ABBEY CAPITAL FUTURES STRATEGY FUND
|
|||||||||||||
CONSOLIDATED PORTFOLIO OF INVESTMENTS
|
|||||||||||||
November 30, 2016
|
|||||||||||||
(Unaudited)
|
|||||||||||||
COUPON*
|
MATURITY DATE
|
PAR (000's)
|
VALUE
|
||||||||||
SHORT-TERM INVESTMENTS - 83.6%
|
|||||||||||||
U.S. TREASURY OBLIGATIONS - 83.6%
|
|||||||||||||
U.S. Treasury Bills
|
0.346
|
%
|
12/01/16
|
$ |
52,269
|
$ |
52,269,000
|
||||||
U.S. Treasury Bills
|
0.283
|
%
|
12/22/16
|
78,386
|
78,375,104
|
||||||||
U.S. Treasury Bills
|
0.379
|
%
|
01/05/17
|
55,218
|
55,201,490
|
||||||||
U.S. Treasury Bills
|
0.407
|
%
|
01/12/17
|
10,851
|
10,847,104
|
||||||||
U.S. Treasury Bills
|
0.356
|
%
|
01/19/17
|
26,302
|
26,290,217
|
||||||||
U.S. Treasury Bills
|
0.379
|
%
|
01/26/17
|
2,218
|
2,216,745
|
||||||||
U.S. Treasury Bills
|
0.405
|
%
|
02/02/17
|
72,875
|
72,821,947
|
||||||||
U.S. Treasury Bills
|
0.412
|
%
|
02/09/17
|
87,313
|
87,240,006
|
||||||||
U.S. Treasury Bills
|
0.430
|
%
|
02/16/17
|
33,131
|
33,099,724
|
||||||||
U.S. Treasury Bills
|
0.448
|
%
|
02/23/17
|
35,866
|
35,828,126
|
||||||||
U.S. Treasury Bills
|
0.504
|
%
|
03/09/17
|
6,365
|
6,356,465
|
||||||||
U.S. Treasury Bills
|
0.385
|
%
|
03/16/17
|
50,901
|
50,828,415
|
||||||||
U.S. Treasury Bills
|
0.376
|
%
|
04/06/17
|
48,737
|
48,650,443
|
||||||||
U.S. Treasury Bills
|
0.436
|
%
|
04/13/17
|
5,952
|
5,940,733
|
||||||||
U.S. Treasury Bills
|
0.445
|
%
|
04/20/17
|
8,201
|
8,183,696
|
||||||||
U.S. Treasury Bills
|
0.494
|
%
|
04/27/17
|
2,294
|
2,288,907
|
||||||||
U.S. Treasury Bills
|
0.516
|
%
|
05/04/17
|
18,633
|
18,587,890
|
||||||||
U.S. Treasury Bills
|
0.583
|
%
|
05/25/17
|
41,662
|
41,544,804
|
||||||||
636,570,816
|
|||||||||||||
TOTAL SHORT-TERM INVESTMENTS
|
|||||||||||||
(Cost $636,618,330)
|
636,570,816
|
||||||||||||
TOTAL PURCHASED OPTIONS - 0.8%**
|
|||||||||||||
(Cost $5,049,447)
|
6,008,956
|
||||||||||||
TOTAL INVESTMENTS - 84.4%
|
|||||||||||||
(Cost $641,667,777)***
|
642,579,772
|
||||||||||||
OTHER ASSETS IN EXCESS OF LIABILITIES - 15.6%
|
118,554,913
|
||||||||||||
NET ASSETS - 100.0%
|
$
|
761,134,685
|
* Short-term investments reflect the annualized effective yield on the date of purchase for discounted investments.
|
|||||
** See page 7 for detailed information regarding the Purchased Options.
|
Cost of investments
|
$
|
641,667,777
|
||
Gross unrealized appreciation
|
$
|
2,151,822
|
||
Gross unrealized depreciation
|
(1,239,827
|
)
|
||
Net unrealized appreciation (depreciation)
|
$
|
911,995
|
*Because tax adjustments are calculated annually at the end of the Fund's fiscal year, the above table does not reflect tax adjustments for the current
|
|||||||
fiscal year. For the previous fiscal year's federal income tax information, please refer to the Notes to Financial Statements section in the Fund's
|
|||||||
most recent annual report.
|
Futures contracts outstanding as of November 30, 2016 were as follows:
|
LONG CONTRACTS
|
EXPIRATION
DATE
|
NUMBER OF
CONTRACTS
|
NOTIONAL COST
|
UNREALIZED
APPRECIATION
(DEPRECIATION)
|
|||||||||
3-Month Euro Euribor
|
Dec-17
|
238
|
$
|
66,852,133
|
$
|
(55,324
|
)
|
||||||
3-Month Euro Euribor
|
Dec-18
|
1
|
265,638
|
13
|
|||||||||
3-Month Euro Euribor
|
Mar-19
|
1
|
265,545
|
-
|
|||||||||
3-Month Euro Euribor
|
Jun-19
|
1
|
265,426
|
13
|
|||||||||
3-Month Euro Euribor
|
Sep-19
|
1
|
265,188
|
(93
|
)
|
||||||||
90-DAY Bank Bill
|
Dec-16
|
1
|
75,170
|
(181
|
)
|
||||||||
90-DAY Bank Bill
|
Mar-17
|
15
|
1,122,746
|
(1,101
|
)
|
||||||||
90-DAY Eurodollar Futures
|
Dec-16
|
2,505
|
621,928,825
|
(1,878,700
|
)
|
||||||||
90-DAY Eurodollar Futures
|
Dec-18
|
19
|
4,671,375
|
(8,300
|
)
|
||||||||
90-DAY Eurodollar Futures
|
Mar-19
|
23
|
5,657,488
|
(17,025
|
)
|
||||||||
90-DAY Eurodollar Futures
|
Jun-19
|
21
|
5,164,313
|
(18,788
|
)
|
||||||||
90-DAY Eurodollar Futures
|
Sep-19
|
26
|
6,391,838
|
(26,063
|
)
|
||||||||
90-DAY Eurodollar Futures
|
Dec-19
|
22
|
5,403,213
|
(21,463
|
)
|
||||||||
90-DAY Eurodollar Futures
|
Mar-20
|
20
|
4,916,063
|
(26,563
|
)
|
||||||||
90-DAY Eurodollar Futures
|
Jun-20
|
15
|
3,681,463
|
(16,588
|
)
|
||||||||
90-DAY Sterling Futures
|
Dec-18
|
1
|
154,504
|
-
|
|||||||||
90-DAY Sterling Futures
|
Mar-19
|
1
|
154,845
|
-
|
|||||||||
90-DAY Sterling Futures
|
Sep-19
|
1
|
154,962
|
(63
|
)
|
||||||||
Amsterdam Index Futures
|
Dec-16
|
69
|
6,654,979
|
62,667
|
|||||||||
AUD/CAD Futures
|
Dec-16
|
17
|
2,597,985
|
(79,640
|
)
|
||||||||
AUD/JPY Futures
|
Dec-16
|
12
|
1,808,673
|
71,588
|
|||||||||
Bank Acceptance Futures
|
Mar-17
|
581
|
110,335,319
|
(11,241
|
)
|
||||||||
Bank Acceptance Futures
|
Dec-17
|
1
|
184,211
|
(37
|
)
|
||||||||
Bank Acceptance Futures
|
Mar-18
|
1
|
184,301
|
(56
|
)
|
||||||||
Brent Crude Futures
|
Jun-17
|
4
|
208,500
|
7,020
|
|||||||||
CAC40 10 Euro Futures
|
Dec-16
|
676
|
32,640,067
|
423,447
|
|||||||||
CAD/JPY Currency Futures
|
Dec-16
|
8
|
1,185,273
|
20,628
|
|||||||||
Canadian 10-Year Bond Futures
|
Mar-17
|
483
|
49,830,463
|
(91,938
|
)
|
||||||||
Canola Futures (Winnipeg Commodity Exchange)
|
Jan-17
|
38
|
295,298
|
2,793
|
|||||||||
Canola Futures (Winnipeg Commodity Exchange)
|
Mar-17
|
170
|
1,325,898
|
24,931
|
|||||||||
Canola Futures (Winnipeg Commodity Exchange)
|
May-17
|
154
|
1,204,033
|
30,422
|
|||||||||
Cattle Feeder Futures
|
Jan-17
|
6
|
378,663
|
6,613
|
|||||||||
CHF/JPY Futures
|
Dec-16
|
10
|
2,494,184
|
78,209
|
|||||||||
Coffee 'C' Futures
|
Mar-17
|
70
|
4,344,188
|
(390,938
|
)
|
||||||||
Coffee 'C' Futures
|
May-17
|
7
|
447,244
|
(45,881
|
)
|
||||||||
Coffee 'C' Futures
|
Jul-17
|
5
|
316,238
|
(25,519
|
)
|
||||||||
Coffee Robusta Futures
|
Jan-17
|
38
|
787,980
|
(18,100
|
)
|
||||||||
Coffee Robusta Futures
|
Mar-17
|
42
|
889,590
|
(41,190
|
)
|
||||||||
Coffee Robusta Futures
|
May-17
|
53
|
1,155,950
|
(81,640
|
)
|
||||||||
Copper Futures
|
Mar-17
|
161
|
10,466,538
|
131,288
|
|||||||||
Copper Futures
|
May-17
|
12
|
720,900
|
70,950
|
|||||||||
Copper Futures
|
Jul-17
|
6
|
394,488
|
2,038
|
Cotton No.2 Futures
|
Mar-17
|
103
|
3,626,730
|
59,640
|
|||||||||
Cotton No.2 Futures
|
May-17
|
58
|
2,071,380
|
18,360
|
|||||||||
Cotton No.2 Futures
|
Jul-17
|
43
|
1,561,570
|
(14,000
|
)
|
||||||||
DAX Index Futures
|
Dec-16
|
106
|
30,424,475
|
(54,132
|
)
|
||||||||
DJIA Mini E-CBOT
|
Dec-16
|
266
|
25,091,875
|
353,685
|
|||||||||
Dollar Index
|
Dec-16
|
134
|
13,122,070
|
484,156
|
|||||||||
EUR/JPY Futures
|
Dec-16
|
6
|
796,185
|
22,300
|
|||||||||
Euro STOXX 50
|
Dec-16
|
218
|
7,173,382
|
6,359
|
|||||||||
Euro-Bobl Futures
|
Dec-16
|
586
|
84,309,035
|
(78,429
|
)
|
||||||||
Euro-Bund Futures
|
Dec-16
|
1,063
|
190,717,340
|
(2,172,385
|
)
|
||||||||
Euro-Schatz Futures
|
Dec-16
|
511
|
61,031,412
|
44,408
|
|||||||||
FTSE 100 Index Futures
|
Dec-16
|
334
|
28,647,976
|
(427,956
|
)
|
||||||||
FTSE 250 Index Futures
|
Dec-16
|
3
|
134,491
|
(2,491
|
)
|
||||||||
Gasoline RBOB Futures
|
Jan-17
|
29
|
1,647,122
|
158,563
|
|||||||||
Gasoline RBOB Futures
|
Feb-17
|
2
|
116,512
|
8,765
|
|||||||||
Gasoline RBOB Futures
|
Mar-17
|
4
|
238,048
|
16,120
|
|||||||||
Gasoline RBOB Futures
|
Apr-17
|
7
|
478,754
|
24,133
|
|||||||||
GBP/JPY Futures
|
Dec-16
|
3
|
464,972
|
8,249
|
|||||||||
Hang Seng Index Futures
|
Dec-16
|
127
|
18,574,736
|
108,367
|
|||||||||
H-Shares Index Futures
|
Dec-16
|
75
|
4,697,578
|
84,291
|
|||||||||
IBEX 35 Index Futures
|
Dec-16
|
14
|
1,296,305
|
17
|
|||||||||
Live Cattle Futures
|
Feb-17
|
9
|
398,750
|
4,270
|
|||||||||
Live Cattle Futures
|
Apr-17
|
16
|
703,810
|
11,230
|
|||||||||
Live Cattle Futures
|
Jun-17
|
11
|
448,450
|
4,310
|
|||||||||
London Mercantile Exchange Aluminum Forward
|
Dec-16
|
19
|
1,318,679
|
(495,385
|
)
|
||||||||
London Mercantile Exchange Aluminum Forward
|
Jan-17
|
82
|
3,556,759
|
(12,309
|
)
|
||||||||
London Mercantile Exchange Aluminum Forward
|
Feb-17
|
56
|
2,426,194
|
(2,794
|
)
|
||||||||
London Mercantile Exchange Aluminum Forward
|
Mar-17
|
414
|
17,972,290
|
(38,328
|
)
|
||||||||
London Mercantile Exchange Copper Forward
|
Dec-16
|
4
|
2,239,577
|
(1,658,152
|
)
|
||||||||
London Mercantile Exchange Copper Forward
|
Jan-17
|
38
|
4,795,813
|
732,474
|
|||||||||
London Mercantile Exchange Copper Forward
|
Feb-17
|
8
|
1,063,963
|
100,688
|
|||||||||
London Mercantile Exchange Copper Forward
|
Mar-17
|
110
|
15,523,312
|
500,250
|
|||||||||
London Mercantile Exchange Lead Forward
|
Dec-16
|
10
|
390,462
|
198,163
|
|||||||||
London Mercantile Exchange Lead Forward
|
Jan-17
|
24
|
1,228,924
|
186,177
|
|||||||||
London Mercantile Exchange Lead Forward
|
Feb-17
|
20
|
1,071,788
|
109,463
|
|||||||||
London Mercantile Exchange Nickel Forward
|
Dec-16
|
8
|
501,915
|
36,177
|
|||||||||
London Mercantile Exchange Nickel Forward
|
Jan-17
|
27
|
1,752,388
|
66,184
|
|||||||||
London Mercantile Exchange Nickel Forward
|
Feb-17
|
14
|
945,891
|
(1,605
|
)
|
||||||||
London Mercantile Exchange Tin Forward Spot
|
Dec-16
|
3
|
273,850
|
44,675
|
|||||||||
London Mercantile Exchange Tin Forward Spot
|
Jan-17
|
6
|
618,875
|
15,625
|
|||||||||
London Mercantile Exchange Tin Forward Spot
|
Feb-17
|
4
|
434,275
|
(12,575
|
)
|
||||||||
London Mercantile Exchange Zinc Forward ($)
|
Dec-16
|
12
|
152,531
|
654,769
|
|||||||||
London Mercantile Exchange Zinc Forward ($)
|
Jan-17
|
28
|
1,606,283
|
281,617
|
|||||||||
London Mercantile Exchange Zinc Forward ($)
|
Feb-17
|
19
|
1,156,525
|
127,044
|
|||||||||
London Mercantile Exchange Zinc Forward ($)
|
Mar-17
|
64
|
4,123,438
|
206,163
|
|||||||||
Low Sulphur Gasoil G Futures
|
Jan-17
|
16
|
670,400
|
52,800
|
|||||||||
MSCI Singapore Exchange ETS
|
Dec-16
|
85
|
1,904,303
|
18,265
|
|||||||||
MSCI Taiwan Index
|
Dec-16
|
64
|
2,200,545
|
8,095
|
|||||||||
Nasdaq 100 E-Mini
|
Dec-16
|
338
|
32,738,055
|
(181,895
|
)
|
||||||||
Natural Gas Futures
|
May-17
|
14
|
453,260
|
(2,880
|
)
|
||||||||
Natural Gas Futures
|
Jun-17
|
16
|
519,370
|
(650
|
)
|
||||||||
Natural Gas Futures
|
Jul-17
|
12
|
395,280
|
(3,000
|
)
|
||||||||
Natural Gas Futures
|
Aug-17
|
12
|
394,720
|
(3,280
|
)
|
||||||||
Natural Gas Futures
|
Sep-17
|
15
|
482,930
|
3,670
|
|||||||||
Nikkei 225 (Chicago Mercantile Exchange)
|
Dec-16
|
27
|
2,312,800
|
200,900
|
|||||||||
Nikkei 225 (Singapore Exchange)
|
Dec-16
|
253
|
20,604,579
|
603,863
|
|||||||||
Nikkei 225 Mini
|
Dec-16
|
216
|
3,517,596
|
155,452
|
|||||||||
Nikkie 225 (Osaka Securities Exchange)
|
Dec-16
|
23
|
3,757,428
|
51,746
|
|||||||||
NZD Futures
|
Dec-16
|
1
|
77,139
|
(6,389
|
)
|
||||||||
NZD/JPY Futures
|
Dec-16
|
26
|
3,726,622
|
186,338
|
|||||||||
OMX Stockholm 30 Index Futures
|
Dec-16
|
44
|
699,224
|
6,114
|
|||||||||
Palladium Futures
|
Mar-17
|
18
|
1,329,885
|
60,885
|
|||||||||
Rapeseed Euro
|
Feb-17
|
99
|
2,099,031
|
159,004
|
|||||||||
Rapeseed Euro
|
May-17
|
119
|
2,525,870
|
174,849
|
|||||||||
Rapeseed Euro
|
Aug-17
|
97
|
1,998,014
|
57,152
|
|||||||||
Russell 2000 Mini
|
Dec-16
|
53
|
6,843,900
|
164,290
|
|||||||||
S&P 500 E-Mini Futures
|
Dec-16
|
34
|
3,877,875
|
(139,915
|
)
|
||||||||
S&P Mid 400 E-Mini
|
Dec-16
|
42
|
6,643,050
|
189,930
|
|||||||||
S&P/TSX 60 IX Futures
|
Dec-16
|
111
|
14,290,457
|
519,541
|
|||||||||
Soybean Futures
|
Jan-17
|
88
|
4,573,075
|
(31,175
|
)
|
||||||||
Soybean Futures
|
Mar-17
|
95
|
4,912,163
|
33,775
|
|||||||||
Soybean Futures
|
May-17
|
18
|
948,250
|
(4,150
|
)
|
||||||||
Soybean Futures
|
Jul-17
|
25
|
1,298,588
|
18,913
|
|||||||||
Soybean Meal Futures
|
Jan-17
|
-
|
500
|
(500
|
)
|
||||||||
Soybean Meal Futures
|
May-17
|
11
|
361,820
|
(6,410
|
)
|
||||||||
Soybean Oil Futures
|
Jan-17
|
29
|
614,436
|
29,190
|
|||||||||
Soybean Oil Futures
|
Mar-17
|
71
|
1,515,786
|
71,064
|
|||||||||
Soybean Oil Futures
|
May-17
|
20
|
445,890
|
2,670
|
|||||||||
Sugar No. 11 (World)
|
Mar-17
|
155
|
3,479,078
|
(40,062
|
)
|
||||||||
Topix Index Futures
|
Dec-16
|
46
|
5,989,120
|
274,769
|
|||||||||
USD/NOK Futures
|
Dec-16
|
3
|
299,437
|
8,638
|
|||||||||
USD/SEK Futures
|
Dec-16
|
3
|
298,836
|
24,518
|
|||||||||
WTI Crude Futures
|
Apr-17
|
3
|
150,650
|
5,020
|
|||||||||
WTI Crude Futures
|
May-17
|
4
|
200,620
|
8,940
|
|||||||||
WTI Crude Futures
|
Jun-17
|
6
|
302,260
|
14,120
|
|||||||||
WTI Crude Futures
|
Jul-17
|
5
|
252,720
|
11,980
|
|||||||||
WTI Crude Futures
|
Aug-17
|
2
|
98,860
|
7,260
|
|||||||||
$
|
1,638,972,810
|
$
|
485,784
|
||||||||||
SHORT CONTRACTS
|
EXPIRATION DATE
|
NUMBER OF
CONTRACTS
|
NOTIONAL COST
|
UNREALIZED APPRECIATION (DEPRECIATION)
|
|||||||||
10 Year Mini Japanese Government Bond Futures
|
Dec-16
|
55
|
$
|
(7,365,440
|
)
|
$
|
(4,895
|
)
|
|||||
2-Year Euro Swapnote Futures
|
Dec-16
|
17
|
(2,072,552
|
)
|
(1,436
|
)
|
|||||||
3-Month Euro Euribor
|
Mar-17
|
2
|
(556,532
|
)
|
(66
|
)
|
|||||||
3-Month Euro Euribor
|
Jun-17
|
40
|
(11,089,414
|
)
|
79
|
||||||||
3-Month Euro Euribor
|
Sep-17
|
646
|
(177,121,476
|
)
|
(20,084
|
)
|
|||||||
3-Month Euro Euribor
|
Mar-18
|
107
|
(29,467,186
|
)
|
2,610
|
||||||||
3-Month Euro Euribor
|
Jun-18
|
42
|
(11,615,814
|
)
|
(344
|
)
|
|||||||
3-Month Euro Euribor
|
Sep-18
|
57
|
(15,643,610
|
)
|
(1,471
|
)
|
|||||||
3-Month Euroyen Futures
|
Dec-16
|
25
|
(6,166,552
|
)
|
2,393
|
||||||||
3-Month Euroyen Futures
|
Mar-17
|
51
|
(12,483,358
|
)
|
4,742
|
||||||||
3-Month Euroyen Futures
|
Jun-17
|
90
|
(21,566,884
|
)
|
9,003
|
||||||||
3-Month Euroyen Futures
|
Sep-17
|
94
|
(22,332,247
|
)
|
9,538
|
||||||||
5-Year Euro Swapnote Futures
|
Dec-16
|
9
|
(1,235,234
|
)
|
(2,936
|
)
|
|||||||
90-DAY Bank Bill
|
Jun-17
|
1
|
(73,363
|
)
|
(18
|
)
|
|||||||
90-DAY Bank Bill
|
Sep-17
|
23
|
(1,670,888
|
)
|
144
|
||||||||
90-DAY Eurodollar Futures
|
Mar-17
|
85
|
(21,031,113
|
)
|
2,113
|
||||||||
90-DAY Eurodollar Futures
|
Jun-17
|
142
|
(35,120,075
|
)
|
33,650
|
||||||||
90-DAY Eurodollar Futures
|
Sep-17
|
722
|
(178,413,963
|
)
|
188,263
|
||||||||
90-DAY Eurodollar Futures
|
Dec-17
|
3,226
|
(799,340,343
|
)
|
4,091,015
|
||||||||
90-DAY Eurodollar Futures
|
Mar-18
|
73
|
(17,988,913
|
)
|
9,925
|
||||||||
90-DAY Eurodollar Futures
|
Jun-18
|
61
|
(15,009,588
|
)
|
3,588
|
||||||||
90-DAY Eurodollar Futures
|
Sep-18
|
52
|
(12,774,875
|
)
|
(2,825
|
)
|
90-DAY Sterling Futures
|
Mar-17
|
2
|
(302,922
|
)
|
-
|
||||||||
90-DAY Sterling Futures
|
Sep-17
|
539
|
(83,379,671
|
)
|
2,572
|
||||||||
90-DAY Sterling Futures
|
Dec-17
|
66
|
(10,233,193
|
)
|
1,798
|
||||||||
90-DAY Sterling Futures
|
Mar-18
|
28
|
(4,311,268
|
)
|
2,237
|
||||||||
90-DAY Sterling Futures
|
Jun-18
|
118
|
(18,267,962
|
)
|
6,364
|
||||||||
90-DAY Sterling Futures
|
Sep-18
|
42
|
(6,425,872
|
)
|
5,834
|
||||||||
AUD/NZD Futures
|
Dec-16
|
42
|
(6,354,646
|
)
|
35,495
|
||||||||
AUD/USD Currency Futures
|
Dec-16
|
202
|
(15,011,655
|
)
|
91,935
|
||||||||
Australian 10-Year Bond Futures
|
Dec-16
|
540
|
(40,291,927
|
)
|
1,411,682
|
||||||||
Australian 3-Year Bond Futures
|
Dec-16
|
95
|
(7,056,665
|
)
|
33,180
|
||||||||
Bank Acceptance Futures
|
Jun-17
|
56
|
(10,316,024
|
)
|
344
|
||||||||
Bank Acceptance Futures
|
Sep-17
|
130
|
(23,955,767
|
)
|
3,080
|
||||||||
BP Currency Futures
|
Dec-16
|
83
|
(6,424,791
|
)
|
(64,772
|
)
|
|||||||
Brent Crude Futures
|
Feb-17
|
131
|
(6,385,340
|
)
|
(405,700
|
)
|
|||||||
Brent Crude Futures
|
Mar-17
|
10
|
(488,920
|
)
|
(36,380
|
)
|
|||||||
Brent Crude Futures
|
Apr-17
|
1
|
(49,320
|
)
|
(3,760
|
)
|
|||||||
Brent Crude Futures
|
May-17
|
1
|
(49,880
|
)
|
(3,640
|
)
|
|||||||
Brent Crude Futures
|
Jul-17
|
1
|
(50,730
|
)
|
(3,420
|
)
|
|||||||
CAD Currency Futures
|
Dec-16
|
307
|
(22,834,835
|
)
|
(38,200
|
)
|
|||||||
Cattle Feeder Futures
|
Mar-17
|
4
|
(225,625
|
)
|
(23,275
|
)
|
|||||||
Cattle Feeder Futures
|
Apr-17
|
8
|
(470,400
|
)
|
(26,100
|
)
|
|||||||
CBOE VIX Futures
|
Dec-16
|
2
|
(29,950
|
)
|
900
|
||||||||
CBOE VIX Futures
|
Jan-17
|
5
|
(81,150
|
)
|
(225
|
)
|
|||||||
CHF Currency Futures
|
Dec-16
|
357
|
(44,426,259
|
)
|
497,409
|
||||||||
Cocoa Futures
|
Dec-16
|
31
|
(804,227
|
)
|
44,318
|
||||||||
Cocoa Futures
|
Mar-17
|
92
|
(2,378,020
|
)
|
180,140
|
||||||||
Cocoa Futures
|
Mar-17
|
98
|
(2,458,668
|
)
|
69,554
|
||||||||
Cocoa Futures
|
May-17
|
60
|
(1,533,925
|
)
|
81,491
|
||||||||
Cocoa Futures
|
May-17
|
66
|
(1,787,320
|
)
|
216,520
|
||||||||
Cocoa Futures
|
Jul-17
|
49
|
(1,190,810
|
)
|
27,550
|
||||||||
Corn Futures
|
Mar-17
|
323
|
(5,696,125
|
)
|
67,850
|
||||||||
Corn Futures
|
May-17
|
37
|
(655,700
|
)
|
(2,438
|
)
|
|||||||
Corn Futures
|
Jul-17
|
44
|
(796,188
|
)
|
(3,513
|
)
|
|||||||
Corn Futures
|
Sep-17
|
12
|
(222,713
|
)
|
263
|
||||||||
E-Mini Crude Oil
|
Jan-17
|
12
|
(272,088
|
)
|
(24,553
|
)
|
|||||||
E-Mini Crude Oil
|
Feb-17
|
14
|
(322,725
|
)
|
(29,655
|
)
|
|||||||
E-Mini Crude Oil
|
Mar-17
|
6
|
(147,163
|
)
|
(6,468
|
)
|
|||||||
E-Mini Natural Gas
|
Jan-17
|
10
|
(73,525
|
)
|
(10,275
|
)
|
|||||||
E-Mini Natural Gas
|
Feb-17
|
28
|
(202,388
|
)
|
(32,743
|
)
|
|||||||
E-Mini Natural Gas
|
Mar-17
|
17
|
(129,238
|
)
|
(12,203
|
)
|
|||||||
EUR Foreign Exchange Currency Futures
|
Dec-16
|
772
|
(103,471,509
|
)
|
1,138,080
|
||||||||
EUR/AUD Futures
|
Dec-16
|
35
|
(4,820,305
|
)
|
50,131
|
||||||||
EUR/CAD Futures
|
Dec-16
|
28
|
(3,706,485
|
)
|
10,953
|
||||||||
EUR/CHF Futures
|
Dec-16
|
63
|
(8,572,724
|
)
|
(5,963
|
)
|
|||||||
EUR/GBP Futures
|
Dec-16
|
2
|
(265,738
|
)
|
1,830
|
||||||||
Euro BUXL 30-Year Bond Futures
|
Dec-16
|
8
|
(1,517,469
|
)
|
14,562
|
||||||||
Euro E-Mini Futures
|
Dec-16
|
48
|
(3,246,981
|
)
|
65,481
|
||||||||
Euro/CHF 3-Month Futures (Intercontinental Exchange)
|
Dec-16
|
18
|
(4,645,136
|
)
|
2,287
|
||||||||
Euro/CHF 3-Month Futures (Intercontinental Exchange)
|
Mar-17
|
24
|
(6,180,164
|
)
|
1,156
|
||||||||
Euro/CHF 3-Month Futures (Intercontinental Exchange)
|
Jun-17
|
36
|
(9,298,000
|
)
|
1,107
|
||||||||
Euro/CHF 3-Month Futures (Intercontinental Exchange)
|
Sep-17
|
33
|
(8,504,196
|
)
|
(3,344
|
)
|
|||||||
Euro/CHF 3-Month Futures (Intercontinental Exchange)
|
Dec-17
|
1
|
(254,988
|
)
|
(197
|
)
|
|||||||
Euro-Bobl Futures
|
Mar-17
|
155
|
(21,838,945
|
)
|
9,857
|
||||||||
Euro-BTP Futures
|
Dec-16
|
18
|
(2,595,860
|
)
|
(13,142
|
)
|
|||||||
Euro-Bund Futures
|
Mar-17
|
132
|
(22,781,342
|
)
|
22,384
|
||||||||
Euro-Oat Futures
|
Dec-16
|
5
|
(834,989
|
)
|
7,324
|
||||||||
FTSE/JSE TOP 40
|
Dec-16
|
102
|
(3,319,010
|
)
|
84,227
|
||||||||
FTSE/MIB Index Futures
|
Dec-16
|
31
|
(2,721,576
|
)
|
(85,328
|
)
|
|||||||
GBP/AUD Futures
|
Dec-16
|
7
|
(1,069,476
|
)
|
(60,290
|
)
|
|||||||
GBP/CAD Futures
|
Dec-16
|
11
|
(1,708,437
|
)
|
(24,585
|
)
|
|||||||
GBP/CHF Futures
|
Dec-16
|
6
|
(915,573
|
)
|
(49,732
|
)
|
|||||||
GBP/NZD Futures
|
Dec-16
|
11
|
(1,699,186
|
)
|
(60,976
|
)
|
|||||||
Gold 100 Oz Futures
|
Feb-17
|
177
|
(21,137,370
|
)
|
359,340
|
||||||||
Gold 100 Oz Futures
|
Apr-17
|
13
|
(1,578,380
|
)
|
48,280
|
||||||||
Gold 100 Oz Futures
|
Jun-17
|
10
|
(1,201,910
|
)
|
22,010
|
||||||||
JPN 10-Year Bond (Osaka Securities Exchange)
|
Dec-16
|
32
|
(45,554,462
|
)
|
287,138
|
||||||||
JPY Currency Futures
|
Dec-16
|
607
|
(69,236,860
|
)
|
2,819,679
|
||||||||
JPY E-Mini Futures
|
Dec-16
|
20
|
(1,150,031
|
)
|
55,781
|
||||||||
Kansas City Hard Red Winter Wheat Futures
|
Mar-17
|
229
|
(4,904,750
|
)
|
207,388
|
||||||||
Kansas City Hard Red Winter Wheat Futures
|
May-17
|
74
|
(1,616,388
|
)
|
54,988
|
||||||||
Kansas City Hard Red Winter Wheat Futures
|
Jul-17
|
35
|
(782,638
|
)
|
24,888
|
||||||||
Lean Hogs Futures
|
Feb-17
|
28
|
(594,380
|
)
|
(24,140
|
)
|
|||||||
Lean Hogs Futures
|
Apr-17
|
19
|
(434,290
|
)
|
(33,110
|
)
|
|||||||
Lean Hogs Futures
|
Jun-17
|
9
|
(264,560
|
)
|
1,670
|
||||||||
Long Gilt Futures
|
Mar-17
|
803
|
(123,160,036
|
)
|
(236,278
|
)
|
|||||||
Low Sulphur Gasoil G Futures
|
Feb-17
|
8
|
(339,800
|
)
|
(25,000
|
)
|
|||||||
Low Sulphur Gasoil G Futures
|
Mar-17
|
11
|
(468,500
|
)
|
(36,400
|
)
|
|||||||
Mill Wheat Euro
|
Mar-17
|
120
|
(1,094,151
|
)
|
(6,359
|
)
|
|||||||
Mill Wheat Euro
|
May-17
|
60
|
(555,011
|
)
|
(3,339
|
)
|
|||||||
Mini HIS Index Futures
|
Dec-16
|
8
|
(233,538
|
)
|
(1,871
|
)
|
|||||||
MXN Futures
|
Dec-16
|
121
|
(2,965,715
|
)
|
28,440
|
||||||||
Natural Gas Futures
|
Jan-17
|
225
|
(6,867,690
|
)
|
(674,310
|
)
|
|||||||
Natural Gas Futures
|
Feb-17
|
5
|
(149,640
|
)
|
(18,310
|
)
|
|||||||
Natural Gas Futures
|
Mar-17
|
6
|
(178,660
|
)
|
(21,020
|
)
|
|||||||
Natural Gas Futures
|
Apr-17
|
3
|
(88,080
|
)
|
(8,820
|
)
|
|||||||
New York Harbor Ultra-Low Sulfur Diesel Futures
|
Jan-17
|
66
|
(4,016,275
|
)
|
(353,228
|
)
|
|||||||
New York Harbor Ultra-Low Sulfur Diesel Futures
|
Feb-17
|
1
|
(64,012
|
)
|
(2,705
|
)
|
|||||||
New York Harbor Ultra-Low Sulfur Diesel Futures
|
Mar-17
|
1
|
(62,630
|
)
|
(4,418
|
)
|
|||||||
Platinum Futures
|
Jan-17
|
31
|
(1,439,430
|
)
|
29,085
|
||||||||
Red Wheat Futures (Minneapolis Grain Exchange)
|
Mar-17
|
4
|
(103,600
|
)
|
(3,300
|
)
|
|||||||
Red Wheat Futures (Minneapolis Grain Exchange)
|
May-17
|
32
|
(834,075
|
)
|
(24,725
|
)
|
|||||||
Red Wheat Futures (Minneapolis Grain Exchange)
|
Jul-17
|
4
|
(107,375
|
)
|
(775
|
)
|
|||||||
SGX Nifty 50
|
Dec-16
|
125
|
(2,020,731
|
)
|
(39,269
|
)
|
|||||||
Silver Futures
|
Mar-17
|
21
|
(1,769,690
|
)
|
39,080
|
||||||||
Silver Futures
|
May-17
|
9
|
(757,175
|
)
|
12,560
|
||||||||
Silver Futures
|
Jul-17
|
6
|
(499,700
|
)
|
1,370
|
||||||||
Soybean Meal Futures
|
Mar-17
|
41
|
(1,284,010
|
)
|
(32,500
|
)
|
|||||||
SPI 200 Futures
|
Dec-16
|
55
|
(5,491,920
|
)
|
(233,793
|
)
|
|||||||
Sugar No. 11 (World)
|
May-17
|
10
|
(214,693
|
)
|
(1,131
|
)
|
|||||||
Sugar No. 11 (World)
|
Jul-17
|
9
|
(188,227
|
)
|
134
|
||||||||
Swiss Federal Bond Futures
|
Dec-16
|
5
|
(807,676
|
)
|
846
|
||||||||
U.S. Treasury 10-Year Notes (Chicago Board of Trade)
|
Mar-17
|
851
|
(106,251,524
|
)
|
288,726
|
||||||||
U.S. Treasury 10-Year Notes (Chicago Board of Trade)
|
Mar-17
|
75
|
(16,253,891
|
)
|
(7,047
|
)
|
|||||||
U.S. Treasury 10-Year Notes (Chicago Board of Trade)
|
Mar-17
|
2,263
|
(266,920,885
|
)
|
240,477
|
||||||||
U.S. Treasury Long Bond (Chicago Board of Trade)
|
Mar-17
|
356
|
(54,153,688
|
)
|
297,563
|
||||||||
U.S. Treasury Ultra Long Bond (Chicago Board of Trade)
|
Mar-17
|
10
|
(1,611,266
|
)
|
(2,797
|
)
|
|||||||
Wheat (Chicago Board of Trade)
|
Mar-17
|
412
|
(8,739,263
|
)
|
442,614
|
||||||||
Wheat (Chicago Board of Trade)
|
May-17
|
94
|
(2,043,800
|
)
|
90,950
|
||||||||
Wheat (Chicago Board of Trade)
|
Jul-17
|
71
|
(1,588,538
|
)
|
57,600
|
||||||||
White Sugar (Intercontinental Exchange)
|
Mar-17
|
1
|
(26,230
|
)
|
(90
|
)
|
|||||||
White Sugar (Intercontinental Exchange)
|
May-17
|
7
|
(183,105
|
)
|
1,070
|
||||||||
White Sugar (Intercontinental Exchange)
|
Aug-17
|
4
|
(101,490
|
)
|
(130
|
)
|
|||||||
WTI Crude Futures
|
Jan-17
|
154
|
(6,990,610
|
)
|
(623,150
|
)
|
|||||||
WTI Crude Futures
|
Feb-17
|
5
|
(229,600
|
)
|
(22,100
|
)
|
|||||||
WTI Crude Futures
|
Mar-17
|
2
|
(97,300
|
)
|
(5,120
|
)
|
|||||||
$
|
(2,709,612,353
|
)
|
$
|
10,448,448
|
|||||||||
Total Futures Contracts
|
$
|
(1,070,639,543
|
)
|
$
|
10,934,232
|
||||||||
Forward foreign currency contracts outstanding as of November 30, 2016 were as follows:
|
CURRENCY PURCHASED
|
CURRENCY SOLD
|
EXPIRATION
|
COUNTERPARTY
|
UNREALIZED APPRECIATION (DEPRECIATION)
|
|||||||||||
AUD
|
338,675
|
USD
|
252,770
|
Dec 01 2016
|
BOA
|
$
|
(2,683
|
)
|
|||||||
AUD
|
2,625,586
|
USD
|
1,937,945
|
Dec 02 2016
|
BOA
|
803
|
|||||||||
AUD
|
32,705,000
|
USD
|
24,825,213
|
Dec 02 2016
|
BOA
|
(675,646
|
)
|
||||||||
AUD
|
45,300,000
|
USD
|
34,218,126
|
Dec 12 2016
|
BOA
|
(777,615
|
)
|
||||||||
AUD
|
27,165,442
|
USD
|
20,721,433
|
Dec 21 2016
|
BOA
|
(672,651
|
)
|
||||||||
AUD
|
1,812,000
|
USD
|
1,343,805
|
Dec 22 2016
|
BOA
|
(6,538
|
)
|
||||||||
AUD
|
38,454,000
|
USD
|
29,226,493
|
Dec 23 2016
|
BOA
|
(847,972
|
)
|
||||||||
BRL
|
6,141,405
|
USD
|
1,867,385
|
Dec 21 2016
|
BOA
|
(63,122
|
)
|
||||||||
CAD
|
1,697,914
|
USD
|
1,265,227
|
Dec 01 2016
|
BOA
|
(1,233
|
)
|
||||||||
CAD
|
5,233,451
|
USD
|
3,900,000
|
Dec 02 2016
|
BOA
|
(3,993
|
)
|
||||||||
CAD
|
54,658,248
|
USD
|
40,800,000
|
Dec 12 2016
|
BOA
|
(106,023
|
)
|
||||||||
CAD
|
26,287,041
|
USD
|
19,813,832
|
Dec 21 2016
|
BOA
|
(240,155
|
)
|
||||||||
CAD
|
18,390,000
|
USD
|
13,732,850
|
Dec 22 2016
|
BOA
|
(39,215
|
)
|
||||||||
CAD
|
10,447,000
|
USD
|
7,891,758
|
Dec 23 2016
|
BOA
|
(112,560
|
)
|
||||||||
CHF
|
8,891,171
|
USD
|
8,955,000
|
Dec 02 2016
|
BOA
|
(209,086
|
)
|
||||||||
CHF
|
25,321
|
USD
|
25,000
|
Dec 22 2016
|
BOA
|
(51
|
)
|
||||||||
CHF
|
5,903,000
|
USD
|
6,066,289
|
Dec 23 2016
|
BOA
|
(249,564
|
)
|
||||||||
CLP
|
179,441,857
|
USD
|
272,749
|
Dec 21 2016
|
BOA
|
(7,715
|
)
|
||||||||
CZK
|
54,790,061
|
USD
|
2,288,082
|
Dec 21 2016
|
BOA
|
(135,665
|
)
|
||||||||
DKK
|
10,400,916
|
USD
|
1,515,000
|
Dec 02 2016
|
BOA
|
(33,354
|
)
|
||||||||
EUR
|
16,375,000
|
JPY
|
1,899,261,300
|
Dec 02 2016
|
BOA
|
753,984
|
|||||||||
EUR
|
3,805,000
|
JPY
|
445,460,482
|
Dec 22 2016
|
BOA
|
138,660
|
|||||||||
EUR
|
1,100,000
|
JPY
|
131,291,400
|
Dec 22 2016
|
BOA
|
18,100
|
|||||||||
EUR
|
2,620,232
|
USD
|
2,788,377
|
Dec 02 2016
|
BOA
|
(11,144
|
)
|
||||||||
EUR
|
140,940,000
|
USD
|
151,773,899
|
Dec 02 2016
|
BOA
|
(2,388,955
|
)
|
||||||||
EUR
|
2,450,000
|
USD
|
2,720,493
|
Dec 12 2016
|
BOA
|
(122,366
|
)
|
||||||||
EUR
|
18,912,218
|
USD
|
20,748,412
|
Dec 21 2016
|
BOA
|
(680,181
|
)
|
||||||||
EUR
|
17,260,000
|
USD
|
18,328,556
|
Dec 22 2016
|
BOA
|
(12,260
|
)
|
||||||||
EUR
|
27,181,000
|
USD
|
30,265,405
|
Dec 23 2016
|
BOA
|
(1,418,942
|
)
|
||||||||
GBP
|
12,400,000
|
JPY
|
1,641,009,955
|
Dec 02 2016
|
BOA
|
1,170,612
|
|||||||||
GBP
|
350,000
|
JPY
|
48,875,900
|
Dec 22 2016
|
BOA
|
10,424
|
|||||||||
GBP
|
471,106
|
USD
|
588,434
|
Dec 02 2016
|
BOA
|
1,030
|
|||||||||
GBP
|
17,425,000
|
USD
|
21,751,534
|
Dec 02 2016
|
BOA
|
51,246
|
|||||||||
GBP
|
30,650,000
|
USD
|
38,067,055
|
Dec 12 2016
|
BOA
|
294,012
|
|||||||||
GBP
|
5,286,803
|
USD
|
6,684,603
|
Dec 21 2016
|
BOA
|
(65,144
|
)
|
||||||||
GBP
|
1,225,000
|
USD
|
1,531,277
|
Dec 22 2016
|
BOA
|
2,577
|
|||||||||
GBP
|
4,521,000
|
USD
|
5,661,413
|
Dec 22 2016
|
BOA
|
(551
|
)
|
||||||||
GBP
|
9,116,000
|
USD
|
11,408,322
|
Dec 23 2016
|
BOA
|
6,554
|
|||||||||
HUF
|
546,769,211
|
USD
|
1,991,875
|
Dec 21 2016
|
BOA
|
(138,285
|
)
|
||||||||
INR
|
234,665,615
|
USD
|
3,481,566
|
Dec 21 2016
|
BOA
|
(60,303
|
)
|
||||||||
JPY
|
1,898,092,040
|
EUR
|
16,375,000
|
Dec 02 2016
|
BOA
|
(764,205
|
)
|
||||||||
JPY
|
1,620,984,000
|
GBP
|
12,400,000
|
Dec 02 2016
|
BOA
|
(1,345,667
|
)
|
||||||||
JPY
|
24,298,925
|
GBP
|
175,000
|
Dec 22 2016
|
BOA
|
(6,429
|
)
|
||||||||
JPY
|
141,153,306
|
USD
|
1,251,598
|
Dec 02 2016
|
BOA
|
(17,722
|
)
|
||||||||
JPY
|
1,913,925,023
|
USD
|
18,092,638
|
Dec 02 2016
|
BOA
|
(1,362,271
|
)
|
||||||||
JPY
|
3,097,868,219
|
USD
|
28,600,000
|
Dec 12 2016
|
BOA
|
(1,505,488
|
)
|
||||||||
JPY
|
1,582,859,850
|
USD
|
15,430,194
|
Dec 21 2016
|
BOA
|
(1,576,225
|
)
|
||||||||
JPY
|
3,048,931,000
|
USD
|
29,805,829
|
Dec 22 2016
|
BOA
|
(3,117,943
|
)
|
||||||||
JPY
|
11,212,200
|
USD
|
100,000
|
Dec 22 2016
|
BOA
|
(1,857
|
)
|
||||||||
KRW
|
5,144,204,320
|
USD
|
4,593,327
|
Dec 21 2016
|
BOA
|
(193,113
|
)
|
||||||||
MXN
|
32,909,695
|
USD
|
1,731,794
|
Dec 21 2016
|
BOA
|
(136,575
|
)
|
||||||||
MXN
|
27,882,000
|
USD
|
1,453,300
|
Dec 23 2016
|
BOA
|
(102,125
|
)
|
||||||||
MYR
|
2,181,800
|
USD
|
486,249
|
Dec 21 2016
|
BOA
|
1,873
|
|||||||||
NOK
|
4,706,349
|
USD
|
552,168
|
Dec 02 2016
|
BOA
|
632
|
|||||||||
NOK
|
6,051,216
|
USD
|
727,256
|
Dec 02 2016
|
BOA
|
(16,490
|
)
|
||||||||
NOK
|
493,085,860
|
USD
|
59,450,000
|
Dec 12 2016
|
BOA
|
(1,530,175
|
)
|
||||||||
NOK
|
73,076,645
|
USD
|
8,956,327
|
Dec 21 2016
|
BOA
|
(371,897
|
)
|
||||||||
NOK
|
3,642,845
|
USD
|
425,000
|
Dec 22 2016
|
BOA
|
2,934
|
|||||||||
NZD
|
4,188,590
|
USD
|
2,962,213
|
Dec 02 2016
|
BOA
|
3,908
|
|||||||||
NZD
|
1,375,000
|
USD
|
998,239
|
Dec 02 2016
|
BOA
|
(24,542
|
)
|
||||||||
NZD
|
7,600,000
|
USD
|
5,506,302
|
Dec 12 2016
|
BOA
|
(126,406
|
)
|
||||||||
NZD
|
27,709,681
|
USD
|
20,280,213
|
Dec 21 2016
|
BOA
|
(670,980
|
)
|
||||||||
NZD
|
600,000
|
USD
|
424,188
|
Dec 22 2016
|
BOA
|
398
|
|||||||||
NZD
|
14,830,000
|
USD
|
10,760,018
|
Dec 23 2016
|
BOA
|
(266,017
|
)
|
||||||||
PLN
|
17,053,214
|
USD
|
4,292,317
|
Dec 21 2016
|
BOA
|
(236,049
|
)
|
||||||||
SEK
|
24,549,318
|
USD
|
2,682,483
|
Dec 02 2016
|
BOA
|
(20,462
|
)
|
||||||||
SEK
|
10,672,558
|
USD
|
1,165,000
|
Dec 02 2016
|
BOA
|
(7,715
|
)
|
||||||||
SEK
|
27,031,670
|
USD
|
2,950,000
|
Dec 12 2016
|
BOA
|
(17,013
|
)
|
||||||||
SEK
|
108,961,137
|
USD
|
12,236,863
|
Dec 21 2016
|
BOA
|
(405,633
|
)
|
||||||||
SGD
|
2,765,722
|
USD
|
2,026,114
|
Dec 21 2016
|
BOA
|
(96,465
|
)
|
||||||||
SGD
|
4,870,000
|
USD
|
3,424,123
|
Dec 22 2016
|
BOA
|
(26,312
|
)
|
||||||||
TRY
|
7,306,003
|
USD
|
2,365,584
|
Dec 21 2016
|
BOA
|
(249,676
|
)
|
||||||||
TWD
|
9,017,044
|
USD
|
286,893
|
Dec 21 2016
|
BOA
|
(3,794
|
)
|
||||||||
USD
|
252,906
|
AUD
|
338,675
|
Dec 01 2016
|
BOA
|
2,819
|
|||||||||
USD
|
1,964,592
|
AUD
|
2,625,586
|
Dec 02 2016
|
BOA
|
25,843
|
|||||||||
USD
|
24,724,419
|
AUD
|
32,705,000
|
Dec 02 2016
|
BOA
|
574,851
|
|||||||||
USD
|
9,971,303
|
AUD
|
13,100,000
|
Dec 12 2016
|
BOA
|
300,868
|
|||||||||
USD
|
15,945,093
|
AUD
|
21,256,497
|
Dec 21 2016
|
BOA
|
257,261
|
|||||||||
USD
|
2,129,312
|
AUD
|
2,850,000
|
Dec 22 2016
|
BOA
|
25,996
|
|||||||||
USD
|
2,420,264
|
AUD
|
3,291,000
|
Dec 22 2016
|
BOA
|
(8,513
|
)
|
||||||||
USD
|
12,414,156
|
AUD
|
16,611,000
|
Dec 23 2016
|
BOA
|
155,468
|
USD
|
2,372,107
|
BRL
|
8,044,540
|
Dec 21 2016
|
BOA
|
8,728
|
|||||||||
USD
|
1,264,418
|
CAD
|
1,697,914
|
Dec 01 2016
|
BOA
|
424
|
|||||||||
USD
|
3,906,108
|
CAD
|
5,233,450
|
Dec 02 2016
|
BOA
|
10,101
|
|||||||||
USD
|
4,050,000
|
CAD
|
5,427,452
|
Dec 12 2016
|
BOA
|
9,172
|
|||||||||
USD
|
25,028,116
|
CAD
|
33,226,262
|
Dec 21 2016
|
BOA
|
287,403
|
|||||||||
USD
|
275,000
|
CAD
|
368,434
|
Dec 22 2016
|
BOA
|
655
|
|||||||||
USD
|
9,276,385
|
CAD
|
12,510,000
|
Dec 22 2016
|
BOA
|
(38,861
|
)
|
||||||||
USD
|
29,711,427
|
CAD
|
39,147,000
|
Dec 23 2016
|
BOA
|
561,214
|
|||||||||
USD
|
9,007,041
|
CHF
|
8,891,171
|
Dec 02 2016
|
BOA
|
261,127
|
|||||||||
USD
|
2,425,000
|
CHF
|
2,456,524
|
Dec 22 2016
|
BOA
|
4,610
|
|||||||||
USD
|
1,750,136
|
CHF
|
1,765,000
|
Dec 22 2016
|
BOA
|
11,098
|
|||||||||
USD
|
21,450,785
|
CHF
|
20,827,000
|
Dec 23 2016
|
BOA
|
928,180
|
|||||||||
USD
|
2,283,219
|
CZK
|
54,790,061
|
Dec 21 2016
|
BOA
|
130,803
|
|||||||||
USD
|
1,533,612
|
DKK
|
10,400,915
|
Dec 02 2016
|
BOA
|
51,966
|
|||||||||
USD
|
775,000
|
DKK
|
5,438,408
|
Dec 22 2016
|
BOA
|
(670
|
)
|
||||||||
USD
|
2,769,323
|
EUR
|
2,620,232
|
Dec 02 2016
|
BOA
|
(7,910
|
)
|
||||||||
USD
|
152,083,361
|
EUR
|
140,940,000
|
Dec 02 2016
|
BOA
|
2,698,417
|
|||||||||
USD
|
81,911,437
|
EUR
|
75,100,000
|
Dec 12 2016
|
BOA
|
2,270,869
|
|||||||||
USD
|
29,977,955
|
EUR
|
27,317,845
|
Dec 21 2016
|
BOA
|
990,301
|
|||||||||
USD
|
37,875,576
|
EUR
|
35,725,000
|
Dec 22 2016
|
BOA
|
(35,762
|
)
|
||||||||
USD
|
1,893,944
|
EUR
|
1,786,000
|
Dec 22 2016
|
BOA
|
(1,358
|
)
|
||||||||
USD
|
53,648,379
|
EUR
|
48,624,000
|
Dec 23 2016
|
BOA
|
2,045,038
|
|||||||||
USD
|
588,072
|
GBP
|
471,106
|
Dec 02 2016
|
BOA
|
(1,392
|
)
|
||||||||
USD
|
21,599,456
|
GBP
|
17,425,000
|
Dec 02 2016
|
BOA
|
(203,324
|
)
|
||||||||
USD
|
48,757,018
|
GBP
|
39,100,000
|
Dec 12 2016
|
BOA
|
(179,938
|
)
|
||||||||
USD
|
10,119,687
|
GBP
|
7,810,357
|
Dec 21 2016
|
BOA
|
340,557
|
|||||||||
USD
|
5,345,022
|
GBP
|
4,300,000
|
Dec 22 2016
|
BOA
|
(39,121
|
)
|
||||||||
USD
|
30,201,309
|
GBP
|
23,317,000
|
Dec 23 2016
|
BOA
|
1,004,218
|
|||||||||
USD
|
3,219,973
|
HUF
|
915,223,003
|
Dec 21 2016
|
BOA
|
117,295
|
|||||||||
USD
|
6,127,011
|
INR
|
414,731,798
|
Dec 21 2016
|
BOA
|
80,509
|
|||||||||
USD
|
1,233,566
|
JPY
|
141,153,306
|
Dec 02 2016
|
BOA
|
(310
|
)
|
||||||||
USD
|
17,820,000
|
JPY
|
1,892,729,775
|
Dec 02 2016
|
BOA
|
1,274,909
|
|||||||||
USD
|
38,750,000
|
JPY
|
4,046,804,262
|
Dec 12 2016
|
BOA
|
3,355,923
|
|||||||||
USD
|
15,978,378
|
JPY
|
1,670,995,491
|
Dec 21 2016
|
BOA
|
1,353,003
|
|||||||||
USD
|
28,752,717
|
JPY
|
3,100,730,000
|
Dec 22 2016
|
BOA
|
1,611,424
|
|||||||||
USD
|
175,000
|
JPY
|
19,837,225
|
Dec 22 2016
|
BOA
|
1,361
|
|||||||||
USD
|
4,186,341
|
JPY
|
462,139,000
|
Dec 22 2016
|
BOA
|
141,149
|
|||||||||
USD
|
4,711,178
|
KRW
|
5,335,071,928
|
Dec 21 2016
|
BOA
|
147,701
|
|||||||||
USD
|
4,410,359
|
MXN
|
86,154,692
|
Dec 21 2016
|
BOA
|
234,217
|
|||||||||
USD
|
7,521,759
|
MXN
|
146,278,000
|
Dec 23 2016
|
BOA
|
433,056
|
|||||||||
USD
|
507,603
|
MYR
|
2,181,800
|
Dec 21 2016
|
BOA
|
19,480
|
|||||||||
USD
|
552,203
|
NOK
|
4,706,349
|
Dec 02 2016
|
BOA
|
(597
|
)
|
||||||||
USD
|
715,000
|
NOK
|
6,051,217
|
Dec 02 2016
|
BOA
|
4,234
|
|||||||||
USD
|
9,281,341
|
NOK
|
77,262,017
|
Dec 21 2016
|
BOA
|
205,249
|
|||||||||
USD
|
2,999,971
|
NZD
|
4,188,590
|
Dec 02 2016
|
BOA
|
33,850
|
|||||||||
USD
|
979,560
|
NZD
|
1,375,000
|
Dec 02 2016
|
BOA
|
5,863
|
|||||||||
USD
|
22,707,655
|
NZD
|
31,700,000
|
Dec 12 2016
|
BOA
|
267,829
|
|||||||||
USD
|
12,379,310
|
NZD
|
17,351,418
|
Dec 21 2016
|
BOA
|
100,280
|
|||||||||
USD
|
765,494
|
NZD
|
1,089,000
|
Dec 22 2016
|
BOA
|
(5,130
|
)
|
||||||||
USD
|
2,165,356
|
NZD
|
3,018,000
|
Dec 23 2016
|
BOA
|
29,760
|
|||||||||
USD
|
7,427,042
|
PLN
|
29,842,254
|
Dec 21 2016
|
BOA
|
328,780
|
|||||||||
USD
|
2,651,888
|
SEK
|
24,549,318
|
Dec 02 2016
|
BOA
|
(10,133
|
)
|
||||||||
USD
|
1,178,114
|
SEK
|
10,672,561
|
Dec 02 2016
|
BOA
|
20,828
|
|||||||||
USD
|
40,250,000
|
SEK
|
366,794,276
|
Dec 12 2016
|
BOA
|
452,136
|
|||||||||
USD
|
24,287,619
|
SEK
|
209,352,783
|
Dec 21 2016
|
BOA
|
1,555,653
|
|||||||||
USD
|
775,000
|
SEK
|
7,143,718
|
Dec 22 2016
|
BOA
|
(744
|
)
|
||||||||
USD
|
4,015,345
|
SGD
|
5,602,701
|
Dec 21 2016
|
BOA
|
106,332
|
|||||||||
USD
|
7,149,652
|
SGD
|
10,191,000
|
Dec 22 2016
|
BOA
|
39,366
|
|||||||||
USD
|
6,217,685
|
TRY
|
19,655,355
|
Dec 21 2016
|
BOA
|
525,253
|
|||||||||
USD
|
254,191
|
TWD
|
8,012,111
|
Dec 21 2016
|
BOA
|
2,643
|
|||||||||
USD
|
3,105,971
|
ZAR
|
45,016,430
|
Dec 21 2016
|
BOA
|
(77,602
|
)
|
||||||||
USD
|
400,848
|
ZAR
|
5,886,000
|
Dec 22 2016
|
BOA
|
(15,319
|
)
|
||||||||
ZAR
|
45,820,729
|
USD
|
3,286,248
|
Dec 21 2016
|
BOA
|
(45,794
|
)
|
||||||||
Total Forward Foreign Currency Contracts
|
$
|
3,909,124
|
NUMBER
|
NUMBER
|
||||||||||||||||
OF
|
OF
|
||||||||||||||||
CONTRACTS
|
VALUE
|
CONTRACTS
|
VALUE
|
||||||||||||||
PURCHASED OPTIONS - 0.8%
|
WRITTEN OPTIONS - 0.1%
|
||||||||||||||||
CALL OPTIONS PURCHASED - 0.1%
|
CALL OPTIONS WRITTEN - 0.0%
|
||||||||||||||||
USD CNH Currency Futures
|
USD CNH Currency Futures
|
||||||||||||||||
Expires 01/13/17
|
Expires 01/13/17
|
||||||||||||||||
Strike Price 6.77
|
30,239,000
|
$
|
801,212
|
Strike Price 7.10
|
30,239,000
|
$
|
(82,945
|
)
|
|||||||||
USD CNH Currency Futures
|
TOTAL CALL OPTIONS WRITTEN
|
||||||||||||||||
Expires 01/13/17
|
(Premiums Received $208,649)
|
(82,945
|
)
|
||||||||||||||
Strike Price 7.10
|
30,239,000
|
82,946
|
PUT OPTIONS WRITTEN - 0.1%
|
||||||||||||||
FED Fund Futures
|
S&P 500 E-mini Futures
|
||||||||||||||||
Expires 01/31/17
|
Expires 01/20/17
|
||||||||||||||||
Strike Price 99.44
|
906
|
47,191
|
Strike Price 2160
|
242
|
(323,070
|
)
|
|||||||||||
TOTAL CALL OPTIONS PURCHASED
|
TOTAL PUT OPTIONS WRITTEN
|
||||||||||||||||
(Cost $707,080)
|
931,349
|
(Premiums Received $612,563)
|
(323,070
|
)
|
|||||||||||||
PUT OPTIONS PURCHASED - 0.7%
|
TOTAL WRITTEN OPTIONS - 0.1%
|
||||||||||||||||
CAD Currency Futures
|
(Premiums Received $821,212)
|
$ |
(406,015
|
) | |||||||||||||
Expires 01/06/17
|
|||||||||||||||||
Strike Price 73.50
|
302
|
123,820
|
|||||||||||||||
Euro-Bund Futures
|
|||||||||||||||||
Expires 12/23/16
|
|||||||||||||||||
Strike Price 163
|
181
|
255,138
|
|||||||||||||||
EURO Currency Futures
|
|||||||||||||||||
Expires 01/06/17
|
|||||||||||||||||
Strike Price 1.06
|
302
|
494,525
|
|||||||||||||||
Eurodollar 1-Year Mid-Curve Futures
|
|||||||||||||||||
Expires 04/13/17
|
|||||||||||||||||
Strike Price 98.50
|
1,510
|
811,625
|
|||||||||||||||
Gold Futures
|
|||||||||||||||||
Expires 12/27/16
|
|||||||||||||||||
Strike Price 1180
|
272
|
633,760
|
|||||||||||||||
IMM Eurodollar Futures
|
|||||||||||||||||
Expires 06/19/17
|
|||||||||||||||||
Strike Price 98.75
|
7,584
|
900,600
|
|||||||||||||||
JPY Foreign Exchange Currency Futures
|
|||||||||||||||||
Expires 12/09/16
|
|||||||||||||||||
Strike Price 90.50
|
151
|
581,350
|
|||||||||||||||
JPY Foreign Exchange Currency Futures
|
|||||||||||||||||
Expires 01/06/17
|
|||||||||||||||||
Strike Price 89.50
|
226
|
686,475
|
|||||||||||||||
S&P 500 E-mini Futures
|
|||||||||||||||||
Expires 01/20/17
|
|||||||||||||||||
Strike Price 2100
|
484
|
360,580
|
|||||||||||||||
U.S. 10-Year Treasury Bond Futures
|
|||||||||||||||||
Expires 12/23/16
|
|||||||||||||||||
Strike Price 124
|
377
|
229,734
|
|||||||||||||||
TOTAL PUT OPTIONS PURCHASED
|
|||||||||||||||||
(Cost $4,342,367)
|
5,077,607
|
||||||||||||||||
TOTAL PURCHASED OPTIONS - 0.8%
|
|||||||||||||||||
(Cost $5,049,447)
|
$
|
6,008,956
|
AUD
|
Australian Dollar
|
INR
|
Indian Rupee
|
|||||
BOA
|
Bank of America
|
JPY
|
Japanese Yen
|
|||||
BRL
|
Brazilian Real
|
KRW
|
Korean Won
|
|||||
CAD
|
Canadian Dollar
|
MXN
|
Mexican Peso
|
|||||
CBOT
|
Chicago Board of Trade
|
MYR
|
Malaysian Ringgit
|
|||||
CHF
|
Swiss Franc
|
NOK
|
Norwegian Krone
|
|||||
CLP
|
Chilean Peso
|
NZD
|
New Zealand Dollar
|
|||||
CNH
|
Chinese Renminbi
|
PLN
|
Polish Zloty
|
|||||
CZK
|
Czech Koruna
|
RBOB
|
Reformulated Blendstock for Oxygenate Blending
|
|||||
DAX
|
Deutscher Aktienindex
|
SEK
|
Swedish Krona
|
|||||
DJIA
|
Dow Jones Industrial Average
|
SGD
|
Singapore Dollar
|
|||||
DKK
|
Danish Krone
|
SGX
|
Singapore Exchange
|
|||||
EUR
|
Euro
|
TRY
|
Turkish Lira
|
|||||
FTSE
|
Financial Times Stock Exchange
|
TSX
|
Toronto Stock Exchange
|
|||||
GBP
|
British Pound
|
TWD
|
Taiwan Dollar
|
|||||
HUF
|
Hungarian Forint
|
USD
|
United States Dollar
|
|||||
IBEX
|
Index of the Bolsa de Madrid
|
WTI
|
West Texas Intermediate
|
|||||
IMM
|
International Monetary Market
|
ZAR
|
South African Rand
|
|||||
ABBEY CAPITAL FUTURES STRATEGY FUND
|
||||||||
NOTES TO PORTFOLIO OF INVESTMENTS
|
||||||||
November 30, 2016
|
||||||||
(Unaudited)
|
||||||||
CONSOLIDATION OF SUBSIDIARY — The Abbey Capital Futures Strategy Fund (the “Fund”) seeks to achieve its investment objective by allocating its assets between a “Managed Futures” strategy and a “Fixed Income” strategy. The Managed Futures strategy will be achieved by the Fund investing up to 25% of its total assets in Abbey Capital Offshore Fund Limited, a wholly-owned and controlled subsidiary of the Fund organized under the laws of the Cayman Islands (the “Subsidiary”). The consolidated financial statements of the Fund include the Subsidiary. The Fund consolidates the results of subsidiaries in which the Fund holds a controlling economic interest (greater than 50%). All inter-company accounts and transactions have been eliminated. As of November 30, 2016, the net assets of the Subsidiary were $158,325,973, which represented 20.80% 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 having a remaining maturity of greater than 60 days 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. Fixed income securities having a remaining maturity of 60 days or less are valued at amortized cost, provided such amount approximates fair value. 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 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. 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 fair value of the Fund’s investments are summarized into three levels as described in the hierarchy below:
|
||||||||
• Level 1 – quoted prices in active markets for identical securities;
|
||||||||
• Level 2 – other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.); and
|
||||||||
• Level 3 – significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments).
