Fund | 78,800 | 88,000 | 36 | 3.25 | % |
10. SUBSEQUENT EVENTS
Management has evaluated the impact of all subsequent events on the Fund through the date the financial statements were issued and has determined that there were no significant events requiring recognition or disclosure in the financial statements.
80 | Semi-Annual Report 2021
BOSTON PARTNERS INVESTMENT FUNDS | (unaudited) |
Proxy Voting
Policies and procedures that the Funds use to determine how to vote proxies relating to portfolio securities as well as information regarding how the Funds voted proxies relating to portfolio securities for the most recent twelve-month period ended June 30 are available without charge, upon request, by calling (888) 261-4073 and on the Securities and Exchange Commission’s (“SEC”) website at http://www.sec.gov.
Quarterly Portfolio Schedule
The Company files a complete schedule of portfolio holdings with the SEC for the first and third fiscal quarters of each fiscal year (quarters ended November 30 and May 31) as an exhibit to its reports on Form N-PORT. The Company’s Form N-PORT is available on the SEC’s website at http://www.sec.gov.
Semi-Annual Report 2021 | 81
INVESTMENT ADVISER | CUSTODIAN | |
Boston Partners Global Investors, Inc. | U.S. Bank, N.A. | |
1 Beacon Street, 30th Floor | 1555 North Rivercenter Drive, Suite 302 | |
Boston, MA 02108 | Milwaukee, WI 53212 | |
ADMINISTRATOR AND TRANSFER AGENT | INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM | |
U.S. Bancorp Fund Services, LLC | Ernst & Young LLP | |
P.O. Box 701 | One Commerce Square | |
Milwaukee, WI 53201 | 2005 Market Street, Suite 700 | |
PRINCIPAL UNDERWRITER | Philadelphia, PA 19103 | |
Quasar Distributors, LLC | LEGAL COUNSEL | |
111 E. Kilbourn Ave., Suite 2200 | Faegre Drinker Biddle & Reath LLP | |
Milwaukee, WI 53202 | One Logan Square, Ste. 2000 | |
Philadelphia, PA 19103-6996 |
BOS-SAR21 |
Campbell Advantage Fund
of
THE RBB FUND, INC.
Semi-Annual Report
February 28, 2021
(Unaudited)
Campbell Advantage Fund
Performance Data
February 28, 2021 (Unaudited)
Average annual total returns for the periods ended February 28, 2021 | ||||
SIX | ONE | SINCE | ||
Class I Shares | 15.99% | 4.60% | -1.23% | |
Barclay Hedge BTOP50 Index(3) | 7.83% | 9.14% | 6.43% |
(1) | Not annualized. |
(2) | Inception date of the Fund is May 31, 2019. |
(3) | Benchmark performance is from inception date of the Fund only and is not the inception date of the benchmark itself. |
Performance data quoted is past performance and does not guarantee future results. Investment return and principal value will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the returns quoted above. Returns shown do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. Call the Fund at 1-844-261-6488 for returns current to the most recent month-end.
An investment in the Fund is speculative and involves substantial risk. The Fund is not suitable for all investors. It is possible that an investor may lose some or all of its investment. The Fund invests in long and short positions in futures, forwards and spot contracts, each of which may be tied to commodities, financial indices and instruments, foreign currencies, or equity indices. The Fund also invests in investment grade fixed income securities of all durations and maturities. The Fund may be more volatile than investments in traditional securities. Losses on futures and other derivatives can be caused by unanticipated market movements and may be potentially unlimited. Commodities, currencies, foreign investments, and interest rate-linked instruments each entail special risks. The Fund is non-diversified; therefore gains or losses on a single holding may have a relatively great impact on the Fund. A more complete description of the Fund’s risks can be found in its prospectus, which should be read carefully before investing.
The Fund intends to elect to be treated and to qualify each year, as a regulated investment company (“RIC”) under the U.S. Internal Revenue Code (“Code”). To maintain qualification for federal income tax purposes as a RIC under the Code, the Fund must meet certain source-of-income, asset diversification and distribution of its income requirements. If the Fund were to fail to qualify as a RIC and became subject to federal income tax, shareholders of the Fund would be subject to diminished returns.
The BarclayHedge BTOP50 Index (“BTOP50”) seeks to replicate the overall composition of the managed futures industry with regard to trading style and overall market exposure. The BTOP50 employs a top-down approach in selecting its constituents. The largest investable trading adviser programs, as measured by assets under management, are selected for inclusion in the BTOP50. The index portfolio is equally weighted among the selected programs at the beginning of each calendar year and rebalanced annually. It is impossible to invest directly in an index.
Portfolio composition is subject to change.
1
Campbell Advantage Fund
Fund Expense Example
February 28, 2021 (Unaudited)
As a shareholder of the Fund, you incur two types of costs: (1) transaction costs and (2) ongoing costs, including management fees and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
This example is based on an investment of $1,000 invested at the beginning of the six-month period from September 1, 2020 through February 28, 2021, and held for the entire period.
Actual Expenses
The first line of the accompanying table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The second line of the accompanying table provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.
Please note that the expenses shown in the accompanying table are meant to highlight your ongoing costs only and do not reflect any transactional costs. Therefore, the second line of the accompanying table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
Beginning | Ending | Expenses | Annualized | Actual Six- | |
Actual | $ 1,000.00 | $ 1,159.90 | $ 6.59 | 1.23% | 15.99% |
Hypothetical (5% return before expenses) | 1,000.00 | 1,018.70 | 6.16 | 1.23 | N/A |
* | Expenses are equal to the Fund’s annualized six-month expense ratio for the period September 1, 2020 to February 28, 2021, multiplied by the average account value over the period, multiplied by the number of days (181) in the most recent fiscal half-year, then divided by 365 to reflect the one half year period. The Fund’s ending account value on the first line in the tables is based on the actual six-month total investment return for the Fund. |
2
Campbell Advantage Fund
Consolidated Portfolio Holdings Summary Table
February 28, 2021 (Unaudited)
The following table presents a consolidated summary of the portfolio holdings of the Fund:
% of Net | Value | |||||||
SHORT-TERM INVESTMENTS: | ||||||||
U.S. Treasury Obligations | 48.0 | % | $ | 4,019,648 | ||||
Money Market Deposit Account | 17.1 | 1,440,106 | ||||||
OTHER ASSETS IN EXCESS OF LIABILITIES (including futures and forward foreign currency contracts) | 34.9 | 2,922,107 | ||||||
NET ASSETS | 100.0 | % | $ | 8,381,861 |
The Fund seeks to achieve its investment objective by allocating its assets among derivatives and fixed income securities.
As a result of the Fund’s use of derivatives, the Fund may hold significant amounts of U.S. Treasuries or short-term investments.
Portfolio holdings are subject to change at any time.
Refer to the Consolidated Portfolio Investments for a detailed listing of the Fund’s holdings.
The accompanying notes are an integral part of the consolidated financial statements.
3
Campbell Advantage Fund
Consolidated Portfolio of Investments
February 28, 2021 (Unaudited)
Coupon* | Maturity | Par | Value | |||||||
SHORT-TERM INVESTMENTS — 48.0% | ||||||||||
U.S. TREASURY OBLIGATIONS — 48.0% | ||||||||||
United States Treasury Bill | 0.091% | 03/11/21 | $ | 550 | $ | 549,996 | ||||
United States Treasury Bill | 0.050% | 04/01/21 | 1,100 | 1,099,969 | ||||||
United States Treasury Bill | 0.081% | 04/15/21 | 500 | 499,981 | ||||||
United States Treasury Bill | 0.017% | 05/13/21 | 600 | 599,954 | ||||||
United States Treasury Bill | 0.050% | 07/15/21 | 350 | 349,947 | ||||||
United States Treasury Bill | 0.020% | 08/12/21 | 920 | 919,801 | ||||||
TOTAL U.S. TREASURY OBLIGATIONS | ||||||||||
(Cost $4,019,717) | 4,019,648 | |||||||||
Number | ||||||||||
MONEY MARKET DEPOSIT ACCOUNT — 17.1% | ||||||||||
U.S. Bank Money Market Deposit Account, 0.10% (a) | 1,440 | 1,440,106 | ||||||||
TOTAL MONEY MARKET DEPOSIT ACCOUNT INVESTMENTS | ||||||||||
(Cost $1,440,106) | 1,440,106 | |||||||||
TOTAL SHORT-TERM INVESTMENTS | ||||||||||
(Cost $5,459,823) | 5,459,754 | |||||||||
TOTAL INVESTMENTS — 65.1% | ||||||||||
(Cost $5,459,823) | 5,459,754 | |||||||||
OTHER ASSETS IN EXCESS OF LIABILITIES — 34.9% | 2,922,107 | |||||||||
NET ASSETS — 100.0% | $ | 8,381,861 |
* | Short-term investments’ coupon reflects the annualized yield on the date of purchase for discounted investments. |
(a) | The rate shown is as of February 28, 2021. |
The accompanying notes are an integral part of the consolidated financial statements.
4
Campbell Advantage Fund
Consolidated Portfolio of Investments (Continued)
February 28, 2021 (Unaudited)
Futures contracts outstanding as of February 28, 2021 were as follows:
Long Contracts | Expiration | Number of | Notional | Value and | ||||||
3-Month Euro Euribor | Mar-22 | 41 | $ | 12,427,728 | $ | (9,965 | ) | |||
90-DAY Bank Bill | Mar-22 | 45 | 34,609,804 | (5,610 | ) | |||||
90-Day Euro | Jun-22 | 174 | 43,389,075 | (22,128 | ) | |||||
90-Day Sterling | Mar-22 | 48 | 8,342,087 | (16,222 | ) | |||||
Australian 3-Year Bond | Mar-21 | 57 | 5,122,581 | (26,844 | ) | |||||
Brent Crude | Jun-21 | 6 | 382,380 | (3,370 | ) | |||||
Cocoa | May-21 | 3 | 78,120 | 1,271 | ||||||
Coffee | May-21 | 3 | 154,688 | 7,378 | ||||||
Corn | May-21 | 21 | 574,875 | (348 | ) | |||||
Cotton No.2 | May-21 | 17 | 755,055 | 3,454 | ||||||
Euro-BTP | Mar-21 | 6 | 1,084,446 | (11,952 | ) | |||||
Gasoline RBOB | Apr-21 | 5 | 409,605 | 35,428 | ||||||
Live Cattle | Apr-21 | 2 | 96,000 | (2,916 | ) | |||||
London Metals Exchange Aluminum | Mar-21 | 30 | 1,598,813 | 140,263 | ||||||
London Metals Exchange Aluminum | Jun-21 | 17 | 917,681 | 39,975 | ||||||
London Metals Exchange Copper | Mar-21 | 9 | 2,045,981 | 399,897 | ||||||
London Metals Exchange Copper | Jun-21 | 5 | 1,134,250 | 123,017 | ||||||
London Metals Exchange Nickel | Mar-21 | 13 | 1,446,120 | 136,354 | ||||||
London Metals Exchange Nickel | Jun-21 | 6 | 668,880 | 6,823 | ||||||
London Metals Exchange Zinc | Mar-21 | 24 | 1,667,700 | 72,164 | ||||||
London Metals Exchange Zinc | Jun-21 | 7 | 489,213 | 11,688 | ||||||
Low Sulphur Gasoil G Futures | Apr-21 | 7 | 372,925 | 20,038 | ||||||
Platinum | Apr-21 | 4 | 237,060 | 21,685 | ||||||
Silver | May-21 | 1 | 132,200 | (3,512 | ) | |||||
Soybean | May-21 | 10 | 702,125 | 16,284 | ||||||
Sugar No. 11 (World) | May-21 | 24 | 442,176 | 30,907 | ||||||
U.S. Treasury 2-Year Notes | Jun-21 | 103 | 22,738,859 | (17,322 | ) | |||||
U.S. Treasury 5-Year Notes | Jun-21 | 5 | 619,844 | (5,047 | ) | |||||
Wheat | May-21 | 8 | 264,100 | 6,240 | ||||||
WTI Crude | Apr-21 | 5 | 307,500 | 24,238 | ||||||
$ | 971,868 |
The accompanying notes are an integral part of the consolidated financial statements.
5
Campbell Advantage Fund
Consolidated Portfolio of Investments (Continued)
February 28, 2021 (Unaudited)
Short Contracts | Expiration | Number of | Notional | Value and | ||||||
10 Year Mini Japanese Government Bond | Mar-21 | 36 | $ | (5,092,922 | ) | $ | 31,204 | |||
Amsterdam Index | Mar-21 | 4 | (628,236 | ) | 33,983 | |||||
Australian 10-Year Bond | Mar-21 | 9 | (949,223 | ) | 55,826 | |||||
CAC40 10 Euro | Mar-21 | 8 | (550,090 | ) | 6,740 | |||||
Canadian 10-Year Bond | Jun-21 | 12 | (1,318,058 | ) | 24,578 | |||||
DAX Index | Mar-21 | 1 | (415,023 | ) | 4,643 | |||||
DJIA Mini E-CBOT | Mar-21 | 5 | (772,800 | ) | 4,855 | |||||
Euro BUXL 30-Year Bond Futures | Mar-21 | 1 | (253,158 | ) | 8,975 | |||||
Euro Stoxx 50 | Mar-21 | 10 | (437,615 | ) | (14 | ) | ||||
Euro-Bobl | Mar-21 | 8 | (1,295,448 | ) | 2,982 | |||||
Euro-Bund | Mar-21 | 3 | (627,647 | ) | 4,207 | |||||
Euro-Oat | Mar-21 | 2 | (394,373 | ) | 565 | |||||
Euro-Schatz | Mar-21 | 77 | (10,421,074 | ) | 7,880 | |||||
FTSE 100 Index | Mar-21 | 2 | (179,431 | ) | 3,585 | |||||
FTSE/JSE TOP 40 | Mar-21 | 7 | (278,709 | ) | (3,701 | ) | ||||
FTSE/MIB Index | Mar-21 | 2 | (275,443 | ) | (1,954 | ) | ||||
Hang Seng Index | Mar-21 | 1 | (186,677 | ) | 983 | |||||
IBEX 35 Index | Mar-21 | 2 | (197,787 | ) | 1,373 | |||||
London Metals Exchange Aluminum | Mar-21 | 30 | (1,598,812 | ) | (89,744 | ) | ||||
London Metals Exchange Aluminum | Jun-21 | 2 | (107,963 | ) | 1,449 | |||||
London Metals Exchange Copper | Mar-21 | 9 | (2,045,981 | ) | (241,356 | ) | ||||
London Metals Exchange Copper | Jun-21 | 2 | (453,700 | ) | 12,396 | |||||
London Metals Exchange Nickel | Mar-21 | 13 | (1,446,120 | ) | (73,342 | ) | ||||
London Metals Exchange Nickel | Jun-21 | 1 | (111,480 | ) | 6,102 | |||||
London Metals Exchange Zinc | Mar-21 | 24 | (1,667,700 | ) | (61,466 | ) | ||||
London Metals Exchange Zinc | Jun-21 | 1 | (69,887 | ) | 2,853 | |||||
Long Gilt | Jun-21 | 7 | (1,246,068 | ) | 9,075 | |||||
MSCI Singapore Exchange ETS | Mar-21 | 3 | (76,192 | ) | (1,095 | ) | ||||
Nasdaq 100 E-Mini | Mar-21 | 2 | (516,440 | ) | 10,106 | |||||
Natural Gas | Apr-21 | 2 | (55,420 | ) | 495 | |||||
Nikkie 225 (Osaka Securities Exchange) | Mar-21 | 1 | (137,248 | ) | (6,943 | ) | ||||
OMX Stockholm 30 Index | Mar-21 | 26 | (617,369 | ) | 5,569 | |||||
Russell 2000 E-Mini | Mar-21 | 5 | (549,800 | ) | (17,071 | ) | ||||
S&P 500 E-Mini | Mar-21 | 4 | (761,840 | ) | 6,852 | |||||
S&P Mid 400 E-Mini | Mar-21 | 3 | (748,410 | ) | (25,776 | ) | ||||
S&P/TSX 60 Index | Mar-21 | 3 | (505,328 | ) | (3,401 | ) | ||||
Topix Index | Mar-21 | 1 | (175,946 | ) | 5,247 | |||||
U.S. Treasury 10-Year Notes | Jun-21 | 6 | (796,312 | ) | 8,888 | |||||
U.S. Treasury Long Bond (Chicago Board of Trade) | Jun-21 | 6 | (955,312 | ) | 11,083 | |||||
U.S. Treasury Ultra Long Bond (Chicago Board of Trade) | Jun-21 | 3 | (567,187 | ) | 8,487 | |||||
$ | (244,882 | ) | ||||||||
Total Futures Contracts | $ | 726,986 |
The accompanying notes are an integral part of the consolidated financial statements.
6
Campbell Advantage Fund
Consolidated Portfolio of Investments (Concluded)
February 28, 2021 (Unaudited)
Forward foreign currency contracts outstanding as of February 28, 2021 were as follows:
Currency Purchased | Currency Sold | Expiration | Counterparty | Unrealized | |||||||||||||||||||
AUD | 5,600,000 | USD | 4,203,457 | Mar 17 2021 | NatWest | $ | 105,812 | ||||||||||||||||
CAD | 7,800,000 | USD | 6,081,416 | Mar 17 2021 | NatWest | 48,078 | |||||||||||||||||
CHF | 850,000 | USD | 957,197 | Mar 17 2021 | NatWest | (22,215 | ) | ||||||||||||||||
EUR | 5,400,000 | USD | 6,574,326 | Mar 17 2021 | NatWest | (55,678 | ) | ||||||||||||||||
GBP | 3,600,000 | USD | 4,888,482 | Mar 17 2021 | NatWest | 127,702 | |||||||||||||||||
JPY | 522,000,000 | USD | 5,014,072 | Mar 17 2021 | NatWest | (115,947 | ) | ||||||||||||||||
NOK | 20,850,000 | USD | 2,410,199 | Mar 17 2021 | NatWest | (5,525 | ) | ||||||||||||||||
NZD | 5,950,000 | USD | 4,226,176 | Mar 17 2021 | NatWest | 73,026 | |||||||||||||||||
SEK | 36,300,000 | USD | 4,320,000 | Mar 17 2021 | NatWest | (19,984 | ) | ||||||||||||||||
USD | 1,353,453 | AUD | 1,750,000 | Mar 17 2021 | NatWest | 6,806 | |||||||||||||||||
USD | 3,327,059 | CAD | 4,250,000 | Mar 17 2021 | NatWest | (12,729 | ) | ||||||||||||||||
USD | 55,669 | CHF | 50,000 | Mar 17 2021 | NatWest | 670 | |||||||||||||||||
USD | 4,010,557 | EUR | 3,300,000 | Mar 17 2021 | NatWest | 26,939 | |||||||||||||||||
USD | 2,037,140 | GBP | 1,500,000 | Mar 17 2021 | NatWest | (52,937 | ) | ||||||||||||||||
USD | 5,107,771 | JPY | 534,000,000 | Mar 17 2021 | NatWest | 97,045 | |||||||||||||||||
USD | 1,141,463 | NOK | 9,750,000 | Mar 17 2021 | NatWest | 16,975 | |||||||||||||||||
USD | 1,623,856 | NZD | 2,250,000 | Mar 17 2021 | NatWest | (1,892 | ) | ||||||||||||||||
USD | 1,779,005 | SEK | 14,850,000 | Mar 17 2021 | NatWest | 19,907 | |||||||||||||||||
Total Forward Foreign Currency Contracts | $ | 236,053 |
AUD | Australian Dollar | JPY | Japanese Yen | |
CAD | Canadian Dollar | NatWest | National Westminster Bank | |
CHF | Swiss Franc | NOK | Norwegian Krone | |
EUR | Euro | NZD | New Zealand Dollar | |
GBP | British Pound | SEK | Swedish Krona | |
USD | United States Dollar |
The accompanying notes are an integral part of the consolidated financial statements.
7
Campbell Advantage Fund
Consolidated Statement of Assets and Liabilities
February 28, 2021 (Unaudited)
ASSETS | ||||
Investments, at value (cost $5,459,823) | $ | 5,459,754 | ||
Deposits with brokers: | ||||
Forward foreign currency contracts | 1,240,000 | |||
Futures contracts | 771,737 | |||
Unrealized appreciation on futures contracts | 1,378,085 | |||
Unrealized appreciation on forward foreign currency contracts | 522,960 | |||
Total assets | 9,372,536 | |||
LIABILITIES | ||||
Unrealized depreciation on futures contracts | 651,099 | |||
Unrealized depreciation on forward foreign currency contracts | 286,907 | |||
Due to broker | 20,270 | |||
Other accrued expenses and liabilities | 32,399 | |||
Total liabilities | 990,675 | |||
Net assets | $ | 8,381,861 | ||
NET ASSETS CONSIST OF: | ||||
Par value | $ | 1,229 | ||
Paid-in capital | 7,786,553 | |||
Total distributable earnings/(loss) | 594,079 | |||
Net assets | $ | 8,381,861 | ||
CAPITAL SHARES: | ||||
Net assets | $ | 8,381,861 | ||
Shares outstanding ($0.001 par value, 100,000,000 shares authorized) | 1,228,609 | |||
Net asset value, offering and redemption price per share | $ | 6.82 |
The accompanying notes are an integral part of the consolidated financial statements.
8
Campbell Advantage Fund
Consolidated Statement of Operations
For the Six Months Ended
February 28, 2021 (Unaudited)
INVESTMENT INCOME | ||||
Interest | $ | (361 | ) | |
Total investment income | (361 | ) | ||
EXPENSES | ||||
Audit and tax service fees | 20,084 | |||
Administration and accounting fees (Note 2) | 8,873 | |||
Legal fees | 5,364 | |||
Custodian fees (Note 2) | 2,429 | |||
Printing and shareholder reporting fees | 2,103 | |||
Transfer agent fees (Note 2) | 1,651 | |||
Officer fees | 626 | |||
Director fees | 619 | |||
Registration and filing fees | 4 | |||
Other expenses | 3,301 | |||
Total expenses | 45,054 | |||
Net investment income/(loss) | (45,415 | ) | ||
NET REALIZED AND UNREALIZED GAIN/(LOSS) FROM INVESTMENTS | ||||
Net realized gain/(loss) from: | ||||
Investments | (74 | ) | ||
Futures contracts | 338,451 | |||
Foreign currency transactions | (54,752 | ) | ||
Forward foreign currency contracts | 300,078 | |||
Net change in unrealized appreciation/(depreciation) on: | ||||
Investments | 130 | |||
Futures contracts | 724,968 | |||
Foreign currency translations | (2,000 | ) | ||
Forward foreign currency contracts | (119,245 | ) | ||
Net realized and unrealized gain/(loss) on investments | 1,187,556 | |||
NET INCREASE/(DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ | 1,142,141 |
The accompanying notes are an integral part of the consolidated financial statements.
9
Campbell Advantage Fund
Consolidated Statements of Changes in Net Assets
For the | For the | |||||||
INCREASE/(DECREASE) IN NET ASSETS FROM OPERATIONS: | ||||||||
Net investment income/(loss) | $ | (45,415 | ) | $ | (114,419 | ) | ||
Net realized gain/(loss) from investments, futures contracts, foreign currency transactions and forward foreign currency contracts | 583,703 | (986,448 | ) | |||||
Net change in unrealized appreciation/(depreciation) on investments, futures contracts, foreign currency translations and forward foreign currency contracts | 603,853 | (77,845 | ) | |||||
Net increase/(decrease) in net assets resulting from operations | 1,142,141 | (1,178,712 | ) | |||||
Dividends and Distributions to Shareholders From: | ||||||||
Total distributable earnings | — | (743,737 | ) | |||||
Net decrease in net assets from dividends and distributions to shareholders | — | (743,737 | ) | |||||
CAPITAL SHARE TRANSACTIONS: | ||||||||
Proceeds from shares sold | — | 8,040,070 | ||||||
Proceeds from reinvestment of distributions | — | 743,737 | ||||||
Shared redeemed | — | (3,122,289 | ) | |||||
Net increase/(decrease) in net assets from capital share transactions | — | 5,661,518 | ||||||
Total increase/(decrease) in net assets | 1,142,141 | 3,739,069 | ||||||
NET ASSETS: | ||||||||
Beginning of period | 7,239,720 | 3,500,651 | ||||||
End of period | $ | 8,381,861 | $ | 7,239,720 | ||||
SHARE TRANSACTIONS: | ||||||||
Shares sold | — | 1,282,088 | ||||||
Shares reinvested | — | 112,858 | ||||||
Shares redeemed | — | (425,852 | ) | |||||
Net increase/(decrease) in shares outstanding | — | 969,094 |
The accompanying notes are an integral part of the consolidated financial statements.
10
Campbell Advantage Fund
Consolidated Financial Highlights
Contained below is per share operating performance data for shares outstanding, total investment return/(loss), ratios to average net assets and other supplemental data for the respective periods. This information has been derived from information provided in the consolidated financial statements. |
For the | For the | For the | ||||||||||
PER SHARE OPERATING PERFORMANCE | ||||||||||||
Net asset value, beginning of period | $ | 5.89 | $ | 13.49 | $ | 10.00 | ||||||
Net investment income/(loss)(2) | (0.04 | ) | (0.14 | ) | (0.22 | ) | ||||||
Net realized and unrealized gain/(loss) on investments(3) | 0.97 | (4.59 | ) | 3.71 | ||||||||
Net increase/(decrease) in net assets resulting from operations | 0.93 | (4.73 | ) | 3.49 | ||||||||
Dividends and distributions to shareholders from: | ||||||||||||
Net investment income | — | (0.35 | ) | — | ||||||||
Net realized capital gain | — | (2.52 | ) | — | ||||||||
Total dividends and distributions to shareholders | — | (2.87 | ) | — | ||||||||
Net asset value, end of period | $ | 6.82 | $ | 5.89 | $ | 13.49 | ||||||
Total investment return(4) | 15.99 | %(6) | (37.35 | )% | 34.90 | %(6) | ||||||
RATIOS/SUPPLEMENTAL DATA | ||||||||||||
Net assets, end of period (000’s omitted) | $ | 8,382 | $ | 7,240 | $ | 3,501 | ||||||
Ratio of expenses to average net assets | 1.23 | %(5) | 2.74 | % | 7.77 | %(5) | ||||||
Ratio of net investment income/(loss) to average net assets | (1.24 | )%(5) | (2.12 | )% | (7.57 | )%(5) | ||||||
Portfolio turnover rate | 0 | %(6) | 0 | % | 0 | %(6) |
(1) | The Fund commenced investment operations on May 31, 2019. |
(2) | Calculated based on average shares outstanding for the period. |
(3) | The amount shown may not correlate with the change in the aggregate gains and losses due to the timing of sales and purchases of the Fund’s shares in relation to fluctuating market values for the Fund’s portfolio. |
(4) | Total investment return is calculated assuming a purchase of shares on the first day and a sale on the last day of the period reported and is not annualized and includes reinvestment of dividends and distributions, if any. |
(5) | Annualized. |
(6) | Not annualized. |
The accompanying notes are an integral part of the consolidated financial statements.
11
Campbell Advantage Fund
Notes To Consolidated Financial Statements
February 28, 2021 (Unaudited)
1. Organization and Significant Accounting Policies
The RBB Fund, Inc. (“RBB” or the “Company”) was incorporated under the laws of the State of Maryland on February 29, 1988 and is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. RBB is a “series fund,” which is a mutual fund divided into separate portfolios. Each portfolio is treated as a separate entity for certain matters under the 1940 Act, and for other purposes, and a shareholder of one portfolio is not deemed to be a shareholder of any other portfolio. Currently, RBB has thirty-six separate investment portfolios, including the Campbell Advantage Fund (the “Fund”), which commenced investment operations on May 31, 2019. The Fund’s shares are not registered under the Securities Act of 1933 as amended (the “1933 Act”), and are only offered in private placements to other series of the Company and other persons that are “accredited investors” within the meaning of Regulation D under the 1933 Act.
RBB has authorized capital of one hundred billion shares of common stock of which 87.923 billion shares are currently classified into one hundred and ninety classes of common stock. Each class represents an interest in an active or inactive RBB investment portfolio.
The Fund’s investment objective is to seek capital appreciation.
The Fund is an investment company and follows accounting and reporting guidance in the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946 “Financial Services - Investment Companies.”
The end of the reporting period for the Fund is February 28, 2021, and the period covered by these Notes to Consolidated Financial Statements is the six months ended February 28, 2021 (the “current fiscal period”).
Consolidation of Subsidiary — The Adviser’s Campbell Advantage Program is achieved by the Fund investing up to 25% of its total assets in the Campbell Advantage Offshore Limited (the “Subsidiary”), a wholly-owned and controlled subsidiary of the Fund organized under the laws of the Cayman Islands. The consolidated financial statements of the Fund include the financial statements of the Subsidiary. The Fund consolidates the results of subsidiaries in which the Fund holds a controlling financial interest. All inter-company accounts and transactions have been eliminated. As of the end of the reporting period, the net assets of the Subsidiary were $1,307,671, which represented 15.60% of the Fund’s net assets.
Portfolio Valuation — The Fund’s net asset value (“NAV”) is calculated once daily at the close of regular trading hours on the New York Stock Exchange (“NYSE”) (generally 4:00 p.m. Eastern time) on each day the NYSE is open. Securities held by the Fund are valued using the closing price or the last sales price on a national securities exchange or the National Association of Securities Dealers Automatic Quotation System (“NASDAQ”) market system where they are primarily traded. Fixed income securities are valued using an independent pricing service, which considers such factors as security prices, yields, maturities and ratings, and are deemed representative of market values at the close of the market. Investments in other open-end investment companies are valued based on the NAV of those investment companies (which may use fair value pricing as discussed in their prospectuses). Forward currency exchange contracts are valued by interpolating between spot and forward currency rates as quoted by an independent pricing service. Futures contracts are generally valued using the settlement price determined by the relevant exchange. If market quotations are unavailable or deemed unreliable, securities will be valued in accordance with procedures adopted by the Company’s Board of Directors (the “Board”). Relying on prices supplied by pricing services or dealers or using fair valuation may result in values that are higher or lower than the values used by other investment companies and investors to price the same investments.
Fair Value Measurements — The inputs and valuation techniques used to measure the fair value of the Fund’s investments are summarized into three levels as described in the hierarchy below:
● | Level 1 – Prices are determined using quoted prices in active markets for identical securities. |
● | Level 2 – Prices are determined using other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.). |
12
Campbell Advantage Fund
Notes To Consolidated Financial Statements (Continued)
February 28, 2021 (Unaudited)
● | Level 3 – Prices are determined using significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments). |
The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The following is a summary of the inputs used, as of February 28, 2021, in valuing the Fund’s investments carried at fair value:
Total | Level 1 | Level 2 | Level 3 | |||||||||||||
Short-Term Investments | $ | 5,459,754 | $ | 5,459,754 | $ | — | $ | — | ||||||||
Commodity Contracts | ||||||||||||||||
Futures Contracts | 1,120,399 | 1,120,399 | — | — | ||||||||||||
Equity Contracts | ||||||||||||||||
Futures Contracts | 83,936 | 83,936 | — | — | ||||||||||||
Interest Rate Contracts | ||||||||||||||||
Futures Contracts | 173,750 | 173,750 | — | — | ||||||||||||
Foreign Currency Contracts | ||||||||||||||||
Forward Foreign Currency Contracts | 522,960 | — | 522,960 | — | ||||||||||||
Total Assets | $ | 7,360,799 | $ | 6,837,839 | $ | 522,960 | $ | — |
Total | Level 1 | Level 2 | Level 3 | |||||||||||||
Commodity Contracts | ||||||||||||||||
Futures Contracts | $ | (476,054 | ) | $ | (476,054 | ) | $ | — | $ | — | ||||||
Equity Contracts | ||||||||||||||||
Futures Contracts | (59,956 | ) | (59,956 | ) | — | — | ||||||||||
Interest Rate Contracts | ||||||||||||||||
Futures Contracts | (115,089 | ) | (115,089 | ) | — | — | ||||||||||
Foreign Currency Contracts | ||||||||||||||||
Forward Foreign Currency Contracts | (286,907 | ) | — | (286,907 | ) | — | ||||||||||
Total Liabilities | $ | (938,006 | ) | $ | (651,099 | ) | $ | (286,907 | ) | $ | — |
At the end of each quarter, management evaluates the classification of Levels 1, 2 and 3 assets and liabilities. Various factors are considered, such as changes in liquidity from the prior reporting period; whether or not a broker is willing to execute at the quoted price; the depth and consistency of prices from third party pricing services; and the existence of contemporaneous, observable trades in the market. Additionally, management evaluates the classification of Levels 1, 2 and 3 assets and liabilities on a quarterly basis for changes in listings or delistings on national exchanges.
Due to the inherent uncertainty of determining the fair value of investments that do not have a readily available market value, the fair value of the Fund’s investments may fluctuate from period to period. Additionally, the fair value of investments may differ significantly from the values that would have been used had a ready market existed for such investments and may differ materially from the values the Fund may ultimately realize. Further, such investments may be subject to legal and other restrictions on resale or otherwise less liquid than publicly traded securities.
For fair valuations using significant unobservable inputs, U.S. generally accepted accounting principles (“U.S. GAAP”) requires the Fund to present a reconciliation of the beginning to ending balances for reported market values that presents changes attributable to total realized and unrealized gains or losses, purchase and sales, and transfers in and out of Level 3 during the period. Transfers in and out between levels are based on values at the end of the period. A reconciliation of Level 3 investments is presented only when the Fund had an amount of Level 3 investments at the end
13
Campbell Advantage Fund
Notes To Consolidated Financial Statements (Continued)
February 28, 2021 (Unaudited)
of the reporting period that was meaningful in relation to its net assets. The amounts and reasons for Level 3 transfers are disclosed if the Fund had an amount of total transfers during the reporting period that was meaningful in relation to its net assets as of the end of the reporting period.
During the current fiscal period, the Fund had no Level 3 transfers.
Disclosures about Derivative Instruments and Hedging Activities — Derivative instruments are defined as financial instruments whose value and performance are based on the value and performance of another security or financial instrument. Derivative instruments that the Fund used during the period include forward foreign currency contracts and futures contracts.
During the current fiscal period, the Fund used long and short contracts on U.S. and foreign equity market indices, U.S. and foreign government bonds, foreign currencies and commodities (through investment in the Subsidiary), to gain investment exposure in accordance with its investment objective.
The following tables provide quantitative disclosures about fair value amounts of, and gains and losses on, the Fund’s derivative instruments as of and for the current fiscal period.
The following tables list the fair values and location on the Consolidated Statement of Assets and Liabilities of the Fund’s derivative holdings as of end of the reporting period, grouped by derivative type and primary risk exposure category by contract type.
Derivative Type | Consolidated | Commodity | Equity | Interest | Foreign | Total | ||||||||||||||||||
Asset Derivatives | ||||||||||||||||||||||||
Futures Contracts (a) | Unrealized appreciation on futures contracts | $ | 1,120,399 | $ | 83,936 | $ | 173,750 | $ | — | $ | 1,378,085 | |||||||||||||
Forward Contracts (a) | Unrealized appreciation on forward foreign currency contracts | — | — | — | 522,960 | 522,960 | ||||||||||||||||||
Total Value - Assets | $ | 1,120,399 | $ | 83,936 | $ | 173,750 | $ | 522,960 | $ | 1,901,045 |
Liability Derivatives | ||||||||||||||||||||||||
Futures Contracts (a) | Unrealized depreciation on futures contracts | $ | (476,054 | ) | $ | (59,956 | ) | $ | (115,089 | ) | $ | — | $ | (651,099 | ) | |||||||||
Forward Contracts (a) | Unrealized depreciation on forward foreign currency contracts | — | — | — | (286,907 | ) | (286,907 | ) | ||||||||||||||||
Total Value - Liabilities | $ | (476,054 | ) | $ | (59,956 | ) | $ | (115,089 | ) | $ | (286,907 | ) | $ | (938,006 | ) |
(a) | This amount represents the cumulative appreciation/(depreciation) of forward and futures contracts as reported on the Consolidated Portfolio of Investments. |
14
Campbell Advantage Fund
Notes To Consolidated Financial Statements (Continued)
February 28, 2021 (Unaudited)
The following table lists the amounts of realized gains/(losses) included in net increase/(decrease) in net assets resulting from operations during the current fiscal period, grouped by derivative type and primary risk exposure category by contract type.
Derivative Type | Consolidated | Commodity | Equity | Interest Rate | Foreign | Total | ||||||||||||||||||
Realized Gain/(Loss) | ||||||||||||||||||||||||
Futures Contracts | Net realized gain/(loss) from futures contracts | $ | 564,864 | $ | (117,684 | ) | $ | (108,729 | ) | $ | — | $ | 338,451 | |||||||||||
Forward Contracts | Net realized gain/(loss) from forward foreign currency contracts | — | — | — | 300,078 | 300,078 | ||||||||||||||||||
Total Realized Gain/(Loss) | $ | 564,864 | $ | (117,684 | ) | $ | (108,729 | ) | $ | 300,078 | $ | 638,529 |
The following table lists the amounts of change in unrealized appreciation/(depreciation) included in net increase/(decrease) in net assets resulting from operations during the current fiscal period, grouped by derivative type and primary risk exposure category by contract type.
Derivative Type | Consolidated | Commodity | Equity | Interest Rate | Foreign | Total | ||||||||||||||||||
Change in Unrealized Appreciation/(Depreciation) | ||||||||||||||||||||||||
Futures Contracts | Net change in unrealized appreciation/ (depreciation) on futures contracts | $ | 765,808 | $ | (113,147 | ) | $ | 72,307 | $ | — | $ | 724,968 | ||||||||||||
Forward Contracts | Net change in unrealized appreciation/ (depreciation) on forward foreign currency contracts | — | — | — | (119,245 | ) | (119,245 | ) | ||||||||||||||||
Total Change in Unrealized Appreciation/(Depreciation) | $ | 765,808 | $ | (113,147 | ) | $ | 72,307 | $ | (119,245 | ) | $ | 605,723 |
During the current fiscal period, the Fund’s quarterly average volume of derivatives was as follows:
Long Futures | Short Futures | Forward Foreign | Forward Foreign | ||||||||||||
$ | 207,290,154 | $ | (22,096,894 | ) | $ | (49,530,439 | ) | $ | 49,656,929 |
For financial reporting purposes, the Fund does not offset fair value amounts recognized for derivative instruments and fair value amounts recognized for the right to reclaim cash collateral (receivables) or the obligation to return cash collateral (payables) arising from derivative instruments recognized at fair value executed with the same counterparty under a master netting arrangement.
15
Campbell Advantage Fund
Notes To Consolidated Financial Statements (Continued)
February 28, 2021 (Unaudited)
The following is a summary of financial and derivative instruments that are subject to enforceable master netting agreements (or similar arrangements) and collateral received and pledged in connection with the master netting agreements (or similar arrangements).
Gross Amount Not | Gross Amount Not | |||||||||||||||||||||||||||||||||||
Description | Gross Amount | Financial | Collateral | Net | Gross Amount | Financial | Collateral | Net | ||||||||||||||||||||||||||||
Assets | Liabilities | |||||||||||||||||||||||||||||||||||
Forward Foreign Currency Contracts | $ | 522,960 | $ | (286,907 | ) | $ | — | $ | 236,053 | $ | 286,907 | $ | (286,907 | ) | $ | — | $ | — |
(1) | Net amount represents the net amount receivable from the counterparty in the event of default. |
(2) | Actual collateral pledged may be more than the amount shown. |
(3) | Net amount represents the net amount payable to the counterparty in the event of default. |
Use of Estimates — The preparation of consolidated financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the consolidated financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates and those differences could be significant.
Investment Transactions, Investment Income and Expenses — The Fund records security transactions based on trade date for financial reporting purposes. The cost of investments sold is determined by use of the specific identification method for both financial reporting and income tax purposes in determining realized gains and losses on investments. Interest income (including amortization of premiums and accretion of discounts) is accrued when earned. Dividend income is recorded on the ex-dividend date. Distributions received on securities that represent a return of capital or capital gain are recorded as a reduction of cost of investments and/or as a realized gain. The Fund’s investment income, expenses (other than class specific expenses) and unrealized and realized gains and losses are allocated daily to each class of shares based upon the relative proportion of net assets of each class at the beginning of the day. Expenses incurred on behalf of a specific class, fund or fund family are charged directly to the class, fund or fund family (in proportion to net assets). Expenses incurred for all the RBB funds (such as director or professional fees) are charged to all funds in proportion to their average net assets of RBB, or in such other manner as the Board deems fair or equitable. Offering costs for a new fund are expensed over a 12-month period from the inception date of the fund. Offering costs are charged directly to the fund in which they are incurred. Expenses and fees, including offering costs and administration fees, are accrued daily and taken into account for the purpose of determining the NAV of the Fund.
Dividends and Distributions to Shareholders — Dividends from net investment income and distributions from net realized capital gains, if any, are declared and paid at least annually to shareholders and recorded on the ex-dividend date. Income dividends and capital gain distributions are determined in accordance with U.S. federal income tax regulations, which may differ from U.S. GAAP.
U.S. Tax Status — No provision is made for U.S. income taxes as it is the Fund’s intention to qualify for and elect the tax treatment applicable to regulated investment companies under Subchapter M of the Internal Revenue Code of 1986, as amended, and make the requisite distributions to its shareholders which will be sufficient to relieve it from U.S. income and excise taxes.
16
Campbell Advantage Fund
Notes To Consolidated Financial Statements (Continued)
February 28, 2021 (Unaudited)
For tax purposes, the Subsidiary is an exempted Cayman Islands investment company. The Subsidiary has received an undertaking from the Government of the Cayman Islands exempting it from all local income, profits and capital gains taxes. No such taxes are levied in the Cayman Islands at the present time. For U.S. income tax purposes, the Subsidiary is a Controlled Foreign Corporation and as such is not subject to U.S. income tax.
Foreign Currency Translation — Assets and liabilities initially expressed in non-U.S. currencies are translated into U.S. dollars based on the applicable exchange rates at the date of the last business day of the consolidated financial statement period. Purchases and sales of securities, interest income, dividends, variation margin received and expenses denominated in foreign currencies are translated into U.S. dollars at the exchange rates in effect on the transaction date.
The Fund does not separately report the effect of changes in foreign exchange rates from changes in market prices of securities held. Such changes are included with the net realized gain or loss and change in unrealized appreciation or depreciation on investments in the Consolidated Statement of Operations. Other foreign currency transactions resulting in realized and unrealized gain or loss are reported separately as net realized gain or loss and change in unrealized appreciation or depreciation on foreign currencies in the Consolidated Statement of Operations.
Currency Risk — Investment in foreign securities involves currency risk associated with securities that trade or are denominated in currencies other than the U.S. dollar and which may be affected by fluctuations in currency exchange rates. An increase in the strength of the U.S. dollar relative to a foreign currency may cause the U.S. dollar value of an investment in that country to decline. Foreign currencies also are subject to risks caused by inflation, interest rates, budget deficits and low savings rates, political factors and government controls. Forward foreign currency exchange contracts may limit potential gains from a favorable change in value between the U.S. dollar and foreign currencies. Unanticipated changes in currency pricing may result in poorer overall performance for the Fund than if it had not engaged in these contracts.
Commodity Sector Risk — Exposure to the commodities markets may subject the Fund to greater volatility than investments in traditional securities. The value of commodity-linked derivative instruments may be affected by changes in overall market movements, commodity index volatility, changes in interest rates or factors affecting a particular industry or commodity, such as drought, floods, weather, livestock disease, embargoes, tariffs and international economic, political and regulatory developments. The prices of energy, industrial metals, precious metals, agriculture and livestock sector commodities may fluctuate widely due to factors such as changes in value, supply and demand and governmental regulatory policies. The commodity-linked securities in which the Fund invests may be issued by companies in the financial services sector, and events affecting the financial services sector may cause the Fund’s share value to fluctuate.
Foreign Securities Market Risk — A substantial portion of the trades of the Fund are expected to take place on markets or exchanges outside the United States. There is no limit to the amount of assets of the Fund that may be committed to trading on foreign markets. The risk of loss in trading foreign futures and options on futures contracts can be substantial. Participation in foreign futures and options on futures contracts involves the execution and clearing of trades on, or subject to the rules of, a foreign board of trade or exchange. Some of these foreign markets, in contrast to U.S. exchanges, are so-called principals’ markets in which performance is the responsibility only of the individual counterparty with whom the trader has entered into a commodity interest transaction and not of the exchange or clearing corporation. In these kinds of markets, there is risk of bankruptcy or other failure or refusal to perform by the counterparty.
Counterparty Risk — The derivative contracts entered into by the Fund or its Subsidiary may be privately negotiated in the over-the-counter market. These contracts also involve exposure to credit risk, since contract performance depends in part on the financial condition of the counterparty. Relying on a counterparty exposes the Fund to the risk that a counterparty will not settle a transaction in accordance with its terms and conditions because of a dispute over the terms of the contract (whether or not bona fide) or because of a credit or liquidity problem, thus causing the Fund to suffer a loss. If a counterparty defaults on its payment obligations to the Fund, this default will cause the value of an investment in the Fund to decrease.
17
Campbell Advantage Fund
Notes To Consolidated Financial Statements (Continued)
February 28, 2021 (Unaudited)
Futures Contracts — The Fund uses futures contracts in the normal course of pursuing its investment objective. Upon entering into a futures contract, the Fund must deposit initial margin in addition to segregating cash or liquid assets sufficient to meet its obligation to purchase or provide securities, or to pay the amount owed at the expiration of an index-based futures contract. Such liquid assets may consist of cash, cash equivalents, liquid debt or equity securities or other acceptable assets. Pursuant to the futures contract, the Fund agrees to receive from, or pay to the broker, an amount of cash equal to the daily fluctuation in value of the contract. Such a receipt of payment is known as “variation margin” and is recorded by the Fund as an unrealized gain or loss. When the contract is closed, the Fund records a realized gain or loss equal to the difference between the proceeds from (or cost of) the closing transactions and the Fund’s basis in the contract. Futures contracts have market risks, including the risk that the change in the value of the contract may not correlate with changes in the value of the underlying securities. Use of long futures contracts subjects the Fund to risk of loss in excess of the amount shown on the Consolidated Statement of Assets and Liabilities, up to the notional value of the futures contract. Use of short futures contracts subjects the Fund to unlimited risk of loss.
Forward Foreign Currency Contracts — The Fund uses forward foreign currency contracts (“forward contracts”) in the normal course of pursuing its investment objectives. These contracts are marked-to-market daily at the applicable translation rates. The Fund records realized gains or losses at the time the forward contract is closed. A forward contract is extinguished through a closing transaction or upon delivery of the currency or entering an off setting contract. Risks may arise upon entering these contracts from the potential inability of a counterparty to meet the terms of their contracts and from unanticipated movements in the value of a foreign currency relative to the U.S. dollar or other currencies. The Fund’s maximum risk of loss from counterparty credit risk related to forward foreign currency contracts is the fair value of the contract. The risk may be mitigated to some extent if a master netting arrangement between the Fund and the counterparty is in place and to the extent the Fund obtains collateral to cover the Fund’s exposure to the counterparty.
Credit Risk — Credit risk refers to the possibility that the issuer of the security or a counterparty in respect of a derivative instrument will not be able to satisfy its payment obligations to the Fund when due. Changes in an issuer’s credit rating or the market’s perception of an issuer’s creditworthiness may also affect the value of the Fund’s investment in that issuer. Securities rated in the four highest categories by the rating agencies are considered investment grade but they may also have some speculative characteristics. Investment grade ratings do not guarantee that bonds will not lose value or default. In addition, the credit quality of securities may be lowered if an issuer’s financial condition changes.
Coronavirus (COVID-19) Pandemic — The global outbreak of COVID-19 (commonly referred to as “coronavirus”) has disrupted economic markets and the prolonged economic impact is uncertain. The ultimate economic fallout from the pandemic, and the long-term impact on economies, markets, industries and individual companies are not known. The operational and financial performance of individual companies and the market in general depends on future developments, including the duration and spread of the outbreak, and such uncertainty may in turn adversely affect the value and liquidity of the Fund’s investments, impair the Fund’s ability to satisfy redemption requests, and negatively impact the Fund’s performance.
Cash and Cash Equivalents — Cash and cash equivalents are valued at cost plus accrued interest, which approximates market value.
Other — In the normal course of business, the Fund may enter into contracts that provide general indemnifications. The Fund’s maximum exposure under these arrangements is dependent on claims that may be made against the Fund in the future, and, therefore, cannot be estimated; however, the Fund expects the risk of material loss from such claims to be remote.
2. Investment Adviser and Other Services
Campbell & Company Investment Adviser LLC (“Campbell” or the “Adviser”) serves as the investment adviser to the Fund. The Adviser is a wholly-owned subsidiary of Campbell & Company, L.P. The Fund does not pay a fee to Campbell for investment advisory services. The Fund is only available for investment to clients of Campbell, including other investment companies advised by Campbell. Such clients have discretion to pay Campbell an amount deemed to be fair and reasonable.
18
Campbell Advantage Fund
Notes To Consolidated Financial Statements (Continued)
February 28, 2021 (Unaudited)
U.S. Bancorp Fund Services, LLC (“Fund Services”), doing business as U.S. Bank Global Fund Services, serves as administrator for the Fund. For providing administrative and accounting services, Fund Services is entitled to receive a monthly fee, subject to certain minimum and out of pocket expenses.
Fund Services serves as the Fund’s transfer and dividend disbursing agent. For providing transfer agent services, Fund Services is entitled to receive a monthly fee, subject to certain minimum and out of pocket expenses.
U.S. Bank, N.A. (the “Custodian”) provides certain custodial services to the Fund. The Custodian is entitled to receive a monthly fee, subject to certain minimum and out of pocket expenses.
Quasar Distributors, LLC (the “Distributor”), a wholly-owned broker-dealer subsidiary of Foreside Financial Group, LLC, serves as the principal underwriter and distributor of the Fund’s shares pursuant to a Distribution Agreement with RBB.
For compensation amounts paid to Fund Services and the Custodian, please refer to the Consolidated Statement of Operations.
3. Director and Officer Compensation
The Directors of the Company receive an annual retainer and meeting fees for meetings attended. An employee of Vigilant Compliance, LLC serves as President and Chief Compliance Officer of the Company. Vigilant Compliance, LLC is compensated for the services provided to the Company. Employees of RBB serve as Treasurer, Secretary and Director of Marketing & Business Development of the Company. They are compensated for services provided. Certain employees of Fund Services serve as officers of the Company. They are not compensated by the Fund or the Company. For Director and Officer compensation amounts, please refer to the Consolidated Statement of Operations.
4. Purchases and Sales of Investment Securities
During the current fiscal period, there were no purchases and sales of investment securities (excluding short-term investments and derivative transactions) or long-term U.S. Government securities by the Fund.
5. Federal Income Tax Information
The Fund has followed the authoritative guidance on accounting for and disclosure of uncertainty in tax positions, which requires the Fund to determine whether a tax position is more likely than not to be sustained upon examination, including resolution of any related appeals or litigation processes, based on the technical merits of the position. The Fund has determined that there was no effect on the consolidated financial statements from following this authoritative guidance. In the normal course of business, the Fund is subject to examination by federal, state and local jurisdictions, where applicable, for tax years for which applicable statutes of limitations have not expired.
As of August 31, 2020, the federal tax cost and aggregate gross unrealized appreciation and depreciation of investments held by the Fund were as follows(a):
Federal Tax | Unrealized | Unrealized | Net |
$5,648,838 | $76 | $(549,758) | $(549,682) |
(a) | The difference between the book basis and tax basis cost and aggregate gross unrealized appreciation and depreciation of investments is attributable primarily to futures not regulated by section 1256 of the Internal Revenue Code and timing difference related to taxable income from a wholly owned controlled foreign corporation. |
19
Campbell Advantage Fund
Notes To Consolidated Financial Statements (Concluded)
February 28, 2021 (Unaudited)
Distributions to shareholders, if any, from net investment income and realized gains are determined in accordance with federal income tax regulations, which may differ from net investment income and realized gains recognized for financial reporting purposes. Accordingly, the character of distributions and composition of net assets for tax purposes may differ from those reflected in the accompanying consolidated financial statements. To the extent these differences are permanent, such amounts are reclassified within the capital accounts based on the tax treatment; temporary differences do not require such reclassification.
Permanent differences as of August 31, 2020, primarily attributable to investments in wholly-owned controlled foreign corporation and net operating losses were reclassified among the following accounts:
Distributable | Paid-In |
$441,855 | $(441,855) |
As of August 31, 2020, the components of distributable earnings on a tax basis were as follows:
Undistributed | Undistributed | Qualified | Capitol Loss | Unrealized |
$— | $— | $— | $(365,319) | $(182,743) |
The differences between the book and tax basis components of distributable earnings relate principally to the timing of recognition of income and gains of the Subsidiary for federal income tax purposes. Short-term and foreign currency gains are reported as ordinary income for federal income tax purposes.
The tax character of dividends and distributions paid during the fiscal year ended August 31, 2020 was as follows:
Ordinary | Long-Term | Total |
$361,246 | $382,491 | $743,737 |
Pursuant to federal income tax rules applicable to regulated investment companies, the Fund may elect to treat certain capital losses between November 1 and August 31 and late year ordinary losses ((i) ordinary losses between January 1 and August 31, and (ii) specified ordinary and currency losses between November 1 and August 31) as occurring on the first day of the following tax year. For the current fiscal period ended August 31, 2020, any amount of losses elected within the tax return will not be recognized for federal income tax purposes until September 1, 2020. As of August 31, 2020, the Fund had no tax basis qualified late-year loss deferral.
Under the Regulated Investment Company Modernization Act of 2010, the Fund is permitted to carry forward capital losses for an unlimited period. Additionally, capital losses that are carried forward will retain their character as either short-term or long-term capital losses rather than being considered all short-term as under the previous law. As of August 31, 2020, the Fund had $365,319 of short term capital loss carryovers to offset future capital gains.
6. Subsequent Events
Management has evaluated the impact of all subsequent events on the Fund through the date the consolidated financial statements were issued and has determined that there were no significant events requiring recognition or disclosure in the consolidated financial statements.
20
Campbell Advantage Fund
Other Information
(Unaudited)
Proxy Voting
Policies and procedures that the Fund uses to determine how to vote proxies relating to portfolio securities as well as information regarding how the Fund voted proxies relating to portfolio securities for the most recent twelve-month period ended June 30 are available without charge, upon request, by calling (844) 261-6488 and on the Securities and Exchange Commission’s (“SEC”) website at http://www.sec.gov.
Quarterly Portfolio Schedules
The Company files a complete schedule of portfolio holdings with the SEC for the first and third fiscal quarters of each fiscal year (quarters ended November 30 and May 31) as an exhibit to its report on Form N-PORT. The Company’s Form N-PORT is available on the SEC’s website at http://www.sec.gov.
Liquidity Risk Management Program
The Company has adopted and implemented a Liquidity Risk Management Program (the “Company Program”) as required by rule 22e-4 under the 1940 Act. In accordance with the Company Program, the Adviser has adopted and implemented a liquidity risk management program (the “Adviser Program” and together with the Company Program, the “Programs”) on behalf of the Fund. The Programs seek to assess, manage and review the Fund’s Liquidity Risk. “Liquidity Risk” is defined as the risk that the Fund could not meet requests to redeem shares issued by the Fund without significant dilution of remaining investors’ interest in the Fund.
The Board has appointed Vigilant Compliance, LLC (“Vigilant”) as the program administrator for the Company Program and the Liquidity Risk Management Committee of the Adviser as the program administrator for the Adviser Program. The process of monitoring and determining the liquidity of the Fund’s investments is supported by one or more third-party vendors.
At meetings held during the fiscal period, the Board and its Investment and Liquidity Risk Committee received and reviewed a written report (the “Report”) of Vigilant and the Adviser concerning the operation of the Programs for the period from June 1, 2019 to June 30, 2020 (the “Period”). The Report summarized the operation of the Programs and the information and factors considered by Vigilant and the Adviser in reviewing the adequacy and effectiveness of the implementation of the Programs with respect to the Fund. Such information and factors included, among other things: (i) the methodology used to classify the liquidity of the Fund’s portfolio investments and the Adviser’s assessment that the Fund’s strategy remained appropriate for an open-end mutual fund; (ii) analyses of the Fund’s trading environment and reasonably anticipated trading size; (iii) that the Fund held primarily highly liquid assets (investments that the Fund anticipates can be converted to cash within 3 business days or less in current market conditions without significantly changing their market value); (iv) that the Fund did not require the establishment of a highly liquid investment minimum and the methodology for that determination; (v) confirmation that the Fund did not breach the 15% maximum illiquid security threshold (investments that cannot be sold or disposed of in seven days or less in current market conditions without the sale of the investment significantly changing the market value of the investment) during the Period and the procedures for monitoring compliance with the limit; (vi) that the processes, technologies and third-party vendors used to assess, manage, and/or periodically review the Fund’s Liquidity Risk functioned appropriately during the Period; and (vii) that the Programs operated adequately during the Period. The Report also indicated that there were no material changes made to the Company Program during the Period and described certain material changes made to the Adviser Program during the Period.
Based on the review, the Report concluded that the Programs were being implemented effectively and reasonably designed to assess and manage Liquidity Risk in the Fund’s portfolio.
There can be no assurance that the Company Program or the Adviser Program will achieve its objectives under all circumstances in the future. Please refer to the Fund’s prospectus for more information regarding the Fund’s exposure to liquidity risk and other risks to which it may be subject.
21
Investment Adviser
Campbell & Company Investment Adviser LLC
2850 Quarry Lake Drive
Baltimore, Maryland 21209
Administrator and Transfer Agent
U.S. Bancorp Fund Services, LLC
P.O. Box 701
Milwaukee, WI 53201
Custodian
U.S. Bank, N.A.
1555 North Rivercenter Drive, Suite 302
Milwaukee, WI 53212
Independent Registered Public Accounting Firm
Ernst & Young LLP
One Commerce Square
2005 Market Street, Suite 700
Philadelphia, PA 19103
Legal Counsel
Faegre Drinker Biddle & Reath LLP
One Logan Square, Suite 2000
Philadelphia, PA 19103-6996
CAAD-SAR21
Campbell Systematic Macro Fund
of
THE RBB FUND, INC.
Class A (TICKER: EBSAX)
Class C (TICKER: EBSCX)
Class I (TICKER: EBSIX)
Semi-Annual Report
February 28, 2021
(Unaudited)
Campbell Systematic Macro Fund
Performance Data
February 28, 2021 (Unaudited)
Average annual total returns for the period ended FEBRUARY 28, 2021 | ||||||
SIX | ONE | THREE | FIVE | SINCE | ||
Class A Shares (without sales charge) | 5.82% | -2.79% | 4.15% | -0.94% | 1.93% | |
Class A Shares (with sales charge) | 2.17% | -6.21% | 2.91% | -1.64% | 1.48% | |
BarclayHedge BTOP50 Index (3)(4) | 7.83% | 9.14% | 4.11% | -0.22% | 1.73% | |
S&P 500® Total Return Index (3)(5) | 9.74% | 31.30% | 14.15% | 16.83% | 14.52% |
(1) | Not annualized. |
(2) | The Fund commenced operations on March 8, 2013 as a separate portfolio (the “Predecessor Fund”) of Equinox Funds Trust. Effective May 29, 2020, the Predecessor Fund was reorganized as a new series of The RBB Fund, Inc. (the “Reorganization”). The performance shown for periods prior to May 29, 2020 represents the performance of the Predecessor Fund. |
(3) | Benchmark performance is from inception date of the Class only and is not the inception date of the benchmark itself. |
(4) | The BarclayHedge BTOP50 Index (“BTOP50 Index”) seeks to replicate the overall composition of the managed futures industry with regard to trading style and overall market exposure. The BTOP50 Index employs a top-down approach in selecting its constituents. The largest investable trading advisor programs, as measured by assets under management, are selected for inclusion in the BTOP50 Index. It is not possible to invest directly in an index. |
(5) | This is not a primary benchmark of the Fund. Results of the S&P 500® Total Return Index are presented for general comparative purposes. The S&P 500® Total Return Index is a widely accepted, unmanaged index of U.S. stock market performance which does not take into account charges, fees and other expenses. It is not possible to invest directly in an index. |
Effective January 15, 2021, the outstanding Class P Shares of the Fund were converted into Class A Shares of the Fund. Class A Shares of the Fund have a 3.50% maximum sales charge. Prior to February 16, 2021, the Class A Shares of the Fund had a 5.75% maximum sales charge.
Performance data quoted is past performance and does not guarantee future results. Investment return and principal value will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the returns quoted above. Returns shown do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. Call the Fund at 1-844-261-6488 for returns current to the most recent month-end.
The performance data quoted reflects fee waivers in effect and would have been less in their absence. The Fund’s total annual operating expense ratio for Class A Shares, as stated in the current prospectus dated December 31, 2020, as supplemented, is 2.36% and the Fund’s net operating expense ratio after waivers for Class A Shares is 2.00%. Campbell & Company Investment Adviser LLC has contractually agreed to waive its advisory fee and/or reimburse expenses in order to limit total annual Fund operating expenses (excluding acquired fund fees and expenses, brokerage commissions, extraordinary items, interest or taxes) for Class A Shares to 2.00% of the Fund’s average daily net assets. This contractual limitation is in effect until December 31, 2021 and may not be terminated without the approval of the Board of Directors of The RBB Fund, Inc. Please see the Consolidated Financial Highlights for current figures.
An investment in the Fund is speculative and involves substantial risk. The Fund is not suitable for all investors. It is possible that an investor may lose some or all of its investment. The Fund invests in long and short positions in futures, forwards and spot contracts, each of which may be tied to commodities, financial indices and instruments, foreign currencies, or equity indices. The Fund also invests in investment grade fixed income securities of all durations and maturities. The Fund may be more volatile than investments in traditional securities. Losses on futures and other derivatives can be caused by unanticipated market movements and may be potentially unlimited. Commodities, currencies, foreign investments, and interest rate-linked instruments each entail special risks. The Fund is non-diversified; therefore gains or losses on a single holding may have a relatively great impact on the Fund. A more complete description of the Fund’s risks can be found in its prospectus, which should be read carefully before investing.
Portfolio composition is subject to change.
1
Campbell Systematic Macro Fund
Performance Data (Continued)
February 28, 2021 (Unaudited)
Average annual total returns for the period ended FEBRUARY 28, 2021 | ||||||
SIX | ONE | THREE | FIVE | SINCE | ||
Class C Shares | 5.36% | -3.64% | 3.31% | -1.73% | 1.98% | |
BarclayHedge BTOP50 Index (3)(4) | 7.83% | 9.14% | 4.11% | -0.22% | 2.24% | |
S&P 500® Total Return Index (3)(5) | 9.74% | 31.30% | 14.15% | 16.83% | 13.60% |
(1) | Not annualized. |
(2) | Class C Shares of the Fund commenced operations on February 11, 2014 in a separate portfolio (the “Predecessor Fund”) of Equinox Funds Trust. Effective May 29, 2020, the Predecessor Fund was reorganized as a new series of The RBB Fund, Inc. (the “Reorganization”). The performance shown for periods prior to May 29, 2020 represents the performance of the Predecessor Fund. |
(3) | Benchmark performance is from inception date of the Class only and is not the inception date of the benchmark itself. |
(4) | The BarclayHedge BTOP50 Index (“BTOP50 Index”) seeks to replicate the overall composition of the managed futures industry with regard to trading style and overall market exposure. The BTOP50 Index employs a top-down approach in selecting its constituents. The largest investable trading advisor programs, as measured by assets under management, are selected for inclusion in the BTOP50 Index. It is not possible to invest directly in an index. |
(5) | This is not a primary benchmark of the Fund. Results of the S&P 500® Total Return Index are presented for general comparative purposes. The S&P 500® Total Return Index is a widely accepted, unmanaged index of U.S. stock market performance which does not take into account charges, fees and other expenses. It is not possible to invest directly in an index. |
Performance data quoted is past performance and does not guarantee future results. Investment return and principal value will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the returns quoted above. Returns shown do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. Call the Fund at 1-844-261-6488 for returns current to the most recent month-end.
The performance data quoted reflects fee waivers in effect and would have been less in their absence. The Fund’s total annual operating expense ratio for Class C Shares, as stated in the current prospectus dated December 31, 2020, as supplemented, is 3.11% and the Fund’s net operating expense ratio after waivers for Class C Shares is 2.75%. Campbell & Company Investment Adviser LLC has contractually agreed to waive its advisory fee and/or reimburse expenses in order to limit total annual Fund operating expenses (excluding acquired fund fees and expenses, brokerage commissions, extraordinary items, interest or taxes) for Class C Shares to 2.75% of the Fund’s average daily net assets. This contractual limitation is in effect until December 31, 2021 and may not be terminated without the approval of the Board of Directors of The RBB Fund, Inc. Please see the Consolidated Financial Highlights for current figures.
An investment in the Fund is speculative and involves substantial risk. The Fund is not suitable for all investors. It is possible that an investor may lose some or all of its investment. The Fund invests in long and short positions in futures, forwards and spot contracts, each of which may be tied to commodities, financial indices and instruments, foreign currencies, or equity indices. The Fund also invests in investment grade fixed income securities of all durations and maturities. The Fund may be more volatile than investments in traditional securities. Losses on futures and other derivatives can be caused by unanticipated market movements and may be potentially unlimited. Commodities, currencies, foreign investments, and interest rate-linked instruments each entail special risks. The Fund is non-diversified; therefore gains or losses on a single holding may have a relatively great impact on the Fund. A more complete description of the Fund’s risks can be found in its prospectus, which should be read carefully before investing.
Portfolio composition is subject to change.
2
Campbell Systematic Macro Fund
Performance Data (Concluded)
February 28, 2021 (Unaudited)
Average annual total returns for the period ended FEBRUARY 28, 2021 | ||||||
SIX | ONE | THREE | FIVE | SINCE | ||
Class I Shares | 5.87% | -2.52% | 4.42% | -0.70% | 2.19% | |
BarclayHedge BTOP50 Index (3)(4) | 7.83% | 9.14% | 4.11% | -0.22% | 1.73% | |
S&P 500® Total Return Index (3)(5) | 9.74% | 31.30% | 14.15% | 16.83% | 14.52% |
(1) | Not annualized. |
(2) | The Fund commenced operations on March 8, 2013 as a separate portfolio (the “Predecessor Fund”) of Equinox Funds Trust. Effective May 29, 2020, the Predecessor Fund was reorganized as a new series of The RBB Fund, Inc. (the “Reorganization”). The performance shown for periods prior to May 29, 2020 represents the performance of the Predecessor Fund. |
(3) | Benchmark performance is from inception date of the Class only and is not the inception date of the benchmark itself. |
(4) | The BarclayHedge BTOP50 Index (“BTOP50 Index”) seeks to replicate the overall composition of the managed futures industry with regard to trading style and overall market exposure. The BTOP50 Index employs a top-down approach in selecting its constituents. The largest investable trading advisor programs, as measured by assets under management, are selected for inclusion in the BTOP50 Index. It is not possible to invest directly in an index. |
(5) | This is not a primary benchmark of the Fund. Results of the S&P 500® Total Return Index are presented for general comparative purposes. The S&P 500® Total Return Index is a widely accepted, unmanaged index of U.S. stock market performance which does not take into account charges, fees and other expenses. It is not possible to invest directly in an index. |
Performance data quoted is past performance and does not guarantee future results. Investment return and principal value will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the returns quoted above. Returns shown do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. Call the Fund at 1-844-261-6488 for returns current to the most recent month-end.
The performance data quoted reflects fee waivers in effect and would have been less in their absence. The Fund’s total annual operating expense ratio for Class I Shares, as stated in the current prospectus dated December 31, 2020, as supplemented, is 2.11% and the Fund’s net operating expense ratio after waivers is for Class I Shares 1.75%. Campbell & Company Investment Adviser LLC has contractually agreed to waive its advisory fee and/or reimburse expenses in order to limit total annual Fund operating expenses (excluding acquired fund fees and expenses, brokerage commissions, extraordinary items, interest or taxes) for Class I Shares to 1.75% of the Fund’s average daily net assets. This contractual limitation is in effect until December 31, 2021 and may not be terminated without the approval of the Board of Directors of The RBB Fund, Inc. Please see the Consolidated Financial Highlights for current figures.
An investment in the Fund is speculative and involves substantial risk. The Fund is not suitable for all investors. It is possible that an investor may lose some or all of its investment. The Fund invests in long and short positions in futures, forwards and spot contracts, each of which may be tied to commodities, financial indices and instruments, foreign currencies, or equity indices. The Fund also invests in investment grade fixed income securities of all durations and maturities. The Fund may be more volatile than investments in traditional securities. Losses on futures and other derivatives can be caused by unanticipated market movements and may be potentially unlimited. Commodities, currencies, foreign investments, and interest rate-linked instruments each entail special risks. The Fund is non-diversified; therefore gains or losses on a single holding may have a relatively great impact on the Fund. A more complete description of the Fund’s risks can be found in its prospectus, which should be read carefully before investing.
Portfolio composition is subject to change.
3
Campbell Systematic Macro Fund
Fund Expense Example
February 28, 2021 (Unaudited)
As a shareholder of the Fund, you incur two types of costs: (1) transaction costs and (2) ongoing costs, including management fees and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
This example is based on an investment of $1,000 invested at the beginning of the six-month period from September 1, 2020 through February 28, 2021, and held for the entire period.
Actual Expenses
The first line of the accompanying table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The second line of the accompanying table provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.
Please note that the expenses shown in the accompanying table are meant to highlight your ongoing costs only and do not reflect any transactional costs. Therefore, the second line of the accompanying table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
Beginning | Ending | Expenses | Annualized | Actual | |
Actual | |||||
Class A | $ 1,000.00 | $ 1,058.20 | $ 10.21 | 2.00% | 5.82% |
Class C | 1,000.00 | 1,053.60 | 14.00 | 2.75 | 5.36 |
Class I | 1,000.00 | 1,058.70 | 8.93 | 1.75 | 5.87 |
Hypothetical (5% return before expenses) | |||||
Class A | $ 1,000.00 | $ 1,014.88 | $ 9.99 | 2.00% | N/A |
Class C | 1,000.00 | 1,011.16 | 13.71 | 2.75 | N/A |
Class I | 1,000.00 | 1,016.12 | 8.75 | 1.75 | N/A |
* | Expenses are equal to the Fund’s annualized six-month expense ratio for the period September 1, 2020 to February 28, 2021, multiplied by the average account value over the period, multiplied by the number of days (181) in the most recent fiscal half-year, then divided by 365 to reflect the one half year period. The Fund’s ending account values on the first line in the tables is based on the actual six-month total investment return for the Fund. |
4
Campbell Systematic Macro Fund
Consolidated Portfolio Holdings Summary Table
February 28, 2021 (Unaudited)
The following table presents a consolidated summary of the portfolio holdings of the Fund:
% of Net | Value | |||||||
SHORT-TERM INVESTMENTS: | ||||||||
U.S. Treasury Obligations | 61.5 | % | $ | 75,994,592 | ||||
Money Market Deposit Account | 20.3 | 25,027,716 | ||||||
OTHER ASSETS IN EXCESS OF LIABILITIES | ||||||||
(including futures and forward foreign currency contracts) | 18.2 | 22,532,309 | ||||||
NET ASSETS | 100.0 | % | $ | 123,554,617 |
The Fund seeks to achieve its investment objective by allocating its assets among derivatives and fixed income securities.
As a result of the Fund’s use of derivatives, the Fund may hold significant amounts of U.S. Treasuries or short-term investments.
Portfolio holdings are subject to change at any time.
Refer to the Consolidated Portfolio of Investments for a detailed listing of the Fund’s holdings.
The accompanying notes are an integral part of the consolidated financial statements.
5
Campbell Systematic Macro Fund
Consolidated Portfolio of Investments
February 28, 2021 (Unaudited)
Coupon* | Maturity | Par | Value | |||||||
SHORT-TERM INVESTMENTS — 81.8% | ||||||||||
U.S. TREASURY OBLIGATIONS — 61.5% | ||||||||||
United States Treasury Bill | 0.091% | 03/11/21 | $ | 20,000 | $ | 19,999,847 | ||||
United States Treasury Bill | 0.051% | 04/01/21 | 20,000 | 19,999,440 | ||||||
United States Treasury Bill | 0.041% | 04/15/21 | 10,000 | 9,999,625 | ||||||
United States Treasury Bill | 0.051% | 07/15/21 | 20,000 | 19,996,978 | ||||||
United States Treasury Bill | 0.020% | 08/12/21 | 6,000 | 5,998,702 | ||||||
TOTAL U.S. TREASURY OBLIGATIONS | ||||||||||
(Cost $75,993,815) | $ | 75,994,592 |
Number of | ||||||||
MONEY MARKET DEPOSIT ACCOUNT — 20.3% | ||||||||
U.S. Bank Money Market Deposit Account, 0.10% (a) | 25,028 | 25,027,716 | ||||||
TOTAL MONEY MARKET DEPOSIT ACCOUNT INVESTMENTS | ||||||||
(Cost $25,027,716) | 25,027,716 | |||||||
TOTAL SHORT-TERM INVESTMENTS | ||||||||
(Cost $101,021,531) | 101,022,308 | |||||||
TOTAL INVESTMENTS — 81.8% | ||||||||
(Cost $101,021,531) | 101,022,308 | |||||||
OTHER ASSETS IN EXCESS OF LIABILITIES — 18.2% | 22,532,309 | |||||||
NET ASSETS — 100.0% | $ | 123,554,617 |
* | Short-term investments’ coupon reflects the annualized yield on the date of purchase for discounted investments. |
(a) | The rate shown is as of February 28, 2021. |
The accompanying notes are an integral part of the consolidated financial statements.
6
Campbell Systematic Macro Fund
Consolidated Portfolio of Investments (Continued)
February 28, 2021 (Unaudited)
Futures contracts outstanding as of February 28, 2021 were as follows:
Long Contracts | Expiration | Number of | Notional | Value and | ||||||
90-Day Euro | Jun-22 | 475 | $ | 118,447,187 | $ | (57,293 | ) | |||
90-Day Sterling | Mar-22 | 1,404 | 244,006,053 | (449,991 | ) | |||||
Amsterdam Index | Mar-21 | 1 | 157,059 | (1,387 | ) | |||||
Australian 10-Year Bond | Mar-21 | 461 | 48,621,288 | (2,653,170 | ) | |||||
Australian 3-Year Bond | Mar-21 | 1,340 | 120,425,588 | (540,222 | ) | |||||
Bank Acceptance | Jun-22 | 111 | 21,636,757 | (35,089 | ) | |||||
Brent Crude | Jun-21 | 4 | 254,920 | (4,937 | ) | |||||
CAC40 10 Euro | Mar-21 | 75 | 5,157,093 | (63,885 | ) | |||||
Canadian 10-Year Bond | Jun-21 | 212 | 23,285,683 | (366,940 | ) | |||||
Cattle Feeder Futures | Apr-21 | 24 | 1,710,900 | (5,083 | ) | |||||
Cocoa | May-21 | 92 | 2,395,680 | 121,292 | ||||||
Coffee | May-21 | 3 | 154,687 | (1,603 | ) | |||||
DAX Index | Mar-21 | 14 | 5,810,318 | (56,765 | ) | |||||
DJIA Mini E-CBOT | Mar-21 | 32 | 4,945,920 | (6,841 | ) | |||||
Euro BUXL 30-Year Bond Futures | Mar-21 | 2 | 506,316 | (31,662 | ) | |||||
Euro Stoxx 50 | Mar-21 | 103 | 4,507,439 | (70,872 | ) | |||||
Euro-BTP | Mar-21 | 27 | 4,880,009 | (76,867 | ) | |||||
Euro-Oat | Mar-21 | 23 | 4,535,286 | (117,088 | ) | |||||
FTSE/JSE TOP 40 | Mar-21 | 55 | 2,189,859 | 37,784 | ||||||
FTSE/MIB Index | Mar-21 | 19 | 2,616,709 | (23,604 | ) | |||||
Gasoline RBOB | Apr-21 | 52 | 4,259,892 | 299,242 | ||||||
Hang Seng Index | Mar-21 | 31 | 5,786,984 | (182,752 | ) | |||||
IBEX 35 Index | Mar-21 | 10 | 988,936 | 1,953 | ||||||
Kansas City Hard Red Winter Wheat | May-21 | 76 | 2,408,250 | (31,831 | ) | |||||
London Metals Exchange Aluminum | Mar-21 | 166 | 8,846,763 | 576,821 | ||||||
London Metals Exchange Aluminum | Jun-21 | 41 | 2,213,231 | 563 | ||||||
London Metals Exchange Copper | Mar-21 | 186 | 42,283,613 | 6,545,144 | ||||||
London Metals Exchange Copper | Jun-21 | 38 | 8,620,300 | 435,683 | ||||||
London Metals Exchange Nickel | Mar-21 | 80 | 8,899,200 | 923,854 | ||||||
London Metals Exchange Nickel | Jun-21 | 33 | 3,678,840 | (52,780 | ) | |||||
London Metals Exchange Zinc | Mar-21 | 116 | 8,060,550 | 212,806 | ||||||
London Metals Exchange Zinc | Jun-21 | 38 | 2,655,725 | 56,429 | ||||||
MSCI Singapore Exchange ETS | Mar-21 | 138 | 3,504,852 | 52,799 | ||||||
Nasdaq 100 E-Mini | Mar-21 | 12 | 3,098,640 | (14,590 | ) | |||||
Nikkie 225 (Osaka Securities Exchange) | Mar-21 | 1 | 274,403 | (1,600 | ) | |||||
NY Harbor Ultra-Low Sulfur Diesel | Apr-21 | 12 | 928,922 | (9,702 | ) | |||||
Platinum | Apr-21 | 5 | 296,325 | 9,693 | ||||||
Russell 2000 E-Mini | Mar-21 | 19 | 2,089,240 | (24,115 | ) | |||||
S&P 500 E-Mini | Mar-21 | 53 | 10,094,380 | (178,406 | ) | |||||
S&P Mid 400 E-Mini | Mar-21 | 12 | 2,993,640 | 66,135 | ||||||
S&P/TSX 60 Index | Mar-21 | 35 | 5,895,490 | 6,434 | ||||||
Soybean | May-21 | 23 | 1,614,888 | 29,359 | ||||||
Soybean Meal | May-21 | 80 | 3,371,200 | (110,220 | ) | |||||
Soybean Oil | May-21 | 200 | 5,992,800 | 578,024 | ||||||
Sugar No. 11 (World) | May-21 | 124 | 2,284,576 | 121,347 | ||||||
Topix Index | Mar-21 | 15 | 2,639,195 | (57,887 | ) |
The accompanying notes are an integral part of the consolidated financial statements.
7
Campbell Systematic Macro Fund
Consolidated Portfolio of Investments (Continued)
February 28, 2021 (Unaudited)
Long Contracts | Expiration | Number of | Notional | Value and | ||||||
U.S. Treasury 10-Year Notes | Jun-21 | 35 | $ | 4,645,156 | $ | (56,824 | ) | |||
U.S. Treasury 2-Year Notes | Jun-21 | 1,130 | 249,465,157 | (190,061 | ) | |||||
U.S. Treasury Long Bond (Chicago Board of Trade) | Jun-21 | 30 | 4,776,563 | (8,927 | ) | |||||
$ | 4,592,368 |
Short Contracts | Expiration | Number of | Notional | Value and | ||||||
3-Month Euro Euribor | Mar-22 | 766 | $ | (232,186,327 | ) | $ | 134,909 | |||
90-DAY Bank Bill | Mar-22 | 88 | (67,681,685 | ) | 17,413 | |||||
Copper | May-21 | 9 | (920,813 | ) | (13,284 | ) | ||||
Corn | May-21 | 63 | (1,724,625 | ) | 9,457 | |||||
Cotton No.2 | May-21 | 53 | (2,353,995 | ) | 6,345 | |||||
Euro-Bobl | Mar-21 | 140 | (22,670,335 | ) | 8,284 | |||||
Euro-Bund | Mar-21 | 125 | (26,151,953 | ) | 289,175 | |||||
Euro-Schatz | Mar-21 | 2,370 | (320,752,525 | ) | 223,458 | |||||
FTSE 100 Index | Mar-21 | 193 | (17,315,066 | ) | 244,541 | |||||
Gold 100 Oz | Apr-21 | 21 | (3,630,480 | ) | 72,129 | |||||
JPN 10-Year Bond (Osaka Securities Exchange) | Mar-21 | 53 | (74,889,629 | ) | 470,359 | |||||
Live Cattle | Apr-21 | 18 | (864,000 | ) | 10,117 | |||||
London Metals Exchange Aluminum | Mar-21 | 166 | (8,846,762 | ) | (615,053 | ) | ||||
London Metals Exchange Aluminum | Jun-21 | 28 | (1,511,475 | ) | 5,480 | |||||
London Metals Exchange Copper | Mar-21 | 186 | (42,283,612 | ) | (6,242,183 | ) | ||||
London Metals Exchange Copper | Jun-21 | 51 | (11,569,350 | ) | (503,510 | ) | ||||
London Metals Exchange Nickel | Mar-21 | 80 | (8,899,200 | ) | (535,936 | ) | ||||
London Metals Exchange Nickel | Jun-21 | 19 | (2,118,120 | ) | 93,034 | |||||
London Metals Exchange Zinc | Mar-21 | 116 | (8,060,550 | ) | (227,797 | ) | ||||
London Metals Exchange Zinc | Jun-21 | 28 | (1,956,850 | ) | 46,766 | |||||
Long Gilt | Jun-21 | 71 | (12,638,687 | ) | 37,582 | |||||
Low Sulphur Gasoil G Futures | Apr-21 | 82 | (4,368,550 | ) | (29,391 | ) | ||||
Natural Gas | Apr-21 | 90 | (2,493,900 | ) | 35,142 | |||||
OMX Stockholm 30 Index | Mar-21 | 126 | (2,991,864 | ) | 29,846 | |||||
Palladium | Jun-21 | 4 | (925,400 | ) | 25,270 | |||||
Silver | May-21 | 25 | (3,305,000 | ) | 167,695 | |||||
SPI 200 Index | Mar-21 | 15 | (1,912,756 | ) | 7,515 | |||||
U.S. Treasury 5-Year Notes | Jun-21 | 114 | (14,132,437 | ) | 65,970 | |||||
U.S. Treasury Ultra Long Bond (Chicago Board of Trade) | Jun-21 | 2 | (378,125 | ) | (3,566 | ) | ||||
Wheat | May-21 | 66 | (2,178,825 | ) | (36,052 | ) | ||||
WTI Crude | Apr-21 | 4 | (246,000 | ) | 5,370 | |||||
$ | (6,200,915 | ) | ||||||||
Total Futures Contracts | $ | (1,608,547 | ) |
The accompanying notes are an integral part of the consolidated financial statements.
8
Campbell Systematic Macro Fund
Consolidated Portfolio of Investments (Continued)
February 28, 2021 (Unaudited)
Forward foreign currency contracts outstanding as of February 28, 2021 were as follows:
Currency Purchased | Currency Sold | Expiration | Counterparty | Unrealized | |||||||||||||||||||
AUD | 98,500,000 | USD | 75,753,364 | Mar 17 2021 | UBS | $ | 43,612 | ||||||||||||||||
BRL | 45,550,000 | USD | 8,633,499 | Mar 17 2021 | UBS | (511,866 | ) | ||||||||||||||||
CAD | 174,450,000 | USD | 136,570,647 | Mar 17 2021 | UBS | 517,826 | |||||||||||||||||
CHF | 15,900,000 | USD | 17,898,074 | Mar 17 2021 | UBS | (408,421 | ) | ||||||||||||||||
CLP | 6,340,000,000 | USD | 8,756,239 | Mar 17 2021 | UBS | 5,279 | |||||||||||||||||
CNH | 55,500,000 | USD | 8,568,386 | Mar 17 2021 | UBS | (23,143 | ) | ||||||||||||||||
COP | 40,200,000,000 | USD | 11,410,292 | Mar 17 2021 | UBS | (394,601 | ) | ||||||||||||||||
CZK | 212,000,000 | USD | 9,847,792 | Mar 17 2021 | UBS | (73,414 | ) | ||||||||||||||||
EUR | 75,250,000 | USD | 91,451,673 | Mar 17 2021 | UBS | (613,103 | ) | ||||||||||||||||
GBP | 140,950,000 | USD | 192,581,727 | Mar 17 2021 | UBS | 3,815,829 | |||||||||||||||||
HUF | 1,998,000,000 | USD | 6,782,353 | Mar 17 2021 | UBS | (134,156 | ) | ||||||||||||||||
IDR | 122,500,000,000 | USD | 8,624,251 | Mar 17 2021 | UBS | (36,486 | ) | ||||||||||||||||
INR | 1,163,000,000 | USD | 15,740,851 | Mar 17 2021 | UBS | 40,735 | |||||||||||||||||
JPY | 15,120,000,000 | USD | 145,259,190 | Mar 17 2021 | UBS | (3,382,459 | ) | ||||||||||||||||
KRW | 8,940,000,000 | USD | 8,191,675 | Mar 17 2021 | UBS | (234,534 | ) | ||||||||||||||||
MXN | 325,800,000 | USD | 16,120,850 | Mar 17 2021 | UBS | (583,004 | ) | ||||||||||||||||
NOK | 186,300,000 | USD | 21,716,085 | Mar 17 2021 | UBS | (229,713 | ) | ||||||||||||||||
NZD | 170,350,000 | USD | 122,473,077 | Mar 17 2021 | UBS | 614,155 | |||||||||||||||||
PHP | 150,000,000 | USD | 3,105,523 | Mar 17 2021 | UBS | (15,596 | ) | ||||||||||||||||
PLN | 31,875,000 | USD | 8,657,174 | Mar 17 2021 | UBS | (149,869 | ) | ||||||||||||||||
RUB | 422,000,000 | USD | 5,621,255 | Mar 17 2021 | UBS | 27,544 | |||||||||||||||||
SEK | 197,250,000 | USD | 23,724,500 | Mar 17 2021 | UBS | (358,708 | ) | ||||||||||||||||
SGD | 11,883,000 | USD | 8,951,161 | Mar 17 2021 | UBS | (39,989 | ) | ||||||||||||||||
TWD | 130,050,000 | USD | 4,685,764 | Mar 17 2021 | UBS | (15,976 | ) | ||||||||||||||||
USD | 87,434,484 | AUD | 113,850,000 | Mar 17 2021 | UBS | (174,509 | ) | ||||||||||||||||
USD | 4,985,125 | BRL | 26,550,000 | Mar 17 2021 | UBS | 251,221 | |||||||||||||||||
USD | 99,638,333 | CAD | 126,900,000 | Mar 17 2021 | UBS | (83,807 | ) | ||||||||||||||||
USD | 22,288,595 | CHF | 19,850,000 | Mar 17 2021 | UBS | 454,027 | |||||||||||||||||
USD | 5,013,757 | CLP | 3,670,000,000 | Mar 17 2021 | UBS | (57,973 | ) | ||||||||||||||||
USD | 7,192,549 | CNH | 46,700,000 | Mar 17 2021 | UBS | 2,227 | |||||||||||||||||
USD | 10,001,783 | COP | 35,490,000,000 | Mar 17 2021 | UBS | 276,736 | |||||||||||||||||
USD | 9,465,800 | CZK | 202,800,000 | Mar 17 2021 | UBS | 115,593 | |||||||||||||||||
USD | 98,237,331 | EUR | 80,800,000 | Mar 17 2021 | UBS | 699,040 | |||||||||||||||||
USD | 171,451,235 | GBP | 125,450,000 | Mar 17 2021 | UBS | (3,348,859 | ) | ||||||||||||||||
USD | 9,534,497 | HUF | 2,820,000,000 | Mar 17 2021 | UBS | 151,156 | |||||||||||||||||
USD | 4,975,009 | IDR | 69,825,000,000 | Mar 17 2021 | UBS | 79,984 | |||||||||||||||||
USD | 4,147,874 | INR | 307,000,000 | Mar 17 2021 | UBS | (18,030 | ) | ||||||||||||||||
USD | 175,098,981 | JPY | 18,252,000,000 | Mar 17 2021 | UBS | 3,833,499 | |||||||||||||||||
USD | 10,802,408 | KRW | 11,910,000,000 | Mar 17 2021 | UBS | 201,787 | |||||||||||||||||
USD | 19,941,646 | MXN | 403,800,000 | Mar 17 2021 | UBS | 683,873 | |||||||||||||||||
USD | 17,878,099 | NOK | 153,150,000 | Mar 17 2021 | UBS | 214,986 | |||||||||||||||||
USD | 126,288,345 | NZD | 175,550,000 | Mar 17 2021 | UBS | (556,173 | ) | ||||||||||||||||
USD | 6,569,724 | PHP | 316,500,000 | Mar 17 2021 | UBS | 49,977 | |||||||||||||||||
USD | 15,949,492 | PLN | 58,950,000 | Mar 17 2021 | UBS | 215,980 | |||||||||||||||||
USD | 886,242 | RUB | 66,000,000 | Mar 17 2021 | UBS | 2,780 | |||||||||||||||||
USD | 27,106,912 | SEK | 226,200,000 | Mar 17 2021 | UBS | 311,768 | |||||||||||||||||
USD | 15,750,493 | SGD | 20,961,000 | Mar 17 2021 | UBS | 31,644 |
The accompanying notes are an integral part of the consolidated financial statements.
