UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-Q
QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED MANAGEMENT
INVESTMENT COMPANY
811-05518
Investment Company Act file number:
THE RBB FUND, INC.
(Exact name of registrant as specified in charter)
615 East Michigan Street,
Milwaukee, WI 53202
(Address of principal executive offices) (Zip code)
Salvatore Faia, President
c/o U.S. Bancorp Fund Services, LLC
615 East Michigan Street
Milwaukee, WI 53202
(Name and address of agent for service)
Registrant's telephone number, including area code: (414) 765-5366
Date of fiscal year end: August 31
Date of reporting period: November 30, 2019
Item 1. Schedule of Investments.
ABBEY CAPITAL FUTURES STRATEGY FUND
CONSOLIDATED PORTFOLIO OF INVESTMENTS
NOVEMBER 30, 2019 (UNAUDITED)
COUPON* | MATURITY DATE | PAR (000's) | VALUE | |||||||||
SHORT-TERM INVESTMENTS - 81.2% | ||||||||||||
U.S. TREASURY OBLIGATIONS - 81.2% | ||||||||||||
U.S. Treasury Bills | 1.491% | 12/05/19 | $ | 37,578 | $ | 37,573,603 | ||||||
U.S. Treasury Bills | 2.179% | 12/12/19 | 8,405 | 8,401,328 | ||||||||
U.S. Treasury Bills | 2.044% | 12/19/19 | 8,040 | 8,034,380 | ||||||||
U.S. Treasury Bills | 2.102% | 12/26/19 | 14,695 | 14,679,935 | ||||||||
U.S. Treasury Bills | 2.105% | 01/02/20 | 18,649 | 18,624,028 | ||||||||
U.S. Treasury Bills | 2.069% | 01/09/20 | 37,270 | 37,208,564 | ||||||||
U.S. Treasury Bills | 2.039% | 01/16/20 | 4,269 | 4,260,689 | ||||||||
U.S. Treasury Bills | 2.082% | 01/23/20 | 6,908 | 6,892,458 | ||||||||
U.S. Treasury Bills | 1.947% | 01/30/20 | 29,368 | 29,292,227 | ||||||||
U.S. Treasury Bills | 1.938% | 02/06/20 | 17,772 | 17,721,335 | ||||||||
U.S. Treasury Bills | 1.891% | 02/13/20 | 31,484 | 31,385,363 | ||||||||
U.S. Treasury Bills | 1.877% | 02/20/20 | 13,110 | 13,064,771 | ||||||||
U.S. Treasury Bills | 1.871% | 02/27/20 | 58,242 | 58,023,836 | ||||||||
U.S. Treasury Bills | 1.859% | 03/05/20 | 4,412 | 4,394,057 | ||||||||
U.S. Treasury Bills | 1.854% | 03/12/20 | 1,842 | 1,833,964 | ||||||||
U.S. Treasury Bills | 1.891% | 03/19/20 | 18,635 | 18,548,879 | ||||||||
U.S. Treasury Bills | 1.854% | 03/26/20 | 8,497 | 8,454,792 | ||||||||
U.S. Treasury Bills | 1.664% | 04/02/20 | 53,795 | 53,512,882 | ||||||||
U.S. Treasury Bills | 1.629% | 04/09/20 | 4,662 | 4,635,918 | ||||||||
U.S. Treasury Bills | 1.607% | 04/16/20 | 11,008 | 10,943,739 | ||||||||
U.S. Treasury Bills | 1.627% | 04/23/20 | 20,573 | 20,445,822 | ||||||||
U.S. Treasury Bills | 1.542% | 04/30/20 | 45,936 | 45,638,659 | ||||||||
U.S. Treasury Bills | 1.553% | 05/07/20 | 46,378 | 46,063,991 | ||||||||
U.S. Treasury Bills | 1.558% | 05/14/20 | 59,636 | 59,211,509 | ||||||||
U.S. Treasury Bills | 1.568% | 05/21/20 | 11,960 | 11,871,802 | ||||||||
570,718,531 | ||||||||||||
TOTAL SHORT-TERM INVESTMENTS | ||||||||||||
(Cost $570,545,033) | 570,718,531 | |||||||||||
TOTAL PURCHASED OPTIONS - 0.0%** | ||||||||||||
(Cost $787,129) | 64,281 | |||||||||||
TOTAL INVESTMENTS - 81.2% | ||||||||||||
(Cost $571,332,162) | 570,782,812 | |||||||||||
OTHER ASSETS IN EXCESS OF LIABILITIES - 18.8% | 132,008,021 | |||||||||||
NET ASSETS - 100.0% | $ | 702,790,833 |
* | Short-term investments' coupon reflect the annualized effective yield on the date of purchase for discounted investments. |
** | See page 8 for detailed information regarding the Purchased Options. |
The accompanying notes are an integral part of the consolidated portfolio of investments.
1
ABBEY CAPITAL FUTURES STRATEGY FUND
CONSOLIDATED PORTFOLIO OF INVESTMENTS (CONTINUED)
NOVEMBER 30, 2019 (UNAUDITED)
Futures contracts outstanding as of November 30, 2019 were as follows:
LONG CONTRACTS | EXPIRATION DATE | NUMBER OF CONTRACTS | NOTIONAL AMOUNT | VALUE AND UNREALIZED APPRECIATION/ (DEPRECIATION) | ||||||||
10-Year Mini Japanese Government Bond Futures | Dec-19 | 11 | $ | 1,005,301 | $ | (10,528 | ) | |||||
3-Month Euro Euribor | Mar-21 | 62 | 17,077,820 | (19,116 | ) | |||||||
3-Month Euro Euribor | Jun-21 | 2 | 550,897 | (578 | ) | |||||||
3-Month Euro Euribor | Sep-21 | 4 | 1,101,795 | (55 | ) | |||||||
3-Month Euro Euribor | Dec-21 | 3 | 826,346 | (317 | ) | |||||||
3-Month Euro Euribor | Mar-22 | 6 | 1,652,692 | (2,107 | ) | |||||||
3-Month Euro Euribor | Jun-22 | 7 | 1,928,141 | (1,859 | ) | |||||||
3-Month Euro Euribor | Sep-22 | 3 | 826,346 | (124 | ) | |||||||
3-Month Euro Euribor | Mar-23 | 1 | 275,449 | - | ||||||||
90-DAY Bank Bill | Mar-20 | 117 | 79,138,540 | (1,413 | ) | |||||||
90-DAY Bank Bill | Jun-20 | 638 | 431,541,781 | 31,915 | ||||||||
90-DAY Bank Bill | Sep-20 | 107 | 72,374,562 | 9,974 | ||||||||
90-DAY Bank Bill | Dec-20 | 68 | 45,995,049 | 5,651 | ||||||||
90-DAY Bank Bill | Mar-21 | 49 | 33,143,491 | 2,609 | ||||||||
90-DAY Bank Bill | Jun-21 | 34 | 22,997,524 | 2,160 | ||||||||
90-DAY Eurodollar Futures | Jun-20 | 505 | 126,250,000 | (42,700 | ) | |||||||
90-DAY Eurodollar Futures | Sep-20 | 215 | 53,750,000 | (26,313 | ) | |||||||
90-DAY Eurodollar Futures | Dec-20 | 532 | 133,000,000 | (10,250 | ) | |||||||
90-DAY Eurodollar Futures | Jun-21 | 31 | 7,750,000 | (4,325 | ) | |||||||
90-DAY Eurodollar Futures | Sep-21 | 256 | 64,000,000 | (21,825 | ) | |||||||
90-DAY Eurodollar Futures | Dec-21 | 31 | 7,750,000 | (3,700 | ) | |||||||
90-DAY Eurodollar Futures | Mar-22 | 30 | 7,500,000 | (2,638 | ) | |||||||
90-DAY Eurodollar Futures | Jun-22 | 2 | 500,000 | (813 | ) | |||||||
90-DAY Eurodollar Futures | Sep-22 | 215 | 53,750,000 | (33,813 | ) | |||||||
90-DAY Eurodollar Futures | Dec-22 | 6 | 1,500,000 | (388 | ) | |||||||
90-DAY Eurodollar Futures | Mar-23 | 2 | 500,000 | (700 | ) | |||||||
90-DAY Eurodollar Futures | Jun-23 | 2 | 500,000 | (113 | ) | |||||||
90-DAY Eurodollar Futures | Dec-23 | 2 | 500,000 | (25 | ) | |||||||
90-DAY Eurodollar Futures | Mar-24 | 2 | 500,000 | (300 | ) | |||||||
90-DAY Sterling Futures | Jun-20 | 662 | 107,019,994 | 259 | ||||||||
90-DAY Sterling Futures | Sep-20 | 860 | 139,028,996 | (166,503 | ) | |||||||
90-DAY Sterling Futures | Dec-20 | 453 | 73,232,715 | (45,144 | ) | |||||||
90-DAY Sterling Futures | Mar-21 | 493 | 79,699,180 | (120,155 | ) | |||||||
90-DAY Sterling Futures | Jun-21 | 82 | 13,256,253 | (12,270 | ) | |||||||
90-DAY Sterling Futures | Dec-21 | 60 | 9,699,697 | (9,190 | ) | |||||||
90-DAY Sterling Futures | Mar-22 | 51 | 8,244,743 | (10,120 | ) | |||||||
90-DAY Sterling Futures | Jun-22 | 5 | 808,308 | (1,075 | ) | |||||||
Amsterdam Index Futures | Dec-19 | 136 | 17,898,278 | 25,458 | ||||||||
Australian 10-Year Bond Futures | Dec-19 | 243 | 16,436,466 | 159,960 | ||||||||
Australian 3-Year Bond Futures | Dec-19 | 1,179 | 79,747,298 | 29,932 | ||||||||
Bank Acceptance Futures | Sep-20 | 33 | 6,210,946 | (4,959 | ) | |||||||
Bank Acceptance Futures | Dec-20 | 37 | 6,963,788 | (3,642 | ) | |||||||
Bank Acceptance Futures | Mar-21 | 19 | 3,575,999 | (1,092 | ) | |||||||
Bank Acceptance Futures | Jun-21 | 11 | 2,070,315 | (1,110 | ) | |||||||
Bank Acceptance Futures | Sep-21 | 7 | 1,317,473 | (245 | ) | |||||||
Brent Crude Futures | Feb-20 | 74 | 4,476,260 | (110,890 | ) | |||||||
Brent Crude Futures | Mar-20 | 5 | 299,250 | (9,610 | ) | |||||||
Brent Crude Futures | Apr-20 | 1 | 59,350 | (880 | ) | |||||||
Brent Crude Oil Last Day | Feb-20 | 2 | 120,980 | (4,670 | ) | |||||||
CAC40 10 Euro Futures | Dec-19 | 562 | 36,527,121 | (5,430 | ) | |||||||
Canadian 10-Year Bond Futures | Dec-19 | 2 | 150,568 | 256 | ||||||||
Canadian 10-Year Bond Futures | Mar-20 | 240 | 18,068,207 | 12,475 | ||||||||
Cocoa Futures | Mar-20 | 58 | 1,489,440 | (24,890 | ) | |||||||
Cocoa Futures | May-20 | 42 | 1,086,960 | (11,810 | ) | |||||||
Cocoa Futures ICE | Mar-20 | 46 | 1,119,035 | (7,023 | ) | |||||||
Cocoa Futures ICE | May-20 | 1 | 24,016 | (556 | ) | |||||||
Cocoa Futures ICE | Jul-20 | 1 | 23,797 | (543 | ) | |||||||
Coffee 'C' Futures | May-20 | 5 | 227,344 | 6,338 | ||||||||
Coffee 'C' Futures | Jul-20 | 3 | 138,544 | 1,313 | ||||||||
Copper Futures | Mar-20 | 58 | 3,859,175 | (16,906 | ) | |||||||
DAX Index Futures | Dec-19 | 152 | 55,460,716 | 1,995,433 | ||||||||
DAX-Mini Futures | Dec-19 | 3 | 218,924 | 273 | ||||||||
DJIA Mini E-CBOT | Dec-19 | 247 | 34,670,155 | 556,805 | ||||||||
Dollar Index | Dec-19 | 228 | 22,800,000 | (19,220 | ) | |||||||
E-Mini Crude Oil | Jan-20 | 3 | 82,755 | (4,608 | ) | |||||||
Euro BUXL 30-Year Bond Futures | Dec-19 | 12 | 1,322,154 | (27,060 | ) | |||||||
Euro BUXL 30-Year Bond Futures | Mar-20 | 1 | 110,179 | (132 | ) | |||||||
Euro STOXX 50 | Dec-19 | 873 | 35,608,312 | 1,346,889 | ||||||||
Euro-BTP Futures | Dec-19 | 93 | 10,246,692 | (310,871 | ) | |||||||
Euro-Bund Futures | Dec-19 | 71 | 7,822,743 | (185,399 | ) | |||||||
Euro-Bund Futures | Mar-20 | 7 | 771,256 | (1,366 | ) | |||||||
Euro-Oat Futures | Dec-19 | 169 | 18,620,333 | (525,611 | ) | |||||||
Euro-Oat Futures | Mar-20 | 2 | 220,359 | (441 | ) | |||||||
Euro-Schatz Futures | Dec-19 | 397 | 43,741,255 | (260,128 | ) | |||||||
FTSE 100 Index Futures | Dec-19 | 553 | 52,673,819 | 285,074 | ||||||||
FTSE China A50 Index | Dec-19 | 43 | 583,940 | (11,556 | ) | |||||||
FTSE/MIB Index Futures | Dec-19 | 77 | 9,872,197 | 332,197 | ||||||||
Gasoline RBOB Futures | Jan-20 | 31 | 2,071,482 | 327,908 | ||||||||
Gasoline RBOB Futures | Feb-20 | 3 | 200,945 | (2,839 | ) | |||||||
Gasoline RBOB Futures | Mar-20 | 2 | 134,744 | (1,915 | ) | |||||||
Gasoline RBOB Futures | Apr-20 | 1 | 74,294 | (1,201 | ) | |||||||
GBP Currency Futures | Dec-19 | 248 | 20,046,041 | 89,706 | ||||||||
Gold 100 Oz Futures | Feb-20 | 31 | 4,565,370 | 19,990 | ||||||||
Gold 100 Oz Futures | Apr-20 | 1 | 147,810 | 940 | ||||||||
Hang Seng China Enterprises Index Futures | Dec-19 | 6 | 394,688 | (13,624 | ) | |||||||
IBEX 35 Index Futures | Dec-19 | 34 | 3,493,278 | 61,344 | ||||||||
INR/USD Futures | Dec-19 | 1 | 27,879 | (26 | ) | |||||||
JPN 10-Year Bond (Osaka Securities Exchange) | Dec-19 | 12 | 10,966,916 | (334,582 | ) | |||||||
Live Cattle Futures | Feb-20 | 84 | 4,240,320 | 95,370 | ||||||||
Live Cattle Futures | Apr-20 | 57 | 2,881,352 | 23,000 |
The accompanying notes are an integral part of the consolidated portfolio of investments.
2
ABBEY CAPITAL FUTURES STRATEGY FUND
CONSOLIDATED PORTFOLIO OF INVESTMENTS (CONTINUED)
NOVEMBER 30, 2019 (UNAUDITED)
LONG CONTRACTS | EXPIRATION DATE | NUMBER OF CONTRACTS | NOTIONAL AMOUNT | VALUE AND UNREALIZED APPRECIATION/ (DEPRECIATION) | ||||||||
Live Cattle Futures | Jun-20 | 16 | 753,440 | (260 | ) | |||||||
Live Cattle Futures | Aug-20 | 2 | 92,280 | 430 | ||||||||
LME Aluminum Forward | Dec-19 | 1,122 | 49,929,000 | (196,463 | ) | |||||||
LME Copper Forward | Dec-19 | 382 | 55,898,538 | 157,272 | ||||||||
LME Copper Forward | Jan-20 | 2 | 292,938 | (18,202 | ) | |||||||
LME Lead Forward | Dec-19 | 6 | 289,350 | (38,142 | ) | |||||||
LME Nickel Forward | Dec-19 | 107 | 8,749,176 | (2,043,885 | ) | |||||||
LME Nickel Forward | Jan-20 | 2 | 163,788 | (33,168 | ) | |||||||
LME Zinc Forward | Dec-19 | 91 | 5,223,400 | (462,098 | ) | |||||||
Long Gilt Futures | Dec-19 | 11 | 1,422,622 | 8,678 | ||||||||
Long Gilt Futures | Mar-20 | 41 | 5,302,501 | 190,360 | ||||||||
Low Sulphur Gasoil G Futures | Feb-20 | 1 | 57,125 | (550 | ) | |||||||
Lumber Futures | Jan-20 | 1 | 45,826 | 1,111 | ||||||||
MDAX Index Futures | Dec-19 | 1 | 151,276 | 810 | ||||||||
Milk Futures | Dec-19 | 6 | 231,600 | 9,340 | ||||||||
Mill Wheat Euro | Mar-20 | 2 | 20,466 | 386 | ||||||||
Mini FTSE/MIB Pound Futures | Dec-19 | 2 | 51,284 | (506 | ) | |||||||
Mini H-Shares Index Futures | Dec-19 | 4 | 52,625 | (1,773 | ) | |||||||
Mini TOPIX Index Futures | Dec-19 | 5 | 77,545 | (55 | ) | |||||||
MSCI EAFE Index Futures | Dec-19 | 50 | 4,943,250 | 12,205 | ||||||||
MSCI Emerging Markets Index Futures | Dec-19 | 35 | 1,816,500 | (36,685 | ) | |||||||
MSCI Singapore Exchange ETS | Dec-19 | 124 | 3,339,368 | (29,519 | ) | |||||||
MSCI Taiwan Index | Dec-19 | 109 | 4,741,500 | (66,825 | ) | |||||||
MXN Currency Futures | Dec-19 | 524 | 13,386,128 | (42,025 | ) | |||||||
Nasdaq 100 E-Mini | Dec-19 | 449 | 75,589,150 | 1,680,841 | ||||||||
Nikkei 225 (Chicago Mercantile Exchange) | Dec-19 | 20 | 2,333,000 | 41,625 | ||||||||
Nikkei 225 (Osaka Securities Exchange) | Dec-19 | 93 | 19,795,010 | 899,470 | ||||||||
Nikkei 225 (Singapore Exchange) | Dec-19 | 204 | 21,724,639 | 82,412 | ||||||||
Nikkei 225 Mini | Dec-19 | 392 | 8,343,703 | 189,668 | ||||||||
Nikkei/Yen Futures | Dec-19 | 5 | 533,038 | (548 | ) | |||||||
NY Harbor Ultra-Low Sulfur Diesel Futures | Feb-20 | 2 | 157,592 | (5,897 | ) | |||||||
NY Harbor Ultra-Low Sulfur Diesel Futures | Mar-20 | 1 | 78,368 | (470 | ) | |||||||
NY Harbor Ultra-Low Sulfur Diesel Futures | Apr-20 | 1 | 77,700 | (2,944 | ) | |||||||
NY Harbor Ultra-Low Sulfur Diesel Futures | Dec-20 | 1 | 76,805 | (2,776 | ) | |||||||
OMX Stockholm 30 Index Futures | Dec-19 | 732 | 13,225,738 | (259,328 | ) | |||||||
Palladium Futures | Mar-20 | 2 | 362,020 | 7,390 | ||||||||
Palm Oil Futures | Jan-20 | 1 | 16,294 | 18 | ||||||||
Palm Oil Futures | Feb-20 | 9 | 147,827 | 6,477 | ||||||||
Palm Oil Futures | Apr-20 | 1 | 16,359 | 575 | ||||||||
Platinum Futures | Jan-20 | 15 | 675,300 | (28,885 | ) | |||||||
Rapeseed Euro | Feb-20 | 12 | 257,655 | (537 | ) | |||||||
Rough Rice Futures | Jan-20 | 1 | 24,960 | 360 | ||||||||
Russell 2000 E-Mini | Dec-19 | 151 | 12,259,690 | 304,675 | ||||||||
S&P 500 E-Mini Futures | Dec-19 | 557 | 87,552,045 | 1,452,926 | ||||||||
S&P Mid 400 E-Mini | Dec-19 | 38 | 7,638,000 | 112,750 | ||||||||
S&P/TSX 60 IX Futures | Dec-19 | 146 | 22,372,085 | 409,931 | ||||||||
SGX Iron Ore 62% Futures | Dec-19 | 4 | 34,480 | 614 | ||||||||
SGX Nifty 50 | Dec-19 | 70 | 1,694,140 | (9,682 | ) | |||||||
Short BTP Future | Dec-19 | 108 | 11,899,384 | (35,423 | ) | |||||||
Silver Futures | Mar-20 | 73 | 6,243,700 | (34,700 | ) | |||||||
Soybean Oil Futures | Mar-20 | 10 | 185,100 | (2,226 | ) | |||||||
SPI 200 Futures | Dec-19 | 98 | 11,361,589 | 226,796 | ||||||||
STOXX Europe 600 Index | Dec-19 | 10 | 224,491 | 634 | ||||||||
Topix Index Futures | Dec-19 | 141 | 21,867,757 | 438,905 | ||||||||
U.S. Treasury 10-Year Notes (Chicago Board of Trade) | Dec-19 | 12 | 1,211,303 | (688 | ) | |||||||
U.S. Treasury 10-Year Notes (Chicago Board of Trade) | Mar-20 | 799 | 81,373,864 | (147,735 | ) | |||||||
U.S. Treasury 2-Year Notes (Chicago Board of Trade) | Dec-19 | 28 | 5,703,489 | (4,594 | ) | |||||||
U.S. Treasury 2-Year Notes (Chicago Board of Trade) | Mar-20 | 72 | 14,663,822 | (12,320 | ) | |||||||
U.S. Treasury 5-Year Notes (Chicago Board of Trade) | Dec-19 | 25 | 2,574,802 | (727 | ) | |||||||
U.S. Treasury 5-Year Notes (Chicago Board of Trade) | Mar-20 | 525 | 53,364,619 | (26,094 | ) | |||||||
U.S. Treasury Long Bond (Chicago Board of Trade) | Dec-19 | 7 | 947,270 | 6,000 | ||||||||
U.S. Treasury Long Bond (Chicago Board of Trade) | Mar-20 | 253 | 34,121,884 | (93,289 | ) | |||||||
U.S. Treasury Ultra Long Bond (Chicago Board of Trade) | Dec-19 | 4 | 461,448 | 12,469 | ||||||||
U.S. Treasury Ultra Long Bond (Chicago Board of Trade) | Mar-20 | 33 | 3,804,171 | (5,711 | ) | |||||||
Ultra 10-Year U.S. Treasury Note Futures | Dec-19 | 10 | 1,050,223 | 4,297 | ||||||||
Ultra 10-Year U.S. Treasury Note Futures | Mar-20 | 12 | 1,182,353 | (7,383 | ) | |||||||
USD/NOK Futures | Dec-19 | 5 | 500,000 | 13,817 | ||||||||
USD/SEK Futures | Dec-19 | 3 | 300,000 | (3,329 | ) | |||||||
Wheat (Chicago Board of Trade) | Mar-20 | 345 | 9,345,188 | 492,027 | ||||||||
Wheat (Chicago Board of Trade) | Jul-20 | 1 | 27,138 | 988 | ||||||||
Wheat (Chicago Board of Trade) | Dec-20 | 3 | 83,475 | 988 | ||||||||
White Sugar ICE | Mar-20 | 1 | 17,245 | 90 | ||||||||
WTI Crude Futures | Jan-20 | 141 | 7,778,970 | (358,170 | ) | |||||||
WTI Crude Futures | Feb-20 | 5 | 275,700 | (10,930 | ) | |||||||
WTI Crude Futures | Mar-20 | 44 | 2,419,120 | (123,640 | ) | |||||||
WTI Crude Futures | Apr-20 | 1 | 54,740 | (1,390 | ) | |||||||
WTI Crude Futures | Dec-20 | 1 | 52,310 | (2,150 | ) | |||||||
WTI Crude Futures ICE | Jan-20 | 1 | 55,170 | (2,680 | ) | |||||||
$ | 5,582,870 |
The accompanying notes are an integral part of the consolidated portfolio of investments.
3
ABBEY CAPITAL FUTURES STRATEGY FUND
CONSOLIDATED PORTFOLIO OF INVESTMENTS (CONTINUED)
NOVEMBER 30, 2019 (UNAUDITED)
SHORT CONTRACTS | EXPIRATION DATE | NUMBER OF CONTRACTS | NOTIONAL AMOUNT | VALUE AND UNREALIZED APPRECIATION/ (DEPRECIATION) | ||||||||
1-Month SOFR Future | Dec-19 | 2 | $ | (8,334 | ) | $ | (42 | ) | ||||
3-Month Euro Euribor | Jun-20 | 432 | (118,993,841 | ) | 194,357 | |||||||
3-Month Euro Euribor | Sep-20 | 171 | (47,101,729 | ) | 82,934 | |||||||
3-Month Euro Euribor | Dec-20 | 128 | (35,257,434 | ) | 43,383 | |||||||
3-Month Euro Euribor | Dec-22 | 1 | (275,449 | ) | 69 | |||||||
90-DAY Eurodollar Futures | Mar-20 | 14 | (3,500,000 | ) | (539 | ) | ||||||
90-DAY Eurodollar Futures | Mar-21 | 99 | (24,750,000 | ) | (34,775 | ) | ||||||
90-DAY Sterling Futures | Mar-20 | 2 | (323,323 | ) | (331 | ) | ||||||
90-DAY Sterling Futures | Sep-21 | 1 | (161,662 | ) | (10,896 | ) | ||||||
90-DAY Sterling Futures | Sep-22 | 28 | (4,526,525 | ) | (946 | ) | ||||||
AUD/USD Currency Futures | Dec-19 | 938 | (63,446,111 | ) | 679,859 | |||||||
Bank Acceptance Futures | Jun-20 | 27 | (5,081,683 | ) | 790 | |||||||
Brent Crude Futures | Dec-20 | 1 | (56,930 | ) | 1,110 | |||||||
CAD Currency Futures | Dec-19 | 105 | (7,904,841 | ) | (25,331 | ) | ||||||
Canadian 10-Year Bond Futures | Dec-19 | 2 | (150,568 | ) | (98 | ) | ||||||
Canola Futures (Winnipeg Commodity Exchange) | Jan-20 | 2 | (13,750 | ) | 154 | |||||||
CHF Currency Futures | Dec-19 | 133 | (16,629,157 | ) | 52,088 | |||||||
Coffee 'C' Futures | Mar-20 | 9 | (401,794 | ) | (107,156 | ) | ||||||
Coffee Robusta Futures | Jan-20 | 2 | (27,700 | ) | (510 | ) | ||||||
Corn Futures | Mar-20 | 688 | (13,115,000 | ) | 184,325 | |||||||
Corn Futures | May-20 | 33 | (636,488 | ) | 2,025 | |||||||
Corn Futures | Jul-20 | 2 | (39,025 | ) | (13 | ) | ||||||
Corn Futures | Dec-20 | 12 | (234,600 | ) | 2,138 | |||||||
Cotton No.2 Futures | Mar-20 | 196 | (6,405,280 | ) | (95,935 | ) | ||||||
E-Mini Natural Gas Futures | Jan-20 | 1 | (5,700 | ) | 200 | |||||||
Emissions ICE | Dec-20 | 6 | (167,649 | ) | (10,731 | ) | ||||||
EUR Foreign Exchange Currency Futures | Dec-19 | 1,250 | (172,155,441 | ) | 907,985 | |||||||
Euro/CHF 3-Month Futures ICE | Mar-20 | 1 | (250,063 | ) | (100 | ) | ||||||
Euro/CHF 3-Month Futures ICE | Dec-20 | 1 | (250,063 | ) | (100 | ) | ||||||
Euro/GBP Pound Futures | Dec-19 | 1 | (137,724 | ) | 1,277 | |||||||
Euro/JPY Futures | Dec-19 | 99 | (13,634,711 | ) | (189,128 | ) | ||||||
Euro-Bobl Futures | Dec-19 | 214 | (23,578,409 | ) | (100,517 | ) | ||||||
Euro-Bobl Futures | Mar-20 | 5 | (550,897 | ) | 353 | |||||||
Euro-Schatz Futures | Mar-20 | 12 | (1,322,154 | ) | 88 | |||||||
FTSE KLCI Futures | Dec-19 | 4 | (74,967 | ) | 569 | |||||||
FTSE/JSE TOP 40 | Dec-19 | 25 | (840,586 | ) | 14,437 | |||||||
Hang Seng China Enterprises Index Futures | Dec-19 | 6 | (394,688 | ) | 12,755 | |||||||
Hang Seng Index Futures | Dec-19 | 42 | (7,064,114 | ) | 33,231 | |||||||
JPY Currency Futures | Dec-19 | 786 | (89,791,629 | ) | 522,849 | |||||||
Kansas City Hard Red Winter Wheat Futures | Mar-20 | 116 | (2,592,600 | ) | (83,889 | ) | ||||||
Kansas City Hard Red Winter Wheat Futures | May-20 | 1 | (22,750 | ) | (1,150 | ) | ||||||
Lean Hogs Futures | Feb-20 | 132 | (3,599,640 | ) | 197,440 | |||||||
Lean Hogs Futures | Apr-20 | 26 | (768,820 | ) | 38,550 | |||||||
LME Aluminum Forward | Dec-19 | 1,122 | (49,929,000 | ) | (203,990 | ) | ||||||
LME Aluminum Forward | Jan-20 | 32 | (1,410,800 | ) | (15,290 | ) | ||||||
LME Aluminum Forward | Mar-20 | 391 | (17,345,738 | ) | 118,656 | |||||||
LME Copper Forward | Dec-19 | 382 | (55,898,538 | ) | (1,050,749 | ) | ||||||
LME Copper Forward | Mar-20 | 90 | (13,201,313 | ) | 32,950 | |||||||
LME Lead Forward | Dec-19 | 6 | (289,350 | ) | 31,949 | |||||||
LME Lead Forward | Jan-20 | 2 | (96,650 | ) | (5,309 | ) | ||||||
LME Nickel Forward | Dec-19 | 107 | (8,749,176 | ) | 1,899,034 | |||||||
LME Nickel Forward | Jan-20 | 2 | (163,788 | ) | 15,579 | |||||||
LME Nickel Forward | Mar-20 | 43 | (3,529,956 | ) | (8,364 | ) | ||||||
LME Zinc Forward | Dec-19 | 91 | (5,223,400 | ) | (23,480 | ) | ||||||
LME Zinc Forward | Jan-20 | 1 | (57,125 | ) | (21,800 | ) | ||||||
LME Zinc Forward | Mar-20 | 56 | (3,174,500 | ) | 283,000 | |||||||
Long Gilt Futures | Dec-19 | 11 | (1,422,622 | ) | 2,173 | |||||||
Low Sulphur Gasoil G Futures | Jan-20 | 9 | (514,575 | ) | (11,175 | ) | ||||||
MAIZE Futures | Jan-20 | 1 | (9,145 | ) | (179 | ) | ||||||
Micro EUR/USD Futures | Dec-19 | 2 | (27,545 | ) | 158 | |||||||
Mill Wheat Euro | May-20 | 2 | (20,548 | ) | (592 | ) | ||||||
Mill Wheat Euro | Sep-20 | 1 | (9,999 | ) | (138 | ) | ||||||
Mini HSI Index Futures | Dec-19 | 7 | (235,470 | ) | 5,531 | |||||||
Natural Gas Futures | Jan-20 | 497 | (11,336,600 | ) | 1,297,068 | |||||||
Natural Gas Futures | Feb-20 | 151 | (3,415,700 | ) | 425,660 | |||||||
Natural Gas Futures | Mar-20 | 1 | (22,000 | ) | 410 | |||||||
NY Harbor Ultra-Low Sulfur Diesel Futures | Jan-20 | 78 | (6,153,966 | ) | 339,767 | |||||||
NZD Currency Futures | Dec-19 | 474 | (30,430,847 | ) | (126,575 | ) | ||||||
Red Wheat Futures (Minneapolis Grain Exchange) | Mar-20 | 4 | (102,900 | ) | 200 | |||||||
Soybean Futures | Jan-20 | 381 | (16,702,088 | ) | 403,623 | |||||||
Soybean Futures | Mar-20 | 296 | (13,190,500 | ) | 149,588 | |||||||
Soybean Futures | Nov-20 | 11 | (509,850 | ) | 11,937 | |||||||
Soybean Meal Futures | Jan-20 | 70 | (2,051,700 | ) | 67,330 | |||||||
Soybean Meal Futures | Mar-20 | 31 | (921,010 | ) | 28,880 | |||||||
Soybean Oil Futures | Jan-20 | 3 | (55,044 | ) | 1,080 | |||||||
STOXX Dividend Futures | Dec-20 | 1 | (13,618 | ) | (33 | ) | ||||||
Sugar No. 11 (World) | Mar-20 | 526 | (7,623,213 | ) | (465,837 | ) | ||||||
Sugar No. 11 (World) | May-20 | 46 | (668,730 | ) | (28,202 | ) | ||||||
U.S. Treasury 10-Year Notes (Chicago Board of Trade) | Dec-19 | 12 | (1,211,303 | ) | 5,242 | |||||||
U.S. Treasury 2-Year Notes (Chicago Board of Trade) | Dec-19 | 28 | (5,703,489 | ) | 3,063 | |||||||
U.S. Treasury 5-Year Notes (Chicago Board of Trade) | Dec-19 | 25 | (2,574,802 | ) | 4,969 | |||||||
U.S. Treasury Long Bond (Chicago Board of Trade) | Dec-19 | 7 | (947,270 | ) | 6,781 | |||||||
U.S. Treasury Ultra Long Bond (Chicago Board of Trade) | Dec-19 | 4 | (461,448 | ) | 4,500 | |||||||
Ultra 10-Year U.S. Treasury Note Futures | Dec-19 | 10 | (1,050,223 | ) | 5,937 | |||||||
White Sugar ICE | May-20 | 1 | (17,390 | ) | (130 | ) | ||||||
$ | 5,494,001 | |||||||||||
Total Futures Contracts | $ | 11,076,871 |
The accompanying notes are an integral part of the consolidated portfolio of investments.
4
ABBEY CAPITAL FUTURES STRATEGY FUND
CONSOLIDATED PORTFOLIO OF INVESTMENTS (CONTINUED)
NOVEMBER 30, 2019 (UNAUDITED)
Forward foreign currency contracts outstanding as of November 30, 2019 were as follows:
CURRENCY PURCHASED | CURRENCY SOLD | EXPIRATION DATE | COUNTERPARTY | UNREALIZED APPRECIATION/ (DEPRECIATION) | ||||||||||
AUD | 25,208,865 | USD | 17,080,290 | Dec 03 2019 | BOA | $ | (27,225 | ) | ||||||
AUD | 3,200,000 | CAD | 2,900,029 | Dec 17 2019 | BOA | (18,037 | ) | |||||||
AUD | 1,600,000 | NZD | 1,698,835 | Dec 17 2019 | BOA | (8,182 | ) | |||||||
AUD | 26,586,679 | USD | 18,205,867 | Dec 18 2019 | BOA | (212,716 | ) | |||||||
AUD | 15,540,000 | USD | 10,704,770 | Dec 19 2019 | BOA | (187,395 | ) | |||||||
AUD | 4,627,000 | USD | 3,173,229 | Dec 20 2019 | BOA | (41,609 | ) | |||||||
BRL | 18,665,355 | USD | 4,581,228 | Dec 18 2019 | BOA | (177,008 | ) | |||||||
CAD | 13,426,204 | USD | 10,106,210 | Dec 02 2019 | BOA | 1,600 | ||||||||
CAD | 12,912,564 | USD | 9,722,599 | Dec 03 2019 | BOA | (1,479 | ) | |||||||
CAD | 5,786,154 | AUD | 6,400,000 | Dec 17 2019 | BOA | 25,604 | ||||||||
CAD | 3,498,596 | EUR | 2,375,000 | Dec 17 2019 | BOA | 13,873 | ||||||||
CAD | 200,000 | USD | 150,425 | Dec 17 2019 | BOA | 170 | ||||||||
CAD | 39,775,700 | USD | 30,141,302 | Dec 18 2019 | BOA | (190,780 | ) | |||||||
CAD | 22,277,000 | USD | 16,792,166 | Dec 19 2019 | BOA | (17,644 | ) | |||||||
CAD | 48,084,000 | USD | 36,601,746 | Dec 20 2019 | BOA | (394,045 | ) | |||||||
CHF | 2,465,674 | EUR | 2,250,000 | Dec 17 2019 | BOA | (12,136 | ) | |||||||
CHF | 5,189,000 | USD | 5,255,110 | Dec 19 2019 | BOA | (55,005 | ) | |||||||
CHF | 2,156,000 | USD | 2,187,743 | Dec 20 2019 | BOA | (26,897 | ) | |||||||
CLP | 3,041,102,666 | USD | 4,102,477 | Dec 18 2019 | BOA | (314,109 | ) | |||||||
CLP | 238,335,000 | USD | 300,000 | Dec 23 2019 | BOA | (3,009 | ) | |||||||
CNH | 2,816,564 | USD | 400,000 | Dec 17 2019 | BOA | 405 | ||||||||
CNH | 21,195,414 | USD | 3,000,000 | Dec 18 2019 | BOA | 13,064 | ||||||||
CNH | 704,538 | USD | 100,000 | Mar 18 2020 | BOA | (94 | ) | |||||||
COP | 4,059,237,188 | USD | 1,200,000 | Dec 18 2019 | BOA | (47,191 | ) | |||||||
CZK | 98,999,353 | EUR | 3,850,000 | Dec 18 2019 | BOA | 24,282 | ||||||||
CZK | 87,324,789 | EUR | 3,400,000 | Mar 18 2020 | BOA | (3,094 | ) | |||||||
EUR | 125,000 | SEK | 1,319,315 | Dec 02 2019 | BOA | (41 | ) | |||||||
EUR | 125,000 | USD | 137,653 | Dec 02 2019 | BOA | 96 | ||||||||
EUR | 21,370,988 | USD | 23,546,579 | Dec 03 2019 | BOA | 5,500 | ||||||||
EUR | 1,250,000 | AUD | 2,032,393 | Dec 17 2019 | BOA | 3,771 | ||||||||
EUR | 100,000 | GBP | 85,087 | Dec 17 2019 | BOA | 208 | ||||||||
EUR | 200,000 | HUF | 66,623,100 | Dec 17 2019 | BOA | 994 | ||||||||
EUR | 1,500,000 | NOK | 15,263,993 | Dec 17 2019 | BOA | (726 | ) | |||||||
EUR | 300,000 | PLN | 1,290,956 | Dec 17 2019 | BOA | 1,311 | ||||||||
EUR | 2,000,000 | SEK | 21,421,264 | Dec 17 2019 | BOA | (32,977 | ) | |||||||
EUR | 3,850,000 | CZK | 98,660,680 | Dec 18 2019 | BOA | (9,666 | ) | |||||||
EUR | 4,800,000 | HUF | 1,596,643,987 | Dec 18 2019 | BOA | 31,598 | ||||||||
EUR | 11,900,000 | NOK | 120,146,561 | Dec 18 2019 | BOA | 98,013 | ||||||||
EUR | 1,850,000 | PLN | 8,093,009 | Dec 18 2019 | BOA | (25,458 | ) | |||||||
EUR | 8,800,000 | SEK | 95,065,721 | Dec 18 2019 | BOA | (229,932 | ) | |||||||
EUR | 26,423,688 | USD | 29,300,886 | Dec 18 2019 | BOA | (143,433 | ) | |||||||
EUR | 22,456,000 | USD | 24,778,766 | Dec 19 2019 | BOA | 2,759 | ||||||||
EUR | 16,783,000 | USD | 18,625,242 | Dec 20 2019 | BOA | (102,524 | ) | |||||||
EUR | 2,773,000 | JPY | 334,499,614 | Dec 23 2019 | BOA | (2,434 | ) | |||||||
EUR | 5,221,000 | USD | 5,801,340 | Dec 23 2019 | BOA | (37,561 | ) | |||||||
EUR | 3,900,000 | HUF | 1,303,046,231 | Mar 18 2020 | BOA | 13,068 | ||||||||
EUR | 1,200,000 | SEK | 12,637,746 | Mar 18 2020 | BOA | 4,531 | ||||||||
GBP | 85,241 | EUR | 100,000 | Dec 03 2019 | BOA | 47 | ||||||||
GBP | 8,953,607 | USD | 11,557,916 | Dec 03 2019 | BOA | 22,962 | ||||||||
GBP | 8,676,326 | USD | 11,218,785 | Dec 04 2019 | BOA | 3,750 | ||||||||
GBP | 2,927,828 | EUR | 3,430,800 | Dec 06 2019 | BOA | 5,628 | ||||||||
GBP | 1,000,000 | AUD | 1,894,902 | Dec 17 2019 | BOA | 11,929 | ||||||||
GBP | 125,000 | CHF | 159,948 | Dec 17 2019 | BOA | 1,533 | ||||||||
GBP | 772,241 | EUR | 900,000 | Dec 17 2019 | BOA | 6,495 | ||||||||
GBP | 62,500 | USD | 80,711 | Dec 17 2019 | BOA | 183 | ||||||||
GBP | 16,861,150 | USD | 21,344,437 | Dec 18 2019 | BOA | 480,274 | ||||||||
GBP | 6,174,000 | USD | 7,759,733 | Dec 19 2019 | BOA | 232,194 | ||||||||
GBP | 23,394,000 | USD | 29,777,434 | Dec 20 2019 | BOA | 506,547 | ||||||||
GBP | 3,802,000 | USD | 4,922,484 | Dec 23 2019 | BOA | 80 | ||||||||
HUF | 1,599,794,209 | EUR | 4,800,000 | Dec 18 2019 | BOA | (21,210 | ) | |||||||
HUF | 1,279,932,526 | USD | 4,281,140 | Dec 18 2019 | BOA | (60,506 | ) | |||||||
HUF | 795,500,000 | USD | 2,644,381 | Dec 19 2019 | BOA | (21,010 | ) | |||||||
ILS | 3,116,457 | USD | 900,000 | Dec 17 2019 | BOA | (2,242 | ) | |||||||
ILS | 19,493,669 | USD | 5,600,000 | Dec 18 2019 | BOA | 15,842 | ||||||||
ILS | 13,113,629 | USD | 3,800,000 | Mar 18 2020 | BOA | (2,183 | ) | |||||||
INR | 1,012,203,396 | USD | 14,039,795 | Dec 18 2019 | BOA | 46,038 | ||||||||
INR | 107,551,950 | USD | 1,500,000 | Dec 23 2019 | BOA | (4,019 | ) | |||||||
INR | 39,803,213 | USD | 550,000 | Mar 18 2020 | BOA | (965 | ) | |||||||
JPY | 27,365,854 | CHF | 250,000 | Dec 03 2019 | BOA | 15 | ||||||||
JPY | 2,660,212,872 | USD | 24,296,460 | Dec 03 2019 | BOA | 20,258 | ||||||||
JPY | 88,523,280 | AUD | 1,200,000 | Dec 17 2019 | BOA | (1,837 | ) | |||||||
JPY | 48,851,880 | CAD | 600,000 | Dec 17 2019 | BOA | (4,636 | ) | |||||||
JPY | 218,893,600 | CHF | 2,000,000 | Dec 17 2019 | BOA | (286 | ) | |||||||
JPY | 107,946,720 | EUR | 900,000 | Dec 17 2019 | BOA | (4,971 | ) | |||||||
JPY | 69,891,550 | GBP | 500,000 | Dec 17 2019 | BOA | (7,427 | ) | |||||||
JPY | 97,272,140 | NZD | 1,400,000 | Dec 17 2019 | BOA | (8,729 | ) | |||||||
JPY | 112,500,000 | USD | 1,039,087 | Dec 17 2019 | BOA | (9,358 | ) |
The accompanying notes are an integral part of the consolidated portfolio of investments.
5
ABBEY CAPITAL FUTURES STRATEGY FUND
CONSOLIDATED PORTFOLIO OF INVESTMENTS (CONTINUED)
NOVEMBER 30, 2019 (UNAUDITED)
CURRENCY PURCHASED | CURRENCY SOLD | EXPIRATION DATE | COUNTERPARTY | UNREALIZED APPRECIATION/ (DEPRECIATION) | ||||||||||
JPY | 1,444,875,043 | USD | 13,514,214 | Dec 18 2019 | BOA | (287,630 | ) | |||||||
JPY | 2,286,662,000 | USD | 21,240,566 | Dec 19 2019 | BOA | (305,878 | ) | |||||||
JPY | 2,524,110,000 | USD | 23,433,423 | Dec 20 2019 | BOA | (322,361 | ) | |||||||
JPY | 502,618,000 | USD | 4,636,278 | Dec 23 2019 | BOA | (32,748 | ) | |||||||
KRW | 7,920,201,203 | USD | 6,717,802 | Dec 18 2019 | BOA | (8,904 | ) | |||||||
KRW | 1,640,506,000 | USD | 1,400,000 | Dec 23 2019 | BOA | (10,175 | ) | |||||||
MXN | 13,500,000 | USD | 691,546 | Dec 17 2019 | BOA | (3,501 | ) | |||||||
MXN | 212,484,677 | USD | 10,762,566 | Dec 18 2019 | BOA | 65,511 | ||||||||
MXN | 412,850,000 | USD | 21,147,135 | Dec 19 2019 | BOA | (111,451 | ) | |||||||
MXN | 93,441,000 | USD | 4,743,434 | Dec 20 2019 | BOA | 16,955 | ||||||||
NOK | 3,257,993 | USD | 353,703 | Dec 03 2019 | BOA | (366 | ) | |||||||
NOK | 32,675,446 | EUR | 3,250,000 | Dec 18 2019 | BOA | (41,704 | ) | |||||||
NOK | 71,749,814 | USD | 7,914,549 | Dec 18 2019 | BOA | (131,339 | ) | |||||||
NOK | 68,480,000 | USD | 7,589,496 | Dec 19 2019 | BOA | (160,853 | ) | |||||||
NZD | 14,403,997 | AUD | 13,562,000 | Dec 06 2019 | BOA | 73,405 | ||||||||
NZD | 5,082,110 | AUD | 4,800,000 | Dec 17 2019 | BOA | 15,301 | ||||||||
NZD | 17,028,631 | USD | 10,838,099 | Dec 18 2019 | BOA | 97,815 | ||||||||
NZD | 18,888,000 | USD | 12,109,963 | Dec 19 2019 | BOA | 20,261 | ||||||||
NZD | 1,821,000 | USD | 1,162,297 | Dec 20 2019 | BOA | 7,203 | ||||||||
PHP | 216,181,888 | USD | 4,200,000 | Dec 18 2019 | BOA | 52,375 | ||||||||
PHP | 201,229,705 | USD | 3,950,000 | Mar 18 2020 | BOA | (5,071 | ) | |||||||
PLN | 429,831 | EUR | 100,000 | Dec 17 2019 | BOA | (561 | ) | |||||||
PLN | 19,791,210 | EUR | 4,600,000 | Dec 18 2019 | BOA | (21,475 | ) | |||||||
PLN | 49,179,931 | USD | 12,651,878 | Dec 18 2019 | BOA | (91,918 | ) | |||||||
PLN | 183,490,000 | USD | 46,756,161 | Dec 19 2019 | BOA | 104,675 | ||||||||
RUB | 6,406,010 | USD | 100,000 | Dec 17 2019 | BOA | (673 | ) | |||||||
RUB | 509,198,235 | USD | 7,850,000 | Dec 18 2019 | BOA | 43,868 | ||||||||
SEK | 1,314,804 | EUR | 125,000 | Dec 02 2019 | BOA | (430 | ) | |||||||
SEK | 4,511 | USD | 473 | Dec 02 2019 | BOA | (1 | ) | |||||||
SEK | 3,871,728 | USD | 405,314 | Dec 03 2019 | BOA | (928 | ) | |||||||
SEK | 79,492,011 | EUR | 7,504,000 | Dec 06 2019 | BOA | 32,575 | ||||||||
SEK | 14,752,822 | NOK | 14,000,000 | Dec 17 2019 | BOA | 23,825 | ||||||||
SEK | 93,592,469 | EUR | 8,800,000 | Dec 18 2019 | BOA | 75,884 | ||||||||
SEK | 73,042,527 | USD | 7,585,605 | Dec 18 2019 | BOA | 51,951 | ||||||||
SEK | 210,519,000 | USD | 21,551,747 | Dec 19 2019 | BOA | 462,553 | ||||||||
SEK | 5,263,813 | EUR | 500,000 | Mar 18 2020 | BOA | (2,089 | ) | |||||||
SGD | 408,433 | USD | 300,000 | Dec 17 2019 | BOA | (1,308 | ) | |||||||
SGD | 7,920,238 | USD | 5,789,860 | Dec 18 2019 | BOA | 2,380 | ||||||||
SGD | 1,226,706 | USD | 900,000 | Mar 18 2020 | BOA | (1,930 | ) | |||||||
THB | 140,022,790 | USD | 4,600,000 | Dec 18 2019 | BOA | 35,701 | ||||||||
TRY | 37,662,042 | USD | 6,400,000 | Dec 18 2019 | BOA | 115,982 | ||||||||
TRY | 85,125,000 | USD | 14,532,446 | Dec 19 2019 | BOA | 191,430 | ||||||||
TWD | 103,579,355 | USD | 3,392,147 | Dec 18 2019 | BOA | 5,677 | ||||||||
TWD | 18,252,567 | USD | 600,000 | Dec 23 2019 | BOA | (1,089 | ) | |||||||
TWD | 18,265,800 | USD | 600,000 | Dec 27 2019 | BOA | (533 | ) | |||||||
TWD | 18,187,291 | USD | 600,000 | Mar 18 2020 | BOA | (859 | ) | |||||||
USD | 17,067,150 | AUD | 25,208,865 | Dec 03 2019 | BOA | 14,084 | ||||||||
USD | 1,460,723 | AUD | 2,159,185 | Dec 04 2019 | BOA | 58 | ||||||||
USD | 1,499,309 | AUD | 2,200,000 | Dec 17 2019 | BOA | 10,453 | ||||||||
USD | 26,751,319 | AUD | 39,219,988 | Dec 18 2019 | BOA | 208,284 | ||||||||
USD | 17,899,921 | AUD | 26,454,000 | Dec 19 2019 | BOA | (3,981 | ) | |||||||
USD | 17,596,704 | AUD | 25,629,000 | Dec 20 2019 | BOA | 250,628 | ||||||||
USD | 2,247,044 | AUD | 3,304,000 | Dec 23 2019 | BOA | 10,645 | ||||||||
USD | 7,227,443 | BRL | 30,111,578 | Dec 18 2019 | BOA | 122,407 | ||||||||
USD | 10,109,227 | CAD | 13,426,204 | Dec 02 2019 | BOA | 1,417 | ||||||||
USD | 2,108,591 | CAD | 2,800,000 | Dec 17 2019 | BOA | 265 | ||||||||
USD | 32,952,322 | CAD | 43,663,952 | Dec 18 2019 | BOA | 74,002 | ||||||||
USD | 16,953,730 | CAD | 22,420,000 | Dec 19 2019 | BOA | 71,529 | ||||||||
USD | 38,498,150 | CAD | 51,169,000 | Dec 20 2019 | BOA | (32,584 | ) | |||||||
USD | 4,853,134 | CAD | 6,446,000 | Dec 23 2019 | BOA | (996 | ) | |||||||
USD | 1,872,008 | CHF | 1,875,000 | Dec 03 2019 | BOA | (3,992 | ) | |||||||
USD | 126,390 | CHF | 125,000 | Dec 17 2019 | BOA | 1,149 | ||||||||
USD | 21,980,757 | CHF | 21,744,000 | Dec 19 2019 | BOA | 190,225 | ||||||||
USD | 13,179,667 | CHF | 12,985,000 | Dec 20 2019 | BOA | 165,484 | ||||||||
USD | 5,644,826 | CHF | 5,601,000 | Dec 23 2019 | BOA | 29,433 | ||||||||
USD | 6,398,190 | CLP | 4,648,670,845 | Dec 18 2019 | BOA | 607,241 | ||||||||
USD | 300,000 | CLP | 233,697,339 | Dec 23 2019 | BOA | 8,788 | ||||||||
USD | 300,000 | CLP | 238,326,000 | Dec 30 2019 | BOA | 2,901 | ||||||||
USD | 1,800,000 | CNH | 12,681,828 | Dec 17 2019 | BOA | (2,857 | ) | |||||||
USD | 3,000,000 | CNH | 21,429,606 | Dec 18 2019 | BOA | (46,356 | ) | |||||||
USD | 1,650,000 | CNH | 11,640,585 | Mar 18 2020 | BOA | (677 | ) | |||||||
USD | 5,350,000 | COP | 18,525,699,888 | Dec 18 2019 | BOA | 88,766 | ||||||||
USD | 137,531 | EUR | 125,000 | Dec 02 2019 | BOA | (218 | ) | |||||||
USD | 23,521,025 | EUR | 21,370,988 | Dec 03 2019 | BOA | (31,054 | ) | |||||||
USD | 22,228,866 | EUR | 20,173,874 | Dec 04 2019 | BOA | (5,254 | ) | |||||||
USD | 2,492,412 | EUR | 2,250,000 | Dec 17 2019 | BOA | 9,855 | ||||||||
USD | 59,252,218 | EUR | 53,367,596 | Dec 18 2019 | BOA | 363,270 | ||||||||
USD | 72,247,413 | EUR | 64,987,000 | Dec 19 2019 | BOA | 530,412 | ||||||||
USD | 55,144,826 | EUR | 49,728,000 | Dec 20 2019 | BOA | 262,044 | ||||||||
USD | 10,415,508 | EUR | 9,431,000 | Dec 23 2019 | BOA | 4,055 |
The accompanying notes are an integral part of the consolidated portfolio of investments.
6
ABBEY CAPITAL FUTURES STRATEGY FUND
CONSOLIDATED PORTFOLIO OF INVESTMENTS (CONTINUED)
NOVEMBER 30, 2019 (UNAUDITED)
CURRENCY PURCHASED | CURRENCY SOLD | EXPIRATION DATE | COUNTERPARTY | UNREALIZED APPRECIATION/ (DEPRECIATION) | ||||||||||
USD | 11,576,396 | GBP | 8,953,607 | Dec 03 2019 | BOA | (4,482 | ) | |||||||
USD | 21,614,634 | GBP | 17,387,137 | Dec 18 2019 | BOA | (890,903 | ) | |||||||
USD | 9,775,726 | GBP | 7,823,000 | Dec 19 2019 | BOA | (350,747 | ) | |||||||
USD | 31,971,012 | GBP | 25,696,000 | Dec 20 2019 | BOA | (1,292,952 | ) | |||||||
USD | 4,901,383 | GBP | 3,802,000 | Dec 23 2019 | BOA | (21,181 | ) | |||||||
USD | 1,900,000 | HUF | 571,198,520 | Dec 17 2019 | BOA | 16,573 | ||||||||
USD | 4,252,754 | HUF | 1,274,559,806 | Dec 18 2019 | BOA | 49,836 | ||||||||
USD | 129,367 | HUF | 39,000,000 | Dec 19 2019 | BOA | 754 | ||||||||
USD | 5,600,000 | ILS | 19,508,961 | Dec 18 2019 | BOA | (20,247 | ) | |||||||
USD | 6,448,879 | INR | 464,638,193 | Dec 18 2019 | BOA | (17,031 | ) | |||||||
USD | 1,500,000 | INR | 108,158,454 | Dec 23 2019 | BOA | (4,417 | ) | |||||||
USD | 2,100,000 | INR | 150,609,786 | Dec 31 2019 | BOA | 6,700 | ||||||||
USD | 24,278,905 | JPY | 2,660,212,872 | Dec 03 2019 | BOA | (37,813 | ) | |||||||
USD | 16,660,585 | JPY | 1,823,584,300 | Dec 04 2019 | BOA | (9,421 | ) | |||||||
USD | 23,960,641 | JPY | 2,580,897,853 | Dec 18 2019 | BOA | 334,748 | ||||||||
USD | 52,615,651 | JPY | 5,678,962,000 | Dec 19 2019 | BOA | 624,015 | ||||||||
USD | 50,468,168 | JPY | 5,459,837,000 | Dec 20 2019 | BOA | 477,228 | ||||||||
USD | 13,698,990 | JPY | 1,489,680,000 | Dec 23 2019 | BOA | 54,856 | ||||||||
USD | 9,924,929 | KRW | 11,830,076,792 | Dec 18 2019 | BOA | (95,874 | ) | |||||||
USD | 1,400,000 | KRW | 1,636,715,946 | Dec 23 2019 | BOA | 13,386 | ||||||||
USD | 1,400,000 | KRW | 1,640,520,000 | Dec 27 2019 | BOA | 9,992 | ||||||||
USD | 850,000 | KRW | 998,056,878 | Mar 18 2020 | BOA | 2,685 | ||||||||
USD | 460,779 | MXN | 9,000,000 | Dec 17 2019 | BOA | 2,082 | ||||||||
USD | 4,053,169 | MXN | 79,678,440 | Dec 18 2019 | BOA | (7,191 | ) | |||||||
USD | 5,503,134 | MXN | 109,260,000 | Dec 19 2019 | BOA | (63,922 | ) | |||||||
USD | 471,129 | MXN | 9,249,000 | Dec 20 2019 | BOA | (65 | ) | |||||||
USD | 354,752 | NOK | 3,257,993 | Dec 03 2019 | BOA | 1,415 | ||||||||
USD | 1,700,000 | NOK | 15,612,258 | Dec 17 2019 | BOA | 6,458 | ||||||||
USD | 5,481,287 | NOK | 49,723,887 | Dec 18 2019 | BOA | 87,385 | ||||||||
USD | 5,623,755 | NOK | 51,500,000 | Dec 19 2019 | BOA | 37,086 | ||||||||
USD | 1,412,156 | NZD | 2,200,000 | Dec 17 2019 | BOA | (676 | ) | |||||||
USD | 12,741,656 | NZD | 19,990,412 | Dec 18 2019 | BOA | (96,336 | ) | |||||||
USD | 1,265 | NZD | 2,000 | Dec 19 2019 | BOA | (19 | ) | |||||||
USD | 6,996,781 | NZD | 10,902,000 | Dec 20 2019 | BOA | (4,805 | ) | |||||||
USD | 4,245,875 | PHP | 216,181,887 | Dec 18 2019 | BOA | (6,500 | ) | |||||||
USD | 1,700,000 | PLN | 6,594,871 | Dec 17 2019 | BOA | 15,739 | ||||||||
USD | 7,027,645 | PLN | 27,565,189 | Dec 18 2019 | BOA | (12,171 | ) | |||||||
USD | 40,277,633 | PLN | 159,820,000 | Dec 19 2019 | BOA | (538,208 | ) | |||||||
USD | 1,650,000 | RUB | 108,285,083 | Dec 18 2019 | BOA | (28,694 | ) | |||||||
USD | 404,492 | SEK | 3,871,728 | Dec 03 2019 | BOA | 107 | ||||||||
USD | 1,900,000 | SEK | 18,387,419 | Dec 17 2019 | BOA | (22,491 | ) | |||||||
USD | 7,315,567 | SEK | 70,510,133 | Dec 18 2019 | BOA | (57,194 | ) | |||||||
USD | 1,030,241 | SEK | 9,879,000 | Dec 19 2019 | BOA | (2,822 | ) | |||||||
USD | 8,640,434 | SGD | 11,894,023 | Dec 18 2019 | BOA | (57,920 | ) | |||||||
USD | 8,894,844 | SGD | 12,129,000 | Dec 23 2019 | BOA | 24,181 | ||||||||
USD | 250,000 | SGD | 341,195 | Mar 18 2020 | BOA | 212 | ||||||||
USD | 750,000 | THB | 22,848,317 | Dec 18 2019 | BOA | (6,434 | ) | |||||||
USD | 900,000 | TRY | 5,177,074 | Dec 17 2019 | BOA | 4,076 | ||||||||
USD | 1,900,000 | TRY | 11,310,000 | Dec 18 2019 | BOA | (56,765 | ) | |||||||
USD | 4,002,186 | TRY | 23,590,000 | Dec 19 2019 | BOA | (78,122 | ) | |||||||
USD | 3,337,655 | TWD | 103,330,606 | Dec 18 2019 | BOA | (52,009 | ) | |||||||
USD | 600,000 | TWD | 18,276,600 | Dec 23 2019 | BOA | 301 | ||||||||
USD | 700,000 | TWD | 21,316,179 | Jan 02 2020 | BOA | 222 | ||||||||
USD | 600,000 | ZAR | 8,945,267 | Dec 17 2019 | BOA | (8,979 | ) | |||||||
USD | 3,994,936 | ZAR | 61,013,243 | Dec 18 2019 | BOA | (158,127 | ) | |||||||
USD | 16,101,714 | ZAR | 241,670,000 | Dec 19 2019 | BOA | (345,867 | ) | |||||||
ZAR | 127,193,605 | USD | 8,529,137 | Dec 18 2019 | BOA | 128,704 | ||||||||
ZAR | 241,520,000 | USD | 16,105,875 | Dec 19 2019 | BOA | 331,498 | ||||||||
ZAR | 5,981,344 | USD | 400,000 | Mar 18 2020 | BOA | 2,038 | ||||||||
Total Forward Foreign Currency Contracts | (146,294 | ) |
The accompanying notes are an integral part of the consolidated portfolio of investments.
7
ABBEY CAPITAL FUTURES STRATEGY FUND
CONSOLIDATED PORTFOLIO OF INVESTMENTS (CONTINUED)
NOVEMBER 30, 2019 (UNAUDITED)
PUT/CALL | COUNTERPARTY | NUMBER OF CONTRACTS | NOTIONAL AMOUNT | VALUE | ||||||||
PURCHASED OPTIONS - 0.0% | ||||||||||||
3-Month Euro Euribor, Expires 12/16/19, Strike Price $99.50 | Put | N/A | 4,356 | EUR 174,928,248 | $ | - | ||||||
3-Month Euro Euribor, Expires 3/16/20, Strike Price $99.875 | Put | N/A | 1,735 | EUR 69,677,600 | - | |||||||
Euro Currency Futures, Expires 3/06/20, Strike Price $1.16 | Call | N/A | 385 | EUR 48,125,000 | 38,500 | |||||||
IMM Eurodollar Futures, Expires 12/16/19, Strike Price $97.00 | Put | N/A | 4,125 | EUR 161,852,625 | 25,781 | |||||||
TOTAL PURCHASED OPTIONS (COST $787,129) | $ | 64,281 | ||||||||||
WRITTEN OPTIONS - (0.0%) | ||||||||||||
3-Month Euro Euribor, Expires 12/16/19, Strike Price $99.375 | Put | N/A | 4,356 | EUR 174,928,248 | $ | - | ||||||
3-Month Euro Euribor, Expires 3/16/20, Strike Price $99.625 | Put | N/A | 1,735 | EUR 69,677,600 | - | |||||||
IMM Eurodollar Futures, Expires 12/16/19, Strike Price $96.875 | Put | N/A | 4,125 | EUR 161,852,625 | (25,781 | ) | ||||||
TOTAL WRITTEN OPTIONS (PREMIUMS RECEIVED $259,291) | $ | (25,781 | ) |
AUD | Australian Dollar | JSE | Johannesburg Stock Exchange |
BOA | Bank of America | KRW | Korean Won |
BRL | Brazilian Real | LME | London Mercantile Exchange |
BUXL | German Bond | MIB | Milano Indice di Borsa |
CAD | Canadian Dollar | MXN | Mexican Peso |
CHF | Swiss Franc | NOK | Norwegian Krone |
CLP | Chilean Peso | NZD | New Zealand Dollar |
CNH | Chinese Yuan Renminbi | OMX | Stockholm Stock Exchange |
COP | Colombian Peso | PHP | Philippine Peso |
CZK | Czech Koruna | PLN | Polish Zloty |
DAX | German Stock Exchange | RBOB | Reformulated Blendstock for Oxygenate Blending |
DJIA | Dow Jones Industrial Average | RUB | Russian Ruble |
EUR | Euro | SEK | Swedish Krona |
FTSE | Financial Times Stock Exchange | SGD | Singapore Dollar |
GBP | British Pound | THB | Thai Baht |
HUF | Hungarian Forint | TRY | Turkish Lira |
IBEX | Index of the Bolsa de Madrid | TSX | Toronto Stock Exchange |
ICE | Intercontinental Exchange | TWD | Taiwan Dollar |
ILS | Israeli New Shekel | USD | United States Dollar |
INR | Indian Rupee | WTI | West Texas Intermediate |
JPY | Japanese Yen | ZAR | South African Rand |
The accompanying notes are an integral part of the consolidated portfolio of investments.
8
ABBEY CAPITAL MULTI ASSET FUND
CONSOLIDATED PORTFOLIO OF INVESTMENTS
NOVEMBER 30, 2019 (UNAUDITED)
COUPON* | MATURITY DATE | PAR (000's) | VALUE | |||||||||
SHORT-TERM INVESTMENTS - 81.5% | ||||||||||||
U.S. TREASURY OBLIGATIONS - 81.5% | ||||||||||||
U.S. Treasury Bills | 2.206% | 12/05/19 | $ | 1,284 | $ | 1,283,850 | ||||||
U.S. Treasury Bills | 2.079% | 12/12/19 | 659 | 658,712 | ||||||||
U.S. Treasury Bills | 2.038% | 12/19/19 | 4,079 | 4,076,149 | ||||||||
U.S. Treasury Bills | 2.111% | 01/02/20 | 658 | 657,119 | ||||||||
U.S. Treasury Bills | 2.069% | 01/09/20 | 690 | 688,863 | ||||||||
U.S. Treasury Bills | 2.038% | 01/16/20 | 103 | 102,799 | ||||||||
U.S. Treasury Bills | 2.043% | 01/23/20 | 708 | 706,407 | ||||||||
U.S. Treasury Bills | 1.988% | 01/30/20 | 549 | 547,583 | ||||||||
U.S. Treasury Bills | 1.934% | 02/06/20 | 408 | 406,837 | ||||||||
U.S. Treasury Bills | 1.892% | 02/13/20 | 1,817 | 1,811,307 | ||||||||
U.S. Treasury Bills | 1.881% | 02/20/20 | 694 | 691,606 | ||||||||
U.S. Treasury Bills | 1.876% | 02/27/20 | 829 | 825,895 | ||||||||
U.S. Treasury Bills | 1.892% | 03/19/20 | 1,193 | 1,187,487 | ||||||||
U.S. Treasury Bills | 1.871% | 03/26/20 | 2,058 | 2,047,777 | ||||||||
U.S. Treasury Bills | 1.658% | 04/09/20 | 1,210 | 1,203,231 | ||||||||
U.S. Treasury Bills | 1.611% | 04/16/20 | 91 | 90,469 | ||||||||
U.S. Treasury Bills | 1.615% | 04/23/20 | 1,502 | 1,492,715 | ||||||||
U.S. Treasury Bills | 1.538% | 04/30/20 | 522 | 518,621 | ||||||||
U.S. Treasury Bills | 1.554% | 05/07/20 | 2,438 | 2,421,493 | ||||||||
U.S. Treasury Bills | 1.559% | 05/14/20 | 261 | 259,142 | ||||||||
U.S. Treasury Bills | 1.601% | 05/28/20 | 744 | 738,212 | ||||||||
22,416,274 | ||||||||||||
TOTAL SHORT-TERM INVESTMENTS | ||||||||||||
(Cost $22,407,739) | 22,416,274 | |||||||||||
TOTAL INVESTMENTS - 81.5% | ||||||||||||
(Cost $22,407,739) | 22,416,274 | |||||||||||
OTHER ASSETS IN EXCESS OF LIABILITIES - 18.5% | 5,072,044 | |||||||||||
NET ASSETS - 100.0% | $ | 27,488,318 |
* | Short-term investments reflect the annualized effective yield on the date of purchase for discounted investments. |
The accompanying notes are an integral part of the consolidated portfolio of investments.
9
ABBEY CAPITAL MULTI ASSET FUND
CONSOLIDATED PORTFOLIO OF INVESTMENTS (CONTINUED)
NOVEMBER 30, 2019 (UNAUDITED)
Futures contracts outstanding as of November 30, 2019 were as follows:
LONG CONTRACTS | EXPIRATION DATE | NUMBER OF CONTRACTS | NOTIONAL AMOUNT | VALUE AND UNREALIZED APPRECIATION/ (DEPRECIATION) | ||||||||
3-Month Euro Euribor | Sep-20 | 24 | $ | 6,610,769 | $ | (6,611 | ) | |||||
3-Month Euro Euribor | Mar-21 | 5 | 1,377,244 | (1,515 | ) | |||||||
90-DAY Bank Bill | Mar-20 | 8 | 5,411,182 | 150 | ||||||||
90-DAY Bank Bill | Jun-20 | 33 | 22,321,127 | 1,496 | ||||||||
90-DAY Bank Bill | Sep-20 | 6 | 4,058,387 | 416 | ||||||||
90-DAY Bank Bill | Dec-20 | 3 | 2,029,193 | 100 | ||||||||
90-DAY Bank Bill | Mar-21 | 3 | 2,029,193 | 83 | ||||||||
90-DAY Bank Bill | Jun-21 | 2 | 1,352,796 | 399 | ||||||||
90-DAY Eurodollar Futures | Mar-20 | 1 | 250,000 | (150 | ) | |||||||
90-DAY Eurodollar Futures | Jun-20 | 38 | 9,500,000 | (3,000 | ) | |||||||
90-DAY Eurodollar Futures | Sep-20 | 8 | 2,000,000 | (1,550 | ) | |||||||
90-DAY Eurodollar Futures | Dec-20 | 2 | 500,000 | (850 | ) | |||||||
90-DAY Eurodollar Futures | Jun-21 | 2 | 500,000 | 337 | ||||||||
90-DAY Eurodollar Futures | Sep-21 | 14 | 3,500,000 | (813 | ) | |||||||
90-DAY Eurodollar Futures | Dec-21 | 1 | 250,000 | 125 | ||||||||
90-DAY Eurodollar Futures | Mar-22 | 1 | 250,000 | 100 | ||||||||
90-DAY Eurodollar Futures | Sep-22 | 11 | 2,750,000 | (2,025 | ) | |||||||
90-DAY Sterling Futures | Jun-20 | 49 | 7,921,420 | 32 | ||||||||
90-DAY Sterling Futures | Sep-20 | 52 | 8,406,404 | (10,791 | ) | |||||||
90-DAY Sterling Futures | Dec-20 | 6 | 969,970 | (913 | ) | |||||||
90-DAY Sterling Futures | Mar-21 | 37 | 5,981,480 | (9,384 | ) | |||||||
90-DAY Sterling Futures | Jun-21 | 4 | 646,646 | (711 | ) | |||||||
90-DAY Sterling Futures | Sep-21 | 4 | 646,646 | (687 | ) | |||||||
90-DAY Sterling Futures | Dec-21 | 3 | 484,985 | (833 | ) | |||||||
90-DAY Sterling Futures | Mar-22 | 3 | 484,985 | (558 | ) | |||||||
Amsterdam Index Futures | Dec-19 | 6 | 789,630 | 778 | ||||||||
Australian 10-Year Bond Futures | Dec-19 | 8 | 541,118 | (367 | ) | |||||||
Australian 3-Year Bond Futures | Dec-19 | 69 | 4,667,145 | 1,013 | ||||||||
Bank Acceptance Futures | Sep-20 | 2 | 376,421 | (226 | ) | |||||||
Bank Acceptance Futures | Dec-20 | 2 | 376,421 | (85 | ) | |||||||
Bank Acceptance Futures | Mar-21 | 1 | 188,210 | (28 | ) | |||||||
Bank Acceptance Futures | Jun-21 | 1 | 188,210 | (38 | ) | |||||||
CAC40 10 Euro Futures | Dec-19 | 25 | 1,624,872 | (744 | ) | |||||||
Canadian 10-Year Bond Futures | Mar-20 | 2 | 150,568 | 53 | ||||||||
Cocoa Futures | Mar-20 | 2 | 51,360 | (1,830 | ) | |||||||
Cocoa Futures | May-20 | 2 | 51,760 | (20 | ) | |||||||
Copper Futures | Mar-20 | 2 | 133,075 | (1,063 | ) | |||||||
DAX Index Futures | Dec-19 | 9 | 3,283,858 | 114,862 | ||||||||
DJIA Mini E-CBOT | Dec-19 | 14 | 1,965,110 | 28,615 | ||||||||
Dollar Index | Dec-19 | 14 | 1,400,000 | (442 | ) | |||||||
Euro STOXX 50 | Dec-19 | 16 | 652,615 | 22,950 | ||||||||
Euro-BTP Futures | Dec-19 | 5 | 550,897 | (19,292 | ) | |||||||
Euro-Bund Futures | Mar-20 | 1 | 110,179 | 33 | ||||||||
Euro-Oat Futures | Dec-19 | 1 | 110,179 | (5,112 | ) | |||||||
Euro-Schatz Futures | Dec-19 | 23 | 2,534,128 | (18,835 | ) | |||||||
FTSE 100 Index Futures | Dec-19 | 14 | 1,333,514 | (3,317 | ) | |||||||
FTSE/MIB Index Futures | Dec-19 | 3 | 384,631 | 19,414 | ||||||||
Gasoline RBOB Futures | Jan-20 | 6 | 400,932 | (10,660 | ) | |||||||
GBP Currency Futures | Dec-19 | 14 | 1,131,631 | 4,969 | ||||||||
Live Cattle Futures | Feb-20 | 4 | 201,920 | 5,300 | ||||||||
Live Cattle Futures | Apr-20 | 4 | 202,204 | 1,580 | ||||||||
Live Cattle Futures | Jun-20 | 1 | 47,088 | (230 | ) | |||||||
LME Aluminum Forward | Dec-19 | 63 | 2,803,500 | (3,646 | ) | |||||||
LME Copper Forward | Dec-19 | 20 | 2,926,625 | 893 | ||||||||
LME Nickel Forward | Dec-19 | 6 | 490,608 | (104,127 | ) | |||||||
LME Zinc Forward | Dec-19 | 1 | 57,400 | (3,691 | ) | |||||||
Long Gilt Futures | Mar-20 | 4 | 517,317 | (3,143 | ) | |||||||
MSCI EAFE Index Futures | Dec-19 | 2 | 197,730 | 1,050 | ||||||||
MSCI Emerging Markets Index Futures | Dec-19 | 2 | 103,800 | (2,555 | ) | |||||||
MSCI Singapore Exchange ETS | Dec-19 | 6 | 161,582 | (1,426 | ) | |||||||
MSCI Taiwan Index | Dec-19 | 4 | 174,000 | (2,560 | ) | |||||||
MXN Currency Futures | Dec-19 | 29 | 740,835 | (3,220 | ) | |||||||
Nasdaq 100 E-Mini | Dec-19 | 26 | 4,377,100 | 46,940 | ||||||||
Nikkei 225 (Chicago Mercantile Exchange) | Dec-19 | 1 | 116,650 | 2,650 | ||||||||
Nikkei 225 (Osaka Securities Exchange) | Dec-19 | 2 | 425,699 | 27,509 | ||||||||
Nikkei 225 (Singapore Exchange) | Dec-19 | 12 | 1,277,920 | 3,244 | ||||||||
NY Harbor Ultra-Low Sulfur Diesel Futures | Jan-20 | 2 | 157,794 | (7,585 | ) | |||||||
OMX Stockholm 30 Index Futures | Dec-19 | 41 | 740,786 | (14,557 | ) | |||||||
Platinum Futures | Jan-20 | 1 | 45,020 | (1,285 | ) | |||||||
Russell 2000 E-Mini | Dec-19 | 2 | 162,380 | 705 | ||||||||
S&P 500 E-Mini Futures | Dec-19 | 113 | 17,761,905 | 588,965 | ||||||||
S&P Mid 400 E-Mini | Dec-19 | 1 | 201,000 | 1,840 | ||||||||
S&P/TSX 60 IX Futures | Dec-19 | 5 | 766,167 | 15,006 | ||||||||
SGX Nifty 50 | Dec-19 | 3 | 72,606 | (447 | ) | |||||||
Short BTP Futures | Dec-19 | 6 | 661,077 | (2,071 | ) | |||||||
Silver Futures | Mar-20 | 1 | 85,550 | (520 | ) | |||||||
SPI 200 Futures | Dec-19 | 6 | 695,607 | 11,532 | ||||||||
Topix Index Futures | Dec-19 | 3 | 465,271 | 14,303 | ||||||||
U.S. Treasury 10-Year Notes (Chicago Board of Trade) | Mar-20 | 14 | 1,425,832 | (2,242 | ) | |||||||
U.S. Treasury 2-Year Notes (Chicago Board of Trade) | Mar-20 | 4 | 814,653 | (375 | ) | |||||||
U.S. Treasury Long Bond (Chicago Board of Trade) | Mar-20 | 6 | 809,221 | (4,148 | ) | |||||||
U.S. Treasury Ultra Long Bond (Chicago Board of Trade) | Mar-20 | 1 | 115,279 | 125 | ||||||||
Wheat (Chicago Board of Trade) | Mar-20 | 24 | 650,100 | 36,936 | ||||||||
WTI Crude Futures | Mar-20 | 3 | 164,940 | (8,430 | ) | |||||||
$ | 685,795 |
The accompanying notes are an integral part of the consolidated portfolio of investments.
10
ABBEY CAPITAL MULTI ASSET FUND
CONSOLIDATED PORTFOLIO OF INVESTMENTS (CONTINUED)
NOVEMBER 30, 2019 (UNAUDITED)
SHORT CONTRACTS | EXPIRATION DATE | NUMBER OF CONTRACTS | NOTIONAL AMOUNT | VALUE AND UNREALIZED APPRECIATION/ (DEPRECIATION) | ||||||||
10-Year Mini Japanese Government Bond Futures | Dec-19 | 7 | $ | (639,737 | ) | $ | 859 | |||||
90-DAY Eurodollar Futures | Mar-21 | 8 | (2,000,000 | ) | (1,900 | ) | ||||||
90-DAY Sterling Futures | Sep-21 | 4 | (646,646 | ) | 49 | |||||||
90-DAY Sterling Futures | Sep-22 | 1 | (161,662 | ) | (65 | ) | ||||||
AUD/USD Currency Futures | Dec-19 | 44 | (2,976,150 | ) | 25,195 | |||||||
Bank Acceptance Futures | Jun-20 | 2 | (376,421 | ) | 56 | |||||||
Brent Crude Futures | Feb-20 | 3 | (181,470 | ) | 2,190 | |||||||
CAD Currency Futures | Dec-19 | 1 | (75,284 | ) | (2,005 | ) | ||||||
CHF Currency Futures | Dec-19 | 10 | (1,250,313 | ) | 3,825 | |||||||
Coffee 'C' Futures | Mar-20 | 1 | (44,644 | ) | (8,494 | ) | ||||||
Corn Futures | Mar-20 | 25 | (476,563 | ) | 11,250 | |||||||
Corn Futures | May-20 | 2 | (38,575 | ) | (38 | ) | ||||||
Cotton No.2 Futures | Mar-20 | 7 | (228,760 | ) | (4,880 | ) | ||||||
EUR Foreign Exchange Currency Futures | Dec-19 | 41 | (5,646,698 | ) | 18,809 | |||||||
Euro/JPY Futures | Dec-19 | 5 | (688,622 | ) | (10,567 | ) | ||||||
Euro-Bobl Futures | Dec-19 | 20 | (2,203,590 | ) | (4,506 | ) | ||||||
Euro-Bund Futures | Dec-19 | 7 | (771,256 | ) | (9,167 | ) | ||||||
FTSE/JSE TOP 40 | Dec-19 | 1 | (33,623 | ) | (304 | ) | ||||||
Gold 100 Oz Futures | Feb-20 | 3 | (441,810 | ) | (2,840 | ) | ||||||
Hang Seng Index Futures | Dec-19 | 4 | (672,773 | ) | 3,232 | |||||||
JPY Currency Futures | Dec-19 | 53 | (6,054,652 | ) | 23,869 | |||||||
Kansas City Hard Red Winter Wheat Futures | Mar-20 | 2 | (44,700 | ) | (1,263 | ) | ||||||
Lean Hogs Futures | Feb-20 | 7 | (190,892 | ) | 12,950 | |||||||
Lean Hogs Futures | Apr-20 | 1 | (29,568 | ) | 2,160 | |||||||
LME Aluminum Forward | Dec-19 | 63 | (2,803,500 | ) | (7,323 | ) | ||||||
LME Aluminum Forward | Mar-20 | 19 | (842,888 | ) | 346 | |||||||
LME Copper Forward | Dec-19 | 20 | (2,926,625 | ) | (32,589 | ) | ||||||
LME Copper Forward | Mar-20 | 4 | (586,725 | ) | (4,128 | ) | ||||||
LME Nickel Forward | Dec-19 | 6 | (490,608 | ) | 95,023 | |||||||
LME Nickel Forward | Mar-20 | 4 | (328,368 | ) | (7,900 | ) | ||||||
LME Zinc Forward | Dec-19 | 1 | (57,400 | ) | (629 | ) | ||||||
Natural Gas Futures | Jan-20 | 26 | (593,100 | ) | 58,880 | |||||||
Natural Gas Futures | Feb-20 | 7 | (158,400 | ) | 20,650 | |||||||
NZD Currency Futures | Dec-19 | 25 | (1,605,002 | ) | (10,055 | ) | ||||||
Soybean Futures | Jan-20 | 26 | (1,139,775 | ) | 25,113 | |||||||
Soybean Futures | Mar-20 | 11 | (490,188 | ) | 5,063 | |||||||
Soybean Meal Futures | Jan-20 | 2 | (58,620 | ) | 1,740 | |||||||
Sugar No. 11 (World) | Mar-20 | 26 | (376,813 | ) | (22,098 | ) | ||||||
Sugar No. 11 (World) | May-20 | 3 | (43,613 | ) | (2,094 | ) | ||||||
U.S. Treasury 2-Year Notes (Chicago Board of Trade) | Mar-20 | 4 | (814,653 | ) | (30 | ) | ||||||
U.S. Treasury 5-Year Notes (Chicago Board of Trade) | Mar-20 | 6 | (609,879 | ) | (445 | ) | ||||||
WTI Crude Futures | Jan-20 | 6 | (331,020 | ) | 6,950 | |||||||
$ | 184,889 | |||||||||||
Total Futures Contracts | $ | 870,684 |
The accompanying notes are an integral part of the consolidated portfolio of investments.
11
ABBEY CAPITAL MULTI ASSET FUND
CONSOLIDATED PORTFOLIO OF INVESTMENTS (CONTINUED)
NOVEMBER 30, 2019 (UNAUDITED)
Forward foreign currency contracts outstanding as of November 30, 2019 were as follows:
CURRENCY PURCHASED | CURRENCY SOLD | EXPIRATION DATE | COUNTERPARTY | UNREALIZED APPRECIATION/ (DEPRECIATION) | ||||||||||
AUD | 1,894,053 | USD | 1,283,491 | Dec 03 2019 | SOCIETE GENERALE | $ | (2,219 | ) | ||||||
BRL | 204,950 | USD | 50,000 | Dec 18 2019 | SOCIETE GENERALE | (1,641 | ) | |||||||
CAD | 1,002,420 | USD | 754,721 | Dec 02 2019 | SOCIETE GENERALE | (57 | ) | |||||||
CAD | 1,002,420 | USD | 754,722 | Dec 03 2019 | SOCIETE GENERALE | (59 | ) | |||||||
CLP | 115,468,175 | USD | 150,000 | Dec 18 2019 | SOCIETE GENERALE | (6,159 | ) | |||||||
CNH | 1,061,861 | USD | 150,000 | Dec 18 2019 | SOCIETE GENERALE | 950 | ||||||||
CZK | 6,441,406 | EUR | 250,000 | Dec 18 2019 | SOCIETE GENERALE | 2,132 | ||||||||
CZK | 5,137,041 | EUR | 200,000 | Mar 18 2020 | SOCIETE GENERALE | (170 | ) | |||||||
EUR | 1,566,125 | USD | 1,725,400 | Dec 03 2019 | SOCIETE GENERALE | 562 | ||||||||
EUR | 250,000 | CZK | 6,418,527 | Dec 18 2019 | SOCIETE GENERALE | (1,145 | ) | |||||||
EUR | 200,000 | HUF | 66,368,406 | Dec 18 2019 | SOCIETE GENERALE | 1,839 | ||||||||
EUR | 700,000 | NOK | 7,059,132 | Dec 18 2019 | SOCIETE GENERALE | 6,667 | ||||||||
EUR | 150,000 | PLN | 654,426 | Dec 18 2019 | SOCIETE GENERALE | (1,614 | ) | |||||||
EUR | 500,000 | SEK | 5,397,080 | Dec 18 2019 | SOCIETE GENERALE | (12,606 | ) | |||||||
EUR | 200,000 | HUF | 66,805,560 | Mar 18 2020 | SOCIETE GENERALE | 728 | ||||||||
EUR | 100,000 | SEK | 1,053,145 | Mar 18 2020 | SOCIETE GENERALE | 378 | ||||||||
GBP | 673,555 | USD | 869,522 | Dec 03 2019 | SOCIETE GENERALE | 1,675 | ||||||||
GBP | 673,555 | USD | 871,200 | Dec 04 2019 | SOCIETE GENERALE | 21 | ||||||||
HUF | 66,723,560 | EUR | 200,000 | Dec 18 2019 | SOCIETE GENERALE | (668 | ) | |||||||
ILS | 1,398,811 | USD | 400,000 | Dec 18 2019 | SOCIETE GENERALE | 2,977 | ||||||||
ILS | 690,392 | USD | 200,000 | Mar 18 2020 | SOCIETE GENERALE | (57 | ) | |||||||
INR | 10,826,673 | USD | 150,484 | Dec 18 2019 | SOCIETE GENERALE | 180 | ||||||||
INR | 3,619,634 | USD | 50,000 | Mar 18 2020 | SOCIETE GENERALE | (72 | ) | |||||||
JPY | 188,943,970 | USD | 1,725,633 | Dec 03 2019 | SOCIETE GENERALE | 1,484 | ||||||||
KRW | 175,673,088 | USD | 150,000 | Dec 18 2019 | SOCIETE GENERALE | (1,194 | ) | |||||||
NOK | 2,006,181 | EUR | 200,000 | Dec 18 2019 | SOCIETE GENERALE | (3,067 | ) | |||||||
PHP | 12,837,662 | USD | 250,000 | Dec 18 2019 | SOCIETE GENERALE | 2,521 | ||||||||
PHP | 12,735,012 | USD | 250,000 | Mar 18 2020 | SOCIETE GENERALE | (341 | ) | |||||||
PLN | 1,292,247 | EUR | 300,000 | Dec 18 2019 | SOCIETE GENERALE | (1,013 | ) | |||||||
RUB | 29,208,876 | USD | 450,000 | Dec 18 2019 | SOCIETE GENERALE | 2,812 | ||||||||
SEK | 5,320,921 | EUR | 500,000 | Dec 18 2019 | SOCIETE GENERALE | 4,643 | ||||||||
SEK | 1,051,999 | EUR | 100,000 | Mar 18 2020 | SOCIETE GENERALE | (498 | ) | |||||||
SGD | 204,476 | USD | 150,000 | Dec 18 2019 | SOCIETE GENERALE | (462 | ) | |||||||
SGD | 68,150 | USD | 50,000 | Mar 18 2020 | SOCIETE GENERALE | (107 | ) | |||||||
THB | 12,180,483 | USD | 400,000 | Dec 18 2019 | SOCIETE GENERALE | 3,256 | ||||||||
TRY | 2,340,809 | USD | 400,000 | Dec 18 2019 | SOCIETE GENERALE | 4,988 | ||||||||
TWD | 4,640,450 | USD | 152,360 | Dec 18 2019 | SOCIETE GENERALE | (134 | ) | |||||||
TWD | 1,515,608 | USD | 50,000 | Mar 18 2020 | SOCIETE GENERALE | (72 | ) | |||||||
USD | 1,282,288 | AUD | 1,894,053 | Dec 03 2019 | SOCIETE GENERALE | 1,016 | ||||||||
USD | 113,381 | AUD | 167,620 | Dec 04 2019 | SOCIETE GENERALE | (13 | ) | |||||||
USD | 250,000 | BRL | 1,042,184 | Dec 18 2019 | SOCIETE GENERALE | 4,089 | ||||||||
USD | 754,721 | CAD | 1,002,420 | Dec 02 2019 | SOCIETE GENERALE | 57 | ||||||||
USD | 200,000 | CLP | 144,512,475 | Dec 18 2019 | SOCIETE GENERALE | 19,978 | ||||||||
USD | 150,000 | CNH | 1,072,666 | Dec 18 2019 | SOCIETE GENERALE | (2,486 | ) | |||||||
USD | 100,000 | CNH | 705,490 | Mar 18 2020 | SOCIETE GENERALE | (41 | ) | |||||||
USD | 250,000 | COP | 868,081,450 | Dec 18 2019 | SOCIETE GENERALE | 3,468 | ||||||||
USD | 1,723,461 | EUR | 1,566,125 | Dec 03 2019 | SOCIETE GENERALE | (2,500 | ) | |||||||
USD | 1,725,499 | EUR | 1,566,125 | Dec 04 2019 | SOCIETE GENERALE | (566 | ) | |||||||
USD | 871,176 | GBP | 673,555 | Dec 03 2019 | SOCIETE GENERALE | (21 | ) | |||||||
USD | 400,000 | ILS | 1,397,766 | Dec 18 2019 | SOCIETE GENERALE | (2,676 | ) | |||||||
USD | 150,000 | INR | 10,826,673 | Dec 18 2019 | SOCIETE GENERALE | (664 | ) | |||||||
USD | 1,724,432 | JPY | 188,943,970 | Dec 03 2019 | SOCIETE GENERALE | (2,684 | ) | |||||||
USD | 1,293,266 | JPY | 141,567,360 | Dec 04 2019 | SOCIETE GENERALE | (850 | ) | |||||||
USD | 150,000 | KRW | 179,621,695 | Dec 18 2019 | SOCIETE GENERALE | (2,151 | ) | |||||||
USD | 50,000 | KRW | 58,661,565 | Mar 18 2020 | SOCIETE GENERALE | 198 | ||||||||
USD | 252,686 | PHP | 12,837,662 | Dec 18 2019 | SOCIETE GENERALE | 164 | ||||||||
USD | 100,000 | RUB | 6,573,962 | Dec 18 2019 | SOCIETE GENERALE | (1,913 | ) | |||||||
USD | 150,000 | SGD | 206,337 | Dec 18 2019 | SOCIETE GENERALE | (899 | ) | |||||||
USD | 150,000 | THB | 4,586,054 | Dec 18 2019 | SOCIETE GENERALE | (1,829 | ) | |||||||
USD | 100,000 | TRY | 595,464 | Dec 18 2019 | SOCIETE GENERALE | (3,022 | ) | |||||||
USD | 150,000 | TWD | 4,640,450 | Dec 18 2019 | SOCIETE GENERALE | (2,226 | ) | |||||||
USD | 100,000 | ZAR | 1,519,035 | Dec 18 2019 | SOCIETE GENERALE | (3,398 | ) | |||||||
ZAR | 1,476,249 | USD | 100,000 | Dec 18 2019 | SOCIETE GENERALE | 486 | ||||||||
Total Forward Foreign Currency Contracts | $ | 5,975 |
AUD | Australian Dollar | KRW | Korean Won |
BRL | Brazilian Real | LME | London Mercantile Exchange |
CAD | Canadian Dollar | MIB | Milano Indice di Borsa |
CHF | Swiss Franc | MXN | Mexican Peso |
CLP | Chilean Peso | NOK | Norwegian Krone |
CNH | Chinese Yuan Renminbi | NZD | New Zealand Dollar |
COP | Colombian Peso | OMX | Stockholm Stock Exchange |
CZK | Czech Koruna | PHP | Philippine Peso |
DAX | Deutscher Aktienindex | PLN | Polish Zloty |
DJIA | Dow Jones Industrial Average | RBOB | Reformulated Blendstock for Oxygenate Blending |
EUR | Euro | RUB | Russian Ruble |
FTSE | Financial Times Stock Exchange | SEK | Swedish Krona |
GBP | British Pound | SGD | Singapore Dollar |
HUF | Hungarian Forint | THB | Thai Baht |
ILS | Israeli New Shekel | TRY | Turkish Lira |
INR | Indian Rupee | TWD | Taiwan Dollar |
JPY | Japanese Yen | USD | United States Dollar |
WTI | West Texas Intermediate | ||
ZAR | South African Rand |
The accompanying notes are an integral part of the consolidated portfolio of investments.
12
ABBEY CAPITAL LIMITED
NOTES TO CONSOLIDATED PORTFOLIOS OF INVESTMENTS
NOVEMBER 30, 2019 (UNAUDITED)
CONSOLIDATION OF SUBSIDIARIES – The Abbey Capital Futures Strategy Fund (the "ACFSF") seeks to achieve its investment objective by allocating its assets between a “Managed Futures” strategy and a “Fixed Income” strategy. The Managed Futures strategy is achieved by the ACFSF investing up to 25% of its total assets in Abbey Capital Master Offshore Fund Limited (the “Cayman Subsidiary”), a wholly-owned and controlled subsidiary of the Fund organized under the laws of the Cayman Islands. Effective on or about October 1, 2018, the ACFSF's previous wholly-owned subsidiary, the Abbey Capital Offshore Fund Limited became a wholly-owned subsidiary of the Cayman Subsidiary through a share exchange between the ACFSF and the Cayman Subsidiary and registered as a segregated portfolio company under the laws of the Cayman Islands under the name Abbey Capital Offshore Fund SPC (the “SPC”). The Cayman Subsidiary serves solely as an intermediate entity through which the ACFSF invests in the SPC and makes no independent investment decisions and has no investment or other discretion over the Fund’s investable assets. The ACFSF may also invest up to 25% of its assets in segregated series of another wholly-owned subsidiary of the Fund, the Abbey Capital Onshore Series LLC (the “Onshore Subsidiary”), which was formed on August 16, 2018.
The consolidated financial statements of the ACFSF include the financial statements of the Cayman Subsidiary, the Onshore Subsidiary and SPC. The ACFSF 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 November 30, 2019, the net assets of the Cayman Subsidiary and SPC were $162,704,858, which represented 23.15% of the ACFSF's net assets. As of November 30, 2019, the net assets of the Onshore Subsidiary were $156,942,452, which represented 22.33% of the ACFSF's net assets.
The Abbey Capital Mulit-Asset Fund (the "ACMAF") seeks to achieve its investment objective by allocating its assets between a “Managed Futures” strategy, a "Long U.S. Equity" strategy and a “Fixed Income” strategy. The Managed Futures strategy will be achieved by the ACMAF investing up to 25% of its total assets in Abbey Capital Multi Asset Offshore Fund Limited (the "Subsidiary"), a wholly-owned and controlled subsidiary of the ACMAF organized under the laws of the Cayman Islands. The consolidated financial statements of the ACMAF include the financial statements of the Subsidiary. The ACMAF consolidates the results of subsidiaries in which the ACMAF holds a controlling financial interest. All inter-company accounts and transactions have been eliminated. As of November 30, 2019, the net assets of the Subsidiary were $5,726,352, which represented 20.83% of the ACMAF's net assets.
PORTFOLIO VALUATION — Each Fund’s net asset value (“NAV”) is calculated once daily at the close of regular trading hours on the New York Stock Exchange (“NYSE”) (generally 4:00 p.m. Eastern time) on each day the NYSE is open. Securities held by the Funds are valued using the closing price or the last sale price on a national securities exchange or the National Association of Securities Dealers Automatic Quotation System (“NASDAQ”) market system where they are primarily traded. Fixed income securities are valued using an independent pricing service, which considers such factors as security prices, yields, maturities and ratings, and are deemed representative of market values at the close of the market. Forward exchange contracts are valued by interpolating between spot and forward currency rates as quoted by an independent pricing service. Futures contracts are generally valued using the settlement price determined by the relevant exchange. Options for which the primary market is a national securities exchange are valued at the last sale price on the 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 the fair value of the Funds' investments are summarized into three levels as described in the hierarchy below:
• | Level 1 – Prices are determined using quoted prices in active markets for identical securities. |
• | Level 2 – Prices are determined using other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.). |
• | Level 3 – Prices are determined using significant unobservable inputs (including the 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, 2019, in valuing the Funds' investments carried at fair value:
ABBEY CAPITAL FUTURES STRATEGY FUND
ASSETS | TOTAL | LEVEL 1 | LEVEL 2 | LEVEL 3 | ||||||||||||
Short-Term Investments | $ | 570,718,531 | $ | 570,718,531 | $ | - | $ | - | ||||||||
Commodity Contracts | ||||||||||||||||
Futures Contracts | 6,685,578 | 6,685,578 | - | - | ||||||||||||
Equity Contracts | ||||||||||||||||
Futures Contracts | 10,523,644 | 10,523,644 | - | - | ||||||||||||
Foreign Currency Contracts | ||||||||||||||||
Forward Foreign Currency Contracts | 8,349,621 | - | 8,349,621 | - | ||||||||||||
Futures Contracts | 2,627,739 | 2,627,739 | - | - | ||||||||||||
Purchased Options | 38,500 | 38,500 | - | - | ||||||||||||
Interest Rate Contracts | ||||||||||||||||
Futures Contracts | 831,634 | 831,634 | - | - | ||||||||||||
Purchased Options | 25,781 | 25,781 | - | - | ||||||||||||
Total Assets | $ | 599,801,028 | $ | 591,451,407 | $ | 8,349,621 | $ | - |
LIABILITIES | TOTAL | LEVEL 1 | LEVEL 2 | LEVEL 3 | ||||||||||||
Commodity Contracts | ||||||||||||||||
Futures Contracts | $ | (5,703,123 | ) | $ | (5,703,123 | ) | $ | - | $ | - | ||||||
Equity Contracts | ||||||||||||||||
Futures Contracts | (435,564 | ) | (435,564 | ) | - | - | ||||||||||
Foreign Currency Contracts | ||||||||||||||||
Forward Foreign Currency Contracts | (8,495,915 | ) | - | (8,495,915 | ) | - | ||||||||||
Futures Contracts | (405,634 | ) | (405,634 | ) | - | - | ||||||||||
Interest Rate Contracts | ||||||||||||||||
Futures Contracts | (2,687,403 | ) | (2,687,403 | ) | - | - | ||||||||||
Written Options | (25,781 | ) | (25,781 | ) | - | - | ||||||||||
Total Liabilities | $ | (17,753,420 | ) | $ | (9,257,505 | ) | $ | (8,495,915 | ) | $ | - |
ABBEY CAPITAL MULTI ASSET FUND
ASSETS | TOTAL | LEVEL 1 | LEVEL 2 | LEVEL 3 | ||||||||||||
Short-Term Investments | $ | 22,416,274 | $ | 22,416,274 | $ | - | $ | - | ||||||||
Commodity Contracts | ||||||||||||||||
Futures Contracts | 287,024 | 287,024 | - | - | ||||||||||||
Equity Contracts | ||||||||||||||||
Futures Contracts | 903,595 | 903,595 | - | - | ||||||||||||
Foreign Currency Contracts | ||||||||||||||||
Forward Foreign Currency Contracts | 67,248 | - | 67,248 | - | ||||||||||||
Futures Contracts | 76,667 | 76,667 | - | - | ||||||||||||
Interest Rate Contracts | ||||||||||||||||
Futures Contracts | 5,426 | 5,426 | - | - | ||||||||||||
Total Assets | $ | 23,756,234 | $ | 23,688,986 | $ | 67,248 | $ | - |
LIABILITIES | TOTAL | LEVEL 1 | LEVEL 2 | LEVEL 3 | ||||||||||||
Commodity Contracts | ||||||||||||||||
Futures Contracts | $ | (237,363 | ) | $ | (237,363 | ) | $ | - | $ | - | ||||||
Equity Contracts | ||||||||||||||||
Futures Contracts | (25,910 | ) | (25,910 | ) | - | - | ||||||||||
Foreign Currency Contracts | ||||||||||||||||
Forward Foreign Currency Contracts | (61,294 | ) | - | (61,294 | ) | - | ||||||||||
Futures Contracts | (26,289 | ) | (26,289 | ) | - | - | ||||||||||
Interest Rate Contracts | ||||||||||||||||
Futures Contracts | (112,466 | ) | (112,466 | ) | - | - | ||||||||||
Total Liabilities | $ | (463,322 | ) | $ | (402,028 | ) | $ | (61,294 | ) | $ | - |
At the end of each quarter, management evaluates the classification of Levels 1, 2 and 3 assets and liabilities. Various factors are considered, such as changes in liquidity from the prior reporting period; whether or not a broker is willing to execute at the quoted price; the depth and consistency of prices from third party pricing services; and the existence of contemporaneous, observable trades in the market. Additionally, management evaluates the classification of Level 1, 2 and 3 assets and liabilities on a quarterly basis for changes in listings or delistings on national exchanges.
Due to the inherent uncertainty of determining the fair value of investments that do not have a readily available market value, the fair value of the Funds' investments may fluctuate from period to period. Additionally, the fair value of investments may differ significantly from the values that would have been used had a ready market existed for such investments and may differ materially from the values the Funds may ultimately realize. Further, such investments may be subject to legal and other restrictions on resale or otherwise less liquid than publicly traded securities.
For fair valuations using significant unobservable inputs, U.S. generally accepted accounting principles (“U.S. GAAP”) requires 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. A reconciliation of Level 3 investments is presented only if a Fund had an amount of Level 3 investments at the end of the reporting period that was meaningful in relation to its net assets. The amounts and reasons for all Level 3 transfers are disclosed if 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.
13
ABBEY CAPITAL LIMITED
NOTES TO CONSOLIDATED PORTFOLIOS OF INVESTMENTS (CONTINUED)
NOVEMBER 30, 2019 (UNAUDITED)
For the period ended November 30, 2019, the Funds had no Level 3 Transfers.
DISCLOSURES ABOUT DERIVATIVE INSTRUMENTS AND HEDGING ACTIVITIES
The following tables list the fair values of the Funds' derivative holdings as of November 30, 2019, grouped by contract type and risk exposure category.
ABBEY CAPITAL FUTURES STRATEGY FUND
INTEREST | FOREIGN | |||||||||||||||||||
EQUITY | RATE | CURRENCY | COMMODITY | |||||||||||||||||
DERIVATIVE TYPE | CONTRACTS | CONTRACTS | CONTRACTS | CONTRACTS | TOTAL | |||||||||||||||
Asset Derivatives | ||||||||||||||||||||
Purchased Options | $ | - | $ | 25,781 | $ | 38,500 | $ | - | $ | 64,281 | ||||||||||
Forward Contracts* | - | - | 8,349,621 | - | 8,349,621 | |||||||||||||||
Futures Contracts* | 10,523,644 | 831,634 | 2,627,739 | 6,685,578 | 20,668,595 | |||||||||||||||
Total Value- Assets | $ | 10,523,644 | $ | 857,415 | $ | 11,015,860 | $ | 6,685,578 | $ | 29,082,497 | ||||||||||
Liability Derivatives | ||||||||||||||||||||
Written Options | $ | - | $ | (25,781 | ) | $ | - | $ | - | $ | (25,781 | ) | ||||||||
Forward Contracts* | - | - | (8,495,915 | ) | - | (8,495,915 | ) | |||||||||||||
Futures Contracts* | (435,564 | ) | (2,687,403 | ) | (405,634 | ) | (5,703,123 | ) | (9,231,724 | ) | ||||||||||
Total Value- Liabilities | $ | (435,564 | ) | $ | (2,713,184 | ) | $ | (8,901,549 | ) | $ | (5,703,123 | ) | $ | (17,753,420 | ) |
* | This amount represents the cumulative appreciation/(depreciation) of forwards and futures contracts as reported on the Consolidated Portfolio of Investments. |
ABBEY CAPITAL MULTI ASSET FUND
INTEREST | FOREIGN | |||||||||||||||||||
EQUITY | RATE | CURRENCY | COMMODITY | |||||||||||||||||
DERIVATIVE TYPE | CONTRACTS | CONTRACTS | CONTRACTS | CONTRACTS | TOTAL | |||||||||||||||
Asset Derivatives | ||||||||||||||||||||
Forward Contracts* | $ | - | $ | - | $ | 67,248 | $ | - | $ | 67,248 | ||||||||||
Futures Contracts* | 903,595 | 5,426 | 76,667 | 287,024 | 1,272,712 | |||||||||||||||
Total Value- Assets | $ | 903,595 | $ | 5,426 | $ | 143,915 | $ | 287,024 | $ | 1,339,960 | ||||||||||
Liability Derivatives | ||||||||||||||||||||
Forward Contracts* | $ | - | $ | - | $ | (61,294 | ) | $ | - | $ | (61,294 | ) | ||||||||
Futures Contracts* | (25,910 | ) | (112,466 | ) | (26,289 | ) | (237,363 | ) | (402,028 | ) | ||||||||||
Total Value- Liabilities | $ | (25,910 | ) | $ | (112,466 | ) | $ | (87,583 | ) | $ | (237,363 | ) | $ | (463,322 | ) |
* | This amount represents the cumulative appreciation/(depreciation) of forwards and futures contracts as reported on the Consolidated Portfolio of Investments. |
For the period ended November 30, 2019, the Funds' average volume of derivatives was as follows:
ABBEY CAPITAL FUTURES STRATEGY FUND
PURCHASED OPTIONS (COST) | WRITTEN OPTIONS (PROCEEDS) | LONG FUTURES NOTIONAL AMOUNT | SHORT FUTURES NOTIONAL AMOUNT | FORWARD FOREIGN CURRENCY CONTRACTS - PAYABLE (VALUE AT TRADE DATE) | FORWARD FOREIGN CURRENCY CONTRACTS - RECEIVABLE (VALUE AT TRADE DATE) | |||||||||||||||||
$ | 674,667 | $ | (259,291 | ) | $ | 3,254,807,006 | $ | (932,761,497 | ) | $ | (2,016,490,574 | ) | $ | 2,017,305,994 |
ABBEY CAPITAL MULTI ASSET FUND
LONG | SHORT | FORWARD FOREIGN | FORWARD FOREIGN | |||||||||||
FUTURES | FUTURES | CURRENCY | CURRENCY | |||||||||||
NOTIONAL | NOTIONAL | CONTRACTS - PAYABLE | CONTRACTS - RECEIVABLE | |||||||||||
AMOUNT | AMOUNT | (VALUE AT TRADE DATE) | (VALUE AT TRADE DATE) | |||||||||||
$ | 183,769,729 | $ | (37,066,350 | ) | $ | (35,004,640 | ) | $ | 35,002,110 |
PURCHASED OPTIONS — Each Fund is subject to equity and other risk exposure in the normal course of pursuing its investment objectives. 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 Funds pays a premium whether or not the option is exercised. Additionally, the Funds bear 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 — Each 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 Funds also have the additional risk of being unable to enter into a closing transaction at an acceptable price if a liquid secondary market does not exist. The Funds also may write over-the-counter (OTC) options where completing the obligation depends upon the credit standing of the other party. Option contracts also involve the risk that they may result in loss due to unanticipated developments in market conditions or other causes. Written options are initially recorded as liabilities to the extent of premiums received and subsequently marked to market to reflect the current value of the option written. Gains 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. The Funds' maximum risk of loss from counterparty credit risk related to OTC option contracts is limited to the premium paid.
FUTURES CONTRACTS — Each Fund is subject to equity and other risk exposure in the normal course of pursuing its investment objectives. Each Fund may use futures contracts for hedging or speculative purposes consistent with its investment objective. Upon entering into a futures contract, the Funds 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 Funds 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 Funds as an unrealized gain or loss. When the contract is closed, the Funds record a realized gain or loss equal to the difference between the proceeds from (or cost of) the closing transactions and the Funds' 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 Funds 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 Funds to unlimited risk of loss.
FORWARD FOREIGN CURRENCY CONTRACTS — In the normal course of pursuing its investment objectives, the Funds are subject to foreign investment and currency risk. The Funds 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 Funds' investment goal. These contracts are marked-to-market daily at the applicable translation rates. The Funds record 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 significant accounting policies, see the most recent semi-annual or annual report filed with the Securities and Exchange Commission.
14
ADARA SMALLER COMPANIES FUND
PORTFOLIO OF INVESTMENTS
NOVEMBER 30, 2019 (UNAUDITED)
Number of Shares | Value | |||||||
COMMON STOCKS - 93.0% | ||||||||
Advertising — 0.4% | ||||||||
Telaria, Inc.* | 103,228 | $ | 860,921 | |||||
Trade Desk, Inc., (The), Class A* | 1,226 | 322,855 | ||||||
1,183,776 | ||||||||
Aerospace/Defense — 1.2% | ||||||||
Aerovironment, Inc.* | 1,433 | 87,900 | ||||||
Coda Octopus Group, Inc.* | 30,224 | 217,613 | ||||||
Cubic Corp. | 24,419 | 1,454,152 | ||||||
Kaman Corp. | 2,787 | 177,253 | ||||||
Kratos Defense & Security Solutions, Inc.* | 28,366 | 512,290 | ||||||
Mercury Systems, Inc.* | 14,017 | 1,026,745 | ||||||
Moog, Inc., Class A | 1,762 | 151,303 | ||||||
National Presto Industries, Inc. | 728 | 64,777 | ||||||
Triumph Group, Inc. | 6,355 | 176,097 | ||||||
3,868,130 | ||||||||
Agriculture — 0.2% | ||||||||
Andersons, Inc., (The) | 3,148 | 72,719 | ||||||
Darling Ingredients, Inc.* | 8,943 | 212,843 | ||||||
Phibro Animal Health Corp., Class A | 3,915 | 94,978 | ||||||
Universal Corp. | 2,546 | 132,952 | ||||||
Vector Group Ltd. | 3,622 | 48,680 | ||||||
562,172 | ||||||||
Airlines — 0.3% | ||||||||
Controladora Vuela Cia de Aviacion SAB de CV, ADR* | 18,423 | 192,520 | ||||||
Hawaiian Holdings, Inc. | 3,492 | 105,773 | ||||||
SkyWest, Inc. | 8,137 | 509,702 | ||||||
807,995 | ||||||||
Apparel — 0.7% | ||||||||
Canada Goose Holdings, Inc.* | 7,457 | 284,485 | ||||||
Crocs, Inc.* | 25,477 | 889,147 | ||||||
Kontoor Brands, Inc. | 2,389 | 85,646 | ||||||
Lakeland Industries, Inc.* | 23,773 | 245,100 | ||||||
Oxford Industries, Inc. | 1,483 | 110,365 | ||||||
Skechers U.S.A., Inc., Class A* | 3,666 | 147,446 | ||||||
Steven Madden Ltd. | 4,833 | 205,257 | ||||||
Wolverine World Wide, Inc. | 5,464 | 175,394 | ||||||
2,142,840 | ||||||||
Auto Manufacturers — 0.0% | ||||||||
Wabash National Corp. | 3,983 | 62,732 | ||||||
Auto Parts & Equipment — 1.8% | ||||||||
Cooper Tire & Rubber Co. | 3,881 | 111,850 | ||||||
Cooper-Standard Holdings, Inc.* | 1,985 | 56,433 | ||||||
Douglas Dynamics, Inc. | 6,419 | 347,332 | ||||||
Gentherm, Inc.* | 3,355 | 140,407 | ||||||
Meritor, Inc.* | 23,450 | 592,112 | ||||||
Methode Electronics, Inc. | 9,853 | 366,630 | ||||||
Modine Manufacturing Co.* | 35,809 | 265,703 | ||||||
Motorcar Parts of America, Inc.* | 28,970 | 565,205 | ||||||
Spartan Motors, Inc. | 117,724 | 2,089,601 | ||||||
Standard Motor Products, Inc. | 843 | 42,462 | ||||||
Unique Fabricating, Inc. | 95,520 | 338,141 | ||||||
Westport Fuel Systems, Inc.* | 265,556 | 647,957 | ||||||
5,563,833 | ||||||||
Banks — 7.9% | ||||||||
Allegiance Bancshares, Inc.* | 2,137 | 76,676 | ||||||
American River Bankshares | 50,480 | 757,200 | ||||||
Ameris Bancorp | 1,944 | 84,856 | ||||||
Atlantic Capital Bancshares, Inc.* | 28,072 | 531,122 | ||||||
Bank of Commerce Holdings | 69,160 | 791,882 | ||||||
Banner Corp. | 1,722 | 94,073 | ||||||
Baycom Corp.* | 11,088 | 243,492 | ||||||
Boston Private Financial Holdings, Inc. | 20,682 | 242,807 | ||||||
Capital Bancorp, Inc.* | 42,020 | 626,098 |
The accompanying notes are an integral part of the portfolio of investments.
15
ADARA SMALLER COMPANIES FUND
PORTFOLIO OF INVESTMENTS (CONTINUED)
NOVEMBER 30, 2019 (UNAUDITED)
Number of Shares | Value | |||||||
Central Pacific Financial Corp. | 4,068 | 118,216 | ||||||
City Holding Co. | 4,208 | 334,452 | ||||||
Civista Bancshares, Inc. | 17,390 | 377,015 | ||||||
Community Bank System, Inc. | 1,997 | 135,496 | ||||||
Customers Bancorp, Inc.* | 3,344 | 78,183 | ||||||
CVB Financial Corp. | 8,715 | 186,152 | ||||||
Eagle Bancorp, Inc. | 2,845 | 126,375 | ||||||
Esquire Financial Holdings, Inc.* | 59,146 | 1,415,955 | ||||||
Farmers National Bancorp | 43,870 | 672,966 | ||||||
First BanCorp | 46,257 | 485,698 | ||||||
First Bancshares, Inc., (The) | 16,880 | 566,493 | ||||||
First Business Financial Services, Inc. | 27,020 | 674,960 | ||||||
First Citizens BancShares, Inc., Class A | 1,104 | 573,859 | ||||||
First Commonwealth Financial Corp. | 13,475 | 191,480 | ||||||
First Financial Bancorp | 7,350 | 178,752 | ||||||
First Financial Bankshares, Inc. | 13,162 | 455,010 | ||||||
First Merchants Corp. | 15,334 | 620,874 | ||||||
First Northwest Bancorp | 35,260 | 621,634 | ||||||
Glacier Bancorp, Inc. | 3,879 | 170,094 | ||||||
Hanmi Financial Corp. | 1,728 | 33,921 | ||||||
Heritage Commerce Corp. | 41,929 | 524,112 | ||||||
Heritage Financial Corp. | 1,485 | 40,956 | ||||||
Home BancShares, Inc. | 9,066 | 170,622 | ||||||
Horizon Bancorp | 40,587 | 763,847 | ||||||
Independent Bank Corp. | 1,226 | 103,229 | ||||||
LCNB Corp. | 33,930 | 627,366 | ||||||
Meta Financial Group, Inc. | 21,222 | 754,867 | ||||||
Metropolitan Bank Holding Corp.* | 16,730 | 754,356 | ||||||
Midland States Bancorp, Inc. | 23,830 | 669,146 | ||||||
National Bank Holdings Corp., Class A | 1,305 | 46,771 | ||||||
Northeast Bank | 45,410 | 980,856 | ||||||
OFG Bancorp | 8,517 | 182,690 | ||||||
OP Bancorp | 44,130 | 431,591 | ||||||
Opus Bank | 6,702 | 172,308 | ||||||
Orrstown Financial Services, Inc. | 16,880 | 370,010 | ||||||
Parke Bancorp, Inc. | 32,972 | 789,020 | ||||||
PCB Bancorp | 21,370 | 365,854 | ||||||
Premier Financial Bancorp, Inc. | 39,037 | 708,522 | ||||||
Prosperity Bancshares, Inc. | 1,431 | 100,528 | ||||||
Seacoast Banking Corp. of Florida* | 21,587 | 642,213 | ||||||
Southside Bancshares, Inc. | 6,100 | 214,171 | ||||||
Texas Capital Bancshares, Inc.* | 1,396 | 80,689 | ||||||
Tompkins Financial Corp. | 1,925 | 166,994 | ||||||
TriState Capital Holdings, Inc.* | 11,423 | 276,779 | ||||||
Triumph Bancorp, Inc.* | 10,422 | 373,733 | ||||||
TrustCo Bank Corp. | 28,279 | 248,290 | ||||||
UMB Financial Corp. | 3,746 | 251,993 | ||||||
United Bankshares, Inc. | 2,242 | 84,905 | ||||||
United Community Banks, Inc. | 24,686 | 765,266 | ||||||
Walker & Dunlop, Inc. | 2,381 | 156,289 | ||||||
Webster Financial Corp. | 11,346 | 552,437 | ||||||
West Bancorporation, Inc. | 28,480 | 691,494 | ||||||
Westamerica Bancorp | 2,698 | 175,370 | ||||||
24,703,065 | ||||||||
Beverages — 0.5% | ||||||||
Celsius Holdings, Inc.* | 232,809 | 1,129,124 | ||||||
Farmer Brothers Co.* | 20,300 | 307,951 | ||||||
Youngevity International, Inc.* | 50,679 | 223,494 | ||||||
1,660,569 | ||||||||
Biotechnology — 3.6% | ||||||||
Allakos, Inc.* | 3,966 | 376,770 | ||||||
ANI Pharmaceuticals, Inc.* | 2,019 | 124,411 | ||||||
Apellis Pharmaceuticals, Inc.* | 14,906 | 400,673 | ||||||
Argenx SE, ADR* | 7,504 | 1,110,967 | ||||||
Arrowhead Pharmaceuticals, Inc.* | 2,183 | 159,381 | ||||||
Biohaven Pharmaceutical Holding Co. Ltd.* | 7,225 | 414,137 | ||||||
Cambrex Corp.* | 571 | 34,243 | ||||||
Champions Oncology, Inc.* | 31,202 | 179,723 | ||||||
ChromaDex Corp.* | 78,373 | 285,278 | ||||||
Dicerna Pharmaceuticals, Inc.* | 39,990 | 962,159 |
The accompanying notes are an integral part of the portfolio of investments.
16
ADARA SMALLER COMPANIES FUND
PORTFOLIO OF INVESTMENTS (CONTINUED)
NOVEMBER 30, 2019 (UNAUDITED)
Number of Shares | Value | |||||||
Eidos Therapeutics, Inc.* | 7,207 | 405,970 | ||||||
Emergent BioSolutions, Inc.* | 8,828 | 484,304 | ||||||
Guardant Health, Inc.* | 3,328 | 258,486 | ||||||
Innoviva, Inc.* | 9,226 | 124,366 | ||||||
Ligand Pharmaceuticals, Inc.* | 1,187 | 134,131 | ||||||
Livongo Health, Inc.* | 17,805 | 508,511 | ||||||
Medicines Co., (The)* | 3,613 | 304,215 | ||||||
Mirati Therapeutics, Inc.* | 3,926 | 395,623 | ||||||
Myriad Genetics, Inc.* | 3,463 | 89,138 | ||||||
Nektar Therapeutics* | 5,506 | 111,717 | ||||||
NeoGenomics, Inc.* | 22,253 | 574,350 | ||||||
Orchard Therapeutics PLC, ADR* | 33,625 | 382,989 | ||||||
Pieris Pharmaceuticals, Inc.* | 37,899 | 154,249 | ||||||
PTC Therapeutics, Inc.* | 5,067 | 237,946 | ||||||
REGENXBIO, Inc.* | 7,295 | 305,369 | ||||||
Rigel Pharmaceuticals, Inc.* | 96,899 | 217,054 | ||||||
SpringWorks Therapeutics, Inc.* | 12,915 | 294,591 | ||||||
Stemline Therapeutics, Inc.* | 16,667 | 178,170 | ||||||
Twist Bioscience Corp.* | 18,814 | 448,338 | ||||||
Veracyte, Inc.* | 12,132 | 348,431 | ||||||
Vericel Corp.* | 22,990 | 428,993 | ||||||
Y-mAbs Therapeutics, Inc.* | 20,155 | 680,231 | ||||||
Zymeworks, Inc.* | 7,098 | 309,402 | ||||||
11,424,316 | ||||||||
Building Materials — 1.3% | ||||||||
AAON, Inc. | 2,783 | 137,397 | ||||||
American Woodmark Corp.* | 4,158 | 427,858 | ||||||
Armstrong World Industries, Inc. | 10,624 | 1,020,116 | ||||||
Boise Cascade Co. | 11,537 | 437,483 | ||||||
Gibraltar Industries, Inc.* | 13,827 | 722,046 | ||||||
Griffon Corp. | 1,519 | 32,233 | ||||||
Patrick Industries, Inc.* | 8,282 | 410,125 | ||||||
Simpson Manufacturing Co., Inc. | 2,069 | 168,003 | ||||||
Trex Co., Inc.* | 5,197 | 447,254 | ||||||
Universal Forest Products, Inc. | 8,103 | 401,909 | ||||||
US Concrete, Inc.* | 1,042 | 42,649 | ||||||
4,247,073 | ||||||||
Chemicals — 0.8% | ||||||||
AdvanSix, Inc.* | 3,845 | 77,784 | ||||||
Balchem Corp. | 1,142 | 113,778 | ||||||
Chemours Co., (The) | 9,276 | 146,468 | ||||||
Ferro Corp.* | 4,115 | 59,338 | ||||||
HB Fuller Co. | 4,743 | 236,581 | ||||||
Ingevity Corp.* | 2,186 | 197,418 | ||||||
Innophos Holdings, Inc. | 1,654 | 52,763 | ||||||
Innospec, Inc. | 1,121 | 110,306 | ||||||
Koppers Holdings, Inc.* | 5,436 | 201,404 | ||||||
Kraton Corp.* | 3,742 | 84,307 | ||||||
Materion Corp. | 1,920 | 113,011 | ||||||
Northern Technologies International Corp. | 33,620 | 411,845 | ||||||
Oil-Dri Corp. of America | 5,545 | 201,228 | ||||||
Rogers Corp.* | 1,868 | 242,877 | ||||||
Stepan Co. | 2,701 | 261,727 | ||||||
2,510,835 | ||||||||
Coal — 0.0% | ||||||||
SunCoke Energy, Inc. | 10,433 | 53,417 | ||||||
Commercial Services — 4.9% | ||||||||
ABM Industries, Inc. | 2,589 | 98,356 | ||||||
Acacia Research Corp.* | 137,250 | 407,633 | ||||||
AMN Healthcare Services, Inc.* | 3,294 | 195,894 | ||||||
ARC Document Solutions, Inc.* | 256,240 | 286,989 | ||||||
ASGN, Inc.* | 3,035 | 203,375 | ||||||
Barrett Business Services, Inc. | 20,319 | 1,795,387 | ||||||
BG Staffing, Inc. | 42,910 | 926,856 | ||||||
Brink's Co., (The) | 4,054 | 377,022 | ||||||
CAI International, Inc.* | 36,430 | 877,963 | ||||||
Cardtronics, PLC, Class A* | 998 | 42,136 | ||||||
Care.com, Inc.* | 23,169 | 290,308 | ||||||
Chegg, Inc.* | 12,712 | 492,844 | ||||||
CRA International, Inc. | 18,610 | 954,135 |
The accompanying notes are an integral part of the portfolio of investments.
17
ADARA SMALLER COMPANIES FUND
PORTFOLIO OF INVESTMENTS (CONTINUED)
NOVEMBER 30, 2019 (UNAUDITED)
Number of Shares | Value | |||||||
Green Dot Corp., Class A* | 4,948 | 117,565 | ||||||
Harsco Corp.* | 46,829 | 1,041,945 | ||||||
HealthEquity, Inc.* | 5,542 | 348,536 | ||||||
HMS Holdings Corp.* | 9,256 | 279,531 | ||||||
ICF International, Inc. | 5,166 | 463,545 | ||||||
Insperity, Inc. | 2,292 | 178,249 | ||||||
K12, Inc.* | 10,456 | 205,460 | ||||||
Kelly Services, Inc., Class A | 4,673 | 102,385 | ||||||
Korn Ferry International | 4,210 | 165,369 | ||||||
MarketAxess Holdings, Inc. | 1,332 | 537,888 | ||||||
Medifast, Inc. | 1,970 | 173,183 | ||||||
Monro Muffler Brake, Inc. | 1,316 | 96,594 | ||||||
Progyny, Inc.* | 5,757 | 153,367 | ||||||
Repay Holdings Corp.* | 42,882 | 593,058 | ||||||
Resources Connection, Inc. | 42,101 | 650,460 | ||||||
Rosetta Stone, Inc.* | 33,352 | 518,290 | ||||||
SP Plus Corp.* | 13,285 | 582,547 | ||||||
Strategic Education, Inc. | 2,810 | 398,289 | ||||||
Team, Inc.* | 5,510 | 89,097 | ||||||
Vectrus, Inc.* | 6,391 | 325,558 | ||||||
Viad Corp. | 21,229 | 1,335,304 | ||||||
15,305,118 | ||||||||
Computers — 3.5% | ||||||||
Agilysys, Inc.* | 40,200 | 1,018,266 | ||||||
CACI International, Inc., Class A* | 1,145 | 274,021 | ||||||
Computer Services, Inc. | 28,340 | 1,215,786 | ||||||
Conduent, Inc.* | 51,000 | 345,270 | ||||||
Endava PLC, SP ADR* | 28,450 | 1,354,789 | ||||||
ExlService Holdings, Inc.* | 1,497 | 104,506 | ||||||
Globant S.A.* | 4,761 | 509,427 | ||||||
Icad, Inc.* | 76,556 | 574,936 | ||||||
Insight Enterprises, Inc.* | 2,176 | 142,724 | ||||||
Kornit Digital Ltd.* | 8,843 | 301,546 | ||||||
MAXIMUS, Inc. | 1,853 | 138,326 | ||||||
Mitek Systems, Inc.* | 114,020 | 812,963 | ||||||
NCR Corp.* | 35,396 | 1,162,051 | ||||||
PAR Technology Corp.* | 21,485 | 646,484 | ||||||
Science Applications International Corp. | 1,681 | 143,473 | ||||||
TTEC Holdings, Inc. | 3,501 | 160,801 | ||||||
USA Technologies, Inc.* | 22,835 | 163,270 | ||||||
Virtusa Corp.* | 16,358 | 731,039 | ||||||
Vocera Communications, Inc.* | 11,031 | 239,373 | ||||||
WNS Holdings Ltd., ADR* | 8,086 | 510,388 | ||||||
Zscaler, Inc.* | 6,827 | 355,891 | ||||||
10,905,330 | ||||||||
Cosmetics/Personal Care — 0.4% | ||||||||
Avon Products, Inc.* | 17,249 | 79,173 | ||||||
elf Beauty, Inc.* | 41,055 | 680,281 | ||||||
Inter Parfums, Inc. | 5,601 | 394,815 | ||||||
1,154,269 | ||||||||
Distribution/Wholesale — 0.9% | ||||||||
Anixter International, Inc.* | 1,549 | 132,966 | ||||||
Core-Mark Holding Co., Inc. | 10,560 | 284,592 | ||||||
Fossil Group, Inc.* | 7,293 | 54,625 | ||||||
H&E Equipment Services, Inc. | 14,011 | 462,363 | ||||||
Manitex International, Inc.* | 124,150 | 664,202 | ||||||
Pool Corp. | 2,106 | 434,784 | ||||||
Resideo Technologies, Inc.* | 34,030 | 332,813 | ||||||
SiteOne Landscape Supply, Inc.* | 5,043 | 447,617 | ||||||
2,813,962 | ||||||||
Diversified Financial Services — 1.7% | ||||||||
Blucora, Inc.* | 3,569 | 84,014 | ||||||
Encore Capital Group, Inc.* | 3,458 | 126,113 | ||||||
Enova International, Inc.* | 24,746 | 569,900 | ||||||
Evercore Partners, Inc., Class A | 8,458 | 654,480 | ||||||
Greenhill & Co., Inc. | 3,481 | 59,212 | ||||||
Houlihan Lokey, Inc. | 11,457 | 546,155 | ||||||
I3 Verticals, Inc., Class A* | 39,643 | 1,083,047 | ||||||
Interactive Brokers Group, Inc., Class A | 3,063 | 148,311 | ||||||
LendingTree, Inc.* | 1,365 | 492,124 |
The accompanying notes are an integral part of the portfolio of investments.
18
ADARA SMALLER COMPANIES FUND
PORTFOLIO OF INVESTMENTS (CONTINUED)
NOVEMBER 30, 2019 (UNAUDITED)
Number of Shares | Value | |||||||
Moelis & Co., Class A | 15,441 | 508,935 | ||||||
Silvercrest Asset Management Group, Inc., Class A | 63,693 | 824,824 | ||||||
Virtus Investment Partners, Inc. | 807 | 95,065 | ||||||
World Acceptance Corp.* | 2,155 | 204,703 | ||||||
5,396,883 | ||||||||
Electric — 0.2% | ||||||||
ALLETE, Inc. | 4,232 | 339,025 | ||||||
Avista Corp. | 1,395 | 65,956 | ||||||
El Paso Electric Co. | 1,366 | 92,642 | ||||||
497,623 | ||||||||
Electrical Components & Equipment — 0.5% | ||||||||
Encore Wire Corp. | 1,848 | 107,812 | ||||||
EnerSys | 3,171 | 222,509 | ||||||
Insteel Industries, Inc. | 19,158 | 446,956 | ||||||
Littelfuse, Inc. | 1,079 | 195,742 | ||||||
nLight, Inc.* | 27,300 | 544,089 | ||||||
1,517,108 | ||||||||
Electronics — 4.1% | ||||||||
Atkore International Group, Inc.* | 8,874 | 370,223 | ||||||
Benchmark Electronics, Inc. | 3,373 | 116,267 | ||||||
Brady Corp., Class A | 2,928 | 166,896 | ||||||
Coherent, Inc.* | 1,014 | 152,972 | ||||||
Comtech Telecommunications Corp. | 38,400 | 1,451,136 | ||||||
FARO Technologies, Inc.* | 6,366 | 310,152 | ||||||
Identiv, Inc.* | 98,450 | 538,521 | ||||||
II-VI, Inc.* | 3,812 | 111,272 | ||||||
Itron, Inc.* | 9,279 | 743,062 | ||||||
Ituran Location and Control Ltd. | 27,021 | 648,504 | ||||||
Knowles Corp.* | 30,975 | 678,353 | ||||||
Napco Security Technologies, Inc.* | 51,080 | 1,596,250 | ||||||
NVE Corp. | 2,254 | 143,332 | ||||||
nVent Electric PLC | 31,652 | 782,121 | ||||||
OSI Systems, Inc.* | 1,136 | 113,021 | ||||||
Plexus Corp.* | 2,641 | 200,452 | ||||||
RADA Electronic Industries Ltd.* | 56,003 | 304,656 | ||||||
Sanmina Corp.* | 6,648 | 211,473 | ||||||
SMART Global Holdings, Inc.* | 15,542 | 478,694 | ||||||
SYNNEX Corp. | 830 | 101,932 | ||||||
Tech Data Corp.* | 13,042 | 1,889,655 | ||||||
TTM Technologies, Inc.* | 8,548 | 114,629 | ||||||
Turtle Beach Corp.* | 41,198 | 343,591 | ||||||
Woodward, Inc. | 2,558 | 298,749 | ||||||
ZAGG, Inc.* | 150,050 | 1,152,384 | ||||||
13,018,297 | ||||||||
Energy-Alternate Sources — 0.2% | ||||||||
Clean Energy Fuels Corp.* | 83,658 | 163,133 | ||||||
Envision Solar International, Inc.* | 29,971 | 137,567 | ||||||
Renewable Energy Group, Inc.* | 4,229 | 72,147 | ||||||
REX American Resources Corp.* | 1,203 | 110,495 | ||||||
SolarEdge Technologies, Inc.* | 1,052 | 85,854 | ||||||
569,196 | ||||||||
Engineering & Construction — 1.9% | ||||||||
Arcosa, Inc. | 27,192 | 1,066,198 | ||||||
Argan, Inc. | 23,950 | 877,528 | ||||||
Comfort Systems USA, Inc. | 24,230 | 1,238,153 | ||||||
Dycom Industries, Inc.* | 2,682 | 139,598 | ||||||
EMCOR Group, Inc. | 4,741 | 421,617 | ||||||
Exponent, Inc. | 2,780 | 176,669 | ||||||
Iteris, Inc.* | 89,418 | 462,291 | ||||||
Mistras Group, Inc.* | 21,450 | 283,998 | ||||||
MYR Group, Inc.* | 4,168 | 143,213 | ||||||
Primoris Services Corp. | 15,596 | 343,424 | ||||||
Sterling Construction Co., Inc.* | 36,010 | 524,666 | ||||||
TopBuild Corp.* | 2,707 | 298,528 | ||||||
5,975,883 | ||||||||
Entertainment — 0.4% | ||||||||
Red Rock Resorts, Inc., Class A | 20,196 | 472,587 | ||||||
Scientific Games Corp.* | 6,167 | 168,729 | ||||||
Six Flags Entertainment Corp. | 15,648 | 680,375 | ||||||
1,321,691 |
The accompanying notes are an integral part of the portfolio of investments.
19
ADARA SMALLER COMPANIES FUND
PORTFOLIO OF INVESTMENTS (CONTINUED)
NOVEMBER 30, 2019 (UNAUDITED)
Number of Shares | Value | |||||||
Environmental Control — 0.2% | ||||||||
Casella Waste Systems, Inc., Class A* | 8,235 | 384,657 | ||||||
Tetra Tech, Inc. | 3,198 | 282,351 | ||||||
667,008 | ||||||||
Food — 1.8% | ||||||||
BellRing Brands, Inc., Class A* | 30,031 | 601,521 | ||||||
Calavo Growers, Inc. | 688 | 61,363 | ||||||
Cal-Maine Foods, Inc. | 1,158 | 50,408 | ||||||
Grocery Outlet Holding Corp.* | 16,779 | 555,888 | ||||||
Hostess Brands, Inc.* | 137,570 | 1,850,317 | ||||||
Ingles Markets, Inc., Class A | 27,010 | 1,200,324 | ||||||
J&J Snack Foods Corp. | 681 | 125,985 | ||||||
Landec Corp.* | 85,663 | 981,698 | ||||||
Sanderson Farms, Inc. | 1,371 | 227,010 | ||||||
SpartanNash Co. | 3,619 | 51,245 | ||||||
United Natural Foods, Inc.* | 6,025 | 54,948 | ||||||
5,760,707 | ||||||||
Forest Products & Paper — 0.1% | ||||||||
Mercer International, Inc. | 3,030 | 37,966 | ||||||
Neenah Paper, Inc. | 1,286 | 93,595 | ||||||
PH Glatfelter Co. | 2,049 | 36,575 | ||||||
Schweitzer-Mauduit International, Inc. | 2,483 | 108,904 | ||||||
277,040 | ||||||||
Gas — 0.3% | ||||||||
New Jersey Resources Corp. | 2,340 | 99,544 | ||||||
Northwest Natural Holding Co. | 2,390 | 164,360 | ||||||
South Jersey Industries, Inc. | 4,502 | 140,642 | ||||||
Southwest Gas Holdings, Inc. | 1,612 | 122,125 | ||||||
Spire, Inc. | 5,337 | 413,191 | ||||||
939,862 | ||||||||
Hand/Machine Tools — 0.4% | ||||||||
Colfax Corp.* | 28,493 | 960,214 | ||||||
Franklin Electric Co., Inc. | 1,896 | 105,171 | ||||||
Luxfer Holdings PLC | 20,060 | 350,448 | ||||||
1,415,833 | ||||||||
Healthcare-Products — 4.6% | ||||||||
ABIOMED, Inc.* | 1,453 | 285,050 | ||||||
Alpha Pro Tech Ltd.* | 44,141 | 148,755 | ||||||
Alphatec Holdings, Inc.* | 56,338 | 397,183 | ||||||
AxoGen, Inc.* | 13,310 | 230,662 | ||||||
BioLife Solutions, Inc.* | 72,136 | 1,208,278 | ||||||
Cantel Medical Corp. | 1,814 | 139,497 | ||||||
Castle Biosciences, Inc.* | 16,363 | 440,656 | ||||||
Cerus Corp.* | 93,814 | 407,153 | ||||||
CRH Medical Corp.* | 282,400 | 872,616 | ||||||
Glaukos Corp.* | 4,036 | 258,829 | ||||||
Haemonetics Corp.* | 3,260 | 393,156 | ||||||
ICU Medical, Inc.* | 578 | 108,363 | ||||||
Inspire Medical Systems, Inc.* | 22,888 | 1,624,132 | ||||||
Insulet Corp.* | 2,092 | 388,484 | ||||||
Integra LifeSciences Holdings Corp.* | 3,088 | 188,337 | ||||||
iRhythm Technologies, Inc.* | 3,848 | 277,402 | ||||||
Luminex Corp. | 1,725 | 36,449 | ||||||
Masimo Corp.* | 3,409 | 528,634 | ||||||
Merit Medical Systems, Inc.* | 3,088 | 86,464 | ||||||
NuVasive, Inc.* | 789 | 56,997 | ||||||
OrthoPediatrics Corp.* | 24,977 | 982,595 | ||||||
Oxford Immunotec Global, PLC* | 31,836 | 531,661 | ||||||
Patterson Cos, Inc. | 16,700 | 324,982 | ||||||
Repligen Corp.* | 6,556 | 581,845 | ||||||
Semler Scientific, Inc.* | 12,995 | 558,785 | ||||||
Shockwave Medical, Inc.* | 12,692 | 497,019 | ||||||
SI-BONE, Inc.* | 44,888 | 798,558 | ||||||
Tactile Systems Technology, Inc.* | 7,162 | 459,872 | ||||||
Tandem Diabetes Care, Inc.* | 12,796 | 883,308 | ||||||
ViewRay, Inc.* | 67,000 | 222,440 | ||||||
West Pharmaceutical Services, Inc. | 2,836 | 416,977 | ||||||
Zynex, Inc. | 20,327 | 213,434 | ||||||
14,548,573 |
The accompanying notes are an integral part of the portfolio of investments.
20
ADARA SMALLER COMPANIES FUND
PORTFOLIO OF INVESTMENTS (CONTINUED)
NOVEMBER 30, 2019 (UNAUDITED)
Number of Shares | Value | |||||||
Healthcare-Services — 2.3% | ||||||||
Addus HomeCare Corp.* | 6,574 | 612,763 | ||||||
Amedisys, Inc.* | 5,083 | 828,326 | ||||||
Catalent, Inc.* | 11,165 | 580,468 | ||||||
Chemed Corp. | 621 | 267,042 | ||||||
eHealth, Inc.* | 9,471 | 873,794 | ||||||
Ensign Group, Inc., (The) | 2,070 | 89,900 | ||||||
Fulgent Genetics, Inc.* | 27,620 | 314,868 | ||||||
Joint Corp., (The)* | 69,711 | 1,334,966 | ||||||
LHC Group, Inc.* | 6,784 | 904,986 | ||||||
Magellan Health, Inc.* | 1,789 | 139,059 | ||||||
Natera, Inc.* | 20,655 | 753,701 | ||||||
Pennant Group Inc., (The)* | 1,035 | 24,240 | ||||||
Providence Service Corp., (The)* | 2,212 | 132,034 | ||||||
Psychemedics Corp. | 11,854 | 107,634 | ||||||
US Physical Therapy, Inc. | 1,232 | 143,971 | ||||||
Vapotherm, Inc.* | 13,712 | 151,655 | ||||||
7,259,407 | ||||||||
Holding Companies-Diversified — 0.2% | ||||||||
ChaSerg Technology Acquisition Corp., Class A* | 35,454 | 388,221 | ||||||
Health Sciences Acquisitions Corp.* | 24,276 | 254,413 | ||||||
642,634 | ||||||||
Home Builders — 1.9% | ||||||||
Century Communities, Inc.* | 22,137 | 630,904 | ||||||
Installed Building Products, Inc.* | 16,991 | 1,218,255 | ||||||
LCI Industries | 2,012 | 214,198 | ||||||
LGI Homes, Inc.* | 13,276 | 959,457 | ||||||
MDC Holdings, Inc. | 4,064 | 160,812 | ||||||
Skyline Corp.* | 52,325 | 1,736,143 | ||||||
William Lyon Homes, Class A* | 6,118 | 127,744 | ||||||
Winnebago Industries, Inc. | 17,944 | 852,878 | ||||||
5,900,391 | ||||||||
Home Furnishings — 0.4% | ||||||||
Ethan Allen Interiors, Inc. | 1,723 | 30,807 | ||||||
Hooker Furniture Corp. | 8,270 | 196,909 | ||||||
iRobot Corp.* | 968 | 42,166 | ||||||
La-Z-Boy, Inc. | 2,014 | 63,642 | ||||||
Sleep Number Corp.* | 2,991 | 144,376 | ||||||
Universal Electronics, Inc.* | 14,863 | 826,383 | ||||||
1,304,283 | ||||||||
Household Products/Wares — 0.2% | ||||||||
Acme United Corp. | 11,359 | 252,056 | ||||||
Central Garden & Pet Co.* | 1,283 | 33,846 | ||||||
Quanex Building Products Corp. | 3,617 | 70,387 | ||||||
WD-40 Co. | 995 | 192,144 | ||||||
548,433 | ||||||||
Housewares — 0.3% | ||||||||
Lifetime Brands, Inc. | 63,990 | 417,215 | ||||||
Toro Co., (The) | 5,348 | 418,107 | ||||||
Tupperware Brands Corp. | 9,396 | 79,396 | ||||||
914,718 | ||||||||
Insurance — 3.0% | ||||||||
Ambac Financial Group, Inc.* | 2,222 | 46,262 | ||||||
American Equity Investment Life Holding Co. | 11,107 | 330,100 | ||||||
American National Insurance Co. | 4,156 | 490,408 | ||||||
BRP Group, Inc.* | 33,899 | 583,741 | ||||||
Employers Holdings, Inc. | 3,729 | 160,235 | ||||||
FGL Holdings | 82,160 | 750,121 | ||||||
Genworth Financial, Inc., Class A* | 47,731 | 189,015 | ||||||
Goosehead Insurance, Inc., Class A | 14,666 | 594,266 | ||||||
HCI Group, Inc. | 3,972 | 183,904 | ||||||
Health Insurance Innovations, Inc., Class A* | 13,772 | 247,483 | ||||||
Heritage Insurance Holdings, Inc. | 49,510 | 677,792 | ||||||
Horace Mann Educators Corp. | 2,570 | 111,564 | ||||||
Kinsale Capital Group, Inc. | 7,848 | 794,688 | ||||||
NMI Holdings, Inc., Class A* | 20,422 | 685,567 | ||||||
Palomar Holdings, Inc.* | 14,946 | 815,603 | ||||||
RLI Corp. | 1,478 | 135,045 | ||||||
Safety Insurance Group, Inc. | 1,702 | 166,200 | ||||||
Selective Insurance Group, Inc. | 3,866 | 256,006 | ||||||
United Insurance Holdings Corp. | 3,198 | 40,583 |
The accompanying notes are an integral part of the portfolio of investments.
21
ADARA SMALLER COMPANIES FUND
PORTFOLIO OF INVESTMENTS (CONTINUED)
NOVEMBER 30, 2019 (UNAUDITED)
Number of Shares | Value | |||||||
Universal Insurance Holdings, Inc. | 1,883 | 54,795 | ||||||
White Mountains Insurance Group Ltd. | 1,920 | 2,125,286 | ||||||
9,438,664 | ||||||||
Internet — 2.8% | ||||||||
8x8, Inc.* | 4,788 | 98,250 | ||||||
Aspen Group, Inc.* | 42,750 | 302,670 | ||||||
Bandwidth, Inc., Class A* | 9,006 | 503,706 | ||||||
Boingo Wireless, Inc.* | 52,049 | 599,084 | ||||||
Cardlytics, Inc.* | 27,714 | 1,553,370 | ||||||
DHI Group, Inc.* | 45,973 | 154,929 | ||||||
EverQuote, Inc., Class A* | 18,580 | 654,202 | ||||||
Gannett Co., Inc. | 14,609 | 92,912 | ||||||
HealthStream, Inc.* | 2,625 | 76,466 | ||||||
HyreCar, Inc.* | 65,596 | 171,861 | ||||||
Limelight Networks, Inc.* | 116,932 | 499,300 | ||||||
Mimecast Ltd.* | 6,978 | 309,474 | ||||||
OptimizeRx Corp.* | 26,987 | 288,761 | ||||||
Perficient, Inc.* | 25,048 | 1,059,029 | ||||||
Q2 Holdings, Inc.* | 6,015 | 507,846 | ||||||
Rubicon Project Inc., (The)* | 88,184 | 712,527 | ||||||
Stamps.com, Inc.* | 659 | 57,498 | ||||||
Stitch Fix, Inc., Class A* | 17,933 | 422,860 | ||||||
Wix.com Ltd.* | 2,526 | 305,368 | ||||||
Yelp, Inc.* | 12,576 | 436,136 | ||||||
8,806,249 | ||||||||
Iron/Steel — 0.1% | ||||||||
Allegheny Technologies, Inc.* | 20,056 | 462,491 | ||||||
Leisure Time — 0.7% | ||||||||
Callaway Golf Co. | 34,878 | 724,765 | ||||||
Camping World Holdings, Inc., Class A | 11,118 | 133,861 | ||||||
Liberty TripAdvisor Holdings, Inc., Class A* | 57,339 | 397,359 | ||||||
Lindblad Expeditions Holdings, Inc.* | 27,664 | 428,792 | ||||||
OneSpaWorld Holdings Ltd. | 19,049 | 311,070 | ||||||
Vista Outdoor, Inc.* | 14,337 | 118,710 | ||||||
2,114,557 | ||||||||
Lodging — 0.7% | ||||||||
Boyd Gaming Corp. | 29,724 | 874,183 | ||||||
Extended Stay America, Inc. | 89,719 | 1,324,252 | ||||||
2,198,435 | ||||||||
Machinery-Construction & Mining — 0.1% | ||||||||
SPX Corp.* | 4,521 | 216,013 | ||||||
Machinery-Diversified — 2.3% | ||||||||
Albany International Corp., Class A | 1,126 | 94,224 | ||||||
Applied Industrial Technologies, Inc. | 1,045 | 66,723 | ||||||
Briggs & Stratton Corp. | 4,447 | 23,792 | ||||||
Chart Industries, Inc.* | 2,562 | 141,422 | ||||||
Columbus McKinnon Corp. | 28,691 | 1,178,626 | ||||||
Curtiss-Wright Corp. | 2,004 | 275,169 | ||||||
GrafTech International Ltd. | 48,975 | 690,058 | ||||||
Hurco Cos., Inc. | 19,330 | 691,627 | ||||||
Ichor Holdings Ltd.* | 36,905 | 1,164,353 | ||||||
Kadant, Inc. | 3,541 | 344,893 | ||||||
Newpark Resources, Inc.* | 5,829 | 34,158 | ||||||
NN, Inc. | 55,500 | 483,405 | ||||||
SPX FLOW, Inc.* | 20,821 | 986,915 | ||||||
Tennant Co. | 2,414 | 179,747 | ||||||
Twin Disc, Inc.* | 95,503 | 972,221 | ||||||
7,327,333 | ||||||||
Media — 0.2% | ||||||||
EW Scripps Co., (The), Class A | 4,556 | 67,975 | ||||||
MSG Networks, Inc., Class A* | 38,866 | 631,184 | ||||||
699,159 | ||||||||
Metal Fabricate/Hardware — 0.4% | ||||||||
CIRCOR International, Inc.* | 925 | 41,033 | ||||||
Northwest Pipe Co.* | 38,140 | 1,309,346 | ||||||
1,350,379 | ||||||||
Mining — 0.5% | ||||||||
A-Mark Precious Metals, Inc.* | 14,762 | 139,648 | ||||||
Astec Industries, Inc. | 1,849 | 69,264 | ||||||
Century Aluminum Co.* | 18,637 | 131,391 |
The accompanying notes are an integral part of the portfolio of investments.
22
ADARA SMALLER COMPANIES FUND
PORTFOLIO OF INVESTMENTS (CONTINUED)
NOVEMBER 30, 2019 (UNAUDITED)
Number of Shares | Value | |||||||
Constellium SE* | 44,362 | 627,279 | ||||||
Kaiser Aluminum Corp. | 1,039 | 113,854 | ||||||
Livent Corp.* | 12,169 | 94,918 | ||||||
ProPetro Holding Corp.* | 5,179 | 44,643 | ||||||
United States Lime & Minerals, Inc. | 4,143 | 426,190 | ||||||
1,647,187 | ||||||||
Miscellaneous Manufacturing — 0.8% | ||||||||
Axon Enterprise, Inc.* | 5,340 | 394,092 | ||||||
EnPro Industries, Inc. | 2,498 | 165,842 | ||||||
ESCO Technologies, Inc. | 7,390 | 650,837 | ||||||
Fabrinet* | 3,054 | 184,737 | ||||||
Federal Signal Corp. | 13,724 | 452,069 | ||||||
FreightCar America, Inc.* | 63,020 | 122,259 | ||||||
Hillenbrand, Inc. | 2,960 | 93,595 | ||||||
John Bean Technologies Corp. | 2,493 | 273,108 | ||||||
LiqTech International, Inc.* | 20,135 | 109,333 | ||||||
Proto Labs, Inc.* | 1,026 | 99,409 | ||||||
Standex International Corp. | 1,001 | 77,257 | ||||||
Sturm Ruger & Co., Inc. | 968 | 44,093 | ||||||
2,666,631 | ||||||||
Office Furnishings — 0.3% | ||||||||
Interface, Inc. | 3,871 | 64,994 | ||||||
Knoll, Inc. | 26,714 | 736,238 | ||||||
801,232 | ||||||||
Office/Business Equipment — 0.0% | ||||||||
Pitney Bowes, Inc. | 33,399 | 157,309 | ||||||
Oil & Gas — 1.1% | ||||||||
Bonanza Creek Energy, Inc.* | 550 | 9,603 | ||||||
Callon Petroleum Co.* | 14,232 | 51,947 | ||||||
Carrizo Oil & Gas, Inc.* | 9,562 | 61,293 | ||||||
Denbury Resources, Inc.* | 65,228 | 64,347 | ||||||
Evolution Petroleum Corp. | 63,043 | 328,454 | ||||||
Gran Tierra Energy, Inc.* | 92,840 | 94,697 | ||||||
Gulfport Energy Corp.* | 40,411 | 95,774 | ||||||
Laredo Petroleum, Inc.* | 47,650 | 102,924 | ||||||
Matador Resources Co.* | 28,454 | 400,632 | ||||||
Murphy USA, Inc.* | 9,991 | 1,174,242 | ||||||
Nabors Industries Ltd. | 32,083 | 66,091 | ||||||
Noble Corp., PLC* | 29,805 | 31,593 | ||||||
PBF Energy, Inc., Class A | 22,825 | 714,423 | ||||||
Penn Virginia Corp.* | 1,691 | 40,838 | ||||||
QEP Resources, Inc. | 56,886 | 186,017 | ||||||
Range Resources Corp. | 20,141 | 70,292 | ||||||
Valaris PLC | 11,577 | 49,318 | ||||||
Whiting Petroleum Corp.* | 14,257 | 65,297 | ||||||
3,607,782 | ||||||||
Oil & Gas Services — 0.7% | ||||||||
Archrock, Inc. | 11,302 | 95,050 | ||||||
DMC Global, Inc. | 15,648 | 721,216 | ||||||
Exterran Corp.* | 2,467 | 13,273 | ||||||
Helix Energy Solutions Group, Inc.* | 17,356 | 144,055 | ||||||
McDermott International, Inc.* | 25,020 | 20,026 | ||||||
Natural Gas Services Group, Inc.* | 60,460 | 655,386 | ||||||
NexTier Oilfield Solutions, Inc.* | 22,221 | 106,439 | ||||||
Profire Energy, Inc.* | 196,897 | 281,563 | ||||||
US Silica Holdings, Inc. | 15,865 | 78,214 | ||||||
2,115,222 | ||||||||
Packaging & Containers — 0.0% | ||||||||
Matthews International Corp., Class A | 1,027 | 39,386 | ||||||
Pharmaceuticals — 3.5% | ||||||||
Akorn, Inc.* | 10,437 | 38,095 | ||||||
Anika Therapeutics, Inc.* | 1,566 | 90,515 | ||||||
Collegium Pharmaceutical, Inc.* | 11,507 | 250,047 | ||||||
Corcept Therapeutics, Inc.* | 2,448 | 31,408 | ||||||
Cytokinetics, Inc.* | 83,706 | 809,437 | ||||||
Diplomat Pharmacy, Inc.* | 11,740 | 60,461 | ||||||
Enanta Pharmaceuticals, Inc.* | 4,093 | 260,560 | ||||||
Endo International PLC* | 18,912 | 96,073 | ||||||
Global Blood Therapeutics, Inc.* | 12,711 | 845,281 | ||||||
Harrow Health, Inc.* | 162,420 | 1,015,125 |
The accompanying notes are an integral part of the portfolio of investments.
23
ADARA SMALLER COMPANIES FUND
PORTFOLIO OF INVESTMENTS (CONTINUED)
NOVEMBER 30, 2019 (UNAUDITED)
Number of Shares | Value | |||||||
Heron Therapeutics, Inc.* | 21,962 | 561,349 | ||||||
Lannett Co, Inc.* | 4,780 | 42,160 | ||||||
Merus NV* | 44,115 | 727,015 | ||||||
Momenta Pharmaceuticals, Inc.* | 8,455 | 142,044 | ||||||
MyoKardia, Inc.* | 18,714 | 1,219,217 | ||||||
Neogen Corp.* | 2,310 | 153,777 | ||||||
Odonate Therapeutics, Inc.* | 19,664 | 676,048 | ||||||
Owens & Minor, Inc. | 10,488 | 69,430 | ||||||
Pacira BioSciences, Inc.* | 1,518 | 70,162 | ||||||
Premier, Inc., Class A* | 55,476 | 1,971,617 | ||||||
Principia Biopharma, Inc.* | 10,230 | 366,541 | ||||||
Progenics Pharmaceuticals, Inc.* | 15,612 | 81,495 | ||||||
Revance Therapeutics, Inc.* | 23,046 | 412,523 | ||||||
Spectrum Pharmaceuticals, Inc.* | 7,170 | 64,387 | ||||||
Sutro Biopharma, Inc.* | 9,324 | 103,310 | ||||||
Tricida, Inc.* | 13,659 | 545,814 | ||||||
Turning Point Therapeutics, Inc.* | 7,614 | 428,059 | ||||||
Vanda Pharmaceuticals, Inc.* | 3,296 | 55,142 | ||||||
11,187,092 | ||||||||
Real Estate — 0.2% | ||||||||
Newmark Group, Inc., Class A | 27,808 | 362,894 | ||||||
RE/MAX Holdings, Inc., Class A | 2,656 | 101,858 | ||||||
Realogy Holdings Corp. | 24,456 | 256,054 | ||||||
720,806 | ||||||||
REITS — 1.9% | ||||||||
Acadia Realty Trust | 4,655 | 125,126 | ||||||
Agree Realty Corp. | 1,641 | 122,714 | ||||||
Alpine Income Property Trust, Inc.* | 30,454 | 571,622 | ||||||
Armada Hoffler Properties, Inc. | 7,721 | 139,441 | ||||||
CareTrust REIT, Inc. | 3,664 | 76,504 | ||||||
Community Healthcare Trust, Inc. | 2,769 | 131,804 | ||||||
CoreSite Realty Corp. | 1,355 | 153,643 | ||||||
DiamondRock Hospitality Co. | 8,155 | 83,997 | ||||||
EastGroup Properties, Inc. | 2,590 | 352,732 | ||||||
Getty Realty Corp. | 5,173 | 173,606 | ||||||
Global Medical REIT, Inc. | 73,300 | 1,020,336 | ||||||
Global Net Lease, Inc. | 3,919 | 79,908 | ||||||
Great Ajax Corp. | 39,760 | 605,545 | ||||||
Healthcare Realty Trust, Inc. | 7,137 | 236,877 | ||||||
Hersha Hospitality Trust | 7,111 | 100,834 | ||||||
Independence Realty Trust, Inc. | 4,656 | 69,561 | ||||||
iStar, Inc. | 11,563 | 150,203 | ||||||
Lexington Realty Trust | 12,112 | 134,201 | ||||||
Manhattan Bridge Capital, Inc. | 55,566 | 350,066 | ||||||
Medical Properties Trust, Inc. | 5,867 | 121,799 | ||||||
Office Properties Income Trust | 3,799 | 126,735 | ||||||
Pennsylvania Real Estate Investment Trust | 13,059 | 75,220 | ||||||
PS Business Parks, Inc. | 1,242 | 219,325 | ||||||
RPT Realty | 2,382 | 35,206 | ||||||
Summit Hotel Properties, Inc. | 13,199 | 159,972 | ||||||
Universal Health Realty Income Trust | 3,469 | 413,505 | ||||||
Urstadt Biddle Properties, Inc., Class A | 4,983 | 121,436 | ||||||
Whitestone REIT | 9,003 | 126,402 | ||||||
6,078,320 | ||||||||
Retail — 6.6% | ||||||||
Abercrombie & Fitch Co., Class A | 5,117 | 81,718 | ||||||
Asbury Automotive Group, Inc.* | 2,463 | 272,999 | ||||||
Big 5 Sporting Goods Corp. | 116,800 | 315,360 | ||||||
BJ's Wholesale Club Holdings, Inc.* | 41,107 | 974,236 | ||||||
Boot Barn Holdings, Inc.* | 28,283 | 1,126,229 | ||||||
Buckle, Inc., (The) | 4,527 | 125,941 | ||||||
Build-A-Bear Workshop, Inc.* | 98,690 | 296,070 | ||||||
Caleres, Inc. | 3,918 | 85,765 | ||||||
Cannae Holdings, Inc.* | 89,526 | 3,356,330 | ||||||
Casey's General Stores, Inc. | 5,365 | 932,276 | ||||||
Cato Corp., (The), Class A | 3,069 | 58,495 | ||||||
Chico's FAS, Inc. | 8,197 | 39,100 | ||||||
Children's Place, Inc., (The) | 1,027 | 74,211 | ||||||
Chuy's Holdings, Inc.* | 2,086 | 60,118 | ||||||
Conn's, Inc.* | 10,549 | 231,340 |
The accompanying notes are an integral part of the portfolio of investments.
24
ADARA SMALLER COMPANIES FUND
PORTFOLIO OF INVESTMENTS (CONTINUED)
NOVEMBER 30, 2019 (UNAUDITED)
Number of Shares | Value | |||||||
Cracker Barrel Old Country Store, Inc. | 669 | 102,852 | ||||||
Designer Brands, Inc. Class A | 1,947 | 32,125 | ||||||
DineEquity, Inc. | 3,392 | 281,129 | ||||||
El Pollo Loco Holdings, Inc.* | 10,833 | 174,628 | ||||||
FirstCash, Inc. | 2,930 | 236,861 | ||||||
Five Below, Inc.* | 3,696 | 457,232 | ||||||
Freshpet, Inc.* | 17,839 | 958,668 | ||||||
Gaia, Inc.* | 21,145 | 176,984 | ||||||
GameStop Corp., Class A | 31,997 | 202,861 | ||||||
Genesco, Inc.* | 4,461 | 165,681 | ||||||
GMS, Inc.* | 18,931 | 586,104 | ||||||
Guess?, Inc. | 6,372 | 122,661 | ||||||
Hibbett Sports, Inc.* | 21,009 | 596,025 | ||||||
Hudson Ltd. Class A* | 29,152 | 405,504 | ||||||
J. Alexander's Holdings, Inc.* | 42,156 | 437,158 | ||||||
Lovesac Co., (The)* | 13,207 | 201,539 | ||||||
Movado Group, Inc. | 1,991 | 38,924 | ||||||
MSC Industrial Direct Co., Inc., Class A | 14,398 | 1,056,957 | ||||||
National Vision Holdings, Inc.* | 9,265 | 279,803 | ||||||
Office Depot, Inc. | 22,481 | 50,133 | ||||||
Ollie's Bargain Outlet Holdings, Inc.* | 4,978 | 325,561 | ||||||
Papa John's International, Inc. | 10,582 | 669,629 | ||||||
Red Robin Gourmet Burgers, Inc.* | 1,984 | 54,104 | ||||||
Regis Corp.* | 8,392 | 135,363 | ||||||
RH* | 2,622 | 539,057 | ||||||
Rush Enterprises, Inc., Class A | 8,522 | 390,478 | ||||||
Shoe Carnival, Inc. | 10,620 | 377,010 | ||||||
Sonic Automotive, Inc., Class A | 23,996 | 785,869 | ||||||
Sportsman's Warehouse Holdings, Inc.* | 48,234 | 352,591 | ||||||
Texas Roadhouse, Inc. | 10,884 | 630,184 | ||||||
Vitamin Shoppe, Inc.* | 8,900 | 57,672 | ||||||
Wingstop, Inc. | 4,265 | 341,200 | ||||||
Winmark Corp. | 3,329 | 589,233 | ||||||
World Fuel Services Corp. | 17,749 | 752,558 | ||||||
Zumiez, Inc.* | 3,678 | 108,648 | ||||||
20,703,174 | ||||||||
Savings & Loans — 1.0% | ||||||||
Axos Financial, Inc.* | 3,461 | 101,927 | ||||||
Banc of California, Inc. | 4,328 | 66,478 | ||||||
Berkshire Hills Bancorp, Inc. | 3,296 | 103,989 | ||||||
Brookline Bancorp, Inc. | 13,535 | 217,237 | ||||||
Dime Community Bancshares, Inc. | 10,493 | 211,539 | ||||||
FS Bancorp, Inc. | 15,040 | 899,091 | ||||||
Oritani Financial Corp. | 10,524 | 195,746 | ||||||
Provident Financial Services, Inc. | 2,904 | 70,625 | ||||||
Riverview Bancorp, Inc. | 136,861 | 989,505 | ||||||
Sterling Bancorp | 11,846 | 241,895 | ||||||
3,098,032 | ||||||||
Semiconductors — 3.8% | ||||||||
Adesto Technologies Corp.* | 34,274 | 246,773 | ||||||
Advanced Energy Industries, Inc.* | 2,466 | 158,342 | ||||||
Amtech Systems, Inc.* | 111,750 | 668,265 | ||||||
AXT, Inc.* | 236,930 | 748,699 | ||||||
Brooks Automation, Inc. | 2,595 | 116,178 | ||||||
Cabot Microelectronics Corp. | 1,581 | 210,921 | ||||||
Cirrus Logic, Inc.* | 3,525 | 252,743 | ||||||
Cohu, Inc. | 60,880 | 1,080,011 | ||||||
FormFactor, Inc.* | 24,184 | 559,618 | ||||||
Impinj, Inc.* | 31,764 | 1,002,472 | ||||||
Inphi Corp.* | 12,518 | 871,628 | ||||||
inTEST Corp.* | 51,180 | 295,820 | ||||||
Kulicke & Soffa Industries, Inc. | 6,419 | 161,053 | ||||||
Lattice Semiconductor Corp.* | 16,344 | 308,738 | ||||||
MKS Instruments, Inc. | 1,371 | 145,710 | ||||||
Monolithic Power Systems, Inc. | 1,952 | 313,647 | ||||||
Onto Innovation, Inc.* | 4,854 | 162,900 | ||||||
Photronics, Inc.* | 7,595 | 89,317 | ||||||
Power Integrations, Inc. | 3,164 | 289,474 | ||||||
Semtech Corp.* | 14,311 | 693,511 | ||||||
Silicon Laboratories, Inc.* | 4,732 | 501,261 |
The accompanying notes are an integral part of the portfolio of investments.
25
ADARA SMALLER COMPANIES FUND
PORTFOLIO OF INVESTMENTS (CONTINUED)
NOVEMBER 30, 2019 (UNAUDITED)
Number of Shares | Value | |||||||
Silicon Motion Technology Corp., ADR | 16,300 | 722,090 | ||||||
SiTime Corp.* | 22,335 | 388,629 | ||||||
Ultra Clean Holdings, Inc.* | 84,579 | 1,881,037 | ||||||
Veeco Instruments, Inc.* | 3,472 | 47,532 | ||||||
Xperi Corp. | 6,158 | 121,867 | ||||||
12,038,236 | ||||||||
Software — 7.5% | ||||||||
Alteryx, Inc., Class A* | 5,946 | 675,049 | ||||||
American Software, Inc., Class A | 41,399 | 654,518 | ||||||
Appfolio, Inc., Class A* | 2,212 | 249,779 | ||||||
Appian Corp.* | 11,551 | 497,617 | ||||||
Asure Software, Inc.* | 117,950 | 967,190 | ||||||
Avalara, Inc.* | 6,209 | 484,488 | ||||||
Avaya Holdings Corp.* | 68,670 | 876,916 | ||||||
Blackbaud, Inc. | 2,160 | 179,021 | ||||||
Blackline, Inc.* | 9,033 | 486,156 | ||||||
Bottomline Technologies de, Inc.* | 2,442 | 120,855 | ||||||
Cogent Communications Holdings, Inc. | 1,297 | 81,296 | ||||||
Computer Programs & Systems, Inc. | 30,642 | 814,771 | ||||||
Coupa Software, Inc.* | 2,290 | 351,492 | ||||||
CSG Systems International, Inc. | 2,981 | 170,483 | ||||||
Digital Turbine, Inc.* | 59,157 | 525,314 | ||||||
Donnelley Financial Solutions, Inc.* | 3,109 | 31,214 | ||||||
Ebix, Inc. | 2,006 | 69,769 | ||||||
Elastic NV* | 7,004 | 556,188 | ||||||
Everbridge, Inc.* | 10,009 | 880,192 | ||||||
Five9, Inc.* | 12,642 | 861,805 | ||||||
InnerWorkings, Inc.* | 111,940 | 527,237 | ||||||
j2 Global, Inc. | 1,540 | 149,411 | ||||||
LivePerson, Inc.* | 19,698 | 781,814 | ||||||
LiveRamp Holdings, Inc.* | 8,407 | 421,107 | ||||||
ManTech International Corp., Class A | 2,301 | 178,512 | ||||||
Materialise NV, ADR* | 32,354 | 571,695 | ||||||
MiX Telematics Ltd., SP ADR | 29,769 | 361,693 | ||||||
Model N, Inc.* | 51,881 | 1,578,220 | ||||||
NextGen Healthcare, Inc.* | 3,902 | 71,875 | ||||||
Omnicell, Inc.* | 5,305 | 424,347 | ||||||
Phreesia, Inc.* | 16,033 | 450,848 | ||||||
Pluralsight, Inc., Class A* | 21,154 | 359,406 | ||||||
Progress Software Corp. | 5,306 | 222,905 | ||||||
PROS Holdings, Inc.* | 7,841 | 488,416 | ||||||
QAD, Inc., Class A | 21,362 | 1,091,812 | ||||||
Red Violet, Inc.* | 74,989 | 1,279,312 | ||||||
SharpSpring, Inc.* | 96,478 | 1,213,693 | ||||||
Simulations Plus, Inc. | 23,817 | 795,964 | ||||||
Smartsheet, Inc., Class A* | 8,308 | 394,048 | ||||||
SVMK, Inc.* | 17,716 | 302,412 | ||||||
Tabula Rasa HealthCare, Inc.* | 7,970 | 355,542 | ||||||
Take-Two Interactive Software, Inc.* | 3,989 | 484,065 | ||||||
TiVo Corp. | 5,483 | 42,822 | ||||||
Verra Mobility Corp.* | 25,608 | 383,352 | ||||||
Workiva, Inc.* | 8,368 | 362,920 | ||||||
Yext, Inc.* | 27,498 | 474,616 | ||||||
Zovio, Inc.* | 92,130 | 186,103 | ||||||
23,488,260 | ||||||||
Storage/Warehousing — 0.2% | ||||||||
Mobile Mini, Inc. | 13,211 | 501,490 | ||||||
Telecommunications — 1.2% | ||||||||
ATN International, Inc. | 1,366 | 76,701 | ||||||
CalAmp Corp.* | 3,240 | 33,988 | ||||||
ExOne Co., (The)* | 68,687 | 469,132 | ||||||
Iridium Communications, Inc.* | 9,628 | 224,332 | ||||||
Liberty Latin America Ltd., Class C* | 80,753 | 1,448,709 | ||||||
LogMeIn, Inc. | 1,382 | 107,768 | ||||||
Maxar Technologies, Inc. | 19,646 | 204,318 | ||||||
NetGear, Inc.* | 2,616 | 65,688 | ||||||
One Stop Systems, Inc.* | 91,260 | 176,132 | ||||||
ORBCOMM, Inc.* | 75,383 | 302,286 | ||||||
Viavi Solutions, Inc.* | 23,640 | 355,073 | ||||||
Vonage Holdings Corp.* | 45,721 | 361,653 | ||||||
3,825,780 |
The accompanying notes are an integral part of the portfolio of investments.
26
ADARA SMALLER COMPANIES FUND
PORTFOLIO OF INVESTMENTS (CONTINUED)
NOVEMBER 30, 2019 (UNAUDITED)
Number of Shares | Value | |||||||
Textiles — 0.5% | ||||||||
UniFirst Corp. | 6,891 | 1,421,269 | ||||||
Toys/Games/Hobbies — 0.1% | ||||||||
Funko, Inc., Class A* | 28,399 | 405,254 | ||||||
Transportation — 2.3% | ||||||||
Air Transport Services Group, Inc.* | 97,555 | 2,400,828 | ||||||
ArcBest Corp. | 4,606 | 132,561 | ||||||
CryoPort, Inc.* | 21,992 | 346,374 | ||||||
Echo Global Logistics, Inc.* | 4,834 | 96,825 | ||||||
Forward Air Corp. | 9,439 | 661,013 | ||||||
Heartland Express, Inc. | 18,738 | 401,180 | ||||||
Knight-Swift Transportation Holdings, Inc. | 1,873 | 69,282 | ||||||
Marten Transport Ltd. | 30,199 | 638,105 | ||||||
Matson, Inc. | 2,281 | 86,085 | ||||||
PAM Transportation Services, Inc.* | 12,570 | 656,154 | ||||||
Saia, Inc.* | 16,234 | 1,540,607 | ||||||
Scorpio Tankers, Inc. | 6,207 | 213,459 | ||||||
7,242,473 | ||||||||
Water — 0.4% | ||||||||
American States Water Co. | 1,758 | 149,940 | ||||||
California Water Service Group | 1,969 | 101,207 | ||||||
Global Water Resources, Inc. | 36,066 | 485,809 | ||||||
PICO Holdings, Inc.* | 39,282 | 431,316 | ||||||
1,168,272 | ||||||||
TOTAL COMMON STOCKS | ||||||||
(Cost $221,933,491) | 292,971,489 | |||||||
SHORT-TERM INVESTMENTS - 7.0% | ||||||||
First American Treasury Obligations Fund, Class X, 1.59% (a) | 22,013,119 | 22,013,119 | ||||||
TOTAL SHORT-TERM INVESTMENTS | ||||||||
(Cost $22,013,119) | 22,013,119 | |||||||
TOTAL INVESTMENTS - 100.0% | ||||||||
(Cost $243,946,609) | 314,984,608 | |||||||
OTHER ASSETS IN EXCESS OF LIABILITIES - 0.0% | 156,285 | |||||||
NET ASSETS - 100.0% | $ | 315,140,893 |
* | Non-income producing security. |
(a) | Seven-day yield as of November 30, 2019. |
ADR American Depositary Receipt
PLC Public Limited Company
REIT Real Estate Investment Trust
SP ADR Sponsored ADR
The accompanying notes are an integral part of the portfolio of investments.
27
AQUARIUS INTERNATIONAL FUND
PORTFOLIO OF INVESTMENTS
NOVEMBER 30, 2019 (UNAUDITED)
Number of Shares | Value | |||||||
COMMON STOCKS - 84.8% | ||||||||
Advertising — 0.0% | ||||||||
WPP, PLC | 4,084 | $ | 52,735 | |||||
Aerospace/Defense — 0.2% | ||||||||
Airbus SE, ADR | 3,036 | 111,573 | ||||||
BAE Systems PLC, SP ADR | 3,620 | 107,804 | ||||||
CAE, Inc. | 913 | 24,569 | ||||||
Safran SA | 231 | 37,768 | ||||||
Safran SA, ADR | 1,720 | 70,279 | ||||||
351,993 | ||||||||
Agriculture — 0.4% | ||||||||
British American Tabacco, PLC, SP ADR | 4,706 | 186,404 | ||||||
Origin Enterprises, PLC | 147,132 | 607,910 | ||||||
794,314 | ||||||||
Airlines — 1.0% | ||||||||
Aeroflot PJSC | 13,125 | 20,981 | ||||||
Copa Holdings SA, Class A | 818 | 85,285 | ||||||
Pegasus Hava Tasimaciligi AS* | 6,554 | 82,591 | ||||||
Ryanair Holding, PLC, SP ADR* | 18,883 | 1,573,331 | ||||||
Singapore Airlines Ltd. | 9,000 | 60,506 | ||||||
1,822,694 | ||||||||
Apparel — 1.3% | ||||||||
Adidas AG, SP ADR | 892 | 139,197 | ||||||
Gildan Activewear, Inc. | 1,268 | 36,911 | ||||||
Hermes International | 80 | 59,943 | ||||||
Kering SA | 139 | 83,704 | ||||||
LVMH Moet Hennessy Louis Vuitton SE | 3,338 | 1,494,422 | ||||||
LVMH Moet Hennessy Louis Vuitton SE, ADR | 2,000 | 178,633 | ||||||
Shenzhou International Group Holdings, Ltd. | 26,586 | 350,469 | ||||||
2,343,279 | ||||||||
Auto Manufacturers — 0.7% | ||||||||
Bayerische Motoren Werke AG | 1,330 | 107,259 | ||||||
Daimler AG NA | 1,369 | 77,058 | ||||||
Daimler AG | 1,552 | 87,393 | ||||||
Ferrari NV | 159 | 26,755 | ||||||
Geely Automobile Holdings Ltd., ADR | 883 | 33,024 | ||||||
Geely Automobile Holdings Ltd. | 6,982 | 13,057 | ||||||
Honda Motor Co. Ltd. | 4,500 | 126,493 | ||||||
Hyundai Motor Co. | 427 | 43,816 | ||||||
Subaru Corp. | 2,000 | 52,416 | ||||||
Tata Motors, Ltd., SP ADR* | 13,089 | 146,859 | ||||||
Toyota Motor Corp., SP ADR | 3,440 | 482,322 | ||||||
Volkswagen AG | 168 | 31,976 | ||||||
Volkswagen AG, ADR | 3,570 | 67,848 | ||||||
Volvo AB, Class B | 3,636 | 56,212 | ||||||
1,352,488 | ||||||||
Auto Parts & Equipment — 0.4% | ||||||||
Bridgestone Corp. | 1,219 | 48,757 | ||||||
Denso Corp., ADR | 660 | 14,790 | ||||||
Denso Corp. | 734 | 32,802 | ||||||
Fuyao Glass Industrials Group, Ltd. (a) | 116,000 | 342,204 | ||||||
Hyundai Mobis Co., Ltd. | 1,054 | 218,855 | ||||||
Valeo SA, ADR | 1,646 | 32,492 | ||||||
689,900 | ||||||||
Banks — 7.4% | ||||||||
Abu Dhabi Community Bank. | 37,448 | 76,824 | ||||||
Aozora Bank Ltd. | 1,000 | 25,489 | ||||||
Australia & New Zealand Banking Group Ltd., ADR | 1,618 | 27,182 | ||||||
Banco Bilbao Vizcaya Argentaria SA | 16,248 | 85,357 | ||||||
Banco do Brasil SA, SP ADR | 1,478 | 16,568 | ||||||
Banco Santander Brasil SA, ADR | 6,194 | 64,356 | ||||||
Banco Santander Mexico SA Institucion de Banca Multiple Grupo Financiero Santand, ADR | 6,639 | 41,892 | ||||||
Banco Santander SA | 16,236 | 63,238 | ||||||
Bangkok Bank | 113,800 | 668,397 | ||||||
Bank Central Asia Tbk PT | 154,486 | 343,803 |
The accompanying notes are an integral part of the cportfolio of investments.
28
AQUARIUS INTERNATIONAL FUND
PORTFOLIO OF INVESTMENTS (CONTINUED)
NOVEMBER 30, 2019 (UNAUDITED)
Number of Shares | Value | |||||||
Bank Leumi Le Israel | 174,384 | 1,263,829 | ||||||
Bank Mandiri Persero Tbk PT, ADR | 2,253 | 21,967 | ||||||
Bank Montreal | 2,225 | 171,214 | ||||||
Bank of China, Ltd. | 41,028 | 16,455 | ||||||
Bank of Ireland Group, PLC | 208,921 | 1,047,689 | ||||||
Bank of Kyoto Ltd., (The) | 3,000 | 123,856 | ||||||
Bank of Nova Scotia, (The) | 2,027 | 113,755 | ||||||
Bank Rakyat Indonesia Persero Tbk PT, ADR | 2,219 | 31,843 | ||||||
Bank Tabungan Pensiunan Nasional Syariah Tbk PT* | 84,144 | 23,623 | ||||||
Bankinter SA | 6,617 | 46,214 | ||||||
BDO Unibank, Inc. | 71,975 | 214,948 | ||||||
BNP Paribas SA | 1,469 | 82,354 | ||||||
BNP Paribas SA, ADR | 3,020 | 84,635 | ||||||
Canadian Imperial Bank of Commerce | 1,382 | 120,096 | ||||||
China Construction Bank Corp. | 614 | 488 | ||||||
China Merchants Bank Co., Ltd. | 6,063 | 28,649 | ||||||
China Merchants Bank Co., Ltd., ADR | 554 | 13,131 | ||||||
China Minsheng Banking Corp., Ltd. | 77,000 | 53,597 | ||||||
CITIC, Ltd. | 15,542 | 19,456 | ||||||
Commercial International Bank Egypt SAE | 35,124 | 171,697 | ||||||
Commonwealth Bank Of Australia | 2,556 | 139,841 | ||||||
Commonweatlh Bank Of Australia, SP ADR | 334 | 18,340 | ||||||
Credit Agricole SA | 2,988 | 40,775 | ||||||
Dah Sing Financial Holdings, Ltd. | 115,200 | 419,400 | ||||||
DBS Group Holdings, Ltd. | 55,600 | 1,026,097 | ||||||
DBS Group Holdings, Ltd., SP ADR | 2,231 | 164,313 | ||||||
FirstRand, Ltd. | 11,220 | 47,891 | ||||||
Fukuoka Financial Group, Inc. | 2,000 | 38,138 | ||||||
Grupo Financiero Banorte SAB de CV, SP ADR | 1,841 | 48,602 | ||||||
Hang Seng Bank, Ltd. | 6,200 | 126,388 | ||||||
HDFC Bank Ltd. | 60,864 | 1,078,873 | ||||||
HDFC Bank, Ltd., ADR | 6,246 | 385,690 | ||||||
HSBC Holdings, PLC, SP ADR | 8,367 | 311,754 | ||||||
ICICI Bank, Ltd., SP ADR | 51,717 | 728,693 | ||||||
Industrial & Commerical Bank China, Ltd., ADR | 1,942 | 27,576 | ||||||
Industrial & Commerical Bank China, Ltd. | 323,597 | 230,624 | ||||||
ING Groep NV | 8,470 | 97,403 | ||||||
Intesa Sanpaolo | 9,153 | 23,159 | ||||||
Intesa Sanpaolo SpA, ADR | 2,278 | 34,557 | ||||||
KBC Group NV | 2,433 | 177,100 | ||||||
Kotak Mahindra Bank, Ltd. | 11,719 | 263,608 | ||||||
Lloyds Banking Group PLC, ADR | 26,067 | 80,808 | ||||||
Macquarie Group, Ltd. | 679 | 63,449 | ||||||
Macquarie Group, Ltd., ADR | 272 | 25,546 | ||||||
Mediobanca Banca di Credito Finanziario SpA | 7,552 | 84,326 | ||||||
Mitsubishi UFJ Financial Group Inc., SP ADR | 32,727 | 173,780 | ||||||
Mitsubishi UFJ Financial Group, Inc. | 11,911 | 63,138 | ||||||
Mizuho Financial Group, Inc. | 35,600 | 55,126 | ||||||
National Australia Bank, Ltd. | 5,821 | 102,017 | ||||||
National Australia Bank, Ltd., ADR | 2,302 | 20,189 | ||||||
Nordea Bank Abp | 93 | 659 | ||||||
Nordea Bank Abp | 11,504 | 81,484 | ||||||
OTP Bank, PLC | 8,572 | 403,153 | ||||||
Oversea-Chinese Bank Corp., Ltd. | 6,614 | 52,115 | ||||||
Raiffeisen Bank International AG | 2,523 | 59,184 | ||||||
Resona Holdings, Inc. | 9,918 | 42,092 | ||||||
Royal Bank Canada | 3,528 | 288,414 | ||||||
Sberbank Russia, SP ADR | 14,617 | 213,408 | ||||||
Skandinaviska Enskilda Banken AB, Class A | 2,420 | 20,752 | ||||||
Societe Generale SA | 1,533 | 48,176 | ||||||
Societe Generale SA, ADR | 11,240 | 70,475 | ||||||
Standard Bank Group Ltd. | 2,937 | 33,159 | ||||||
Standard Chart, PLC | 4,927 | 44,328 | ||||||
Sumitomo Mitsui Financial Group Inc., SP ADR | 5,545 | 40,534 | ||||||
Sumitomo Mitsui Trust Holdings, Inc. | 3,000 | 114,964 | ||||||
Svenska Handelsbanken AB, Class A | 6,031 | 59,199 | ||||||
Swedbank AB, Class A | 6,224 | 81,047 | ||||||
Toronto-Dominion Bank, (The) | 623 | 36,009 | ||||||
UBS Group AG* | 13,717 | 166,083 | ||||||
UniCredit SpA | 8,458 | 116,749 | ||||||
United Overseas Bank, Ltd. | 27 | 510 | ||||||
Westpac Banking Corp., SP ADR | 13,894 | 230,224 | ||||||
13,362,521 | ||||||||
The accompanying notes are an integral part of the portfolio of investments.
29
AQUARIUS INTERNATIONAL FUND
PORTFOLIO OF INVESTMENTS (CONTINUED)
NOVEMBER 30, 2019 (UNAUDITED)
Number of Shares | Value | |||||||
Beverages — 4.1% | ||||||||
Ambev SA, ADR | 14,935 | 62,876 | ||||||
Anheuser-Busch InBev SA NV | 8,760 | 694,390 | ||||||
Anheuser-Busch InBev SA NV, SP ADR | 1,873 | 148,622 | ||||||
Asahi Group Holdings Ltd. | 800 | 38,518 | ||||||
China Resources Beer Holdings Co. Ltd. | 12,000 | 62,852 | ||||||
Coca-Cola Amatil, Ltd. | 237,694 | 1,830,431 | ||||||
Coca-Cola European Partners, PLC | 1,923 | 97,035 | ||||||
Coca-Cola Femsa SA De CV, SP ADR | 552 | 31,911 | ||||||
Compania Cervecerias Unidas SA, SP ADR | 3,738 | 69,190 | ||||||
Diageo, PLC | 58,445 | 2,387,861 | ||||||
Diageo, PLC, SP ADR | 1,670 | 272,945 | ||||||
Fomento Economico Mexicano SAB de CV, SP ADR | 843 | 76,654 | ||||||
Heineken Holding NV | 491 | 47,054 | ||||||
Heineken NV | 592 | 61,325 | ||||||
Kirin Holdings Co., Ltd. | 57 | 1,263 | ||||||
Pernod Ricard SA | 330 | 60,621 | ||||||
Pernod Ricard SA, ADR | 1,910 | 70,250 | ||||||
Thai Beverage, PLC | 1,913,491 | 1,245,009 | ||||||
Wuliangye Yibin Co., Ltd., Class A | 15,737 | 285,815 | ||||||
7,544,622 | ||||||||
Biotechnology — 0.2% | ||||||||
BeiGene Ltd., ADR* | 238 | 48,383 | ||||||
CSL Ltd. | 628 | 120,510 | ||||||
CSL Ltd., SP ADR | 1,030 | 99,168 | ||||||
Genmab A/S* | 184 | 42,870 | ||||||
310,931 | ||||||||
Building Materials — 1.6% | ||||||||
AGC, Inc. | 2,000 | 73,136 | ||||||
Anhui Conch Cement Co., Ltd., ADR | 455 | 14,557 | ||||||
Anhui Conch Cement Co., Ltd. | 3,500 | 22,391 | ||||||
Cemex SAB de CV, SP ADR | 5,460 | 20,366 | ||||||
China Resources Cement Holdings, Ltd. | 142,502 | 170,729 | ||||||
Cie de Saint-Gobain | 862 | 34,901 | ||||||
CRH, PLC | 27,245 | 1,042,350 | ||||||
CRH, PLC, SP ADR | 3,605 | 138,072 | ||||||
Daikin Industries, Ltd., ADR | 1,490 | 21,423 | ||||||
Daikin Industries, Ltd. | 149 | 21,465 | ||||||
Geberit AG | 90 | 48,320 | ||||||
HeidelbergCement AG | 617 | 45,465 | ||||||
Imerys SA | 579 | 22,970 | ||||||
Semen Indonesia Persero Tbk PT, ADR | 2,553 | 42,010 | ||||||
Sika AG | 6,377 | 1,109,637 | ||||||
TOTO Ltd. | 365 | 15,985 | ||||||
2,843,777 | ||||||||
Chemicals — 3.7% | ||||||||
Air Liquide SA | 14,998 | 2,033,440 | ||||||
Air Liquide SA, ADR | 1,771 | 47,950 | ||||||
Akzo Nobel NV, ADR | 1,443 | 46,133 | ||||||
Akzo Nobel NV | 417 | 39,933 | ||||||
Arkema SA | 471 | 48,811 | ||||||
Asian Paints Ltd. | 4,768 | 113,347 | ||||||
BASF SE | 2,262 | 169,791 | ||||||
Covestro AG, ADR | 736 | 17,233 | ||||||
Croda International PLC | 16,602 | 1,068,831 | ||||||
Fuchs Petrolub SE | 14,943 | 601,049 | ||||||
Givaudan SA | 27 | 79,406 | ||||||
Givaudan SA, ADR | 600 | 35,226 | ||||||
Kansai Paint Co., Ltd. | 1,360 | 34,308 | ||||||
Kingboard Holdings Ltd. | 6,500 | 17,893 | ||||||
Kuraray Co., Ltd. | 8 | 97 | ||||||
LG Chem, Ltd. | 385 | 100,146 | ||||||
Methanex Corp. | 1,110 | 41,481 | ||||||
Mitsubishi Chemical Holdings Corp. | 6,000 | 44,527 | ||||||
Mitsubishi Gas Chemical Co, Inc. | 3,000 | 46,955 | ||||||
Mitsui Chemicals, Inc. | 22 | 527 | ||||||
Nippon Paint Holdings Co., Ltd. | 422 | 22,525 | ||||||
Novozymes A/S, Class B | 14,188 | 677,866 | ||||||
Nutrien, Ltd. | 2,400 | 113,808 | ||||||
Sasol Ltd. | 5,997 | 108,115 | ||||||
Shin Etsu Chemical Co., Ltd., ADR | 2,744 | 74,061 |
The accompanying notes are an integral part of the portfolio of investments.
30
AQUARIUS INTERNATIONAL FUND
PORTFOLIO OF INVESTMENTS (CONTINUED)
NOVEMBER 30, 2019 (UNAUDITED)
Number of Shares | Value | |||||||
Shin-Etsu Chemical Co., Ltd. | 654 | 70,298 | ||||||
Sociedad Quimica y Minera de Chile SA SP ADR | 5,235 | 124,750 | ||||||
Umicore SA, ADR | 3,052 | 32,626 | ||||||
UPL Ltd. | 102,537 | 818,898 | ||||||
Yara International ASA | 1,668 | 62,837 | ||||||
6,692,868 | ||||||||
Commercial Services — 4.0% | ||||||||
Adecco Group AG | 374 | 23,151 | ||||||
Adyen NV (a)* | 209 | 160,273 | ||||||
Afya Ltd., Class A* | 3,232 | 89,009 | ||||||
ALD SA (a) | 43,354 | 654,262 | ||||||
Amadeus IT Holdings SA | 9,710 | 772,572 | ||||||
Atlantia SpA | 534 | 11,825 | ||||||
Experian PLC, ADR | 2,262 | 75,098 | ||||||
Experian, PLC | 2,543 | 84,354 | ||||||
IHS Markit, Ltd.* | 6,980 | 507,097 | ||||||
Intertek Group, PLC | 23,392 | 1,666,714 | ||||||
IWG, PLC | 35,118 | 185,709 | ||||||
New Oriental Education & Tech Group Inc., SP ADR* | 2,422 | 293,256 | ||||||
Recruit Holdings Co., Ltd. | 1,992 | 72,207 | ||||||
RELX, PLC | 64,991 | 1,573,344 | ||||||
RELX, PLC, SP ADR | 168 | 4,096 | ||||||
Secom Co., Ltd. | 358 | 30,403 | ||||||
SGS SA | 282 | 734,073 | ||||||
Shenzhen International Holdings Ltd. | 42,000 | 88,737 | ||||||
TAL Education Group, ADR* | 1,488 | 65,859 | ||||||
Transurban Group | 6,366 | 66,183 | ||||||
Wirecard AG | 156 | 20,591 | ||||||
WorleyParsons Ltd. | 4,683 | 47,494 | ||||||
7,226,307 | ||||||||
Computers — 0.7% | ||||||||
Capgemini SE | 604 | 71,449 | ||||||
CGI, Inc.* | 1,680 | 139,675 | ||||||
Globant S.A.* | 860 | 92,020 | ||||||
Infosys Ltd., SP ADR | 18,699 | 183,811 | ||||||
Nomura Research Institute Ltd. | 36,000 | 759,909 | ||||||
Wipro Ltd., ADR | 843 | 3,060 | ||||||
1,249,924 | ||||||||
Cosmetics/Personal Care — 1.5% | ||||||||
Essity AB, Class B | 1,117 | 35,109 | ||||||
Estee Lauder Cos Inc., (The), Class A | 1,014 | 198,207 | ||||||
Kao Corp.,ADR | 2,590 | 40,844 | ||||||
Kao Corp. | 1,250 | 98,415 | ||||||
L'Oreal SA | 68 | 19,388 | ||||||
L'Oreal SA, ADR | 3,400 | 194,004 | ||||||
Shiseido Co., Ltd. | 626 | 45,257 | ||||||
Shiseido Co., Ltd., SP ADR | 495 | 35,868 | ||||||
Unicharm Corp. | 1,087 | 35,630 | ||||||
Unilever NV | 3,451 | 205,507 | ||||||
Unilever NV-CVA | 29,662 | 1,764,672 | ||||||
2,672,901 | ||||||||
Distribution/Wholesale — 1.0% | ||||||||
Bunzl, PLC | 58,181 | 1,596,666 | ||||||
ITOCHU Corp., ADR | 426 | 18,970 | ||||||
ITOCHU Corp. | 3,700 | 80,787 | ||||||
Jardine Cycle & Carriage Ltd. | 974 | 21,848 | ||||||
Mitsubishi Corp. | 81 | 2,123 | ||||||
Mitsui & Co., Ltd., SP ADR | 37 | 13,143 | ||||||
Mitsui & Co., Ltd. | 5,159 | 91,507 | ||||||
Sumitomo Corp. | 15 | 226 | ||||||
Toyota Tsusho Corp. | 1,400 | 48,971 | ||||||
1,874,241 | ||||||||
Diversified Financial Services — 2.4% | ||||||||
B3 SA - Brasil Bolsa Balcao | 12,363 | 138,911 | ||||||
BOC Aviation Ltd. (a) | 14,200 | 134,123 | ||||||
Capitec Bank Holdings Ltd. | 1,958 | 189,311 | ||||||
Chailease Holding Co. Ltd. | 32,722 | 146,229 | ||||||
China International Capital Corp. Ltd. (a) | 62,496 | 107,540 | ||||||
Deutsche Boerse AG, ADR | 3,350 | 51,221 | ||||||
Deutsche Boerse AG | 7,981 | 1,221,428 | ||||||
Hong Kong Exchange & Clearing, Ltd. | 1,780 | 56,373 | ||||||
Housing Development Finance Corp. Ltd. | 6,369 | 203,829 |
The accompanying notes are an integral part of the portfolio of investments.
31
AQUARIUS INTERNATIONAL FUND
PORTFOLIO OF INVESTMENTS (CONTINUED)
NOVEMBER 30, 2019 (UNAUDITED)
Number of Shares | Value | |||||||
Japan Exchange Group, Inc., ADR | 55,800 | 949,893 | ||||||
Julius Baer Group Ltd., ADR* | 3,350 | 31,222 | ||||||
Julius Baer Group Ltd.* | 858 | 40,416 | ||||||
KB Financial Group, Inc., ADR | 3,862 | 150,657 | ||||||
London Stock Exchange Group PLC, ADR | 2,464 | 55,883 | ||||||
London Stock Exchange Group, PLC | 791 | 70,337 | ||||||
Network International Holdings PLC* (a) | 14,667 | 109,639 | ||||||
ORIX Corp. | 53 | 869 | ||||||
ORIX Corp., SP ADR | 1,073 | 88,190 | ||||||
Rathbone Brothers, PLC | 20,731 | 571,080 | ||||||
Schroders PLC | 2,836 | 120,919 | ||||||
4,438,070 | ||||||||
Electric — 0.5% | ||||||||
AGL Energy Ltd. | 1,892 | 26,113 | ||||||
CLP Holdings, Ltd. | 1,947 | 20,062 | ||||||
Endesa SA | 2,751 | 74,785 | ||||||
Enel SpA | 6,768 | 51,153 | ||||||
Fortis, Inc. | 5,996 | 234,384 | ||||||
Iberdrola SA, SP ADR | 1,618 | 63,733 | ||||||
Iberdrola SA | 8,686 | 85,450 | ||||||
Korea Electric Power Corp., SP ADR | 9,425 | 111,026 | ||||||
Orsted A/S (a) | 381 | 35,114 | ||||||
Power Assets Holdings, Ltd. | 8,000 | 55,618 | ||||||
RWE AG | 1,019 | 30,190 | ||||||
Sembcorp Industries, Ltd. | 307 | 492 | ||||||
SSE PLC, ADR | 5,415 | 91,064 | ||||||
879,184 | ||||||||
Electrical Components & Equipment — 0.6% | ||||||||
Legrand SA, ADR* | 1,125 | 17,764 | ||||||
Legrand SA | 12,128 | 957,566 | ||||||
Schneider Electric SE | 698 | 67,334 | ||||||
Schneider Electric SE, ADR | 4,025 | 77,401 | ||||||
1,120,065 | ||||||||
Electronics — 1.9% | ||||||||
ABB Ltd. | 4,533 | 99,036 | ||||||
Assa Abloy AB, ADR | 3,966 | 46,858 | ||||||
Assa Abloy AB, Class B | 71,286 | 1,692,757 | ||||||
Halma, PLC | 39,199 | 1,066,458 | ||||||
Hirose Electric Co., Ltd. | 127 | 15,651 | ||||||
Hon Hai Precision | 56,353 | 163,403 | ||||||
Hoya Corp., SP ADR | 487 | 44,658 | ||||||
Hoya Corp. | 670 | 61,214 | ||||||
Kyocera Corp. | 900 | 61,320 | ||||||
Murata Manufacturing Co., Ltd., ADR | 5,048 | 72,944 | ||||||
Murata Manufacturing Co., Ltd. | 1,119 | 64,912 | ||||||
Nidec Corp., SP ADR | 2,188 | 81,160 | ||||||
Nidec Corp. | 339 | 50,176 | ||||||
3,520,547 | ||||||||
Energy-Alternate Sources — 0.0% | ||||||||
Vestas Wind Systems A/S | 229 | 21,794 | ||||||
Engineering & Construction — 0.3% | ||||||||
ACS Actividades de Construccion y Servicios SA | 976 | 37,940 | ||||||
Bouygues SA | 663 | 27,083 | ||||||
Grupo Aeroportuario del Pacifico SAB de CV | 572 | 57,875 | ||||||
Grupo Aeroportuario del Sureste SAB de CV, ADR | 302 | 51,781 | ||||||
Kajima Corp. | 921 | 12,156 | ||||||
Keppel Corp., Ltd. | 9,000 | 44,217 | ||||||
Larsen & Toubro Ltd. | 6,212 | 115,136 | ||||||
LendLease Group | 2,252 | 29,508 | ||||||
Shimizu Corp. | 3,000 | 28,753 | ||||||
Sydney Airport | 8,427 | 52,390 | ||||||
Taisei Corp. | 1,000 | 39,261 | ||||||
Vinci SA | 597 | 65,080 | ||||||
Vinci SA, ADR | 2,316 | 63,064 | ||||||
624,244 | ||||||||
Entertainment — 0.1% | ||||||||
OPAP SA | 7,522 | 92,327 | ||||||
Oriental Land Co., Ltd. | 313 | 43,327 | ||||||
135,654 | ||||||||
Environmental Control — 0.0% | ||||||||
China Conch Venture Holdings Ltd. | 21,500 | 83,637 |
The accompanying notes are an integral part of the portfolio of investments.
32
AQUARIUS INTERNATIONAL FUND
PORTFOLIO OF INVESTMENTS (CONTINUED)
NOVEMBER 30, 2019 (UNAUDITED)
Number of Shares | Value | |||||||
Food — 3.0% | ||||||||
Aeon Co., Ltd. | 676 | 13,810 | ||||||
BRF SA, ADR* | 4,553 | 38,974 | ||||||
BRF SA* | 14,051 | 120,806 | ||||||
Carrefour SA | 79 | 1,304 | ||||||
China Mengniu Dairy Co., Ltd.* | 36,396 | 139,242 | ||||||
Danone SA, SP ADR | 10,290 | 168,962 | ||||||
Foshan Haitian Flavouring & Food Co., Ltd., Class A | 11,092 | 168,862 | ||||||
Glanbia, PLC | 60,629 | 705,416 | ||||||
J Sainsbury PLC | 8,762 | 24,260 | ||||||
JBS SA, SP ADR | 3,030 | 40,420 | ||||||
Kerry Group, PLC, Class A | 5,642 | 723,580 | ||||||
Koninklijke Ahold Delhaize NV, SP ADR | 4,031 | 103,798 | ||||||
Koninklijke Ahold Delhaize NV | 696 | 17,926 | ||||||
Marine Harvest | 1,676 | 41,565 | ||||||
Mowi ASA, SP ADR | 803 | 19,914 | ||||||
Nestle India Ltd. | 607 | 122,255 | ||||||
Nestle SA | 9,414 | 977,595 | ||||||
Nestle SA, SP ADR | 6,845 | 711,469 | ||||||
Seven & i Holdings Co., Ltd. | 30,700 | 1,145,611 | ||||||
Tesco, PLC, SP ADR | 7,867 | 69,624 | ||||||
Tesco, PLC | 12,787 | 37,922 | ||||||
Woolworths Group, Ltd. | 2,137 | 57,654 | ||||||
5,450,969 | ||||||||
Food Service — 0.7% | ||||||||
Compass Group, PLC, SP ADR | 3,508 | 86,402 | ||||||
Compass Group, PLC | 50,764 | 1,243,833 | ||||||
1,330,235 | ||||||||
Forest Products & Paper — 0.1% | ||||||||
Smurfit Kappa Group PLC, ADR | 1,402 | 49,897 | ||||||
UPM-Kymmene Corp. | 1,590 | 53,116 | ||||||
103,013 | ||||||||
Gas — 0.3% | ||||||||
Beijing Enterprises Holdings Ltd. | 22,500 | 99,448 | ||||||
China Gas Holdings, Ltd. | 2,999 | 11,147 | ||||||
China Resources Gas Group Ltd. | 10,000 | 55,681 | ||||||
Enagas SA | 1,404 | 34,952 | ||||||
ENN Energy Holdings, Ltd. | 6,000 | 65,210 | ||||||
Hong Kong & China Gas Co., Ltd. | 19,800 | 37,715 | ||||||
National Grid PLC | 2,867 | 32,966 | ||||||
National Grid, PLC, SP ADR | 2,605 | 149,683 | ||||||
Snam SpA | 9,397 | 46,688 | ||||||
533,490 | ||||||||
Hand/Machine Tools — 0.6% | ||||||||
Amada Co., Ltd. | 58,400 | 651,572 | ||||||
Sandvik AB | 3,286 | 59,757 | ||||||
Schindler Holding AG | 216 | 51,643 | ||||||
Techtronic Industrials Co., Ltd. | 34,738 | 261,087 | ||||||
Techtronic Industries Co., Ltd., SP ADR | 706 | 26,607 | ||||||
1,050,666 | ||||||||
Healthcare-Products — 0.8% | ||||||||
Alcon, Inc.* | 15,619 | 862,770 | ||||||
Alcon, Inc.* | 515 | 28,474 | ||||||
Coloplast A/S, ADR | 1,070 | 12,613 | ||||||
Coloplast A/S, Class B | 327 | 38,634 | ||||||
Essilor International Cie Generale d'Opitque SA | 384 | 59,643 | ||||||
EssilorLuxottica SA, ADR | 1,096 | 85,137 | ||||||
Hengan International Group Co. Ltd. | 10,500 | 69,327 | ||||||
Koninklijke Philips NV | 2,544 | 118,245 | ||||||
Shenzhen Mindray Bio-Medical Electronics Co. Ltd., Class A | 2,703 | 69,033 | ||||||
Smith & Nephew PLC | 2,989 | 66,716 | ||||||
Sysmex Corp., ADR | 450 | 15,595 | ||||||
Terumo Corp. | 1,362 | 47,839 | ||||||
1,474,026 | ||||||||
Healthcare-Services — 0.5% | ||||||||
Aier Eye Hospital Group Co., Ltd., Class A | 24,986 | 141,993 | ||||||
Apollo Hospitals Enterprise Ltd. | 5,438 | 109,200 | ||||||
Fresenius Medical Care AG & Co., KGaA | 28 | 2,050 | ||||||
Fresenius Medical Care AG & Co., KGaA, ADR | 1,104 | 40,439 | ||||||
Fresenius SE & Co., KGaA | 707 | 38,677 | ||||||
Lonza Group AG, ADR | 370 | 12,554 | ||||||
Lonza Group AG* | 182 | 61,827 | ||||||
Notre Dame Intermedica Participacoes SA | 7,572 | 100,943 |
The accompanying notes are an integral part of the portfolio of investments.
33
AQUARIUS INTERNATIONAL FUND
PORTFOLIO OF INVESTMENTS (CONTINUED)
NOVEMBER 30, 2019 (UNAUDITED)
Number of Shares | Value | |||||||
Ping An Healthcare and Technology Co. Ltd.* (a) | 19,895 | 132,505 | ||||||
Sonic Healthcare Ltd. | 2,543 | 51,868 | ||||||
Sonic Healthcare Ltd., SP ADR | 1,113 | 22,816 | ||||||
Wuxi Biologics Cayman, Inc.* (a) | 21,356 | 241,318 | ||||||
956,190 | ||||||||
Holding Companies-Diversification — 0.1% | ||||||||
CK Hutchison Holdings, Ltd. | 15,500 | 140,766 | ||||||
Jardine Matheson Holdings, Ltd. | 293 | 16,471 | ||||||
KOC Holding AS, ADR | 824 | 14,321 | ||||||
Swire Pacific, Ltd., Class A | 943 | 8,514 | ||||||
180,072 | ||||||||
Home Builders — 0.7% | ||||||||
Daiwa House Industry Co., Ltd. | 730 | 22,349 | ||||||
Daiwa House Industry Co., Ltd., ADR | 1,099 | 33,651 | ||||||
Persimmon, PLC | 3,617 | 119,607 | ||||||
Sekisui Chemical Co., Ltd. | 57,800 | 1,007,185 | ||||||
WHA Corp. PCL, NVDR | 1,060,257 | 148,097 | ||||||
1,330,889 | ||||||||
Home Furnishings — 0.2% | ||||||||
Electrolux AB, Class B | 972 | 24,979 | ||||||
Hangzhou Robam Appliances Co. Ltd., Class A | 33,593 | 142,031 | ||||||
Sharp Corp. (Japan) | 3,000 | 45,347 | ||||||
Sony Corp., SP ADR | 3,214 | 204,025 | ||||||
416,382 | ||||||||
Household Products/Wares — 0.1% | ||||||||
Henkel Ag & Co., KGaA | 375 | 36,226 | ||||||
Henkel AG & Co., KGaA, SP ADR | 1,004 | 24,367 | ||||||
Reckitt Benckiser Group, SP ADR | 4,555 | 73,017 | ||||||
133,610 | ||||||||
Insurance — 5.6% | ||||||||
AIA Group, Ltd. | 110,446 | 1,105,256 | ||||||
AIA Group, Ltd., SP ADR | 3,872 | 154,957 | ||||||
Allianz SE, SP ADR | 8,370 | 199,708 | ||||||
Aon, PLC | 13,800 | 2,809,818 | ||||||
Assic Generali SpA | 6,258 | 127,625 | ||||||
Aviva, PLC | 17,849 | 93,096 | ||||||
AXA SA | 709 | 19,290 | ||||||
Cathay Financials Holdings Co., Ltd. | 38,000 | 51,928 | ||||||
China Life Insurance Co., Ltd., ADR | 6,322 | 79,657 | ||||||
China Pacific Insurance Group Co., Ltd. | 12,200 | 43,146 | ||||||
Hannover Rueck SE | 286 | 53,067 | ||||||
ICICI Lombard General Insurance Co., Ltd. (a) | 9,075 | 172,411 | ||||||
Japan Post Holdings Co., Ltd. | 7,408 | 69,683 | ||||||
Lancashire Holdings, Ltd. | 152,389 | 1,464,059 | ||||||
M&G PLC* | 5,704 | 17,410 | ||||||
Manulife Finanical Corp. | 6,692 | 131,699 | ||||||
MS&AD Insurance Group Holdings, Inc. | 1,600 | 51,796 | ||||||
Muenchener Rueckversicherungs-Gesellschaft AG | 293 | 84,074 | ||||||
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen, ADR | 2,550 | 73,159 | ||||||
Ping An Insurance Group Co. of China, Ltd., ADR | 4,986 | 113,481 | ||||||
Ping An Insurance Group Co. of China, Ltd. | 35,430 | 402,318 | ||||||
Prudential PLC, SP ADR | 5,704 | 101,235 | ||||||
QBE Insurance Group Ltd., ADR | 5,619 | 48,211 | ||||||
Sampo Oyj, Class A, ADR* | 1,628 | 32,788 | ||||||
Sampo, Class A, PLC | 28,199 | 1,140,251 | ||||||
SCOR SE | 784 | 33,676 | ||||||
Sompo Holdings, Inc. | 1,000 | 39,452 | ||||||
Sul America SA | 10,793 | 134,578 | ||||||
Sun Life Financial, Inc. | 2,970 | 135,640 | ||||||
Suncorp Group, Ltd. | 5,947 | 53,875 | ||||||
Swiss Life Holding AG | 277 | 137,380 | ||||||
Swiss Re AG, SP ADR | 1,000 | 27,110 | ||||||
Swiss Re AG | 569 | 61,632 | ||||||
Tokio Marine Holdings, Inc. | 1,150 | 62,565 | ||||||
Tokio Marine Holdings, Inc., ADR | 620 | 33,809 | ||||||
Topdanmark AS | 17,182 | 794,054 | ||||||
Zurich Insurance Group AG | 294 | 115,382 | ||||||
10,269,276 | ||||||||
Internet — 2.8% | ||||||||
51job, Inc., ADR* | 611 | 48,037 | ||||||
Alibaba Group Holdings, Ltd., SP ADR* | 8,478 | 1,695,600 | ||||||
B2W Cia Digital | 3,840 | 50,783 |
The accompanying notes are an integral part of the portfolio of investments.
34
AQUARIUS INTERNATIONAL FUND
PORTFOLIO OF INVESTMENTS (CONTINUED)
NOVEMBER 30, 2019 (UNAUDITED)
Number of Shares | Value | |||||||
Baidu, Inc., SP ADR* | 2,249 | 266,574 | ||||||
iQIYI, Inc., ADR* | 1,374 | 26,312 | ||||||
JD.com, Inc., ADR* | 5,058 | 165,144 | ||||||
LINE Corp., SP ADR* | 1,409 | 66,082 | ||||||
LINE Corp.* | 99 | 4,662 | ||||||
Meituan Dianping, Class B* | 16,433 | 216,849 | ||||||
Mercadolibre, Inc.* | 386 | 224,104 | ||||||
Naver Corp. | 1,033 | 150,757 | ||||||
SINA Corp. (China)* | 203 | 7,083 | ||||||
Tencent Holdings, Ltd. | 40,676 | 1,716,330 | ||||||
Tencent Holdings, Ltd., ADR | 7,294 | 307,442 | ||||||
Trip.com Group Ltd., ADR | 1,543 | 51,289 | ||||||
Vipshop Holdings, Ltd. ADR* | 4,069 | 52,002 | ||||||
Weibo Corp., SP ADR* | 981 | 41,997 | ||||||
5,091,047 | ||||||||
Investment Companies — 2.8% | ||||||||
EXOR NV | 863 | 65,859 | ||||||
Groupe Bruxelles Lambert SA | 26,379 | 2,676,216 | ||||||
Kinnevik AB, Class B | 849 | 19,442 | ||||||
Melrose Industries, PLC | 789,924 | 2,342,786 | ||||||
Pargesa Holdings SA | 983 | 77,582 | ||||||
5,181,885 | ||||||||
Iron/Steel — 0.2% | ||||||||
Fortescue Metals Group Ltd. | 5,658 | 37,260 | ||||||
JFE Holdings, Inc. | 10,000 | 127,543 | ||||||
Posco, SP ADR | 2,416 | 116,258 | ||||||
Vale SA, SP ADR* | 8,426 | 99,090 | ||||||
380,151 | ||||||||
Leisure Time — 0.1% | ||||||||
Giant Manufacturing Co., Ltd. | 21,800 | 157,863 | ||||||
Shimano, Inc. | 236 | 38,198 | ||||||
TUI AG | 2,749 | 37,595 | ||||||
233,656 | ||||||||
Lodging — 0.9% | ||||||||
City Developments Ltd. | 2,005 | 15,169 | ||||||
Fosun International Ltd. | 25,500 | 34,331 | ||||||
Galaxy Entertainment Group Ltd. | 5,151 | 33,730 | ||||||
Huazhu Group, Ltd., ADR | 1,213 | 41,497 | ||||||
InterContinental Hotels Group PLC | 21,206 | 1,370,670 | ||||||
Melco Resorts & Entertainment, Ltd. ADR | 988 | 21,025 | ||||||
Sands China, Ltd. | 8,636 | 40,896 | ||||||
Whitbread, PLC | 139 | 8,256 | ||||||
Wynn Macau Ltd. | 41,117 | 90,426 | ||||||
1,656,000 | ||||||||
Machinery-Construction & Mining — 0.2% | ||||||||
Hitachi Ltd., ADR | 750 | 59,025 | ||||||
Hitachi Ltd. | 1,901 | 74,869 | ||||||
Komatsu Ltd. SP ADR | 1,831 | 42,900 | ||||||
Mitsubishi Electical Corp. | 3,000 | 41,473 | ||||||
Mitsubishi Electric Corp., ADR | 1,350 | 37,273 | ||||||
Mitsubishi Heavy Industries, Ltd. | 948 | 36,300 | ||||||
291,840 | ||||||||
Machinery-Diversified — 1.8% | ||||||||
Atlas Copco AB, Class A | 1,701 | 62,329 | ||||||
Atlas Copco AB, Class A, SP ADR | 1,656 | 60,444 | ||||||
Fanuc Corp., ADR | 3,060 | 58,347 | ||||||
GEA Group AG | 32,946 | 1,058,863 | ||||||
Keyence Corp. | 933 | 319,458 | ||||||
Kone Corp., Class B | 10,540 | 659,846 | ||||||
SMC Corp. | 110 | 49,912 | ||||||
SMC Corp., ADR | 2,280 | 51,414 | ||||||
Spirax-Sarco Engineering, PLC | 7,957 | 917,178 | ||||||
3,237,791 | ||||||||
Media — 1.3% | ||||||||
Informa, PLC, SP ADR | 616 | 12,785 | ||||||
Informa, PLC | 5,071 | 51,888 | ||||||
Liberty Media Corp-Liberty Formula One, Class C* | 5,372 | 242,224 | ||||||
MultiChoice Group* | 6,109 | 50,483 | ||||||
MultiChoice Group, Ltd., ADR* | 93 | 771 | ||||||
Shaw Communications, Inc., Class B | 6,416 | 133,389 | ||||||
Thomson Reuters Corp. | 1,419 | 100,110 | ||||||
Vivendi SA | 1,715 | 47,079 |
The accompanying notes are an integral part of the portfolio of investments.
35
AQUARIUS INTERNATIONAL FUND
PORTFOLIO OF INVESTMENTS (CONTINUED)
NOVEMBER 30, 2019 (UNAUDITED)
Number of Shares | Value | |||||||
Vivendi SA, ADR | 1,092 | 29,984 | ||||||
Wolters Kluwer | 23,217 | 1,667,494 | ||||||
Wolters Kluwer NV, SP ADR | 667 | 47,837 | ||||||
2,384,044 | ||||||||
Mining — 0.9% | ||||||||
Anglo American, PLC | 767 | 20,069 | ||||||
B2Gold Corp. | 23,991 | 88,682 | ||||||
Barrick Gold Corp. | 12,539 | 210,655 | ||||||
BHP Billiton Ltd., SP ADR | 2,130 | 109,759 | ||||||
Franco-Nevada Corp. | 1,038 | 102,056 | ||||||
Freeport-McMoRan, Inc. | 14,835 | 168,822 | ||||||
Glencore, PLC | 13,736 | 43,359 | ||||||
Mitsubishi Materials Corp. | 2,000 | 53,480 | ||||||
Newcrest Mining Ltd., SP ADR | 1,347 | 28,476 | ||||||
Newcrest Mining Ltd. | 1,769 | 36,839 | ||||||
Rio Tinto, PLC, SP ADR | 1,536 | 83,804 | ||||||
Southern Copper Corp. | 7,105 | 270,203 | ||||||
Sumitomo Metal Mining Co., Ltd. | 2,000 | 60,667 | ||||||
Vedanta, Ltd., ADR | 7,526 | 60,584 | ||||||
Wheaton Precious Metals Corp. | 8,617 | 238,174 | ||||||
1,575,629 | ||||||||
Miscellaneous Manufacturing — 1.2% | ||||||||
Airtac International Group | 6,070 | 87,661 | ||||||
Largan Precision Co., Ltd. | 1,038 | 150,842 | ||||||
Siemens AG | 1,633 | 210,435 | ||||||
Smiths Group, PLC, SP ADR | 1,646 | 35,307 | ||||||
Smiths Group, PLC | 71,567 | 1,535,665 | ||||||
Sunny Optical Technology Group Co., Ltd. | 3,869 | 63,339 | ||||||
Toshiba Corp. | 1,047 | 37,608 | ||||||
Zhuzhou CRRC Times Electric Co., Ltd. | 8,400 | 28,696 | ||||||
2,149,553 | ||||||||
Oil & Gas — 3.6% | ||||||||
BP, PLC, SP ADR | 1,050 | 39,291 | ||||||
Caltex Australia Ltd. | 4,324 | 101,099 | ||||||
Canadian Natural Resources, Ltd. | 3,712 | 103,825 | ||||||
Cenovus Energy, Inc. | 4,155 | 36,938 | ||||||
CNOOC, Ltd., SP ADR | 167 | 24,252 | ||||||
DCC, PLC | 31,721 | 2,708,584 | ||||||
Ecopetrol SA, SP ADR | 3,252 | 59,544 | ||||||
Eni SpA | 33,119 | 499,028 | ||||||
Equinor ASA | 5,593 | 103,107 | ||||||
Galp Energia SGPS SA | 7,590 | 123,438 | ||||||
Imperial Oil, Ltd. | 3,049 | 76,743 | ||||||
JXTG Holdings, Inc. | 6,600 | 29,341 | ||||||
Lukoil , PJSC, SP ADR | 4,596 | 437,907 | ||||||
Neste Oyj | 756 | 25,555 | ||||||
Novatek PJSC, GDR | 1,196 | 235,888 | ||||||
OMV AG | 2,078 | 118,362 | ||||||
Petroleo Brasileiro, SP ADR | 16,628 | 244,930 | ||||||
Reliance Industries Ltd. | 16,063 | 346,954 | ||||||
Repsol SA | 2,180 | 34,320 | ||||||
Repsol SA, SP ADR | 7,733 | 121,099 | ||||||
Royal Dutch Shell, PLC, Class A, SP ADR | 9,464 | 544,085 | ||||||
Suncor Energy, Inc. | 5,850 | 183,690 | ||||||
Tatneft PJSC, SP ADR | 1,800 | 125,190 | ||||||
Ultrapar Participacoes SA, SP ADR | 22,428 | 113,710 | ||||||
Woodside Petroleum, Ltd. | 4,466 | 104,213 | ||||||
6,541,093 | ||||||||
Oil & Gas Services — 0.2% | ||||||||
Dialog Group Bhd | 255,078 | 204,579 | ||||||
Yantai Jereh Oilfield Services Group Co., Ltd., Class A | 48,200 | 217,426 | ||||||
422,005 | ||||||||
Pharmaceuticals — 6.9% | ||||||||
Alfresa Holdings Corp. | 66,800 | 1,381,298 | ||||||
Aspen Pharmacare Holdings Ltd., ADR | 6,986 | 55,958 | ||||||
Astellas Pharma, Inc., ADR | 1,987 | 33,799 | ||||||
Astellas Pharma, Inc. | 3,700 | 63,169 | ||||||
AstraZeneca, PLC, SP ADR | 5,764 | 279,439 | ||||||
Bayer AG | 1,297 | 97,955 | ||||||
Bayer AG, SP ADR | 3,620 | 68,346 | ||||||
Celltrion, Inc.* | 455 | 67,131 | ||||||
Chugai Pharmaceutical Co., Ltd. | 700 | 61,150 |
The accompanying notes are an integral part of the portfolio of investments.
36
AQUARIUS INTERNATIONAL FUND
PORTFOLIO OF INVESTMENTS (CONTINUED)
NOVEMBER 30, 2019 (UNAUDITED)
Number of Shares | Value | |||||||
CSPC Pharmaceutical Group, Ltd. | 12,000 | 27,310 | ||||||
Daiichi Sankyo Co., Ltd. | 916 | 57,475 | ||||||
Daiichi Sankyo Co., Ltd., ADR | 292 | 18,559 | ||||||
Dr. Reddy's Laboratories, Ltd., ADR | 3,953 | 160,966 | ||||||
Eisai Co., Ltd. | 92 | 6,821 | ||||||
Glaxosmithkline, PLC | 61,290 | 1,392,473 | ||||||
Glaxosmithkline, PLC, SP ADR | 6,006 | 273,153 | ||||||
Kobayashi Pharmaceutical Co., Ltd. | 471 | 38,682 | ||||||
Merck KGaA | 587 | 68,515 | ||||||
Novartis AG | 18,529 | 1,708,113 | ||||||
Novartis AG, SP ADR | 15,677 | 1,446,987 | ||||||
Novo-Nordisk AS, SP ADR | 4,286 | 240,659 | ||||||
Orion Corporation, Class B | 672 | 29,246 | ||||||
Recordati SpA | 24,240 | 1,016,140 | ||||||
Roche Holdings AG | 4,637 | 1,429,555 | ||||||
Roche Holdings AG, SP ADR | 12,016 | 463,457 | ||||||
Sanofi | 18,565 | 1,730,599 | ||||||
Sanofi, ADR | 4,424 | 206,512 | ||||||
Shionogi & Co., Ltd. | 227 | 13,362 | ||||||
Takeda Pharmaceutical Co., Ltd., SP ADR | 6,442 | 130,773 | ||||||
UCB SA | 21 | 1,701 | ||||||
12,569,303 | ||||||||
Pipelines — 0.1% | ||||||||
Enbridge, Inc. | 4,650 | 176,700 | ||||||
TC Energy Corp. | 1,622 | 82,609 | ||||||
259,309 | ||||||||
Private Equity — 0.1% | ||||||||
3i Group, PLC | 3,463 | 47,940 | ||||||
Macquarie Korea Infrastructure Fund | 15,512 | 156,939 | ||||||
Partners Group Holding AG | 66 | 55,661 | ||||||
260,540 | ||||||||
Real Estate — 0.9% | ||||||||
CapitaLand, Ltd. | 5,654 | 15,217 | ||||||
China Evergrande Group | 7,111 | 16,971 | ||||||
China Overseas Land & Investment, Ltd. | 1,605 | 5,387 | ||||||
China Resources Land Ltd. | 37,047 | 160,384 | ||||||
CK Asset Holdings Ltd. | 1,638 | 10,892 | ||||||
Country Garden Holdings Co., Ltd. | 31,000 | 43,225 | ||||||
Country Garden Services Holdings Co., Ltd. | 52,681 | 170,454 | ||||||
Daito Trust Construction Co., Ltd., SP ADR | 392 | 11,968 | ||||||
Great Eagle Holdings, Ltd. | 193,662 | 649,663 | ||||||
Longfor Group Holdings, Ltd. (a) | 6,500 | 26,607 | ||||||
Mitsubishi Estate Co., Ltd. | 2,000 | 36,681 | ||||||
Mitsubishi Estate Co., Ltd., ADR | 717 | 13,150 | ||||||
Mitsui Fudosan Co., Ltd. | 2,000 | 49,800 | ||||||
REA Group Ltd. | 633 | 44,808 | ||||||
Shanghai Industrial Holdings Ltd. | 20,000 | 36,024 | ||||||
Shanghai Industrial Urban Development Group Ltd. | 20,000 | 2,479 | ||||||
Sun Hung Kai Properties Ltd. | 7,472 | 108,855 | ||||||
Sunac China Holdings Ltd. | 18,431 | 89,931 | ||||||
UOL Group, Ltd. | 8,000 | 45,394 | ||||||
Vonovia SE | 1,036 | 53,926 | ||||||
Wheelock & Co., Ltd. | 14,000 | 87,045 | ||||||
1,678,861 | ||||||||
REITS — 1.1% | ||||||||
Dexus | 2,676 | 22,112 | ||||||
Fonciere Des Regions | 362 | 40,046 | ||||||
Goodman Group | 6,677 | 66,867 | ||||||
Japan Prime Realty Investment Corp. | 15 | 68,262 | ||||||
Land Securities Group PLC | 7,569 | 93,762 | ||||||
Link | 4,903 | 50,067 | ||||||
Merlin Properties Socimi SA | 94,010 | 1,341,511 | ||||||
Nippon Building Fund Inc. | 10 | 75,028 | ||||||
Segro, PLC | 5,434 | 62,763 | ||||||
Unibail-Rodamco-Westfield | 705 | 110,223 | ||||||
1,930,641 | ||||||||
Retail — 2.8% | ||||||||
ANTA Sports Products Ltd. | 5,561 | 52,297 | ||||||
Bidvest Group, Ltd., (The) | 8,402 | 116,269 | ||||||
Cie Financiere Richemont SA | 1,404 | 106,443 | ||||||
Clicks Group, Ltd. | 11,538 | 196,689 | ||||||
CP ALL PCL, NVDR | 89,690 | 225,669 |
The accompanying notes are an integral part of the portfolio of investments.
37
AQUARIUS INTERNATIONAL FUND
PORTFOLIO OF INVESTMENTS (CONTINUED)
NOVEMBER 30, 2019 (UNAUDITED)
Number of Shares | Value | |||||||
Fast Retailing Co., Ltd., ADR | 170 | 10,375 | ||||||
Fast Retailing Co., Ltd. | 147 | 89,619 | ||||||
Hennes & Mauritz AB, Class B | 1,600 | 30,883 | ||||||
Industria de Diseno Textil SA, ADR | 3,078 | 47,894 | ||||||
Industria de Diseno Textil SA | 1,252 | 38,955 | ||||||
Lawson, Inc. | 1,000 | 54,524 | ||||||
Li Ning Co., Ltd. | 60,713 | 194,752 | ||||||
Lojas Renner SA | 15,384 | 188,189 | ||||||
Mr. Price Group, Ltd. | 4,257 | 50,830 | ||||||
Nitori Holdings Co., Ltd. | 3 | 470 | ||||||
Pan Pacific International Holdings Corp. | 2,000 | 32,456 | ||||||
President Chain Store Corp. | 17,695 | 177,118 | ||||||
Raia Drogasil SA | 8,135 | 217,916 | ||||||
Ryohin Keikaku Co., Ltd., ADR | 1,800 | 40,842 | ||||||
Sundrug Co., Ltd. | 1,100 | 38,667 | ||||||
Swatch Group AG, (The) | 4,461 | 1,246,533 | ||||||
Tsuruha Holdings | 12,400 | 1,480,090 | ||||||
USS Co., Ltd. | 2,140 | 41,553 | ||||||
Wal-Mart de Mexico SAB de CV | 83,856 | 230,842 | ||||||
Wal-Mart de Mexico SAB de CV, SP ADR | 2,313 | 63,862 | ||||||
Wesfarmers, Ltd. | 3,607 | 103,714 | ||||||
Yum China Holdings, Inc. | 1,728 | 76,931 | ||||||
5,154,382 | ||||||||
Semiconductors — 3.5% | ||||||||
ASE Technology Holding Co., Ltd. ADR | 6,033 | 29,501 | ||||||
ASM Pacific Technology Ltd. | 9 | 118 | ||||||
ASML Holding NV | 561 | 152,078 | ||||||
ASML Holding NV, ADR | 775 | 209,731 | ||||||
Mediatek, Inc. | 10,000 | 138,156 | ||||||
NXP Semiconductors NV | 847 | 97,896 | ||||||
Parade Technologies Ltd. | 4,409 | 86,545 | ||||||
Rohm Co., Ltd. | 40 | 3,367 | ||||||
Samsung Electronic Co., Ltd. | 32,919 | 1,407,251 | ||||||
Samsung Electronic Co., Ltd., GDR | 1,000 | 1,066,495 | ||||||
SK Hynix, Inc. | 1,267 | 87,190 | ||||||
SOITEC* | 920 | 97,322 | ||||||
SUMCO Corp. | 3,742 | 57,953 | ||||||
Taiwan Semiconductor Manufacturing Co., Ltd. | 114,000 | 1,146,688 | ||||||
Taiwan Semiconductor Manufacturing Co., Ltd., SP ADR | 28,316 | 1,503,296 | ||||||
Tokyo Electron, Ltd. | 400 | 82,743 | ||||||
Tokyo Electron, Ltd., ADR | 1,048 | 54,286 | ||||||
United Microelectronics Corp., SP ADR | 16,362 | 39,923 | ||||||
WIN Semiconductors Corp. | 14,073 | 139,411 | ||||||
6,399,950 | ||||||||
Software — 1.7% | ||||||||
CD Projekt SA | 2,323 | 155,730 | ||||||
Dassault Systemes SE | 475 | 74,828 | ||||||
Momo, Inc., SP ADR | 749 | 28,035 | ||||||
NetEase, Inc., ADR | 276 | 87,028 | ||||||
Nexon Co., Ltd.* | 2,300 | 31,422 | ||||||
Open Text Corp. | 2,489 | 108,471 | ||||||
Playtech, PLC | 192,146 | 954,156 | ||||||
SAP SE | 8,281 | 1,125,024 | ||||||
SAP SE, SP ADR | 2,021 | 274,755 | ||||||
Sea, Ltd., ADR* | 4,761 | 176,347 | ||||||
3,015,796 | ||||||||
Telecommunications — 3.8% | ||||||||
America Movil SAB de CV, Class L, SP ADR | 11,343 | 173,434 | ||||||
Belgacom SA | 23,680 | 714,303 | ||||||
China Mobile, Ltd. | 85,500 | 644,631 | ||||||
Chunghwa Telecom Co., Ltd., SP ADR | 10,212 | 380,091 | ||||||
Deutsche Telekom AG, SP ADR | 2,079 | 34,823 | ||||||
Deutsche Telekom AG | 5,699 | 95,683 | ||||||
Elisa OYJ | 619 | 33,084 | ||||||
Hellenic Telecommunications Organization SA | 12,433 | 186,718 | ||||||
KDDI Corp. | 65,664 | 1,886,584 | ||||||
Millicom International Cellular SA, SDR | 116 | 5,211 | ||||||
MTN Group, Ltd. | 4,952 | 31,196 | ||||||
NICE Ltd., SP ADR | 616 | 93,318 | ||||||
Nippon Telegraph & Telephone Corp. ADR | 2,110 | 106,492 | ||||||
Nokia OYJ, SP ADR | 15,376 | 53,816 | ||||||
NTT DOCOMO, Inc. | 703 | 19,302 |
The accompanying notes are an integral part of the portfolio of investments.
38
AQUARIUS INTERNATIONAL FUND
PORTFOLIO OF INVESTMENTS (CONTINUED)
NOVEMBER 30, 2019 (UNAUDITED)
Number of Shares | Value | |||||||
NTT DOCOMO, Inc., ADR | 2,092 | 57,415 | ||||||
Orange SA, SP ADR | 7,165 | 116,933 | ||||||
Rogers Communications, Inc., Class B | 894 | 43,189 | ||||||
Singapore Telecommunications Ltd. | 16,000 | 39,538 | ||||||
SK Telecom Ltd., SP ADR | 966 | 22,141 | ||||||
Softbank Corp. | 3,804 | 51,675 | ||||||
Softbank Group Corp., ADR | 532 | 10,268 | ||||||
Swisscom AG | 80 | 41,417 | ||||||
Tele2 AB, Class B | 1,551 | 22,885 | ||||||
Telefonaktiebolaget LM Ericsson, Class B | 136,989 | 1,234,515 | ||||||
Telefonaktiebolaget LM Ericsson, SP ADR | 2,495 | 22,555 | ||||||
Telekomunikasi Indonesia Persero Tbk PT, SP ADR | 663 | 18,345 | ||||||
Telenor ASA, ADR | 1,032 | 18,772 | ||||||
Telenor ASA | 1,910 | 34,872 | ||||||
Tim Participacoes SA, ADR | 2,409 | 38,905 | ||||||
Turkcell Iletisim Hizmetleri AS, ADR | 11,016 | 64,884 | ||||||
Vodafone Group, PLC | 297,746 | 589,593 | ||||||
Vodafone Group, PLC, SP ADR | 4,018 | 79,637 | ||||||
6,966,225 | ||||||||
Toys/Games/Hobbies — 0.1% | ||||||||
Bandai Namco Holdings, Inc. | 500 | 30,328 | ||||||
Nintendo Co., Ltd. | 100 | 38,724 | ||||||
Nintendo, Ltd., ADR | 1,528 | 73,940 | ||||||
142,992 | ||||||||
Transportation — 0.5% | ||||||||
Canadian National Railway Co. | 910 | 82,892 | ||||||
Canadian Pacific Railway, Ltd. | 211 | 50,269 | ||||||
Central Japan Railway Co. | 604 | 122,058 | ||||||
Deutsche Post AG | 1,395 | 52,007 | ||||||
Deutsche Post AG, SP ADR | 2,117 | 78,834 | ||||||
DSV AS | 413 | 44,970 | ||||||
DSV PANALPINA A S, ADR | 928 | 50,465 | ||||||
East Japan Railway Co., ADR | 1,818 | 27,835 | ||||||
East Japan Railway Co. | 991 | 91,200 | ||||||
Hankyu Hanshin Holdings, Inc. | 1,000 | 42,987 | ||||||
West Japan Railway Co. | 760 | 66,964 | ||||||
ZTO Express Cayman, Inc., ADR | 9,031 | 192,180 | ||||||
902,661 | ||||||||
Water — 0.6% | ||||||||
Cia de Saneamento Basico do Estado de Sao Paulo, ADR | 2,928 | 39,177 | ||||||
Guangdong Investment Ltd. | 10,000 | 20,679 | ||||||
United Utilities Group, PLC | 92,665 | 1,022,626 | ||||||
1,082,482 | ||||||||
TOTAL COMMON STOCKS | ||||||||
(Cost $146,767,367) | 154,745,344 | |||||||
EXCHANGE TRADED FUNDS - 0.2% | ||||||||
Diversified Financial Services — 0.1% | ||||||||
Ishares MSCI India ETF | 7,135 | 245,872 | ||||||
Other Investment Pools and Funds — 0.1% | ||||||||
Invesco India Exchange-Traded Fund Trust | 7,309 | 181,775 | ||||||
TOTAL EXCHANGE TRADED FUNDS | ||||||||
(Cost $428,778) | 427,647 | |||||||
PREFERRED STOCKS - 1.6% | ||||||||
Airlines — 0.1% | ||||||||
Azul SA, ADR* | 2,455 | 91,424 | ||||||
Banks — 0.3% | ||||||||
Banco Bradesco SA, ADR, 6.606% | 18,265 | 143,380 | ||||||
Bancolombia SA, SP ADR, 2.519% | 4,475 | 216,008 | ||||||
Itau Unibanco Holdings, SP ADR, 8.576% | 33,068 | 269,174 | ||||||
628,562 | ||||||||
Chemicals — 0.4% | ||||||||
Fuchs Petrolub SE, 2.406% | 15,344 | 662,351 | ||||||
Cosmetics/Personal Care — 0.4% | ||||||||
LG Household & Health Care, Ltd., 1.250% | 1,220 | 768,800 | ||||||
Electric — 0.0% | ||||||||
Cia Energetica de Minas Gerais, SP ADR, 5.160% | 8,794 | 26,646 | ||||||
Semiconductors — 0.4% | ||||||||
Samsung Electronic Co., Ltd., 3.469% | 19,373 | 671,681 | ||||||
Telecommunications — 0.0% | ||||||||
Telefonica Brasil SA, ADR, 7.493% | 2,870 | 37,740 | ||||||
TOTAL PREFERRED STOCKS | ||||||||
(Cost $3,151,388) | 2,887,204 | |||||||
SHORT-TERM INVESTMENTS - 13.2% | ||||||||
First American Government Obligations Fund, Class X, 1.56% (b) | 24,132,505 | 24,132,505 | ||||||
TOTAL SHORT-TERM INVESTMENTS | ||||||||
(Cost $24,132,505) | 24,132,505 | |||||||
TOTAL INVESTMENTS - 99.8% | ||||||||
(Cost $174,480,038) | 182,192,700 | |||||||
OTHER ASSETS IN EXCESS OF LIABILITIES - 0.2% | 369,890 | |||||||
NET ASSETS - 100.0% | $ | 182,562,590 |
* | Non-income producing security. |
(a) | Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration to qualified institutional buyers. As of November 30, 2019, total market value of Rule 144A securities is $2,115,996 and represents 1.20% of net assets. |
(b) | Seven-day yield as of November 30, 2019. |
ADR American Depositary Receipt
GDR Global Depositary Receipt
NVDR Non-Voting Depositary Receipt
PLC Public Limited Company
REIT Real Estate Investment Trust
SDR Special Drawing Right
SP ADR Sponsored ADR
SP GDR Sponsored GDR
The accompanying notes are an integral part of the portfolio of investments.
39
ALTAIR ADVISERS, LLC
NOTES TO PORTFOLIO OF INVESTMENTS
NOVEMBER 30, 2019 (UNAUDITED)
PORTFOLIO VALUATION – Investments in the underlying funds are valued at the Adara Smaller Companies Fund and the Aquarius International Fund (each a "Fund", collectively 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 the Funds are valued using the closing price or the last sale price on a national securities exchange or the National Association of Securities Dealers Automatic Quotation System (“NASDAQ”) market system where they are primarily traded. Equity securities traded in the over-the-counter ("OTC") market are valued at their closing prices. If there were no transactions on that day, securities traded principally on an exchange or on NASDAQ will be valued at the mean of the last bid and ask prices prior to the market close. Fixed income securities are valued using an independent pricing service, which considers such factors as security prices, yields, maturities and ratings, and are deemed representative of market values at the close of the market. Investments in Exchange-Traded Funds ("ETFs") are valued at their last reported sale price. 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 RBB Fund, Inc.’s Board of Directors (the “Board”). Relying on prices supplied by pricing services or dealers or using fair valuation may result in values that are higher or lower than the values used by other investment companies and investors to price the same investments.
FAIR VALUE MEASUREMENTS – The inputs and valuation techniques used to measure the fair value of the Funds' investments are summarized into three levels as
described in the hierarchy below:
• Level 1 — Prices are determined using quoted prices in active markets for identical securities.
• Level 2 — Prices are determined using other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
• Level 3 — Prices are determined using significant unobservable inputs (including the Funds' own assumptions in determining the fair value of investments).
The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The following is a summary of the inputs used, as of November 30, 2019, in valuing each Fund's investments carried at fair value:
TOTAL | LEVEL 1 | LEVEL 2 | LEVEL 3 | |||||||||||||
ADARA SMALLER COMPANIES FUND | ||||||||||||||||
Common Stocks | $ | 292,971,489 | $ | 292,971,489 | $ | - | $ | - | ||||||||
Short-Term Investments | 22,013,119 | 22,013,119 | – | – | ||||||||||||
Total Investments* | $ | 314,984,608 | $ | 314,984,608 | $ | - | $ | - | ||||||||
AQUARIUS INTERNATIONAL FUND | ||||||||||||||||
Common Stocks | $ | 154,745,344 | $ | 46,896,481 | $ | 107,848,863 | $ | - | ||||||||
Exchange-Traded Funds | 427,647 | 427,647 | – | – | ||||||||||||
Preferred Stocks | 2,887,204 | 784,372 | 2,102,832 | – | ||||||||||||
Short-Term Investments | 24,132,505 | 24,132,505 | – | – | ||||||||||||
Total Investments* | $ | 182,192,700 | $ | 72,241,005 | $ | 109,951,695 | $ | - |
* | Please refer to Portfolio of Investments for further details. |
At the end of each quarter, management evaluates the classification of Levels 1, 2 and 3 assets and liabilities. Various factors are considered, such as changes in liquidity from the prior reporting period; whether or not a broker is willing to execute at the quoted price; the depth and consistency of prices from third party pricing services; and the existence of contemporaneous, observable trades in the market. Additionally, management evaluates the classification of Levels 1, 2 and 3 assets and liabilities on a quarterly basis for changes in listings or delistings on national exchanges.
Due to the inherent uncertainty of determining the fair value of investments that do not have a readily available market value, the fair value of the Fund’s investments may fluctuate from period to period. Additionally, the fair value of investments may differ significantly from the values that would have been used had a ready market existed for such investments and may differ materially from the values the Fund may ultimately realize. Further, such investments may be subject to legal and other restrictions on resale or otherwise less liquid than publicly traded securities.
For fair valuations using significant unobservable inputs, U.S. generally accepted accounting principles (“U.S. GAAP”) requires the Fund to present a reconciliation of the beginning to ending balances for reported market values that presents changes attributable to total realized and unrealized gains or losses, purchase and sales, and transfers in and out of Level 3 during the period. Transfers in and out between levels are based on values at the end of the period. A reconciliation of Level 3 investments is presented only 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, 2019, the Funds 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.
40
BOGLE INVESTMENT MANAGEMENT
SMALL CAP GROWTH FUND
PORTFOLIO OF INVESTMENTS
NOVEMBER 30, 2019 (UNAUDITED)
Number Of Shares | Value | |||||||
Common Stocks—98.3% | ||||||||
Commercial Services—4.6% | ||||||||
Conduent, Inc.* | 83,500 | $ | 565,295 | |||||
Medpace Holdings, Inc.* | 10,259 | 786,558 | ||||||
Ritchie Bros Auctioneers, Inc. | 13,149 | 565,276 | ||||||
Vectrus, Inc.* | 12,212 | 622,079 | ||||||
WNS Holdings Ltd., ADR* | 9,168 | 578,684 | ||||||
3,117,892 | ||||||||
Communications—0.7% | ||||||||
ORBCOMM, Inc.* | 117,939 | 472,935 | ||||||
Consumer Durables—2.6% | ||||||||
M/I Homes, Inc.* | 17,943 | 794,337 | ||||||
MasterCraft Boat Holdings, Inc.* | 21,271 | 353,311 | ||||||
Taylor Morrison Home Corp.* | 26,938 | 625,500 | ||||||
1,773,148 | ||||||||
Consumer Non-Durables—1.9% | ||||||||
BRF SA, ADR* | 78,886 | 675,264 | ||||||
Coca-Cola Consolidated, Inc. | 2,268 | 612,723 | ||||||
1,287,987 | ||||||||
Consumer Services—6.0% | ||||||||
Career Education Corp.* | 37,216 | 620,763 | ||||||
Everi Holdings, Inc.* | 71,715 | 966,001 | ||||||
International Game Technology PLC | 44,307 | 657,959 | ||||||
K12, Inc.* | 29,804 | 585,649 | ||||||
Melco Resorts & Entertainment Ltd., ADR | 19,286 | 410,406 | ||||||
Unifirst Corp. | 4,014 | 827,887 | ||||||
4,068,665 | ||||||||
Distribution Services—2.1% | ||||||||
Foundation Building Materials, Inc.* | 40,209 | 821,872 | ||||||
Performance Food Group Co.* | 12,525 | 589,427 | ||||||
1,411,299 | ||||||||
Electronic Technology—6.3% | ||||||||
Amkor Technology, Inc.* | 44,300 | 535,587 | ||||||
Audiocodes Ltd. | 49,577 | 1,188,361 | ||||||
Comtech Telecommunications Corp. | 29,620 | 1,119,340 | ||||||
NeoPhotonics Corp.* | 90,963 | 745,897 | ||||||
OSI Systems, Inc.* | 6,613 | 657,927 | ||||||
4,247,112 | ||||||||
Energy Minerals—3.9% | ||||||||
CVR Energy, Inc. | 13,900 | 603,121 | ||||||
Delek US Holdings, Inc. | 18,375 | 630,446 | ||||||
HollyFrontier Corp. | 11,164 | 575,504 | ||||||
PBF Energy, Inc., Class A | 27,500 | 860,750 | ||||||
2,669,821 | ||||||||
Finance—23.4% | ||||||||
Avis Budget Group, Inc.* | 18,700 | 556,325 | ||||||
Brightsphere Investment Group, Inc. | 20,312 | 195,605 | ||||||
CIT Group, Inc. | 13,421 | 610,924 | ||||||
Cowen, Inc., Class A* | 14,600 | 223,672 | ||||||
Essent Group Ltd. | 12,467 | 681,321 | ||||||
Federal Agricultural Mortgage Corp., Class C | 7,500 | 622,875 | ||||||
First American Financial Corp. | 8,146 | 518,248 | ||||||
Fly Leasing Ltd., ADR* | 31,433 | 617,030 | ||||||
Green Dot Corp., Class A* | 26,623 | 632,562 | ||||||
Hanover Insurance Group Inc., (The) | 4,767 | 647,978 | ||||||
Interactive Brokers Group, Inc., Class A | 11,611 | 562,205 | ||||||
INTL FCStone, Inc.* | 17,556 | 702,240 | ||||||
James River Group Holdings Ltd. | 18,141 | 717,658 | ||||||
Legg Mason, Inc. | 14,800 | 578,384 | ||||||
McGrath RentCorp | 5,003 | 366,920 | ||||||
Mercury General Corp. | 9,273 | 454,191 | ||||||
Moelis & Co., Class A | 17,550 | 578,448 | ||||||
Mr Cooper Group, Inc.* | 55,300 | 743,232 | ||||||
Nelnet, Inc., Class A | 900 | 56,700 | ||||||
NMI Holdings, Inc., Class A* | 23,133 | 776,575 | ||||||
On Deck Capital, Inc.* | 146,479 | 602,029 | ||||||
OneMain Holdings, Inc. | 3,200 | 137,888 | ||||||
PennyMac Financial Services, