NPORT-EX 2 systematic.htm NPORT-EX

CAMPBELL SYSTEMATIC MACRO FUND
CONSOLIDATED PORTFOLIO OF INVESTMENTS
NOVEMBER 30, 2020 (UNAUDITED)

                   
 
COUPON*
  
MATURITY DATE
    
PAR
    
VALUE
SHORT-TERM INVESTMENTS — 83.4%
                  
U.S. TREASURY BILLS OBLIGATIONS — 61.1%
                  
United States Treasury Bill
0.076%
  
01/14/21
   $
        20,000,000
   $
         19,998,350
United States Treasury Bill
0.063%
  
02/11/21
    
5,000,000
    
4,999,275
United States Treasury Bill
0.091%
  
03/11/21
    
20,000,000
    
19,995,694
United States Treasury Bill
0.051%
  
04/01/21
    
20,000,000
    
19,994,118
United States Treasury Bill
0.041%
  
04/15/21
    
10,000,000
    
9,997,000
(Cost $74,987,681)
                
74,984,437
                     
U.S. TREASURY NOTES OBLIGATIONS— 7.0%
                  
United States Treasury Note
2.250%
  
02/15/21
    
8,500,000
    
8,537,013
(Cost $8,512,908)
                  
                     
MONEY MARKET DEPOSIT ACCOUNT — 15.4%
                  
U.S. Bank Money Market Deposit Account
0.030%
  
08/01/31
    
18,883,450
    
18,883,451
                     
TOTAL SHORT-TERM INVESTMENTS
                  
(Cost $18,883,450)
                
          18,883,451
                     
TOTAL INVESTMENTS — 83.4%
                  
(Cost $102,384,039)
                
        102,404,901
                     
OTHER ASSETS IN EXCESS OF LIABILITIES — 16.6%
                
20,373,014
NET ASSETS — 100.0%
               $
      122,777,915

*
Short-term investments’ coupon reflects the annualized yield on the date of purchase for discounted investments.
            
 
The accompanying notes are an integral part of the consolidated financial statements.


CAMPBELL SYSTEMATIC MACRO FUND
CONSOLIDATED PORTFOLIO OF INVESTMENTS
NOVEMBER 30, 2020 (UNAUDITED)

Futures contracts outstanding as of November 30, 2020 were as follows:
                     
                   
VALUE AND
                   
UNREALIZED
   
EXPIRATION
  
NUMBER OF
    
NOTIONAL
    
APPRECIATION/
LONG CONTRACTS
 
DATE
 
CONTRACTS
 
  
COST
 
  
(DEPRECIATION)
90-DAY Bank Bill
  
Dec-21
  
22
   $
               16,145,821
   $
                (143)
90-Day Euro
  
Mar-22
  
616
    
                153,638,100
    
                 75,663
90-Day Sterling
  
Jun-21
  
1,531
    
                255,107,136
    
               (57,392)
Amsterdam Index
  
Dec-20
  
43
    
                    6,213,465
    
                 42,241
Australian 10-Year Bond
  
Dec-20
  
361
    
                  39,411,600
    
             (105,075)
Australian 3-Year Bond
  
Dec-20
  
1,244
    
                107,239,158
    
                 (8,918)
Bank Acceptance
  
Mar-22
  
136
    
                  26,029,491
    
                    (324)
CAC40 10 Euro
  
Dec-20
  
85
    
                    5,585,688
    
                   6,100
Canadian 10-Year Bond
  
Mar-21
  
209
    
                  23,952,845
    
                 25,079
Cattle Feeder Futures
  
Jan-21
  
4
    
                       282,100
    
                   1,938
Copper
  
Mar-21
  
45
    
                    3,867,750
    
               238,779
Corn
  
Mar-21
  
96
    
                    2,044,800
    
                 27,437
Cotton No.2
  
Mar-21
  
86
    
                    3,102,450
    
                 36,880
DAX Index
  
Dec-20
  
6
    
                    2,385,457
    
                 32,449
DJIA Mini E-CBOT
  
Dec-20
  
11
    
                    1,629,595
    
                 52,132
Euro BUXL 30-Year Bond Futures
  
Dec-20
  
15
    
                    4,053,058
    
               (28,098)
Euro Stoxx 50
  
Dec-20
  
62
    
                    2,592,177
    
                 13,107
Euro-Bobl
  
Dec-20
  
115
    
                  18,573,831
    
               (10,340)
Euro-BTP
  
Dec-20
  
46
    
                    8,294,299
    
                 39,081
Euro-Oat
  
Dec-20
  
69
    
                  13,976,465
    
               (38,912)
FTSE 100 Index
  
Dec-20
  
34
    
                    2,852,220
    
               (35,523)
FTSE/JSE TOP 40
  
Dec-20
  
22
    
                       745,056
    
                 (5,124)
FTSE/MIB Index
  
Dec-20
  
5
    
                       657,706
    
                 45,553
Gasoline RBOB
  
Jan-21
  
22
    
                    1,147,238
    
               (10,427)
Gold 100 Oz
  
Feb-21
  
2
    
                       356,180
    
                    (125)
Hang Seng Index
  
Dec-20
  
48
    
                    8,184,285
    
             (155,369)
IBEX 35 Index
  
Dec-20
  
4
    
                       384,713
    
                   4,291
Kansas City Hard Red Winter Wheat
  
Mar-21
  
2
    
                         54,700
    
                    (493)
London Metals Exchange Aluminum
  
Dec-20
  
398
    
                  20,320,388
    
            2,372,544
London Metals Exchange Aluminum
  
Mar-21
  
47
    
                    2,404,050
    
                 93,297
London Metals Exchange Copper
  
Dec-20
  
210
    
                  39,762,188
    
            5,113,569
London Metals Exchange Copper
  
Mar-21
  
47
    
                    8,911,200
    
               671,879
London Metals Exchange Nickel
  
Dec-20
  
164
    
                  15,737,112
    
            1,236,694
London Metals Exchange Nickel
  
Mar-21
  
43
    
                    4,138,320
    
                 39,100
London Metals Exchange Zinc
  
Dec-20
  
162
    
                  11,249,685
    
            1,152,880
London Metals Exchange Zinc
  
Mar-21
  
50
    
                    3,492,750
    
               175,940
MSCI Singapore Exchange ETS
  
Dec-20
  
23
    
                       550,583
    
               (14,185)
Nasdaq 100 E-Mini
  
Dec-20
  
6
    
                    1,473,240
    
                 69,617
OMX Stockholm 30 Index
  
Dec-20
  
6
    
                       133,807
    
                 (1,387)
Palladium
  
Mar-21
  
4
    
                       962,360
    
                 20,600
Platinum
  
Jan-21
  
16
    
                       772,720
    
                 11,796
Russell 2000 E-Mini
  
Dec-20
  
8
    
                       728,040
    
                 27,958
S&P 500 E-Mini
  
Dec-20
  
17
    
                    3,079,720
    
                 52,034
S&P Mid 400 E-Mini
  
Dec-20
  
6
    
                    1,301,040
    
                 58,787
S&P/TSX 60 Index
  
Dec-20
  
41
    
                    6,452,915
    
               126,551
Silver
  
Mar-21
  
15
    
                    1,694,475
    
               (66,061)
Soybean
  
Jan-21
  
18
    
                    1,051,650
    
                 69,086
Soybean Meal
  
Mar-21
  
129
    
                    5,020,680
    
                 41,840
Soybean Oil
  
Mar-21
  
136
    
                    3,041,232
    
                 65,202
SPI 200 Index
  
Dec-20
  
22
    
                    2,635,927
    
                   6,405
Sugar No. 11 (World)
  
Mar-21
  
121
    
                    1,966,395
    
                 12,963
Topix Index
  
Dec-20
  
6
    
                    1,008,908
    
                 23,954
U.S. Treasury 10-Year Notes
  
Mar-21
  
175
    
                  24,180,078
    
                 30,770
U.S. Treasury 2-Year Notes
  
Mar-21
  
608
    
                134,277,750
    
                 40,646
U.S. Treasury 5-Year Notes
  
Mar-21
  
483
    
                  60,873,094
    
                 55,796
U.S. Treasury Long Bond (Chicago Board of Trade)
  
Mar-21
  
4
    
                       699,625
    
                 (1,319)
U.S. Treasury Ultra Long Bond (Chicago Board of Trade)
  
Mar-21
  
5
    
                    1,080,156
    
                 (7,235)
                  $
      11,664,188
                     
                   
VALUE AND
                   
UNREALIZED
   
EXPIRATION
  
NUMBER OF
    
NOTIONAL
    
APPRECIATION/
SHORT CONTRACTS
 
DATE
 
CONTRACTS
 
  
AMOUNT
 
  
(DEPRECIATION)
3-Month Euro Euribor
  
Jun-21
  
704
  
$
          (211,074,875)
   $
                 4,574
Brent Crude
  
Mar-21
  
17
    
                     (815,150)
    
                   1,721
Cocoa
  
Mar-21
  
11
    
                     (301,290)
    
               (41,293)
Coffee
  
Mar-21
  
12
    
                     (554,850)
    
               (41,999)
Euro-Bund
  
Dec-20
  
99
    
                (20,695,609)
    
                   1,978
Euro-Schatz
  
Dec-20
  
833
    
              (111,610,851)
    
                 33,599
JPN 10-Year Bond (Osaka Securities Exchange)
  
Dec-20
  
31
    
                (45,143,008)
    
                      299
Live Cattle
  
Feb-21
  
30
    
                  (1,354,500)
    
                 20,341
London Metals Exchange Aluminum
  
Mar-21
  
47
    
                  (2,404,050)
    
             (140,012)
London Metals Exchange Aluminum
  
Dec-20
  
398
    
                (20,320,387)
    
          (2,465,953)
London Metals Exchange Copper
  
Mar-21
  
41
    
                  (7,773,600)
    
             (348,414)
London Metals Exchange Copper
  
Dec-20
  
210
    
                (39,762,188)
    
          (4,616,064)
London Metals Exchange Nickel
  
Mar-21
  
8
    
                     (769,920)
    
                    (943)
London Metals Exchange Nickel
  
Dec-20
  
164
    
                (15,737,112)
    
             (671,869)
London Metals Exchange Zinc
  
Mar-21
  
30
    
                  (2,095,650)
    
               (83,949)
London Metals Exchange Zinc
  
Dec-20
  
162
    
                (11,249,685)
    
          (1,075,932)
Long Gilt
  
Mar-21
  
61
    
                (10,912,665)
    
                 10,111
Low Sulphur Gasoil G Futures
  
Jan-21
  
79
    
                  (3,081,000)
    
               (72,161)
Natural Gas
  
Jan-21
  
114
    
                  (3,285,480)
    
               243,184
Nikkie 225 (Osaka Securities Exchange)
  
Dec-20
  
2
    
                     (506,897)
    
                   3,917
NY Harbor Ultra-Low Sulfur Diesel
  
Jan-21
  
30
    
                  (1,727,964)
    
             (169,240)
Wheat
  
Mar-21
  
7
    
                     (204,750)
    
                   4,942
WTI Crude
  
Jan-21
  
8
    
                     (362,720)
    
                 (8,579)
                  $
       (9,411,742)
Total Futures Contracts
                 $
          2,252,446
 

The accompanying notes are an integral part of the consolidated financial statements.

 
CAMPBELL SYSTEMATIC MACRO FUND
CONSOLIDATED PORTFOLIO OF INVESTMENTS
NOVEMBER 30, 2020 (UNAUDITED)
             
Forward foreign currency contracts outstanding as of November 30, 2020 were as follows:

             
UNREALIZED
       
EXPIRATION
    
APPRECIATION/
CURRENCY PURCHASED
  
CURRENCY SOLD
  
DATE
COUNTERPARTY
  
(DEPRECIATION)
AUD
89,200,000
  
USD
64,381,854
  
Dec 16 2020
UBS
 $
                         1,107,676
BRL
75,300,000
  
USD
13,930,206
  
Dec 16 2020
UBS
  
                               121,476
CAD
252,700,000
  
USD
192,434,229
  
Dec 16 2020
UBS
  
                            2,168,029
CHF
19,150,000
  
USD
21,042,022
  
Dec 16 2020
UBS
  
                                 45,161
CLP
8,440,000,000
  
USD
10,929,262
  
Dec 16 2020
UBS
  
                               154,095
CNH
73,500,000
  
USD
10,756,207
  
Dec 16 2020
UBS
  
                               393,466
COP
48,750,000,000
  
USD
13,117,255
  
Dec 16 2020
UBS
  
                               428,652
CZK
334,400,000
  
USD
14,800,363
  
Dec 16 2020
UBS
  
                               397,794
EUR
111,900,000
  
USD
132,159,844
  
Dec 16 2020
UBS
  
                            1,393,059
GBP
64,400,000
  
USD
84,161,611
  
Dec 16 2020
UBS
  
                            1,715,959
HUF
4,458,000,000
  
USD
14,585,537
  
Dec 16 2020
UBS
  
                               238,675
IDR
106,750,000,000
  
USD
7,155,190
  
Dec 16 2020
UBS
  
                               391,769
INR
1,557,000,000
  
USD
21,021,722
  
Dec 16 2020
UBS
  
                               (29,884)
JPY
13,834,500,000
  
USD
131,912,885
  
Dec 16 2020
UBS
  
                               650,222
KRW
20,715,000,000
  
USD
17,720,300
  
Dec 16 2020
UBS
  
                               997,568
MXN
844,200,000
  
USD
38,993,502
  
Dec 16 2020
UBS
  
                            2,701,967
NOK
330,300,000
  
USD
36,407,656
  
Dec 16 2020
UBS
  
                               725,421
NZD
121,800,000
  
USD
81,302,717
  
Dec 16 2020
UBS
  
                            4,106,744
PHP
567,000,000
  
USD
11,648,604
  
Dec 16 2020
UBS
  
                               140,712
PLN
50,775,000
  
USD
13,272,589
  
Dec 16 2020
UBS
  
                               257,228
RUB
1,093,000,000
  
USD
14,235,652
  
Dec 16 2020
UBS
  
                                 55,166
SEK
205,050,000
  
USD
23,396,306
  
Dec 16 2020
UBS
  
                               520,358
SGD
34,119,000
  
USD
25,117,451
  
Dec 16 2020
UBS
  
                               322,653
TWD
362,250,000
  
USD
12,637,740
  
Dec 16 2020
UBS
  
                                 73,298
ZAR
534,800,000
  
USD
32,446,973
  
Dec 17 2020
UBS
  
                            2,004,387
USD
69,560,269
  
AUD
95,950,000
  
Dec 16 2020
UBS
  
                             (885,027)
USD
9,059,907
  
BRL
50,200,000
  
Dec 16 2020
UBS
  
                             (307,881)
USD
148,656,054
  
CAD
196,000,000
  
Dec 16 2020
UBS
  
                          (2,281,985)
USD
20,752,035
  
CHF
18,900,000
  
Dec 16 2020
UBS
  
                               (59,858)
USD
9,225,847
  
CLP
7,180,000,000
  
Dec 16 2020
UBS
  
                             (202,885)
USD
11,627,764
  
CNH
77,100,000
  
Dec 16 2020
UBS
  
                               (68,015)
USD
10,944,403
  
COP
41,550,000,000
  
Dec 16 2020
UBS
  
                             (600,878)
USD
11,782,522
  
CZK
266,000,000
  
Dec 16 2020
UBS
  
                             (306,921)
USD
112,359,164
  
EUR
95,250,000
  
Dec 16 2020
UBS
  
                          (1,321,926)
USD
62,221,899
  
GBP
47,700,000
  
Dec 16 2020
UBS
  
                          (1,386,177)
USD
17,074,904
  
HUF
5,214,000,000
  
Dec 16 2020
UBS
  
                             (263,239)
USD
6,483,854
  
IDR
94,325,000,000
  
Dec 16 2020
UBS
  
                             (184,689)
USD
17,902,162
  
INR
1,328,000,000
  
Dec 16 2020
UBS
  
                                 (2,244)
USD
132,314,328
  
JPY
13,914,000,000
  
Dec 16 2020
UBS
  
                          (1,010,553)
USD
14,105,268
  
KRW
16,365,000,000
  
Dec 16 2020
UBS
  
                             (681,984)
USD
36,832,674
  
MXN
791,400,000
  
Dec 16 2020
UBS
  
                          (2,254,976)
USD
39,466,748
  
NOK
365,850,000
  
Dec 16 2020
UBS
  
                          (1,662,941)
USD
78,482,196
  
NZD
117,150,000
  
Dec 16 2020
UBS
  
                          (3,666,559)
USD
13,955,798
  
PHP
678,000,000
  
Dec 16 2020
UBS
  
                             (141,480)
USD
18,266,103
  
PLN
69,750,000
  
Dec 16 2020
UBS
  
                             (319,909)
USD
12,139,653
  
RUB
940,000,000
  
Dec 16 2020
UBS
  
                             (150,712)
USD
33,778,133
  
SEK
294,900,000
  
Dec 16 2020
UBS
  
                             (618,473)
USD
24,916,797
  
SGD
33,864,000
  
Dec 16 2020
UBS
  
                             (333,171)
USD
18,480,193
  
TWD
533,250,000
  
Dec 16 2020
UBS
  
                             (231,087)
USD
28,181,351
  
ZAR
465,000,000
  
Dec 17 2020
UBS
  
                          (1,773,553)
Total Forward Foreign Currency Contracts   
        $
364,528

AUD
Australian Dollar
JPY
Japanese Yen
    
BRL
Brazilian Real
KRW
South Korean Won
    
CAD
Canadian Dollar
MXN
Mexican Peso
    
CHF
Swiss Franc
NOK
Norwegian Krone
    
CLP
Chilean Peso
NZD
New Zealand Dollar
    
CNH
Chinese Yuan Renminbi
PHP
Philippine Peso
    
COP
Columbian Peso
PLN
Polish Zloty
    
CZK
Czech Koruna
RUB
Russian Ruble
    
EUR
Euro
SEK
Swedish Krona
    
GBP
British Pound
SGD
Singapore Dollar
    
HUF
Hungarian Forint
TWD
Taiwan New Dollar
    
IDR
Indonesian Rupiah
UBS
Union Bank of Switzerland
  
INR
Indian Rupee
USD
United States Dollar
  
   
ZAR
South African Rand
    

The accompanying notes are an integral part of the consolidated financial statements.

CAMPBELL SYSTEMATIC MACRO FUND
  
NOTES TO CONSOLIDATED PORTFOLIO OF INVESTMENTS
  
NOVEMBER 30, 2020 (UNAUDITED)
  
                               
CONSOLIDATION OF SUBSIDIARY —The Adviser’s Campbell Systematic Macro Program will be achieved by the Campbell Systematic Macro  Fund ("the Fund") investing up to 25% of its total assets in the Campbell Systematic Macro Offshore Limited (the “Subsidiary”), a wholly-owned and controlled subsidiary 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 $11,328,983, which represented 9.23% 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 November 30, 2020, in valuing the Fund’s investments carried at fair value:
          

 
 
  
TOTAL
    
LEVEL 1
    
LEVEL 2
    
LEVEL 3
  
 
Short-Term Investments
  
$
102,404,901
    
$
102,404,901
    
$
-
    
$
-
  
 
Commodity Contracts
                                
 
Futures Contracts
    
11,652,612
      
11,652,612
      
-
      
-
  
 
Equity Contracts
                                
 
Futures Contracts
    
565,096
      
565,096
      
-
      
-
  
 
Interest Rate Contracts
                                
 
Futures Contracts
    
317,596
      
317,596
      
-
      
-
  
 
Foreign Currency Contracts
                                
 
Forward Foreign Currency Contracts
    
21,111,535
      
-
      
21,111,535
      
-
  
 
Total Assets
  
$
136,051,740
    
$
114,940,205
    
$
21,111,535
    
$
-
  
                                   
     
TOTAL
    
LEVEL 1
    
LEVEL 2
    
LEVEL 3
  
 
Commodity Contracts
                                
 
Futures Contracts
  
$
(9,813,514
)
  
$
(9,813,514
)
  
$
-
    
$
-
  
 
Equity Contracts
                                
 
Futures Contracts
    
(211,588
)
    
(211,588
)
    
-
      
-
  
 
Interest Rate Contracts
                                
 
Futures Contracts
    
(257,756
)
    
(257,756
)
    
-
      
-
  
 
Foreign Currency Contracts
                                
 
Forward Foreign Currency Contracts
    
(20,747,007
)
    
-
      
(20,747,007
)
    
-
  
 
Total Liabilities
  
$
(31,029,865
)
  
$
(10,282,858
)
  
$
(20,747,007
)
  
$
-
  

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 November 30, 2020, the Fund had no Level 3 transfers.
                
   
For more information with regard to significant accounting policies, see the most recent annual report or prospectus filed with the Securities and Exchange Commission.