9
Campbell Systematic Macro Fund
Consolidated Portfolio of Investments (Concluded)
February 28, 2021 (Unaudited)
Currency Purchased | Currency Sold | Expiration | Counterparty | Unrealized | |||||||||||||||||||
USD | 10,434,037 | TWD | 291,150,000 | Mar 17 2021 | UBS | $ | (20,472 | ) | |||||||||||||||
USD | 12,174,304 | ZAR | 183,400,000 | Mar 17 2021 | UBS | 86,809 | |||||||||||||||||
ZAR | 20,234,945 | USD | 304,600,000 | Mar 17 2021 | UBS | (159,422 | ) | ||||||||||||||||
Total Forward Foreign Currency Contracts | $ | 1,103,784 |
AUD | Australian Dollar | KRW | South Korean Won | |
BRL | Brazilian Real | MXN | Mexican Peso | |
CAD | Canadian Dollar | NOK | Norwegian Krone | |
CHF | Swiss Franc | NZD | New Zealand Dollar | |
CLP | Chilean Peso | PHP | Philippine Peso | |
CNH | Chinese Yuan Renminbi | PLN | Polish Zloty | |
COP | Columbian Peso | RUB | Russian Ruble | |
CZK | Czech Koruna | SEK | Swedish Krona | |
EUR | Euro | SGD | Singapore Dollar | |
GBP | British Pound | TWD | Taiwan New Dollar | |
HUF | Hungarian Forint | UBS | Union Bank of Switzerland | |
IDR | Indonesian Rupiah | USD | United States Dollar | |
INR | Indian Rupee | ZAR | South African Rand | |
JPY | Japanese Yen |
The accompanying notes are an integral part of the consolidated financial statements.
10
Campbell Systematic Macro Fund
Consolidated Statement of Assets and Liabilities
February 28, 2021 (Unaudited)
ASSETS | ||||
Investments, at value (cost $101,021,531) | $ | 101,022,308 | ||
Deposits with brokers: | ||||
Futures contracts | 26,028,637 | |||
Unrealized appreciation on forward foreign currency contracts | 12,728,067 | |||
Unrealized appreciation on futures contracts | 12,081,219 | |||
Receivable for capital shares sold | 147,605 | |||
Interest receivable | 228 | |||
Prepaid expenses and other assets | 76,810 | |||
Total assets | 152,084,874 | |||
LIABILITIES | ||||
Unrealized depreciation on futures contracts | 13,689,766 | |||
Unrealized depreciation on forward foreign currency contracts | 11,624,283 | |||
Due to Broker | 2,989,122 | |||
Payable for: | ||||
Advisory fees | 131,773 | |||
Capital Shares Redeemed | 18,990 | |||
Other accrued expenses and liabilities | 76,323 | |||
Total liabilities | 28,530,257 | |||
Net assets | $ | 123,554,617 | ||
NET ASSETS CONSIST OF: | ||||
Par value | $ | 15,301 | ||
Paid-in capital | 125,344,365 | |||
Total distributable earnings/(loss) | (1,805,049 | ) | ||
Net assets | $ | 123,554,617 | ||
CAPITAL SHARES: | ||||
Class A Shares:(1) | ||||
Net assets applicable to Class A Shares | $ | 10,290,297 | ||
Shares outstanding ($0.001 par value, 100,000,000 shares authorized) | 1,286,655 | |||
Net asset value, offering and redemption price per share | $ | 8.00 | ||
Maximum offering price per share (100/96.5 of $8.00 and $8.29, respectively) | $ | 8.29 | ||
Class C Shares: | ||||
Net assets applicable to Class C Shares | $ | 8,677,348 | ||
Shares outstanding ($0.001 par value, 100,000,000 shares authorized) | 1,131,792 | |||
Net asset value, offering and redemption price per share | $ | 7.67 | ||
Class I Shares: | ||||
Net assets applicable to Class I Shares | $ | 104,586,972 | ||
Shares outstanding ($0.001 par value, 100,000,000 shares authorized) | 12,882,879 | |||
Net asset value, offering and redemption price per share | $ | 8.12 |
(1) | Effective January 15, 2021, the outstanding Class P Shares of the Fund were converted into Class A Shares of the Fund. |
The accompanying notes are an integral part of the consolidated financial statements.
11
Campbell Systematic Macro Fund
Consolidated Statement of Operations
For the Period Ended February 28, 2021 (Unaudited)
INVESTMENT INCOME | ||||
Interest | $ | 119,584 | ||
Total investment income | 119,584 | |||
EXPENSES | ||||
Advisory fees (Note 2) | 1,044,563 | |||
Transfer agent fees (Note 2) | 75,736 | |||
Administration and accounting fees (Note 2) | 53,443 | |||
Distribution fees - Class A Shares | 48,600 | |||
Distribution fees - Class C Shares | 9,320 | |||
Registration and filing fees | 45,326 | |||
Officer fees | 20,681 | |||
Legal fees | 20,327 | |||
Interest expense | 19,125 | |||
Audit and tax service fees | 14,848 | |||
Director fees | 11,637 | |||
Printing and shareholder reporting fees | 10,556 | |||
Custodian fees (Note 2) | 4,821 | |||
Other expenses | 11,622 | |||
Total expenses before waivers and/or reimbursements | 1,390,605 | |||
Less: waivers and reimbursemets (Note 2) | (204,000 | ) | ||
Net expenses after waivers and/or reimbursments | 1,186,605 | |||
Net investment income/(loss) | (1,067,021 | ) | ||
NET REALIZED AND UNREALIZED GAIN/(LOSS) FROM INVESTMENTS | ||||
Net realized gain/(loss) from: | ||||
Investments | — | |||
Futures contracts | 6,325,181 | |||
Foreign currency transactions | 122,547 | |||
Forward foreign currency contracts | (1,222,904 | ) | ||
Net change in unrealized appreciation/(depreciation) on: | ||||
Investments | (76,249 | ) | ||
Futures contracts | (612,943 | ) | ||
Foreign currency translations | 202,882 | |||
Forward foreign currency contracts | 3,674,945 | |||
Net realized and unrealized gain/(loss) on investments | 8,413,459 | |||
NET INCREASE/(DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ | 7,346,438 |
The accompanying notes are an integral part of the consolidated financial statements.
12
Campbell Systematic Macro Fund
Consolidated Statements of Changes in Net Assets
For the | For the | For the | ||||||||||
Increase/(Decrease) in Net Assets From Operations: | ||||||||||||
Net investment income/(loss) | $ | (1,067,021 | ) | $ | (914,301 | ) | $ | 38,264 | ||||
Net realized gain/(loss) from investments, futures contracts, foreign currency transactions and forward foreign currency contracts | 5,224,824 | (6,706,826 | ) | 10,964,907 | ||||||||
Net change in unrealized appreciation/(depreciation) on investments, future contracts, foreign currency translation and forward foreign currency contracts | 3,188,635 | (4,201,682 | ) | (1,806,960 | ) | |||||||
Net increase/(decrease) in net assets resulting from operations | 7,346,438 | (11,822,809 | ) | 9,196,211 | ||||||||
Dividends and Distributions to Shareholders From: | ||||||||||||
Total distributable earnings | — | (11,439,705 | ) | (13,070,676 | ) | |||||||
Net decrease in net assets from dividends and distributions to shareholders | — | (11,439,705 | ) | (13,070,676 | ) | |||||||
Capital Share Transactions: | ||||||||||||
Class A Shares | ||||||||||||
Proceeds from shares sold | 59,240 | 2,170,042 | 1,740,013 | |||||||||
Proceeds from Class A exchange(2) | 1,359,037 | — | — | |||||||||
Reinvestment of distributions | — | 1,752,767 | 1,510,075 | |||||||||
Shares redeemed | (2,051,344 | ) | (3,571,700 | ) | (5,361,030 | ) | ||||||
Total from Class A Shares | (633,067 | ) | 351,109 | (2,110,942 | ) | |||||||
Class C Shares | ||||||||||||
Proceeds from shares sold | 232,519 | 646,771 | 807,341 | |||||||||
Reinvestment of distributions | — | 1,670,432 | 1,569,438 | |||||||||
Shares redeemed | (1,111,363 | ) | (3,575,911 | ) | (5,039,019 | ) | ||||||
Total from Class C Shares | (878,844 | ) | (1,258,708 | ) | (2,662,240 | ) | ||||||
Class I Shares | ||||||||||||
Proceeds from shares sold | 13,191,680 | 153,840,950 | 48,432,554 | |||||||||
Reinvestment of distributions | — | 6,732,144 | 7,632,232 | |||||||||
Shares redeemed | (30,281,509 | ) | (79,192,957 | ) | (92,370,875 | ) | ||||||
Total from Class I Shares | (17,089,829 | ) | 81,380,137 | (36,306,089 | ) | |||||||
Class P Shares | ||||||||||||
Proceeds from shares sold | 298 | 320,354 | 242,864 | |||||||||
Reinvestment of distributions | — | — | — | |||||||||
Shares redeemed | (206,759 | ) | 294,096 | 263,166 | ||||||||
Shares redeemed from exchange to Class A(2) | (1,359,037 | ) | (885,125 | ) | (30,245,677 | ) | ||||||
Total from Class C Shares | (1,565,498 | ) | (270,675 | ) | (29,739,647 | ) | ||||||
Net increase/(decrease) in net assets from capital share transactions | (20,167,238 | ) | 80,201,863 | (70,818,918 | ) | |||||||
Total increase/(decrease) in net assets | (12,820,800 | ) | 56,939,349 | (74,693,383 | ) |
(1) | The Fund changed its fiscal year end to August 31 during the period. The period ended is from October 1, 2019 to August 31, 2020. |
(2) | Effective January 15, 2021, the outstanding Class P Shares of the Fund were converted into Class A Shares of the Fund. |
The accompanying notes are an integral part of the consolidated financial statements.
13
Campbell Systematic Macro Fund
Consolidated Statements of Changes in Net Assets (Concluded)
For the | For the | For the | ||||||||||
Net Assets: | ||||||||||||
Beginning of Period | $ | 136,375,417 | $ | 79,436,068 | $ | 154,129,451 | ||||||
End of Period | $ | 123,554,617 | $ | 136,375,417 | $ | 79,436,068 | ||||||
Share Transactions: | ||||||||||||
Class A Shares | ||||||||||||
Shares sold | 7,536 | 263,105 | 190,779 | |||||||||
Shares exchanged from Class P(2) | 170,620 | — | — | |||||||||
Shares reinvested | — | 226,749 | 185,285 | |||||||||
Shares redeemed | (264,966 | ) | (430,459 | ) | (616,034 | ) | ||||||
Total from Class A Shares | (86,810 | ) | 59,395 | (239,970 | ) | |||||||
Class C Shares | ||||||||||||
Shares sold | 31,617 | 80,546 | 90,650 | |||||||||
Shares reinvested | — | 223,022 | 197,413 | |||||||||
Shares redeemed | (148,521 | ) | (446,490 | ) | (600,031 | ) | ||||||
Total from Class C Shares | (116,904 | ) | (142,922 | ) | (311,968 | ) | ||||||
Class I Shares | ||||||||||||
Shares sold | 1,669,273 | 18,695,402 | 5,483,361 | |||||||||
Shares reinvested | — | 860,888 | 927,366 | |||||||||
Shares redeemed | (3,872,632 | ) | (9,614,007 | ) | (10,591,009 | ) | ||||||
Total from Class I Shares | (2,203,359 | ) | 9,942,283 | (4,180,282 | ) | |||||||
Class P Shares | ||||||||||||
Shares sold | 38 | 35,885 | 25,638 | |||||||||
Shares reinvested | — | — | — | |||||||||
Shares redeemed | (26,237 | ) | 36,762 | 31,367 | ||||||||
Shares exchanged into Class A(2) | (164,862 | ) | (103,109 | ) | (3,411,713 | ) | ||||||
Total from Class P Shares | (191,061 | ) | (30,462 | ) | (3,354,708 | ) | ||||||
Net increase/(decrease) in shares outstanding | (2,598,134 | ) | 9,828,294 | (8,086,928 | ) |
(1) | The Fund changed its fiscal year end to August 31 during the period. The period ended is from October 1, 2019 to August 31, 2020. |
(2) | Effective January 15, 2021, the outstanding Class P Shares of the Fund were converted into Class A Shares of the Fund. |
The accompanying notes are an integral part of the consolidated financial statements.
14
Campbell Systematic Macro Fund
Consolidated Financial Highlights
Contained below is per share operating performance data for shares outstanding, total investment return/(loss), ratios to average net assets and other supplemental data for the respective periods. This information has been derived from information provided in the consolidated financial statements. |
Class A | ||||||||||||||||||||||||||||
For the | For the | For the | For the | For the | For the | For the | ||||||||||||||||||||||
Per Share Operating Performance | ||||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 7.55 | $ | 9.81 | $ | 9.49 | $ | 9.36 | $ | 10.13 | $ | 11.17 | $ | 11.01 | ||||||||||||||
Net investment income/(loss)(3) | (0.07 | ) | (0.07 | ) | — | (4) | (0.03 | ) | (0.04 | ) | (0.09 | ) | (0.13 | ) | ||||||||||||||
Net realized and unrealized gain/(loss) on investments, futures, forward currency and swap contracts (5) | 0.52 | (0.76 | ) | 1.45 | 0.16 | (0.73 | ) | (0.74 | ) | 0.97 | ||||||||||||||||||
Net increase/(decrease) in net assets resulting from operations | 0.45 | (0.83 | ) | 1.45 | 0.13 | (0.77 | ) | (0.83 | ) | 0.84 | ||||||||||||||||||
Dividends and distributions to shareholders from: | ||||||||||||||||||||||||||||
Net investment income | — | (0.79 | ) | (1.13 | ) | — | — | (0.21 | ) | (0.68 | ) | |||||||||||||||||
Net realized capital gain | — | (0.64 | ) | — | — | — | — | — | ||||||||||||||||||||
Total dividends and distributions to shareholders | — | (1.43 | ) | (1.13 | ) | — | — | (0.21 | ) | (0.68 | ) | |||||||||||||||||
Net asset value, end of period | $ | 8.00 | $ | 7.55 | $ | 9.81 | $ | 9.49 | $ | 9.36 | $ | 10.13 | $ | 11.17 | ||||||||||||||
Total investment return (6) | 5.82 | %(7) | (8.86 | )%(7) | 17.73 | % | 1.39 | % | (7.60 | )% | (7.60 | )% | 7.48 | % | ||||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||||||
Net assets, end of period (000’s omitted) | $ | 10,290 | $ | 10,365 | $ | 12,895 | $ | 14,744 | $ | 24,092 | $ | 64,528 | $ | 83,077 | ||||||||||||||
Ratio of expenses to average net assets with waivers and reimbursements (10) | 2.02 | %(8) | 2.15 | %(8) | 2.12 | % | 1.58 | % | 1.15 | % | 1.17 | % | 1.15 | % | ||||||||||||||
Ratio of expenses to average net assets without waivers and reimbursements (9)(11) | 2.34 | %(8) | 2.51 | %(8) | 2.54 | % | 1.96 | % | 1.33 | % | 1.25 | % | 1.24 | % | ||||||||||||||
Ratio of net investment income/(loss) to average net assets | (1.84 | )%(8) | (0.93 | )%(8) | (0.03 | )% | (0.32 | )% | (0.45 | )% | (0.83 | )% | (1.08 | %) | ||||||||||||||
Portfolio turnover rate (12) | 0 | %(7) | 0 | %(7) | 15 | % | 122 | % | 0 | % | 0 | % | 0 | % |
* | Effective January 15, 2021, the outstanding Class P Shares of the Fund were converted into Class A Shares of the Fund. |
(1) | The fiscal year end of the Predecessor Fund was September 30. The Fund changed its fiscal year end to August 31 to reflect the fiscal year end of the other series of the Company. The period ended is from October 1, 2019 to August 31, 2020. |
(2) | Prior to May 29, 2020, the Fund was a diversified series (the “Predecessor Fund”) of Equinox Funds Trust (the “Trust”), an open-end management investment company (or mutual fund) organized on June 2, 2010, as a statutory trust under the laws of the State of Delaware. The Predecessor Fund was reorganized into the Fund following the close of business on May 29, 2020 (the “Reorganization”). As a result of the Reorganization, the performance and accounting history of the Predecessor Fund was assumed by the Fund. Performance and accounting information prior to May 29, 2020 included herein is that of the Predecessor Fund. |
(3) | Calculated based on average shares outstanding for the period. |
(4) | Less than $0.005 per share. |
The accompanying notes are an integral part of the consolidated financial statements.
15
Campbell Systematic Macro Fund
Consolidated Financial Highlights (Continued)
(5) | The amount shown may not correlate with the change in the aggregate gains and losses due to the timing of sales and purchases of the Fund’s shares in relation to fluctuating market values for the Fund’s portfolio. |
(6) | Total returns are historical and assume changes in share price and reinvestment of dividends and distributions. Total returns - for periods of less than one year are not annualized. Had the Adviser not waived its fees or reimbursed a portion of the Fund’s expenses, the returns would have been lower. |
(7) | Not annualized |
(8) | Annualized |
(9) | Represents the ratio of expenses to average net assets absent fee waivers and/or expense reimbursements by the Adviser. |
(10) Ratio of net expenses to average net assets excluding interest expense | 1.99% | 2.12% | 2.07% | 1.58% | 1.15% | 1.15% | 1.15% |
(11) Ratio of gross expenses to average net assets excluding interest expense(9) | 2.31% | 2.48% | 2.49% | 1.96% | 1.33% | 1.23% | 1.24% |
(12) | Portfolio turnover is calculated on the basis of the Fund as a whole without distinguishing between the classes of shares issued. |
The accompanying notes are an integral part of the consolidated financial statements.
16
Campbell Systematic Macro Fund
Consolidated Financial Highlights (Continued)
Contained below is per share operating performance data for shares outstanding, total investment return/(loss), ratios to average net assets and other supplemental data for the respective periods. This information has been derived from information provided in the consolidated financial statements. |
Class C | ||||||||||||||||||||||||||||
For the | For the | For the | For the | For the | For the | For the | ||||||||||||||||||||||
Per Share Operating Performance | ||||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 7.28 | $ | 9.51 | $ | 9.20 | $ | 9.15 | $ | 9.98 | $ | 11.03 | $ | 10.96 | ||||||||||||||
Net investment income/(loss)(3) | (0.10 | ) | (0.12 | ) | (0.07 | ) | (0.10 | ) | (0.11 | ) | (0.17 | ) | (0.21 | ) | ||||||||||||||
Net realized and unrealized gain/(loss) on investments, futures, forward currency and swap contracts (4) | 0.49 | (0.74 | ) | 1.42 | 0.15 | (0.72 | ) | (0.72 | ) | 0.97 | ||||||||||||||||||
Net increase/(decrease) in net assets resulting from operations | 0.39 | (0.86 | ) | 1.35 | 0.05 | (0.83 | ) | (0.89 | ) | 0.76 | ||||||||||||||||||
Dividends and distributions to shareholders from: | ||||||||||||||||||||||||||||
Net investment income | — | (0.73 | ) | (1.04 | ) | — | — | (0.16 | ) | (0.69 | ) | |||||||||||||||||
Net realized capital gain | — | (0.64 | ) | — | — | — | — | — | ||||||||||||||||||||
Total dividends and distributions to shareholders | — | (1.37 | ) | (1.04 | ) | — | — | (0.16 | ) | (0.69 | ) | |||||||||||||||||
Net asset value, end of period | $ | 7.67 | $ | 7.28 | $ | 9.51 | $ | 9.20 | $ | 9.15 | $ | 9.98 | $ | 11.03 | ||||||||||||||
Total investment return (5) | 5.36 | %(6) | (9.49 | )%(6) | 16.88 | % | 0.55 | % | (8.32 | )% | (8.16 | )% | 6.72 | % | ||||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||||||
Net assets, end of period (000’s omitted) | $ | 8,677 | $ | 9,087 | $ | 13,237 | $ | 15,676 | $ | 22,792 | $ | 48,712 | $ | 52,977 | ||||||||||||||
Ratio of expenses to average net assets with waivers and reimbursements (9) | 2.77 | %(7) | 2.88 | %(7) | 2.87 | % | 2.35 | % | 1.90 | % | 1.92 | % | 1.90 | % | ||||||||||||||
Ratio of expenses to average net assets without waivers and reimbursements (8)(10) | 3.09 | %(7) | 3.27 | %(7) | 3.29 | % | 2.74 | % | 2.08 | % | 2.00 | % | 1.99 | % | ||||||||||||||
Ratio of net investment income/(loss) to average net assets | (2.58 | )%(7) | (1.65 | )%(7) | (0.78 | )% | (1.05 | )% | (1.19 | )% | (1.58 | )% | (1.82 | %) | ||||||||||||||
Portfolio turnover rate (11) | 0 | %(6) | 0 | %(6) | 15 | % | 122 | % | 0 | % | 0 | % | 0 | % |
(1) | The fiscal year end of the Predecessor Fund was September 30. The Fund changed its fiscal year end to August 31 to reflect the fiscal year end of the other series of the Company. The period ended is from October 1, 2019 to August 31, 2020. |
(2) | Prior to May 29, 2020, the Fund was a diversified series (the “Predecessor Fund”) of Equinox Funds Trust (the “Trust”), an open-end management investment company (or mutual fund) organized on June 2, 2010, as a statutory trust under the laws of the State of Delaware. The Predecessor Fund was reorganized into the Fund following the close of business on May 29, 2020 (the “Reorganization”). As a result of the Reorganization, the performance and accounting history of the Predecessor Fund was assumed by the Fund. Performance and accounting information prior to May 29, 2020 included herein is that of the Predecessor Fund. |
(3) | Calculated based on average shares outstanding for the period. |
(4) | The amount shown may not correlate with the change in the aggregate gains and losses due to the timing of sales and purchases of the Fund’s shares in relation to fluctuating market values for the Fund’s portfolio. |
The accompanying notes are an integral part of the consolidated financial statements.
17
Campbell Systematic Macro Fund
Consolidated Financial Highlights (Continued)
(5) | Total returns are historical and assume changes in share price and reinvestment of dividends and distributions. Total returns for periods of less than one year are not annualized. Had the Adviser not waived its fees or reimbursed a portion of the Fund’s expenses, the returns would have been lower. |
(6) | Not annualized |
(7) | Annualized |
(8) | Represents the ratio of expenses to average net assets absent fee waivers and/or expense reimbursements by the Adviser. |
(9) Ratio of net expenses to average net assets excluding interest expense | 2.74% | 2.85% | 2.82% | 2.35% | 1.90% | 1.90% | 1.90% |
(10) Ratio of gross expenses to average net assets excluding interest expense(8) | 3.06% | 3.24% | 3.24% | 2.74% | 2.08% | 1.98% | 1.99% |
(11) | Portfolio turnover is calculated on the basis of the Fund as a whole without distinguishing between the classes of shares issued. |
The accompanying notes are an integral part of the consolidated financial statements.
18
Campbell Systematic Macro Fund
Consolidated Financial Highlights (Continued)
Contained below is per share operating performance data for shares outstanding, total investment return/(loss), ratios to average net assets and other supplemental data for the respective periods. This information has been derived from information provided in the consolidated financial statements. |
Class I | ||||||||||||||||||||||||||||
For the | For the | For the | For the | For the | For the | For the | ||||||||||||||||||||||
Per Share Operating Performance | ||||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 7.65 | $ | 9.93 | $ | 9.59 | $ | 9.44 | $ | 10.20 | $ | 11.22 | $ | 11.05 | ||||||||||||||
Net investment income/(loss)(3) | (0.06 | ) | (0.07 | ) | 0.02 | (0.01 | ) | (0.02 | ) | (0.06 | ) | (0.09 | ) | |||||||||||||||
Net realized and unrealized gain/(loss) on investments, futures, forward currency and swap contracts (4) | 0.53 | (0.77 | ) | 1.48 | 0.16 | (0.74 | ) | (0.73 | ) | 0.96 | ||||||||||||||||||
Net increase/(decrease) in net assets resulting from operations | 0.47 | (0.84 | ) | 1.50 | 0.15 | (0.76 | ) | (0.79 | ) | 0.87 | ||||||||||||||||||
Dividends and distributions to shareholders from: | ||||||||||||||||||||||||||||
Net investment income | — | (0.80 | ) | (1.16 | ) | — | — | (0.23 | ) | (0.70 | ) | |||||||||||||||||
Net realized capital gain | — | (0.64 | ) | — | — | — | — | — | ||||||||||||||||||||
Total dividends and distributions to shareholders | — | (1.44 | ) | (1.16 | ) | — | — | (0.23 | ) | (0.70 | ) | |||||||||||||||||
Net asset value, end of period | $ | 8.12 | $ | 7.65 | $ | 9.93 | $ | 9.59 | $ | 9.44 | $ | 10.20 | $ | 11.22 | ||||||||||||||
Total investment return (5) | 5.87 | %(6) | (8.75 | )%(6) | 18.17 | % | 1.59 | % | (7.45 | )% | (7.20 | )% | 7.72 | % | ||||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||||||
Net assets, end of period (000’s omitted) | $ | 104,587 | $ | 115,431 | $ | 51,067 | $ | 89,456 | $ | 279,212 | $ | 754,171 | $ | 984,152 | ||||||||||||||
Ratio of expenses to average net assets with waivers and reimbursements (9) | 1.77 | %(7) | 1.88 | %(7) | 1.84 | % | 1.30 | % | 0.90 | % | 0.92 | % | 0.90 | % | ||||||||||||||
Ratio of expenses to average net assets without waivers and reimbursements (8)(10) | 2.09 | %(7) | 2.24 | %(7) | 2.28 | % | 1.64 | % | 1.07 | % | 1.00 | % | 0.99 | % | ||||||||||||||
Ratio of net investment income/(loss) to average net assets | (1.58 | )%(7) | (0.91 | )%(7) | 0.23 | % | (0.10 | )% | (0.20 | )% | (0.58 | )% | (0.81 | %) | ||||||||||||||
Portfolio turnover rate (11) | 0 | %(6) | 0 | %(6) | 15 | % | 122 | % | 0 | % | 0 | % | 0 | % |
(1) | The fiscal year end of the Predecessor Fund was September 30. The Fund changed its fiscal year end to August 31 to reflect the fiscal year end of the other series of the Company. The period ended is from October 1, 2019 to August 31, 2020. |
(2) | Prior to May 29, 2020, the Fund was a diversified series (the “Predecessor Fund”) of Equinox Funds Trust (the “Trust”), an open-end management investment company (or mutual fund) organized on June 2, 2010, as a statutory trust under the laws of the State of Delaware. The Predecessor Fund was reorganized into the Fund following the close of business on May 29, 2020 (the “Reorganization”). As a result of the Reorganization, the performance and accounting history of the Predecessor Fund was assumed by the Fund. Performance and accounting information prior to May 29, 2020 included herein is that of the Predecessor Fund. |
(3) | Calculated based on average shares outstanding for the period. |
(4) | The amount shown may not correlate with the change in the aggregate gains and losses due to the timing of sales and purchases of the Fund’s shares in relation to fluctuating market values for the Fund’s portfolio. |
The accompanying notes are an integral part of the consolidated financial statements.
19
Campbell Systematic Macro Fund
Consolidated Financial Highlights (Continued)
(5) | Total returns are historical and assume changes in share price and reinvestment of dividends and distributions. Total returns for periods of less than one year are not annualized. Had the Adviser not waived its fees or reimbursed a portion of the Fund’s expenses, the returns would have been lower. |
(6) | Not annualized |
(7) | Annualized |
(8) | Represents the ratio of expenses to average net assets absent fee waivers and/or expense reimbursements by the Adviser. |
(9) Ratio of net expenses to average net assets excluding interest expense | 1.74% | 1.85% | 1.80% | 1.30% | 0.90% | 0.90% | 0.90% |
(10) Ratio of gross expenses to average net assets excluding interest expense(8) | 2.06% | 2.21% | 2.24% | 1.64% | 1.07% | 0.98% | 0.99% |
(11) | Portfolio turnover is calculated on the basis of the Fund as a whole without distinguishing between the classes of shares issued. |
The accompanying notes are an integral part of the consolidated financial statements.
20
Campbell Systematic Macro Fund
Consolidated Financial Highlights (Continued)
Contained below is per share operating performance data for shares outstanding, total investment return/(loss), ratios to average net assets and other supplemental data for the respective periods. This information has been derived from information provided in the consolidated financial statements. |
Class P | ||||||||||||||||||||||||
For the | For the | For the | For the | For the | For the | |||||||||||||||||||
Per Share Operating Performance | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 10.10 | $ | 9.58 | $ | 9.44 | $ | 10.19 | $ | 11.22 | $ | 11.05 | ||||||||||||
Net investment income/(loss)(3) | (0.07 | ) | — | (0.02 | ) | (0.02 | ) | (0.06 | ) | (0.13 | ) | |||||||||||||
Net realized and unrealized gain/(loss) on investments, futures, forward currency and swap contracts (5) | (0.80 | ) | 1.46 | 0.16 | (0.73 | ) | (0.74 | ) | 1.00 | |||||||||||||||
Net increase/(decrease) in net assets resulting from operations | (0.87 | ) | 1.46 | 0.14 | (0.75 | ) | (0.80 | ) | 0.87 | |||||||||||||||
Dividends and distributions to shareholders from: | ||||||||||||||||||||||||
Net investment income | (0.78 | ) | (0.94 | ) | — | — | (0.23 | ) | (0.70 | ) | ||||||||||||||
Net realized capital gain | (0.64 | ) | — | — | — | — | — | |||||||||||||||||
Total dividends and distributions to shareholders | (1.42 | ) | (0.94 | ) | — | — | (0.23 | ) | (0.70 | ) | ||||||||||||||
Net asset value, end of period | $ | 7.81 | $ | 10.10 | $ | 9.58 | $ | 9.44 | $ | 10.19 | $ | 11.22 | ||||||||||||
Total investment return (6) | (8.95 | )%(7) | 17.24 | % | 1.48 | % | (7.36 | )% | (7.29 | )% | 7.72 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (000’s omitted) | $ | 1,492 | $ | 2,237 | $ | 34,253 | $ | 43,767 | $ | 99,612 | $ | 107,596 | ||||||||||||
Ratio of expenses to average net assets with waivers and reimbursements (10) | 2.15 | %(8) | 2.02 | % | 1.51 | % | 0.90 | % | 0.92 | % | 0.90 | % | ||||||||||||
Ratio of expenses to average net assets without waivers and reimbursements (9)(11) | 2.52 | %(8) | 2.46 | % | 1.90 | % | 1.07 | % | 1.00 | % | 1.00 | % | ||||||||||||
Ratio of net investment income/(loss) to average net assets | (0.91 | )%(8) | (0.01 | )% | (0.19 | )% | (0.19 | )% | (0.58 | )% | (1.09 | %) | ||||||||||||
Portfolio turnover rate (12) | 0 | %(7) | 15 | % | 122 | % | 0 | % | 0 | % | 0 | % |
(1) | The fiscal year end of the Predecessor Fund was September 30. The Fund changed its fiscal year end to August 31 to reflect the fiscal year end of the other series of the Company. The period ended is from October 1, 2019 to August 31, 2020. |
(2) | Prior to May 29, 2020, the Fund was a diversified series (the “Predecessor Fund”) of Equinox Funds Trust (the “Trust”), an open-end management investment company (or mutual fund) organized on June 2, 2010, as a statutory trust under the laws of the State of Delaware. The Predecessor Fund was reorganized into the Fund following the close of business on May 29, 2020 (the “Reorganization”). As a result of the Reorganization, the performance and accounting history of the Predecessor Fund was assumed by the Fund. Performance and accounting information prior to May 29, 2020 included herein is that of the Predecessor Fund. |
(3) | Calculated based on average shares outstanding for the period. |
(4) | Less than $0.005 per share. |
(5) | The amount shown may not correlate with the change in the aggregate gains and losses due to the timing of sales and purchases of the Fund’s shares in relation to fluctuating market values for the Fund’s portfolio. |
(6) | Total returns are historical and assume changes in share price and reinvestment of dividends and distributions. Total returns for periods of less than one year are not annualized. Had the Adviser not waived its fees or reimbursed a portion of the Fund’s expenses, the returns would have been lower. |
(7) | Not annualized |
(8) | Annualized |
The accompanying notes are an integral part of the consolidated financial statements.
21
Campbell Systematic Macro Fund
Consolidated Financial Highlights (Concluded)
(9) | Represents the ratio of expenses to average net assets absent fee waivers and/or expense reimbursements by the Adviser. |
(10) Ratio of net expenses to average net assets excluding interest expense | 2.12% | 2.02% | 1.51% | 0.90% | 0.90% | 0.90% |
(11) Ratio of gross expenses to average net assets excluding interest expense(9) | 2.49% | 2.46% | 1.90% | 1.07% | 0.98% | 1.00% |
(12) | Portfolio turnover is calculated on the basis of the Fund as a whole without distinguishing between the classes of shares issued. |
The accompanying notes are an integral part of the consolidated financial statements.
22
Campbell Systematic Macro Fund
Notes To Consolidated Financial Statements
February 28, 2021 (Unaudited)
1. Organization and Significant Accounting Policies
The RBB Fund, Inc. (“RBB” or the “Company”) was incorporated under the laws of the State of Maryland on February 29, 1988 and is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. RBB is a “series fund,” which is a mutual fund divided into separate portfolios. Each portfolio is treated as a separate entity for certain matters under the 1940 Act, and for other purposes, and a shareholder of one portfolio is not deemed to be a shareholder of any other portfolio. Currently, RBB has thirty-six separate investment portfolios, including the Campbell Systematic Macro Fund (the “Fund”), which commenced investment operations on March 4, 2013. The Fund currently offers Class A, Class C and Class I shares. Class A and Class I shares commenced operations on March 4, 2013. Class C commenced operations on February 11, 2014.
Class C and Class I shares are offered at net asset value. Class A shares are offered at net asset value plus a maximum sales charge of 3.50%. A contingent deferred sales charge (“CDSC”) of 1.00% is assessed on certain redemptions of Class A shares made within twelve months after a purchase of Class A shares where no initial sales charge was paid at the time of purchase as part of an investment of $1,000,000 or more. A CDSC of 1.00% is assessed on redemptions of Class C shares made within twelve months after a purchase of such shares. Each class represents an interest in the same assets of the Fund and classes are identical except for differences in their sales charge structures and ongoing service and distribution charges. All classes of shares have equal voting privileges except that each class has exclusive voting rights with respect to its service and/or distribution plans. The Fund’s income, expenses (other than class specific distribution fees) and realized and unrealized gains and losses are allocated proportionately each day based upon the relative net assets of each class.
Prior to May 29, 2020, the Fund was a diversified series (the “Predecessor Fund”) of Equinox Funds Trust (the “Trust”), an open-end management investment company (or mutual fund) organized on June 2, 2010, as a statutory trust under the laws of the State of Delaware. The Predecessor Fund was reorganized into the Fund following the close of business on May 29, 2020 (the “Reorganization”). As a result of the Reorganization, the performance and accounting history of the Predecessor Fund was assumed by the Fund. Performance and accounting information prior to May 29, 2020 included herein is that of the Predecessor Fund. On conversion date, the Fund’s net assets were $119,211,366 and net asset value (NAV) was $8.07.
The fiscal year end of the Predecessor Fund was September 30. The Fund changed its fiscal year end to August 31 to reflect the fiscal year end of the other series of the Company.
RBB has authorized capital of one hundred billion shares of common stock of which 87.923 billion shares are currently classified into one hundred and ninety classes of common stock. Each class represents an interest in an active or inactive RBB investment portfolio.
Effective January 15, 2021 (the “Conversion Date”), the outstanding Class P shares of the Fund were converted into Class A shares of the Fund (the “Class Conversion”). The Class Conversion was completed based on the share classes’ relative net asset values on the Conversion Date, without the imposition of any fees or expenses. The Class Conversion was tax-free, meaning that the Fund’s Class P shareholders became Class A shareholders without realizing any gain or loss for federal income tax purposes. All Class P shares of the Fund were converted into Class A shares as of the Conversion Date.
The Fund’s investment objective is to seek capital appreciation.
The Fund is an investment company and follows accounting and reporting guidance in the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946 “Financial Services - Investment Companies.”
The end of the reporting period for the Fund is February 28, 2021, and the period covered by these Notes to Consolidated Financial Statements is the fiscal period ended February 28, 2021 (the “current fiscal period”).
23
Campbell Systematic Macro Fund
Notes To Consolidated Financial Statements (Continued)
February 28, 2021 (Unaudited)
Consolidation of Subsidiary — The Adviser’s Campbell Systematic Macro Program is achieved by the Fund investing up to 25% of its total assets in the Campbell Systematic Macro Offshore Limited (the “Subsidiary”), a wholly-owned and controlled subsidiary of the Fund organized under the laws of the Cayman Islands. The consolidated financial statements of the Fund include the financial statements of the Subsidiary. The Fund consolidates the results of subsidiaries in which the Fund holds a controlling financial interest. All inter-company accounts and transactions have been eliminated. As of the end of the reporting period, the net assets of the Subsidiary were $16,508,327, which represented 13.35% of the Fund’s net assets.
Portfolio Valuation — The Fund’s net asset value (“NAV”) is calculated once daily at the close of regular trading hours on the New York Stock Exchange (“NYSE”) (generally 4:00 p.m. Eastern time) on each day the NYSE is open. Securities held by the Fund are valued using the closing price or the last sales price on a national securities exchange or the National Association of Securities Dealers Automatic Quotation System (“NASDAQ”) market system where they are primarily traded. Fixed income securities are valued using an independent pricing service, which considers such factors as security prices, yields, maturities and ratings, and are deemed representative of market values at the close of the market. Investments in other open-end investment companies are valued based on the NAV of those investment companies (which may use fair value pricing as discussed in their prospectuses). Forward currency exchange contracts are valued by interpolating between spot and forward currency rates as quoted by an independent pricing service. Futures contracts are generally valued using the settlement price determined by the relevant exchange. If market quotations are unavailable or deemed unreliable, securities will be valued in accordance with procedures adopted by the Company’s Board of Directors (the “Board”). Relying on prices supplied by pricing services or dealers or using fair valuation may result in values that are higher or lower than the values used by other investment companies and investors to price the same investments.
Fair Value Measurements — The inputs and valuation techniques used to measure the fair value of the Fund’s investments are summarized into three levels as described in the hierarchy below:
● Level 1 — | Prices are determined using quoted prices in active markets for identical securities. |
● Level 2 — | Prices are determined using other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.). |
● Level 3 — | Prices are determined using significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments). |
The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The following is a summary of the inputs used, as of February 28, 2021, in valuing the Fund’s investments carried at fair value:
TOTAL | LEVEL 1 | LEVEL 2 | LEVEL 3 | |||||||||||||
Short-Term Investments | $ | 101,022,308 | $ | 101,022,308 | $ | — | $ | — | ||||||||
Commodity Contracts | ||||||||||||||||
Futures Contracts | 10,387,062 | 10,387,062 | — | — | ||||||||||||
Equity Contracts | ||||||||||||||||
Futures Contracts | 447,007 | 447,007 | — | — | ||||||||||||
Interest Rate Contracts | ||||||||||||||||
Futures Contracts | 1,247,150 | 1,247,150 | — | — | ||||||||||||
Foreign Currency Contracts | ||||||||||||||||
Forward Foreign Currency Contracts | 12,728,067 | — | 12,728,067 | — | ||||||||||||
Total Assets | $ | 125,831,594 | $ | 113,103,527 | $ | 12,728,067 | $ | — |
24
Campbell Systematic Macro Fund
Notes To Consolidated Financial Statements (Continued)
February 28, 2021 (Unaudited)
TOTAL | LEVEL 1 | LEVEL 2 | LEVEL 3 | |||||||||||||
Commodity Contracts | ||||||||||||||||
Futures Contracts | $ | (8,419,362 | ) | $ | (8,419,362 | ) | $ | — | $ | — | ||||||
Equity Contracts | ||||||||||||||||
Futures Contracts | (682,704 | ) | (682,704 | ) | — | — | ||||||||||
Interest Rate Contracts | ||||||||||||||||
Futures Contracts | (4,587,700 | ) | (4,587,700 | ) | — | — | ||||||||||
Foreign Currency Contracts | ||||||||||||||||
Forward Foreign Currency Contracts | (11,624,283 | ) | — | (11,624,283 | ) | — | ||||||||||
Total Liabilities | $ | (25,314,049 | ) | $ | (13,689,766 | ) | $ | (11,624,283 | ) | $ | — |
At the end of each quarter, management evaluates the classification of Levels 1, 2 and 3 assets and liabilities. Various factors are considered, such as changes in liquidity from the prior reporting period; whether or not a broker is willing to execute at the quoted price; the depth and consistency of prices from third party pricing services; and the existence of contemporaneous, observable trades in the market. Additionally, management evaluates the classification of Levels 1, 2 and 3 assets and liabilities on a quarterly basis for changes in listings or delistings on national exchanges.
Due to the inherent uncertainty of determining the fair value of investments that do not have a readily available market value, the fair value of the Fund’s investments may fluctuate from period to period. Additionally, the fair value of investments may differ significantly from the values that would have been used had a ready market existed for such investments and may differ materially from the values the Fund may ultimately realize. Further, such investments may be subject to legal and other restrictions on resale or otherwise less liquid than publicly traded securities.
For fair valuations using significant unobservable inputs, U.S. generally accepted accounting principles (“U.S. GAAP”) requires the Fund to present a reconciliation of the beginning to ending balances for reported market values that presents changes attributable to total realized and unrealized gains or losses, purchase and sales, and transfers in and out of Level 3 during the period. Transfers in and out between levels are based on values at the end of the period. A reconciliation of Level 3 investments is presented only when the Fund had an amount of Level 3 investments at the end of the reporting period that was meaningful in relation to its net assets. The amounts and reasons for Level 3 transfers are disclosed if the Fund had an amount of total transfers during the reporting period that was meaningful in relation to its net assets as of the end of the reporting period.
During the current fiscal period, the Fund had no Level 3 transfers.
Disclosures about Derivative Instruments and Hedging Activities — Derivative instruments are defined as financial instruments whose value and performance are based on the value and performance of another security or financial instrument. Derivative instruments that the Fund used during the period include forward foreign currency contracts and futures contracts.
During the current fiscal period, the Fund used long and short contracts on U.S. and foreign equity market indices, U.S. and foreign government bonds, foreign currencies and commodities (through investment in the Subsidiary), to gain investment exposure in accordance with its investment objective.
The following tables provide quantitative disclosures about fair value amounts of, and gains and losses on, the Fund’s derivative instruments as of and for the current fiscal period.
25
Campbell Systematic Macro Fund
Notes To Consolidated Financial Statements (Continued)
February 28, 2021 (Unaudited)
The following tables list the fair values and location on the Consolidated Statement of Assets and Liabilities of the Fund’s derivative holdings as of end of the reporting period, grouped by derivative type and primary risk exposure category by contract type.
Derivative Type | Consolidated | Commodity | Equity | Interest | Foreign | Total | ||||||||||||||||||
Asset Derivatives | ||||||||||||||||||||||||
Futures Contracts (a) | Unrealized appreciation on futures contracts | $ | 10,387,062 | $ | 447,007 | $ | 1,247,150 | $ | — | $ | 12,081,219 | |||||||||||||
Forward Contracts (a) | Unrealized appreciation on forward foreign currency contracts | — | — | — | 12,728,067 | 12,728,067 | ||||||||||||||||||
Total Value – Assets | $ | 10,387,062 | $ | 447,007 | $ | 1,247,150 | $ | 12,728,067 | $ | 24,809,286 | ||||||||||||||
Liability Derivatives | ||||||||||||||||||||||||
Futures Contracts (a) | Unrealized depreciation on futures contracts | $ | (8,419,362 | ) | $ | (682,704 | ) | $ | (4,587,700 | ) | $ | — | $ | (13,689,766 | ) | |||||||||
Forward Contracts (a) | Unrealized depreciation on forward foreign currency contracts | — | — | — | (11,624,283 | ) | (11,624,283 | ) | ||||||||||||||||
Total Value – Liabilities | $ | (8,419,362 | ) | $ | (682,704 | ) | $ | (4,587,700 | ) | $ | (11,624,283 | ) | $ | (25,314,049 | ) |
(a) | This amount represents the cumulative appreciation/(depreciation) of forward and futures contracts as reported in the Consolidated Portfolio of Investments. |
The following table lists the amounts of realized gains/(losses) included in net increase/(decrease) in net assets resulting from operations during the current fiscal period, grouped by derivative type and primary risk exposure category by contract type.
Derivative Type | Consolidated | Commodity | Equity | Interest | Foreign | Total | ||||||||||||||||||
Realized Gain (Loss) | ||||||||||||||||||||||||
Futures Contracts | Net realized gain/(loss) from futures contracts | $ | 7,099,944 | $ | 773,903 | $ | (1,547,666 | ) | $ | — | $ | 6,326,181 | ||||||||||||
Forward Contracts | Net realized gain/(loss) from forward foreign currency contracts | — | — | — | (1,222,904 | ) | (1,222,904 | ) | ||||||||||||||||
Total Realized Gain/(Loss) |
| $ | 7,099,944 | $ | 773,903 | $ | (1,547,666 | ) | $ | (1,222,904 | ) | $ | 5,103,277 |
26
Campbell Systematic Macro Fund
Notes To Consolidated Financial Statements (Continued)
February 28, 2021 (Unaudited)
The following table lists the amounts of change in unrealized appreciation/(depreciation) included in net increase/(decrease) in net assets resulting from operations during the current fiscal period, grouped by derivative type and primary risk exposure category by contract type.
Derivative Type | Consolidated | Commodity | Equity | Interest | Foreign | Total | ||||||||||||||||||
Change in Unrealized Appreciation/(Depreciation) | ||||||||||||||||||||||||
Futures Contracts | Net change in unrealized appreciation/(depreciation) on futures contracts | $ | 2,030,904 | $ | 307,726 | $ | (2,951,573 | ) | $ | — | $ | (612,943 | ) | |||||||||||
Forward Contracts | Net change in unrealized appreciation/(depreciation) on forward foreign currency contracts | — | — | — | 3,674,945 | 3,674,945 | ||||||||||||||||||
Total Change in Unrealized Appreciation/(Depreciation) | $ | 2,030,904 | $ | 307,726 | $ | (2,951,573 | ) | $ | 3,674,945 | $ | 3,062,002 |
During the current fiscal period, the Fund’s quarterly average volume of derivatives was as follows:
LONG FUTURES | SHORT FUTURES | FORWARD FOREIGN | FORWARD FOREIGN | ||||||||||||
$916,497,692 | $(648,807,415) | $(1,678,682,914) | $1,702,880,032 |
For financial reporting purposes, the Fund does not offset fair value amounts recognized for derivative instruments and fair value amounts recognized for the right to reclaim cash collateral (receivables) or the obligation to return cash collateral (payables) arising from derivative instruments recognized at fair value executed with the same counterparty under a master netting arrangement.
27
Campbell Systematic Macro Fund
Notes To Consolidated Financial Statements (Continued)
February 28, 2021 (Unaudited)
The following is a summary of financial and derivative instruments that are subject to enforceable master netting agreements (or similar arrangements) and collateral received and pledged in connection with the master netting agreements (or similar arrangements).
Gross Amount Not | Gross Amount Not | |||||||||||||||||||||||||||||||||||
Description | Gross Amount | Financial | Collateral | Net | Gross Amount | Financial | Collateral | Net | ||||||||||||||||||||||||||||
Assets | Liabilities | |||||||||||||||||||||||||||||||||||
Forward Foreign Currency Contracts | $ | 12,728,067 | $ | (11,624,283 | ) | $ | — | $ | 1,103,784 | $ | 11,624,283 | $ | 11,624,283 | $ | — | $ | — |
(1) | Net amount represents the net amount receivable from the counterparty in the event of default. |
(2) | Actual collateral pledged may be more than the amount shown. |
(3) | Net amount represents the net amount payable to the counterparty in the event of default. |
Use of Estimates — The preparation of consolidated financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the consolidated financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates and those differences could be significant.
Investment Transactions, Investment Income and Expenses — The Fund records security transactions based on trade date for financial reporting purposes. The cost of investments sold is determined by use of the specific identification method for both financial reporting and income tax purposes in determining realized gains and losses on investments. Interest income (including amortization of premiums and accretion of discounts) is accrued when earned. Dividend income is recorded on the ex-dividend date. Distributions received on securities that represent a return of capital or capital gain are recorded as a reduction of cost of investments and/or as a realized gain. The Fund’s investment income, expenses (other than class specific expenses) and unrealized and realized gains and losses are allocated daily to each class of shares based upon the relative proportion of net assets of each class at the beginning of the day. Expenses incurred on behalf of a specific class, fund or fund family are charged directly to the class, fund or fund family (in proportion to net assets). Expenses incurred for all the RBB funds (such as director or professional fees) are charged to all funds in proportion to their average net assets of RBB, or in such other manner as the Board deems fair or equitable. Expenses and fees, including investment advisory and administration fees, are accrued daily and taken into account for the purpose of determining the NAV of the Fund.
Dividends and Distributions to Shareholders — Dividends from net investment income and distributions from net realized capital gains, if any, are declared and paid at least annually to shareholders and recorded on the ex-dividend date. Income dividends and capital gain distributions are determined in accordance with U.S. federal income tax regulations, which may differ from U.S. GAAP.
U.S. Tax Status — No provision is made for U.S. income taxes as it is the Fund’s intention to continue to qualify for and elect the tax treatment applicable to regulated investment companies under Subchapter M of the Internal Revenue Code of 1986, as amended, and make the requisite distributions to its shareholders which will be sufficient to relieve it from U.S. income and excise taxes.
28
Campbell Systematic Macro Fund
Notes To Consolidated Financial Statements (Continued)
February 28, 2021 (Unaudited)
For tax purposes, the Subsidiary is an exempted Cayman Islands investment company. The Subsidiary has received an undertaking from the Government of the Cayman Islands exempting it from all local income, profits and capital gains taxes. No such taxes are levied in the Cayman Islands at the present time. For U.S. income tax purposes, the Subsidiary is a Controlled Foreign Corporation and as such is not subject to U.S. income tax.
Foreign Currency Translation — Assets and liabilities initially expressed in non-U.S. currencies are translated into U.S. dollars based on the applicable exchange rates at the date of the last business day of the consolidated financial statement period. Purchases and sales of securities, interest income, dividends, variation margin received and expenses denominated in foreign currencies are translated into U.S. dollars at the exchange rates in effect on the transaction date.
The Fund does not separately report the effect of changes in foreign exchange rates from changes in market prices of securities held. Such changes are included with the net realized gain or loss and change in unrealized appreciation or depreciation on investments in the Consolidated Statement of Operations. Other foreign currency transactions resulting in realized and unrealized gain or loss are reported separately as net realized gain or loss and change in unrealized appreciation or depreciation on foreign currencies in the Consolidated Statement of Operations.
Currency Risk — Investment in foreign securities involves currency risk associated with securities that trade or are denominated in currencies other than the U.S. dollar and which may be affected by fluctuations in currency exchange rates. An increase in the strength of the U.S. dollar relative to a foreign currency may cause the U.S. dollar value of an investment in that country to decline. Foreign currencies also are subject to risks caused by inflation, interest rates, budget deficits and low savings rates, political factors and government controls. Forward foreign currency exchange contracts may limit potential gains from a favorable change in value between the U.S. dollar and foreign currencies. Unanticipated changes in currency pricing may result in poorer overall performance for the Fund than if it had not engaged in these contracts.
Commodity Sector Risk — Exposure to the commodities markets may subject the Fund to greater volatility than investments in traditional securities. The value of commodity-linked derivative instruments may be affected by changes in overall market movements, commodity index volatility, changes in interest rates or factors affecting a particular industry or commodity, such as drought, floods, weather, livestock disease, embargoes, tariffs and international economic, political and regulatory developments. The prices of energy, industrial metals, precious metals, agriculture and livestock sector commodities may fluctuate widely due to factors such as changes in value, supply and demand and governmental regulatory policies. The commodity-linked securities in which the Fund invests may be issued by companies in the financial services sector, and events affecting the financial services sector may cause the Fund’s share value to fluctuate.
Foreign Securities Market Risk — A substantial portion of the trades of the Fund are expected to take place on markets or exchanges outside the United States. There is no limit to the amount of assets of the Fund that may be committed to trading on foreign markets. The risk of loss in trading foreign futures and options on futures contracts can be substantial. Participation in foreign futures and options on futures contracts involves the execution and clearing of trades on, or subject to the rules of, a foreign board of trade or exchange. Some of these foreign markets, in contrast to U.S. exchanges, are so-called principals’ markets in which performance is the responsibility only of the individual counterparty with whom the trader has entered into a commodity interest transaction and not of the exchange or clearing corporation. In these kinds of markets, there is risk of bankruptcy or other failure or refusal to perform by the counterparty.
Counterparty Risk — The derivative contracts entered into by the Fund or its Subsidiary may be privately negotiated in the over-the-counter market. These contracts also involve exposure to credit risk, since contract performance depends in part on the financial condition of the counterparty. Relying on a counterparty exposes the Fund to the risk that a counterparty will not settle a transaction in accordance with its terms and conditions because of a dispute over
29
Campbell Systematic Macro Fund
Notes To Consolidated Financial Statements (Continued)
February 28, 2021 (Unaudited)
the terms of the contract (whether or not bona fide) or because of a credit or liquidity problem, thus causing the Fund to suffer a loss. If a counterparty defaults on its payment obligations to the Fund, this default will cause the value of an investment in the Fund to decrease.
Futures Contracts — The Fund uses futures contracts in the normal course of pursuing its investment objective. Upon entering into a futures contract, the Fund must deposit initial margin in addition to segregating cash or liquid assets sufficient to meet its obligation to purchase or provide securities, or to pay the amount owed at the expiration of an index-based futures contract. Such liquid assets may consist of cash, cash equivalents, liquid debt or equity securities or other acceptable assets. Pursuant to the futures contract, the Fund agrees to receive from, or pay to the broker, an amount of cash equal to the daily fluctuation in value of the contract. Such a receipt of payment is known as “variation margin” and is recorded by the Fund as an unrealized gain or loss. When the contract is closed, the Fund records a realized gain or loss equal to the difference between the proceeds from (or cost of) the closing transactions and the Fund’s basis in the contract. Futures contracts have market risks, including the risk that the change in the value of the contract may not correlate with changes in the value of the underlying securities. Use of long futures contracts subjects the Fund to risk of loss in excess of the amount shown on the Consolidated Statement of Assets and Liabilities, up to the notional value of the futures contract. Use of short futures contracts subjects the Fund to unlimited risk of loss.
Forward Foreign Currency Contracts —The Fund uses forward foreign currency contracts (“forward contracts”) in the normal course of pursuing its investment objectives. These contracts are marked-to-market daily at the applicable translation rates. The Fund records realized gains or losses at the time the forward contract is closed. A forward contract is extinguished through a closing transaction or upon delivery of the currency or entering an off setting contract. Risks may arise upon entering these contracts from the potential inability of a counterparty to meet the terms of their contracts and from unanticipated movements in the value of a foreign currency relative to the U.S. dollar or other currencies. The Fund’s maximum risk of loss from counterparty credit risk related to forward foreign currency contracts is the fair value of the contract. The risk may be mitigated to some extent if a master netting arrangement between the Fund and the counterparty is in place and to the extent the Fund obtains collateral to cover the Fund’s exposure to the counterparty.
Credit Risk — Credit risk refers to the possibility that the issuer of the security or a counterparty in respect of a derivative instrument will not be able to satisfy its payment obligations to the Fund when due. Changes in an issuer’s credit rating or the market’s perception of an issuer’s creditworthiness may also affect the value of the Fund’s investment in that issuer. Securities rated in the four highest categories by the rating agencies are considered investment grade but they may also have some speculative characteristics. Investment grade ratings do not guarantee that bonds will not lose value or default. In addition, the credit quality of securities may be lowered if an issuer’s financial condition changes.
Coronavirus (COVID-19) Pandemic — The global outbreak of COVID-19 (commonly referred to as “coronavirus”) has disrupted economic markets and the prolonged economic impact is uncertain. The ultimate economic fallout from the pandemic, and the long-term impact on economies, markets, industries and individual companies are not known. The operational and financial performance of individual companies and the market in general depends on future developments, including the duration and spread of the outbreak, and such uncertainty may in turn adversely affect the value and liquidity of the Fund’s investments, impair the Fund’s ability to satisfy redemption requests, and negatively impact the Fund’s performance.
Cash and Cash Equivalents — Cash and cash equivalents are valued at cost plus accrued interest, which approximates market value.
Other — In the normal course of business, the Fund may enter into contracts that provide general indemnifications. The Fund’s maximum exposure under these arrangements is dependent on claims that may be made against the Fund in the future, and, therefore, cannot be estimated; however, the Fund expects the risk of material loss from such claims to be remote.
30
Campbell Systematic Macro Fund
Notes To Consolidated Financial Statements (Continued)
February 28, 2021 (Unaudited)
2. Investment Adviser and Other Services
Campbell & Company Investment Adviser LLC (“Campbell” or the “Adviser”) serves as the investment adviser to the Fund. The Adviser is a wholly-owned subsidiary of Campbell & Company, L.P. The Fund compensates the Adviser for its services at an annual rate based on the Fund’s average daily net assets (the “Advisory Fee”), payable on a monthly basis in arrears, as shown in the following table.
Prior to May 29, 2020, Equinox Institutional Asset Management, LP (“Equinox”) served as adviser to the Predecessor Fund and Campbell served as a sub-adviser to the Predecessor Fund. Equinox was entitled to an advisory fee from the Predecessor Fund at the same rate payable to Campbell as Adviser to the Fund. Equinox, not the Predecessor Fund, paid a sub-advisory fee to Campbell.
The Adviser has contractually agreed to waive advisory fees and/or reimburse expenses to the extent that total annual Fund operating expenses (excluding certain items discussed below) exceed the rate (“Expense Cap”) shown in the following table of the Fund’s average daily net assets. In determining the Adviser’s obligation to waive advisory fees and/or reimburse expenses, the following expenses are not taken into account and could cause total annual Fund operating expenses to exceed the Expense Cap as applicable: acquired fund fees and expenses, brokerage commissions, extraordinary expenses, interest and taxes. This contractual limitation is in effect until December 31, 2021 and may not be terminated without the approval of the Board. The Adviser may discontinue this arrangement at any time after December 31, 2021.
Expense Cap | |||
Advisory Fee | Class A | Class C | Class I |
1.64% | 2.00% | 2.75% | 1.75% |
Prior to May 29, 2020, Equinox and Campbell had contractually agreed to reduce their advisory fees and/or reimburse certain expenses of the Predecessor Fund, to ensure that the Predecessor Fund’s total annual operating expenses, excluding (i) taxes, (ii) interest, (iii) extraordinary items, (iv) acquired fund fees and expenses, and (v) brokerage commissions, did not exceed, on an annual basis, 2.14% with respect to Class A shares, 2.89% with respect to Class C shares, and 1.89% with respect to Class I shares of the Predecessor Fund’s average daily net assets.
During the current fiscal period, investment advisory fees accrued, waived and/or reimbursed by the Adviser and/or Equinox were as follows:
Gross | Waivers and/or | Net |
$1,044,563 | $(217,075) | $827,488 |
If at any time the Fund’s total annual Fund operating expenses for a year are less than the Expense Cap, the Adviser is entitled to reimbursement by the Fund of the advisory fees forgone and other payments remitted by the Adviser to the Fund within three years from the date on which such waiver or reimbursement was made, provided such reimbursement does not cause the Fund to exceed the Expense Cap that was in effect at the time of the waiver or reimbursement.
As of the end of the reporting period, the Fund had amounts available for recoupment as follows:
Expiration | ||
August 31, | August 31, | Total |
$78,236 | $217,075 | $295,311 |
31
Campbell Systematic Macro Fund
Notes To Consolidated Financial Statements (Continued)
February 28, 2021 (Unaudited)
U.S. Bancorp Fund Services, LLC (“Fund Services”), doing business as U.S. Bank Global Fund Services, serves as administrator for the Fund. For providing administrative and accounting services, Fund Services is entitled to receive a monthly fee, subject to certain minimum and out of pocket expenses.
Fund Services serves as the Fund’s transfer and dividend disbursing agent. For providing transfer agent services, Fund Services is entitled to receive a monthly fee, subject to certain minimum and out of pocket expenses.
U.S. Bank, N.A. (the “Custodian”) provides certain custodial services to the Fund. The Custodian is entitled to receive a monthly fee, subject to certain minimum and out of pocket expenses.
Quasar Distributors, LLC (the “Distributor”), a wholly-owned broker-dealer subsidiary of Foreside Financial Group, LLC, serves as the principal underwriter and distributor of the Fund’s shares pursuant to a Distribution Agreement with RBB.
The Board has adopted a Plan of Distribution (the “Plan”) for the Class A Shares and Class C Shares of the Funds pursuant to Rule 12b-1 under the 1940 Act. Under the Plan, the Distributor is entitled to receive from each Fund a distribution fee with respect to the Shares, which is accrued daily and paid monthly, of up to 0.25% on an annualized basis of the average daily net assets of the Class A Shares and up to 1.00% on an annualized basis of the average daily net assets of the Class C Shares. The actual amount of such compensation under the Plan is agreed upon by the Board and by the Distributor. Because these fees are paid out of each Fund’s assets on an ongoing basis, over time these fees will increase the cost of your investment and may cost you more than paying other types of sales charges. Amounts paid to the Distributor under the Plan may be used by the Distributor to cover expenses that are related to (i) the sale of the Shares, (ii) ongoing servicing and/or maintenance of the accounts of shareholders, and (iii) sub-transfer agency services, subaccounting services or administrative services related to the sale of the Shares, all as set forth in each Fund’s 12b-1 Plan.
For compensation amounts paid to Fund Services and the Custodian, please refer to the Consolidated Statement of Operations.
3. Director and Officer Compensation
The Directors of the Company receive an annual retainer and meeting fees for meetings attended. An employee of Vigilant Compliance, LLC serves as President and Chief Compliance Officer of the Company. Vigilant Compliance, LLC is compensated for the services provided to the Company. Employees of RBB serve as Treasurer, Secretary and Director of Marketing & Business Development of the Company. They are compensated for services provided. Certain employees of Fund Services serve as officers of the Company. They are not compensated by the Fund or the Company. For Director and Officer compensation amounts, please refer to the Consolidated Statement of Operations.
4. Purchases and Sales of Investment Securities
During the current fiscal period, there were no purchases and sales of investment securities (excluding short-term investments and derivative transactions) or long-term U.S. Government securities by the Fund.
5. Federal Income Tax Information
The Fund has followed the authoritative guidance on accounting for and disclosure of uncertainty in tax positions, which requires the Fund to determine whether a tax position is more likely than not to be sustained upon examination, including resolution of any related appeals or litigation processes, based on the technical merits of the position. The Fund has determined that there was no effect on the consolidated financial statements from following this authoritative guidance. In the normal course of business, the Fund is subject to examination by federal, state and local jurisdictions, where applicable, for tax years for which applicable statutes of limitations have not expired.
32
Campbell Systematic Macro Fund
Notes To Consolidated Financial Statements (Continued)
February 28, 2021 (Unaudited)
As of August 31, 2020, the federal tax cost and aggregate gross unrealized appreciation and depreciation of investments held by the Fund were as follows(a):
Federal Tax | Unrealized | Unrealized | Net |
$119,815,281 | $854,597 | $(4,802,641) | $(3,948,044) |
(a) | The difference between the book basis and tax basis cost and aggregate gross unrealized appreciation and depreciation of investments is attributable primarily to futures not regulated by Section 1256 of the Internal Revenue Code and timing difference related to taxable income from a wholly owned controlled foreign corporation. |
Distributions to shareholders, if any, from net investment income and realized gains are determined in accordance with federal income tax regulations, which may differ from net investment income and realized gains recognized for financial reporting purposes. Accordingly, the character of distributions and composition of net assets for tax purposes may differ from those reflected in the accompanying consolidated financial statements. To the extent these differences are permanent, such amounts are reclassified within the capital accounts based on the tax treatment; temporary differences do not require such reclassification.
The following permanent differences as of August 31, 2020, primarily attributable to investments in wholly-owned controlled foreign corporation were reclassified among the following accounts:
Distributable | PAID-IN |
$2,195,943 | $(2,195,943) |
As of August 31, 2020, the components of distributable earnings on a tax basis were as follows:
Undistributed | Undistributed | Capital | Qualified | Unrealized |
$— | $— | (7,243,474) | (1,042,367) | $(865,646) |
The differences between the book and tax basis components of distributable earnings relate principally to the timing of recognition of income and gains of the Subsidiary for federal income tax purposes. Short-term and foreign currency gains are reported as ordinary income for federal income tax purposes.
The tax character of dividends and distributions paid during the fiscal years ended August 31, 2020 was as follows:
Ordinary | Long-Term | Total |
$6,320,770 | $5,118,935 | $11,439,705 |
Pursuant to federal income tax rules applicable to regulated investment companies, the Fund may elect to treat certain capital losses between November 1 and August 31 and late year ordinary losses ((i) ordinary losses between January 1 and August 31, and (ii) specified ordinary and currency losses between November 1 and August 31) as occurring on the first day of the following tax year. For the fiscal year ended August 31, 2020, any amount of losses elected within the tax return will not be recognized for federal income tax purposes until September 1, 2020. As of August 31, 2020, the Fund had tax basis qualified late-year losses of $1,042,367.
33
Campbell Systematic Macro Fund
Notes To Consolidated Financial Statements (Concluded)
February 28, 2021 (Unaudited)
Under the Regulated Investment Company Modernization Act of 2010, the Fund is permitted to carry forward capital losses for an unlimited period. Additionally, capital losses that are carried forward will retain their character as either short-term or long-term capital losses rather than being considered all short-term as under the previous law. As of August 31, 2020, the Fund had $5,145,610 of short-term and $2,097,864 of long-term capital loss carryovers, respectively.
6. Subsequent Events
Management has evaluated the impact of all subsequent events on the Fund through the date the consolidated financial statements were issued and has determined that there were no significant events requiring recognition or disclosure in the consolidated financial statements.
34
Campbell Systematic Macro Fund
Other Information
(Unaudited)
Proxy Voting
Policies and procedures that the Fund uses to determine how to vote proxies relating to portfolio securities as well as information regarding how the Fund voted proxies relating to portfolio securities for the most recent twelve-month period ended June 30 are available without charge, upon request, by calling 1-844-261-6488 and on the Securities and Exchange Commission’s (“SEC”) website at http://www.sec.gov.
Quarterly Portfolio Schedules
The Company files a complete schedule of portfolio holdings with the SEC for the first and third fiscal quarters of each fiscal year (quarters ended November 30 and May 31) as an exhibit to its report on Form N-PORT. The Company’s Form N-PORT is available on the SEC’s website at http://www.sec.gov.
Liquidity Risk Management Program
The Company has adopted and implemented a Liquidity Risk Management Program (the “Company Program”) as required by rule 22e-4 under the 1940 Act. In accordance with the Company Program, the Adviser has adopted and implemented a liquidity risk management program (the “Adviser Program” and together with the Company Program, the “Programs”) on behalf of the Fund. The Programs seek to assess, manage and review the Fund’s Liquidity Risk. “Liquidity Risk” is defined as the risk that the Fund could not meet requests to redeem shares issued by the Fund without significant dilution of remaining investors’ interest in the Fund.
The Board has appointed Vigilant Compliance, LLC (“Vigilant”) as the program administrator for the Company Program and the Liquidity Risk Management Committee of the Adviser as the program administrator for the Adviser Program. The process of monitoring and determining the liquidity of the Fund’s investments is supported by one or more third-party vendors.
At meetings held during the fiscal period, the Board and its Investment and Liquidity Risk Committee received and reviewed a written report (the “Report”) of Vigilant and the Adviser concerning the operation of the Programs for the period from June 1, 2019 to June 30, 2020 (the “Period”). The Report summarized the operation of the Programs and the information and factors considered by Vigilant and the Adviser in reviewing the adequacy and effectiveness of the implementation of the Programs with respect to the Fund. Such information and factors included, among other things: (i) the methodology used to classify the liquidity of the Fund’s portfolio investments and the Adviser’s assessment that the Fund’s strategy remained appropriate for an open-end mutual fund; (ii) analyses of the Fund’s trading environment and reasonably anticipated trading size; (iii) that the Fund held primarily highly liquid assets (investments that the Fund anticipates can be converted to cash within 3 business days or less in current market conditions without significantly changing their market value); (iv) that the Fund did not require the establishment of a highly liquid investment minimum and the methodology for that determination; (v) confirmation that the Fund did not breach the 15% maximum illiquid security threshold (investments that cannot be sold or disposed of in seven days or less in current market conditions without the sale of the investment significantly changing the market value of the investment) during the Period and the procedures for monitoring compliance with the limit; (vi) that the processes, technologies and third-party vendors used to assess, manage, and/or periodically review the Fund’s Liquidity Risk functioned appropriately during the Period; and (vii) that the Programs operated adequately during the Period. The Report also indicated that there were no material changes made to the Company Program during the Period and described certain material changes made to the Adviser Program during the Period.
Based on the review, the Report concluded that the Programs were being implemented effectively and reasonably designed to assess and manage Liquidity Risk in the Fund’s portfolio.
There can be no assurance that the Company Program or the Adviser Program will achieve its objectives under all circumstances in the future. Please refer to the Fund’s prospectus for more information regarding the Fund’s exposure to liquidity risk and other risks to which it may be subject.
35
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[THIS PAGE INTENTIONALLY LEFT BLANK]
Investment Adviser
Campbell & Company Investment Adviser LLC
2850 Quarry Lake Drive
Baltimore, Maryland 21209
Administrator and Transfer Agent
U.S. Bancorp Fund Services, LLC
P.O. Box 701
Milwaukee, WI 53201
Principal Underwriter
Quasar Distributors, LLC
111 E Kilbourn Ave, Suite 2200
Milwaukee, WI 53202
Custodian
U.S. Bank, N.A.
1555 North Rivercenter Drive, Suite 302
Milwaukee, WI 53212
Independent Registered Public Accounting Firm
Ernst & Young LLP
One Commerce Square
2005 Market Street, Suite 700
Philadelphia, PA 19103
Legal Counsel
Faegre Drinker Biddle & Reath LLP
One Logan Square, Suite 2000
Philadelphia, PA 19103-6996
CSMF-SAR21
FREE MARKET U.S. EQUITY FUND
FREE MARKET INTERNATIONAL EQUITY FUND
FREE MARKET FIXED INCOME FUND
of
The RBB Fund, Inc.
Semi-Annual Report
February 28, 2021
(Unaudited)
FREE MARKET FUNDS
PERFORMANCE DATA
February 28, 2021 (Unaudited)
Free Market U.S. Equity Fund
Average Annual Total Returns for the Periods Ended February 28, 2021 | |||||
Six | 1 Year | 5 Years | 10 Years | Since | |
Free Market U.S. Equity Fund | 33.02% | 37.29% | 13.25% | 10.31% | 9.26%(2) |
Russell 2500® Index | 35.45% | 45.90% | 17.42% | 12.27% | 10.31% |
Composite Index(3) | 27.30% | 36.45% | 15.42% | 11.39% | 8.82% |
(1) | Not annualized. |
(2) | The Fund commenced operations on December 31, 2007. |
(3) | The Composite Index is comprised of the S&P 500® Index, Russell 1000® Value Index, Russell 2000® Index and Russell 2000® Value Index, each weighted 25%, 25%, 25% and 25%, respectively. |
The performance data quoted represents past performance. Past performance is not indicative of future results. Investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher. Returns shown include the reinvestment of all dividends and other distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. For performance data current to the most recent month-end, please call 1-866-780-0357 ext. 3863. The Fund’s annual operating expense ratio, as stated in the current prospectus dated December 31, 2020, is 0.87% (included in the ratio is 0.31% attributable to acquired fund fees and expenses).
The Fund’s aggregate total return since inception is based on an increase in net asset value from $10.00 per share on December 31, 2007 (commencement of operations) to $21.02 per share on February 28, 2021.
Portfolio composition is subject to change.
The Free Market U.S. Equity Fund’s underlying funds invest in small-cap and micro-cap stocks, large-cap stocks and other equity securities. In addition to the ordinary risks of equity investing, small companies entail special risk. Small companies tend to have more risk than large companies. An investor in the Fund will incur the expenses of the underlying funds in addition to the Fund’s expenses. The foregoing is not intended to be a complete discussion of all risks associated with the investment strategies of the Fund.
1
FREE MARKET FUNDS
PERFORMANCE DATA (Continued)
February 28, 2021 (Unaudited)
Free Market International Equity Fund
Average Annual Total Returns for the Periods Ended February 28, 2021 | |||||
Six | 1 Year | 5 Years | 10 Years | Since | |
Free Market International Equity Fund | 22.26% | 24.08% | 8.97% | 3.98% | 3.34%(2) |
MSCI World (excluding U.S.) Index | 14.23% | 22.15% | 9.81% | 4.73% | 2.49% |
Composite Index(3) | 18.59% | 27.33% | 11.24% | 5.40% | 3.31% |
(1) | Not annualized. |
(2) | The Fund commenced operations on December 31, 2007. |
(3) | The Composite Index is comprised of the MSCI EAFE Index, MSCI EAFE Value Index, MSCI EAFE Small Company Index and MSCI Emerging Markets Free Index, each weighted 25%, 25%, 25% and 25%, respectively. |
The performance data quoted represents past performance. Past performance is not indicative of future results. Investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher. Returns shown include the reinvestment of all dividends and other distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. For performance data current to the most recent month-end, please call 1-866-780-0357 ext. 3863. The Fund’s annual operating expense ratio, as stated in the current prospectus dated December 31, 2020, is 1% (included in the ratio is 0.42% attributable to acquired fund fees and expenses).
The Fund’s aggregate total return since inception is based on an increase in net asset value from $10.00 per share on December 31, 2007 (commencement of operations) to $10.55 per share on February 28, 2021.
Portfolio composition is subject to change.
The Free Market International Equity Fund’s underlying funds invest in common stock, preferred stock, securities convertible into stocks and other equity securities issued by foreign companies. In addition to the ordinary risks of equity investing, foreign and small companies entail special risk. The return on foreign equities may be adversely affected by currency fluctuations. Emerging markets may be subject to social instability and lack of market liquidity. Small companies tend to have more risk than large companies. An investor in the Fund will incur the expenses of the underlying funds in addition to the Fund’s expenses. The foregoing is not intended to be a complete discussion of all risks associated with the investment strategies of the Fund.
2
FREE MARKET FUNDS
PERFORMANCE DATA (CONCLUDED)
February 28, 2021 (Unaudited)
Free Market Fixed Income Fund
Average Annual Total Returns for the Periods Ended February 28, 2021 | |||||
Six | 1 Year | 5 Years | 10 Years | Since | |
Free Market Fixed Income Fund | -0.26% | 1.03% | 1.81% | 1.49% | 1.77%(2) |
FTSE World Government Bond Index 1-5 Years | -0.10% | 1.33% | 2.07% | 1.95% | 2.28% |
Composite Index(3) | -0.73% | 1.35% | 2.38% | 2.15% | 2.53% |
(1) | Not annualized. |
(2) | The Fund commenced operations on December 31, 2007. |
(3) | The Composite Index is comprised of the Three-Month Treasury Bill Index, Bloomberg Barclays Intermediate Government/Credit Bond Index, ICE BofA Merrill Lynch 1-3 Year US Government/Corporate Index and Bloomberg Barclays U.S. Capital Aggregate Bond Index, each weighted 25%, 25%, 25% and 25%, respectively. |
The performance data quoted represents past performance. Past performance is not indicative of future results. Investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher. Returns shown include the reinvestment of all dividends and other distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. For performance data current to the most recent month-end, please call 1-866-780-0357 ext. 3863. The Fund’s annual operating expense ratio, as stated in the current prospectus dated December 31, 2020, is 0.69% (included in the ratio is 0.13% attributable to acquired fund fees and expenses).
The Fund’s aggregate total return since inception is based on an increase in net asset value from $10.00 per share on December 31, 2007 (commencement of operations) to $10.50 per share on February 28, 2021.
Portfolio composition is subject to change.
The Free Market Fixed Income Fund’s underlying funds invest in fixed income securities. The underlying funds may invest their assets in bonds and other debt securities issued by domestic and foreign governments and companies. Debt instruments involve the risk that their prices will fall when interest rates rise, and they are subject to the risk that the borrower may default. In addition, the return on foreign debt securities may be adversely affected by currency fluctuations. An investor in the Fund will incur expenses of the underlying funds in addition to the Fund’s expenses. The foregoing is not intended to be a complete discussion of all risks associated with the investment strategies of the Fund.
3
FREE MARKET FUNDS
Fund Expense Examples
February 28, 2021 (Unaudited)
As a shareholder of the Fund(s), you incur two types of costs: (1) transaction costs; and (2) ongoing costs, including management fees and other Fund expenses. These examples are intended to help you understand your ongoing costs (in dollars) of investing in the Fund(s) and to compare these costs with the ongoing costs of investing in other mutual funds.
These examples are based on an investment of $1,000 invested at the beginning of the six-month period from September 1, 2020 through February 28, 2021, and held for the entire period.
Actual Expenses
The first section of the accompanying table provides information about actual account values and actual expenses. You may use the information in this section, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first section under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Hypothetical EXAMPLES for Comparison Purposes
The second section of the accompanying table provides information about hypothetical account values and hypothetical expenses based on each Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in each Fund and other funds. To do so, compare these 5% hypothetical examples with the 5% hypothetical examples that appear in the shareholder reports of other funds.
The expenses shown in the accompanying table are meant to highlight your ongoing costs only and do not reflect any transactional costs. Therefore, the second section of the accompanying table is useful in comparing ongoing costs only and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
Beginning | Ending | Expenses | Annualized | Actual | |
Actual | |||||
Free Market U.S. Equity Fund | $ 1,000.00 | $ 1,330.20 | $ 3.18 | 0.55% | 33.02% |
Free Market International Equity Fund | 1,000.00 | 1,222.60 | 3.09 | 0.56% | 22.26% |
Free Market Fixed Income Fund | 1,000.00 | 997.40 | 2.77 | 0.56% | -0.26% |
Hypothetical (5% return before expenses) | |||||
Free Market U.S. Equity Fund | $ 1,000.00 | $ 1,022.07 | $ 2.76 | 0.55% | N/A |
Free Market International Equity Fund | 1,000.00 | 1,022.02 | 2.81 | 0.56% | N/A |
Free Market Fixed Income Fund | 1,000.00 | 1,022.02 | 2.81 | 0.56% | N/A |
* | Expenses are equal to each Fund’s annualized six-month expense ratio for the period September 1, 2020 to February 28, 2021, multiplied by the average account value over the period, multiplied by the number of days (181) in the most recent fiscal half-year, then divided by 365 to reflect the one half year period. The annualized expense ratios do not reflect fees and expenses associated with the underlying funds. If such fees and expenses had been included, the expenses would have been higher. Each Fund’s ending account values in the first section in the table is based on the actual six-month total investment return for each Fund for the period September 1, 2020 to February 28, 2021. The range of weighted expense ratios of the underlying funds held by the Funds, as stated in the underlying funds’ current prospectuses, were as follows: |
FUNDS | RANGE OF WEIGHTED |
Free Market U.S. Equity Fund | 0.00% - 0.10% |
Free Market International Equity Fund | 0.00% - 0.20% |
Free Market Fixed income Fund | 0.00% - 0.04% |
4
FREE MARKET FUNDS
FREE MARKET U.S. EQUITY FUND
Portfolio of Investments
February 28, 2021 (Unaudited)
NUMBER | VALUE | |||||||
DOMESTIC EQUITY FUNDS — 99.9% | ||||||||
iShares Core S&P 500 ETF | 279,854 | $ | 106,839,862 | |||||
iShares MSCI USA Value Factor ETF | 1,858,992 | 178,426,052 | ||||||
U.S. Large Cap Value Portfolio III (a) | 23,129,386 | 631,894,818 | ||||||
U.S. Large Cap Value Series (b) | 2,825,615 | 167,756,789 | ||||||
U.S. Large Company Portfolio (a) | 12,906,726 | 369,519,563 | ||||||
U.S. Micro Cap Portfolio (c) | 19,034,253 | 504,788,379 | ||||||
U.S. Small Cap Portfolio (c) | 11,496,507 | 500,672,898 | ||||||
U.S. Small Cap Value Portfolio (c) | 20,786,636 | 847,679,000 | ||||||
TOTAL DOMESTIC EQUITY FUNDS | ||||||||
(Cost $1,973,404,519) | 3,307,577,361 | |||||||
SHORT-TERM INVESTMENTS — 0.1% | ||||||||
STIT-Government & Agency Portfolio, 0.03%* | 2,676,609 | 2,676,609 | ||||||
TOTAL SHORT-TERM INVESTMENTS | ||||||||
(Cost $2,676,609) | 2,676,609 | |||||||
TOTAL INVESTMENTS — 100.0% | ||||||||
(Cost $1,974,155,515) | 3,310,253,970 | |||||||
LIABILITIES IN EXCESS OF OTHER ASSETS — 0.0% | (1,329,355 | ) | ||||||
NET ASSETS — 100.0% | $ | 3,308,924,615 |
Portfolio Holdings Summary Table
% OF | VALUE | |||||||
Domestic Equity Funds | 99.9 | % | $ | 3,307,577,361 | ||||
Short-Term Investments | 0.1 | 2,676,609 | ||||||
Liabilities In Excess Of Other Assets | 0 | (1,329,355 | ) | |||||
NET ASSETS | 100.0 | % | $ | 3,308,924,615 |
* | Seven-day yield as of February 28, 2021. |
(a) | A portfolio of Dimensional Investment Group Inc. |
(b) | A portfolio of DFA Investment Trust Company. |
(c) | A portfolio of DFA Investment Dimensions Group Inc. |
ETF | Exchange-Traded Fund |
Portfolio holdings are subject to change at any time.
The accompanying notes are an integral part of the financial statements.
5
FREE MARKET FUNDS
FREE MARKET INTERNATIONAL EQUITY FUND
Portfolio of Investments
February 28, 2021 (Unaudited)
NUMBER | VALUE | |||||||
INTERNATIONAL EQUITY FUNDS — 99.9% | ||||||||
Canadian Small Company Series (a) | 2,170,662 | $ | 30,805,903 | |||||
DFA International Small Cap Value Portfolio (b) | 48,072,054 | 958,556,759 | ||||||
DFA International Value Portfolio III (c) | 24,797,100 | 382,619,256 | ||||||
DFA International Value Series (a) | 13,331,142 | 343,143,606 | ||||||
Emerging Markets Small Cap Portfolio (b) | 4,794,055 | 115,920,249 | ||||||
Emerging Markets Value Portfolio, Class Institutional (b) | 3,852,107 | 116,372,143 | ||||||
iShares Core MSCI EAFE ETF | 1,662,695 | 116,937,339 | ||||||
iShares Core MSCI Emerging Markets ETF | 1,855,198 | 120,086,967 | ||||||
iShares MSCI EAFE Small-Cap ETF | 2,919,044 | 204,916,889 | ||||||
TOTAL INTERNATIONAL EQUITY FUNDS | ||||||||
(Cost $2,057,315,950) | 2,389,359,111 | |||||||
SHORT-TERM INVESTMENTS — 0.1% | ||||||||
STIT-Government & Agency Portfolio, 0.03%* | 3,579,050 | 3,579,050 | ||||||
TOTAL SHORT-TERM INVESTMENTS | ||||||||
(Cost $3,579,050) | 3,579,050 | |||||||
TOTAL INVESTMENTS — 100.0% | ||||||||
(Cost $2,029,646,615) | 2,392,938,161 | |||||||
LIABILITIES IN EXCESS OF OTHER ASSETS — 0.0% | (367,343 | ) | ||||||
NET ASSETS — 100.0% | $ | 2,392,570,818 |
Portfolio Holdings Summary Table
% OF | VALUE | |||||||
International Equity Funds | 99.9 | % | $ | 2,389,359,111 | ||||
Short-Term Investments | 0.1 | 3,579,050 | ||||||
Liabilities In Excess Of Other Assets | 0.0 | (367,343 | ) | |||||
NET ASSETS | 100.0 | % | $ | 2,392,570,818 |
* | Seven-day yield as of February 28, 2021. |
(a) | A portfolio of DFA Investment Trust Company. |
(b) | A portfolio of DFA Investment Dimensions Group Inc. |
(c) | A portfolio of Dimensional Investment Group Inc. |
ETF | Exchange-Traded Fund |
Portfolio holdings are subject to change at any time.
The accompanying notes are an integral part of the financial statements.
6
FREE MARKET FUNDS
FREE MARKET FIXED INCOME FUND
Portfolio of Investments
February 28, 2021 (Unaudited)
NUMBER | VALUE | |||||||
FIXED INCOME FUNDS — 99.4% | ||||||||
DFA One-Year Fixed Income Portfolio (a) | 36,670,593 | $ | 377,707,104 | |||||
DFA Two-Year Global Fixed Income Portfolio (a) | 65,476,438 | 651,490,560 | ||||||
iShares 1-3 Year Treasury Bond ETF | 1,204,984 | 104,014,219 | ||||||
iShares 3-7 Year Treasury Bond ETF | 1,178,588 | 154,477,529 | ||||||
iShares Core International Aggregate Bond ETF | 7,063,584 | 387,932,033 | ||||||
iShares Intermediate-Term Corporate Bond ETF | 2,552,262 | 153,697,218 | ||||||
iShares Short-Term Corporate Bond ETF | 11,352,884 | 622,932,745 | ||||||
iShares TIPS Bond ETF | 1,025,095 | 128,987,704 | ||||||
TOTAL FIXED INCOME FUNDS | ||||||||
(Cost $2,534,332,311) | 2,581,239,112 | |||||||
SHORT-TERM INVESTMENTS — 0.6% | ||||||||
STIT-Government & Agency Portfolio, 0.03%* | 15,614,045 | 15,614,045 | ||||||
TOTAL SHORT-TERM INVESTMENTS | ||||||||
(Cost $15,614,045) | 15,614,045 | |||||||
TOTAL INVESTMENTS — 100.0% | ||||||||
(Cost $2,549,946,356) | 2,596,853,157 | |||||||
LIABILITIES IN EXCESS OF OTHER ASSETS — 0.0% | (1,012,071 | ) | ||||||
NET ASSETS — 100.0% | $ | 2,595,841,086 |
Portfolio Holdings Summary Table
% OF | VALUE | |||||||
Fixed Income Funds | 99.4 | % | $ | 2,581,239,112 | ||||
Short-Term Investments | 0.6 | 15,614,045 | ||||||
Liabilities In Excess Of Other Assets | 0.0 | (1,012,071 | ) | |||||
NET ASSETS | 100.0 | % | $ | 2,595,841,086 |
* | Seven-day yield as of February 28, 2021. |
(a) | A portfolio of DFA Investment Dimensions Group Inc. |
ETF | Exchange-Traded Fund |
Portfolio holdings are subject to change at any time.
The accompanying notes are an integral part of the financial statements.
7
FREE MARKET FUNDS
Statements of Assets and Liabilities
February 28, 2021 (Unaudited)
Free Market | Free Market | Free Market | ||||||||||
ASSETS | ||||||||||||
Investments in non-affiliated funds, at value (cost $1,973,404,519, $2,057,315,950 and $2,534,332,311, respectively) | $ | 3,307,577,363 | $ | 2,389,359,112 | $ | 2,581,239,112 | ||||||
Short-term investments, at value (cost $2,676,609, $3,579,050 and $15,614,045, respectively) | 2,676,609 | 3,579,050 | 15,614,045 | |||||||||
Receivables for: | ||||||||||||
Capital shares sold | 3,230,864 | 2,864,571 | 3,838,202 | |||||||||
Prepaid expenses and other assets | 193,617 | 148,979 | 133,122 | |||||||||
Total assets | 3,313,678,453 | 2,395,951,712 | 2,600,824,481 | |||||||||
LIABILITIES | ||||||||||||
Payables for: | ||||||||||||
Capital shares redeemed | 3,282,858 | 1,644,498 | 1,772,592 | |||||||||
Advisory fees | 1,240,726 | 908,903 | 985,692 | |||||||||
Administration and accounting fees | 107,366 | 82,712 | 111,515 | |||||||||
Transfer agent fees | 14,034 | 12,506 | 17,676 | |||||||||
Other accrued expenses and liabilities | 108,854 | 732,275 | 2,095,920 | |||||||||
Total liabilities | 4,753,838 | 3,380,894 | 4,983,395 | |||||||||
Net assets | $ | 3,308,924,615 | $ | 2,392,570,818 | $ | 2,595,841,086 | ||||||
NET ASSETS CONSIST OF: | ||||||||||||
Par value | $ | 157,402 | $ | 226,853 | $ | 247,239 | ||||||
Paid-in capital | 1,929,719,041 | 2,076,025,731 | 2,550,159,787 | |||||||||
Total distributable earnings/(loss) | 1,379,048,172 | 316,318,234 | 45,434,060 | |||||||||
Net assets | $ | 3,308,924,615 | $ | 2,392,570,818 | $ | 2,595,841,086 | ||||||
CAPITAL SHARES: | ||||||||||||
Net assets | $ | 3,308,924,615 | $ | 2,392,570,818 | $ | 2,595,841,086 | ||||||
Shares outstanding ($0.001 par value, 700,000,000 shares authorized) | 157,401,880 | 226,853,295 | 247,239,444 | |||||||||
Net asset value, offering and redemption price per share | $ | 21.02 | $ | 10.55 | $ | 10.50 |
The accompanying notes are an integral part of the financial statements.