|
||||||||
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
|
||||||||
The following is a summary of inputs used, as of November 30, 2016, in valuing the Fund’s investments carried at fair value.
|
LEVEL 2
|
LEVEL 3
|
|||||||||||||||
TOTAL FAIR
|
LEVEL 1
|
SIGNIFICANT
|
SIGNIFICANT
|
|||||||||||||
VALUE AT
|
QUOTED
|
OBSERVABLE
|
UNOBSERVABLE
|
|||||||||||||
|
NOVEMBER 30, 2016
|
PRICE
|
INPUTS
|
INPUTS
|
||||||||||||
Short-Term Investments
|
$
|
636,570,816
|
$
|
636,570,816
|
$
|
-
|
$
|
-
|
||||||||
Commodity Contracts
|
||||||||||||||||
Futures
|
6,640,244
|
6,640,244
|
-
|
-
|
||||||||||||
Purchased Options
|
633,760
|
633,760
|
-
|
-
|
||||||||||||
Equity Contracts
|
||||||||||||||||
Futures
|
3,408,982
|
3,408,982
|
-
|
-
|
||||||||||||
Purchased Options
|
615,718
|
615,718
|
-
|
-
|
||||||||||||
Foreign Exchange Contracts
|
||||||||||||||||
Forward Foreign Currency Contracts
|
27,863,819
|
-
|
27,863,819
|
-
|
||||||||||||
Futures
|
5,704,388
|
5,704,388
|
-
|
-
|
||||||||||||
Purchased Options
|
2,770,328
|
2,770,328
|
-
|
-
|
||||||||||||
Interest Rate Contracts
|
||||||||||||||||
Futures
|
6,938,084
|
6,938,084
|
-
|
-
|
||||||||||||
Purchased Options
|
1,989,150
|
1,989,150
|
-
|
-
|
||||||||||||
Total Assets
|
$
|
693,135,289
|
$
|
665,271,470
|
$
|
27,863,819
|
$
|
-
|
||||||||
LEVEL 2
|
LEVEL 3
|
|||||||||||||||
TOTAL FAIR
|
LEVEL 1
|
SIGNIFICANT
|
SIGNIFICANT
|
|||||||||||||
VALUE AT
|
QUOTED
|
OBSERVABLE
|
UNOBSERVABLE
|
|||||||||||||
|
NOVEMBER 30, 2016
|
PRICE
|
INPUTS
|
INPUTS
|
||||||||||||
Commodity Contracts
|
||||||||||||||||
Futures
|
$
|
(5,478,826
|
)
|
$
|
(5,478,826
|
)
|
$
|
-
|
$
|
-
|
||||||
Equity Contracts
|
||||||||||||||||
Futures
|
(3,417,689
|
)
|
(3,417,689
|
)
|
-
|
-
|
||||||||||
Foreign Exchange Contracts
|
||||||||||||||||
Forward Foreign Currency Contracts
|
(23,954,695
|
)
|
-
|
(23,954,695
|
)
|
-
|
||||||||||
Futures
|
(394,088
|
)
|
(394,088
|
)
|
-
|
-
|
||||||||||
Written Options
|
(82,945
|
)
|
(82,945
|
)
|
-
|
-
|
||||||||||
Interest Rate Contracts
|
||||||||||||||||
Futures
|
(2,466,863
|
)
|
(2,466,863
|
)
|
-
|
-
|
||||||||||
Written Options
|
(323,070
|
)
|
(323,070
|
)
|
-
|
-
|
||||||||||
Total Liabilities
|
$
|
(36,118,176
|
)
|
$
|
(12,163,481
|
)
|
$
|
(23,954,695
|
)
|
$
|
-
|
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 and Level 2 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”) require 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. U.S. GAAP also requires the Fund to disclose amounts and reasons for all transfers in and out of Level 1 and Level 2 fair value measurements. 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 transfers in and out of each level within the three-tier hierarchy are disclosed when 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.
|
|||||||||
|
|||||||||
For the period ended November 30, 2016, the Fund had no transfers between Levels 1, 2 and 3.
|
INTEREST
|
FOREIGN
|
||||||||||||||||||||
EQUITY
|
RATE
|
CURRENCY
|
COMMODITY
|
||||||||||||||||||
DERIVATIVE TYPE
|
|
CONTRACTS
|
CONTRACTS
|
CONTRACTS
|
CONTRACTS
|
TOTAL
|
|||||||||||||||
Asset Derivatives
|
|||||||||||||||||||||
Purchased Options
|
$
|
615,718
|
$
|
1,989,150
|
$
|
2,770,328
|
$
|
633,760
|
$
|
6,008,956
|
|||||||||||
Forward Contracts
|
-
|
-
|
27,863,819
|
-
|
27,863,819
|
||||||||||||||||
Futures Contracts
|
3,408,982
|
6,938,084
|
5,704,388
|
6,640,244
|
22,691,698
|
||||||||||||||||
Total Value- Assets
|
|
$
|
4,024,700
|
$
|
8,927,234
|
$
|
36,338,535
|
$
|
7,274,004
|
$
|
56,564,473
|
||||||||||
Liability Derivatives
|
|||||||||||||||||||||
Written Options
|
$
|
-
|
$
|
(323,070
|
)
|
$
|
(82,945
|
)
|
$
|
-
|
$
|
(406,015
|
)
|
||||||||
Forward Contracts
|
-
|
-
|
(23,954,695
|
)
|
-
|
(23,954,695
|
)
|
||||||||||||||
Futures Contracts
|
(3,417,689
|
)
|
(2,466,863
|
)
|
(394,088
|
)
|
(5,478,826
|
)
|
(11,757,466
|
)
|
|||||||||||
Total Value- Liabilities
|
|
$
|
(3,417,689
|
)
|
$
|
(2,789,933
|
)
|
$
|
(24,431,728
|
)
|
$
|
(5,478,826
|
)
|
$
|
(36,118,176
|
)
|
For the period ended November 30, 2016, the Fund’s average volume of derivatives is as follows:
|
||||||||||||||||||||
PURCHASED
OPTIONS |
WRITTEN
OPTIONS |
LONG
FUTURES |
SHORT
FUTURES |
FORWARD FOREIGN
CURRENCY |
FORWARD FOREIGN
CURRENCY |
|||||||||||||||
$ | 3,918,775 | $ | (662,673 | ) |
$
|
2,447,526,705
|
$
|
(2,060,248,446
|
)
|
$ |
(1,485,055,885)
|
$ |
1,487,714,307
|
PURCHASED OPTIONS — The Fund is subject to equity and other risk exposure in the normal course of pursuing its investment objectives. The Fund purchases option contracts. This transaction is used to hedge against changes in interest rates, foreign exchange rates and values of equities. An option contract is a commitment that gives the purchaser of the contract the right, but not the obligation, to buy or sell an underlying asset at a specific price on or before a specified future date. 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 is subject to equity and other risk exposure in the normal course of pursuing its investment objectives and may enter into options written to hedge against changes in interest rates, foreign exchange rates and values of equities. Such options may relate to particular securities or domestic stock indices, and may or may not be listed on a domestic securities exchange or issued by the Options Clearing Corporation. An option contract is a commitment that gives the purchaser of the contract the right, but not the obligation, to buy or sell an underlying asset at a specific price on or before a specified future date. On the other hand, the writer of an option contract is obligated, upon the exercise of the option, to buy or sell an underlying asset at a specific price on or before a specified future date. 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. 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. A Fund’s maximum risk of loss from counterparty credit risk related to OTC option contracts is limited to the premium paid.
|
The Fund had transactions in options written during the period ended November 30, 2016, as follows:
|
NUMBER OF
|
PREMIUMS
|
|||||||
|
CONTRACTS
|
RECEIVED
|
||||||
Options outstanding at August 31, 2016
|
49,815,602
|
$
|
504,134
|
|||||
Options written
|
242
|
612,563
|
||||||
Options closed
|
(301
|
)
|
(4,703
|
)
|
||||
Options expired
|
(19,576,301
|
)
|
(290,782
|
)
|
||||
Options outstanding at November 30, 2016
|
30,239,242
|
$
|
821,212
|
FUTURES CONTRACTS — The Fund is subject to equity and other risk exposure in the normal course of pursuing its investment objectives. The Fund may use futures contracts for hedging or speculative purposes consistent with 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 a “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 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 may enter into 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 goal. 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. A 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 a Fund and the counterparty is in place and to the extent a Fund obtains collateral to cover the Fund’s exposure to the counterparty.
|
||||||||
For more information with regard to accounting policies, see the most recent semi-annual or annual report filed with the Securities and Exchange Commission.
|
Portfolio of Investments
|
||||||||
November 30, 2016
|
||||||||
(Unaudited)
|
||||||||
Number
|
||||||||
of Shares
|
Value
|
|||||||
COMMON STOCKS - 95.9%
|
||||||||
Advertising — 0.0%
|
||||||||
Xcel Brands, Inc.*
|
16,178
|
$
|
80,081
|
|||||
Aerospace/Defense — 1.1%
|
||||||||
Aerovironment, Inc.*
|
1,433
|
40,554
|
||||||
Cubic Corp.
|
17,062
|
789,971
|
||||||
Curtiss-Wright Corp.
|
2,004
|
201,442
|
||||||
Kaman Corp.
|
2,787
|
135,783
|
||||||
KLX, Inc.*
|
16,804
|
655,188
|
||||||
Kratos Defense & Security Solutions, Inc.*
|
25,231
|
184,691
|
||||||
Moog, Inc.*
|
1,762
|
123,040
|
||||||
National Presto Industries, Inc.
|
728
|
69,269
|
||||||
Orbital ATK, Inc.
|
1,778
|
151,717
|
||||||
2,351,655
|
||||||||
Agriculture — 0.1%
|
||||||||
Andersons, Inc., (The)
|
3,403
|
133,908
|
||||||
Universal Corp.
|
1,451
|
79,878
|
||||||
213,786
|
||||||||
Airlines — 0.1%
|
||||||||
Allegiant Travel Co.
|
537
|
87,746
|
||||||
Hawaiian Holdings, Inc.*
|
2,251
|
115,589
|
||||||
SkyWest, Inc.
|
8,137
|
299,848
|
||||||
503,183
|
||||||||
Apparel — 0.5%
|
||||||||
Iconix Brand Group, Inc.*
|
10,404
|
93,324
|
||||||
Oxford Industries, Inc.
|
1,304
|
94,749
|
||||||
Perry Ellis International, Inc.*
|
501
|
12,786
|
||||||
Rocky Brands, Inc.
|
29,960
|
319,074
|
||||||
Skechers U.S.A., Inc.*
|
6,336
|
144,334
|
||||||
Steven Madden Ltd.*
|
3,222
|
119,375
|
||||||
Superior Uniform Group, Inc.
|
17,022
|
326,652
|
||||||
Unifi, Inc.*
|
1,604
|
49,916
|
||||||
Wolverine World Wide, Inc.
|
5,464
|
123,104
|
||||||
1,283,314
|
||||||||
Auto Parts & Equipment — 1.5%
|
||||||||
American Axle & Manufacturing Holdings, Inc.*
|
6,688
|
104,734
|
||||||
Douglas Dynamics, Inc.
|
6,301
|
201,317
|
||||||
Gentherm, Inc.*
|
4,796
|
152,753
|
||||||
Horizon Global Corp.*
|
14,049
|
323,267
|
||||||
Motorcar Parts of America, Inc.*
|
54,533
|
1,333,877
|
||||||
Spartan Motors, Inc.
|
98,579
|
882,282
|
||||||
Superior Industries International, Inc.
|
2,532
|
63,680
|
||||||
Unique Fabricating, Inc.
|
30,393
|
433,100
|
||||||
3,495,010
|
Banks — 6.6%
|
||||||||
1st Source Corp.
|
5,961
|
234,629
|
||||||
American River Bankshares*
|
45,080
|
612,637
|
||||||
Atlantic Capital Bancshares, Inc.*
|
26,202
|
421,852
|
||||||
Bancorp, Inc., (The)*
|
72,750
|
503,430
|
||||||
Bank of Commerce Holdings
|
66,590
|
559,356
|
||||||
Bank of the Ozarks, Inc.
|
12,297
|
596,650
|
||||||
Banner Corp.
|
1,722
|
89,768
|
||||||
Boston Private Financial Holdings, Inc.
|
14,098
|
211,470
|
||||||
Cardinal Financial Corp.
|
4,668
|
149,329
|
||||||
CB Financial Services, Inc.
|
13,190
|
321,836
|
||||||
Central Pacific Financial Corp.
|
2,762
|
81,617
|
||||||
City Holding Co.
|
4,208
|
258,708
|
||||||
CoBiz Financial, Inc.
|
19,947
|
301,798
|
||||||
Community Bank System, Inc.
|
1,997
|
113,230
|
||||||
CU Bancorp*
|
12,021
|
335,386
|
||||||
CVB Financial Corp.
|
8,715
|
181,011
|
||||||
Farmers National Banc Corp.
|
42,400
|
502,440
|
||||||
FCB Financial Holdings, Inc.*
|
12,669
|
560,603
|
||||||
First BanCorp (Puerto Rico)*
|
46,257
|
273,841
|
||||||
First Bancshares, Inc., (The)
|
14,900
|
365,795
|
||||||
First Citizens BancShares, Inc.
|
899
|
320,377
|
||||||
First Commonwealth Financial Corp.
|
11,374
|
143,540
|
||||||
First Financial Bancorp
|
7,350
|
196,980
|
||||||
First Financial Bankshares, Inc.
|
6,581
|
283,312
|
||||||
Franklin Financial Network, Inc.*
|
8,034
|
303,284
|
||||||
Glacier Bancorp, Inc.
|
3,879
|
133,050
|
||||||
Home BancShares, Inc.
|
11,434
|
295,798
|
||||||
Hope Bancorp, Inc.
|
14,673
|
291,993
|
||||||
Horizon Bancorp
|
25,395
|
578,498
|
||||||
Independent Bank Corp. Rockland MA
|
1,226
|
79,813
|
||||||
LegacyTexas Financial Group, Inc.
|
2,437
|
95,677
|
||||||
Live Oak Bancshares, Inc.
|
13,086
|
227,042
|
||||||
MB Financial, Inc.
|
6,569
|
284,241
|
||||||
MidSouth Bancorp, Inc.
|
41,080
|
484,744
|
||||||
Northrim BanCorp, Inc.
|
12,890
|
362,209
|
||||||
OFG Bancorp
|
9,765
|
131,827
|
||||||
Orrstown Financial Services, Inc.
|
12,120
|
269,670
|
||||||
Pacific Continental Corp.
|
30,640
|
608,204
|
||||||
Pacific Mercantile Bancorp*
|
69,970
|
423,318
|
||||||
Park Sterling Corp.
|
5,150
|
50,109
|
||||||
People's Utah Bancorp
|
27,710
|
640,101
|
||||||
Preferred Bank
|
1,773
|
79,945
|
||||||
Premier Financial Bancorp, Inc.
|
34,980
|
643,282
|
||||||
PrivateBancorp, Inc.
|
2,852
|
133,417
|
||||||
Southside Bancshares, Inc.
|
4,403
|
169,383
|
||||||
Texas Capital Bancshares, Inc.*
|
1,396
|
101,559
|
||||||
Tompkins Financial Corp.
|
1,660
|
143,258
|
||||||
TriState Capital Holdings, Inc.*
|
8,182
|
166,913
|
||||||
TrustCo Bank Corp. NY
|
17,124
|
139,561
|
||||||
UMB Financial Corp.
|
3,746
|
284,771
|
||||||
United Bankshares, Inc.
|
5,281
|
243,718
|
||||||
United Community Banks, Inc.
|
3,164
|
85,998
|
||||||
Walker & Dunlop, Inc.*
|
1,239
|
36,414
|
||||||
Westamerica Bancorporation
|
2,698
|
167,357
|
||||||
Western Alliance Bancorp*
|
11,538
|
539,055
|
||||||
15,813,804
|
Beverages — 1.1%
|
||||||||
DavidsTea, Inc.*
|
24,763
|
236,487
|
||||||
Farmer Brothers Co.*
|
27,654
|
963,742
|
||||||
MGP Ingredients, Inc.
|
7,718
|
365,061
|
||||||
Primo Water Corp.*
|
52,760
|
678,494
|
||||||
Reed's, Inc.*
|
53,398
|
213,592
|
||||||
2,457,376
|
||||||||
Biotechnology — 2.9%
|
||||||||
Acorda Therapeutics, Inc.*
|
5,914
|
123,011
|
||||||
Alder Biopharmaceuticals, Inc.*
|
4,142
|
97,544
|
||||||
AMAG Pharmaceuticals, Inc.*
|
3,174
|
105,377
|
||||||
ANI Pharmaceuticals, Inc.*
|
2,019
|
118,980
|
||||||
Applied Genetic Technologies Corp.*
|
15,319
|
140,935
|
||||||
Blueprint Medicines Corp.*
|
20,861
|
612,688
|
||||||
Cambrex Corp.*
|
1,146
|
57,415
|
||||||
ChromaDex Corp.*
|
48,795
|
118,572
|
||||||
Exact Sciences Corp.*
|
25,104
|
370,786
|
||||||
Exelixis, Inc.*
|
10,771
|
182,245
|
||||||
Five Prime Therapeutics, Inc.*
|
3,922
|
225,593
|
||||||
Ligand Pharmaceuticals, Inc.*
|
1,187
|
123,923
|
||||||
Loxo Oncology, Inc.*
|
14,497
|
399,537
|
||||||
Medicines Co., (The)*
|
4,827
|
169,428
|
||||||
Momenta Pharmaceuticals, Inc.*
|
8,455
|
119,638
|
||||||
NeoGenomics, Inc.*
|
154,253
|
1,379,022
|
||||||
Organovo Holdings, Inc.*
|
45,573
|
137,630
|
||||||
Otonomy, Inc.*
|
29,440
|
500,480
|
||||||
Paratek Pharmaceuticals, Inc.*
|
13,638
|
183,431
|
||||||
Pfenex, Inc.*
|
21,603
|
200,260
|
||||||
Sage Therapeutics, Inc.*
|
8,859
|
443,924
|
||||||
Spectrum Pharmaceuticals, Inc.*
|
39,979
|
156,318
|
||||||
Sunesis Pharmaceuticals, Inc.*
|
20,580
|
82,937
|
||||||
6,049,674
|
Building Materials — 1.3%
|
||||||||
AAON, Inc.
|
2,382
|
78,368
|
||||||
Apogee Enterprises, Inc.
|
1,184
|
56,477
|
||||||
Aspen Aerogels, Inc.*
|
39,368
|
151,567
|
||||||
Drew Industries, Inc.
|
1,629
|
171,208
|
||||||
Gibraltar Industries, Inc.*
|
16,495
|
742,275
|
||||||
Griffon Corp.
|
4,619
|
110,394
|
||||||
Headwaters, Inc.*
|
4,288
|
101,626
|
||||||
Patrick Industries, Inc.*
|
8,595
|
613,253
|
||||||
Simpson Manufacturing Co., Inc.
|
2,069
|
97,533
|
||||||
Summit Materials, Inc.*
|
16,628
|
395,248
|
||||||
Universal Forest Products, Inc.
|
2,701
|
268,317
|
||||||
US Concrete, Inc.*
|
8,881
|
504,885
|
||||||
3,291,151
|
||||||||
Chemicals — 1.3%
|
||||||||
A Schulman, Inc.
|
2,902
|
96,637
|
||||||
Aceto Corp.
|
1,553
|
31,728
|
||||||
AdvanSix, Inc.*
|
3,845
|
71,901
|
||||||
Balchem Corp.
|
1,142
|
91,200
|
||||||
Calgon Carbon Corp.
|
4,182
|
74,021
|
||||||
Chemours Co., (The)
|
15,445
|
381,800
|
||||||
Hawkins, Inc.
|
7,480
|
363,154
|
||||||
HB Fuller Co.
|
4,743
|
222,874
|
||||||
Innophos Holdings, Inc.
|
2,039
|
111,166
|
||||||
Innospec, Inc.
|
1,121
|
73,650
|
||||||
Koppers Holdings, Inc.*
|
2,012
|
77,160
|
||||||
Kraton Corp.*
|
2,728
|
84,104
|
||||||
Landec Corp.*
|
90,697
|
1,296,967
|
||||||
Rayonier Advanced Materials, Inc.
|
6,815
|
94,592
|
||||||
Stepan Co.
|
2,701
|
219,240
|
||||||
3,290,194
|
||||||||
Coal — 0.0%
|
||||||||
SunCoke Energy, Inc.*
|
4,934
|
56,346
|
||||||
Commercial Services — 5.9%
|
||||||||
ABM Industries, Inc.
|
3,179
|
139,876
|
||||||
Albany Molecular Research, Inc.*
|
1,814
|
30,566
|
||||||
AMN Healthcare Services, Inc.*
|
3,294
|
109,690
|
||||||
ARC Document Solutions, Inc.*
|
126,270
|
563,164
|
||||||
AstroNova, Inc.
|
18,890
|
250,292
|
||||||
Barrett Business Services, Inc.
|
23,535
|
1,371,855
|
||||||
BG Staffing, Inc.
|
27,550
|
378,261
|
||||||
Brink's Co., (The)
|
4,054
|
163,782
|
||||||
CAI International, Inc.*
|
54,200
|
478,586
|
||||||
Capella Education Co.
|
1,954
|
170,487
|
||||||
Cardtronics PLC*
|
1,985
|
98,198
|
||||||
Care.com, Inc.*
|
30,887
|
263,157
|
||||||
CorVel Corp.*
|
1,091
|
35,130
|
||||||
CRA International, Inc.
|
20,370
|
669,358
|
||||||
Green Dot Corp.*
|
4,948
|
119,296
|
||||||
Hackett Group, Inc., (The)
|
18,788
|
333,675
|
||||||
Healthcare Services Group, Inc.
|
3,392
|
132,119
|
||||||
HealthEquity, Inc.*
|
1,801
|
80,199
|
||||||
HMS Holdings Corp.*
|
9,256
|
169,570
|
||||||
Insperity, Inc.
|
5,945
|
430,418
|
||||||
Kelly Services, Inc.
|
24,612
|
495,686
|
||||||
Landauer, Inc.
|
903
|
44,699
|
||||||
MarketAxess Holdings, Inc.
|
2,439
|
404,313
|
||||||
Matthews International Corp.
|
1,608
|
116,982
|
||||||
Medifast, Inc.
|
15,550
|
607,694
|
||||||
Monro Muffler Brake, Inc.
|
2,000
|
119,600
|
||||||
Navigant Consulting, Inc.*
|
3,071
|
75,854
|
||||||
Nord Anglia Education, Inc.*
|
17,779
|
426,696
|
||||||
Nutrisystem, Inc.
|
16,940
|
622,545
|
||||||
On Assignment, Inc.*
|
3,035
|
125,315
|
||||||
PAREXEL International Corp.*
|
2,105
|
124,195
|
||||||
PFSweb, Inc.*
|
72,363
|
575,286
|
||||||
Rent-A-Center, Inc.
|
9,155
|
105,740
|
||||||
Resources Connection, Inc.
|
36,584
|
589,002
|
||||||
RR Donnelley & Sons Co.
|
4,304
|
74,847
|
||||||
ServiceSource International, Inc.*
|
136,098
|
807,061
|
||||||
SP Plus Corp.*
|
31,864
|
884,226
|
||||||
Strayer Education, Inc.*
|
3,814
|
279,299
|
||||||
Team, Inc.*
|
2,595
|
89,008
|
||||||
TriNet Group, Inc.*
|
1,696
|
42,790
|
||||||
Viad Corp.
|
19,487
|
855,479
|
||||||
13,453,996
|
Computers — 4.8%
|
||||||||
Brocade Communications Systems, Inc.
|
4,278
|
52,791
|
||||||
CACI International, Inc.*
|
1,145
|
148,163
|
||||||
Computer Services, Inc.
|
17,569
|
689,583
|
||||||
Datalink Corp.*
|
82,050
|
918,960
|
||||||
Digimarc Corp.*
|
12,434
|
386,076
|
||||||
DMC Global, Inc.
|
72,151
|
1,179,669
|
||||||
Electronics For Imaging, Inc.*
|
1,897
|
82,557
|
||||||
Engility Holdings, Inc.*
|
2,262
|
81,997
|
||||||
Everspin Technologies, Inc.*
|
20,025
|
146,983
|
||||||
ExlService Holdings, Inc.*
|
1,497
|
71,197
|
||||||
Globant S.A.*
|
4,732
|
162,118
|
||||||
Icad, Inc.*
|
71,137
|
261,073
|
||||||
Insight Enterprises, Inc.*
|
2,176
|
76,204
|
||||||
KEYW Holding Corp., (The)*
|
61,946
|
776,183
|
||||||
MAXIMUS, Inc.
|
1,853
|
102,452
|
||||||
Mercury Systems, Inc.*
|
40,273
|
1,196,511
|
||||||
Mitek Systems, Inc.*
|
88,303
|
494,497
|
||||||
MTS Systems Corp.
|
769
|
41,411
|
||||||
Nutanix, Inc.*
|
12,755
|
408,160
|
||||||
Quantum Corp.*
|
454,280
|
414,758
|
||||||
Radisys Corp.*
|
201,490
|
842,228
|
||||||
Super Micro Computer, Inc.*
|
3,359
|
91,869
|
||||||
Sykes Enterprises, Inc.*
|
19,509
|
549,764
|
||||||
TeleTech Holdings, Inc.
|
3,501
|
100,654
|
||||||
USA Technologies, Inc.*
|
97,344
|
413,712
|
||||||
Varonis Systems, Inc.*
|
5,424
|
158,381
|
||||||
VeriFone Systems, Inc.*
|
52,570
|
887,907
|
||||||
Vocera Communications, Inc.*
|
44,040
|
801,528
|
||||||
11,537,386
|
||||||||
Cosmetics/Personal Care — 0.2%
|
||||||||
elf Beauty, Inc.*
|
13,557
|
426,639
|
||||||
Inter Parfums, Inc.
|
2,289
|
78,856
|
||||||
505,495
|
||||||||
Distribution/Wholesale — 0.9%
|
||||||||
Anixter International, Inc.*
|
1,549
|
121,055
|
||||||
Beacon Roofing Supply, Inc.*
|
9,070
|
420,757
|
||||||
Essendant, Inc.
|
3,646
|
70,623
|
||||||
G-III Apparel Group Ltd.*
|
3,863
|
104,919
|
||||||
H&E Equipment Services, Inc.
|
15,075
|
277,531
|
||||||
Pool Corp.
|
2,106
|
211,885
|
||||||
ScanSource, Inc.*
|
1,959
|
74,148
|
||||||
SiteOne Landscape Supply, Inc.*
|
21,408
|
717,168
|
||||||
Titan Machinery, Inc.*
|
26,550
|
371,435
|
||||||
2,369,521
|
||||||||
Diversified Financial Services — 2.6%
|
||||||||
Blackhawk Network Holdings, Inc.*
|
37,088
|
1,335,168
|
||||||
Encore Capital Group, Inc.*
|
4,540
|
124,623
|
||||||
Enova International, Inc.*
|
41,598
|
484,617
|
||||||
Evercore Partners, Inc.
|
1,107
|
74,612
|
||||||
Financial Engines, Inc.
|
3,587
|
125,007
|
||||||
FNFV Group*
|
139,655
|
1,787,584
|
||||||
Greenhill & Co, Inc.
|
6,119
|
169,496
|
||||||
Hennessy Advisors, Inc.
|
8,774
|
298,228
|
||||||
Interactive Brokers Group, Inc.
|
3,063
|
112,473
|
||||||
Investment Technology Group, Inc.
|
2,378
|
44,326
|
||||||
Piper Jaffray Cos*
|
1,580
|
115,261
|
||||||
PRA Group, Inc.*
|
3,304
|
118,779
|
||||||
Silvercrest Asset Management Group, Inc.
|
20,822
|
279,015
|
||||||
WageWorks, Inc.*
|
10,992
|
811,759
|
||||||
World Acceptance Corp.*
|
2,155
|
121,262
|
||||||
6,002,210
|
Electric — 0.1%
|
||||||||
ALLETE, Inc.
|
4,232
|
261,622
|
||||||
Avista Corp.
|
1,395
|
56,456
|
||||||
El Paso Electric Co.
|
1,366
|
61,538
|
||||||
379,616
|
||||||||
Electrical Components & Equipment — 0.8%
|
||||||||
Advanced Energy Industries, Inc.*
|
2,466
|
136,148
|
||||||
Encore Wire Corp.
|
1,278
|
54,315
|
||||||
EnerSys
|
3,171
|
252,348
|
||||||
General Cable Corp.
|
4,266
|
79,987
|
||||||
Graham Corp.
|
14,664
|
325,834
|
||||||
Insteel Industries, Inc.
|
4,174
|
165,165
|
||||||
Littelfuse, Inc.
|
1,079
|
157,307
|
||||||
SPX Corp.*
|
4,521
|
110,448
|
||||||
Universal Display Corp.*
|
6,924
|
378,397
|
||||||
1,659,949
|
||||||||
Electronics — 2.4%
|
||||||||
Brady Corp.
|
2,928
|
107,604
|
||||||
Coherent, Inc.*
|
1,014
|
132,327
|
||||||
CyberOptics Corp.*
|
7,048
|
203,687
|
||||||
ESCO Technologies, Inc.
|
1,920
|
107,328
|
||||||
FARO Technologies, Inc.*
|
2,255
|
82,082
|
||||||
II-VI, Inc.*
|
3,812
|
115,122
|
||||||
IMAX Corp.*
|
16,182
|
517,015
|
||||||
Itron, Inc.*
|
4,655
|
298,851
|
||||||
Ituran Location and Control Ltd.
|
22,201
|
553,915
|
||||||
Methode Electronics, Inc.
|
2,476
|
91,488
|
||||||
Napco Security Technologies, Inc.*
|
51,481
|
440,163
|
||||||
Orbotech Ltd.*
|
21,492
|
680,652
|
||||||
OSI Systems, Inc.*
|
6,966
|
527,326
|
||||||
Plexus Corp.*
|
2,641
|
134,955
|
||||||
Rogers Corp.*
|
1,868
|
138,830
|
||||||
Sanmina Corp.*
|
6,648
|
218,387
|
||||||
TASER International, Inc.*
|
15,702
|
427,565
|
||||||
TTM Technologies, Inc.*
|
8,548
|
115,996
|
||||||
ZAGG, Inc.*
|
90,420
|
596,772
|
||||||
5,490,065
|
||||||||
Energy-Alternate Sources — 0.4%
|
||||||||
Green Plains, Inc.
|
3,277
|
88,807
|
||||||
REX American Resources Corp.*
|
6,135
|
599,267
|
||||||
TPI Composites, Inc.*
|
14,829
|
224,956
|
||||||
913,030
|
||||||||
Engineering & Construction — 1.7%
|
||||||||
Aegion Corp.*
|
5,582
|
135,029
|
||||||
Argan, Inc.
|
5,261
|
318,028
|
||||||
Comfort Systems USA, Inc.
|
4,006
|
128,993
|
||||||
Dycom Industries, Inc.*
|
2,682
|
196,403
|
||||||
EMCOR Group, Inc.
|
4,741
|
328,883
|
||||||
Exponent, Inc.
|
1,390
|
84,303
|
||||||
Granite Construction, Inc.
|
10,908
|
643,463
|
||||||
MasTec, Inc.*
|
13,928
|
528,568
|
||||||
MYR Group, Inc.*
|
4,168
|
156,133
|
||||||
NV5 Global, Inc.*
|
23,154
|
846,279
|
||||||
Primoris Services Corp.
|
8,644
|
198,207
|
||||||
Sterling Construction Co, Inc.*
|
68,130
|
564,798
|
||||||
TopBuild Corp.*
|
2,707
|
98,237
|
||||||
4,227,324
|
Entertainment — 0.6%
|
||||||||
International Speedway Corp.
|
24,078
|
886,070
|
||||||
Pinnacle Entertainment, Inc.*
|
3,069
|
41,830
|
||||||
Red Rock Resorts, Inc.
|
18,460
|
423,103
|
||||||
Scientific Games Corp.*
|
6,167
|
90,963
|
||||||
1,441,966
|
||||||||
Environmental Control — 0.6%
|
||||||||
AquaVenture Holdings Ltd.*
|
12,300
|
285,975
|
||||||
Casella Waste Systems, Inc.*
|
16,570
|
209,776
|
||||||
Hudson Technologies, Inc.*
|
37,351
|
284,241
|
||||||
Tetra Tech, Inc.
|
3,198
|
137,034
|
||||||
US Ecology, Inc.
|
10,680
|
496,086
|
||||||
1,413,112
|
||||||||
Food — 1.3%
|
||||||||
B&G Foods, Inc.
|
4,803
|
205,568
|
||||||
Calavo Growers, Inc.
|
2,981
|
160,825
|
||||||
Cal-Maine Foods, Inc.
|
1,158
|
47,131
|
||||||
Darling Ingredients, Inc.*
|
8,943
|
120,820
|
||||||
Ingles Markets, Inc.
|
28,740
|
1,319,166
|
||||||
J&J Snack Foods Corp.
|
681
|
82,694
|
||||||
Lifeway Foods, Inc.*
|
31,140
|
362,158
|
||||||
Sanderson Farms, Inc.
|
1,371
|
110,571
|
||||||
Snyder's-Lance, Inc.
|
3,587
|
133,652
|
||||||
SpartanNash Co.
|
2,270
|
82,197
|
||||||
2,624,782
|
||||||||
Forest Products & Paper — 0.0%
|
||||||||
Clearwater Paper Corp.*
|
1,300
|
80,860
|
||||||
Neenah Paper, Inc.
|
743
|
63,081
|
||||||
PH Glatfelter Co.
|
2,957
|
67,922
|
||||||
211,863
|
||||||||
Gas — 0.5%
|
||||||||
New Jersey Resources Corp.
|
2,340
|
80,613
|
||||||
Northwest Natural Gas Co.
|
2,390
|
136,947
|
||||||
South Jersey Industries, Inc.
|
4,502
|
148,566
|
||||||
Southwest Gas Corp.
|
1,612
|
119,498
|
||||||
Spire, Inc.
|
5,337
|
344,450
|
||||||
830,074
|
||||||||
Hand / Machine Tools — 0.2%
|
||||||||
Franklin Electric Co, Inc.
|
1,615
|
63,066
|
||||||
Hardinge, Inc.
|
43,340
|
478,040
|
||||||
541,106
|
Healthcare-Products — 6.0%
|
||||||||
Abaxis, Inc.
|
1,761
|
90,850
|
||||||
ABIOMED, Inc.*
|
1,897
|
212,919
|
||||||
Alpha Pro Tech, Ltd.*
|
44,141
|
152,286
|
||||||
Analogic Corp.
|
998
|
91,966
|
||||||
AxoGen, Inc.*
|
29,071
|
242,743
|
||||||
Biolase, Inc.*
|
95,333
|
166,833
|
||||||
BioTelemetry, Inc.*
|
17,855
|
347,280
|
||||||
Bovie Medical Corp.*
|
27,980
|
118,915
|
||||||
Cantel Medical Corp.
|
1,814
|
147,968
|
||||||
Cardiovascular Systems, Inc.*
|
16,784
|
406,005
|
||||||
Cerus Corp.*
|
141,702
|
739,684
|
||||||
CRH Medical Corp.*
|
158,710
|
872,905
|
||||||
CryoLife, Inc.
|
45,184
|
887,866
|
||||||
Cynosure, Inc.*
|
1,507
|
68,342
|
||||||
Digirad Corp.
|
51,023
|
237,257
|
||||||
Haemonetics Corp.*
|
3,260
|
129,194
|
||||||
ICU Medical, Inc.*
|
3,413
|
512,803
|
||||||
Inogen, Inc.*
|
7,589
|
488,959
|
||||||
Integra LifeSciences Holdings Corp.*
|
1,544
|
124,755
|
||||||
Invacare Corp.
|
5,623
|
64,664
|
||||||
Invuity, Inc.*
|
27,643
|
187,972
|
||||||
iRadimed Corp.*
|
15,204
|
168,004
|
||||||
iRhythm Technologies, Inc.*
|
6,810
|
207,705
|
||||||
K2M Group Holdings, Inc.*
|
22,451
|
422,079
|
||||||
LeMaitre Vascular, Inc.
|
27,721
|
628,435
|
||||||
Luminex Corp.*
|
2,141
|
43,527
|
||||||
Masimo Corp.*
|
3,409
|
210,915
|
||||||
Meridian Bioscience, Inc.
|
1,476
|
25,535
|
||||||
Merit Medical Systems, Inc.*
|
22,483
|
529,475
|
||||||
MiMedx Group, Inc.*
|
4,718
|
44,727
|
||||||
NanoString Technologies, Inc.*
|
29,530
|
649,660
|
||||||
Natus Medical, Inc.*
|
1,370
|
54,595
|
||||||
Novan, Inc.*
|
12,291
|
330,136
|
||||||
NuVasive, Inc.*
|
6,202
|
402,510
|
||||||
NxStage Medical, Inc.*
|
16,086
|
397,646
|
||||||
Obalon Therapeutics, Inc.*
|
18,108
|
220,918
|
||||||
Orthofix International N.V.*
|
665
|
25,051
|
||||||
Penumbra, Inc.*
|
5,506
|
340,821
|
||||||
Repligen Corp.*
|
8,930
|
287,546
|
||||||
Spectranetics Corp., (The)*
|
8,878
|
193,984
|
||||||
Tactile Systems Technology, Inc.*
|
17,294
|
282,411
|
||||||
Vascular Solutions, Inc.*
|
11,342
|
624,944
|
||||||
West Pharmaceutical Services, Inc.
|
7,912
|
642,059
|
||||||
Zeltiq Aesthetics, Inc.*
|
9,141
|
402,295
|
||||||
13,427,144
|
Healthcare-Services — 1.6%
|
||||||||
Air Methods Corp.*
|
19,108
|
624,832
|
||||||
Almost Family, Inc.*
|
9,650
|
387,930
|
||||||
Amedisys, Inc.*
|
2,217
|
87,549
|
||||||
Amsurg Corp.*
|
2,682
|
182,698
|
||||||
Chemed Corp.
|
621
|
92,510
|
||||||
Ensign Group, Inc., (The)
|
5,019
|
108,511
|
||||||
Healthways, Inc.*
|
7,150
|
165,880
|
||||||
LHC Group, Inc.*
|
2,720
|
114,403
|
||||||
Magellan Health, Inc.*
|
2,346
|
170,789
|
||||||
Natera, Inc.*
|
44,752
|
537,024
|
||||||
Providence Service Corp., (The)*
|
927
|
34,030
|
||||||
Psychemedics Corp.
|
22,388
|
559,476
|
||||||
Select Medical Holdings Corp.*
|
7,167
|
87,079
|
||||||
Surgery Partners, Inc.*
|
13,769
|
203,093
|
||||||
Surgical Care Affiliates, Inc.*
|
8,111
|
341,068
|
||||||
US Physical Therapy, Inc.
|
4,377
|
280,128
|
||||||
3,977,000
|
||||||||
Holding Companies-Diversified — 0.1%
|
||||||||
KLR Energy Acquisition Corp.*
|
13,432
|
141,305
|
||||||
Home Builders — 1.5%
|
||||||||
Cavco Industries, Inc.*
|
4,611
|
435,970
|
||||||
Installed Building Products, Inc.*
|
13,842
|
574,443
|
||||||
LGI Homes, Inc.*
|
12,628
|
412,304
|
||||||
Meritage Homes Corp.*
|
1,017
|
36,663
|
||||||
PICO Holdings, Inc.*
|
50,178
|
717,545
|
||||||
TRI Pointe Group, Inc.*
|
36,523
|
424,397
|
||||||
UCP, Inc.*
|
37,040
|
405,588
|
||||||
Winnebago Industries, Inc.
|
17,439
|
565,896
|
||||||
3,572,806
|
||||||||
Home Furnishings — 0.2%
|
||||||||
American Woodmark Corp.*
|
1,043
|
79,946
|
||||||
DTS, Inc.
|
1,939
|
82,330
|
||||||
Ethan Allen Interiors, Inc.
|
1,908
|
65,826
|
||||||
Hooker Furniture Corp.
|
10,752
|
293,530
|
||||||
iRobot Corp.*
|
968
|
55,176
|
||||||
La-Z-Boy, Inc.
|
1,163
|
31,110
|
||||||
Select Comfort Corp.*
|
2,991
|
67,656
|
||||||
Universal Electronics, Inc.*
|
4,018
|
270,612
|
||||||
946,186
|
||||||||
Household Products / Wares — 0.5%
|
||||||||
Acme United Corp.
|
15,224
|
334,624
|
||||||
SodaStream International Ltd.*
|
26,820
|
976,784
|
||||||
WD-40 Co.
|
995
|
107,361
|
||||||
1,418,769
|
||||||||
Housewares — 0.4%
|
||||||||
Lifetime Brands, Inc.
|
35,320
|
589,844
|
||||||
Toro Co., (The)
|
5,348
|
283,070
|
||||||
872,914
|
Insurance — 2.4%
|
||||||||
Allied World Assurance Co. Holdings AG (Switzerland)
|
17,660
|
826,665
|
||||||
American Equity Investment Life Holding Co.
|
11,107
|
230,248
|
||||||
American National Insurance Co.
|
4,850
|
584,425
|
||||||
Conifer Holdings, Inc.*
|
54,480
|
389,532
|
||||||
Employers Holdings, Inc.
|
3,729
|
131,820
|
||||||
Health Insurance Innovations, Inc.*
|
9,725
|
131,287
|
||||||
Horace Mann Educators Corp.
|
2,570
|
103,185
|
||||||
Infinity Property & Casualty Corp.
|
1,346
|
116,092
|
||||||
ProAssurance Corp.
|
2,565
|
143,768
|
||||||
RLI Corp.
|
1,478
|
88,739
|
||||||
Safety Insurance Group, Inc.
|
1,702
|
119,736
|
||||||
Selective Insurance Group, Inc.
|
3,866
|
158,893
|
||||||
White Mountains Insurance Group Ltd.
|
2,198
|
1,839,660
|
||||||
4,864,050
|
||||||||
Internet — 4.4%
|
||||||||
8x8, Inc.*
|
51,988
|
709,636
|
||||||
Autobytel, Inc.*
|
14,162
|
196,144
|
||||||
Blucora, Inc.*
|
3,569
|
50,501
|
||||||
Blue Nile, Inc.
|
2,978
|
120,073
|
||||||
Boingo Wireless, Inc.*
|
45,803
|
558,797
|
||||||
ePlus, Inc.*
|
7,558
|
840,450
|
||||||
Etsy, Inc.*
|
43,777
|
542,835
|
||||||
HealthStream, Inc.*
|
2,625
|
65,783
|
||||||
magicJack VocalTec Ltd.*
|
87,840
|
623,664
|
||||||
Match Group, Inc.*
|
19,334
|
347,625
|
||||||
Mimecast Ltd.*
|
36,117
|
738,954
|
||||||
NIC, Inc.
|
3,334
|
83,683
|
||||||
Proofpoint, Inc.*
|
8,269
|
636,796
|
||||||
Q2 Holdings, Inc.*
|
16,972
|
500,674
|
||||||
Quotient Technology, Inc.*
|
34,924
|
447,027
|
||||||
Reis, Inc.
|
17,428
|
380,802
|
||||||
Rightside Group Ltd.*
|
40,470
|
317,690
|
||||||
RingCentral, Inc.*
|
18,775
|
404,601
|
||||||
Shopify, Inc.*
|
9,999
|
416,658
|
||||||
Shutterstock, Inc.*
|
10,569
|
497,377
|
||||||
Stamps.com, Inc.*
|
1,004
|
106,625
|
||||||
Trade Desk, Inc., (The)*
|
15,489
|
411,698
|
||||||
Wix.com Ltd.*
|
10,934
|
541,233
|
||||||
Yelp, Inc.*
|
9,972
|
370,958
|
||||||
Zendesk, Inc.*
|
21,166
|
450,624
|
||||||
10,360,908
|
||||||||
Investment Companies — 0.6%
|
||||||||
Acacia Research Corp.*
|
104,330
|
719,877
|
||||||
Capital Southwest Corp.
|
31,431
|
468,322
|
||||||
PennantPark Floating Rate Capital Ltd.
|
28,797
|
398,838
|
||||||
1,587,037
|
||||||||
Iron / Steel — 0.1%
|
||||||||
AK Steel Holding Corp.*
|
14,144
|
129,135
|
||||||
Leisure Time — 0.7%
|
||||||||
Arctic Cat, Inc.*
|
9,900
|
150,876
|
||||||
Callaway Golf Co.
|
4,678
|
56,838
|
||||||
Fox Factory Holding Corp.*
|
19,942
|
500,544
|
||||||
Intrawest Resorts Holdings, Inc.*
|
15,787
|
276,904
|
||||||
MCBC Holdings, Inc.
|
11,750
|
157,920
|
||||||
Planet Fitness, Inc.
|
22,114
|
448,251
|
||||||
1,591,333
|
Lodging — 0.9%
|
||||||||
Belmond Ltd.*
|
10,812
|
140,015
|
||||||
Boyd Gaming Corp.*
|
4,776
|
89,980
|
||||||
ILG, Inc.
|
8,186
|
147,921
|
||||||
La Quinta Holdings, Inc.*
|
65,600
|
796,384
|
||||||
Marcus Corp., (The)
|
11,575
|
347,250
|
||||||
Monarch Casino & Resort, Inc.*
|
18,659
|
464,236
|
||||||
1,985,786
|
||||||||
Machinery-Construction & Mining — 0.4%
|
||||||||
Astec Industries, Inc.
|
13,310
|
882,453
|
||||||
Machinery-Diversified — 1.2%
|
||||||||
Albany International Corp.
|
1,126
|
52,584
|
||||||
Applied Industrial Technologies, Inc.
|
1,045
|
62,543
|
||||||
Chart Industries, Inc.*
|
2,562
|
91,079
|
||||||
Columbus McKinnon Corp.
|
19,200
|
505,344
|
||||||
Hurco Cos, Inc.
|
13,820
|
450,532
|
||||||
Manitex International, Inc.*
|
60,810
|
328,374
|
||||||
NN, Inc.
|
29,030
|
492,058
|
||||||
SPX FLOW, Inc.*
|
10,543
|
330,418
|
||||||
Tennant Co.
|
1,504
|
112,950
|
||||||
Twin Disc, Inc.*
|
50,867
|
738,080
|
||||||
3,163,962
|
||||||||
Media — 0.4%
|
||||||||
Gannett Co, Inc.
|
7,852
|
74,908
|
||||||
Scholastic Corp.
|
1,251
|
55,157
|
||||||
TiVo Corp.*
|
7,248
|
146,772
|
||||||
Tribune Media Co.
|
19,837
|
712,347
|
||||||
989,184
|
||||||||
Metal Fabricate/Hardware — 0.7%
|
||||||||
CIRCOR International, Inc.
|
889
|
56,336
|
||||||
Mueller Industries, Inc.
|
4,223
|
160,432
|
||||||
Mueller Water Products, Inc.
|
42,333
|
560,066
|
||||||
Northwest Pipe Co.*
|
38,250
|
670,140
|
||||||
TimkenSteel Corp.*
|
8,182
|
129,276
|
||||||
1,576,250
|
||||||||
Mining — 1.0%
|
||||||||
A-Mark Precious Metals, Inc.
|
22,692
|
371,468
|
||||||
Century Aluminum Co.*
|
22,999
|
212,051
|
||||||
Fairmount Santrol Holdings, Inc.*
|
26,525
|
255,436
|
||||||
Kaiser Aluminum Corp.
|
1,039
|
85,603
|
||||||
Materion Corp.
|
1,920
|
73,632
|
||||||
Stillwater Mining Co.*
|
8,970
|
134,819
|
||||||
United States Lime & Minerals, Inc.
|
5,566
|
403,813
|
||||||
US Silica Holdings, Inc.
|
15,748
|
797,006
|
||||||
2,333,828
|
Miscellaneous Manufacturing — 1.7%
|
||||||||
Actuant Corp.
|
1,678
|
43,544
|
||||||
Core Molding Technologies, Inc.*
|
9,079
|
144,810
|
||||||
EnPro Industries, Inc.
|
2,498
|
151,878
|
||||||
Fabrinet*
|
22,083
|
945,152
|
||||||
FreightCar America, Inc.
|
20,702
|
303,905
|
||||||
Harsco Corp.
|
14,378
|
201,292
|
||||||
Hillenbrand, Inc.
|
2,960
|
103,600
|
||||||
John Bean Technologies Corp.
|
10,654
|
960,991
|
||||||
Lydall, Inc.*
|
20,237
|
1,208,149
|
||||||
Proto Labs, Inc.*
|
1,026
|
53,455
|
||||||
Sturm Ruger & Co., Inc.
|
1,620
|
83,268
|
||||||
4,200,044
|
||||||||
Office Furnishings — 0.0%
|
||||||||
Interface, Inc.
|
3,053
|
53,122
|
||||||
Oil & Gas — 2.2%
|
||||||||
Atwood Oceanics, Inc.
|
28,400
|
268,664
|
||||||
Bill Barrett Corp.*
|
9,499
|
74,282
|
||||||
Callon Petroleum Co.*
|
37,311
|
658,166
|
||||||
Carrizo Oil & Gas, Inc.*
|
3,151
|
133,413
|
||||||
Evolution Petroleum Corp.
|
36,281
|
306,575
|
||||||
Gran Tierra Energy, Inc.*
|
86,490
|
250,821
|
||||||
Jones Energy, Inc.*
|
71,373
|
328,316
|
||||||
Matador Resources Co.*
|
8,508
|
226,653
|
||||||
Murphy USA, Inc.*
|
9,499
|
647,737
|
||||||
Oasis Petroleum, Inc.*
|
16,393
|
245,403
|
||||||
Parsley Energy, Inc.*
|
5,700
|
217,455
|
||||||
PBF Energy, Inc.
|
17,570
|
421,504
|
||||||
PDC Energy, Inc.*
|
5,172
|
385,056
|
||||||
Ring Energy, Inc.*
|
19,521
|
249,869
|
||||||
RSP Permian, Inc.*
|
9,688
|
432,569
|
||||||
Synergy Resources Corp.*
|
13,188
|
125,154
|
||||||
Unit Corp.*
|
4,358
|
105,899
|
||||||
5,077,536
|
||||||||
Oil & Gas Services — 0.9%
|
||||||||
Dawson Geophysical Co.*
|
46,575
|
365,614
|
||||||
Flotek Industries, Inc.*
|
5,288
|
71,176
|
||||||
Helix Energy Solutions Group, Inc.*
|
17,356
|
181,370
|
||||||
Mammoth Energy Services, Inc.*
|
15,712
|
251,863
|
||||||
Natural Gas Services Group, Inc.*
|
28,861
|
821,096
|
||||||
Profire Energy, Inc.*
|
198,830
|
264,444
|
||||||
Tesco Corp.*
|
29,175
|
226,106
|
||||||
TETRA Technologies, Inc.*
|
13,636
|
74,043
|
||||||
2,255,712
|
Packaging & Containers — 0.2%
|
||||||||
AEP Industries, Inc.
|
4,900
|
577,465
|
||||||
KapStone Paper and Packaging Corp.
|
4,714
|
96,307
|
||||||
Multi-Color Corp.
|
610
|
43,859
|
||||||
717,631
|
||||||||
Pharmaceuticals — 2.8%
|
||||||||
Aclaris Therapeutics, Inc.*
|
15,871
|
475,336
|
||||||
Akorn, Inc.*
|
23,169
|
491,646
|
||||||
Anika Therapeutics, Inc.*
|
1,077
|
50,253
|
||||||
Array BioPharma, Inc.*
|
34,047
|
275,610
|
||||||
Collegium Pharmaceutical, Inc.*
|
17,514
|
290,032
|
||||||
Depomed, Inc.*
|
2,829
|
54,034
|
||||||
Eagle Pharmaceuticals, Inc.*
|
2,808
|
221,720
|
||||||
Enanta Pharmaceuticals, Inc.*
|
2,651
|
83,347
|
||||||
Flexion Therapeutics, Inc.*
|
16,889
|
278,668
|
||||||
Foamix Pharmaceuticals Ltd.*
|
42,828
|
393,589
|
||||||
Global Blood Therapeutics, Inc.*
|
8,573
|
164,173
|
||||||
Heska Corp.*
|
5,601
|
370,282
|
||||||
Imprimis Pharmaceuticals, Inc.*
|
28,859
|
78,496
|
||||||
Kindred Biosciences, Inc.*
|
29,218
|
124,176
|
||||||
MyoKardia, Inc.*
|
18,309
|
288,367
|
||||||
Natural Grocers by Vitamin Cottage, Inc.*
|
66,031
|
699,929
|
||||||
Nature's Sunshine Products, Inc.
|
19,746
|
298,165
|
||||||
Nektar Therapeutics*
|
7,708
|
94,693
|
||||||
Neogen Corp.*
|
1,733
|
109,664
|
||||||
Patheon N.V. (Netherlands)*
|
17,807
|
487,200
|
||||||
Phibro Animal Health Corp.
|
2,922
|
80,209
|
||||||
PRA Health Sciences, Inc.*
|
8,524
|
457,909
|
||||||
Prestige Brands Holdings, Inc.*
|
4,121
|
196,036
|
||||||
Revance Therapeutics, Inc.*
|
14,143
|
236,895
|
||||||
Synergy Pharmaceuticals, Inc.*
|
30,082
|
158,231
|
||||||
Teligent, Inc.*
|
20,540
|
147,683
|
||||||
Xencor, Inc.*
|
6,238
|
159,443
|
||||||
6,765,786
|
||||||||
Real Estate — 0.2%
|
||||||||
Farmland Partners, Inc.
|
27,757
|
308,380
|
||||||
HFF, Inc.
|
2,032
|
58,928
|
||||||
Marcus & Millichap, Inc.*
|
11,570
|
317,597
|
||||||
684,905
|
||||||||
REITS — 1.6%
|
||||||||
Acadia Realty Trust
|
3,764
|
124,438
|
||||||
Agree Realty Corp.
|
1,641
|
73,664
|
||||||
CareTrust REIT, Inc.
|
3,664
|
51,846
|
||||||
Cedar Realty Trust, Inc.
|
11,602
|
74,833
|
||||||
CoreSite Realty Corp.
|
1,355
|
95,568
|
||||||
Cousins Properties, Inc.
|
26,232
|
207,495
|
||||||
DiamondRock Hospitality Co.
|
8,155
|
86,361
|
||||||
EastGroup Properties, Inc.
|
2,590
|
176,923
|
||||||
GEO Group, Inc., (The)
|
20,164
|
670,655
|
||||||
Getty Realty Corp.
|
5,173
|
124,255
|
||||||
Government Properties Income Trust
|
6,612
|
124,239
|
||||||
Healthcare Realty Trust, Inc.
|
7,137
|
209,685
|
||||||
Lexington Realty Trust
|
12,112
|
125,117
|
||||||
Life Storage, Inc.
|
859
|
69,777
|
||||||
LTC Properties, Inc.
|
3,774
|
171,566
|
||||||
Medical Properties Trust, Inc.
|
7,925
|
94,466
|
||||||
Parkway, Inc.*
|
3,279
|
64,268
|
||||||
Post Properties, Inc.
|
2,005
|
130,365
|
||||||
PS Business Parks, Inc.
|
1,242
|
138,769
|
||||||
Retail Opportunity Investments Corp.
|
3,666
|
75,666
|
||||||
Sabra Health Care REIT, Inc.
|
8,635
|
191,093
|
||||||
Summit Hotel Properties, Inc.
|
6,963
|
99,014
|
||||||
Universal Health Realty Income Trust
|
3,063
|
181,667
|
||||||
Urstadt Biddle Properties, Inc.
|
4,968
|
112,525
|
||||||
3,474,255
|
Retail — 4.9%
|
||||||||
Abercrombie & Fitch Co.
|
5,839
|
83,906
|
||||||
Asbury Automotive Group, Inc.*
|
2,463
|
144,701
|
||||||
Barnes & Noble Education, Inc.*
|
3,876
|
44,070
|
||||||
Barnes & Noble, Inc.
|
8,365
|
105,399
|
||||||
Big 5 Sporting Goods Corp.
|
27,230
|
526,900
|
||||||
Biglari Holdings, Inc.*
|
1,976
|
926,606
|
||||||
BJ's Restaurants, Inc.*
|
2,592
|
96,163
|
||||||
Bloomin' Brands, Inc.
|
29,850
|
555,210
|
||||||
BMC Stock Holdings, Inc.*
|
20,285
|
382,372
|
||||||
Bob Evans Farms, Inc.
|
1,288
|
57,509
|
||||||
Boot Barn Holdings, Inc.*
|
18,809
|
296,806
|
||||||
Buckle, Inc., (The)
|
2,812
|
71,144
|
||||||
Build-A-Bear Workshop, Inc.*
|
39,310
|
564,098
|
||||||
Carrols Restaurant Group, Inc.*
|
12,944
|
176,038
|
||||||
Casey's General Stores, Inc.
|
1,888
|
227,410
|
||||||
Children's Place, Inc., (The)
|
1,027
|
106,654
|
||||||
Chuy's Holdings, Inc.*
|
8,957
|
280,802
|
||||||
Cracker Barrel Old Country Store, Inc.
|
790
|
128,565
|
||||||
Del Taco Restaurants, Inc.*
|
55,635
|
807,820
|
||||||
Denny's Corp.*
|
10,734
|
129,774
|
||||||
Duluth Holdings, Inc.*
|
4,842
|
162,255
|
||||||
El Pollo Loco Holdings, Inc.*
|
4,723
|
59,510
|
||||||
Express, Inc.*
|
6,375
|
85,170
|
||||||
EZCORP, Inc.*
|
6,969
|
81,189
|
||||||
Fiesta Restaurant Group, Inc.*
|
3,891
|
111,477
|
||||||
Finish Line, Inc., (The)
|
5,591
|
125,462
|
||||||
FirstCash, Inc.
|
2,930
|
134,487
|
||||||
Five Below, Inc.*
|
13,657
|
537,540
|
||||||
Francesca's Holdings Corp.*
|
9,692
|
154,878
|
||||||
Gordmans Stores, Inc.*
|
129,440
|
93,197
|
||||||
Group 1 Automotive, Inc.
|
1,277
|
92,697
|
||||||
Habit Restaurants, Inc., (The)*
|
25,132
|
422,218
|
||||||
Hibbett Sports, Inc.*
|
2,854
|
114,873
|
||||||
J Alexander's Holdings, Inc.*
|
44,816
|
425,752
|
||||||
Kona Grill, Inc.*
|
25,393
|
312,334
|
||||||
Lithia Motors, Inc.
|
1,169
|
107,431
|
||||||
Lumber Liquidators Holdings, Inc.*
|
5,091
|
89,856
|
||||||
MarineMax, Inc.*
|
15,430
|
290,084
|
||||||
Ollie's Bargain Outlet Holdings, Inc.*
|
13,410
|
402,970
|
||||||
Papa John's International, Inc.
|
1,043
|
92,159
|
||||||
PC Connection, Inc.
|
20,650
|
554,246
|
||||||
PCM, Inc.*
|
35,280
|
710,892
|
||||||
Red Robin Gourmet Burgers, Inc.*
|
1,719
|
88,443
|
||||||
Regis Corp.*
|
2,708
|
36,558
|
||||||
Stage Stores, Inc.
|
43,650
|
189,877
|
||||||
Texas Roadhouse, Inc.
|
2,804
|
131,480
|
||||||
Vera Bradley, Inc.*
|
2,391
|
34,478
|
||||||
Wingstop, Inc.
|
12,014
|
368,710
|
||||||
Zumiez, Inc.*
|
17,080
|
423,584
|
||||||
12,145,754
|
Savings & Loans — 1.0%
|
||||||||
Astoria Financial Corp.
|
5,686
|
92,966
|
||||||
BofI Holding, Inc.*
|
3,461
|
81,783
|
||||||
Brookline Bancorp, Inc.
|
9,875
|
147,138
|
||||||
Dime Community Bancshares, Inc.
|
8,292
|
155,060
|
||||||
FS Bancorp, Inc.
|
7,460
|
255,132
|
||||||
Meta Financial Group, Inc.
|
7,080
|
643,926
|
||||||
Pacific Premier Bancorp, Inc.*
|
9,767
|
313,032
|
||||||
Sterling Bancorp
|
29,962
|
681,636
|
||||||
2,370,673
|
||||||||
Semiconductors — 5.4%
|
||||||||
Advanced Micro Devices, Inc.*
|
48,804
|
434,844
|
||||||
Ambarella, Inc.*
|
3,265
|
200,863
|
||||||
Amtech Systems, Inc.*
|
54,270
|
235,532
|
||||||
AXT, Inc.*
|
110,160
|
528,768
|
||||||
Cabot Microelectronics Corp.
|
1,581
|
94,196
|
||||||
Cavium, Inc.*
|
7,621
|
434,626
|
||||||
CEVA, Inc.*
|
26,307
|
836,563
|
||||||
Cirrus Logic, Inc.*
|
3,525
|
193,875
|
||||||
Cohu, Inc.
|
46,950
|
584,527
|
||||||
DSP Group, Inc.*
|
26,277
|
307,441
|
||||||
Exar Corp.*
|
4,206
|
42,018
|
||||||
GigPeak, Inc.*
|
265,620
|
714,518
|
||||||
Impinj, Inc.*
|
38,985
|
1,064,680
|
||||||
Inphi Corp.*
|
23,637
|
1,067,683
|
||||||
Kulicke & Soffa Industries, Inc.*
|
6,419
|
99,045
|
||||||
Mellanox Technologies Ltd.*
|
9,992
|
414,168
|
||||||
Microsemi Corp.*
|
4,990
|
273,202
|
||||||
MKS Instruments, Inc.
|
9,863
|
567,616
|
||||||
Monolithic Power Systems, Inc.*
|
8,100
|
664,524
|
||||||
Nanometrics, Inc.*
|
10,332
|
247,038
|
||||||
Power Integrations, Inc.
|
3,164
|
212,937
|
||||||
Rambus, Inc.*
|
3,550
|
46,683
|
||||||
Rudolph Technologies, Inc.*
|
30,680
|
601,328
|
||||||
Semtech Corp.*
|
5,218
|
146,626
|
||||||
Silicon Motion Technology Corp.
|
17,617
|
810,206
|
||||||
Tessera Technologies, Inc.
|
1,105
|
43,758
|
||||||
Ultra Clean Holdings, Inc.*
|
93,190
|
935,628
|
||||||
Ultratech, Inc.*
|
2,172
|
49,782
|
||||||
Xcerra Corp.*
|
112,850
|
715,469
|
||||||
12,568,144
|
Software — 6.3%
|
||||||||
Amber Road, Inc.*
|
70,756
|
822,892
|
||||||
American Software, Inc.
|
29,780
|
328,176
|
||||||
Aspen Technology, Inc.*
|
9,812
|
518,368
|
||||||
Blackbaud, Inc.
|
2,160
|
135,605
|
||||||
Bottomline Technologies de, Inc.*
|
4,003
|
100,315
|
||||||
Box, Inc.*
|
28,006
|
426,251
|
||||||
BroadSoft, Inc.*
|
9,637
|
399,936
|
||||||
CommVault Systems, Inc.*
|
11,505
|
621,270
|
||||||
Computer Programs & Systems, Inc.
|
14,644
|
352,188
|
||||||
Coupa Software, Inc.*
|
14,746
|
468,038
|
||||||
CSG Systems International, Inc.
|
20,660
|
919,370
|
||||||
Ebix, Inc.
|
2,006
|
119,558
|
||||||
Everbridge, Inc.*
|
18,574
|
295,512
|
||||||
Evolent Health, Inc.*
|
23,522
|
442,214
|
||||||
Five9, Inc.*
|
55,910
|
885,055
|
||||||
HubSpot, Inc.*
|
8,350
|
468,435
|
||||||
InnerWorkings, Inc.*
|
64,300
|
594,775
|
||||||
Interactive Intelligence Group, Inc.*
|
1,446
|
87,411
|
||||||
j2 Global, Inc.
|
1,848
|
135,847
|
||||||
LivePerson, Inc.*
|
9,192
|
73,536
|
||||||
Manhattan Associates, Inc.*
|
3,806
|
199,434
|
||||||
ManTech International Corp.
|
2,301
|
98,966
|
||||||
Medidata Solutions, Inc.*
|
10,490
|
579,363
|
||||||
MicroStrategy, Inc.*
|
3,956
|
767,583
|
||||||
Omnicell, Inc.*
|
12,723
|
456,119
|
||||||
PDF Solutions, Inc.*
|
12,603
|
296,801
|
||||||
Progress Software Corp.*
|
5,306
|
156,898
|
||||||
PROS Holdings, Inc.*
|
16,676
|
398,390
|
||||||
QAD, Inc.
|
21,362
|
619,498
|
||||||
Quality Systems, Inc.
|
3,902
|
51,194
|
||||||
SharpSpring, Inc.*
|
41,925
|
223,041
|
||||||
Simulations Plus, Inc.
|
55,587
|
525,297
|
||||||
SPS Commerce, Inc.*
|
818
|
56,663
|
||||||
Synchronoss Technologies, Inc.*
|
2,561
|
124,157
|
||||||
SYNNEX Corp.
|
1,652
|
193,135
|
||||||
Tabula Rasa HealthCare, Inc.*
|
4,402
|
61,100
|
||||||
Take-Two Interactive Software, Inc.*
|
15,145
|
745,588
|
||||||
Talend S.A.*
|
18,364
|
424,025
|
||||||
Twilio, Inc.*
|
11,703
|
396,966
|
||||||
Xactly Corp.*
|
7,349
|
103,621
|
||||||
14,672,591
|
||||||||
Telecommunications — 3.3%
|
||||||||
Acacia Communications, Inc.*
|
8,847
|
612,743
|
||||||
ADTRAN, Inc.
|
5,633
|
114,632
|
||||||
ATN International, Inc.
|
7,611
|
550,351
|
||||||
CalAmp Corp.*
|
4,959
|
72,104
|
||||||
Calix, Inc.*
|
38,465
|
290,411
|
||||||
Cincinnati Bell, Inc.*
|
2,647
|
54,528
|
||||||
Comtech Telecommunications Corp.
|
7,722
|
88,803
|
||||||
Gigamon, Inc.*
|
21,513
|
1,147,719
|
||||||
GTT Communications, Inc.*
|
28,955
|
735,457
|
||||||
Inteliquent, Inc.
|
1,671
|
37,831
|
||||||
Iridium Communications, Inc.*
|
9,628
|
84,726
|
||||||
LogMeIn, Inc.
|
1,382
|
139,375
|
||||||
NETGEAR, Inc.*
|
2,616
|
140,479
|
||||||
NeuStar, Inc.*
|
30,363
|
736,303
|
||||||
Oclaro, Inc.*
|
88,613
|
792,200
|
||||||
ORBCOMM, Inc.*
|
75,383
|
633,971
|
||||||
Quantenna Communications, Inc.*
|
27,510
|
522,415
|
||||||
RigNet, Inc.*
|
18,518
|
319,436
|
||||||
Telephone & Data Systems, Inc.
|
18,783
|
505,826
|
||||||
ViaSat, Inc.*
|
1,689
|
120,392
|
||||||
Viavi Solutions, Inc.*
|
23,640
|
185,574
|
||||||
7,885,276
|
Textiles — 0.7%
|
||||||||
G&K Services, Inc.
|
693
|
66,473
|
||||||
UniFirst Corp.
|
12,046
|
1,702,702
|
||||||
1,769,175
|
||||||||
Transportation — 2.0%
|
||||||||
Aegean Marine Petroleum Network, Inc.
|
2,340
|
26,325
|
||||||
Air Transport Services Group, Inc.*
|
109,239
|
1,769,672
|
||||||
ArcBest Corp.
|
4,606
|
140,253
|
||||||
Covenant Transportation Group, Inc.*
|
27,652
|
573,226
|
||||||
Echo Global Logistics, Inc.*
|
2,613
|
65,586
|
||||||
Forward Air Corp.
|
17,002
|
822,557
|
||||||
Heartland Express, Inc.
|
8,734
|
187,868
|
||||||
Hub Group, Inc.*
|
1,570
|
67,274
|
||||||
Knight Transportation, Inc.
|
3,275
|
114,625
|
||||||
Marten Transport Ltd.
|
2,931
|
71,370
|
||||||
Matson, Inc.
|
2,056
|
77,326
|
||||||
PAM Transportation Services, Inc.*
|
17,130
|
424,653
|
||||||
Saia, Inc.*
|
4,008
|
167,334
|
||||||
USA Truck, Inc.*
|
16,099
|
145,052
|
||||||
4,653,121
|
||||||||
Trucking & Leasing — 0.1%
|
||||||||
Greenbrier Cos, Inc., (The)
|
3,222
|
125,014
|
||||||
Water — 0.0%
|
||||||||
American States Water Co.
|
1,758
|
74,539
|
||||||
California Water Service Group
|
1,969
|
68,029
|
||||||
142,568
|
||||||||
TOTAL COMMON STOCKS
|
||||||||
(Cost $181,760,736)
|
225,868,426
|
|||||||
MONEY MARKET FUNDS - 4.0%
|
||||||||
STIT-Treasury Portfolio, 0.26%
|
9,358,927
|
9,358,927
|
||||||
TOTAL MONEY MARKET FUNDS
|
||||||||
(Cost $9,358,927)
|
9,358,927
|
|||||||
TOTAL INVESTMENTS - 99.9%
|
||||||||
(Cost $191,119,663)**
|
235,227,353
|
|||||||
OTHER ASSETS IN EXCESS OF LIABILITIES - 0.1%
|
130,507
|
|||||||
NET ASSETS - 100.0%
|
$
|
235,357,860
|
ADR
|
American Depositary Receipt
|
||||||
PLC
|
Public Limited Company
|
||||||
REIT
|
Real Estate Investment Trust
|
||||||
|
|||||||
* |
Non-income producing security.
|
||||||
**
|
|
The cost basis of investments for federal income tax purposes at November 30, 2016 was as follows*:
|
|||||
Cost of Investment
|
$
|
191,119,663
|
|||||
Gross unrealized appreciation
|
$
|
50,754,871
|
|||||
Gross unrealized depreciation
|
(6,647,181
|
)
|
|||||
Net unrealized appreciation (depreciation)
|
$
|
44,107,690
|
*Because tax adjustments are calculated annually at the end of the Fund's fiscal year, the above table does not reflect tax adjustments for the current
|
|||||||||
fiscal year. For the previous fiscal year's federal income tax information, please refer to the Notes of Financial Statements section in the Fund's
|
|||||||||
most recent annual report.
|
|||||||||
|
|
|
|
|
|
|
|
|
|
Notes to Portfolio of Investments
|
||||||||
November 30, 2016
|
||||||||
(Unaudited)
|
||||||||
|
|
|
|
|
|
|
|
|
A. Portfolio Valuation:
|
|
|
|
|
|
|
|
Portfolio Valuation – The Altair Smaller Companies Fund (the “Fund”) net asset value (“NAV”) is calculated once daily at the close of regular trading hours on the New York Stock Exchange (“NYSE”) (typically 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 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. 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. 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 fair value of the Fund’s investments are summarized into three levels as described in the hierarchy below:
|
||||||||
|
|
|
|
|
|
|
||
• Level 1 — quoted prices in active markets for identical securities;
|
|
|
||||||
|
|
|
|
|
|
|
|
|
• Level 2 — other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.); and
|
||||||||
|
|
|
|
|
|
|
|
|
• Level 3 — significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments).
|
||||||||
|
|
|
|
|
|
|
|
|
The inputs or methodology 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 November 30, 2016, in valuing the Fund’s investments carried at fair value:
|
|
|
|
Total Value at
11/30/2016
|
Level 1
Quoted Price
|
Level 2
Significant
Observable Inputs
|
Level 3
Significant
Unobservable Inputs
|
||||||||||||
Common Stock
|
$
|
225,868,426
|
$
|
225,727,121
|
$
|
141,305
|
$
|
-
|
||||||||
Short-Term Investments
|
$
|
9,358,927
|
$
|
9,358,927
|
$
|
-
|
$
|
-
|
||||||||
Total Investments*
|
$
|
235,227,353
|
$
|
235,086,048
|
$
|
141,305
|
$
|
-
|
||||||||
|
||||||||||||||||
* Please refer to Portfolio of Investments for further details.
|
BOGLE INVESTMENT MANAGEMENT
|
SMALL CAP GROWTH FUND
|
PORTFOLIO OF INVESTMENTS
|
NOVEMBER 30, 2016 (UNAUDITED)
|
Number
|
||||||||
Of Shares
|
Value
|
|||||||
Common Stocks—85.3%
|
||||||||
Commercial Services—2.2%
|
||||||||
Cardtronics PLC, Class A*
|
8,282
|
$
|
409,711
|
|||||
Civeo Corp.*
|
83,520
|
158,688
|
||||||
DigitalGlobe, Inc.*
|
32,619
|
1,048,701
|
||||||
Ennis, Inc.
|
4,286
|
69,219
|
||||||
Quad/Graphics, Inc.
|
3,151
|
88,638
|
||||||
Realogy Holdings Corp.
|
44,844
|
1,082,983
|
||||||
RPX Corp.*
|
1,607
|
16,793
|
||||||
2,874,733
|
||||||||
Communications—0.9%
|
||||||||
ShoreTel, Inc.*
|
170,148
|
1,191,036
|
||||||
Consumer Durables—3.0%
|
||||||||
Callaway Golf Co.
|
90,629
|
1,101,142
|
||||||
iRobot Corp.*
|
14,345
|
817,665
|
||||||
Scientific Games Corp., Class A*
|
137,769
|
2,032,093
|
||||||
3,950,900
|
||||||||
Consumer Non-Durables—2.3%
|
||||||||
Caleres, Inc.
|
9,439
|
309,033
|
||||||
Central Garden & Pet Co.*
|
9,943
|
287,154
|
||||||
Central Garden & Pet Co., Class A*
|
13,978
|
382,578
|
||||||
Crocs, Inc.*
|
140,708
|
984,956
|
||||||
Kate Spade & Co.*
|
69,900
|
1,038,015
|
||||||
Leucadia National Corp.
|
2,400
|
52,848
|
||||||
3,054,584
|
||||||||
Consumer Services—6.7%
|
||||||||
Ascent Capital Group, Inc., Class A*
|
4,108
|
74,232
|
||||||
Capella Education Co.
|
5,507
|
480,486
|
||||||
Career Education Corp.*
|
4,702
|
46,973
|
||||||
Graham Holdings Co.
|
2,266
|
1,109,773
|
||||||
Grand Canyon Education, Inc.*
|
18,895
|
1,078,904
|
||||||
Houghton Mifflin Harcourt Co.*
|
54,662
|
604,015
|
||||||
International Game Technology PLC
|
35,093
|
904,698
|
||||||
K12, Inc.*
|
52,598
|
772,139
|
||||||
La Quinta Holdings, Inc.*
|
96,159
|
1,167,370
|
||||||
Liberty Global PLC LiLAC, Class A*
|
15,597
|
336,583
|
||||||
Liberty TripAdvisor Holdings, Inc., Class A*
|
49,711
|
797,862
|
||||||
MoneyGram International, Inc.*
|
32,423
|
354,059
|
||||||
Pinnacle Entertainment, Inc.*
|
3,900
|
53,157
|
||||||
Service Corp. International
|
35,373
|
954,717
|
||||||
8,734,968
|
||||||||
Distribution Services—2.2%
|
||||||||
MRC Global, Inc.*
|
85,311
|
1,717,310
|
||||||
US Foods Holding Corp.*
|
22,911
|
523,746
|
||||||
WESCO International, Inc.*
|
10,646
|
722,863
|
||||||
2,963,919
|
||||||||
Electronic Technology—10.1%
|
||||||||
Advanced Energy Industries, Inc.*
|
318
|
17,557
|
||||||
Alpha & Omega Semiconductor Ltd.*
|
4,139
|
90,023
|
||||||
Amkor Technology, Inc.*
|
124,524
|
1,471,874
|
||||||
Cirrus Logic, Inc.*
|
20,069
|
1,103,795
|
||||||
CyberOptics Corp.*
|
1,260
|
36,414
|
||||||
Engility Holdings, Inc.*
|
30,353
|
1,100,296
|
||||||
Entegris, Inc.*
|
62,086
|
1,114,444
|
||||||
Finisar Corp.*
|
50,515
|
1,678,613
|
||||||
Kratos Defense & Security Solutions, Inc.*
|
166,370
|
1,217,828
|
||||||
Kulicke & Soffa Industries, Inc.*
|
13,075
|
201,747
|
||||||
Lumentum Holdings, Inc.*
|
29,000
|
1,162,900
|
||||||
Nanometrics, Inc.*
|
7,826
|
187,120
|
||||||
Oclaro, Inc.*
|
121,288
|
1,084,315
|
||||||
Orbotech Ltd.*
|
42,979
|
1,361,145
|
||||||
Rudolph Technologies, Inc.*
|
6,327
|
124,009
|
||||||
Teradyne, Inc.
|
7,000
|
170,660
|
||||||
Ultratech, Inc.*
|
46,648
|
1,069,172
|
||||||
13,191,912
|
||||||||
Energy Minerals—3.0%
|
||||||||
Cloud Peak Energy, Inc.*
|
104,630
|
600,576
|
||||||
CONSOL Energy, Inc.
|
60,762
|
1,250,482
|
||||||
Resolute Energy Corp.*
|
45,318
|
1,519,966
|
||||||
SunCoke Energy, Inc.*
|
45,060
|
514,585
|
||||||
3,885,609
|
||||||||
Finance—26.3%
|
||||||||
Banco Latinoamericano de Comercio Exterior SA, Class E
|
15,033
|
428,140
|
||||||
Cardinal Financial Corp.
|
39,289
|
1,256,855
|
||||||
CenterState Banks, Inc.
|
52,489
|
1,176,803
|
||||||
Central Pacific Financial Corp.
|
41,766
|
1,234,185
|
||||||
E*TRADE Financial Corp.*
|
18,955
|
654,137
|
||||||
East West Bancorp, Inc.
|
27,552
|
1,319,190
|
||||||
Enterprise Financial Services Corp.
|
27,495
|
1,055,808
|
||||||
ePlus, Inc.*
|
7,374
|
819,989
|
||||||
EZCORP, Inc., Class A*
|
181,957
|
2,119,799
|
||||||
First BanCorp Puerto Rico*
|
268,289
|
1,588,271
|
||||||
First Citizens BancShares, Inc., Class A
|
2,443
|
870,612
|
||||||
First Midwest Bancorp, Inc.
|
50,585
|
1,228,204
|
||||||
First NBC Bank Holding Co.*
|
3,400
|
23,970
|
||||||
Flagstar Bancorp, Inc.*
|
4,614
|
130,023
|
||||||
Genworth Financial, Inc., Class A*
|
180,105
|
770,850
|
||||||
Green Dot Corp., Class A*
|
45,873
|
1,105,998
|
||||||
Heartland Financial USA, Inc.
|
27,287
|
1,169,248
|
||||||
Hilltop Holdings, Inc.
|
40,110
|
1,126,690
|
||||||
HomeStreet, Inc.*
|
37,062
|
1,076,651
|
||||||
Independent Bank Group, Inc.
|
18,934
|
1,137,933
|
||||||
International Bancshares Corp.
|
8,374
|
325,958
|
||||||
INTL. FCStone, Inc.*
|
4,982
|
204,810
|
||||||
LegacyTexas Financial Group, Inc.
|
6,669
|
261,825
|
||||||
McGrath RentCorp
|
25,090
|
926,323
|
||||||
National Bank Holdings Corp., Class A
|
45,663
|
1,242,034
|
||||||
Nelnet, Inc.
|
10,565
|
533,004
|
||||||
OFG Bancorp
|
114,361
|
1,543,874
|
||||||
Piper Jaffray Companies*
|
450
|
32,827
|
||||||
Popular, Inc.
|
33,508
|
1,362,100
|
||||||
South State Corp.
|
10,999
|
934,365
|
||||||
Stifel Financial Corp.*
|
19,612
|
977,658
|
||||||
Synovus Financial Corp.
|
27,032
|
1,046,409
|
||||||
Union Bankshares Corp.
|
41,283
|
1,395,365
|
||||||
United Community Banks, Inc.
|
45,961
|
1,249,220
|
||||||
Virtu Financial, Inc., Class A
|
52,299
|
724,341
|
||||||
WSFS Financial Corp.
|
30,419
|
1,297,370
|
||||||
Xinyuan Real Estate Co., Ltd., ADR
|
20,876
|
115,444
|
||||||
34,466,283
|
Health Services—1.1%
|
||||||||
Alliance HealthCare Services, Inc.*
|
9,603
|
72,983
|
||||||
HMS Holdings Corp.*
|
13,608
|
249,299
|
||||||
Quorum Health Corp.*
|
75,582
|
432,329
|
||||||
WellCare Health Plans, Inc.*
|
5,100
|
698,802
|
||||||
1,453,413
|
||||||||
Health Technology—6.9%
|
||||||||
Accuray, Inc.*
|
6,289
|
31,759
|
||||||
Achillion Pharmaceuticals, Inc.*
|
14,891
|
61,649
|
||||||
AngioDynamics, Inc.*
|
6,519
|
106,260
|
||||||
Array BioPharma, Inc.*
|
168,401
|
1,363,206
|
||||||
Cardiovascular Systems, Inc.*
|
2,555
|
61,805
|
||||||
Chimerix, Inc.*
|
29,364
|
143,590
|
||||||
Exelixis, Inc.*
|
75,286
|
1,273,839
|
||||||
Five Prime Therapeutics, Inc.*
|
14,333
|
824,434
|
||||||
Genomic Health, Inc.*
|
32,566
|
990,983
|
||||||
Glaukos Corp.*
|
3,109
|
97,032
|
||||||
Infinity Pharmaceuticals, Inc.*
|
332
|
385
|
||||||
Intra-Cellular Therapies, Inc.*
|
11,471
|
159,906
|
||||||
Lantheus Holdings, Inc.*
|
13,642
|
124,142
|
||||||
Minerva Neurosciences, Inc.*
|
396
|
5,108
|
||||||
Myriad Genetics, Inc.*
|
67,623
|
1,128,628
|
||||||
Nuvectra Corp.*
|
2,024
|
11,618
|
||||||
Ophthotech Corp.*
|
22,796
|
698,697
|
||||||
OraSure Technologies, Inc.*
|
82,365
|
694,337
|
||||||
Orthofix International N.V.*
|
3,886
|
146,386
|
||||||
Retrophin, Inc.*
|
16,664
|
341,112
|
||||||
Spectrum Pharmaceuticals, Inc.*
|
15,626
|
61,098
|
||||||
Supernus Pharmaceuticals, Inc.*
|
20,087
|
432,875
|
||||||
Syneron Medical Ltd.*
|
7,715
|
63,263
|
||||||
Vanda Pharmaceuticals, Inc.*
|
3,800
|
62,510
|
||||||
Xencor, Inc.*
|
3,892
|
99,480
|
||||||
8,984,102
|
||||||||
Industrial Services—0.7%
|
||||||||
Advanced Disposal Services, Inc.*
|
23,161
|
464,610
|
||||||
Casella Waste Systems, Inc., Class A*
|
3,285
|
41,588
|
||||||
TETRA Technologies, Inc.*
|
79,441
|
431,365
|
||||||
937,563
|
||||||||
Non-Energy Minerals—2.1%
|
||||||||
Coeur Mining, Inc.*
|
111,260
|
1,073,659
|
||||||
Gerdau SA, SP ADR
|
122,811
|
496,156
|
||||||
Mechel PJSC, SP ADR*
|
17,661
|
105,260
|
||||||
Ternium SA, SP ADR
|
45,973
|
1,125,879
|
||||||
2,800,954
|
||||||||
Process Industries—4.2%
|
||||||||
AdvanSix, Inc.*
|
16,589
|
310,214
|
||||||
Chemours Co., (The)
|
59,479
|
1,470,321
|
||||||
Koppers Holdings, Inc.*
|
31,018
|
1,189,540
|
||||||
Trinseo SA
|
24,986
|
1,462,930
|
||||||
Tronox Ltd., Class A
|
92,310
|
1,046,795
|
||||||
5,479,800
|
||||||||
Producer Manufacturing—5.6%
|
||||||||
Allison Transmission Holdings, Inc.
|
16,374
|
543,126
|
||||||
Astec Industries, Inc.
|
18,465
|
1,224,230
|
||||||
Chart Industries, Inc.*
|
36,796
|
1,308,098
|
Commercial Metals Co.
|
43,319
|
953,451
|
||||||
Continental Building Products, Inc.*
|
52,755
|
1,181,712
|
||||||
Encore Wire Corp.
|
26,804
|
1,139,170
|
||||||
Energy Recovery, Inc.*
|
3,044
|
33,149
|
||||||
Global Brass & Copper Holdings, Inc.
|
27,821
|
797,072
|
||||||
Harsco Corp.
|
4,563
|
63,882
|
||||||
Spartan Motors, Inc.
|
2,793
|
24,997
|
||||||
Supreme Industries, Inc., Class A
|
8,341
|
118,275
|
||||||
7,387,162
|
Retail Trade—1.0%
|
||||||||
Finish Line, Inc., (The), Class A
|
50,369
|
1,130,280
|
||||||
PCM, Inc.*
|
8,702
|
175,345
|
||||||
1,305,625
|
||||||||
Technology Services—5.6%
|
||||||||
A10 Networks, Inc.*
|
96
|
787
|
||||||
Barracuda Networks, Inc.*
|
5,050
|
111,302
|
||||||
Box, Inc., Class A*
|
74,753
|
1,137,741
|
||||||
Brightcove, Inc.*
|
12,458
|
103,401
|
||||||
Carbonite, Inc.*
|
13,453
|
248,881
|
||||||
CDW Corp/DE
|
6,215
|
318,457
|
||||||
ChannelAdvisor Corp.*
|
18,322
|
263,837
|
||||||
EVERTEC, Inc.
|
68,129
|
1,243,354
|
||||||
FireEye, Inc.*
|
89,228
|
1,145,687
|
||||||
Gigamon, Inc.*
|
10,819
|
577,194
|
||||||
Imperva, Inc.*
|
20,699
|
789,667
|
||||||
Intralinks Holdings, Inc.*
|
6,534
|
73,311
|
||||||
MeetMe, Inc.*
|
105,694
|
509,445
|
||||||
Mimecast Ltd.*
|
500
|
10,230
|
||||||
Rubicon Project, Inc., (The)*
|
61,168
|
461,818
|
||||||
Xactly Corp.*
|
22,444
|
316,460
|
||||||
7,311,572
|
||||||||
Transportation—1.0%
|
||||||||
Latam Airlines Group SA, SP ADR*
|
8,569
|
74,379
|
||||||
YRC Worldwide, Inc.*
|
97,071
|
1,230,860
|
||||||
1,305,239
|
||||||||
Utilities—0.4%
|
||||||||
Pampa Energia SA, SP ADR*
|
15,334
|
535,617
|
||||||
TOTAL COMMON STOCKS
|
||||||||
(Cost $98,398,987)
|
111,814,991
|
|||||||
Short-Term Investments—1.9%
|
||||||||
Fidelity Investments Money Market Funds - Government Portfolio, 0.27%
|
2,485,743
|
|||||||
TOTAL SHORT-TERM INVESTMENTS
|
||||||||
(Cost $2,485,743)
|
2,485,743
|
|||||||
Total Investments—87.2%
|
||||||||
(Cost $100,884,730)**
|
114,300,734
|
|||||||
OTHER ASSETS IN EXCESS OF LIABILITIES—12.8%
|
16,756,137
|
|||||||
NET ASSETS—100.0%
|
$
|
131,056,871
|
||||||
* Non-income producing security.
|
||||
** The cost basis of investments for federal income tax purposes at November 30, 2016 was as follows*:
|
||||
Cost of investments
|
$
|
100,884,730
|
||
Gross unrealized appreciation
|
$
|
16,656,999
|
||
Gross unrealized depreciation
|
(3,240,995
|
)
|
||
Net unrealized appreciation (depreciation)
|
$
|
13,416,004
|
||
*Because tax adjustments are calculated annually at the end of the Fund's fiscal year, the above table does not reflect tax adjustments for the current fiscal year. For the previous fiscal year's federal income tax information, please refer to the Notes to Financial Statements section in the Fund's most recent annual report.
|
ADR - American Depositary Receipt.
|
||||||||||
PLC - Public Limited Company.
|
||||||||||
SP ADR - Sponsored American Depositary Receipt.
|
BOGLE INVESTMENT MANAGEMENT
|
SMALL CAP GROWTH FUND
|
NOTES TO PORFOLIO OF INVESTMENTS
|
NOVEMBER 30, 2016 (UNAUDITED)
|
PORTFOLIO VALUATION — The Bogle Investment Management Small Cap Growth Fund’s (the “Fund”) 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 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 having a remaining maturity of greater than 60 days are valued using an independent pricing service. Fixed income securities having a remaining maturity of 60 days or less are valued at amortized cost, which approximates market value. 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). If market quotations are unavailable or deemed unreliable, securities will be valued in accordance with procedures adopted by RBB’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 fair value of the Fund’s investments are summarized into three levels as described in the hierarchy below:
|
||||||||||
• Level 1 —
|
quoted prices in active markets for identical securities;
|
|||||||||
• Level 2 —
|
other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.); and
|
|||||||||
• Level 3 —
|
significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments).
|
|||||||||
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
|
The following is a summary of inputs used, as of November 30, 2016, in valuing the Fund’s investments carried at fair value:
|
||||||||||||||||
|
|
|
|
|||||||||||||
Total
Value at |
Level 1
Quoted |
Level 2
Significant |
Level 3
Significant |
|||||||||||||
Total Investments*
|
$
|
114,300,734
|
$
|
114,300,734
|
$
|
-
|
$
|
-
|
||||||||
* See Portfolio of Investments for detail on portfolio holdings.
|
||||||||||
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 and Level 2 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”) require 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. U.S. GAAP also requires the Fund to disclose amounts and reasons for all transfers in and out of Level 1 and Level 2 fair value measurements. 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 transfers in and out of each level within the three-tier hierarchy are disclosed when 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.
|
For the period ended November 30, 2016, there were no transfers between Levels 1, 2 and 3 for the Fund that require disclosure.
|
||||||||||
For more information with regard to accounting policies, see the most recent semi-annual or annual report filed with the Securities and Exchange Commission.
|
BOSTON PARTNERS INVESTMENT FUNDS
|
NOVEMBER 30, 2016 (unaudited)
|
|||||||
BOSTON PARTNERS SMALL CAP VALUE FUND II
|
Portfolio of Investments
|
|||||||
Number of
|
||||||||
Shares
|
Value
|
|||||||
COMMON STOCKS—96.9%
|
||||||||
Basic Industries—4.1%
|
||||||||
AgroFresh Solutions, Inc.*
|
210,630
|
$
|
589,764
|
|||||
Ferro Corp.*
|
81,791
|
1,210,507
|
||||||
Graphic Packaging Holding Co.
|
373,418
|
4,693,864
|
||||||
Innophos Holdings, Inc.
|
67,809
|
3,696,947
|
||||||
Multi Packaging Solutions International Ltd.*
|
154,609
|
2,158,342
|
||||||
Orchids Paper Products Co.
|
91,193
|
2,271,618
|
||||||
PolyOne Corp.
|
28,953
|
954,580
|
||||||
Schweitzer-Mauduit International, Inc.
|
75,358
|
3,168,050
|
||||||
18,743,672
|
||||||||
Capital Goods—13.3%
|
||||||||
Aegion Corp.*
|
107,643
|
2,603,884
|
||||||
Ampco-Pittsburgh Corp.
|
31,654
|
492,220
|
||||||
BMC Stock Holdings, Inc.*
|
181,985
|
3,430,417
|
||||||
Cabot Corp.
|
25,031
|
1,274,829
|
||||||
CECO Environmental Corp.
|
153,460
|
2,177,597
|
||||||
Continental Building Products, Inc.*
|
68,129
|
1,526,090
|
||||||
Cubic Corp.
|
44,586
|
2,064,332
|
||||||
Curtiss-Wright Corp.
|
23,912
|
2,403,634
|
||||||
Drew Industries, Inc.
|
84,626
|
8,894,193
|
||||||
Ferroglobe PLC
|
280,259
|
3,197,755
|
||||||
Ferroglobe Representation & Warranty Insurance* ‡
|
276,005
|
0
|
||||||
Granite Construction, Inc.
|
61,045
|
3,601,044
|
||||||
Hillenbrand, Inc.
|
40,005
|
1,400,175
|
||||||
Minerals Technologies, Inc.
|
55,847
|
4,523,607
|
||||||
Olin Corp.
|
109,637
|
2,850,562
|
||||||
Orion Group Holdings, Inc.*
|
233,872
|
2,331,704
|
||||||
Tutor Perini Corp.*
|
46,201
|
1,205,846
|
||||||
WESCO International, Inc.*
|
129,237
|
8,775,192
|
||||||
World Fuel Services Corp.
|
182,517
|
8,114,706
|
||||||
60,867,787
|
||||||||
Consumer Durables—1.8%
|
||||||||
Strattec Security Corp.
|
16,282
|
633,370
|
||||||
Tempur Sealy International, Inc.*
|
25,047
|
1,585,475
|
||||||
Tower International, Inc.
|
117,372
|
3,075,146
|
||||||
Winnebago Industries, Inc.
|
100,517
|
3,261,777
|
||||||
8,555,768
|
||||||||
Consumer Non-Durables—3.1%
|
||||||||
Nu Skin Enterprises, Inc. Class A
|
55,848
|
2,914,149
|
||||||
Skechers U.S.A., Inc.*
|
182,716
|
4,162,271
|
||||||
Steven Madden Ltd.*
|
122,924
|
4,554,334
|
||||||
Universal Corp.
|
51,124
|
2,814,376
|
||||||
14,445,130
|
Consumer Services—17.9%
|
||||||||
ABM Industries, Inc.
|
103,761
|
4,565,484
|
||||||
American Eagle Outfitters, Inc.
|
289,677
|
4,797,051
|
||||||
Barnes & Noble Education, Inc.*
|
124,543
|
1,416,054
|
||||||
Booz Allen Hamilton Holding Corp.
|
93,446
|
3,533,193
|
||||||
CBIZ, Inc.*
|
107,473
|
1,332,665
|
||||||
Civeo Corp.*
|
383,821
|
729,260
|
||||||
Clubcorp Holdings, Inc.
|
295,747
|
3,844,711
|
||||||
Ennis, Inc.
|
42,849
|
692,011
|
||||||
Finish Line Inc., (The), Class A
|
221,929
|
4,980,087
|
||||||
FTD Cos., Inc.*
|
84,204
|
1,924,903
|
||||||
FTI Consulting, Inc.*
|
67,299
|
2,873,667
|
||||||
G&K Services, Inc. Class A
|
36,181
|
3,470,482
|
||||||
Group 1 Automotive, Inc.
|
20,376
|
1,479,094
|
||||||
Heidrick & Struggles International, Inc.
|
77,926
|
1,652,031
|
||||||
ICF International, Inc.*
|
55,836
|
3,090,523
|
||||||
Jones Lang LaSalle, Inc.
|
13,736
|
1,391,182
|
||||||
KAR Auction Services, Inc.
|
69,530
|
2,931,385
|
||||||
Korn/Ferry International
|
36,954
|
937,893
|
||||||
Lithia Motors, Inc.
|
45,719
|
4,201,576
|
||||||
Live Nation Entertainment, Inc.*
|
46,823
|
1,296,061
|
||||||
MAXIMUS, Inc.
|
47,060
|
2,601,947
|
||||||
Navigant Consulting, Inc.*
|
118,854
|
2,935,694
|
||||||
Office Depot, Inc.
|
823,486
|
4,010,377
|
||||||
On Assignment, Inc.*
|
37,068
|
1,530,538
|
||||||
Papa Murphy's Holdings, Inc.*
|
240,849
|
1,141,624
|
||||||
PRA Group, Inc.*
|
46,845
|
1,684,078
|
||||||
RPX Corp.*
|
209,248
|
2,186,642
|
||||||
Scholastic Corp.
|
51,896
|
2,288,095
|
||||||
Tailored Brands, Inc.
|
223,569
|
4,194,154
|
||||||
Tetra Tech, Inc.
|
102,497
|
4,391,996
|
||||||
TravelCenters of America LLC*
|
156,972
|
1,036,015
|
||||||
Viad Corp.
|
29,364
|
1,289,080
|
||||||
XO Group, Inc.*
|
85,601
|
1,581,906
|
||||||
82,011,459
|
||||||||
Energy—3.7%
|
||||||||
Bristow Group, Inc.
|
153,362
|
2,393,981
|
||||||
Dril-Quip, Inc.*
|
39,113
|
2,211,840
|
||||||
Extraction Oil & Gas, Inc.*
|
24,325
|
572,367
|
||||||
Gulfport Energy Corp.*
|
77,740
|
1,997,141
|
||||||
Parsley Energy, Inc., Class A*
|
36,466
|
1,391,178
|
||||||
RSP Permian, Inc.*
|
148,109
|
6,613,067
|
||||||
Western Refining, Inc.
|
47,650
|
1,709,205
|
||||||
16,888,779
|
||||||||
Finance—27.7%
|
||||||||
Air Lease Corp.
|
232,784
|
8,347,634
|
||||||
AMERISAFE, Inc.
|
37,055
|
2,354,845
|
||||||
Assured Guaranty Ltd.
|
149,332
|
5,340,112
|
||||||
Banc of California, Inc.
|
188,227
|
2,842,228
|
||||||
CenterState Banks, Inc.
|
109,679
|
2,459,003
|
||||||
Columbia Banking System, Inc.
|
22,095
|
879,823
|
||||||
Essent Group Ltd.*
|
243,036
|
7,417,459
|
||||||
FCB Financial Holdings, Inc., Class A*
|
67,587
|
2,990,725
|
||||||
Federal Agricultural Mortgage Corp. Class C
|
45,513
|
2,458,157
|
||||||
First American Financial Corp.
|
175,538
|
6,624,804
|
||||||
First Citizens BancShares Inc., Class A
|
6,612
|
2,356,318
|
||||||
FirstCash, Inc.
|
63,062
|
2,894,546
|
||||||
Flushing Financial Corp.
|
53,801
|
1,408,510
|
||||||
Gladstone Capital Corp.
|
30,793
|
254,658
|
||||||
Global Indemnity PLC*
|
28,301
|
1,057,325
|
||||||
Greenhill & Co, Inc.
|
58,316
|
1,615,353
|
||||||
Hanmi Financial Corp.
|
82,628
|
2,536,680
|
||||||
Heritage Financial Corp.
|
69,208
|
1,567,561
|
||||||
Hope Bancorp, Inc.
|
110,731
|
2,203,547
|
||||||
Infinity Property & Casualty Corp.
|
22,422
|
1,933,898
|
||||||
James River Group Holdings Ltd.
|
83,343
|
3,248,710
|
||||||
Maiden Holdings Ltd.
|
322,040
|
4,959,416
|
||||||
Nationstar Mortgage Holdings, Inc.*
|
155,837
|
2,646,112
|
||||||
Navient Corp.
|
255,869
|
4,408,623
|
||||||
Navigators Group Inc. (The)
|
17,865
|
1,882,971
|
||||||
Nelnet, Inc., Class A
|
127,171
|
6,415,777
|
||||||
OneBeacon Insurance Group Ltd., Class A
|
123,500
|
1,895,725
|
||||||
Park Sterling Corp.
|
87,774
|
854,041
|
||||||
PennyMac Financial Services, Inc. Class A*
|
146,577
|
2,550,440
|
||||||
Radian Group, Inc.
|
444,351
|
6,469,751
|
||||||
Safety Insurance Group, Inc.
|
20,250
|
1,424,588
|
||||||
Silvercrest Asset Management Group, Inc. Class A
|
159,095
|
2,131,873
|
||||||
SLM Corp.*
|
938,734
|
9,453,051
|
||||||
State Auto Financial Corp.
|
44,794
|
1,155,237
|
||||||
Stewart Information Services Corp.
|
109,637
|
5,201,179
|
||||||
Stifel Financial Corp.*
|
108,483
|
5,407,878
|
||||||
Walker & Dunlop, Inc.*
|
187,025
|
5,496,665
|
||||||
Washington Federal, Inc.
|
57,461
|
1,864,609
|
||||||
127,009,832
|
||||||||
Health Care—7.2%
|
||||||||
Amsurg Corp.*
|
42,391
|
2,887,675
|
||||||
Chemed Corp.
|
33,235
|
4,951,018
|
||||||
ICON PLC*
|
59,670
|
4,513,439
|
||||||
Integra LifeSciences Holdings Corp.*
|
36,782
|
2,971,986
|
||||||
LHC Group, Inc.*
|
34,643
|
1,457,084
|
||||||
LifePoint Health, Inc.*
|
71,298
|
3,917,825
|
||||||
Owens & Minor, Inc.
|
53,382
|
1,810,184
|
||||||
PAREXEL International Corp.*
|
79,507
|
4,690,913
|
||||||
PharMerica Corp.*
|
147,231
|
3,540,905
|
||||||
Select Medical Holdings Corp.*
|
179,227
|
2,177,608
|
||||||
32,918,637
|
||||||||
Real Estate Investment Trusts—7.8%
|
||||||||
Altisource Residential Corp.
|
51,918
|
611,594
|
||||||
American Homes 4 Rent, Class A
|
58,714
|
1,237,104
|
||||||
Anworth Mortgage Asset Corp.
|
246,806
|
1,283,391
|
||||||
Ares Commercial Real Estate Corp.
|
268,252
|
3,629,449
|
||||||
Blackstone Mortgage Trust, Inc.
|
101,130
|
3,041,990
|
||||||
Chatham Lodging Trust
|
117,649
|
2,254,155
|
Colony Capital, Inc. Class A
|
66,565
|
1,365,248
|
||||||
CYS Investments, Inc.
|
730,015
|
5,869,321
|
||||||
Gladstone Commercial Corp.
|
36,232
|
666,306
|
||||||
LaSalle Hotel Properties
|
77,295
|
2,169,671
|
||||||
MFA Financial, Inc.
|
577,752
|
4,518,021
|
||||||
MTGE Investment Corp.
|
58,831
|
982,478
|
||||||
Silver Bay Realty Trust Corp.
|
78,294
|
1,367,796
|
||||||
Starwood Property Trust, Inc.
|
95,353
|
2,142,582
|
||||||
Two Harbors Investment Corp.
|
528,112
|
4,578,731
|
||||||
35,717,837
|
||||||||
Technology—9.5%
|
||||||||
Bel Fuse, Inc., Class B
|
113,924
|
3,337,973
|
||||||
Belden, Inc.
|
80,979
|
5,984,348
|
||||||
Brooks Automation, Inc.
|
243,312
|
3,965,986
|
||||||
Coherent, Inc.*
|
30,290
|
3,952,845
|
||||||
Convergys Corp.
|
54,334
|
1,405,620
|
||||||
EnerSys
|
64,917
|
5,166,095
|
||||||
First Solar, Inc.*
|
35,953
|
1,090,095
|
||||||
Insight Enterprises, Inc.*
|
39,237
|
1,374,080
|
||||||
NETGEAR, Inc.*
|
58,007
|
3,114,976
|
||||||
PC Connection, Inc.
|
26,098
|
700,470
|
||||||
Sykes Enterprises, Inc.*
|
164,909
|
4,647,136
|
||||||
SYNNEX Corp.
|
28,674
|
3,352,277
|
||||||
TeleTech Holdings, Inc.
|
141,105
|
4,056,769
|
||||||
Teradyne, Inc.
|
55,522
|
1,353,626
|
||||||
43,502,296
|
||||||||
Transportation—0.4%
|
||||||||
Virgin America, Inc.*
|
34,935
|
1,973,828
|
||||||
Utilities—0.4%
|
||||||||
PNM Resources, Inc.
|
35,000
|
1,106,000
|
||||||
Pure Cycle Corp.*
|
170,397
|
843,465
|
||||||
1,949,465
|
||||||||
TOTAL COMMON STOCKS
|
||||||||
(Cost $339,994,077)
|
444,584,490
|
|||||||
MONEY MARKET FUNDS—4.6%
|
||||||||
Fidelity Investments Money Market Funds - Government Portfolio, 0.27%
|
||||||||
TOTAL MONEY MARKET FUNDS
|
||||||||
(Cost $21,264,849)
|
21,264,849
|
|||||||
TOTAL INVESTMENTS—101.5%
|
||||||||
(Cost $361,258,926)**
|
465,849,339
|
|||||||
LIABILITIES IN EXCESS OF OTHER ASSETS—(1.5)%
|
(6,980,130
|
)
|
||||||
NET ASSETS—100.0%
|
$
|
458,869,209
|
PLC
|
Public Limited Company
|
|||||
*
|
Non-income producing.
|
|||||
‡
|
Security has been valued at fair market value as determined in good faith by or under the direction of the RBB Fund, Inc.'s Board of Directors. As of November 30, 2016, these securities amounted to $0 or 0% of net assets.
|
|||||
** | The cost basis of investments for federal income tax purposes at November 30, 2016 was as follows: | |||||
Cost of investments
|
$
|
361,258,926
|
||||
Gross unrealized appreciation
|
$
|
120,078,875
|
||||
Gross unrealized depreciation
|
(15,488,462
|
)
|
||||
Net unrealized appreciation (depreciation)
|
$
|
104,590,413
|
||||
*Because tax adjustments are calculated annually at the end of the Fund's fiscal year, the above table does not reflect tax adjustments for the current fiscal year. For the previous fiscal year's federal income tax information, please refer to the Notes of Financial Statements section in the Fund's most recent annual report.
|
||||||
BOSTON PARTNERS INVESTMENT FUNDS
|
NOVEMBER 30, 2016 (unaudited)
|
|||||||||||
BOSTON PARTNERS SMALL CAP VALUE FUND II
|
Portfolio of Investments
|
|||||||||||
A summary of the inputs used to value the Fund's investments as of November 30, 2016 is as follows (see Notes to Portfolio of Investments):
|
||||||||||||
Total
|
Level 1
|
Level 2
|
Level 3
|
|||||||||
Value as of
|
Quoted
|
Significant
|
Significant
|
|||||||||
November 30, 2016
|
Price
|
Observable
|
Unobservable
|
|||||||||
Inputs
|
Inputs
|
|||||||||||
Common Stock *
|
$
|
444,584,490
|
$
|
444,584,490
|
$
|
—
|
$
|
—
|
||||
Money Market Funds
|
21,264,849
|
21,264,849
|
—
|
—
|
||||||||
Total Assets
|
$
|
465,849,339
|
$
|
465,849,339
|
$
|
—
|
$
|
—
|
||||
* See Portfolio of Investments detail for industry and security type breakout.
|
BOSTON PARTNERS INVESTMENT FUNDS
|
NOVEMBER 30, 2016 (unaudited)
|
|||||||
BOSTON PARTNERS LONG/SHORT EQUITY FUND
|
Portfolio of Investments
|
|||||||
Number of
|
||||||||
Shares
|
Value
|
|||||||
LONG POSITIONS—100.8%
|
||||||||
COMMON STOCKS—95.7%
|
||||||||
Basic Industries—7.1%
|
||||||||
AK Steel Holding Corp.*
|
489,257
|
$
|
4,466,916
|
|||||
Alcoa Corp.*
|
38,128
|
1,104,575
|
||||||
American Vanguard Corp.
|
185,219
|
3,370,986
|
||||||
Cameco Corp.
|
248,868
|
2,287,097
|
||||||
CF Industries Holdings, Inc.
|
85,197
|
2,465,601
|
||||||
Compass Minerals International, Inc.
|
31,420
|
2,436,621
|
||||||
Dominion Diamond Corp.
|
229,168
|
2,188,554
|
||||||
Fibria Celulose SA - Sponsored ADR
|
348,303
|
3,169,557
|
||||||
Freeport-McMoRan Copper & Gold, Inc.*
|
381,862
|
5,861,582
|
||||||
Goldcorp, Inc.
|
101,541
|
1,339,326
|
||||||
Monsanto Co. Ɨ
|
43,116
|
4,428,444
|
||||||
Mosaic Co., (The)
|
178,941
|
5,081,924
|
||||||
Nexeo Solutions, Inc.*
|
257,041
|
1,927,808
|
||||||
POSCO - ADR
|
99,272
|
5,304,103
|
||||||
Potash Corp of Saskatchewan, Inc.
|
153,211
|
2,793,037
|
||||||
Praxair, Inc.
|
40,879
|
4,917,744
|
||||||
Rio Tinto PLC - ADR
|
140,996
|
5,345,158
|
||||||
UFP Technologies, Inc.*
|
95,874
|
2,406,437
|
||||||
Universal Stainless & Alloy Products, Inc.*
|
71,555
|
880,127
|
||||||
US Silica Holdings, Inc.
|
86,957
|
4,400,894
|
||||||
66,176,491
|
||||||||
Capital Goods—8.0%
|
||||||||
Aerojet Rocketdyne Holdings, Inc.*
|
124,378
|
2,527,361
|
||||||
Ampco-Pittsburgh Corp.
|
138,104
|
2,147,517
|
||||||
Arconic, Inc.
|
114,385
|
2,205,336
|
||||||
CECO Environmental Corp.
|
232,958
|
3,305,674
|
||||||
Chicago Bridge & Iron Co. NV Ɨ
|
121,709
|
4,078,469
|
||||||
Colfax Corp.*
|
107,660
|
4,049,093
|
||||||
Ferroglobe PLC
|
386,647
|
4,411,642
|
||||||
Ferroglobe Representation & Warranty Insurance* ‡
|
386,647
|
0
|
||||||
Fluor Corp. Ɨ
|
86,320
|
4,618,983
|
||||||
FreightCar America, Inc.
|
180,863
|
2,655,069
|
||||||
Global Brass & Copper Holdings, Inc.
|
45,337
|
1,298,905
|
||||||
Graham Corp.
|
111,797
|
2,484,129
|
||||||
Jacobs Engineering Group, Inc.*
|
73,588
|
4,563,192
|
||||||
KLX, Inc.*
|
48,253
|
1,881,384
|
||||||
LSB Industries, Inc.*
|
144,081
|
1,109,424
|
||||||
NCI Building Systems, Inc.*
|
201,895
|
3,371,647
|
||||||
NOW, Inc.*
|
39,099
|
842,192
|
||||||
Preformed Line Products Co. Ɨ
|
37,058
|
2,073,025
|
||||||
Quanta Services, Inc.*
|
58,362
|
1,967,967
|
||||||
Raven Industries, Inc.
|
188,682
|
4,726,484
|
||||||
Safran SA - ADR
|
171,358
|
2,937,076
|
Triumph Group, Inc.
|
90,813
|
2,524,601
|
||||||
United Technologies Corp.
|
49,134
|
5,292,714
|
||||||
WESCO International, Inc.*
|
52,305
|
3,551,510
|
||||||
World Fuel Services Corp. Ɨ
|
117,354
|
5,217,559
|
||||||
73,840,953
|
||||||||
Communications—3.5%
|
||||||||
51job, Inc. - ADR*
|
60,421
|
2,137,091
|
||||||
Alaska Communications Systems Group, Inc.*
|
711,135
|
1,080,925
|
||||||
Baidu, Inc. - Sponsored ADR*
|
16,821
|
2,808,266
|
||||||
Gaia, Inc.*
|
116,893
|
993,591
|
||||||
GoldMoney, Inc.*
|
407,264
|
1,035,366
|
||||||
Great Elm Capital Group, Inc.*
|
102,613
|
405,321
|
||||||
Hawaiian Telcom Holdco, Inc.*
|
4,046
|
92,411
|
||||||
Iridium Communications, Inc.*
|
334,590
|
2,944,392
|
||||||
Liberty Global PLC LiLAC, Class C*
|
152,908
|
3,237,062
|
||||||
Liberty Global PLC, Series C*
|
138,628
|
4,221,223
|
||||||
Ooma, Inc.*
|
96,338
|
895,943
|
||||||
Priceline Group, Inc., (The)*
|
2,421
|
3,640,409
|
||||||
Rubicon Project Inc., (The)*
|
224,357
|
1,693,895
|
||||||
VeriSign, Inc.*
|
53,132
|
4,189,458
|
||||||
Yandex NV, Class A*
|
168,808
|
3,209,040
|
||||||
32,584,393
|
||||||||
Consumer Durables—0.9%
|
||||||||
CLARCOR, Inc.
|
43,005
|
3,029,702
|
||||||
Harman International Industries, Inc.
|
46,093
|
5,041,192
|
||||||
8,070,894
|
||||||||
Consumer Non-Durables—2.7%
|
||||||||
Albany International Corp.
|
40,466
|
1,889,762
|
||||||
Coca-Cola Co., (The)
|
70,106
|
2,828,777
|
||||||
G-III Apparel Group Ltd.*
|
111,770
|
3,035,673
|
||||||
Kraft Heinz Co., (The)
|
37,771
|
3,084,002
|
||||||
Leucadia National Corp. Ɨ
|
240,192
|
5,289,028
|
||||||
Nomad Foods Ltd.*
|
308,143
|
2,899,626
|
||||||
Unilever NV Ɨ
|
75,245
|
2,997,008
|
||||||
VF Corp.
|
46,638
|
2,542,238
|
||||||
24,566,114
|
||||||||
Consumer Services—14.0%
|
||||||||
Alibaba Group Holding Ltd. - Sponsored ADR*
|
38,532
|
3,622,779
|
||||||
Barrett Business Services, Inc. Ɨ
|
145,794
|
8,498,332
|
||||||
Biglari Holdings, Inc.*
|
4,040
|
1,894,477
|
||||||
Boot Barn Holdings, Inc.*
|
233,829
|
3,689,822
|
||||||
CDI Corp.*
|
254,281
|
1,830,823
|
||||||
comScore, Inc.*
|
48,525
|
1,409,166
|
||||||
Ctrip.com International Ltd. - ADR*
|
33,071
|
1,495,801
|
||||||
CVS Health Corp.
|
82,733
|
6,361,340
|
||||||
DSW, Inc., Class A
|
137,104
|
3,257,591
|
||||||
eBay, Inc.*
|
133,731
|
3,719,059
|
||||||
Eros International PLC*
|
265,228
|
3,726,453
|
||||||
Heidrick & Struggles International, Inc.
|
116,631
|
2,472,577
|
||||||
ICF International, Inc.*
|
55,525
|
3,073,309
|
||||||
IHS Markit Ltd.*
|
59,472
|
2,137,424
|
||||||
ILG, Inc.
|
165,850
|
2,996,910
|
International Game Technology PLC
|
109,095
|
2,812,469
|
||||||
JD.com, Inc. - ADR*
|
115,263
|
3,097,117
|
||||||
Korn/Ferry International
|
100,540
|
2,551,705
|
||||||
La Quinta Holdings, Inc.*
|
275,687
|
3,346,840
|
||||||
Landauer, Inc. Ɨ
|
113,745
|
5,630,378
|
||||||
Liberty Expedia Holdings, Inc.* Ɨ
|
7,725
|
339,591
|
||||||
Liberty Interactive Corp., Class A* Ɨ
|
135,885
|
2,814,178
|
||||||
Liberty Ventures* Ɨ
|
11,588
|
452,164
|
||||||
ManpowerGroup, Inc.
|
37,284
|
3,184,426
|
||||||
Michael Kors Holdings Ltd.*
|
95,160
|
4,423,988
|
||||||
New Media Investment Group, Inc.
|
253,465
|
3,893,222
|
||||||
PRGX Global, Inc.*
|
161,819
|
881,914
|
||||||
Ralph Lauren Corp.
|
33,438
|
3,497,949
|
||||||
Realogy Holdings Corp. Ɨ
|
203,711
|
4,919,621
|
||||||
Scripps Networks Interactive, Inc., Class A
|
38,649
|
2,676,830
|
||||||
Tailored Brands, Inc.
|
239,083
|
4,485,197
|
||||||
Team, Inc.*
|
23,250
|
797,475
|
||||||
Tetra Tech, Inc.
|
92,723
|
3,973,181
|
||||||
Tiffany & Co.
|
30,571
|
2,521,496
|
||||||
Time Warner, Inc. Ɨ
|
74,196
|
6,812,677
|
||||||
Tractor Supply Co.
|
31,191
|
2,341,508
|
||||||
Twenty-First Century Fox, Inc., Class A
|
147,600
|
4,149,036
|
||||||
Walgreens Boots Alliance, Inc.
|
51,865
|
4,394,521
|
||||||
Williams-Sonoma, Inc.
|
54,314
|
2,975,321
|
||||||
Wynn Resorts Ltd.
|
21,843
|
2,227,768
|
||||||
129,386,435
|
||||||||
Energy—10.7%
|
||||||||
Anadarko Petroleum Corp. #
|
106,644
|
7,374,433
|
||||||
Baker Hughes, Inc.
|
53,977
|
3,472,340
|
||||||
Canadian Natural Resources Ltd. Ɨ
|
94,023
|
3,175,157
|
||||||
ConocoPhillips
|
154,838
|
7,512,740
|
||||||
Core Laboratories NV
|
23,067
|
2,577,968
|
||||||
Dawson Geophysical Co.*
|
440,495
|
3,457,886
|
||||||
Energen Corp.*
|
72,773
|
4,517,020
|
||||||
EOG Resources, Inc.
|
44,951
|
4,608,376
|
||||||
EQT Corp.
|
91,155
|
6,388,142
|
||||||
Gulf Island Fabrication, Inc.
|
67,102
|
795,159
|
||||||
Gulfport Energy Corp.*
|
78,239
|
2,009,960
|
||||||
Halliburton Co. Ɨ
|
67,251
|
3,570,356
|
||||||
Kosmos Energy Ltd.*
|
880,451
|
4,666,390
|
||||||
LUKOIL PJSC - Sponsored ADR
|
43,364
|
2,133,942
|
||||||
Marathon Oil Corp.
|
365,820
|
6,606,709
|
||||||
Mitcham Industries, Inc.*
|
381,308
|
1,456,597
|
||||||
National Oilwell Varco, Inc.
|
104,422
|
3,901,206
|
||||||
Occidental Petroleum Corp.
|
93,931
|
6,702,916
|
||||||
Parsley Energy, Inc., Class A*
|
82,738
|
3,156,455
|
||||||
PBF Energy, Inc.
|
165,300
|
3,965,547
|
||||||
Phillips 66
|
67,327
|
5,593,527
|
||||||
Rice Energy, Inc.*
|
153,918
|
3,747,903
|
||||||
TransGlobe Energy Corp.
|
339,486
|
594,100
|
||||||
Valero Energy Corp.
|
68,543
|
4,219,507
|
||||||
Viper Energy Partners LP
|
188,644
|
2,961,711
|
||||||
99,166,047
|
Finance—24.7%
|
||||||||
AerCap Holdings NV* Ɨ
|
87,012
|
3,728,464
|
||||||
Affiliated Managers Group, Inc.*
|
30,849
|
4,568,737
|
||||||
AMERCO
|
6,118
|
2,089,052
|
||||||
American International Group, Inc. Ɨ
|
69,311
|
4,389,466
|
||||||
Aspen Insurance Holdings Ltd. Ɨ
|
71,095
|
3,622,290
|
||||||
Axis Capital Holdings Ltd. Ɨ
|
41,628
|
2,539,724
|
||||||
Bank of America Corp. Ɨ
|
669,856
|
14,147,359
|
||||||
Berkshire Hathaway, Inc. Class B* Ɨ
|
79,415
|
12,503,098
|
||||||
BGC Partners, Inc., Class A
|
272,797
|
2,665,227
|
||||||
Boulevard Acquisition, Corp. II*
|
227,000
|
2,321,075
|
||||||
Century Bancorp, Inc., Class A Ɨ
|
33,518
|
1,821,703
|
||||||
Charles Schwab Corp., (The) Ɨ
|
166,296
|
6,429,003
|
||||||
Chubb Ltd. Ɨ
|
41,682
|
5,335,296
|
||||||
Citigroup, Inc.
|
263,351
|
14,850,363
|
||||||
CNinsure, Inc. - ADR*
|
141,405
|
1,343,347
|
||||||
East West Bancorp, Inc.
|
116,093
|
5,558,533
|
||||||
Ezcorp, Inc., Class A*
|
379,316
|
4,419,031
|
||||||
Federated National Holding Co.
|
93,880
|
1,632,573
|
||||||
Flushing Financial Corp. Ɨ
|
94,950
|
2,485,791
|
||||||
Fortress Investment Group LLC
|
826,081
|
4,279,100
|
||||||
Franklin Resources, Inc.
|
117,124
|
4,598,288
|
||||||
Heritage Insurance Holdings, Inc.
|
145,169
|
2,094,789
|
||||||
JPMorgan Chase & Co. Ɨ
|
114,167
|
9,152,768
|
||||||
Lake Sunapee Bank Group
|
26,815
|
584,567
|
||||||
Lazard Ltd., Class A
|
129,086
|
5,014,991
|
||||||
LHC Group, Inc.* Ɨ
|
96,741
|
4,068,926
|
||||||
Loews Corp.
|
86,512
|
3,862,761
|
||||||
Maiden Holdings Ltd. Ɨ
|
538,291
|
8,289,681
|
||||||
Morgan Stanley
|
243,460
|
10,069,506
|
||||||
National Western Life Group, Inc. Class A Ɨ
|
8,322
|
2,175,704
|
||||||
Nationstar Mortgage Holdings, Inc.*
|
205,332
|
3,486,537
|
||||||
New Residential Investment Corp.
|
271,859
|
4,200,222
|
||||||
NorthStar Asset Management Group, Inc.
|
232,302
|
3,428,777
|
||||||
Oaktree Capital Group LLC
|
85,097
|
3,527,271
|
||||||
Opus Bank
|
84,390
|
2,135,067
|
||||||
PennyMac Financial Services, Inc. Class A* Ɨ
|
298,489
|
5,193,709
|
||||||
Renaissance Holdings Ltd. Ɨ
|
27,921
|
3,645,366
|
||||||
Sprott, Inc.*
|
3,279,208
|
6,273,777
|
||||||
State Street Corp. Ɨ
|
87,717
|
6,912,100
|
||||||
Stifel Financial Corp.*
|
66,362
|
3,308,146
|
||||||
SVB Financial Group*
|
38,513
|
6,086,209
|
||||||
Synchrony Financial Ɨ
|
187,058
|
6,464,724
|
||||||
Triton International Ltd.
|
137,600
|
2,654,304
|
||||||
Validus Holdings Ltd. Ɨ
|
75,664
|
4,111,582
|
||||||
Wells Fargo & Co. #
|
223,876
|
11,847,518
|
||||||
White Mountains Insurance Group Ltd.
|
5,011
|
4,194,057
|
||||||
228,110,579
|
||||||||
Health Care—11.2%
|
||||||||
Allergan PLC*
|
18,682
|
3,629,913
|
||||||
AMAG Pharmaceuticals, Inc.*
|
155,640
|
5,167,248
|
Anthem, Inc.
|
26,967
|
3,843,607
|
||||||
Carriage Services Inc.
|
84,546
|
2,294,579
|
||||||
Cigna Corp.
|
36,857
|
4,966,112
|
||||||
DaVita HealthCare Partners, Inc.* Ɨ
|
108,720
|
6,887,412
|
||||||
Fresenius Medical Care AG & Co. KGaA - ADR Ɨ
|
140,873
|
5,488,412
|
||||||
Gilead Sciences, Inc.
|
50,358
|
3,711,385
|
||||||
HCA Holdings, Inc.* Ɨ
|
89,224
|
6,325,089
|
||||||
Keryx Biopharmaceuticals, Inc.*
|
353,798
|
2,052,028
|
||||||
Laboratory Corp. of America Holdings* Ɨ
|
45,727
|
5,754,743
|
||||||
MEDNAX, Inc.*
|
36,649
|
2,399,410
|
||||||
Medtronic PLC #
|
62,692
|
4,577,143
|
||||||
Merck & Co., Inc.
|
140,442
|
8,593,646
|
||||||
Mylan NV*
|
114,151
|
4,179,068
|
||||||
Myriad Genetics, Inc.*
|
86,357
|
1,441,298
|
||||||
Paratek Pharmaceuticals, Inc.*
|
109,789
|
1,476,662
|
||||||
Pfizer, Inc.
|
195,799
|
6,292,980
|
||||||
PharMerica Corp.* Ɨ
|
187,783
|
4,516,181
|
||||||
Sanofi - ADR Ɨ
|
107,635
|
4,326,927
|
||||||
Shire PLC - ADR
|
23,082
|
4,030,117
|
||||||
Teva Pharmaceutical Industries Ltd. - Sponsored ADR Ɨ
|
92,494
|
3,487,024
|
||||||
uniQure NV*
|
233,262
|
1,464,885
|
||||||
UnitedHealth Group, Inc.
|
41,554
|
6,578,829
|
||||||
103,484,698
|
||||||||
Real Estate Investment Trusts—0.3%
|
||||||||
MedEquities Realty Trust, Inc.*
|
272,000
|
2,962,080
|
||||||
Technology—8.3%
|
||||||||
Alliance Data Systems Corp.
|
20,792
|
4,756,794
|
||||||
CDW Corp.
|
43,354
|
2,221,459
|
||||||
Citrix Systems, Inc.*
|
44,192
|
3,832,772
|
||||||
Cognizant Technology Solutions Corp., Class A* # Ɨ
|
44,064
|
2,427,045
|
||||||
CommerceHub, Inc., Series A* Ɨ
|
1,930
|
29,182
|
||||||
CommerceHub, Inc., Series C* Ɨ
|
3,862
|
56,964
|
||||||
Dolby Laboratories, Inc. Class A Ɨ
|
78,735
|
3,633,620
|
||||||
First Data Corp., Class A*
|
223,048
|
3,249,809
|
||||||
Flextronics International Ltd.* Ɨ
|
312,145
|
4,444,945
|
||||||
Generac Holdings, Inc.*
|
67,062
|
2,748,201
|
||||||
Hollysys Automation Technologies, Ltd.
|
120,202
|
2,267,010
|
||||||
Infinera Corp.*
|
183,689
|
1,561,356
|
||||||
Ingram Micro, Inc., Class A* Ɨ
|
106,733
|
3,996,084
|
||||||
International Business Machines Corp. Ɨ
|
45,002
|
7,300,224
|
||||||
Luxoft Holding, Inc.*
|
46,296
|
2,539,336
|
||||||
Microsoft Corp.
|
137,515
|
8,286,654
|
||||||
Net 1 UEPS Technologies, Inc.*
|
199,904
|
2,280,905
|
||||||
Oracle Corp. Ɨ
|
107,802
|
4,332,562
|
||||||
PayPal Holdings, Inc.*
|
137,360
|
5,395,501
|
||||||
Quality Systems, Inc.
|
202,152
|
2,652,234
|
||||||
Science Applications International Corp.
|
59,569
|
4,918,612
|
||||||
Zebra Technologies Corp., Class A*
|
43,657
|
3,451,086
|
||||||
76,382,355
|
||||||||
Transportation—3.3%
|
||||||||
AP Moller - Maersk A/S - ADR
|
326,848
|
2,170,271
|
||||||
ArcBest Corp.
|
96,868
|
2,949,630
|
Atlas Air Worldwide Holdings, Inc.*
|
70,629
|
3,489,073
|
||||||
CH Robinson Worldwide, Inc.
|
59,931
|
4,485,835
|
||||||
Costamare, Inc.
|
478,345
|
2,755,267
|
||||||
Dorian LPG Ltd.*
|
275,060
|
1,919,919
|
||||||
Expeditors International of Washington, Inc.
|
41,878
|
2,208,646
|
||||||
Golar LNG Partners LP
|
108,162
|
2,409,849
|
||||||
Roadrunner Transportation Systems, Inc.*
|
87
|
873
|
||||||
Teekay LNG Partners LP
|
218,490
|
3,353,821
|
||||||
XPO Logistics, Inc.*
|
109,609
|
4,880,889
|
||||||
30,624,073
|
||||||||
Utilities—1.0%
|
||||||||
AES Corp. Ɨ
|
262,575
|
3,006,484
|
||||||
Cheniere Energy, Inc.*
|
78,914
|
3,224,426
|
||||||
MPLX LP
|
99,012
|
3,252,544
|
||||||
9,483,454
|
||||||||
TOTAL COMMON STOCKS
|
||||||||
(Cost $716,880,134)
|
884,838,566
|
|||||||
EXCHANGE TRADED FUNDS—0.6%
|
||||||||
Energy—0.6%
|
||||||||
Alerian MLP ETF
|
478,522
|
5,914,532
|
||||||
TOTAL EXCHANGE TRADED FUNDS
|
||||||||
(Cost $4,903,840)
|
5,914,532
|
|||||||
MONEY MARKET FUNDS—4.5%
|
||||||||
Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio, 0.25%
|
||||||||
TOTAL MONEY MARKET FUNDS
|
||||||||
(Cost $41,677,549)
|
41,677,549
|
|||||||
TOTAL INVESTMENTS—100.8%
|
||||||||
(Cost $763,461,523)**
|
932,430,647
|
|||||||
SECURITIES SOLD SHORT—(21.4%)
|
||||||||
COMMON STOCKS—(20.2%)
|
||||||||
Basic Industries—(0.8%)
|
||||||||
Ball Corp.
|
(43,983
|
)
|
(3,301,364
|
)
|
||||
Kennady Diamonds, Inc.*
|
(45,900
|
)
|
(132,920
|
)
|
||||
NewMarket Corp.
|
(8,597
|
)
|
(3,597,071
|
)
|
||||
Tanzanian Royalty Exploration Corp.*
|
(171,865
|
)
|
(82,495
|
)
|
||||
(7,113,850
|
)
|
|||||||
Capital Goods—(1.5%)
|
||||||||
Applied Energetics, Inc.*
|
(238,070
|
)
|
(6,571
|
)
|
||||
Black Box Corp.
|
(148,198
|
)
|
(2,274,839
|
)
|
||||
DynaMotive Energy Systems Corp.*
|
(72,185
|
)
|
(7
|
)
|
||||
Griffon Corp.
|
(199,972
|
)
|
(4,779,331
|
)
|
||||
Manitowoc Foodservice, Inc.*
|
(140,141
|
)
|
(2,486,101
|
)
|
||||
Proto Labs, Inc.*
|
(43,747
|
)
|
(2,279,219
|
)
|
||||
Smith & Wesson Holding Corp.*
|
(96,172
|
)
|
(2,243,693
|
)
|
||||
(14,069,761
|
)
|
|||||||
Communications—(1.9%)
|
||||||||
Check Point Software Technologies Ltd.*
|
(38,500
|
)
|
(3,169,705
|
)
|
||||
Criteo SA - Sponsored ADR*
|
(35,248
|
)
|
(1,454,685
|
)
|
||||
CTC Communications Group, Inc.*
|
(98,900
|
)
|
0
|
|||||
Gogo, Inc.*
|
(206,241
|
)
|
(1,936,603
|
)
|
||||
Interliant, Inc.*
|
(600
|
)
|
0
|
|||||
Lumos Networks Corp.*
|
(124,658
|
)
|
(1,812,527
|
)
|
||||
Match Group, Inc.*
|
(102,168
|
)
|
(1,836,981
|
)
|
||||
Sprint Corp.*
|
(495,391
|
)
|
(3,883,865
|
)
|
||||
TrueCar, Inc.*
|
(260,133
|
)
|
(3,220,447
|
)
|
||||
(17,314,813
|
)
|
|||||||
Consumer Durables—(0.6%)
|
||||||||
Qsound Labs, Inc.*
|
(4,440
|
)
|
(1
|
)
|
||||
Tesla Motors, Inc.*
|
(14,522
|
)
|
(2,750,467
|
)
|
||||
Universal Electronics, Inc.*
|
(37,501
|
)
|
(2,525,692
|
)
|
||||
(5,276,160
|
)
|
|||||||
Consumer Non-Durables—(0.9%)
|
||||||||
Amish Naturals, Inc.*
|
(25,959
|
)
|
0
|
|||||
Amplify Snack Brands, Inc.*
|
(160,969
|
)
|
(1,529,205
|
)
|
||||
Inventure Foods, Inc.*
|
(203,980
|
)
|
(1,843,979
|
)
|
||||
National Beverage Corp.
|
(50,032
|
)
|
(2,526,116
|
)
|
||||
Nintendo Co., Ltd.
|
(10,700
|
)
|
(2,636,789
|
)
|
||||
Valence Technology, Inc.*
|
(27,585
|
)
|
(3
|
)
|
||||
(8,536,092
|
)
|
|||||||
Consumer Services—(3.9%)
|
||||||||
Blackhawk Network Holdings, Inc.*
|
(79,363
|
)
|
(2,857,068
|
)
|
||||
Cimpress NV*
|
(47,657
|
)
|
(4,143,776
|
)
|
||||
Corporate Resource Services, Inc.*
|
(218,896
|
)
|
(263
|
)
|
||||
Houghton Mifflin Harcourt Co.*
|
(201,342
|
)
|
(2,224,829
|
)
|
||||
Jamba, Inc.*
|
(111,749
|
)
|
(1,108,550
|
)
|
||||
Medidata Solutions, Inc.*
|
(40,777
|
)
|
(2,252,114
|
)
|
||||
Netflix, Inc.*
|
(60,110
|
)
|
(7,032,870
|
)
|
||||
PetMed Express, Inc.
|
(189,908
|
)
|
(4,145,692
|
)
|
||||
Quotient Technology, Inc.*
|
(168,741
|
)
|
(2,159,885
|
)
|
||||
Red Robin Gourmet Burgers, Inc.*
|
(66,626
|
)
|
(3,427,908
|
)
|
||||
Rosetta Stone, Inc.*
|
(187,803
|
)
|
(1,519,326
|
)
|
||||
Sturm Ruger & Co, Inc.
|
(33,396
|
)
|
(1,716,554
|
)
|
||||
TripAdvisor, Inc.*
|
(47,027
|
)
|
(2,270,463
|
)
|
||||
Wingstop, Inc.
|
(51,177
|
)
|
(1,570,622
|
)
|
||||
(36,429,920
|
)
|
|||||||
Energy—0.0%
|
||||||||
Beard Co.*
|
(9,710
|
)
|
(16
|
)
|
||||
Finance—(0.3%)
|
||||||||
Cincinnati Financial Corp.
|
(33,394
|
)
|
(2,562,656
|
)
|
||||
Health Care—(4.5%)
|
||||||||
Accelerate Diagnostics, Inc.*
|
(149,402
|
)
|
(3,727,580
|
)
|
||||
AtriCure, Inc.*
|
(164,686
|
)
|
(2,962,701
|
)
|
||||
Blueprint Medicines Corp.*
|
(60,134
|
)
|
(1,766,135
|
)
|
||||
BodyTel Scientific, Inc.*
|
(4,840
|
)
|
0
|
|||||
CareView Communications, Inc.*
|
(207,465
|
)
|
(14,522
|
)
|
||||
Corindus Vascular Robotics, Inc.*
|
(624,000
|
)
|
(430,560
|
)
|
||||
Cross Country Healthcare, Inc.*
|
(325,244
|
)
|
(4,663,999
|
)
|
||||
Endologix, Inc.*
|
(213,502
|
)
|
(1,569,240
|
)
|
||||
Exact Sciences Corp.*
|
(136,261
|
)
|
(2,012,575
|
)
|
||||
GenMark Diagnostics, Inc.*
|
(193,763
|
)
|
(2,251,526
|
)
|
||||
Insulet Corp.*
|
(96,555
|
)
|
(3,249,076
|
)
|
||||
K2M Group Holdings, Inc.*
|
(144,654
|
)
|
(2,719,495
|
)
|
||||
Penumbra, Inc.*
|
(28,839
|
)
|
(1,785,134
|
)
|
||||
Radius Health, Inc.*
|
(45,331
|
)
|
(2,412,516
|
)
|
||||
ResMed, Inc.
|
(41,891
|
)
|
(2,575,459
|
)
|
||||
Spire, Inc.
|
(22,065
|
)
|
(1,424,075
|
)
|
||||
STAAR Surgical Co.*
|
(266,314
|
)
|
(2,889,507
|
)
|
||||
Synergy Pharmaceuticals, Inc.*
|
(168,403
|
)
|
(885,800
|
)
|
||||
Wright Medical Group NV*
|
(184,965
|
)
|
(4,261,594
|
)
|
||||
(41,601,494
|
)
|
|||||||
Real Estate Investment Trusts—(0.6%)
|
||||||||
Digital Realty Trust, Inc.
|
(32,932
|
)
|
(3,040,611
|
)
|
||||
Monogram Residential Trust, Inc.
|
(233,886
|
)
|
(2,462,820
|
)
|
||||
(5,503,431
|
)
|
|||||||
Technology—(3.0%)
|
||||||||
3D Systems Corp.*
|
(173,294
|
)
|
(2,400,122
|
)
|
||||
ANTs software, Inc.*
|
(10,334
|
)
|
(1
|
)
|
||||
Apptio, Inc.*
|
(105,400
|
)
|
(2,087,974
|
)
|
||||
Atlassian Corp PLC Class A*
|
(124,185
|
)
|
(3,370,381
|
)
|
||||
Axcelis Technologies, Inc.*
|
(40,363
|
)
|
(550,955
|
)
|
||||
Benefitfocus, Inc.*
|
(37,700
|
)
|
(1,029,210
|
)
|
||||
Capstone Turbine Corp.*
|
(33,777
|
)
|
(30,062
|
)
|
||||
Cavium, Inc.*
|
(34,283
|
)
|
(1,955,159
|
)
|
||||
Consygen, Inc.*
|
(200
|
)
|
0
|
|||||
Ener1, Inc.*
|
(102,820
|
)
|
(10
|
)
|
||||
Inphi Corp.*
|
(45,457
|
)
|
(2,053,293
|
)
|
||||
Inseego Corp.*
|
(801,495
|
)
|
(1,843,438
|
)
|
||||
Nestor, Inc.*
|
(15,200
|
)
|
(2
|
)
|
||||
Palo Alto Networks, Inc.*
|
(23,391
|
)
|
(3,143,049
|
)
|
||||
PROS Holdings, Inc.*
|
(94,982
|
)
|
(2,269,120
|
)
|
||||
Q2 Holdings, Inc.*
|
(85,617
|
)
|
(2,525,701
|
)
|
||||
Tiger Telematics, Inc.*
|
(6,510
|
)
|
0
|
|||||
Uni-Pixel, Inc.*
|
(19,665
|
)
|
(23,205
|
)
|
||||
Workday, Inc. Class A*
|
(57,403
|
)
|
(4,840,221
|
)
|
||||
Worldgate Communications, Inc.*
|
(582,655
|
)
|
(58
|
)
|
||||
Xybernaut Corp.*
|
(34,156
|
)
|
0
|
|||||
(28,121,961
|
)
|
|||||||
Transportation—(0.3%)
|
||||||||
Hawaiian Holdings, Inc.*
|
(54,663
|
)
|
(2,806,945
|
)
|
||||
Utilities—(1.9%)
|
||||||||
Avista Corp.
|
(35,541
|
)
|
(1,438,344
|
)
|
||||
California Water Service Group
|
(53,420
|
)
|
(1,845,661
|
)
|
||||
Chesapeake Utilities Corp.
|
(30,598
|
)
|
(1,982,751
|
)
|
||||
El Paso Electric Co.
|
(65,507
|
)
|
(2,951,090
|
)
|
||||
MGE Energy, Inc.
|
(29,366
|
)
|
(1,738,467
|
)
|
||||
New Jersey Resources Corp.
|
(40,857
|
)
|
(1,407,524
|
)
|
||||
NorthWestern Corp.
|
(24,381
|
)
|
(1,367,774
|
)
|
||||
ONE Gas, Inc.
|
(24,589
|
)
|
(1,475,586
|
)
|
||||
PNM Resources, Inc.
|
(45,604
|
)
|
(1,441,086
|
)
|
||||
WGL Holdings, Inc.
|
(21,334
|
)
|
(1,547,995
|
)
|
||||
(17,196,278
|
)
|
|||||||
TOTAL COMMON STOCKS
|
||||||||
(Proceeds $(179,518,991))
|
(186,533,377
|
)
|
||||||
EXCHANGE TRADED FUNDS—(1.2%)
|
||||||||
Finance—(1.2%)
|
||||||||
iShares 20+ Year Treasury Bond ETF
|
(46,499
|
)
|
(5,591,040
|
)
|
||||
SPDR Bloomberg Barclays International Treasury Bond ETF*
|
(225,072
|
)
|
(5,863,125
|
)
|
||||
(11,454,165
|
)
|
TOTAL EXCHANGE TRADED FUNDS
|
||||||||
(Proceeds $(12,703,958))
|
(11,454,165
|
)
|
||||||
TOTAL SECURITIES SOLD SHORT—(21.4%)
|
||||||||
(Proceeds $(192,222,949))
|
(197,987,542
|
)
|
||||||
Number
|
||||||||
of Contracts
|
||||||||
OPTIONS WRITTEN ƗƗ—(0.1%)
|
||||||||
Anadarko Petroleum Corp.
|
||||||||
Put Options Expires 01/20/2017
|
||||||||
Strike Price $25.00
|
(13,973
|
)
|
(27,946
|
)
|
||||
Cognizant Technology Solutions Corp., Class A
|
||||||||
Put Options Expires 01/18/2019
|
||||||||
Strike Price $45.00
|
(694
|
)
|
(315,770
|
)
|
||||
Medtronic PLC
|
||||||||
Put Options Expires 01/18/2019
|
||||||||
Strike Price $70.00
|
(695
|
)
|
(632,450
|
)
|
||||
Wells Fargo & Co.
|
||||||||
Put Options Expires 01/18/2019
|
||||||||
Strike Price $40.00
|
(1,692
|
)
|
(490,680
|
)
|
||||
TOTAL OPTIONS WRITTEN
|
||||||||
(Premiums received $(7,608,168))
|
(1,466,846
|
)
|
||||||
OTHER ASSETS IN EXCESS OF LIABILITIES—20.7%
|
191,788,482
|
|||||||
NET ASSETS—100.0%
|
$
|
924,764,741
|
||||||
ADR
|
American Depositary Receipt
|
|||||
PLC
|
Public Limited Company
|
|||||
*
|
Non-income producing.
|
|||||
Ɨ
|
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 as determined in good faith by or under the direction of the RBB Fund, Inc.'s Board of Directors. As of November 30, 2016, these securities amounted to $0 or 0% of net assets.
|
|||||
#
|
Security segregated as collateral for options written.
|
|||||
ƗƗ
|
Primary risk exposure is equity contracts.
|
|||||
** |
The cost basis of investments for federal income tax purposes at November 30, 2016 was as follows:
|
|||||
Cost of investments
|
$
|
763,461,523
|
||||
Gross unrealized appreciation
|
$
|
185,638,613
|
||||
Gross unrealized depreciation
|
(16,669,489
|
)
|
||||
Net unrealized appreciation (depreciation)
|
$
|
168,969,124
|
||||
*Because tax adjustments are calculated annually at the end of the Fund's fiscal year, the above table does not reflect tax adjustments for the current fiscal year. For the previous fiscal year's federal income tax information, please refer to the Notes of Financial Statements section in the Fund's most recent annual report.
|
||||||
The accompanying notes are an integral part of the portfolio of investments.
|
BOSTON PARTNERS INVESTMENT FUNDS
|
NOVEMBER 30, 2016 (unaudited) | |||||||||||||||
BOSTON PARTNERS LONG/SHORT EQUITY FUND
|
Portfolio of Investments
|
|||||||||||||||
A summary of the inputs used to value the Fund's investments as of November 30, 2016 is as follows (see Notes to Portfolio of Investments):
|
||||||||||||||||
Total
|
Level 1
|
Level 2
|
Level 3
|
|||||||||||||
Value as of
|
Quoted
|
Significant
|
Significant
|
|||||||||||||
November 30, 2016
|
Price
|
Observable
|
Unobservable
|
|||||||||||||
Inputs
|
Inputs
|
|||||||||||||||
Common Stock
|
||||||||||||||||
Basic Industries
|
$
|
66,176,491
|
$
|
66,176,491
|
$
|
—
|
$
|
—
|
||||||||
Capital Goods
|
73,840,953
|
73,840,953
|
—
|
—
|
||||||||||||
Communications
|
32,584,393
|
32,584,393
|
—
|
—
|
||||||||||||
Consumer Durables
|
8,070,894
|
8,070,894
|
—
|
—
|
||||||||||||
Consumer Non-Durables
|
24,566,114
|
24,566,114
|
—
|
—
|
||||||||||||
Consumer Services
|
129,386,435
|
129,386,435
|
—
|
—
|
||||||||||||
Energy
|
99,166,047
|
99,166,047
|
—
|
—
|
||||||||||||
Finance
|
228,110,579
|
225,789,504
|
2,321,075
|
—
|
||||||||||||
Health Care
|
103,484,698
|
103,484,698
|
—
|
—
|
||||||||||||
Real Estate Investment Trusts
|
2,962,080
|
2,962,080
|
—
|
—
|
||||||||||||
Technology
|
76,382,355
|
76,382,355
|
—
|
—
|
||||||||||||
Transportation
|
30,624,073
|
30,624,073
|
—
|
—
|
||||||||||||
Utilities
|
9,483,454
|
9,483,454
|
—
|
—
|
||||||||||||
Exchange Traded
|
5,914,532
|
5,914,532
|
—
|
—
|
||||||||||||
Money Market Funds
|
41,677,549
|
41,677,549
|
—
|
—
|
||||||||||||
Total Assets
|
$
|
932,430,647
|
$
|
930,109,572
|
$
|
2,321,075
|
$
|
—
|
||||||||
Total
|
Level 1
|
Level 2
|
Level 3
|
|||||||||||||
Value as of
|
Quoted
|
Significant
|
Significant
|
|||||||||||||
November 30, 2016
|
Price
|
Observable
|
Unobservable
|
|||||||||||||
Inputs
|
Inputs
|
|||||||||||||||
Securities Sold Short
|
||||||||||||||||
Basic Industries
|
$
|
(7,113,850
|
)
|
$
|
(7,113,850
|
)
|
$
|
—
|
$
|
—
|
||||||
Capital Goods
|
(14,069,761
|
)
|
(14,069,754
|
)
|
—
|
(7
|
)
|
|||||||||
Communications
|
(17,314,813
|
)
|
(17,314,813
|
)
|
—
|
—
|
||||||||||
Consumer Durables
|
(5,276,160
|
)
|
(5,276,160
|
)
|
—
|
—
|
||||||||||
Consumer Non-Durables
|
(8,536,092
|
)
|
(5,899,300
|
)
|
(2,636,789
|
)
|
(3
|
)
|
||||||||
Consumer Services
|
(36,429,920
|
)
|
(36,429,920
|
)
|
—
|
—
|
||||||||||
Energy
|
(16
|
)
|
—
|
(16
|
)
|
—
|
||||||||||
Finance
|
(2,562,656
|
)
|
(2,562,656
|
)
|
—
|
—
|
||||||||||
Health Care
|
(41,601,494
|
)
|
(41,601,494
|
)
|
—
|
—
|
||||||||||
Real Estate Investment Trusts
|
(5,503,431
|
)
|
(5,503,431
|
)
|
—
|
—
|
||||||||||
Technology
|
(28,121,961
|
)
|
(28,121,889
|
)
|
—
|
(72
|
)
|
|||||||||
Transportation
|
(2,806,945
|
)
|
(2,806,945
|
)
|
—
|
—
|
||||||||||
Utilities
|
(17,196,278
|
)
|
(17,196,278
|
)
|
—
|
—
|
||||||||||
Exchange Traded
|
(11,454,165
|
)
|
(11,454,165
|
)
|
—
|
—
|
||||||||||
Options Written
|
||||||||||||||||
Equity Contracts
|
(1,466,846
|
)
|
(1,123,130
|
)
|
(343,716
|
)
|
—
|
|||||||||
Total Liabilities
|
$
|
(199,454,388
|
)
|
$
|
(196,473,785
|
)
|
$
|
(2,980,521
|
)
|
$
|
(82
|
)
|
BOSTON PARTNERS INVESTMENT FUNDS
|
NOVEMBER 30, 2016 (unaudited)
|
|||||||
BOSTON PARTNERS LONG/SHORT RESEARCH FUND
|
Portfolio of Investments
|
|||||||
Number of
|
||||||||
Shares
|
Value
|
|||||||
LONG POSITIONS—99.7%
|
||||||||
COMMON STOCKS—95.1%
|
||||||||
Basic Industries—5.7%
|
||||||||
Berry Plastics Group, Inc.* Ɨ
|
1,007,883
|
$
|
50,162,337
|
|||||
Crown Holdings, Inc.*
|
609,944
|
33,174,854
|
||||||
Ferro Corp.*
|
1,299,340
|
19,230,232
|
||||||
Graphic Packaging Holding Co. Ɨ
|
5,017,766
|
63,073,319
|
||||||
Packaging Corp of America Ɨ
|
391,604
|
33,192,355
|
||||||
PPG Industries, Inc. Ɨ
|
500,779
|
48,039,729
|
||||||
Sealed Air Corp.
|
1,029,275
|
46,934,940
|
||||||
Steel Dynamics, Inc.
|
643,814
|
22,842,521
|
||||||
Stornoway Diamond Corp.*
|
26,913,645
|
20,235,823
|
||||||
WestRock Co. Ɨ
|
705,989
|
36,146,637
|
||||||
373,032,747
|
||||||||
Capital Goods—10.4%
|
||||||||
AMETEK, Inc.
|
537,963
|
25,472,548
|
||||||
BAE Systems PLC
|
1,923,807
|
14,448,574
|
||||||
CRH PLC
|
876,702
|
29,147,064
|
||||||
General Dynamics Corp. Ɨ
|
298,244
|
52,297,085
|
||||||
Honeywell International, Inc. Ɨ
|
270,003
|
30,764,142
|
||||||
Huntington Ingalls Industries, Inc. Ɨ
|
170,171
|
30,419,768
|
||||||
Ingersoll-Rand PLC Ɨ
|
375,631
|
27,999,535
|
||||||
Koninklijke Philips NV
|
984,964
|
28,274,038
|
||||||
L-3 Communications Holdings, Inc.
|
88,702
|
13,994,515
|
||||||
Lockheed Martin Corp. Ɨ
|
187,686
|
49,783,711
|
||||||
Masco Corp. Ɨ
|
1,166,027
|
36,904,755
|
||||||
Northrop Grumman Corp. Ɨ
|
126,365
|
31,547,022
|
||||||
Raytheon Co. Ɨ
|
342,454
|
51,210,571
|
||||||
Safran SA
|
674,451
|
46,289,640
|
||||||
Siemens AG, Registered Shares
|
327,025
|
36,863,496
|
||||||
Stanley Black & Decker, Inc. Ɨ
|
282,493
|
33,512,145
|
||||||
Textron, Inc. Ɨ
|
1,294,449
|
59,583,487
|
||||||
United Technologies Corp. Ɨ
|
330,682
|
35,621,065
|
||||||
Vinci SA
|
519,417
|
33,639,895
|
||||||
WABCO Holdings, Inc.*
|
90,514
|
8,916,534
|
||||||
676,689,590
|
||||||||
Communications—5.8%
|
||||||||
Alphabet, Inc., Class A* Ɨ
|
120,902
|
93,805,444
|
||||||
Baidu, Inc. - Sponsored ADR* Ɨ
|
162,900
|
27,196,155
|
||||||
Comcast Corp., Class A Ɨ
|
871,858
|
60,602,850
|
||||||
Liberty Broadband Corp., Class C* Ɨ
|
124,725
|
8,894,140
|
||||||
Liberty Global PLC LiLAC, Class C* Ɨ
|
517,926
|
10,964,486
|
||||||
Liberty Global PLC, Series C* Ɨ
|
1,779,095
|
54,173,443
|
||||||
NetEase, Inc. - ADR Ɨ
|
126,014
|
28,239,737
|
||||||
Priceline Group, Inc., (The)*
|
13,544
|
20,365,842
|
||||||
Verizon Communications, Inc. Ɨ
|
593,644
|
29,622,836
|
||||||
Vodafone Group PLC
|
8,686,169
|
20,983,592
|
||||||
Yandex NV, Class A*
|
342,928
|
6,519,061
|
||||||
YY, Inc. - ADR*
|
377,935
|
16,353,247
|
||||||
377,720,833
|
||||||||
Consumer Durables—1.5%
|
||||||||
Brunswick Corp.
|
766,772
|
38,430,613
|
||||||
Newell Brands, Inc.
|
373,833
|
17,573,889
|
||||||
Suzuki Motor Corp.
|
474,800
|
15,535,125
|
||||||
Tenneco, Inc.* Ɨ
|
479,567
|
28,270,475
|
||||||
99,810,102
|
||||||||
Consumer Non-Durables—4.2%
|
||||||||
Activision Blizzard, Inc.
|
301,557
|
11,040,002
|
||||||
Altria Group, Inc.
|
589,745
|
37,702,398
|
||||||
Coca-Cola European Partners PLC
|
761,070
|
24,704,332
|
||||||
Coca-Cola West Co Ltd.
|
568,300
|
16,178,043
|
||||||
Constellation Brands, Inc., Class A Ɨ
|
148,581
|
22,456,532
|
||||||
Electronic Arts, Inc.*
|
153,313
|
12,148,522
|
||||||
Greencore Group PLC
|
4,308,903
|
15,676,055
|
||||||
Hanesbrands, Inc.
|
813,993
|
18,909,057
|
||||||
Hasbro, Inc.
|
303,189
|
25,889,309
|
||||||
Imperial Brands PLC
|
356,595
|
15,291,805
|
||||||
Nomad Foods Ltd.*
|
1,853,264
|
17,439,214
|
||||||
PepsiCo, Inc.
|
343,506
|
34,384,951
|
||||||
PVH Corp.
|
181,333
|
19,210,418
|
||||||
271,030,638
|
||||||||
Consumer Services—8.2%
|
||||||||
Advance Auto Parts, Inc.
|
184,157
|
31,255,126
|
||||||
Alibaba Group Holding Ltd. - Sponsored ADR*
|
329,345
|
30,965,017
|
||||||
American Eagle Outfitters, Inc.
|
1,142,474
|
18,919,369
|
||||||
Babcock International Group PLC
|
2,806,587
|
33,520,379
|
||||||
CBS Corp., Class B non-voting shares Ɨ
|
306,148
|
18,589,307
|
||||||
CVS Health Corp. Ɨ
|
345,381
|
26,556,345
|
||||||
eBay, Inc.*
|
1,661,467
|
46,205,397
|
||||||
Interpublic Group of Cos., Inc., (The)
|
1,066,536
|
25,671,521
|
||||||
Lowe's Cos., Inc. Ɨ
|
301,896
|
21,298,763
|
||||||
Moneysupermarket.com Group PLC
|
4,226,642
|
14,009,639
|
||||||
Nielsen Holdings PLC
|
777,822
|
33,524,128
|
||||||
Omnicom Group, Inc. Ɨ
|
248,587
|
21,612,154
|
||||||
ProSiebenSat.1 Media SE
|
793,754
|
27,165,594
|
||||||
Robert Half International, Inc. Ɨ
|
265,734
|
11,923,485
|
||||||
Scripps Networks Interactive, Inc., Class A
|
398,079
|
27,570,952
|
||||||
Six Flags Entertainment Corp. Ɨ
|
647,837
|
37,341,325
|
||||||
Time Warner, Inc. Ɨ
|
710,160
|
65,206,891
|
||||||
Walgreens Boots Alliance, Inc.
|
235,614
|
19,963,574
|
||||||
WPP PLC
|
893,725
|
19,060,443
|
||||||
530,359,409
|
||||||||
Energy—10.1%
|
||||||||
Anadarko Petroleum Corp.
|
947,511
|
65,520,386
|
||||||
Canadian Natural Resources Ltd.
|
686,275
|
23,175,507
|
||||||
ConocoPhillips
|
1,157,102
|
56,142,589
|
Diamondback Energy, Inc.* #
|
619,428
|
66,805,310
|
||||||
Energen Corp.*
|
607,656
|
37,717,208
|
||||||
EQT Corp. Ɨ
|
570,831
|
40,003,837
|
||||||
Gulfport Energy Corp.*
|
1,675,141
|
43,034,372
|
||||||
Inpex Corp.
|
1,509,100
|
14,766,427
|
||||||
Kosmos Energy Ltd.* Ɨ
|
2,061,427
|
10,925,563
|
||||||
Marathon Oil Corp.
|
2,076,140
|
37,495,088
|
||||||
Marathon Petroleum Corp.
|
1,287,921
|
60,558,045
|
||||||
Newfield Exploration Co.*
|
860,251
|
38,900,550
|
||||||
Parsley Energy, Inc., Class A* Ɨ
|
1,417,972
|
54,095,632
|
||||||
Phillips 66 #
|
458,092
|
38,058,283
|
||||||
QEP Resources, Inc.*
|
1,403,721
|
27,597,155
|
||||||
RSP Permian, Inc.*
|
546,500
|
24,401,225
|
||||||
Viper Energy Partners LP
|
892,322
|
14,009,455
|
||||||
653,206,632
|
||||||||
Finance—17.7%
|
||||||||
Alleghany Corp.*
|
38,872
|
22,077,352
|
||||||
Allstate Corp., (The) Ɨ
|
437,519
|
30,591,328
|
||||||
Ally Financial, Inc. Ɨ
|
1,425,267
|
27,678,685
|
||||||
American International Group, Inc. Ɨ
|
307,899
|
19,499,244
|
||||||
Aon PLC
|
362,944
|
41,411,910
|
||||||
Bank of America Corp. Ɨ
|
3,264,174
|
68,939,355
|
||||||
BB&T Corp. Ɨ
|
542,356
|
24,541,609
|
||||||
Berkshire Hathaway, Inc. Class B* Ɨ
|
265,826
|
41,851,645
|
||||||
Capital One Financial Corp. Ɨ
|
515,325
|
43,307,913
|
||||||
Charles Schwab Corp., (The) Ɨ
|
882,049
|
34,100,014
|
||||||
Chubb Ltd. Ɨ
|
316,390
|
40,497,920
|
||||||
Citigroup, Inc. Ɨ
|
1,172,164
|
66,098,328
|
||||||
Citizens Financial Group, Inc. Ɨ
|
404,112
|
13,541,793
|
||||||
Discover Financial Services Ɨ
|
998,548
|
67,671,598
|
||||||
East West Bancorp, Inc.
|
566,524
|
27,125,169
|
||||||
Fifth Third Bancorp Ɨ
|
1,324,952
|
34,475,251
|
||||||
Goldman Sachs Group, Inc., (The) Ɨ
|
131,684
|
28,876,984
|
||||||
Huntington Bancshares, Inc.
|
2,789,718
|
34,759,886
|
||||||
ICICI Bank Ltd. - ADR
|
2,602,471
|
20,403,373
|
||||||
JPMorgan Chase & Co. Ɨ
|
726,416
|
58,236,771
|
||||||
MetLife, Inc.
|
498,350
|
27,414,234
|
||||||
Morgan Stanley
|
372,527
|
15,407,717
|
||||||
Navient Corp. Ɨ
|
2,148,146
|
37,012,556
|
||||||
Raymond James Financial, Inc.
|
353,235
|
25,411,726
|
||||||
SLM Corp.*
|
3,972,461
|
40,002,682
|
||||||
State Street Corp. Ɨ
|
351,911
|
27,730,587
|
||||||
SunTrust Banks, Inc. Ɨ
|
486,348
|
25,265,779
|
||||||
Synchrony Financial
|
1,440,255
|
49,775,213
|
||||||
TD Ameritrade Holding Corp. Ɨ
|
783,713
|
32,140,070
|
||||||
Travelers Cos., Inc., (The) Ɨ
|
240,062
|
27,211,028
|
||||||
Unum Group Ɨ
|
356,134
|
15,053,784
|
||||||
US Bancorp
|
535,269
|
26,560,048
|
||||||
Wells Fargo & Co. Ɨ
|
1,039,117
|
54,990,072
|
||||||
1,149,661,624
|
Health Care—9.6%
|
||||||||
Anthem, Inc. Ɨ
|
262,507
|
37,415,123
|
||||||
Cardinal Health, Inc. Ɨ
|
334,511
|
23,753,626
|
||||||
Celgene Corp.*
|
116,479
|
13,803,926
|
||||||
Cigna Corp. Ɨ
|
331,641
|
44,685,308
|
||||||
Danaher Corp. Ɨ
|
495,125
|
38,703,921
|
||||||
DaVita HealthCare Partners, Inc.*
|
500,757
|
31,722,956
|
||||||
Express Scripts Holding Co.* Ɨ
|
510,022
|
38,700,469
|
||||||
Gilead Sciences, Inc. Ɨ
|
465,658
|
34,318,995
|
||||||
Hologic, Inc.*
|
425,639
|
16,293,461
|
||||||
Johnson & Johnson Ɨ
|
497,913
|
55,417,717
|
||||||
Laboratory Corp. of America Holdings* Ɨ
|
348,127
|
43,811,783
|
||||||
Merck & Co., Inc. Ɨ
|
855,257
|
52,333,176
|
||||||
Novartis AG - Sponsored ADR
|
232,916
|
16,015,304
|
||||||
Pfizer, Inc. Ɨ
|
751,450
|
24,151,603
|
||||||
Quest Diagnostics, Inc.
|
302,764
|
26,479,740
|
||||||
Roche Holding AG
|
65,884
|
14,663,883
|
||||||
Sanofi - ADR
|
312,186
|
12,549,877
|
||||||
Teva Pharmaceutical Industries Ltd. - Sponsored ADR Ɨ
|
479,687
|
18,084,200
|
||||||
UnitedHealth Group, Inc.
|
267,277
|
42,315,295
|
||||||
Universal Health Services, Inc., Class B
|
220,989
|
27,186,067
|
||||||
Zimmer Biomet Holdings, Inc.
|
137,765
|
14,032,743
|
||||||
626,439,173
|
||||||||
Real Estate Investment Trusts—0.3%
|
||||||||
Boston Properties, Inc. Ɨ
|
77,233
|
9,567,624
|
||||||
SL Green Realty Corp.
|
110,688
|
11,662,088
|
||||||
21,229,712
|
||||||||
Technology—19.4%
|
||||||||
Alliance Data Systems Corp.
|
138,406
|
31,664,525
|
||||||
Amdocs Ltd. Ɨ
|
650,824
|
38,379,091
|
||||||
Apple, Inc.
|
294,360
|
32,532,667
|
||||||
Arrow Electronics, Inc.* Ɨ
|
655,754
|
44,768,326
|
||||||
Avnet, Inc. Ɨ
|
398,730
|
18,297,720
|
||||||
Broadcom Ltd. Ɨ
|
440,021
|
75,019,180
|
||||||
Brocade Communications Systems, Inc. Ɨ
|
3,200,268
|
39,491,307
|
||||||
Capgemini SA
|
374,585
|
29,490,611
|
||||||
CDW Corp. Ɨ
|
980,865
|
50,259,523
|
||||||
Cisco Systems, Inc. Ɨ
|
693,053
|
20,666,840
|
||||||
CommScope Holding Co, Inc.*
|
431,371
|
15,520,729
|
||||||
Computer Sciences Corp.
|
719,690
|
43,634,805
|
||||||
CoreLogic, Inc.*
|
274,152
|
10,343,755
|
||||||
Dell Technologies Inc., Class V* Ɨ
|
265,111
|
14,199,345
|
||||||
Equiniti Group PLC
|
613,536
|
1,475,824
|
||||||
EVERTEC, Inc. Ɨ
|
688,058
|
12,557,059
|
||||||
Fidelity National Information Services, Inc. Ɨ
|
318,145
|
24,557,613
|
||||||
Flextronics International Ltd.* Ɨ
|
4,065,284
|
57,889,644
|
||||||
Fortive Corp. Ɨ
|
432,560
|
23,786,447
|
||||||
Harris Corp. Ɨ
|
617,830
|
63,982,475
|
||||||
Hewlett Packard Enterprise Co. Ɨ
|
3,460,629
|
82,362,970
|
||||||
Hollysys Automation Technologies, Ltd.
|
519,451
|
9,796,846
|
||||||
HP, Inc.
|
611,431
|
9,416,037
|
||||||
Jabil Circuit, Inc. Ɨ
|
2,216,989
|
46,889,317
|
||||||
KLA-Tencor Corp.
|
406,811
|
32,479,790
|
||||||
Leidos Holdings, Inc. Ɨ
|
767,080
|
39,274,496
|
||||||
Microsoft Corp. Ɨ
|
1,027,354
|
61,908,352
|
||||||
ON Semiconductor Corp.*
|
4,366,804
|
51,440,951
|
||||||
Oracle Corp. Ɨ
|
1,435,493
|
57,692,464
|
||||||
PayPal Holdings, Inc.* Ɨ
|
274,933
|
10,799,368
|
||||||
Qorvo, Inc.*
|
575,176
|
30,720,150
|
||||||
Samsung Electronics Co., Ltd.
|
38,732
|
57,640,055
|
||||||
TE Connectivity Ltd. Ɨ
|
478,094
|
32,338,278
|
||||||
Texas Instruments, Inc. Ɨ
|
733,814
|
54,250,869
|
||||||
Total System Services, Inc.
|
274,931
|
13,532,104
|
||||||
Versum Materials, Inc.*
|
899,663
|
22,005,757
|
||||||
1,261,065,290
|
||||||||
Transportation—0.9%
|
||||||||
Delta Air Lines, Inc. Ɨ
|
583,703
|
28,122,810
|
||||||
United Continental Holdings, Inc.*
|
410,986
|
28,337,485
|
||||||
56,460,295
|
||||||||
Utilities—1.3%
|
||||||||
AES Corp.
|
2,353,637
|
26,949,144
|
||||||
Boardwalk Pipeline Partners LP
|
2,306,144
|
39,596,492
|
||||||
MPLX LP
|
540,931
|
17,769,583
|
||||||
84,315,219
|
||||||||
TOTAL COMMON STOCKS
|
||||||||
(Cost $5,159,369,603)
|
6,181,021,264
|
|||||||
MONEY MARKET FUNDS—4.6%
|
||||||||
Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio, 0.25%
|
||||||||
TOTAL MONEY MARKET FUNDS
|
||||||||
(Cost $299,937,636)
|
299,937,636
|
|||||||
TOTAL INVESTMENTS—99.7%
|
||||||||
(Cost $5,459,307,239)**
|
6,480,958,900
|
|||||||
SECURITIES SOLD SHORT—(46.8%)
|
||||||||
COMMON STOCKS—(46.8%)
|
||||||||
Basic Industries—(2.3%)
|
||||||||
Air Liquide SA
|
(122,800
|
)
|
(12,512,259
|
)
|
||||
AptarGroup, Inc.
|
(215,682
|
)
|
(15,783,609
|
)
|
||||
Balchem Corp.
|
(193,993
|
)
|
(15,492,281
|
)
|
||||
Ball Corp.
|
(321,399
|
)
|
(24,124,209
|
)
|
||||
Bemis Co., Inc.
|
(174,407
|
)
|
(8,732,558
|
)
|
||||
FMC Corp.
|
(158,426
|
)
|
(8,890,867
|
)
|
||||
Goldcorp, Inc.
|
(1,177,695
|
)
|
(15,533,797
|
)
|
||||
Ingevity Corp.*
|
(285,499
|
)
|
(14,951,583
|
)
|
||||
NewMarket Corp.
|
(61,679
|
)
|
(25,807,110
|
)
|
||||
Sonoco Products Co.
|
(161,490
|
)
|
(8,741,454
|
)
|
||||
(150,569,727
|
)
|
|||||||
Capital Goods—(4.6%)
|
||||||||
Actuant Corp., Class A
|
(728,706
|
)
|
(18,909,921
|
)
|
||||
Airbus Group SE
|
(267,039
|
)
|
(17,026,512
|
)
|
||||
Atlas Copco AB, Class A
|
(333,514
|
)
|
(10,095,665
|
)
|
||||
Axalta Coating Systems Ltd.*
|
(642,586
|
)
|
(16,977,122
|
)
|
||||
Caterpillar, Inc.
|
(253,605
|
)
|
(24,234,494
|
)
|
||||
Deere & Co.
|
(162,539
|
)
|
(16,286,408
|
)
|
||||
Emerson Electric Co.
|
(248,668
|
)
|
(14,034,822
|
)
|
||||
Flowserve Corp.
|
(139,778
|
)
|
(6,632,466
|
)
|
||||
James Hardie Industries PLC
|
(393,434
|
)
|
(6,021,707
|
)
|
||||
Metso OYJ
|
(228,833
|
)
|
(6,466,472
|
)
|
||||
Middleby Corp., (The)*
|
(123,907
|
)
|
(16,972,781
|
)
|
||||
MTU Aero Engines AG
|
(128,063
|
)
|
(13,453,421
|
)
|
||||
Rockwell Automation, Inc.
|
(150,384
|
)
|
(20,107,844
|
)
|
||||
Rolls-Royce Holdings PLC*
|
(80,825,956
|
)
|
(101,130
|
)
|
||||
Rolls-Royce Holdings PLC*
|
(1,757,086
|
)
|
(14,852,722
|
)
|
||||
Rolls-Royce Retained Shares*
|
(5,413,725
|
)
|
0
|
|||||
Rotork PLC
|
(2,589,554
|
)
|
(7,592,697
|
)
|
||||
Sun Hydraulics Corp.
|
(300,619
|
)
|
(11,946,599
|
)
|
||||
Sunoco LP
|
(949,607
|
)
|
(22,885,529
|
)
|
||||
Toro Co., (The)
|
(349,158
|
)
|
(18,480,933
|
)
|
||||
Trex Co., Inc.*
|
(35,218
|
)
|
(2,316,992
|
)
|
||||
Wabtec Corp.
|
(225,598
|
)
|
(19,101,383
|
)
|
||||
Zodiac Aerospace
|
(656,162
|
)
|
(14,528,255
|
)
|
||||
(299,025,875
|
)
|
|||||||
Communications—(2.6%)
|
||||||||
58.com, Inc. - ADR*
|
(216,863
|
)
|
(6,954,796
|
)
|
||||
Cogent Communications Holdings, Inc.
|
(611,942
|
)
|
(22,917,228
|
)
|
||||
CoStar Group, Inc.*
|
(66,438
|
)
|
(12,696,966
|
)
|
||||
Eutelsat Communications SA
|
(540,685
|
)
|
(9,719,893
|
)
|
||||
Frontier Communications Corp.
|
(2,067,566
|
)
|
(7,546,616
|
)
|
||||
SES SA
|
(672,850
|
)
|
(14,523,673
|
)
|
||||
Sky PLC
|
(929,604
|
)
|
(9,077,737
|
)
|
||||
Sprint Corp.*
|
(6,523,931
|
)
|
(51,147,619
|
)
|
||||
Synchronoss Technologies, Inc.*
|
(382,789
|
)
|
(18,557,611
|
)
|
||||
TalkTalk Telecom Group PLC
|
(3,007,413
|
)
|
(6,009,332
|
)
|
||||
Telefonica SA - ADR
|
(905,632
|
)
|
(7,507,689
|
)
|
||||
(166,659,160
|
)
|
|||||||
Consumer Durables—(0.9%)
|
||||||||
Autoliv, Inc.
|
(126,860
|
)
|
(13,124,936
|
)
|
||||
Dorman Products, Inc.*
|
(107,429
|
)
|
(7,760,671
|
)
|
||||
Ferrari NV
|
(353,058
|
)
|
(19,107,499
|
)
|
||||
Tesla Motors, Inc.*
|
(112,926
|
)
|
(21,388,184
|
)
|
||||
(61,381,290
|
)
|
|||||||
Consumer Non-Durables—(3.7%)
|
||||||||
B&G Foods, Inc.
|
(610,375
|
)
|
(26,124,050
|
)
|
||||
Blue Buffalo Pet Products, Inc.*
|
(723,024
|
)
|
(16,940,452
|
)
|
||||
China Resources Beer Holdings Co., Ltd.*
|
(9,418,000
|
)
|
(19,921,188
|
)
|
||||
Cie Financiere Richemont SA
|
(257,964
|
)
|
(16,839,439
|
)
|
||||
Flowers Foods, Inc.
|
(2,521,924
|
)
|
(39,140,261
|
)
|
||||
Luxottica Group SpA
|
(312,797
|
)
|
(16,277,622
|
)
|
||||
Mattel, Inc.
|
(829,571
|
)
|
(26,189,557
|
)
|
||||
McCormick & Co., Inc. non-voting shares
|
(181,553
|
)
|
(16,557,634
|
)
|
||||
Remy Cointreau SA
|
(201,528
|
)
|
(16,931,254
|
)
|
||||
TreeHouse Foods, Inc.*
|
(222,279
|
)
|
(15,408,380
|
)
|
||||
Tsingtao Brewery Co., Ltd. Class H
|
(3,480,000
|
)
|
(13,679,645
|
)
|
||||
Under Armour, Inc., Class A*
|
(443,375
|
)
|
(13,655,950
|
)
|
||||
(237,665,432
|
)
|
Consumer Services—(7.4%)
|
||||||||
Acxiom Corp.*
|
(856,191
|
)
|
(22,714,747
|
)
|
||||
Buffalo Wild Wings, Inc.*
|
(84,872
|
)
|
(14,309,419
|
)
|
||||
Casey's General Stores, Inc.
|
(109,686
|
)
|
(13,211,679
|
)
|
||||
Cheesecake Factory Inc., (The)
|
(340,274
|
)
|
(20,134,013
|
)
|
||||
Chipotle Mexican Grill, Inc.*
|
(40,058
|
)
|
(15,876,187
|
)
|
||||
Cimpress NV*
|
(241,733
|
)
|
(21,018,684
|
)
|
||||
Dollarama, Inc.*
|
(229,539
|
)
|
(17,072,316
|
)
|
||||
FactSet Research Systems, Inc.
|
(172,294
|
)
|
(27,596,330
|
)
|
||||
Hennes & Mauritz AB, Class B
|
(771,515
|
)
|
(22,409,584
|
)
|
||||
Jack in the Box, Inc.
|
(162,724
|
)
|
(16,926,550
|
)
|
||||
Medidata Solutions, Inc.*
|
(630,489
|
)
|
(34,821,907
|
)
|
||||
Monro Muffler Brake, Inc.
|
(282,006
|
)
|
(16,863,959
|
)
|
||||
Netflix, Inc.*
|
(195,799
|
)
|
(22,908,483
|
)
|
||||
Nord Anglia Education, Inc.*
|
(609,006
|
)
|
(14,616,144
|
)
|
||||
Panera Bread Co., Class A*
|
(86,070
|
)
|
(18,256,308
|
)
|
||||
Pearson PLC
|
(2,240,607
|
)
|
(22,216,324
|
)
|
||||
Planet Fitness, Inc.
|
(473,059
|
)
|
(9,588,906
|
)
|
||||
PriceSmart, Inc.
|
(170,224
|
)
|
(15,541,451
|
)
|
||||
Rollins, Inc.
|
(728,470
|
)
|
(23,405,741
|
)
|
||||
SeaWorld Entertainment, Inc.
|
(1,323,074
|
)
|
(22,359,951
|
)
|
||||
Sysco Corp.
|
(293,458
|
)
|
(15,626,638
|
)
|
||||
Television Francaise 1
|
(1,612,824
|
)
|
(14,752,898
|
)
|
||||
Texas Roadhouse, Inc.
|
(412,468
|
)
|
(19,340,625
|
)
|
||||
Whitbread PLC
|
(353,756
|
)
|
(15,316,701
|
)
|
||||
Zillow Group, Inc., Class A*
|
(747,488
|
)
|
(26,274,203
|
)
|
||||
(483,159,748
|
)
|
|||||||
Energy—(3.3%)
|
||||||||
Apache Corp.
|
(304,209
|
)
|
(20,062,583
|
)
|
||||
Continental Resources, Inc.*
|
(336,864
|
)
|
(19,541,481
|
)
|
||||
Hess Corp.
|
(584,753
|
)
|
(32,722,778
|
)
|
||||
HollyFrontier Corp.
|
(769,280
|
)
|
(22,132,185
|
)
|
||||
Laredo Petroleum, Inc.*
|
(1,827,839
|
)
|
(29,227,146
|
)
|
||||
Matador Resources Co.*
|
(1,113,887
|
)
|
(29,673,950
|
)
|
||||
Murphy Oil Corp.
|
(573,174
|
)
|
(19,436,330
|
)
|
||||
National Oilwell Varco, Inc.
|
(792,472
|
)
|
(29,606,754
|
)
|
||||
Royal Dutch Shell PLC, Class A - ADR
|
(275,996
|
)
|
(14,103,396
|
)
|
||||
(216,506,603
|
)
|
|||||||
Finance—(7.4%)
|
||||||||
Aberdeen Asset Management PLC
|
(2,409,693
|
)
|
(8,068,861
|
)
|
||||
Arch Capital Group Ltd.*
|
(232,131
|
)
|
(19,201,876
|
)
|
||||
BancorpSouth, Inc.
|
(310,692
|
)
|
(8,870,257
|
)
|
||||
Bank of East Asia Ltd., (The)
|
(3,852,258
|
)
|
(15,952,081
|
)
|
||||
Bankinter SA
|
(1,350,645
|
)
|
(10,146,471
|
)
|
||||
BOK Financial Corp.
|
(164,481
|
)
|
(13,211,114
|
)
|
||||
CaixaBank SA
|
(3,289,327
|
)
|
(9,538,079
|
)
|
||||
Canadian Western Bank*
|
(496,474
|
)
|
(10,777,326
|
)
|
||||
Community Bank System, Inc.
|
(259,027
|
)
|
(14,686,831
|
)
|
||||
Cullen/Frost Bankers, Inc.
|
(151,491
|
)
|
(12,469,224
|
)
|
||||
CVB Financial Corp.
|
(1,120,698
|
)
|
(23,276,897
|
)
|
||||
Eaton Vance Corp.
|
(565,739
|
)
|
(22,878,485
|
)
|
Financial Engines, Inc.
|
(410,715
|
)
|
(14,313,418
|
)
|
||||
First Financial Bankshares, Inc.
|
(709,372
|
)
|
(30,538,465
|
)
|
||||
Glacier Bancorp, Inc.
|
(360,818
|
)
|
(12,376,057
|
)
|
||||
Hang Seng Bank Ltd.
|
(629,300
|
)
|
(11,907,641
|
)
|
||||
Hiscox Ltd.
|
(1,183,502
|
)
|
(15,501,408
|
)
|
||||
Home BancShares, Inc.
|
(264,880
|
)
|
(6,852,446
|
)
|
||||
M&T Bank Corp.
|
(95,327
|
)
|
(13,721,368
|
)
|
||||
Mercury General Corp.
|
(286,049
|
)
|
(16,705,262
|
)
|
||||
Mobile Mini, Inc.
|
(350,025
|
)
|
(10,745,767
|
)
|
||||
New York Community Bancorp, Inc.
|
(669,124
|
)
|
(10,692,601
|
)
|
||||
People's United Financial, Inc.
|
(573,678
|
)
|
(10,739,252
|
)
|
||||
Prosperity Bancshares, Inc.
|
(199,848
|
)
|
(13,215,948
|
)
|
||||
RLI Corp.
|
(261,975
|
)
|
(15,728,979
|
)
|
||||
Texas Capital Bancshares, Inc.*
|
(139,284
|
)
|
(10,132,911
|
)
|
||||
Trustmark Corp.
|
(335,285
|
)
|
(11,302,457
|
)
|
||||
UMB Financial Corp.
|
(148,603
|
)
|
(11,296,800
|
)
|
||||
United Bankshares, Inc.
|
(635,365
|
)
|
(29,322,095
|
)
|
||||
Valley National Bancorp
|
(1,068,479
|
)
|
(12,116,552
|
)
|
||||
Verisk Analytics, Inc.*
|
(232,750
|
)
|
(19,336,870
|
)
|
||||
Westamerica Bancorporation
|
(444,734
|
)
|
(27,586,850
|
)
|
||||
WisdomTree Investments, Inc.
|
(1,030,063
|
)
|
(11,392,497
|
)
|
||||
(484,603,146
|
)
|
|||||||
Health Care—(4.1%)
|
||||||||
AmerisourceBergen Corp.
|
(171,971
|
)
|
(13,412,018
|
)
|
||||
athenahealth, Inc.*
|
(148,793
|
)
|
(14,075,818
|
)
|
||||
Baxter International, Inc.
|
(234,879
|
)
|
(10,421,581
|
)
|
||||
Bristol-Myers Squibb Co.
|
(325,574
|
)
|
(18,375,396
|
)
|
||||
Coloplast A/S, Class B
|
(150,156
|
)
|
(9,502,312
|
)
|
||||
Cooper Cos., Inc., (The)
|
(95,579
|
)
|
(15,721,790
|
)
|
||||
Edwards Lifesciences Corp.*
|
(129,534
|
)
|
(10,731,892
|
)
|
||||
Elekta AB, Class B
|
(2,047,201
|
)
|
(16,897,103
|
)
|
||||
Henry Schein, Inc.*
|
(100,059
|
)
|
(14,904,789
|
)
|
||||
IDEXX Laboratories, Inc.*
|
(190,282
|
)
|
(22,386,677
|
)
|
||||
Illumina, Inc.*
|
(75,440
|
)
|
(10,044,082
|
)
|
||||
Intuitive Surgical, Inc.*
|
(27,046
|
)
|
(17,410,592
|
)
|
||||
Juno Therapeutics, Inc.*
|
(523,749
|
)
|
(10,501,167
|
)
|
||||
Ono Pharmaceutical Co., Ltd.
|
(623,100
|
)
|
(13,899,287
|
)
|
||||
Seattle Genetics, Inc.*
|
(253,374
|
)
|
(16,421,169
|
)
|
||||
Sonova Holding AG
|
(81,528
|
)
|
(9,849,320
|
)
|
||||
Takeda Pharmaceutical Co., Ltd.
|
(231,500
|
)
|
(9,566,728
|
)
|
||||
West Pharmaceutical Services, Inc.
|
(228,144
|
)
|
(18,513,886
|
)
|
||||
Wright Medical Group NV*
|
(498,706
|
)
|
(11,490,186
|
)
|
||||
(264,125,793
|
)
|
|||||||
Real Estate Investment Trusts—(0.6%)
|
||||||||
Equinix, Inc.
|
(116,183
|
)
|
(39,358,153
|
)
|
||||
Technology—(7.8%)
|
||||||||
2U, Inc.*
|
(396,274
|
)
|
(13,100,818
|
)
|
||||
ACI Worldwide, Inc.*
|
(1,496,145
|
)
|
(27,843,258
|
)
|
||||
Arista Networks, Inc.*
|
(265,888
|
)
|
(25,208,841
|
)
|
||||
Blackbaud, Inc.
|
(464,917
|
)
|
(29,187,489
|
)
|
||||
Cavium, Inc.*
|
(214,373
|
)
|
(12,225,692
|
)
|
Cognex Corp.
|
(642,059
|
)
|
(38,337,343
|
)
|
||||
Dassault Systemes SA
|
(295,144
|
)
|
(22,481,120
|
)
|
||||
Electronics For Imaging, Inc.*
|
(482,245
|
)
|
(20,987,302
|
)
|
||||
F5 Networks, Inc.*
|
(73,270
|
)
|
(10,312,753
|
)
|
||||
Finisar Corp.*
|
(378,325
|
)
|
(12,571,740
|
)
|
||||
Guidewire Software, Inc.*
|
(455,453
|
)
|
(25,373,287
|
)
|
||||
Hexagon AB, Class B
|
(695,622
|
)
|
(24,662,385
|
)
|
||||
Infineon Technologies AG
|
(703,046
|
)
|
(11,747,587
|
)
|
||||
Itron, Inc.*
|
(432,339
|
)
|
(27,756,164
|
)
|
||||
National Instruments Corp.
|
(1,302,847
|
)
|
(38,394,901
|
)
|
||||
Proofpoint, Inc.*
|
(276,892
|
)
|
(21,323,453
|
)
|
||||
salesforce.com, Inc.*
|
(271,413
|
)
|
(19,541,736
|
)
|
||||
Unisys Corp.*
|
(1,154,790
|
)
|
(17,148,632
|
)
|
||||
Veeva Systems, Inc., Class A*
|
(877,709
|
)
|
(40,795,914
|
)
|
||||
ViaSat, Inc.*
|
(159,491
|
)
|
(11,368,519
|
)
|
||||
Wipro Ltd. - ADR
|
(2,948,507
|
)
|
(28,276,182
|
)
|
||||
Workday, Inc. Class A*
|
(365,427
|
)
|
(30,812,805
|
)
|
||||
(509,457,921
|
)
|
|||||||
Transportation—(1.0%)
|
||||||||
Heartland Express, Inc.
|
(536,069
|
)
|
(11,530,844
|
)
|
||||
JB Hunt Transport Services, Inc.
|
(111,270
|
)
|
(10,611,820
|
)
|
||||
Kuehne + Nagel International AG
|
(77,176
|
)
|
(10,063,631
|
)
|
||||
Norwegian Air Shuttle ASA*
|
(244,880
|
)
|
(7,645,146
|
)
|
||||
Old Dominion Freight Line, Inc.*
|
(114,674
|
)
|
(10,011,040
|
)
|
||||
Panalpina Welttransport Holding AG
|
(100,625
|
)
|
(12,522,405
|
)
|
||||
(62,384,886
|
)
|
|||||||
Utilities—(1.1%)
|
||||||||
Kinder Morgan, Inc.
|
(636,270
|
)
|
(14,125,194
|
)
|
||||
Ormat Technologies, Inc.
|
(504,513
|
)
|
(24,130,857
|
)
|
||||
Sembcorp Industries Ltd.
|
(3,028,700
|
)
|
(5,693,930
|
)
|
||||
Spectra Energy Corp.
|
(615,359
|
)
|
(25,198,951
|
)
|
||||
(69,148,932
|
)
|
|||||||
TOTAL COMMON STOCKS
|
||||||||
(Proceeds $(2,777,326,291))
|
(3,044,046,666
|
)
|
||||||
TOTAL SECURITIES SOLD SHORT—(46.8%)
|
||||||||
(Proceeds $(2,777,326,291))
|
(3,044,046,666
|
)
|
||||||
Number
|
||||||||
of Contracts
|
||||||||
OPTIONS WRITTEN ƗƗ—(0.1%)
|
||||||||
Diamondback Energy, Inc.
|
||||||||
Call Options Expires 03/17/2017
|
||||||||
Strike Price $92.50
|
(3,202
|
)
|
(5,132,806
|
)
|
||||
Phillips 66
|
||||||||
Call Options Expires 01/20/2017
|
||||||||
Strike Price $85.00
|
(4,122
|
)
|
(733,716
|
)
|
||||
TOTAL OPTIONS WRITTEN
|
||||||||
(Premiums received $(3,493,435))
|
(5,866,522
|
)
|
||||||
OTHER ASSETS IN EXCESS OF LIABILITIES—47.2%
|
3,071,139,732
|
|||||||
NET ASSETS—100.0%
|
$
|
6,502,185,444
|
ADR
|
American Depositary Receipt
|
|||||
PLC
|
Public Limited Company
|
|||||
*
|
Non-income producing.
|
|||||
Ɨ
|
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.
|
|||||
ƗƗ
|
Primary risk exposure is equity contracts.
|
|||||
**
|
The cost basis of investments for federal income tax purposes at November 30, 2016 was as follows: | |||||
Cost of investments
|
$
|
5,459,307,239
|
||||
Gross unrealized appreciation
|
$
|
1,151,685,051
|
||||
Gross unrealized depreciation
|
(130,033,390
|
)
|
||||
Net unrealized appreciation (depreciation)
|
$
|
1,021,651,661
|
||||
*Because tax adjustments are calculated annually at the end of the Fund's fiscal year, the above table does not reflect tax adjustments for the current fiscal year. For the previous fiscal year's federal income tax information, please refer to the Notes of Financial Statements section in the Fund's most recent annual report.
|
||||||
BOSTON PARTNERS INVESTMENT FUNDS
|
NOVEMBER 30, 2016 (unaudited)
|
|||||||||||||
BOSTON PARTNERS LONG/SHORT RESEARCH FUND
|
Portfolio of Investments
|
|||||||||||||
Contracts For Difference held by the Fund at November 30, 2016, are as follows:
|
||||||||||||||
Number of
|
Unrealized
|
|||||||||||||
Contracts
|
Notional
|
Appreciation
|
||||||||||||
Reference Company
|
Counterparty
|
Long/(Short)
|
Amount
|
(Depreciation)
|
||||||||||
Long
|
||||||||||||||
China
|
||||||||||||||
Jiangsu Yanghe Brewery Joint-Stock Co., Ltd., Class A
|
Goldman Sachs
|
1,389,911
|
$
|
13,864,223
|
$
|
363,935
|
||||||||
Kweichow Moutai Co., Ltd., Class A
|
Goldman Sachs
|
872,118
|
39,965,854
|
456,993
|
||||||||||
Wuliangye Yibin Co., Ltd., Class A
|
Goldman Sachs
|
5,510,112
|
27,991,920
|
741,715
|
||||||||||
1,562,643
|
||||||||||||||
Short
|
||||||||||||||
Taiwan
|
||||||||||||||
Semiconductor Manufacturing International Corp.
|
Goldman Sachs
|
(238,736,000
|
)
|
(31,696,474
|
)
|
(530,655
|
)
|
|||||||
(530,655
|
)
|
|||||||||||||
$
|
1,031,988
|
|||||||||||||
BOSTON PARTNERS INVESTMENT FUNDS
|
NOVEMBER 30, 2016 (unaudited) | |||||||||||
BOSTON PARTNERS LONG/SHORT RESEARCH FUND
|
Portfolio of Investments
|
|||||||||||
A summary of the inputs used to value the Fund's investments as of November 30, 2016 is as follows (see Notes to Portfolio of Investments):
|
||||||||||||
Total
|
Level 1
|
Level 2
|
Level 3
|
|||||||||
Value as of
|
Quoted
|
Significant
|
Significant
|
|||||||||
November 30, 2016
|
Price
|
Observable
|
Unobservable
|
|||||||||
Inputs
|
Inputs
|
|||||||||||
Common Stock
|
||||||||||||
Basic Industries
|
$
|
373,032,747
|
$
|
373,032,747
|
$
|
—
|
$
|
—
|
||||
Capital Goods
|
676,689,590
|
488,026,882
|
188,662,708
|
—
|
||||||||
Communications
|
377,720,833
|
356,737,241
|
20,983,592
|
—
|
||||||||
Consumer Durables
|
99,810,102
|
84,274,977
|
15,535,125
|
—
|
||||||||
Consumer Non-Durables
|
271,030,638
|
223,884,735
|
47,145,903
|
—
|
||||||||
Consumer Services
|
530,359,409
|
436,603,354
|
93,756,055
|
—
|
||||||||
Energy
|
653,206,632
|
638,440,205
|
14,766,427
|
—
|
||||||||
Finance
|
1,149,661,624
|
1,149,661,624
|
—
|
—
|
||||||||
Health Care
|
626,439,173
|
611,775,290
|
14,663,883
|
—
|
||||||||
Real Estate Investment Trusts
|
21,229,712
|
21,229,712
|
—
|
—
|
||||||||
Technology
|
1,261,065,290
|
1,173,934,624
|
87,130,666
|
—
|
||||||||
Transportation
|
56,460,295
|
56,460,295
|
—
|
—
|
||||||||
Utilities
|
84,315,219
|
84,315,219
|
—
|
—
|
||||||||
Money Market Funds
|
299,937,636
|
299,937,636
|
—
|
—
|
||||||||
Contracts for difference
|
||||||||||||
Equity Contracts
|
1,562,643
|
—
|
1,562,643
|
—
|
||||||||
Total Assets
|
$
|
6,482,521,543
|
$
|
5,998,314,541
|
$
|
484,207,002
|
$
|
—
|
||||
Total
|
Level 1
|
Level 2
|
Level 3
|
|||||||||
Value as of
|
Quoted
|
Significant
|
Significant
|
|||||||||
November 30, 2016
|
Price
|
Observable
|
Unobservable
|
|||||||||
Inputs
|
Inputs
|
|||||||||||
Securities Sold Short
|
||||||||||||
Basic Industries
|
$
|
(150,569,727
|
)
|
$
|
(138,057,468
|
)
|
$
|
(12,512,259
|
)
|
$
|
—
|
|
Capital Goods
|
(299,025,875
|
)
|
(208,887,294
|
)
|
(90,037,451
|
)
|
(101,130
|
)
|
||||
Communications
|
(166,659,160
|
)
|
(133,337,858
|
)
|
(33,321,302
|
)
|
—
|
|||||
Consumer Durables
|
(61,381,290
|
)
|
(61,381,290
|
)
|
—
|
—
|
||||||
Consumer Non-Durables
|
(237,665,432
|
)
|
(154,016,283
|
)
|
(83,649,149
|
)
|
—
|
|||||
Consumer Services
|
(483,159,748
|
)
|
(408,464,241
|
)
|
(74,695,507
|
)
|
—
|
|||||
Energy
|
(216,506,603
|
)
|
(216,506,603
|
)
|
—
|
—
|
||||||
Finance
|
(484,603,146
|
)
|
(413,488,606
|
)
|
(71,114,540
|
)
|
—
|
|||||
Health Care
|
(264,125,793
|
)
|
(204,411,043
|
)
|
(59,714,750
|
)
|
—
|
|||||
Real Estate Investment Trusts
|
(39,358,153
|
)
|
(39,358,153
|
)
|
—
|
—
|
||||||
Technology
|
(509,457,921
|
)
|
(450,566,829
|
)
|
(58,891,092
|
)
|
—
|
|||||
Transportation
|
(62,384,886
|
)
|
(32,153,704
|
)
|
(30,231,182
|
)
|
—
|
|||||
Utilities
|
(69,148,932
|
)
|
(63,455,001
|
)
|
(5,693,931
|
)
|
—
|
|||||
Options Written
|
||||||||||||
Equity Contracts
|
(5,866,522
|
)
|
(5,866,522
|
)
|
—
|
—
|
||||||
Contracts for difference
|
||||||||||||
Equity Contracts
|
(530,655
|
)
|
—
|
(530,655
|
)
|
—
|
||||||
Total Liabilities
|
$
|
(3,050,443,843
|
)
|
$
|
(2,529,950,895
|
)
|
$
|
(520,391,818
|
)
|
$
|
(101,130
|
)
|
BOSTON PARTNERS INVESTMENT FUNDS
|
NOVEMBER 30, 2016 (unaudited)
|
||||||||
BOSTON PARTNERS ALL-CAP VALUE FUND
|
Portfolio of Investments
|
||||||||
Number of
|
|||||||||
Shares
|
Value
|
||||||||
COMMON STOCKS—98.1%
|
|||||||||
Basic Industries—1.1%
|
|||||||||
Crown Holdings, Inc.*
|
123,902
|
$
|
6,739,030
|
||||||
Graphic Packaging Holding Co.
|
367,867
|
4,624,088
|
|||||||
Mosaic Co., (The)
|
138,985
|
3,947,174
|
|||||||
15,310,292
|
|||||||||
Capital Goods—5.9%
|
|||||||||
CRH PLC - Sponsored ADR
|
131,896
|
4,367,077
|
|||||||
General Dynamics Corp.
|
66,673
|
11,691,111
|
|||||||
General Electric Co.
|
201,894
|
6,210,259
|
|||||||
Ingersoll-Rand PLC
|
65,522
|
4,884,010
|
|||||||
Masco Corp.
|
149,233
|
4,723,224
|
|||||||
Raytheon Co.
|
90,381
|
13,515,575
|
|||||||
Stanley Black & Decker, Inc.
|
88,115
|
10,453,082
|
|||||||
Textron, Inc.
|
118,600
|
5,459,158
|
|||||||
United Technologies Corp.
|
105,012
|
11,311,893
|
|||||||
WABCO Holdings, Inc.*
|
19,137
|
1,885,186
|
|||||||
WESCO International, Inc.*
|
124,586
|
8,459,389
|
|||||||
82,959,964
|
|||||||||
Communications—2.5%
|
|||||||||
Alphabet, Inc., Class A*
|
17,605
|
13,659,368
|
|||||||
Comcast Corp., Class A
|
110,973
|
7,713,733
|
|||||||
IAC/InterActiveCorp*
|
111,101
|
7,483,763
|
|||||||
NetEase, Inc. - ADR
|
30,780
|
6,897,798
|
|||||||
35,754,662
|
|||||||||
Consumer Durables—2.2%
|
|||||||||
Brunswick Corp.
|
215,902
|
10,821,008
|
|||||||
Lear Corp.
|
62,497
|
8,093,987
|
|||||||
Newell Brands, Inc.
|
82,126
|
3,860,743
|
|||||||
NVR, Inc.*
|
2,670
|
4,258,650
|
|||||||
Thor Industries, Inc.
|
41,004
|
4,123,772
|
|||||||
31,158,160
|
|||||||||
Consumer Non-Durables—3.0%
|
|||||||||
Activision Blizzard, Inc.
|
156,392
|
5,725,511
|
|||||||
Electronic Arts, Inc.*
|
86,611
|
6,863,056
|
|||||||
Hasbro, Inc.
|
84,927
|
7,251,917
|
|||||||
PepsiCo, Inc.
|
153,940
|
15,409,394
|
|||||||
Reynolds American, Inc.
|
133,495
|
7,222,079
|
|||||||
42,471,957
|
|||||||||
Consumer Services—7.8%
|
|||||||||
Bed Bath & Beyond, Inc.
|
89,701
|
4,019,502
|
|||||||
Best Buy Co, Inc.
|
294,889
|
13,476,427
|
|||||||
CVS Health Corp.
|
174,558
|
13,421,765
|
|||||||
eBay, Inc.*
|
794,075
|
22,083,226
|
|||||||
Huron Consulting Group, Inc.*
|
65,833
|
3,472,691
|
|||||||
Interpublic Group of Cos., Inc., (The)
|
595,645
|
14,337,175
|
|||||||
Lowe's Cos., Inc.
|
168,321
|
11,875,046
|
|||||||
ManpowerGroup, Inc.
|
92,797
|
7,925,792
|
|||||||
Office Depot, Inc.
|
462,947
|
2,254,552
|
|||||||
Omnicom Group, Inc.
|
79,187
|
6,884,518
|
|||||||
Robert Half International, Inc.
|
99,404
|
4,460,257
|
|||||||
Scripps Networks Interactive, Inc., Class A
|
59,769
|
4,139,601
|
|||||||
Sportsman's Warehouse Holdings, Inc.*
|
306,703
|
2,760,327
|
|||||||
111,110,879
|
|||||||||
Energy—9.0%
|
|||||||||
Anadarko Petroleum Corp.
|
173,124
|
11,971,525
|
|||||||
Canadian Natural Resources Ltd.
|
350,476
|
11,835,575
|
|||||||
Cimarex Energy Co.
|
39,928
|
5,505,273
|
|||||||
Diamondback Energy, Inc.*
|
72,721
|
7,842,960
|
|||||||
Energen Corp.*
|
89,749
|
5,570,720
|
|||||||
EQT Corp.
|
166,065
|
11,637,835
|
|||||||
Gulfport Energy Corp.*
|
240,211
|
6,171,021
|
|||||||
Marathon Oil Corp.
|
444,725
|
8,031,733
|
|||||||
Marathon Petroleum Corp.
|
213,269
|
10,027,908
|
|||||||
Newfield Exploration Co.*
|
252,833
|
11,433,108
|
|||||||
Parsley Energy, Inc., Class A*
|
268,214
|
10,232,364
|
|||||||
Phillips 66
|
114,558
|
9,517,479
|
|||||||
QEP Resources, Inc.*
|
367,897
|
7,232,855
|
|||||||
Rice Energy, Inc.*
|
139,967
|
3,408,196
|
|||||||
RSP Permian, Inc.*
|
155,762
|
6,954,773
|
|||||||
127,373,325
|
|||||||||
Finance—29.6%
|
|||||||||
Aflac, Inc.
|
201,766
|
14,402,057
|
|||||||
Alleghany Corp.*
|
17,252
|
9,798,273
|
|||||||
Allstate Corp., (The)
|
162,633
|
11,371,299
|
|||||||
Ally Financial, Inc.
|
288,467
|
5,602,029
|
|||||||
American Express Co. #
|
101,816
|
7,334,825
|
|||||||
American International Group, Inc.
|
226,926
|
14,371,224
|
|||||||
Aon PLC
|
65,621
|
7,487,356
|
|||||||
Bank of America Corp.
|
1,312,680
|
27,723,802
|
|||||||
BB&T Corp.
|
396,208
|
17,928,412
|
|||||||
Capital One Financial Corp.
|
229,502
|
19,287,348
|
|||||||
Chubb Ltd.
|
161,475
|
20,668,800
|
|||||||
Citigroup, Inc.
|
489,607
|
27,608,939
|
|||||||
FCB Financial Holdings, Inc., Class A*
|
79,646
|
3,524,335
|
|||||||
Fifth Third Bancorp
|
866,132
|
22,536,755
|
|||||||
Goldman Sachs Group, Inc., (The)
|
84,594
|
18,550,618
|
|||||||
JPMorgan Chase & Co.
|
510,009
|
40,887,421
|
|||||||
Loews Corp.
|
267,141
|
11,927,846
|
|||||||
MetLife, Inc.
|
192,605
|
10,595,201
|
|||||||
Navient Corp.
|
474,236
|
8,171,086
|
|||||||
OneBeacon Insurance Group Ltd., Class A
|
238,286
|
3,657,690
|
|||||||
People's Choice Financial Corp. 144A* ǂ
|
1,465
|
0
|
|||||||
Prudential Financial, Inc.
|
157,023
|
15,796,514
|
|||||||
Raymond James Financial, Inc.
|
167,953
|
12,082,539
|
|||||||
SLM Corp.*
|
312,607
|
3,147,952
|
|||||||
State Street Corp.
|
148,663
|
11,714,644
|
|||||||
Torchmark Corp.
|
88,516
|
6,204,086
|
|||||||
Travelers Cos., Inc., (The)
|
125,459
|
14,220,778
|
|||||||
Wells Fargo & Co.
|
310,218
|
16,416,737
|
|||||||
White Mountains Insurance Group Ltd.
|
18,379
|
15,382,672
|
|||||||
WR Berkley Corp.
|
205,001
|
12,667,012
|
|||||||
XL Group Ltd.
|
248,268
|
8,969,923
|
|||||||
420,038,173
|
|||||||||
Health Care—17.9%
|
|||||||||
Allscripts Healthcare Solutions, Inc.*
|
232,268
|
2,550,303
|
|||||||
Anthem, Inc.
|
54,641
|
7,787,982
|
|||||||
Cardinal Health, Inc.
|
112,049
|
7,956,600
|
|||||||
Cigna Corp.
|
80,283
|
10,817,331
|
|||||||
DaVita HealthCare Partners, Inc.*
|
68,708
|
4,352,652
|
|||||||
Express Scripts Holding Co.*
|
149,105
|
11,314,087
|
|||||||
Gilead Sciences, Inc.
|
351,834
|
25,930,166
|
|||||||
Johnson & Johnson
|
217,558
|
24,214,205
|
|||||||
Laboratory Corp. of America Holdings*
|
99,359
|
12,504,330
|
|||||||
McKesson Corp.
|
142,161
|
20,444,173
|
|||||||
Medtronic PLC
|
162,098
|
11,834,775
|
|||||||
Merck & Co., Inc.
|
485,173
|
29,687,736
|
|||||||
Novartis AG - Sponsored ADR
|
202,952
|
13,954,980
|
|||||||
Perrigo Co., PLC
|
49,009
|
4,231,437
|
|||||||
Pfizer, Inc.
|
363,107
|
11,670,259
|
|||||||
Sanofi - ADR
|
198,446
|
7,977,529
|
|||||||
Shire PLC - ADR
|
39,607
|
6,915,382
|
|||||||
St Jude Medical, Inc.
|
270,584
|
21,430,253
|
|||||||
Teva Pharmaceutical Industries Ltd. - Sponsored ADR
|
181,264
|
6,833,653
|
|||||||
UnitedHealth Group, Inc.
|
69,953
|
11,074,959
|
|||||||
253,482,792
|
|||||||||
Real Estate Investment Trusts—–0.0%
|
|||||||||
TMST, Inc.* ǂ
|
191,097
|
0
|
|||||||
Technology—19.1%
|
|||||||||
Alliance Data Systems Corp.
|
31,594
|
7,228,075
|
|||||||
Amdocs Ltd.
|
122,642
|
7,232,199
|
|||||||
Arrow Electronics, Inc.*
|
158,293
|
10,806,663
|
|||||||
Avnet, Inc.
|
96,179
|
4,413,654
|
|||||||
Cisco Systems, Inc.
|
758,792
|
22,627,177
|
|||||||
Computer Sciences Corp.
|
332,905
|
20,184,030
|
|||||||
CSRA, Inc.
|
101,447
|
3,247,318
|
|||||||
Fidelity National Information Services, Inc.
|
88,895
|
6,861,805
|
|||||||
Flextronics International Ltd.*
|
699,341
|
9,958,616
|
|||||||
Fortive Corp.
|
131,662
|
7,240,093
|
|||||||
Hewlett Packard Enterprise Co.
|
1,227,915
|
29,224,377
|
|||||||
HP, Inc.
|
577,945
|
8,900,353
|
|||||||
Jabil Circuit, Inc.
|
691,150
|
14,617,822
|
|||||||
KLA-Tencor Corp.
|
58,515
|
4,671,838
|
|||||||
Leidos Holdings, Inc.
|
82,585
|
4,228,352
|
|||||||
Linear Technology Corp.
|
81,324
|
5,085,190
|
|||||||
Microsemi Corp.*
|
113,172
|
6,196,167
|
|||||||
Microsoft Corp.
|
325,440
|
19,611,014
|
|||||||
ON Semiconductor Corp.*
|
772,923
|
9,105,033
|
|||||||
Oracle Corp.
|
340,925
|
13,701,776
|
|||||||
PayPal Holdings, Inc.*
|
85,902
|
3,374,231
|
|||||||
Qorvo, Inc.*
|
260,702
|
13,924,094
|
|||||||
Symantec Corp.
|
643,422
|
15,693,063
|
|||||||
TE Connectivity Ltd.
|
205,267
|
13,884,260
|
|||||||
Texas Instruments, Inc.
|
60,562
|
4,477,349
|
|||||||
Versum Materials, Inc.*
|
181,130
|
4,430,440
|
|||||||
270,924,989
|
|||||||||
TOTAL COMMON STOCKS
|
|||||||||
(Cost $1,101,842,995)
|
1,390,585,193
|
||||||||
MONEY MARKET FUNDS—1.9%
|
|||||||||
Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio, 0.25%
|
|||||||||
TOTAL MONEY MARKET FUNDS
|
|||||||||
(Cost $26,401,767)
|
26,401,767
|
||||||||
TOTAL INVESTMENTS—100.0%
|
|||||||||
(Cost $1,128,244,762)**
|
1,416,986,960
|
||||||||
Number
|
|||||||||
of Contracts
|
|||||||||
OPTIONS WRITTEN ƗƗ—(0.1%)
|
|||||||||
American Express Co.
|
|||||||||
Call Options Expires 01/20/2017
|
|||||||||
Strike Price $62.50
|
(1,017
|
)
|
(999,203
|
)
|
|||||
TOTAL OPTIONS WRITTEN
|
|||||||||
(Premiums received $(649,870))
|
(999,203
|
)
|
|||||||
OTHER ASSETS IN EXCESS OF LIABILITIES—0.1%
|
1,234,191
|
||||||||
NET ASSETS—100.0%
|
$
|
1,417,221,948
|
|||||||
ADR
|
American Depositary Receipt
|
||||||||
PLC
|
Public Limited Company
|
||||||||
144A
|
Security was purchased pursuant to Rule 144A under the Securities Act of 1933 and may not be resold subject to that rule except to qualified insitutional buyers. As of November 30, 2016, these securities amount to $0 or 0.0% of net assets. These 144A securities have been deemed illiquid.
|
||||||||
*
|
Non-income producing.
|
||||||||
#
|
Security segregated as collateral for options written.
|
||||||||
ǂ
|
Security has been valued at fair market value as determined in good faith by or under the direction of the RBB Fund, Inc.'s Board of Directors. As of November 30, 2016, these securities amounted to $0 or 0% of net assets.
|
||||||||
ƗƗ
|
Primary risk exposure is equity contracts.
|
||||||||
**
|
The cost basis of investments for federal income tax purposes at November 30, 2016 was as follows: |
Cost of investments
|
$
|
1,128,244,762
|
|||||||
Gross unrealized appreciation
|
$
|
315,933,523
|
|||||||
Gross unrealized depreciation
|
(27,191,325
|
)
|
|||||||
Net unrealized appreciation (depreciation)
|
$
|
288,742,198
|
|||||||
*Because tax adjustments are calculated annually at the end of the Fund's fiscal year, the above table does not reflect tax adjustments for the current fiscal year. For the previous fiscal year's federal income tax information, please refer to the Notes of Financial Statements section in the Fund's most recent annual report.
|
|||||||||
BOSTON PARTNERS INVESTMENT FUNDS
|
NOVEMBER 30, 2016 (unaudited) | |||||||||||
BOSTON PARTNERS ALL-CAP VALUE FUND
|
Portfolio of Investments
|
|||||||||||
A summary of the inputs used to value the Fund's investments as of November 30, 2016 is as follows (see Notes to Portfolio of Investments):
|
||||||||||||
Total
|
Level 1
|
Level 2
|
Level 3
|
|||||||||
Value as of
|
Quoted
|
Significant
|
Significant
|
|||||||||
November 30, 2016
|
Price
|
Observable
|
Unobservable
|
|||||||||
Inputs
|
Inputs
|
|||||||||||
Common Stock *
|
||||||||||||
Basic Industries
|
$
|
15,310,292
|
$
|
15,310,292
|
$
|
—
|
$
|
—
|
||||
Capital Goods
|
82,959,964
|
82,959,964
|
—
|
—
|
||||||||
Communications
|
35,754,662
|
35,754,662
|
—
|
—
|
||||||||
Consumer Durables
|
31,158,160
|
31,158,160
|
—
|
—
|
||||||||
Consumer Non-Durables
|
42,471,957
|
42,471,957
|
—
|
—
|
||||||||
Consumer Services
|
111,110,879
|
111,110,879
|
—
|
—
|
||||||||
Energy
|
127,373,325
|
127,373,325
|
—
|
—
|
||||||||
Finance
|
420,038,173
|
420,038,173
|
—
|
—
|
||||||||
Health Care
|
253,482,792
|
253,482,792
|
—
|
—
|
||||||||
Real Estate Investment Trusts
|
—
|
—
|
—
|
—
|
||||||||
Technology
|
270,924,989
|
270,924,989
|
—
|
—
|
||||||||
Money Market Funds
|
26,401,767
|
26,401,767
|
—
|
—
|
||||||||
Total Assets
|
$
|
1,416,986,960
|
$
|
1,416,986,960
|
$
|
—
|
$
|
—
|
||||
Total
|
Level 1
|
Level 2
|
Level 3
|
|||||||||
Value as of
|
Quoted
|
Significant
|
Significant
|
|||||||||
November 30, 2016
|
Price
|
Observable
|
Unobservable
|
|||||||||
Inputs
|
Inputs
|
|||||||||||
Options Written
|
||||||||||||
Equity Contracts
|
$
|
(999,203
|
)
|
$
|
—
|
$
|
(999,203
|
)
|
$
|
—
|
||
Total Liabilities
|
$
|
(999,203
|
)
|
$
|
—
|
$
|
(999,203
|
)
|
$
|
—
|
||
* See Portfolio of Investments detail for industry and security type breakout.
|
BOSTON PARTNERS INVESTMENT FUNDS
|
NOVEMBER 30, 2016 (unaudited)
|
||||||||
WPG PARTNERS SMALL/MICRO CAP VALUE FUND
|
Portfolio of Investments
|
||||||||
Number of
|
|||||||||
Shares
|
Value
|
||||||||
COMMON STOCKS—95.7%
|
|||||||||
Basic Industries—2.8%
|
|||||||||
AdvanSix, Inc.*
|
10,600
|
$
|
198,220
|
||||||
Allegheny Technologies, Inc.
|
11,300
|
198,202
|
|||||||
Schweitzer-Mauduit International, Inc.
|
8,900
|
374,156
|
|||||||
Westmoreland Coal Co.*
|
12,300
|
213,036
|
|||||||
983,614
|
|||||||||
Capital Goods—11.7%
|
|||||||||
Carpenter Technology Corp.
|
3,200
|
114,464
|
|||||||
Engility Holdings, Inc.*
|
4,700
|
170,375
|
|||||||
Ferroglobe PLC
|
22,400
|
255,584
|
|||||||
Ferroglobe Representation & Warranty Insurance* ‡
|
22,400
|
0
|
|||||||
FreightCar America, Inc.
|
31,900
|
468,292
|
|||||||
Great Lakes Dredge & Dock Corp.*
|
144,400
|
613,700
|
|||||||
KBR, Inc.
|
28,500
|
476,235
|
|||||||
KEYW Holding Corp., (The)*
|
15,000
|
187,950
|
|||||||
Landec Corp.*
|
18,900
|
270,270
|
|||||||
Matrix Service Co.*
|
12,100
|
252,285
|
|||||||
MRC Global, Inc.*
|
4,600
|
92,598
|
|||||||
NN, Inc.
|
4,700
|
79,665
|
|||||||
Orion Group Holdings, Inc.*
|
23,300
|
232,301
|
|||||||
Smart Sand, Inc.*
|
12,800
|
174,976
|
|||||||
Sterling Construction Co., Inc.*
|
21,800
|
180,722
|
|||||||
Tutor Perini Corp.*
|
22,600
|
589,860
|
|||||||
4,159,277
|
|||||||||
Communications—0.9%
|
|||||||||
Bazaarvoice, Inc.*
|
42,100
|
223,130
|
|||||||
Ooma, Inc.*
|
10,400
|
96,720
|
|||||||
319,850
|
|||||||||
Consumer Durables—3.2%
|
|||||||||
Century Communities, Inc.*
|
19,700
|
408,775
|
|||||||
Libbey, Inc.
|
37,500
|
717,375
|
|||||||
1,126,150
|
|||||||||
Consumer Non-Durables—2.3%
|
|||||||||
Callaway Golf Co.
|
8,800
|
106,920
|
|||||||
Crocs, Inc.*
|
17,700
|
123,900
|
|||||||
Freshpet, Inc.*
|
13,400
|
123,950
|
|||||||
Matthews International Corp., Class A
|
4,100
|
298,275
|
|||||||
Sequential Brands Group, Inc.*
|
35,400
|
181,248
|
|||||||
834,293
|
|||||||||
Consumer Services—9.3%
|
|||||||||
AMN Healthcare Services, Inc.*
|
5,100
|
169,830
|
|||||||
ARC Document Solutions, Inc.*
|
66,600
|
297,036
|
|||||||
Del Taco Restaurants, Inc.*
|
15,600
|
226,512
|
|||||||
Destination XL Group, Inc.*
|
10,000
|
41,000
|
|||||||
ICF International, Inc.*
|
11,600
|
642,060
|
|||||||
InnerWorkings, Inc.*
|
41,200
|
381,100
|
|||||||
Korn/Ferry International
|
4,200
|
106,596
|
|||||||
Lumber Liquidators Holdings, Inc.*
|
22,700
|
400,655
|
|||||||
MDC Partners, Inc., Class A
|
70,200
|
435,240
|
|||||||
Shoe Carnival, Inc.
|
6,800
|
177,548
|
|||||||
Tabula Rasa HealthCare, Inc.*
|
6,700
|
92,996
|
|||||||
Titan Machinery, Inc.*
|
22,500
|
314,775
|
|||||||
3,285,348
|
|||||||||
Energy—5.5%
|
|||||||||
Approach Resources, Inc.*
|
28,000
|
98,280
|
|||||||
Bill Barrett Corp.*
|
23,200
|
181,424
|
|||||||
Eclipse Resources Corp.*
|
73,400
|
216,530
|
|||||||
Flotek Industries, Inc.*
|
1,200
|
16,152
|
|||||||
Gulfport Energy Corp.*
|
21,600
|
554,904
|
|||||||
Newpark Resources, Inc.*
|
13,900
|
102,165
|
|||||||
Pacific Ethanol, Inc.*
|
20,000
|
172,000
|
|||||||
Synergy Resources Corp.*
|
17,600
|
167,024
|
|||||||
TETRA Technologies, Inc.*
|
79,500
|
431,685
|
|||||||
1,940,164
|
|||||||||
Finance—26.1%
|
|||||||||
American Equity Investment Life Holding Co.
|
800
|
16,584
|
|||||||
Central Pacific Financial Corp.
|
17,500
|
517,125
|
|||||||
CNO Financial Group, Inc.
|
14,100
|
252,390
|
|||||||
Customers Bancorp, Inc.*
|
25,200
|
768,600
|
|||||||
FBR & Co.
|
18,400
|
212,520
|
|||||||
First Foundation, Inc.*
|
15,600
|
437,112
|
|||||||
FNFV Group*
|
12,400
|
158,720
|
|||||||
Fulton Financial Corp.
|
26,800
|
475,700
|
|||||||
Hanover Insurance Group Inc., (The)
|
2,300
|
199,157
|
|||||||
Investors Bancorp, Inc.
|
11,100
|
150,294
|
|||||||
Kearny Financial Corp.
|
17,200
|
260,580
|
|||||||
Kemper Corp.
|
19,600
|
802,620
|
|||||||
Kennedy-Wilson Holdings, Inc.
|
27,200
|
580,720
|
|||||||
Maiden Holdings Ltd.
|
28,700
|
441,980
|
|||||||
Meridian Bancorp, Inc.
|
31,700
|
562,675
|
|||||||
National Bank Holdings Corp., Class A
|
28,400
|
772,480
|
|||||||
Northfield Bancorp, Inc.
|
29,100
|
539,223
|
|||||||
Popular, Inc.
|
22,100
|
898,365
|
|||||||
Real Industry, Inc.*
|
31,500
|
184,275
|
|||||||
State Bank Financial Corp.
|
24,800
|
612,312
|
|||||||
United Community Banks, Inc.
|
15,100
|
410,418
|
|||||||
9,253,850
|
|||||||||
Health Care—2.9%
|
|||||||||
Accuray, Inc.*
|
131,400
|
663,570
|
|||||||
Trinity Biotech PLC - Sponsored ADR*
|
53,600
|
358,584
|
|||||||
1,022,154
|
|||||||||
Real Estate Investment Trusts—10.0%
|
|||||||||
CareTrust REIT, Inc.
|
7,800
|
110,370
|
|||||||
CatchMark Timber Trust, Inc., Class A
|
11,000
|
120,340
|
|||||||
Cedar Realty Trust, Inc.
|
61,000
|
393,450
|
|||||||
Colony Starwood Homes
|
22,400
|
684,320
|
|||||||
Equity Commonwealth*
|
19,700
|
572,876
|
|||||||
FelCor Lodging Trust, Inc.
|
14,500
|
105,270
|
|||||||
GEO Group Inc., (The)
|
5,900
|
196,234
|
|||||||
Gramercy Property Trust
|
61,200
|
534,888
|
|||||||
MedEquities Realty Trust, Inc.*
|
22,300
|
242,847
|
|||||||
Seritage Growth Properties
|
5,100
|
242,964
|
|||||||
Two Harbors Investment Corp.
|
37,800
|
327,726
|
|||||||
3,531,285
|
|||||||||
Technology—10.2%
|
|||||||||
Actua Corp.*
|
8,200
|
111,110
|
|||||||
Aerohive Networks, Inc.*
|
54,500
|
300,295
|
|||||||
Applied Micro Circuits Corp.*
|
29,500
|
258,125
|
|||||||
Babcock & Wilcox Enterprises, Inc.*
|
23,400
|
372,996
|
|||||||
Ciber, Inc.*
|
141,300
|
117,265
|
|||||||
Digi International, Inc.*
|
10,200
|
136,680
|
|||||||
Exar Corp.*
|
71,100
|
710,289
|
|||||||
Generac Holdings, Inc.*
|
4,700
|
192,606
|
|||||||
Imperva, Inc.*
|
3,600
|
137,340
|
|||||||
Mercury Systems, Inc.*
|
4,500
|
133,695
|
|||||||
QAD, Inc., Class A
|
8,400
|
243,600
|
|||||||
SuperCom Ltd.*
|
30,200
|
96,640
|
|||||||
Ultratech, Inc.*
|
9,700
|
222,324
|
|||||||
Viavi Solutions, Inc.*
|
20,600
|
161,710
|
|||||||
Vocera Communications, Inc.*
|
11,000
|
200,200
|
|||||||
Xcerra Corp.*
|
36,200
|
229,508
|
|||||||
3,624,383
|
|||||||||
Transportation—4.7%
|
|||||||||
Air Transport Services Group, Inc.*
|
13,600
|
220,320
|
|||||||
Ardmore Shipping Corp.
|
27,400
|
186,320
|
|||||||
Celadon Group, Inc.
|
30,700
|
247,135
|
|||||||
DHT Holdings, Inc.
|
46,100
|
163,655
|
|||||||
Rand Logistics, Inc.*
|
14,300
|
13,156
|
|||||||
Scorpio Tankers, Inc.
|
92,400
|
390,852
|
|||||||
Spirit Airlines, Inc.*
|
5,300
|
294,680
|
|||||||
StealthGas, Inc.*
|
42,500
|
151,300
|
|||||||
1,667,418
|
|||||||||
Utilities—6.1%
|
|||||||||
ALLETE, Inc.
|
5,100
|
315,282
|
|||||||
Cadiz, Inc.*
|
14,700
|
152,880
|
|||||||
Chesapeake Utilities Corp.
|
3,600
|
233,280
|
|||||||
Covanta Holding Corp.
|
24,600
|
359,160
|
|||||||
NorthWestern Corp.
|
6,000
|
336,600
|
|||||||
PNM Resources, Inc.
|
9,000
|
284,400
|
|||||||
Portland General Electric Co.
|
6,500
|
270,400
|
|||||||
South Jersey Industries, Inc.
|
6,700
|
221,100
|
|||||||
2,173,102
|
|||||||||
TOTAL COMMON STOCKS
|
|||||||||
(Cost $28,515,423)
|
33,920,888
|
||||||||
MONEY MARKET FUNDS—4.5%
|
|||||||||
Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio, 0.25%
|
|||||||||
TOTAL MONEY MARKET FUNDS
|
|||||||||
(Cost $1,587,661)
|
1,587,661
|
||||||||
TOTAL INVESTMENTS—100.2%
|
|||||||||
(Cost $30,103,084)**
|
35,508,549
|
||||||||
LIABILITIES IN EXCESS OF OTHER ASSETS—(0.2)%
|
(67,479
|
)
|
|||||||
NET ASSETS—100.0%
|
$
|
35,441,070
|
ADR
|
American Depositary Receipt
|
||||||||
PLC
|
Public Limited Company
|
||||||||
*
|
Non-income producing.
|
||||||||
‡
|
Security has been valued at fair market value as determined in good faith by or under the direction of the RBB Fund, Inc.'s Board of Directors. As of November 30, 2016, these securities amounted to $0 or 0% of net assets.
|
||||||||
**
|
The cost basis of investments for federal income tax purposes at November 30, 2016 was as follows: | ||||||||
Cost of investments
|
|
|
|
|
|
$
|
30,103,084
|
|
|
Gross unrealized appreciation
|
$
|
7,589,874
|
|||||||
Gross unrealized depreciation
|
(2,184,409
|
)
|
|||||||
Net unrealized appreciation (depreciation)
|
$
|
5,405,465
|
|||||||
*Because tax adjustments are calculated annually at the end of the Fund's fiscal year, the above table does not reflect tax adjustments for the current fiscal year. For the previous fiscal year's federal income tax information, please refer to the Notes of Financial Statements section in the Fund's most recent annual report.
|
|||||||||
The accompanying notes are an integral part of the portfolio of investments.
|
BOSTON PARTNERS INVESTMENT FUNDS
|
NOVEMBER 30, 2016 (unaudited) | |||||||||||
WPG PARTNERS SMALL/MICRO CAP VALUE FUND
|
Portfolio of Investments | |||||||||||
A summary of the inputs used to value the Fund's investments as of November 30, 2016 is as follows (see Notes to Portfolio of Investments):
|
||||||||||||
Total
|
Level 1
|
Level 2
|
Level 3
|
|||||||||
Value as of
|
Quoted
|
Significant
|
Significant
|
|||||||||
November 30, 2016
|
Price
|
Observable
|
Unobservable
|
|||||||||
Inputs
|
Inputs
|
|||||||||||
Common Stock *
|
$
|
33,920,888
|
$
|
33,920,888
|
$
|
—
|
$
|
—
|
||||
Money Market Funds
|
1,587,661
|
1,587,661
|
—
|
—
|
||||||||
Total Assets
|
$
|
35,508,549
|
$
|
35,508,549
|
$
|
—
|
$
|
—
|
||||
* See Portfolio of Investments detail for industry and security type breakout.
|
BOSTON PARTNERS INVESTMENT FUNDS
|
NOVEMBER 30, 2016 (unaudited) | ||
BOSTON PARTNERS GLOBAL EQUITY FUND
|
Portfolio Holdings Summary |
The following table represents a summary by sector of the portfolio holdings of the Fund:
|
||||||||
% of Net Assets
|
Value
|
|||||||
COMMON STOCK
|
||||||||
Finance
|
20.6
|
%
|
$
|
87,594,928
|
||||
Industrials
|
16.6
|
%
|
70,695,573
|
|||||
Information Technology
|
15.0
|
%
|
63,988,949
|
|||||
Health Care
|
12.2
|
%
|
51,760,330
|
|||||
Consumer Discretionary
|
9.9
|
%
|
42,013,712
|
|||||
Energy
|
8.5
|
%
|
36,259,960
|
|||||
Materials
|
6.2
|
%
|
26,530,664
|
|||||
Consumer Staples
|
5.4
|
%
|
23,183,616
|
|||||
Telecommunication Services
|
1.6
|
%
|
6,935,436
|
|||||
Utilities
|
0.5
|
%
|
2,154,437
|
|||||
PREFERRED STOCK
|
0.4
|
%
|
1,715,674
|
|||||
MONEY MARKET FUNDS
|
2.9
|
%
|
12,256,464
|
|||||
OTHER ASSETS IN EXCESS OF LIABILITIES
|
0.2
|
%
|
818,421
|
|||||
NET ASSETS
|
100.0
|
%
|
$
|
425,908,164
|
||||
Portfolio holdings are subject to change at any time.
|
BOSTON PARTNERS INVESTMENT FUNDS
|
NOVEMBER 30, 2016 (unaudited)
|
||||||||
BOSTON PARTNERS GLOBAL EQUITY FUND
|
Portfolio of Investments
|
||||||||
Number of
|
|||||||||
Shares
|
Value
|
||||||||
COMMON STOCKS—96.5%
|
|||||||||
Australia—0.6%
|
|||||||||
Australia & New Zealand Banking Group Ltd.
|
131,485
|
$ |
2,753,581
|
||||||
Bermuda—0.7%
|
|||||||||
Validus Holdings Ltd.
|
55,696
|
3,026,521
|
|||||||
Canada—0.9%
|
|||||||||
Barrick Gold Corp.
|
43,415
|
652,093
|
|||||||
Cenovus Energy, Inc.*
|
199,354
|
3,082,396
|
|||||||
3,734,489
|
|||||||||
France—5.7%
|
|||||||||
Bollore SA
|
458,991
|
1,503,272
|
|||||||
Capgemini SA
|
60,900
|
4,794,581
|
|||||||
Havas SA
|
323,274
|
2,607,114
|
|||||||
Safran SA
|
93,911
|
6,445,400
|
|||||||
Teleperformance SA
|
47,973
|
4,681,746
|
|||||||
Vinci SA
|
67,575
|
4,376,476
|
|||||||
24,408,589
|
|||||||||
Germany—6.5%
|
|||||||||
Allianz SE, Registered Shares
|
11,666
|
1,853,856
|
|||||||
Aurelious AG
|
67,906
|
3,921,573
|
|||||||
Bayer AG, Registered Shares
|
24,642
|
2,320,622
|
|||||||
KION Group AG
|
32,644
|
1,848,371
|
|||||||
Merck KGaA
|
65,018
|
6,512,903
|
|||||||
Muenchener Rueckversicherungs Gesellschaft AG, Registered Shares
|
16,757
|
3,052,858
|
|||||||
ProSiebenSat.1 Media SE
|
47,581
|
1,628,421
|
|||||||
Siemens AG, Registered Shares
|
59,354
|
6,690,608
|
|||||||
27,829,212
|
|||||||||
Hong Kong—1.5%
|
|||||||||
WH Group Ltd.
|
7,738,500
|
6,441,091
|
|||||||
India—0.5%
|
|||||||||
ICICI Bank Ltd. - Sponsored ADR
|
273,245
|
2,142,241
|
|||||||
Indonesia—0.3%
|
|||||||||
Bank Rakyat Indonesia Persero Tbk PT
|
1,334,400
|
1,071,978
|
|||||||
Ireland—1.5%
|
|||||||||
CRH PLC
|
194,875
|
6,478,865
|
|||||||
Italy—0.3%
|
|||||||||
Prysmian SpA
|
51,880
|
1,239,066
|
|||||||
Japan—8.0%
|
|||||||||
Alps Electric Co., Ltd.
|
119,600
|
3,087,084
|
|||||||
Astellas Pharma, Inc.
|
288,000
|
4,015,636
|
|||||||
Coca-Cola West Co., Ltd.
|
121,500
|
3,458,793
|
|||||||
Fujitsu General Ltd.
|
5,000
|
98,422
|
|||||||
Inpex Corp.
|
213,300
|
2,087,124
|
|||||||
Matsumotokiyoshi Holdings Co., Ltd.
|
53,200
|
2,565,480
|
|||||||
Nippon Telegraph & Telephone Corp.
|
98,700
|
3,961,931
|
Nippon Television Holdings, Inc.
|
144,300
|
2,482,504
|
|||||||
NSK Ltd.
|
166,100
|
1,853,239
|
|||||||
Resona Holdings, Inc.
|
451,100
|
2,203,228
|
|||||||
Shinsei Bank Ltd.
|
727,000
|
1,184,642
|
|||||||
Suzuki Motor Corp.
|
86,200
|
2,820,404
|
|||||||
Tokio Marine Holdings Inc.
|
98,600
|
4,320,167
|
|||||||
34,138,654
|
|||||||||
Netherlands—2.1%
|
|||||||||
Koninklijke Ahold NV
|
119,622
|
2,355,706
|
|||||||
Koninklijke Philips NV
|
79,934
|
2,294,558
|
|||||||
Randstad Holding NV
|
84,136
|
4,266,665
|
|||||||
8,916,929
|
|||||||||
Norway—0.6%
|
|||||||||
Yara International ASA
|
65,462
|
2,420,556
|
|||||||
Singapore—1.1%
|
|||||||||
Flextronics International Ltd.*
|
338,817
|
4,824,754
|
|||||||
South Korea—0.3%
|
|||||||||
Samsung Electronics Co., Ltd.
|
938
|
1,395,910
|
|||||||
Switzerland—5.3%
|
|||||||||
Chubb Ltd.
|
55,173
|
7,062,144
|
|||||||
Dufry AG, Registered Shares*
|
9,728
|
1,203,308
|
|||||||
Georg Fischer AG, Registered Shares
|
5,520
|
4,720,953
|
|||||||
Roche Holding AG, Participation Certificate
|
17,436
|
3,880,752
|
|||||||
Swiss Re AG
|
37,617
|
3,460,116
|
|||||||
TE Connectivity Ltd.
|
32,299
|
2,184,704
|
|||||||
22,511,977
|
|||||||||
Taiwan—0.8%
|
|||||||||
Hon Hai Precision Industry Co., Ltd.
|
674,500
|
1,732,633
|
|||||||
Pegatron Corp.
|
650,000
|
1,544,901
|
|||||||
3,277,534
|
|||||||||
United Kingdom—4.7%
|
|||||||||
Babcock International Group PLC
|
280,262
|
3,347,300
|
|||||||
Greencore Group PLC
|
502,811
|
1,829,257
|
|||||||
Imperial Brands PLC
|
108,414
|
4,649,100
|
|||||||
Rightmove PLC
|
26,786
|
1,228,160
|
|||||||
SSE PLC
|
116,947
|
2,154,438
|
|||||||
Vodafone Group PLC
|
1,230,884
|
2,973,505
|
|||||||
WPP PLC
|
172,294
|
3,674,508
|
|||||||
19,856,268
|
|||||||||
United States—55.1%
|
|||||||||
Activision Blizzard, Inc.
|
54,182
|
1,983,603
|
|||||||
AdvanSix, Inc.*
|
729
|
13,629
|
|||||||
Allscripts Healthcare Solutions, Inc.*
|
157,483
|
1,729,163
|
|||||||
Allstate Corp. (The)
|
38,065
|
2,661,505
|
|||||||
Alphabet, Inc.*
|
11,180
|
8,474,887
|
|||||||
American Eagle Outfitters, Inc.
|
120,241
|
1,991,191
|
|||||||
Apple, Inc.
|
20,271
|
2,240,351
|
|||||||
Bank of America Corp.
|
357,489
|
7,550,168
|
|||||||
Berkshire Hathaway, Inc., Class B*
|
69,860
|
10,998,758
|
|||||||
Berry Plastics Group, Inc.*
|
98,356
|
4,895,178
|
|||||||
Brunswick Corp.
|
102,665
|
5,145,570
|
|||||||
Builders FirstSource, Inc.*
|
106,665
|
1,179,715
|
||||||
Capital One Financial Corp.
|
42,190
|
3,545,648
|
||||||
Cigna Corp.
|
13,095
|
1,764,420
|
||||||
Cisco Systems, Inc.
|
54,526
|
1,625,965
|
||||||
Citigroup, Inc.
|
40,220
|
2,268,006
|
||||||
Comcast Corp., Class A
|
133,434
|
9,274,997
|
||||||
CommScope Holding Co., Inc.*
|
79,271
|
2,852,171
|
||||||
Computer Sciences Corp.
|
70,759
|
4,290,118
|
||||||
ConocoPhillips
|
82,116
|
3,984,268
|
||||||
CVS Health Corp.
|
24,505
|
1,884,190
|
||||||
DaVita, Inc.*
|
32,839
|
2,080,351
|
||||||
Diamondback Energy, Inc.*
|
79,784
|
8,604,704
|
||||||
Dow Chemical Co., (The)
|
58,071
|
3,235,716
|
||||||
eBay, Inc.*
|
120,377
|
3,347,684
|
||||||
EQT Corp.
|
63,296
|
4,435,784
|
||||||
FedEx Corp.
|
12,692
|
2,432,676
|
||||||
Fifth Third Bancorp
|
213,125
|
5,545,513
|
||||||
Graphic Packaging Holding Co.
|
171,246
|
2,152,562
|
||||||
Gulfport Energy Corp.*
|
71,097
|
1,826,482
|
||||||
Hasbro, Inc.
|
26,805
|
2,288,879
|
||||||
HCA Holdings, Inc.*
|
28,769
|
2,039,434
|
||||||
Hewlett Packard Enterprise Co.
|
143,990
|
3,426,962
|
||||||
Honeywell International, Inc.
|
18,259
|
2,080,431
|
||||||
Huntington Bancshares Inc.
|
198,432
|
2,472,463
|
||||||
Ingersoll-Rand PLC
|
73,709
|
5,494,269
|
||||||
Jabil Circuit, Inc.
|
140,835
|
2,978,660
|
||||||
Johnson & Johnson
|
46,188
|
5,140,724
|
||||||
KLA-Tencor Corp.
|
6,579
|
525,267
|
||||||
Laboratory Corp. of America Holdings*
|
46,218
|
5,816,535
|
||||||
Leidos Holdings, Inc.
|
72,404
|
3,707,085
|
||||||
Liberty Global PLC LiLAC, Class C*
|
65,722
|
1,391,335
|
||||||
Liberty Global PLC, Series C*
|
34,041
|
1,036,549
|
||||||
Loews Corp.
|
84,799
|
3,786,275
|
||||||
Marathon Oil Corp.
|
116,752
|
2,108,541
|
||||||
Marathon Petroleum Corp.
|
51,164
|
2,405,731
|
||||||
Merck & Co, Inc.
|
181,391
|
11,099,315
|
||||||
Northrop Grumman Corp.
|
8,369
|
2,089,321
|
||||||
Oracle Corp.
|
38,571
|
1,550,169
|
||||||
Parsley Energy, Inc., Class A*
|
147,490
|
5,626,744
|
||||||
PayPal Holdings, Inc.*
|
41,415
|
1,626,781
|
||||||
Pfizer, Inc.
|
77,989
|
2,506,567
|
||||||
Phillips 66
|
25,255
|
2,098,185
|
||||||
PPG Industries, Inc.
|
22,937
|
2,200,346
|
||||||
PulteGroup, Inc.
|
163,917
|
3,091,475
|
||||||
Qorvo, Inc.*
|
35,651
|
1,904,120
|
||||||
Quest Diagnostics, Inc.
|
32,631
|
2,853,907
|
||||||
Raytheon Co.
|
35,247
|
5,270,836
|
||||||
Reliance Steel & Aluminum Co.
|
10,967
|
889,424
|
||||||
SunTrust Banks, Inc.
|
34,975
|
1,816,951
|
||||||
Tenneco, Inc.*
|
55,624
|
3,279,035
|
||||||
United Parcel Service, Inc., Class B
|
54,782
|
6,350,329
|
||||||
United Technologies Corp.
|
23,490
|
2,530,343
|
|||||||
Unum Group
|
49,948
|
2,111,302
|
|||||||
Versum Materials, Inc.*
|
108,847
|
2,662,398
|
|||||||
Wells Fargo & Co.
|
102,757
|
5,437,900
|
|||||||
WestRock Co.
|
70,162
|
3,592,294
|
|||||||
WR Berkley Corp.
|
54,176
|
3,347,535
|
|||||||
234,649,390
|
|||||||||
TOTAL COMMON STOCKS
|
|||||||||
(Cost $371,194,913)
|
411,117,605
|
||||||||
PREFERRED STOCKS—0.4%
|
|||||||||
South Korea—0.4%
|
|||||||||
Samsung Electronics Co., Ltd.
|
1,484
|
1,715,674
|
|||||||
TOTAL PREFERRED STOCKS
|
|||||||||
(Cost $1,431,195)
|
1,715,674
|
||||||||
MONEY MARKET FUNDS—2.9%
|
|||||||||
Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio, 0.25%
|
|||||||||
TOTAL MONEY MARKET FUNDS
|
|||||||||
(Cost $12,256,464)
|
12,256,464
|
||||||||
TOTAL INVESTMENTS—99.8%
|
|||||||||
(Cost $384,882,572)**
|
425,089,743
|
||||||||
OTHER ASSETS IN EXCESS OF LIABILITIES—0.2%
|
818,421
|
||||||||
NET ASSETS—100.0%
|
$
|
425,908,164
|
ADR
|
American Depositary Receipt
|
||||||||
PLC
|
Public Limited Company
|
||||||||
*
|
Non-income producing.
|
||||||||
**
|
The cost basis of investments for federal income tax purposes at November 30, 2016 was as follows: |
Cost of investments
|
$
|
384,882,572
|
||||||
Gross unrealized appreciation
|
$
|
52,892,875
|
||||||
Gross unrealized depreciation
|
(12,685,704
|
)
|
||||||
Net unrealized appreciation (depreciation)
|
$
|
40,207,171
|
*Because tax adjustments are calculated annually at the end of the Fund's fiscal year, the above table does not reflect tax adjustments for the current fiscal year. For the previous fiscal year's federal income tax information, please refer to the Notes of Financial Statements section in the Fund's most recent annual report.
|
|||||||||
The accompanying notes are an integral part of the portfolio of investments.
|
BOSTON PARTNERS INVESTMENT FUNDS
|
|
|
|
|
NOVEMBER 30, 2016 (unaudited)
|
|||
BOSTON PARTNERS GLOBAL EQUITY FUND
|
Portfolio of Investments
|
A summary of the inputs used to value the Fund's investments as of November 30, 2016 is as follows (see Notes to Portfolio of Investments):
|
|||||||||||||||
Total
|
Level 1
|
Level 2
|
Level 3
|
||||||||||||
Value as of
|
Quoted
|
Significant
|
Significant
|
||||||||||||
November 30, 2016
|
Price
|
Observable
|
Unobservable
|
||||||||||||
Inputs
|
Inputs
|
||||||||||||||
Common Stock
|
|||||||||||||||
Australia
|
$
|
2,753,581
|
$
|
—
|
$
|
2,753,581
|
$
|
—
|
|||||||
Bermuda
|
3,026,521
|
3,026,521
|
—
|
—
|
|||||||||||
Canada
|
3,734,489
|
3,734,489
|
—
|
—
|
|||||||||||
France
|
24,408,589
|
—
|
24,408,589
|
—
|
|||||||||||
Germany
|
27,829,212
|
—
|
27,829,212
|
—
|
|||||||||||
Hong Kong
|
6,441,091
|
—
|
6,441,091
|
—
|
|||||||||||
India
|
2,142,241
|
2,142,241
|
—
|
—
|
|||||||||||
Indonesia
|
1,071,978
|
—
|
1,071,978
|
—
|
|||||||||||
Ireland
|
6,478,865
|
—
|
6,478,865
|
—
|
|||||||||||
Italy
|
1,239,066
|
—
|
1,239,066
|
—
|
|||||||||||
Japan
|
34,138,654
|
98,422
|
34,040,232
|
—
|
|||||||||||
Netherlands
|
8,916,929
|
—
|
8,916,929
|
—
|
|||||||||||
Norway
|
2,420,556
|
—
|
2,420,556
|
—
|
|||||||||||
Singapore
|
4,824,754
|
4,824,754
|
—
|
—
|
|||||||||||
South Korea
|
1,395,910
|
—
|
1,395,910
|
—
|
|||||||||||
Switzerland
|
22,511,977
|
9,246,848
|
13,265,129
|
—
|
|||||||||||
Taiwan
|
3,277,534
|
—
|
3,277,534
|
—
|
|||||||||||
United Kingdom
|
19,856,268
|
—
|
19,856,268
|
—
|
|||||||||||
United States
|
234,649,390
|
234,649,390
|
—
|
—
|
|||||||||||
Preferred Stock
|
|||||||||||||||
South Korea
|
1,715,674
|
—
|
1,715,674
|
—
|
|||||||||||
Money Market Funds
|
12,256,464
|
12,256,464
|
—
|
—
|
|||||||||||
Total Assets
|
$
|
425,089,743
|
$
|
269,979,129
|
$
|
155,110,614
|
$
|
—
|
BOSTON PARTNERS INVESTMENT FUNDS
|
NOVEMBER 30, 2016 (unaudited)
|
BOSTON PARTNERS GLOBAL LONG/SHORT FUND
|
Portfolio Holdings Summary
|
The following table represents a summary by sector of the portfolio holdings of the Fund:
|
||||||||
% of Net Assets
|
Value
|
|||||||
LONG POSITIONS:
|
||||||||
Common Stock
|
||||||||
Financial
|
18.1
|
%
|
$
|
159,991,213
|
||||
Information Technology
|
14.3
|
%
|
126,442,598
|
|||||
Industrial
|
13.0
|
%
|
114,975,755
|
|||||
Energy
|
11.0
|
%
|
97,262,382
|
|||||
Health Care
|
10.8
|
%
|
95,618,335
|
|||||
Consumer Discretionary
|
10.4
|
%
|
92,184,044
|
|||||
Materials
|
6.5
|
%
|
57,252,240
|
|||||
Consumer Staples
|
5.7
|
%
|
50,469,653
|
|||||
Telecommunication Services
|
1.8
|
%
|
15,639,036
|
|||||
Utilities
|
0.8
|
%
|
6,850,329
|
|||||
PREFERRED STOCK
|
0.7
|
%
|
6,303,136
|
|||||
MONEY MARKET FUNDS
|
6.0
|
%
|
53,235,439
|
|||||
SHORT POSITIONS:
|
||||||||
Common Stock
|
||||||||
Telecommunication Services
|
-0.2
|
%
|
$
|
(2,139,481
|
)
|
|||
Real Estate
|
-0.3
|
%
|
(2,970,925
|
)
|
||||
Consumer Staples
|
-2.9
|
%
|
(25,394,527
|
)
|
||||
Energy
|
-3.2
|
%
|
(28,054,879
|
)
|
||||
Health Care
|
-3.7
|
%
|
(32,465,690
|
)
|
||||
Materials
|
-4.9
|
%
|
(43,460,078
|
)
|
||||
Financial
|
-5.2
|
%
|
(46,043,936
|
)
|
||||
Information Technology
|
-5.4
|
%
|
(47,737,857
|
)
|
||||
Consumer Discretionary
|
-7.7
|
%
|
(68,041,007
|
)
|
||||
Industrial
|
-10.0
|
%
|
(88,066,206
|
)
|
||||
WRITTEN OPTIONS
|
-0.1
|
%
|
(1,157,388
|
)
|
||||
OTHER ASSETS IN EXCESS OF LIABILITIES
|
44.4
|
%
|
392,453,820
|
|||||
NET ASSETS
|
100.0
|
%
|
$
|
883,146,006
|
||||
Portfolio holdings are subject to change at any time.
|
||||||||
BOSTON PARTNERS INVESTMENT FUNDS
|
NOVEMBER 30, 2016 (unaudited)
|
||||||||
BOSTON PARTNERS GLOBAL LONG/SHORT FUND
|
Portfolio of Investments
|
||||||||
Number of
|
|||||||||
Shares
|
Value
|
||||||||
LONG POSITIONS—99.2%
|
|||||||||
COMMON STOCKS—92.5%
|
|||||||||
Australia—0.8%
|
|||||||||
Australia & New Zealand Banking Group Ltd.
|
330,203
|
$
|
6,915,166
|
||||||
Canada—1.4%
|
|||||||||
Barrick Gold Corp.
|
122,288
|
1,836,766
|
|||||||
Cenovus Energy, Inc.*
|
557,069
|
8,613,357
|
|||||||
Stornoway Diamond Corp.*
|
2,747,477
|
2,065,772
|
|||||||
12,515,895
|
|||||||||
France—5.0%
|
|||||||||
Cap Gemini SA
|
132,942
|
10,466,358
|
|||||||
Havas SA
|
766,786
|
6,183,914
|
|||||||
Safran SA
|
158,577
|
10,883,626
|
|||||||
Teleperformance SA
|
76,285
|
7,444,749
|
|||||||
Vinci SA
|
144,412
|
9,352,802
|
|||||||
44,331,449
|
|||||||||
Germany—2.9%
|
|||||||||
Aurelious AG
|
101,427
|
5,857,412
|
|||||||
Muenchener Rueckversicherungs Gesellschaft AG, Registered Shares
|
27,276
|
4,969,251
|
|||||||
Siemens AG, Registered Shares
|
126,818
|
14,295,405
|
|||||||
25,122,068
|
|||||||||
Hong Kong—1.5%
|
|||||||||
WH Group Ltd.
|
15,795,000
|
13,146,867
|
|||||||
India—1.5%
|
|||||||||
ICICI Bank Ltd. - Sponsored ADR
|
639,558
|
5,014,135
|
|||||||
Videocon d2h Ltd. - ADR* Ɨ
|
887,786
|
8,291,921
|
|||||||
13,306,056
|
|||||||||
Indonesia—0.3%
|
|||||||||
Bank Rakyat Indonesia Persero Tbk PT
|
3,264,000
|
2,622,105
|
|||||||
Ireland—1.0%
|
|||||||||
CRH PLC
|
275,527
|
9,160,243
|
|||||||
Japan—8.3%
|
|||||||||
Alps Electric Co., Ltd.
|
290,000
|
7,485,405
|
|||||||
Amano Corp.
|
307,833
|
5,211,173
|
|||||||
Astellas Pharma, Inc.
|
659,300
|
9,192,739
|
|||||||
Coca-Cola West Co., Ltd.
|
262,100
|
7,461,315
|
|||||||
Fujitsu General Ltd.
|
11,000
|
216,529
|
|||||||
Haseko Corp.
|
464,700
|
4,889,144
|
|||||||
Inpex Corp.
|
613,453
|
6,002,590
|
|||||||
Nippon Telegraph & Telephone Corp.
|
227,796
|
9,143,992
|
|||||||
NSK Ltd.
|
360,400
|
4,021,115
|
|||||||
Resona Holdings, Inc.
|
1,274,100
|
6,222,860
|
|||||||
Shinsei Bank Ltd.
|
596,000
|
971,179
|
|||||||
Suzuki Motor Corp.
|
186,000
|
6,085,790
|
|||||||
Tokio Marine Holdings Inc.
|
145,700
|
6,383,857
|
|||||||
73,287,688
|
Netherlands—1.6%
|
|||||||||
Koninklijke Ahold NV
|
149,793
|
2,949,870
|
|||||||
Koninklijke Philips NV
|
174,275
|
5,002,679
|
|||||||
Randstad Holding NV
|
118,206
|
5,994,407
|
|||||||
13,946,956
|
|||||||||
Norway—0.7%
|
|||||||||
Yara International ASA
|
164,582
|
6,085,667
|
|||||||
Russia—0.4%
|
|||||||||
PhosAgro PJSC
|
271,587
|
3,734,321
|
|||||||
Singapore—0.6%
|
|||||||||
Flextronics International Ltd.* Ɨ
|
356,399
|
5,075,122
|
|||||||
Switzerland—4.7%
|
|||||||||
Chubb Ltd. Ɨ
|
120,626
|
15,440,128
|
|||||||
Georg Fischer AG, Registered Shares
|
5,406
|
4,623,454
|
|||||||
Roche Holding AG, Participation Certificate
|
40,351
|
8,980,972
|
|||||||
Swiss Re AG
|
82,245
|
7,565,124
|
|||||||
TE Connectivity Ltd.
|
70,440
|
4,764,562
|
|||||||
41,374,240
|
|||||||||
Taiwan—0.3%
|
|||||||||
Pegatron Corp.
|
1,143,000
|
2,716,649
|
|||||||
United Kingdom—5.5%
|
|||||||||
Babcock International Group PLC
|
616,693
|
7,365,452
|
|||||||
Greencore Group PLC
|
841,876
|
3,062,797
|
|||||||
Imperial Brands PLC
|
267,996
|
11,492,429
|
|||||||
Liberty Global PLC LiLAC, Class C* Ɨ
|
149,629
|
3,167,647
|
|||||||
Rightmove PLC
|
72,446
|
3,321,709
|
|||||||
SSE PLC
|
371,849
|
6,850,329
|
|||||||
Vodafone Group PLC
|
2,688,627
|
6,495,044
|
|||||||
WPP PLC
|
327,691
|
6,988,655
|
|||||||
48,744,062
|
|||||||||
United States—56.0%
|
|||||||||
Activision Blizzard, Inc. Ɨ
|
119,586
|
4,378,043
|
|||||||
AdvanSix, Inc.* Ɨ
|
1,652
|
30,884
|
|||||||
Allscripts Healthcare Solutions, Inc.*
|
340,769
|
3,741,644
|
|||||||
Alphabet, Inc., Class C* Ɨ
|
23,838
|
18,070,158
|
|||||||
American Eagle Outfitters, Inc. Ɨ
|
341,045
|
5,647,705
|
|||||||
Bank of America Corp. Ɨ
|
836,733
|
17,671,801
|
|||||||
Berkshire Hathaway, Inc., Class B* Ɨ
|
195,152
|
30,724,731
|
|||||||
Berry Plastics Group, Inc.* Ɨ
|
196,134
|
9,761,589
|
|||||||
Boardwalk Pipeline Partners LP Ɨ
|
467,870
|
8,033,328
|
|||||||
Brunswick Corp. Ɨ
|
218,670
|
10,959,740
|
|||||||
Builders FirstSource, Inc.* Ɨ
|
197,737
|
2,186,971
|
|||||||
Capital One Financial Corp. Ɨ
|
89,152
|
7,492,334
|
|||||||
Cigna Corp.
|
30,159
|
4,063,624
|
|||||||
Cisco Systems, Inc. Ɨ
|
136,022
|
4,056,176
|
|||||||
Citigroup, Inc.
|
86,733
|
4,890,874
|
|||||||
Coca-Cola European Partners PLC Ɨ
|
92,900
|
3,015,534
|
|||||||
Comcast Corp., Class A Ɨ
|
200,270
|
13,920,768
|
|||||||
CommScope Holding Co., Inc.*
|
169,038
|
6,081,987
|
|||||||
Computer Sciences Corp. Ɨ
|
157,127
|
9,526,610
|
|||||||
ConocoPhillips Ɨ
|
176,984
|
8,587,264
|
|||||||
CVS Health Corp. Ɨ
|
53,576
|
4,119,459
|
|||||||
DaVita, Inc.*
|
68,913
|
4,365,639
|
|||||||
Diamondback Energy, Inc.* # Ɨ
|
170,297
|
18,366,531
|
|||||||
Dow Chemical Co., (The) Ɨ
|
137,233
|
7,646,623
|
|||||||
eBay, Inc.* Ɨ
|
177,392
|
4,933,272
|
|||||||
EQT Corp. Ɨ
|
136,897
|
9,593,742
|
|||||||
FedEx Corp. Ɨ
|
31,451
|
6,028,213
|
|||||||
Fifth Third Bancorp Ɨ
|
337,770
|
8,788,775
|
|||||||
Gener8 Maritime, Inc.* Ɨ
|
408,173
|
1,657,182
|
|||||||
Graphic Packaging Holding Co. Ɨ
|
436,047
|
5,481,111
|
|||||||
Gulfport Energy Corp.*
|
219,290
|
5,633,560
|
|||||||
Hasbro, Inc. Ɨ
|
59,750
|
5,102,053
|
|||||||
HCA Holdings, Inc.*
|
59,585
|
4,223,981
|
|||||||
Hewlett Packard Enterprise Co. Ɨ
|
196,893
|
4,686,053
|
|||||||
Honeywell International, Inc. # Ɨ
|
41,275
|
4,702,874
|
|||||||
Ingersoll-Rand PLC Ɨ
|
121,752
|
9,075,394
|
|||||||
International Speedway Corp., Class A Ɨ
|
187,102
|
6,885,354
|
|||||||
Jabil Circuit, Inc. Ɨ
|
319,054
|
6,747,992
|
|||||||
Johnson & Johnson Ɨ
|
111,029
|
12,357,528
|
|||||||
KLA-Tencor Corp.
|
13,806
|
1,102,271
|
|||||||
Laboratory Corp. of America Holdings* Ɨ
|
98,813
|
12,435,616
|
|||||||
Leidos Holdings, Inc. Ɨ
|
163,487
|
8,370,534
|
|||||||
Loews Corp. Ɨ
|
174,440
|
7,788,746
|
|||||||
Marathon Oil Corp.
|
255,274
|
4,610,248
|
|||||||
Marathon Petroleum Corp.
|
106,069
|
4,987,364
|
|||||||
Merck & Co, Inc. Ɨ
|
402,846
|
24,650,147
|
|||||||
Nomad Foods Ltd.* Ɨ
|
554,876
|
5,221,383
|
|||||||
Northrop Grumman Corp.
|
10,913
|
2,724,430
|
|||||||
Oracle Corp.
|
96,558
|
3,880,666
|
|||||||
Parsley Energy, Inc., Class A* Ɨ
|
293,596
|
11,200,687
|
|||||||
PayPal Holdings, Inc.* Ɨ
|
107,481
|
4,221,854
|
|||||||
Pfizer, Inc.
|
170,511
|
5,480,224
|
|||||||
Phillips 66 # Ɨ
|
76,051
|
6,318,317
|
|||||||
PulteGroup, Inc. Ɨ
|
304,071
|
5,734,779
|
|||||||
Qorvo, Inc.* Ɨ
|
77,730
|
4,151,559
|
|||||||
Quest Diagnostics, Inc.
|
70,046
|
6,126,223
|
|||||||
Raytheon Co. Ɨ
|
64,817
|
9,692,734
|
|||||||
Reliance Steel & Aluminum Co.
|
23,974
|
1,944,291
|
|||||||
SunTrust Banks, Inc.
|
110,186
|
5,724,163
|
|||||||
Tenneco, Inc.* Ɨ
|
137,575
|
8,110,046
|
|||||||
United Parcel Service, Inc., Class B
|
42,817
|
4,963,347
|
|||||||
United Technologies Corp. Ɨ
|
61,438
|
6,618,101
|
|||||||
Versum Materials, Inc.* Ɨ
|
294,131
|
7,194,444
|
|||||||
Viper Energy Partners LP Ɨ
|
233,007
|
3,658,210
|
|||||||
Wells Fargo & Co. Ɨ
|
219,118
|
11,595,725
|
|||||||
WestRock Co. Ɨ
|
185,644
|
9,504,973
|
|||||||
WR Berkley Corp.
|
54,262
|
3,352,849
|
|||||||
494,601,032
|
|||||||||
TOTAL COMMON STOCKS
|
|||||||||
(Cost $740,203,588)
|
816,685,586
|
||||||||
PREFERRED STOCKS—0.7%
|
|||||||||
South Korea—0.7%
|
|||||||||
Samsung Electronics Co., Ltd.
|
5,452
|
6,303,136
|
|||||||
TOTAL PREFERRED STOCKS
|
|||||||||
(Cost $5,204,311)
|
6,303,136
|
||||||||
MONEY MARKET FUNDS—6.0%
|
|||||||||
Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio, 0.25%
|
|||||||||
TOTAL MONEY MARKET FUNDS
|
|||||||||
(Cost $53,235,439)
|
53,235,439
|
||||||||
TOTAL INVESTMENTS—99.2%
|
|||||||||
(Cost $798,643,338)**
|
876,224,161
|
||||||||
SECURITIES SOLD SHORT—(43.5%)
|
|||||||||
COMMON STOCKS—(43.5%)
|
|||||||||
Australia—(0.1%)
|
|||||||||
Blackmores Ltd.
|
(6,460
|
)
|
(566,808
|
)
|
|||||
Bermuda—(0.2%)
|
|||||||||
Arch Capital Group Ltd.*
|
(21,988
|
)
|
(1,818,847
|
)
|
|||||
Canada—(0.4%)
|
|||||||||
Cineplex, Inc.*
|
(96,482
|
)
|
(3,613,496
|
)
|
|||||
Denmark—(1.2%)
|
|||||||||
Chr Hansen Holding A/S
|
(59,611
|
)
|
(3,294,174
|
)
|
|||||
Coloplast A/S, Class B
|
(66,710
|
)
|
(4,221,604
|
)
|
|||||
William Demant Holding A/S*
|
(181,539
|
)
|
(3,066,758
|
)
|
|||||
(10,582,536
|
)
|
||||||||
Finland—(1.3%)
|
|||||||||
Huhtamaki OYJ
|
(102,842
|
)
|
(3,866,447
|
)
|
|||||
Metso OYJ
|
(81,262
|
)
|
(2,296,340
|
)
|
|||||
Neste Oyj
|
(54,700
|
)
|
(2,247,132
|
)
|
|||||
Wartsila OYJ Abp
|
(74,241
|
)
|
(3,126,674
|
)
|
|||||
(11,536,593
|
)
|
||||||||
France—(1.1%)
|
|||||||||
Aeroports de Paris
|
(39,239
|
)
|
(3,856,095
|
)
|
|||||
Essilor International SA
|
-^
|
(25
|
)
|
||||||
Ingenico Group SA
|
(39,713
|
)
|
(3,088,706
|
)
|
|||||
Television Francaise 1
|
(325,332
|
)
|
(2,975,892
|
)
|
|||||
(9,920,718
|
)
|
||||||||
Germany—(1.1%)
|
|||||||||
Axel Springer SE
|
(19,607
|
)
|
(840,740
|
)
|
|||||
GEA Group AG
|
(88,384
|
)
|
(3,297,240
|
)
|
|||||
Infineon Technologies AG
|
(160,989
|
)
|
(2,690,055
|
)
|
|||||
Symrise AG
|
(50,116
|
)
|
(3,042,902
|
)
|
|||||
(9,870,937
|
)
|
||||||||
Hong Kong—(0.6%)
|
|||||||||
Bank of East Asia Ltd., (The)
|
(697,916
|
)
|
(2,890,047
|
)
|
|||||
Techtronic Industries Co., Ltd.
|
(729,000
|
)
|
(2,838,937
|
)
|
|||||
(5,728,984
|
)
|
||||||||
Ireland—(0.6%)
|
|||||||||
Grafton Group PLC
|
(391,561
|
)
|
(2,592,924
|
)
|
|||||
James Hardie Industries PLC
|
(182,468
|
)
|
(2,792,765
|
)
|
|||||
(5,385,689
|
)
|
||||||||
Italy—(0.4%)
|
|||||||||
Ferrari NV
|
(61,766
|
)
|
(3,342,776
|
)
|
|||||
Japan—(3.8%)
|
|||||||||
Aozora Bank Ltd.
|
(692,000
|
)
|
(2,405,410
|
)
|
|||||
Calbee, Inc.
|
(70,700
|
)
|
(2,220,733
|
)
|
|||||
Chugai Pharmaceutical Co., Ltd.
|
(132,800
|
)
|
(3,773,326
|
)
|
|||||
Hisamitsu Pharmaceutical Co., Inc.
|
(32,800
|
)
|
(1,588,020
|
)
|
|||||
Japan Airport Terminal Co., Ltd.
|
(80,100
|
)
|
(3,026,303
|
)
|
|||||
Murata Manufacturing Co., Ltd.
|
(26,700
|
)
|
(3,689,068
|
)
|
|||||
Nitto Denko Corp.
|
(33,800
|
)
|
(2,363,096
|
)
|
|||||
Ono Pharmaceutical Co., Ltd.
|
(177,200
|
)
|
(3,952,742
|
)
|
|||||
Sanrio Co., Ltd.
|
(178,200
|
)
|
(3,177,342
|
)
|
|||||
Shimano, Inc.
|
(19,000
|
)
|
(3,169,618
|
)
|
|||||
Yakult Honsha Co., Ltd.
|
(86,400
|
)
|
(3,816,339
|
)
|
|||||
(33,181,997
|
)
|
||||||||
Netherlands—(0.6%)
|
|||||||||
Airbus Group SE
|
(52,896
|
)
|
(3,372,670
|
)
|
|||||
Fugro NV*
|
(129,801
|
)
|
(2,134,653
|
)
|
|||||
(5,507,323
|
)
|
||||||||
Singapore—(0.4%)
|
|||||||||
ComfortDelGro Corp Ltd.
|
(1,035,800
|
)
|
(1,813,970
|
)
|
|||||
Sembcorp Industries Ltd
|
(953,700
|
)
|
(1,792,948
|
)
|
|||||
(3,606,918
|
)
|
||||||||
Spain—(0.3%)
|
|||||||||
Bankinter SA
|
(402,187
|
)
|
(3,021,356
|
)
|
|||||
Sweden—(0.9%)
|
|||||||||
Autoliv, Inc.
|
(13,801
|
)
|
(1,427,852
|
)
|
|||||
Hexagon AB
|
(117,389
|
)
|
(4,161,876
|
)
|
|||||
Svenska Cellulosa AB, Class B
|
(102,228
|
)
|
(2,723,750
|
)
|
|||||
(8,313,478
|
)
|
||||||||
Switzerland—(2.6%)
|
|||||||||
Chocoladefabriken Lindt & Spruengli AG, Registered Shares
|
(35
|
)
|
(2,034,868
|
)
|
|||||
Cie Financiere Richemont SA
|
(59,609
|
)
|
(3,891,171
|
)
|
|||||
Geberit AG
|
(7,337
|
)
|
(2,899,840
|
)
|
|||||
Kuehne + Nagel International AG
|
(34,778
|
)
|
(4,534,998
|
)
|
|||||
Nestle SA
|
(39,965
|
)
|
(2,689,591
|
)
|
|||||
Panalpina Welttransport Holding AG
|
(23,429
|
)
|
(2,915,651
|
)
|
|||||
SGS SA, Registered Shares
|
(1,875
|
)
|
(3,759,952
|
)
|
|||||
(22,726,071
|
)
|
||||||||
United Kingdom—(3.4%)
|
|||||||||
Fresnillo PLC
|
(163,192
|
)
|
(2,459,216
|
)
|
|||||
GW Pharmaceuticals PLC - ADR*
|
(25,946
|
)
|
(2,896,871
|
)
|
|||||
Hargreaves Lansdown PLC
|
(283,759
|
)
|
(4,168,823
|
)
|
|||||
Manchester United PLC
|
(121,386
|
)
|
(1,814,721
|
)
|
|||||
Merlin Entertainments PLC
|
(556,216
|
)
|
(3,030,234
|
)
|
|||||
Ocado Group PLC*
|
(921,859
|
)
|
(3,110,026
|
)
|
|||||
Pearson PLC
|
(279,453
|
)
|
(2,770,864
|
)
|
|||||
Rolls-Royce Holdings PLC*
|
(12,068,192
|
)
|
(15,100
|
)
|
|||||
Rolls-Royce Holdings PLC*
|
(417,850
|
)
|
(3,532,104
|
)
|
|||||
Rotork PLC
|
(484,104
|
)
|
(1,419,416
|
)
|
|||||
Spirax-Sarco Engineering PLC
|
(82,341
|
)
|
(4,396,862
|
)
|
|||||
(29,614,237
|
)
|
||||||||
United States—(24.5%)
|
|||||||||
ACI Worldwide, Inc.*
|
(206,761
|
)
|
(3,847,822
|
)
|
|||||
ANSYS, Inc.*
|
(29,456
|
)
|
(2,769,748
|
)
|
|||||
Apache Corp.
|
(44,049
|
)
|
(2,905,032
|
)
|
|||||
AptarGroup, Inc.
|
(68,615
|
)
|
(5,021,246
|
)
|
|||||
Athenahealth, Inc.*
|
(21,544
|
)
|
(2,038,062
|
)
|
||||
Axalta Coating Systems Ltd.*
|
(172,409
|
)
|
(4,555,046
|
)
|
||||
Balchem Corp.
|
(38,284
|
)
|
(3,057,360
|
)
|
||||
Ball Corp.
|
(34,028
|
)
|
(2,554,142
|
)
|
||||
Bemis Co, Inc.
|
(36,884
|
)
|
(1,846,782
|
)
|
||||
Blackbaud, Inc.
|
(61,403
|
)
|
(3,854,880
|
)
|
||||
Caterpillar, Inc.
|
(57,909
|
)
|
(5,533,784
|
)
|
||||
Cheesecake Factory Inc., (The)
|
(41,958
|
)
|
(2,482,655
|
)
|
||||
Chipotle Mexican Grill, Inc.*
|
(9,093
|
)
|
(3,603,829
|
)
|
||||
Cincinnati Financial Corp.
|
(38,620
|
)
|
(2,963,699
|
)
|
||||
Clean Harbors, Inc.*
|
(90,377
|
)
|
(4,776,424
|
)
|
||||
Cogent Communications Holdings, Inc.
|
(57,129
|
)
|
(2,139,481
|
)
|
||||
Cognex Corp.
|
(61,948
|
)
|
(3,698,915
|
)
|
||||
Colgate-Palmolive Co.
|
(50,129
|
)
|
(3,269,915
|
)
|
||||
Continental Resources, Inc.*
|
(66,013
|
)
|
(3,829,414
|
)
|
||||
Devon Energy Corp.
|
(55,970
|
)
|
(2,705,030
|
)
|
||||
Dollar Tree, Inc.*
|
(22,829
|
)
|
(2,012,605
|
)
|
||||
Eli Lilly & Co.
|
(44,798
|
)
|
(3,006,842
|
)
|
||||
Emerson Electric Co.
|
(55,678
|
)
|
(3,142,466
|
)
|
||||
Equinix, Inc.
|
(8,770
|
)
|
(2,970,925
|
)
|
||||
FactSet Research Systems, Inc.
|
(10,875
|
)
|
(1,741,849
|
)
|
||||
First Financial Bankshares, Inc.
|
(134,410
|
)
|
(5,786,350
|
)
|
||||
Guidewire Software, Inc.*
|
(58,050
|
)
|
(3,233,965
|
)
|
||||
Heartland Express, Inc.
|
(162,302
|
)
|
(3,491,116
|
)
|
||||
IDEXX Laboratories, Inc.*
|
(28,172
|
)
|
(3,314,436
|
)
|
||||
Juno Therapeutics, Inc.*
|
(111,294
|
)
|
(2,231,445
|
)
|
||||
Kinder Morgan, Inc.
|
(106,723
|
)
|
(2,369,251
|
)
|
||||
Laredo Petroleum, Inc.*
|
(210,779
|
)
|
(3,370,356
|
)
|
||||
lululemon athletica, Inc.*
|
(35,805
|
)
|
(2,040,527
|
)
|
||||
Matador Resources Co.*
|
(117,880
|
)
|
(3,140,323
|
)
|
||||
Mattel, Inc.
|
(101,975
|
)
|
(3,219,351
|
)
|
||||
McCormick & Co., Inc., non-voting shares
|
(31,740
|
)
|
(2,894,688
|
)
|
||||
Mercury General Corp.
|
(47,857
|
)
|
(2,794,849
|
)
|
||||
Middleby Corp. (The)*
|
(28,677
|
)
|
(3,928,175
|
)
|
||||
Mobile Mini, Inc.
|
(76,852
|
)
|
(2,359,356
|
)
|
||||
Monster Beverage Corp.*
|
(35,238
|
)
|
(1,576,900
|
)
|
||||
National Instruments Corp.
|
(153,752
|
)
|
(4,531,071
|
)
|
||||
National Oilwell Varco, Inc.
|
(143,300
|
)
|
(5,353,688
|
)
|
||||
Netflix, Inc.*
|
(49,575
|
)
|
(5,800,275
|
)
|
||||
NewMarket Corp.
|
(5,329
|
)
|
(2,229,707
|
)
|
||||
Proofpoint, Inc.*
|
(39,817
|
)
|
(3,066,307
|
)
|
||||
Prosperity Bancshares, Inc.
|
(57,603
|
)
|
(3,809,286
|
)
|
||||
Regeneron Pharmaceuticals, Inc.*
|
(6,264
|
)
|
(2,375,559
|
)
|
||||
RLI Corp.
|
(54,120
|
)
|
(3,249,365
|
)
|
||||
Rockwell Automation, Inc.
|
(32,118
|
)
|
(4,294,498
|
)
|
||||
salesforce.com, Inc.*
|
(43,274
|
)
|
(3,115,728
|
)
|
||||
SeaWorld Entertainment, Inc.
|
(155,631
|
)
|
(2,630,164
|
)
|
||||
Sonoco Products Co.
|
(54,613
|
)
|
(2,956,202
|
)
|
||||
Tesla Motors, Inc.*
|
(23,107
|
)
|
(4,376,466
|
)
|
||||
Tootsie Roll Industries, Inc.
|
(95,389
|
)
|
(3,600,935
|
)
|
||||
Toro Co., (The)
|
(57,065
|
)
|
(3,020,450
|
)
|
||||
TransDigm Group, Inc.
|
(13,827
|
)
|
(3,476,523
|
)
|
||||
UMB Financial Corp.
|
(39,079
|
)
|
(2,970,786
|
)
|
|||||
Wabtec Corp.
|
(63,710
|
)
|
(5,394,326
|
)
|
|||||
Wayfair, Inc.*
|
(70,100
|
)
|
(2,555,145
|
)
|
|||||
Westamerica Bancorporation
|
(80,443
|
)
|
(4,989,879
|
)
|
|||||
WisdomTree Investments, Inc.
|
(310,433
|
)
|
(3,433,389
|
)
|
|||||
Workday, Inc., Class A*
|
(32,572
|
)
|
(2,746,471
|
)
|
|||||
World Wrestling Entertainment, Inc., Class A
|
(176,588
|
)
|
(3,316,323
|
)
|
|||||
WR Grace & Co.
|
(52,421
|
)
|
(3,420,994
|
)
|
|||||
Yelp, Inc.*
|
(87,184
|
)
|
(3,243,245
|
)
|
|||||
(216,035,823
|
)
|
||||||||
TOTAL COMMON STOCKS
|
|||||||||
(Proceeds $(374,247,553))
|
(384,374,587
|
)
|
|||||||
TOTAL SECURITIES SOLD SHORT—(43.5%)
|
|||||||||
(Proceeds $(374,247,553))
|
(384,374,587
|
)
|
|||||||
OPTIONS WRITTEN ƗƗ—(0.1%)
|
|||||||||
Diamondback Energy, Inc.
|
|||||||||
Call Options Expires 03/17/2017
|
|||||||||
Strike Price $95.00
|
(495
|
)
|
(696,960
|
)
|
|||||
Honeywell International, Inc.
|
|||||||||
Call Options Expires 01/20/2017
|
|||||||||
Strike Price $105.00
|
(364
|
)
|
(361,816
|
)
|
|||||
Phillips 66
|
|||||||||
Call Options Expires 01/20/2017
|
|||||||||
Strike Price $85.00
|
(554
|
)
|
(98,612
|
)
|
|||||
TOTAL OPTIONS WRITTEN
|
|||||||||
(Premiums received $(762,615))
|
(1,157,388
|
)
|
|||||||
OTHER ASSETS IN EXCESS OF LIABILITIES—44.4%
|
392,453,820
|
||||||||
NET ASSETS—100.0%
|
$
|
883,146,006
|
ADR
|
American Depositary Receipt
|
||||||||
PLC
|
Public Limited Company
|
||||||||
*
|
Non-income producing.
|
||||||||
^
|
Less than 0.5 shares
|
||||||||
Ɨ
|
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.
|
||||||||
ƗƗ
|
Primary risk exposure is equity contracts.
|
||||||||
**
|
The cost basis of investments for federal income tax purposes at November 30, 2016 was as follows: |
Cost of investments
|
$
|
798,643,338
|
|||||||
Gross unrealized appreciation
|
$
|
99,888,970
|
|||||||
Gross unrealized depreciation
|
(22,308,147
|
)
|
|||||||
Net unrealized appreciation (depreciation)
|
$
|
77,580,823
|
|||||||
*Because tax adjustments are calculated annually at the end of the Fund's fiscal year, the above table does not reflect tax adjustments for the current fiscal year. For the previous fiscal year's federal income tax information, please refer to the Notes of Financial Statements section in the Fund's most recent annual report.
|
|||||||||
The accompanying notes are an integral part of the portfolio of investments.
|
BOSTON PARTNERS INVESTMENT FUNDS
|
|
|
|
NOVEMBER 30, 2016 (unaudited)
|
||||
BOSTON PARTNERS GLOBAL LONG/SHORT FUND
|
Portfolio of Investments
|
Contracts For Difference held by the Fund at November 30, 2016, are as follows:
|
|||||||||||||||
Number of
|
Unrealized
|
||||||||||||||
Contracts
|
Notional
|
Appreciation
|
|||||||||||||
Reference Company |
Counterparty
|
Long/(Short)
|
Amount
|
(Depreciation)
|
|||||||||||
Short
|
|||||||||||||||
South Korea
|
|||||||||||||||
Kakao Corp.
|
Goldman Sachs
|
(38,644
|
)
|
(2,508,815
|
)
|
(59,557
|
)
|
||||||||
Paradise Co. Ltd.
|
Goldman Sachs
|
(73,002
|
)
|
(779,501
|
)
|
(56,343
|
)
|
||||||||
Taiwan
|
|||||||||||||||
Eclat Textile Co., Ltd.
|
Goldman Sachs
|
(111,048
|
)
|
(1,029,270
|
)
|
(128,235
|
)
|
||||||||
(244,135
|
)
|
||||||||||||||
$
|
(244,135
|
)
|
BOSTON PARTNERS INVESTMENT FUNDS
|
|
|
|
|
NOVEMBER 30, 2016 (unaudited)
|
||||||
BOSTON PARTNERS GLOBAL LONG/SHORT FUND
|
Portfolio of Investments
|
A summary of the inputs used to value the Fund's investments as of November 30, 2016 is as follows (see Notes to Portfolio of Investments):
|
||||||||||||
Total
|
Level 1
|
Level 2
|
Level 3
|
|||||||||
Value as of
|
Quoted
|
Significant
|
Significant
|
|||||||||
November 30, 2016
|
Price
|
Observable
|
Unobservable
|
|||||||||
Inputs
|
Inputs
|
|||||||||||
Common Stock
|
||||||||||||
Australia
|
$
|
6,915,166
|
$
|
—
|
$
|
6,915,166
|
$
|
—
|
||||
Canada
|
12,515,895
|
12,515,895
|
—
|
—
|
||||||||
France
|
44,331,449
|
—
|
44,331,449
|
—
|
||||||||
Germany
|
25,122,068
|
—
|
25,122,068
|
—
|
||||||||
Hong Kong
|
13,146,867
|
—
|
13,146,867
|
—
|
||||||||
India
|
13,306,056
|
13,306,056
|
—
|
—
|
||||||||
Indonesia
|
2,622,105
|
—
|
2,622,105
|
—
|
||||||||
Ireland
|
9,160,243
|
—
|
9,160,243
|
—
|
||||||||
Japan
|
73,287,688
|
216,529
|
73,071,159
|
—
|
||||||||
Netherlands
|
13,946,956
|
—
|
13,946,956
|
—
|
||||||||
Norway
|
6,085,667
|
—
|
6,085,667
|
—
|
||||||||
Russia
|
3,734,321
|
3,734,321
|
—
|
—
|
||||||||
Singapore
|
5,075,122
|
5,075,122
|
—
|
—
|
||||||||
Switzerland
|
41,374,240
|
20,204,690
|
21,169,550
|
—
|
||||||||
Taiwan
|
2,716,649
|
—
|
2,716,649
|
—
|
||||||||
United Kingdom
|
48,744,062
|
3,167,647
|
45,576,415
|
—
|
||||||||
United States
|
494,601,032
|
494,601,032
|
—
|
—
|
||||||||
Preferred Stock
|
||||||||||||
South Korea
|
6,303,136
|
—
|
6,303,136
|
—
|
||||||||
Money Market Funds
|
53,235,439
|
53,235,439
|
—
|
—
|
||||||||
Total Assets
|
$
|
876,224,161
|
$
|
606,056,731
|
$
|
270,167,430
|
$
|
—
|
||||
Total
|
Level 1
|
Level 2
|
Level 3
|
|||||||||
Value as of
|
Quoted
|
Significant
|
Significant
|
|||||||||
November 30, 2016
|
Price
|
Observable
|
Unobservable
|
|||||||||
Inputs
|
Inputs
|
|||||||||||
Securities Sold Short
|
||||||||||||
Australia
|
$
|
(566,808
|
)
|
$
|
—
|
$
|
(566,808
|
)
|
$
|
—
|
||
Bermuda
|
(1,818,847
|
)
|
(1,818,847
|
)
|
—
|
—
|
||||||
Canada
|
(3,613,496
|
)
|
(3,613,496
|
)
|
—
|
—
|
||||||
Denmark
|
(10,582,536
|
)
|
—
|
(10,582,536
|
)
|
—
|
||||||
Finland
|
(11,536,593
|
)
|
—
|
(11,536,593
|
)
|
—
|
||||||
France
|
(9,920,718
|
)
|
—
|
(9,920,718
|
)
|
—
|
||||||
Germany
|
(9,870,937
|
)
|
—
|
(9,870,937
|
)
|
—
|
||||||
Hong Kong
|
(5,728,984
|
)
|
—
|
(5,728,984
|
)
|
—
|
||||||
Ireland
|
(5,385,689
|
)
|
—
|
(5,385,689
|
)
|
—
|
||||||
Italy
|
(3,342,776
|
)
|
(3,342,776
|
)
|
—
|
—
|
||||||
Japan
|
(33,181,997
|
)
|
—
|
(33,181,997
|
)
|
—
|
||||||
Netherlands
|
(5,507,323
|
)
|
—
|
(5,507,323
|
)
|
—
|
||||||
Singapore
|
(3,606,918
|
)
|
—
|
(3,606,918
|
)
|
—
|
||||||
Spain
|
(3,021,356
|
)
|
—
|
(3,021,356
|
)
|
—
|
||||||
Sweden
|
(8,313,478
|
)
|
(1,427,852
|
)
|
(6,885,626
|
)
|
—
|
|||||
Switzerland
|
(22,726,071
|
)
|
(2,034,868
|
)
|
(20,691,203
|
)
|
—
|
|||||
United Kingdom
|
(29,614,237
|
)
|
(4,711,592
|
)
|
(24,902,645
|
)
|
—
|
|||||
United States
|
(216,035,823
|
)
|
(216,035,823
|
)
|
—
|
—
|
||||||
Options Written
|
||||||||||||
Equity Contracts
|
(1,157,388
|
)
|
(1,157,388
|
)
|
—
|
—
|
||||||
Contracts for difference
|
||||||||||||
Equity Contracts
|
(244,135
|
)
|
—
|
(244,135
|
)
|
—
|
||||||
Total Liabilities
|
$
|
(385,776,110
|
)
|
$
|
(234,142,642
|
)
|
$
|
(151,633,468
|
)
|
$
|
—
|
BOSTON PARTNERS INVESTMENT FUNDS
|
NOVEMBER 30, 2016 (unaudited)
|
BOSTON PARTNERS EMERGING MARKETS LONG/SHORT FUND
|
Portfolio of Investments
|
Number of
|
|||||||||
Shares
|
Value
|
||||||||
LONG POSITIONS—93.5%
|
|||||||||
COMMON STOCKS—41.9%
|
|||||||||
Argentina—2.3%
|
|||||||||
Pampa Energia SA - Sponsored ADR* Ɨ
|
5,129
|
$
|
179,156
|
||||||
YPF SA - Sponsored ADR
|
3,357
|
57,035
|
|||||||
236,191
|
|||||||||
Brazil—2.8%
|
|||||||||
Ambev SA - ADR
|
13,748
|
68,603
|
|||||||
Minerva SA*
|
26,900
|
97,390
|
|||||||
Tegma Gestao Logistica SA*
|
16,600
|
37,770
|
|||||||
Via Varejo SA
|
28,700
|
81,655
|
|||||||
285,418
|
|||||||||
Canada—0.9%
|
|||||||||
Africa Oil Corp.*
|
62,383
|
87,772
|
|||||||
China—2.8%
|
|||||||||
China Mobile Ltd.
|
6,500
|
70,986
|
|||||||
Hollysys Automation Technologies Ltd.
|
2,774
|
52,318
|
|||||||
NetEase, Inc. - ADR
|
740
|
165,834
|
|||||||
289,138
|
|||||||||
Colombia—1.2%
|
|||||||||
Almacenes Exito SA
|
26,500
|
123,250
|
|||||||
Czech Republic—1.4%
|
|||||||||
O2 Czech Republic AS
|
16,087
|
147,673
|
|||||||
Hong Kong—1.2%
|
|||||||||
WH Group Ltd.
|
152,000
|
126,516
|
|||||||
Hungary—0.9%
|
|||||||||
Magyar Telekom Telecommunications PLC
|
34,433
|
57,384
|
|||||||
Richter Gedeon Nyrt
|
1,511
|
30,130
|
|||||||
87,514
|
|||||||||
India—3.2%
|
|||||||||
Essel Propack Ltd.
|
20,179
|
76,027
|
|||||||
Gujarat State Petronet Ltd.
|
22,463
|
51,441
|
|||||||
ICICI Bank Ltd.
|
10,471
|
40,620
|
|||||||
South Indian Bank Ltd. (The)
|
179,151
|
56,162
|
|||||||
Videocon d2h Ltd. - ADR*
|
2,081
|
19,436
|
|||||||
Yes Bank Ltd.
|
4,741
|
81,110
|
|||||||
324,796
|
|||||||||
Indonesia—2.0%
|
|||||||||
Bank Rakyat Indonesia Persero Tbk PT
|
25,500
|
20,485
|
|||||||
Gudang Garam Tbk PT
|
22,500
|
107,824
|
|||||||
Indosat Tbk PT*
|
104,300
|
49,226
|
|||||||
Surya Citra Media Tbk PT
|
143,200
|
26,481
|
|||||||
204,016
|
|||||||||
Israel—1.6%
|
|||||||||
Gazit-Globe Ltd.
|
13,746
|
125,913
|
|||||||
Teva Pharmaceutical Industries Ltd. - Sponsored ADR
|
1,081
|
40,754
|
|||||||
166,667
|
Malaysia—1.2%
|
|||||||||
Bumi Armada Bhd
|
1,117,500
|
127,810
|
|||||||
Mexico—1.4%
|
|||||||||
Credito Real SAB de CV SOFOM ER
|
74,400
|
106,270
|
|||||||
OHL Mexico SAB de CV*
|
50,000
|
42,598
|
|||||||
148,868
|
|||||||||
Netherlands—1.2%
|
|||||||||
Heineken Holding NV
|
1,810
|
126,872
|
|||||||
Russia—2.5%
|
|||||||||
PhosAgro PJSC
|
8,267
|
113,671
|
|||||||
Yandex NV, Class A* Ɨ
|
7,277
|
138,336
|
|||||||
252,007
|
|||||||||
South Africa—5.6%
|
|||||||||
Adcock Ingram Holdings Ltd.
|
21,006
|
69,386
|
|||||||
Clover Industries Ltd.
|
145,342
|
200,190
|
|||||||
Foschini Group Ltd. (The)
|
1,440
|
15,134
|
|||||||
Imperial Holdings Ltd.
|
6,066
|
72,775
|
|||||||
JSE Ltd.
|
3,789
|
42,567
|
|||||||
Life Healthcare Group Holdings Ltd.
|
16,202
|
35,677
|
|||||||
Massmart Holdings Ltd.
|
4,576
|
37,219
|
|||||||
Naspers Ltd., Class N
|
691
|
100,573
|
|||||||
573,521
|
|||||||||
South Korea—1.6%
|
|||||||||
Koh Young Technology Inc.
|
486
|
17,670
|
|||||||
KT Corp. - Sponsored ADR*
|
3,394
|
47,075
|
|||||||
KT&G Corp.
|
1,150
|
103,395
|
|||||||
168,140
|
|||||||||
Sri Lanka—1.7%
|
|||||||||
Distilleries Co. of Sri Lanka PLC
|
87,561
|
133,320
|
|||||||
Lion Brewery Ceylon PLC
|
11,801
|
37,244
|
|||||||
170,564
|
|||||||||
Taiwan—0.2%
|
|||||||||
Silicon Motion Technology Corp. - ADR
|
513
|
23,593
|
|||||||
Turkey—1.5%
|
|||||||||
Emlak Konut Gayrimenkul Yatirim Ortakligi AS
|
150,767
|
126,598
|
|||||||
Haci Omer Sabanci Holding AS
|
11,941
|
30,387
|
|||||||
156,985
|
|||||||||
United Arab Emirates—1.2%
|
|||||||||
Abu Dhabi Commercial Bank PJSC
|
31,484
|
53,105
|
|||||||
NMC Health PLC
|
4,343
|
73,323
|
|||||||
126,428
|
|||||||||
United Kingdom—0.4%
|
|||||||||
Liberty Global PLC LiLAC, Class C*
|
945
|
20,006
|
|||||||
Ophir Energy PLC*
|
17,638
|
17,527
|
|||||||
37,533
|
|||||||||
United States—3.1%
|
|||||||||
Air Lease Corp.
|
4,387
|
157,318
|
|||||||
Ferro Corp.*
|
2,198
|
32,531
|
|||||||
Kosmos Energy Ltd.*
|
6,867
|
36,395
|
|||||||
Versum Materials, Inc.*
|
1,857
|
45,422
|
|||||||
YY, Inc.* - ADR
|
1,074
|
46,472
|
|||||||
318,138
|
TOTAL COMMON STOCKS
|
|||||||||
(Cost $4,322,800)
|
4,309,410
|
||||||||
PREFERRED STOCKS—5.1%
|
|||||||||
Colombia—1.0%
|
|||||||||
Banco Davivienda SA
|
10,662
|
99,385
|
|||||||
South Korea—4.1%
|
|||||||||
Samsung Electronics Co., Ltd.
|
367
|
424,294
|
|||||||
TOTAL PREFERRED STOCKS
|
|||||||||
(Cost $450,144)
|
523,679
|
||||||||
MONEY MARKET FUNDS—46.5%
|
|||||||||
Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio, 0.25%
|
|||||||||
TOTAL MONEY MARKET FUNDS
|
|||||||||
(Cost $4,778,954)
|
4,778,954
|
||||||||
TOTAL INVESTMENTS—93.5%
|
|||||||||
(Cost $9,551,898)**
|
9,612,043
|
||||||||
SECURITIES SOLD SHORT—(1.7%)
|
|||||||||
COMMON STOCKS—(1.7%)
|
|||||||||
China—(0.4%)
|
|||||||||
58.com, Inc. - ADR*
|
(1,290
|
)
|
(41,370
|
)
|
|||||
Hong Kong—(0.4%)
|
|||||||||
Nord Anglia Education, Inc.*
|
(1,744
|
)
|
(41,856
|
)
|
|||||
Taiwan—(0.4%)
|
|||||||||
United Microelectronics Corp. - ADR
|
(20,534
|
)
|
(37,372
|
)
|
|||||
United States—(0.5%)
|
|||||||||
PriceSmart, Inc.
|
(567
|
)
|
(51,767
|
)
|
|||||
TOTAL COMMON STOCKS
|
|||||||||
(Proceeds $(182,870))
|
(172,365
|
)
|
|||||||
TOTAL SECURITIES SOLD SHORT—(1.7%)
|
|||||||||
(Proceeds $(182,870))
|
(172,365
|
)
|
|||||||
OTHER ASSETS IN EXCESS OF LIABILITIES—8.2%
|
842,767
|
||||||||
NET ASSETS—100.0%
|
$
|
10,282,445
|
ADR
|
American Depositary Receipt
|
||||||||
NVDR
|
Non-Voting Depository Receipt
|
||||||||
PLC
|
Public Limited Company
|
||||||||
*
|
Non-income producing.
|
||||||||
Ɨ
|
Security position is either entirely or partially held in a segregated account as collateral for securities sold short.
|
||||||||
**
|
The cost basis of investments for federal income tax purposes at November 30, 2016 was as follows: |
Cost of investments
|
$
|
9,551,898
|
||
Gross unrealized appreciation
|
$
|
335,857
|
||
Gross unrealized depreciation
|
(275,712
|
)
|
||
Net unrealized appreciation (depreciation)
|
$
|
60,145
|
*Because tax adjustments are calculated annually at the end of the Fund's fiscal year, the above table does not reflect tax adjustments for the current fiscal year. For the previous fiscal year's federal income tax information, please refer to the Notes of Financial Statements section in the Fund's most recent annual report.
|
|||||||||
The accompanying notes are an integral part of the portfolio of investments.
|
BOSTON PARTNERS INVESTMENT FUNDS
|
|
|
|
|
NOVEMBER 30, 2016 (unaudited)
|
|||
BOSTON PARTNERS EMERGING MARKETS LONG/SHORT FUND
|
Portfolio of Investments
|
Contracts For Difference held by the Fund at November 30, 2016, are as follows:
|
|||||||||||||||
Number of
|
Unrealized
|
||||||||||||||
Contracts
|
Notional
|
Appreciation
|
|||||||||||||
Reference Company |
Counterparty
|
Long/(Short)
|
Amount
|
(Depreciation)
|
|||||||||||
Long
|
|||||||||||||||
Brazil
|
|||||||||||||||
Br Malls Participacoes SA
|
Goldman Sachs
|
7,420
|
$
|
23,250
|
$
|
400
|
|||||||||
Iguatemi Emp De Shopping Centers SA
|
Goldman Sachs
|
6,500
|
51,650
|
754
|
|||||||||||
Via Varejo SA
|
Goldman Sachs
|
20,400
|
50,566
|
7,474
|
|||||||||||
34,320
|
125,466
|
8,628
|
|||||||||||||
China
|
|||||||||||||||
51Job, Inc. - ADR
|
Goldman Sachs
|
2,943
|
99,297
|
4,797
|
|||||||||||
Alibaba Group Holding Ltd. - Sponsored ADR
|
Goldman Sachs
|
3,604
|
327,964
|
10,884
|
|||||||||||
Baidu Inc. - Sponsored ADR
|
Goldman Sachs
|
1,198
|
196,999
|
3,007
|
|||||||||||
Bloomage Bio Technology Corp Ltd.
|
Goldman Sachs
|
15,000
|
23,589
|
(121
|
)
|
||||||||||
China Telecom Corp. Ltd., Class H
|
Goldman Sachs
|
236,000
|
112,861
|
1,590
|
|||||||||||
Fu Shou Yuan International Group Ltd.
|
Goldman Sachs
|
42,000
|
25,120
|
1,366
|
|||||||||||
Jiangsu Yanghe Brewery Joint-Stock Co., Ltd., Class A
|
Goldman Sachs
|
6,500
|
64,837
|
1,702
|
|||||||||||
Kweichow Moutai Co., Ltd., Class A
|
Goldman Sachs
|
4,068
|
186,421
|
2,131
|
|||||||||||
Phoenix Healthcare Group Co., Ltd.
|
Goldman Sachs
|
30,500
|
47,178
|
658
|
|||||||||||
Shanghai Haohai Biological Technology Co., Ltd., Class H
|
Goldman Sachs
|
5,800
|
27,289
|
1,127
|
|||||||||||
Tencent Holdings Ltd.
|
Goldman Sachs
|
14,300
|
356,124
|
(41
|
)
|
||||||||||
Wuliangye Yibin Co., Ltd., Class A
|
Goldman Sachs
|
48,000
|
243,846
|
6,460
|
|||||||||||
Zhengzhou Yutong Bus Co., Ltd., Class A
|
Goldman Sachs
|
16,204
|
48,336
|
1,156
|
|||||||||||
426,117
|
1,759,861
|
34,716
|
|||||||||||||
Egypt
|
|||||||||||||||
Commercial International Bank Egypt SAE
|
Goldman Sachs
|
19,227
|
80,205
|
(6,056
|
)
|
||||||||||
Talaat Moustafa Group
|
Goldman Sachs
|
56,319
|
28,688
|
(1,356
|
)
|
||||||||||
75,546
|
108,893
|
(7,412
|
)
|
||||||||||||
Hong Kong
|
|||||||||||||||
Playmates Toys Ltd.
|
Goldman Sachs
|
380,000
|
59,269
|
4,906
|
|||||||||||
India
|
|||||||||||||||
Petronet LNG Ltd.
|
Goldman Sachs
|
3,464
|
18,449
|
1,177
|
|||||||||||
Videocon D2H Ltd. - ADR
|
Goldman Sachs
|
16,275
|
141,592
|
10,417
|
|||||||||||
19,739
|
160,041
|
11,594
|
|||||||||||||
Indonesia
|
|||||||||||||||
Bank Rakyat Indonesia Persero Tbk PT
|
Goldman Sachs
|
113,800
|
93,893
|
(2,473
|
)
|
||||||||||
Global Mediacom Tbk PT
|
Goldman Sachs
|
340,400
|
17,195
|
(2,405
|
)
|
||||||||||
454,200
|
111,088
|
(4,878
|
)
|
||||||||||||
Japan
|
|||||||||||||||
Suzuki Motor Co.
|
Goldman Sachs
|
1,200
|
40,511
|
(1,248
|
)
|
||||||||||
Mexico
|
|||||||||||||||
Gentera Sab de CV
|
Goldman Sachs
|
82,100
|
133,314
|
(3,397
|
)
|
||||||||||
Grupo GicSA SA de CV
|
Goldman Sachs
|
235,000
|
136,562
|
(15,498
|
)
|
||||||||||
317,100
|
269,876
|
(18,895
|
)
|
||||||||||||
Philippines
|
|||||||||||||||
Metro Pacific Investments Corp.
|
Goldman Sachs
|
349,800
|
47,019
|
(3,502
|
)
|
Russia
|
|||||||||||||
Gazprom Neft PJSC
|
Goldman Sachs
|
14,840
|
41,713
|
4,687
|
|||||||||
Rosneft PJSC
|
Goldman Sachs
|
17,660
|
92,189
|
1,786
|
|||||||||
Sberbank of Russia PJSC -Sponsored ADR
|
Goldman Sachs
|
10,766
|
103,246
|
5,329
|
|||||||||
43,266
|
237,148
|
11,802
|
|||||||||||
Singapore
|
|||||||||||||
Yoma Strategic Holdings Ltd.
|
Goldman Sachs
|
82,700
|
31,852
|
1,734
|
|||||||||
South Africa
|
|||||||||||||
Adcock Ingram Holdings Ltd.
|
Goldman Sachs
|
18,831
|
60,348
|
1,853
|
|||||||||
Capevin Holdings Ltd.
|
Goldman Sachs
|
114,721
|
75,914
|
(208
|
)
|
||||||||
Foschini Group Ltd. (The)
|
Goldman Sachs
|
6,205
|
57,047
|
8,166
|
|||||||||
Grindrod Ltd.
|
Goldman Sachs
|
90,425
|
70,619
|
18,666
|
|||||||||
Petra Diamonds Ltd.
|
Goldman Sachs
|
81,652
|
150,875
|
17,570
|
|||||||||
Remgro Ltd.
|
Goldman Sachs
|
1,147
|
17,036
|
(33
|
)
|
||||||||
312,981
|
431,839
|
46,014
|
|||||||||||
South Korea
|
|||||||||||||
Advanced Process Systems Corp.
|
Goldman Sachs
|
3,785
|
80,346
|
(2,706
|
)
|
||||||||
Hana Financial Group, Inc.
|
Goldman Sachs
|
3,690
|
107,487
|
(5,901
|
)
|
||||||||
Hanwha Corp.
|
Goldman Sachs
|
663
|
10,166
|
(553
|
)
|
||||||||
Hanwha Corp.
|
Goldman Sachs
|
5,620
|
173,796
|
(4,925
|
)
|
||||||||
Hyundai Mobis Co., Ltd.
|
Goldman Sachs
|
587
|
121,392
|
3,591
|
|||||||||
Koh Young Technology, Inc.
|
Goldman Sachs
|
470
|
17,304
|
(216
|
)
|
||||||||
KT Corp.
|
Goldman Sachs
|
2,891
|
77,791
|
(4,081
|
)
|
||||||||
LG Chem Ltd.
|
Goldman Sachs
|
381
|
78,273
|
(4,618
|
)
|
||||||||
LG Uplus Corp.
|
Goldman Sachs
|
11,273
|
115,556
|
(5,249
|
)
|
||||||||
Nongshim Co., Ltd.
|
Goldman Sachs
|
259
|
73,564
|
(1,450
|
)
|
||||||||
Samsung Electronics Co., Ltd.
|
Goldman Sachs
|
134
|
176,164
|
23,252
|
|||||||||
Samsung SDI Co., Ltd.
|
Goldman Sachs
|
525
|
42,515
|
(1,123
|
)
|
||||||||
Tongyang Life Insurance Co., Ltd.
|
Goldman Sachs
|
9,980
|
107,417
|
2,665
|
|||||||||
40,258
|
1,181,771
|
(1,314
|
)
|
||||||||||
Taiwan
|
|||||||||||||
Pegatron Corp.
|
Goldman Sachs
|
28,000
|
61,478
|
5,072
|
|||||||||
Primax Electronics Ltd.
|
Goldman Sachs
|
78,000
|
110,095
|
1,768
|
|||||||||
Taiwan Semiconductor Manufacturing Co., Ltd.
|
Goldman Sachs
|
66,000
|
372,630
|
6,898
|
|||||||||
172,000
|
544,203
|
13,738
|
|||||||||||
United Kingdom
|
|||||||||||||
Georgia Healthcare Group PLC
|
Goldman Sachs
|
27,737
|
127,612
|
(29
|
)
|
||||||||
United States
|
|||||||||||||
Ferro Corp.
|
Goldman Sachs
|
2,024
|
30,623
|
(668
|
)
|
||||||||
Samsonite International SA
|
Goldman Sachs
|
24,600
|
73,250
|
3,984
|
|||||||||
26,624
|
103,873
|
3,316
|
|||||||||||
Total Long
|
99,170
|
||||||||||||
Short
|
|||||||||||||
Brazil
|
|||||||||||||
Duratex SA
|
Goldman Sachs
|
(21,386
|
)
|
$
|
(44,759
|
)
|
$
|
1,485
|
|||||
China
|
|||||||||||||
China Conch Venture Holdings Ltd.
|
Goldman Sachs
|
(7,500
|
)
|
(13,651
|
)
|
(183
|
)
|
||||||
China Huishan Dairy Holdings Co., Ltd.
|
Goldman Sachs
|
(140,000
|
)
|
(51,793
|
)
|
(577
|
)
|
||||||
China Life Insurance Co., Ltd., Class H
|
Goldman Sachs
|
(16,000
|
)
|
(40,836
|
)
|
(5,628
|
)
|
||||||
China Pacific Insurance Group, Ltd., Class H
|
Goldman Sachs
|
(8,400
|
)
|
(30,209
|
)
|
(2,367
|
)
|
||||||
China Shenhua Energy Co., Ltd., Class H
|
Goldman Sachs
|
(24,500
|
)
|
(52,045
|
)
|
1,435
|
|||||||
China Shipping Container Lines Co., Ltd., Class H
|
Goldman Sachs
|
(196,000
|
)
|
(42,445
|
)
|
(3,722
|
)
|
||||||
Country Garden Holdings Co., Ltd.
|
Goldman Sachs
|
(119,000
|
)
|
(64,425
|
)
|
(2,082
|
)
|
||||||
Dongfang Electric Corp. Ltd. - Class H
|
Goldman Sachs
|
(90,200
|
)
|
(70,227
|
)
|
(4,165
|
)
|
||||||
Greentown China Holdings Ltd.
|
Goldman Sachs
|
(76,000
|
)
|
(61,914
|
)
|
(545
|
)
|
||||||
Huadian Power International Corp. Ltd., Class H
|
Goldman Sachs
|
(96,000
|
)
|
(39,104
|
)
|
(1,530
|
)
|
||||||
Huaneng Power International Inc., Class H
|
Goldman Sachs
|
(70,000
|
)
|
(41,958
|
)
|
(1,818
|
)
|
||||||
New China Life Insurance Co., Ltd., Class H
|
Goldman Sachs
|
(14,000
|
)
|
(62,620
|
)
|
(8,052
|
)
|
||||||
Parkson Retail Group Ltd.
|
Goldman Sachs
|
(672,000
|
)
|
(65,833
|
)
|
(3,464
|
)
|
||||||
Sany Heavy Equipment International Holdings Co., Ltd.
|
Goldman Sachs
|
(214,000
|
)
|
(35,585
|
)
|
(1,644
|
)
|
||||||
Tian Ge Interactive Holdings Ltd.
|
Goldman Sachs
|
(75,000
|
)
|
(56,942
|
)
|
317
|
|||||||
Tingyi Cayman Islands Holdings Corp.
|
Goldman Sachs
|
(60,000
|
)
|
(69,607
|
)
|
(1,667
|
)
|
||||||
Tsingtao Brewery Co., Ltd., Class H
|
Goldman Sachs
|
(17,000
|
)
|
(67,493
|
)
|
667
|
|||||||
Yashili International Holdings Ltd.
|
Goldman Sachs
|
(115,000
|
)
|
(23,866
|
)
|
(115
|
)
|
||||||
Zoomlion Heavy Industry Science and Technology Co., Ltd., Class H
|
Goldman Sachs
|
(133,000
|
)
|
(55,032
|
)
|
(6,027
|
)
|
||||||
(2,143,600
|
)
|
(945,585
|
)
|
(41,167
|
)
|
||||||||
Hong Kong
|
|||||||||||||
Bank Of East Asia Ltd. (The)
|
Goldman Sachs
|
(13,987
|
)
|
(57,153
|
)
|
(767
|
)
|
||||||
Beijing Properties Holdings Ltd.
|
Goldman Sachs
|
(892,000
|
)
|
(43,118
|
)
|
(1,730
|
)
|
||||||
Capital Environment Holdings Ltd.
|
Goldman Sachs
|
(780,000
|
)
|
(28,152
|
)
|
(2,896
|
)
|
||||||
Cathay Pacific Airways
|
Goldman Sachs
|
(47,000
|
)
|
(63,613
|
)
|
73
|
|||||||
China Aircraft Leasing Group Holdings Ltd.
|
Morgan Stanley
|
(31,500
|
)
|
(35,953
|
)
|
(1,836
|
)
|
||||||
China Resources Beer Holdings Co., Ltd.
|
Goldman Sachs
|
(34,000
|
)
|
(73,278
|
)
|
1,360
|
|||||||
China Resources Power Holding Co., Ltd.
|
Goldman Sachs
|
(30,000
|
)
|
(49,189
|
)
|
(131
|
)
|
||||||
China Smarter Energy Group H oldings Ltd., Class H
|
Goldman Sachs
|
(162,000
|
)
|
(16,914
|
)
|
(1,119
|
)
|
||||||
China Taiping Insurance Holdings Co., Ltd.
|
Goldman Sachs
|
(14,800
|
)
|
(30,448
|
)
|
(3,343
|
)
|
||||||
China Traditional Chinese Medicine Co., Ltd.
|
Goldman Sachs
|
(118,000
|
)
|
(59,777
|
)
|
824
|
|||||||
HK Electric Investments & HK Electric Investments Ltd.
|
Goldman Sachs
|
(35,500
|
)
|
(31,803
|
)
|
537
|
|||||||
Hong Kong & China Gas Co., Ltd.
|
Goldman Sachs
|
(28,000
|
)
|
(52,190
|
)
|
5
|
|||||||
Hong Kong Exchanges & Clearing Ltd.
|
Goldman Sachs
|
(1,030
|
)
|
(27,005
|
)
|
(48
|
)
|
||||||
Hongkong & Shanghai Hotels Ltd. (The)
|
Goldman Sachs
|
(63,000
|
)
|
(67,240
|
)
|
(5,583
|
)
|
||||||
Hybrid Kinetic Group Ltd.
|
Goldman Sachs
|
(2,360,000
|
)
|
(57,800
|
)
|
4,031
|
|||||||
Imperial Pacific International Holdings Ltd.
|
Goldman Sachs
|
(4,080,000
|
)
|
(65,888
|
)
|
9,092
|
|||||||
KuangChi Science Ltd.
|
Goldman Sachs
|
(62,000
|
)
|
(22,537
|
)
|
34
|
|||||||
Ping An Insurance Group Co. - Class H
|
Goldman Sachs
|
(5,500
|
)
|
(28,890
|
)
|
(1,467
|
)
|
||||||
Poly Property Group Co., Ltd.
|
Goldman Sachs
|
(205,000
|
)
|
(67,383
|
)
|
3,598
|
|||||||
Prada S.P.A.
|
Goldman Sachs
|
(11,100
|
)
|
(38,131
|
)
|
(1,136
|
)
|
||||||
Realord Group Holdings Ltd.
|
Goldman Sachs
|
(74,000
|
)
|
(47,121
|
)
|
1,126
|
|||||||
Shangri-La Asia Ltd.
|
Goldman Sachs
|
(64,000
|
)
|
(70,947
|
)
|
1,347
|
|||||||
SJM Holdings Ltd.
|
Goldman Sachs
|
(78,000
|
)
|
(55,098
|
)
|
(7,968
|
)
|
||||||
Towngas China Co., Ltd.
|
Macquarie
|
(86,411
|
)
|
(44,554
|
)
|
(194
|
)
|
||||||
Trinity Ltd.
|
Goldman Sachs
|
(176,000
|
)
|
(12,705
|
)
|
(715
|
)
|
||||||
Universal Medical Financial & Technical Advisory Services Co., Ltd.
|
Goldman Sachs
|
(77,724
|
)
|
(69,630
|
)
|
(5,136
|
)
|
||||||
Value Partners Group Ltd.
|
Goldman Sachs
|
(10,000
|
)
|
(8,791
|
)
|
(229
|
)
|
||||||
Vision Fame International Holdings Ltd.
|
Macquarie
|
(138,000
|
)
|
(47,673
|
)
|
(186
|
)
|
||||||
(9,678,552
|
)
|
(1,272,981
|
)
|
(12,457
|
)
|
||||||||
Indonesia
|
|||||||||||||
Astra International Tbk PT
|
Macquarie
|
(59,400
|
)
|
(33,857
|
)
|
818
|
|||||||
Bank Negara Indonesia Persero Tbk PT
|
Goldman Sachs
|
(38,000
|
)
|
(14,219
|
)
|
(263
|
)
|
||||||
Holcim Indonesia Tbk PT
|
Goldman Sachs
|
(106,600
|
)
|
(6,901
|
)
|
(371
|
)
|
||||||
(204,000
|
)
|
(54,977
|
)
|
184
|
Malaysia
|
|||||||||||||
Genting Malaysia Bhd
|
Macquarie
|
(22,100
|
)
|
(23,218
|
)
|
108
|
|||||||
Poland
|
|||||||||||||
PGE Polska Grupa Energetyczna SA
|
Goldman Sachs
|
(9,145
|
)
|
(21,327
|
)
|
1,170
|
|||||||
Singapore
|
|||||||||||||
SembCorp. Marine Ltd.
|
Morgan Stanley
|
(62,800
|
)
|
(58,804
|
)
|
(2,541
|
)
|
||||||
South Korea
|
|||||||||||||
CJ CGV Co., Ltd.
|
Morgan Stanley
|
(1,118
|
)
|
(61,504
|
)
|
3,326
|
|||||||
Hanjin Transportation Co., Ltd.
|
Goldman Sachs
|
(169
|
)
|
(4,100
|
)
|
103
|
|||||||
Hyundai Rotem Co., Ltd.
|
Goldman Sachs
|
(2,174
|
)
|
(36,492
|
)
|
1,631
|
|||||||
Kakao Corp.
|
Goldman Sachs
|
(107
|
)
|
(6,947
|
)
|
(164
|
)
|
||||||
Kumho Tire Co., Inc.
|
Goldman Sachs
|
(6,390
|
)
|
(56,768
|
)
|
11,137
|
|||||||
Samsung Heavy Industries Co., Ltd.
|
Goldman Sachs
|
(7,116
|
)
|
(55,863
|
)
|
5,451
|
|||||||
Seah Besteel Corp.
|
Goldman Sachs
|
(1,640
|
)
|
(35,023
|
)
|
505
|
|||||||
Ssangyong Motor Co.
|
Goldman Sachs
|
(4,700
|
)
|
(30,031
|
)
|
761
|
|||||||
(23,414
|
)
|
(286,728
|
)
|
22,750
|
|||||||||
Taiwan
|
|||||||||||||
Giant Manufacturing Co., Ltd.
|
Goldman Sachs
|
(5,000
|
)
|
(30,582
|
)
|
683
|
|||||||
Ruentex Industries Ltd.
|
Goldman Sachs
|
(35,000
|
)
|
(56,098
|
)
|
(8,060
|
)
|
||||||
(40,000
|
)
|
(86,680
|
)
|
(7,377
|
)
|
||||||||
Thailand
|
|||||||||||||
Bangkok Life Assurance PCL - NVDR
|
Goldman Sachs
|
(20,400
|
)
|
(30,121
|
)
|
(11
|
)
|
||||||
Thai Airways International PCL - NVDR
|
Morgan Stanley
|
(68,200
|
)
|
(46,253
|
)
|
(710
|
)
|
||||||
(88,600
|
)
|
(76,374
|
)
|
(721
|
)
|
||||||||
United Kingdom
|
|||||||||||||
Antofagasta PLC
|
Goldman Sachs
|
(6,550
|
)
|
(54,650
|
)
|
(1,868
|
)
|
||||||
Fresnillo PLC
|
Goldman Sachs
|
(718
|
)
|
(12,544
|
)
|
1,724
|
|||||||
(7,268
|
)
|
(67,194
|
)
|
(144
|
)
|
||||||||
Total Short
|
(38,710
|
)
|
|||||||||||
Net unrealized gain on Contracts for difference
|
60,460
|
||||||||||||
BOSTON PARTNERS INVESTMENT FUNDS
|
|
|
|
|
NOVEMBER 30, 2016 (unaudited)
|
||||||
|
|||||||||||
BOSTON PARTNERS EMERGING MARKETS LONG/SHORT FUND
|
Portfolio of Investments
|
A summary of the inputs used to value the Fund's investments as of November 30, 2016 is as follows (see Notes to Portfolio of Investments):
|
||||||||||||
Total
|
Level 1
|
Level 2
|
Level 3
|
|||||||||
Value as of
|
Quoted
|
Significant
|
Significant
|
|||||||||
November 30, 2016
|
Price
|
Observable
|
Unobservable
|
|||||||||
Inputs
|
Inputs
|
|||||||||||
Common Stock
|
||||||||||||
Argentina
|
$
|
236,191
|
$
|
236,191
|
$
|
—
|
$
|
—
|
||||
Brazil
|
285,418
|
68,603
|
216,815
|
—
|
||||||||
Canada
|
87,772
|
87,772
|
—
|
—
|
||||||||
China
|
289,138
|
218,152
|
70,986
|
—
|
||||||||
Colombia
|
123,250
|
123,250
|
—
|
—
|
||||||||
Czech Republic
|
147,673
|
147,673
|
—
|
—
|
||||||||
Hong Kong
|
126,516
|
—
|
126,516
|
—
|
||||||||
Hungary
|
87,514
|
—
|
87,514
|
—
|
||||||||
India
|
324,796
|
19,436
|
305,360
|
—
|
||||||||
Indonesia
|
204,016
|
—
|
204,016
|
—
|
||||||||
Israel
|
166,667
|
166,667
|
—
|
—
|
||||||||
Malaysia
|
127,810
|
—
|
127,810
|
—
|
||||||||
Mexico
|
148,868
|
148,868
|
—
|
—
|
||||||||
Netherlands
|
126,872
|
—
|
126,872
|
—
|
||||||||
Russia
|
252,007
|
252,007
|
—
|
—
|
||||||||
South Africa
|
573,521
|
349,362
|
224,159
|
—
|
||||||||
South Korea
|
168,140
|
47,075
|
121,065
|
—
|
||||||||
Sri Lanka
|
170,564
|
37,244
|
133,320
|
—
|
||||||||
Taiwan
|
23,593
|
23,593
|
—
|
—
|
||||||||
Turkey
|
156,985
|
—
|
156,985
|
—
|
||||||||
United Arab Emirates
|
126,428
|
—
|
126,428
|
—
|
||||||||
United Kingdom
|
37,533
|
20,006
|
17,527
|
—
|
||||||||
United States
|
318,138
|
318,138
|
—
|
—
|
||||||||
Preferred Stock
|
||||||||||||
Colombia
|
99,385
|
99,385
|
—
|
—
|
||||||||
South Korea
|
424,294
|
—
|
424,294
|
—
|
||||||||
Money Market Funds
|
4,778,954
|
4,778,954
|
—
|
—
|
||||||||
Contracts for difference
|
||||||||||||
Equity Contracts
|
99,170
|
31,793
|
67,377
|
—
|
||||||||
Total Assets
|
$
|
9,711,213
|
$
|
7,174,169
|
$
|
2,537,044
|
$
|
—
|
||||
Total
|
Level 1
|
Level 2
|
Level 3
|
|||||||||
Value as of
|
Quoted
|
Significant
|
Significant
|
|||||||||
November 30, 2016
|
Price
|
Observable
|
Unobservable
|
|||||||||
Inputs
|
Inputs
|
|||||||||||
Securities Sold Short
|
||||||||||||
China
|
$
|
(41,370
|
)
|
$
|
(41,370
|
)
|
$
|
—
|
$
|
—
|
||
Hong Kong
|
(41,856
|
)
|
(41,856
|
)
|
—
|
—
|
||||||
Taiwan
|
(37,372
|
)
|
(37,372
|
)
|
—
|
—
|
||||||
United States
|
(51,767
|
)
|
(51,767
|
)
|
—
|
—
|
||||||
Contracts for difference
|
||||||||||||
Equity Contracts
|
(38,710
|
)
|
(78
|
)
|
(38,632
|
)
|
—
|
|||||
Total Liabilities
|
$
|
(211,075
|
)
|
$
|
(172,443
|
)
|
$
|
(38,632
|
)
|
$
|
—
|
BOSTON PARTNERS INVESTMENT FUNDS
|
|||||
NOTES TO PORTFOLIO OF INVESTMENTS
|
|||||
November 30, 2016 (unaudited)
|
|||||
Portfolio Valuation — Each Boston Partners Investment Fund’s, 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 Long/Short Fund (“BP Emerging Markets Long/Short Fund”) (collectively “BP Funds”), and WPG Partners Small/Micro Cap Value Fund (“WPG Small/Micro Cap Value Fund”), and collectively with the BP Funds, the “Funds”) 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 having a remaining maturity of greater than 60 days 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. Fixed income securities having a remaining maturity of 60 days or less are valued at amortized cost, provided such amount approximates fair value. 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. 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, 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 fair value of the Funds’ investments are summarized into three levels as described in the hierarchy below:
|
|||||
• Level 1 - quoted prices in active markets for identical securities;
|
|||||
• Level 2 - other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.);
|
|||||
• Level 3 - significant unobservable inputs (including the Funds’ own assumptions in determining the fair value of investments).
|
|||||
The inputs or methodology 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 November 30, 2016 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 and Level 2 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”) require the Funds 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. U.S. GAAP also requires the Funds to disclose amounts and reasons for all transfers in and out of Level 1 and Level 2 fair value measurements. 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 transfers in and out of each level within the three-tier hierarchy are disclosed when a 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.
|
Foreign securities that utilize international fair pricing are categorized as Level 2 in the hierarchy. For the BP Long/Short Equity Fund and the BP Emerging Markets Long/Short Fund securities held as long positions with an end of period value of $2,321,075 and $499,166, respectively, transferred from Level 1 into Level 2. These transfers occurred as a result of these securities being valued utilizing the international fair value pricing at November 30, 2016. For the BP Long/Short Equity Fund, a security held as a short position with an end of period value of $17 transferred from Level 1 into Level 2. This transfer occurred as a result of this security being valued utilizing the international fair value pricing at November 30, 2016. For the BP Emerging Markets Long/Short Fund, securities with an end of period value of $111,952 transferred from Level 2 into Level 1. These transfers occurred as a result of these securities no longer being valued utilizing the international fair value pricing at November 30, 2016.
|
Options Written — The Funds are subject to equity price risk in the normal course of pursuing their investment objectives and may enter into options written to hedge against changes in the value of equities. Such options may relate to particular securities or domestic stock indices, and may or may not be listed on a domestic securities exchange or issued by the Options Clearing Corporation. An option contract is a commitment that gives the purchaser of the contract the right, but not the obligation, to buy or sell an underlying asset at a specific price on or before a specified future date. On the other hand, the writer of an option contract is obligated, upon the exercise of the option, to buy or sell an underlying asset at a specific price on or before a specified future date. 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. A 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. 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. 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. A Fund’s maximum risk of loss from counterparty credit risk related to OTC option contracts is limited to the premium paid. As of November 30, 2016, all of each Fund’s written options were exchange-traded options.
|
The BP Long/Short Equity Fund, the BP Long/Short Research Fund, the BP All-Cap Value Fund and the BP Global Long/Short Fund had transactions in options written during the period ended November 30, 2016 as follows:
|
BP Long/Short Equity Fund
|
BP Long/Short Research Fund
|
|||||||||||||||
Number of
|
Premiums
|
Number of
|
Premiums
|
|||||||||||||
Contracts
|
Received
|
Contracts
|
Received
|
|||||||||||||
Options outstanding at
|
||||||||||||||||
August 31, 2016
|
13,973
|
$
|
5,670,254
|
4,122
|
$
|
1,595,012
|
||||||||||
Options written
|
3,081
|
1,937,914
|
3,202
|
1,898,423
|
||||||||||||
Options closed
|
—
|
—
|
—
|
—
|
||||||||||||
Options expired
|
—
|
—
|
—
|
—
|
||||||||||||
Options exercised
|
—
|
—
|
—
|
—
|
||||||||||||
Options outstanding at November 30, 2016
|
17,054
|
$
|
7,608,168
|
7,324
|
$
|
3,493,435
|
||||||||||
BP All-Cap Value Fund
|
BP Global Long/Short Fund
|
|||||||||||||||
Number of
|
Premiums
|
Number of
|
Premiums
|
|||||||||||||
Contracts
|
Received
|
Contracts
|
Received
|
|||||||||||||
Options outstanding at
|
||||||||||||||||
August 31, 2016
|
1,017
|
$
|
649,870
|
954
|
$
|
497,321
|
||||||||||
Options written
|
—
|
—
|
859
|
548,244
|
||||||||||||
Options closed
|
—
|
—
|
—
|
—
|
||||||||||||
Options expired
|
—
|
—
|
—
|
—
|
||||||||||||
Options exercised
|
—
|
—
|
(400
|
)
|
(282,950
|
)
|
||||||||||
Options outstanding at November 30, 2016
|
1,017
|
$
|
649,870
|
1,413
|
$
|
762,615
|
||||||||||
For the period ended November 30, 2016, the average quarterly volume of derivatives is as follows:
|
||||||||||||||||
Purchased
|
Written
|
|||||||||||||||
Options
|
Options
|
|||||||||||||||
Fund
|
(Cost)
|
(Proceeds)
|
||||||||||||||
BP Long/Short Equity Fund
|
$
|
—
|
$
|
6,639,211
|
||||||||||||
BP Long/Short Research Fund
|
—
|
2,544,224
|
||||||||||||||
BP All-Cap Value Fund
|
—
|
649,870
|
||||||||||||||
BP Global Long/Short Fund
|
145,213
|
629,968
|
||||||||||||||
Short Sales — When the investment adviser believes that a security is overvalued, the BP Long/Short Equity Fund, the BP Long/Short Research Fund and the BP Global Long/Short 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.
|
Contracts for Difference — The BP Global Long/Short Fund, the BP Long/Short Research Fund and the BP Emerging Markets Long/Short 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 Statement 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 Statement 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. In connection with CFDs, cash or securities may be segregated as collateral by the Funds’ custodian. As of November 30, 2016, the BP Long/Short Research Fund, the BP Global Long/Short Fund and the BP Emerging Markets Long/Short Fund held CFDs.
|
For the period ended November 30, 2016, the average volume of CFDs is as follows:
|
||||||||
Fund
|
Notional Amount
Long |
Notional Amount
Short |
||||||
BP Long/Short Research Fund
|
$
|
61,355,824
|
$
|
33,138,350
|
||||
BP Global Long/Short Fund
|
—
|
4,936,056
|
||||||
BP Emerging Markets Long/Short Fund
|
6,118,026
|
3,132,058
|
||||||
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 Company’s Board of Directors, 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. During the three month period ended November 30, 2016, the Funds participated in securities lending.
|
Restricted Securities — A restricted security is a security which has been purchased through a private offering and cannot be resold to the general public without prior registration under the Securities Act of 1933, as amended (the “1933 Act”) or pursuant to the resale limitations provided by Rule 144 under the 1933 Act, or an exemption from the registration requirements of the 1933 Act. Certain restricted securities may be resold in transactions exempt from registration, normally to qualified institutional buyers, and may be deemed liquid by Boston Partners as applicable, based on policies and procedures established by the Company's Board of Directors. Therefore, not all restricted securities are considered illiquid.
|
At November 30, 2016, the following Fund held restricted securities that were illiquid:
|
|||||||||||||||||
BP All-Cap Value Fund
|
Acquisition
Date |
Acquisition
Cost |
Shares
|
Value
|
% of
Net Assets |
||||||||||||
Common Stocks:
|
|||||||||||||||||
Peoples Choice Financial Corp. 144A
|
12/21/04-01/23-06
|
$
|
14,293
|
1,465
|
$
|
0.00
|
0.00%
|
||||||||||
|
$
|
14,293
|
1,465
|
$
|
0.00
|
0.00%
|
|||||||||||
For more information with regard to significant accounting policies, see the most recent semi-annual or annual report filed with the Securities and Exchange Commission.
|
CAMPBELL CORE CARRY FUND
|
|||||||||||||||||||
CONSOLIDATED PORTFOLIO OF INVESTMENTS
|
|||||||||||||||||||
NOVEMBER 30, 2016
|
|||||||||||||||||||
(UNAUDITED)
|
|||||||||||||||||||
COUPON*
|
MATURITY
|
PAR
|
VALUE
|
||||||||||||||||
SHORT-TERM INVESTMENTS — 79.9%
|
|||||||||||||||||||
U.S. TREASURY OBLIGATIONS — 79.9%
|
|||||||||||||||||||
United States Treasury Bill
|
0.261
|
%
|
12/22/16
|
$
|
1,800,000
|
$
|
1,799,727
|
||||||||||||
United States Treasury Bill
|
0.371
|
%
|
01/26/17
|
1,375,000
|
1,374,209
|
||||||||||||||
United States Treasury Bill
|
0.312
|
%
|
03/23/17
|
2,800,000
|
2,795,722
|
||||||||||||||
United States Treasury Bill
|
0.373
|
%
|
02/23/17
|
2,800,000
|
2,797,043
|
||||||||||||||
United States Treasury Bill
|
0.432
|
%
|
04/13/17
|
3,000,000
|
2,994,321
|
||||||||||||||
11,761,022
|
|||||||||||||||||||
TOTAL SHORT-TERM INVESTMENTS
|
|||||||||||||||||||
(Cost $11,763,089)
|
11,761,022
|
||||||||||||||||||
TOTAL INVESTMENTS — 79.9%
|
|||||||||||||||||||
(Cost $11,763,089)**
|
11,761,022
|
||||||||||||||||||
OTHER ASSETS IN EXCESS OF LIABILITIES — 20.1%
|
2,962,487
|
||||||||||||||||||
NET ASSETS — 100.0%
|
$
|
14,723,509
|
|||||||||||||||||
*
|
Short-term investments reflect the annualized yield on the date of purchase for discounted investments.
|
||||||||||||||||||
**
|
The cost basis of investments for federal income tax purposes at November 30, 2016 was as follows: | ||||||||||||||||||
Cost of investments
|
$
|
11,763,089
|
|||||||||||||||||
Gross unrealized appreciation
|
$
|
-
|
|||||||||||||||||
Gross unrealized depreciation
|
(2,067
|
)
|
|||||||||||||||||
Net unrealized appreciation (depreciation)
|
$
|
(2,067
|
)
|
||||||||||||||||
*Because tax adjustments are calculated annually at the end of the Fund's fiscal year, the above table does not reflect tax adjustments for the current fiscal year.
For the previous fiscal year's federal income tax information, please refer to the Notes of Financial Statements section in the Fund's most recent annual report.
|
|||||||||||||||||||
CAMPBELL CORE CARRY FUND
|
CONSOLIDATED PORTFOLIO OF INVESTMENTS
|
NOVEMBER 30, 2016
|
(UNAUDITED)
|
FUTURES CONTRACTS
|
||||||||||||||
LONG CONTRACTS
|
EXPIRATION
DATE |
NUMBER OF
CONTRACTS |
NOTIONAL
COST |
UNREALIZED
APPRECIATION |
||||||||||
3-Month Euro Euribor
|
Dec-17
|
45
|
$
|
11,927,775
|
$
|
1,079
|
||||||||
90-Day Euro
|
Dec-17
|
289
|
71,320,934
|
(78,821
|
)
|
|||||||||
90-Day Sterling
|
Dec-17
|
90
|
13,828,425
|
(3,462
|
)
|
|||||||||
Amsterdam Index
|
Dec-16
|
9
|
864,958
|
11,005
|
||||||||||
Australian 10-Year Bond
|
Dec-16
|
3
|
225,412
|
(8,821
|
)
|
|||||||||
Australian 3-Year Bond
|
Dec-16
|
124
|
9,201,308
|
(66,277
|
)
|
|||||||||
CAC40 10 Euro
|
Dec-16
|
15
|
723,215
|
7,243
|
||||||||||
Canadian 10-Year Bond
|
Mar-17
|
1
|
103,173
|
(277
|
)
|
|||||||||
Cotton No.2
|
Mar-17
|
16
|
562,797
|
9,843
|
||||||||||
Euro Stoxx 50
|
Dec-16
|
25
|
818,846
|
7,093
|
||||||||||
Euro-Bund
|
Dec-16
|
12
|
2,057,630
|
(2,747
|
)
|
|||||||||
FTSE 100 Index
|
Dec-16
|
9
|
766,010
|
(3,645
|
)
|
|||||||||
IBEX 35 Index
|
Dec-16
|
9
|
832,787
|
1,104
|
||||||||||
London Metals Exchange Aluminum
|
Dec-16
|
76
|
3,220,426
|
72,750
|
||||||||||
London Metals Exchange Nickel
|
Dec-16
|
2
|
121,731
|
12,792
|
||||||||||
London Metals Exchange Zinc
|
Dec-16
|
26
|
1,563,685
|
185,465
|
||||||||||
MSCI Taiwan Index
|
Dec-16
|
1
|
34,232
|
278
|
||||||||||
OMX Stockholm 30 Index
|
Dec-16
|
144
|
2,288,545
|
21,332
|
||||||||||
S&P/TSX 60 Index
|
Dec-16
|
8
|
1,033,590
|
23,122
|
||||||||||
Soybean
|
Jan-17
|
12
|
617,672
|
1,678
|
||||||||||
Soybean Meal
|
Mar-17
|
11
|
352,181
|
1,029
|
||||||||||
Soybean Oil
|
Mar-17
|
32
|
713,204
|
1,996
|
||||||||||
SPI 200 Index
|
Dec-16
|
7
|
713,334
|
9,570
|
||||||||||
Sugar No. 11 (World)
|
Mar-17
|
47
|
1,135,279
|
(92,481
|
)
|
|||||||||
U.S. Treasury 10-Year Notes
|
Mar-17
|
2
|
250,050
|
(1,019
|
)
|
|||||||||
U.S. Treasury 2-Year Notes
|
Mar-17
|
196
|
42,504,709
|
(9,459
|
)
|
|||||||||
U.S. Treasury 5-Year Notes
|
Mar-17
|
71
|
8,366,163
|
743
|
||||||||||
$
|
176,148,071
|
$
|
101,113
|
|||||||||||
SHORT CONTRACTS
|
EXPIRATION
DATE |
NUMBER OF
CONTRACTS |
NOTIONAL
COST |
UNREALIZED
APPRECIATION |
||||||||||
Bank Acceptance
|
Dec-16
|
-9
|
$
|
(1,664,728
|
)
|
$
|
107
|
|||||||
Brent Crude
|
Feb-16
|
-11
|
(511,119
|
)
|
(59,159
|
)
|
||||||||
CBOE Volatility Index
|
Dec-16
|
-17
|
(264,676
|
)
|
17,619
|
|||||||||
Coffee
|
Mar-17
|
-20
|
(1,263,283
|
)
|
133,667
|
|||||||||
Copper
|
Mar-17
|
-2
|
(128,642
|
)
|
(3,017
|
)
|
||||||||
Corn
|
Mar-17
|
-65
|
(1,167,498
|
)
|
34,502
|
|||||||||
Euro-Schatz
|
Dec-16
|
-125
|
(15,293,060
|
)
|
(28,437
|
)
|
||||||||
Gold 100 Oz
|
Feb-17
|
-4
|
(475,739
|
)
|
6,161
|
|||||||||
Kansas City Hard Red Winter Wheat
|
Mar-17
|
-22
|
(475,064
|
)
|
23,661
|
|||||||||
London Metals Exchange Aluminum
|
Dec-16
|
-61
|
(2,456,953
|
)
|
(186,254
|
)
|
||||||||
London Metals Exchange Nickel
|
Dec-16
|
-4
|
(249,369
|
)
|
(19,677
|
)
|
||||||||
London Metals Exchange Zinc
|
Dec-16
|
-31
|
(1,796,201
|
)
|
(289,325
|
)
|
Natural Gas
|
Jan-17
|
-8
|
(230,159
|
)
|
(38,039
|
)
|
|||||||
NY Harbor Ultra-Low Sulfur Diesel
|
Jan-17
|
-9
|
(557,172
|
)
|
(38,712
|
)
|
|||||||
Silver
|
Mar-17
|
-5
|
(418,037
|
)
|
5,963
|
||||||||
Wheat
|
Mar-17
|
-44
|
(936,463
|
)
|
50,162
|
||||||||
WTI Crude
|
Jan-17
|
-13
|
(608,141
|
)
|
(34,641
|
)
|
|||||||
$
|
(28,496,304
|
)
|
$
|
(425,419
|
)
|
||||||||
Total Futures Contracts
|
$
|
147,651,767
|
$
|
(324,306
|
)
|
CAMPBELL CORE CARRY FUND
|
|||||||||||||||
CONSOLIDATED PORTFOLIO OF INVESTMENTS
|
|||||||||||||||
NOVEMBER 30, 2016
|
|||||||||||||||
(UNAUDITED)
|
|||||||||||||||
Forward foreign currency contracts outstanding as of November 30, 2016 were as follows:
|
|||||||||||||||
FORWARD CONTRACTS
|
|||||||||||||||
UNREALIZED
|
|||||||||||||||
APPRECIATION
|
|||||||||||||||
CURRENCY PURCHASED
|
CURRENCY SOLD
|
EXPIRATION
|
COUNTERPARTY
|
(DEPRECIATION)
|
|||||||||||
AUD
|
4,500,000
|
USD
|
3,432,541
|
12/21/16
|
UBS
|
(111,427
|
)
|
||||||||
EUR
|
2,600,000
|
USD
|
2,878,906
|
12/21/16
|
UBS
|
(119,981
|
)
|
||||||||
JPY
|
106,400,000
|
USD
|
1,030,134
|
12/21/16
|
UBS
|
(98,869
|
)
|
||||||||
NZD
|
3,900,000
|
USD
|
2,840,952
|
12/21/16
|
UBS
|
(81,049
|
)
|
||||||||
SEK
|
15,000,000
|
USD
|
1,704,545
|
12/21/16
|
UBS
|
(75,814
|
)
|
||||||||
USD
|
2,421,583
|
AUD
|
3,200,000
|
12/21/16
|
UBS
|
59,902
|
|||||||||
USD
|
371,435
|
CAD
|
500,000
|
12/21/16
|
UBS
|
(871
|
)
|
||||||||
USD
|
207,768
|
CHF
|
200,000
|
12/21/16
|
UBS
|
10,729
|
|||||||||
USD
|
6,521,713
|
EUR
|
5,900,000
|
12/21/16
|
UBS
|
261,074
|
|||||||||
USD
|
2,113,117
|
JPY
|
221,500,000
|
12/21/16
|
UBS
|
174,440
|
|||||||||
USD
|
1,797,975
|
NZD
|
2,500,000
|
12/21/16
|
UBS
|
28,807
|
|||||||||
USD
|
3,704,415
|
SEK
|
32,200,000
|
12/21/16
|
UBS
|
208,071
|
|||||||||
Total Forward Foreign Currency Contracts
|
$
|
255,012
|
|||||||||||||
AUD - Australian Dollar
|
|||||||||||||||
CHF - Swiss Franc
|
|||||||||||||||
CAD - Canadian Dollar
|
|||||||||||||||
EUR - Euro
|
|||||||||||||||
JPY - Japanese Yen
|
|||||||||||||||
NZD - New Zealand Dollar
|
|||||||||||||||
SEK - Swedish Krona
|
|||||||||||||||
USD - United States Dollar
|
CAMPBELL CORE CARRY FUND
|
NOTES TO CONSOLIDATED PORTFOLIO OF INVESTMENTS
|
NOVEMBER 30, 2016
|
(UNAUDITED)
|
CONSOLIDATION OF SUBSIDIARY —The Campbell Core Carry Fund (the “Fund”) pursues its investment objective by (i) investing its assets pursuant to the Campbell Core Carry Program; (ii) allocating up to 25% of its assets in its wholly-owned subsidiary, Campbell Core Carry Offshore Limited (the “Subsidiary”), which is organized under the laws of the Cayman Islands and employs the Manager’s Campbell Core Carry Program, and (iii) allocating the remainder of its assets directly in an actively managed investment grade securities portfolio (including government securities) for cash management purposes. Securities rated in the four highest categories by the ratings agencies are considered investment grade. 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 economic interest (greater than 50%). All inter-company accounts and transactions have been eliminated. As of November 30, 2016, the net assets of the Subsidiary were $839,550 which represented 5.7% 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. Fixed income securities having a remaining maturity of greater than 60 days 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. Fixed income securities having a remaining maturity of 60 days or less are valued at amortized cost, which approximates fair value. 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. 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 fair value of the Fund’s investments are summarized into three levels as described in the hierarchy below:
|
|||||||||||||||
•
|
Level 1 –
|
quoted prices in active markets for identical securities;
|
|||||||||||||
•
|
Level 2 –
|
other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.); and
|
|||||||||||||
•
|
Level 3 –
|
significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments).
|
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
|
||||||||||||||||||||
The following is a summary of inputs used, as of November 30, 2016, in valuing the Fund's investments carried at fair value.
|
||||||||||||||||||||
LEVEL 2
|
LEVEL 3
|
|||||||||||||||||||
TOTAL FAIR
|
SIGNIFICANT
|
SIGNIFICANT
|
||||||||||||||||||
VALUE AT
|
LEVEL 1
|
OBSERVABLE
|
UNOBSERVABLE
|
|||||||||||||||||
NOVEMBER 30, 2016
|
QUOTED PRICE
|
INPUTS
|
INPUTS
|
|||||||||||||||||
Short-Term Investments
|
$
|
11,761,022
|
$
|
-
|
$
|
11,761,022
|
$
|
-
|
||||||||||||
Commodity Contracts
|
||||||||||||||||||||
Futures
|
539,669
|
539,669
|
-
|
-
|
||||||||||||||||
Equity Contracts
|
||||||||||||||||||||
Futures
|
98,366
|
98,366
|
-
|
-
|
||||||||||||||||
Interest Rate Contracts
|
||||||||||||||||||||
Futures
|
1,929
|
1,929
|
-
|
-
|
||||||||||||||||
Foreign Exchange Contracts
|
||||||||||||||||||||
Forward Foreign Currency Contracts
|
743,023
|
-
|
743,023
|
-
|
||||||||||||||||
Total Assets
|
$
|
13,144,009
|
$
|
639,964
|
$
|
12,504,045
|
$
|
-
|
||||||||||||
LEVEL 2
|
LEVEL 3
|
|||||||||||||||||||
TOTAL FAIR
|
SIGNIFICANT
|
SIGNIFICANT
|
||||||||||||||||||
VALUE AT
|
LEVEL 1
|
OBSERVABLE
|
UNOBSERVABLE
|
|||||||||||||||||
NOVEMBER 30, 2016
|
QUOTED PRICE
|
INPUTS
|
INPUTS
|
|||||||||||||||||
Commodity Contracts
|
||||||||||||||||||||
Futures
|
$
|
(761,305
|
)
|
$
|
(761,305
|
)
|
$
|
-
|
$
|
-
|
||||||||||
Equity Contracts
|
|
|
||||||||||||||||||
Futures
|
(3,645
|
)
|
(3,645
|
)
|
-
|
-
|
||||||||||||||
Interest Rate Contracts
|
|
|
||||||||||||||||||
Futures
|
(199,320
|
)
|
(199,320
|
)
|
-
|
-
|
||||||||||||||
Foreign Exchange Contracts
|
|
|
||||||||||||||||||
Forward Foreign Currency Contracts
|
(488,011
|
)
|
-
|
(488,011
|
)
|
-
|
||||||||||||||
Total Liabilities
|
$
|
(1,452,281
|
)
|
$
|
(964,270
|
)
|
$
|
(488,011
|
)
|
$
|
-
|
|||||||||
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 classifications of Level 1 and Level 2 assets and liabilities on a quarterly basis for changes in listings or delisting 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 the period ended November 30, 2016 the Fund had no transfers between Levels 1, 2, and 3.
|
||||||||||||||||||||
DISCLOSURE ABOUT DERIVATIVE INSTRUMENTS AND HEDGING ACTIVITIES
|
||||||||||||||||||||
The following table lists the fair values of the Fund's derivative holdings as of November 30, 2016 grouped by contract type and risk exposure category.
|
DERIVATIVE TYPE
|
|
|
EQUITY
CONTRACTS
|
|
INTEREST RATE
CONTRACTS |
|
FOREIGN
CURRENCY
CONTRACTS |
|
COMMODITY
CONTRACTS |
|
TOTALS
|
|
Asset Derivatives
|
||||||||||||
Unrealized
|
||||||||||||
appreciation on
|
||||||||||||
forward foreign
|
||||||||||||
Forward Contracts
|
currency contracts
|
|
$ -
|
|
$ -
|
|
$ 743,023
|
|
$ -
|
|
$ 743,023
|
|
Receivable:
|
||||||||||||
Future Contracts (a)
|
Variation Margin
|
|
98,366
|
|
1,929
|
|
-
|
|
539,669
|
|
639,964
|
|
Total Value - Assets
|
|
|
$ 98,366
|
|
$ 1,929
|
|
$ 743,023
|
|
$ 539,669
|
|
$ 1,382,987
|
|
Liability Derivatives
|
||||||||||||
Unrealized
|
||||||||||||
depreciation on
|
||||||||||||
forward foreign
|
||||||||||||
Forward Contracts
|
currency contracts
|
|
$ -
|
|
$ -
|
|
$ (488,011)
|
|
$ -
|
|
$ (488,011)
|
|
Receivable:
|
||||||||||||
Future Contracts (a)
|
Variation Margin
|
|
(3,645)
|
|
(199,320)
|
|
-
|
|
(761,305)
|
|
(964,270)
|
|
Total Value - Liabilities
|
|
$ (3,645)
|
|
$ (199,320)
|
|
$ (488,011)
|
|
$ (761,305)
|
|
$ (1,452,281)
|
(a) This amount represents the cumulative appreciation/depreciation of futures contracts as reported in the consolidated Portfolio of Investments
|
|||||||||||||||||||||
For the period ended November 30, 2016, the Fund's quarterly average volume of derivatives is as follows:
|
LONG FUTURES
NOTIONAL COST |
SHORT FUTURES
NOTIONAL COST |
FORWARD FOREIGN
CURRENCY |
FORWARD FOREIGN
CURRENCY |
||||||||||||||||||
$ | 144,151,898 | $ | (49,669,709) | $ | (25,198,907) | $ | 25,398,553 |
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.
|
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.
|
||||||||||||||
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.
|
||||||||||||||
FUTURES CONTRACTS — The Fund uses futures contracts in the normal course of pursuing its investment objectives. 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 a “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 Portfolio of Investments, 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 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 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. A 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 a Fund and the counterparty is in place and to the extent a Fund obtains collateral to cover the Fund’s exposure to the counterparty.
|
||||||||||||||
For more information with regard to accounting policies, see the most recent semi-annual or annual report filed with the Securities and Exchange Commission.
|
CAMPBELL CORE TREND FUND
|
|||||||||||||||||||
CONSOLIDATED PORTFOLIO OF INVESTMENTS
|
|||||||||||||||||||
NOVEMBER 30, 2016
|
|||||||||||||||||||
(UNAUDITED)
|
|||||||||||||||||||
COUPON*
|
MATURITY
|
PAR
|
VALUE
|
||||||||||||||||
SHORT-TERM INVESTMENTS — 81.9%
|
|||||||||||||||||||
U.S. TREASURY OBLIGATIONS — 81.9%
|
|||||||||||||||||||
United States Treasury Bill
|
0.261
|
%
|
12/22/16
|
$
|
1,150,000
|
$
|
1,149,826
|
||||||||||||
United States Treasury Bill
|
0.371
|
%
|
01/26/17
|
740,000
|
739,574
|
||||||||||||||
United States Treasury Bill
|
0.374
|
%
|
02/23/17
|
1,687,500
|
1,685,718
|
||||||||||||||
United States Treasury Bill
|
0.433
|
%
|
03/23/17
|
1,687,500
|
1,684,922
|
||||||||||||||
United States Treasury Bill
|
0.438
|
%
|
04/13/17
|
2,150,000
|
2,145,930
|
||||||||||||||
7,405,970
|
|||||||||||||||||||
TOTAL SHORT-TERM INVESTMENTS
|
|||||||||||||||||||
(Cost $7,407,253)
|
7,405,970
|
||||||||||||||||||
TOTAL INVESTMENTS — 81.9%
|
|||||||||||||||||||
(Cost $7,407,253)**
|
7,405,970
|
||||||||||||||||||
OTHER ASSETS IN EXCESS OF LIABILITIES — 18.1%
|
1,639,912
|
||||||||||||||||||
NET ASSETS — 100.0%
|
$
|
9,045,882
|
|||||||||||||||||
*
|
Short-term investments reflect the annualized yield on the date of purchase for discounted investments.
|
||||||||||||||||||
**
|
The cost basis of investments for federal income tax purposes at November 30, 2016 was as follows: | ||||||||||||||||||
Cost of investments
|
$
|
7,407,253
|
|||||||||||||||||
Gross unrealized appreciation
|
$
|
-
|
|||||||||||||||||
Gross unrealized depreciation
|
(1,283
|
)
|
|||||||||||||||||
Net unrealized appreciation (depreciation)
|
$
|
(1,283
|
)
|
CAMPBELL CORE TREND FUND
|
|
CONSOLIDATED PORTFOLIO OF INVESTMENTS
|
|
NOVEMBER 30, 2016
|
|
(UNAUDITED)
|
|
FUTURES CONTRACTS
|
LONG CONTRACTS
|
EXPIRATION
DATE |
NUMBER OF
CONTRACTS |
NOTIONAL
COST |
UNREALIZED
APPRECIATION |
|||||||||||
10-Year Mini Japanese Government Bond
|
Dec-16
|
1
|
$
|
135,453
|
$
|
114
|
|||||||||
Amsterdam Index
|
Dec-16
|
1
|
95,760
|
1,378
|
|||||||||||
CAC 40 10 Euro
|
Dec-16
|
1
|
47,811
|
816
|
|||||||||||
Canadian 10-Year Bond
|
Mar-17
|
1
|
103,173
|
(277
|
)
|
||||||||||
Cocoa
|
Mar-17
|
1
|
24,813
|
(923
|
)
|
||||||||||
Coffee
|
Mar-17
|
1
|
63,659
|
(7,184
|
)
|
||||||||||
Cotton No.2
|
Mar-17
|
4
|
138,452
|
4,708
|
|||||||||||
Dow Jones E-Mini
|
Dec-16
|
2
|
188,530
|
2,790
|
|||||||||||
Euro Bund
|
Dec-16
|
1
|
170,808
|
350
|
|||||||||||
Euro Stoxx 50
|
Dec-16
|
2
|
64,230
|
615
|
|||||||||||
Euro-Bobl
|
Dec-16
|
1
|
139,139
|
530
|
|||||||||||
Euro-Schatz
|
Dec-16
|
5
|
594,942
|
574
|
|||||||||||
FTSE 100 Index
|
Dec-16
|
1
|
84,641
|
94
|
|||||||||||
Hang Seng Index
|
Dec-16
|
1
|
145,197
|
1,911
|
|||||||||||
London Metals Exchange Aluminum
|
Dec-16
|
21
|
884,095
|
25,861
|
|||||||||||
London Metals Exchange Copper
|
Dec-16
|
11
|
1,334,061
|
264,857
|
|||||||||||
London Metals Exchange Nickel
|
Dec-16
|
5
|
310,515
|
25,793
|
|||||||||||
London Metals Exchange Zinc
|
Dec-16
|
18
|
1,042,850
|
168,100
|
|||||||||||
MSCI Singapore Index
|
Dec-16
|
2
|
44,980
|
333
|
|||||||||||
MSCI Taiwan Index
|
Dec-16
|
4
|
136,928
|
1,112
|
|||||||||||
NASDAQ 100 E-Mini
|
Dec-16
|
1
|
96,170
|
150
|
|||||||||||
Nikkei 225
|
Dec-16
|
1
|
81,021
|
1,683
|
|||||||||||
OMX Stockholm 30 Index
|
Dec-16
|
5
|
80,102
|
81
|
|||||||||||
Palladium
|
Mar-17
|
1
|
73,507
|
3,758
|
|||||||||||
Russell 2000 Index
|
Dec-16
|
1
|
131,570
|
660
|
|||||||||||
S&P 500 E-Mini
|
Dec-16
|
1
|
109,040
|
900
|
|||||||||||
S&P Mid 400 E-Mini
|
Dec-16
|
1
|
160,450
|
2,240
|
|||||||||||
S&P/TSX 60 Index
|
Dec-16
|
2
|
261,607
|
2,948
|
|||||||||||
Soybean
|
Jan-17
|
2
|
101,893
|
1,332
|
|||||||||||
SPI 200 Index
|
Dec-16
|
1
|
98,728
|
1,477
|
|||||||||||
Sugar No. 11 (World)
|
Mar-17
|
1
|
25,001
|
(2,814
|
)
|
||||||||||
Topix Index
|
Dec-16
|
1
|
128,671
|
3,977
|
|||||||||||
$
|
7,097,797
|
$
|
507,944
|
||||||||||||
|
|||||||||||||||
SHORT CONTRACTS
|
EXPIRATION
DATE |
NUMBER OF
CONTRACTS |
NOTIONAL
COST |
UNREALIZED
APPRECIATION |
|||||||||||
3-Month Euro Euribor
|
Dec-17
|
-13
|
$
|
(3,461,938
|
)
|
$
|
(496
|
)
|
|||||||
90-Day Bank Bill
|
Mar-17
|
-6
|
(435,178
|
)
|
(20
|
)
|
|||||||||
90-Day Eurodollar
|
Dec-17
|
-14
|
(3,451,700
|
)
|
525
|
||||||||||
90-Day Sterling
|
Dec-17
|
-8
|
(1,242,503
|
)
|
(250
|
)
|
|||||||||
Australian 10-Year Bond
|
Dec-16
|
-2
|
(143,345
|
)
|
75
|
||||||||||
Australian 3-Year Bond
|
Dec-16
|
-15
|
(1,084,204
|
)
|
1,722
|
Brent Crude
|
Feb-17
|
-1
|
(45,482
|
)
|
(6,362
|
)
|
|||||||||
Cattle Feeder
|
Jan-17
|
-1
|
(56,765
|
)
|
(7,453
|
)
|
|||||||||
Euro-BTP
|
Dec-16
|
-1
|
(142,274
|
)
|
(1,537
|
)
|
|||||||||
FTSE/JSE Top 40
|
Dec-16
|
-3
|
(93,578
|
)
|
1,198
|
||||||||||
Gold 100 Oz
|
Feb-17
|
-1
|
(118,922
|
)
|
1,528
|
||||||||||
Lean Hogs
|
Feb-17
|
-4
|
(86,492
|
)
|
(1,892
|
)
|
|||||||||
Live Cattle
|
Feb-17
|
-2
|
(84,906
|
)
|
(4,666
|
)
|
|||||||||
London Metals Exchange Aluminum
|
Dec-16
|
-18
|
(745,460
|
)
|
(34,503
|
)
|
|||||||||
London Metals Exchange Copper
|
Dec-16
|
-10
|
(1,180,670
|
)
|
(272,892
|
)
|
|||||||||
London Metals Exchange Nickel
|
Dec-16
|
-4
|
(250,822
|
)
|
(18,224
|
)
|
|||||||||
London Metals Exchange Zinc
|
Dec-16
|
-15
|
(902,648
|
)
|
(106,477
|
)
|
|||||||||
Low Sulphur Gas Oil
|
Jan-17
|
-1
|
(41,252
|
)
|
(3,952
|
)
|
|||||||||
Platinum
|
Jan-17
|
-1
|
(47,907
|
)
|
2,408
|
||||||||||
U.S. Treasury 10-Year Notes
|
Mar-17
|
-2
|
(250,503
|
)
|
1,466
|
||||||||||
U.S. Treasury 2-Year Notes
|
Mar-17
|
-9
|
(1,950,764
|
)
|
(577
|
)
|
|||||||||
U.S. Treasury 5-Year Notes
|
Mar-17
|
-5
|
(589,266
|
)
|
32
|
||||||||||
Wheat
|
Mar-17
|
-6
|
(127,667
|
)
|
6,808
|
||||||||||
WTI Crude
|
Jan-17
|
-1
|
(45,402
|
)
|
(4,042
|
)
|
|||||||||
$
|
(16,579,648
|
)
|
$
|
(447,581
|
)
|
||||||||||
Total Futures Contracts
|
$
|
(9,481,851
|
)
|
$
|
60,363
|
||||||||||
CAMPBELL CORE TREND FUND
|
|||||||||||||||
CONSOLIDATED PORTFOLIO OF INVESTMENTS
|
|||||||||||||||
NOVEMBER 30, 2016
|
|||||||||||||||
(UNAUDITED)
|
|||||||||||||||
Forward foreign currency contracts outstanding as of November 30, 2016 were as follows:
|
|||||||||||||||
FORWARD CONTRACTS
|
|||||||||||||||
UNREALIZED
|
|||||||||||||||
APPRECIATION
|
|||||||||||||||
CURRENCY PURCHASED
|
CURRENCY SOLD
|
EXPIRATION
|
COUNTERPARTY
|
(DEPRECIATION)
|
|||||||||||
AUD
|
2,500,000
|
USD
|
1,905,545
|
12/21/16
|
UBS
|
$
|
(60,482
|
)
|
|||||||
CAD
|
2,000,000
|
USD
|
1,515,473
|
12/21/16
|
UBS
|
(26,246
|
)
|
||||||||
EUR
|
1,600,000
|
USD
|
1,778,208
|
12/21/16
|
UBS
|
(80,407
|
)
|
||||||||
GBP
|
700,000
|
USD
|
889,450
|
12/21/16
|
UBS
|
(12,999
|
)
|
||||||||
JPY
|
105,300,000
|
USD
|
1,036,560
|
12/21/16
|
UBS
|
(114,923
|
)
|
||||||||
MXN
|
14,300,000
|
USD
|
746,428
|
12/21/16
|
UBS
|
(53,270
|
)
|
||||||||
NOK
|
7,200,000
|
USD
|
887,924
|
12/21/16
|
UBS
|
(42,129
|
)
|
||||||||
NZD
|
1,800,000
|
USD
|
1,329,752
|
12/21/16
|
UBS
|
(55,950
|
)
|
||||||||
SEK
|
11,000,000
|
USD
|
1,253,619
|
12/21/16
|
UBS
|
(59,216
|
)
|
||||||||
SGD
|
2,100,000
|
USD
|
1,542,549
|
12/21/16
|
UBS
|
(77,376
|
)
|
||||||||
ZAR
|
9,700,000
|
USD
|
686,086
|
12/21/16
|
UBS
|
(100
|
)
|
||||||||
USD
|
1,585,508
|
AUD
|
2,100,000
|
12/21/16
|
UBS
|
35,655
|
|||||||||
USD
|
1,891,355
|
CAD
|
2,500,000
|
12/21/16
|
UBS
|
29,822
|
|||||||||
USD
|
100,081
|
CHF
|
100,000
|
12/21/16
|
UBS
|
1,562
|
|||||||||
USD
|
2,326,096
|
EUR
|
2,100,000
|
12/21/16
|
UBS
|
97,733
|
|||||||||
USD
|
1,021,342
|
GBP
|
800,000
|
12/21/16
|
UBS
|
19,684
|
|||||||||
USD
|
1,260,701
|
JPY
|
130,100,000
|
12/21/16
|
UBS
|
122,001
|
|||||||||
USD
|
795,662
|
MXN
|
15,200,000
|
12/21/16
|
UBS
|
58,879
|
|||||||||
USD
|
1,015,267
|
NOK
|
8,400,000
|
12/21/16
|
UBS
|
28,505
|
|||||||||
USD
|
1,297,934
|
NZD
|
1,800,000
|
12/21/16
|
UBS
|
24,133
|
|||||||||
USD
|
1,670,901
|
SEK
|
14,500,000
|
12/21/16
|
UBS
|
96,461
|
|||||||||
USD
|
2,114,122
|
SGD
|
2,900,000
|
12/21/16
|
UBS
|
90,788
|
|||||||||
USD
|
581,962
|
ZAR
|
8,200,000
|
12/21/16
|
UBS
|
2,056
|
|||||||||
Total Forward Foreign Currency Contracts
|
$
|
24,181
|
|||||||||||||
AUD - Australian Dollar
|
NZD - New Zealand Dollar
|
|||||||||||||
CHF - Swiss Franc
|
SEK - Swedish Krona
|
|||||||||||||
CAD - Canadian Dollar
|
SGD - Singapore Dollar
|
|||||||||||||
EUR - Euro
|
USD - United States Dollar
|
|||||||||||||
GBP - British Pound
|
ZAR - South African Rand
|
|||||||||||||
JPY - Japanese Yen
|
||||||||||||||
MXN - Mexican Peso
|
||||||||||||||
NOK - Norwegian Krone
|
CAMPBELL CORE TREND FUND
|
NOTES TO CONSOLIDATED PORTFOLIO OF INVESTMENTS
|
NOVEMBER 30, 2016
|
(UNAUDITED)
|
CONSOLIDATION OF SUBSIDIARY —The Campbell Core Trend Fund (the “Fund”) pursues its investment objective by (i) investing its assets pursuant to the Campbell Core Trend Program; (ii) allocating up to 25% of its assets in its wholly-owned subsidiary, Campbell Core Offshore Limited (the “Subsidiary”), which is organized under the laws of the Cayman Islands and employs the Manager’s Campbell Core Carry Program, and (iii) allocating the remainder of its assets directly in an actively managed investment grade securities portfolio (including government securities) for cash management purposes. Securities rated in the four highest categories by the ratings agencies are considered investment grade. 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 economic interest (greater than 50%). All inter-company accounts and transactions have been eliminated. As of November 30, 2016, the net assets of the Subsidiary were $985,289 which represented 10.9% of the Fund’s net assets.
|
FAIR VALUE MEASUREMENTS — The inputs and valuation techniques used to measure fair value of the Fund’s investments are summarized into three levels as described in the hierarchy below:
|
||||||||||||
•
|
Level 1 –
|
quoted prices in active markets for identical securities;
|
||||||||||
•
|
Level 2 –
|
other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.); and
|
||||||||||
•
|
Level 3 –
|
significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments).
|
||||||||||
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
|
||||||||||||
The following is a summary of inputs used, as of November 30, 2016, in valuing the Fund's investments carried at fair value.
|
LEVEL 2
|
LEVEL 3
|
|||||||||||||||
TOTAL FAIR
|
SIGNIFICANT
|
SIGNIFICANT
|
||||||||||||||
VALUE AT
|
LEVEL 1
|
OBSERVABLE
|
UNOBSERVABLE
|
|||||||||||||
NOVEMBER 30, 2016
|
QUOTED PRICE
|
INPUTS
|
INPUTS
|
|||||||||||||
Short-Term Investments
|
$
|
7,405,970
|
$
|
-
|
$
|
7,405,970
|
$
|
-
|
||||||||
Commodity Contracts
|
||||||||||||||||
Futures
|
505,153
|
505,153
|
-
|
-
|
||||||||||||
Equity Contracts
|
||||||||||||||||
Futures
|
24,363
|
24,363
|
-
|
-
|
||||||||||||
Interest Rate Contracts
|
||||||||||||||||
Futures
|
5,388
|
5,388
|
-
|
-
|
||||||||||||
Foreign Exchange Contracts
|
||||||||||||||||
Forward Foreign Currency Contracts
|
607,279
|
-
|
607,279
|
-
|
||||||||||||
Total Assets
|
$
|
8,548,153
|
$
|
534,904
|
$
|
8,013,249
|
$
|
-
|
||||||||
LEVEL 2
|
LEVEL 3
|
|||||||||||||||
TOTAL FAIR
|
SIGNIFICANT
|
SIGNIFICANT
|
||||||||||||||
VALUE AT
|
LEVEL 1
|
OBSERVABLE
|
UNOBSERVABLE
|
|||||||||||||
NOVEMBER 30, 2016
|
QUOTED PRICE
|
INPUTS
|
INPUTS
|
|||||||||||||
Commodity Contracts
|
||||||||||||||||
Futures
|
$
|
(471,384
|
)
|
$
|
(471,384
|
)
|
$
|
-
|
$
|
-
|
||||||
Interest Rate Contracts
|
-
|
-
|
||||||||||||||
Futures
|
(3,157
|
)
|
(3,157
|
)
|
-
|
-
|
||||||||||
Foreign Exchange Contracts
|
-
|
-
|
||||||||||||||
Forward Foreign Currency Contracts
|
(583,098
|
)
|
-
|
(583,098
|
)
|
-
|
||||||||||
Total Liabilities
|
$
|
(1,057,639
|
)
|
$
|
(474,541
|
)
|
$
|
(583,098
|
)
|
$
|
-
|
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 classifications of Level 1 and Level 2 assets and liabilities on a quarterly basis for changes in listings or delisting 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 valuation using significant unobservable inputs, U.S. generally accepted accounting principles (“U.S. GAAP”) require 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. U.S. GAAP also requires the Fund to disclose amounts and reasons for all transfers in and out of Level 1 and Level 2 fair value measurements. 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 transfers in and out of each Level within the three-tier hierarchy are disclosed when 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.
|
For the period ended November 30, 2016 the Fund had no transfers between Levels 1, 2, and 3.
|
|||||||||||||
DISCLOSURE ABOUT DERIVATIVE INSTRUMENTS AND HEDGING ACTIVITIES
|
|||||||||||||
The following table lists the fair values of the Fund's derivative holdings as of November 30, 2016 grouped by contract type and risk exposure category.
|
|
|
|
|||||||||||
DERIVATIVE TYPE
|
|
|
EQUITY CONTRACTS
|
|
INTEREST RATE
CONTRACTS |
|
FOREIGN
CURRENCY
CONTRACTS |
|
COMMODITY
CONTRACTS |
|
TOTALS
|
||
Asset Derivatives
|
|||||||||||||
Unrealized
|
|||||||||||||
appreciation on
|
|||||||||||||
forward foreign
|
|||||||||||||
Forward Contracts
|
currency contracts
|
|
$ -
|
|
$ -
|
|
$ 607,279
|
|
$ -
|
|
$ 607,279
|
||
Receivable:
|
|||||||||||||
Future Contracts (a)
|
Variation Margin
|
|
24,363
|
|
5,388
|
|
-
|
|
505,153
|
|
534,904
|
||
Total Value - Assets
|
|
|
$ 24,363
|
|
$ 5,388
|
|
$ 607,279
|
|
$ 505,153
|
|
$ 1,142,183
|
||
Liability Derivatives
|
|||||||||||||
Unrealized
|
|||||||||||||
depreciation on
|
|||||||||||||
forward foreign
|
|||||||||||||
Forward Contracts
|
currency contracts
|
|
$ -
|
|
$ -
|
|
$ (583,098)
|
|
$ -
|
|
$ (583,098)
|
||
Receivable:
|
|||||||||||||
Future Contracts (a)
|
Variation Margin
|
|
-
|
|
(3,157)
|
|
-
|
|
(471,384)
|
|
(474,541)
|
||
Total Value - Liabilities
|
|
$ -
|
|
$ (3,157)
|
|
$ (583,098)
|
|
$ (471,384)
|
|
$ (1,057,639)
|
|||
(a) This amount represents the cumulative appreciation/depreciation of futures contracts as reported in the consolidated Portfolio of Investments
|
For the period ended November 30, 2016, the Fund's quarterly average volume of derivatives is as follows:
|
|
|
||||||||||||
FORWARD FOREIGN
|
FORWARD FOREIGN
|
||||||||||||
LONG FUTURES
|
SHORT FUTURES
|
CURRENCY
|
CURRENCY
|
||||||||||
NOTIONAL COST
|
NOTIONAL COST
|
CONTRACTS-PAYABLE
|
CONTRACTS-RECEIVABLE
|
||||||||||
$ |
31,690,967
|
$ |
(9,935,425)
|
$ |
(22,408,515)
|
$ |
22,388,199
|
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.
|
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.
|
||||||||||||||
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.
|
||||||||||||||
FUTURES CONTRACTS — The Fund uses futures contracts in the normal course of pursuing its investment objectives. 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 a “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 Portfolio of Investments, 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 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 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. A 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 a Fund and the counterparty is in place and to the extent a Fund obtains collateral to cover the Fund’s exposure to the counterparty.
|
||||||||||||||
For more information with regard to accounting policies, see the most recent semi-annual or annual report filed with the Securities and Exchange Commission.
|
FREE MARKET FUNDS
|
||||||||
FREE MARKET U.S. EQUITY FUND
|
||||||||
Portfolio of Investments
|
||||||||
November 30, 2016
|
||||||||
(Unaudited)
|
||||||||
Number
|
||||||||
of Shares
|
Value
|
|||||||
EQUITY FUNDS — 99.7%
|
||||||||
U.S. Large Cap Value Portfolio III (a)
|
29,362,190
|
$
|
733,173,882
|
|||||
U.S. Large Company Portfolio (a)
|
20,256,522
|
350,032,692
|
||||||
U.S. Micro Cap Portfolio (b)
|
18,190,271
|
382,541,389
|
||||||
U.S. Small Cap Portfolio (b)
|
11,236,507
|
379,569,195
|
||||||
U.S. Small Cap Value Portfolio (b)
|
17,192,324
|
646,775,244
|
||||||
TOTAL EQUITY FUNDS
|
||||||||
(Cost $1,810,796,096)
|
2,492,092,402
|
|||||||
SHORT-TERM INVESTMENTS — 0.2%
|
||||||||
STIT-Government & Agency Portfolio
|
5,026,044
|
5,026,044
|
||||||
TOTAL SHORT-TERM INVESTMENTS
|
||||||||
(Cost $5,026,044)
|
5,026,044
|
|||||||
TOTAL INVESTMENTS — 99.9%
|
||||||||
(Cost $1,815,822,140)*
|
2,497,118,446
|
|||||||
OTHER ASSETS IN EXCESS OF LIABILITIES — 0.1%
|
1,264,453
|
|||||||
NET ASSETS — 100.0%
|
$
|
2,498,382,899
|
* The cost basis of investments for federal income tax purposes at November 30, 2016 was as follows*:
|
||||
Cost of investments
|
$
|
1,815,822,140
|
||
Gross unrealized appreciation
|
$
|
681,819,015
|
||
Gross unrealized depreciation
|
(522,709
|
)
|
||
Net unrealized appreciation (depreciation)
|
$
|
681,296,306
|
||
*Because tax adjustments are calculated annually at the end of the Fund's fiscal year, the above table does not reflect tax adjustments for the current fiscal year. For the previous
fiscal year's federal income tax information, please refer to the Notes to Financial Statements section in the Fund's most recent annual report.
|
||||
(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.
