NPORT-EX 2 trendfinal.htm DESCRIPTION NPORT-EX
CAMPBELL DYNAMIC TREND FUND
  
CONSOLIDATED PORTFOLIO OF INVESTMENTS
  
MAY 31, 2020 (UNAUDITED)
  
                     
   
COUPON*
  
MATURITY
  
PAR
    
VALUE
  
SHORT-TERM INVESTMENTS — 87.4%
                    
U.S. TREASURY OBLIGATIONS — 85.4%
                    
United States Treasury Bill
    
1.503
%
06/18/20
  
$
3,000,000
    
$
2,999,837
  
United States Treasury Bill
    
1.510
%
07/16/20
    
4,230,000
      
4,229,352
  
United States Treasury Bill
    
1.403
%
08/13/20
    
3,450,000
      
3,449,134
  
United States Treasury Bill
    
0.323
%
09/10/20
    
3,000,000
      
2,998,716
  
United States Treasury Bill
    
0.101
%
10/01/20
    
2,900,000
      
2,898,477
  
United States Treasury Bill
    
0.100
%
11/12/20
    
3,740,000
      
3,737,338
  
                       
20,312,854
  
                           
MONEY MARKETS  — 2.0%
                          
U.S. Bank Money Market Deposit Account, 0.13%(a)
                      
470,155
  
TOTAL SHORT-TERM INVESTMENTS
                          
(Cost $20,765,154)
                      
20,783,009
  
TOTAL INVESTMENTS — 87..4%
                          
(Cost $20,765,154)
                      
20,783,009
  
                           
OTHER ASSETS IN EXCESS OF LIABILITIES — 12.6%
                      
2,998,623
  
NET ASSETS — 100.0%
                    
$
23,781,632
  

*
Short-term investments’ coupon reflects the annualized yield on the date of purchase for discounted investments.
      
(a) - The rate shown is as of May 31, 2020.
              
                 
The accompanying notes are an integral part of the consolidated financial statements.
CAMPBELL DYNAMIC TREND FUND
CONSOLIDATED PORTFOLIO OF INVESTMENTS
MAY 31, 2020 (UNAUDITED)
                     
Futures contracts outstanding as of May 31, 2020 were as follows:
                     
                   
VALUE AND
                   
UNREALIZED
   
EXPIRATION
  
NUMBER OF
    
NOTIONAL
    
APPRECIATION/
LONG CONTRACTS
 
DATE
 
CONTRACTS
 
  
COST
 
  
(DEPRECIATION)
3-Month Euro Euribor
  
Jun-21
  
12
   $
                 3,345,638
   $
          (1,167)
90-DAY Bank Bill
  
Jun-21
  
124
    
                  82,589,687
    
                 15,629
90-Day Euro
  
Sep-21
  
132
    
                  32,935,724
    
                      (74)
90-Day Sterling
  
Jun-21
  
375
    
                  57,751,612
    
                 72,196
Australian 10-Year Bond
  
Jun-20
  
8
    
                       803,652
    
                 (9,287)
Australian 3-Year Bond
  
Jun-20
  
259
    
                  20,219,034
    
                   1,136
Canadian 10-Year Bond
  
Sep-20
  
30
    
                    3,345,222
    
                   2,419
Euro BUXL 30-Year Bond Futures
  
Jun-20
  
2
    
                       471,374
    
                    (624)
Euro-Bobl
  
Sep-20
  
5
    
                       746,348
    
                      716
Euro-Bund
  
Sep-20
  
5
    
                       974,352
    
                      549
Gold 100 Oz
  
Aug-20
  
3
    
                       526,177
    
                    (667)
London Metals Exchange Aluminum
  
Jun-20
  
33
    
                    1,262,105
    
                   4,270
London Metals Exchange Aluminum
  
Sep-20
  
2
    
                         76,002
    
                   1,685
London Metals Exchange Copper
  
Jun-20
  
5
    
                       660,485
    
                   9,359
London Metals Exchange Copper
  
Sep-20
  
1
    
                       134,147
    
                      397
London Metals Exchange Nickel
  
Jun-20
  
8
    
                       588,947
    
                        49
London Metals Exchange Zinc
  
Jun-20
  
18
    
                       887,446
    
                   8,391
London Metals Exchange Zinc
  
Sep-20
  
2
    
                       100,179
    
                    (716)
Long Gilt
  
Sep-20
  
13
    
                    2,209,976
    
                 (3,386)
Nasdaq 100 E-Mini
  
Jun-20
  
1
    
                       189,427
    
                   1,778
U.S. Treasury 10-Year Notes
  
Sep-20
  
23
    
                    3,195,273
    
                   3,165
U.S. Treasury 2-Year Notes
  
Sep-20
  
80
    
                  17,666,237
    
                   1,263
U.S. Treasury 5-Year Notes
  
Sep-20
  
47
    
                    5,896,105
    
                   8,271
U.S. Treasury Long Bond (Chicago Board of Trade)
  