8
FREE MARKET FUNDS
Statements of Operations
FOR THE SIX MONTHS ENDED February 28, 2021 (Unaudited)
Free Market | Free Market | Free Market | ||||||||||
INVESTMENT INCOME | ||||||||||||
Dividends from non-affiliated funds | $ | 31,137,705 | $ | 28,883,324 | $ | 14,389,679 | ||||||
Total investment income | 31,137,705 | 28,883,324 | 14,389,679 | |||||||||
EXPENSES | ||||||||||||
Advisory fees (Note 2) | 7,396,713 | 5,527,309 | 5,793,015 | |||||||||
Administration and accounting fees (Note 2) | 318,395 | 246,875 | 288,040 | |||||||||
Director fees | 170,647 | 120,768 | 147,779 | |||||||||
Legal fees | 115,419 | 87,954 | 100,944 | |||||||||
Officer fees | 57,233 | 43,841 | 53,737 | |||||||||
Transfer agent fees (Note 2) | 57,156 | 49,795 | 55,896 | |||||||||
Printing and shareholder reporting fees | 36,431 | 30,476 | 31,804 | |||||||||
Custodian fees (Note 2) | 37,908 | 29,226 | 26,380 | |||||||||
Registration and filing fees | 22,385 | 18,531 | 19,240 | |||||||||
Audit and tax service fees | 13,608 | 14,084 | 13,607 | |||||||||
Other expenses | 67,195 | 94,493 | 52,105 | |||||||||
Total expenses | 8,293,090 | 6,263,352 | 6,582,547 | |||||||||
Net investment income/(loss) | 22,844,615 | 22,619,972 | 7,807,132 | |||||||||
NET REALIZED AND UNREALIZED GAIN/(LOSS) FROM INVESTMENTS | ||||||||||||
Net realized gain/(loss) from: | ||||||||||||
Non-affiliated funds | 34,491,120 | (23,108,451 | ) | 985,278 | ||||||||
Capital gain distributions from non-affiliated fund investments | 8,139,666 | — | — | |||||||||
Net change in unrealized appreciation/(depreciation) on: | ||||||||||||
Non-affiliated funds | 815,266,126 | 456,235,477 | (16,702,985 | ) | ||||||||
Net realized and unrealized gain/(loss) on investments | 857,896,912 | 433,127,026 | (15,717,707 | ) | ||||||||
NET INCREASE/(DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ | 880,741,527 | $ | 455,746,998 | $ | (7,910,575 | ) |
The accompanying notes are an integral part of the financial statements.
9
FREE MARKET U.S. EQUITY FUND
Statements of Changes in Net Assets
For the | For the | |||||||
INCREASE/(DECREASE) IN NET ASSETS FROM OPERATIONS: | ||||||||
Net investment income/(loss) | $ | 22,844,615 | $ | 29,486,016 | ||||
Net realized gain/(loss) from investments | 42,630,786 | 34,313,684 | ||||||
Net change in unrealized appreciation/(depreciation) on investments | 815,266,126 | (27,260,145 | ) | |||||
Net increase/(decrease) in net assets resulting from operations | 880,741,527 | 36,539,555 | ||||||
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||
Total distributable earnings | (50,706,505 | ) | (169,412,819 | ) | ||||
Net decrease in net assets from dividends and distributions to shareholders | (50,706,505 | ) | (169,412,819 | ) | ||||
CAPITAL SHARE TRANSACTIONS: | ||||||||
Proceeds from shares sold | 174,555,673 | 545,707,591 | ||||||
Reinvestment of distributions | 50,687,033 | 169,205,765 | ||||||
Shares redeemed | (585,690,575 | ) | (641,720,675 | ) | ||||
Net increase/(decrease) in net assets from capital shares | (360,447,869 | ) | 73,192,681 | |||||
Total increase/(decrease) in net assets | 469,587,153 | (59,680,583 | ) | |||||
NET ASSETS: | ||||||||
Beginning of period | 2,839,337,462 | 2,899,018,045 | ||||||
End of period | $ | 3,308,924,615 | $ | 2,839,337,462 | ||||
SHARES TRANSACTIONS: | ||||||||
Shares sold | 9,660,083 | 36,797,183 | ||||||
Dividends and distributions reinvested | 2,722,182 | 9,343,223 | ||||||
Shares redeemed | (31,778,245 | ) | (40,900,928 | ) | ||||
Net increase/(decrease) in shares outstanding | (19,395,980 | ) | 5,239,478 |
The accompanying notes are an integral part of the financial statements.
10
FREE MARKET INTERNATIONAL EQUITY FUND
Statements of Changes in Net Assets
For the | For the | |||||||
INCREASE/(DECREASE) IN NET ASSETS FROM OPERATIONS: | ||||||||
Net investment income/(loss) | $ | 22,619,972 | $ | 45,116,811 | ||||
Net realized gain/(loss) from investments | (23,108,451 | ) | 44,528,825 | |||||
Net change in unrealized appreciation/(depreciation) on investments | 456,235,477 | (63,417,824 | ) | |||||
Net increase/(decrease) in net assets resulting from operations | 455,746,998 | 26,227,812 | ||||||
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||
Total distributable earnings | (70,369,565 | ) | (60,103,777 | ) | ||||
Net decrease in net assets from dividends and distributions to shareholders | (70,369,565 | ) | (60,103,777 | ) | ||||
CAPITAL SHARE TRANSACTIONS: | ||||||||
Proceeds from shares sold | 146,376,404 | 430,793,091 | ||||||
Reinvestment of distributions | 70,361,038 | 60,073,300 | ||||||
Shares redeemed | (363,199,025 | ) | (458,243,187 | ) | ||||
Net increase/(decrease) in net assets from capital shares | (146,461,583 | ) | 32,623,204 | |||||
Total increase/(decrease) in net assets | 238,915,850 | (1,252,761 | ) | |||||
NET ASSETS: | ||||||||
Beginning of period | 2,153,654,968 | 2,154,907,729 | ||||||
End of period | $ | 2,392,570,818 | $ | 2,153,654,968 | ||||
SHARES TRANSACTIONS: | ||||||||
Shares sold | 15,093,308 | 52,513,619 | ||||||
Dividends and distributions reinvested | 6,987,193 | 5,947,851 | ||||||
Shares redeemed | (37,354,837 | ) | (53,365,026 | ) | ||||
Net increase/(decrease) in shares outstanding | (15,274,336 | ) | 5,096,444 |
The accompanying notes are an integral part of the financial statements.
11
FREE MARKET FIXED INCOME FUND
Statements of Changes in Net Assets
For the | For the | |||||||
INCREASE/(DECREASE) IN NET ASSETS FROM OPERATIONS: | ||||||||
Net investment income/(loss) | $ | 7,807,132 | $ | 35,268,501 | ||||
Net realized gain/(loss) from investments | 985,278 | 12,622,854 | ||||||
Net change in unrealized appreciation/(depreciation) on investments | (16,702,985 | ) | 20,505,178 | |||||
Net increase/(decrease) in net assets resulting from operations | (7,910,575 | ) | 68,396,533 | |||||
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||
Total distributable earnings | (18,030,317 | ) | (41,833,397 | ) | ||||
Net decrease in net assets from dividends and distributions to shareholders | (18,030,317 | ) | (41,833,397 | ) | ||||
CAPITAL SHARE TRANSACTIONS: | ||||||||
Proceeds from shares sold | 537,712,400 | 403,565,489 | ||||||
Reinvestment of distributions | 18,024,820 | 41,824,622 | ||||||
Shares redeemed | (241,864,177 | ) | (912,637,509 | ) | ||||
Net increase/(decrease) in net assets from capital shares | 313,873,043 | (467,247,398 | ) | |||||
Total increase/(decrease) in net assets | 287,932,151 | (440,684,262 | ) | |||||
NET ASSETS: | ||||||||
Beginning of period | 2,307,908,935 | 2,748,593,197 | ||||||
End of period | $ | 2,595,841,086 | $ | 2,307,908,935 | ||||
SHARES TRANSACTIONS: | ||||||||
Shares sold | 50,839,207 | 38,541,527 | ||||||
Dividends and distributions reinvested | 1,703,384 | 4,021,935 | ||||||
Shares redeemed | (22,830,858 | ) | (87,441,618 | ) | ||||
Net increase/(decrease) in shares outstanding | 29,711,733 | (44,878,156 | ) |
The accompanying notes are an integral part of the financial statements.
12
FREE MARKET FUNDS
FREE MARKET U.S. EQUITY FUND
Financial Highlights
Contained below is per share operating performance data for each share outstanding, total investment return/(loss), ratios to average net assets and other supplemental data for the respective periods. This information has been derived from information provided in the financial statements. |
For the | For the | For the | For the | For the | For the | |||||||||||||||||||
Per Share Operating Performance | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 16.06 | $ | 16.90 | $ | 20.37 | $ | 17.60 | $ | 16.18 | $ | 16.08 | ||||||||||||
Net investment income/(loss)(1) | 0.14 | 0.17 | 0.17 | 0.15 | 0.12 | 0.18 | ||||||||||||||||||
Net realized and unrealized gain/(loss) on investments | 5.12 | — | (2) | (2.73 | ) | 3.34 | 2.13 | 1.18 | ||||||||||||||||
Net increase/(decrease) in net assets resulting from operations | 5.26 | 0.17 | (2.56 | ) | 3.49 | 2.25 | 1.36 | |||||||||||||||||
Dividends and distributions to shareholders from: | ||||||||||||||||||||||||
Net investment income | (0.08 | ) | (0.16 | ) | (0.15 | ) | (0.20 | ) | (0.15 | ) | (0.15 | ) | ||||||||||||
Net realized capital gains | (0.22 | ) | (0.85 | ) | (0.76 | ) | (0.52 | ) | (0.68 | ) | (1.11 | ) | ||||||||||||
Total dividends and distributions to shareholders | (0.30 | ) | (1.01 | ) | (0.91 | ) | (0.72 | ) | (0.83 | ) | (1.26 | ) | ||||||||||||
Net asset value, end of period | $ | 21.02 | $ | 16.06 | $ | 16.90 | $ | 20.37 | $ | 17.60 | $ | 16.18 | ||||||||||||
Total investment return/(loss)(2) | 33.02 | %(4) | 0.32 | % | (12.09 | )% | 20.11 | % | 13.97 | % | 9.10 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (000’s omitted) | $ | 3,308,925 | $ | 2,839,337 | $ | 2,899,018 | $ | 3,413,559 | $ | 2,724,995 | $ | 2,303,041 | ||||||||||||
Ratio of expenses to average net assets(3) | 0.55 | %(5) | 0.56 | % | 0.55 | % | 0.55 | % | 0.56 | % | 0.59 | % | ||||||||||||
Ratio of net investment income/(loss) to average net assets(3) | 1.52 | %(5) | 1.05 | % | 0.96 | % | 0.76 | % | 0.72 | % | 1.15 | % | ||||||||||||
Portfolio turnover rate | 6 | %(4) | 14 | % | 7 | % | 2 | % | 5 | % | 1 | % |
(1) | The selected per share data is calculated using the average shares outstanding method for the period. |
(2) | Total investment return/(loss) is calculated by assuming a purchase of shares on the first day and a sale of shares on the last day of each period reported and includes reinvestments of dividends and distributions, if any. |
(3) | The Fund also will indirectly bear its prorated share of expenses of the underlying funds. Such expenses are not included in the calculation of this ratio. |
(4) | Not Annualized. |
(5) | Annualized. |
The accompanying notes are an integral part of the financial statements.
13
FREE MARKET FUNDS
FREE MARKET INTERNATIONAL EQUITY FUND
Financial Highlights
Contained below is per share operating performance data for each share outstanding, total investment return/(loss), ratios to average net assets and other supplemental data for the respective periods. This information has been derived from information provided in the financial statements. |
For the | For the | For the | For the | For the | For the | |||||||||||||||||||
Per Share Operating Performance | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 8.89 | $ | 9.09 | $ | 10.72 | $ | 10.97 | $ | 9.24 | $ | 9.28 | ||||||||||||
Net investment income/(loss)(1) | 0.10 | 0.19 | 0.21 | 0.22 | 0.14 | 0.23 | ||||||||||||||||||
Net realized and unrealized gain/(loss) on investments | 1.87 | (0.13 | ) | (1.47 | ) | (0.10 | ) | 1.89 | 0.05 | |||||||||||||||
Net increase/(decrease) in net assets resulting from operations | 1.97 | 0.06 | (1.26 | ) | 0.12 | 2.03 | 0.28 | |||||||||||||||||
Dividends and distributions to shareholders from: | ||||||||||||||||||||||||
Net investment income | (0.13 | ) | (0.14 | ) | (0.18 | ) | (0.26 | ) | (0.19 | ) | (0.16 | ) | ||||||||||||
Net realized capital gains | (0.18 | ) | (0.12 | ) | (0.19 | ) | (0.11 | ) | (0.11 | ) | (0.16 | ) | ||||||||||||
Total dividends and distributions to shareholders | (0.31 | ) | (0.26 | ) | (0.37 | ) | (0.37 | ) | (0.30 | ) | (0.32 | ) | ||||||||||||
Net asset value, end of period | $ | 10.55 | $ | 8.89 | $ | 9.09 | $ | 10.72 | $ | 10.97 | $ | 9.24 | ||||||||||||
Total investment return/(loss)(2) | 22.26 | %(4) | 0.30 | % | (11.66 | )% | 0.98 | % | 22.50 | % | 3.13 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (000’s omitted) | $ | 2,392,571 | $ | 2,153,655 | $ | 2,154,908 | $ | 2,312,863 | $ | 2,190,068 | $ | 1,672,452 | ||||||||||||
Ratio of expenses to average net assets(3) | 0.56 | %(5) | 0.58 | % | 0.58 | % | 0.57 | % | 0.58 | % | 0.63 | % | ||||||||||||
Ratio of net investment income/(loss) to average net assets(3) | 2.02 | %(5) | 2.13 | % | 2.22 | % | 1.93 | % | 1.42 | % | 2.60 | % | ||||||||||||
Portfolio turnover rate | 5 | %(4) | 28 | % | 4 | % | 3 | % | 2 | % | 1 | % |
(1) | The selected per share data is calculated using the average shares outstanding method for the period. |
(2) | Total investment return/(loss) is calculated by assuming a purchase of shares on the first day and a sale of shares on the last day of each period reported and includes reinvestments of dividends and distributions, if any. |
(3) | The Fund also will indirectly bear its prorated share of expenses of the underlying funds. Such expenses are not included in the calculation of this ratio. |
(4) | Not Annualized. |
(5) | Annualized. |
The accompanying notes are an integral part of the financial statements.
14
FREE MARKET FUNDS
FREE MARKET FIXED INCOME FUND
Financial Highlights
Contained below is per share operating performance data for each share outstanding, total investment return/(loss), ratios to average net assets and other supplemental data for the respective periods. This information has been derived from information provided in the financial statements. |
For the | For the | For the | For the | For the | For the | |||||||||||||||||||
Per Share Operating Performance | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 10.61 | $ | 10.47 | $ | 10.22 | $ | 10.36 | $ | 10.43 | $ | 10.25 | ||||||||||||
Net investment income/(loss)(1) | 0.03 | 0.15 | 0.27 | 0.10 | 0.10 | 0.06 | ||||||||||||||||||
Net realized and unrealized gain/(loss) on investments | (0.09 | ) | 0.16 | 0.24 | (0.14 | ) | (0.06 | ) | 0.17 | |||||||||||||||
Net increase/(decrease) in net assets resulting from operations | (0.06 | ) | 0.31 | 0.51 | (0.04 | ) | 0.04 | 0.23 | ||||||||||||||||
Dividends and distributions to shareholders from: | ||||||||||||||||||||||||
Net investment income | (0.05 | ) | (0.17 | ) | (0.26 | ) | (0.09 | ) | (0.11 | ) | (0.03 | ) | ||||||||||||
Net realized capital gains | — | — | — | (2) | (0.01 | ) | — | (0.02 | ) | |||||||||||||||
Total dividends and distributions to shareholders | (0.05 | ) | (0.17 | ) | (0.26 | ) | (0.10 | ) | (0.11 | ) | (0.05 | ) | ||||||||||||
Net asset value, end of period | $ | 10.50 | $ | 10.61 | $ | 10.47 | $ | 10.22 | $ | 10.36 | $ | 10.43 | ||||||||||||
Total investment return/(loss)(3) | 0.26 | %(5) | 2.98 | % | 5.11 | % | (0.35 | )% | 0.39 | % | 2.26 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (000’s omitted) | $ | 2,595,841 | $ | 2,307,909 | $ | 2,748,593 | $ | 2,867,621 | $ | 2,503,032 | $ | 2,126,457 | ||||||||||||
Ratio of expenses to average net assets(4) | 0.56 | %(6) | 0.56 | % | 0.55 | % | 0.55 | % | 0.56 | % | 0.59 | % | ||||||||||||
Ratio of net investment income/(loss) to average net assets(4) | 0.67 | %(6) | 1.39 | % | 2.62 | % | 1.02 | % | 0.94 | % | 0.54 | % | ||||||||||||
Portfolio turnover rate | 2 | %(5) | 46 | % | 3 | % | 0 | % | 0 | % | 31 | % |
(1) | The selected per share data is calculated using the average shares outstanding method for the period. |
(2) | Amount less than $(0.005) per share. |
(3) | Total investment return/(loss) is calculated by assuming a purchase of shares on the first day and a sale of shares on the last day of each period reported and includes reinvestments of dividends and distributions, if any. |
(4) | The Fund also will indirectly bear its prorated share of expenses of the underlying funds. Such expenses are not included in the calculation of this ratio. |
(5) | Not Annualized. |
(6) | Annualized. |
The accompanying notes are an integral part of the financial statements.
15
FREE MARKET FUNDS
Notes to Financial Statements
February 28, 2021 (Unaudited)
1. | Organization and Significant Accounting Policies |
The RBB Fund, Inc. (“RBB” or the “Company”) was incorporated under the laws of the State of Maryland on February 29, 1988 and is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. RBB is a “series fund,” which is a mutual fund divided into separate portfolios. Each portfolio is treated as a separate entity for certain matters under the 1940 Act, and for other purposes, and a shareholder of one portfolio is not deemed to be a shareholder of any other portfolio. Currently, RBB has thirty-six separate investment portfolios, including the Free Market U.S. Equity Fund, the Free Market International Equity Fund and the Free Market Fixed Income Fund (each a “Fund,” collectively the “Funds”). Each Fund operates as a “fund of funds” and commenced investment operations on December 31, 2007.
RBB has authorized capital of one hundred billion shares of common stock of which 87.923 billion shares are currently classified into one hundred and ninety classes of common stock. Each class represents an interest in an active or inactive RBB investment portfolio.
Free Market U.S. Equity and Free Market International Equity’s investment objective is to seek long-term capital appreciation. Free Market Fixed Income’s investment objective is to seek total return (consisting of current income and capital appreciation).
The Funds are investment companies and follow accounting and reporting guidance in the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946 “Financial Services - Investment Companies”.
The end of the reporting period for the Funds is February 28, 2021, and the period covered by these Notes to Financial Statements is the six-months ended February 28, 2021 (the “current fiscal period”).
Investment Company Securities – The Funds pursue their investment objectives by investing primarily in shares of registered, open-end investment companies and exchange-traded funds (“ETFs”) (collectively, “underlying funds”). When a Fund invests in underlying funds it will indirectly bear its proportionate share of any fees and expenses payable directly by the underlying fund. In connection with its investments in other investment companies, a Fund will incur higher expenses, many of which may be duplicative. Furthermore, because the Funds invest in shares of ETFs and underlying funds their performances are directly related to the ability of the ETFs and underlying funds to meet their respective investment objectives, as well as the allocation of each Fund’s assets among the ETFs and underlying funds. Accordingly, the Funds’ investment performance will be influenced by the investment strategies of and risks associated with the ETFs and underlying funds in direct proportion to the amount of assets the Funds allocate to the ETFs and underlying funds utilizing such strategies. As disclosed in the Portfolio of Investments, the Funds invest in a number of different underlying funds, including underlying funds that are portfolios of DFA Investment Dimensions Group Inc., and Dimensional Investment Group Inc. (collectively, “DFA Underlying Funds”) and iShares by BlackRock (“iShares Underlying Funds”). Information about DFA Underlying Funds and iShares Underlying Funds’ risks may be found in such DFA Underlying Funds’ and iShares Underlying Funds’ annual or semiannual report to shareholders, which can be found at us.dimensional.com and iShares.com, respectively. Additional information about derivatives related risks, if applicable, may also be found in each such DFA Underlying Fund or iShares Underlying Funds’ annual or semiannual report to shareholders. The annual and semiannual reports to shareholders for the underlying funds may also be found by visiting the SEC’s website at http://www.sec.gov.
PORTFOLIO VALUATION — Investments in the underlying funds are valued at each Fund’s net asset value (“NAV”) determined as of the close of business on the New York Stock Exchange (generally 4:00 p.m. Eastern time). Investments in Exchange-Traded Funds (“ETFs”) are valued at their last reported sale price. As required, some securities and assets may be valued at fair value as determined in good faith by the Company’s Board of Directors (the “Board”). Direct investments in fixed income securities are valued using an independent pricing service, which considers such factors as security prices, yields, maturities and ratings, and are deemed representative of market values at the close of the market.
FAIR VALUE MEASUREMENTS — The inputs and valuation techniques used to measure the fair value of the Funds’ investments are summarized into three levels as described in the hierarchy below:
● Level 1 — | Prices are determined using quoted prices in active markets for identical securities. |
● Level 2 — | Prices are determined using other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.). |
16
FREE MARKET FUNDS
Notes to Financial Statements (Continued)
February 28, 2021 (Unaudited)
● Level 3 — | Prices are determined using significant unobservable inputs (including the Funds’ own assumptions in determining the fair value of investments). |
The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The following is a summary of the inputs used, as of the end of the reporting period, in valuing the Funds’ investments carried at fair value:
FREE MARKET U.S. EQUITY FUND
TOTAL | LEVEL 1 | LEVEL 2 | LEVEL 3 | INVESTMENTS | ||||||||||||||||
Domestic Equity Funds | $ | 3,307,577,361 | $ | 3,139,820,572 | $ | — | $ | — | $ | 167,756,789 | ||||||||||
Short-Term Investments | 2,676,609 | 2,676,609 | — | — | — | |||||||||||||||
Total Investments** | $ | 3,310,253,970 | $ | 3,142,497,181 | $ | — | $ | — | $ | 167,756,789 |
* | Certain investments that are measured at fair value using the net asset value per share (or its equivalent) practical expedient have not been categorized in the fair value hierarchy. The fair value amounts presented in the table are intended to permit reconciliation of the fair value hierarchy to the amounts presented in the Statements of Assets and Liabilities. |
** | Please refer to the Portfolio of Investments for further details. |
FREE MARKET INTERNATIONAL EQUITY FUND
TOTAL | LEVEL 1 | LEVEL 2 | LEVEL 3 | INVESTMENTS | ||||||||||||||||
International Equity Funds | $ | 2,389,359,111 | $ | 2,015,409,602 | $ | — | $ | — | $ | 373,949,509 | ||||||||||
Short-Term Investments | 3,579,050 | 3,579,050 | — | — | — | |||||||||||||||
Total Investments** | $ | 2,392,938,161 | $ | 2,018,988,652 | $ | — | $ | — | $ | 373,949,509 |
* | Certain investments that are measured at fair value using the net asset value per share (or its equivalent) practical expedient have not been categorized in the fair value hierarchy. The fair value amounts presented in the table are intended to permit reconciliation of the fair value hierarchy to the amounts presented in the Statements of Assets and Liabilities. |
** | Please refer to the Portfolio of Investments for further details. |
FREE MARKET FIXED INCOME FUND
TOTAL | LEVEL 1 | LEVEL 2 | LEVEL 3 | INVESTMENTS | ||||||||||||||||
Fixed Income Funds | $ | 2,581,239,112 | $ | 2,581,239,112 | $ | — | $ | — | $ | — | ||||||||||
Short-Term Investments | 15,614,045 | 15,614,045 | — | — | — | |||||||||||||||
Total Investments** | $ | 2,596,853,157 | $ | 2,596,853,157 | $ | — | $ | — | $ | — |
* | Certain investments that are measured at fair value using the net asset value per share (or its equivalent) practical expedient have not been categorized in the fair value hierarchy. The fair value amounts presented in the table are intended to permit reconciliation of the fair value hierarchy to the amounts presented in the Statements of Assets and Liabilities. |
** | Please refer to the Portfolio of Investments for further details. |
17
FREE MARKET FUNDS
Notes to Financial Statements (Continued)
February 28, 2021 (Unaudited)
At the end of each quarter, management evaluates the classification of Levels 1, 2 and 3 assets and liabilities. Various factors are considered, such as changes in liquidity from the prior reporting period; whether or not a broker is willing to execute at the quoted price; the depth and consistency of prices from third party pricing services; and the existence of contemporaneous, observable trades in the market. Additionally, management evaluates the classification of Levels 1, 2 and 3 assets and liabilities on a quarterly basis for changes in listings or delistings on national exchanges.
Due to the inherent uncertainty of determining the fair value of investments that do not have a readily available market value, the fair value of the Funds’ investments may fluctuate from period to period. Additionally, the fair value of investments may differ significantly from the values that would have been used had a ready market existed for such investments and may differ materially from the values the Funds may ultimately realize. Further, such investments may be subject to legal and other restrictions on resale or otherwise less liquid than publicly traded securities.
For fair valuations using significant unobservable inputs, U.S. generally accepted accounting principles (“U.S. GAAP”) requires each Fund to present a reconciliation of the beginning to ending balances for reported market values that presents changes attributable to total realized and unrealized gains or losses, purchase and sales, and transfers in and out of Level 3 during the period. Transfers in and out between levels are based on values at the end of the period. A reconciliation of Level 3 investments is presented only when a Fund had an amount of Level 3 investments at the end of the reporting period that was meaningful in relation to its net assets. The amounts and reasons for all Level 3 transfers are disclosed if a Fund had an amount of total Level 3 transfers during the reporting period that was meaningful in relation to its net assets as of the end of the reporting period.
During the current fiscal period, the Funds had no Level 3 transfers.
USE OF ESTIMATES — The preparation of financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates and those differences could be significant.
INVESTMENT TRANSACTIONS, INVESTMENT INCOME AND EXPENSES — The Funds record security transactions based on trade date for financial reporting purposes. The cost of investments sold is determined by use of the specific identification method for both financial reporting and income tax purposes in determining realized gains and losses on investments. Interest income (including amortization of premiums and accretion of discounts) is accrued when earned. Dividend income is recorded on the ex-dividend date. Distributions received on securities that represent a return of capital or capital gain are recorded as a reduction of cost of investments and/or as a realized gain. Each Fund’s investment income, expenses (other than class specific expenses) and unrealized and realized gains and losses are allocated daily to each class of shares based upon the relative proportion of net assets of each class at the beginning of the day. Expenses incurred on behalf of a specific class, fund or fund family of the Company are charged directly to the class, fund or fund family (in proportion to net assets). Expenses incurred for all of the RBB funds (such as director or professional fees) are charged to all funds in proportion to their average net assets of RBB, or in such other manner as the Board deems fair or equitable. Expenses and fees, including investment advisory and administration fees, are accrued daily and taken into account for the purpose of determining the NAV of the Funds. In addition to the net annual operating expenses that the Funds bear directly, the shareholders indirectly bear the Funds’ pro-rata expenses of the underlying mutual funds in which each Fund invests.
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS — Dividends from net investment income and distributions from net realized capital gains, if any, are declared and paid at least annually to shareholders recorded on the ex-dividend date for each Fund with the exception of the Free Market Fixed Income Fund which declares and pays quarterly dividends from net investment income. Income dividends and capital gain distributions are determined in accordance with U.S. federal income tax regulations, which may differ from U.S. GAAP.
18
FREE MARKET FUNDS
Notes to Financial Statements (Continued)
February 28, 2021 (Unaudited)
U.S. TAX STATUS — No provision is made for U.S. income taxes as it is each Fund’s intention to continue to qualify for and elect the tax treatment applicable to regulated investment companies under Subchapter M of the Internal Revenue Code of 1986, as amended, and make the requisite distributions to its shareholders which will be sufficient to relieve it from U.S. income and excise taxes.
MARKET RISK — The value of a Fund’s shares will fluctuate as a result of the movement of the overall stock market or the value of the underlying fund held by a Fund, and you could lose money.
CORONAVIRUS (COVID-19) PANDEMIC — The global outbreak of COVID-19 (commonly referred to as “coronavirus”) has disrupted economic markets and the prolonged economic impact is uncertain. The ultimate economic fallout from the pandemic, and the long-term impact on economies, markets, industries and individual issuers are not known. The operational and financial performance of the issuers of securities in which the Funds invest depends on future developments, including the duration and spread of the outbreak, and such uncertainty may in turn adversely affect the value and liquidity of the Funds’ investments, impair the Funds’ ability to satisfy redemption requests, and negatively impact the Funds’ performance.
CASH AND CASH EQUIVALENTS — Cash and cash equivalents are valued at cost plus accrued interest, which approximates market value.
OTHER — In the normal course of business, the Funds may enter into contracts that provide general indemnifications. Each Fund’s maximum exposure under these arrangements is dependent on claims that may be made against the Funds in the future, and, therefore, cannot be estimated; however, the Funds expect the risk of material loss for such claims is considered to be remote.
For additional information about the DFA Underlying Funds and iShares Underlying Funds’ valuation policies, refer to the DFA Underlying Funds and iShares Underlying Funds’ most recent annual or semiannual report which can be found at us.dimensional.com and iShares.com, respectively.
2. | Investment Adviser and Other Services |
Matson Money, Inc. (“Matson Money” or the “Adviser”), serves as the investment adviser to each Fund. Each Fund compensates the Adviser for its services at an annual rate based on each Fund’s average daily net assets (the “Advisory Fee”), payable on a monthly basis in arrears, as shown in the following tables.
AVERAGE DAILY NET ASSETS | ADVISORY FEE | |||
For the first $1 billion | 0.50 | % | ||
Over $1 billion to $3 billion | 0.49 | |||
Over $3 billion to $5 billion | 0.48 | |||
Over $5 billion | 0.47 |
The Adviser has voluntarily agreed to waive advisory fees and/or reimburse expenses to the extent that total annual Fund operating expenses exceed the rates (“Expense Caps”) shown in the following table annually of each Fund’s average daily net assets. The Adviser may not recoup waived management fees or reimbursed expenses. The Adviser may discontinue these arrangements at any time.
FUND | EXPENSE CAPS | |||
Free Market U.S. Equity Fund | 1.13 | % | ||
Free Market International Equity Fund | 1.35 | |||
Free Market Fixed Income Fund | 1.00 |
19
FREE MARKET FUNDS
Notes to Financial Statements (Continued)
February 28, 2021 (Unaudited)
During the current fiscal period, investment advisory fees accrued were as follows:
FUND | ADVISORY FEES | |||
Free Market U.S. Equity Fund | $ | 7,396,713 | ||
Free Market International Equity Fund | 5,527,309 | |||
Free Market Fixed Income Fund | 5,793,015 |
U.S. Bancorp Fund Services, LLC (“Fund Services”), doing business as U.S. Bank Global Fund Services, serves as administrator for the Funds. For providing administrative and accounting services, Fund Services is entitled to receive a monthly fee, subject to certain minimum and out of pocket expenses.
Fund Services serves as the Funds’ transfer and dividend disbursing agent. For providing transfer agent services, Fund Services is entitled to receive a monthly fee, subject to certain minimum and out of pocket expenses.
U.S. Bank, N.A. (the “Custodian”) provides certain custodial services to the Funds. The Custodian is entitled to receive a monthly fee, subject to certain minimum and out of pocket expenses.
Effective as of January 4, 2021, Herald Investment Marketing, LLC (the “Distributor”), an affiliate of Vigilant Compliance, LLC, serves as the principal underwriter and distributor of the Funds’ shares pursuant to a Distribution Agreement with RBB. Prior to January 4, 2021, Quasar Distributors, LLC, a wholly-owned broker-dealer subsidiary of Foreside Financial Group, LLC, served as the principal underwriter and distributor of the Funds’ shares pursuant to a Distribution Agreement with RBB.
For compensation amounts paid to Fund Services and the Custodian, please refer to the Statements of Operations.
3. | Director and Officer Compensation |
The Directors of the Company receive an annual retainer and meeting fees for meetings attended. An employee of Vigilant Compliance, LLC serves as President and Chief Compliance Officer of the Company. Vigilant Compliance, LLC is compensated for the services provided to the Company. Employees of RBB serve as Treasurer, Secretary and Director of Marketing & Business Development of the Company. They are compensated for services provided. Certain employees of Fund Services serve as officers of the Company. They are not compensated by the Funds or the Company. For Director and Officer compensation amounts, please refer to the Statements of Operations.
4. | Purchases and Sales of Investment Securities |
During the current fiscal period, aggregate purchase and sales of investment securities (excluding short-term investments) of the Funds were as follows:
Purchases | Sales | |||||||
Free Market U.S. Equity Fund | $ | 54,923,104 | $ | 420,404,687 | ||||
Free Market International Equity Fund | 33,649,002 | 229,625,984 | ||||||
Free Market Fixed Income Fund | 359,730,458 | 58,457,020 |
There were no purchases or sales of long-term U.S. Government securities during the current fiscal period.
5. | Federal Income Tax Information |
The Funds have followed the authoritative guidance on accounting for and disclosure of uncertainty in tax positions, which requires the Funds to determine whether a tax position is more likely than not to be sustained upon examination, including resolution of any related appeals or litigation processes, based on the technical merits of the position. The Funds have
20
FREE MARKET FUNDS
Notes to Financial Statements (Continued)
February 28, 2021 (Unaudited)
determined that there was no effect on the financial statements from following this authoritative guidance. In the normal course of business, the Funds are subject to examination by federal, state and local jurisdictions, where applicable, for tax years for which applicable statutes of limitations have not expired.
As of August 31, 2020, the federal tax cost and aggregate gross unrealized appreciation and depreciation of investments held by each Fund were as follows:
Federal | Unrealized | Unrealized | Net Unrealized | |||||||||||||
Free Market U.S. Equity Fund | $ | 2,386,254,280 | $ | 602,809,298 | $ | (102,480,512 | ) | $ | 500,328,786 | |||||||
Free Market International Equity Fund | 2,292,749,017 | 78,034,063 | (217,462,580 | ) | (139,428,517 | ) | ||||||||||
Free Market Fixed Income Fund | 2,245,413,466 | 65,740,340 | (3,143,735 | ) | 62,596,605 |
Distributions to shareholders, if any, from net investment income and realized gains are determined in accordance with federal income tax regulations, which may differ from net investment income and realized gains recognized for financial reporting purposes. Accordingly, the character of distributions and composition of net assets for tax purposes may differ from those reflected in the accompanying financial statements. To the extent these differences are permanent, such amounts are reclassified within the capital accounts based on the tax treatment; temporary differences do not require such reclassification.
Permanent differences as of August 31, 2020, primarily attributable to redesignation of dividends paid and reclassifications of short-term capital gain distributions, were reclassified among the following accounts:
DISTRIBUTABLE | Paid-In | |||||||
Free Market U.S. Equity Fund | $ | (8,834,072 | ) | $ | 8,834,072 | |||
Free Market International Equity Fund | (13,149,845 | ) | 13,149,845 | |||||
Free Market Fixed Income Fund | (2,504,844 | ) | 2,504,844 |
As of August 31, 2020, the components of distributable earnings on a tax basis were as follows:
Undistributed | Undistributed | Capital Loss | NET Unrealized | |||||||||||||
Free Market U.S. Equity Fund | $ | 12,089,320 | $ | 36,595,044 | $ | — | $ | 500,328,786 | ||||||||
Free Market International Equity Fund | 29,337,277 | 41,032,041 | — | (139,428,517 | ) | |||||||||||
Free Market Fixed Income Fund | 2,705,300 | 6,073,047 | — | 62,596,605 |
The differences between the book and tax basis components of distributable earnings relate primarily to the timing of recognition of income and gains for federal income tax purposes. Short-term and foreign currency gains, if applicable, are reported as ordinary income for federal income tax purposes.
The tax character of distributions paid during the fiscal years ended August 31, 2020 was as follows:
Ordinary | Long-Term | Total | ||||||||||
Free Market U.S. Equity Fund | $ | 26,516,498 | $ | 142,896,321 | $ | 169,412,819 | ||||||
Free Market International Equity Fund | 32,785,339 | 27,318,438 | 60,103,777 | |||||||||
Free Market Fixed Income Fund | 41,833,397 | — | 41,833,397 |
Distributions from net investment income and short-term capital gains are treated as ordinary income for federal income tax purposes.
21
FREE MARKET FUNDS
Notes to Financial Statements (Concluded)
February 28, 2021 (Unaudited)
The Funds are permitted to carry forward capital losses for an unlimited period. Capital losses that are carried forward will retain their character as either short-term or long-term capital losses.
6. | SUBSEQUENT EVENTS |
Management has evaluated the impact of all subsequent events on the Funds through the date the financial statements were issued and has determined there was the following subsequent event:
Effective March 11, 2021, the Distributor, Herald Investment Marketing, LLC, changed its name to Vigilant Distributors, LLC.
22
FREE MARKET FUNDS
Other Information
(Unaudited)
Proxy Voting
Policies and procedures that the Funds use to determine how to vote proxies relating to portfolio securities as well as information regarding how the Funds voted proxies relating to portfolio securities for the most recent twelve-month period ended June 30 are available without charge, upon request, by calling Free Market Funds at (866) 780-0357, ext. 3863 and on the Securities and Exchange Commission’s (“SEC”) website at http://www.sec.gov.
Quarterly Portfolio Schedules
The Company files a complete schedule of portfolio holdings with the SEC for the first and third fiscal quarters of each fiscal year (quarters ended November 30 and May 31) as an exhibit to its report on Form N-PORT. The Company’s Form N-PORT is available on the SEC’s website at http://www.sec.gov.
23
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Investment Adviser
Matson Money, Inc.
5955 Deerfield Blvd.
Mason, OH 45040
Administrator and Transfer Agent
U.S. Bancorp Fund Services, LLC
P.O. Box 701
Milwaukee, WI 53201
Principal Underwriter
Herald Investment Marketing, LLC
Gateway Corporate Center, Suite 216
223 Wilmington West Chester Pike
Chadds Ford, PA 19317
Custodian
U.S. Bank, N.A.
1555 North Rivercenter Drive, Suite 302
Milwaukee, WI 53212
Independent Registered Public Accounting Firm
PricewaterhouseCoopers LLP
Two Commerce Square, Suite 1800
2001 Market Street
Philadelphia, PA 19103-7042
Legal Counsel
Faegre Drinker Biddle & Reath LLP
One Logan Square, Suite 2000
Philadelphia, PA 19103-6996
FMFI-SAR21
MATSON MONEY U.S. EQUITY VI PORTFOLIO
MATSON MONEY INTERNATIONAL EQUITY VI PORTFOLIO
MATSON MONEY FIXED INCOME VI PORTFOLIO
of
The RBB Fund, Inc.
Semi-Annual Report
February 28, 2021
(Unaudited)
This report is submitted for the general information of the shareholders of the Portfolios. It is not authorized for distribution unless preceded or accompanied by a current prospectus for the Portfolios.
MATSON MONEY VI PORTFOLIOS
Performance Data
February 28, 2021 (Unaudited)
Matson Money U.S. Equity VI Portfolio
Average Annual Total Returns for the Periods Ended February 28, 2021 | ||||
SIX | 1 YEAR | 5 YEARS | SINCE | |
Matson Money U.S. Equity VI Portfolio | 32.91% | 36.81% | 12.94% | 8.52%(2) |
Russell 2500® Index | 35.45% | 45.90% | 17.42% | 11.14%(4) |
Composite Index(3) | 27.30% | 36.45% | 15.42% | 10.34%(4) |
(1) | Not annualized. |
(2) | The Portfolio commenced operations on February 18, 2014. |
(3) | The Composite Index is comprised of the S&P 500® Index, Russell 1000® Value Index, Russell 2000® Index and Russell 2000® Value Index, each weighted 25%, 25%, 25% and 25%, respectively. |
(4) | Index information is not available as of the date of the inception of the Portfolio. The average annual returns for the Russell 2500® Index and the Composite Index are presented as of March 1, 2014. If the Portfolio had commenced operations on March 1, 2014, its average annual return since inception would have been 9.57%. |
The performance data quoted represents past performance. Past performance is not indicative of future results. Investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher. Returns shown include the reinvestment of all dividends and other distributions and do not reflect taxes that a shareholder would pay on Portfolio distributions or on the redemption of Portfolio shares. For performance data current to the most recent month-end, please call 1-866-780-0357 ext. 3863. The Portfolio’s annual operating expense ratio, as stated in the current prospectus dated December 31, 2020 is 1.06% (included in the ratio is 0.30% attributable to acquired fund fees and expenses).
The Portfolio’s aggregate total return since inception is based on an increase in net asset value from $25.00 per share on February 18, 2014 (commencement of operations) to $32.67 per share on February 28, 2021.
Portfolio composition is subject to change.
The Matson Money U.S. Equity VI Portfolio’s underlying funds invest in small-cap and micro-cap stocks, large-cap stocks and other equity securities. In addition to the ordinary risks of equity investing, small companies entail special risk. Small companies tend to have more risk than large companies. An investor in the Portfolio will incur the expenses of the underlying funds in addition to the Portfolio’s expenses. The foregoing is not intended to be a complete discussion of all risks associated with the investment strategies of the Portfolio.
1
MATSON MONEY VI PORTFOLIOS
Performance Data (Continued)
February 28, 2021 (Unaudited)
Matson Money International Equity VI Portfolio
Average Annual Total Returns for the Periods Ended February 28, 2021 | ||||
SIX | 1 YEAR | 5 YEARS | SINCE | |
Matson Money International Equity VI Portfolio | 22.00% | 23.56% | 8.80% | 3.15%(2) |
MSCI World (excluding U.S.) Index | 14.23% | 22.15% | 9.81% | 4.31%(4) |
Composite Index(3) | 18.59% | 27.33% | 11.24% | 5.42%(4) |
(1) | Not annualized. |
(2) | The Portfolio commenced operations on February 18, 2014. |
(3) | The Composite Index is comprised of the MSCI EAFE Index, MSCI EAFE Value Index, MSCI EAFE Small Company Index, and MSCI Emerging Markets Index, each weighted 25%, 25%, 25% and 25%, respectively. |
(4) | Index information is not available as of the date of the inception of the Portfolio. The average annual returns for the MSCI World (excluding U.S.) Index and the Composite Index are presented as of March 1, 2014. If the Portfolio had commenced operations on March 1, 2014, its average annual return since inception would have been 4.24%. |
The performance data quoted represents past performance. Past performance is not indicative of future results. Investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher. Returns shown include the reinvestment of all dividends and other distributions and do not reflect taxes that a shareholder would pay on Portfolio distributions or on the redemption of Portfolio shares. For performance data current to the most recent month-end, please call 1-866-780-0357 ext. 3863. The Portfolio’s annual operating expense ratio, as stated in the current prospectus dated December 31, 2020 is 1.29% (included in the ratio is 0.46% attributable to acquired fund fees and expenses).
The Portfolio’s aggregate total return since inception is based on an increase in net asset value from $25.00 per share on February 18, 2014 (commencement of operations) to $25.50 per share on February 28, 2021.
Portfolio composition is subject to change.
The Matson Money International Equity VI Portfolio’s underlying funds invest in common stock, preferred stock, securities convertible into stocks and other equity securities issued by foreign companies. In addition to the ordinary risks of equity investing, foreign and small companies entail special risk. The return on foreign equities may be adversely affected by currency fluctuations. Emerging markets may be subject to social instability and lack of market liquidity. Small companies tend to have more risk than large companies. An investor in the Portfolio will incur the expenses of the underlying funds in addition to the Portfolio’s expenses. The foregoing is not intended to be a complete discussion of all risks associated with the investment strategies of the Portfolio.
2
MATSON MONEY VI PORTFOLIOS
Performance Data (Concluded)
February 28, 2021 (Unaudited)
Matson Money Fixed Income VI Portfolio
Average Annual Total Returns for the Periods Ended February 28, 2021 | ||||
SIX | 1 YEAR | 5 YEARS | SINCE | |
Matson Money Fixed Income VI Portfolio | -0.33% | 0.97% | 1.60% | 1.27%(2) |
FTSE World Government Bond Index 1-5 Years | -0.10% | 1.33% | 2.07% | 1.96%(4) |
Composite Index(3) | -0.73% | 1.35% | 2.38% | 2.21%(4) |
(1) | Not annualized. |
(2) | The Portfolio commenced operations on February 18, 2014. |
(3) | The Composite Index is comprised of the Three-Month Treasury Bill Index, Bloomberg Barclays Capital Intermediate Government Bond Index, ICE BofA Merrill Lynch 1-3 Year US Government/Corporate Index and Bloomberg Barclays U.S. Aggregate Bond Index, each weighted 25%, 25%, 25% and 25%, respectively. |
(4) | Index information is not available as of the date of the inception of the Portfolio. The average annual returns for the FTSE World Government Bond Index 1-5 Years (formerly known as the Citigroup World Govt. Bond 1-5 Year Currency Hedged U.S. Dollar Index), and the Composite Index are presented as of March 1, 2014. If the Portfolio had commenced operations on March 1, 2014, its average annual return since inception would have been 1.25%. |
The performance data quoted represents past performance. Past performance is not indicative of future results. Investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher. Returns shown include the reinvestment of all dividends and other distributions and do not reflect taxes that a shareholder would pay on Portfolio distributions or on the redemption of Portfolio shares. For performance data current to the most recent month-end, please call 1-866-780-0357 ext. 3863. The Portfolio’s annual operating expense ratio, as stated in the current prospectus dated December 31, 2020 is 0.88% (included in the ratio is 0.14% attributable to acquired fund fees and expenses).
The Portfolio’s aggregate total return since inception is based on an increase in net asset value from $25.00 per share on February 18, 2014 (commencement of operations) to $25.41 per share on February 28, 2021.
Portfolio composition is subject to change.
The Matson Money Fixed Income VI Portfolio’s underlying funds invest in fixed income securities. The underlying funds may invest their assets in bonds and other debt securities issued by domestic and foreign governments and companies. Debt instruments involve the risk that their prices will fall when interest rates rise, and they are subject to the risk that the borrower may default. In addition, the return on foreign debt securities may be adversely affected by currency fluctuations. An investor in the Portfolio will incur expenses of the underlying funds in addition to the Portfolio’s expenses. The foregoing is not intended to be a complete discussion of all risks associated with the investment strategies of the Portfolio.
3
MATSON MONEY VI PORTFOLIOS
Fund Expense ExampleS
FEBRUARY 28, 2021 (UNAUDITED)
As a shareholder of the Portfolio(s), you incur two types of costs: (1) transaction costs; and (2) ongoing costs, including management fees and other Portfolio expenses. These examples are intended to help you understand your ongoing costs (in dollars) of investing in the Portfolio(s) and to compare these costs with the ongoing costs of investing in other mutual funds.
These examples are based on an investment of $1,000 invested at the beginning of the six-month period from September 1, 2020 through February 28, 2021, and held for the entire period.
ACTUAL EXPENSES
The first section of the accompanying tables provides information about actual account values and actual expenses. You may use the information in this section, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first section under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
HYPOTHETICAL EXAMPLES FOR COMPARISON PURPOSES
The second section of the accompanying table provides information about hypothetical account values and hypothetical expenses based on each Portfolio’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Portfolio’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in each Portfolio and other funds. To do so, compare these 5% hypothetical examples with the 5% hypothetical examples that appear in the shareholder reports of other funds.
The expenses shown in the accompanying table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as redemption fees. Therefore, the second section of the accompanying table is useful in comparing ongoing costs only and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
BEGINNING | ENDING | EXPENSES | ANNUALIZED | ACTUAL SIX- | |
Actual | |||||
Matson Money U.S. Equity VI Portfolio | $ 1,000.00 | $ 1,329.10 | $ 4.22 | 0.73% | 32.91% |
Matson Money International Equity VI Portfolio | 1,000.00 | 1,220.00 | 4.29 | 0.78% | 22.00% |
Matson Money Fixed Income VI Portfolio | 1,000.00 | 996.70 | 3.56 | 0.72% | -0.33% |
Hypothetical (5% return before expenses) | |||||
Matson Money U.S. Equity VI Portfolio | $ 1,000.00 | $ 1,021.17 | $ 3.66 | 0.73% | N/A |
Matson Money International Equity VI Portfolio | 1,000.00 | 1,020.93 | 3.91 | 0.78% | N/A |
Matson Money Fixed Income VI Portfolio | 1,000.00 | 1,021.22 | 3.61 | 0.72% | N/A |
* | Expenses are equal to each Portfolio’s annualized six-month expense ratio for the period September 1, 2020 to February 28, 2021, multiplied by the average account value over the period, multiplied by the number of days (181) in the most recent fiscal half-year, then divided by 365 to reflect the one half year period. The annualized expense ratios do not reflect fees and expenses associated with the underlying funds. Fees and expenses presented for a Portfolio do not reflect any fees and expenses imposed on shares of the Portfolio purchased through variable annuity contracts, variable life insurance policies, and certain qualified pension and retirement plans, which would increase overall fees and expenses. If such fees and expenses had been included, the expenses would have been higher. Each |
4
MATSON MONEY VI PORTFOLIOS
Fund Expense Examples (CONCLUDED)
FEBRUARY 28, 2021 (UNAUDITED)
Portfolio’s ending account value in the first section in the table is based on the actual six-month total investment return for each Portfolio for the period September 1, 2020 to February 28, 2021. The range of weighted expense ratios of the underlying funds held by the Portfolios, as stated in the underlying funds’ current prospectuses, were as follows:
PORTFOLIO | RANGE OF WEIGHTED |
Matson Money U.S. Equity VI Portfolio | 0.01% - 0.07% |
Matson Money International Equity VI Portfolio | 0.00% - 0.14% |
Matson Money Fixed Income VI Portfolio | 0.00% - 0.02% |
5
MATSON MONEY VI PORTFOLIOS
MATSON MONEY U.S. EQUITY VI PORTFOLIO
Portfolio of Investments
FEBRUARY 28, 2021 (UNAUDITED)
NUMBER OF | VALUE | |||||||
DOMESTIC EQUITY FUNDS — 99.1% | ||||||||
U.S. Large Cap Value Portfolio III (a) | 282,203 | $ | 7,709,798 | |||||
U.S. Large Company Portfolio (a) | 141,249 | 4,043,969 | ||||||
U.S. Micro Cap Portfolio (b) | 168,560 | 4,470,198 | ||||||
U.S. Small Cap Portfolio (b) | 102,508 | 4,464,211 | ||||||
U.S. Small Cap Value Portfolio (b) | 74,627 | 3,043,297 | ||||||
VA U.S. Large Value Portfolio (b) | 41,600 | 1,189,774 | ||||||
VA U.S. Targeted Value Portfolio (b) | 206,886 | 4,454,261 | ||||||
TOTAL DOMESTIC EQUITY FUNDS | ||||||||
(Cost $23,383,301) | 29,375,508 | |||||||
SHORT-TERM INVESTMENTS — 1.1% | ||||||||
STIT-Government & Agency Portfolio, 0.03%* | 313,037 | 313,037 | ||||||
TOTAL SHORT-TERM INVESTMENTS | ||||||||
(Cost $313,037) | 313,037 | |||||||
TOTAL INVESTMENTS — 100.2% | ||||||||
(Cost $23,696,338) | 29,688,545 | |||||||
LIABILITIES IN EXCESS OF OTHER ASSETS — (0.2)% | (70,650 | ) | ||||||
NET ASSETS — 100.0% | $ | 29,617,895 |
PORTFOLIO HOLDINGS SUMMARY TABLE | ||||||||
% of | Value | |||||||
Domestic Equity Funds | 99.1 | % | $ | 29,375,508 | ||||
Short-Term Investments | 1.1 | 313,037 | ||||||
Liabilities In Excess Of Other Assets | (0.2 | ) | (70,650 | ) | ||||
NET ASSETS | 100.0 | % | $ | 29,617,895 |
* | Seven-day yield as of February 28, 2021. |
(a) | A portfolio of Dimensional Investment Group Inc. |
(b) | A portfolio of DFA Investment Dimensions Group Inc. |
Portfolio holdings are subject to change at any time.
The accompanying notes are an integral part of the financial statements.
6
MATSON MONEY VI PORTFOLIOS
MATSON MONEY INTERNATIONAL EQUITY VI PORTFOLIO
Portfolio of Investments
FEBRUARY 28, 2021 (UNAUDITED)
NUMBER OF | VALUE | |||||||
INTERNATIONAL EQUITY FUNDS — 99.2% | ||||||||
DFA International Small Cap Value Portfolio (a) | 295,607 | $ | 5,894,412 | |||||
DFA International Value Portfolio III (b) | 414,243 | 6,391,765 | ||||||
Emerging Markets Small Cap Portfolio (a) | 42,139 | 1,018,919 | ||||||
Emerging Markets Value Portfolio, Class Institutional (a) | 33,697 | 1,017,993 | ||||||
iShares Core MSCI EAFE ETF | 11,624 | 817,516 | ||||||
iShares Core MSCI Emerging Markets ETF | 16,167 | 1,046,490 | ||||||
VA International Small Portfolio (a) | 256,612 | 3,492,493 | ||||||
VA International Value Portfolio (a) | 85,341 | 1,069,322 | ||||||
TOTAL INTERNATIONAL EQUITY FUNDS | ||||||||
(Cost $18,920,703) | 20,748,910 | |||||||
SHORT-TERM INVESTMENTS — 1.0% | ||||||||
STIT-Government & Agency Portfolio, 0.03%* | 207,211 | 207,211 | ||||||
TOTAL SHORT-TERM INVESTMENTS | ||||||||
(Cost $207,211) | 207,211 | |||||||
TOTAL INVESTMENTS — 100.2% | ||||||||
(Cost $19,127,914) | 20,956,121 | |||||||
LIABILITIES IN EXCESS OF OTHER ASSETS — (0.2)% | (37,422 | ) | ||||||
NET ASSETS — 100.0% | $ | 20,918,699 |
PORTFOLIO HOLDINGS SUMMARY TABLE | ||||||||
% of | Value | |||||||
International Equity Funds | 99.2 | % | $ | 20,748,910 | ||||
Short-Term Investments | 1.0 | 207,211 | ||||||
Other Assets In Excess Of Liabilities | (0.2 | ) | (37,422 | ) | ||||
NET ASSETS | 100.0 | % | $ | 20,918,699 |
* | Seven-day yield as of February 28, 2021. |
(a) | A portfolio of DFA Investment Dimensions Group Inc. |
(b) | A portfolio of Dimensional Investment Group Inc. |
ETF | Exchange-Traded Fund |
Portfolio holdings are subject to change at any time.
The accompanying notes are an integral part of the financial statements.
7
MATSON MONEY VI PORTFOLIOS
MATSON MONEY FIXED INCOME VI PORTFOLIO
Portfolio of Investments
FEBRUARY 28, 2021 (UNAUDITED)
NUMBER OF | VALUE | |||||||
FIXED INCOME FUNDS — 98.5% | ||||||||
DFA One-Year Fixed Income Portfolio (a) | 340,117 | $ | 3,503,202 | |||||
DFA Two-Year Global Fixed Income Portfolio (a) | 459,236 | 4,569,394 | ||||||
iShares 1-3 Year Treasury Bond ETF | 14,052 | 1,212,969 | ||||||
iShares 3-7 Year Treasury Bond ETF | 13,891 | 1,820,693 | ||||||
iShares Core International Aggregate Bond ETF | 83,280 | 4,573,738 | ||||||
iShares Intermediate-Term Corporate Bond ETF | 30,113 | 1,813,405 | ||||||
iShares Short-Term Corporate Bond ETF | 132,905 | 7,292,497 | ||||||
iShares TIPS Bond ETF | 12,105 | 1,523,172 | ||||||
VA Global Bond Portfolio (a) | 286,573 | 3,043,409 | ||||||
VA Short-Term Fixed Income Portfolio (a) | 59,635 | 608,274 | ||||||
TOTAL FIXED INCOME FUNDS | ||||||||
(Cost $29,435,534) | 29,960,753 | |||||||
SHORT-TERM INVESTMENTS — 2.1% | ||||||||
STIT-Government & Agency Portfolio, 0.03%* | 635,184 | 635,184 | ||||||
TOTAL SHORT-TERM INVESTMENTS | ||||||||
(Cost $635,184) | 635,184 | |||||||
TOTAL INVESTMENTS — 100.6% | ||||||||
(Cost $30,070,718) | 30,595,937 | |||||||
LIABILITIES IN EXCESS OF OTHER ASSETS — (0.6)% | (175,191 | ) | ||||||
NET ASSETS — 100.0% | $ | 30,420,746 |
PORTFOLIO HOLDINGS SUMMARY TABLE | ||||||||
% of | Value | |||||||
Fixed Income Funds | 98.5 | % | $ | 29,960,753 | ||||
Short-Term Investments | 2.1 | 635,184 | ||||||
Other Assets In Excess Of Liabilities | (0.6 | ) | (175,191 | ) | ||||
NET ASSETS | 100.0 | % | $ | 30,420,746 |
* | Seven-day yield as of February 28, 2021. |
(a) | A portfolio of DFA Investment Dimensions Group Inc. |
ETF | Exchange-Traded Fund |
Portfolio holdings are subject to change at any time.
The accompanying notes are an integral part of the financial statements.
8
MATSON MONEY VI PORTFOLIOS
Statements of Assets and Liabilities
FEBRUARY 28, 2021 (UNAUDITED)
MATSON MONEY | MATSON MONEY | MATSON MONEY | ||||||||||
ASSETS | ||||||||||||
Investments, at value (cost $23,383,301, $18,920,703 and $29,435,534, respectively) | $ | 29,375,509 | $ | 20,748,910 | $ | 29,960,752 | ||||||
Short-term investments, at value (cost $313,037, $207,211 and $635,184, respectively) | 313,037 | 207,211 | 635,184 | |||||||||
Receivables for: | ||||||||||||
Investments sold | 6 | 5 | 24,444 | |||||||||
Prepaid expenses and other assets | 2,681 | 1,503 | 2,673 | |||||||||
Total assets | 29,691,233 | 20,957,629 | 30,623,053 | |||||||||
LIABILITIES | ||||||||||||
Payables for: | ||||||||||||
Advisory fees | 11,273 | 8,050 | 11,610 | |||||||||
Administration and accounting fees | 2,328 | 2,117 | 2,541 | |||||||||
Transfer agent fees | 41,199 | 11,357 | — | |||||||||
Capital shares redeemed | 854 | 733 | 799 | |||||||||
Other accrued expenses and liabilities | 17,684 | 16,673 | 187,357 | |||||||||
Total liabilities | 73,338 | 38,930 | 202,307 | |||||||||
Net assets | $ | 29,617,895 | $ | 20,918,699 | $ | 30,420,746 | ||||||
NET ASSETS CONSIST OF: | ||||||||||||
Par Value | $ | 907 | $ | 820 | $ | 1,197 | ||||||
Paid-in capital | 23,261,380 | 19,468,945 | 29,984,415 | |||||||||
Total distributable earnings/(loss) | 6,355,608 | 1,448,934 | 435,134 | |||||||||
Net assets | $ | 29,617,895 | $ | 20,918,699 | $ | 30,420,746 | ||||||
CAPITAL SHARES: | ||||||||||||
Net assets | $ | 29,617,895 | $ | 20,918,699 | $ | 30,420,746 | ||||||
Shares outstanding ($0.001 par value, 100,000,000 shares authorized) | 906,582 | 820,454 | 1,197,244 | |||||||||
Net asset value, offering and redemption price per share | $ | 32.67 | $ | 25.50 | $ | 25.41 |
The accompanying notes are an integral part of the financial statements.
9
MATSON MONEY VI PORTFOLIOS
Statements of Operations
FOR THE sIX mONTHS ENDED FEBRUARY 28, 2021 (UNAUDITED)
MATSON MONEY | MATSON MONEY | MATSON MONEY | ||||||||||
INVESTMENT INCOME | ||||||||||||
Dividends from non-affiliated funds | $ | 292,584 | $ | 316,991 | $ | 161,948 | ||||||
Total investment income | 292,584 | 316,991 | 161,948 | |||||||||
EXPENSES: | ||||||||||||
Advisory fees (Note 2) | 66,807 | 48,828 | 70,585 | |||||||||
Audit and tax services fees | 12,183 | 12,161 | 11,793 | |||||||||
Administration and accounting fees (Note 2) | 8,568 | 7,777 | 9,114 | |||||||||
Printing and shareholder reporting fees | 3,837 | 2,921 | 4,151 | |||||||||
Custodian fees (Note 2) | 1,951 | 1,471 | 1,459 | |||||||||
Director fees | 1,442 | 1,112 | 1,840 | |||||||||
Legal fees | 1,015 | 715 | 1,146 | |||||||||
Transfer agent fees (Note 2) | 602 | 848 | 859 | |||||||||
Officer fees | 541 | 354 | 652 | |||||||||
Other expenses | 392 | 293 | 432 | |||||||||
Total expenses | 97,338 | 76,480 | 102,031 | |||||||||
Net investment income/(loss) | 195,246 | 240,511 | 59,917 | |||||||||
NET REALIZED AND UNREALIZED GAIN/(LOSS) FROM INVESTMENTS | ||||||||||||
Net realized gain/(loss) from: | ||||||||||||
Non-affiliated funds | 645,958 | 150,614 | 4,847 | |||||||||
Capital gain distributions from non-affiliated fund investments | 85,701 | 58,739 | — | |||||||||
Net change in unrealized appreciation/(depreciation) on: | ||||||||||||
Non-affiliated funds | 6,855,324 | 3,525,047 | (174,036 | ) | ||||||||
Net realized and unrealized gain/(loss) on investments | 7,586,983 | 3,734,400 | (169,189 | ) | ||||||||
NET INCREASE/(DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ | 7,782,229 | $ | 3,974,911 | $ | (109,272 | ) |
The accompanying notes are an integral part of the financial statements.
10
MATSON MONEY U.S. EQUITY VI PORTFOLIO
Statements of Changes in Net Assets
FOR THE | FOR THE | |||||||
INCREASE/(DECREASE) IN NET ASSETS FROM OPERATIONS: | ||||||||
Net investment income/(loss) | $ | 195,246 | $ | 214,567 | ||||
Net realized gain/(loss) from investments | 731,659 | 625,526 | ||||||
Net change in unrealized appreciation/(depreciation) on investments | 6,855,324 | (428,512 | ) | |||||
Net increase/(decrease) in net assets resulting from operations | 7,782,229 | 411,581 | ||||||
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||
Total distributable earnings | (1,112,545 | ) | (1,496,610 | ) | ||||
Net decrease in net assets from dividends and distributions to shareholders | (1,112,545 | ) | (1,496,610 | ) | ||||
CAPITAL SHARE TRANSACTIONS: | ||||||||
Proceeds from shares sold | 787,105 | 4,803,621 | ||||||
Reinvestment of distributions | 1,112,544 | 1,496,610 | ||||||
Shares redeemed | (4,021,745 | ) | (4,983,541 | ) | ||||
Net increase/(decrease) in net assets from capital shares | (2,122,096 | ) | 1,316,690 | |||||
Total increase/(decrease) in net assets | 4,547,588 | 231,661 | ||||||
NET ASSETS: | ||||||||
Beginning of period | 25,070,307 | 24,838,646 | ||||||
End of period | $ | 29,617,895 | $ | 25,070,307 | ||||
SHARES TRANSACTIONS: | ||||||||
Shares sold | 26,976 | 205,802 | ||||||
Dividends and distributions reinvested | 38,350 | 51,679 | ||||||
Shares redeemed | (137,122 | ) | (196,267 | ) | ||||
Net increase/(decrease) in shares outstanding | (71,796 | ) | 61,214 |
The accompanying notes are an integral part of the financial statements.
11
MATSON MONEY INTERNATIONAL EQUITY VI PORTFOLIO
Statements of Changes in Net Assets
FOR THE | FOR THE | |||||||
INCREASE/(DECREASE) IN NET ASSETS FROM OPERATIONS: | ||||||||
Net investment income/(loss) | $ | 240,511 | $ | 366,406 | ||||
Net realized gain/(loss) from investments | 209,353 | (56,754 | ) | |||||
Net change in unrealized appreciation/(depreciation) on investments | 3,525,047 | (73,772 | ) | |||||
Net increase/(decrease) in net assets resulting from operations | 3,974,911 | 235,880 | ||||||
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||
Total distributable earnings | (430,312 | ) | (892,907 | ) | ||||
Net decrease in net assets from dividends and distributions to shareholders | (430,312 | ) | (892,907 | ) | ||||
CAPITAL SHARE TRANSACTIONS: | ||||||||
Proceeds from shares sold | 749,971 | 3,624,757 | ||||||
Reinvestment of distributions | 430,312 | 892,907 | ||||||
Shares redeemed | (2,365,276 | ) | (3,529,908 | ) | ||||
Net increase/(decrease) in net assets from capital shares | (1,184,993 | ) | 987,756 | |||||
Total increase/(decrease) in net assets | 2,359,606 | 330,729 | ||||||
NET ASSETS: | ||||||||
Beginning of period | 18,559,093 | 18,228,364 | ||||||
End of period | $ | 20,918,699 | $ | 18,559,093 | ||||
SHARES TRANSACTIONS: | ||||||||
Shares sold | 31,609 | 180,551 | ||||||
Dividends and distributions reinvested | 17,679 | 36,791 | ||||||
Shares redeemed | (98,130 | ) | (166,464 | ) | ||||
Net increase/(decrease) in shares outstanding | (48,842 | ) | 50,878 |
The accompanying notes are an integral part of the financial statements.
12
MATSON MONEY FIXED INCOME VI PORTFOLIO
Statements of Changes in Net Assets
FOR THE | FOR THE | |||||||
INCREASE/(DECREASE) IN NET ASSETS FROM OPERATIONS: | ||||||||
Net investment income/(loss) | $ | 59,917 | $ | 485,768 | ||||
Net realized gain/(loss) from investments | 4,847 | 39,000 | ||||||
Net change in unrealized appreciation/(depreciation) on investments | (174,036 | ) | 238,804 | |||||
Net increase/(decrease) in net assets resulting from operations | (109,272 | ) | 763,572 | |||||
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||
Total distributable earnings | (185,140 | ) | (496,143 | ) | ||||
Net decrease in net assets from dividends and distributions to shareholders | (185,140 | ) | (496,143 | ) | ||||
CAPITAL SHARE TRANSACTIONS: | ||||||||
Proceeds from shares sold | 4,343,363 | 5,478,109 | ||||||
Reinvestment of distributions | 185,140 | 496,143 | ||||||
Shares redeemed | (1,136,182 | ) | (8,465,121 | ) | ||||
Net increase/(decrease) in net assets from capital shares | 3,392,321 | (2,490,869 | ) | |||||
Total increase/(decrease) in net assets | 3,097,909 | (2,223,440 | ) | |||||
NET ASSETS: | ||||||||
Beginning of period | 27,322,837 | 29,546,277 | ||||||
End of period | $ | 30,420,746 | $ | 27,322,837 | ||||
SHARES TRANSACTIONS: | ||||||||
Shares sold | 169,471 | 216,510 | ||||||
Dividends and distributions reinvested | 7,229 | 19,854 | ||||||
Shares redeemed | (44,327 | ) | (335,860 | ) | ||||
Net increase/(decrease) in shares outstanding | 132,373 | (99,496 | ) |
The accompanying notes are an integral part of the financial statements.
13
MATSON MONEY VI PORTFOLIOS
MATSON MONEY U.S. EQUITY VI PORTFOLIO
Financial Highlights
Contained below is per share operating performance data for each share outstanding, total investment return/(loss), ratios to average net assets and other supplemental data for the respective periods. This information has been derived from information provided in the financial statements. |
FOR THE | FOR THE | FOR THE | FOR THE | FOR THE | FOR THE | |||||||||||||||||||
Per Share Operating Performance | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 25.62 | $ | 27.08 | $ | 33.12 | $ | 29.15 | $ | 26.80 | $ | 25.65 | ||||||||||||
Net investment income/(loss)(1) | 0.21 | 0.22 | 0.21 | 0.18 | 0.14 | 0.19 | ||||||||||||||||||
Net realized and unrealized gain/(loss) on investments | 8.07 | (0.04 | ) | (4.34 | ) | 5.40 | 3.44 | 1.96 | ||||||||||||||||
Net increase/(decrease) in net assets resulting from operations | 8.28 | 0.18 | (4.13 | ) | 5.58 | 3.58 | 2.15 | |||||||||||||||||
Dividends and distributions to shareholders from: | ||||||||||||||||||||||||
Net investment income | (0.29 | ) | (0.24 | ) | (0.27 | ) | (0.33 | ) | (0.21 | ) | (0.15 | ) | ||||||||||||
Net realized capital gains | (0.94 | ) | (1.40 | ) | (1.64 | ) | (1.28 | ) | (1.02 | ) | (0.85 | ) | ||||||||||||
Total dividends and distributions to shareholders | (1.23 | ) | (1.64 | ) | (1.91 | ) | (1.61 | ) | (1.23 | ) | (1.00 | ) | ||||||||||||
Net asset value, end of period | $ | 32.67 | $ | 25.62 | $ | 27.08 | $ | 33.12 | $ | 29.15 | $ | 26.80 | ||||||||||||
Total investment return/(loss)(2) | 32.91 | %(4) | (0.02 | )% | (11.89 | )% | 19.56 | % | 13.42 | % | 8.68 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (000’s omitted) | $ | 29,618 | $ | 25,070 | $ | 24,839 | $ | 26,181 | $ | 20,093 | $ | 17,491 | ||||||||||||
Ratio of expenses to average net assets with waivers, if any(3) | 0.73 | %(5) | 0.76 | % | 0.76 | % | 0.73 | % | 0.81 | % | 0.93 | % | ||||||||||||
Ratio of expenses to average net assets without waivers, if any(3) | 0.73 | %(5) | 0.76 | % | 0.76 | % | 0.73 | % | 0.81 | % | 0.93 | % | ||||||||||||
Ratio of net investment income/(loss) to average net assets with waivers(3) | 1.46 | %(5) | 0.86 | % | 0.72 | % | 0.58 | % | 0.49 | % | 0.74 | % | ||||||||||||
Portfolio turnover rate | 6 | %(4) | 18 | % | 17 | % | 12 | % | 21 | % | 7 | % |
(1) | The selected per share data is calculated using the average shares outstanding method for the period. |
(2) | Total investment return/(loss) is calculated by assuming a purchase of shares on the first day and a sale of shares on the last day of each period reported and includes reinvestments of dividends and distributions, if any. |
(3) | The Portfolio also will indirectly bear its prorated share of expenses of the underlying funds. Such expenses are not included in the calculation of this ratio. |
(4) | Not annualized. |
(5) | Annualized. |
The accompanying notes are an integral part of the financial statements.
14
MATSON MONEY VI PORTFOLIOS
MATSON MONEY INTERNATIONAL EQUITY VI PORTFOLIO
Financial Highlights
Contained below is per share operating performance data for each share outstanding, total investment return/(loss), ratios to average net assets and other supplemental data for the respective periods. This information has been derived from information provided in the financial statements. |
FOR THE | FOR THE | FOR THE | FOR THE | FOR THE | FOR THE | |||||||||||||||||||
Per Share Operating Performance | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 21.35 | $ | 22.27 | $ | 26.16 | $ | 26.60 | $ | 22.54 | $ | 22.48 | ||||||||||||
Net investment income/(loss)(1) | 0.28 | 0.42 | 0.43 | 0.47 | 0.29 | 0.44 | ||||||||||||||||||
Net realized and unrealized gain/(loss) on investments | 4.39 | (0.25 | ) | (3.51 | ) | (0.13 | ) | 4.51 | 0.10 | |||||||||||||||
Net increase/(decrease) in net assets resulting from operations | 4.67 | 0.17 | (3.08 | ) | 0.34 | 4.80 | 0.54 | |||||||||||||||||
Dividends and distributions to shareholders from: | ||||||||||||||||||||||||
Net investment income | (0.35 | ) | (0.52 | ) | (0.39 | ) | (0.54 | ) | (0.44 | ) | (0.24 | ) | ||||||||||||
Net realized capital gains | (0.17 | ) | (0.57 | ) | (0.42 | ) | (0.24 | ) | (0.30 | ) | (0.24 | ) | ||||||||||||
Total dividends and distributions to shareholders | (0.52 | ) | (1.09 | ) | (0.81 | ) | (0.78 | ) | (0.74 | ) | (0.48 | ) | ||||||||||||
Net asset value, end of period | $ | 25.50 | $ | 21.35 | $ | 22.27 | $ | 26.16 | $ | 26.60 | $ | 22.54 | ||||||||||||
Total investment return/(loss)(3) | 22.00 | %(5) | 0.17 | % | (11.62 | )% | 1.13 | % | 21.90 | % | 2.47 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (000’s omitted) | $ | 20,919 | $ | 18,559 | $ | 18,228 | $ | 17,950 | $ | 15,019 | $ | 12,567 | ||||||||||||
Ratio of expenses to average net assets with waivers, if any(4) | 0.78 | %(6) | 0.83 | % | 0.86 | % | 0.79 | % | 0.88 | % | 1.02 | % | ||||||||||||
Ratio of expenses to average net assets without waivers, if any(4) | 0.78 | %(6) | 0.83 | % | 0.86 | % | 0.79 | % | 0.88 | % | 1.02 | % | ||||||||||||
Ratio of net investment income/(loss) to average net assets with waivers(4) | 2.46 | %(6) | 1.99 | % | 1.82 | % | 1.70 | % | 1.22 | % | 2.03 | % | ||||||||||||
Portfolio turnover rate | 17 | %(5) | 26 | % | 13 | % | 8 | % | 21 | % | 5 | % |
(1) | The selected per share data is calculated using the average shares outstanding method for the period. |
(2) | Amount less than $(0.005) per share. |
(3) | Total investment return/(loss) is calculated by assuming a purchase of shares on the first day and a sale of shares on the last day of each period reported and includes reinvestments of dividends and distributions, if any. |
(4) | The Portfolio also will indirectly bear its prorated share of expenses of the underlying funds. Such expenses are not included in the calculation of this ratio. |
(5) | Not annualized. |
(6) | Annualized. |
The accompanying notes are an integral part of the financial statements.
15
MATSON MONEY VI PORTFOLIOS
MATSON MONEY FIXED INCOME VI PORTFOLIO
Financial Highlights
Contained below is per share operating performance data for each share outstanding, total investment return/(loss), ratios to average net assets and other supplemental data for the respective periods. This information has been derived from information provided in the financial statements. |
FOR THE | FOR THE | FOR THE | FOR THE | FOR THE | FOR THE | |||||||||||||||||||
Per Share Operating Performance | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 25.66 | $ | 25.38 | $ | 24.74 | $ | 25.12 | $ | 25.31 | $ | 24.93 | ||||||||||||
Net investment income/(loss)(1) | 0.05 | 0.43 | 0.59 | 0.23 | 0.18 | 0.05 | ||||||||||||||||||
Net realized and unrealized gain/(loss) on investments | (0.13 | ) | 0.27 | 0.61 | (0.36 | ) | (0.13 | ) | 0.36 | |||||||||||||||
Net increase/(decrease) in net assets resulting from operations | (0.08 | ) | 0.70 | 1.20 | (0.13 | ) | 0.05 | 0.41 | ||||||||||||||||
Dividends and distributions to shareholders from: | ||||||||||||||||||||||||
Net investment income | (0.17 | ) | (0.42 | ) | (0.56 | ) | (0.22 | ) | (0.12 | ) | — | |||||||||||||
Net realized capital gains | — | — | — | (2) | (0.03 | ) | (0.12 | ) | (0.03 | ) | ||||||||||||||
Total dividends and distributions to shareholders | (0.17 | ) | (0.42 | ) | (0.56 | ) | (0.25 | ) | (0.24 | ) | (0.03 | ) | ||||||||||||
Net asset value, end of period | $ | 25.41 | $ | 25.66 | $ | 25.38 | $ | 24.74 | $ | 25.12 | $ | 25.31 | ||||||||||||
Total investment return/(loss)(3) | (0.33 | )%(5) | 2.80 | % | 4.98 | % | (0.50 | )% | 0.19 | % | 1.66 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (000’s omitted) | $ | 30,421 | $ | 27,323 | $ | 29,546 | $ | 30,405 | $ | 26,017 | $ | 21,927 | ||||||||||||
Ratio of expenses to average net assets with waivers, if any(4) | 0.72 | %(6) | 0.74 | % | 0.74 | % | 0.71 | % | 0.77 | % | 0.85 | % | ||||||||||||
Ratio of expenses to average net assets without waivers, if any(4) | 0.72 | %(6) | 0.74 | % | 0.74 | % | 0.71 | % | 0.77 | % | 0.85 | % | ||||||||||||
Ratio of net investment income/(loss) to average net assets with waivers(4) | 0.42 | %(6) | 1.69 | % | 2.39 | % | 0.93 | % | 0.70 | % | 0.21 | % | ||||||||||||
Portfolio turnover rate | 2 | %(5) | 46 | % | 19 | % | 2 | % | 11 | % | 40 | % |
(1) | The selected per share data is calculated using the average shares outstanding method for the period. |
(2) | Amount less than $(0.005) per share. |
(3) | Total investment return/(loss) is calculated by assuming a purchase of shares on the first day and a sale of shares on the last day of each period reported and includes reinvestments of dividends and distributions, if any. |
(4) | The Portfolio also will indirectly bear its prorated share of expenses of the underlying funds. Such expenses are not included in the calculation of this ratio. |
(5) | Not annualized. |
(6) | Annualized. |
The accompanying notes are an integral part of the financial statements.
16
MATSON MONEY VI PORTFOLIOS
Notes to Financial Statements
FEBRUARY 28, 2021
(UNAUDITED)
1. | Organization and Significant Accounting Policies |
The RBB Fund, Inc. (“RBB” or the “Company”) was incorporated under the laws of the State of Maryland on February 29, 1988 and is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. RBB is a “series fund,” which is a mutual fund divided into separate portfolios. Each portfolio is treated as a separate entity for certain matters under the 1940 Act, and for other purposes, and a shareholder of one portfolio is not deemed to be a shareholder of any other portfolio. Currently, RBB has thirty-six separate investment portfolios, including the Matson Money U.S. Equity VI Portfolio, the Matson Money International Equity VI Portfolio and the Matson Money Fixed Income VI Portfolio (each a “Portfolio,” collectively the “Portfolios”). Each Portfolio operates as a “fund of funds” and commenced investment operations on February 18, 2014. Shares of the Portfolios are offered to separate accounts of participating life insurance companies for the purpose of funding variable annuity contracts and variable life insurance policies.
RBB has authorized capital of one hundred billion shares of common stock of which 87.923 billion shares are currently classified into one hundred and ninety classes of common stock. Each class represents an interest in an active or inactive RBB investment portfolio.
Matson Money U.S. Equity VI Portfolio and Matson Money International Equity VI Portfolio’s investment objective is to seek long-term capital appreciation. Matson Money Fixed Income VI Portfolio’s investment objective is to seek total return (consisting of current income and capital appreciation).
The Portfolios are investment companies and follow accounting and reporting guidance in the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946 “Financial Services - Investment Companies”.
The end of the reporting period for the Portfolios is February 28, 2021, and the period covered by these Notes to Financial Statements is the six-months ended February 28, 2021 (the “current fiscal period”).
INVESTMENT COMPANY SECURITIES — The Portfolios pursue their investment objectives by investing primarily in shares of registered, open-end investment companies and exchange-traded funds (“ETFs”) (collectively, “underlying funds”). When a Portfolio invests in underlying funds it will indirectly bear its proportionate share of any fees and expenses payable directly by the underlying fund. In connection with its investments in other investment companies, a Portfolio will incur higher expenses, many of which may be duplicative. Furthermore, because the Portfolios invest in shares of ETFs and underlying funds their performances are directly related to the ability of the ETFs and underlying funds to meet their respective investment objectives, as well as the allocation of each Portfolio’s assets among the ETFs and underlying funds. Accordingly, the Portfolios’ investment performance will be influenced by the investment strategies of and risks associated with the ETFs and underlying funds in direct proportion to the amount of assets the Portfolios allocate to the ETFs and underlying funds utilizing such strategies. As disclosed in the Portfolio of Investments, the Portfolios invest in a number of different underlying funds, including underlying funds that are portfolios of DFA Investment Dimensions Group Inc., and Dimensional Investment Group Inc. (collectively, “DFA Underlying Funds”) and iShares by BlackRock (“iShares Underlying Funds”). Information about DFA Underlying Funds’ and iShares Underlying Funds’ risks may be found in such DFA Underlying Funds and iShares Underlying Funds’ annual or semiannual report to shareholders, which can be found at us.dimensional.com and iShares.com, respectively. Additional information about derivatives related risks, if applicable, may also be found in each such DFA Underlying Fund or iShares Underlying Funds’ annual or semiannual report to shareholders. The annual and semiannual reports to shareholders for the underlying funds may also be found by visiting the SEC’s website at http://www.sec.gov.
PORTFOLIO VALUATION — Investments in the underlying funds are valued at each Portfolio’s net asset value (“NAV”) determined as of the close of business on the New York Stock Exchange (generally 4:00 p.m. Eastern time). Investments in Exchange-Traded Funds (“ETFs”) are valued at their last reported sale price. As required, some securities and assets may be valued at fair value as determined in good faith by the Company’s Board of Directors (the “Board”). Direct investments in fixed income securities are valued using an independent pricing service, which considers such factors as security prices, yields, maturities and ratings, and are deemed representative of market values at the close of the market.
17
MATSON MONEY VI PORTFOLIOS
Notes to Financial Statements (continued)
FEBRUARY 28, 2021
(UNAUDITED)
FAIR VALUE MEASUREMENTS — The inputs and valuation techniques used to measure the fair value of the Portfolios’ investments are summarized into three levels as described in the hierarchy below:
● Level 1 — | Prices are determined using quoted prices in active markets for identical securities. |
● Level 2 — | Prices are determined using other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.). |
● Level 3 — | Prices are determined using significant unobservable inputs (including the Portfolios’ own assumptions in determining the fair value of investments). |
The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The following is a summary of the inputs used, as of the end of the reporting period, in valuing the Portfolios’ investments carried at fair value:
MATSON MONEY U.S. EQUITY VI PORTFOLIO
TOTAL | LEVEL 1 | LEVEL 2 | LEVEL 3 | INVESTMENTS | ||||||||||||||||
Domestic Equity Funds | $ | 29,375,508 | $ | 23,731,473 | $ | — | $ | — | $ | 5,644,035 | ||||||||||
Short-Term Investments | 313,037 | 313,037 | — | — | — | |||||||||||||||
Total Investments** | $ | 29,688,545 | $ | 24,044,510 | $ | — | $ | — | $ | 5,644,035 |
* | Certain investments that are measured at fair value using the net asset value per share (or its equivalent) practical expedient have not been categorized in the fair value hierarchy. The fair value amounts presented in the table are intended to permit reconciliation of the fair value hierarchy to the amounts presented in the Statements of Assets and Liabilities. |
** | Please refer to the Portfolio of Investments for further details. |
MATSON MONEY INTERNATIONAL EQUITY VI PORTFOLIO
TOTAL | LEVEL 1 | LEVEL 2 | LEVEL 3 | INVESTMENTS | ||||||||||||||||
International Equity Funds | $ | 20,748,910 | $ | 16,187,095 | $ | — | $ | — | $ | 4,561,815 | ||||||||||
Short-Term Investments | 207,211 | 207,211 | — | — | — | |||||||||||||||
Total Investments** | $ | 20,956,121 | $ | 16,394,306 | $ | — | $ | — | $ | 4,561,815 |
* | Certain investments that are measured at fair value using the net asset value per share (or its equivalent) practical expedient have not been categorized in the fair value hierarchy. The fair value amounts presented in the table are intended to permit reconciliation of the fair value hierarchy to the amounts presented in the Statements of Assets and Liabilities. |
** | Please refer to the Portfolio of Investments for further details. |
18
MATSON MONEY VI PORTFOLIOS
Notes to Financial Statements (Continued)
FEBRUARY 28, 2021
(UNAUDITED)
MATSON MONEY FIXED INCOME VI PORTFOLIO
TOTAL | LEVEL 1 | LEVEL 2 | LEVEL 3 | INVESTMENTS | ||||||||||||||||
Fixed Income Funds | $ | 29,960,753 | $ | 26,309,070 | $ | — | $ | — | $ | 3,651,683 | ||||||||||
Short-Term Investments | 635,184 | 635,184 | — | — | — | |||||||||||||||
Total Investments** | $ | 30,595,937 | $ | 26,944,254 | $ | — | $ | — | $ | 3,651,683 |
* | Certain investments that are measured at fair value using the net asset value per share (or its equivalent) practical expedient have not been categorized in the fair value hierarchy. The fair value amounts presented in the table are intended to permit reconciliation of the fair value hierarchy to the amounts presented in the Statements of Assets and Liabilities. |
** | Please refer to the Portfolio of Investments for further details. |
At the end of each quarter, management evaluates the classification of Levels 1, 2 and 3 assets and liabilities. Various factors are considered, such as changes in liquidity from the prior reporting period; whether or not a broker is willing to execute at the quoted price; the depth and consistency of prices from third party pricing services; and the existence of contemporaneous, observable trades in the market. Additionally, management evaluates the classification of Levels 1, 2 and 3 assets and liabilities on a quarterly basis for changes in listings or delistings on national exchanges.
Due to the inherent uncertainty of determining the fair value of investments that do not have a readily available market value, the fair value of the Portfolios’ investments may fluctuate from period to period. Additionally, the fair value of investments may differ significantly from the values that would have been used had a ready market existed for such investments and may differ materially from the values the Portfolios may ultimately realize. Further, such investments may be subject to legal and other restrictions on resale or otherwise less liquid than publicly traded securities.
For fair valuations using significant unobservable inputs, U.S. generally accepted accounting principles (“U.S. GAAP”) requires each Portfolio to present a reconciliation of the beginning to ending balances for reported market values that presents changes attributable to total realized and unrealized gains or losses, purchases and sales, and transfers in and out of Level 3 during the period. Transfers in and out between levels are based on values at the end of the period. A reconciliation of Level 3 investments is presented only when a Portfolio had an amount of Level 3 investments at the end of the reporting period that was meaningful in relation to its net assets. The amounts and reasons for all Level 3 transfers are disclosed if a Portfolio had an amount of total Level 3 transfers during the reporting period that was meaningful in relation to its net assets as of the end of the reporting period.
During the current fiscal period, the Portfolios had no Level 3 transfers.
USE OF ESTIMATES — The preparation of financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates and those differences could be significant.
INVESTMENT TRANSACTIONS, INVESTMENT INCOME AND EXPENSES — The Portfolios record security transactions based on trade date for financial reporting purposes. The cost of investments sold is determined by use of the specific identification method for both financial reporting and income tax purposes in determining realized gains and losses on investments. Interest income (including amortization of premiums and accretion of discounts) is accrued when earned. Dividend income is recorded on the ex-dividend date. Distributions received on securities that represent a return of capital or capital gain are recorded as a reduction of cost of investments and/or as a realized gain. Each Portfolio’s investment income, expenses (other than class specific expenses) and unrealized and realized gains and losses are allocated daily to each class of shares based upon the relative proportion of net assets of each class at the beginning of the day. Expenses incurred on behalf of a specific class, fund or fund family of the Company are charged directly to the class, fund or fund family (in proportion to net assets). Expenses incurred for all of the RBB funds (such as director or professional fees) are charged to all funds in proportion to their average
19
MATSON MONEY VI PORTFOLIOS
Notes to Financial Statements (Continued)
FEBRUARY 28, 2021
(UNAUDITED)
net assets of RBB, or in such other manner as the Board deems fair or equitable. Expenses and fees, including investment advisory and administration fees, are accrued daily and taken into account for the purpose of determining the NAV of the Portfolios. In addition to the net annual operating expenses that the Portfolios bear directly, the shareholders indirectly bear the Portfolios’ pro-rata expenses of the underlying mutual funds in which each Portfolio invests.
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS — Dividends from net investment income and distributions from net realized capital gains, if any, are declared and paid at least annually to shareholders recorded on the ex-dividend date for each Portfolio. Income dividends and capital gain distributions are determined in accordance with U.S. federal income tax regulations, which may differ from U.S. GAAP.
U.S. TAX STATUS — No provision is made for U.S. income taxes as it is each Portfolio’s intention to continue to qualify for and elect the tax treatment applicable to regulated investment companies under Subchapter M of the Internal Revenue Code of 1986, as amended, and make the requisite distributions to its shareholders which will be sufficient to relieve it from U.S. income and excise taxes.
MARKET RISK — The value of a Portfolio’s shares will fluctuate as a result of the movement of the overall stock market or the value of the underlying fund held by a Portfolio, and you could lose money.
CORONAVIRUS (COVID-19) PANDEMIC — The global outbreak of COVID-19 (commonly referred to as “coronavirus”) has disrupted economic markets and the prolonged economic impact is uncertain. The ultimate economic fallout from the pandemic, and the long-term impact on economies, markets, industries and individual issuers are not known. The operational and financial performance of the issuers of securities in which the Portfolios invest depends on future developments, including the duration and spread of the outbreak, and such uncertainty may in turn adversely affect the value and liquidity of the Portfolios’ investments, impair the Portfolios’ ability to satisfy redemption requests, and negatively impact the Portfolios’ performance.
CASH AND CASH EQUIVALENTS — Cash and cash equivalents are valued at cost plus accrued interest, which approximates market value.
OTHER — In the normal course of business, the Portfolios may enter into contracts that provide general indemnifications. Each Portfolio’s maximum exposure under these arrangements is dependent on claims that may be made against the Portfolios in the future, and, therefore, cannot be estimated; however, the Portfolios expect the risk of material loss for such claims to be remote.
For additional information about the DFA Underlying Funds and iShares Underlying Funds’ valuation policies, refer to the DFA Underlying Funds and iShares Underlying Funds’ most recent annual or semiannual report which can be found at us.dimensional.com and iShares.com, respectively.
2. | Investment Adviser and Other Services |
Matson Money, Inc. (“Matson Money” or the “Adviser”), serves as the investment adviser to each Portfolio. Each Portfolio compensates the Adviser for its services at an annual rate based on each Portfolio’s average daily net assets (the “Advisory Fee”), payable on a monthly basis in arrears, as shown in the following table.
AVERAGE DAILY NET ASSETS | ADVISORY FEE | |||
For the first $1 billion | 0.50 | % | ||
Over $1 billion to $5 billion | 0.49 | |||
Over $5 billion | 0.47 |
The Adviser has contractually agreed to waive advisory fees and/or reimburse expenses to the extent that total annual Portfolio operating expenses (excluding certain items discussed below) exceed the rates (“Expense Caps”) shown in the following table of each Portfolio’s average daily net assets. In determining the Adviser’s obligation to waive advisory fees and/or reimburse expenses, the following expenses are not taken into account and certain of these expenses could cause total annual Portfolio operating
20
MATSON MONEY VI PORTFOLIOS
Notes to Financial Statements (Continued)
FEBRUARY 28, 2021
(UNAUDITED)
expenses to exceed the Expense Caps: acquired fund fees and expenses, brokerage commissions, extraordinary items, interest or taxes. This contractual limitation is in effect until December 31, 2021 and may not be terminated without the approval of the Board. The Adviser may discontinue these arrangements at any time after December 31, 2021.
PORTFOLIO | EXPENSE CAPS | |||
Matson Money U.S. Equity VI Portfolio | 1.13 | % | ||
Matson Money International Equity VI Portfolio | 1.35 | |||
Matson Money Fixed Income VI Portfolio | 1.00 |
During the current fiscal period, investment advisory fees accrued were as follows:
PORTFOLIO | ADVISORY FEES | |||
Matson Money U.S. Equity VI Portfolio | $ | 66,807 | ||
Matson Money International Equity VI Portfolio | 48,828 | |||
Matson Money Fixed Income VI Portfolio | 70,585 |
Effective September 1, 2019, if at any time a Portfolio’s total annual Portfolio operating expenses for a year are less than the Expense Cap, the Adviser is entitled to reimbursement by the Portfolio of the advisory fees forgone and other payments remitted by the Adviser to the Portfolio within three years from the date on which such waiver or reimbursement was made, provided such reimbursement does not cause the Portfolio to exceed the Expense Cap that was in effect at the time of the waiver or reimbursement. As of the end of the reporting period, the Portfolios had no amounts available for recoupment.
U.S. Bancorp Fund Services, LLC (“Fund Services”), doing business as U.S. Bank Global Fund Services serves as administrator for the Portfolios. For providing administrative and accounting services, Fund Services is entitled to receive a monthly fee, subject to certain minimum and out of pocket expenses.
Fund Services serves as the Portfolios’ transfer and dividend disbursing agent. For providing transfer agent services, Fund Services is entitled to receive a monthly fee, subject to certain minimum and out of pocket expenses.
U.S. Bank, N.A. (the “Custodian”) provides certain custodial services to the Portfolios. The Custodian is entitled to receive a monthly fee, subject to certain minimum and out of pocket expenses.
Effective as of January 4, 2021, Herald Investment Marketing, LLC (the “Distributor”), an affiliate of Vigilant Compliance, LLC, serves as the principal underwriter and distributor of the Funds’ shares pursuant to a Distribution Agreement with RBB. Prior to January 4, 2021, Quasar Distributors, LLC, a wholly-owned broker-dealer subsidiary of Foreside Financial Group, LLC, served as the principal underwriter and distributor of the Funds’ shares pursuant to a Distribution Agreement with RBB.
For compensation amounts paid to Fund Services and the Custodian, please refer to the Statements of Operations.
3. | Director and Officer Compensation |
The Directors of the Company receive an annual retainer and meeting fees for meetings attended. An employee of Vigilant Compliance, LLC serves as President and Chief Compliance Officer of the Company. Vigilant Compliance, LLC is compensated for the services provided to the Company. Employees of RBB serve as Treasurer, Secretary and Director of Marketing & Business Development of the Company. They are compensated for services provided. Certain employees of Fund Services serve as officers of the Company. They are not compensated by the Portfolios or the Company. For Director and Officer compensation amounts, please refer to the Statements of Operations.
21
MATSON MONEY VI PORTFOLIOS
Notes to Financial Statements (CONTINUED)
FEBRUARY 28, 2021
(UNAUDITED)
4. | Purchases and Sales of Investment Securities |
During the current fiscal period, aggregate purchases and sales of investment securities (excluding short-term investments) of the Portfolios were as follows:
PURCHASES | SALES | |||||||
Matson Money U.S. Equity VI Portfolio | $ | 1,492,408 | $ | 4,456,739 | ||||
Matson Money International Equity VI Portfolio | 989,682 | 2,324,932 | ||||||
Matson Money Fixed Income VI Portfolio | 3,671,559 | 471,182 |
There were no purchases or sales of long-term U.S. Government securities during the current fiscal period.
5. | Federal Income Tax Information |
The Portfolios have followed the authoritative guidance on accounting for and disclosure of uncertainty in tax positions, which requires the Portfolios to determine whether a tax position is more likely than not to be sustained upon examination, including resolution of any related appeals or litigation processes, based on the technical merits of the position. The Portfolios have determined that there was no effect on the financial statements from following this authoritative guidance. In the normal course of business, the Portfolios are subject to examination by federal, state and local jurisdictions, where applicable, for tax years for which applicable statutes of limitations have not expired.
As of August 31, 2020, the federal tax cost and aggregate gross unrealized appreciation and depreciation of investments held by each Portfolio were as follows:
FEDERAL TAX | UNREALIZED | UNREALIZED | NET | |||||||||||||
Matson Money U.S. Equity VI Portfolio | $ | 26,196,546 | $ | 1,702,924 | $ | (2,843,136 | ) | $ | (1,140,212 | ) | ||||||
Matson Money International Equity VI Portfolio | 20,816,240 | 537,482 | (2,790,415 | ) | (2,252,933 | ) | ||||||||||
Matson Money Fixed Income VI Portfolio | 26,715,959 | 725,803 | (85,559 | ) | 640,244 |
Distributions to shareholders from net investment income and realized gains are determined in accordance with federal income tax regulations, which may differ from net investment income and realized gains recognized for financial reporting purposes. Accordingly, the character of distributions and composition of net assets for tax purposes may differ from those reflected in the accompanying financial statements. To the extent these differences are permanent, such amounts are reclassified within the capital accounts based on the tax treatment; temporary differences do not require such reclassification.
As of August 31, 2020, there were no permanent differences between distributable earning/(loss) and paid-in capital, respectively.
As of August 31, 2020, the components of distributable earnings on a tax basis were as follows:
Undistributed | Undistributed | Capital Loss | Net | |||||||||||||
Matson Money U.S. Equity VI Portfolio | $ | 33,184 | $ | 792,952 | $ | — | $ | (1,140,212 | ) | |||||||
Matson Money International Equity VI Portfolio | 20,767 | 136,501 | — | (2,252,933 | ) | |||||||||||
Matson Money Fixed Income VI Portfolio | 120,028 | — | (30,726 | ) | 640,244 |
22
MATSON MONEY VI PORTFOLIOS
Notes to Financial Statements (concluded)
FEBRUARY 28, 2021
(UNAUDITED)
The differences between the book and tax basis components of distributable earnings relate primarily to the timing of recognition of income and gains for federal income tax purposes. Short-term and foreign currency gains, if applicable, are reported as ordinary income for federal income tax purposes.
The Portfolios are permitted to carry forward capital losses for an unlimited period. Capital losses that are carried forward will retain their character as either short-term or long-term capital losses. As of August 31, 2020, the Matson Money Fixed Income VI Portfolio had $30,726 in capital loss carryforwards.
The tax character of distributions paid during the fiscal years ended August 31, 2020 was as follows:
ORDINARY | LONG-TERM | TOTAL | ||||||||||
Matson Money U.S. Equity VI Portfolio | $ | 221,900 | $ | 1,274,710 | $ | 1,496,610 | ||||||
Matson Money International Equity VI Portfolio | 428,978 | 463,929 | 892,907 | |||||||||
Matson Money Fixed Income VI Portfolio | 496,143 | — | 496,143 |
Distributions from net investment income and short-term capital gains are treated as ordinary income for federal income tax purposes.
6. | Subsequent Events |
Management has evaluated the impact of all subsequent events on the Funds through the date the financial statements were issued and has determined there was the following subsequent event:
Effective March 11, 2021, the Distributor, Herald Investment Marketing, LLC, changed its name to Vigilant Distributors, LLC.
23
MATSON MONEY VI PORTFOLIOS
Other Information
(Unaudited)
Proxy Voting
Policies and procedures that the Portfolios use to determine how to vote proxies relating to portfolio securities as well as information regarding how the Portfolios voted proxies relating to portfolio securities for the most recent twelve-month period ended June 30 are available without charge, upon request, by calling Matson Money VI Portfolios at (866) 780-0357, ext. 3863 and on the Securities and Exchange Commission’s (“SEC”) website at http://www.sec.gov.
Quarterly Portfolio Schedules
The Company files a complete schedule of portfolio holdings with the SEC for the first and third fiscal quarters of each fiscal year (quarters ended November 30 and May 31) as an exhibit to its report on Form N-PORT. The Company’s Form N-PORT is available on the SEC’s website at http://www.sec.gov.
24
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Investment Adviser
Matson Money, Inc.
5955 Deerfield Blvd.
Mason, OH 45040
Administrator and Transfer Agent
U.S. Bancorp Fund Services, LLC
P.O. Box 701
Milwaukee, WI 53201
Principal Underwriter
Herald Investment Marketing, LLC
Gateway Corporate Center, Suite 216
223 Wilmington West Chester Pike
Chadds Ford, PA 19317
Custodian
U.S. Bank, N.A.
1555 North Rivercenter Drive, Suite 302
Milwaukee, WI 53212
Independent Registered Public Accounting Firm
PricewaterhouseCoopers LLP
Two Commerce Square, Suite 1800
2001 Market Street
Philadelphia, PA 19103-7042
Legal Counsel
Faegre Drinker Biddle & Reath LLP
One Logan Square, Suite 2000
Philadelphia, PA 19103-6996
MMFI-SAR21
SEMI-ANNUAL
report 2021
MFAM Funds
Series of The RBB Fund, Inc.
2/28/21
(UNAUDITED)
MFAM Global Opportunities Fund | |
MFAM Mid-Cap Growth Fund |
MFAM Global Opportunities Fund (FOOLX)
|
MFAM Mid-Cap Growth Fund (TMFGX)
|
Table of Contents |
Portfolio Characteristics | 1 |
Fund Expense Examples | 6 |
Schedules of Investments | 8 |
Financial Statements | 15 |
Notes to Financial Statements | 25 |
Notice to Shareholders | 37 |
Liquidity Risk Management Program | 38 |
MFAM Global Opportunities Fund
Portfolio Characteristics
(Unaudited)
Average Annual Total Returns for the periods ended February 28, 2021 | ||||||
Six | One | Five | TEN | Since | Inception | |
Investor Shares* | 17.37% | 45.47% | 20.65% | 12.52% | 14.83% | 6/16/2009 |
Institutional Shares* | 17.39% | 45.57% | 20.80% | N/A | 13.77% | 6/17/2014 |
FTSE Global All Cap Net Tax Index** | 14.80% | 31.14% | 14.68% | 9.24% | —(1) | — |
Fund Expense Ratios(2): Investor Shares: Gross 1.09% and Net 1.09%; Institutional Shares: Gross 1.00% and Net 0.95% |
The performance data quoted represents past performance and does not guarantee future results. Current performance may be lower or higher. Performance data current to the most recent month-end may be obtained at www.mfamfunds.com. The investment return and principal value of an investment will fluctuate so that shares, when redeemed, may be worth more or less than their original cost.
† | Not annualized. |
(1) | The index returned 11.65% from the inception date of the Investor Shares and 9.12% from the inception date of the Institutional Shares. |
(2) | The expense ratios of the Fund are set forth according to the December 31, 2020 Prospectus for the Fund and may differ from the expense ratios disclosed in the Financial Highlights tables in this report. See the Financial Highlights for more current expense ratios. |
* | The MFAM Global Opportunities Fund operated as a series of The Motley Fool Funds Trust (the “Predecessor Fund”) prior to December 21, 2016 at which time the Predecessor Fund was reorganized into the Fund. The performance shown for periods prior to December 21, 2016 represents the performance of the Predecessor Fund. These returns reflect expense waivers by the Fund’s investment adviser. Without these waivers, returns would have been lower. |
** | The FTSE Global All Cap Net Tax Index is a market-capitalization weighted index representing the performance of large, mid and small cap companies in Developed and Emerging markets. The index is comprised of approximately 7,900 securities from 49 countries and captures 98% of the world’s investable market capitalization. Fair value prices and foreign exchange as of 4 pm ET are used in the calculation of this index, and returns are adjusted for withholding taxes applicable to dividends received by a U.S. Regulated Investment Company domiciled in the United States. The index is unmanaged and not available for direct investments. Its performance does not reflect deductions for fees, expenses or taxes. |
1 |
MFAM Global Opportunities Fund
Portfolio Characteristics (Continued)
(Unaudited)
The investment objective of the MFAM Global Opportunities Fund is to achieve long-term capital appreciation, and it pursues this objective by investing primarily in common stocks of companies located anywhere in the world. The Fund seeks long-term growth by identifying and acquiring securities of companies that are, in the view of Motley Fool Asset Management, LLC (the “Adviser”), high quality. To identify these high-quality businesses, the Adviser engages in research to evaluate each company under consideration using four criteria: management, culture, and incentives; the economics of the business; competitive advantage; and trajectory. The Adviser’s approach prizes a long-term mindset and a balance of qualitative and quantitative factors.
The Fund will invest in areas of the market, that, in the view of the Adviser, offer the greatest potential for long-term capital appreciation, and it does not attempt to match the allocations of its benchmark. As such, significant deviation from the benchmark is expected from time to time, especially over shorter time frames.
The allocations to various sectors, countries, or any other macro-economic designation, are the byproduct of rigorous bottom-up analysis rather than an intentional top-down opinion of asset classes. While market conditions are constantly changing, exposure to equity market risk is needed to consistently achieve equity-like returns.
The following tables show the top ten holdings, sector allocations, and top ten countries in which the Fund was invested in as of February 28, 2021. Portfolio holdings are subject to change without notice.
Top Ten Holdings | % OF NET |
MercadoLibre, Inc. | 6.3% |
Amazon.com, Inc. | 5.6 |
Mastercard, Inc., Class A | 4.8 |
Atlassian Corp., PLC, Class A | 4.7 |
Axon Enterprise, Inc. | 3.9 |
Medtronic PLC | 3.8 |
Taiwan Semiconductor Manufacturing Co., Ltd., SP ADR | 3.7 |
PayPal Holdings, Inc. | 3.6 |
Watsco, Inc. | 3.5 |
Tencent Holding Ltd. | 3.1 |
43.0% |
2 |
MFAM Global Opportunities Fund
Portfolio Characteristics (Concluded)
(Unaudited)
The MFAM Global Opportunities Fund uses the Global Industry Classification StandardSM (“GICS SM”) as the basis for the classification of securities on the Schedule of Investments (“SOI”).
Sector Allocation | % OF Net |
Information Technology | 28.5% |
Consumer Discretionary | 19.6 |
Communication Services | 15.8 |
Industrials | 11.6 |
Financials | 7.1 |
Health Care | 6.8 |
Real Estate | 6.6 |
Consumer Staples | 1.2 |
97.2% |
Top ten Countries | % OF Net |
United States* | 54.6% |
China | 6.9 |
Argentina | 6.3 |
Ireland | 4.8 |
Australia | 4.7 |
Taiwan | 3.7 |
Japan | 3.6 |
France | 2.9 |
India | 2.6 |
Canada | 2.6 |
92.7% |
* | As of the date of this report, the Fund had a holding of 2.9% in the U.S. Bank Money Market Deposit Account. |
3 |
MFAM Mid-Cap Growth Fund
Portfolio Characteristics
(Unaudited)
Average Annual Total Returns for the periods ended February 28, 2021 | ||||||
Six | One | Five | TEN | Since | Inception | |
Investor Shares* | 14.02% | 35.71% | 18.16% | 13.18% | 14.52% | 11/1/2010 |
Institutional Shares* | 14.07% | 35.88% | 18.37% | N/A | 12.85% | 6/17/2014 |
Russell Midcap® Growth Index** | 18.96% | 46.25% | 20.49% | 14.52% | —(1) | — |
Fund Expense Ratios(2): Investor Shares: Gross 1.10% and Net 1.10%; Institutional Shares: Gross 1.00% and Net 0.95% |
The performance data quoted represents past performance and does not guarantee future results. Current performance may be lower or higher. Performance data current to the most recent month-end may be obtained at www.mfamfunds.com. The investment return and principal value of an investment will fluctuate so that shares, when redeemed, may be worth more or less than their original cost.
† | Not annualized. |
(1) | The index returned 15.73% from the inception date of the Investor Shares and 14.88% from the inception date of the Institutional Shares. |
(2) | The expense ratios of the Fund are set forth according to the December 31, 2020 Prospectus for the Fund and may differ from the expense ratios disclosed in the Financial Highlights tables in this report. See the Financial Highlights for more current expense ratios. |
* | The MFAM Mid-Cap Growth Fund operated as a series of The Motley Fool Funds Trust (the “Predecessor Fund”) prior to December 21, 2016 at which time the Predecessor Fund was reorganized into the Fund. The performance shown for periods prior to December 21, 2016 represents the performance of the Predecessor Fund. These returns reflect expense waivers by the Fund’s investment adviser. Without these waivers, returns would have been lower. |
** | The Russell Midcap® Growth Index measures the performance of the mid-cap growth segment of the U.S. equity universe. It includes those Russell Midcap® Index companies with higher price-to-book ratios and higher forecasted growth values. The Russell Midcap® Growth Index is constructed to provide a comprehensive and unbiased barometer of the mid-cap growth market. The Index is completely reconstituted annually to ensure larger stocks do not distort the performance and characteristics of the true mid-cap growth market. |
The investment objective of the MFAM Mid-Cap Growth Fund is to achieve long-term capital appreciation, and it pursues this objective by investing primarily in common stocks of companies organized in the United States. The Fund seeks long-term growth by identifying and acquiring securities of companies that are, in the view of the Adviser, high quality. To identify these high-quality businesses, the Adviser engages in research to evaluate each company under consideration using four criteria: management, culture, and incentives; the economics of the business; competitive advantage; and trajectory. The Adviser’s approach prizes a long-term mindset and a balance of qualitative and quantitative factors.
The Fund will invest in areas of the market, that, in the view of the Adviser, offer the greatest potential for long-term capital appreciation, and it does not attempt to match the allocations of its benchmark. As such, significant deviation from the benchmark is expected from time to time, especially over shorter time frames.
The allocations to various sectors, or any other macro-economic designation, are the byproduct of rigorous bottom-up analysis rather than an intentional top-down opinion of asset classes. While market conditions are constantly changing, exposure to equity market risk is needed to consistently achieve equity-like returns. The Adviser views its time as best spent focused on evaluating businesses and seeking to minimize company-specific risk in order to pursue its objective of long-term capital appreciation.
Although the MFAM Mid-Cap Growth Fund may invest in companies with any market capitalization, the Adviser expects that investments in the securities of companies having smaller- and mid-market capitalizations will be important components of the Fund’s investment program. Investments in securities of these companies may involve greater risk than do investments in larger, more established companies. Small- and mid-cap stocks tend to be more volatile and less liquid than their large-cap counterparts.
The following tables show the top ten holdings, and sector allocations in which the Fund was invested in as of February 28, 2021.Portfolio holdings are subject to change without notice.
4 |
MFAM Mid-Cap Growth Fund
Portfolio Characteristics (Concluded)
(Unaudited)
5 |
Top ten Holdings | % OF Net |
Watsco, Inc. | 5.0% |
Cooper Companies, Inc. (The) | 4.9 |
Teladoc, Inc. | 4.9 |
Axon Enterprise, Inc. | 4.7 |
Tyler Technologies, Inc. | 4.2 |
Jones Lang LaSalle, Inc. | 4.0 |
Alarm.com Holdings, Inc. | 3.8 |
XPO Logistics, Inc. | 3.7 |
SBA Communications Corp. | 3.6 |
Everbridge, Inc. | 3.6 |
42.4% |
The MFAM Mid-Cap Growth Fund uses the Global Industry Classification StandardSM (“GICS SM”) as the basis for the classification of securities on the Schedule of Investments (“SOI”).
Sector Allocation | % OF Net |
Information Technology | 28.5% |
Health Care | 19.5 |
Industrials | 17.1 |
Consumer Discretionary | 10.2 |
Real Estate | 9.6 |
Financials | 8.8 |
Communication Services | 3.1 |
96.8% |
mfam Funds
Fund Expense Examples
February 28, 2021 (Unaudited)
As a shareholder of the Fund(s), you incur two types of costs: (1) transaction costs, and (2) ongoing costs, including advisory fees and other Fund expenses. These examples are intended to help you to understand your ongoing costs (in dollars) of investing in the Fund(s) and to compare these costs with the ongoing costs of investing in other mutual funds.
These examples are based on an investment of $1,000 invested at the beginning of the six-month period from September 1, 2020 to February 28, 2021, and held for the entire period.
Actual Expenses
The first section of the accompanying tables provide information about actual account values and actual expenses. You may use the information in this section, together with the amount you invested, to estimate the expenses that you incurred over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first section under the heading entitled “Expenses Paid During Period” to estimate the expenses attributable to your investment during this period.
Hypothetical EXAMPLES for Comparison Purposes
The second section of the accompanying tables provide information about hypothetical account values and hypothetical expenses based on each Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. Thus, you should not use the hypothetical account values and expenses to estimate the actual ending account balance or your expenses for the period. Rather, these figures are provided to enable you to compare the ongoing costs of investing in the Fund as compared to the costs of investing in other funds. To do so, compare these 5% hypothetical examples with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the accompanying tables are meant to highlight your ongoing costs only and do not reflect any transactional costs. Therefore, the second section of the accompanying tables are useful in comparing ongoing costs only and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
Do you know how many times a fund, or the market, has returned a smooth 5% over a long period of time? Never. But we have to pick some example. In reality, the market’s returns are always far bumpier, with the market returning 20% one year, followed by a loss of 10% the next year, followed by a 3% gain, etc. These variations affect actual expenses as well. Happily, over almost all time periods of 20 years or longer, according to the research of University of Pennsylvania’s Jeremy Siegel and others, the domestic market’s returns have been at least 5% per year on average. |
| Beginning | Ending | Expenses | Annualized | Actual |
MFAM Global Opportunities Fund | |||||
Actual | |||||
Investor Shares | $ 1,000.00 | $ 1,173.70 | $5.50 | 1.02% | 17.37% |
Institutional Shares | 1,000.00 | 1,173.90 | 5.12 | 0.95 | 17.39 |
Hypothetical (5% return before expenses) | |||||
Investor Shares | $ 1,000.00 | $ 1,019.74 | $5.11 | 1.02% | N/A |
Institutional Shares | 1,000.00 | 1,020.08 | 4.76 | 0.95 | N/A |
6 |
mfam Funds
Fund Expense Examples (Concluded)
February 28, 2021 (Unaudited)
| Beginning | Ending | Expenses | Annualized | Actual |
MFAM Mid-Cap Growth Fund | |||||
Actual | |||||
Investor Shares | $ 1,000.00 | $ 1,140.20 | $5.52 | 1.04% | 14.02% |
Institutional Shares | 1,000.00 | 1,140.70 | 5.04 | 0.95 | 14.07 |
Hypothetical (5% return before expenses) | |||||
Investor Shares | $ 1,000.00 | $ 1,019.64 | $5.21 | 1.04% | N/A |
Institutional Shares | 1,000.00 | 1,020.08 | 4.76 | 0.95 | N/A |
(1) | Expenses are equal to each Fund’s annualized expense ratio for the period September 1, 2020 to February 28, 2021, multiplied by the average account value over the period, multiplied by the number of days (181) in the most recent fiscal half-year, then divided by 365 to reflect the one-half year period. Each Fund’s ending account value in the first section of the tables are based on the actual six-month total investment return for the Fund. |
(2) | These ratios reflect expenses waived by the Funds’ investment adviser. Without these waivers, the Funds’ expenses would have been higher and the ending account values would have been lower. |
7 |
MFAM Global Opportunities Fund
Schedule of Investments
February 28, 2021 (Unaudited)
| Number of | Value | ||||||
| ||||||||
Common Stocks — 97.1% | ||||||||
Aerospace & Defense — 3.9% | ||||||||
Axon Enterprise, Inc. (United States)* | 150,000 | $ | 24,823,500 | |||||
Banks — 3.3% | ||||||||
Bank of Georgia Group PLC (Georgia)* | 293,132 | 4,059,465 | ||||||
HDFC Bank., Ltd., ADR (India) | 210,700 | 16,674,798 | ||||||
20,734,263 | ||||||||
Biotechnology — 1.0% | ||||||||
Ultragenyx Pharmaceutical, Inc. (United States)* | 45,000 | 6,369,300 | ||||||
Capital Markets — 2.9% | ||||||||
Brookfield Asset Management, Inc., Class A (Canada) | 400,000 | 16,140,000 | ||||||
Georgia Capital PLC (Georgia)* | 310,817 | 2,186,809 | ||||||
18,326,809 | ||||||||
Consumer Finance — 0.9% | ||||||||
Gentera SAB de CV (Mexico)* | 11,939,872 | 5,981,065 | ||||||
Electronic Equipment, Instruments & Components — 2.7% | ||||||||
IPG Photonics Corp. (United States)* | 72,000 | 16,369,200 | ||||||
Lagercrantz Group AB, Class B (Sweden) | 54,641 | 455,563 | ||||||
16,824,763 | ||||||||
Entertainment — 2.9% | ||||||||
Vivendi SA (France) | 525,000 | 18,171,399 | ||||||
Equity Real Estate Investment Trusts (REITs) — 5.0% | ||||||||
American Tower Corp. (United States) | 45,000 | 9,725,850 | ||||||
Equinix, Inc. (United States) | 20,000 | 12,966,800 | ||||||
SBA Communications Corp. (United States) | 35,500 | 9,057,115 | ||||||
31,749,765 | ||||||||
Food & Staples Retailing — 1.2% | ||||||||
Costco Wholesale Corp. (United States) | 23,000 | 7,613,000 | ||||||
Health Care Equipment & Supplies — 4.8% | ||||||||
Medtronic PLC (Ireland) | 205,272 | 24,010,666 | ||||||
ResMed, Inc. (United States) | 32,000 | 6,168,960 | ||||||
30,179,626 |
See Notes to Financial Statements.
8 |
MFAM Global Opportunities Fund
Schedule of Investments (continued)
February 28, 2021 (Unaudited)
| Number of | Value | ||||||
| ||||||||
Common Stocks (continued) | ||||||||
Health Care Providers & Services — 0.0% | ||||||||
NMC Health PLC (United Arab Emirates)(b)* | 485,482 | $ | 243,495 | |||||
Hotels, Restaurants & Leisure — 4.2% | ||||||||
Starbucks Corp. (United States) | 155,000 | 16,744,650 | ||||||
Yum China Holdings, Inc. (China) | 160,751 | 9,619,340 | ||||||
26,363,990 | ||||||||
Interactive Media & Services — 6.0% | ||||||||
Alphabet, Inc., Class C (United States)* | 9,024 | 18,380,625 | ||||||
Tencent Holding Ltd. (China) | 225,600 | 19,626,526 | ||||||
38,007,151 | ||||||||
Internet & Direct Marketing Retail — 14.0% | ||||||||
Alibaba Group Holding Ltd., SP ADR (China)* | 60,000 | 14,265,600 | ||||||
Amazon.com, Inc. (United States)* | 11,400 | 35,259,402 | ||||||
MercadoLibre, Inc. (Argentina)* | 24,387 | 39,948,588 | ||||||
89,473,590 | ||||||||
IT Services — 8.4% | ||||||||
Mastercard, Inc., Class A (United States) | 86,000 | 30,431,100 | ||||||
PayPal Holdings, Inc. (United States)* | 87,900 | 22,840,815 | ||||||
53,271,915 | ||||||||
Life Sciences Tools & Services — 1.0% | ||||||||
ICON PLC (Ireland)*ADR | 35,000 | 6,323,800 | ||||||
Machinery — 0.6% | ||||||||
Fanuc Corp. (Japan) | 16,000 | 3,998,511 | ||||||
Media — 3.8% | ||||||||
Cardlytics, Inc. (United States)*(a) | 75,000 | 9,932,250 | ||||||
Comcast Corp., Class A (United States) | 235,000 | 12,389,200 | ||||||
System1 Group PLC (United Kingdom)* | 645,000 | 1,684,906 | ||||||
24,006,356 | ||||||||
Multiline Retail — 1.3% | ||||||||
Mitra Adiperkasa Tbk PT (Indonesia)* | 146,430,000 | 8,258,932 | ||||||
Real Estate Management & Development — 1.5% | ||||||||
Jones Lang LaSalle, Inc. (United States)* | 56,000 | 9,742,880 |
See Notes to Financial Statements.
9 |
MFAM Global Opportunities Fund
Schedule of Investments (continued)
February 28, 2021 (Unaudited)
| Number of | Value | ||||||
| ||||||||
Common Stocks (continued) | ||||||||
Semiconductors & Semiconductor Equipment — 3.7% | ||||||||
Taiwan Semiconductor Manufacturing Co., Ltd., SP ADR (Taiwan) | 183,900 | $ | 23,160,366 | |||||
Software — 13.8% | ||||||||
Atlassian Corp., PLC, Class A (Australia)* | 126,000 | 29,950,200 | ||||||
Avalara, Inc. (United States)* | 40,000 | 6,277,600 | ||||||
Douzone Bizon Co., Ltd. (South Korea) | 124,798 | 12,190,789 | ||||||
Everbridge, Inc. (United States)*(a) | 113,500 | 17,391,605 | ||||||
Paycom Software, Inc. (United States)* | 37,000 | 13,846,880 | ||||||
Splunk, Inc. (United States)* | 52,000 | 7,436,520 | ||||||
87,093,594 | ||||||||
Trading Companies & Distributors — 5.3% | ||||||||
Fastenal Co. (United States) | 248,000 | 11,499,760 | ||||||
Watsco, Inc. (United States)(a) | 90,000 | 21,879,000 | ||||||
33,378,760 | ||||||||
Transportation Infrastructure — 1.7% | ||||||||
International Container Terminal Services, Inc. (Philippines) | 4,395,000 | 10,863,464 | ||||||
Wireless Telecommunication Services — 3.2% | ||||||||
Safaricom Ltd., PLC (Kenya) | 4,000,000 | 1,412,147 | ||||||
SoftBank Group Corp. (Japan) | 200,000 | 18,665,899 | ||||||
20,078,046 | ||||||||
Total Common Stocks (Cost $274,020,791) | 615,038,340 | |||||||
Investments Purchased with Proceeds from Securities Lending Collateral — 7.1% | ||||||||
Mount Vernon Liquid Assets Portfolio, LLC, 0.13% | 44,871,367 | 44,871,367 | ||||||
Total Investments Purchased with Proceeds from Securities Lending Collateral (Cost $44,871,367) | 44,871,367 | |||||||
See Notes to Financial Statements.
10 |
MFAM Global Opportunities Fund
Schedule of Investments (concluded)
February 28, 2021 (Unaudited)
| Number of | Value | ||||||
| ||||||||
Short-Term Investments — 2.9% | ||||||||
U.S. Bank Money Market Deposit Account, 0.01% (United States)(c) | 18,073,072 | $ | 18,073,072 | |||||
Total Short-Term Investments (Cost $18,073,072) | 18,073,072 | |||||||
Total Investments (Cost $336,965,230) — 107.1% | 677,982,779 | |||||||
Liabilities in Excess of Other Assets — (7.1)% | (45,105,499 | ) | ||||||
NET ASSETS — 100.0% | ||||||||
(Applicable to 19,126,162 shares outstanding) | $ | 632,877,280 |
* | Non-income producing security. |
ADR — American Depositary Receipt
PLC — Public Limited Company
SP ADR — Sponsored ADR
(a) | All or a portion of the security is on loan. At February 28, 2021, the market value of securities on loan was $43,649,496. |
(b) | Security has been valued at fair market value using significant unobservable inputs as determined in good faith by or under the direction of The RBB Fund, Inc.’s Board of Directors. As of February 28, 2021, these securities amounted to $243,495 or 0.0% of net assets. |
(c) | The rate shown is as of February 28, 2021. |
See Notes to Financial Statements.
11 |
MFAM Mid-Cap Growth Fund
Schedule of Investments
February 28, 2021 (Unaudited)
| Number of | Value | ||||||
| ||||||||
Common Stocks — 96.8% | ||||||||
Aerospace & Defense — 4.7% | ||||||||
Axon Enterprise, Inc. (United States)* | 90,000 | $ | 14,894,100 | |||||
Air Freight & Logistics — 3.7% | ||||||||
XPO Logistics, Inc. (United States)* | 100,000 | 11,660,000 | ||||||
Auto Components — 6.3% | ||||||||
Gentex Corp. (United States) | 300,000 | 10,614,000 | ||||||
LCI Industries (United States) | 65,414 | 9,219,449 | ||||||
19,833,449 | ||||||||
Automobiles — 2.7% | ||||||||
Thor Industries, Inc. (United States)(a) | 72,500 | 8,486,850 | ||||||
Banks — 2.9% | ||||||||
SVB Financial Group (United States)* | 18,000 | 9,096,480 | ||||||
Biotechnology — 1.9% | ||||||||
Ultragenyx Pharmaceutical, Inc. (United States)* | 42,000 | 5,944,680 | ||||||
Electronic Equipment, Instruments & Components — 3.5% | ||||||||
IPG Photonics Corp. (United States)* | 49,500 | 11,253,825 | ||||||
Equity Real Estate Investment Trusts (REITs) — 5.6% | ||||||||
SBA Communications Corp. (United States) | 45,000 | 11,480,850 | ||||||
STAG Industrial, Inc. (United States) | 195,000 | 6,152,250 | ||||||
17,633,100 | ||||||||
Health Care Equipment & Supplies — 8.0% | ||||||||
Cooper Companies, Inc. (The) (United States) | 40,400 | 15,599,652 | ||||||
ResMed, Inc. (United States) | 50,500 | 9,735,390 | ||||||
25,335,042 | ||||||||
Health Care Providers & Services — 2.5% | ||||||||
HealthEquity, Inc. (United States)*(a) | 95,000 | 7,823,250 | ||||||
Health Care Technology — 7.2% | ||||||||
Cerner Corp. (United States) | 105,000 | 7,259,700 | ||||||
Teladoc, Inc. (United States)*(a) | 70,000 | 15,476,300 | ||||||
22,736,000 |
See Notes to Financial Statements.
12 |
MFAM Mid-Cap Growth Fund
Schedule of Investments (continued)
February 28, 2021 (Unaudited)
| Number of | Value | ||||||
| ||||||||
Common Stocks (continued) | ||||||||
Insurance — 6.0% | ||||||||
Brown & Brown, Inc. (United States)(a) | 200,000 | $ | 9,180,000 | |||||
Markel Corp. (United States)* | 8,900 | 9,690,320 | ||||||
18,870,320 | ||||||||
IT Services — 2.5% | ||||||||
Broadridge Financial Solutions, Inc. (United States) | 55,000 | 7,836,950 | ||||||
Machinery — 0.9% | ||||||||
Proto Labs, Inc. (United States)*(a) | 20,000 | 2,913,600 | ||||||
Media — 3.1% | ||||||||
Cardlytics, Inc. (United States)*(a) | 75,000 | 9,932,250 | ||||||
Real Estate Management & Development — 4.0% | ||||||||
Jones Lang LaSalle, Inc. (United States)* | 73,500 | 12,787,530 | ||||||
Software — 22.3% | ||||||||
Alarm.com Holdings, Inc. (United States)* | 136,902 | 12,030,948 | ||||||
Avalara, Inc. (United States)* | 44,000 | 6,905,360 | ||||||
Everbridge, Inc. (United States)*(a) | 74,500 | 11,415,635 | ||||||
Paycom Software, Inc. (United States)* | 22,400 | 8,382,976 | ||||||
Paylocity Holding Corp. (United States)* | 49,241 | 9,414,387 | ||||||
Splunk, Inc. (United States)* | 68,000 | 9,724,680 | ||||||
Tyler Technologies, Inc. (United States)* | 28,400 | 13,161,128 | ||||||
71,035,114 | ||||||||
Specialty Retail — 1.2% | ||||||||
Tractor Supply Co. (United States) | 24,800 | 3,942,208 | ||||||
Trading Companies & Distributors — 7.8% | ||||||||
Fastenal Co. (United States) | 193,500 | 8,972,595 | ||||||
Watsco, Inc. (United States) | 65,000 | 15,801,500 | ||||||
24,774,095 | ||||||||
Total Common Stocks (Cost $146,685,658) | 306,788,843 | |||||||
Investments Purchased with Proceeds from Securities Lending Collateral — 11.5% | ||||||||
Mount Vernon Liquid Assets Portfolio, LLC, 0.13% | 36,332,013 | 36,332,013 | ||||||
Total Investments Purchased with Proceeds from Securities Lending Collateral (Cost $36,332,013) | 36,332,013 | |||||||
See Notes to Financial Statements.
13 |
MFAM Mid-Cap Growth Fund
Schedule of Investments (concluded)
February 28, 2021 (Unaudited)
| Number of | Value | ||||||
| ||||||||
Short-Term Investments — 3.2% | ||||||||
U.S. Bank Money Market Deposit Account, 0.01% (United States)(b) | 10,249,581 | $ | 10,249,581 | |||||
Total Short-Term Investments (Cost $10,249,581) | 10,249,581 | |||||||
Total Investments (Cost $193,267,252) — 111.5% | 353,370,437 | |||||||
Liabilities in Excess of Other Assets — (11.5)% | (36,563,953 | ) | ||||||
NET ASSETS — 100.0% | ||||||||
(Applicable to 10,515,383 shares outstanding) | $ | 316,806,484 |
* | Non-income producing security. |
(a) | All or a portion of the security is on loan. At February 28, 2021, the market value of securities on loan was $35,622,686. |
(b) | The rate shown is as of February 28, 2021. |
See Notes to Financial Statements.
14 |
MFAM Funds
STATEMENTS of Assets and Liabilities
February 28, 2021 (Unaudited)
| MFAM | MFAM | ||||||
ASSETS | ||||||||
Investments in securities of unaffiliated issuers, at value^ (cost $274,020,791 and $146,685,658 respectively) | $ | 615,038,340 | $ | 306,788,843 | ||||
Investments purchased with proceeds from securities lending collateral (cost $44,871,367 and $36,332,013 respectively) | 44,871,367 | 36,332,013 | ||||||
Short-term investments, at value (cost $18,073,072 and $10,249,581 and respectively) | 18,073,072 | 10,249,581 | ||||||
Receivables for: | ||||||||
Dividends and tax reclaims | 467,401 | 113,409 | ||||||
Investments sold | 192,995 | — | ||||||
Shares of beneficial interest sold | 144,289 | 121,966 | ||||||
Prepaid expenses and other assets | 28,077 | 23,682 | ||||||
Total assets | 678,815,541 | 353,629,494 | ||||||
LIABILITIES | ||||||||
Payables for: | ||||||||
Securities lending collateral (see Note 6) | 44,871,367 | 36,332,013 | ||||||
Advisory fees | 423,616 | 214,047 | ||||||
Shares of beneficial interest redeemed | 389,041 | 120,790 | ||||||
Shareholder service fee | 196,521 | 101,244 | ||||||
Other accrued expenses and liabilities | 57,716 | 54,916 | ||||||
Total liabilities | 45,938,261 | 36,823,010 | ||||||
Net assets | $ | 632,877,280 | $ | 316,806,484 | ||||
NET ASSETS CONSIST OF: | ||||||||
Par value | $ | 19,126 | $ | 10,515 | ||||
Paid-in-capital | 279,149,295 | 141,924,146 | ||||||
Total distributable earnings/(losses) | 353,708,859 | 174,871,823 | ||||||
Net assets | $ | 632,877,280 | $ | 316,806,484 | ||||
NET ASSET VALUE: | ||||||||
Investor Shares: | ||||||||
Net assets applicable to capital shares outstanding | $ | 476,661,846 | $ | 269,051,774 | ||||
Shares outstanding ($0.001 par value, 100,000,000 shares authorized) | 14,424,434 | 8,946,873 | ||||||
Net asset value, offering and redemption price per share | $ | 33.05 | $ | 30.07 | ||||
Institutional Shares: | ||||||||
Net assets applicable to capital shares outstanding | $ | 156,215,434 | $ | 47,754,710 | ||||
Shares outstanding ($0.001 par value, 100,000,000 shares authorized) | 4,701,728 | 1,568,510 | ||||||
Net asset value, offering and redemption price per share | $ | 33.23 | $ | 30.45 | ||||
^ Includes market value of securities on loan | $ | 43,649,496 | $ | 35,622,686 |
The accompanying notes are an integral part of these financial statements.
15 |
MFAM Funds
Statements of Operations
for the Six Months ended February 28, 2021 (Unaudited)
| MFAM | MFAM | ||||||
INVESTMENT INCOME | ||||||||
Dividends | $ | 2,131,761 | $ | 1,091,444 | ||||
Less foreign taxes withheld | (71,033 | ) | — | |||||
Securities lending income | 22,080 | 25,917 | ||||||
Total investment income | 2,082,808 | 1,117,361 | ||||||
EXPENSES | ||||||||
Advisory fees | 2,483,196 | 1,286,015 | ||||||
Shareholder service fees - Investor Shares | 113,027 | 86,396 | ||||||
Administration and accounting services fees | 94,795 | 53,127 | ||||||
Transfer agent fees and shareholder account services | 81,266 | 41,440 | ||||||
Director fees | 38,384 | 20,937 | ||||||
Legal fees | 34,064 | 14,530 | ||||||
Custodian fees | 30,370 | 4,162 | ||||||
Officer fees | 22,581 | 7,921 | ||||||
Registration and filing fees | 18,239 | 23,087 | ||||||
Audit and tax service fees | 10,784 | 10,156 | ||||||
Printing and shareholder reporting fees | 9,768 | 4,499 | ||||||
Other expenses | 21,038 | 1,608 | ||||||
Total expenses | 2,957,512 | 1,553,878 | ||||||
Expense fees waived/reimbursed net of amount recaptured | (16,946 | ) | (4,609 | ) | ||||
Net expenses after waivers/reimbursements | 2,940,566 | 1,549,269 | ||||||
Net investment income/(loss) | (857,758 | ) | (431,908 | ) | ||||
NET REALIZED AND UNREALIZED GAIN/(LOSS) FROM INVESTMENTS | ||||||||
Net realized gain/(loss) from: | ||||||||
Investments | 21,161,347 | 25,265,664 | ||||||
Foreign currency transactions | (153,029 | ) | — | |||||
Net change in unrealized appreciation/(depreciation) on: | ||||||||
Investments | 74,080,350 | 15,117,652 | ||||||
Foreign currency translation | (509 | ) | — | |||||
Net realized and unrealized gain/(loss) | 95,088,159 | 40,383,316 | ||||||
NET INCREASE/(DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ | 94,230,401 | $ | 39,951,408 |
The accompanying notes are an integral part of these financial statements.
16 |
MFAM Global Opportunities Fund
Statements of Changes in Net Assets
| FOR THE | FOR THE | ||||||
OPERATIONS | ||||||||
Net investment income/(loss) | $ | (857,758 | ) | $ | (608,688 | ) | ||
Net realized gain/(loss) from investments and foreign currency transactions | 21,008,318 | 31,659,744 | ||||||
Net change in unrealized appreciation/(depreciation) on investments, foreign currency translation and assets and liabilities denominated in foreign currencies | 74,079,841 | 80,611,492 | ||||||
Net increase/(decrease) in net assets resulting from operations | 94,230,401 | 111,662,548 | ||||||
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||
Investor Shares | (29,627,168 | ) | (17,111,692 | ) | ||||
Institutional Shares | (8,731,295 | ) | (4,191,966 | ) | ||||
Total dividends and distributions to shareholders | (38,358,463 | ) | (21,303,658 | ) | ||||
CAPITAL SHARE TRANSACTIONS: | ||||||||
Investor Shares | ||||||||
Proceeds from shares sold | 22,335,700 | 30,395,856 | ||||||
Reinvestment of dividends | 28,940,492 | 16,712,957 | ||||||
Shares redeemed | (44,726,720 | ) | (89,171,236 | ) | ||||
Total from Investor Shares | 6,549,472 | (42,062,423 | ) | |||||
Institutional Shares | ||||||||
Proceeds from shares sold | 16,545,652 | 14,910,549 | ||||||
Reinvestment of dividends | 8,440,970 | 4,089,548 | ||||||
Shares redeemed | (4,489,501 | ) | (8,557,376 | ) | ||||
Total from Institutional Shares | 20,497,121 | 10,442,721 | ||||||
Net increase/(decrease) in net assets from capital share transactions | 27,046,593 | (31,619,702 | ) | |||||
Total increase/(decrease) in net assets | 82,918,531 | 58,739,188 | ||||||
NET ASSETS: | ||||||||
Beginning of period | $ | 549,958,749 | $ | 491,219,561 | ||||
End of period | $ | 632,877,280 | $ | 549,958,749 |
The accompanying notes are an integral part of these financial statements.
17 |
MFAM Global Opportunities Fund
Statements of Changes in Net Assets (CONCLUDED)
| FOR THE | FOR THE | ||||||
SHARE TRANSACTIONS: | ||||||||
Investor Shares | ||||||||
Shares sold | 694,570 | 1,207,150 | ||||||
Shares reinvested | 908,079 | 668,786 | ||||||
Shares redeemed | (1,415,510 | ) | (3,587,571 | ) | ||||
Net increase/(decrease) in shares | 187,139 | (1,711,635 | ) | |||||
Institutional Shares | ||||||||
Shares sold | 522,391 | 541,635 | ||||||
Shares reinvested | 263,533 | 163,060 | ||||||
Shares redeemed | (140,927 | ) | (345,173 | ) | ||||
Net increase/(decrease) in shares | 644,997 | 359,522 |
The accompanying notes are an integral part of these financial statements.
18 |
MFAM Mid-Cap Growth Fund
Statements of Changes in Net Assets
| FOR THE | FOR THE | ||||||
OPERATIONS | ||||||||
Net investment income/(loss) | $ | (431,908 | ) | $ | (509,876 | ) | ||
Net realized gain/(loss) from investments and foreign currency transactions | 25,265,664 | 30,695,234 | ||||||
Net change in unrealized appreciation/(depreciation) on investments, foreign currency translation, and assets and liabilities denominated in foreign currencies | 15,117,652 | 36,647,739 | ||||||
Net increase/(decrease) in net assets resulting from operations | 39,951,408 | 66,833,097 | ||||||
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||
Investor Shares | (28,230,758 | ) | (13,623,726 | ) | ||||
Institutional Shares | (4,600,549 | ) | (1,699,890 | ) | ||||
Total dividends and distributions to shareholders | (32,831,307 | ) | (15,323,616 | ) | ||||
CAPITAL SHARE TRANSACTIONS: | ||||||||
Investor Shares | ||||||||
Proceeds from shares sold | 8,684,625 | 12,539,673 | ||||||
Reinvestment of dividends | 27,593,542 | 13,304,640 | ||||||
Shares redeemed | (24,521,991 | ) | (57,309,980 | ) | ||||
Total from Investor Shares | 11,756,176 | (31,465,667 | ) | |||||
Institutional Shares | ||||||||
Proceeds from shares sold | 4,137,178 | 5,923,465 | ||||||
Reinvestment of dividends | 4,435,828 | 1,671,146 | ||||||
Shares redeemed | (1,331,150 | ) | (3,778,142 | ) | ||||
Total from Institutional Shares | 7,241,856 | 3,816,469 | ||||||
Net increase/(decrease) in net assets from capital share transactions | 18,998,032 | (27,649,198 | ) | |||||
Total increase/(decrease) in net assets | 26,118,133 | 23,860,283 | ||||||
NET ASSETS: | ||||||||
Beginning of period | $ | 290,688,351 | $ | 266,828,068 | ||||
End of period | $ | 316,806,484 | $ | 290,688,351 |
The accompanying notes are an integral part of these financial statements.
19 |
MFAM Mid-Cap Growth Fund
Statements of Changes in Net Assets (CONCLUDED)
| FOR THE | FOR THE | ||||||
SHARE TRANSACTIONS: | ||||||||
Investor Shares | ||||||||
Shares sold | 286,595 | 493,166 | ||||||
Shares reinvested | 952,158 | 535,829 | ||||||
Shares redeemed | (815,782 | ) | (2,297,274 | ) | ||||
Net increase/(decrease) in shares | 422,971 | (1,268,279 | ) | |||||
Institutional Shares | ||||||||
Shares sold | 134,843 | 219,115 | ||||||
Shares reinvested | 151,239 | 66,632 | ||||||
Shares redeemed | (43,274 | ) | (153,278 | ) | ||||
Net increase/(decrease) in shares | 242,808 | 132,469 |
The accompanying notes are an integral part of these financial statements.
20 |
MFAM Global Opportunities Fund
Financial Highlights
Contained below is per share operating performance data for shares outstanding, total investment return/(loss), ratios to average net assets and other supplemental data for the respective periods. This information has been derived from information provided in the financial statements.
| Six Months | YEARS ENDED | FISCAL | YEARS ENDED | ||||||||||||||||||||||||
Investor Shares | (Unaudited) | 2020 | 2019 | 2018 | 2017(1)(2) | 2016 | 2015 | |||||||||||||||||||||
PER SHARE OPERATING PERFORMANCE | ||||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 30.03 | $ | 24.98 | $ | 25.91 | $ | 24.09 | $ | 20.36 | $ | 20.32 | $ | 21.00 | ||||||||||||||
Net investment income/(loss)(3) | (0.05 | ) | (0.04 | ) | 0.01 | (0.02 | ) | 0.03 | 0.04 | 0.05 | ||||||||||||||||||
Net realized and unrealized gain/(loss) from investments | 5.19 | 6.19 | 0.79 | 4.94 | 4.30 | 0.01 | (0.29 | ) | ||||||||||||||||||||
Net increase/(decrease) in net assets resulting from operations | 5.14 | 6.15 | 0.80 | 4.92 | 4.33 | 0.05 | (0.24 | ) | ||||||||||||||||||||
Dividends and distributions to shareholders from: | ||||||||||||||||||||||||||||
Net investment income | — | (0.01 | ) | — | (0.05 | ) | (0.04 | ) | — | * | (0.11 | ) | ||||||||||||||||
Net realized capital gains | (2.12 | ) | (1.09 | ) | (1.73 | ) | (3.05 | ) | (0.56 | ) | (0.01 | ) | (0.33 | ) | ||||||||||||||
Total dividends and distributions to shareholders | (2.12 | ) | (1.10 | ) | (1.73 | ) | (3.10 | ) | (0.60 | ) | (0.01 | ) | (0.44 | ) | ||||||||||||||
Redemption and small-balance account fees | — | — | — | — | * | — | * | — | * | — | * | |||||||||||||||||
Net asset value, end of period | $ | 33.05 | $ | 30.03 | $ | 24.98 | $ | 25.91 | $ | 24.09 | $ | 20.36 | $ | 20.32 | ||||||||||||||
Total investment return/(loss)(4) | 17.37 | %(5) | 25.49 | % | 4.74 | % | 22.32 | % | 21.91 | %(5) | 0.25 | % | (1.13 | )% | ||||||||||||||
RATIOS/SUPPLEMENTAL DATA | ||||||||||||||||||||||||||||
Net assets, end of period (thousands) | $ | 476,662 | $ | 427,553 | $ | 398,459 | $ | 393,197 | $ | 337,821 | $ | 353,118 | $ | 393,611 | ||||||||||||||
Ratio of expenses to average net assets | 1.02 | %(6) | 1.09 | % | 1.10 | % | 1.06 | % | 1.15 | %(6) | 1.14 | % | 1.15 | % | ||||||||||||||
Ratio of expenses to average net assets (before waivers and reimbursement of expenses and/or recapture of previously waived fees) | 1.02 | %(6) | 1.08 | % | 1.11 | % | 1.06 | % | 1.15 | %(6) | 1.14 | % | 1.13 | % | ||||||||||||||
Ratio of net investment income/(loss) to average net assets | (0.31 | )%(6) | (0.15 | )% | 0.05 | % | (0.06 | )% | 0.18 | %(6) | 0.20 | % | 0.23 | % | ||||||||||||||
Ratio of net investment income/(loss) to average net assets (before waivers and reimbursement of expenses and/or recapture of previously waived fees) | (0.31 | )%(6) | (0.14 | )% | 0.04 | % | (0.06 | )% | 0.18 | %(6) | 0.20 | % | 0.25 | % | ||||||||||||||
Portfolio turnover rate | 6 | %(5) | 10 | % | 11 | % | 15 | % | 38 | %(5) | 26 | % | 21 | % |
* | Amount represents less than $0.005 per share. |
(1) | The Fund changed its fiscal year end to August 31 during the period. |
(2) | Effective as of December 21, 2016, the Fund acquired all the assets and liabilities of the Motley Fool Global Opportunities Fund, a series of The Motley Fool Funds Trust (the “Predecessor Fund”). The financial highlights for the periods prior to that date reflect the performances of the Predecessor Fund. |
(3) | Per share data calculated using average shares outstanding method. |
(4) | Total investment return/(loss) reflects the rate an investor would have earned on an investment in the Fund during the period. For the year ended August 31, 2018, the fiscal period ended August 31, 2017 and the years ended October 31, 2016 and October 31, 2015, redemption and small-balance account fees received had no effect on the Fund’s Investor Shares total investment return. |
(5) | Not annualized. |
(6) | Annualized. |
The accompanying notes are an integral part of these financial statements.
21 |
MFAM Global Opportunities Fund
Financial Highlights
Contained below is per share operating performance data for shares outstanding, total investment return/(loss), ratios to average net assets and other supplemental data for the respective periods. This information has been derived from information provided in the financial statements.
| Six Months | YEARS ENDED | FISCAL | YEARS ENDED | ||||||||||||||||||||||||
Institutional Shares | (Unaudited) | 2020 | 2019 | 2018 | 2017(1)(2) | 2016 | 2015 | |||||||||||||||||||||
PER SHARE OPERATING PERFORMANCE | ||||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 30.17 | $ | 25.09 | $ | 25.97 | $ | 24.09 | $ | 20.40 | $ | 20.35 | $ | 21.01 | ||||||||||||||
Net investment income/(loss)(3) | (0.04 | ) | — | * | 0.05 | 0.02 | 0.09 | 0.08 | 0.10 | |||||||||||||||||||
Net realized and unrealized gain/(loss) from investments | 5.22 | 6.21 | 0.80 | 4.94 | 4.25 | 0.02 | (0.31 | ) | ||||||||||||||||||||
Net increase/(decrease) in net assets resulting from operations | 5.18 | 6.21 | 0.85 | 4.96 | 4.34 | 0.10 | (0.21 | ) | ||||||||||||||||||||
Dividends and distributions to shareholders from: | ||||||||||||||||||||||||||||
Net investment income | — | (0.04 | ) | — | (0.03 | ) | (0.09 | ) | (0.04 | ) | (0.12 | ) | ||||||||||||||||
Net realized capital gains | (2.12 | ) | (1.09 | ) | (1.73 | ) | (3.05 | ) | (0.56 | ) | (0.01 | ) | (0.33 | ) | ||||||||||||||
Total dividends and distributions to shareholders | (2.12 | ) | (1.13 | ) | (1.73 | ) | (3.08 | ) | (0.65 | ) | (0.05 | ) | (0.45 | ) | ||||||||||||||
Redemption and small-balance account fees | — | — | — | — | * | — | * | — | * | — | * | |||||||||||||||||
Net asset value, end of period | $ | 33.23 | $ | 30.17 | $ | 25.09 | $ | 25.97 | $ | 24.09 | $ | 20.40 | $ | 20.35 | ||||||||||||||
Total investment return/(loss)(4) | 17.39 | %(5) | 25.64 | % | 4.94 | % | 22.48 | % | 21.97 | %(5) | (0.47 | )% | (0.97 | )% | ||||||||||||||
RATIOS/SUPPLEMENTAL DATA | ||||||||||||||||||||||||||||
Net assets, end of period (thousands) | $ | 156,215 | $ | 122,406 | $ | 92,760 | $ | 78,987 | $ | 60,623 | $ | 7,243 | $ | 7,726 | ||||||||||||||
Ratio of expenses to average net assets | 0.95 | %(6) | 0.95 | % | 0.95 | % | 0.95 | % | 0.95 | %(6) | 0.95 | % | 0.95 | % | ||||||||||||||
Ratio of expenses to average net assets (before waivers and reimbursement of expenses and/or recapture of previously waived fees) | 0.97 | %(6) | 1.00 | % | 0.99 | % | 1.06 | % | 1.17 | %(6) | 2.12 | % | 2.14 | % | ||||||||||||||
Ratio of net investment income/(loss) to average net assets | (0.24 | )%(6) | (0.01 | )% | 0.19 | % | 0.07 | % | 0.48 | %(6) | 0.39 | % | 0.46 | % | ||||||||||||||
Ratio of net investment income/(loss) to average net assets (before waivers and reimbursement of expenses and/or recapture of previously waived fees) | (0.27 | )%(6) | (0.06 | )% | 0.15 | % | (0.04 | )% | 0.26 | %(6) | (0.78 | )% | 0.73 | % | ||||||||||||||
Portfolio turnover rate | 6 | %(5) | 10 | % | 11 | % | 15 | % | 38 | %(5) | 26 | % | 21 | % |
* | Amount represents less than $0.005 per share. |
(1) | The Fund changed its fiscal year end to August 31 during the period. |
(2) | Effective as of December 21, 2016, the Fund acquired all the assets and liabilities of the Motley Fool Global Opportunities Fund, a series of The Motley Fool Funds Trust (the “Predecessor Fund”). The financial highlights for the periods prior to that date reflect the performances of the Predecessor Fund. |
(3) | Per share data calculated using average shares outstanding method. |
(4) | Total investment return/(loss) reflects the rate an investor would have earned on an investment in the Fund during the period. Redemption and small-balance account fees received had no effect on the Fund’s Institutional Shares total investment return. |
(5) | Not annualized. |
(6) | Annualized. |
The accompanying notes are an integral part of these financial statements.
22 |
MFAM Mid-Cap Growth Fund
Financial Highlights
Contained below is per share operating performance data for shares outstanding, total investment return/(loss), ratios to average net assets and other supplemental data for the respective periods. This information has been derived from information provided in the financial statements.
| Six Months | YEARS ENDED | FISCAL | YEARS ENDED | ||||||||||||||||||||||||
Investor Shares | (Unaudited) | 2020 | 2019 | 2018 | 2017(1)(2) | 2016 | 2015 | |||||||||||||||||||||
PER SHARE OPERATING PERFORMANCE | ||||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 29.47 | $ | 24.27 | $ | 27.32 | $ | 22.04 | $ | 18.29 | $ | 18.72 | $ | 18.59 | ||||||||||||||
Net investment income/(loss)(3) | (0.04 | ) | (0.05 | ) | (0.01 | ) | (0.06 | ) | (0.05 | ) | (0.05 | ) | 0.03 | |||||||||||||||
Net realized and unrealized gain/(loss) from investments | 4.04 | 6.71 | (1.88 | ) | 6.69 | 3.80 | (0.35 | ) | 0.14 | |||||||||||||||||||
Net increase/(decrease) in net assets resulting from operations | 4.00 | 6.66 | (1.89 | ) | 6.63 | 3.75 | (0.40 | ) | 0.17 | |||||||||||||||||||
Dividends and distributions to shareholders from: | ||||||||||||||||||||||||||||
Net investment income | — | — | — | — | — | (0.03 | ) | (0.04 | ) | |||||||||||||||||||
Net realized capital gains | (3.40 | ) | (1.46 | ) | (1.16 | ) | (1.35 | ) | — | — | — | |||||||||||||||||
Total dividends and distributions to shareholders | (3.40 | ) | (1.46 | ) | (1.16 | ) | (1.35 | ) | — | (0.03 | ) | (0.04 | ) | |||||||||||||||
Redemption and small-balance account fees | — | — | — | — | * | — | * | — | * | — | * | |||||||||||||||||
Net asset value, end of period | $ | 30.07 | $ | 29.47 | $ | 24.27 | $ | 27.32 | $ | 22.04 | $ | 18.29 | $ | 18.72 | ||||||||||||||
Total investment return/(loss)(4) | 14.02 | %(5) | 28.56 | % | (6.13 | )% | 30.88 | % | 20.50 | %(5) | (2.15 | )% | 0.91 | % | ||||||||||||||
RATIOS/SUPPLEMENTAL DATA | ||||||||||||||||||||||||||||
Net assets, end of period (thousands) | $ | 269,052 | $ | 251,200 | $ | 237,623 | $ | 303,669 | $ | 210,404 | $ | 205,149 | $ | 238,482 | ||||||||||||||
Ratio of expenses to average net assets | 1.04 | %(6) | 1.10 | % | 1.10 | % | 1.12 | % | 1.15 | %(6) | 1.15 | % | 1.15 | % | ||||||||||||||
Ratio of expenses to average net assets (before waivers and reimbursement of expenses and/or recapture of previously waived fees) | 1.04 | %(6) | 1.08 | % | 1.12 | % | 1.06 | % | 1.16 | %(6) | 1.17 | % | 1.16 | % | ||||||||||||||
Ratio of net investment income/(loss) to average net assets | (0.30 | )%(6) | (0.21 | )% | (0.05 | )% | (0.22 | )% | (0.30 | )%(6) | (0.29 | )% | 0.17 | % | ||||||||||||||
Ratio of net investment income/(loss) to average net assets (before waivers and reimbursement of expenses and/or recapture of previously waived fees) | (0.30 | )%(6) | (0.19 | )% | (0.07 | )% | (0.16 | )% | (0.31 | )%(6) | (0.31 | )% | 0.17 | % | ||||||||||||||
Portfolio turnover rate | 10 | %(5) | 14 | % | 4 | % | 19 | % | 24 | %(5) | 21 | % | 30 | % |
* | Amount represents less than $0.005 per share. |
(1) | The Fund changed its fiscal year end to August 31 during the period. |
(2) | Effective as of December 21, 2016, the Fund acquired all the assets and liabilities of the Motley Fool Small-Mid Cap Growth Fund, a series of The Motley Fool Funds Trust (the “Predecessor Fund”). The financial highlights for the periods prior to that date reflect the performances of the Predecessor Fund. |
(3) | Per share data calculated using average shares outstanding method. |
(4) | Total investment return/(loss) reflects the rate an investor would have earned on an investment in the Fund during the period. For the year ended August 31, 2018, the fiscal period ended August 31, 2017 and years ended October 31, 2016 and October 31, 2015, redemption and small-balance account fees received had no effect on the Fund’s Investor Shares total investment return. |
(5) | Not annualized. |
(6) | Annualized. |
The accompanying notes are an integral part of these financial statements.
23 |
MFAM Mid-Cap Growth Fund
Financial Highlights
Contained below is per share operating performance data for shares outstanding, total investment return/(loss), ratios to average net assets and other supplemental data for the respective periods. This information has been derived from information provided in the financial statements.
| Six Months | YEARS ENDED | FISCAL | YEARS ENDED | ||||||||||||||||||||||||
Institutional Shares | (Unaudited) | 2020 | 2019 | 2018 | 2017(1)(2) | 2016 | 2015 | |||||||||||||||||||||
PER SHARE OPERATING PERFORMANCE | ||||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 29.79 | $ | 24.48 | $ | 27.50 | $ | 22.14 | $ | 18.34 | $ | 18.75 | $ | 18.61 | ||||||||||||||
Net investment income/(loss)(3) | (0.03 | ) | (0.02 | ) | 0.02 | (0.01 | ) | (0.03 | ) | (0.02 | ) | 0.07 | ||||||||||||||||
Net realized and unrealized gain/(loss) from investments | 4.09 | 6.79 | (1.88 | ) | 6.72 | 3.83 | (0.33 | ) | 0.13 | |||||||||||||||||||
Net increase/(decrease) in net assets resulting from operations | 4.06 | 6.77 | (1.86 | ) | 6.71 | 3.80 | (0.35 | ) | 0.20 | |||||||||||||||||||
Dividends and distributions to shareholders from: | ||||||||||||||||||||||||||||
Net investment income | — | — | — | — | — | (0.06 | ) | (0.06 | ) | |||||||||||||||||||
Net realized capital gains | (3.40 | ) | (1.46 | ) | (1.16 | ) | (1.35 | ) | — | — | — | |||||||||||||||||
Total dividends and distributions to shareholders | (3.40 | ) | (1.46 | ) | (1.16 | ) | (1.35 | ) | — | (0.06 | ) | (0.06 | ) | |||||||||||||||
Redemption and small-balance account fees | — | — | — | — | * | — | * | — | * | — | * | |||||||||||||||||
Net asset value, end of period | $ | 30.45 | $ | 29.79 | $ | 24.48 | $ | 27.50 | $ | 22.14 | $ | 18.34 | $ | 18.75 | ||||||||||||||
Total investment return/(loss)(4) | 14.07 | %(5) | 28.77 | % | (5.97 | )% | 31.10 | % | 20.72 | %(5) | (1.89 | )% | 1.04 | % | ||||||||||||||
RATIOS/SUPPLEMENTAL DATA | ||||||||||||||||||||||||||||
Net assets, end of period (thousands) | $ | 47,755 | $ | 39,488 | $ | 29,205 | $ | 30,562 | $ | 20,365 | $ | 5,502 | $ | 7,010 | ||||||||||||||
Ratio of expenses to average net assets | 0.95 | %(6) | 0.95 | % | 0.95 | % | 0.95 | % | 0.95 | %(6) | 0.95 | % | 0.95 | % | ||||||||||||||
Ratio of expenses to average net assets (before waivers and reimbursement of expenses and/or recapture of previously waived fees) | 0.97 | %(6) | 1.00 | % | 0.98 | % | 1.17 | % | 1.47 | %(6) | 2.40 | % | 2.45 | % | ||||||||||||||
Ratio of net investment income/(loss) to average net assets | (0.21 | )%(6) | (0.06 | )% | 0.10 | % | (0.05 | )% | (0.15 | )%(6) | (0.08 | )% | 0.35 | % | ||||||||||||||
Ratio of net investment income/(loss) to average net assets (before waivers and reimbursement of expenses and/or recapture of previously waived fees) | (0.23 | )%(6) | (0.11 | )% | 0.07 | % | (0.26 | )% | (0.67 | )%(6) | (1.53 | )% | (1.15 | )% | ||||||||||||||
Portfolio turnover rate | 10 | %(5) | 14 | % | 4 | % | 19 | % | 24 | %(5) | 21 | % | 30 | % |
* | Amount represents less than $0.005 per share. |
(1) | The Fund changed its fiscal year end to August 31 during the period. |
(2) | Effective as of December 21, 2016, the Fund acquired all the assets and liabilities of the Motley Fool Small-Mid Cap Growth Fund, a series of The Motley Fool Funds Trust (the “Predecessor Fund”). The financial highlights for the periods prior to that date reflect the performances of the Predecessor Fund. |
(3) | Per share data calculated using average shares outstanding method. |
(4) | Total investment return/(loss) reflects the rate an investor would have earned on an investment in the Fund during the period. Redemption and small-balance account fees received had no effect on the Fund’s Institutional Shares total investment return. |
(5) | Not annualized. |
(6) | Annualized. |
The accompanying notes are an integral part of these financial statements.
24 |
MFAM FUNDS
Notes to Financial Statements
February 28, 2021 (Unaudited)
1. ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
The RBB Fund, Inc. (“RBB” or the “Company”) was incorporated under the laws of the State of Maryland on February 29, 1988 and is registered under the Investment Company Act of 1940, as amended, (the “1940 Act”), as an open-end management investment company. RBB is a “series fund,” which is a mutual fund divided into separate portfolios. Each portfolio is treated as a separate entity for certain matters under the 1940 Act, and for other purposes, and a shareholder of one portfolio is not deemed to be a shareholder of any other portfolio. Currently, RBB has thirty-six separate investment portfolios, including the MFAM Global Opportunities Fund (“Global Opportunities Fund”) and MFAM Mid-Cap Growth Fund (“Mid-Cap Growth Fund”) (each a “Fund” and together the “Funds”), which became series of RBB at the close of business on December 21, 2016. As of February 28, 2021, the Global Opportunities Fund and Mid-Cap Growth Fund each offer two classes of shares, Investor and Institutional.
RBB has authorized capital of one hundred billion shares of common stock of which 87.923 billion shares are currently classified into one hundred and ninety classes of common stock. Each class represents an interest in an active or inactive RBB investment portfolio.
Prior to December 21, 2016, the Funds were diversified series (the “Predecessor Funds”) of The Motley Fool Funds Trust (the “Trust”), an open-end management investment company (or mutual fund) organized on November 7, 2008, as a statutory trust under the laws of the State of Delaware. Each of the Predecessor Funds was reorganized into a corresponding Fund on December 21, 2016 (the “Reorganization”). As a result of the Reorganization, the performance and accounting history of each Predecessor Fund was assumed by its corresponding Fund. Performance and accounting information prior to December 21, 2016 included herein is that of the relevant Predecessor Fund.
The investment objective of each Fund is to achieve long-term capital appreciation. The Global Opportunities Fund pursues its objective by investing primarily in common stocks of United States companies and of companies that are organized under the laws of other countries around the world. The Mid-Cap Growth Fund pursues its objective by investing primarily in common stocks of companies that are organized in the United States and that are engaged in a broad range of industries.
Each Fund is an investment company and follows accounting and reporting guidance in the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946 “Financial Services - Investment Companies”.
The end of the reporting period for the Funds is February 28, 2021, and the period covered by these Notes to Financial Statements is the six-months ended February 28, 2021, (the “current fiscal period”).
PORTFOLIO VALUATION — Each Fund’s net asset value (“NAV”) is calculated once daily at the close of regular trading hours on the New York Stock Exchange (“NYSE”) (generally 4:00 p.m. Eastern time) on each day the NYSE is open. Securities held by the Funds are valued using the closing price or the last sale price on a national securities exchange or the National Association of Securities Dealers Automatic Quotation System (“NASDAQ”) market system where they are primarily traded. Equity securities traded in the over-the-counter (“OTC”) market are valued at their closing prices. If there were no transactions on that day, securities traded principally on an exchange or on NASDAQ will be valued at the mean of the last bid and ask prices prior to the market close. Fixed income securities are valued using an independent pricing service, which considers such factors as security prices, yields, maturities and ratings, and are deemed representative of market values at the close of the market. Foreign securities are valued based on prices from the primary market in which they are traded, and are translated from the local currency into U.S. dollars using current exchange rates. If market quotations are unavailable or deemed unreliable, securities will be valued in accordance with procedures adopted by the Company’s Board of Directors (the “Board”). Relying on prices supplied by pricing services or dealers or using fair valuation may result in values that are higher or lower than the values used by other investment companies and investors to price the same investments. Such procedures use fundamental valuation methods, which may include, but are not limited to, an analysis of the effect of any restrictions on the resale of the security, industry analysis and trends, significant changes in the issuer’s financial position, and any other event which could have a significant impact on the value of the security. Determination of fair value involves subjective judgment as the actual market value of a particular security can be established only by negotiations between the parties in a sales transaction, and the difference between the recorded fair value and the value that would be received in a sale could be significant. The Funds may use fair value pricing more frequently for securities traded primarily in non-U.S. markets because, among other things, most foreign markets close well before the Funds value their securities, generally as of 4:00 p.m. Eastern time. The earlier close of these foreign markets gives rise to the possibility
25 |
MFAM FUNDS
Notes to Financial Statements (continued)
February 28, 2021 (Unaudited)
that significant events, including broad market moves, government actions or pronouncements, aftermarket trading, or news events may have occurred in the interim. To account for this, the Funds may value foreign securities using fair value prices based on third-party vendor modeling tools (international fair value pricing).
FAIR VALUE MEASUREMENTS — The inputs and valuation techniques used to measure the fair value of the Funds’ investments are summarized into three levels as described in the hierarchy below:
● | Level 1 – Prices are determined using quoted prices in active markets for identical securities. |
● | Level 2 – Prices are determined using other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.). |
● | Level 3 – Prices are determined using significant unobservable inputs (including the Funds’ own assumptions in determining the fair value of investments). |
The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
You’d think that it would be easy to determine what a share of the Fund is worth – just add up the value of everything it holds, and then divide by the number of shares. It’s not that simple, though. Some foreign markets have different operating hours (when it’s daytime in Chicago, for example, it is night in Shanghai). That means that when we calculate a Fund’s value at the end of the day, the market quotations for some of the securities held by the Fund could be several hours old, and intervening events may have affected what the stocks are worth. In addition, characteristics of the relevant markets and stocks might, in some cases, cast doubt on a particular valuation. For these reasons, we may rely on a pricing service to determine the value of particular securities. It is possible that when a Fund buys or sells the securities, the price on the real market will be different from the value used for the fair-value pricing. |
The following is a summary of the inputs used, as of the end of the reporting period, in valuing the Funds’ investments carried at fair value:
GLOBAL OPPORTUNITIES FUND
| TOTAL | LEVEL 1 | LEVEL 2 | LEVEL 3 | INVESTMENTS | |||||||||||||||
Common Stocks | $ | 615,038,340 | $ | 517,547,713 | $ | 97,247,132 | $ | 243,495 | $ | — | ||||||||||
Investments Purchased with Proceeds From Securities Lending Collateral | 44,871,367 | — | — | — | 44,871,367 | |||||||||||||||
Short-Term Investments | 18,073,072 | 18,073,072 | — | — | — | |||||||||||||||
Total Investments* | $ | 677,982,779 | $ | 535,620,785 | $ | 97,247,132 | $ | 243,495 | $ | 44,871,367 |
26 |
MFAM FUNDS
Notes to Financial Statements (continued)
February 28, 2021 (Unaudited)
MID-CAP GROWTH FUND
| TOTAL | LEVEL 1 | LEVEL 2 | LEVEL 3 | INVESTMENTS | |||||||||||||||
Common Stocks | $ | 306,788,843 | $ | 306,788,843 | $ | — | $ | — | $ | — | ||||||||||
Investments Purchased with Proceeds From Securities Lending Collateral | 36,332,013 | — | — | — | 36,332,013 | |||||||||||||||
Short-Term Investments | 10,249,581 | 10,249,581 | — | — | — | |||||||||||||||
Total Investments* | $ | 353,370,437 | $ | 317,038,424 | $ | — | $ | — | $ | 36,332,013 |
* | Please refer to the Schedule of Investments for further details. |
^ | Certain investments that are measured at fair value using the net asset value per share (or its equivalent) practical expedient have not been categorized in the fair value hierarchy. The fair value amounts presented in the table are intended to permit reconciliation of the fair value hierarchy to the amounts presented in the Statements of Assets and Liabilities. |
At the end of each quarter, management evaluates the classification of Levels 1, 2 and 3 assets and liabilities. Various factors are considered, such as changes in liquidity from the prior reporting period; whether or not a broker is willing to execute at the quoted price; the depth and consistency of prices from third party pricing services; and the existence of contemporaneous, observable trades in the market. Additionally, management evaluates the classification of Levels 1, 2 and 3 assets and liabilities on a quarterly basis for changes in listings or delistings on national exchanges.
Due to the inherent uncertainty of determining the fair value of investments that do not have a readily available market value, the fair value of the Funds’ investments may fluctuate from period to period. Additionally, the fair value of investments may differ significantly from the values that would have been used had a ready market existed for such investments and may differ materially from the values the Fund may ultimately realize. Further, such investments may be subject to legal and other restrictions on resale or otherwise less liquid than publicly traded securities.
For fair valuations using significant unobservable inputs, U.S. generally accepted accounting principles (“U.S. GAAP”) requires each Fund to present a reconciliation of the beginning to ending balances for reported market values that presents changes attributable to total realized and unrealized gains or losses, purchase and sales, and transfers in and out of Level 3 during the period. Transfers in and out between levels are based on values at the end of the period. A reconciliation of Level 3 investments is presented only if a Fund had an amount of Level 3 investments at the end of the reporting period that was meaningful in relation to its net assets. The amounts and reasons for Level 3 transfers in and out of each level is disclosed when a Fund had an amount of total Level 3 transfers during the reporting period that was meaningful in relation to its net assets as of the end of the reporting period.
The Funds did not have any significant Level 3 transfers during the current fiscal period.
USE OF ESTIMATES — The preparation of financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates and those differences could be significant.
INVESTMENT TRANSACTIONS, INVESTMENT INCOME AND EXPENSES — The Funds record security transactions based on trade date for financial reporting purposes. The cost of investments sold is determined by use of the specific identification method for both financial reporting and income tax purposes in determining realized gains and losses on investments. Interest income (including amortization of premiums and accretion of discounts) is accrued when earned. Dividend income is recorded on the ex-dividend date. Distributions received on securities that represent a return of capital or capital gains are recorded as a reduction of cost of investments and/or as a realized gain. The Funds’ investment income, expenses (other than class specific expenses) and unrealized and realized gains and losses are allocated daily to each class of shares based upon the relative proportion of net assets of each class at the beginning of the day. Expenses incurred on behalf of a specific class, fund or fund family of the
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MFAM FUNDS
Notes to Financial Statements (continued)
February 28, 2021 (Unaudited)
Company are charged directly to the class, fund or fund family (in proportion to net assets). Expenses incurred for all of the RBB funds (such as director or professional fees) are charged to all funds in proportion to their average net assets of RBB, or in such other manner as the Board deems fair or equitable. Expenses and fees, including investment advisory and administration fees, are accrued daily and taken into account for the purpose of determining the NAV of the Funds.
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS — Each Fund pays dividends from its net investment income and distributes any net capital gains that it realizes. Dividends and capital gains distributions are generally paid once a year and as required to comply with federal excise tax requirements. Distributions to shareholders are determined in accordance with tax regulations and recorded on ex dividend date. All dividends and other distributions will be reinvested in Fund shares unless a shareholder chooses either to (1) receive dividends in cash, while reinvesting capital gains distributions in additional Fund shares; or (2) receive all distributions in cash. Additionally, each Fund reports details of distribution-related transactions on quarterly account statements. You may not receive a separate confirmation statement for these transactions.
When a Fund pays a dividend or other distribution, its net asset value (NAV) per share will decline by the per-share amount of the distribution. Investors are no poorer for this “distribution drop,” however. As this section explains, investors may elect to reinvest their dividend and distribution payments. Doing so would allow them to acquire additional shares at the post-distribution NAV per share. They may also choose to receive a check in the amount of their portion of the dividend or distribution. |
U.S. TAX STATUS — No provision is made for U.S. income taxes as it is each Fund’s intention to continue to qualify for and elect the tax treatment applicable to regulated investment companies under Subchapter M of the Internal Revenue Code of 1986, as amended, and make the requisite distributions to its shareholders which will be sufficient to relieve it from U.S. income and excise taxes.
CORONAVIRUS (COVID-19) PANDEMIC — The global outbreak of COVID-19 (commonly referred to as “coronavirus”) has disrupted economic markets and the prolonged economic impact is uncertain. The ultimate economic fallout from the pandemic, and the long-term impact on economies, markets, industries and individual issuers are not known. The operational and financial performance of the issuers of securities in which the Funds invest depends on future developments, including the duration and spread of the outbreak, and such uncertainty may in turn adversely affect the value and liquidity of the Funds’ investments, impair the Funds’ ability to satisfy redemption requests, and negatively impact the Funds’ performance.
CASH AND CASH EQUIVALENTS — Cash and cash equivalents are valued at cost plus accrued interest, which approximates market value.
OTHER — In the normal course of business, the Funds may enter into contracts that provide general indemnifications. Each Fund’s maximum exposure under these arrangements is dependent on claims that may be made against the Funds in the future, and, therefore, cannot be estimated; however, based on experience, the risk of material loss from such claims is considered remote.
FOREIGN CURRENCY TRANSLATION — The books and records of the Funds are maintained in U.S. dollars as follows: (1) the values of investment securities and other assets and liabilities stated in foreign currencies are translated at the exchange rates prevailing at the end of the period; and (2) purchases, sales and income are translated at the rates of exchange prevailing on the respective dates of such transactions. Transaction gains or losses resulting from changes in exchange rates during the reporting period or upon settlement from foreign currency transactions are reported in the Statements of Operations for the current period. The Funds do not isolate the portion of gains and losses on investments.
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MFAM FUNDS
Notes to Financial Statements (continued)
February 28, 2021 (Unaudited)
2. INVESTMENT POLICIES AND PRACTICES
The sections below describe some of the different types of investments that may be made by the Funds and the investment practices in which the Funds may engage.
When we say that the Funds may invest in other types of securities and in other asset classes, the “may” is well worth emphasizing, as the Funds’ primary focus is the common stocks of companies that the Adviser believes are both high-quality and available at a reasonable price. |
FOREIGN SECURITIES — The Global Opportunities Fund and the Mid-Cap Growth Fund may invest, in equity and fixed-income securities of foreign companies, including companies located in both developed and emerging-market countries. Investment in foreign securities may include the purchase of American Depositary Receipts (“ADRs”) and other depositary receipts (European Depositary Receipts (“EDRs”) and Global Depositary Receipts (“GDRs”)) that represent indirect interests in securities of foreign issuers. A significant portion of a Fund’s exposure to foreign investments may be composed of such investments. Investments in foreign securities are affected by risk factors generally not associated with investments in the securities of U.S. companies in the U.S. With respect to such securities, there may be more limited information publicly available concerning the issuer than would be the case with respect to domestic securities, foreign issuers may use different accounting standards, and foreign trading markets may not be as liquid as are U.S. markets. Foreign securities also involve such risks as currency risks, possible imposition of withholding or confiscatory taxes, possible currency transfer restrictions, expropriation or other adverse political or economic developments, and the difficulty of enforcing obligations in other countries. These risks may be greater in emerging-market countries and in less-developed countries.
If a Fund holds a foreign stock, and the stock is traded on a foreign exchange, with its price denominated in that foreign currency, the value of the stock will change, for the Fund, whenever the relative value of the U.S. dollar and that foreign currency change. To take an imaginary example, if the Fund holds shares in Ruritania Telecom, traded on the Ruritanian Stock Exchange, those shares will be worth more to the Fund if the value of the Ruritanian ploof increases against the U.S. dollar, and vice versa, all other things being equal. |
The purchase of securities denominated in foreign currencies will subject the value of the Funds’ investments in those securities to fluctuations caused by changes in foreign exchange rates. To hedge against the effects of changes in foreign exchange rates, the Funds may enter into forward foreign currency exchange contracts (“forward contracts”). These contracts represent agreements to exchange an amount of currency at an agreed-upon future date and rate. The Funds will generally use forward contracts only to “lock in” the price in U.S. dollars of a foreign security that a Fund plans to purchase or to sell. In certain limited cases, it may use such contracts to hedge against an anticipated substantial decline in the price of a foreign currency against the U.S. dollar that would adversely affect the U.S. dollar value of foreign securities held by the Fund. Forward contracts will not be used in all cases and, in any event, cannot completely protect the Funds against all changes in the values of foreign securities resulting from fluctuations in foreign exchange rates. The Funds will not enter into a forward contract if, as a result, forward contracts would represent more than 20% of a Fund’s total assets. For hedging purposes, the Funds may also use options on foreign currencies, which expose the Funds to certain risks.
Some foreign securities are traded in the U.S. in the form of ADRs. ADRs are receipts typically issued by a U.S. bank or company evidencing ownership of the underlying securities of foreign issuers. EDRs and GDRs are receipts typically issued by foreign banks or trust companies, evidencing ownership of underlying securities issued by either a foreign or U.S. issuer. Generally, depositary receipts in registered form are designed for use in the U.S. and depositary receipts in bearer form are designed for use in securities markets outside the U.S. Depositary receipts may not necessarily be denominated in the same currency as the underlying securities into which they may be converted. Depositary receipts generally involve the same risks as other investments in foreign securities. However, holders of ADRs and other depositary receipts may not have all the legal rights of shareholders and may experience difficulty in receiving shareholder communications.
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MFAM FUNDS
Notes to Financial Statements (continued)
February 28, 2021 (Unaudited)
TYPES OF FIXED-INCOME SECURITIES — A Fund may invest in bonds and other types of debt obligations of U.S. and foreign issuers. Fixed income securities purchased by a Fund may include, among others, bonds, notes, and debentures issued by corporations; debt securities issued or guaranteed by the U.S. government or one of its agencies or instrumentalities (“U.S. Government Securities”); municipal securities; mortgage-backed and asset-backed securities; and debt securities issued or guaranteed by foreign governments, their agencies, instrumentalities, or political subdivisions, or by government-owned, -controlled, or -sponsored entities, including central banks. These investments also include money market instruments and other types of obligations. Investors should recognize that, although securities ratings issued by Standard & Poor’s® Ratings Services (“S&P”), a division of The McGraw-Hill Companies, Inc., and Moody’s Investors Services©, Inc. (“Moody’s”), provide a generally useful guide as to credit risks, they do not offer any criteria to evaluate interest rate risk. Changes in interest rate levels generally cause fluctuations in the prices of fixed-income securities and will, therefore, cause fluctuations in the NAV per share of a Fund. Subsequent to the purchase of a fixed-income security by a Fund, the ratings or credit quality of such security may deteriorate. Any such subsequent adverse changes in the rating or quality of a security held by a Fund would not require a Fund to sell the security.
PARTICIPATORY NOTES — A participatory note, as used by a Fund, is an instrument used by investors to obtain exposure to an equity investment, including common stocks and warrants, in a local market where direct ownership is not permitted (or is impractical.) In countries where direct ownership by a foreign investor, such as a Fund, is not allowed by local law, such as Saudi Arabia, an investor may gain exposure to the market through a participatory note, which derives its value from a group of underlying equity securities. A participatory note is intended (disregarding the effect of any fees and expenses) to reflect the performance of the underlying equity securities on a one-to-one basis so that investors will not normally gain more in absolute terms than they would have made had they invested in the underlying securities directly, and will not normally lose more than they would have lost had they invested in the underlying securities directly.
In addition to providing access to otherwise closed markets, participatory notes can also provide a less expensive option to direct investment (where ownership by foreign investors is permitted) by reducing registration and transaction costs in acquiring and selling local registered shares. The Funds’ investment manager also believes that participatory notes can offer greater liquidity in markets that restrict the ability of the Funds to dispose of an investment by either restricting transactions by size or requiring registration and/or regulatory approvals.
The purchase of participatory notes involves risks that are in addition to the risks normally associated with a direct investment in the underlying securities. The Fund is subject to the risk that the issuer of the participatory note (i.e., the issuing bank or broker-dealer), which is the only responsible party under the note, is unable or refuses to perform under the terms of the participatory note, also known as counterparty risk.
While the holder of a participatory note is entitled to receive from the bank or broker-dealer any dividends or other distributions paid on the underlying securities, the holder is not entitled to the same rights as an owner of the underlying securities, such as voting rights.
Participatory notes may not be traded on exchanges, are privately issued, and may be illiquid. To the extent a participatory note is determined to be illiquid, it would be subject to the Fund’s limitation on investments in illiquid securities. There can be no assurance that the trading price or value of participatory notes will equal the value of the underlying value of the equity securities they seek to replicate.
REAL ESTATE INVESTMENT TRUSTS — Real estate investment trusts (“REITs”) are pooled investment vehicles that manage a portfolio of real estate or real estate-related loans to earn profits for their shareholders. REITs are generally classified as equity REITs, mortgage REITs, or a combination of equity and mortgage REITs. Investing in REITs involves certain unique risks in addition to those risks associated with investing in the real estate industry in general. Equity REITs may be affected by changes in the value of the underlying property owned by the REITs, while mortgage REITs may be affected by the quality of the borrower on any credit extended. REITs are dependent upon management skills, may not be diversified geographically or by property type, and are subject to heavy cash-flow dependency, default by borrowers, and self-liquidation. REITs must also meet certain requirements under the Internal Revenue Code of 1986, as amended (the “Code”), to avoid entity level tax and be eligible to pass through certain tax attributes of their income to shareholders. REITs are consequently subject to the risk of failing to meet these requirements for favorable tax treatment and of failing to maintain their exemptions from registration under the 1940 Act. REITs are also subject to the risks of changes in the Code, affecting their tax status.
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MFAM FUNDS
Notes to Financial Statements (continued)
February 28, 2021 (Unaudited)
REITs (especially mortgage REITs) are also subject to interest rate risks. When interest rates decline, the value of a REIT’s investment in fixed-rate obligations can be expected to rise. Conversely, when interest rates rise, the value of a REIT’s investment in fixed-rate obligations can be expected to decline. In contrast, as interest rates on adjustable-rate mortgage loans are reset periodically, yields on a REIT’s investments in such loans will gradually align themselves to reflect changes in market interest rates, causing the value of such investments to fluctuate less dramatically in response to interest rate fluctuations than would investments in fixed-rate obligations.
The management of a REIT may be subject to conflicts of interest with respect to the operation of the business of the REIT and may be involved in real estate activities competitive with the REIT. REITs may own properties through joint ventures or in other circumstances in which a REIT may not have control over its investments. REITs may use significant amounts of leverage.
REITs often do not provide complete tax information until after the end of the calendar year. Consequently, because of the delay, it may be necessary for a Fund, if invested in REITs, to request permission to extend the deadline for issuance of Forms 1099-DIV beyond January 31. Alternatively, amended Forms 1099-DIV may be sent. During the current fiscal period, the Global Opportunities Fund and Mid-Cap Growth Fund invested in REITs.
TEMPORARY INVESTMENTS — During periods of adverse market or economic conditions, a Fund may temporarily invest all or a substantial portion of its assets in high-quality, fixed-income securities, money market instruments, and shares of money market mutual funds, or it may hold cash. At such times, a Fund would not be pursuing its stated investment objective with its usual investment strategies. A Fund may also hold these investments for liquidity purposes. Fixed-income securities will be deemed to be of high quality if they are rated “A” or better by S&P or Moody’s or, if unrated, are determined to be of comparable quality by the Adviser. Money market instruments are high-quality, short-term fixed income obligations (which generally have remaining maturities of one year or less), and may include U.S. Government Securities, commercial paper, certificates of deposit and banker’s acceptances issued by domestic branches of United States banks that are members of the Federal Deposit Insurance Corporation, and repurchase agreements for US. Government Securities. In lieu of purchasing money market instruments, a Fund may purchase shares of money market mutual funds that invest primarily in U.S. Government Securities and repurchase agreements involving those securities, subject to certain limitations imposed by the 1940 Act. A Fund, as an investor in a money market fund, will indirectly bear the fees and expenses of the money market fund. These indirect fees and expenses will be in addition to the fees and expenses of the Funds. Repurchase agreements involve certain risks not associated with direct investments in debt securities.
3. INVESTMENT ADVISER AND OTHER SERVICES
Each Fund pays all of its expenses other than those expressly assumed by Motley Fool Asset Management (“MFAM” or the “Adviser”). Expenses of each Fund are deducted from the Funds’ total income before dividends are paid. Subject to the supervision of the Board, the Adviser manages the overall investment operations of the Funds in accordance with the Funds’ investment objective and policies and formulates a continuing investment strategy for the Funds pursuant to the terms of the Investment Advisory Agreement between the Adviser and the Company on behalf of the Funds. The Adviser is a wholly-owned subsidiary of Motley Fool Investment Management, LLC, which is a wholly owned subsidiary of The Motley Fool Holdings Inc. (“TMF Holdings”), a multimedia financial-services holding company that also owns The Motley Fool, LLC, which publishes investment information and analysis across a wide range of media, including investment newsletter services, websites, and books. TMF Holdings is controlled by David Gardner and Tom Gardner, along with other private shareholders. Each Fund compensates the Adviser for its services at an annual rate based on each Fund’s average daily net assets (the “Advisory Fee”), payable on a monthly basis in arrears, as shown in the following table.
The Adviser has contractually agreed to pay, waive or absorb a portion of the operating expenses of each Fund’s share classes to the extent that total annual Fund operating expenses of the Investor and Institutional Shares of each Fund (as applicable) (excluding certain items discussed below) exceed the rates (“Expense Caps”) shown in the following table of each Fund’s average daily net assets. In determining the Adviser’s obligation to waive advisory fees and/or reimburse expenses, the following expenses are not taken into account and could cause net total annual Fund operating expenses to exceed the
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MFAM FUNDS
Notes to Financial Statements (continued)
February 28, 2021 (Unaudited)
Expense Caps as applicable: acquired fund fees and expenses, brokerage commissions, extraordinary items, interest and taxes. This contractual limitation is in effect until December 31, 2021 and may not be terminated without the approval of the Board. The Adviser may discontinue these arrangements at any time after December 31, 2021.
EXPENSE CAPS | |||
FUND | ADVISORY | INVESTOR | INSTITUTIONAL |
Global Opportunities Fund | 0.85% | 1.15% | 0.95% |
Mid-Cap Growth Fund | 0.85% | 1.15% | 0.95% |
During the current fiscal period, investment advisory fees accrued and waived were as follows:
FUND | GROSS | RECOUPMENT/ | NET | |||||||||
Global Opportunities Fund | $ | 2,483,196 | $ | (16,946 | ) | $ | 2,466,250 | |||||
Mid-Cap Growth Fund | 1,286,015 | (4,609 | ) | 1,281,406 |
The Adviser may recover from the Investor and Institutional Shares of each Fund fees and expenses previously paid, waived, or absorbed for a period of three years after such fees or expenses were incurred, provided that the repayments do not cause the Funds’ operating expenses (excluding brokerage commissions, taxes, interest expense, acquired fund fees and expenses, and any extraordinary expenses) to exceed the expense limits of the Investor and Institutional Class, respectively, of each Fund that were in effect at the time the fees and expenses were paid, waived, or absorbed by the Adviser, as well as the expense limits that are currently in effect, if different. Previously waived fees subject to future recovery by the Adviser are as follows:
EXPIRATION | ||||||||||||||||||||
FUND | AUGUST 31, | AUGUST 31, | AUGUST 31, | AUGUST 31, | TOTAL | |||||||||||||||
Global Opportunities Fund - Investor Class | $ | — | $ | — | $ | — | $ | — | $ | — | ||||||||||
Global Opportunities Fund - Institutional Class | 80,089 | 32,294 | 49,147 | 16,946 | 178,476 | |||||||||||||||
Mid-Cap Growth Fund - Investor Class | — | — | — | — | — | |||||||||||||||
Mid-Cap Growth Fund - Institutional Class | 56,058 | 8,934 | 16,169 | 4,609 | 85,770 |
U.S. Bancorp Fund Services, LLC (“Fund Services”), doing business as U.S. Bank Global Fund Services, serves as administrator for the Funds. For providing administrative and accounting services, Fund Services is entitled to receive a monthly fee, subject to certain minimum and out of pocket expenses.
Fund Services serves as the Funds’ transfer and dividend disbursing agent. For providing transfer agent services, Fund Services is entitled to receive a monthly fee, subject to certain minimum and out of pocket expenses.
U.S. Bank, N.A. (the “Custodian”) provides certain custodial services to the Funds. The Custodian is entitled to receive a monthly fee, subject to certain minimum and out of pocket expenses.
Foreside Funds Distributors, LLC serves as the principal underwriter and distributor of the Funds’ shares pursuant to a Distribution Agreement with RBB.
For compensation amounts paid to Fund Services and the Custodian, please refer to the Statements of Operations.
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MFAM FUNDS
Notes to Financial Statements (continued)
February 28, 2021 (Unaudited)
DIRECTOR AND OFFICER COMPENSATION — The Directors of the Company receive an annual retainer and meeting fees for meetings attended. An employee of Vigilant Compliance, LLC serves as President and Chief Compliance Officer of the Company. Vigilant Compliance, LLC is compensated for the services provided to the Company. Employees of RBB serve as Treasurer, Secretary and Director of Marketing & Business Development of the Company. They are compensated for services provided. Certain employees of Fund Services serve as officers of the Company. They are not compensated by the Funds or the Company. Prior to October 1, 2020, an employee of Vigilant Compliance, LLC served as the Chief Compliance Officer of the Adviser. Neither the Funds nor the Company compensated this individual or Vigilant Compliance, LLC for services provided to Motley Fool Asset Management. For Director and Officer compensation amounts, please refer to the Statements of Operations.
SHAREHOLDER SERVICING FEE — The Funds have entered into a shareholder servicing agreement (the “Agreement”) with the Adviser, under which the Adviser provides, or arranges for others to provide, certain specified shareholder services. As compensation for the provision of shareholder services, the Funds may pay servicing fees up to an annual rate of 0.11% and 0.15% of the average daily net assets of the Investor Shares of the Global Opportunities Fund and Mid-Cap Growth Fund, respectively. Payments to the Adviser under the Agreement may reimburse the Adviser for payments it makes to selected brokers, dealers and administrators which have entered into service agreements with the Adviser for services provided to shareholders of the Funds. The services provided by such intermediaries are primarily designed to assist shareholders of the Funds and include the furnishing of office space and equipment, telephone facilities, personnel, and assistance to the Fund in servicing such shareholders. Services provided by such intermediaries also include the provision of support services to the Funds and include establishing and maintaining shareholders’ accounts and record processing, purchase and redemption transactions, answering routine client inquiries regarding the Funds, and providing such other personal services to shareholders as the Funds may reasonably request. During the current fiscal period, the Funds incurred shareholder servicing fees as follows:
FUND | SHAREHOLDER | |||
Global Opportunities Fund – Investor Shares | $ | 113,027 | ||
Mid-Cap Growth Fund – Investor Shares | 86,396 |
REDEMPTION FEE — Prior to January 1, 2018, the Funds imposed a redemption fee of 2.00% on redemptions/exchanges of Fund shares held less than 90 days. The redemption fee is calculated as a percentage of the net asset value of the total redemption proceeds and is retained by the Funds and accounted for as additional paid-in capital. Certain exceptions to the imposition of the redemption fee exist. Effective January 1, 2018, the Funds have eliminated their redemption fees. Please see the Funds’ prospectus for more information.
SMALL-BALANCE ACCOUNT FEE — The Funds charge a small-balance account fee of $24 annually if the value of an account is less than $10,000. The fee is assessed by redeeming shares from that account. Certain exceptions to the imposition of the small-balance account fee exist. Please see the Funds’ prospectus for more information.
TRANSACTIONS WITH AFFILIATES — Advisers to investment companies, including MFAM Funds, are permitted under 17a-7 of the 1940 Act to purchase or sell securities directly between affiliated clients. When affecting these “cross” transactions, Rule 17a-7 imposes restrictions on how the trades are processed and reported. The specified conditions within Rule 17a-7 are outlined in procedures established by or under the direction of the Board of Directors. The procedures have been designed to provide assurance that any purchase or sale of securities by the Fund from or to another Fund complies with Rule 17a-7 under the 1940 Act.
During the current fiscal period, the Funds did not engage in any security transactions with affiliates.
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MFAM FUNDS
Notes to Financial Statements (continued)
February 28, 2021 (Unaudited)
4. PURCHASES AND SALES OF INVESTMENT SECURITIES
During the current fiscal period, aggregate purchases and sales and maturities of investment securities of the Funds were as follows:
FUND | PURCHASES | SALES | ||||||
Global Opportunities Fund | $ | 36,409,950 | $ | 60,638,308 | ||||
Mid-Cap Growth Fund | 28,481,711 | 48,329,252 |
There were no purchases or sales of long-term U.S. Government Securities during the current fiscal period.
5. FEDERAL INCOME TAX INFORMATION
The Funds have followed the authoritative guidance on accounting for and disclosure of uncertainty in tax positions, which requires the Funds to determine whether a tax position is more likely than not to be sustained upon examination, including resolution of any related appeals or litigation processes, based on the technical merits of the position. The Funds have determined that there was no effect on the financial statements from following this authoritative guidance. In the normal course of business, the Funds are subject to examination by federal, state and local jurisdictions, where applicable, for tax years for which applicable statutes of limitations have not expired.
As of August 31, 2020, the federal tax cost, aggregate gross unrealized appreciation and depreciation of securities held by each Fund were as follows:
FUND | FEDERAL | UNREALIZED | UNREALIZED | NET UNREALIZED | ||||||||||||
Global Opportunities Fund | $ | 339,932,322 | $ | 292,186,100 | $ | (25,400,128 | ) | $ | 266,785,972 | |||||||
Mid-Cap Growth Fund | 189,745,442 | 145,851,465 | (865,932 | ) | 144,985,533 |
Distributions to shareholders, if any, from net investment income and realized gains are determined in accordance with federal income tax regulations, which may differ from net investment income and realized gains recognized for financial reporting purposes. Accordingly, the character of distributions and composition of net assets for tax purposes may differ from those reflected in the accompanying financial statements. To the extent these differences are permanent, such amounts are reclassified within the capital accounts based on the tax treatment; temporary differences do not require such reclassification.
Permanent differences as of August 31, 2020 were reclassified among the following accounts:
FUND | DISTRIBUTABLE | PAID-IN | ||||||
Global Opportunities Fund | $ | (1 | ) | $ | 1 | |||
Mid-Cap Growth Fund | 599,515 | (599,515 | ) |
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MFAM FUNDS
Notes to Financial Statements (continued)
February 28, 2021 (Unaudited)
As of August 31, 2020, the components of distributable earnings on a tax basis were as follows:
FUND | UNDISTRIBUTED | UNDISTRIBUTED | CAPITAL | QUALIFIED | UNREALIZED | TOTAL | ||||||||||||||||||
Global Opportunities Fund | $ | 254,531 | $ | 30,796,418 | $ | — | $ | — | $ | 266,785,972 | $ | 297,836,921 | ||||||||||||
Mid-Cap Growth Fund | — | 23,173,445 | — | (407,256 | ) | 144,985,533 | 167,751,722 |
The differences between the book and tax basis components of distributable earnings relate primarily to the timing of recognition of income and gains for federal income tax purposes.
The tax character of dividends and distributions paid during the fiscal year ended August 31, 2020 were as follows:
FUND | ORDINARY | LONG-TERM | TOTAL | |||||||||
Global Opportunities Fund | $ | 290,198 | $ | 21,013,460 | $ | 21,303,658 | ||||||
Mid-Cap Growth Fund | — | 15,323,616 | 15,323,616 |
Dividends from net investment income and short-term capital gains are treated as ordinary income dividends for federal income tax purposes.
Pursuant to federal income tax rules applicable to regulated investment companies, the Funds may elect to treat certain capital losses between November 1 and August 31 and late year ordinary losses ((i) ordinary losses between January 1 and August 31, and (ii) specified ordinary and currency losses between November 1 and August 31) as occurring on the first day of the following tax year. For the fiscal year ended August 31, 2020, any amount of losses elected within the tax return will not be recognized for federal income tax purposes until September 1, 2020. The Mid-Cap Growth Fund deferred qualified late-year losses of $407,256 which will be treated as arising on the first business day of the following fiscal year.
Under the Regulated Investment Company Modernization Act of 2010, the Funds are permitted to carry forward capital losses incurred in taxable years beginning after December 22, 2010 for an unlimited period. Additionally, capital losses that are carried forward will retain their character as either short-term or long-term capital losses rather than being considered all short-term as under the previous law. As of August 31, 2020, the Funds had no unexpiring short-term or long-term losses.
6. SECURITIES LENDING
The Funds may make secured loans of its portfolio securities to brokers, dealers and other financial institutions to earn additional income and receive cash collateral equal to at least 100% of the current market value of the loaned securities, as marked to market each day that the NAV of the Funds are determined. When the collateral falls below specified amounts, the Funds’ lending agent will use its best effort to obtain additional collateral on the next business day to meet required amounts under the security lending agreement. The Funds will pay administrative and custodial fees in connection with the loan of securities. Collateral is invested in short-term investments and the Funds will bear the risk of loss of the invested collateral. Investments purchased with proceeds from securities lending are overnight and continuous. Securities lending will expose the Funds to the risk
35 |
MFAM FUNDS
Notes to Financial Statements (conCLUDED)
February 28, 2021 (Unaudited)
of loss should a borrower default on its obligation to return the borrowed securities. The market value of the securities on loan and cash collateral as of the end of the reporting period and the income generated from the program during the current fiscal period with respect to such secured loans were as follows:
FUND | MARKET VALUE | MARKET VALUE | INCOME | |||||||||
Global Opportunities Fund | $ | 43,649,496 | $ | 44,871,367 | $ | 22,080 | ||||||
Mid-Cap Growth Fund | 35,622,686 | 36,332,013 | 25,917 |
Securities lending transactions are entered into by the Funds’ securities lending agent on behalf of the Funds under a Master Securities Lending Agreement (“MSLA”) which permits the Funds’ securities lending agent on behalf of the Funds under certain circumstances including an event of default (such as bankruptcy or insolvency), to offset amounts payable on behalf of the Funds to the same counterparty against amounts to be received and create one single net payment due to or from the Funds. The following table is a summary of the Funds open securities lending transactions which are subject to a MSLA as of the end of the reporting period:
GROSS AMOUNT NOT OFFSET IN THE | ||||||||||||||||||||||||
| GROSS | GROSS | NET AMOUNT | FINANCIAL | CASH | NET AMOUNT2 | ||||||||||||||||||
Global Opportunities Fund | $ | 43,649,496 | $ | — | $ | 43,649,496 | $ | (43,649,496 | ) | $ | — | $ | — | |||||||||||
Mid-Cap Growth Fund | 35,622,686 | — | 35,622,686 | (35,622,686 | ) | — | — |
1 | Amount disclosed is limited to the amount of assets presented in the Statements of Assets and Liabilities. Actual collateral received may be more than the amount shown. |
2 | Net amount represents the net amount receivable from the counterparty in the event of default. |
7. SUBSEQUENT EVENTS
Management has evaluated the impact of all subsequent events on the Funds through the date the financial statements were issued and has determined that there were no significant events requiring recognition or disclosure in the financial statements.
36 |
MFAM FUNDS
Notice to Shareholders (UNAUDITED)
Information on Proxy Voting
Policies and procedures that the Funds use to determine how to vote proxies relating to portfolio securities as well as information regarding how the Funds voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 are available (i) without charge, upon request, by calling (888) 863-8803; and (ii) on the U.S. SEC’s website at http://www.sec.gov.
Quarterly Schedule of Investments
The Company files a complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year as an exhibit to its report on Form N-PORT. Shareholders can obtain the Form N-PORT (i) without charge, upon request, by calling (888) 863-8803; (ii) on the SEC’s website at http://www.sec.gov; and (iii) on the Funds website at http://www.mfamfunds.com.
37 |
MFAM FUNDS
Liquidity Risk Management Program (UNAUDITED)
The Company has adopted and implemented a Liquidity Risk Management Program (the “Company Program”) as required by rule 22e-4 under the 1940 Act. In accordance with the Company Program, the Adviser has adopted and implemented a liquidity risk management program (the “Adviser Program” and together with the Company Program, the “Programs”) on behalf of the Funds. The Programs seek to assess, manage and review each Fund’s Liquidity Risk. “Liquidity Risk” is defined as the risk that a Fund could not meet requests to redeem shares issued by the Fund without significant dilution of remaining investors’ interest in the Fund.
The Board has appointed Vigilant Compliance, LLC (“Vigilant”) as the program administrator for the Company Program and the Adviser as the program administrator for the Adviser Program. The Adviser has delegated oversight of the Adviser Program to its Liquidity Committee, whose process of monitoring and determining the liquidity of each Fund’s investments is supported by one or more third-party vendors.
At meetings held during the fiscal period, the Board and its Investment and Liquidity Risk Committee received and reviewed a written report (the “Report”) of Vigilant and the Adviser concerning the operation of the Programs for the period from June 1, 2019 to June 30, 2020 (the “Period”). The Report summarized the operation of the Programs and the information and factors considered by Vigilant and the Adviser in reviewing the adequacy and effectiveness of the implementation of the Programs with respect to each Fund. Such information and factors included, among other things: (i) the methodology used to classify the liquidity of each Fund’s portfolio investments and the Adviser’s assessment that each Fund’s strategy remained appropriate for an open-end mutual fund; (ii) analyses of each Fund’s trading environment and reasonably anticipated trading size; (iii) that each Fund held primarily highly liquid assets (investments that the Fund anticipates can be converted to cash within 3 business days or less in current market conditions without significantly changing their market value); (iv) that each Fund held a percentage of highly liquid assets above its highly liquid investment minimum at all times during the Period; (v) confirmation that none of the Funds had breached the 15% maximum illiquid security threshold (investments that cannot be sold or disposed of in seven days or less in current market conditions without the sale of the investment significantly changing the market value of the investment) and the procedures for monitoring compliance with the limit; (vi) that the processes, technologies and third-party vendors used to assess, manage, and/or periodically review each Fund’s Liquidity Risk functioned appropriately during the Period; and (vii) that the Programs operated adequately during the Period. The Report also summarized the changes made to the Programs over the course of the Period.
Based on the review, the Report concluded that the Programs were being implemented effectively and reasonably designed to assess and manage Liquidity Risk in each Fund’s portfolio.
There can be no assurance that the Company Program or the Adviser Program will achieve its objectives under all circumstances in the future. Please refer to the Funds’ prospectus for more information regarding a Fund’s exposure to liquidity risk and other risks to which it may be subject.
38 |
Investment Adviser
Motley Fool Asset Management, LLC
2000 Duke Street
Suite 275
Alexandria, VA 22314
Administrator and Transfer Agent
U.S. Bancorp Fund Services, LLC
P.O. Box 701
Milwaukee, WI 53201
Custodian
U.S. Bank, N.A.
1555 North Rivercenter Drive, Suite 302
Milwaukee, WI 53212
Distributor
Foreside Funds Distributors LLC
899 Cassatt Road
400 Berwyn Park, Suite 110
Berwyn, PA 19312
Independent Registered Public Accounting Firm
Tait, Weller & Baker LLP
Two Liberty Place
50 S 16th St. Suite 2900
Philadelphia, PA 19102-2529
Legal Counsel
Faegre Drinker Biddle & Reath LLP
One Logan Square, Suite 2000
Philadelphia, PA 19103-6996
39 |
(This Page Intentionally Left Blank.)
Questions for the MFAM
funds team?
Stay informed about your investment!
Shareholders like you are very important to us, and we’d love to hear your feedback and answer questions! If you have a question or comment please send it to fundservice@mfamfunds.com.
SEMI-ANNUAL
report 2021
Motley Fool ETFs
Series of The RBB Fund, Inc.
2/28/21
(UNAUDITED)
Motley Fool 100 Index ETF | |
MFAM Small-Cap Growth ETF |
This report contains information for two ETFs that are very different. The Motley Fool 100 Index ETF — as you’d expect from its name — is designed to track the returns of the Motley Fool 100 Index. Our other ETF, the MFAM Small-Cap Growth ETF, is an actively managed ETF that isn’t designed to track much of anything. |
|
Motley Fool 100 Index ETF (TMFC) | |
MFAM Small-Cap Growth ETF (MFMS) |
Table of Contents |
Portfolio Characteristics | 1 |
Fund Expense Examples | 5 |
Schedules of Investments | 7 |
Financial Statements | 16 |
Notes to Financial Statements | 22 |
Notice to Shareholders | 31 |
Liquidity Risk Management Program | 32 |
Motley Fool 100 Index ETF
Portfolio Characteristics
(Unaudited)
AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIODS ENDED February 28, 2021 | ||||
Six | One | Since | Inception | |
Motley Fool 100 Index ETF | 4.59% | 46.00% | 20.59% | 1/29/2018 |
Motley Fool 100 Index* | 4.88% | 46.76% | 21.19%(1) | — |
S&P 500® Total Return Index** | 9.74% | 31.29% | 11.98%(1) | — |
Fund Expense Ratio(2) | 0.50% |
The performance data quoted represents past performance and does not guarantee future results. Current performance may be lower or higher. The investment return and principal value of an investment will fluctuate so that shares, when redeemed or sold, may be worth more or less than their original cost.
† | Not annualized. |
(1) | Benchmark performance is from inception date of the Fund only and is not the inception date of the benchmark itself. |
(2) | The expense ratio of the Fund is set forth according to the December 31, 2020 Prospectus for the Fund and may differ from the expense ratio disclosed in the Financial Highlights table in this report. See the Financial Highlights for most current expense ratio. |
* | The Motley Fool 100 Index (“Fool 100 Index”) was developed by The Motley Fool, LLC (“The Motley Fool”), an affiliate of Motley Fool Asset Management, LLC (“Adviser”), in 2017 and is a proprietary, rules-based index designed to track the performance of the 100 largest, most liquid U.S. companies that have been recommended by The Motley Fool’s analysts and newsletters or the highest-rated stocks in Fool IQ, the company’s analyst opinion database. Every company included in the Fool 100 Index is incorporated and listed in the U.S. The Fool 100 Index is calculated and administered by Solactive AG (the “Index Calculation Agent”), which is not affiliated with the Fund, the Adviser or The Motley Fool. Additional information regarding the Fool 100 Index, including its value, is available on the websites of the Fund at www.mfamfunds.com and the Index Calculation Agent, at www.solactive.com. You cannot invest directly in an index. |
** | The S&P 500® Total Return Index is the total return version of the S&P 500® Index. Dividends are reinvested on a daily basis and all regular cash dividends are assumed reinvested in the index on the ex-dividend date. The S&P 500® Index is a market-capitalization-weighted index of 500 US stocks chosen for market size, liquidity and industry grouping, among other factors. The S&P 500® Index is designed to be a leading indicator of U.S. equities and is meant to reflect the risk/return characteristics of the large cap universe. The S&P 500® Index was first introduced on the 1st of January, 1923, though expanded to 500 stocks on March 4, 1957. |
1 |
Motley Fool 100 Index ETF
Portfolio Characteristics (Concluded)
(Unaudited)
The following tables show the top ten holdings and sector allocations, in which the Motley Fool 100 Index ETF was invested in as of February 28, 2021. Portfolio holdings are subject to change without notice.
Top TEN Holdings | % OF Net |
Apple, Inc. | 11.9% |
Microsoft Corp. | 10.4 |
Amazon.com, Inc. | 9.1 |
Alphabet, Inc., Class C | 8.1 |
Facebook, Inc., Class A | 4.3 |
Tesla, Inc. | 3.5 |
Berkshire Hathaway, Inc., Class B | 3.2 |
Visa, Inc., Class A | 2.8 |
NVIDIA Corp. | 2.1 |
Mastercard, Inc., Class A | 2.0 |
57.4% |
The Motley Fool 100 Index ETF uses the Global Industry Classification StandardSM (“GICSSM”) as the basis for the classification of securities on the Schedule of Investments (“SOI”).
Sector Allocation | % OF Net |
Information Technology | 41.5% |
Communication Services | 18.7 |
Consumer Discretionary | 18.5 |
Health Care | 8.7 |
Financials | 4.6 |
Industrials | 3.8 |
Real Estate | 1.3 |
Consumer Staples | 1.1 |
Utilities | 0.8 |
Materials | 0.7 |
Energy | 0.2 |
99.9% |
2 |
MFAM Small-Cap Growth ETF
Portfolio Characteristics
(Unaudited)
AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIODS ENDED February 28, 2021 | ||||
Six | One | Since | Inception | |
MFAM Small-Cap Growth ETF | 32.93% | 69.00% | 40.06% | 10/29/2018 |
Russell 2000 Growth Total Return® Index* | 37.33% | 58.88% | 26.55%(1) | — |
Fund Expense Ratio(2) | 0.85% |
The performance data quoted represents past performance and does not guarantee future results. Current performance may be lower or higher. The investment return and principal value of an investment will fluctuate so that shares, when redeemed or sold, may be worth more or less than their original cost.
† | Not annualized. |
(1) | Benchmark performance is from inception date of the Fund only and is not the inception date of the benchmark itself. |
(2) | The expense ratio of the Fund is set forth according to the December 31, 2020 Prospectus for the Fund and may differ from the expense ratio disclosed in the Financial Highlights table in this report. See the Financial Highlights for most current expense ratio. |
* | The Russell 2000 Growth Total Return® Index measures the performance of those companies included in the Russell 2000 Index with higher price-to-book ratios and higher forecasted earnings growth rates. The Russell 2000 Index measures the performance of approximately 2,000 companies with small-market capitalizations. |
3 |
MFAM Small-Cap Growth ETF
Portfolio Characteristics (CONCLUDED)
(Unaudited)
The following tables show the top ten holdings and sector allocations, in which the MFAM Small-Cap Growth ETF was invested in as of February 28, 2021. Portfolio holdings are subject to change without notice.
Top TEN Holdings | % OF Net |
Jones Lang LaSalle, Inc. | 5.5% |
Paylocity Holding Corp. | 5.4 |
Heska Corp. | 4.8 |
Ultragenyx Pharmaceutical, Inc. | 4.6 |
Axon Enterprise, Inc. | 4.4 |
Penumbra, Inc. | 4.1 |
Everbridge, Inc. | 4.0 |
HealthEquity, Inc. | 3.9 |
PTC Therapeutics, Inc. | 3.8 |
Goosehead Insurance, Inc., Class A | 3.6 |
44.1% |
The MFAM Small-Cap Growth ETF uses GICSSM as the basis for the classification of securities on the Schedule of Investments.
Sector Allocation | % OF Net |
Health Care | 29.8% |
Information Technology | 24.5 |
Industrials | 18.3 |
Real Estate | 12.3 |
Consumer Discretionary | 4.3 |
Financials | 3.6 |
Communication Services | 3.5 |
96.3% |
4 |
Motley Fool ETFs
Fund Expense Examples
February 28, 2021 (Unaudited)
As a shareholder of the Fund(s), you incur two types of costs: (1) transaction costs, including brokerage commissions on purchases and sales of Fund shares, and (2) ongoing costs, including management fees. These examples are intended to help you understand your ongoing costs (in dollars) of investing in the Fund(s) and to compare these costs with the ongoing costs of investing in other ETFs.
These examples are based on an investment of $1,000 invested at the beginning of the six-month period from September 1, 2020 through February 28, 2021, and held for the entire period.
Actual Expenses
The first line of the accompanying table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Hypothetical Examples for Comparison Purposes
The second line of the accompanying table provides information about hypothetical account values and hypothetical expenses based on each Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in a Fund and other funds. To do so, compare these 5% hypothetical examples with the 5% hypothetical examples that appear in the shareholder reports of other funds.
Please note that the expenses shown in the accompanying table are meant to highlight your ongoing costs only and do not reflect any transactional costs. Therefore, the second line of the accompanying table is useful in comparing ongoing costs only and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
Do you know how many times a fund, or the market, has returned a smooth 5% over a long period of time? Never. But we have to pick some example. In reality, the market’s returns are always far bumpier, with the market returning 20% one year, followed by a loss of 10% the next year, followed by a 3% gain,etc. These variations affect actual expenses as well. Happily, over almost all time periods of 20 years or longer, according to the research of University of Pennsylvania’s Jeremy Siegel and others, the domestic market’s returns have been at least 5% per year on average. |
5 |
Motley Fool ETFs
Fund Expense Examples (Concluded)
February 28, 2021 (Unaudited)
| Beginning | Ending | Expenses | Annualized | Actual Six-Month Total Investment Returns |
Motley Fool 100 Index ETF | |||||
Actual | $ 1,000.00 | $ 1,045.90 | $ 2.54 | 0.50% | 4.59% |
Hypothetical (5% return before expenses) | 1,000.00 | 1,022.32 | 2.51 | 0.50 | N/A |
MFAM Small-Cap Growth ETF | |||||
Actual | $ 1,000.00 | $ 1,329.30 | $ 4.91 | 0.85% | 32.93% |
Hypothetical (5% return before expenses) | 1,000.00 | 1,020.58 | 4.26 | 0.85 | N/A |
* | Expenses are equal to each Fund’s annualized expense ratio for the period September 1, 2020 through February 28, 2021, multiplied by the average account value over the period, multiplied by the number of days (181) in the most recent fiscal half-year, then divided by 365 to reflect the one-half year period. Each Fund’s ending account value in the first section in the table is based on the actual six-month total investment return for the Fund. |
6 |
Motley Fool 100 Index ETF
Schedule of Investments
February 28, 2021 (Unaudited)
| Number of | Value | ||||||
Common Stocks — 99.9% | ||||||||
Aerospace & Defense — 0.2% | ||||||||
TransDigm Group, Inc. (United States)* | 1,264 | $ | 728,911 | |||||
Air Freight & Logistics — 0.4% | ||||||||
FedEx Corp. (United States) | 6,659 | 1,694,715 | ||||||
Automobiles — 3.8% | ||||||||
Ford Motor Co. (United States)* | 96,502 | 1,129,073 | ||||||
Tesla, Inc. (United States)* | 20,957 | 14,156,454 | ||||||
15,285,527 | ||||||||
Beverages — 0.3% | ||||||||
Monster Beverage Corp. (United States)* | 12,454 | 1,092,714 | ||||||
Biotechnology — 2.0% | ||||||||
Amgen, Inc. (United States) | 13,808 | 3,105,695 | ||||||
Biogen, Inc. (United States)* | 3,778 | 1,030,941 | ||||||
Gilead Sciences, Inc. (United States) | 30,245 | 1,857,043 | ||||||
Seagen, Inc. (United States)* | 4,809 | 726,688 | ||||||
Vertex Pharmaceuticals, Inc. (United States)* | 6,314 | 1,342,041 | ||||||
8,062,408 | ||||||||
Capital Markets — 1.1% | ||||||||
CME Group, Inc. (United States) | 8,703 | 1,737,989 | ||||||
Intercontinental Exchange, Inc. (United States) | 13,313 | 1,468,557 | ||||||
Moody’s Corp. (United States) | 4,338 | 1,192,473 | ||||||
4,399,019 | ||||||||
Chemicals — 0.7% | ||||||||
Ecolab, Inc. (United States) | 6,916 | 1,447,934 | ||||||
Sherwin-Williams Co., (The) (United States) | 1,954 | 1,329,384 | ||||||
2,777,318 | ||||||||
Commercial Services & Supplies — 0.6% | ||||||||
Cintas Corp. (United States) | 2,420 | 784,903 | ||||||
Copart, Inc. (United States)* | 5,428 | 592,521 | ||||||
Waste Management, Inc. (United States) | 10,096 | 1,119,545 | ||||||
2,496,969 | ||||||||
Diversified Financial Services — 3.2% | ||||||||
Berkshire Hathaway, Inc., Class B (United States)* | 54,493 | 13,106,111 |
The accompanying notes are an integral part of these financial statements.
7 |
Motley Fool 100 Index ETF
Schedule of Investments (continued)
February 28, 2021 (Unaudited)
| Number of | Value | ||||||
Common Stocks (continued) | ||||||||
Electric Utilities — 0.8% | ||||||||
NextEra Energy, Inc. (United States) | 45,370 | $ | 3,333,788 | |||||
Entertainment — 4.3% | ||||||||
Activision Blizzard, Inc. (United States) | 17,816 | 1,703,388 | ||||||
Electronic Arts, Inc. (United States) | 6,917 | 926,671 | ||||||
Netflix, Inc. (United States)* | 10,371 | 5,588,413 | ||||||
Roku, Inc. (United States)* | 3,204 | 1,267,118 | ||||||
Walt Disney Co., (The) (United States)* | 40,807 | 7,714,155 | ||||||
17,199,745 | ||||||||
Equity Real Estate Investment Trusts (REITs) — 1.3% | ||||||||
American Tower Corp. (United States) | 10,435 | 2,255,317 | ||||||
Crown Castle International Corp. (United States) | 10,082 | 1,570,271 | ||||||
Equinix, Inc. (United States) | 2,104 | 1,364,107 | ||||||
5,189,695 | ||||||||
Food & Staples Retailing — 0.8% | ||||||||
Costco Wholesale Corp. (United States) | 10,347 | 3,424,857 | ||||||
Health Care Equipment & Supplies — 1.8% | ||||||||
Align Technology, Inc. (United States)* | 1,888 | 1,070,704 | ||||||
Becton Dickinson and Co. (United States) | 6,923 | 1,669,481 | ||||||
DexCom, Inc. (United States)* | 2,224 | 884,663 | ||||||
IDEXX Laboratories, Inc. (United States)* | 2,018 | 1,049,703 | ||||||
Intuitive Surgical, Inc. (United States)* | 2,710 | 1,996,728 | ||||||
ResMed, Inc. (United States) | 3,487 | 672,224 | ||||||
7,343,503 | ||||||||
Health Care Providers & Services — 2.8% | ||||||||
CVS Health Corp. (United States) | 31,618 | 2,154,134 | ||||||
HCA Healthcare, Inc. (United States) | 8,049 | 1,384,670 | ||||||
McKesson Corp. (United States) | 3,817 | 647,058 | ||||||
UnitedHealth Group, Inc. (United States) | 21,838 | 7,255,020 | ||||||
11,440,882 |
The accompanying notes are an integral part of these financial statements.
8 |
Motley Fool 100 Index ETF
Schedule of Investments (continued)
February 28, 2021 (Unaudited)
| Number of | Value | ||||||
Common Stocks (continued) | ||||||||
Health Care Technology — 0.4% | ||||||||
Teladoc, Inc. (United States)*(a) | 3,473 | $ | 767,846 | |||||
Veeva Systems, Inc., Class A (United States)* | 3,612 | 1,011,757 | ||||||
1,779,603 | ||||||||
Hotels, Restaurants & Leisure — 1.2% | ||||||||
Chipotle Mexican Grill, Inc. (United States)* | 681 | 982,002 | ||||||
Marriott International, Inc., Class A (United States)* | 7,511 | 1,112,154 | ||||||
Starbucks Corp. (United States) | 27,246 | 2,943,385 | ||||||
5,037,541 | ||||||||
Industrial Conglomerates — 0.8% | ||||||||
3M Co. (United States) | 13,979 | 2,447,164 | ||||||
Roper Technologies, Inc. (United States) | 2,466 | 931,211 | ||||||
3,378,375 | ||||||||
Insurance — 0.2% | ||||||||
Aflac, Inc. (United States) | 16,687 | 799,140 | ||||||
Interactive Media & Services — 13.6% | ||||||||
Alphabet, Inc., Class C (United States)* | 16,069 | 32,730,303 | ||||||
Facebook, Inc., Class A (United States)* | 68,162 | 17,559,894 | ||||||
Match Group, Inc. (United States)* | 6,490 | 991,996 | ||||||
Pinterest, Inc., Class A (United States)* | 15,632 | 1,259,627 | ||||||
Twitter, Inc. (United States)* | 19,195 | 1,479,167 | ||||||
Zillow Group, Inc., Class A (United States)*(a) | 5,623 | 954,898 | ||||||
54,975,885 | ||||||||
Internet & Direct Marketing Retail — 10.3% | ||||||||
Amazon.com, Inc. (United States)* | 11,834 | 36,601,733 | ||||||
Booking Holdings, Inc. (United States)* | 904 | 2,104,973 | ||||||
Chewy, Inc., Class A (United States)*(a) | 11,653 | 1,183,479 | ||||||
eBay, Inc. (United States) | 16,810 | 948,420 | ||||||
Wayfair, Inc., Class A (United States)*(a) | 2,964 | 856,537 | ||||||
41,695,142 |
The accompanying notes are an integral part of these financial statements.
9 |
Motley Fool 100 Index ETF
Schedule of Investments (continued)
February 28, 2021 (Unaudited)
| Number of | Value | ||||||
Common Stocks (continued) | ||||||||
IT Services — 8.1% | ||||||||
Cognizant Technology Solutions Corp., Class A (United States) | 12,740 | $ | 936,135 | |||||
Mastercard, Inc., Class A (United States) | 22,377 | 7,918,101 | ||||||
Okta, Inc. (United States)* | 3,301 | 863,046 | ||||||
PayPal Holdings, Inc. (United States)* | 28,550 | 7,418,718 | ||||||
Square, Inc., Class A (United States)* | 11,695 | 2,690,201 | ||||||
Twilio, Inc., Class A (United States)*(a) | 3,824 | 1,502,373 | ||||||
Visa, Inc., Class A (United States)(a) | 53,366 | 11,334,405 | ||||||
32,662,979 | ||||||||
Leisure Products — 0.2% | ||||||||
Peloton Interactive, Inc., Class A (United States)* | 6,587 | 793,536 | ||||||
Life Sciences Tools & Services — 0.4% | ||||||||
Illumina, Inc. (United States)* | 3,491 | 1,533,980 | ||||||
Machinery — 0.2% | ||||||||
Cummins, Inc. (United States) | 3,524 | 892,277 | ||||||
Oil, Gas & Consumable Fuels — 0.2% | ||||||||
Kinder Morgan, Inc. (United States) | 55,906 | 821,818 | ||||||
Pharmaceuticals — 1.2% | ||||||||
Bristol-Myers Squibb Co. (United States) | 54,249 | 3,327,091 | ||||||
Zoetis, Inc. (United States) | 11,089 | 1,721,457 | ||||||
5,048,548 | ||||||||
Professional Services — 0.2% | ||||||||
CoStar Group, Inc. (United States)* | 934 | 769,392 | ||||||
Road & Rail — 1.3% | ||||||||
Uber Technologies, Inc. (United States)* | 41,899 | 2,168,273 | ||||||
Union Pacific Corp. (United States) | 15,798 | 3,253,756 | ||||||
5,422,029 | ||||||||
Semiconductors & Semiconductor Equipment — 3.4% | ||||||||
Broadcom, Inc. (United States) | 9,599 | 4,510,282 | ||||||
NVIDIA Corp. (United States) | 15,156 | 8,314,279 | ||||||
Xilinx, Inc. (United States)* | 6,070 | 790,921 | ||||||
13,615,482 |
The accompanying notes are an integral part of these financial statements.
10 |
Motley Fool 100 Index ETF
Schedule of Investments (Continued)
February 28, 2021 (Unaudited)
| Number of | Value | ||||||
Common Stocks (continued) | ||||||||
Software — 18.3% | ||||||||
Adobe Systems, Inc. (United States)* | 11,467 | $ | 5,271,036 | |||||
ANSYS, Inc. (United States)* | 1,951 | 665,272 | ||||||
Autodesk, Inc. (United States)* | 5,267 | 1,453,692 | ||||||
Cadence Design Systems, Inc. (United States)* | 6,527 | 920,895 | ||||||
Crowdstrike Holdings, Inc., Class A (United States)* | 5,278 | 1,140,048 | ||||||
Datadog, Inc., Class A (United States)*(a) | 7,966 | 760,036 | ||||||
DocuSign, Inc. (United States)* | 4,949 | 1,121,740 | ||||||
Intuit, Inc. (United States) | 6,568 | 2,562,440 | ||||||
Microsoft Corp. (United States) | 181,611 | 42,202,764 | ||||||
Palo Alto Networks, Inc. (United States)* | 2,317 | 830,204 | ||||||
Salesforce.com, Inc. (United States)* | 22,446 | 4,859,559 | ||||||
ServiceNow, Inc. (United States)* | 4,718 | 2,516,864 | ||||||
Splunk, Inc. (United States)* | 3,940 | 563,459 | ||||||
Synopsys, Inc. (United States)* | 3,597 | 882,020 | ||||||
Trade Desk, Inc., (The) Class A (United States)* | 1,277 | 1,028,483 | ||||||
Unity Software, Inc. (United States)*(a) | 6,935 | 746,414 | ||||||
VMware, Inc., Class A (United States)*(a) | 10,355 | 1,431,165 | ||||||
Workday, Inc., Class A (United States)* | 5,829 | 1,429,154 | ||||||
Zoom Video Communications, Inc., Class A (United States)* | 8,209 | 3,066,965 | ||||||
73,452,210 | ||||||||
Specialty Retail — 1.7% | ||||||||
Home Depot, Inc., (The) (United States) | 26,388 | 6,817,076 | ||||||
Technology Hardware, Storage & Peripherals — 11.9% | ||||||||
Apple, Inc. (United States) | 394,969 | 47,893,941 | ||||||
Textiles, Apparel & Luxury Goods — 1.3% | ||||||||
NIKE, Inc., Class B (United States) | 38,155 | 5,142,531 | ||||||
Wireless Telecommunication Services — 0.9% | ||||||||
T-Mobile US, Inc. (United States)* | 28,964 | 3,474,811 | ||||||
Total Common Stocks (Cost $272,117,429) | 403,582,458 | |||||||
Rights — 0.0% | ||||||||
Altaba, Inc. - Escrow Shares (United States)* | 8,565 | 125,049 | ||||||
Total Rights (Cost $89,333) | 125,049 | |||||||
The accompanying notes are an integral part of these financial statements.
11 |
Motley Fool 100 Index ETF
Schedule of Investments (Concluded)
February 28, 2021 (Unaudited)
| Number of | Value | ||||||
Investments Purchased with Proceeds from Securities Lending Collateral — 3.8% | ||||||||
Mount Vernon Liquid Assets Portfolio, LLC, 0.13% | 15,320,679 | $ | 15,320,679 | |||||
Total Investments Purchased with Proceeds from Securities Lending Collateral (Cost $15,320,679) | 15,320,679 | |||||||
Short-Term Investments — 0.1% | ||||||||
U.S. Bank Money Market Deposit Account, 0.01% (United States)(b) | 340,762 | 340,762 | ||||||
Total Short-Term Investments (Cost $340,762) | 340,762 | |||||||
Total Investments (Cost $287,868,203) — 103.8% | 419,368,948 | |||||||
Liabilities in Excess of Other Assets — (3.8)% | (15,230,106 | ) | ||||||
NET ASSETS — 100.0% | ||||||||
(Applicable to 11,525,000 shares outstanding) | $ | 404,138,842 |
* | Non-income producing security. |
(a) | All or a portion of the security is on loan. At February 28, 2021, the market value of securities on loan was $15,126,765. |
(b) | The rate shown is as of February 28, 2021. |
The accompanying notes are an integral part of these financial statements.
12 |
MFAM Small-Cap Growth ETF
Schedule of Investments
February 28, 2021 (Unaudited)
| Number of | Value | ||||||
Common Stocks — 96.3% | ||||||||
Aerospace & Defense — 4.4% | ||||||||
Axon Enterprise, Inc. (United States)* | 52,986 | $ | 8,768,653 | |||||
Auto Components — 2.9% | ||||||||
Fox Factory Holding Corp. (United States)* | 44,585 | 5,668,983 | ||||||
Biotechnology — 9.7% | ||||||||
Editas Medicine, Inc. (United States)*(a) | 55,973 | 2,454,976 | ||||||
PTC Therapeutics, Inc. (United States)*(a) | 133,183 | 7,604,749 | ||||||
Ultragenyx Pharmaceutical, Inc. (United States)* | 64,327 | 9,104,844 | ||||||
19,164,569 | ||||||||
Building Products — 2.2% | ||||||||
Trex Co., Inc. (United States)*(a) | 47,508 | 4,353,633 | ||||||
Diversified Consumer Services — 1.5% | ||||||||
Frontdoor, Inc. (United States)* | 55,480 | 2,905,487 | ||||||
Electronic Equipment, Instruments & Components — 3.4% | ||||||||
NLight, Inc. (United States)*(a) | 174,872 | 6,666,121 | ||||||
Equity Real Estate Investment Trusts (REITs) — 1.6% | ||||||||
STAG Industrial, Inc. (United States) | 102,526 | 3,234,695 | ||||||
Health Care Equipment & Supplies — 14.0% | ||||||||
Globus Medical, Inc., Class A (United States)* | 85,211 | 5,325,687 | ||||||
Heska Corp. (United States)*(a) | 50,762 | 9,563,561 | ||||||
iRhythm Technologies, Inc. (United States)*(a) | 29,939 | 4,817,185 | ||||||
Penumbra, Inc. (United States)*(a) | 28,371 | 8,069,564 | ||||||
27,775,997 | ||||||||
Health Care Providers & Services — 3.9% | ||||||||
HealthEquity, Inc. (United States)*(a) | 94,088 | 7,748,147 | ||||||
Health Care Technology — 2.1% | ||||||||
Schrodinger, Inc. (United States)* | 40,834 | 4,184,668 | ||||||
Insurance — 3.6% | ||||||||
Goosehead Insurance, Inc., Class A (United States) | 55,306 | 7,164,339 | ||||||
IT Services — 2.0% | ||||||||
NIC, Inc. (United States) | 116,110 | 4,030,178 |
The accompanying notes are an integral part of these financial statements.
13 |
MFAM Small-Cap Growth ETF
Schedule of Investments (CONTINUED)
February 28, 2021 (Unaudited)
| Number of | Value | ||||||
Common Stocks (continued) | ||||||||
Machinery — 5.8% | ||||||||
John Bean Technologies Corp. (United States) | 42,128 | $ | 6,216,829 | |||||
Proto Labs, Inc. (United States)*(a) | 35,904 | 5,230,495 | ||||||
11,447,324 | ||||||||
Media — 3.5% | ||||||||
Cardlytics, Inc. (United States)*(a) | 52,255 | 6,920,130 | ||||||
Real Estate Management & Development — 10.7% | ||||||||
Howard Hughes Corp., (The) (United States)* | 60,505 | 5,740,109 | ||||||
Jones Lang LaSalle, Inc. (United States)* | 62,193 | 10,820,338 | ||||||
Newmark Group, Inc., Class A (United States) | 457,483 | 4,583,980 | ||||||
21,144,427 | ||||||||
Road & Rail — 2.3% | ||||||||
Landstar System, Inc. (United States) | 27,985 | 4,481,518 | ||||||
Software — 19.1% | ||||||||
Alarm.com Holdings, Inc. (United States)* | 75,284 | 6,615,958 | ||||||
Everbridge, Inc. (United States)*(a) | 52,196 | 7,997,993 | ||||||
Paylocity Holding Corp. (United States)* | 55,795 | 10,667,446 | ||||||
Q2 Holdings, Inc. (United States)*(a) | 55,198 | 6,727,532 | ||||||
Smartsheet, Inc., Class A (United States)* | 82,074 | 5,683,625 | ||||||
37,692,554 | ||||||||
Trading Companies & Distributors — 3.6% | ||||||||
Watsco, Inc. (United States) | 29,336 | 7,131,582 | ||||||
Total Common Stocks (Cost $131,063,725) | 190,483,005 | |||||||
Investments Purchased with Proceeds from Securities Lending Collateral — 19.2% | ||||||||
Mount Vernon Liquid Assets Portfolio, LLC, 0.13% | 38,092,308 | 38,092,308 | ||||||
Total Investments Purchased with Proceeds from Securities Lending Collateral (Cost $38,092,308) | 38,092,308 | |||||||
The accompanying notes are an integral part of these financial statements.
14 |
MFAM Small-Cap Growth ETF
Schedule of Investments (Concluded)
February 28, 2021 (Unaudited)
| Number of | Value | ||||||
Short-Term Investments — 3.8% | ||||||||
U.S. Bank Money Market Deposit Account, 0.01% (United States)(b) | 7,520,536 | $ | 7,520,536 | |||||
Total Short-Term Investments (Cost $7,520,536) | 7,520,536 | |||||||
Total Investments (Cost $176,676,569) — 119.3% | 236,095,849 | |||||||
Liabilities in Excess of Other Assets — (19.3)% | (38,197,192 | ) | ||||||
NET ASSETS — 100.0% | ||||||||
(Applicable to 4,825,000 shares outstanding) | $ | 197,898,657 |
* | Non-income producing security. |
(a) | All or a portion of the security is on loan. At February 28, 2021, the market value of securities on loan was $37,400,407. |
(b) | The rate shown is as of February 28, 2021. |
The accompanying notes are an integral part of these financial statements.
15 |
Motley Fool ETFs
Statements of Assets and Liabilities
February 28, 2021 (Unaudited)
| Motley | MFAM | ||||||
ASSETS | ||||||||
Investments in securities at value (cost $272,206,762 and $131,063,725, respectively)^ | $ | 403,707,507 | $ | 190,483,005 | ||||
Investments purchased with proceeds from securities lending collateral, at value (cost $15,320,679 and $38,092,308, respectively) | 15,320,679 | 38,092,308 | ||||||
Short-term investments, at value (cost $340,762 and $7,520,536, respectively) | 340,762 | 7,520,536 | ||||||
Receivables for: | ||||||||
Dividends | 250,705 | 20,863 | ||||||
Total assets | 419,619,653 | 236,116,712 | ||||||
LIABILITIES | ||||||||
Payables for: | ||||||||
Securities lending collateral (see Note 7) | 15,320,679 | 38,092,308 | ||||||
Advisory fees | 160,132 | 125,747 | ||||||
Total liabilities | 15,480,811 | 38,218,055 | ||||||
Net assets | $ | 404,138,842 | $ | 197,898,657 | ||||
NET ASSETS CONSIST OF: | ||||||||
Par value | $ | 11,525 | $ | 4,825 | ||||
Paid-in capital | 274,532,903 | 135,871,927 | ||||||
Total distributable earnings/(losses) | 129,594,414 | 62,021,905 | ||||||
Net assets | $ | 404,138,842 | $ | 197,898,657 | ||||
Shares outstanding ($0.001 par value, 100,000,000 shares authorized) | 11,525,000 | 4,825,000 | ||||||
Net asset value, price per share | 35.07 | 41.02 | ||||||
^ Includes market value of securities on loan | $ | 15,126,765 | $ | 37,400,407 |
The accompanying notes are an integral part of these financial statements.
16 |
Motley Fool ETFs
Statements of Operations
FOR THE Six Months ENDED February 28, 2021 (Unaudited)
| Motley | MFAM | ||||||
INVESTMENT INCOME | ||||||||
Dividends | $ | 1,242,750 | $ | 210,948 | ||||
Securities lending income | 8,083 | 20,821 | ||||||
Total investment income | 1,250,833 | 231,769 | ||||||
EXPENSES | ||||||||
Advisory fees (Note 3) | 907,822 | 601,273 | ||||||
Total expenses | 907,822 | 601,273 | ||||||
Net investment income/(loss) | 343,011 | (369,504 | ) | |||||
NET REALIZED AND UNREALIZED GAIN/(LOSS) FROM INVESTMENTS | ||||||||
Net realized gain/(loss) from investments | 1,653,751 | 4,098,406 | ||||||
Net realized gain/(loss) from redemption in-kind | 729,249 | — | ||||||
Net change in unrealized appreciation/(depreciation) on investments | 14,277,257 | 35,664,990 | ||||||
Net realized and unrealized gain/(loss) on investments | 16,660,257 | 39,763,396 | ||||||
NET INCREASE/(DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ | 17,003,268 | $ | 39,393,892 |
The accompanying notes are an integral part of these financial statements.
17 |
Motley Fool 100 Index ETF
Statements of Changes in Net Assets
| FOR THE | FOR THE | ||||||
INCREASE/(DECREASE) IN NET ASSETS FROM OPERATIONS: | ||||||||
Net investment income/(loss) | $ | 343,011 | $ | 972,337 | ||||
Net realized gain/(loss) from investments | 2,383,000 | 2,822,268 | ||||||
Net change in unrealized appreciation/(depreciation) on investments | 14,277,257 | 96,115,567 | ||||||
Net increase/(decrease) in net assets resulting from operations | 17,003,268 | 99,910,172 | ||||||
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS FROM: | ||||||||
Total distributable earnings | (1,629,559 | ) | (1,030,211 | ) | ||||
Net decrease in net assets from dividends and distributions to shareholders | (1,629,559 | ) | (1,030,211 | ) | ||||
CAPITAL SHARE TRANSACTIONS: | ||||||||
Proceeds from shares sold | 52,836,952 | 75,805,220 | ||||||
Shares redeemed | (1,618,555 | ) | (23,009,180 | ) | ||||
Net increase/(decrease) in net assets from capital share transactions | 51,218,397 | 52,796,040 | ||||||
Total increase/(decrease) in net assets | 66,592,106 | 151,676,001 | ||||||
NET ASSETS: | ||||||||
Beginning of period | 337,546,736 | 185,870,735 | ||||||
End of period | $ | 404,138,842 | $ | 337,546,736 | ||||
SHARES TRANSACTIONS: | ||||||||
Shares sold | 1,550,000 | 2,750,000 | ||||||
Shares redeemed | (50,000 | ) | (1,000,000 | ) | ||||
Net increase/(decrease) in shares outstanding | 1,500,000 | 1,750,000 |
The accompanying notes are an integral part of these financial statements.
18 |
MFAM Small-Cap Growth ETF
Statements of Changes in Net Assets
| FOR THE | FOR THE | ||||||
INCREASE/(DECREASE) IN NET ASSETS FROM OPERATIONS: | ||||||||
Net investment income/(loss) | $ | (369,504 | ) | $ | (222,384 | ) | ||
Net realized gain/(loss) from investments | 4,098,406 | 9,609,632 | ||||||
Net change in unrealized appreciation/(depreciation) on investments | 35,664,990 | 18,317,993 | ||||||
Net increase/(decrease) in net assets resulting from operations | 39,393,892 | 27,705,241 | ||||||
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS FROM: | ||||||||
Total distributable earnings | (8,371,857 | ) | (979,168 | ) | ||||
Net decrease in net assets from dividends and distributions to shareholders | (8,371,857 | ) | (979,168 | ) | ||||
CAPITAL SHARE TRANSACTIONS: | ||||||||
Proceeds from shares sold | 60,132,065 | 23,164,892 | ||||||
Shares redeemed | — | (14,299,738 | ) | |||||
Net increase/(decrease) in net assets from capital share transactions | 60,132,065 | 8,865,154 | ||||||
Total increase/(decrease) in net assets | 91,154,100 | 35,591,227 | ||||||
NET ASSETS: | ||||||||
Beginning of period | 106,744,557 | 71,153,330 | ||||||
End of period | $ | 197,898,657 | $ | 106,744,557 | ||||
SHARES TRANSACTIONS: | ||||||||
Shares sold | 1,550,000 | 850,000 | ||||||
Shares redeemed | — | (625,000 | ) | |||||
Net increase/(decrease) in shares outstanding | 1,550,000 | 225,000 |
The accompanying notes are an integral part of these financial statements.
19 |
Motley Fool 100 Index ETF
Financial Highlights
Contained below is per share operating performance data for shares outstanding, total investment return/(loss), ratios to average net assets and other supplemental data for the respective periods. This information has been derived from information provided in the financial statements.
| Six-Months | YEARS ENDED AUGUST 31, | For the | |||||||||||||
| (Unaudited) | 2020 | 2019 | 2018(1) | ||||||||||||
PER SHARE OPERATING PERFORMANCE | ||||||||||||||||
Net asset value, beginning of period | $ | 33.67 | $ | 22.46 | $ | 22.10 | $ | 20.00 | ||||||||
Net investment income/(loss)(2) | 0.03 | 0.11 | 0.15 | 0.08 | ||||||||||||
Net realized and unrealized gain/(loss) from investments | 1.52 | 11.23 | 0.32 | 2.02 | ||||||||||||
Net increase/(decrease) in net assets resulting from operations | 1.55 | 11.34 | 0.47 | 2.10 | ||||||||||||
Dividends and distributions to shareholders from: | ||||||||||||||||
Net investment income | (0.10 | ) | (0.13 | ) | (0.11 | ) | — | |||||||||
Net realized capital gains | (0.05 | ) | ||||||||||||||
Total dividends and distributions to shareholders | (0.15 | ) | (0.13 | ) | (0.11 | ) | — | |||||||||
Net asset value, end of period | $ | 35.07 | $ | 33.67 | $ | 22.46 | $ | 22.10 | ||||||||
Market value, end of period | $ | 35.19 | $ | 33.66 | $ | 22.42 | $ | 22.13 | ||||||||
Total investment return/(loss) on net asset value(3) | 4.59 | %(5) | 50.67 | % | 2.27 | % | 10.49 | %(5) | ||||||||
Total investment return/(loss) on market price(4) | 4.99 | %(5) | 50.89 | % | 1.93 | % | 10.65 | %(5) | ||||||||
RATIO/SUPPLEMENTAL DATA | ||||||||||||||||
Net assets, end of period (000’s omitted) | $ | 404,139 | $ | 337,547 | $ | 185,871 | $ | 140,879 | ||||||||
Ratio of expenses to average net assets | 0.50 | %(6) | 0.50 | % | 0.50 | % | 0.50 | %(6) | ||||||||
Ratio of net investment income/(loss) to average net assets | 0.19 | %(6) | 0.43 | % | 0.69 | % | 0.68 | %(6) | ||||||||
Portfolio turnover rate | 8 | %(5) | 26 | % | 26 | % | 10 | %(5) |
(1) | Inception date of the Fund was January 29, 2018. |
(2) | Per share data calculated using average shares outstanding method. |
(3) | Total investment return/(loss) on net asset value is calculated assuming a purchase of shares on the first day and a sale of shares on the last day of each period reported and includes reinvestments of dividends and distributions, if any. |
(4) | Total investment return/(loss) on market price is calculated assuming an initial investment made at the market price on the first day of the period, reinvestment of dividends and distributions at market price during the period and redemption at market price on the last day of the period. |
(5) | Not annualized. |
(6) | Annualized. |
The accompanying notes are an integral part of these financial statements.
20 |
MFAM Small-Cap Growth ETF
Financial Highlights
Contained below is per share operating performance data for shares outstanding, total investment return/(loss) return, ratios to average net assets and other supplemental data for the respective periods. This information has been derived from information provided in the financial statements.
| Six-Months | YEAR ENDED | FOR THE | |||||||||
| (Unaudited) | 2020 | 2019(1) | |||||||||
PER SHARE OPERATING PERFORMANCE | ||||||||||||
Net asset value, beginning of period | $ | 32.59 | $ | 23.33 | $ | 20.00 | ||||||
Net investment income/(loss)(2) | (0.10 | ) | (0.07 | ) | — | (3) | ||||||
Net realized and unrealized gain/(loss) from investments | 10.68 | 9.67 | 3.33 | |||||||||
Net increase/(decrease) in net assets resulting from operations | 10.58 | 9.60 | 3.33 | |||||||||
Dividends and distributions to shareholders from: | ||||||||||||
Net realized capital gains | (2.15 | ) | (0.34 | ) | — | |||||||
Total dividends and distributions to shareholders | (2.15 | ) | (0.34 | ) | — | |||||||
Net asset value, end of period | $ | 41.02 | $ | 32.59 | $ | 23.33 | ||||||
Market value, end of period | $ | 41.12 | $ | 32.68 | $ | 23.34 | ||||||
Total investment return/(loss) on net asset value(4) | 32.93 | %(6) | 41.58 | % | 16.65 | %(6) | ||||||
Total investment return/(loss) on market price(5) | 32.78 | %(6) | 41.88 | % | 16.69 | %(6) | ||||||
RATIO/SUPPLEMENTAL DATA | ||||||||||||
Net assets, end of period (000’s omitted) | $ | 197,899 | $ | 106,745 | $ | 71,153 | ||||||
Ratio of expenses to average net assets | 0.85 | %(7) | 0.85 | % | 0.85 | %(7) | ||||||
Ratio of net investment income/(loss) to average net assets | (0.52 | )%(7) | (0.29 | )% | (0.01 | )%(7) | ||||||
Portfolio turnover rate | 6 | %(6) | 27 | % | 21 | %(6) |
(1) | Inception date of the Fund was October 29, 2018. |
(2) | Per share data calculated using average shares outstanding method. |
(3) | Amount rounds to less than 0.01 per share. |
(4) | Total investment return/(loss) on net asset value is calculated assuming a purchase of shares on the first day and a sale of shares on the last day of each period reported and includes reinvestments of dividends and distributions, if any. |
(5) | Total investment return/(loss) on market price is calculated assuming an initial investment made at the market price on the first day of the period, reinvestment of dividends and distributions at market price during the period and redemption at market price on the last day of the period. |
(6) | Not annualized. |
(7) | Annualized. |
The accompanying notes are an integral part of these financial statements.
21 |
Motley Fool ETFs
Notes to Financial Statements
February 28, 2021 (Unaudited)
1. ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
The RBB Fund, Inc. (“RBB” or the “Company”) was incorporated under the laws of the State of Maryland on February 29, 1988 and is registered under the Investment Company Act of 1940, as amended, (the “1940 Act”), as an open-end management investment company. RBB is a “series fund,” which is a mutual fund divided into separate portfolios. Each portfolio is treated as a separate entity for certain matters under the 1940 Act, and for other purposes, and a shareholder of one portfolio is not deemed to be a shareholder of any other portfolio. Currently, RBB has thirty-six separate investment portfolios, including the Motley Fool 100 Index ETF (the “Fool 100 Fund”) and the MFAM Small-Cap Growth ETF (“Small-Cap Growth Fund”) (each a “Fund” and together the “Funds”). The Fool 100 Fund and Small-Cap Growth Fund commenced investment operations on January 29, 2018 and October 29, 2018, respectively.
RBB has authorized capital of one hundred billion shares of common stock of which 87.923 billion shares are currently classified into one hundred and ninety classes of common stock. Each class represents an interest in an active or inactive RBB investment portfolio.
The investment objective of the Fool 100 Fund is to achieve investment results that correspond (before fees and expenses) generally to the total return performance of the Motley Fool 100 Index (the “Fool 100 Index”). The Fool 100 Index was developed by The Motley Fool, LLC (“The Motley Fool”), an affiliate of the Adviser, in 2017 and is a proprietary, rules-based index designed to track the performance of the 100 largest, most liquid U.S. companies that have been recommended by The Motley Fool’s analysts and newsletters or the highest-rated stocks in Fool IQ, the company’s analyst opinion database. Every company include in the Fool 100 Index is incorporated and listed in the U.S. The investment objective of the Small-Cap Growth Fund is to achieve long-term capital appreciation.
The Funds are investment companies and follow accounting and reporting guidance in the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946 “Financial Services - Investment Companies”.
The end of the reporting period for the Funds is February 28, 2021, and the period covered by these Notes to Financial Statements is the six-months ended February 28, 2021 (the “current fiscal period”).
PORTFOLIO VALUATION — Each Fund’s net asset value (“NAV”) is calculated once daily at the close of regular trading hours on the New York Stock Exchange (“NYSE”) (generally 4:00 p.m. Eastern time) on each day the NYSE is open. Securities held by the Funds are valued using the closing price or the last sale price on a national securities exchange or the National Association of Securities Dealers Automatic Quotation System (“NASDAQ”) market system where they are primarily traded. Equity securities traded in the over-the-counter (“OTC”) market are valued at their closing prices. If there were no transactions on that day, securities traded principally on an exchange or on NASDAQ will be valued at the mean of the last bid and ask prices prior to the market close. Fixed income securities are valued using an independent pricing service, which considers such factors as security prices, yields, maturities and ratings, and are deemed representative of market values at the close of the market. Foreign securities are valued based on prices from the primary market in which they are traded, and are translated from the local currency into U.S. dollars using current exchange rates. If market quotations are unavailable or deemed unreliable, securities will be valued in accordance with procedures adopted by the Company’s Board of Directors (the “Board”). Relying on prices supplied by pricing services or dealers or using fair valuation may result in values that are higher or lower than the values used by other investment companies and investors to price the same investments. Such procedures use fundamental valuation methods, which may include, but are not limited to, an analysis of the effect of any restrictions on the resale of the security, industry analysis and trends, significant changes in the issuer’s financial position, and any other event which could have a significant impact on the value of the security. Determination of fair value involves subjective judgment as the actual market value of a particular security can be established only by negotiations between the parties in a sales transaction, and the difference between the recorded fair value and the value that would be received in a sale could be significant.
FAIR VALUE MEASUREMENTS — The inputs and valuation techniques used to measure the fair value of the Funds’ investments are summarized into three levels as described in the hierarchy below:
● | Level 1 – Prices are determined using quoted prices in active markets for identical securities. |
● | Level 2 – Prices are determined using other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.). |
22 |
Motley Fool ETFs
Notes to Financial Statements (continued)
February 28, 2021 (Unaudited)
● | Level 3 – Prices are determined using significant unobservable inputs (including the Funds’ own assumptions in determining the fair value of investments). |
The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The following is a summary of the inputs used, as of the end of the reporting period, in valuing the Funds’ investments carried at fair value:
FOOL 100 FUND
| TOTAL | LEVEL 1 | LEVEL 2 | LEVEL 3 | INVESTMENTS | |||||||||||||||
Common Stocks | $ | 403,582,458 | $ | 403,582,458 | $ | — | $ | — | $ | — | ||||||||||
Rights | 125,049 | — | 125,049 | — | — | |||||||||||||||
Investments Purchased with Proceeds From Securities Lending Collateral | 15,320,679 | — | — | — | 15,320,679 | |||||||||||||||
Short-Term Investments | 340,762 | 340,762 | — | — | — | |||||||||||||||
Total Investments* | $ | 419,368,948 | $ | 403,923,220 | $ | 125,049 | $ | — | $ | 15,320,679 |
SMALL-CAP GROWTH FUND
| TOTAL | LEVEL 1 | LEVEL 2 | LEVEL 3 | INVESTMENTS | |||||||||||||||
Common Stocks | $ | 190,483,005 | $ | 190,483,005 | $ | — | $ | — | $ | — | ||||||||||
Investments Purchased with Proceeds From Securities Lending Collateral | 38,092,308 | — | — | — | 38,092,308 | |||||||||||||||
Short-Term Investments | 7,520,536 | 7,520,536 | — | — | — | |||||||||||||||
Total Investments* | $ | 236,095,849 | $ | 198,003,541 | $ | — | $ | — | $ | 38,092,308 |
* | Please refer to the Schedule of Investments for further details. |
^ | Certain investments that are measured at fair value using the net asset value per share (or its equivalent) practical expedient have not been categorized in the fair value hierarchy. The fair value amounts presented in the table are intended to permit reconciliation of the fair value hierarchy to the amounts presented in the Statements of Assets and Liabilities. |
At the end of each quarter, management evaluates the classification of Levels 1, 2 and 3 assets and liabilities. Various factors are considered, such as changes in liquidity from the prior reporting period; whether or not a broker is willing to execute at the quoted price; the depth and consistency of prices from third party pricing services; and the existence of contemporaneous, observable trades in the market. Additionally, management evaluates the classification of Levels 1, 2 and 3 assets and liabilities on a quarterly basis for changes in listings or delistings on national exchanges.
Due to the inherent uncertainty of determining the fair value of investments that do not have a readily available market value, the fair value of the Funds’ investments may fluctuate from period to period. Additionally, the fair value of investments may differ significantly from the values that would have been used had a ready market existed for such investments and may differ materially from the values the Funds may ultimately realize. Further, such investments may be subject to legal and other restrictions on resale or otherwise less liquid than publicly traded securities.
23 |
Motley Fool ETFs
Notes to Financial Statements (continued)
February 28, 2021 (Unaudited)
For fair valuations using significant unobservable inputs, U.S. generally accepted accounting principles (“U.S. GAAP”) requires each Fund to present a reconciliation of the beginning to ending balances for reported market values that presents changes attributable to total realized and unrealized gains or losses, purchase and sales, and transfers in and out of Level 3 during the period. Transfers in and out between levels are based on values at the end of the period. A reconciliation of Level 3 investments is presented only when a Fund had an amount of Level 3 investments at the end of the reporting period that was meaningful in relation to its net assets. The amounts and reasons for all Level 3 transfers are disclosed if a Fund had an amount of total Level 3 transfers during the reporting period that was meaningful in relation to its net assets as of the end of the reporting period.
During the current fiscal period, the Funds had no Level 3 transfers.
USE OF ESTIMATES — The preparation of financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates and those differences could be significant.
INVESTMENT TRANSACTIONS, INVESTMENT INCOME AND EXPENSES — The Funds record security transactions based on trade date for financial reporting purposes. The cost of investments sold is determined by use of the specific identification method for both financial reporting and income tax purposes in determining realized gains and losses on investments. Interest income (including amortization of premiums and accretion of discounts) is accrued when earned. Dividend income is recorded on the ex-dividend date. Distributions received on securities that represent a return of capital or capital gains are recorded as a reduction of cost of investments and/or as a realized gain. Expenses and fees, including investment advisory fees, are accrued daily and taken into account for the purpose of determining the NAV of each Fund.
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS — Each Fund pays dividends from its net investment income and distributes any net capital gains that it realizes. Dividends and capital gains distributions are generally paid once a year and as required to comply with federal excise tax requirements. Distributions to shareholders are determined in accordance with tax regulations and recorded on ex dividend date. Additionally, each Fund reports details of distribution-related transactions on quarterly account statements. You may not receive a separate confirmation statement for these transactions.
U.S. TAX STATUS — No provision is made for U.S. income taxes as it is the Funds’ intention to continue to qualify for and elect the tax treatment applicable to regulated investment companies under Subchapter M of the Internal Revenue Code of 1986, as amended, and make the requisite distributions to its shareholders which will be sufficient to relieve it from U.S. income and excise taxes.
CORONAVIRUS (COVID-19) PANDEMIC — The global outbreak of COVID-19 (commonly referred to as “coronavirus”) has disrupted economic markets and the prolonged economic impact is uncertain. The ultimate economic fallout from the pandemic, and the long-term impact on economies, markets, industries and individual issuers are not known. The operational and financial performance of the issuers of securities in which the Funds invest depends on future developments, including the duration and spread of the outbreak, and such uncertainty may in turn adversely affect the value and liquidity of the Funds’ investments, impair the Funds’ ability to satisfy redemption requests, and negatively impact the Funds’ performance.
CASH AND CASH EQUIVALENTS — Cash and cash equivalents are valued at cost plus accrued interest, which approximates market value.
OTHER — In the normal course of business, the Funds may enter into contracts that provide general indemnifications. Each Fund’s maximum exposure under these arrangements is dependent on claims that may be made against the Funds in the future, and, therefore, cannot be estimated; however, the Funds expect the risk of material loss from such claims to be remote.
2. Investment Policies and Practices
The sections below describe some of the different types of investments that may be made by the Funds and the investment practices in which the Funds may engage.
TYPES OF FIXED-INCOME SECURITIES — Each Fund may invest in bonds and other types of debt obligations of U.S. and foreign issuers. Fixed income securities purchased by a Fund may include, among others, bonds, notes, and debentures issued by corporations; debt securities issued or guaranteed by the U.S. government or one of its agencies or instrumentalities
24 |
Motley Fool ETFs
Notes to Financial Statements (continued)
February 28, 2021 (Unaudited)
(“U.S. Government Securities”); municipal securities; mortgage-backed and asset-backed securities; and debt securities issued or guaranteed by foreign governments, their agencies, instrumentalities, or political subdivisions, or by government-owned, -controlled, or -sponsored entities, including central banks. These investments also include money market instruments and other types of obligations. Investors should recognize that, although securities ratings issued by S&P Global Ratings (“S&P”), a division of The McGraw-Hill Companies, Inc., and Moody’s Investors Services©, Inc. (“Moody’s”), provide a generally useful guide as to credit risks, they do not offer any criteria to evaluate interest rate risk. Changes in interest rate levels generally cause fluctuations in the prices of fixed-income securities and will, therefore, cause fluctuations in the NAV per share of a Fund. Subsequent to the purchase of a fixed-income security by a Fund, the ratings or credit quality of such security may deteriorate. Any such subsequent adverse changes in the rating or quality of a security held by a Fund would not require a Fund to sell the security.
REAL ESTATE INVESTMENT TRUSTS — Real estate investment trusts (“REITs”) are pooled investment vehicles that manage a portfolio of real estate or real estate-related loans to earn profits for their shareholders. REITs are generally classified as equity REITs, mortgage REITs, or a combination of equity and mortgage REITs. Investing in REITs involves certain unique risks in addition to those risks associated with investing in the real estate industry in general. Equity REITs may be affected by changes in the value of the underlying property owned by the REITs, while mortgage REITs may be affected by the quality of the borrower on any credit extended. REITs are dependent upon management skills, may not be diversified geographically or by property type, and are subject to heavy cash-flow dependency, default by borrowers, and self-liquidation. REITs must also meet certain requirements under the Internal Revenue Code of 1986, as amended (the “Code”), to avoid entity level tax and be eligible to pass through certain tax attributes of their income to shareholders. REITs are consequently subject to the risk of failing to meet these requirements for favorable tax treatment and of failing to maintain their exemptions from registration under the 1940 Act. REITs are also subject to the risks of changes in the Code, affecting their tax status.
REITs (especially mortgage REITs) are also subject to interest rate risks. When interest rates decline, the value of a REIT’s investment in fixed-rate obligations can be expected to rise. Conversely, when interest rates rise, the value of a REIT’s investment in fixed-rate obligations can be expected to decline. In contrast, as interest rates on adjustable-rate mortgage loans are reset periodically, yields on a REIT’s investments in such loans will gradually align themselves to reflect changes in market interest rates, causing the value of such investments to fluctuate less dramatically in response to interest rate fluctuations than would investments in fixed-rate obligations.
The management of a REIT may be subject to conflicts of interest with respect to the operation of the business of the REIT and may be involved in real estate activities competitive with the REIT. REITs may own properties through joint ventures or in other circumstances in which a REIT may not have control over its investments. REITs may use significant amounts of leverage.
REITs often do not provide complete tax information until after the end of the calendar year. Consequently, because of the delay, it may be necessary for a Fund, if invested in REITs, to request permission to extend the deadline for issuance of Forms 1099-DIV beyond January 31. Alternatively, amended Forms 1099-DIV may be sent.
TEMPORARY INVESTMENTS — During periods of adverse market or economic conditions, a Fund may temporarily invest all or a substantial portion of its assets in high-quality, fixed-income securities, money market instruments, and shares of money market mutual funds, or it may hold cash. At such times, a Fund would not be pursuing its stated investment objective with its usual investment strategies. A Fund may also hold these investments for liquidity purposes. Fixed-income securities will be deemed to be of high quality if they are rated “A” or better by S&P or Moody’s or, if unrated, are determined to be of comparable quality by the Adviser. Money market instruments are high-quality, short-term fixed income obligations (which generally have remaining maturities of one year or less), and may include U.S. Government Securities, commercial paper, certificates of deposit and banker’s acceptances issued by domestic branches of United States banks that are members of the Federal Deposit Insurance Corporation, and repurchase agreements for US. Government Securities. In lieu of purchasing money market instruments, a Fund may purchase shares of money market mutual funds that invest primarily in U.S. Government Securities and repurchase agreements involving those securities, subject to certain limitations imposed by the 1940 Act. A Fund, as an investor in a money market fund, will indirectly bear the fees and expenses of the money market fund. These indirect fees and expenses will be in addition to the fees and expenses of the Funds. Repurchase agreements involve certain risks not associated with direct investments in debt securities.
25 |
Motley Fool ETFs
Notes to Financial Statements (continued)
February 28, 2021 (Unaudited)
3. INVESTMENT adviser and other services
Each Fund pays all of its expenses other than those expressly assumed by Motley Fool Asset Management, LLC (the “Adviser”). Expenses of each Fund are deducted from the Fund’s total income before dividends are paid. Subject to the supervision of the Board, the Adviser manages the overall investment operations of each Fund in accordance with the Fund’s respective investment objective and policies and formulates a continuing investment strategy for each Fund pursuant to the terms of the Investment Advisory Agreements between the Adviser and the Company on behalf of each Fund. The Adviser is a wholly-owned subsidiary of Motley Fool Investment Management, LLC, which is a wholly owned subsidiary of The Motley Fool Holdings Inc. (“TMF Holdings”), a multimedia financial-services holding company that also owns The Motley Fool, which publishes investment information and analysis across a wide range of media, including investment newsletter services, websites, and books. TMF Holdings is controlled by David Gardner and Tom Gardner, along with other private shareholders. The Funds compensate the Adviser with a unitary management fee for its services at an annual rate of 0.50% for the Fool 100 Fund and 0.85% for the Small-Cap Growth Fund; based on each Fund’s average daily net assets (the “Advisory Fee”), payable on a monthly basis in arrears. From the Advisory Fee, the Adviser pays most of the expenses of each Fund, including the cost of transfer agency, custody, fund administration, legal, audit and other services. However, the Adviser is not responsible for interest expenses, brokerage commissions and other trading expenses, fees and expenses of independent directors and their independent counsel, taxes and other extraordinary costs such as litigation and other expenses not incurred in the ordinary course of business.
During the current fiscal period, investment advisory fees accrued were as follows:
FUND | ADVISORY FEES | |||
Fool 100 Fund | $ | 907,822 | ||
Small-Cap Growth Fund | 601,273 |
U.S. Bancorp Fund Services, LLC (“Fund Services”), doing business as U.S. Bank Global Fund Services, serves as administrator for the Funds. For providing administrative and accounting services, Fund Services is entitled to receive a monthly fee, subject to certain minimum and out of pocket expenses.
Fund Services serves as the Funds’ transfer and dividend disbursing agent. For providing transfer agent services, Fund Services is entitled to receive a monthly fee, subject to certain minimum and out of pocket expenses.
U.S. Bank, N.A. (the “Custodian”) provides certain custodial services to the Funds. The Custodian is entitled to receive a monthly fee, subject to certain minimum and out of pocket expenses.
Quasar Distributors, LLC (the “Distributor”), a wholly-owned broker-dealer subsidiary of Foreside Financial Group, LLC, serves as the principal underwriter and distributor of the Funds’ shares pursuant to a Distribution Agreement with RBB.
Under the Fund’s unitary fee, the Adviser compensates Fund Services and the Custodian for its services provided.
DIRECTOR AND OFFICER COMPENSATION — The Directors of the Company receive an annual retainer and meeting fees for meetings attended. An employee of Vigilant Compliance, LLC serves as President and Chief Compliance Officer of the Company. Vigilant Compliance, LLC is compensated for the services provided to the Company. Employees of RBB serve as Treasurer, Secretary and Director of Marketing & Business Development of the Company. They are compensated for services provided. Certain employees of Fund Services serve as officers of the Company. They are not compensated by the Funds or the Company. Until October 1, 2020, an employee of Vigilant Compliance, LLC served as Chief Compliance Officer of the Adviser. Neither the Funds nor the Company compensated this individual or Vigilant Compliance, LLC for the services provided to Motley Fool Asset Management. For Director and Officer compensation amounts, please refer to the Statements of Operations.
26 |
Motley Fool ETFs
Notes to Financial Statements (continued)
February 28, 2021 (Unaudited)
4. PURCHASES AND SALES OF INVESTMENT SECURITIES
During the current fiscal period, aggregate purchases and sales and maturities of investment securities (excluding in-kind transactions and short-term investments) of the Funds were as follows:
FUND | PURCHASES | SALES | ||||||
Fool 100 Fund | $ | 29,484,431 | $ | 29,635,220 | ||||
Small-Cap Growth Fund | 7,785,915 | 17,648,497 |
There were no purchases or sales of long-term U.S. Government Securities during the current fiscal period.
During the current fiscal period, aggregate purchases and sales and maturities of in-kind transactions of the Funds were as follows:
FUND | PURCHASES | SALES | ||||||
Fool 100 Fund | $ | 51,836,701 | $ | 1,588,188 | ||||
Small-Cap Growth Fund | 57,372,148 | — |
5. Federal Income tax information
The Funds have followed the authoritative guidance on accounting for and disclosure of uncertainty in tax positions, which requires the Funds to determine whether a tax position is more likely than not to be sustained upon examination, including resolution of any related appeals or litigation processes, based on the technical merits of the position. The Funds have determined that there was no effect on the financial statements from following this authoritative guidance. In the normal course of business, the Funds are subject to examination by federal, state and local jurisdictions, where applicable, for tax years for which applicable statutes of limitations have not expired.
As of August 31, 2020, the federal tax cost, aggregate gross unrealized appreciation and depreciation of securities held by the Funds were as follows:
FUND | FEDERAL | UNREALIZED | UNREALIZED | NET UNREALIZED | ||||||||||||
Fool 100 Fund | $ | 242,342,659 | $ | 119,341,734 | $ | (3,953,973 | ) | $ | 115,387,761 | |||||||
Small-Cap Growth Fund | 101,038,604 | 29,155,740 | (5,419,216 | ) | 23,736,524 |
Distributions to shareholders, if any, from net investment income and realized gains are determined in accordance with federal income tax regulations, which may differ from net investment income and realized gains recognized for financial reporting purposes. Accordingly, the character of distributions and composition of net assets for tax purposes may differ from those reflected in the accompanying financial statements. To the extent these differences are permanent, such amounts are reclassified within the capital accounts based on the tax treatment; temporary differences do not require such reclassification.
27 |
Motley Fool ETFs
Notes to Financial Statements (continued)
February 28, 2021 (Unaudited)
The following permanent differences as of August 31, 2020, primarily attributable to foreign currency transactions and in-kind redemptions gains, were reclassified among the following accounts:
FUND | DISTRIBUTABLE | PAID-IN | ||||||
Fool 100 Fund | $ | (5,020,345 | ) | $ | 5,020,345 | |||
Small-Cap Growth Fund | (2,104,637 | ) | 2,104,637 |
As of August 31, 2020, the components of distributable earnings on a tax basis were as follows:
FUND | UNDISTRIBUTED | UNDISTRIBUTED | CAPITAL | QUALIFIED | OTHER | UNREALIZED | Total | |||||||||||||||||||||
Fool 100 Fund | $ | 769,933 | $ | — | $ | (1,936,989 | ) | $ | — | $ | — | $ | 115,387,761 | $ | 114,220,705 | |||||||||||||
Small-Cap Growth Fund | 445,717 | 6,817,629 | — | — | — | 23,736,524 | 30,999,870 |
The differences between the book and tax basis components of distributable earnings relate primarily to the timing of recognition of income and gains for federal income tax purposes.
The tax character of dividends and distributions paid during the fiscal period ended August 31, 2020 were as follows:
FUND | ORDINARY | LONG-TERM | TOTAL | |||||||||
Fool 100 Fund | $ | 1,030,211 | $ | — | $ | 1,030,211 | ||||||
Small-Cap Growth Fund | 966,374 | 12,794 | 979,168 |
Dividends from net investment income and short-term capital gains are treated as ordinary income dividends for federal income tax purposes.
Under the Regulated Investment Company Modernization Act of 2010, the Funds are permitted to carry forward capital losses incurred in taxable years beginning after December 22, 2010 for an unlimited period. Additionally, capital losses that are carried forward will retain their character as either short-term or long-term capital losses rather than being considered all short-term as under the previous law. As of August 31, 2020, the Fool 100 Fund had unexpiring short-term and long-term losses of $1,324,951 and 612,038, respectively.
6. SHARE TRANSACTIONS
Shares of the Funds are listed and trade on the Cboe BZX Exchange, Inc. (the “Exchange”). Market prices for the shares may be different from their NAV. Each Fund issues and redeems shares on a continuous basis at NAV only in blocks of 25,000 shares, called “Creation Units.” Creation Units are issued and redeemed principally in-kind for securities included in a specified universe. 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 each Fund. Creation Units 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 Participant Agreement with the Distributor. Most retail investors
28 |
Motley Fool ETFs
Notes to Financial Statements (continued)
February 28, 2021 (Unaudited)
do not qualify as Authorized Participants nor have the resources to buy and sell whole Creation Units. Therefore, they are unable to purchase or redeem shares directly from each Fund. 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, no deferred sales charge, and no redemption fee. A fixed transaction fee is imposed for the transfer and other transaction costs associated with the purchase or sale of Creation Units. The standard fixed transaction fee for each Fund is $250, payable to the custodian. 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 each Fund for the transaction costs associated with the cash transactions. Variable fees received by each Fund, if any, are displayed in the capital shares transactions section of the Statements of Changes in Net Assets. Each Fund may issue an unlimited number of shares of beneficial interest, with $0.001 par value per share. Shares of each Fund have equal rights and privileges.
7. SECURITIES LENDING
The Funds may make secured loans of its portfolio securities to brokers, dealers and other financial institutions to earn additional income and receive cash collateral equal to at least 100% of the current market value of the loaned securities, as marked to market each day that the NAV of the Funds is determined. When the collateral falls below specified amounts, the Funds’ lending agent will use its best effort to obtain additional collateral on the next business day to meet required amounts under the security lending agreement. The Funds will pay administrative and custodial fees in connection with the loan of securities. Collateral is invested in short-term investments and the Funds will bear the risk of loss of the invested collateral. Investments purchased with proceeds from securities lending are overnight and continuous. Securities lending will expose the Funds to the risk of loss should a borrower default on its obligation to return the borrowed securities. The market value of the securities on loan and cash collateral as of the end of the reporting period and the income generated from the program during the current fiscal period with respect to such secured loans were as follows:
FUND | MARKET VALUE | MARKET VALUE | INCOME | |||||||||
Fool 100 Fund | $ | 15,126,765 | $ | 15,320,679 | $ | 8,083 | ||||||
Small-Cap Growth Fund | 37,400,407 | 38,092,308 | 20,821 |
Securities lending transactions are entered into by the Funds’ securities lending agent on behalf of the Funds’ under a Master Securities Lending Agreement (“MSLA”) which permits the Funds’ securities lending agent on behalf of the Funds under certain circumstances including an event of default (such as bankruptcy or insolvency), to offset amounts payable on behalf of the
29 |
Motley Fool ETFs
Notes to Financial Statements (concluded)
February 28, 2021 (Unaudited)
Funds to the same counterparty against amounts to be received and create one single net payment due to or from the Funds. The following table is a summary of the Funds’ open securities lending transactions which are subject to a MSLA as of the end of the reporting period:
GROSS AMOUNTS NOT OFFSET IN THE | ||||||||||||||||||||||||
FUND | GROSS | GROSS | NET AMOUNTS | FINANCIAL | CASH | NET | ||||||||||||||||||
Fool 100 Fund | $ | 15,126,765 | $ | — | $ | 15,126,765 | $ | (15,126,765 | ) | $ | — | $ | — | |||||||||||
Small-Cap Growth Fund | 37,400,407 | — | 37,400,407 | (37,400,407 | ) | — | — |
1 | Amount disclosed is limited to the amount of assets presented in the Statements of Assets and Liabilities. Actual collateral received may be more than the amount shown. |
2 | Net amount represents the net amount receivable from the counterparty in the event of default. |
8. Subsequent Events
Management has evaluated the impact of all subsequent events on the Funds through the date the financial statements were issued and has determined that there were no significant events requiring recognition or disclosure in the financial statements.
30 |
Motley Fool ETFs
Notice to Shareholders
(Unaudited)
Information on Proxy Voting
Policies and procedures that the Funds use to determine how to vote proxies relating to portfolio securities as well as information regarding how the Funds voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 are available (i) without charge, upon request, by calling (888) 863-8803; and (ii) on the SEC’s website at http://www.sec.gov.
Quarterly Schedule of Investments
The Company files a complete schedule of portfolio holdings with the SEC for the first and third fiscal quarters of each fiscal year (quarters ended November 30 and May 31) as an exhibit to its report on Form N-PORT. The Company’s Form N-PORT are available on the SEC’s website at http://www.sec.gov.
Frequency Distributions of Premiums and Discounts
Information regarding how often shares of the Funds trade on an exchange at a price above (i.e., at a premium) or below (i.e., at a discount) the NAV of the Funds is available, without charge, on the Funds’ website at www.mfamfunds.com.
31 |
Motley Fool ETFs
Liquidity Risk Management Program
(Unaudited)
The Company has adopted and implemented a Liquidity Risk Management Program (the “Company Program”) as required by rule 22e-4 under the 1940 Act. In accordance with the Company Program, the Adviser has adopted and implemented a liquidity risk management program (the “Adviser Program” and together with the Company Program, the “Programs”) on behalf of the Funds. The Programs seek to assess, manage and review each Fund’s Liquidity Risk. “Liquidity Risk” is defined as the risk that a Fund could not meet requests to redeem shares issued by the Fund without significant dilution of remaining investors’ interest in the Fund.
The Board has appointed Vigilant Compliance, LLC (“Vigilant”) as the program administrator for the Company Program and the Adviser as the program administrator for the Adviser Program. The Adviser has delegated oversight of the Adviser Program to its Liquidity Committee, whose process of monitoring and determining the liquidity of each Fund’s investments is supported by one or more third-party vendors.
At meetings held during the fiscal period, the Board and its Investment and Liquidity Risk Committee received and reviewed a written report (the “Report”) of Vigilant and the Adviser concerning the operation of the Programs for the period from June 1, 2019 to June 30, 2020 (the “Period”). The Report summarized the operation of the Programs and the information and factors considered by Vigilant and the Adviser in reviewing the adequacy and effectiveness of the implementation of the Programs with respect to each Fund. Such information and factors included, among other things: (i) the methodology used to classify the liquidity of each Fund’s portfolio investments and the Adviser’s assessment that each Fund’s strategy remained appropriate for an open-end mutual fund; (ii) analyses of each Fund’s trading environment and reasonably anticipated trading size; (iii) that each Fund held primarily highly liquid assets (investments that the Fund anticipates can be converted to cash within 3 business days or less in current market conditions without significantly changing their market value); (iv) the Small-Cap Growth Fund held a percentage of highly liquid assets above its highly liquid investment minimum at all times during the Period; (v) that the Fool 100 Fund did not require the establishment of a highly liquid investment minimum and the methodology for that determination; (vi) confirmation that none of the Funds had breached the 15% maximum illiquid security threshold (investments that cannot be sold or disposed of in seven days or less in current market conditions without the sale of the investment significantly changing the market value of the investment) and the procedures for monitoring compliance with the limit; (vii) that the processes, technologies and third-party vendors used to assess, manage, and/or periodically review each Fund’s Liquidity Risk functioned appropriately during the Period; and (viii) that the Programs operated adequately during the Period. The Report also summarized the changes made to the Programs over the course of the Period.
Based on the review, the Report concluded that the Programs were being implemented effectively and reasonably designed to assess and manage Liquidity Risk in each Fund’s portfolio.
There can be no assurance that the Company Program or the Adviser Program will achieve its objectives under all circumstances in the future. Please refer to the Funds’ prospectus for more information regarding a Fund’s exposure to liquidity risk and other risks to which it may be subject.
32 |
Investment Adviser
Motley Fool Asset Management, LLC
2000 Duke Street
Suite 275
Alexandria, VA 22314
Administrator and Transfer Agent
U.S. Bancorp Fund Services, LLC
P.O. Box 701
Milwaukee, WI 53201
Custodian
U.S. Bank, N.A.
1555 North Rivercenter Drive, Suite 302
Milwaukee, WI 53212
Principal Underwriter
Quasar Distributors, LLC
111 E Kilbourn Ave, Suite 2200
Milwaukee, WI 53202
Independent Registered Public Accounting Firm
Tait, Weller & Baker LLP
Two Liberty Place
50 S 16th St. Suite 2900
Philadelphia, PA 19102-2529
Legal Counsel
Faegre Drinker Biddle & Reath LLP
One Logan Square, Suite 2000
Philadelphia, PA 19103-6996
33 |
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Stay informed about your investment!
Shareholders like you are very important to us, we’d love to hear your feedback and answer questions! If you have a question or comment please send it to fundservice@mfamfunds.com.
ORINDA FUNDS
Semi-Annual Report
February 28, 2021
(Unaudited)
Orinda Income Opportunities Fund
of
the RBB Fund, Inc.
Class I Shares – OIOIX
Class A Shares – OIOAX
Class D Shares – OIODX
|
Table of Contents
Performance Data | 1 |
Fund Expense Examples | 4 |
Allocation of Portfolio Assets | 5 |
Schedule of Investments | 6 |
Financial Statements | 10 |
Statement of Assets and Liabilities | 10 |
Statement of Operations | 12 |
Statements of Changes in Net Assets | 13 |
Statement of Cash Flows | 15 |
Financial Highlights | 17 |
Notes to Financial Statements | 20 |
Notice to Shareholders | 30 |
Liquidity Risk Management Program | 31 |
Orinda Income Opportunities Fund Performance Data February 28, 2021 (Unaudited) |
Average Annual Total Returns for the Periods ended February 28, 2021 | ||||||
Six | One | Three | Five | Since | ||
Class I Shares (No Load) | 13.88% | -10.49% | -0.42% | 3.13% | 1.90% | |
Bloomberg Barclays U.S. Aggregate Bond Index | -1.55% | 1.38% | 5.32% | 3.55% | 3.49% |
(1) | Not annualized. |
(2) | Inception date of Class I Shares of the Fund was June 28, 2013. |
Until December 31, 2021, the Adviser has agreed to waive its fees to the extent necessary to maintain annualized expense ratios for the Class I Shares of average daily net assets of 1.40% (excluding certain items discussed below). In determining the Adviser’s obligation to waive advisory fees and/or reimburse expenses, the following expenses are not taken into account and could cause the Fund’s net annualized expense ratio to exceed the applicable expense limitation: acquired fund fees and expenses, short sale dividend expenses, brokerage commissions, extraordinary items, interest and taxes. There can be no assurance that the Adviser will continue such waiver for the Fund after December 31, 2021. The Fund’s expense ratio for the Class I Shares, as stated in the current prospectus, is 1.80%.
Performance data quoted represents past performance; past performance does not guarantee future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance of the Fund may be lower or higher than the performance quoted. Performance data current to the most recent month end may be obtained by calling 1-855-467-4632.
The Bloomberg Barclays U.S. Aggregate Bond Index is an unmanaged, market capitalization-weighted index, comprised predominately of U.S. traded investment grade bonds with maturities of one year or more. The index includes Treasury securities, Government agency bonds, mortgage-backed bonds, and corporate bonds. The index is representative of intermediate duration US investment grade debt securities. It is not possible to invest directly in an index.
1
Orinda Income Opportunities Fund Performance Data (Continued) February 28, 2021 (Unaudited) |
Average Annual Total Returns for the Periods ended February 28, 2021 | ||||||
Six | One | Three | Five | Since | ||
Class A Shares (No Load) | 13.75% | -10.77% | -0.70% | 2.83% | 1.60% | |
Class A Shares (Load) | 8.05% | -15.23% | -2.39% | 1.78% | 0.92% | |
Bloomberg Barclays U.S. Aggregate Bond Index | -1.55% | 1.38% | 5.32% | 3.55% | 3.49% |
(1) | Not annualized. |
(2) | Inception date of Class A Shares of the Fund was June 28, 2013. |
Until December 31, 2021, the Adviser has agreed to waive its fees to the extent necessary to maintain annualized expense ratios for the Class A Shares of average daily net assets of 1.65% (excluding certain items discussed below). In determining the Adviser’s obligation to waive advisory fees and/or reimburse expenses, the following expenses are not taken into account and could cause the Fund’s net annualized expense ratio to exceed the applicable expense limitation: acquired fund fees and expenses, short sale dividend expenses, brokerage commissions, extraordinary items, interest and taxes. There can be no assurance that the Adviser will continue such waiver for the Fund after December 31, 2021. The Fund’s expense ratio for the Class A Shares, as stated in the current prospectus, is 2.05%.
Performance data quoted represents past performance; past performance does not guarantee future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance of the Fund may be lower or higher than the performance quoted. Performance data shown for Class A Shares (Load) reflects the Class A maximum sales charge of 5.00%. Performance data current to the most recent month end may be obtained by calling 1-855-467-4632.
The Bloomberg Barclays U.S. Aggregate Bond Index is an unmanaged, market capitalization-weighted index, comprised predominately of U.S. traded investment grade bonds with maturities of one year or more. The index includes Treasury securities, Government agency bonds, mortgage-backed bonds, and corporate bonds. The index is representative of intermediate duration US investment grade debt securities. It is not possible to invest directly in an index.
2
Orinda Income Opportunities Fund Performance Data (CONCLUDED) February 28, 2021 (Unaudited) |
Average Annual Total Returns for the Periods ended February 28, 2021 | ||||||
Six | One | Three | Five | Since | ||
Class D Shares (No Load) | 13.34% | -11.36% | -1.39% | 2.12% | 0.95% | |
Bloomberg Barclays U.S. Aggregate Bond Index | -1.55% | 1.38% | 5.32% | 3.55% | 3.53% |
(1) | Not annualized. |
(2) | Inception date of Class D Shares of the Fund was September 27, 2013. |
Until December 31, 2021, the Adviser has agreed to waive its fees to the extent necessary to maintain annualized expense ratios for the Class D Shares of average daily net assets of 2.40% (excluding certain items discussed below). In determining the Adviser’s obligation to waive advisory fees and/or reimburse expenses, the following expenses are not taken into account and could cause the Fund’s net annualized expense ratio to exceed the applicable expense limitation: acquired fund fees and expenses, short sale dividend expenses, brokerage commissions, extraordinary items, interest and taxes. There can be no assurance that the Adviser will continue such waiver for the Fund after December 31, 2021. The Fund’s expense ratio for the Class D Shares, as stated in the current prospectus, is 2.80%.
Performance data quoted represents past performance; past performance does not guarantee future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance of the Fund may be lower or higher than the performance quoted. Performance data current to the most recent month end may be obtained by calling 1-855-467-4632.
The Bloomberg Barclays U.S. Aggregate Bond Index is an unmanaged, market capitalization-weighted index, comprised predominately of U.S. traded investment grade bonds with maturities of one year or more. The index includes Treasury securities, Government agency bonds, mortgage-backed bonds, and corporate bonds. The index is representative of intermediate duration US investment grade debt securities. It is not possible to invest directly in an index.
3
Orinda Income Opportunities Fund Fund Expense Examples February 28, 2021 (Unaudited) |
As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments, (if any); and (2) ongoing costs, including management fees; distribution and/or service (12b-1) fees and other Fund expenses. These examples are intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
These examples are based on an investment of $1,000 invested at the beginning of the six-month period from September 1, 2020 to February 28, 2021.
ACTUAL EXPENSES
The first section in the accompanying table provides information about actual account values and actual expenses. You may use the information in this section together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the section under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
The second section of the accompanying table provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare these 5% hypothetical examples with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the accompanying table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads) or exchange fees. Therefore, the second section of the accompanying table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
| Beginning | Ending | Expenses | ANNUALIZED | ACTUAL | |||||||||||||||
Actual | ||||||||||||||||||||
Class I Shares | $ | 1,000.00 | $ | 1,138.80 | $ | 7.69 | 1.45 | % | 13.88 | % | ||||||||||
Class A Shares | 1,000.00 | 1,137.50 | 9.01 | 1.70 | 13.75 | |||||||||||||||
Class D Shares | 1,000.00 | 1,121.25 | 10.96 | 2.45 | 13.34 | |||||||||||||||
| ||||||||||||||||||||
Hypothetical (5% return before expenses) | ||||||||||||||||||||
Class I Shares | $ | 1,000.00 | $ | 1,017.60 | $ | 7.25 | 1.45 | % | N/A | |||||||||||
Class A Shares | 1,000.00 | 1,016.36 | 8.50 | 1.70 | N/A | |||||||||||||||
Class D Shares | 1,000.00 | 1,012.65 | 12.23 | 2.45 | N/A |
* | Expenses are equal to the Fund’s Class I Shares, Class A Shares and Class D Shares annualized six-month expense ratios for the period September 1, 2020 to February 28, 2021, multiplied by the average account value over the period, multiplied by the number of days (181) in the most recent fiscal half-year, then divided by 365 to reflect the one half year period. The Fund’s ending account values in the first section in the table is based on the actual six-month total investment return for the Fund’s respective share classes. |
4
Orinda Income Opportunities Fund Allocation of Portfolio Assets February 28, 2021 (Unaudited) |
Percentages represent market value as a percentage of net assets. Portfolio holdings are subject to change at any time.
5
Orinda Income Opportunities Fund Schedule of Investments February 28, 2021 (Unaudited) |
| Number of |
| ||||||
Financials - 29.2% | ||||||||
American Homes 4 Rent - Series E, 6.35% | 11,174 | $ | 285,607 | |||||
AGNC Investment Corp. | 170,000 | 2,725,100 | ||||||
AGNC Investment Corp. - Series C, 7.00% (3 Month LIBOR USD + 5.11%) (a)(b) | 157,542 | 4,015,746 | ||||||
AGNC Investment Corp. - Series D, 6.88% (3 Month LIBOR USD + 4.33%) (a)(b) | 60,000 | 1,499,400 | ||||||
AGNC Investment Corp. - Series E, 6.50% (3 Month LIBOR USD + 4.99%) (a) | 46,015 | 1,126,447 | ||||||
AGNC Investment Corp. - Series F, 6.13% (3 Month LIBOR USD + 4.70%) (a) | 31,100 | 728,051 | ||||||
Annaly Capital Management, Inc. | 330,000 | 2,742,300 | ||||||
Annaly Capital Management, Inc. - Series F, 6.95% (3 Month LIBOR USD + 4.99%) (a)(b) | 95,097 | 2,333,680 | ||||||
Annaly Capital Management, Inc. - Series G, 6.50% (3 Month LIBOR USD + 4.17%) (a) | 39,250 | 956,523 | ||||||
Annaly Capital Management, Inc. - Series I, 6.75% (3 Month LIBOR USD + 4.99%) (a)(b) | 98,581 | 2,431,008 | ||||||
Apollo Commercial Real Estate Finance, Inc. | 74,152 | 985,480 | ||||||
Blackstone Mortgage Trust, Inc. | 73,628 | 2,149,938 | ||||||
Chimera Investment Corp. - Series A, 8.00% (b) | 74,755 | 1,887,564 | ||||||
Chimera Investment Corp. - Series B, 8.00% (3 Month LIBOR USD + 5.79%) (a)(b) | 41,312 | 981,986 | ||||||
Chimera Investment Corp. - Series C, 7.75% (3 Month LIBOR USD + 4.74%) (a) | 74,632 | 1,723,999 | ||||||
Chimera Investment Corp. - Series D, 8.00% (3 Month LIBOR USD + 5.38%) (a)(b) | 79,733 | 1,853,792 | ||||||
Healthcare Realty Trust, Inc. | 42,000 | 1,212,120 | ||||||
Invesco Mortgage Capital, Inc. - Series C, 7.50% (3 Month LIBOR USD + 5.29%) (a) | 35,500 | 874,010 | ||||||
KKR Real Estate Finance Trust, Inc. | 30,000 | 552,900 | ||||||
New Residential Investment Corp. - Series A, 7.50% (3 Month LIBOR USD + 5.80%) (a)(b) | 94,243 | 2,289,163 | ||||||
New Residential Investment Corp. - Series B, 7.13% (3 Month LIBOR USD + 5.64%) (a)(b) | 108,751 | 2,546,948 | ||||||
New Residential Investment Corp. - Series C, 6.38% (3 Month LIBOR USD + 4.97%) (a)(b) | 108,129 | 2,358,294 | ||||||
PennyMac Mortgage Investment Trust - Series A, 8.13% (3 Month LIBOR USD + 5.83%) (a)(b) | 60,110 | 1,505,154 | ||||||
PennyMac Mortgage Investment Trust - Series B, 8.00% (3 Month LIBOR USD + 5.99%) (a)(b) | 92,248 | 2,306,200 | ||||||
Realty Income Corp. | 26,952 | 1,624,128 | ||||||
Starwood Property Trust, Inc. | 100,000 | 2,283,000 | ||||||
TPG RE Finance Trust, Inc. (b) | 157,653 | 1,645,897 | ||||||
Two Harbors Investment Corp. - Series A, 8.13% (3 Month LIBOR USD + 5.66%) (a)(b) | 46,764 | 1,191,079 | ||||||
Two Harbors Investment Corp. - Series C, 7.25% (3 Month LIBOR USD + 5.01%) (a)(b) | 34,322 | 813,431 | ||||||
Two Harbors Investment Corp. - Series E, 7.50% (b) | 64,221 | 1,624,791 | ||||||
51,253,736 | ||||||||
Real Estate - 68.0% | ||||||||
Agree Realty Corp. | 15,000 | 968,400 | ||||||
Alexandria Real Estate Equities, Inc. | 17,300 | 2,762,637 | ||||||
American Assets Trust, Inc. | 87,904 | 2,732,056 | ||||||
American Finance Trust, Inc. - Series A, 7.50% | 41,000 | 1,040,170 | ||||||
American Homes 4 Rent - Series D, 6.50% (b) | 115,590 | 2,955,636 | ||||||
American Homes 4 Rent - Series G, 5.88% (b) | 40,222 | 1,034,510 | ||||||
American Homes 4 Rent - Series H, 6.25% | 19,659 | 521,357 | ||||||
Armada Hoffler Properties, Inc. - Series A, 6.75% | 47,760 | 1,205,940 | ||||||
Bluerock Residential Growth REIT, Inc. - Series C, 7.65% | 9,728 | 249,718 | ||||||
Bluerock Residential Growth REIT, Inc. - Series D, 7.13% (b) | 52,200 | 1,331,100 | ||||||
Boston Properties, Inc. | 3,000 | 297,390 | ||||||
Brandywine Realty Trust | 54,000 | 660,420 | ||||||
Brookfield Property REIT, Inc. | 58,500 | 1,023,750 | ||||||
Centerspace - Series C, 6.63% (b) | 49,046 | 1,277,648 |
The accompanying notes are an integral part of these financial statements.
6
Orinda Income Opportunities Fund Schedule Of Investments (Continued) February 28, 2021 (Unaudited) |
| Number of |
| ||||||
Real Estate - 68.0% (Continued) | ||||||||
City Office REIT, Inc. (b) | 115,659 | $ | 1,175,095 | |||||
City Office REIT, Inc. - Series A, 6.63% (b) | 74,817 | 1,882,396 | ||||||
Colony Capital, Inc. - Series H, 7.13% (b) | 120,411 | 2,924,783 | ||||||
Colony Capital, Inc. - Series I, 7.15% (b) | 128,488 | 3,114,549 | ||||||
Colony Capital, Inc. - Series J, 7.13% | 139,201 | 3,392,328 | ||||||
Columbia Property Trust, Inc. | 51,600 | 728,592 | ||||||
Corporate Office Properties Trust | 30,000 | 780,000 | ||||||
DiamondRock Hospitality Co., 8.25% | 55,000 | 1,467,400 | ||||||
Digital Realty Trust, Inc. - Series C, 6.63% | 46,168 | 1,179,131 | ||||||
Digital Realty Trust, Inc. - Series K, 5.85% (b) | 48,000 | 1,299,840 | ||||||
Digital Realty Trust, Inc. - Series L, 5.20% | 15,838 | 411,946 | ||||||
Easterly Government Properties, Inc. | 85,000 | 1,868,300 | ||||||
Federal Realty Investment Trust | 18,200 | 1,841,294 | ||||||
Gladstone Commercial Corp. | 7,900 | 147,572 | ||||||
Global Medical REIT, Inc. | 25,000 | 336,750 | ||||||
Global Net Lease, Inc. | 11,654 | 216,531 | ||||||
Global Net Lease, Inc. - Series A, 7.25% (b) | 78,564 | 2,032,451 | ||||||
Global Net Lease, Inc. - Series B, 6.88% | 50,904 | 1,299,579 | ||||||
Healthpeak Properties, Inc. | 86,300 | 2,510,467 | ||||||
Hersha Hospitality Trust - Series C, 6.88% | 13,000 | 307,970 | ||||||
Hersha Hospitality Trust - Series E, 6.50% (b) | 55,755 | 1,291,843 | ||||||
Highwoods Properties, Inc. | 102,852 | 4,109,966 | ||||||
Independence Realty Trust, Inc. | 28,258 | 396,742 | ||||||
Iron Mountain, Inc. | 105,346 | 3,664,987 | ||||||
iStar, Inc. - Series D, 8.00% (b) | 51,662 | 1,307,565 | ||||||
iStar, Inc. - Series I, 7.50% | 35,793 | 907,353 | ||||||
Lexington Realty Trust | 36,000 | 385,920 | ||||||
LTC Properties, Inc. | 41,900 | 1,714,129 | ||||||
Macerich Co. (The) | 315,808 | 4,080,239 | ||||||
Monmouth Real Estate Investment Corp. - Series C, 6.13% | 60,000 | 1,510,200 | ||||||
National Health Investors, Inc. | 23,100 | 1,577,037 | ||||||
National Storage Affiliates Trust - Series A, 6.00% | 40,295 | 1,067,818 | ||||||
Pebblebrook Hotel Trust - Series C, 6.50% | 13,942 | 324,430 | ||||||
Pebblebrook Hotel Trust - Series D, 6.38% | 27,380 | 635,490 | ||||||
Pebblebrook Hotel Trust - Series E, 6.38% (b) | 91,562 | 2,120,576 | ||||||
Pebblebrook Hotel Trust - Series F, 6.30% | 79,902 | 1,807,383 | ||||||
Piedmont Office Realty Trust, Inc. | 132,760 | 2,264,886 | ||||||
Plymouth Industrial REIT, Inc. | 58,200 | 868,344 | ||||||
Postal Realty Trust, Inc. | 90,949 | 1,462,460 | ||||||
Preferred Apartment Communities, Inc. | 73,000 | 600,790 | ||||||
PS Business Parks, Inc. - Series Z, 4.88% (b) | 37,900 | 961,523 | ||||||
QTS Realty Trust, Inc. | 26,197 | 1,627,358 | ||||||
QTS Realty Trust, Inc. - Series A, 7.13% (b) | 75,230 | 2,011,650 | ||||||
QTS Realty Trust, Inc. - Series B, 6.50% | 5,000 | 704,300 | ||||||
Regency Centers Corp. | 71,900 | 3,938,682 | ||||||
Rexford Industrial Realty, Inc. - Series A, 5.88% | 36,600 | 924,150 |
The accompanying notes are an integral part of these financial statements.
7
Orinda Income Opportunities Fund Schedule Of Investments (Continued) February 28, 2021 (Unaudited) |
| Number of |
| ||||||
Real Estate - 68.0% (Continued) | ||||||||
RLJ Lodging Trust - Series A, 1.95% (b)(c) | 215,432 | $ | 5,543,065 | |||||
Sabra Health Care REIT, Inc. | 26,100 | 449,442 | ||||||
Seritage Growth Properties - Series A, 7.00% | 32,452 | 666,889 | ||||||
Simon Property Group, Inc. | 4,000 | 451,680 | ||||||
SL Green Realty Corp. - Series I, 6.50% (b) | 60,156 | 1,526,759 | ||||||
Spirit Realty Capital, Inc. | 39,850 | 1,714,347 | ||||||
STAG Industrial, Inc. | 47,109 | 1,486,289 | ||||||
Summit Hotel Properties, Inc. - Series E, 6.25% | 41,215 | 939,702 | ||||||
Sunstone Hotel Investors, Inc. - Series E, 6.95% | 38,898 | 966,226 | ||||||
Terreno Realty Corp. | 22,714 | 1,272,893 | ||||||
UMH Properties, Inc. - Series C, 6.75% (b) | 94,739 | 2,372,265 | ||||||
UMH Properties, Inc. - Series D, 6.38% (b) | 54,000 | 1,328,400 | ||||||
Urban Edge Properties | 40,000 | 660,000 | ||||||
VEREIT, Inc. (b) | 40,120 | 1,564,680 | ||||||
Vornado Realty Trust | 78,500 | 3,370,790 | ||||||
Vornado Realty Trust - Series K, 5.70% (b) | 53,365 | 1,339,462 | ||||||
Vornado Realty Trust - Series L, 5.40% (b) | 17,974 | 447,553 | ||||||
Vornado Realty Trust - Series M, 5.25% (b) | 27,515 | 687,875 | ||||||
Weingarten Realty Investors | 63,000 | 1,599,570 | ||||||
WP Carey, Inc. | 24,563 | 1,683,548 | ||||||
119,314,962 | ||||||||
TOTAL REITS | ||||||||
(Cost $157,483,084) | 170,568,698 | |||||||
PREFERRED STOCKS - 8.6% |
|
| ||||||
Energy - 0.8% | ||||||||
Energy Transfer Partners LP - Series C, 7.38% (3 Month LIBOR USD + 4.53%) (a)(b) | 33,032 | 720,098 | ||||||
Energy Transfer Partners LP - Series D, 7.63% (3 Month LIBOR USD + 4.74%) (a) | 20,556 | 464,771 | ||||||
NGL Energy Partners LP - Series B, 9.00% (3 Month LIBOR USD + 7.21%) (a) | 24,643 | 273,537 | ||||||
1,458,406 | ||||||||
Financials - 3.3% | ||||||||
B Riley Financial, Inc., 6.50% | 13,951 | 357,704 | ||||||
Capstead Mortgage Corp. - Series E, 7.50% | 48,338 | 1,210,867 | ||||||
Invesco Mortgage Capital, Inc. - Series A, 7.75% (b) | 48,724 | 1,200,072 | ||||||
Invesco Mortgage Capital, Inc. - Series B, 7.75% (3 Month LIBOR USD + 5.18%) (a)(b) | 58,008 | 1,409,595 | ||||||
MFA Financial, Inc. - Series B, 7.50% | 21,897 | 537,571 | ||||||
Oaktree Capital Group LLC - Series B, 6.55% (b) | 40,000 | 1,032,800 | ||||||
5,748,609 | ||||||||
Industrials - 1.3% | ||||||||
Triton International Ltd., 7.38% (c) | 51,600 | 1,368,432 | ||||||
Triton International Ltd., 6.88% (c) | 35,606 | 915,430 | ||||||
2,283,862 | ||||||||
Real Estate - 3.2% | ||||||||
Hersha Hospitality Trust - Series D, 6.50% | 76,549 | 1,778,233 | ||||||
iStar, Inc. - Series G, 7.65% | 22,245 | 561,464 |
The accompanying notes are an integral part of these financial statements.
8
Orinda Income Opportunities Fund Schedule Of Investments (Concluded) February 28, 2021 (Unaudited) |
| Number of |
| ||||||
Real Estate - 3.2% (Continued) | ||||||||
Landmark Infrastructure Partners LP - Series B, 7.90% | 33,399 | $ | 840,987 | |||||
Summit Hotel Properties, Inc. - Series D, 6.45% | 19,791 | 468,057 | ||||||
VEREIT, Inc. - Series F, 6.70% (b) | 74,081 | 1,872,768 | ||||||
5,521,509 | ||||||||
TOTAL PREFERRED STOCKS | ||||||||
(Cost $13,970,992) | 15,012,386 | |||||||
CONVERTIBLE PREFERRED STOCKS - 0.8% |
|
| ||||||
Real Estate - 0.8% | ||||||||
CorEnergy Infrastructure Trust, Inc. - Series A, 7.38% | 80,173 | 1,470,373 | ||||||
TOTAL CONVERTIBLE PREFERRED STOCKS | ||||||||
(Cost $1,974,694) | 1,470,373 | |||||||
EXCHANGE TRADED FUNDS - 0.4% |
|
| ||||||
Vanguard REIT ETF | 9,000 | 790,830 | ||||||
TOTAL EXCHANGE TRADED FUNDS | ||||||||
(Cost $800,488) | 790,830 | |||||||
CLOSED-END MUTUAL FUNDS - 0.9% |
|
| ||||||
Nuveen Preferred Income Opportunities Fund (b) | 170,000 | 1,541,900 | ||||||
TOTAL CLOSED-END MUTUAL FUNDS | ||||||||
(Cost $1,383,440) | 1,541,900 | |||||||
SHORT-TERM INVESTMENTS - 2.4% |
|
| ||||||
First American Treasury Obligations Fund, 0.03% (d) | 4,141,259 | 4,141,259 | ||||||
TOTAL SHORT-TERM INVESTMENTS | ||||||||
(Cost $4,141,259) | 4,141,259 | |||||||
TOTAL INVESTMENTS | ||||||||
(Cost $179,753,957) - 110.3% | 193,525,446 | |||||||
LIABILITIES IN EXCESS OF OTHER ASSETS - (10.3)% | (18,059,676 | ) | ||||||
TOTAL NET ASSETS - 100.0% | $ | 175,465,770 |
Percentages are stated as a percent of net assets.
(a) | Variable Rate Security. The rate shown represents the rate at February 28, 2021. |
(b) | All or a portion of the security has been segregated for open short positions. |
(c) | U.S. traded security of a foreign issuer or corporation. |
(d) | Seven-day yield as of February 28, 2021. |
The accompanying notes are an integral part of these financial statements.
9
Orinda Income Opportunities Fund Statement of Assets and Liabilities February 28, 2021 (Unaudited) |
ASSETS | ||||
Investments in securities, at value (cost $175,612,698) | $ | 189,384,187 | ||
Short-term investments, at value (cost $4,141,259) | 4,141,259 | |||
Receivables for: | ||||
Investments sold | 1,475,664 | |||
Dividends and interest | 597,405 | |||
Capital shares sold | 185,298 | |||
Prepaid expenses and other assets | 24,267 | |||
Total assets | 195,808,080 | |||
LIABILITIES | ||||
Due to Broker | 45,728 | |||
Payables for: | ||||
Loans payable | 15,518,234 | |||
Investments purchased | 4,245,632 | |||
Capital shares redeemed | 200,152 | |||
Advisory fees | 147,675 | |||
Distribution and service fees | 48,290 | |||
Other accrued expenses and liabilities | 136,599 | |||
Total liabilities | 20,342,310 | |||
Net assets | 175,465,770 | |||
NET ASSETS CONSIST OF: | ||||
Par value | $ | 10,120 | ||
Paid-in capital | 227,877,114 | |||
Total distributable earnings/(loss) | (52,421,464 | ) | ||
Net assets | $ | 175,465,770 |
The accompanying notes are an integral part of these financial statements.
10
Orinda Income Opportunities Fund Statement of Assets And Liabilities (Concluded) February 28, 2021 (Unaudited) |
CLASS I SHARES: | ||||
Net assets | $ | 157,233,798 | ||
Shares outstanding ($0.001 par value, 100,000,000 shares authorized) | 9,056,164 | |||
Net asset value and redemption price per share | $ | 17.36 | ||
CLASS A SHARES: | ||||
Net assets | $ | 8,071,155 | ||
Shares outstanding ($0.001 par value, 100,000,000 shares authorized) | 466,298 | |||
Net asset value and redemption price per share | $ | 17.31 | ||
Maximum offering price per share (net asset value divided by 95.00%) | $ | 18.22 | ||
CLASS D SHARES: | ||||
Net assets | $ | 10,160,817 | ||
Shares outstanding ($0.001 par value, 100,000,000 shares authorized) | 597,896 | |||
Net asset value and redemption price per share | $ | 16.99 |
The accompanying notes are an integral part of these financial statements.
11
Orinda Income Opportunities Fund Statement of Operations FOR THE SIX MONTHS ENDED February 28, 2021 (Unaudited) |
INVESTMENT INCOME | ||||
Dividends (net of foreign withholding taxes of $0) | $ | 6,847,828 | ||
Interest income | 33,389 | |||
Total investment income | 6,881,217 | |||
EXPENSES | ||||
Advisory fees (Note 2) | $ | 850,077 | ||
Transfer agent fees (Note 2) | 118,304 | |||
Interest expense | 50,041 | |||
Distribution fees - Class D Shares | 48,647 | |||
Distribution fees - Class A Shares | 13,684 | |||
Administration and accounting fees (Note 2) | 46,023 | |||
Printing and shareholder reporting fees | 33,654 | |||
Registration and filing fees | 30,157 | |||
Legal fees | 18,078 | |||
Director fees | 16,730 | |||
Audit and tax service fees | 11,135 | |||
Officer fees | 9,736 | |||
Custodian fees (Note 2) | 7,226 | |||
Dividend expense on securities sold-short | 417 | |||
Other expenses | 8,256 | |||
Total expenses before waivers and/or reimbursements | 1,262,165 | |||
Less: waivers and/or reimbursements (Note 2) | 40,844 | |||
Net expenses after waivers and/or reimbursements | 1,303,009 | |||
Net investment income/(loss) | $ | 5,578,208 | ||
NET REALIZED AND UNREALIZED GAIN/(LOSS) FROM INVESTMENTS | ||||
Net realized gain/(loss) from: | ||||
Investments | $ | (2,744,707 | ) | |
Securities sold short | (222 | ) | ||
Net change in unrealized appreciation/(depreciation) on: | ||||
Investments | $ | 19,498,247 | ||
Securities sold short | 112 | |||
Net realized and unrealized gain/(loss) from investments | 16,753,430 | |||
NET INCREASE/(DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ | 22,331,638 |
The accompanying notes are an integral part of these financial statements.
12
Orinda Income Opportunities Fund Statements of Changes in Net Assets |
Six Months | Year ended | |||||||
INCREASE/(DECREASE) IN NET ASSETS FROM OPERATIONS: | ||||||||
Net investment income/(loss) | $ | 5,578,208 | $ | 8,341,437 | ||||
Net realized gain/(loss) from investments | (2,744,929 | ) | (33,873,147 | ) | ||||
Net change in unrealized appreciation/(depreciation) on investments | 19,498,359 | (20,177,237 | ) | |||||
Net increase/(decrease) in net assets resulting from operations | 22,331,638 | (45,708,947 | ) | |||||
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS FROM: | ||||||||
Total distributable earnings | ||||||||
Class I Shares | (5,125,656 | ) | (9,433,203 | ) | ||||
Class A Shares | (396,943 | ) | (1,835,060 | ) | ||||
Class D Shares | (317,401 | ) | (568,713 | ) | ||||
Return of Capital | ||||||||
Class I Shares | — | (3,284,419 | ) | |||||
Class A Shares | — | (667,533 | ) | |||||
Class D Shares | — | (226,072 | ) | |||||
Net decrease in net assets from dividends and distributions to shareholders | (5,840,000 | ) | (16,015,000 | ) | ||||
CAPITAL SHARE TRANSACTIONS: | ||||||||
Class I Shares | ||||||||
Proceeds from shares sold | 13,970,641 | 85,954,772 | ||||||
Reinvestment of distributions | 4,069,465 | 10,799,683 | ||||||
Shares redeemed | (25,532,796 | ) | (103,065,903 | ) | ||||
Total from Class I Shares | (7,492,690 | ) | (6,311,448 | ) | ||||
Class A Shares | ||||||||
Proceeds from shares sold | 180,669 | 10,878,704 | ||||||
Reinvestment of distributions | 177,337 | 1,839,257 | ||||||
Shares redeemed | (7,630,439 | ) | (52,988,539 | ) | ||||
Total from Class A Shares | (7,272,433 | ) | (40,270,578 | ) | ||||
Class D Shares | ||||||||
Proceeds from shares sold | 1,546,180 | 1,532,105 | ||||||
Reinvestment of distributions | 207,175 | 510,064 | ||||||
Shares redeemed | (2,146,761 | ) | (6,861,108 | ) | ||||
Total from Class D Shares | (393,406 | ) | (4,818,939 | ) | ||||
Net increase/(decrease) in net assets from capital share transactions | (15,158,529 | ) | (51,400,965 | ) | ||||
Total increase/(decrease) in net assets | 1,333,109 | (113,124,912 | ) | |||||
NET ASSETS: | ||||||||
Beginning of period | 174,132,661 | 287,257,573 | ||||||
End of period | $ | 175,465,770 | $ | 174,132,661 |
The accompanying notes are an integral part of these financial statements.
13
Orinda Income Opportunities Fund Statements Of Changes in Net Assets (Concluded) |
Six Months | Year ended | |||||||
SHARES TRANSACTIONS: | ||||||||
Class I Shares | ||||||||
Shares sold | 858,722 | 5,538,481 | ||||||
Dividends and distributions reinvested | 260,689 | 622,873 | ||||||
Shares redeemed | (1,570,122 | ) | (6,107,999 | ) | ||||
Net increase/(decrease) | (450,711 | ) | 53,355 | |||||
Class A Shares | ||||||||
Shares sold | 11,343 | 550,503 | ||||||
Dividends and distributions reinvested | 11,505 | 90,986 | ||||||
Shares redeemed | (474,400 | ) | (2,615,795 | ) | ||||
Net increase/(decrease) | (451,552 | ) | (1,974,306 | ) | ||||
Class D Shares | ||||||||
Shares sold | 97,602 | 106,132 | ||||||
Dividends and distributions reinvested | 13,522 | 29,139 | ||||||
Shares redeemed | (134,636 | ) | (347,578 | ) | ||||
Net increase/(decrease) | (23,512 | ) | (212,307 | ) | ||||
Net increase/(decrease) in shares outstanding | (925,775 | ) | (2,133,258 | ) |
The accompanying notes are an integral part of these financial statements.
14
Orinda Income Opportunities Fund Statement of Cash Flows |
Six Months | Year Ended | |||||||
CASH FLOWS FROM OPERATING ACTIVITIES: | ||||||||
Net increase/(decrease) in net assets resulting from operations | $ | 22,331,638 | $ | (45,708,947 | ) | |||
Adjustments to reconcile net increase/(decrease) in net assets from operations to net cash used in operating activities: | ||||||||
Purchases of investments | (117,986,829 | ) | (364,635,187 | ) | ||||
Purchases to cover securities sold short | (7,307 | ) | (159,487,351 | ) | ||||
Written options closed or exercised | — | (5,639 | ) | |||||
Proceeds from sales of long-term investments | 138,975,615 | 416,348,486 | ||||||
Proceeds from securities sold short | — | 148,292,381 | ||||||
Premiums received on written options | — | 99,959 | ||||||
Purchases of short-term investments, net | (3,299,128 | ) | (669,331 | ) | ||||
Return of capital and capital gain distributions received from underlying investments | 145,237 | 8,378,558 | ||||||
Proceeds from litigation income | 218,896 | — | ||||||
Amortization and accretion of premium and discount | — | (17,734 | ) | |||||
Net realized gain/(loss) on investments | 2,708,101 | 31,355,403 | ||||||
Net realized gain/(loss) on purchased options | — | 278,500 | ||||||
Net realized gain/(loss) on short transactions | 222 | 2,346,014 | ||||||
Net realized gain/(loss) on written options | — | (94,320 | ) | |||||
Net realized gain/(loss) on foreign currency translation | — | (2,600 | ) | |||||
Change in unrealized appreciation/(depreciation) on investments | (19,498,247 | ) | 20,059,518 | |||||
Change in unrealized appreciation/(depreciation) on purchased options | — | 68,979 | ||||||
Change in unrealized appreciation/(depreciation) on foreign currency | — | (47 | ) | |||||
Change in unrealized appreciation/(depreciation) on short transactions | (112 | ) | 48,787 | |||||
Increases/(decreases) in operating assets: | ||||||||
Increase/(decrease) in due to broker | 45,728 | 36,606 | ||||||
Increase/(decrease) in dividends and interest receivable | 63,631 | 1,029,905 | ||||||
Increase/(decrease) in deposits at broker for short sales | — | 15,563,167 | ||||||
Increase/(decrease) in receivable for investments sold | (625,870 | ) | (633,165 | ) | ||||
Increase/(decrease) in prepaid expenses and other assets | 23,893 | 13,789 | ||||||
Increases/(decreases) in operating liabilities: | ||||||||
Increase/(decrease) in payable for investments purchased | 3,595,672 | (837,333 | ) | |||||
Increase/(decrease) in payable to advisor | (7,422 | ) | (86,255 | ) | ||||
Increase/(decrease) in payable for distribution and service fees | (1,306 | ) | (40,515 | ) | ||||
Increase/(decrease) in other accrued expenses | (59,301 | ) | 63,856 | |||||
Net cash used in operating activities | 26,623,111 | 71,765,484 |
The accompanying notes are an integral part of these financial statements.
15
Orinda Income Opportunities Fund Statement Of Cash Flows (concluded) |
Six Months | Year Ended | |||||||
CASH FLOWS FROM FINANCING ACTIVITIES: | ||||||||
Proceeds from shares sold | $ | 15,626,835 | $ | 98,576,136 | ||||
Payment on shares redeemed | (35,529,779 | ) | (162,698,066 | ) | ||||
Cash distributions paid to shareholders | (1,386,023 | ) | (2,865,996 | ) | ||||
Increase/(decrease) in loan payable | (5,334,144 | ) | (4,777,558 | ) | ||||
Net cash provided by financing activities | (26,623,111 | ) | (71,765,484 | ) | ||||
Net change in cash | — | — | ||||||
CASH: | ||||||||
Beginning balance | — | — | ||||||
Ending balance | $ | — | $ | — | ||||
SUPPLEMENTAL DISCLOSURES: | ||||||||
Cash paid for interest | $ | 50,041 | $ | 260,134 | ||||
Non-cash financing activities - distributions reinvested | 4,453,977 | 13,149,004 | ||||||
Non-cash financing activities - increase/(decrease) in receivable for Fund shares sold | 70,655 | (210,555 | ) | |||||
Non-cash financing activities - increase/(decrease) in payable for Fund shares redeemed | (219,783 | ) | 217,484 |
The accompanying notes are an integral part of these financial statements.
16
Orinda Income Opportunities Fund Financial Highlights |
For a capital share outstanding throughout the period
CLASS I SHARES | ||||||||||||||||||||||||||||
Six Months | Year Ended | Year Ended | Year Ended | Six Months | Year Ended | Year Ended | ||||||||||||||||||||||
Net asset value – Beginning of period | $ | 15.78 | $ | 21.83 | $ | 22.50 | $ | 23.42 | $ | 23.66 | $ | 21.36 | $ | 25.29 | ||||||||||||||
Income from Investment Operations: | ||||||||||||||||||||||||||||
Net investment income/(loss)(1) | 0.53 | 0.67 | 0.95 | 0.86 | 0.63 | 1.10 | 0.99 | |||||||||||||||||||||
Net realized and unrealized gain/(loss) on investments | 1.60 | (5.44 | ) | (0.12 | ) | (0.17 | ) | (0.02 | ) | 2.90 | (3.36 | ) | ||||||||||||||||
Total from investment operations | 2.13 | (4.77 | ) | 0.83 | 0.69 | 0.61 | 4.00 | (2.37 | ) | |||||||||||||||||||
Less Distributions: | ||||||||||||||||||||||||||||
Dividends from net investment income | (0.55 | ) | (0.95 | ) | (1.14 | ) | (1.15 | ) | (0.63 | ) | (1.10 | ) | (1.02 | ) | ||||||||||||||
Distributions from net realized gains | — | — | — | — | — | — | — | |||||||||||||||||||||
Return of capital | — | (0.33 | ) | (0.36 | ) | (0.46 | ) | (0.22 | ) | (0.60 | ) | (0.54 | ) | |||||||||||||||
Total distributions | (0.55 | ) | (1.28 | ) | (1.50 | ) | (1.61 | ) | (0.85 | ) | (1.70 | ) | (1.56 | ) | ||||||||||||||
Net asset value – End of period | $ | 17.36 | $ | 15.78 | $ | 21.83 | $ | 22.50 | $ | 23.42 | $ | 23.66 | $ | 21.36 | ||||||||||||||
Total return/(loss) | 13.88 | %(4) | (22.22 | )% | 4.17 | % | 3.24 | % | 2.62 | %(4) | 19.29 | % | (9.81 | )% | ||||||||||||||
Ratios and Supplemental Data: | ||||||||||||||||||||||||||||
Net assets, end of period (thousands) | $ | 157,234 | $ | 150,062 | $ | 206,355 | $ | 193,184 | $ | 193,361 | $ | 180,360 | $ | 121,400 | ||||||||||||||
Ratio of operating expenses to average net assets: | ||||||||||||||||||||||||||||
Before Recoupments/Reimbursements | 1.41 | %(5) | 1.71 | % | 1.79 | % | 1.92 | % | 1.82 | %(5) | 2.01 | % | 1.85 | % | ||||||||||||||
After Recoupments/Reimbursements | 1.45 | %(5) | 1.69 | % | 1.79 | % | 1.92 | % | 1.82 | %(5) | 2.01 | % | 1.84 | % | ||||||||||||||
Ratio of interest expense and dividends on short positions to average net assets | 0.05 | %(5) | 0.35 | % | 0.50 | % | 0.63 | % | 0.55 | %(5) | 0.68 | % | 0.49 | % | ||||||||||||||
Ratio of net investment income/(loss) to average net assets: | ||||||||||||||||||||||||||||
Before Recoupments/Reimbursements | 6.67 | %(5) | 3.65 | % | 4.43 | % | 3.83 | % | 5.33 | %(5) | 4.68 | % | 4.21 | % | ||||||||||||||
After Recoupments/Reimbursements | 6.62 | %(5) | 3.67 | % | 4.43 | % | 3.83 | % | 5.33 | %(5) | 4.68 | % | 4.22 | % | ||||||||||||||
Portfolio turnover rate | 67 | %(4) | 153 | % | 131 | % | 102 | % | 46 | %(4) | 121 | % | 127 | % |
(1) | Calculated based on average shares outstanding during the period. |
(2) | Effective as of the close of business on April 28, 2017, the Fund acquired all the assets and liabilities of the Orinda Income Opportunities Fund, a series of Advisors Series Trust (the “Predecessor Fund”). The financial highlights for the periods prior to that date reflect the performance of the Predecessor Fund. |
(3) | The Fund changed its fiscal year end to August 31. |
(4) | Not annualized. |
(5) | Annualized. |
The accompanying notes are an integral part of these financial statements.
17
Orinda Income Opportunities Fund Financial Highlights (Continued) |
For a capital share outstanding throughout the period
CLASS A SHARES | ||||||||||||||||||||||||||||
Six Months | Year Ended | Year Ended | Year Ended | Six Months | Year Ended | Year Ended | ||||||||||||||||||||||
Net asset value – Beginning of period | $ | 15.74 | $ | 21.77 | $ | 22.46 | $ | 23.33 | $ | 23.58 | $ | 21.31 | $ | 25.25 | ||||||||||||||
Income from Investment Operations: | ||||||||||||||||||||||||||||
Net investment income/(loss)(1) | 0.52 | 0.68 | 0.85 | 0.77 | 0.59 | 1.03 | 0.93 | |||||||||||||||||||||
Net realized and unrealized gain/(loss) on investments | 1.59 | (5.48 | ) | (0.10 | ) | (0.14 | ) | (0.02 | ) | 2.88 | (3.37 | ) | ||||||||||||||||
Total from investment operations | 2.11 | (4.80 | ) | 0.75 | 0.63 | 0.57 | 3.91 | (2.44 | ) | |||||||||||||||||||
Less Distributions: | ||||||||||||||||||||||||||||
Dividends from net investment income | (0.54 | ) | (0.90 | ) | (1.08 | ) | (1.04 | ) | (0.60 | ) | (1.04 | ) | (0.96 | ) | ||||||||||||||
Distributions from net realized gains | — | — | — | — | — | — | — | |||||||||||||||||||||
Return of capital | — | (0.33 | ) | (0.36 | ) | (0.46 | ) | (0.22 | ) | (0.60 | ) | (0.54 | ) | |||||||||||||||
Total distributions | (0.54 | ) | (1.23 | ) | (1.44 | ) | (1.50 | ) | (0.82 | ) | (1.64 | ) | (1.50 | ) | ||||||||||||||
Net asset value – End of period | $ | 17.31 | $ | 15.74 | $ | 21.77 | $ | 22.46 | $ | 23.33 | $ | 23.58 | $ | 21.31 | ||||||||||||||
Total return/(loss) | 13.75 | %(4) | (22.43 | )% | 3.82 | % | 2.94 | % | 2.49 | %(4) | 18.90 | % | (10.09 | )% | ||||||||||||||
Ratios and Supplemental Data: | ||||||||||||||||||||||||||||
Net assets, end of period (thousands) | $ | 8,071 | $ | 14,444 | $ | 62,963 | $ | 45,783 | $ | 112,549 | $ | 101,270 | $ | 66,375 | ||||||||||||||
Ratio of operating expenses to average net assets: | ||||||||||||||||||||||||||||
Before Recoupments/Reimbursements | 1.66 | %(5) | 1.82 | % | 2.04 | % | 2.07 | % | 2.12 | %(5) | 2.29 | % | 2.15 | % | ||||||||||||||
After Recoupments/Reimbursements | 1.70 | %(5) | 1.80 | % | 2.04 | % | 2.07 | % | 2.12 | %(5) | 2.29 | % | 2.15 | % | ||||||||||||||
Ratio of interest expense and dividends on short positions to average net assets | 0.05 | %(5) | 0.25 | % | 0.46 | % | 0.51 | % | 0.55 | %(5) | 0.66 | % | 0.48 | % | ||||||||||||||
Ratio of net investment income/(loss) to average net assets: | ||||||||||||||||||||||||||||
Before Recoupments/Reimbursements | 6.56 | %(5) | 3.34 | % | 3.96 | % | 3.37 | % | 5.03 | %(5) | 4.34 | % | 3.97 | % | ||||||||||||||
After Recoupments/Reimbursements | 6.52 | %(5) | 3.36 | % | 3.96 | % | 3.37 | % | 5.03 | %(5) | 4.34 | % | 3.97 | % | ||||||||||||||
Portfolio turnover rate | 67 | %(4) | 153 | % | 131 | % | 102 | % | 46 | %(4) | 121 | % | 127 | % |
(1) | Calculated based on average shares outstanding during the period. |
(2) | Effective as of the close of business on April 28, 2017, the Fund acquired all the assets and liabilities of the Orinda Income Opportunities Fund, a series of Advisors Series Trust (the “Predecessor Fund”). The financial highlights for the periods prior to that date reflect the performance of the Predecessor Fund. |
(3) | The Fund changed its fiscal year end to August 31. |
(4) | Not annualized. |
(5) | Annualized. |
The accompanying notes are an integral part of these financial statements.
18
Orinda Income Opportunities Fund Financial Highlights (CONCLUDED) |
For a capital share outstanding throughout the period
CLASS D SHARES | ||||||||||||||||||||||||||||
Six Months | Year Ended | Year Ended | Year Ended | Six Months | Year Ended | Year Ended | ||||||||||||||||||||||
Net asset value – Beginning of period | $ | 15.49 | $ | 21.52 | $ | 22.23 | $ | 23.18 | $ | 23.49 | $ | 21.25 | $ | 25.17 | ||||||||||||||
Income from Investment Operations: | ||||||||||||||||||||||||||||
Net investment income/(loss)(1) | 0.44 | 0.49 | 0.73 | 0.63 | 0.51 | 0.87 | 0.82 | |||||||||||||||||||||
Net realized and unrealized gain/(loss) on investments | 1.57 | (5.36 | ) | (0.13 | ) | (0.16 | ) | (0.02 | ) | 2.88 | (3.37 | ) | ||||||||||||||||
Total from investment operations | 2.01 | (4.87 | ) | 0.60 | 0.47 | 0.49 | 3.75 | (2.55 | ) | |||||||||||||||||||
Less Distributions: | ||||||||||||||||||||||||||||
Dividends from net investment income | (0.51 | ) | (0.83 | ) | (0.95 | ) | (0.96 | ) | (0.58 | ) | (0.90 | ) | (0.83 | ) | ||||||||||||||
Distributions from net realized gains | — | — | — | — | — | — | — | |||||||||||||||||||||
Return of capital | — | (0.33 | ) | (0.36 | ) | (0.46 | ) | (0.22 | ) | (0.61 | ) | (0.54 | ) | |||||||||||||||
Total distributions | (0.51 | ) | (1.16 | ) | (1.31 | ) | (1.42 | ) | (0.80 | ) | (1.51 | ) | (1.37 | ) | ||||||||||||||
Net asset value – End of period | $ | 16.99 | $ | 15.49 | $ | 21.52 | $ | 22.23 | $ | 23.18 | $ | 23.49 | $ | 21.25 | ||||||||||||||
Total return/(loss) | 13.34 | %(4) | (22.99 | )% | 3.12 | % | 2.23 | % | 2.13 | %(4) | 18.10 | % | (10.56 | )% | ||||||||||||||
Ratios and Supplemental Data: | ||||||||||||||||||||||||||||
Net assets, end of period (thousands) | $ | 10,161 | $ | 9,626 | $ | 17,939 | $ | 20,497 | $ | 22,274 | $ | 23,963 | $ | 21,405 | ||||||||||||||
Ratio of operating expenses to average net assets: | ||||||||||||||||||||||||||||
Before Recoupments/Reimbursements | 2.41 | %(5) | 2.70 | % | 2.80 | % | 2.93 | % | 2.79 | %(5) | 2.98 | % | 2.81 | % | ||||||||||||||
After Recoupments/Reimbursements | 2.45 | %(5) | 2.68 | % | 2.80 | % | 2.93 | % | 2.79 | %(5) | 2.98 | % | 2.67 | % | ||||||||||||||
Ratio of interest expense and dividends on short positions to average net assets | 0.05 | %(5) | 0.34 | % | 0.52 | % | 0.64 | % | 0.55 | %(5) | 0.67 | % | 0.49 | % | ||||||||||||||
Ratio of net investment income/(loss) to average net assets: | ||||||||||||||||||||||||||||
Before Recoupments/Reimbursements | 5.71 | %(5) | 2.65 | % | 3.43 | % | 2.90 | % | 4.36 | %(5) | 3.76 | % | 3.32 | % | ||||||||||||||
After Recoupments/Reimbursements | 5.66 | %(5) | 2.67 | % | 3.43 | % | 2.90 | % | 4.36 | %(5) | 3.76 | % | 3.46 | % | ||||||||||||||
Portfolio turnover rate | 67 | %(4) | 153 | % | 131 | % | 102 | % | 46 | %(4) | 121 | % | 127 | % |
(1) | Calculated based on average shares outstanding during the period. |
(2) | Effective as of the close of business on April 28, 2017, the Fund acquired all the assets and liabilities of the Orinda Income Opportunities Fund, a series of Advisors Series Trust (the “Predecessor Fund”). The financial highlights for the periods prior to that date reflect the performance of the Predecessor Fund. |
(3) | The Fund changed its fiscal year end to August 31. |
(4) | Not annualized. |
(5) | Annualized. |
The accompanying notes are an integral part of these financial statements.
19
Orinda Income Opportunities Fund Notes to Financial Statements February 28, 2021 (Unaudited) |
1. ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
The RBB Fund, Inc. (“RBB” or the “Company”) was incorporated under the laws of the State of Maryland on February 29, 1988 and is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. RBB is a “series fund,” which is a mutual fund divided into separate portfolios. Each portfolio is treated as a separate entity for certain matters under the 1940 Act, and for other purposes, and a shareholder of one portfolio is not deemed to be a shareholder of any other portfolio. Currently, RBB has thirty-six separate investment portfolios, including the Orinda Income Opportunities Fund (the “Fund”), which became a series of RBB as of the close of business on April 28, 2017. The Fund is authorized to offer three classes of shares, Class I Shares, Class A Shares and Class D Shares. Class A Shares are sold subject to a front-end maximum sales charge of 5.00%. Front-end sales charges may be reduced or waived under certain circumstances. Class I Shares, Class A Shares and Class D Shares commenced investment operations on June 28, 2013, June 28, 2013 and September 27, 2013, respectively.
Prior to April 28, 2017, the Fund was a series (the “Predecessor Fund”) of Advisors Series Trust (the “Trust”), an open-end management investment company (or mutual fund) organized on October 3, 1996, as a statutory trust under the laws of the State of Delaware. The Predecessor Fund was reorganized into the Fund on April 28, 2017 (the “Reorganization”). As a result of the Reorganization, the performance and accounting history of the Predecessor Fund was assumed by the Fund. Performance and accounting information prior to April 28, 2017 included herein is that of the Predecessor Fund.
RBB has authorized capital of one hundred billion shares of common stock of which 87.923 billion shares are currently classified into one hundred and ninety classes of common stock. Each class represents an interest in an active or inactive RBB investment portfolio.
The Fund’s investment objective is to maximize current income with potential for modest growth of capital.
The Fund is an investment company and follows the accounting and reporting guidance in the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946 “Financial Services-Investment Companies.”
The end of the reporting period for the Fund is February 28, 2021, and the period covered by these Notes to Financial Statements is the six-months ended February 28, 2021 (the “current fiscal period”).
PORTFOLIO VALUATION — The Fund’s net asset value (“NAV”) is calculated once daily at the close of regular trading hours on the New York Stock Exchange (“NYSE”) (generally 4:00 p.m. Eastern time) on each day the NYSE is open. Securities held by the Fund are valued using the closing price or the last sale price on a national securities exchange or the National Association of Securities Dealers Automatic Quotation System (“NASDAQ”) market system where they are primarily traded. Equity securities traded in the over-the-counter (“OTC”) market are valued at their closing prices. If there were no transactions on that day, securities traded principally on an exchange or on NASDAQ will be valued at the mean of the last bid and ask prices prior to the market close. Fixed income securities are valued using an independent pricing service, which considers such factors as security prices, yields, maturities and ratings, and are deemed representative of market values at the close of the market. Foreign securities are valued based on prices from the primary market in which they are traded, and are translated from the local currency into U.S. dollars using current exchange rates. Investments in other open-end investment companies are valued based on the NAV of the investment companies (which may use fair value pricing as disclosed in their prospectuses). Options for which the primary market is a national securities exchange are valued at the last sale price on the exchange on which they are traded, or, in the absence of any sale, will be valued at the mean of the last bid and ask prices prior to the market close. Options not traded on a national securities exchange are valued at the last quoted bid price for long option positions and the closing ask price for short option positions. If market quotations are unavailable or deemed unreliable, securities will be valued in accordance with procedures adopted by the Company’s Board of Directors (the “Board”). Relying on prices supplied by pricing services or dealers or using fair valuation may result in values that are higher or lower than the values used by other investment companies and investors to price the same investments. Such procedures use fundamental valuation methods, which may include, but are not limited to, an analysis of the effect of any restrictions on the resale of the security, industry analysis and trends, significant changes in the issuer’s financial position, and any other event which could have a significant impact on the value of the security. Determination of fair value involves subjective judgment as the actual market value of a particular security can be established only by negotiations between the parties in a sales transaction, and the difference between the recorded fair value and the value that would be received in a sale could be significant. The Fund may use fair value pricing more frequently for securities traded primarily in non-U.S. markets because, among other things, most foreign markets close well before the Fund values its securities, generally as of 4:00 p.m. Eastern time. The earlier close of these foreign markets gives rise to
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Orinda Income Opportunities Fund Notes To Financial Statements (Continued) February 28, 2021 (Unaudited) |
the possibility that significant events, including broad market moves, government actions or pronouncements, aftermarket trading, or news events may have occurred in the interim. To account for this, the Fund may value foreign securities using fair value prices based on third-party vendor modeling tools (international fair value pricing).
FAIR VALUE MEASUREMENTS — The inputs and valuation techniques used to measure the fair value of the Fund’s investments are summarized into three levels as described in the hierarchy below:
● Level 1 — | Prices are determined using quoted prices in active markets for identical securities. |
● Level 2 — | Prices are determined using other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.). |
● Level 3 — | Prices are determined using significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments). |
The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The following is a summary of the inputs used, as of the end of the reporting period, in valuing the Fund’s investments carried at fair value:
TOTAL | LEVEL 1 | LEVEL 2 | LEVEL 3 | |||||||||||||
REITs | ||||||||||||||||
Financials | $ | 51,253,736 | $ | 51,253,736 | $ | — | $ | — | ||||||||
Real Estate | 119,314,962 | 113,771,897 | 5,543,065 | — | ||||||||||||
Total REITs | 170,568,698 | 165,025,633 | 5,543,065 | — | ||||||||||||
Preferred Stocks | ||||||||||||||||
Energy | 1,458,406 | 1,458,406 | — | — | ||||||||||||
Financials | 5,748,609 | 5,748,609 | — | — | ||||||||||||
Industrials | 2,283,862 | 2,283,862 | — | — | ||||||||||||
Real Estate | 5,521,509 | 5,521,509 | — | — | ||||||||||||
Total Preferred Stocks | 15,012,386 | 15,012,386 | — | — | ||||||||||||
Convertible Preferred Stocks | ||||||||||||||||
Real Estate | 1,470,373 | 1,470,373 | — | — | ||||||||||||
Total Convertible Preferred Stocks | 1,470,373 | 1,470,373 | — | — | ||||||||||||
Exchange Traded Funds | 790,830 | 790,830 | — | — | ||||||||||||
Closed-End Mutual Funds | 1,541,900 | 1,541,900 | — | — | ||||||||||||
Short-Term Investments | 4,141,259 | 4,141,259 | — | — | ||||||||||||
Total Investments in Securities | $ | 193,525,446 | $ | 187,982,381 | $ | 5,543,065 | $ | — |
At the end of each quarter, management evaluates the classification of Levels 1, 2 and 3 assets and liabilities. Various factors are considered, such as changes in liquidity from the prior reporting period; whether or not a broker is willing to execute at the quoted price; the depth and consistency of prices from third party pricing services; and the existence of contemporaneous, observable trades in the market. Additionally, management evaluates the classification of Levels 1, 2 and 3 assets and liabilities on a quarterly basis for changes in listings or delistings on national exchanges.
Due to the inherent uncertainty of determining the fair value of investments that do not have a readily available market value, the fair value of the Fund’s investments may fluctuate from period to period. Additionally, the fair value of investments may differ significantly from the values that would have been used had a ready market existed for such investments and may differ materially from the values the Fund may ultimately realize. Further, such investments may be subject to legal and other restrictions on resale or otherwise less liquid than publicly traded securities.
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Orinda Income Opportunities Fund Notes To Financial Statements (Continued) February 28, 2021 (Unaudited) |
For fair valuations using significant unobservable inputs, U.S. generally accepted accounting principles (“U.S. GAAP”) requires the Fund to present a reconciliation of the beginning to ending balances for reported market values that presents changes attributable to total realized and unrealized gains or losses, purchase and sales, and transfers in and out of Level 3 during the period. Transfers in and out between levels are based on values at the end of the period. A reconciliation of Level 3 investments is presented only when the Fund had an amount of Level 3 investments at the end of the reporting period that was meaningful in relation to its net assets. The amounts and reasons for all Level 3 transfers are disclosed if the Fund had an amount of Level 3 transfers during the reporting period that was meaningful in relation to its net assets as of the end of the reporting period.
Foreign securities that utilize international fair pricing are categorized as Level 2 in the hierarchy.
During the current fiscal period, the Fund had no Level 3 transfers.
DISCLOSURES ABOUT DERIVATIVE INSTRUMENTS AND HEDGING ACTIVITIES — The Fund may use derivatives for different purposes, such as a substitute for taking a position in the underlying asset and/or as part of a strategy designed to reduce exposure to other risks, such as interest rate or currency risk. The various derivative instruments that the Fund may use are options, futures, swaps, and forward foreign currency contracts, among others. The Fund may also use derivatives for leverage, in which case their use would involve leveraging risk. The Fund’s use of derivative instruments involves risks different from, or possibly greater than, the risks associated with investing directly in securities and other traditional investments. Derivatives are subject to a number of risks, such as liquidity risk, interest rate risk, market risk, credit risk, and management risk. A Fund investing in a derivative instrument could lose more than the principal amount invested.
The Fund has adopted the disclosure provisions of FASB Accounting Standard Codification 815, Derivatives and Hedging (“ASC 815”). ASC 815 requires enhanced disclosures about the Fund’s use of, and accounting for, derivative instruments and the effect of derivative instruments on the Fund’s results of operations and financial position. Tabular disclosure regarding derivative fair value and gain/loss by contract type (e.g., interest rate contracts, foreign exchange contracts, credit contracts, etc.) is required and derivatives accounted for as hedging instruments under ASC 815 must be disclosed separately from those that do not qualify for hedge accounting. Even though the Fund may use derivatives in an attempt to achieve an economic hedge, the Fund’s derivatives are not accounted for as hedging instruments under ASC 815 because investment companies account for their derivatives at fair value and record any changes in fair value in current period earnings.
OPTIONS — The Fund may utilize options for hedging purposes as well as direct investment. Some options strategies, including buying puts, tend to hedge the Fund’s investments against price fluctuations. Other strategies, such as writing puts and calls and buying calls, tend to increase market exposure. Options contracts may be combined with each other in order to adjust the risk and return characteristics of each Fund’s overall strategy in a manner deemed appropriate to the Adviser and consistent with each Fund’s investment objective and policies. When a call or put option is written, an amount equal to the premium received is recorded as a liability. The liability is marked-to-market daily to reflect the current fair value of the written option. When a written option expires, a gain is realized in the amount of the premium originally received. If a closing purchase contract is entered into, a gain or loss is realized in the amount of the original premium less the cost of the closing transaction. If a written call option is exercised, a gain or loss is realized from the sale of the underlying security, and the proceeds from such sale are increased by the premium originally received. If a written put option is exercised, the amount of the premium originally received reduces the cost of the security which is purchased upon the exercise of the option.
With options, there is minimal counterparty credit risk to the Fund since the options are covered or secured, which means that the Fund will own the underlying security or, to the extent it does not hold such a portfolio, will maintain a segregated account with the Fund’s custodian consisting of high quality liquid debt obligations equal to the market value of the option, marked to market daily.
Options purchased are recorded as investments and marked-to-market daily to reflect the current fair value of the option contract. If an option purchased expires, a loss is realized in the amount of the cost of the option contract. If a closing transaction is entered into, a gain or loss is realized to the extent that the proceeds from the sale are greater or less than the cost of the option. If a purchase put option is exercised, a gain or loss is realized from the sale of the underlying security by adjusting the proceeds from such sale by the amount of the premium originally paid. If a purchased call option is exercised, the cost of the security purchased upon exercise is increased by the premium originally paid.
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Orinda Income Opportunities Fund Notes To Financial Statements (Continued) February 28, 2021 (Unaudited) |
FUTURES CONTRACTS AND OPTIONS ON FUTURES CONTRACTS — The Fund is subject to equity price risk, interest rate risk, and foreign currency exchange rate risk in the normal course of pursuing its investment objectives. The Fund uses futures contracts and options on such futures contracts to gain exposure to, or hedge against, changes in the value of equities, interest rates or foreign currencies. A futures contract represents a commitment for the future purchase or sale of an asset at a specified price on a specified date. Upon entering into such contracts, the Fund is required to deposit with the broker, either in cash or securities, an initial margin deposit in an amount equal to a certain percentage of the contract amount. Subsequent payments (variation margin) are made or received by the Fund each day, depending on the daily fluctuations in the value of the contract, and are recorded for financial statement purposes as unrealized gains or losses by the Fund. Upon entering into such contracts, the Fund bears the risk of interest or exchange rates or securities prices moving unexpectedly, in which case, the Fund may not achieve the anticipated benefits of the futures contracts and may realize a loss. With futures, there is minimal counterparty credit risk to the Fund since futures are exchange traded and the exchange’s clearinghouse, as counterparty to all exchange-traded futures, guarantees the futures against default. The use of futures contracts, and options on futures contracts, involves the risk of imperfect correlation in movements in the price of futures contracts and options thereon, interest rates and the underlying hedged assets.
LEVERAGE AND SHORT SALES — The Fund may use leverage in connection with its investment activities and may effect short sales of securities. Leverage can increase the investment returns of the Fund if the securities purchased increase in value in an amount exceeding the cost of the borrowing. However, if the securities decrease in value, the Fund will suffer a greater loss than would have resulted without the use of leverage. A short sale is the sale by the Fund of a security which it does not own in anticipation of purchasing the same security in the future at a lower price to close the short position. A short sale will be successful if the price of the shorted security decreases. However, if the underlying security goes up in price during the period in which the short position is outstanding, the Fund will realize a loss. The risk on a short sale is unlimited because the Fund must buy the shorted security at the higher price to complete the transaction. Therefore, short sales may be subject to greater risks than investments in long positions. With a long position, the maximum sustainable loss is limited to the amount paid for the security plus the transaction costs, whereas there is no maximum attainable price of the shorted security. The Fund would also incur increased transaction costs associated with selling securities short. In addition, if the Fund sells securities short, it must maintain a segregated account with its custodian containing cash or high-grade securities equal to (i) the greater of the current market value of the securities sold short or the market value of such securities at the time they were sold short, less (ii) any collateral deposited with the Fund’s broker (not including the proceeds from the short sales). The Fund may be required to add to the segregated account as the market price of a shorted security increases. As a result of maintaining and adding to its segregated account, the Fund may maintain higher levels of cash or liquid assets (for example, U.S. Treasury bills, repurchase agreements, high quality commercial paper and long equity positions) for collateral needs thus reducing its overall managed assets available for trading purposes. The Fund is obligated to pay the counterparty any dividends or interest due on securities sold short. Such dividends and interest are recorded as an expense to the Fund.
MUTUAL FUND AND ETF TRADING RISK — The Fund may invest in other mutual funds that are either open-end or closed-end investment companies as well as ETFs. ETFs are investment companies that are bought and sold on a national securities exchange. Unlike mutual funds, ETFs do not necessarily trade at the net asset values of their underlying securities, which means an ETF could potentially trade above or below the value of the underlying portfolios. Additionally, because ETFs trade like stocks on exchanges, they are subject to trading and commission costs unlike mutual funds. Also, both mutual funds and ETFs have management fees that are part of their costs, and the Fund will indirectly bear its proportionate share of the costs.
REITS — The Fund has made certain investments in real estate investment trusts (“REITs”) which pay dividends to their shareholders based upon available funds from operations. It is quite common for these dividends to exceed the REITs’ taxable earnings and profits resulting in the excess portion being designated as a return of capital. The Fund intends to include the gross dividends from such REITs in its annual distributions to shareholders and, accordingly, a portion of the Fund’s distributions may also be designated as a return of capital.
USE OF ESTIMATES — The preparation of financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates and those differences could be significant.
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Orinda Income Opportunities Fund Notes To Financial Statements (Continued) February 28, 2021 (Unaudited) |
INVESTMENT TRANSACTIONS, INVESTMENT INCOME AND EXPENSES — The Fund records security transactions based on trade date for financial reporting purposes. The cost of investments sold is determined by use of the specific identification method for both financial reporting and income tax purposes in determining realized gains and losses on investments. Interest income (including amortization of premiums and accretion of discounts) is accrued when earned. Dividend income is recorded on the ex-dividend date. Distributions received on securities that represent a return of capital or capital gains are recorded as a reduction of cost of investments and/or as a realized gain. The Fund’s investment income, expenses (other than class specific expenses) and unrealized and realized gains and losses are allocated daily to each class of shares based upon the relative proportion of net assets of each class at the beginning of the day. Expenses incurred on behalf of a specific class, fund or fund family of the Company are charged directly to the class, fund or fund family (in proportion to net assets). Expenses incurred for all of the RBB funds (such as director or professional fees) are charged to all funds in proportion to their average net assets of RBB, or in such other manner as the Board deems fair or equitable. Expenses and fees, including investment advisory and administration fees, are accrued daily and taken into account for the purpose of determining the NAV of the Fund.
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS — The Fund distributes substantially all of its net investment income, if any, quarterly, and net realized capital gains, if any, annually. Income dividends and capital gain distributions are determined in accordance with U.S. federal income tax regulations, which may differ from U.S. GAAP.
U.S. TAX STATUS — No provision is made for U.S. income taxes as it is the Fund’s intention to continue to qualify for and elect the tax treatment applicable to regulated investment companies under Subchapter M of the Internal Revenue Code of 1986, as amended, and make the requisite distributions to its shareholders which will be sufficient to relieve it from U.S. income and excise taxes.
FOREIGN CURRENCY TRANSLATION — Assets and liabilities initially expressed in non-U.S. currencies are translated into U.S. dollars based on the applicable exchange rates at the date of the last business day of the financial statement period. Purchases and sales of securities, interest income, dividends, variation margin received and expenses denominated in foreign currencies are translated into U.S. dollars at the exchange rates in effect on the transaction date.
The Fund does not separately report the effect of changes in foreign exchange rates from changes in market prices of securities held. Such changes are included with the net realized gain or loss and change in unrealized appreciation or depreciation on investments in the Statement of Operations. Other foreign currency transactions resulting in realized and unrealized gain or loss are reported separately as net realized gain or loss and change in unrealized appreciation or depreciation on foreign currencies in the Statement of Operations.
MARKET RISK — The value of the Fund’s shares will fluctuate as a result of the movement of the overall stock market or the value of the individual securities held by the Fund, and you could lose money.
MASTER LIMITED PARTNERSHIP RISK — Investments in securities (units) of MLPs involve risks that differ from an investment in common stock. To the extent that an MLP’s interests are all in a particular industry, the MLP will be negatively impacted by economic events adversely impacting that industry. Additionally, holders of the units of MLPs have more limited control and limited rights to vote on matters affecting the partnership. There are also certain tax risks associated with an investment in units of MLPs.
FOREIGN AND EMERGING MARKET SECURITIES RISK — Foreign investments may carry risks associated with investing outside the United States, such as currency fluctuation, economic or financial instability, lack of timely or reliable financial information or unfavorable political or legal developments. Those risks are increased for investments in emerging markets.
CURRENCY RISK — Changes in foreign currency exchange rates will affect the value of what the Fund owns and the Fund’s share price. Generally, when the U.S. dollar rises in value against a foreign currency, an investment in that country loses value because that currency is worth fewer U.S. dollars. Devaluation of a currency by a country’s government or banking authority also will have a significant impact on the value of any investments denominated in that currency. Currency markets generally are not as regulated as securities markets.
SMALL AND MEDIUM COMPANIES RISK — Investing in securities of small and medium capitalization companies may involve greater volatility than investing in larger and more established companies because small and medium capitalization companies can be subject to more abrupt or erratic share price changes than larger, more established companies.
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Orinda Income Opportunities Fund Notes To Financial Statements (Continued) February 28, 2021 (Unaudited) |
DERIVATIVES RISK — The Fund’s use of derivatives (which may include options, futures and swaps, among others) may reduce the Fund’s returns and/or increase volatility. Derivatives involve the risk of improper valuation, the risk of ambiguous documentation, and the risk that changes in the value of the derivative may not correlate perfectly with the underlying security. Derivatives are also subject to market risk, interest rate risk, credit risk, counterparty risk and liquidity risk. Derivatives may be more sensitive to changes in economic or market conditions than other types of investments and could result in losses that significantly exceed the Fund’s original investment.
OPTIONS RISK — Purchasing and writing put and call options are highly specialized activities and entail greater than ordinary investment risks. The Fund may not fully benefit from or may lose money on an option if changes in its value do not correspond as anticipated to changes in the value of the underlying securities.
INTEREST RATE RISK — Interest rate risk is the risk that fixed income securities will decline in value because of changes in interest rates. It is likely there will be less governmental action in the near future to maintain low interest rates. The negative impact on fixed income securities from the resulting rate increases for that and other reasons could be swift and significant.
FIXED INCOME SECURITIES RISK — Fixed income securities are subject to interest rate risk and credit risk. There is also the risk that an issuer may “call,” or repay, its high yielding bonds before their maturity dates. Fixed income securities subject to prepayment can offer less potential for gains during a declining interest rate environment and similar or greater potential for loss in a rising interest rate environment. Limited trading opportunities for certain fixed income securities may make it more difficult to sell or buy a security at a favorable price or time.
REAL ESTATE AND REIT CONCENTRATION RISK — The Fund is vulnerable to the risks of the real estate industry, such as the risk that a decline in rental income may occur because of extended vacancies, the failure to collect rents, increased competition from other properties, or poor management. The value and performance of REITs depends on how well the underlying properties owned by the REIT are managed. In addition, the value of an individual REIT’s securities can decline if the REIT fails to continue qualifying for special tax treatment.
CONVERTIBLE BOND RISK — Convertible bonds are hybrid securities that have characteristics of both bonds and common stocks and are therefore subject to both debt security risks and equity risk. Convertible bonds are subject to equity risk especially when their conversion value is greater than the interest and principal value of the bond. The prices of equity securities may rise or fall because of economic or political changes and may decline over short or extended periods of time.
PREFERRED STOCK RISK — Preferred stocks may be more volatile than fixed income securities and are more correlated with the issuer’s underlying common stock than fixed income securities. Additionally, the dividend on a preferred stock may be changed or omitted by the issuer.
INITIAL PUBLIC OFFERING RISK — The Fund may purchase securities of companies that are offered pursuant to an IPO. The risk exists that the market value of IPO shares will fluctuate considerably due to factors such as the absence of a prior public market, unseasoned trading, the small number of shares available for trading and limited information about the issuer. The purchase of IPO shares may involve high transaction costs. IPO shares are subject to market risk and liquidity risk. When the Fund’s asset base is small, a significant portion of the Fund’s performance could be attributable to investments in IPOs, because such investments would have a magnified impact on the Fund. As the Fund’s assets grow, the effect of the Fund’s investments in IPOs on the Fund’s performance probably will decline, which could reduce the Fund’s performance.
PORTFOLIO TURNOVER RISK — A high portfolio turnover rate (100% or more) increases the Fund’s transaction costs (including brokerage commissions and dealer costs), which would adversely impact the Fund’s performance. Higher portfolio turnover may result in the realization of more short-term capital gains than if the Fund had lower portfolio turnover.
LIBOR DISCONTINUATION RISK — The terms of many financial instruments in which the Fund may invest or other transactions to which the Fund may be a party may be tied to the London Interbank Offered Rate, or “LIBOR.” LIBOR is the offered rate for short-term Eurodollar deposits between major international banks. LIBOR may be a significant factor in determining the Fund’s payment obligations under a derivative investment, the cost of financing to the Fund or an investment’s value or return to the Fund, and may be used in other ways that affect the Fund’s investment performance. In July 2017, the Financial Conduct Authority, the United Kingdom’s financial regulatory body, announced a desire to phase out the use of LIBOR by the end of 2021.
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Orinda Income Opportunities Fund Notes To Financial Statements (Continued) February 28, 2021 (Unaudited) |
Although financial regulators and industry working groups have suggested alternative reference rates, such as European Interbank Offer Rate (“EURIBOR”), Sterling Overnight Interbank Average Rate (“SONIA”) and Secured Overnight Financing Rate (“SOFR”), global consensus on alternative rates is lacking and the process for amending existing contracts or instruments to transition away from LIBOR remains uncertain. There also remains uncertainty and risk regarding the willingness and ability of issuers to include fallback provisions and/or other measures that contemplate the discontinuation of LIBOR in new and existing contracts or instruments. In addition, there are obstacles to converting certain longer-term securities and transactions to a new reference rate or rates and the effectiveness of one alternative reference rate versus multiple alternative reference rates in new or existing financial instruments and products has not been determined.
The transition away from LIBOR might lead to increased volatility and illiquidity in markets for instruments whose terms currently reference LIBOR, reduced values of LIBOR-related investments, reduced effectiveness of hedging strategies, increased costs for certain LIBOR-related instruments, increased difficulty in borrowing or refinancing, and prolonged adverse market conditions for the Fund. Furthermore, the risks associated with the expected discontinuation of LIBOR and related transition may be exacerbated if the work necessary to effect an orderly transition to an alternative reference rate is not completed in a timely manner. Because the usefulness of LIBOR as a benchmark could deteriorate during the transition period, these effects could occur prior to the end of 2021.
Although the Fund is working to minimize its exposure to risks associated with the expected discontinuation of LIBOR, all of the aforementioned risks may adversely affect the Fund’s performance or NAV.
CORONAVIRUS (COVID-19) PANDEMIC — The global outbreak of COVID-19 (commonly referred to as “coronavirus”) has disrupted economic markets and the prolonged economic impact is uncertain. The ultimate economic fallout from the pandemic, and the long-term impact on economies, markets, industries and individual issuers are not known. The operational and financial performance of the issuers of securities in which the Fund invests depends on future developments, including the duration and spread of the outbreak, and such uncertainty may in turn adversely affect the value and liquidity of the Fund’s investments, impair the Fund’s ability to satisfy redemption requests, and negatively impact the Fund’s performance.
CASH AND CASH EQUIVALENTS — Cash and cash equivalents are valued at cost plus accrued interest, which approximates market value.
REDEMPTION FEES — The Fund does not charge redemption fees to shareholders.
OTHER — In the normal course of business, the Fund may enter into contracts that provide general indemnifications. The Fund’s maximum exposure under these arrangements is dependent on claims that may be made against the Fund in the future, and, therefore, cannot be estimated; however, the Fund expects the risk of material loss from such claims to be remote.
2. INVESTMENT ADVISER AND OTHER SERVICES
Orinda Asset Management, LLC (the “Adviser” or “Orinda”) serves as the investment adviser to the Fund. The Adviser furnishes all investment advice, office space, and facilities, and provides most of the personnel needed by the Fund. The Fund compensates the Adviser for its services at an annual rate based on the Fund’s average daily net assets (the “Advisory Fee”), payable on a monthly basis in arrears, as shown in the following table.
The Adviser has contractually agreed to waive advisory fees and/or reimburse expenses to the extent that the total annual Fund operating expenses (excluding certain items discussed below) exceed the rate (“Expense Cap”) shown in the following table of the average daily net assets for each class of shares. In determining the Adviser’s obligation to waive advisory fees and/or reimburse expenses, the following expenses are not taken into account and could cause total annual Fund operating expenses to exceed the Expense Cap as applicable: acquired fund fees and expenses, brokerage commissions, dividends on securities sold
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Orinda Income Opportunities Fund Notes To Financial Statements (Continued) February 28, 2021 (Unaudited) |
short, extraordinary expenses, interest and taxes. This contractual limitation is in effect until December 31, 2021 and may not be terminated without the approval of the Board. The Adviser may discontinue these arrangements at any time after December 31, 2021.
ADVISORY | EXPENSE CAPS | |||
FEE | CLASS I | CLASS A | CLASS D | |
1.00% | 1.40% | 1.65% | 2.40% |
During the current fiscal period, investment advisory fees accrued, waived and/or reimbursed were as follows:
GROSS ADVISORY | WAIVERS AND/OR | NET ADVISORY | |||||||||
$ | 850,077 | $ | 40,844 | $ | 890,921 |
If at any time the Fund’s total annual Fund operating expenses (not including acquired fund fees and expenses, short sale dividend expenses, brokerage commissions, extraordinary items, interest and taxes) for a year are less than the relevant share class’s Expense Cap, the Adviser is entitled to reimbursement by the Fund of the advisory fees forgone and other payments remitted by the Adviser to the Fund within three years from the date on which such waiver or reimbursement was made, provided such reimbursement does not cause the Fund to exceed the relevant share class’s Expense Cap that was in effect at the time of the waiver or reimbursement.
As of the end of the reporting period, the Fund had amounts available for recoupment as follows:
EXPIRATION | |||||||||||||||
AUGUST 31, | AUGUST 31, | AUGUST 31, | AUGUST 31, | ||||||||||||
$ | — | $ | — | $ | 11,682 | $ | 546 |
U.S. Bancorp Fund Services, LLC (“Fund Services”), doing business as U.S. Bank Global Fund Services, serves as administrator for the Fund. For providing administrative and accounting services, Fund Services is entitled to receive a monthly fee, subject to certain minimum and out of pocket expenses.
Fund Services serves as the Fund’s transfer and dividend disbursing agent. For providing transfer agent services, Fund Services is entitled to receive a monthly fee, subject to certain minimum and out of pocket expenses.
U.S. Bank, N.A. (the “Custodian”) provides certain custodial services to the Fund. The Custodian is entitled to receive a monthly fee, subject to certain minimum and out of pocket expenses.
Quasar Distributors, LLC (the “Distributor”), a wholly-owned broker-dealer subsidiary of Foreside Financial Group, LLC, serves as the principal underwriter and distributor of the Funds’ shares pursuant to a Distribution Agreement with RBB.
For compensation amounts paid to Fund Services and the Custodian, please refer to the Statement of Operations.
The Board has adopted Plans of Distribution for Class A Shares and Class D Shares (the “Plans”) pursuant to Rule 12b-1 under the 1940 Act. Under the Plans, the Fund’s distributor is entitled to receive from the Fund a distribution fee with respect to Class A Shares and Class D Shares of the Fund, which is accrued daily and paid monthly, of up to 0.25% on an annualized basis of the average daily net assets of the Class A Shares and up to 1.00% on an annualized basis of the average daily net assets of the Class D Shares. The actual amount of such compensation under the Plans is agreed upon by the Board and by the Distributor. Because these fees are paid out of the Fund’s assets on an ongoing basis, over time these fees will increase the cost of your investment in Class A Shares and Class D Shares and may cost you more than paying other types of sales charges. Amounts paid to the Distributor under the Plans may be used by the Distributor to cover expenses that are related to (i) the sale of Class A Shares and Class D Shares, (ii) ongoing servicing and/or maintenance of the accounts of Class A and Class D shareholders, and (iii) sub-transfer agency services, sub-accounting services or administrative services related to the sale of Class A Shares and Class D Shares, all as set forth in the Plans.
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Orinda Income Opportunities Fund Notes To Financial Statements (Continued) February 28, 2021 (Unaudited) |
3. DIRECTOR AND OFFICER COMPENSATION
The Directors of the Company receive an annual retainer and meeting fees for meetings attended. An employee of Vigilant Compliance, LLC serves as President and Chief Compliance Officer of the Company. Vigilant Compliance, LLC is compensated for the services provided to the Company. Employees of RBB serve as Treasurer, Secretary and Director of Marketing & Business Development of the Company. They are compensated for services provided. Certain employees of Fund Services serve as officers of the Company. They are not compensated by the Fund or the Company. An employee of Vigilant Compliance, LLC also serves as the Chief Compliance Officer of the Adviser. Neither the Fund nor the Company compensates this individual or Vigilant Compliance, LLC for services provided to Orinda. For Director and Officer compensation amounts, please refer to the Statement of Operations.
4. PURCHASES AND SALES OF INVESTMENT SECURITIES
During the current fiscal period, aggregate purchases and sales of investment securities (excluding short-term investments) of the Fund were as follows:
PURCHASES | SALES | ||||||
$ | 117,986,828 | $ | 138,975,614 |
There were no purchases or sales of long-term U.S. Government securities during the current fiscal period.
5. LEVERAGE & LINE OF CREDIT
The Fund may purchase securities with borrowed money, including bank overdrafts (a form of leverage). The Fund may borrow amounts up to one-third of the value of its assets after giving effect to such borrowing. Leverage exaggerates the effect on the net asset value of any increase or decrease in the market value of the Fund’s portfolio securities. These borrowings will be subject to interest costs, which may or may not be recovered by appreciation of the securities purchased. In certain cases, interest costs may exceed the return received on the securities purchased.
The Fund may also utilize the line of credit for short term financing, if necessary, subject to certain restrictions, in connection with shareholder redemptions. The Fund maintains a separate line of credit with BNP Paribas (acting through its New York Branch). The Fund is charged interest of 1.20% above the one-month London Interbank Offered Rate (“LIBOR”) for borrowings under this agreement. The Fund can borrow up to a maximum of 50% of the market value of assets pledged as collateral. However, depending on the liquidity of the collateral, issuer concentration, debt ratings of fixed income investments, and the share price of equity holdings, the amount eligible to be borrowed can also be less than 50% of the market value of the assets pledged as collateral.
The Fund has pledged a portion of its investment securities as the collateral for their line of credit. As of the end of the reporting period, the value of the investment securities pledged as collateral was $57,437,448. The Fund had an outstanding average daily balance and a weighted average interest rate of approximately $7.9 million and 1.28%, respectively. The maximum amount outstanding for the Fund during the reporting period was $22,862,709.
6. FEDERAL INCOME TAX INFORMATION
The Fund has followed the authoritative guidance on accounting for and disclosure of uncertainty in tax positions, which requires the Fund to determine whether a tax position is more likely than not to be sustained upon examination, including resolution of any related appeals or litigation processes, based on the technical merits of the position. The Fund has determined that there was no effect on the financial statements from following this authoritative guidance. In the normal course of business, the Fund is subject to examination by federal, state and local jurisdictions, where applicable, for tax years for which applicable statutes of limitations have not expired.
28
Orinda Income Opportunities Fund Notes To Financial Statements (Concluded) February 28, 2021 (Unaudited) |
As of August 31, 2020, the federal tax cost and aggregate gross unrealized appreciation and depreciation of investments held by the Fund were as follows:
FEDERAL | UNREALIZED | UNREALIZED | NET | ||||||||||||
$ | 205,066,842 | $ | 10,994,467 | $ | (21,242,809 | ) | $ | (10,248,342 | ) |
Distributions to shareholders, if any, from net investment income and realized gains are determined in accordance with federal income tax regulations, which may differ from net investment income and realized gains recognized for financial reporting purposes. Accordingly, the character of distributions and composition of net assets for tax purposes may differ from those reflected in the accompanying financial statements. To the extent these differences are permanent, such amounts are reclassified within the capital accounts based on the tax treatment; temporary differences do not require such reclassification.
Permanent differences as of August 31, 2020 were reclassified among the following accounts:
Distributable | PAID-IN | ||||||
$ | 1,181,996 | $ | (1,181,996 | ) |
As of August 31, 2020, the components of distributable earnings on a tax basis were as follows:
UNDISTRIBUTED | UNDISTRIBUTED | NET | ACCUMULATED | TOTAL | |||||||||||||||
$ | — | $ | — | $ | (10,248,342 | ) | $ | (58,664,760 | ) | $ | (68,913,102 | ) |
The differences between the book and tax basis components of distributable earnings relate principally to the timing of recognition of income and gains for federal income tax purposes. Short-term and foreign currency gains are reported as ordinary income for federal income tax purposes.
The tax character of dividends and distributions paid during the fiscal year ended August 31, 2020 was as follows:
ORDINARY | LONG-TERM | RETURN | |||||||||
$ | 11,836,976 | $ | — | $ | 4,178,024 |
Dividends from net investment income and short-term capital gains are treated as ordinary income dividends for federal income tax purposes.
The Fund is permitted to carryforward capital losses for an unlimited period. Capital losses that are carried forward will retain their character as either short-term or long-term capital losses. As of August 31, 2020, the Fund had $43,683,879 of short-term capital loss carryforwards and $14,978,192 of long-term capital loss carryforwards.
7. SUBSEQUENT EVENTS
Management has evaluated the impact of all subsequent events on the Fund through the date the financial statements were issued and has determined that there were no significant events requiring recognition or disclosure in the financial statements.
29
Orinda Income Opportunities Fund Notice to Shareholders FEBRUARY 28, 2021 (UNAUDITED) |
How to Obtain a Copy of the Fund’s Proxy Voting Policies
A description of the policies and procedures that the Fund uses to determine how to vote proxies relating to portfolio securities is available without charge, upon request, by calling 1-855-467-4632 or on the SEC’s website at http://www.sec.gov.
How to Obtain a Copy of the Fund’s Proxy Voting Records for the 12-Month Period Ended June 30, 2019
Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available without charge, upon request, by calling 1-855-467-4632. Furthermore, you can obtain the Fund’s proxy voting records on the SEC’s website at http://www.sec.gov.
Quarterly Portfolio Schedules
The Company files its complete schedule of portfolio holdings with the SEC for the first and third fiscal quarters of each fiscal year (quarters ended November 30 and May 31) as an exhibit to its report on Form N-PORT. The Company’s Form N-PORT is available on the SEC’s website at http://www.sec.gov.
30
Orinda Income Opportunities Fund Liquidity Risk Management Program FEBRUARY 28, 2021 (UNAUDITED) |
The Company has adopted and implemented a Liquidity Risk Management Program (the “Company Program”) as required by rule 22e-4 under the 1940 Act. In accordance with the Company Program, the Adviser has adopted and implemented a liquidity risk management program (the “Adviser Program” and together with the Company Program, the “Programs”) on behalf of the Fund. The Programs seek to assess, manage and review the Fund’s Liquidity Risk. “Liquidity Risk” is defined as the risk that the Fund could not meet requests to redeem shares issued by the Fund without significant dilution of remaining investors’ interest in the Fund.
The Board has appointed Vigilant Compliance, LLC (“Vigilant”) as the program administrator for the Company Program and the Adviser as the program administrator for the Adviser Program. The Adviser has delegated oversight of the Adviser Program to an employee of the Adviser, whose process of monitoring and determining the liquidity of the Fund’s investments is supported by one or more third-party vendors.
At meetings held during the fiscal period, the Board and its Investment and Liquidity Risk Committee received and reviewed a written report (the “Report”) of Vigilant and the Adviser concerning the operation of the Programs for the period from June 1, 2019 to June 30, 2020 (the “Period”). The Report summarized the operation of the Programs and the information and factors considered by Vigilant and the Adviser in reviewing the adequacy and effectiveness of the implementation of the Programs with respect to the Fund. Such information and factors included, among other things: (i) the methodology used to classify the liquidity of each Fund’s portfolio investments and the Adviser’s assessment that the Fund’s strategy remained appropriate for an open-end mutual fund; (ii) analyses of the Fund’s trading environment and reasonably anticipated trading size; (iii) that the Fund held primarily highly liquid assets (investments that the Fund anticipates can be converted to cash within 3 business days or less in current market conditions without significantly changing their market value); (iv) that the Fund did not require the establishment of a highly liquid investment minimum and the methodology for that determination; (v) confirmation that the Fund did not breach the 15% maximum illiquid security threshold (investments that cannot be sold or disposed of in seven days or less in current market conditions without the sale of the investment significantly changing the market value of the investment) and the procedures for monitoring compliance with the limit; (vi) that the processes, technologies and third-party vendors used to assess, manage, and/or periodically review the Fund’s Liquidity Risk functioned appropriately during the Period; and (vii) that the Programs operated adequately during the Period. The Report also summarized the changes made to the Programs over the course of the year.
Based on the review, the Report concluded that the Programs were being implemented effectively and reasonably designed to assess and manage Liquidity Risk in the Fund’s portfolio.
There can be no assurance that the Company Program or the Adviser Program will achieve its objectives under all circumstances in the future. Please refer to the Fund’s prospectus for more information regarding the Fund’s exposure to liquidity risk and other risks to which it may be subject.
31
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Investment Adviser
Orinda Asset Management LLC
3390 Mt. Diablo Boulevard, Suite 250
Lafayette, CA 94549
Distributor
Quasar Distributors, LLC
111 E Kilbourn Ave, Suite 2200
Milwaukee, WI 53202
Administrator and Transfer Agent
U.S. Bancorp Fund Services, LLC
P.O. Box 701
Milwaukee, WI 53201
Custodian
U.S. Bank National Association
Custody Operations
1555 North River Center Drive, Suite 302
Milwaukee, WI 53212
Independent Registered Public Accounting Firm
Tait, Weller & Baker LLP
Two Liberty Place
50 S 16th St Suite 2900
Philadelphia, PA 19102-2529
Legal Counsel
Faegre Drinker Biddle & Reath LLP
One Logan Square, Suite 2000
Philadelphia, PA 19103-6996
OR-SAR21
This report is intended for shareholders of the Fund and may not be used as sales literature unless preceded or accompanied by a current prospectus.
Past performance results shown in this report should not be considered a representation of future performance. Share price and returns will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. Statements and other information herein are dated and are subject to change.
SGI U.S. LARGE CAP EQUITY FUND
SGI U.S. SMALL CAP EQUITY FUND
SGI GLOBAL EQUITY FUND
SGI CONSERVATIVE FUND
SGI PRUDENT GROWTH FUND
SGI PEAK GROWTH FUND
of
The RBB Fund, Inc.
SEMI-ANNUAL REPORT
February 28, 2021
(Unaudited)
This report is submitted for the general information of the shareholders of the Funds. It is not authorized for distribution unless preceded or accompanied by a current prospectus for the Funds.
SGI U.S. LARGE CAP EQUITY FUND - CLASS I SHARES
Performance Data
February 28, 2021 (Unaudited)
Average Annual Total Returns for the periods ended February 28, 2021 | ||||||
Six | One | Three | Five | Since | ||
Class I Shares | 2.69% | 15.24% | 10.60% | 11.90% | 11.83% | |
S&P 500® Index(3) | 9.74% | 31.29% | 14.14% | 16.82% | 14.39% |
(1) | Not annualized. |
(2) | Class I Shares of the Fund commenced operations on February 29, 2012. |
(3) | Benchmark performance is from inception date of the Class I Shares only and is not the inception date of the benchmark itself. |
Performance quoted is past performance and does not guarantee future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher. Returns shown do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. Performance data current to the most recent month-end may be obtained by calling 1-855-744-8500.
The Fund’s total annual operating expenses, as stated in the current prospectus dated December 31, 2020, is 0.85% of average daily net assets for Class I Shares. These ratios may differ from the actual expenses incurred by the Fund for the period covered by this report. The Fund’s investment adviser (the “Adviser”) has contractually agreed to waive management fees and/or reimburse expenses through December 31, 2021 to the extent that total annual Fund operating expenses (excluding certain items discussed below) exceed 0.98% of the Fund’s average daily net assets attributable to Class I Shares. In determining the Adviser’s obligation to waive advisory fees and/or reimburse expenses, the following expenses are not taken into account and could cause net total annual Fund operating expenses to exceed 0.98%: acquired fund fees and expenses, brokerage commissions, extraordinary items, interest or taxes. The contractual limitation may not be terminated before December 31, 2021 without the approval of the Board of Directors of The RBB Fund, Inc. If at any time the Fund’s total annual Fund operating expenses for a year are less than 0.98% of the Fund’s average daily net assets attributable to Class I Shares, the Adviser is entitled to reimbursement by the Fund of the advisory fees forgone and other payments remitted by the Adviser to the Fund within three years from the date on which such waiver or reimbursement was made, provided such reimbursement does not cause the Fund to exceed expense limitations that were in effect at the time of the waiver or reimbursement.
The Fund’s investments will generally consist of securities, which may include common stocks, preferred stocks, warrants to acquire common stock and securities convertible into common stock. Portfolio composition is subject to change. The Fund evaluates performance as compared to that of the Standard & Poor’s 500® Index (“S&P 500®”). The S&P 500® is a widely recognized, unmanaged index of 500 common stocks which are generally representative of the U.S. stock market as a whole. It is impossible to invest directly in an index.
1
SGI U.S. LARGE CAP EQUITY FUND - CLASS A SHARES
Performance Data (continued)
February 28, 2021 (Unaudited)
Average Annual Total Returns for the periods ended February 28, 2021 | ||||||
Six | One | Three | Five | Since | ||
Class A Shares (without sales charge) | 2.59% | 14.97% | 10.33% | 11.63% | 10.47% | |
Class A Shares (with sales charge) | -2.82% | 8.92% | 8.37% | 10.43% | 9.37% | |
S&P 500® Index(3) | 9.74% | 31.29% | 14.14% | 16.82% | 14.39% |
(1) | Not annualized. |
(2) | Class A Shares of the Fund commenced operations on October 29, 2015. |
(3) | Benchmark performance is from inception date of the Class A Shares only and is not the inception date of the benchmark itself. |
Class A Shares of the Fund have a 5.25% maximum sales charge.
Performance quoted is past performance and does not guarantee future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher. Returns shown do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. Performance data current to the most recent month-end may be obtained by calling 1-855-744-8500.
The Fund’s total annual operating expenses, as stated in the current prospectus dated December 31, 2020, is 1.10% of average daily net assets for Class A Shares. These ratios may differ from the actual expenses incurred by the Fund for the period covered by this report. The Fund’s investment adviser (the “Adviser”) has contractually agreed to waive management fees and/or reimburse expenses through December 31, 2021 to the extent that total annual Fund operating expenses (excluding certain items discussed below) exceed 1.23% of the Fund’s average daily net assets attributable to Class A Shares. In determining the Adviser’s obligation to waive advisory fees and/or reimburse certain expenses, the following expenses are not taken into account and could cause net total annual Fund operating expenses to exceed 1.23%: acquired fund fees and expenses, brokerage commissions, extraordinary items, interest or taxes. The contractual limitation may not be terminated before December 31, 2021 without the approval of the Board of Directors of The RBB Fund, Inc. If at any time the Fund’s total annual Fund operating expenses for a year are less than 1.23% of the Fund’s average daily net assets attributable to Class A Shares, the Adviser is entitled to reimbursement by the Fund of the advisory fees forgone and other payments remitted by the Adviser to the Fund within three years from the date on which such waiver or reimbursement was made, provided such reimbursement does not cause the Fund to exceed expense limitations that were in effect at the time of the waiver or reimbursement.
The Fund’s investments will generally consist of securities, which may include common stocks, preferred stocks, warrants to acquire common stock and securities convertible into common stock. Portfolio composition is subject to change. The Fund evaluates performance as compared to that of the Standard & Poor’s 500® Index (“S&P 500®”). The S&P 500® is a widely recognized, unmanaged index of 500 common stocks which are generally representative of the U.S. stock market as a whole. It is impossible to invest directly in an index.
2
SGI U.S. LARGE CAP EQUITY FUND - CLASS C SHARES
Performance Data (Continued)
February 28, 2021 (Unaudited)
Average Annual Total Returns for the periods ended February 28, 2021 | ||||||
Six | One | Three | Five | Since | ||
Class C Shares | 2.20% | 14.61% | 9.68% | 10.80% | 10.27% | |
S&P 500® Index(3) | 9.74% | 31.29% | 14.14% | 16.82% | 14.39% |
(1) | Not annualized. |
(2) | Class C Shares of the Fund commenced operations on December 31, 2015. |
(3) | Benchmark performance is from inception date of the Class C Shares only and is not the inception date of the benchmark itself. |
Performance quoted is past performance and does not guarantee future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher. Returns shown do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. Performance data current to the most recent month-end may be obtained by calling 1-855-744-8500.
The Fund’s total annual operating expenses, as stated in the current prospectus dated December 31, 2020, is 1.85% of average daily net assets for Class C Shares. These ratios may differ from the actual expenses incurred by the Fund for the period covered by this report. The Fund’s investment adviser (the “Adviser”) has contractually agreed to waive management fees and/or reimburse expenses through December 31, 2021 to the extent that total annual Fund operating expenses (excluding certain items discussed below) exceed 1.98% of the Fund’s average daily net assets attributable to Class C Shares. In determining the Adviser’s obligation to waive advisory fees and/or reimburse expenses, the following expenses are not taken into account and could cause net total annual Fund operating expenses to exceed 1.98%: acquired fund fees and expenses, brokerage commissions, extraordinary items, interest or taxes. The contractual limitation may not be terminated before December 31, 2021 without the approval of the Board of Directors of The RBB Fund, Inc. If at any time the Fund’s total annual Fund operating expenses for a year are less than 1.98% of the Fund’s average daily net assets attributable to Class C Shares, the Adviser is entitled to reimbursement by the Fund of the advisory fees forgone and other payments remitted by the Adviser to the Fund within three years from the date on which such waiver or reimbursement was made, provided such reimbursement does not cause the Fund to exceed expense limitations that were in effect at the time of the waiver or reimbursement.
The Fund’s investments will generally consist of securities, which may include common stocks, preferred stocks, warrants to acquire common stock and securities convertible into common stock. Portfolio composition is subject to change. The Fund evaluates performance as compared to that of the Standard & Poor’s 500® Index (“S&P 500®”). The S&P 500® is a widely recognized, unmanaged index of 500 common stocks which are generally representative of the U.S. stock market as a whole. It is impossible to invest directly in an index.
3
SGI U.S. SMALL CAP EQUITY FUND - CLASS I SHARES
Performance Data (Continued)
February 28, 2021 (Unaudited)
Average Annual Total Returns for the periods ended February 28, 2021 | |||||
Six | One | Three | Since | ||
Class I Shares | 12.72% | 4.88% | 1.21% | 5.89% | |
Russell 2000® Index(3) | 41.69% | 51.00% | 14.87% | 16.42% |
(1) | Not annualized. |
(2) | Class I Shares of the Fund commenced operations on March 31, 2016. |
(3) | Benchmark performance is from inception date of the Class I Shares only and is not the inception date of the benchmark itself. |
Performance quoted is past performance and does not guarantee future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher. Returns shown do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. Performance data current to the most recent month-end may be obtained by calling 1-855-744-8500.
The Fund’s total annual gross and net operating expenses, as stated in the current prospectus dated December 31, 2020, are 1.56% and 1.43%, respectively, of average daily net assets for Class I Shares. These ratios may differ from the actual expenses incurred by the Fund for the period covered by this report. The Fund’s investment adviser (the “Adviser”) has contractually agreed to waive management fees and/or reimburse expenses through December 31, 2021 to the extent that total annual Fund operating expenses (excluding certain items discussed below) exceed 1.23% of the Fund’s average daily net assets attributable to Class I Shares. In determining the Adviser’s obligation to waive advisory fees and/or reimburse expenses, the following expenses are not taken into account and could cause net total annual Fund operating expenses to exceed 1.23%: acquired fund fees and expenses, brokerage commissions, extraordinary items, interest or taxes. This contractual limitation may not be terminated before December 31, 2021 without the approval of the Board of Directors of The RBB Fund, Inc. If at any time the Fund’s total annual Fund operating expenses for a year are less than 1.23% of the Fund’s average daily net assets attributable to Class I Shares, the Adviser is entitled to reimbursement by the Fund of the advisory fees forgone and other payments remitted by the Adviser to the Fund within three years from the date on which such waiver or reimbursement was made, provided such reimbursement does not cause the Fund to exceed expense limitations that were in effect at the time of the waiver or reimbursement.
The Fund’s investments will generally consist of securities, which may include common stocks, preferred stocks, warrants to acquire common stock and securities convertible into common stock. Portfolio composition is subject to change. The Fund evaluates performance as compared to that of the Russell 2000® Index (“Russell 2000®”). The Russell 2000® is a widely recognized, unmanaged index of 2,000 common stocks which are generally representative of the U.S. Small Companies. It is impossible to invest directly in an index.
The Fund invests in equity securities and in stocks of small companies which are subject to market, economic and business risks that may cause their price to rise or fall over time. Stocks of small companies may be more volatile, less liquid or not as readily marketable as those of larger companies. Small companies may also have limited product lines, markets or financial resources and may be dependent on relatively small or inexperienced management groups. Although the Fund seeks lower volatility, there is no guarantee the Fund will perform as expected.
4
SGI U.S. SMALL CAP EQUITY FUND - CLASS A SHARES
Performance Data (Continued)
February 28, 2021 (Unaudited)
Average Annual Total Returns for the periods ended February 28, 2021 | |||||
Six | One | Three | Since | ||
Class A Shares (without sales charge) | 12.58% | 4.63% | 0.98% | 5.66% | |
Class A Shares (with sales charge) | 6.71% | -0.90% | -0.81% | 4.52% | |
Russell 2000® Index(3) | 41.69% | 51.00% | 14.87% | 16.42% |
(1) | Not annualized. |
(2) | Class A Shares of the Fund commenced operations on March 31, 2016. |
(3) | Benchmark performance is from inception date of the Class A Shares only and is not the inception date of the benchmark itself. |
Class A Shares of the Fund have a 5.25% maximum sales charge.
Performance quoted is past performance and does not guarantee future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher. Returns shown do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. Performance data current to the most recent month-end may be obtained by calling 1-855-744-8500.
The Fund’s total annual gross and net operating expenses, as stated in the current prospectus dated December 31, 2020, are 1.81% and 1.68%, respectively, of average daily net assets for Class A Shares. These ratios may differ from the actual expenses incurred by the Fund for the period covered by this report. The Fund’s investment adviser (the “Adviser”) has contractually agreed to waive management fees and/or reimburse expenses through December 31, 2021 to the extent that total annual Fund operating expenses (excluding certain items discussed below) exceed 1.48% of the Fund’s average daily net assets attributable to Class A Shares. In determining the Adviser’s obligation to waive advisory fees and/or reimburse expenses, the following expenses are not taken into account and could cause net total annual Fund operating expenses to exceed 1.48%: acquired fund fees and expenses, brokerage commissions, extraordinary items, interest or taxes. This contractual limitation may not be terminated before December 31, 2021 without the approval of the Board of Directors of The RBB Fund, Inc. If at any time the Fund’s total annual Fund operating expenses for a year are less than 1.48% of the Fund’s average daily net assets attributable to Class A Shares, the Adviser is entitled to reimbursement by the Fund of the advisory fees forgone and other payments remitted by the Adviser to the Fund within three years from the date on which such waiver or reimbursement was made, provided such reimbursement does not cause the Fund to exceed expense limitations that were in effect at the time of the waiver or reimbursement.
The Fund’s investments will generally consist of securities, which may include common stocks, preferred stocks, warrants to acquire common stock and securities convertible into common stock. Portfolio composition is subject to change. The Fund evaluates performance as compared to that of the Russell 2000® Index (“Russell 2000®”). The Russell 2000® is a widely recognized, unmanaged index of 2,000 common stocks which are generally representative of the U.S. Small Companies. It is impossible to invest directly in an index.
The Fund invests in equity securities and in stocks of small companies which are subject to market, economic and business risks that may cause their price to rise or fall over time. Stocks of small companies may be more volatile, less liquid or not as readily marketable as those of larger companies. Small companies may also have limited product lines, markets or financial resources and may be dependent on relatively small or inexperienced management groups. Although the Fund seeks lower volatility, there is no guarantee the Fund will perform as expected.
5
SGI U.S. SMALL CAP EQUITY FUND - CLASS C SHARES
Performance Data (Continued)
February 28, 2021 (Unaudited)
Average Annual Total Returns for the periods ended February 28, 2021 | |||||
Six | One | Three | Since | ||
Class C Shares | 12.10% | 3.80% | 0.23% | 4.85% | |
Russell 2000® Index(3) | 41.69% | 51.00% | 14.87% | 16.42% |
(1) | Not annualized. |
(2) | Class C Shares of the Fund commenced operations on March 31, 2016. |
(3) | Benchmark performance is from inception date of the Class C Shares only and is not the inception date of the benchmark itself. |
Performance quoted is past performance and does not guarantee future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher. Returns shown do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. Performance data current to the most recent month-end may be obtained by calling 1-855-744-8500.
The Fund’s total annual gross and net operating expenses, as stated in the current prospectus dated December 31, 2020, are 2.56% and 2.43%, respectively, of average daily net assets for Class C Shares. These ratios may differ from the actual expenses incurred by the Fund for the period covered by this report. The Fund’s investment adviser (the “Adviser”) has contractually agreed to waive management fees and/or reimburse expenses through December 31, 2021 to the extent that total annual Fund operating expenses (excluding certain items discussed below) exceed 2.23% of the Fund’s average daily net assets attributable to Class C Shares. In determining the Adviser’s obligation to waive advisory fees and/or reimburse expenses, the following expenses are not taken into account and could cause net total annual Fund operating expenses to exceed 2.23%: acquired fund fees and expenses, brokerage commissions, extraordinary items, interest or taxes. This contractual limitation may not be terminated before December 31, 2021 without the approval of the Board of Directors of The RBB Fund, Inc. If at any time the Fund’s total annual Fund operating expenses for a year are less than 2.23% of the Fund’s average daily net assets attributable to Class C Shares, the Adviser is entitled to reimbursement by the Fund of the advisory fees forgone and other payments remitted by the Adviser to the Fund within three years from the date on which such waiver or reimbursement was made, provided such reimbursement does not cause the Fund to exceed expense limitations that were in effect at the time of the waiver or reimbursement.
The Fund’s investments will generally consist of securities, which may include common stocks, preferred stocks, warrants to acquire common stock and securities convertible into common stock. Portfolio composition is subject to change. The Fund evaluates performance as compared to that of the Russell 2000® Index (“Russell 2000®”). The Russell 2000® is a widely recognized, unmanaged index of 2,000 common stocks which are generally representative of the U.S. Small Companies. It is impossible to invest directly in an index.
The Fund invests in equity securities and in stocks of small companies which are subject to market, economic and business risks that may cause their price to rise or fall over time. Stocks of small companies may be more volatile, less liquid or not as readily marketable as those of larger companies. Small companies may also have limited product lines, markets or financial resources and may be dependent on relatively small or inexperienced management groups. Although the Fund seeks lower volatility, there is no guarantee the Fund will perform as expected.
6
SGI GLOBAL EQUITY FUND - CLASS I SHARES
Performance Data (Continued)
February 28, 2021 (Unaudited)
Average Annual Total Returns for the periods ended February 28, 2021(2) | ||||||
Six | One | Five | Ten | Since | ||
Class I Shares(3) | 2.75% | 9.29% | 10.38% | 8.63% | 15.11% | |
MSCI ACWI Index(4) | 13.04% | 30.25% | 14.24% | 8.85% | 12.67% |
(1) | Not annualized. |
(2) | Returns for periods prior to January 3, 2017 were generated under the management of the Fund’s former investment adviser and reflect a previous investment strategy. |
(3) | The Fund operated as a series of Scotia Institutional Funds prior to the close of business on March 21, 2014 (the “Predecessor Fund”), at which time the Predecessor Fund was reorganized into the Scotia Dynamic U.S. Growth Fund, a newly created series of The RBB Fund, Inc. The fiscal year end of the Predecessor Fund was September 30. The performance shown for periods prior to March 21, 2014 represents the performance for the Predecessor Fund. While the Predecessor Fund commenced operations on March 31, 2009, the Predecessor Fund began investing consistent with its investment objective on April 1, 2009. Effective January 3, 2017, the Scotia Dynamic U.S. Growth Fund changed its name to the Summit Global Investments Global Low Volatility Fund (the “Fund”). |
(4) | Benchmark performance is from inception date of the Predecessor Fund only and is not the inception date of the benchmark itself. |
Performance quoted is past performance and does not guarantee future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher. Returns shown do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. Performance data current to the most recent month-end may be obtained by calling 1-855-744-8500.
The Fund’s total annual gross and net operating expenses, as stated in the current prospectus dated December 31, 2020, are 1.01% and 0.87%, respectively, of average daily net assets for Class I Shares. These ratios may differ from the actual expenses incurred by the Fund for the period covered by this report. The Fund’s investment adviser (the “Adviser”) has contractually agreed to waive management fees and/or reimburse certain expenses of the Fund through December 31, 2021 to the extent necessary to ensure that the Fund’s total annual operating expenses (excluding taxes, extraordinary expenses, brokerage commissions and interest) do not exceed 0.84% (on an annual basis) of Class I’s average daily net assets (the “Expense Limitation”). The Expense Limitation shall remain in effect until December 31, 2021 unless the Board of Directors of The RBB Fund, Inc. approves its earlier termination. If at any time the Fund’s total annual Fund operating expenses for a year are less than 0.84% of the Fund’s average daily net assets attributable to Class I Shares, the Adviser is entitled to reimbursement by the Fund of the advisory fees forgone and other payments remitted by the Adviser to the Fund within three years from the date on which such waiver or reimbursement was made, provided such reimbursement does not cause the Fund to exceed expense limitations that were in effect at the time of the waiver or reimbursement.
International investing is subject to special risks including, but not limited to, currency risk associated with securities denominated in other than the U.S. dollar, which may be affected by fluctuations in currency exchange rates, political, social or economic instability, and differences in taxation, auditing, and other financial practices.
The MSCI ACWI Index (the “Index”) captures large and mid cap representation across 23 Developed Markets (DM) and 27 Emerging Markets (EM) countries. With more than 3,000 constituents, the index covers approximately 85% of the global investable equity opportunity set. It is not possible to invest directly in an index.
7
SGI CONSERVATIVE FUND - CLASS I SHARES
Performance Data (Continued)
February 28, 2021 (Unaudited)
Average Annual Total Returns for the periods ended February 28, 2021 | |||
Six | Since | ||
Class I Shares | -0.80% | 2.67%(1)(2) | |
Bloomberg Barclays US Aggregate Bond Index(3) | -1.73% | 0.05% | |
Composite Index(4) | 1.29% | 4.78% |
(1) | Inception date of the Fund is June 8, 2020. |
(2) | Not annualized. |
(3) | Benchmark performance is from inception date of the Fund only and is not the inception date of the benchmark itself. |
(4) | The Composite Index is comprised of the Bloomberg Barclays US Aggregate Bond Index and S&P 500® Index, weighted 75% and 25%, respectively. |
Performance quoted is past performance and does not guarantee future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher. Returns shown do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. Performance data current to the most recent month-end may be obtained by calling 1-855-744-8500.
The Fund’s total annual gross and net operating expenses, as stated in the current prospectus dated December 31, 2020, are 16.11% and 1.73%, respectively, of average daily net assets for Class I Shares. These ratios may differ from the actual expenses incurred by the Fund for the period covered by this report. The Fund’s investment adviser (the “Adviser”) has contractually agreed to waive management fees and/or reimburse certain expenses of the Fund through December 31, 2021 to the extent necessary to ensure that the Fund’s total annual operating expenses (excluding taxes, extraordinary expenses, brokerage commissions and interest) do not exceed 1.70% (on an annual basis) of Class I’s average daily net assets (the “Expense Limitation”). The Expense Limitation shall remain in effect until December 31, 2021, unless the Board of Directors of The RBB Fund, Inc. approves its earlier termination. If at any time the Fund’s total annual Fund operating expenses for a year are less than 1.70% of the Fund’s average daily net assets attributable to Class I Shares, the Adviser is entitled to reimbursement by the Fund of the advisory fees forgone and other payments remitted by the Adviser to the Fund within three years from the date on which such waiver or reimbursement was made, provided such reimbursement does not cause the Fund to exceed expense limitations that were in effect at the time of the waiver or reimbursement.
The Bloomberg Barclays U.S. Aggregate Bond Index is an unmanaged, market capitalization-weighted index, comprised predominately of U.S. traded investment grade bonds with maturities of one year or more. The index includes Treasury securities, Government agency bonds, mortgage- backed bonds, and corporate bonds. The index is representative of intermediate duration U.S. investment grade debt securities. It is not possible to invest directly in an index.
8
SGI PRUDENT GROWTH FUND - CLASS I SHARES
Performance Data (Continued)
February 28, 2021 (Unaudited)
Average Annual Total Returns for the periods ended February 28, 2021 | |||
Six | Since | ||
Class I Shares | 2.04% | 8.16%(1)(2) | |
S&P 500® Index(3) | 9.74% | 27.53% | |
Composite Index(4) | 5.25% | 11.51% |
(1) | Inception date of the Fund is June 8, 2020. |
(2) | Not annualized. |
(3) | Benchmark performance is from inception date of the Fund only and is not the inception date of the benchmark itself. |
(4) | The Composite Index is comprised of the S&P 500® Index and Bloomberg Barclays US Aggregate Bond Index, weighted 60% and 40%, respectively. |
Performance quoted is past performance and does not guarantee future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher. Returns shown do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. Performance data current to the most recent month-end may be obtained by calling 1-855-744-8500.
The Fund’s total annual gross and net operating expenses, as stated in the current prospectus dated December 31, 2020 are 4.08% and 1.81%, respectively, of average daily net assets for Class I Shares. These ratios may differ from the actual expenses incurred by the Fund for the period covered by this report. The Fund’s investment adviser (the “Adviser”) has contractually agreed to waive management fees and/or reimburse certain expenses of the Fund through December 31, 2021 to the extent necessary to ensure that the Fund’s total annual operating expenses (excluding taxes, extraordinary expenses, brokerage commissions and interest) do not exceed 1.70% (on an annual basis) of Class I’s average daily net assets (the “Expense Limitation”). The Expense Limitation shall remain in effect until December 31, 2021, unless the Board of Directors of The RBB Fund, Inc. approves its earlier termination. If at any time the Fund’s total annual Fund operating expenses for a year are less than 1.70% of the Fund’s average daily net assets attributable to Class I Shares, the Adviser is entitled to reimbursement by the Fund of the advisory fees forgone and other payments remitted by the Adviser to the Fund within three years from the date on which such waiver or reimbursement was made, provided such reimbursement does not cause the Fund to exceed expense limitations that were in effect at the time of the waiver or reimbursement.
The S&P 500® Index is a widely recognized, unmanaged index of 500 common stocks which are generally representative of the U.S. stock market as a whole. It is impossible to invest directly in an index.
9
SGI PEAK GROWTH FUND - CLASS I SHARES
Performance Data (Continued)
February 28, 2021 (Unaudited)
Average Annual Total Returns for the periods ended February 28, 2021 | |||
Six | Since | ||
Class I Shares | 5.30% | 15.20%(1)(2) | |
S&P 500® Index(3) | 9.74% | 19.31% |
(1) | Inception date of the Fund is June 8, 2020. |
(2) | Not annualized. |
(3) | Benchmark performance is from inception date of the Fund only and is not the inception date of the benchmark itself. |
Performance quoted is past performance and does not guarantee future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher. Returns shown do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. Performance data current to the most recent month-end may be obtained by calling 1-855-744-8500.
The Fund’s total annual gross and net operating expenses, as stated in the current prospectus dated December 31, 2020 are 3.70% and 1.88%, respectively, of average daily net assets for Class I Shares. These ratios may differ from the actual expenses incurred by the Fund for the period covered by this report. The Fund’s investment adviser (the “Adviser”) has contractually agreed to waive management fees and/or reimburse certain expenses of the Fund through December 31, 2021 to the extent necessary to ensure that the Fund’s total annual operating expenses (excluding taxes, extraordinary expenses, brokerage commissions and interest) do not exceed 1.70% (on an annual basis) of Class I’s average daily net assets (the “Expense Limitation”). The Expense Limitation shall remain in effect until December 31, 2021, unless the Board of Directors of The RBB Fund, Inc. approves its earlier termination. If at any time the Fund’s total annual Fund operating expenses for a year are less than 1.70% of the Fund’s average daily net assets attributable to Class I Shares, the Adviser is entitled to reimbursement by the Fund of the advisory fees forgone and other payments remitted by the Adviser to the Fund within three years from the date on which such waiver or reimbursement was made, provided such reimbursement does not cause the Fund to exceed expense limitations that were in effect at the time of the waiver or reimbursement.
The S&P 500® Index is a widely recognized, unmanaged index of 500 common stocks which are generally representative of the U.S. stock market as a whole. It is impossible to invest directly in an index.
10
SUMMIT GLOBAL INVESTMENTS
Fund Expense Examples
February 28, 2021 (Unaudited)
As a shareholder of the Fund(s), you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments (if applicable); and (2) ongoing costs, including management fees; distribution and/or service (12b-1) fees; and other Fund expenses. These examples are intended to help you understand your ongoing costs (in dollars) of investing in the Fund(s) and to compare these costs with the ongoing costs of investing in other mutual funds.
These examples are based on an investment of $1,000 invested at the beginning of the six-month period from September 1, 2020 through February 28, 2021 and held for the entire period.
Actual Expenses
The first line of the accompanying tables provide information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The second section of the accompanying tables provide information about hypothetical account values and hypothetical expenses based on each Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in each Fund and other funds. To do so, compare these 5% hypothetical examples with the 5% hypothetical examples that appear in the shareholder reports of other funds.
The expenses shown in the accompanying tables are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads), redemption fees or exchange fees. Therefore, the second section of the accompanying tables is useful in comparing ongoing costs only and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
SGI U.S. Large Cap Equity Fund | |||||
Beginning | Ending | Expenses | Annualized | Actual | |
Actual | |||||
Class I Shares | $ 1,000.00 | $ 1,026.90 | $ 4.32 | 0.86% | 2.69% |
Class A Shares | 1,000.00 | 1,025.90 | 5.58 | 1.11 | 2.59 |
Class C Shares | 1,000.00 | 1,022.00 | 9.33 | 1.86 | 2.20 |
Hypothetical (5% return before expenses) | |||||
Class I Shares | $ 1,000.00 | $ 1,020.53 | $ 4.31 | 0.86% | N/A |
Class A Shares | 1,000.00 | 1,019.29 | 5.56 | 1.11 | N/A |
Class C Shares | 1,000.00 | 1,015.57 | 9.30 | 1.86 | N/A |
11
SUMMIT GLOBAL INVESTMENTS
Fund Expense Examples (CONTINUED)
February 28, 2021 (Unaudited)
SGI U.S. Small Cap Equity Fund | |||||
Beginning | Ending | Expenses | Annualized | Actual | |
Actual | |||||
Class I Shares | $ 1,000.00 | $ 1,127.20 | $ 6.49 | 1.23% | 12.72% |
Class A Shares | 1,000.00 | 1,125.80 | 7.80 | 1.48 | 12.58 |
Class C Shares | 1,000.00 | 1,121.00 | 11.73 | 2.23 | 12.10 |
Hypothetical (5% return before expenses) | |||||
Class I Shares | $ 1,000.00 | $ 1,018.70 | $ 6.16 | 1.23% | N/A |
Class A Shares | 1,000.00 | 1,017.46 | 7.40 | 1.48 | N/A |
Class C Shares | 1,000.00 | 1,013.74 | 11.13 | 2.23 | N/A |
SGI Global Equity Fund | |||||
Beginning | Ending | Expenses | Annualized | Actual | |
Actual | |||||
Class I Shares | $ 1,000.00 | $ 1,027.50 | $ 4.22 | 0.84% | 2.75% |
Hypothetical (5% return before expenses) | |||||
Class I Shares | $ 1,000.00 | $ 1,020.63 | $ 4.21 | 0.84% | N/A |
SGI Conservative Fund | |||||
Beginning | Ending | Expenses | Annualized | Actual | |
Actual | |||||
Class I Shares | $ 1,000.00 | $ 992.00 | $ 8.40 | 1.70% | -0.80% |
Hypothetical (5% return before expenses) | |||||
Class I Shares | $ 1,000.00 | $ 1,016.36 | $ 8.50 | 1.70% | N/A |
12
SUMMIT GLOBAL INVESTMENTS
Fund Expense Examples (Concluded)
February 28, 2021 (Unaudited)
SGI Prudent Fund | |||||
Beginning | Ending | Expenses | Annualized | Actual | |
Actual | |||||
Class I Shares | $ 1,000.00 | $ 1,020.40 | $ 8.52 | 1.70% | 2.04% |
Hypothetical (5% return before expenses) | |||||
Class I Shares | $ 1,000.00 | $ 1,016.36 | $ 8.50 | 1.70% | N/A |
SGI Peak Growth Fund | |||||
Beginning | Ending | Expenses | Annualized | Actual | |
Actual | |||||
Class I Shares | $ 1,000.00 | $ 1,053.00 | $ 8.65 | 1.70% | 5.30% |
Hypothetical (5% return before expenses) | |||||
Class I Shares | $ 1,000.00 | $ 1,016.36 | $ 8.50 | 1.70% | N/A |
(1) | Expenses are equal to each Fund’s annualized six-month expense ratio for the period September 1, 2020 to February 28, 2021, multiplied by the average account value over the period, multiplied by the number of days (181) in the most recent fiscal half-year, then divided by 365 to reflect the one half year period. Each Fund’s ending account values on the first line in the tables is based on the actual six-month total investment return for each Fund. |
13
SGI U.S. LARGE CAP EQUITY FUND
Portfolio Holdings Summary Table
February 28, 2021 (Unaudited)
The following table presents a summary by sector of the portfolio holdings of the Fund:
% OF Net | Value | |||||||
COMMON STOCKS: | ||||||||
Software | 24.1 | % | $ | 117,088,533 | ||||
Retail | 11.7 | 56,976,493 | ||||||
Internet | 9.6 | 46,403,329 | ||||||
Healthcare-Products | 7.4 | 35,629,898 | ||||||
Home Builders | 4.0 | 19,353,612 | ||||||
Computers | 3.7 | 18,213,403 | ||||||
Pharmaceuticals | 3.6 | 17,682,511 | ||||||
Healthcare-Services | 3.2 | 15,735,496 | ||||||
Banks | 3.0 | 14,550,699 | ||||||
Semiconductors | 2.8 | 13,717,914 | ||||||
Environmental Control | 2.8 | 13,624,321 | ||||||
Biotechnology | 2.7 | 13,123,245 | ||||||
Commercial Services | 2.4 | 11,873,050 | ||||||
Telecommunications | 2.4 | 11,793,089 | ||||||
Diversified Financial Services | 2.2 | 10,895,496 | ||||||
Home Furnishings | 2.1 | 10,417,121 | ||||||
Insurance | 1.6 | 7,838,956 | ||||||
Transportation | 1.3 | 6,310,472 | ||||||
Distribution & Wholesale | 1.2 | 5,591,466 | ||||||
Oil & Gas | 1.1 | 5,490,000 | ||||||
REITs | 1.0 | 4,922,070 | ||||||
Aerospace/Defense | 0.8 | 3,996,545 | ||||||
Food | 0.7 | 3,576,615 | ||||||
Electric | 0.6 | 3,080,608 | ||||||
Electronics | 0.6 | 2,838,504 | ||||||
Office & Business Equipment | 0.4 | 1,897,834 | ||||||
Water | 0.3 | 1,589,055 | ||||||
Chemicals | 0.3 | 1,423,660 | ||||||
Media | 0.3 | 1,340,395 | ||||||
Electrical Components & Equipment | 0.2 | 1,164,295 | ||||||
SHORT-TERM INVESTMENTS | 1.9 | 9,116,978 | ||||||
LIABILITIES IN EXCESS OF OTHER ASSETS | 0.0 | (234,230 | ) | |||||
NET ASSETS | 100 | % | $ | 487,021,433 |
Portfolio holdings are subject to change at any time.
The accompanying notes are an integral part of the financial statements.
14
SGI U.S. LARGE CAP EQUITY FUND
Portfolio of Investments
February 28, 2021 (Unaudited)
Number of Shares | Value | |||||||
COMMON STOCKS — 98.1% | ||||||||
Aerospace/Defense — 0.8% | ||||||||
L3Harris Technologies, Inc. | 12,700 | $ | 2,310,257 | |||||
Mercury Systems, Inc.* | 25,800 | 1,686,288 | ||||||
3,996,545 | ||||||||
Banks — 3.0% | ||||||||
Bank of America Corp. | 76,400 | 2,651,844 | ||||||
JPMorgan Chase & Co. | 26,600 | 3,914,722 | ||||||
PNC Financial Services Group, Inc., (The) | 19,600 | 3,299,856 | ||||||
Zions Bancorp NA | 88,100 | 4,684,277 | ||||||
14,550,699 | ||||||||
Biotechnology — 2.7% | ||||||||
Biogen, Inc.* | 4,100 | 1,118,808 | ||||||
Exelixis, Inc.* | 54,500 | 1,180,470 | ||||||
Illumina, Inc.* | 2,900 | 1,274,289 | ||||||
Incyte Corp.* | 39,800 | 3,130,668 | ||||||
Vertex Pharmaceuticals, Inc.* | 30,200 | 6,419,010 | ||||||
13,123,245 | ||||||||
Chemicals — 0.3% | ||||||||
FMC Corp. | 14,000 | 1,423,660 | ||||||
Commercial Services — 2.4% | ||||||||
Cintas Corp. | 3,000 | 973,020 | ||||||
Robert Half International, Inc. | 38,600 | 3,002,694 | ||||||
S&P Global, Inc. | 19,600 | 6,455,456 | ||||||
Verisk Analytics, Inc. | 8,800 | 1,441,880 | ||||||
11,873,050 | ||||||||
Computers — 3.7% | ||||||||
Accenture PLC, Class A, (Ireland) | 9,900 | 2,483,910 | ||||||
Amdocs Ltd. | 14,800 | 1,121,988 | ||||||
Apple, Inc. | 41,600 | 5,044,416 | ||||||
Fortinet, Inc.* | 23,300 | 3,934,205 | ||||||
Logitech International SA, (Switzerland) | 52,100 | 5,628,884 | ||||||
18,213,403 | ||||||||
Distribution & Wholesale — 1.2% | ||||||||
Fastenal Co. | 22,000 | 1,020,140 | ||||||
WW Grainger, Inc. | 2,600 | 969,046 | ||||||
Copart, Inc.* | 33,000 | 3,602,280 | ||||||
5,591,466 | ||||||||
Diversified Financial Services — 2.2% | ||||||||
Cboe Global Markets, Inc. | 110,100 | 10,895,496 | ||||||
Electric — 0.6% | ||||||||
Alliant Energy Corp. | 32,400 | 1,495,584 | ||||||
Dominion Resources, Inc. | 23,200 | 1,585,024 | ||||||
3,080,608 | ||||||||
Electrical Components & Equipment — 0.2% | ||||||||
Universal Display Corp. | 5,500 | 1,164,295 | ||||||
Electronics — 0.6% | ||||||||
Keysight Technologies, Inc.* | 8,700 | $ | 1,231,224 | |||||
National Instruments Corp. | 36,200 | 1,607,280 | ||||||
2,838,504 | ||||||||
Environmental Control — 2.8% | ||||||||
Republic Services, Inc. | 71,400 | 6,361,026 | ||||||
Waste Management, Inc. | 65,500 | 7,263,295 | ||||||
13,624,321 | ||||||||
Food — 0.7% | ||||||||
Flowers Foods, Inc. | 110,200 | 2,396,850 | ||||||
Hershey Co., (The) | 8,100 | 1,179,765 | ||||||
3,576,615 | ||||||||
Healthcare-Products — 7.4% | ||||||||
Cooper Cos Inc., (The) | 3,400 | 1,312,842 | ||||||
Haemonetics Corp.* | 21,400 | 2,707,100 | ||||||
IDEXX Laboratories, Inc.* | 38,000 | 19,766,460 | ||||||
Intuitive Surgical, Inc.* | 8,200 | 6,041,760 | ||||||
Masimo Corp.* | 8,700 | 2,181,351 | ||||||
West Pharmaceutical Services, Inc. | 12,900 | 3,620,385 | ||||||
35,629,898 | ||||||||
Healthcare-Services — 3.2% | ||||||||
Amedisys, Inc.* | 11,200 | 2,840,768 | ||||||
Chemed Corp. | 23,600 | 10,506,956 | ||||||
Teladoc Health, Inc.* | 10,800 | 2,387,772 | ||||||
15,735,496 | ||||||||
Home Builders — 4.0% | ||||||||
NVR, Inc.* | 4,300 | 19,353,612 | ||||||
Home Furnishings — 2.1% | ||||||||
Dolby Laboratories, Inc., Class A | 106,700 | 10,417,121 | ||||||
Insurance — 1.6% | ||||||||
Allstate Corp., (The) | 9,600 | 1,023,360 | ||||||
Arthur J Gallagher & Co. | 9,700 | 1,162,060 | ||||||
Fidelity National Financial, Inc. | 94,700 | 3,625,116 | ||||||
Progressive Corp., (The) | 23,600 | 2,028,420 | ||||||
7,838,956 | ||||||||
Internet — 9.6% | ||||||||
Alphabet, Inc., Class A* | 4,100 | 8,289,831 | ||||||
Amazon.com, Inc.* | 6,000 | 18,557,580 | ||||||
CDW Corp. | 8,000 | 1,255,120 | ||||||
F5 Networks, Inc.* | 81,300 | 15,445,374 | ||||||
GoDaddy, Inc., Class A* | 35,200 | 2,855,424 | ||||||
46,403,329 | ||||||||
Media — 0.3% | ||||||||
Cable One, Inc. | 700 | 1,340,395 | ||||||
Office & Business Equipment — 0.4% | ||||||||
Zebra Technologies Corp., Class A* | 3,800 | 1,897,834 |
The accompanying notes are an integral part of the financial statements.
15
SGI U.S. LARGE CAP EQUITY FUND
Portfolio of Investments (CONCLUDED)
February 28, 2021 (Unaudited)
Number of Shares | Value | |||||||
Oil & Gas — 1.1% | ||||||||
Chevron Corp. | 54,900 | $ | 5,490,000 | |||||
Pharmaceuticals — 3.6% | ||||||||
AbbVie, Inc. | 11,000 | 1,185,140 | ||||||
Bristol-Myers Squibb Co. | 14,900 | 913,817 | ||||||
Merck & Co., Inc. | 92,100 | 6,688,302 | ||||||
Zoetis, Inc. | 57,300 | 8,895,252 | ||||||
17,682,511 | ||||||||
REITs — 1.0% | ||||||||
AvalonBay Communities, Inc. | 6,300 | 1,107,225 | ||||||
Equity Residential | 16,900 | 1,105,429 | ||||||
Public Storage | 7,400 | 1,731,156 | ||||||
Rexford Industrial Realty, Inc. | 20,500 | 978,260 | ||||||
4,922,070 | ||||||||
Retail — 11.7% | ||||||||
Best Buy Co., Inc. | 99,000 | 9,934,650 | ||||||
Costco Wholesale Corp. | 9,600 | 3,177,600 | ||||||
Dollar General Corp. | 72,100 | 13,626,179 | ||||||
Lululemon Athletica, Inc.* | 33,300 | 10,378,944 | ||||||
Target Corp. | 19,800 | 3,632,112 | ||||||
Wal-Mart Stores, Inc. | 124,900 | 16,227,008 | ||||||
56,976,493 | ||||||||
Semiconductors — 2.8% | ||||||||
Advanced Micro Devices, Inc.* | 113,400 | 9,583,434 | ||||||
Texas Instruments, Inc. | 24,000 | 4,134,480 | ||||||
13,717,914 | ||||||||
Software — 24.1% | ||||||||
Adobe Systems, Inc.* | 30,600 | 14,065,902 | ||||||
Cadence Design Systems, Inc.* | 58,000 | 8,183,220 | ||||||
Cerner Corp. | 85,400 | 5,904,556 | ||||||
Dropbox, Inc., Class A* | 42,500 | 958,163 | ||||||
Electronic Arts, Inc. | 14,900 | 1,996,153 | ||||||
Fiserv, Inc.* | 29,500 | 3,403,415 | ||||||
Five9, Inc.* | 7,400 | 1,370,776 | ||||||
Intuit, Inc. | 48,500 | 18,921,790 | ||||||
Jack Henry & Associates, Inc. | 15,900 | 2,360,196 | ||||||
Microsoft Corp. | 71,000 | 16,498,980 | ||||||
Paycom Software, Inc.* | 36,200 | 13,547,488 | ||||||
PTC, Inc.* | 20,500 | 2,807,270 | ||||||
Salesforce.com, Inc.* | 5,700 | 1,234,050 | ||||||
ServiceNow, Inc.* | 5,200 | 2,773,992 | ||||||
Synopsys, Inc.* | 5,400 | 1,324,134 | ||||||
Take-Two Interactive Software, Inc.* | 92,800 | 17,117,888 | ||||||
Zynga, Inc., Class A* | 414,400 | 4,620,560 | ||||||
117,088,533 | ||||||||
Telecommunications — 2.4% | ||||||||
Cisco Systems, Inc. | 66,000 | $ | 2,961,420 | |||||
T-Mobile US, Inc.* | 7,700 | 923,769 | ||||||
Verizon Communications, Inc. | 143,000 | 7,907,900 | ||||||
11,793,089 | ||||||||
Transportation — 1.3% | ||||||||
Expeditors International of Washington, Inc. | 44,300 | 4,068,512 | ||||||
Landstar System, Inc. | 14,000 | 2,241,960 | ||||||
6,310,472 | ||||||||
Water — 0.3% | ||||||||
American Water Works Co., Inc. | 11,200 | 1,589,055 | ||||||
TOTAL COMMON STOCKS | ||||||||
(Cost $374,948,719) | 478,138,685 | |||||||
SHORT-TERM INVESTMENTS — 1.9% | ||||||||
U.S. Bank Money Market Deposit Account, 0.01%(a) | 9,116,978 | 9,116,978 | ||||||
TOTAL SHORT-TERM INVESTMENTS | ||||||||
(Cost $9,116,978) | 9,116,978 | |||||||
TOTAL INVESTMENTS — 100.0% | ||||||||
(Cost $384,065,697) | 487,255,663 | |||||||
LIABILITIES IN EXCESS OF OTHER ASSETS — 0.0% | (234,230 | ) | ||||||
NET ASSETS — 100.0% | $ | 487,021,433 |
* | Non-income producing security. |
(a) | The rate shown is as of February 28, 2021. |
PLC Public Limited Company
REIT Real Estate Investment Trust
The accompanying notes are an integral part of the financial statements.
16
SGI U.S. SMALL CAP EQUITY FUND
Portfolio Holdings Summary Table
February 28, 2021 (Unaudited)
The following table presents a summary by sector of the portfolio holdings of the Fund:
% of Net | Value | |||||||
COMMON STOCKS: | ||||||||
Software | 8.6 | % | $ | 3,138,360 | ||||
Retail | 7.3 | 2,694,301 | ||||||
Transportation | 6.3 | 2,316,146 | ||||||
Commercial Services | 5.9 | 2,186,035 | ||||||
Healthcare-Services | 5.9 | 2,183,537 | ||||||
Pharmaceuticals | 5.4 | 2,006,064 | ||||||
Healthcare-Products | 5.2 | 1,911,589 | ||||||
REITs | 4.5 | 1,651,981 | ||||||
Diversified Financial Services | 4.4 | 1,611,377 | ||||||
Computers | 3.9 | 1,428,620 | ||||||
Leisure Time | 3.7 | 1,377,936 | ||||||
Building Materials | 3.4 | 1,240,182 | ||||||
Banks | 3.4 | 1,236,082 | ||||||
Insurance | 3.3 | 1,207,217 | ||||||
Household Products/Wares | 3.2 | 1,181,795 | ||||||
Internet | 2.7 | 999,195 | ||||||
Water | 2.5 | 939,043 | ||||||
Chemicals | 2.0 | 727,840 | ||||||
Auto Parts & Equipment | 1.7 | 609,879 | ||||||
Textiles | 1.4 | 533,038 | ||||||
Packaging & Containers | 1.4 | 517,152 | ||||||
Biotechnology | 1.1 | 421,744 | ||||||
Apparel | 1.1 | 414,348 | ||||||
Electric | 1.1 | 395,368 | ||||||
Telecommunications | 1.0 | 380,352 | ||||||
Electronics | 1.0 | 378,480 | ||||||
Gas | 1.0 | 359,482 | ||||||
Aerospace/Defense | 0.9 | 333,336 | ||||||
Machinery-Diversified | 0.8 | 288,188 | ||||||
Food | 0.6 | 239,250 | ||||||
Engineering & Construction | 0.6 | 217,217 | ||||||
Distribution/Wholesale | 0.4 | 158,840 | ||||||
Machinery-Construction & Mining | 0.3 | 127,622 | ||||||
Savings & Loans | 0.3 | 99,093 | ||||||
EXCHANGE-TRADED FUNDS | 1.3 | 486,625 | ||||||
SHORT-TERM INVESTMENTS | 2.2 | 794,813 | ||||||
OTHER ASSETS IN EXCESS OF LIABILITIES | 0.2 | 85,524 | ||||||
NET ASSETS | 100 | % | $ | 36,877,651 |
Portfolio holdings are subject to change at any time.
The accompanying notes are an integral part of the financial statements.
17
SGI U.S. SMALL CAP EQUITY FUND
Portfolio of Investments
February 28, 2021 (Unaudited)
Number of Shares | Value | |||||||
COMMON STOCKS — 96.3% | ||||||||
Aerospace/Defense — 0.9% | ||||||||
Mercury Systems, Inc.* | 5,100 | $ | 333,336 | |||||
Apparel — 1.1% | ||||||||
Lakeland Industries, Inc.* | 13,200 | 414,348 | ||||||
Auto Parts & Equipment — 1.7% | ||||||||
Allison Transmission Holdings, Inc. | 1,800 | 68,256 | ||||||
Dorman Products, Inc.* | 4,800 | 478,608 | ||||||
Standard Motor Products, Inc. | 1,500 | 63,015 | ||||||
609,879 | ||||||||
Banks — 3.4% | ||||||||
First Financial Corp. | 4,690 | 198,762 | ||||||
German American Bancorp, Inc. | 3,100 | 122,140 | ||||||
Great Southern Bancorp, Inc. | 3,900 | 205,881 | ||||||
Lakeland Financial Corp. | 3,400 | 234,430 | ||||||
Westamerica BanCorp | 7,900 | 474,869 | ||||||
1,236,082 | ||||||||
Biotechnology — 1.1% | ||||||||
Emergent BioSolutions, Inc.* | 3,000 | 288,000 | ||||||
United Therapeutics Corp.* | 800 | 133,744 | ||||||
421,744 | ||||||||
Building Materials — 3.4% | ||||||||
AAON, Inc. | 3,500 | 269,850 | ||||||
AZEK Co., Inc., (The)* | 17,800 | 785,158 | ||||||
Simpson Manufacturing Co., Inc. | 1,900 | 185,174 | ||||||
1,240,182 | ||||||||
Chemicals — 2.0% | ||||||||
Balchem Corp. | 4,000 | 477,440 | ||||||
Hawkins, Inc. | 4,000 | 250,400 | ||||||
727,840 | ||||||||
Commercial Services — 5.9% | ||||||||
Alarm.com Holdings, Inc.* | 2,400 | 210,912 | ||||||
Dun & Bradstreet Holdings, Inc.* | 16,400 | 358,504 | ||||||
FTI Consulting, Inc.* | 7,200 | 824,760 | ||||||
Grand Canyon Education, Inc.* | 3,100 | 324,539 | ||||||
ICF International, Inc. | 5,600 | 467,320 | ||||||
2,186,035 | ||||||||
Computers — 3.9% | ||||||||
Logitech International SA, (Switzerland) | 7,200 | 777,888 | ||||||
MAXIMUS, Inc. | 5,000 | 406,400 | ||||||
Rapid7, Inc.* | 1,800 | 137,232 | ||||||
Vocera Communications, Inc.* | 2,500 | 107,100 | ||||||
1,428,620 | ||||||||
Distribution/Wholesale — 0.4% | ||||||||
Systemax, Inc. | 4,400 | 158,840 | ||||||
Diversified Financial Services — 4.4% | ||||||||
Houlihan Lokey, Inc. | 19,000 | $ | 1,207,640 | |||||
International Money Express, Inc.* | 7,600 | 111,948 | ||||||
Virtu Financial, Inc., Class A | 10,700 | 291,789 | ||||||
1,611,377 | ||||||||
Electric — 1.1% | ||||||||
Avangrid, Inc. | 4,400 | 201,344 | ||||||
Hawaiian Electric Industries, Inc. | 3,000 | 104,880 | ||||||
Otter Tail Corp. | 2,200 | 89,144 | ||||||
395,368 | ||||||||
Electronics — 1.0% | ||||||||
OSI Systems, Inc.* | 4,000 | 378,480 | ||||||
Engineering & Construction — 0.6% | ||||||||
Great Lakes Dredge & Dock Corp.* | 14,300 | 217,217 | ||||||
Food — 0.6% | ||||||||
Flowers Foods, Inc. | 11,000 | 239,250 | ||||||
Gas — 1.0% | ||||||||
Chesapeake Utilities Corp. | 3,400 | 359,482 | ||||||
Healthcare-Products — 5.2% | ||||||||
Globus Medical, Inc., Class A* | 4,200 | 262,500 | ||||||
Neogen Corp.* | 3,500 | 286,720 | ||||||
Omnicell, Inc.* | 2,200 | 279,180 | ||||||
Repligen Corp.* | 5,100 | 1,083,189 | ||||||
1,911,589 | ||||||||
Healthcare-Services — 5.9% | ||||||||
Amedisys, Inc.* | 4,300 | 1,090,652 | ||||||
LHC Group, Inc.* | 400 | 72,684 | ||||||
ModivCare, Inc.* | 3,300 | 423,258 | ||||||
Teladoc Health, Inc.* | 2,700 | 596,943 | ||||||
2,183,537 | ||||||||
Household Products/Wares — 3.2% | ||||||||
Helen of Troy Ltd.* | 2,600 | 563,680 | ||||||
Reynolds Consumer Products, Inc. | 19,000 | 524,590 | ||||||
WD-40 Co. | 300 | 93,525 | ||||||
1,181,795 | ||||||||
Insurance — 3.3% | ||||||||
Employers Holdings, Inc. | 7,600 | 253,004 | ||||||
Erie Indemnity Co., Class A | 2,200 | 532,620 | ||||||
Hanover Insurance Group Inc., (The) | 2,200 | 253,770 | ||||||
HCI Group, Inc. | 2,900 | 167,823 | ||||||
1,207,217 |
The accompanying notes are an integral part of the financial statements.
18
SGI U.S. SMALL CAP EQUITY FUND
Portfolio of Investments (Continued)
February 28, 2021 (Unaudited)
Number of Shares | Value | |||||||
Internet — 2.7% | ||||||||
Cogent Communications Holdings, Inc. | 1,900 | $ | 113,715 | |||||
HealthStream, Inc.* | 19,600 | 456,680 | ||||||
Mimecast Ltd.* | 10,000 | 428,800 | ||||||
999,195 | ||||||||
Leisure Time — 3.7% | ||||||||
Acushnet Holdings Corp. | 24,600 | 1,038,612 | ||||||
Johnson Outdoors, Inc., Class A | 1,900 | 229,292 | ||||||
YETI Holdings, Inc.* | 1,600 | 110,032 | ||||||
1,377,936 | ||||||||
Machinery-Construction & Mining — 0.3% | ||||||||
BWX Technologies, Inc. | 2,200 | 127,622 | ||||||
Machinery-Diversified — 0.8% | ||||||||
Lindsay Corp. | 1,300 | 208,325 | ||||||
Watts Water Technologies, Inc., Class A | 700 | 79,863 | ||||||
288,188 | ||||||||
Packaging & Containers — 1.4% | ||||||||
Silgan Holdings, Inc. | 11,000 | 413,160 | ||||||
UFP Technologies, Inc.* | 2,100 | 103,992 | ||||||
517,152 | ||||||||
Pharmaceuticals — 5.4% | ||||||||
Amphastar Pharmaceuticals, Inc.* | 23,500 | 411,955 | ||||||
Eagle Pharmaceuticals, Inc.* | 12,600 | 560,700 | ||||||
Premier, Inc., Class A | 14,400 | 487,008 | ||||||
Prestige Brands Holdings, Inc.* | 13,100 | 546,401 | ||||||
2,006,064 | ||||||||
REITs — 4.5% | ||||||||
Equity Commonwealth | 21,600 | 609,336 | ||||||
First Industrial Realty Trust, Inc. | 5,900 | 251,989 | ||||||
Life Storage, Inc. | 8,400 | 704,760 | ||||||
Rexford Industrial Realty, Inc. | 1,800 | 85,896 | ||||||
1,651,981 | ||||||||
Retail — 7.3% | ||||||||
Freshpet, Inc.* | 3,700 | 576,756 | ||||||
MSC Industrial Direct Co., Inc., Class A | 1,800 | 155,034 | ||||||
Murphy USA, Inc. | 5,700 | 710,505 | ||||||
Papa John’s International, Inc. | 7,100 | 640,349 | ||||||
PC Connection, Inc. | 13,294 | 611,657 | ||||||
2,694,301 | ||||||||
Savings & Loans — 0.3% | ||||||||
Waterstone Financial, Inc. | 5,100 | 99,093 | ||||||
Software — 8.6% | ||||||||
Appfolio, Inc., Class A* | 2,700 | $ | 442,854 | |||||
CSG Systems International, Inc. | 6,000 | 276,900 | ||||||
Everbridge, Inc.* | 1,800 | 275,814 | ||||||
Five9, Inc.* | 6,500 | 1,204,060 | ||||||
ManTech International Corp., Class A | 2,200 | 171,952 | ||||||
Progress Software Corp. | 5,100 | 216,954 | ||||||
Simulations Plus, Inc. | 5,700 | 408,804 | ||||||
SPS Commerce, Inc.* | 1,400 | 141,022 | ||||||
3,138,360 | ||||||||
Telecommunications — 1.0% | ||||||||
Ooma, Inc.* | 12,600 | 199,080 | ||||||
Viavi Solutions, Inc.* | 11,200 | 181,272 | ||||||
380,352 | ||||||||
Textiles — 1.4% | ||||||||
UniFirst Corp. | 2,200 | 533,038 | ||||||
Transportation — 6.3% | ||||||||
Air Transport Services Group, Inc.* | 6,600 | 175,164 | ||||||
Heartland Express, Inc. | 32,600 | 593,320 | ||||||
Hub Group, Inc., Class A* | 1,600 | 92,128 | ||||||
Landstar System, Inc. | 3,300 | 528,462 | ||||||
Werner Enterprises, Inc. | 21,600 | 927,072 | ||||||
2,316,146 | ||||||||
Water — 2.5% | ||||||||
American States Water Co. | 4,000 | 292,200 | ||||||
California Water Service Group | 3,489 | 191,720 | ||||||
Middlesex Water Co. | 5,600 | 384,552 | ||||||
York Water Co., (The) | 1,696 | 70,571 | ||||||
939,043 | ||||||||
TOTAL COMMON STOCKS | ||||||||
(Cost $29,184,968) | 35,510,689 | |||||||
EXCHANGE-TRADED FUNDS — 1.3% | ||||||||
iShares Russell 2000 ETF | 1,100 | 240,141 | ||||||
Vanguard Russell 2000 ETF | 1,400 | 246,484 | ||||||
486,625 | ||||||||
TOTAL EXCHANGE-TRADED FUNDS | ||||||||
(Cost $507,736) | 486,625 | |||||||
The accompanying notes are an integral part of the financial statements.
19
SGI U.S. SMALL CAP EQUITY FUND
Portfolio of Investments (Concluded)
February 28, 2021 (Unaudited)
Number of Shares | Value | |||||||
SHORT-TERM INVESTMENTS — 2.2% | ||||||||
U.S. Bank Money Market Deposit Account, 0.01%(a) | 794,813 | $ | 794,813 | |||||
TOTAL SHORT-TERM INVESTMENTS | ||||||||
(Cost $794,813) | 794,813 | |||||||
TOTAL INVESTMENTS — 99.8% | ||||||||
(Cost $30,487,517) | 36,792,127 | |||||||
OTHER ASSETS IN EXCESS OF LIABILITIES — 0.2% | 85,524 | |||||||
NET ASSETS — 100.0% | $ | 36,877,651 |
* | Non-income producing security. |
(a) | The rate shown is as of February 28, 2021. |
ETF Exchange-Traded Funds
REIT Real Estate Investment Trust
The accompanying notes are an integral part of the financial statements.
20
SGI GLOBAL EQUITY FUND
Portfolio Holdings Summary Table
February 28, 2021 (Unaudited)
The following table presents a summary by sector of the portfolio holdings of the Fund:
% of Net | Value | |||||||
COMMON STOCKS: | ||||||||
Software | 14.2 | % | $ | 13,285,046 | ||||
Pharmaceuticals | 11.2 | 10,430,329 | ||||||
Telecommunications | 8.7 | 8,093,383 | ||||||
Banks | 7.7 | 7,209,043 | ||||||
Retail | 6.9 | 6,448,363 | ||||||
Internet | 6.3 | 5,853,886 | ||||||
Computers | 5.2 | 4,826,363 | ||||||
Electric | 4.6 | 4,244,606 | ||||||
Commercial Services | 3.3 | 3,117,711 | ||||||
Biotechnology | 3.3 | 3,078,513 | ||||||
Auto Manufacturers | 2.9 | 2,665,696 | ||||||
Home Furnishings | 2.7 | 2,509,091 | ||||||
Diversified Financial Services | 2.6 | 2,412,633 | ||||||
Healthcare-Products | 2.3 | 2,160,277 | ||||||
Semiconductors | 2.1 | 1,921,284 | ||||||
Media | 1.9 | 1,724,574 | ||||||
Building Materials | 1.7 | 1,617,910 | ||||||
Household Products & Wares | 1.4 | 1,339,770 | ||||||
Oil & Gas | 1.3 | 1,180,000 | ||||||
Food | 1.1 | 989,506 | ||||||
REITs | 1.0 | 950,937 | ||||||
Apparel | 1.0 | 916,504 | ||||||
Chemicals | 0.9 | 870,873 | ||||||
Aerospace/Defense | 0.8 | 726,550 | ||||||
Insurance | 0.8 | 717,048 | ||||||
Auto Parts & Equipment | 0.5 | 463,478 | ||||||
Transportation | 0.4 | 376,544 | ||||||
Environmental Control | 0.4 | 354,848 | ||||||
Packaging & Containers | 0.3 | 258,012 | ||||||
Beverages | 0.2 | 155,028 | ||||||
SHORT-TERM INVESTMENTS | 1.8 | 1,702,897 | ||||||
OTHER ASSETS IN EXCESS OF LIABILITIES | 0.5 | 487,855 | ||||||
NET ASSETS | 100 | % | $ | 93,088,558 |
Portfolio holdings are subject to change at any time.
The accompanying notes are an integral part of the financial statements.
21
SGI GLOBAL EQUITY FUND
Portfolio of Investments
February 28, 2021 (Unaudited)
Number of Shares | Value | |||||||
COMMON STOCKS — 97.7% | ||||||||
Aerospace/Defense — 0.8% | ||||||||
Lockheed Martin Corp. | 2,200 | $ | 726,550 | |||||
Apparel — 1.0% | ||||||||
NIKE, Inc., Class B | 6,800 | 916,504 | ||||||
Auto Manufacturers — 2.9% | ||||||||
Honda Motor Co., Ltd., (Japan), SP ADR | 66,400 | 1,837,288 | ||||||
Toyota Motor Corp., (Japan), SP ADR | 5,600 | 828,408 | ||||||
2,665,696 | ||||||||
Auto Parts & Equipment — 0.5% | ||||||||
Gentex Corp. | 13,100 | 463,478 | ||||||
Banks — 7.7% | ||||||||
Bank of America Corp. | 29,400 | 1,020,474 | ||||||
JPMorgan Chase & Co. | 7,100 | 1,044,907 | ||||||
Royal Bank of Canada, (Canada) | 34,400 | 2,927,096 | ||||||
Shinhan Financial Group Co., Ltd., (South Korea), ADR | 29,000 | 840,130 | ||||||
Toronto-Dominion Bank, (The), (Canada) | 22,800 | 1,376,436 | ||||||
7,209,043 | ||||||||
Beverages — 0.2% | ||||||||
PepsiCo, Inc. | 1,200 | 155,028 | ||||||
Biotechnology — 3.3% | ||||||||
Exelixis, Inc.* | 31,400 | 680,124 | ||||||
Regeneron Pharmaceuticals, Inc.* | 700 | 315,399 | ||||||
Vertex Pharmaceuticals, Inc.* | 9,800 | 2,082,990 | ||||||
3,078,513 | ||||||||
Building Materials — 1.7% | ||||||||
Johnson Controls International PLC, (Ireland) | 29,000 | 1,617,910 | ||||||
Chemicals — 0.9% | ||||||||
FMC Corp. | 4,000 | 406,760 | ||||||
Linde PLC, (Ireland) | 1,900 | 464,113 | ||||||
870,873 | ||||||||
Commercial Services — 3.3% | ||||||||
New Oriental Education & Technology Group, Inc., (China), SP ADR* | 15,800 | 2,806,396 | ||||||
Verisk Analytics, Inc. | 1,900 | 311,315 | ||||||
3,117,711 | ||||||||
Computers — 5.2% | ||||||||
Amdocs Ltd. | 19,100 | $ | 1,447,971 | |||||
Apple, Inc. | 14,200 | 1,721,892 | ||||||
Cognizant Technology Solutions Corp., Class A | 2,400 | 176,352 | ||||||
Logitech International SA, (Switzerland) | 13,700 | 1,480,148 | ||||||
4,826,363 | ||||||||
Diversified Financial Services — 2.6% | ||||||||
Cboe Global Markets, Inc. | 3,800 | 376,048 | ||||||
Mastercard, Inc., Class A | 600 | 212,310 | ||||||
ORIX Corp., (Japan), SP ADR | 18,900 | 1,613,493 | ||||||
T Rowe Price Group, Inc. | 1,300 | 210,782 | ||||||
2,412,633 | ||||||||
Electric — 4.6% | ||||||||
Algonquin Power & Utilities Corp., (Canada) | 76,100 | 1,176,506 | ||||||
Duke Energy Corp. | 20,300 | 1,737,477 | ||||||
Fortis, Inc., (Canada) | 19,800 | 762,300 | ||||||
Xcel Energy, Inc. | 9,700 | 568,323 | ||||||
4,244,606 | ||||||||
Environmental Control — 0.4% | ||||||||
Waste Management, Inc. | 3,200 | 354,848 | ||||||
Food — 1.1% | ||||||||
General Mills, Inc. | 9,700 | 533,597 | ||||||
Kellogg Co. | 7,900 | 455,909 | ||||||
989,506 | ||||||||
Healthcare-Products — 2.3% | ||||||||
Medtronic PLC, (Ireland) | 10,100 | 1,181,397 | ||||||
STERIS PLC, (Ireland) | 5,600 | 978,880 | ||||||
2,160,277 | ||||||||
Home Furnishings — 2.7% | ||||||||
Dolby Laboratories, Inc., Class A | 25,700 | 2,509,091 | ||||||
Household Products & Wares — 1.4% | ||||||||
Clorox Co., (The) | 7,400 | 1,339,770 | ||||||
Insurance — 0.8% | ||||||||
Alleghany Corp. | 400 | 258,572 | ||||||
Chubb Ltd., (Switzerland) | 2,820 | 458,476 | ||||||
717,048 | ||||||||
Internet — 6.3% | ||||||||
Alphabet, Inc., Class C* | 900 | 1,833,174 | ||||||
Amazon.com, Inc.* | 1,000 | 3,092,930 | ||||||
Yandex NV, Class A (Russia)* | 14,500 | 927,782 | ||||||
5,853,886 |
The accompanying notes are an integral part of the financial statements.
22
SGI GLOBAL EQUITY FUND
Portfolio of Investments (Concluded)
February 28, 2021 (Unaudited)
Number of Shares | Value | |||||||
Media — 1.9% | ||||||||
Charter Communications, Inc., Class A* | 800 | $ | 490,736 | |||||
Thomson Reuters Corp., (Canada) | 14,200 | 1,233,838 | ||||||
1,724,574 | ||||||||
Oil & Gas — 1.3% | ||||||||
Chevron Corp. | 11,800 | 1,180,000 | ||||||
Packaging & Containers — 0.3% | ||||||||
Crown Holdings, Inc. | 2,700 | 258,012 | ||||||
Pharmaceuticals — 11.2% | ||||||||
CVS Health Corp. | 12,000 | 817,560 | ||||||
Eli Lilly & Co. | 3,470 | 710,969 | ||||||
GlaxoSmithKline PLC, (United Kingdom), SP ADR | 25,000 | 840,250 | ||||||
Merck & Co., Inc. | 11,400 | 827,868 | ||||||
Novartis AG, (Switzerland), SP ADR | 11,000 | 945,010 | ||||||
Novo Nordisk, (Denmark), SP ADR | 26,300 | 1,873,875 | ||||||
Sanofi, (France), ADR | 31,170 | 1,430,391 | ||||||
Takeda Pharmaceutical Co., Ltd., (Japan), SP ADR | 178,600 | 2,984,406 | ||||||
10,430,329 | ||||||||
REITs — 1.0% | ||||||||
American Tower Corp. | 2,300 | 497,099 | ||||||
Equinix, Inc. | 700 | 453,838 | ||||||
950,937 | ||||||||
Retail — 6.9% | ||||||||
Costco Wholesale Corp. | 4,800 | 1,588,800 | ||||||
Dollar General Corp. | 13,600 | 2,570,264 | ||||||
Starbucks Corp. | 3,200 | 345,696 | ||||||
Wal-Mart Stores, Inc. | 14,960 | 1,943,603 | ||||||
6,448,363 | ||||||||
Semiconductors — 2.1% | ||||||||
Marvell Technology Group Ltd., (Bermuda) | 23,100 | 1,115,268 | ||||||
Taiwan Semiconductor Manufacturing Co., Ltd., (China), SP ADR | 6,400 | 806,016 | ||||||
1,921,284 | ||||||||
Software — 14.2% | ||||||||
Activision Blizzard, Inc. | 15,800 | $ | 1,510,638 | |||||
Adobe Systems, Inc.* | 4,700 | 2,160,449 | ||||||
Citrix Systems, Inc. | 2,200 | 293,876 | ||||||
Electronic Arts, Inc. | 2,700 | 361,719 | ||||||
Intuit, Inc. | 4,400 | 1,716,616 | ||||||
Microsoft Corp. | 15,500 | 3,601,890 | ||||||
Salesforce.com, Inc.* | 6,100 | 1,320,650 | ||||||
ServiceNow, Inc.* | 4,000 | 2,133,840 | ||||||
Tyler Technologies, Inc.* | 400 | 185,368 | ||||||
13,285,046 | ||||||||
Telecommunications — 8.7% | ||||||||
Chunghwa Telecom Co., Ltd., (China), SP ADR | 19,000 | 748,790 | ||||||
Nice Ltd., (Isreal), SP ADR | 8,400 | 1,928,136 | ||||||
Orange SA, (France), SP ADR | 162,100 | 1,875,497 | ||||||
SK Telecom Co., Ltd., (South Korea), SP ADR | 94,300 | 2,270,744 | ||||||
Verizon Communications, Inc. | 12,500 | 691,250 | ||||||
Vodafone Group PLC, (United Kingdom), SP ADR | 33,700 | 578,966 | ||||||
8,093,383 | ||||||||
Transportation — 0.4% | ||||||||
Expeditors International of Washington, Inc. | 4,100 | 376,544 | ||||||
TOTAL COMMON STOCKS | ||||||||
(Cost $83,988,490) | 90,897,806 | |||||||
SHORT-TERM INVESTMENTS — 1.8% | ||||||||
U.S. Bank Money Market Deposit Account, 0.01%(a) | 1,702,897 | 1,702,897 | ||||||
TOTAL SHORT-TERM INVESTMENTS | ||||||||
(Cost $1,702,897) | 1,702,897 | |||||||
TOTAL INVESTMENTS — 99.5% | ||||||||
(Cost $85,691,387) | 92,600,703 | |||||||
OTHER ASSETS IN EXCESS OF LIABILITIES — 0.5% | 487,855 | |||||||
NET ASSETS — 100.0% | $ | 93,088,558 |
* | Non-income producing security. |
(a) | The rate shown is as of February 28, 2021. |
ADR American Depositary Receipt
PLC Public Limited Company
REIT Real Estate Investment Trust
SP ADR Sponsored ADR
The accompanying notes are an integral part of the financial statements.
23
SGI CONSERVATIVE FUND
Portfolio Holdings Summary Table
February 28, 2021 (Unaudited)
The following table presents a summary by sector of the portfolio holdings of the Fund:
% of Net | Value | |||||||
EXCHANGE-TRADED FUNDS | 88.0 | % | $ | 1,335,537 | ||||
MUTUAL FUNDS | 9.1 | 138,768 | ||||||
SHORT-TERM INVESTMENTS | 2.4 | 36,398 | ||||||
OTHER ASSETS IN EXCESS OF LIABILITIES | 0.5 | 8,018 | ||||||
NET ASSETS | 100 | % | $ | 1,518,721 |
Portfolio holdings are subject to change at any time.
The accompanying notes are an integral part of the financial statements.
24
SGI CONSERVATIVE FUND
Portfolio of Investments
February 28, 2021 (Unaudited)
Number of Shares | Value | |||||||
EXCHANGE TRADED FUNDS — 88.0% | ||||||||
Invesco QQQ Trust Series 1 | 240 | $ | 75,394 | |||||
iShares Core 1-5 Year USD Bond ETF | 1,340 | 68,849 | ||||||
iShares Core U.S. Aggregate Bond ETF | 7,770 | 896,192 | ||||||
iShares Edge MSCI Min Vol EAFE ETF | 350 | 25,015 | ||||||
iShares Edge MSCI Min Vol USA ETF | 1,360 | 89,461 | ||||||
iShares MSCI USA Small-Cap Min Vol Factor ETF | 1,340 | 48,052 | ||||||
iShares TIPS Bond ETF | 600 | 75,498 | ||||||
Vanguard Dividend Appreciation ETF | 410 | 57,076 | ||||||
1,335,537 | ||||||||
TOTAL EXCHANGE-TRADED FUNDS | ||||||||
(Cost $1,340,115) | 1,335,537 | |||||||
MUTUAL FUNDS — 9.1% | ||||||||
SGI Global Equity Fund , Class I | 1,743 | 58,602 | ||||||
SGI US Large Cap Equity Fund , Class I | 3,284 | 65,515 | ||||||
SGI US Small Cap Equity Fund , Class I | 1,299 | 14,651 | ||||||
138,768 | ||||||||
TOTAL MUTUAL FUNDS | ||||||||
(Cost $131,894) | 138,768 | |||||||
SHORT-TERM INVESTMENTS — 2.4% | ||||||||
U.S. Bank Money Market Deposit Account, 0.01%(a) | 36,398 | 36,398 | ||||||
TOTAL SHORT-TERM INVESTMENTS | ||||||||
(Cost $36,398) | 36,398 | |||||||
TOTAL INVESTMENTS — 99.4% | ||||||||
(Cost $1,508,407) | 1,510,703 | |||||||
OTHER ASSETS IN EXCESS OF LIABILITIES — 0.5% | 8,018 | |||||||
NET ASSETS — 100.0% | $ | 1,518,721 |
(a) | The rate shown is as of February 28, 2021. |
ETF Exchange-Traded Funds
The accompanying notes are an integral part of the financial statements.
25
SGI PRUDENT GROWTH FUND
Portfolio Holdings Summary Table
February 28, 2021 (Unaudited)
The following table presents a summary by sector of the portfolio holdings of the Fund:
% of Net | Value | |||||||
EXCHANGE-TRADED FUNDS | 49.9 | % | $ | 4,244,167 | ||||
MUTUAL FUNDS | 49.1 | 4,180,035 | ||||||
SHORT-TERM INVESTMENTS | 0.6 | 49,054 | ||||||
OTHER ASSETS IN EXCESS OF LIABILITIES | 0.4 | 38,242 | ||||||
NET ASSETS | 100 | % | $ | 8,511,498 |
Portfolio holdings are subject to change at any time.
The accompanying notes are an integral part of the financial statements.
26
SGI PRUDENT GROWTH FUND
Portfolio of Investments
February 28, 2021 (Unaudited)
Number of Shares | Value | |||||||
EXCHANGE TRADED FUNDS — 49.9% | ||||||||
Invesco QQQ Trust Series 1 | 1,360 | $ | 427,230 | |||||
iShares Broad USD High Yield Corporate Bond ETF | 4,310 | 176,882 | ||||||
iShares Core U.S. Aggregate Bond ETF | 15,730 | 1,814,298 | ||||||
iShares Edge MSCI Min Vol EAFE ETF | 2,040 | 145,799 | ||||||
iShares Edge MSCI Min Vol USA ETF | 7,920 | 520,978 | ||||||
iShares MSCI Emerging Markets ETF | 6,180 | 332,051 | ||||||
iShares MSCI USA Small-Cap Min Vol Factor ETF | 7,680 | 275,405 | ||||||
iShares TIPS Bond ETF | 1,750 | 220,203 | ||||||
Vanguard Dividend Appreciation ETF | 2,380 | 331,320 | ||||||
4,244,167 | ||||||||
TOTAL EXCHANGE-TRADED FUNDS | ||||||||
(Cost $4,214,528) | 4,244,167 | |||||||
MUTUAL FUNDS — 49.1% | ||||||||
Bogle Investment Management Small Cap Growth Fund | 13,537 | 498,717 | ||||||
SGI Global Equity Fund, Class I | 60,603 | 2,037,470 | ||||||
SGI US Large Cap Equity Fund, Class I | 51,440 | 1,026,228 | ||||||
SGI US Small Cap Equity Fund, Class I | 54,754 | 617,620 | ||||||
4,180,035 | ||||||||
TOTAL MUTUAL FUNDS | ||||||||
(Cost $3,882,797) | 4,180,035 | |||||||
SHORT-TERM INVESTMENTS — 0.6% | ||||||||
U.S. Bank Money Market Deposit Account, 0.01%(a) | 49,054 | 49,054 | ||||||
TOTAL SHORT-TERM INVESTMENTS | ||||||||
(Cost $49,054) | 49,054 | |||||||
TOTAL INVESTMENTS — 99.6% | ||||||||
(Cost $8,146,379) | 8,473,256 | |||||||
OTHER ASSETS IN EXCESS OF LIABILITIES — 0.4% | 38,242 | |||||||
NET ASSETS — 100.0% | $ | 8,511,498 |
(a) | The rate shown is as of February 28, 2021. |
ETF Exchange-Traded Funds
The accompanying notes are an integral part of the financial statements.
27
SGI PEAK GROWTH FUND
Portfolio Holdings Summary Table
February 28, 2021 (Unaudited)
The following table presents a summary by sector of the portfolio holdings of the Fund:
% of Net | Value | |||||||
EXCHANGE-TRADED FUNDS | 25.1 | % | $ | 2,364,706 | ||||
MUTUAL FUNDS | 68.4 | 6,459,258 | ||||||
SHORT-TERM INVESTMENTS | 3.4 | 317,731 | ||||||
OTHER ASSETS IN EXCESS OF LIABILITIES | 3.1 | 297,322 | ||||||
NET ASSETS | 100 | % | $ | 9,439,017 |
Portfolio holdings are subject to change at any time.
The accompanying notes are an integral part of the financial statements.
28
SGI PEAK GROWTH FUND
Portfolio of Investments
February 28, 2021 (Unaudited)
Number of Shares | Value | |||||||
EXCHANGE-TRADED FUNDS — 25.1% | ||||||||
Invesco QQQ Trust Series 1 | 1,440 | $ | 452,362 | |||||
iShares Edge MSCI Min Vol EAFE ETF | 2,150 | 153,660 | ||||||
iShares Edge MSCI Min Vol USA ETF | 8,350 | 549,263 | ||||||
iShares MSCI Emerging Markets ETF | 10,600 | 569,538 | ||||||
iShares MSCI USA Small-Cap Min Vol Factor ETF | 8,100 | 290,466 | ||||||
Vanguard Dividend Appreciation ETF | 2,510 | 349,417 | ||||||
2,364,706 | ||||||||
TOTAL EXCHANGE-TRADED FUNDS | ||||||||
(Cost $2,272,663) | 2,364,706 | |||||||
MUTUAL FUNDS — 68.4% | ||||||||
Bogle Investment Management Small Cap Growth Fund | 38,074 | 1,402,647 | ||||||
SGI Global Equity Fund, Class I | 80,708 | 2,713,416 | ||||||
SGI US Large Cap Equity Fund, Class I | 67,849 | 1,353,592 | ||||||
SGI US Small Cap Equity Fund, Class I | 87,731 | 989,603 | ||||||
6,459,258 | ||||||||
TOTAL MUTUAL FUNDS | ||||||||
(Cost $5,993,184) | 6,459,258 | |||||||
SHORT-TERM INVESTMENTS — 3.4% | ||||||||
U.S. Bank Money Market Deposit Account, 0.01%(a) | 317,731 | 317,731 | ||||||
TOTAL SHORT-TERM INVESTMENTS | ||||||||
(Cost $317,731) | 317,731 | |||||||
TOTAL INVESTMENTS — 96.9% | ||||||||
(Cost $8,583,578) | 9,141,695 | |||||||
OTHER ASSETS IN EXCESS OF LIABILITIES — 3.1% | 297,322 | |||||||
NET ASSETS — 100.0% | $ | 9,439,017 |
(a) | The rate shown is as of February 28, 2021. |
ETF Exchange-Traded Funds
The accompanying notes are an integral part of the financial statements.
29
SUMMIT GLOBAL INVESTMENTS
Statements of Assets and Liabilities
February 28, 2021 (Unaudited)
SGI U.S. | SGI U.S. | SGI Global | ||||||||||
ASSETS | ||||||||||||
Investments, at value (cost $374,948,719, $29,692,704, and $83,988,490 respectively) | $ | 478,138,685 | $ | 35,997,314 | $ | 90,897,806 | ||||||
Short-term investments, at value (cost $9,116,978, $794,813, and $1,702,897, respectively) | 9,116,978 | 794,813 | 1,702,897 | |||||||||
Receivables for: | ||||||||||||
Capital shares sold | 636,369 | 114,632 | 455,203 | |||||||||
Dividends | 270,404 | 26,409 | 100,183 | |||||||||
Prepaid expenses and other assets | 79,203 | 38,203 | 27,014 | |||||||||
Total assets | $ | 488,241,639 | $ | 36,971,371 | $ | 93,183,103 | ||||||
LIABILITIES | ||||||||||||
Payables for: | ||||||||||||
Capital shares redeemed | $ | 852,061 | $ | 36,520 | $ | 36,381 | ||||||
Advisory fees | 278,851 | 34,639 | 44,323 | |||||||||
Other accrued expenses and liabilities | 89,294 | 22,561 | 13,841 | |||||||||
Total liabilities | 1,220,206 | 93,720 | 94,545 | |||||||||
Net assets | $ | 487,021,433 | $ | 36,877,651 | $ | 93,088,558 | ||||||
NET ASSETS CONSIST OF: | ||||||||||||
Par value | $ | 24,408 | $ | 3,272 | $ | 2,769 | ||||||
Paid-in capital | 359,704,205 | 36,221,695 | 86,127,963 | |||||||||
Total distributable earnings/(loss) | 127,292,820 | 652,684 | 6,957,826 | |||||||||
Net assets | $ | 487,021,433 | $ | 36,877,651 | $ | 93,088,558 | ||||||
CLASS I SHARES: | ||||||||||||
Net assets applicable to Class I Shares | $ | 461,362,713 | $ | 29,874,912 | $ | 93,088,558 | ||||||
Shares outstanding ($0.001 par value, 100,000,000 shares authorized) | 23,121,626 | 2,648,553 | 2,769,165 | |||||||||
Net asset value, offering and redemption price per share | $ | 19.95 | $ | 11.28 | $ | 33.62 | ||||||
CLASS A SHARES: | ||||||||||||
Net assets applicable to Class A Shares | $ | 22,947,660 | $ | 6,891,924 | — | |||||||
Shares outstanding ($0.001 par value, 100,000,000 shares authorized) | 1,146,706 | 613,044 | — | |||||||||
Net asset value and redemption price per share | $ | 20.01 | $ | 11.24 | — | |||||||
Maximum offering price per share (100/94.75 of $20.01 and $11.24, respectively) | $ | 21.12 | $ | 11.87 | — | |||||||
CLASS C SHARES: | ||||||||||||
Net assets applicable to Class C Shares | $ | 2,711,060 | $ | 110,815 | — | |||||||
Shares outstanding ($0.001 par value, 100,000,000 shares authorized) | 139,189 | 10,139 | — | |||||||||
Net asset value, offering and redemption price per share | $ | 19.48 | $ | 10.93 | — |
The accompanying notes are an integral part of the financial statements.
30
SUMMIT GLOBAL INVESTMENTS
Statements of Assets and Liabilities (Concluded)
February 28, 2021 (Unaudited)
SGI | SGI prudent | SGI PEAK | ||||||||||
ASSETS | ||||||||||||
Investments, at value (cost $1,472,009, $8,097,325, and $8,265,847, respectively) | $ | 1,474,305 | $ | 8,424,202 | $ | 8,823,964 | ||||||
Short-term investments, at value (cost $36,398, $49,054 and $317,731 respectively) | 36,398 | 49,054 | 317,731 | |||||||||
Receivables for: | ||||||||||||
Capital shares sold | — | 32,419 | 404,127 | |||||||||
Due from advisor | 1,924 | — | — | |||||||||
Offering costs | 6,350 | 6,350 | 6,350 | |||||||||
Prepaid expenses and other assets | 3,725 | 7,052 | 4,541 | |||||||||
Total assets | $ | 1,522,702 | $ | 8,519,077 | $ | 9,556,713 | ||||||
LIABILITIES | ||||||||||||
Payables for: | ||||||||||||
Capital shares redeemed | — | — | $ | 110,000 | ||||||||
Advisory fees | — | 6,536 | 6,906 | |||||||||
Other accrued expenses and liabilities | 3,981 | 1,043 | 790 | |||||||||
Total liabilities | 3,981 | 7,579 | 117,696 | |||||||||
Net assets | $ | 1,518,721 | $ | 8,511,498 | $ | 9,439,017 | ||||||
NET ASSETS CONSIST OF: | ||||||||||||
Par value | $ | 150 | $ | 787 | $ | 820 | ||||||
Paid-in capital | 1,509,300 | 8,060,034 | 8,484,546 | |||||||||
Total distributable earnings/(loss) | 9,271 | 450,677 | 953,651 | |||||||||
Net assets | $ | 1,518,721 | $ | 8,511,498 | $ | 9,439,017 | ||||||
CLASS I SHARES: | ||||||||||||
Net assets applicable to Class I Shares | $ | 1,518,721 | $ | 8,511,498 | $ | 9,439,017 | ||||||
Shares outstanding ($0.001 par value, 100,000,000 shares authorized) | 149,729 | 787,224 | 819,640 | |||||||||
Net asset value, offering and redemption price per share | $ | 10.14 | $ | 10.81 | $ | 11.52 |
The accompanying notes are an integral part of the financial statements.
31
SUMMIT GLOBAL INVESTMENTS
Statements of Operations
FOR THE Six Months ENDED February 28, 2021 (Unaudited)
SGI U.S. | SGI U.S. | SGI Global | ||||||||||
INVESTMENT INCOME | ||||||||||||
Dividends (net of foreign withholdings taxes of $0, $2,282, and $31,507 respectively) | $ | 2,700,448 | $ | 370,764 | $ | 575,655 | ||||||
Total investment income | 2,700,448 | 370,764 | 575,655 | |||||||||
EXPENSES | ||||||||||||
Advisory fees (Note 2) | 1,878,440 | 248,497 | 257,488 | |||||||||
Administration and accounting fees (Note 2) | 113,307 | 16,586 | 19,429 | |||||||||
Transfer agent fees (Note 2) | 98,665 | 13,244 | 13,512 | |||||||||
Legal fees | 54,209 | 4,724 | 5,747 | |||||||||
Director fees | 46,452 | 3,726 | 3,284 | |||||||||
Officer fees | 35,544 | 2,941 | 3,228 | |||||||||
Distribution fees - Class A Shares | 29,590 | 10,208 | — | |||||||||
Distribution fees - Class C Shares | 14,050 | 527 | — | |||||||||
Registration and filing fees | 27,366 | 26,568 | 12,156 | |||||||||
Printing and shareholder reporting fees | 12,975 | 695 | 362 | |||||||||
Audit and tax service fees | 11,819 | 10,738 | 9,510 | |||||||||
Custodian fees (Note 2) | 8,735 | 5,782 | 4,680 | |||||||||
Other expenses | 17,748 | 1,714 | 1,471 | |||||||||
Total expenses before waivers and/or reimbursements | 2,348,900 | 345,950 | 330,867 | |||||||||
(Waivers and/or reimbursements) net of amounts recouped (Note 2) | — | (13,476 | ) | (21,881 | ) | |||||||
Net expenses after waivers and/or reimbursements net of amounts recouped | 2,348,900 | 332,474 | 308,986 | |||||||||
Net investment income/(loss) | 351,548 | 38,290 | 266,669 | |||||||||
NET REALIZED AND UNREALIZED GAIN/(LOSS) FROM INVESTMENTS | ||||||||||||
Net realized gain/(loss) from investments | 41,115,664 | 6,293,504 | 2,211,780 | |||||||||
Net change in unrealized appreciation/(depreciation) on investments | (26,378,571 | ) | 1,223,594 | (549,697 | ) | |||||||
Net realized and unrealized gain/(loss) on investments | 14,737,093 | 7,517,098 | 1,662,083 | |||||||||
NET INCREASE/(DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ | 15,088,641 | $ | 7,555,388 | $ | 1,928,752 |
The accompanying notes are an integral part of the financial statements.
32
SUMMIT GLOBAL INVESTMENTS
Statements of Operations (Concluded)
FOR THE Six Months ENDED February 28, 2021 (Unaudited)
SGI | SGI prudent | SGI PEAK | ||||||||||
INVESTMENT INCOME | ||||||||||||
Dividends (net of foreign withholdings taxes of $0, $0 and $0, respectively) | $ | 9,613 | $ | 49,700 | $ | 36,593 | ||||||
Total investment income | 9,613 | 49,700 | 36,593 | |||||||||
EXPENSES | ||||||||||||
Advisory fees (Note 2) | 4,891 | 28,955 | 29,703 | |||||||||
Administration and accounting fees (Note 2) | 1,957 | 2,737 | 2,852 | |||||||||
Transfer agent fees (Note 2) | 1,007 | 2,498 | 3,202 | |||||||||
Registration and filing fees | 1,264 | 1,975 | 1,962 | |||||||||
Printing and shareholder reporting fees | 669 | 669 | 670 | |||||||||
Audit and tax service fees | 6,000 | 6,000 | 6,000 | |||||||||
Custodian fees (Note 2) | 37 | 44 | 2,246 | |||||||||
Offering costs | 14,458 | 14,458 | 14,458 | |||||||||
Other expenses | 64 | 65 | 246 | |||||||||
Total expenses before waivers and/or reimbursements | 30,347 | 57,401 | 61,339 | |||||||||
(Waivers and/or reimbursements) net of amounts recouped (Note 2) | (19,259 | ) | 8,231 | 5,987 | ||||||||
Net expenses after waivers and/or reimbursements net of amounts recouped | 11,088 | 65,632 | 67,326 | |||||||||
Net investment income/(loss) | (1,475 | ) | (15,932 | ) | (30,733 | ) | ||||||
NET REALIZED AND UNREALIZED GAIN/(LOSS) FROM INVESTMENTS | ||||||||||||
Net realized gain/(loss) from investments | 11,041 | 154,530 | 441,834 | |||||||||
Net change in unrealized appreciation/(depreciation) on investments | (14,308 | ) | 21,289 | (38,843 | ) | |||||||
Net realized and unrealized gain/(loss) on investments | (3,267 | ) | 175,819 | 402,991 | ||||||||
NET INCREASE/(DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ | (4,742 | ) | $ | 159,887 | $ | 372,258 |
The accompanying notes are an integral part of the financial statements.
33
SGI U.S. LARGE CAP EQUITY FUND
Statements of Changes in Net Assets
For the Six | FOR THE | |||||||
INCREASE/(DECREASE) IN NET ASSETS FROM OPERATIONS: | ||||||||
Net investment income/(loss) | $ | 351,548 | $ | 4,056,849 | ||||
Net realized gain/(loss) from investments | 41,115,664 | (11,612,784 | ) | |||||
Net change in unrealized appreciation/(depreciation) on investments | (26,378,571 | ) | 54,613,524 | |||||
Net increase/(decrease) in net assets resulting from operations | 15,088,641 | 47,057,589 | ||||||
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||
Total distributable earnings | (3,273,647 | ) | (14,903,187 | ) | ||||
Net decrease in net assets from dividends and distributions to shareholders | (3,273,647 | ) | (14,903,187 | ) | ||||
INCREASE/(DECREASE) IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS: | ||||||||
Class I Shares | ||||||||
Proceeds from shares sold | 58,029,272 | 227,813,044 | ||||||
Reinvestment of distributions | 700,221 | 4,370,538 | ||||||
Shares redeemed | (165,062,820 | ) | (202,815,918 | ) | ||||
Total from Class I Shares | (106,333,327 | ) | 29,367,664 | |||||
Class A Shares | ||||||||
Proceeds from shares sold | 2,384,000 | 11,780,291 | ||||||
Reinvestment of distributions | 103,833 | 410,286 | ||||||
Shares redeemed | (3,540,653 | ) | (5,403,116 | ) | ||||
Total from Class A Shares | (1,052,820 | ) | 6,787,461 | |||||
Class C Shares | ||||||||
Proceeds from shares sold | 125,558 | 1,268,707 | ||||||
Reinvestment of distributions | 7,069 | 48,859 | ||||||
Shares redeemed | (390,100 | ) | (975,466 | ) | ||||
Total from Class C Shares | (257,473 | ) | 342,100 | |||||
Net increase/(decrease) in net assets from capital share transactions | (107,643,620 | ) | 36,497,225 | |||||
Total increase/(decrease) in net assets | (95,828,626 | ) | 68,651,627 | |||||
NET ASSETS: | ||||||||
Beginning of period | 582,850,059 | 514,198,432 | ||||||
End of period | $ | 487,021,433 | $ | 582,850,059 |
The accompanying notes are an integral part of the financial statements.
34
SGI U.S. LARGE CAP EQUITY FUND
Statements of Changes in Net Assets (Concluded)
For the Six | FOR THE | |||||||
SHARES TRANSACTIONS: | ||||||||
Class I Shares | ||||||||
Shares sold | 2,920,482 | 12,796,027 | ||||||
Shares reinvested | 34,701 | 238,109 | ||||||
Shares redeemed | (8,300,152 | ) | (11,814,581 | ) | ||||
Total Class I Shares | (5,344,969 | ) | 1,219,555 | |||||
Class A Shares | ||||||||
Shares sold | 120,345 | 678,397 | ||||||
Shares reinvested | 5,158 | 22,298 | ||||||
Shares redeemed | (174,326 | ) | (311,716 | ) | ||||
Total Class A Shares | (48,823 | ) | 388,979 | |||||
Class C Shares | ||||||||
Shares sold | 6,451 | 73,186 | ||||||
Shares reinvested | 365 | 2,734 | ||||||
Shares redeemed | (20,166 | ) | (55,487 | ) | ||||
Total Class C Shares | (13,350 | ) | 20,433 | |||||
Net increase/(decrease) in shares outstanding | (5,407,142 | ) | 1,628,967 |
The accompanying notes are an integral part of the financial statements.
35
SGI U.S. SMALL CAP EQUITY FUND
Statements of Changes in Net Assets
For the Six | FOR THE | |||||||
INCREASE/(DECREASE) IN NET ASSETS FROM OPERATIONS: | ||||||||
Net investment income/(loss) | $ | 38,290 | $ | 279,312 | ||||
Net realized gain/(loss) from investments | 6,293,504 | (10,620,497 | ) | |||||
Net change in unrealized appreciation/(depreciation) on investments | 1,223,594 | 4,605,882 | ||||||
Net increase/(decrease) in net assets resulting from operations | 7,555,388 | (5,735,303 | ) | |||||
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||
Total distributable earnings | (119,130 | ) | (502,870 | ) | ||||
Net decrease in net assets from dividends and distributions to shareholders | (119,130 | ) | (502,870 | ) | ||||
INCREASE/(DECREASE) IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS: | ||||||||
Class I Shares | ||||||||
Proceeds from shares sold | 13,508,460 | 28,871,289 | ||||||
Reinvestment of distributions | 74,127 | 300,161 | ||||||
Shares redeemed | (32,788,645 | ) | (14,342,228 | ) | ||||
Total from Class I Shares. | (19,206,058 | ) | 14,829,222 | |||||
Class A Shares | ||||||||
Proceeds from shares sold | 2,791,537 | 5,325,935 | ||||||
Reinvestment of distributions | 14,986 | 46,215 | ||||||
Shares redeemed | (3,992,016 | ) | (1,871,475 | ) | ||||
Total from Class A Shares | (1,185,493 | ) | 3,500,675 | |||||
Class C Shares | ||||||||
Proceeds from shares sold | 1,350 | 197,322 | ||||||
Reinvestment of distributions | — | 755 | ||||||
Shares redeemed | (4,875 | ) | (165,953 | ) | ||||
Total from Class C Shares | (3,525 | ) | 32,124 | |||||
Net increase/(decrease) in net assets from capital share transactions | (20,395,076 | ) | 18,362,021 | |||||
Total increase/(decrease) in net assets | (12,958,818 | ) | 12,123,848 | |||||
NET ASSETS: | ||||||||
Beginning of period | 49,836,469 | 37,712,621 | ||||||
End of period | $ | 36,877,651 | $ | 49,836,469 |
The accompanying notes are an integral part of the financial statements.
36
SGI U.S. SMALL CAP EQUITY FUND
Statements of Changes in Net Assets (Concluded)
For the Six | FOR THE | |||||||
SHARES TRANSACTIONS: | ||||||||
Class I Shares | ||||||||
Shares sold | 1,273,726 | 2,724,552 | ||||||
Shares reinvested | 6,876 | 24,285 | ||||||
Shares redeemed | (2,901,822 | ) | (1,412,848 | ) | ||||
Total Class I Shares | (1,621,220 | ) | 1,335,989 | |||||
Class A Shares | ||||||||
Shares sold | 268,975 | 529,555 | ||||||
Shares reinvested | 1,394 | 3,745 | ||||||
Shares redeemed | (347,646 | ) | (182,617 | ) | ||||
Total Class A Shares | (77,277 | ) | 350,683 | |||||
Class C Shares | ||||||||
Shares sold | 135 | 18,619 | ||||||
Shares reinvested | — | 62 | ||||||
Shares redeemed | (471 | ) | (18,392 | ) | ||||
Total Class C Shares | (336 | ) | 289 | |||||
Net increase/(decrease) in shares outstanding | (1,698,833 | ) | 1,686,961 |
The accompanying notes are an integral part of the financial statements.
37
SGI GLOBAL EQUITY FUND
Statements of Changes in Net Assets
For the Six | FOR THE | |||||||
INCREASE/(DECREASE) IN NET ASSETS FROM OPERATIONS: | ||||||||
Net investment income/(loss) | $ | 266,669 | $ | 467,486 | ||||
Net realized gain/(loss) from investments | 2,211,780 | (1,838,679 | ) | |||||
Net change in unrealized appreciation/(depreciation) on investments | (549,697 | ) | 5,566,336 | |||||
Net increase/(decrease) in net assets resulting from operations | 1,928,752 | 4,195,143 | ||||||
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||
Total distributable earnings | (551,275 | ) | (985,930 | ) | ||||
Net decrease in net assets from dividends and distributions to shareholders | (551,275 | ) | (985,930 | ) | ||||
INCREASE/(DECREASE) IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS: | ||||||||
Class I Shares | ||||||||
Proceeds from shares sold | 45,096,236 | 45,798,226 | ||||||
Reinvestment of distributions | 464,360 | 698,565 | ||||||
Shares redeemed | (12,111,537 | ) | (12,964,281 | ) | ||||
Net increase/(decrease) in net assets from capital share transactions | 33,449,059 | 33,532,510 | ||||||
Total increase/(decrease) in net assets | 34,826,536 | 36,741,723 | ||||||
NET ASSETS: | ||||||||
Beginning of period | 58,262,022 | 21,520,299 | ||||||
End of period | $ | 93,088,558 | $ | 58,262,022 | ||||
SHARES TRANSACTIONS: | ||||||||
Class I Shares | ||||||||
Shares sold | 1,346,972 | 1,517,536 | ||||||
Shares reinvested | 13,666 | 21,205 | ||||||
Shares redeemed | (360,990 | ) | (429,011 | ) | ||||
Net increase/(decrease) in shares outstanding | 999,648 | 1,109,730 |
The accompanying notes are an integral part of the financial statements.
38
SGI CONSERVATIVE FUND
Statements of Changes in Net Assets
For the Six | FOR THE | |||||||
INCREASE/(DECREASE) IN NET ASSETS FROM OPERATIONS: | ||||||||
Net investment income/(loss) | $ | (1,475 | ) | $ | (197 | ) | ||
Net realized gain/(loss) from investments | 11,041 | 15,290 | ||||||
Net change in unrealized appreciation/(depreciation) on investments | (14,308 | ) | 16,604 | |||||
Net increase/(decrease) in net assets resulting from operations | (4,742 | ) | 31,697 | |||||
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||
Total distributable earnings | (17,684 | ) | — | |||||
Net decrease in net assets from dividends and distributions to shareholders | (17,684 | ) | — | |||||
INCREASE/(DECREASE) IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS: | ||||||||
Class I Shares | ||||||||
Proceeds from shares sold | 1,238,315 | 1,246,923 | ||||||
Reinvestment of distributions | 17,684 | — | ||||||
Shares redeemed | (370,046 | ) | (623,426 | ) | ||||
Net increase/(decrease) in net assets from capital share transactions | 885,953 | 623,497 | ||||||
Total increase/(decrease) in net assets | 863,527 | 655,194 | ||||||
NET ASSETS: | ||||||||
Beginning of period | 655,194 | — | ||||||
End of period | $ | 1,518,721 | $ | 655,194 | ||||
SHARES TRANSACTIONS: | ||||||||
Class I Shares | ||||||||
Shares sold | 120,496 | 123,505 | ||||||
Shares reinvested | 1,722 | |||||||
Shares redeemed | (35,875 | ) | (60,119 | ) | ||||
Net increase/(decrease) in shares outstanding | 86,343 | 63,386 |
(1) | Fund commenced operations on June 8, 2020. |
The accompanying notes are an integral part of the financial statements.
39
SGI PRUDENT GROWTH FUND
Statements of Changes in Net Assets
For the Six | FOR THE | |||||||
INCREASE/(DECREASE) IN NET ASSETS FROM OPERATIONS: | ||||||||
Net investment income/(loss) | $ | (15,932 | ) | $ | (11,085 | ) | ||
Net realized gain/(loss) from investments | 154,530 | 558 | ||||||
Net change in unrealized appreciation/(depreciation) on investments | 21,289 | 305,588 | ||||||
Net increase/(decrease) in net assets resulting from operations | 159,887 | 295,061 | ||||||
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||
Total distributable earnings | (4,271 | ) | — | |||||
Net decrease in net assets from dividends and distributions to shareholders | (4,271 | ) | — | |||||
INCREASE/(DECREASE) IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS: | ||||||||
Class I Shares | ||||||||
Proceeds from shares sold | 3,777,565 | 6,362,213 | ||||||
Reinvestment of distributions | 4,271 | — | ||||||
Shares redeemed | (1,833,797 | ) | (249,431 | ) | ||||
Net increase/(decrease) in net assets from capital share transactions | 1,948,039 | 6,112,782 | ||||||
Total increase/(decrease) in net assets | 2,103,655 | 6,407,843 | ||||||
NET ASSETS: | ||||||||
Beginning of period | 6,407,843 | — | ||||||
End of period | $ | 8,511,498 | $ | 6,407,843 | ||||
SHARES TRANSACTIONS: | ||||||||
Class I Shares | ||||||||
Shares sold | 349,766 | 629,135 | ||||||
Shares reinvested | 394 | |||||||
Shares redeemed | (167,366 | ) | (24,705 | ) | ||||
Net increase/(decrease) in shares outstanding | 182,794 | 604,430 |
(1) | Fund commenced operations on June 8, 2020. |
The accompanying notes are an integral part of the financial statements.
40
SGI PEAK GROWTH FUND
Statements of Changes in Net Assets
For the Six | FOR THE | |||||||
INCREASE/(DECREASE) IN NET ASSETS FROM OPERATIONS: | ||||||||
Net investment income/(loss) | $ | (30,733 | ) | $ | (19,137 | ) | ||
Net realized gain/(loss) from investments | 441,834 | 1,287 | ||||||
Net change in unrealized appreciation/(depreciation) on investments | (38,843 | ) | 596,960 | |||||
Net increase/(decrease) in net assets resulting from operations | 372,258 | 579,110 | ||||||
INCREASE/(DECREASE) IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS: | ||||||||
Class I Shares | ||||||||
Proceeds from shares sold | 3,524,084 | 6,840,227 | ||||||
Shares redeemed | (1,784,070 | ) | (92,592 | ) | ||||
Net increase/(decrease) in net assets from capital share transactions | 1,740,014 | 6,747,635 | ||||||
Total increase/(decrease) in net assets | 2,112,272 | 7,326,745 | ||||||
NET ASSETS: | ||||||||
Beginning of period | 7,326,745 | — | ||||||
End of period | $ | 9,439,017 | $ | 7,326,745 | ||||
SHARES TRANSACTIONS: | ||||||||
Class I Shares | ||||||||
Shares sold | 309,307 | 678,507 | ||||||
Shares redeemed | (159,096 | ) | (9,078 | ) | ||||
Net increase/(decrease) in shares outstanding | 150,211 | 669,429 |
(1) | Fund commenced operations on June 8, 2020. |
The accompanying notes are an integral part of the financial statements.
41
SGI U.S. LARGE CAP EQUITY FUND
Financial Highlights
Contained below is per share operating performance data for Class I Shares outstanding, total investment return/(loss), ratios to average net assets and other supplemental data for the respective periods. This information has been derived from information provided in the financial statements. |
Class I Shares | ||||||||||||||||||||||||
For the | For the | For the | For the | For the | For the | |||||||||||||||||||
Per Share Operating Performance | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 19.55 | $ | 18.24 | $ | 17.97 | $ | 15.43 | $ | 14.69 | $ | 13.78 | ||||||||||||
Net investment income/(loss)(1) | 0.01 | 0.14 | 0.18 | 0.16 | 0.22 | 0.21 | ||||||||||||||||||
Net realized and unrealized gain/(loss) on investments(2) | 0.52 | 1.66 | 0.75 | 3.52 | 0.90 | 1.66 | ||||||||||||||||||
Net increase/(decrease) in net assets resulting from operations | 0.53 | 1.80 | 0.93 | 3.68 | 1.12 | 1.87 | ||||||||||||||||||
Dividends and distributions to shareholders from: | ||||||||||||||||||||||||
Net investment income | (0.08 | ) | (0.18 | ) | (0.11 | ) | (0.18 | ) | (0.16 | ) | (0.21 | ) | ||||||||||||
Net realized capital gains | (0.05 | ) | (0.31 | ) | (0.55 | ) | (0.96 | ) | (0.22 | ) | (0.75 | ) | ||||||||||||
Total dividends and distributions to shareholders | (0.13 | ) | (0.49 | ) | (0.66 | ) | (1.14 | ) | (0.38 | ) | (0.96 | ) | ||||||||||||
Net asset value, end of period | $ | 19.95 | $ | 19.55 | $ | 18.24 | $ | 17.97 | $ | 15.43 | $ | 14.69 | ||||||||||||
Total investment return/(loss)(3) | 2.69 | %(4) | 10.10 | % | 5.83 | % | 24.98 | % | 7.73 | % | 13.99 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (000’s omitted) | $ | 461,363 | $ | 556,511 | $ | 497,097 | $ | 437,424 | $ | 91,977 | $ | 106,110 | ||||||||||||
Ratio of expenses to average net assets with waivers and/or reimbursements net of amounts recouped | 0.86 | %(5) | 0.85 | % | 0.93 | % | 0.98 | % | 0.98 | % | 0.98 | % | ||||||||||||
Ratio of expenses to average net assets without waivers and/or reimbursements net of amounts recouped | 0.86 | %(5) | 0.85 | % | 0.86 | % | 0.94 | % | 1.14 | % | 1.14 | % | ||||||||||||
Ratio of net investment income/(loss) to average net assets | 0.15 | %(5) | 0.76 | % | 1.07 | % | 0.87 | % | 1.32 | % | 1.49 | % | ||||||||||||
Portfolio turnover rate(6) | 35 | %(4) | 129 | % | 104 | % | 85 | % | 31 | % | 41 | % |
(1) | The selected per share data is calculated based on average shares outstanding method for the period. |
(2) | The amount shown may not correlate with the change in the aggregate gains and losses due to the timing of sales and purchases of the Fund’s shares in relation to fluctuating market values for the Fund’s portfolio. |
(3) | Total investment return/(loss) is calculated assuming a purchase of shares on the first day and a sale of shares on the last day of each period reported and includes reinvestments of dividends and distributions, if any. |
(4) | Not annualized. |
(5) | Annualized. |
(6) | Portfolio turnover rate is calculated for the Fund, as a whole, for the entire period. |
The accompanying notes are an integral part of the financial statements.
42
SGI U.S. LARGE CAP EQUITY FUND
Financial Highlights (continued)
Contained below is per share operating performance data for Class A Shares outstanding, total investment return/(loss), ratios to average net assets and other supplemental data for the respective periods. This information has been derived from information provided in the financial statements. |
Class A Shares | ||||||||||||||||||||||||
For the | For the | For the | For the | For the | For the | |||||||||||||||||||
Per Share Operating Performance | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 19.59 | $ | 18.29 | $ | 17.99 | $ | 15.40 | $ | 14.67 | $ | 14.69 | ||||||||||||
Net investment income/(loss)(2) | (0.01 | ) | 0.08 | 0.14 | 0.10 | 0.16 | 0.14 | |||||||||||||||||
Net realized and unrealized gain/(loss) on investments(3) | 0.52 | 1.67 | 0.76 | 3.55 | 0.92 | 0.79 | ||||||||||||||||||
Net increase/(decrease) in net assets resulting from operations | 0.51 | 1.75 | 0.90 | 3.65 | 1.08 | 0.93 | ||||||||||||||||||
Dividends and distributions to shareholders from: | ||||||||||||||||||||||||
Net investment income | (0.04 | ) | (0.14 | ) | (0.05 | ) | (0.10 | ) | (0.13 | ) | (0.20 | ) | ||||||||||||
Net realized capital gains | (0.05 | ) | (0.31 | ) | (0.55 | ) | (0.96 | ) | (0.22 | ) | (0.75 | ) | ||||||||||||
Total dividends and distributions to shareholders | (0.09 | ) | (0.45 | ) | (0.60 | ) | (1.06 | ) | (0.35 | ) | (0.95 | ) | ||||||||||||
Net asset value, end of period | $ | 20.01 | $ | 19.59 | $ | 18.29 | $ | 17.99 | $ | 15.40 | $ | 14.67 | ||||||||||||
Total investment return/(loss)(4) | 2.59 | %(5) | 9.78 | % | 5.61 | % | 24.68 | % | 7.48 | % | 6.74 | %(5) | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (000’s omitted) | $ | 22,948 | $ | 23,424 | $ | 14,751 | $ | 9,530 | $ | 22,195 | $ | 19,288 | ||||||||||||
Ratio of expenses to average net assets with waivers and/or reimbursements net of amounts recouped | 1.11 | %(6) | 1.10 | % | 1.18 | % | 1.23 | % | 1.23 | % | 1.23 | %(6) | ||||||||||||
Ratio of expenses to average net assets without waivers and/or reimbursements net of amounts recouped | 1.11 | %(6) | 1.10 | % | 1.11 | % | 1.27 | % | 1.39 | % | 1.38 | %(6) | ||||||||||||
Ratio of net investment income/(loss) to average net assets | (0.10 | )%(6) | 0.47 | % | 0.84 | % | 0.62 | % | 1.07 | % | 1.15 | %(6) | ||||||||||||
Portfolio turnover rate(7) | 35 | %(5) | 129 | % | 104 | % | 85 | % | 31 | % | 41 | %(5) |
(1) | Commencement of operations. |
(2) | The selected per share data is calculated based on the average shares outstanding method for the period. |
(3) | The amount shown may not correlate with the change in the aggregate gains and losses due to the timing of sales and purchases of the Fund’s shares in relation to fluctuating market values for the Fund’s portfolio. |
(4) | Total investment return/(loss) is calculated assuming a purchase of shares on the first day and a sale of shares on the last day of each period reported and includes reinvestments of dividends and distributions, if any. Total investment return does not reflect any applicable sales charge. |
(5) | Not annualized. |
(6) | Annualized. |
(7) | Portfolio turnover rate is calculated for the Fund, as a whole, for the entire period. |
The accompanying notes are an integral part of the financial statements.
43
SGI U.S. LARGE CAP EQUITY FUND
Financial Highlights (continued)
Contained below is per share operating performance data for Class C Shares outstanding, total investment return/(loss), ratios to average net assets and other supplemental data for the respective periods. This information has been derived from information provided in the financial statements. |
Class C Shares | ||||||||||||||||||||||||
For the | For the | For the | For the | For the | For the | |||||||||||||||||||
Per Share Operating Performance | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 19.11 | $ | 17.79 | $ | 17.59 | $ | 15.15 | $ | 14.51 | $ | 13.57 | ||||||||||||
Net investment income/(loss)(2) | (0.08 | ) | (0.05 | ) | 0.01 | (0.02 | ) | 0.04 | 0.03 | |||||||||||||||
Net realized and unrealized gain/(loss) on investments(3) | 0.50 | 1.71 | 0.74 | 3.48 | 0.93 | 0.91 | ||||||||||||||||||
Net increase/(decrease) in net assets resulting from operations | 0.42 | 1.66 | 0.75 | 3.46 | 0.97 | 0.94 | ||||||||||||||||||
Dividends and distributions to shareholders from: | ||||||||||||||||||||||||
Net investment income | — | (0.03 | ) | — | (0.06 | ) | (0.11 | ) | — | |||||||||||||||
Net realized capital gains | (0.05 | ) | (0.31 | ) | (0.55 | ) | (0.96 | ) | (0.22 | ) | — | |||||||||||||
Total dividends and distributions to shareholders | (0.05 | ) | (0.34 | ) | (0.55 | ) | (1.02 | ) | (0.33 | ) | — | |||||||||||||
Net asset value, end of period | $ | 19.48 | $ | 19.11 | $ | 17.79 | $ | 17.59 | $ | 15.15 | $ | 14.51 | ||||||||||||
Total investment return/(loss)(4) | 2.20 | %(5) | 9.47 | % | 4.78 | % | 23.80 | % | 6.74 | % | 6.93 | %(5) | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (000’s omitted) | $ | 2,711 | $ | 2,915 | $ | 2,350 | $ | 1,916 | $ | 1,226 | $ | 373 | ||||||||||||
Ratio of expenses to average net assets with waivers and/or reimbursements net of amounts recouped | 1.86 | %(6) | 1.85 | % | 1.93 | % | 1.98 | % | 1.98 | % | 1.99 | %(6) | ||||||||||||
Ratio of expenses to average net assets without waivers and/or reimbursements net of amounts recouped | 1.86 | %(6) | 1.85 | % | 1.86 | % | 2.00 | % | 2.15 | % | 2.16 | %(6) | ||||||||||||
Ratio of net investment income/(loss) to average net assets | (0.85 | )%(6) | (0.26 | )% | 0.07 | % | (0.11 | )% | 0.30 | % | 0.32 | %(6) | ||||||||||||
Portfolio turnover rate(7) | 35 | %(5) | 129 | % | 104 | % | 85 | % | 31 | % | 41 | %(5) |
(1) | Commencement of operations. |
(2) | The selected per share data is calculated based on the average shares outstanding method for the period. |
(3) | The amount shown may not correlate with the change in the aggregate gains and losses due to the timing of sales and purchases of the Fund’s shares in relation to fluctuating market values for the Fund’s portfolio. |
(4) | Total investment return/(loss) is calculated assuming a purchase of shares on the first day and a sale of shares on the last day of each period reported and includes reinvestments of dividends and distributions, if any. |
(5) | Not annualized. |
(6) | Annualized. |
(7) | Portfolio turnover rate is calculated for the Fund, as a whole, for the entire period. |
The accompanying notes are an integral part of the financial statements.
44
SGI U.S. SMALL CAP EQUITY FUND
Financial Highlights (continued)
Contained below is per share operating performance data for Class I Shares outstanding, total investment return/(loss), ratios to average net assets and other supplemental data for the respective periods. This information has been derived from information provided in the financial statements. |
Class I Shares | ||||||||||||||||||||||||
For the | For the | For the | For the | For the | For the | |||||||||||||||||||
Per Share Operating Performance | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 10.03 | $ | 11.49 | $ | 13.82 | $ | 12.39 | $ | 10.83 | $ | 10.00 | ||||||||||||
Net investment income/(loss)(2) | 0.01 | 0.07 | 0.14 | (0.01 | ) | 0.04 | 0.02 | |||||||||||||||||
Net realized and unrealized gain/(loss) on investments(3) | 1.26 | (1.40 | ) | (1.89 | ) | 2.61 | 1.57 | 0.81 | ||||||||||||||||
Net increase/(decrease) in net assets resulting from operations | 1.27 | (1.33 | ) | (1.75 | ) | 2.60 | 1.61 | 0.83 | ||||||||||||||||
Dividends and distributions to shareholders from: | ||||||||||||||||||||||||
Net investment income | (0.02 | ) | (0.13 | ) | (0.04 | ) | (0.05 | ) | (0.05 | ) | — | |||||||||||||
Net realized capital gains | — | — | (0.54 | ) | (1.12 | ) | — | (7) | — | |||||||||||||||
Total dividends and distributions to shareholders | (0.02 | ) | (0.13 | ) | (0.58 | ) | (1.17 | ) | (0.05 | ) | — | |||||||||||||
Net asset value, end of period | $ | 11.28 | $ | 10.03 | $ | 11.49 | $ | 13.82 | $ | 12.39 | $ | 10.83 | ||||||||||||
Total investment return/(loss)(4) | 12.72 | %(5) | (11.75 | )% | (12.43 | )% | 22.26 | % | 14.86 | % | 8.30 | %(5) | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (000’s omitted) | $ | 29,875 | $ | 42,830 | $ | 33,707 | $ | 31,559 | $ | 12,919 | $ | 10,095 | ||||||||||||
Ratio of expenses to average net assets with waivers and reimbursements | 1.23 | %(6) | 1.23 | % | 1.23 | % | 1.23 | % | 1.23 | % | 1.23 | %(6) | ||||||||||||
Ratio of expenses to average net assets without waivers and reimbursements | 1.28 | %(6) | 1.36 | % | 1.40 | % | 1.60 | % | 2.21 | % | 4.43 | %(6) | ||||||||||||
Ratio of net investment income/(loss) to average net assets | 0.18 | %(6) | 0.68 | % | 1.19 | % | (0.05 | )% | 0.31 | % | 0.53 | %(6) | ||||||||||||
Portfolio turnover rate(8) | 69 | %(5) | 151 | % | 145 | % | 122 | % | 95 | % | 0.01 | %(5) |
(1) | Commencement of operations. |
(2) | The selected per share data is calculated based on the average shares outstanding method for the period. |
(3) | The amount shown may not correlate with the change in the aggregate gains and losses due to the timing of sales and purchases of the Fund’s shares in relation to fluctuating market values for the Fund’s portfolio. |
(4) | Total investment return/(loss) is calculated assuming a purchase of shares on the first day and a sale of shares on the last day of each period reported and includes reinvestments of dividends and distributions, if any. |
(5) | Not annualized. |
(6) | Annualized. |
(7) | Amount represents less than $0.005 per share. |
(8) | Portfolio turnover rate is calculated for the Fund, as a whole, for the entire period. |
The accompanying notes are an integral part of the financial statements.
45
SGI U.S. SMALL CAP EQUITY FUND
Financial Highlights (continued)
Contained below is per share operating performance data for Class A Shares outstanding, total investment return/(loss), ratios to average net assets and other supplemental data for the respective periods. This information has been derived from information provided in the financial statements. |
Class A Shares | ||||||||||||||||||||||||
For the | For the | For the | For the | For the | For the | |||||||||||||||||||
Per Share Operating Performance | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 10.00 | $ | 11.46 | $ | 13.80 | $ | 12.38 | $ | 10.83 | $ | 10.00 | ||||||||||||
Net investment income/(loss)(2) | — | 0.03 | 0.11 | (0.03 | ) | 0.01 | 0.01 | |||||||||||||||||
Net realized and unrealized gain/(loss) on investments(3) | 1.26 | (1.38 | ) | (1.88 | ) | 2.59 | 1.57 | 0.82 | ||||||||||||||||
Net increase/(decrease) in net assets resulting from operations | 1.26 | (1.35 | ) | (1.77 | ) | 2.56 | 1.58 | 0.83 | ||||||||||||||||
Dividends and distributions to shareholders from: | ||||||||||||||||||||||||
Net investment income | (0.02 | ) | (0.11 | ) | (0.03 | ) | (0.02 | ) | (0.03 | ) | — | |||||||||||||
Net realized capital gains | — | — | (0.54 | ) | (1.12 | ) | — | (7) | — | |||||||||||||||
Total dividends and distributions to shareholders | (0.02 | ) | (0.11 | ) | (0.57 | ) | (1.14 | ) | (0.03 | ) | — | |||||||||||||
Net asset value, end of period | $ | 11.24 | $ | 10.00 | $ | 11.46 | $ | 13.80 | $ | 12.38 | $ | 10.83 | ||||||||||||
Total investment return/(loss)(4) | 12.58 | %(5) | (11.95 | )% | (12.61 | )% | 21.90 | % | 14.63 | % | 8.30 | %(5) | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (000’s omitted) | $ | 6,892 | $ | 6,905 | $ | 3,892 | $ | 3,560 | $ | 3,132 | $ | 2,010 | ||||||||||||
Ratio of expenses to average net assets with waivers and reimbursements | 1.48 | %(6) | 1.48 | % | 1.48 | % | 1.48 | % | 1.48 | % | 1.48 | %(6) | ||||||||||||
Ratio of expenses to average net assets without waivers and reimbursements | 1.53 | %(6) | 1.61 | % | 1.65 | % | 1.86 | % | 2.44 | % | 4.68 | %(6) | ||||||||||||
Ratio of net investment income/(loss) to average net assets | (0.07 | )%(6) | 0.32 | % | 0.94 | % | (0.23 | )% | 0.06 | % | 0.28 | %(6) | ||||||||||||
Portfolio turnover rate(8) | 69 | %(5) | 151 | % | 145 | % | 122 | % | 95 | % | 0.01 | %(5) |
(1) | Commencement of operations. |
(2) | The selected per share data is calculated based on the average shares outstanding method for the period. |
(3) | The amount shown may not correlate with the change in the aggregate gains and losses due to the timing of sales and purchases of the Fund’s shares in relation to fluctuating market values for the Fund’s portfolio. |
(4) | Total investment return/(loss) is calculated assuming a purchase of shares on the first day and a sale of shares on the last day of each period reported and includes reinvestments of dividends and distributions, if any. Total investment return does not reflect any applicable sales charge. |
(5) | Not annualized. |
(6) | Annualized. |
(7) | Amount represents less than $0.005 per share. |
(8) | Portfolio turnover rate is calculated for the Fund, as a whole, for the entire period. |
The accompanying notes are an integral part of the financial statements.
46
SGI U.S. SMALL CAP EQUITY FUND
Financial Highlights (continued)
Contained below is per share operating performance data for Class C Shares outstanding, total investment return/(loss), ratios to average net assets and other supplemental data for the respective periods. This information has been derived from information provided in the financial statements. |
Class C Shares | ||||||||||||||||||||||||
For the | For the | For the | For the | For the | For the | |||||||||||||||||||
Per Share Operating Performance | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 9.75 | $ | 11.22 | $ | 13.59 | $ | 12.27 | $ | 10.80 | $ | 10.00 | ||||||||||||
Net investment income/(loss)(2) | (0.04 | ) | (0.03 | ) | 0.01 | (0.12 | ) | (0.08 | ) | (0.02 | ) | |||||||||||||
Net realized and unrealized gain/(loss) on investments(3) | 1.22 | (1.37 | ) | (1.84 | ) | 2.56 | 1.55 | 0.82 | ||||||||||||||||
Net increase/(decrease) in net assets resulting from operations | 1.18 | (1.40 | ) | (1.83 | ) | 2.44 | 1.47 | 0.80 | ||||||||||||||||
Dividends and distributions to shareholders from: | ||||||||||||||||||||||||
Net realized capital gains | — | (0.07 | ) | (0.54 | ) | (1.12 | ) | — | (7) | — | ||||||||||||||
Total dividends and distributions to shareholders | — | (0.07 | ) | (0.54 | ) | (1.12 | ) | — | (7) | — | ||||||||||||||
Net asset value, end of period | $ | 10.93 | $ | 9.75 | $ | 11.22 | $ | 13.59 | $ | 12.27 | $ | 10.80 | ||||||||||||
Total investment return/(loss)(4) | 12.1 | %(5) | (12.57 | )% | (13.30 | )% | 21.05 | % | 13.63 | % | 8.00 | %(5) | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (000’s omitted) | $ | 111 | $ | 102 | $ | 114 | $ | 200 | $ | 168 | $ | 26 | ||||||||||||
Ratio of expenses to average net assets with waivers and reimbursements | 2.23 | %(6) | 2.23 | % | 2.23 | % | 2.23 | % | 2.23 | % | 2.23 | %(6) | ||||||||||||
Ratio of expenses to average net assets without waivers and reimbursements | 2.28 | %(6) | 2.36 | % | 2.40 | % | 2.61 | % | 2.89 | % | 5.43 | %(6) | ||||||||||||
Ratio of net investment income/(loss) to average net assets | (0.82 | )%(6) | (0.29 | )% | 0.09 | % | (0.95 | )% | (0.67 | )% | (0.47 | )%(6) | ||||||||||||
Portfolio turnover rate(8) | 69 | %(5) | 151 | % | 145 | % | 122 | % | 95 | % | 0.01 | %(5) |
(1) | Commencement of operations. |
(2) | The selected per share data is calculated based on the average shares outstanding method for the period. |
(3) | The amount shown may not correlate with the change in the aggregate gains and losses due to the timing of sales and purchases of the Fund’s shares in relation to fluctuating market values for the Fund’s portfolio. |
(4) | Total investment return/(loss) is calculated assuming a purchase of shares on the first day and a sale of shares on the last day of each period reported and includes reinvestments of dividends and distributions, if any. |
(5) | Not annualized. |
(6) | Annualized. |
(7) | Amount represents less than $0.005 per share. |
(8) | Portfolio turnover rate is calculated for the Fund, as a whole, for the entire period. |
The accompanying notes are an integral part of the financial statements.
47
SGI GLOBAL EQUITY FUND
Financial Highlights (CONTINUED)
Contained below is per share operating performance data for Class I shares outstanding, total investment return/(loss), ratios to average net assets and other supplemental data for the respective periods. This information has been derived from information provided in the financial statements. |
Class I Shares | ||||||||||||||||||||||||
For the | For the | For the | For the | For the | For the | |||||||||||||||||||
Per Share Operating Performance | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 32.93 | $ | 32.62 | $ | 30.30 | $ | 27.20 | $ | 24.93 | $ | 28.29 | ||||||||||||
Net investment income/(loss)(1) | 0.12 | 0.41 | 0.53 | 0.35 | 0.06 | (0.19 | ) | |||||||||||||||||
Net realized and unrealized gain/(loss) on investments | 0.79 | 1.06 | 2.20 | 2.75 | 2.21 | (1.25 | ) | |||||||||||||||||
Net increase/(decrease) in net assets resulting from operations | 0.91 | 1.47 | 2.73 | 3.10 | 2.27 | (1.44 | ) | |||||||||||||||||
Dividends and distributions to shareholders from: | ||||||||||||||||||||||||
Net investment income | (0.22 | ) | (0.85 | ) | (0.41 | ) | — | — | — | |||||||||||||||
Net realized capital gains | — | (0.31 | ) | — | — | — | (1.93 | ) | ||||||||||||||||
Total dividends and distributions to shareholders | (0.22 | ) | (1.16 | ) | (0.41 | ) | — | — | (1.93 | ) | ||||||||||||||
Redemption fees added to paid-in capital(1) | — | — | (2) | — | (2) | — | (2) | — | (2) | 0.01 | ||||||||||||||
Net asset value, end of period | $ | 33.62 | $ | 32.93 | $ | 32.62 | $ | 30.30 | $ | 27.20 | $ | 24.93 | ||||||||||||
Total investment return/(loss)(3) | 2.75 | %(4) | 4.53 | % | 9.18 | % | 11.36 | % | 9.15 | % | (5.44 | )% | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (000’s omitted) | $ | 93,089 | $ | 58,262 | $ | 21,520 | $ | 19,530 | $ | 22,765 | $ | 64,378 | ||||||||||||
Ratio of expenses to average net assets with waivers and reimbursements | 0.84 | %(5) | 0.84 | % | 0.84 | % | 0.84 | % | 0.84 | % | 0.84 | % | ||||||||||||
Ratio of expenses to average net assets without waivers and reimbursements | 0.87 | %(5) | 0.98 | % | 1.11 | % | 1.25 | % | 1.32 | % | 1.13 | % | ||||||||||||
Ratio of net investment income/(loss) to average net assets | 0.72 | %(5) | 1.32 | % | 1.75 | % | 1.19 | % | 0.26 | % | (0.76 | )% | ||||||||||||
Portfolio turnover rate(6) | 39 | %(4) | 122 | % | 74 | % | 44 | % | 247 | % | 375 | % |
(1) | The selected per share data is calculated based on the average shares outstanding method for the period. |
(2) | Amount represents less than $0.005 per share. |
(3) | Total investment return/(loss) is calculated assuming a purchase of shares on the first day and a sale of shares on the last day of each period reported and includes reinvestments of dividends and distributions, if any. |
(4) | Not annualized. |
(5) | Annualized. |
(6) | Portfolio turnover rate is calculated for the Fund, as a whole, for the entire period. |
The accompanying notes are an integral part of the financial statements.
48
SGI CONSERVATIVE FUND
Financial Highlights (CONTINUED)
Contained below is per share operating performance data for Class I shares outstanding, total investment return/(loss), ratios to average net assets and other supplemental data for the respective periods. This information has been derived from information provided in the financial statements. |
Class I Shares | ||||||||
For the | FOR THE | |||||||
Per Share Operating Performance | ||||||||
Net asset value, beginning of period | $ | 10.34 | $ | 10.00 | ||||
Net investment income/(loss)(2) | (0.01 | ) | 0.00 | |||||
Net realized and unrealized gain/(loss) on investments(3) | (0.06 | ) | 0.34 | |||||
Net increase/(decrease) in net assets resulting from operations | (0.07 | ) | 0.34 | |||||
Dividends and distributions to shareholders from: | ||||||||
Net investment income | — | — | ||||||
Net realized capital gains | (0.13 | ) | — | |||||
Total dividends and distributions to shareholders | (0.13 | ) | — | |||||
Net asset value, end of period | $ | 10.14 | $ | 10.34 | ||||
Total investment return/(loss)(4) | (0.80 | )%(6) | 3.40 | %(6) | ||||
Ratios/Supplemental Data | ||||||||
Net assets, end of period (000’s omitted) | $ | 1,519 | $ | 655 | ||||
Ratio of expenses to average net assets with waivers and reimbursements | 1.70 | %(5) | 1.70 | %(5) | ||||
Ratio of expenses to average net assets without waivers and reimbursements | 4.65 | %(5) | 16.08 | %(5) | ||||
Ratio of net investment income/(loss) to average net assets | (0.23 | )%(5) | (0.09 | )%(5) | ||||
Portfolio turnover rate(7) | 62 | %(6) | 65 | %(6) |
(1) | The Fund commenced investment operations on June 8, 2020. |
(2) | The selected per share data is calculated based on the average shares outstanding method for the period. |
(3) | The amount shown may not correlate with the change in the aggregate gains and losses due to the timing of sales and purchases of the Fund’s shares in relation to fluctuating market values for the Fund’s portfolio. |
(4) | Total investment return/(loss) is calculated assuming a purchase of shares on the first day and a sale of shares on the last day of each period reported and includes reinvestments of dividends and distributions, if any. |
(5) | Annualized. |
(6) | Not annualized. |
(7) | Portfolio turnover rate is calculated for the Fund, as a whole, for the entire period. |
The accompanying notes are an integral part of the financial statements.
49
SGI PRUDENT GROWTH FUND
Financial Highlights (CONTINUED)
Contained below is per share operating performance data for Class I shares outstanding, total investment return/(loss), ratios to average net assets and other supplemental data for the respective periods. This information has been derived from information provided in the financial statements. |
Class I Shares | ||||||||
For the | FOR THE | |||||||
Per Share Operating Performance | ||||||||
Net asset value, beginning of period | $ | 10.60 | $ | 10.00 | ||||
Net investment income/(loss)(2) | (0.02 | ) | (0.03 | ) | ||||
Net realized and unrealized gain/(loss) on investments(3) | 0.23 | 0.63 | ||||||
Net increase/(decrease) in net assets resulting from operations | 0.21 | 0.60 | ||||||
Dividends and distributions to shareholders from: | ||||||||
Net investment income | — | — | ||||||
Net realized capital gains | — | — | ||||||
Total dividends and distributions to shareholders | — | — | ||||||
Net asset value, end of period | $ | 10.81 | $ | 10.60 | ||||
Total investment return/(loss)(4) | 2.04 | %(6) | 6.00 | %(6) | ||||
Ratios/Supplemental Data | ||||||||
Net assets, end of period (000’s omitted) | $ | 8,511 | $ | 6,408 | ||||
Ratio of expenses to average net assets with waivers and reimbursements | 1.70 | %(5) | 1.70 | %(5) | ||||
Ratio of expenses to average net assets without waivers and reimbursements | 1.49 | %(5) | 3.97 | %(5) | ||||
Ratio of net investment income/(loss) to average net assets | (0.41 | )%(5) | (1.08 | )%(5) | ||||
Portfolio turnover rate(7) | 59 | %(6) | 6 | %(6) |
(1) | The Fund commenced investment operations on June 8, 2020. |
(2) | The selected per share data is calculated based on the average shares outstanding method for the period. |
(3) | The amount shown may not correlate with the change in the aggregate gains and losses due to the timing of sales and purchases of the Fund’s shares in relation to fluctuating market values for the Fund’s portfolio. |
(4) | Total investment return/(loss) is calculated assuming a purchase of shares on the first day and a sale of shares on the last day of each period reported and includes reinvestments of dividends and distributions, if any. |
(5) | Annualized. |
(6) | Not annualized. |
(7) | Portfolio turnover rate is calculated for the Fund, as a whole, for the entire period. |
The accompanying notes are an integral part of the financial statements.
50
SGI PEAK GROWTH FUND
Financial Highlights (concluded)
Contained below is per share operating performance data for Class I shares outstanding, total investment return/(loss), ratios to average net assets and other supplemental data for the respective periods. This information has been derived from information provided in the financial statements. |
Class I Shares | ||||||||
For the | FOR THE | |||||||
Per Share Operating Performance | ||||||||
Net asset value, beginning of period | $ | 10.94 | $ | 10.00 | ||||
Net investment income/(loss)(2) | (0.04 | ) | (0.04 | ) | ||||
Net realized and unrealized gain/(loss) on investments(3) | 0.62 | 0.98 | ||||||
Net increase/(decrease) in net assets resulting from operations | 0.58 | 0.94 | ||||||
Dividends and distributions to shareholders from: | ||||||||
Net investment income | — | — | ||||||
Net realized capital gains | — | — | ||||||
Total dividends and distributions to shareholders | — | — | ||||||
Net asset value, end of period | $ | 11.52 | $ | 10.94 | ||||
Total investment return/(loss)(4) | 5.30 | %(6) | 9.40 | %(6) | ||||
Ratios/Supplemental Data | ||||||||
Net assets, end of period (000’s omitted) | $ | 9,439 | $ | 7,327 | ||||
Ratio of expenses to average net assets with waivers and reimbursements | 1.70 | %(5) | 1.70 | %(5) | ||||
Ratio of expenses to average net assets without waivers and reimbursements | 1.55 | %(5) | 3.52 | %(5) | ||||
Ratio of net investment income/(loss) to average net assets | (0.78 | )%(5) | (1.58 | )%(5) | ||||
Portfolio turnover rate(7) | 74 | %(6) | 5 | %(6) |
(1) | The Fund commenced investment operations on June 8, 2020. |
(2) | The selected per share data is calculated based on the average shares outstanding method for the period. |
(3) | The amount shown may not correlate with the change in the aggregate gains and losses due to the timing of sales and purchases of the Fund’s shares in relation to fluctuating market values for the Fund’s portfolio. |
(4) | Total investment return/(loss) is calculated assuming a purchase of shares on the first day and a sale of shares on the last day of each period reported and includes reinvestments of dividends and distributions, if any. |
(5) | Annualized. |
(6) | Not annualized. |
(7) | Portfolio turnover rate is calculated for the Fund, as a whole, for the entire period. |
The accompanying notes are an integral part of the financial statements.
51
SUMMIT GLOBAL INVESTMENTS
Notes to Financial Statements
February 28, 2021 (Unaudited)
1. Organization and Significant Accounting Policies
The RBB Fund, Inc. (“RBB” or the “Company”) was incorporated under the laws of the State of Maryland on February 29, 1988 and is registered under the Investment Company Act of 1940, as amended, (the “1940 Act”) as an open-end management investment company. RBB is a “series fund,” which is a mutual fund divided into separate portfolios. Each portfolio is treated as a separate entity for certain matters under the 1940 Act, and for other purposes, and a shareholder of one portfolio is not deemed to be a shareholder of any other portfolio. Currently, RBB has thirty-six separate investment portfolios, including the SGI U.S. Large Cap Equity Fund, the SGI U.S. Small Cap Equity Fund, the SGI Global Equity Fund, the SGI Conservative Fund, the SGI Prudent Growth Fund and the SGI Peak Growth Fund (each a “Fund” and, collectively, the “Funds”). The SGI U.S. Large Cap Equity Fund and the SGI U.S. Small Cap Equity Fund commenced investment operations on February 29, 2012 and March 31, 2016, respectively. The SGI Conservative Fund, the SGI Prudent Growth Fund and the SGI Peak Growth Fund commenced investment operations on June 8, 2020.
The Dynamic U.S. Growth Fund (the “Predecessor Fund”), a series of Scotia Institutional Funds, transferred all of its assets and liabilities to the SGI Global Equity Fund in a tax-free reorganization (the “Reorganization”). The Reorganization occurred at the close of business on March 21, 2014. The Predecessor Fund commenced operations on March 31, 2009. As a result of the Reorganization, the performance and accounting history of the Predecessor Fund was assumed by the Fund. Effective January 3, 2017, Summit Global Investments, LLC (“Summit” or the “Adviser”) took over management of the Fund from its predecessor investment manager.
As of the end of the reporting period, the SGI U.S. Large Cap Equity Fund, the SGI U.S. Small Cap Equity Fund and the SGI Global Equity Fund all offer three classes of shares: Class I Shares, Class A Shares and Class C Shares; the SGI Conservative Fund, the SGI Prudent Growth Fund and the SGI Peak Growth Fund all offer one class of shares; Class I Shares. As of the end of the reporting period, Class A Shares and Class C Shares of the SGI Global Equity Fund were not yet operational.
RBB has authorized capital of one hundred billion shares of common stock of which 87.923 billion shares are currently classified into one hundred and ninety classes of common stock. Each class represents an interest in an active or inactive RBB investment portfolio.
The investment objective of the SGI U.S. Large Cap Equity Fund is to outperform the S&P 500® Index over a market cycle while reducing overall volatility. The investment objective of the SGI U.S. Small Cap Equity Fund is to outperform the Russell 2000® Index over a market cycle while reducing overall volatility. The investment objective of each of the SGI Global Equity Fund, the SGI Conservative Fund, the SGI Prudent Growth Fund and the SGI Peak Growth Fund is to seek long-term capital appreciation.
The Funds are investment companies and follow accounting and reporting guidance in the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946 “Financial Services - Investment Companies.”
The end of the reporting period for the Funds is February 28, 2021, and the period covered by these Notes to Financial Statements is the six months ended February 28, 2021 (the “current fiscal period”).
Portfolio Valuation — Each Fund’s net asset value (“NAV”) is calculated once daily at the close of regular trading hours on the New York Stock Exchange (“NYSE”) (generally 4:00 p.m. Eastern time) on each day the NYSE is open. Securities held by the Funds are valued using the closing price or the last sale price on a national securities exchange or the National Association of Securities Dealers Automatic Quotation System (“NASDAQ”) market system where they are primarily traded. Equity securities traded in the over-the-counter (“OTC”) market are valued at their closing prices. If there were no transactions on that day, securities traded principally on an exchange or on NASDAQ will be valued at the mean of the last bid and ask prices prior to the market close. Fixed income securities are valued using an independent pricing service, which considers such factors as security prices, yields, maturities and ratings, and are deemed representative of market values at the close of the market. Investments in Exchange-Traded Funds (“ETFs”) are valued at their last reported sale price. Investments in other open-end investment companies, if any, are valued
52
SUMMIT GLOBAL INVESTMENTS
Notes to Financial Statements (Continued)
February 28, 2021 (Unaudited)
based on the NAV of those investment companies (which may use fair value pricing as disclosed in their prospectuses). If market quotations are unavailable or deemed unreliable, securities will be valued in accordance with procedures adopted by The RBB Fund, Inc.’s Board of Directors (the “Board”). Relying on prices supplied by pricing services or dealers or using fair valuation may result in values that are higher or lower than the values used by other investment companies and investors to price the same investments.
Fair Value Measurements — The inputs and valuation techniques used to measure the fair value of the Funds’ investments are summarized into three levels as described in the hierarchy below:
● Level 1 — | Prices are determined using quoted prices in active markets for identical securities. |
● Level 2 — | Prices are determined using other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.). |
● Level 3 — | Prices are determined using significant unobservable inputs (including the Funds’ own assumptions in determining the fair value of investments). |
The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The following is a summary of the inputs used, as of the end of the reporting period, in valuing each Funds’ investments carried at fair value:
Total | Level 1 | Level 2 | Level 3 | |||||||||||||
SGI U.S. Large Cap Equity Fund | ||||||||||||||||
Common Stocks | $ | 478,138,685 | $ | 478,138,685 | $ | — | $ | — | ||||||||
Short-Term Investments | 9,116,978 | 9,116,978 | — | — | ||||||||||||
Total Investments* | $ | 487,255,663 | $ | 487,255,663 | $ | — | $ | — | ||||||||
SGI U.S. Small Cap Equity Fund | ||||||||||||||||
Common Stocks | $ | 35,510,689 | $ | 35,510,689 | $ | — | $ | — | ||||||||
Exchange-Traded Funds | 486,625 | 486,625 | — | — | ||||||||||||
Short-Term Investments | 794,813 | 794,813 | — | — | ||||||||||||
Total Investments* | $ | 36,792,127 | $ | 36,792,127 | $ | — | $ | — | ||||||||
SGI Global Equity Fund | ||||||||||||||||
Common Stocks | $ | 90,897,806 | $ | 90,897,806 | $ | — | $ | — | ||||||||
Short-Term Investments | 1,702,897 | 1,702,897 | — | — | ||||||||||||
Total Investments* | $ | 92,600,703 | $ | 92,600,703 | $ | — | $ | — | ||||||||
SGI CONSERVATIVE Fund | ||||||||||||||||
Exchange-Traded Funds | $ | 1,335,537 | $ | 1,335,537 | $ | — | $ | — | ||||||||
Mutual Funds | 138,768 | 138,768 | — | — | ||||||||||||
Short-Term Investments | 36,398 | 36,398 | — | — | ||||||||||||
Total Investments* | $ | 1,510,703 | $ | 1,510,703 | $ | — | $ | — | ||||||||
53
SUMMIT GLOBAL INVESTMENTS
Notes to Financial Statements (Continued)
February 28, 2021 (Unaudited)
Total | Level 1 | Level 2 | Level 3 | |||||||||||||
SGI PRUDENT GROWTH Fund | ||||||||||||||||
Exchange-Traded Funds | $ | 4,244,167 | $ | 4,244,167 | $ | — | $ | — | ||||||||
Mutual Funds | 4,180,035 | 4,180,035 | — | — | ||||||||||||
Short-Term Investments | 49,054 | 49,054 | — | — | ||||||||||||
Total Investments* | $ | 8,473,256 | $ | 8,473,256 | $ | — | $ | — | ||||||||
SGI PEAK GROWTH FUND | ||||||||||||||||
Exchange-Traded Funds | $ | 2,364,706 | $ | 2,364,706 | $ | — | $ | — | ||||||||
Mutual Funds | 6,459,258 | 6,459,258 | — | — | ||||||||||||
Short-Term Investments | 317,731 | 317,731 | — | — | ||||||||||||
Total Investments* | $ | 9,141,695 | $ | 9,141,695 | $ | — | $ | — |
* | Please refer to Portfolio of Investments for further details. |
At the end of each quarter, management evaluates the classification of Levels 1, 2 and 3 assets and liabilities. Various factors are considered, such as changes in liquidity from the prior reporting period; whether or not a broker is willing to execute at the quoted price; the depth and consistency of prices from third party pricing services; and the existence of contemporaneous, observable trades in the market. Additionally, management evaluates the classification of Levels 1, 2 and 3 assets and liabilities on a quarterly basis for changes in listings or delistings on national exchanges.
Due to the inherent uncertainty of determining the fair value of investments that do not have a readily available market value, the fair value of the Fund’s investments may fluctuate from period to period. Additionally, the fair value of investments may differ significantly from the values that would have been used had a ready market existed for such investments and may differ materially from the values the Fund may ultimately realize. Further, such investments may be subject to legal and other restrictions on resale or otherwise less liquid than publicly traded securities.
For fair valuations using significant unobservable inputs, U.S. generally accepted accounting principles (“U.S. GAAP”) requires the Fund to present a reconciliation of the beginning to ending balances for reported market values that presents changes attributable to total realized and unrealized gains or losses, purchase and sales, and transfers in and out of Level 3 during the period. Transfers in and out between levels are based on values at the end of the period. A reconciliation of Level 3 investments is presented only if a Fund had an amount of Level 3 investments at the end of the reporting period that was meaningful in relation to its net assets. The amounts and reasons for all Level 3 transfers are disclosed if the Fund had an amount of total Level 3 transfers during the reporting period that was meaningful in relation to its net assets as of the end of the reporting period.
During the current fiscal period, the Fund had no Level 3 transfers.
Use of Estimates — The preparation of financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates and those differences could be significant.
Investment Transactions, Investment Income and Expenses — The Funds record security transactions based on trade date for financial reporting purposes. The cost of investments sold is determined by use of the specific identification method for both financial reporting and income tax purposes in determining realized gains and losses on investments. Interest income (including amortization of premiums and accretion of discounts) is accrued when earned. Dividend income is recorded on the ex-dividend date. Distributions received on securities that represent a return of capital or capital gain are recorded as a reduction of cost of investments and/or as a realized gain. The Funds’ investment income, expenses (other than class specific expenses) and unrealized and realized gains and losses are allocated daily to each class of shares based upon the relative proportion of net assets of each class at the beginning of the day. Expenses incurred on behalf of a specific class, fund or fund family of the Company are charged directly to
54
SUMMIT GLOBAL INVESTMENTS
Notes to Financial Statements (Continued)
February 28, 2021 (Unaudited)
the class, fund or fund family (in proportion to net assets). Expenses incurred for all of the RBB funds (such as director or professional fees) are charged to all funds in proportion to their average net assets of RBB, or in such other manner as the Board deems fair or equitable. Expenses and fees, including investment advisory and administration fees, are accrued daily and taken into account for the purpose of determining the NAV of the Funds.
Dividends and Distributions to Shareholders — Dividends from net investment income and distributions from net realized capital gains, if any, are declared and paid at least annually to shareholders and recorded on the ex-dividend date. Income dividends and capital gain distributions are determined in accordance with U.S. federal income tax regulations, which may differ from U.S. GAAP.
U.S. tax status — No provision is made for U.S. income taxes as it is each Fund’s intention to continue to qualify for and elect the tax treatment applicable to regulated investment companies under Subchapter M of the Internal Revenue Code of 1986, as amended, and make the requisite distributions to its shareholders which will be sufficient to relieve it from U.S. income and excise taxes.
Coronavirus (COVID-19) pandemic — The global outbreak of COVID-19 (commonly referred to as “coronavirus”) has disrupted economic markets and the prolonged economic impact is uncertain. The ultimate economic fallout from the pandemic, and the long-term impact on economies, markets, industries and individual issuers are not known. The operational and financial performance of the issuers of securities in which the Funds invest depends on future developments, including the duration and spread of the outbreak, and such uncertainty may in turn adversely affect the value and liquidity of the Funds’ investments, impair the Funds’ ability to satisfy redemption requests, and negatively impact the Funds’ performance.
Cash and Cash Equivalents — Cash and cash equivalents are valued at cost plus accrued interest, which approximates market value.
Other — In the normal course of business, the Funds may enter into contracts that provide general indemnifications. Each Fund’s maximum exposure under these arrangements is dependent on claims that may be made against the Funds in the future, and, therefore, cannot be estimated; however, the Funds expect the risk of material loss from such claims to be remote.
2. Investment Adviser and Other Services
Summit serves as the investment adviser to each Fund. Each Fund compensates the Adviser for its services at an annual rate based on each Fund’s average daily net assets (the “Advisory Fee”), payable on a monthly basis in arrears, as shown in the following table.
The Adviser has contractually agreed to waive advisory fees and/or reimburse expenses to the extent that total annual Fund operating expenses (excluding certain items discussed below) exceed the rates (“Expense Caps”) shown in the following table of each Fund’s average daily net assets. In determining the Adviser’s obligation to waive advisory fees and/or reimburse expenses, the following expenses are not taken into account and could cause total annual Fund operating expenses to exceed the Expense Caps as applicable: acquired fund fees and expenses, brokerage commissions, extraordinary expenses, interest and taxes. This contractual limitation is in effect until December 31, 2021 for the SGI U.S. Large Cap Equity Fund, the SGI U.S. Small Cap Equity Fund, the SGI Global Equity Fund, the SGI Conservative Fund, the SGI Prudent Growth Fund and the SGI Peak Growth Fund and may not be terminated without the approval of the Board. The Adviser may discontinue these arrangements at any time after the Funds’ respective contractual limitation expiration dates.
FUND | ADVISORY FEE | EXPENSE CAPS | ||||||||||||||
CLASS I | CLASS A | CLASS C | ||||||||||||||
SGI U.S. Large Cap Equity Fund | 0.70 | % | 0.98 | % | 1.23 | % | 1.98 | % | ||||||||
SGI U.S. Small Cap Equity Fund | 0.95 | 1.23 | 1.48 | 2.23 | ||||||||||||
SGI Global Equity Fund | 0.70 | 0.84 | 1.09 | 1.84 | ||||||||||||
SGI Conservative Fund | 0.75 | 1.70 | — | — |
55
SUMMIT GLOBAL INVESTMENTS
Notes to Financial Statements (Continued)
February 28, 2021 (Unaudited)
FUND | ADVISORY FEE | EXPENSE CAPS | ||||||||||||||
CLASS I | CLASS A | CLASS C | ||||||||||||||
SGI Prudent Growth Fund | 0.75 | % | 1.70 | % | — | % | — | % | ||||||||
SGI Peak Growth Fund | 0.75 | 1.70 | — | — |
If at any time a Fund’s total annual Fund operating expenses for a year are less than the relevant share class’ Expense Cap, the Adviser is entitled to recoup from the Fund the advisory fees forgone and other payments remitted by the Adviser to the Fund within three years from the date on which such waiver or reimbursement was made, provided such recoupment does not cause the Fund to exceed the relevant share class’ Expense Cap that was in effect at the time of the waiver or reimbursement.
During the current fiscal period, investment advisory fees accrued, waived and/or reimbursed and recoupments were as follows:
FUND | Gross | Waivers AND/OR | RECOUPMENTS | Net | ||||||||||||
SGI U.S. Large Cap Equity Fund | $ | 1,878,440 | $ | — | $ | 1,878,440 | ||||||||||
SGI U.S. Small Cap Equity Fund | 248,497 | (13,476 | ) | — | 235,021 | |||||||||||
SGI Global Equity Fund | 257,488 | (21,881 | ) | — | 235,607 | |||||||||||
SGI Conservative Fund | 4,891 | (19,259 | ) | — | (14,368 | ) | ||||||||||
SGI Prudent Growth Fund | 28,955 | 8,231 | 37,186 | |||||||||||||
SGI Peak Growth Fund | 29,703 | 5,987 | 35,690 |
As of the end of the reporting period, the Funds had amounts available for recoupment by the Adviser as follows:
EXPIRATION | ||||||||||||
FUND | August 31, | August 31, | August 31, | |||||||||
SGI U.S. Small Cap Equity Fund | $ | 61,230 | $ | 58,188 | $ | 13,476 | ||||||
SGI Global Equity Fund | 54,073 | 50,894 | 21,881 | |||||||||
SGI Conservative Fund | — | 32,032 | 19,259 | |||||||||
SGI Prudent Growth Fund | — | 16,819 | — | |||||||||
SGI Peak Growth Fund | — | 14,355 | — |
U.S. Bancorp Fund Services, LLC (“Fund Services”), doing business as U.S. Bank Global Fund Services, serves as administrator for the Funds. For providing administrative and accounting services, Fund Services is entitled to receive a monthly fee, subject to certain minimum and out of pocket expenses.
Fund Services serves as the Funds’ transfer and dividend disbursing agent. For providing transfer agent services, Fund Services is entitled to receive a monthly fee, subject to certain minimum and out of pocket expenses.
U.S. Bank, N.A. (the “Custodian”) provides certain custodial services to the Funds. The Custodian is entitled to receive a monthly fee, subject to certain minimum and out of pocket expenses.
Quasar Distributors, LLC (the “Distributor”), a wholly-owned broker-dealer subsidiary of Foreside Financial Group, LLC, serves as the principal underwriter and distributor of the Funds’ shares pursuant to a Distribution Agreement with RBB.
For compensation amounts paid to Fund Services and the Custodian, please refer to the Statements of Operations.
56
SUMMIT GLOBAL INVESTMENTS
Notes to Financial Statements (Continued)
February 28, 2021 (Unaudited)
The Board has adopted a Plan of Distribution (the “Plan”) for the Class A Shares and Class C Shares of the Funds pursuant to Rule 12b-1 under the 1940 Act. Under the Plan, the Distributor is entitled to receive from each Fund a distribution fee with respect to the Shares, which is accrued daily and paid monthly, of up to 0.25% on an annualized basis of the average daily net assets of the Class A Shares and and up to 1.00% on an annualized basis of the average daily net assets of the Class C Shares. The actual amount of such compensation under the Plan is agreed upon by the Board and by the Distributor. Because these fees are paid out of each Fund’s assets on an ongoing basis, over time these fees will increase the cost of your investment and may cost you more than paying other types of sales charges. Amounts paid to the Distributor under the Plan may be used by the Distributor to cover expenses that are related to (i) the sale of the Shares, (ii) ongoing servicing and/or maintenance of the accounts of shareholders, and (iii) sub-transfer agency services, subaccounting services or administrative services related to the sale of the Shares, all as set forth in each Fund’s 12b-1 Plan.
3. DIRECTOR AND OFFICER Compensation
The Directors of the Company receive an annual retainer and meeting fees for meetings attended. An employee of Vigilant Compliance, LLC serves as President and Chief Compliance Officer of the Company. Vigilant Compliance, LLC is compensated for the services provided to the Company. Employees of RBB serve as Treasurer, Secretary and Director of Marketing & Business Development of the Company. They are compensated for services provided. Certain employees of Fund Services serve as officers of the Company. They are not compensated by the Funds or the Company. For Director and Officer compensation amounts, please refer to the Statements of Operations.
4. Purchases and Sales of Investment Securities
During the current fiscal period, aggregate purchases and sales of investment securities (excluding short-term investments) of the Funds were as follows:
FUND | Purchases | Sales | ||||||
SGI U.S. Large Cap Equity Fund | $ | 179,869,367 | $ | 282,745,203 | ||||
SGI U.S. Small Cap Equity Fund | 33,281,695 | 51,150,582 | ||||||
SGI Global Equity Fund | 63,824,691 | 27,766,924 | ||||||
SGI Conservative Fund | 1,607,021 | 739,579 | ||||||
SGI Prudent Growth Fund | 6,431,754 | 4,441,812 | ||||||
SGI Peak Growth Fund | 7,035,457 | 5,714,773 |
There were no purchases or sales of long-term U.S. Government securities during the current fiscal period.
5. Federal Income Tax Information
The Funds have followed the authoritative guidance on accounting for and disclosure of uncertainty in tax positions, which requires the Funds to determine whether a tax position is more likely than not to be sustained upon examination, including resolution of any related appeals or litigation processes, based on the technical merits of the position. The Funds have determined that there was no effect on the financial statements from following this authoritative guidance. In the normal course of business, the Funds are subject to examination by federal, state and local jurisdictions, where applicable, for tax years for which applicable statutes of limitations have not expired.
57
SUMMIT GLOBAL INVESTMENTS
Notes to Financial Statements (continued)
February 28, 2021 (Unaudited)
As of August 31, 2020, the federal tax cost and aggregate gross unrealized appreciation and depreciation of investments held by each Fund were as follows:
FUND | Federal Tax | Unrealized | Unrealized | Net Unrealized | ||||||||||||
SGI U.S. Large Cap Equity Fund | $ | 455,593,150 | $ | 133,883,925 | $ | (6,244,839 | ) | $ | 127,639,086 | |||||||
SGI U.S. Small Cap Equity Fund | 45,065,419 | 6,564,834 | (1,725,637 | ) | 4,839,197 | |||||||||||
SGI Global Equity Fund | 51,030,049 | 8,342,635 | (1,184,092 | ) | 7,158,543 | |||||||||||
SGI Conservative Fund | 624,373 | 16,606 | (17 | ) | 16,589 | |||||||||||
SGI Prudent Growth Fund | 6,095,774 | 311,961 | (6,640 | ) | 305,321 | |||||||||||
SGI Peak Growth Fund | 6,664,167 | 599,212 | (2,460 | ) | 596,752 |
The difference between the book basis and tax basis cost and aggregate gross unrealized appreciation and depreciation of investments is attributable primarily to timing differences related to wash sales and investments in PFICs.
Distributions to shareholders, if any, from net investment income and realized gains are determined in accordance with federal income tax regulations, which may differ from net investment income and realized gains recognized for financial reporting purposes. Accordingly, the character of distributions and composition of net assets for tax purposes may differ from those reflected in the accompanying financial statements. Any permanent differences resulting from different book and tax treatment are reclassified at year-end and have no impact on net income, NAV or NAV per share of the Funds.
Permanent differences as of August 31, 2020, primarily attributable to Partnerships and Distribution in Excess for the SGI U.S. Small Cap Equity Fund and net operating losses for the SGI Peak Growth Fund, respectively, were reclassified among the following accounts:
Distributable | Paid-in | |||||||
SGI U.S. Small Cap Equity Fund | $ | 89,829 | $ | (89,829 | ) | |||
SGI Peak Growth Fund | 2,283 | (2,283 | ) |
As of August 31, 2020, the components of distributable earnings on a tax basis were as follows:
FUND | Undistributed | Capital Loss | Qualified | OTHER | Unrealized | |||||||||||||||
SGI U.S. Large Cap Equity Fund | $ | 1,669,664 | $ | — | $ | (13,830,924 | ) | $ | — | $ | 127,639,086 | |||||||||
SGI U.S. Small Cap Equity Fund | — | (11,622,771 | ) | — | — | 4,839,197 | ||||||||||||||
SGI Global Equity Fund | 139,771 | — | (1,717,965 | ) | — | 7,158,543 | ||||||||||||||
SGI Conservative Fund | 15,108 | — | — | — | 16,589 | |||||||||||||||
SGI Prudent Growth Fund | 2,093 | — | — | (12,353 | ) | 305,321 | ||||||||||||||
SGI Peak Growth Fund | — | — | — | (15,359 | ) | 596,752 |
The differences between the book and tax basis components of distributable earnings relate primarily to wash sales and investments in publicly traded partnerships.
58
SUMMIT GLOBAL INVESTMENTS
Notes to Financial Statements (concluded)
February 28, 2021 (Unaudited)
The tax character of dividends and distributions paid during the fiscal year ended August 31, 2020 was as follows:
FUND | Ordinary | Long-Term | Total | ||||||||||
SGI U.S. Large Cap Equity Fund | 2020 | $ | 7,409,283 | $ | 7,493,904 | $ | 14,903,187 | ||||||
SGI U.S. Small Cap Equity Fund | 2020 | 502,870 | — | 502,870 | |||||||||
SGI Global Equity Fund | 2020 | 723,090 | 262,840 | 985,930 |
Dividends from net investment income and short-term capital gains are treated as ordinary income dividends for federal income tax purposes.
Under the Regulated Investment Company Modernization Act of 2010, the Funds are permitted to carry forward capital losses incurred in taxable years beginning after December 22, 2010 for an unlimited period. Additionally, capital losses that are carried forward will retain their character as either short-term or long-term capital losses rather than being considered all short-term as under the previous law. As of August 31, 2020, the SGI U.S. Small Cap Equity Fund had $8,157,115 of short-term and $3,465,656 of long-term capital loss carryovers, respectively.
Pursuant to federal income tax rules applicable to regulated investment companies, the Fund may elect to treat certain capital losses between November 1 and August 31 and late year ordinary losses ((i) ordinary losses between January 1 and August 31, and (ii) specified ordinary and currency losses between November 1 and August 31) as occurring on the first day of the following tax year. For the fiscal year ended August 31, 2020, any amount of losses elected within the tax return will not be recognized for federal income tax purposes until September 1, 2020. SGI U.S. Large Cap Equity Fund and SGI Global Equity Fund deferred qualified late-year losses of $13,830,924 and $1,717,965, respectively, which will be treated as arising on the first business day of the following fiscal year.
6. SUBSEQUENT EVENTS
Management has evaluated the impact of all subsequent events on the Funds through the date the financial statements were issued and has determined that there were no significant events requiring recognition or disclosure in the financial statements.
59
SUMMIT GLOBAL INVESTMENTS
Other Information (Unaudited)
Proxy Voting
Policies and procedures that the Funds use to determine how to vote proxies relating to portfolio securities as well as information regarding how the Funds voted proxies relating to portfolio securities for the most recent twelve-month period ended June 30 are available without charge, upon request, by calling (855) 744-8500 and on the SEC’s website at http://www.sec.gov.
Quarterly Portfolio Schedules
The Company files its complete schedule of portfolio holdings with the SEC for the first and third fiscal quarters of each fiscal year (quarters ended November 30 and May 31) as an exhibit to its report on Form N-PORT. The Company’s Form N-PORT is available on the SEC’s website at http://www.sec.gov.
60
SUMMIT GLOBAL INVESTMENTS
Liquidity Risk Management Program (Unaudited)
The Company has adopted and implemented a Liquidity Risk Management Program (the “Company Program”) as required by rule 22e-4 under the 1940 Act. In accordance with the Company Program, the Adviser has adopted and implemented a liquidity risk management program (the “Adviser Program” and together with the Company Program, the “Programs”) on behalf of the Funds. The Programs seek to assess, manage and review each Fund’s Liquidity Risk. “Liquidity Risk” is defined as the risk that a Fund could not meet requests to redeem shares issued by the Fund without significant dilution of remaining investors’ interest in the Fund.
The Board has appointed Vigilant Compliance, LLC (“Vigilant”) as the program administrator for the Company Program and the Adviser as the program administrator for the Adviser Program. The Adviser has delegated oversight of the Adviser Program to an employee of the Adviser, whose process of monitoring and determining the liquidity of each Fund’s investments is supported by one or more third-party vendors.
At meetings held during the fiscal period, the Board and its Investment and Liquidity Risk Committee received and reviewed a written report (the “Report”) of Vigilant and the Adviser concerning the operation of the Programs for the period from June 1, 2019 to June 30, 2020 (the “Period”). The Report summarized the operation of the Programs and the information and factors considered by Vigilant and the Adviser in reviewing the adequacy and effectiveness of the implementation of the Programs with respect to each Fund. Such information and factors included, among other things: (i) the methodology used to classify the liquidity of each Fund’s portfolio investments and the Adviser’s assessment that each Fund’s strategy remained appropriate for an open-end mutual fund; (ii) analyses of each Fund’s trading environment and reasonably anticipated trading size; (iii) that each Fund held primarily highly liquid assets (investments that the Fund anticipates can be converted to cash within 3 business days or less in current market conditions without significantly changing their market value); (iv) that none of the Funds required the establishment of a highly liquid investment minimum and the methodology for that determination; (v) confirmation that none of the Funds had breached the 15% maximum illiquid security threshold (investments that cannot be sold or disposed of in seven days or less in current market conditions without the sale of the investment significantly changing the market value of the investment) and the procedures for monitoring compliance with the limit; (vi) that the processes, technologies and third-party vendors used to assess, manage, and/or periodically review each Fund’s Liquidity Risk functioned appropriately during the Period; and (vii) that the Programs operated adequately during the Period. The Report also indicated that there were no material changes made to the Programs during the Period.
Based on the review, the Report concluded that the Programs were being implemented effectively and reasonably designed to assess and manage Liquidity Risk in each Fund’s portfolio.
There can be no assurance that the Company Program or the Adviser Program will achieve its objectives under all circumstances in the future. Please refer to the Funds’ prospectus for more information regarding a Fund’s exposure to liquidity risk and other risks to which it may be subject.
61
Investment Adviser
Summit Global Investments, LLC
620 South Main Street
Bountiful, UT 84010
Administrator and Transfer Agent
U.S. Bancorp Fund Services, LLC
P.O. Box 701
Milwaukee, WI 53201
Principal Underwriter
Quasar Distributors, LLC
111 E Kilbourn Ave, Suite 2200
Milwaukee, WI 53202
Custodian
U.S. Bank, N.A.
1555 North Rivercenter Drive, Suite 302
Milwaukee, WI 53212
Independent Registered Public Accounting Firm
Ernst & Young LLP
One Commerce Square
2005 Market Street, Suite 700
Philadelphia, PA 19103
Legal Counsel
Faegre Drinker Biddle & Reath LLP
One Logan Square, Suite 2000
Philadelphia, PA 19103-6996
SGI-SAR21
(b) Not applicable
Item 2. Code of Ethics.
Not applicable for semi-annual reports.
Item 3. Audit Committee Financial Expert.
Not applicable for semi-annual reports.
Item 4. Principal Accountant Fees and Services.
Not applicable for semi-annual reports.
Item 5. Audit Committee of Listed Registrants.
Not applicable to open-end investment companies.
Item 6. Investments.
(a) | Schedule of Investments is included as part of the report to shareholders filed under Item 1 of this Form. |
(b) | Not applicable |
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable to open-end investment companies.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable to open-end investment companies.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.
Not applicable to open-end investment companies.
Item 10. Submission of Matters to a Vote of Security Holders.
There have been no material changes to the procedures by which the shareholders may recommend nominees to the registrant’s board of directors, where those changes were implemented after the registrant last provided disclosure in response to the requirements of Item 407(c)(2)(iv) of Regulation S-K (17 CFR 229.407) (as required by Item 22(b)(15) of Schedule 14A (17 CFR 240.14a-101)), or this Item.
Item 11. Controls and Procedures.
(a) | The Registrant’s Principal Executive and Principal Financial Officers have reviewed the Registrant's disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940 (the “Act”)) as of a date within 90 days of the filing of this report, as required by Rule 30a-3(b) under the Act and Rules 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 effective in ensuring 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 Act) that occurred 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 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies
Not applicable to open-end investment companies.
Item 13. Exhibits.
(a) | (1) Not applicable. |
(3) Not applicable to open-end investment companies.
(4) There was no change in the registrant’s independent public accountant for the period covered by this report.
(b) | Certifications pursuant to Section 906 of the Sarbanes-Oxley Act of 2002. Furnished 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 RBB Fund, Inc. | |
By (Signature and Title)* | /s/ Salvatore Faia | |
Salvatore Faia, President | ||
(principal executive officer) | ||
Date | 4/30/2021 |
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/ Salvatore Faia | |
Salvatore Faia, President | ||
(principal executive officer) | ||
Date | 4/30/2021 | |
By (Signature and Title)* | /s/ James Shaw | |
James Shaw, Treasurer | ||
(principal financial officer) | ||
Date | 4/30/2021 |
* | Print the name and title of each signing officer under his or her signature. |