|
||||
FREE MARKET FUNDS
|
||||||||
FREE MARKET INTERNATIONAL EQUITY FUND
|
||||||||
Portfolio of Investments
|
||||||||
November 30, 2016
|
||||||||
(Unaudited)
|
||||||||
Number
|
||||||||
of Shares
|
Value
|
|||||||
INTERNATIONAL EQUITY FUNDS — 99.7%
|
||||||||
Asia Pacific Small Company Portfolio (a)
|
1,044,145
|
$
|
21,770,414
|
|||||
Canadian Small Company Series (b)
|
2,134,622
|
21,878,102
|
||||||
Continental Small Company Portfolio (a)
|
1,431,264
|
29,584,224
|
||||||
Continental Small Company Series (a)
|
349,144
|
23,632,722
|
||||||
DFA International Small Cap Value Portfolio (a)
|
36,294,261
|
696,849,814
|
||||||
DFA International Value Portfolio III (c)
|
34,440,819
|
477,694,166
|
||||||
DFA International Value Series (b)
|
735,157
|
14,475,240
|
||||||
Emerging Markets Portfolio (a)
|
3,930,452
|
89,850,130
|
||||||
Emerging Markets Small Cap Portfolio (a)
|
4,321,449
|
82,755,744
|
||||||
Emerging Markets Value Portfolio (a)
|
3,671,417
|
88,003,862
|
||||||
Japanese Small Company Portfolio (b)
|
1,715,843
|
38,211,812
|
||||||
Large Cap International Portfolio (a)
|
4,384,132
|
84,394,545
|
||||||
United Kingdom Small Company Portfolio (b)
|
186,330
|
5,189,279
|
||||||
United Kingdom Small Company Series (b)
|
500,922
|
27,956,177
|
||||||
TOTAL INTERNATIONAL EQUITY FUNDS
|
||||||||
(Cost $1,664,524,286)
|
1,702,246,231
|
|||||||
SHORT-TERM INVESTMENTS — 0.2%
|
||||||||
STIT-Government & Agency Portfolio
|
2,705,422
|
2,705,422
|
||||||
TOTAL SHORT-TERM INVESTMENTS
|
||||||||
(Cost $2,705,422)
|
2,705,422
|
|||||||
TOTAL INVESTMENTS — 99.9%
|
||||||||
(Cost $1,667,229,708)*
|
1,704,951,653
|
|||||||
OTHER ASSETS IN EXCESS OF LIABILITIES — 0.1%
|
2,199,291
|
|||||||
NET ASSETS — 100.0%
|
$
|
1,707,150,944
|
||||||
* The cost basis of investments for federal income tax purposes at November 30, 2016 was as follows*:
|
||||
Cost of investments
|
$
|
1,667,229,708
|
||
Gross unrealized appreciation
|
$
|
142,840,010
|
||
Gross unrealized depreciation
|
(105,118,065
|
)
|
||
Net unrealized appreciation (depreciation)
|
$
|
37,721,945
|
||
*Because tax adjustments are calculated annually at the end of the Fund's fiscal year, the above table does not reflect tax adjustments for the current fiscal year. For the previous
fiscal year's federal income tax information, please refer to the Notes to Financial Statements section in the Fund's most recent annual report.
|
||||
(a) A portfolio of DFA Investment Dimensions Group Inc.
|
||||
(b) A portfolio of DFA Investment Trust Company.
|
||||
(c) A portfolio of Dimensional Investment Group Inc.
|
||||
Portfolio holdings are subject to change at any time.
|
FREE MARKET FUNDS
|
||||||||
FREE MARKET FIXED INCOME FUND
|
||||||||
Portfolio of Investments
|
||||||||
November 30, 2016
|
||||||||
(Unaudited)
|
||||||||
Number
|
||||||||
of Shares
|
Value
|
|||||||
FIXED INCOME FUNDS — 99.4%
|
||||||||
DFA Five-Year Global Fixed Income Portfolio (a)
|
48,655,787
|
$
|
535,213,652
|
|||||
DFA Inflation Protected Securities Portfolio (a)
|
9,092,830
|
107,295,395
|
||||||
DFA Intermediate Government Fixed Income Portfolio (a)
|
10,283,034
|
128,023,779
|
||||||
DFA One-Year Fixed Income Portfolio (a)
|
30,219,574
|
310,959,416
|
||||||
DFA Short-Term Government Portfolio (a)
|
8,040,183
|
85,627,954
|
||||||
DFA Two-Year Global Fixed Income Portfolio (a)
|
32,264,525
|
321,677,316
|
||||||
iShares 1-3 Year Credit Bond ETF
|
4,901,829
|
514,495,972
|
||||||
iShares Intermediate Credit Bond ETF
|
1,185,919
|
128,352,013
|
||||||
TOTAL FIXED INCOME FUNDS
|
||||||||
(Cost $2,138,865,285)
|
2,131,645,497
|
|||||||
SHORT-TERM INVESTMENTS — 0.6%
|
||||||||
STIT-Government & Agency Portfolio
|
12,057,628
|
12,057,628
|
||||||
TOTAL SHORT-TERM INVESTMENTS
|
||||||||
(Cost $12,057,628)
|
12,057,628
|
|||||||
TOTAL INVESTMENTS — 100.0%
|
||||||||
(Cost $2,150,922,913)*
|
2,143,703,125
|
|||||||
OTHER ASSETS IN EXCESS OF LIABILITIES — 0.0%
|
270,286
|
|||||||
NET ASSETS — 100.0%
|
$
|
2,143,973,411
|
* The cost basis of investments for federal income tax purposes at November 30, 2016 was as follows*:
|
||||
Cost of investments
|
$
|
2,150,922,913
|
||
Gross unrealized appreciation
|
$
|
4,463,396
|
||
Gross unrealized depreciation
|
(11,683,184
|
)
|
||
Net unrealized appreciation (depreciation)
|
$
|
(7,219,788
|
)
|
|
*Because tax adjustments are calculated annually at the end of the Fund's fiscal year, the above table does not reflect tax adjustments for the current fiscal year. For the previous
fiscal year's federal income tax information, please refer to the Notes to Financial Statements section in the Fund's most recent annual report.
|
||||
(a) A portfolio of DFA Investment Dimensions Group Inc.
|
||||
ETF Exchange-Traded Fund
|
||||
Portfolio holdings are subject to change at any time.
|
FREE MARKET FUNDS
|
|||||||
Notes to Portfolio of Investments
|
|||||||
November 30, 2016
|
|||||||
(Unaudited)
|
PORTFOLIO VALUATION — Investments in the underlying funds are valued at 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”) net asset value determined as of the close of business on the New York Stock Exchange (generally 4:00 p.m. Eastern time). As required, some securities and assets may be valued at fair value as determined in good faith by the RBB Fund, Inc.’s Board of Directors. Direct investments in fixed income securities having a remaining maturity of 60 days or less are valued at amortized cost, which approximates market value.
|
FAIR VALUE MEASUREMENTS — The inputs and valuation techniques used to measure fair value of the Funds' investments are summarized into three levels as described in the hierarchy below:
|
|||||||
• Level 1 —
|
quoted prices in active markets for identical securities;
|
||||||
• Level 2 —
|
other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.); and
|
||||||
• Level 3 —
|
significant unobservable inputs (including the Funds’ own assumptions in determining the fair value of investments).
|
||||||
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
|
|||||||
The following is a summary of inputs used, as of November 30, 2016, in valuing the Funds' investments carried at fair value:
|
FREE MARKET U.S. EQUITY FUND
|
||||||||||||||||
Total Value at
November 30, 2016
|
Level 1
Quoted Price
|
Level 2
Other Significant
Observable Inputs
|
Level 3
Significant
Unobservable Inputs
|
|||||||||||||
Equity Funds
|
$
|
2,492,092,402
|
$
|
2,492,092,402
|
$
|
-
|
$
|
-
|
||||||||
Short-Term Investments
|
5,026,044
|
5,026,044
|
-
|
-
|
||||||||||||
Total Investments*
|
$
|
2,497,118,446
|
$
|
2,497,118,446
|
$
|
-
|
$
|
-
|
||||||||
*Please refer to the Portfolio of Investments for further details.
|
||||||||||||||||
FREE MARKET INTERNATIONAL EQUITY FUND
|
||||||||||||||||
Total Value at
November 30, 2016
|
Level 1
Quoted Price
|
Level 2
Other Significant
Observable Inputs
|
Level 3
Significant
Unobservable Inputs
|
|||||||||||||
International Equity Funds
|
$
|
1,702,246,231
|
$
|
1,702,246,231
|
$
|
-
|
$
|
-
|
||||||||
Short-Term Investments
|
2,705,422
|
2,705,422
|
-
|
-
|
||||||||||||
Total Investments*
|
$
|
1,704,951,653
|
$
|
1,704,951,653
|
$
|
-
|
$
|
-
|
||||||||
*Please refer to the Portfolio of Investments for further details.
|
||||||||||||||||
FREE MARKET FIXED INCOME FUND
|
||||||||||||||||
Total Value at
November 30, 2016
|
Level 1
Quoted Price
|
Level 2
Other Significant
Observable Inputs
|
Level 3
Significant
Unobservable Inputs
|
|||||||||||||
Fixed Income Funds
|
$
|
2,131,645,497
|
$
|
2,131,645,497
|
$
|
-
|
$
|
-
|
||||||||
Short-Term Investments
|
12,057,628
|
12,057,628
|
-
|
-
|
||||||||||||
Total Investments*
|
$
|
2,143,703,125
|
$
|
2,143,703,125
|
$
|
-
|
$
|
-
|
||||||||
*Please refer to the Portfolio of Investments for further details.
|
||||||||||||||||
MATSON MONEY VI PORTFOLIOS
|
||||||||
MATSON MONEY U.S. EQUITY VI PORTFOLIO
|
||||||||
Portfolio of Investments
|
||||||||
November 30, 2016
|
||||||||
(Unaudited)
|
||||||||
Number
|
||||||||
of Shares
|
Value
|
|||||||
EQUITY FUNDS — 98.5%
|
||||||||
U.S. Large Cap Value Portfolio III (a)
|
197,245
|
$
|
4,925,216
|
|||||
U.S. Large Company Portfolio (a)
|
145,664
|
2,517,066
|
||||||
U.S. Micro Cap Portfolio (b)
|
133,471
|
2,806,893
|
||||||
U.S. Small Cap Portfolio (b)
|
83,229
|
2,811,472
|
||||||
U.S. Small Cap Value Portfolio (b)
|
50,254
|
1,890,546
|
||||||
U.S. VA Large Value Portfolio (b)
|
31,039
|
743,694
|
||||||
U.S. VA Targeted Value Portfolio (b)
|
144,457
|
2,832,804
|
||||||
TOTAL EQUITY FUNDS
|
||||||||
(Cost $17,049,635)
|
18,527,691
|
|||||||
SHORT-TERM INVESTMENTS — 1.6%
|
||||||||
STIT-Government & Agency Portfolio
|
305,522
|
305,522
|
||||||
TOTAL SHORT-TERM INVESTMENTS
|
||||||||
(Cost $305,522)
|
305,522
|
|||||||
TOTAL INVESTMENTS — 100.1%
|
||||||||
(Cost $17,355,157)*
|
18,833,213
|
|||||||
LIABILITIES IN EXCESS OF OTHER ASSETS — (0.1)%
|
(24,499
|
)
|
||||||
NET ASSETS — 100.0%
|
$
|
18,808,714
|
* The cost basis of investments for federal income tax purposes at November 30, 2016 was as follows*:
|
||||
Cost of investments
|
$
|
17,355,157
|
||
Gross unrealized appreciation
|
$
|
1,500,683
|
||
Gross unrealized depreciation
|
(22,627
|
)
|
||
Net unrealized appreciation (depreciation)
|
$ | 1,478,056 | ||
*Because tax adjustments are calculated annually at the end of the Fund's fiscal year, the above table does not reflect tax adjustments for the current fiscal year. For the previous
fiscal year's federal income tax information, please refer to the Notes to Financial Statements section in the Fund's most recent annual report.
|
||||
(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.
|
||
MATSON MONEY VI PORTFOLIOS
|
||||||||
MATSON MONEY INTERNATIONAL EQUITY VI PORTFOLIO
|
||||||||
Portfolio of Investments
|
||||||||
November 30, 2016
|
||||||||
(Unaudited)
|
||||||||
Number
|
||||||||
of Shares
|
Value
|
|||||||
INTERNATIONAL EQUITY FUNDS — 99.2%
|
||||||||
DFA International Small Cap Value Portfolio (a)
|
179,858
|
$
|
3,453,271
|
|||||
DFA International Value Portfolio III (b)
|
266,877
|
3,701,580
|
||||||
Emerging Markets Portfolio (a)
|
28,862
|
659,791
|
||||||
Emerging Markets Small Cap Portfolio (a)
|
31,843
|
609,797
|
||||||
Emerging Markets Value Portfolio (a)
|
25,661
|
615,104
|
||||||
Large Cap International Portfolio (a)
|
25,621
|
493,213
|
||||||
VA International Small Portfolio (b)
|
183,729
|
2,105,530
|
||||||
VA International Value Portfolio (b)
|
55,137
|
614,230
|
||||||
TOTAL INTERNATIONAL EQUITY FUNDS
|
||||||||
(Cost $12,945,422)
|
12,252,516
|
|||||||
SHORT-TERM INVESTMENTS — 0.9%
|
||||||||
STIT-Government & Agency Portfolio
|
108,444
|
108,444
|
||||||
TOTAL SHORT-TERM INVESTMENTS
|
||||||||
(Cost $108,444)
|
108,444
|
|||||||
TOTAL INVESTMENTS — 100.1%
|
||||||||
(Cost $13,053,866)*
|
12,360,960
|
|||||||
LIABILITIES IN EXCESS OF OTHER ASSETS — (0.1)%
|
(15,640
|
)
|
||||||
NET ASSETS — 100.0%
|
$
|
12,345,320
|
||||||
* The cost basis of investments for federal income tax purposes at November 30, 2016 was as follows*:
|
||||
Cost of investments
|
$
|
13,053,866
|
||
Gross unrealized appreciation
|
$
|
223,986
|
||
Gross unrealized depreciation
|
(916,892
|
)
|
||
Net unrealized appreciation (depreciation)
|
$
|
(692,906
|
)
|
|
*Because tax adjustments are calculated annually at the end of the Fund's fiscal year, the above table does not reflect tax adjustments for the current fiscal year. For the previous
fiscal year's federal income tax information, please refer to the Notes to Financial Statements section in the Fund's most recent annual report.
|
||||
(a) A portfolio of DFA Investment Dimensions Group Inc.
|
|||
(b) A portfolio of DFA Investment Trust Company.
|
|||
(c) A portfolio of Dimensional Investment Group Inc.
Portfolio holdings are subject to change at any time.
|
|||
MATSON MONEY VI PORTFOLIOS
|
||||||||
MATSON MONEY FIXED INCOME VI PORTFOLIO
|
||||||||
Portfolio of Investments
|
||||||||
November 30, 2016
|
||||||||
(Unaudited)
|
||||||||
Number
|
||||||||
of Shares
|
Value
|
|||||||
FIXED INCOME FUNDS — 98.9%
|
||||||||
DFA Five-Year Global Fixed Income Portfolio (a)
|
200,709
|
$
|
2,207,796
|
|||||
DFA Inflation Protected Securities Portfolio (a)
|
93,259
|
1,100,456
|
||||||
DFA Intermediate Government Fixed Income Portfolio (a)
|
105,609
|
1,314,837
|
||||||
DFA One-Year Fixed Income Portfolio (a)
|
246,230
|
2,533,704
|
||||||
DFA Short-Term Government Portfolio (a)
|
82,543
|
879,078
|
||||||
DFA Two-Year Global Fixed Income Portfolio (a)
|
332,272
|
3,312,754
|
||||||
iShares 1-3 Year Credit Bond ETF
|
51,492
|
5,404,600
|
||||||
iShares Intermediate Credit Bond ETF
|
12,456
|
1,348,113
|
||||||
VA Global Bond Portfolio (a)
|
305,191
|
3,308,272
|
||||||
VA Short-Term Fixed Income Portfolio (a)
|
43,677
|
447,249
|
||||||
TOTAL FIXED INCOME FUNDS
|
||||||||
(Cost $21,986,784)
|
21,856,859
|
|||||||
SHORT-TERM INVESTMENTS — 1.1%
|
||||||||
STIT-Government & Agency Portfolio
|
251,276
|
251,276
|
||||||
TOTAL SHORT-TERM INVESTMENTS
|
||||||||
(Cost $251,276)
|
251,276
|
|||||||
TOTAL INVESTMENTS — 100.0%
|
||||||||
(Cost $22,238,060)*
|
22,108,135
|
|||||||
LIABILITIES IN EXCESS OF OTHER ASSETS — (0.0)%
|
(8,767
|
)
|
||||||
NET ASSETS — 100.0%
|
$
|
22,099,368
|
||||||
* The cost basis of investments for federal income tax purposes at November 30, 2016 was as follows*:
|
||||
Cost of investments
|
$
|
22,238,060
|
||
Gross unrealized appreciation
|
$
|
28,417
|
||
Gross unrealized depreciation
|
(158,342
|
)
|
||
Net unrealized appreciation (depreciation)
|
$
|
(129,925
|
)
|
|
*Because tax adjustments are calculated annually at the end of the Fund's fiscal year, the above table does not reflect tax adjustments for the current fiscal year. For the previous
fiscal year's federal income tax information, please refer to the Notes to Financial Statements section in the Fund's most recent annual report.
|
||||
(a) A portfolio of DFA Investment Dimensions Group Inc.
|
|||
ETF Exchange-Traded Fund
Portfolio holdings are subject to change at any time.
|
|||
MATSON MONEY VI PORTFOLIOS
|
|||||||
Notes to Portfolio of Investments
|
|||||||
November 30, 2016
|
|||||||
(Unaudited)
|
|||||||
PORTFOLIO VALUATION — Investments in the underlying funds are valued at 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”) net asset value determined as of the close of business on the New York Stock Exchange (generally 4:00 p.m. Eastern time). As required, some securities and assets may be valued at fair value as determined in good faith by the RBB Fund, Inc.'s Board of Directors. Direct investments in fixed income securities having a remaining maturity of 60 days or less are valued at amortized cost, which approximates market value.
|
|||||||
FAIR VALUE MEASUREMENTS — The inputs and valuation techniques used to measure fair value of the Portfolios' investments are summarized into three levels as described in the hierarchy below:
|
|||||||
• Level 1 —
|
quoted prices in active markets for identical securities;
|
||||||
• Level 2 —
|
other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.); and
|
||||||
• Level 3 —
|
significant unobservable inputs (including the Portfolios' own assumptions in determining the fair value of investments).
|
||||||
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
|
|||||||
The following is a summary of inputs used, as of November 30, 2016, in valuing the Portfolios' investments carried at fair value:
|
MATSON MONEY U.S. EQUITY VI PORTFOLIO
|
||||||||||||||||
Total Value at
November 30, 2016
|
Level 1
Quoted Price
|
Level 2
Other Significant
Observable Inputs
|
Level 3
Significant
Unobservable Inputs
|
|||||||||||||
Equity Funds
|
$
|
18,527,691
|
$
|
18,527,691
|
$
|
-
|
$
|
-
|
||||||||
Short-Term Investments
|
305,522
|
305,522
|
-
|
-
|
||||||||||||
Total Investments*
|
$
|
18,833,213
|
$
|
18,833,213
|
$
|
-
|
$
|
-
|
||||||||
*Please refer to the Portfolio of Investments for further details.
|
||||||||||||||||
MATSON MONEY INTERNATIONAL EQUITY VI PORTFOLIO
|
||||||||||||||||
Total Value at
November 30, 2016
|
Level 1
Quoted Price
|
Level 2
Other Significant
Observable Inputs
|
Level 3
Significant
Unobservable Inputs
|
|||||||||||||
International Equity Funds
|
$
|
12,252,516
|
$
|
12,252,516
|
$
|
-
|
$
|
-
|
||||||||
Short-Term Investments
|
108,444
|
108,444
|
-
|
-
|
||||||||||||
Total Investments*
|
$
|
12,360,960
|
$
|
12,360,960
|
$
|
-
|
$
|
-
|
||||||||
*Please refer to the Portfolio of Investments for further details.
|
||||||||||||||||
MATSON MONEY FIXED INCOME VI PORTFOLIO
|
||||||||||||||||
Total Value at
November 30, 2016
|
Level 1
Quoted Price
|
Level 2
Other Significant
Observable Inputs
|
Level 3
Significant
Unobservable Inputs
|
|||||||||||||
Fixed Income Funds
|
$
|
21,856,859
|
$
|
21,856,859
|
$
|
-
|
$
|
-
|
||||||||
Short-Term Investments
|
251,276
|
251,276
|
-
|
-
|
||||||||||||
Total Investments*
|
$
|
22,108,135
|
$
|
22,108,135
|
$
|
-
|
$
|
-
|
||||||||
*Please refer to the Portfolio of Investments for further details.
|
THE SCHNEIDER FUNDS
|
||||||||
SCHNEIDER SMALL CAP VALUE FUND
|
||||||||
Portfolio of Investments
|
||||||||
November 30, 2016
|
||||||||
(Unaudited)
|
||||||||
Shares
|
Value
|
|||||||
COMMON STOCKS — 89.8%
|
||||||||
Auto Parts — 0.4%
|
||||||||
Commercial Vehicle Group, Inc.*
|
40,154
|
$
|
205,990
|
|||||
Banks — 13.6%
|
||||||||
KeyCorp
|
122,826
|
2,126,122
|
||||||
OFG Bancorp
|
106,227
|
1,434,064
|
||||||
Regions Financial Corp.
|
140,070
|
1,896,548
|
||||||
The Bancorp, Inc.*
|
85,076
|
588,726
|
||||||
6,045,460
|
||||||||
Chemical Manufacturing — 2.2%
|
||||||||
AdvanSix, Inc.*
|
25,808
|
482,609
|
||||||
The Chemours Company
|
19,712
|
487,281
|
||||||
969,890
|
||||||||
Coal — 2.2%
|
||||||||
Consol Energy, Inc.
|
47,620
|
980,020
|
||||||
Commercial Services — 6.7%
|
||||||||
Aegean Marine Petroleum Network, Inc.
|
142,889
|
1,607,501
|
||||||
Herc Holdings, Inc.*
|
32,029
|
1,272,833
|
||||||
Hudson Global, Inc.
|
72,690
|
106,127
|
||||||
2,986,461
|
||||||||
Electronics — 4.1%
|
||||||||
Kemet Corp.*
|
320,116
|
1,818,259
|
||||||
1,818,259
|
||||||||
Health Care Equipment — 0.4%
|
||||||||
Invacare Corp.
|
15,655
|
180,032
|
||||||
Home Builders — 1.2%
|
||||||||
Taylor Morrison Home Corp.*
|
26,280
|
520,607
|
||||||
Insurance — 4.3%
|
||||||||
American Equity Investment Life Holding Co.
|
41,902
|
868,628
|
||||||
Assured Guaranty Ltd.
|
23,977
|
857,418
|
||||||
Genworth Financial, Inc.*
|
49,026
|
209,831
|
||||||
1,935,877
|
||||||||
Logistics — 0.3%
|
||||||||
ModusLink Global Solutions, Inc.*
|
85,097
|
118,285
|
||||||
Machinery Manufacturing — 4.7%
|
||||||||
Intevac, Inc.*
|
125,842
|
799,097
|
||||||
Terex Corp.
|
42,391
|
1,293,773
|
||||||
2,092,870
|
Oil & Gas — 34.7%
|
||||||||
Approach Resources, Inc.*
|
152,123
|
533,952
|
||||||
C&J Energy Services Ltd*
|
417,590
|
156,596
|
||||||
Chesapeake Energy Corp.*
|
269,269
|
1,884,883
|
||||||
Comstock Resources, Inc.*
|
51,169
|
484,059
|
||||||
Halcon Resources Corp.*
|
222,832
|
2,119,133
|
||||||
Scorpio Tankers, Inc.
|
4,960
|
20,981
|
||||||
Seventy Seven Energy, Inc.*
|
42,650
|
1,038,954
|
||||||
Swift Energy Co.*
|
1,232
|
37,761
|
||||||
Weatherford International PLC*
|
1,044,309
|
5,336,419
|
||||||
Whiting Petroleum Corp.*
|
245,952
|
3,005,533
|
||||||
Willbros Group, Inc.*
|
310,395
|
803,923
|
||||||
15,422,194
|
||||||||
Pharmaceuticals — 0.8%
|
||||||||
Endo International PLC*
|
22,465
|
359,665
|
||||||
Real Estate — 0.9%
|
||||||||
Dundee Corp.*
|
25,885
|
111,787
|
||||||
Forestar Group, Inc.*
|
21,353
|
286,130
|
||||||
397,917
|
||||||||
Real Estate Investment Trust — 3.0%
|
||||||||
Cousins Properties, Inc.
|
31,981
|
252,967
|
||||||
Forest City Realty Trust, Inc.
|
12,356
|
228,462
|
||||||
NorthStar Realty Europe Corp.
|
69,600
|
746,808
|
||||||
RAIT Financial Trust
|
28,537
|
87,609
|
||||||
1,315,846
|
||||||||
Semiconductor & Other Electronic Component Manufacturing — 3.5%
|
||||||||
Axcelis Technologies, Inc.*
|
24,334
|
332,162
|
||||||
SunEdison Semiconductor*
|
103,834
|
1,241,855
|
||||||
1,574,017
|
||||||||
Shipping — 0.5%
|
||||||||
Ardmore Shipping Corp.
|
32,124
|
218,443
|
||||||
218,443
|
||||||||
Telecommunications — 6.3%
|
||||||||
Aviat Networks, Inc.*
|
164,662
|
2,079,677
|
||||||
UTStarcom Holdings Corp.*
|
358,155
|
709,147
|
||||||
2,788,824
|
||||||||
TOTAL COMMON STOCKS
|
||||||||
(Cost $34,748,620)
|
39,930,657
|
|||||||
MONEY MARKET FUNDS — 13.8%
|
||||||||
STIT-Government TaxAdvantage Portfolio, 0.18%
|
6,163,225
|
6,163,225
|
||||||
TOTAL MONEY MARKET FUNDS
|
||||||||
(Cost $6,163,225)
|
6,163,225
|
|||||||
TOTAL INVESTMENTS — 103.6%
|
||||||||
(Cost $40,911,845)**
|
46,093,882
|
|||||||
LIABILITIES IN EXCESS OF OTHER ASSETS — (3.6)%
|
(1,609,802
|
)
|
||||||
NET ASSETS — 100.0%
|
$
|
44,484,080
|
* Non-income producing.
|
||||||||
** The cost basis of investments for federal income tax purposes at November 30, 2016 was as follows*:
|
|
Cost of investments
|
$
|
40,911,845
|
||
|
Gross unrealized appreciation
|
$
|
8,540,616
|
||
|
Gross unrealized depreciation
|
$
|
(3,358,579
|
)
|
|
|
Net unrealized appreciation (depreciation)
|
$
|
5,182,037
|
||
*Because tax adjustments are calculated annually at the end of the Fund's fiscal year, the above table does not reflect tax adjustments for the current fiscal year. For the previous fiscal year's federal income tax information, please refer to the Notes to Financial Statements section in the Fund's most recent annual report.
|
|||||
THE SCHNEIDER FUNDS
|
|||||||
Notes to Portfolio of Investments
|
|||||||
November 30, 2016
|
|||||||
(Unaudited)
|
|||||||
PORTFOLIO VALUATION - The Schneider Small Cap Value Fund (the “Small Cap Value Fund”) 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 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 having a remaining maturity of greater than 60 days are valued using an independent pricing service. Fixed Income securities having a remaining maturity of 60 days or less are valued at amortized cost, which approximates market value. 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 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. Relying on prices supplied by 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 fair value of the Fund’s investments are summarized into three levels as described in the hierarchy below:
|
• Level 1 —
|
quoted prices in active markets for identical securities;
|
||||||
• Level 2 —
|
other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.); and
|
||||||
• Level 3 —
|
significant unobservable inputs (including the Funds’ own assumptions in determining the fair value of investments).
|
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
|
|||||||
The following is a summary of inputs used, as of November 30, 2016, in valuing the Fund’s investments carried at fair value:
|
|||||||
SMALL CAP VALUE FUND
|
Total Value at
November 30, 2016
|
Level 1
Quoted Price
|
Level 2
Significant
Observable Inputs
|
Level 3
Significant
Unobservable Input
|
|||||||||||||
Common Stocks*
|
$
|
39,930,657
|
$
|
39,930,657
|
-
|
-
|
||||||||||
Short Term Investments
|
6,163,225
|
6,163,225
|
-
|
-
|
||||||||||||
Total
|
$
|
46,093,882
|
$
|
46,093,882
|
$
|
-
|
$
|
-
|
||||||||
*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 Level 1 and Level 2 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”) require 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. U.S. GAAP also requires the Fund to disclose amounts and reasons for all transfers in and out of Level 1 and Level 2 fair value measurements. 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 transfers in and out of each level within the three-tier hierarchy are disclosed when 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.
|
|||||||
For the period ended November 30, 2016, there were no transfers between Levels 1, 2, and 3 for the Fund that require disclosure.
|
|||||||
For more information with regard to significant policies, see the most recent semi-annual or annual report filed with the Securities and Exchange Commission.
|
SCOTIA DYNAMIC U.S. GROWTH FUND
|
|||||||||||
Portfolio of Investments
|
|||||||||||
November 30, 2016
|
|||||||||||
(Unaudited)
|
|||||||||||
Number
|
|||||||||||
of Shares
|
Value
|
||||||||||
COMMON STOCKS∆ - 92.5%
|
|||||||||||
Consumer Discretionary — 15.9%
|
|||||||||||
Amazon.com, Inc.*
|
3,000
|
$
|
2,251,710
|
||||||||
Netflix, Inc.*
|
20,100
|
2,351,700
|
|||||||||
Priceline Group, Inc., (The)*
|
800
|
1,202,944
|
|||||||||
Ulta Salon Cosmetics & Fragrance, Inc.*
|
12,600
|
3,269,700
|
|||||||||
9,076,054
|
|||||||||||
Health Care — 26.0%
|
|||||||||||
ABIOMED, Inc.*
|
21,600
|
2,424,384
|
|||||||||
Align Technology, Inc.*
|
25,400
|
2,363,470
|
|||||||||
Incyte Corp.*
|
23,700
|
2,424,273
|
|||||||||
Nevro Corp.*
|
24,300
|
1,847,529
|
|||||||||
Seattle Genetics, Inc.*
|
19,900
|
1,289,719
|
|||||||||
TESARO, Inc.*
|
9,400
|
1,275,486
|
|||||||||
Veeva Systems, Inc., Class A*
|
68,800
|
3,197,824
|
|||||||||
14,822,685
|
|||||||||||
Information Technology — 50.6%
|
|||||||||||
Acacia Communications, Inc.*
|
34,700
|
2,403,322
|
|||||||||
Arista Networks, Inc.*
|
31,700
|
3,005,477
|
|||||||||
Ellie Mae, Inc.*
|
28,600
|
2,360,930
|
|||||||||
Gigamon, Inc.*
|
62,400
|
3,329,040
|
|||||||||
Inphi Corp.*
|
78,200
|
3,532,294
|
|||||||||
NVIDIA Corp.
|
42,400
|
3,909,280
|
|||||||||
Proofpoint, Inc.*
|
39,700
|
3,057,297
|
|||||||||
ServiceNow, Inc.*
|
41,600
|
3,459,040
|
|||||||||
Splunk, Inc.*
|
44,700
|
2,575,614
|
|||||||||
Workday, Inc., Class A*
|
14,500
|
1,222,640
|
|||||||||
28,854,934
|
|||||||||||
TOTAL COMMON STOCKS
|
|||||||||||
(Cost $47,557,623)
|
52,753,673
|
||||||||||
TOTAL INVESTMENTS - 92.5%
|
|||||||||||
(Cost $47,557,623)**
|
52,753,673
|
||||||||||
OTHER ASSETS IN EXCESS OF LIABILITIES - 7.5%
|
4,299,688
|
||||||||||
NET ASSETS - 100.0%
|
$
|
57,053,361
|
|||||||||
∆
|
More narrow industries are utilized for compliance purposes, whereas broad sectors are utilized for reporting purposes.
|
||||||||||
*
|
Non-income producing security.
|
||||||||||
** |
|
The cost basis of investments for federal income tax purposes at November 30, 2016 was as follows*:
|
|||||||||
Cost of investments
|
$
|
47,557,623
|
|||||||||
Gross unrealized appreciation
|
$
|
6,431,011
|
|||||||||
Gross unrealized depreciation
|
(1,234,961
|
)
|
|||||||||
Net unrealized appreciation (depreciation)
|
$
|
5,196,050
|
*Because tax adjustments are calculated annually at the end of the Fund's fiscal year, the above table does not reflect tax adjustments for the current
|
||||||||
fiscal year. For the previous fiscal year's federal income tax information, please refer to the Notes of Financial Statements section in the Fund's
|
||||||||
most recent annual report.
|
The Global Industry Classification Standard (GICS®) was developed by and/or is the exclusive property of MSCI, Inc. and Standard & Poor Financial
|
|||||||||||
Services LLC (“S&P”). GICS is a service mark of MSCI and S&P and has been licensed for use by Scotia Institutional Asset Management US Ltd.
|
Scotia Dynamic U.S. Growth Fund
|
Notes to Portfolio of Investments |
november 30, 2016 |
(Unaudited) |
Fair Value Measurements – The inputs and valuation techniques used to measure fair value of the Fund’s investments are summarized into three levels as described in the hierarchy below:
|
||||||||
• Level 1 — quoted prices in active markets for identical securities;
|
||||||||
• Level 2 — other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.); and
|
||||||||
• Level 3 — significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments).
|
||||||||
The inputs or methodology 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 November 30, 2016, in valuing the Fund’s investments carried at fair value:
|
Total Value at
November 30, 2016
|
Level 1
Quoted Price
|
Level 2
Significant
Observable Inputs
|
Level 3
Significant
Unobservable Inputs
|
|||||||||||||
Investments in Securities*
|
$
|
52,753,673
|
$
|
52,753,673
|
$
|
-
|
$
|
-
|
||||||||
|
||||||||||||||||
* Please refer to Portfolio of Investments for further details.
|
For the period ended November 30, 2016, there were no transfers between Levels 1, 2 and 3 for the Fund.
|
||||||||
Fund Name Change- Effective January 3, 2017, the Scotia Dynamic U.S. Growth Fund changed its name to the Summit Global Investments Global Low Volatility Fund.
|
||||||||
For more information with regard to significant accounting policies, see the most recent semi-annual or annual report filed with the Securities and Exchange Commission.
|
SUMMIT GLOBAL INVESTMENTS
|
||||||||
U.S. LOW VOLATILITY EQUITY FUND
|
||||||||
Portfolio of Investments
|
||||||||
November 30, 2016
|
||||||||
(Unaudited)
|
||||||||
Number
|
||||||||
of Shares
|
Value
|
|||||||
COMMON STOCKS - 98.9%
|
||||||||
Aerospace & Defense — 1.7%
|
||||||||
Lockheed Martin Corp.
|
7,300
|
$
|
1,936,325
|
|||||
Air Freight & Logistics — 2.8%
|
||||||||
CH Robinson Worldwide, Inc.
|
43,100
|
3,226,035
|
||||||
Banks — 1.2%
|
||||||||
US Bancorp
|
27,400
|
1,359,588
|
||||||
Biotechnology — 1.4%
|
||||||||
Gilead Sciences, Inc.
|
21,900
|
1,614,030
|
||||||
Commercial Services & Supplies — 3.4%
|
||||||||
Cintas Corp.
|
4,500
|
515,700
|
||||||
Republic Services, Inc.
|
32,100
|
1,781,229
|
||||||
Waste Management, Inc.
|
21,200
|
1,473,824
|
||||||
3,770,753
|
||||||||
Communications Equipment — 0.6%
|
||||||||
Cisco Systems, Inc.
|
24,700
|
736,554
|
||||||
Consumer Finance — 2.0%
|
||||||||
American Express Co.
|
31,300
|
2,254,852
|
||||||
Distributors — 1.8%
|
||||||||
Genuine Parts Co.
|
20,900
|
2,011,207
|
||||||
Diversified Financial Services — 0.5%
|
||||||||
Berkshire Hathaway, Inc.*
|
3,800
|
598,272
|
||||||
Diversified Telecommunication Services — 5.1%
|
||||||||
AT&T, Inc.
|
74,200
|
2,866,346
|
||||||
Verizon Communications, Inc.
|
58,200
|
2,904,180
|
||||||
5,770,526
|
||||||||
Electric Utilities — 5.1%
|
||||||||
Duke Energy Corp.
|
13,400
|
988,518
|
||||||
Edison International
|
29,300
|
2,014,961
|
||||||
PG&E Corp.
|
3,700
|
217,560
|
||||||
PPL Corp.
|
29,900
|
1,000,454
|
||||||
Southern Co., (The)
|
16,900
|
791,258
|
||||||
Xcel Energy, Inc.
|
19,300
|
752,893
|
||||||
5,765,644
|
||||||||
Food & Staples Retailing — 5.0%
|
||||||||
Sysco Corp.
|
55,100
|
2,934,075
|
||||||
Wal-Mart Stores, Inc.
|
38,800
|
2,732,684
|
||||||
5,666,759
|
||||||||
Food Products — 6.3%
|
||||||||
ConAgra Foods, Inc.
|
5,000
|
183,450
|
||||||
General Mills, Inc.
|
44,400
|
2,705,736
|
||||||
Hershey Co., (The)
|
5,200
|
502,528
|
||||||
Hormel Foods Corp.
|
58,300
|
1,996,192
|
||||||
Kellogg Co.
|
17,700
|
1,274,400
|
||||||
Lamb Weston Holdings, Inc.*
|
1,667
|
55,800
|
||||||
McCormick & Co., Inc.
|
5,100
|
465,120
|
||||||
7,183,226
|
||||||||
Health Care Equipment & Supplies — 1.7%
|
||||||||
Baxter International, Inc.
|
20,500
|
909,585
|
||||||
DENTSPLY SIRONA, Inc.
|
8,600
|
500,348
|
||||||
Medtronic PLC
|
3,600
|
262,836
|
||||||
Varian Medical Systems, Inc.*
|
3,100
|
278,473
|
||||||
1,951,242
|
||||||||
Health Care Providers & Services — 7.8%
|
||||||||
Aetna, Inc.
|
9,700
|
1,269,148
|
||||||
Anthem, Inc.
|
10,900
|
1,553,577
|
||||||
Express Scripts Holding Co.*
|
12,000
|
910,560
|
||||||
Henry Schein, Inc.*
|
3,000
|
446,880
|
||||||
Laboratory Corp. of America Holdings*
|
5,800
|
729,930
|
||||||
McKesson Corp.
|
2,800
|
402,668
|
||||||
Patterson Cos, Inc.
|
45,800
|
1,774,292
|
||||||
UnitedHealth Group, Inc.
|
10,600
|
1,678,192
|
||||||
8,765,247
|
||||||||
Hotels, Restaurants & Leisure — 0.9%
|
||||||||
McDonald's Corp.
|
8,100
|
966,087
|
||||||
Household Products — 2.5%
|
||||||||
Colgate-Palmolive Co.
|
10,000
|
652,300
|
||||||
Procter & Gamble Co., (The)
|
25,700
|
2,119,222
|
||||||
2,771,522
|
||||||||
Insurance — 5.3%
|
||||||||
Chubb Ltd.
|
6,500
|
832,000
|
||||||
Cincinnati Financial Corp.
|
36,700
|
2,816,358
|
||||||
Principal Financial Group, Inc.
|
5,600
|
323,064
|
||||||
Progressive Corp., (The)
|
59,200
|
1,971,360
|
||||||
5,942,782
|
||||||||
Internet Software & Services — 0.5%
|
||||||||
VeriSign, Inc.*
|
6,800
|
536,180
|
||||||
IT Services — 9.1%
|
||||||||
Accenture PLC, Class A
|
14,800
|
1,767,564
|
||||||
Fidelity National Information Services, Inc.
|
3,200
|
247,008
|
||||||
Fiserv, Inc.*
|
20,500
|
2,144,710
|
||||||
International Business Machines Corp.
|
17,600
|
2,855,072
|
||||||
Paychex, Inc.
|
34,600
|
2,039,670
|
||||||
Total System Services, Inc.
|
21,700
|
1,068,074
|
||||||
Western Union Co., (The)
|
12,300
|
258,669
|
||||||
10,380,767
|
Life Sciences Tools & Services — 0.2%
|
||||||||
Thermo Fisher Scientific, Inc.
|
1,600
|
224,176
|
||||||
Media — 3.4%
|
||||||||
Omnicom Group, Inc.
|
28,400
|
2,469,096
|
||||||
Scripps Networks Interactive, Inc., Class A
|
3,700
|
256,262
|
||||||
Walt Disney Co., (The)
|
11,900
|
1,179,528
|
||||||
3,904,886
|
||||||||
Multiline Retail — 4.1%
|
||||||||
Dollar General Corp.
|
18,900
|
1,461,348
|
||||||
Target Corp.
|
41,100
|
3,174,564
|
||||||
4,635,912
|
||||||||
Multi-Utilities — 2.9%
|
||||||||
CMS Energy Corp.
|
5,700
|
229,254
|
||||||
Dominion Resources, Inc.
|
15,800
|
1,157,982
|
||||||
DTE Energy Co.
|
8,600
|
800,574
|
||||||
WEC Energy Group, Inc.
|
20,000
|
1,120,200
|
||||||
3,308,010
|
||||||||
Oil, Gas & Consumable Fuels — 5.5%
|
||||||||
Chevron Corp.
|
6,700
|
747,452
|
||||||
ConocoPhillips
|
5,200
|
252,304
|
||||||
Exxon Mobil Corp.
|
32,700
|
2,854,710
|
||||||
Occidental Petroleum Corp.
|
15,500
|
1,106,080
|
||||||
Pioneer Natural Resources Co.
|
4,100
|
783,264
|
||||||
Tesoro Corp.
|
5,600
|
455,560
|
||||||
6,199,370
|
||||||||
Pharmaceuticals — 4.6%
|
||||||||
Johnson & Johnson
|
25,400
|
2,827,020
|
||||||
Merck & Co., Inc.
|
5,600
|
342,664
|
||||||
Pfizer, Inc.
|
64,800
|
2,082,672
|
||||||
5,252,356
|
||||||||
Real Estate Investment Trusts — 2.1%
|
||||||||
Apartment Investment & Management Co.
|
5,700
|
239,970
|
||||||
Equity Residential
|
3,600
|
216,036
|
||||||
Prologis, Inc.
|
4,900
|
249,410
|
||||||
Public Storage
|
3,800
|
795,340
|
||||||
Quality Care Properties, Inc.*
|
1,340
|
20,100
|
||||||
Simon Property Group, Inc.
|
5,100
|
916,215
|
||||||
2,437,071
|
||||||||
Semiconductors & Semiconductor Equipment — 0.2%
|
||||||||
Intel Corp.
|
7,200
|
249,840
|
||||||
Software — 3.8%
|
||||||||
CA, Inc.
|
35,700
|
1,140,972
|
||||||
Microsoft Corp.
|
38,600
|
2,326,036
|
||||||
salesforce.com, Inc.*
|
10,400
|
748,800
|
||||||
4,215,808
|
||||||||
Specialty Retail — 4.6%
|
||||||||
Bed Bath & Beyond, Inc.
|
15,100
|
676,631
|
||||||
Foot Locker, Inc.
|
12,600
|
903,042
|
||||||
Home Depot, Inc., (The)
|
13,900
|
1,798,660
|
||||||
TJX Cos, Inc., (The)
|
22,900
|
1,793,986
|
||||||
5,172,319
|
||||||||
Technology Hardware, Storage & Peripherals — 2.4%
|
||||||||
Apple, Inc.
|
24,500
|
2,707,740
|
||||||
Textiles, Apparel & Luxury Goods — 0.4%
|
||||||||
VF Corp.
|
9,100
|
496,041
|
||||||
TOTAL COMMON STOCKS
|
||||||||
(Cost $100,620,995)
|
112,011,127
|
|||||||
SHORT-TERM INVESTMENTS - 0.8%
|
||||||||
Fidelity Investments Money Market Funds - Government Portfolio, 0.28%
|
884,769
|
884,769
|
||||||
TOTAL SHORT-TERM INVESTMENTS
|
||||||||
(Cost $884,769)
|
884,769
|
|||||||
TOTAL INVESTMENTS - 99.7%
|
||||||||
(Cost $101,505,764)**
|
112,895,896
|
|||||||
OTHER ASSETS IN EXCESS OF LIABILITIES - 0.3%
|
362,416
|
|||||||
NET ASSETS - 100.0%
|
$
|
113,258,312
|
||||||
*
|
Non-income producing security.
|
||||||
** |
|
The cost basis of investments for federal income tax purposes at November 30, 2016 was as follows*:
|
|||||
Cost of investments
|
$
|
101,505,764
|
|||||
Gross unrealized appreciation
|
$
|
13,694,254
|
|||||
Gross unrealized depreciation
|
(2,304,122
|
)
|
|||||
Net unrealized appreciation (depreciation)
|
$
|
11,390,132
|
|||||
*Because tax adjustments are calculated annually at the end of the Fund's fiscal year, the above table does not reflect tax adjustments for the current
fiscal year. For the previous fiscal year's federal income tax information, please refer to the Notes to Financial Statements section in the Fund's
most recent annual report.
|
|||||||
PLC |
Public Limited Company
|
||||||
The Global Industry Classification Standard (GICS®) was developed by and/or is the exclusive property of MSCI, Inc. and Standard & Poor Financial Services LLC (“S&P”). GICS is a service mark of MSCI and S&P and has been licensed for use by Summit Global Investments, LLC. |
SUMMIT GLOBAL INVESTMENTS
|
||||||||
SMALL CAP LOW VOLATILITY FUND
|
||||||||
Portfolio of Investments
|
||||||||
November 30, 2016
|
||||||||
(Unaudited)
|
||||||||
Number
|
||||||||
of Shares
|
Value
|
|||||||
COMMON STOCKS - 95.6%
|
||||||||
Air Freight & Logistics — 0.9%
|
||||||||
Forward Air Corp.
|
2,600
|
$
|
125,788
|
|||||
Airlines — 1.0%
|
||||||||
Allegiant Travel Co.
|
800
|
130,720
|
||||||
Banks — 4.7%
|
||||||||
Community Trust Bancorp, Inc.
|
3,200
|
135,200
|
||||||
First Busey Corp.
|
5,300
|
145,273
|
||||||
Great Southern Bancorp, Inc.
|
2,500
|
124,125
|
||||||
Preferred Bank Los Angeles CA
|
2,900
|
130,761
|
||||||
Stock Yards Bancorp, Inc.
|
2,100
|
86,520
|
||||||
621,879
|
||||||||
Chemicals — 5.4%
|
||||||||
Calgon Carbon Corp.
|
7,500
|
132,750
|
||||||
Innospec, Inc.
|
2,300
|
151,110
|
||||||
Quaker Chemical Corp.
|
1,300
|
165,412
|
||||||
Sensient Technologies Corp.
|
1,600
|
124,944
|
||||||
Stepan Co.
|
1,900
|
154,223
|
||||||
728,439
|
||||||||
Commercial Services & Supplies — 7.3%
|
||||||||
Healthcare Services Group, Inc.
|
3,000
|
116,850
|
||||||
Herman Miller, Inc.
|
3,600
|
117,000
|
||||||
Knoll, Inc.
|
4,800
|
127,248
|
||||||
Matthews International Corp.
|
2,200
|
160,050
|
||||||
McGrath RentCorp
|
4,100
|
151,372
|
||||||
UniFirst Corp.
|
1,000
|
141,350
|
||||||
Viad Corp.
|
3,700
|
162,430
|
||||||
976,300
|
||||||||
Communications Equipment — 1.0%
|
||||||||
Plantronics, Inc.
|
2,600
|
134,732
|
||||||
Distributors — 0.7%
|
||||||||
Core-Mark Holding Co., Inc.
|
2,700
|
98,577
|
||||||
Diversified Financial Services — 1.0%
|
||||||||
Compass Diversified Holdings†
|
7,100
|
133,835
|
||||||
Diversified Telecommunication Services — 0.9%
|
||||||||
ATN International, Inc.
|
1,600
|
115,696
|
||||||
Electric Utilities — 5.3%
|
||||||||
ALLETE, Inc.
|
2,000
|
123,640
|
||||||
El Paso Electric Co.
|
2,500
|
112,625
|
||||||
MGE Energy, Inc.
|
2,200
|
130,240
|
||||||
Otter Tail Corp.
|
3,800
|
145,730
|
||||||
PNM Resources, Inc.
|
3,400
|
107,440
|
||||||
Spark Energy, Inc., Class A
|
3,700
|
94,350
|
||||||
714,025
|
||||||||
Electrical Equipment — 1.0%
|
||||||||
Azz, Inc.
|
2,000
|
130,200
|
||||||
Electronic Equipment, Instruments & Components — 5.4%
|
||||||||
Benchmark Electronics, Inc.*
|
5,500
|
155,925
|
||||||
ePlus, Inc.*
|
1,400
|
155,680
|
||||||
MTS Systems Corp.
|
2,300
|
123,855
|
||||||
Orbotech Ltd.*
|
4,400
|
139,348
|
||||||
Tech Data Corp.*
|
1,700
|
144,279
|
||||||
719,087
|
||||||||
Food Products — 4.3%
|
||||||||
B&G Foods, Inc.
|
2,600
|
111,280
|
||||||
Cal-Maine Foods, Inc.
|
2,400
|
97,680
|
||||||
Fresh Del Monte Produce, Inc.
|
2,200
|
136,422
|
||||||
J&J Snack Foods Corp.
|
1,100
|
133,573
|
||||||
Sanderson Farms, Inc.
|
1,200
|
96,780
|
||||||
575,735
|
||||||||
Gas Utilities — 2.8%
|
||||||||
Chesapeake Utilities Corp.
|
1,900
|
123,120
|
||||||
Northwest Natural Gas Co.
|
2,000
|
114,600
|
||||||
South Jersey Industries, Inc.
|
3,900
|
128,700
|
||||||
366,420
|
||||||||
Health Care Equipment & Supplies — 3.3%
|
||||||||
Analogic Corp.
|
1,400
|
129,010
|
||||||
ICU Medical, Inc.*
|
1,100
|
165,275
|
||||||
Masimo Corp.*
|
2,300
|
142,301
|
||||||
436,586
|
||||||||
Health Care Providers & Services — 5.2%
|
||||||||
Aceto Corp.
|
5,400
|
110,322
|
||||||
Chemed Corp.
|
900
|
134,073
|
||||||
Ensign Group, Inc., (The)
|
5,500
|
118,910
|
||||||
Owens & Minor, Inc.
|
3,100
|
105,121
|
||||||
Surgical Care Affiliates, Inc.*
|
2,600
|
109,330
|
||||||
US Physical Therapy, Inc.
|
2,000
|
128,000
|
||||||
705,756
|
||||||||
Hotels, Restaurants & Leisure — 3.9%
|
||||||||
Cheesecake Factory, Inc., (The)
|
2,300
|
136,091
|
||||||
International Speedway Corp., Class B
|
3,500
|
128,800
|
||||||
Popeyes Louisiana Kitchen, Inc.*
|
2,200
|
131,736
|
||||||
Ruth's Hospitality Group, Inc.
|
6,800
|
115,600
|
||||||
512,227
|
Household Durables — 1.7%
|
||||||||
Helen of Troy Ltd.*
|
1,200
|
102,120
|
||||||
Hooker Furniture Corp.
|
4,600
|
125,580
|
||||||
227,700
|
||||||||
Household Products — 0.8%
|
||||||||
WD-40 Co.
|
1,000
|
107,900
|
||||||
Insurance — 5.1%
|
||||||||
Argo Group International Holdings Ltd.
|
2,180
|
138,321
|
||||||
Aspen Insurance Holdings Ltd.
|
2,400
|
122,280
|
||||||
Enstar Group Ltd.*
|
800
|
157,320
|
||||||
Maiden Holdings Ltd.
|
9,000
|
138,600
|
||||||
Navigators Group, Inc., (The)
|
1,300
|
137,020
|
||||||
693,541
|
||||||||
Internet & Direct Marketing Retail — 1.7%
|
||||||||
FTD Cos, Inc.*
|
4,500
|
102,870
|
||||||
PetMed Express, Inc.
|
5,900
|
128,797
|
||||||
231,667
|
||||||||
Investment Companies — 0.9%
|
||||||||
TPG Specialty Lending, Inc.
|
7,090
|
129,960
|
||||||
IT Services — 3.3%
|
||||||||
Convergys Corp.
|
4,000
|
103,480
|
||||||
CSG Systems International, Inc.
|
2,700
|
120,150
|
||||||
TeleTech Holdings, Inc.
|
4,200
|
120,750
|
||||||
WNS Holdings Ltd., ADR*
|
3,700
|
92,611
|
||||||
436,991
|
||||||||
Life Sciences Tools & Services — 0.9%
|
||||||||
INC Research Holdings, Inc.*
|
2,500
|
123,750
|
||||||
Machinery — 5.0%
|
||||||||
Douglas Dynamics, Inc.
|
5,000
|
159,750
|
||||||
Global Brass & Copper Holdings, Inc.
|
4,200
|
120,330
|
||||||
Hillenbrand, Inc.
|
3,600
|
126,000
|
||||||
Kadant, Inc.
|
2,300
|
143,980
|
||||||
Standex International Corp.
|
1,300
|
114,530
|
||||||
664,590
|
||||||||
Metals & Mining — 1.6%
|
||||||||
Compass Minerals International, Inc.
|
1,400
|
108,570
|
||||||
Kaiser Aluminum Corp.
|
1,300
|
107,107
|
||||||
215,677
|
||||||||
Multi-Utilities — 2.4%
|
||||||||
Avista Corp.
|
2,700
|
109,269
|
||||||
NorthWestern Corp.
|
2,000
|
112,200
|
||||||
Unitil Corp.
|
2,698
|
114,584
|
||||||
336,053
|
||||||||
Paper & Forest Products — 1.0%
|
||||||||
Neenah Paper, Inc.
|
1,600
|
135,840
|
||||||
Professional Services — 2.0%
|
||||||||
CBIZ, Inc.*
|
10,900
|
135,160
|
||||||
Exponent, Inc.
|
2,200
|
133,430
|
||||||
268,590
|
||||||||
Real Estate Investment Trusts — 3.5%
|
||||||||
LTC Properties, Inc.
|
2,300
|
104,558
|
||||||
Potlatch Corp.
|
3,200
|
131,440
|
||||||
Urban Edge Properties
|
4,100
|
111,069
|
||||||
Urstadt Biddle Properties, Inc.
|
5,300
|
120,045
|
||||||
467,112
|
||||||||
Real Estate Management & Development — 1.0%
|
||||||||
RE/MAX Holdings, Inc., Class A
|
2,800
|
137,200
|
||||||
Road & Rail — 1.0%
|
||||||||
Landstar System, Inc.
|
1,700
|
138,465
|
||||||
Semiconductors & Semiconductor Equipment — 2.4%
|
||||||||
Cabot Microelectronics Corp.
|
2,600
|
154,908
|
||||||
MKS Instruments, Inc.
|
3,000
|
172,650
|
||||||
327,558
|
||||||||
Textiles, Apparel & Luxury Goods — 1.0%
|
||||||||
Unifi, Inc.*
|
4,500
|
140,040
|
||||||
Thrifts & Mortgage Finance — 1.0%
|
||||||||
First Defiance Financial Corp.
|
2,800
|
129,612
|
||||||
Trading Companies & Distributors — 1.1%
|
||||||||
Applied Industrial Technologies, Inc.
|
2,500
|
149,625
|
||||||
Water Utilities — 4.1%
|
||||||||
American States Water Co.
|
2,800
|
118,720
|
||||||
California Water Service Group
|
3,900
|
134,745
|
||||||
Connecticut Water Service, Inc.
|
2,300
|
125,396
|
||||||
SJW Corp.
|
3,200
|
171,744
|
||||||
550,605
|
||||||||
TOTAL COMMON STOCKS
|
||||||||
(Cost $11,211,719)
|
12,838,478
|
|||||||
SHORT-TERM INVESTMENTS - 4.0%
|
||||||||
Fidelity Investments Money Market Funds - Government Portfolio, 0.28%
|
538,130
|
538,130
|
||||||
TOTAL SHORT-TERM INVESTMENTS
|
||||||||
(Cost $538,130)
|
538,130
|
|||||||
TOTAL INVESTMENTS - 99.6%
|
||||||||
(Cost $11,749,849)**
|
13,376,608
|
|||||||
OTHER ASSETS IN EXCESS OF LIABILITIES - 0.4%
|
58,367
|
|||||||
NET ASSETS - 100.0%
|
$
|
13,434,975
|
||||||
†
|
Master Limited Partnerships
|
||||||
*
|
Non-income producing security.
|
||||||
**
|
|
The cost basis of investments for federal income tax purposes at November 30, 2016 was as follows*:
|
|||||
Cost of investments
|
$
|
11,749,849
|
|||||
Gross unrealized appreciation
|
$
|
1,792,099
|
|||||
Gross unrealized depreciation
|
(165,340
|
)
|
|||||
Net unrealized appreciation (depreciation)
|
$
|
1,626,759
|
|||||
*Because tax adjustments are calculated annually at the end of the Fund's fiscal year, the above table does not reflect tax adjustments for the current
fiscal year. For the previous fiscal year's federal income tax information, please refer to the Notes to Financial Statements section in the Fund's
most recent annual report.
|
|||||||
ADR |
American Depositary Receipt
|
||||||
The Global Industry Classification Standard (GICS®) was developed by and/or is the exclusive property of MSCI, Inc. and Standard & Poor Financial Services LLC (“S&P”). GICS is a service mark of MSCI and S&P and has been licensed for use by Summit Global Investments, LLC.
|
|||||||
SUMMIT GLOBAL INVESTMENTS FUNDS
|
||||
Notes to Portfolio of Investments
|
||||
November 30, 2016
|
||||
(Unaudited)
|
Fair Value Measurements – The inputs and valuation techniques used to measure fair value of the Funds’ investments are summarized into three levels as described in the hierarchy below:
|
||||
• Level 1 — quoted prices in active markets for identical securities;
|
||||
• Level 2 — other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.); and
|
||||
|
||||
• Level 3 — significant unobservable inputs (including the Funds’ own assumptions in determining the fair value of investments).
|
||||
The inputs or methodology 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 November 30, 2016, in valuing the Funds’ investments carried at fair value:
|
Level 2
|
|||||||||||||||||
Level 1
|
Other
|
Level 3
|
|||||||||||||||
Total Value at
|
Quoted
|
Significant
|
Significant
|
||||||||||||||
November 30, 2016
|
Price
|
Observable Inputs
|
Unobservable Inputs
|
||||||||||||||
Summit Global Investments U.S. Low Volatility Equity Fund
|
|||||||||||||||||
Common Stocks
|
$
|
112,011,127
|
$
|
112,011,127
|
$
|
-
|
$
|
-
|
|||||||||
Short-Term Investments
|
884,769
|
884,769
|
-
|
-
|
|||||||||||||
Total Investments*
|
$
|
112,895,896
|
$
|
112,895,896
|
$
|
-
|
$
|
-
|
|||||||||
Summit Global Investments Small Cap Low Volatility Equity Fund
|
|||||||||||||||||
Common Stocks
|
$
|
12,838,478
|
$
|
12,838,478
|
$
|
-
|
$
|
-
|
|||||||||
Short-Term Investments
|
538,130
|
538,130
|
-
|
-
|
|||||||||||||
Total Investments*
|
$
|
13,376,608
|
$
|
13,376,608
|
$
|
-
|
$
|
-
|
|||||||||
* Please refer to Portfolio of Investments for further details.
|
(a)
|
The Registrant’s President and Treasurer have concluded that the Registrant's disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940 (the “1940 Act”)) (17 CFR 270.30a-3(c)) are effective as of a date within 90 days of the filing date of the report that includes the disclosure required by this paragraph, based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act (17 CFR 270.30a-3(b)) and Rule 13a-15(b) or Rule 15d‑15(b) under the Securities Exchange Act of 1934, as amended (17 CFR 240.13a-15(b) or 240.15d-15(d)).
|
(b)
|
There were no changes in the Registrant's internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) (17 CFR 270.30a-3(d)) that occurred during the Registrant's last fiscal quarter that have materially affected, or are reasonably likely to materially affect, the Registrant's internal control over financial reporting.
|
1.
|
I have reviewed this report on Form N-Q of The RBB Fund, Inc.;
|
2.
|
Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;
|
3.
|
Based on my knowledge, the schedules of investments included in this report fairly present in all material respects the investments of the registrant as of the end of the fiscal quarter for which the report is filed;
|
4.
|
The registrant's other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:
|
(a)
|
Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;
|
(b)
|
Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;
|
(c)
|
Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report, based on such evaluation;
|
(d)
|
Disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the registrant's most recent fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and
|
5.
|
The registrant's other certifying officer(s) and I have disclosed to the registrant's auditors and the audit committee of the registrant's board of directors (or persons performing the equivalent functions):
|
(a)
|
All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize, and report financial information; and
|
(b)
|
Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting.
|
Date: January 27, 2017
|
/s/ Salvatore Faia
|
Salvatore Faia, President
(principal executive officer)
|
1.
|
I have reviewed this report on Form N-Q of The RBB Fund, Inc.;
|
2.
|
Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;
|
3.
|
Based on my knowledge, the schedules of investments included in this report fairly present in all material respects the investments of the registrant as of the end of the fiscal quarter for which the report is filed;
|
4.
|
The registrant's other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:
|
(a)
|
Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;
|
(b)
|
Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;
|
(c)
|
Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report, based on such evaluation;
|
(d)
|
Disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the registrant's most recent fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and
|
5.
|
The registrant's other certifying officer(s) and I have disclosed to the registrant's auditors and the audit committee of the registrant's board of directors (or persons performing the equivalent functions):
|
(a)
|
All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize, and report financial information; and
|
(b)
|
Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting.
|
Date: January 27, 2017
|
/s/ James Shaw
|
James Shaw, Treasurer
(principal financial officer)
|