Sep-20
  
7
    
                    1,247,106
    
                   1,519
U.S. Treasury Ultra Long Bond (Chicago Board of Trade)
  
Sep-20
  
3
    
                       657,068
    
                 (2,974)
                  $
           113,897
                     
                   
VALUE AND
                   
UNREALIZED
   
EXPIRATION
  
NUMBER OF
    
NOTIONAL
    
APPRECIATION/
SHORT CONTRACTS
 
DATE
 
CONTRACTS
 
  
AMOUNT
 
  
(DEPRECIATION)
10 Year Mini Japanese Government Bond
  
Jun-20
  
8
   $
                (1,125,385)
   $
            (3,568)
Amsterdam Index
  
Jun-20
  
1
    
                     (115,328)
    
                 (2,813)
Brent Crude
  
Sep-20
  
5
    
                     (178,561)
    
               (12,289)
Cattle Feeder Futures
  
Aug-20
  
3
    
                     (192,916)
    
               (10,109)
Cocoa
  
Jul-20
  
5
    
                     (115,125)
    
                 (7,575)
Coffee
  
Jul-20
  
2
    
                       (77,769)
    
                   5,544
Corn
  
Jul-20
  
48
    
                     (784,025)
    
                   2,225
Cotton No.2
  
Jul-20
  
9
    
                     (243,928)
    
               (15,227)
DJIA Mini E-CBOT
  
Jun-20
  
1
    
                     (109,888)
    
               (17,002)
Euro Stoxx 50
  
Jun-20
  
5
    
                     (150,971)
    
               (18,089)
Euro-BTP
  
Jun-20
  
1
    
                     (153,419)
    
                 (4,386)
Euro-Schatz
  
Sep-20
  
7
    
                     (870,693)
    
                    (247)
FTSE 100 Index
  
Jun-20
  
3
    
                     (201,721)
    
               (22,820)
FTSE/JSE TOP 40
  
Jun-20
  
4
    
                       (91,885)
    
               (14,380)
Gasoline RBOB
  
Jul-20
  
4
    
                     (162,602)
    
               (18,586)
Hang Seng Index
  
Jun-20
  
1
    
                     (149,394)
    
                   2,525
Live Cattle
  
Aug-20
  
8
    
                     (316,646)
    
                 (2,073)
London Metals Exchange Aluminum
  
Sep-20
  
29
    
                  (1,089,113)
    
               (37,356)
London Metals Exchange Aluminum
  
Jun-20
  
33
    
                  (1,314,541)
    
                 48,166
London Metals Exchange Copper
  
Sep-20
  
3
    
                     (398,789)
    
                 (4,842)
London Metals Exchange Copper
  
Jun-20
  
5
    
                     (671,451)
    
                   1,607
London Metals Exchange Nickel
  
Sep-20
  
3
    
                     (221,716)
    
                    (386)
London Metals Exchange Nickel
  
Jun-20
  
8
    
                     (602,917)
    
                 13,921
London Metals Exchange Zinc
  
Sep-20
  
10
    
                     (502,659)
    
                   5,347
London Metals Exchange Zinc
  
Jun-20
  
18
    
                     (909,664)
    
                 13,826
Low Sulphur Gasoil G Futures
  
Jul-20
  
7
    
                     (201,738)
    
                 (4,587)
MSCI Singapore Exchange ETS
  
Jun-20
  
16
    
                     (329,576)
    
                   3,415
Natural Gas
  
Jul-20
  
9
    
                     (182,298)
    
                 15,888
Nikkie 225 (Osaka Securities Exchange)
  
Jun-20
  
1
    
                       (83,244)
    
               (17,781)
OMX Stockholm 30 Index
  
Jun-20
  
6
    
                       (98,401)
    
                 (5,265)
Platinum
  
Jul-20
  
1
    
                       (40,167)
    
                 (3,562)
Russell 2000 E-Mini
  
Jun-20
  
1
    
                       (67,188)
    
                 (2,452)
S&P Mid 400 E-Mini
  
Jun-20
  
1
    
                     (156,758)
    
               (19,472)
S&P/TSX 60 Index
  
Jun-20
  
1
    
                     (113,286)
    
               (19,728)
Soybean
  
Jul-20
  
15
    
                     (638,457)
    
                   7,894
SPI 200 Index
  
Jun-20
  
2
    
                     (175,783)
    
               (15,817)
Sugar No. 11 (World)
  
Jul-20
  
21
    
                     (244,354)
    
               (12,249)
Topix Index
  
Jun-20
  
1
    
                     (130,412)
    
               (14,147)
Wheat
  
Jul-20
  
1
    
                       (26,010)
    
                      (28)
WTI Crude
  
Jul-20
  
4
    
                     (101,010)
    
               (40,950)
                  $
       (227,428)
Total Futures Contracts
                 $
          (113,531)
 
                    
The accompanying notes are an integral part of the consolidated financial statements.
CAMPBELL DYNAMIC TREND FUND
CONSOLIDATED PORTFOLIO OF INVESTMENTS
MAY 31, 2020 (UNAUDITED)
               
Forward foreign currency contracts outstanding as of May 31, 2020 were as follows:
               
         
UNREALIZED
   
EXPIRATION
    
APPRECIATION/
CURRENCY PURCHASED
CURRENCY SOLD
DATE
COUNTERPARTY
  
(DEPRECIATION)
AUD
6,700,000
USD
4,172,786
Jun 17 2020
UBS
 $
                             293,191
CAD
4,550,000
USD
3,224,343
Jun 17 2020
UBS
  
                                 80,340
CHF
1,900,000
USD
2,005,360
Jun 17 2020
UBS
  
                               (28,852)
EUR
6,000,000
USD
6,702,897
Jun 17 2020
UBS
  
                               (40,085)
GBP
1,000,000
USD
1,265,625
Jun 17 2020
UBS
  
                               (30,527)
JPY
504,000,000
USD
4,803,060
Jun 17 2020
UBS
  
                             (128,468)
NOK
30,750,000
USD
2,977,875
Jun 17 2020
UBS
  
                               185,952
NZD
4,750,000
USD
2,866,285
Jun 17 2020
UBS
  
                                 82,059
SEK
33,150,000
USD
3,424,042
Jun 17 2020
UBS
  
                                 94,736
USD
5,084,171
AUD
7,800,000
Jun 17 2020
UBS
  
                             (115,026)
USD
5,074,061
CAD
7,000,000
Jun 17 2020
UBS
  
                               (10,066)
USD
2,109,220
CHF
2,050,000
Jun 17 2020
UBS
  
                               (23,329)
USD
8,004,966
EUR
7,200,000
Jun 17 2020
UBS
  
                                   9,591
USD
2,457,421
GBP
2,000,000
Jun 17 2020
UBS
  
                               (12,773)
USD
4,715,754
JPY
507,000,000
Jun 17 2020
UBS
  
                                 13,337
USD
4,422,064
NOK
41,250,000
Jun 17 2020
UBS
  
                               177,906
USD
3,916,393
NZD
6,350,000
Jun 17 2020
UBS
  
                               (25,077)
USD
4,057,752
SEK
39,150,000
Jun 17 2020
UBS
  
                               (97,910)
Total Forward Foreign Currency Contracts
     $
                             424,999
 
AUD
Australian Dollar
  
JPY
Japanese Yen
      
CAD
Canadian Dollar
  
NOK
Norwegian Krone
      
CHF
Swiss Franc
  
NZD
New Zealand Dollar
      
EUR
Euro
  
SEK
Swedish Krona
      
GBP
British Pound
  
UBS
Union Bank of Switzerland
    
     
USD
United States Dollar
    
               
The accompanying notes are an integral part of the consolidated financial statements.
CAMPBELL DYNAMIC TREND FUND
NOTES TO CONSOLIDATED PORTFOLIO OF INVESTMENTS
MAY 31, 2020 (UNAUDITED)

CONSOLIDATION OF SUBSIDIARY —The Adviser’s Campbell Dynamic Trend Program will be achieved by the Fund investing up to 25% of its total assets in the Campbell Core Offshore Limited (the “Subsidiary”), a wholly-owned and controlled subsidiary for the Fund organized under the laws of the Cayman Islands. The consolidated financial statements of the Fund include the financial statements of the Subsidiary. The Fund consolidates the results of subsidiaries in which the Fund holds a controlling financial interest. All inter-company accounts and transactions have been eliminated. As of the end of the reporting period, the net assets of the Subsidiary were $791,720, which represented 3.33% of the Fund’s net assets.
                               
PORTFOLIO VALUATION — The Fund’s net asset value (“NAV”) is calculated once daily at the close of regular trading hours on the New York Stock Exchange (“NYSE”) (generally 4:00 p.m. Eastern time) on each day the NYSE is open. Securities held by the Fund are valued using the closing price or the last sales price on a national securities exchange or the National Association of Securities Dealers Automatic Quotation System (“NASDAQ”) market system where they are primarily traded. Fixed income securities are valued using an independent pricing service, which considers such factors as security prices, yields, maturities and ratings, and are deemed representative of market values at the close of the market. Investments in other open-end investment companies are valued based on the NAV of those investment companies (which may use fair value pricing as discussed in their prospectuses). Forward currency exchange contracts are valued by interpolating between spot and forward currency rates as quoted by an independent pricing service. Futures contracts are generally valued using the settlement price determined by the relevant exchange. If market quotations are unavailable or deemed unreliable, securities will be valued in accordance with procedures adopted by the RBB, Fund, Inc.’s Board of Directors (the “Board”). Relying on prices supplied by pricing services or dealers or using fair valuation may result in values that are higher or lower than the values used by other investment companies and investors to price the same investments.
                               
FAIR VALUE MEASUREMENTS — The inputs and valuation techniques used to measure the fair value of the Fund’s investments are summarized into three levels as described in the hierarchy below:
                               
• Level 1 – Prices are determined using quoted prices in active markets for identical securities.
              
                               
• Level 2 – Prices are determined using other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
    
                               
• Level 3 – Prices are determined using significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments).
      
                               
The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
        
                               
The following is a summary of the inputs used, as of May 31, 2020, in valuing the Fund’s investments carried at fair value:
            

 
  
TOTAL
    
LEVEL 1
    
LEVEL 2
    
LEVEL 3
  
Short-Term Investments
  
$
20,783,009
    
$
20,783,009
    
$
-
    
$
-
  
Commodity Contracts
                                
Futures Contracts
    
138,569
      
138,569
      
-
      
-
  
Equity Contracts
                                
Futures Contracts
    
7,718
      
7,718
      
-
      
-
  
Interest Rate Contracts
                                
Futures Contracts
    
106,863
      
106,863
      
-
      
-
  
Foreign Currency Contracts
                                
Forward Foreign Currency Contracts
    
937,112
      
-
      
937,112
      
-
  
Total Assets
  
$
21,973,271
    
$
21,036,159
    
$
937,112
    
$
-
  
                                 
 
  
TOTAL
    
LEVEL 1
    
LEVEL 2
    
LEVEL 3
  
Short-Term Investments
  
$
-
    
$
-
    
$
-
    
$
-
  
Commodity Contracts
                                
Futures Contracts
    
(171,202
)
    
(171,202
)
    
-
      
-
  
Equity Contracts
                                
Futures Contracts
    
(169,766
)
    
(169,766
)
    
-
      
-
  
Interest Rate Contracts
                                
Futures Contracts
    
(25,713
)
    
(25,713
)
    
-
      
-
  
Foreign Currency Contracts
                                
Forward Foreign Currency Contracts
    
(512,113
)
    
-
      
(512,113
)
    
-
  
Total Liabilities
  
$
(878,794
)
  
$
(366,681
)
  
$
(512,113
)
  
$
-
  

At the end of each quarter, management evaluates the classification of Levels 1, 2 and 3 assets and liabilities. Various factors are considered, such as changes in liquidity from the prior reporting period; whether or not a broker is willing to execute at the quoted price; the depth and consistency of prices from third party pricing services; and the existence of contemporaneous, observable trades in the market. Additionally, management evaluates the classification of Levels 1, 2 and 3 assets and liabilities on a quarterly basis for changes in listings or delistings on national exchanges.
                               
Due to the inherent uncertainty of determining the fair value of investments that do not have a readily available market value, the fair value of the Fund’s investments may fluctuate from period to period. Additionally, the fair value of investments may differ significantly from the values that would have been used had a ready market existed for such investments and may differ materially from the values the Fund may ultimately realize. Further, such investments may be subject to legal and other restrictions on resale or otherwise less liquid than publicly traded securities.
                               
For fair valuations using significant unobservable inputs, U.S. generally accepted accounting principles (“U.S. GAAP”) requires the Fund to present a reconciliation of the beginning to ending balances for reported market values that presents changes attributable to total realized and unrealized gains or losses, purchase and sales, and transfers in and out of Level 3 during the period. Transfers in and out between levels are based on values at the end of the period. A reconciliation of Level 3 investments is presented only when the Fund had an amount of Level 3 investments at the end of the reporting period that was meaningful in relation to its net assets. The amounts and reasons for Level 3 transfers are disclosed if the Fund had an amount of total transfers during the reporting period that was meaningful in relation to its net assets as of the end of the reporting period.
                               
For the period ended May 31, 2020, the Fund had no Level 3 transfers.
                  

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.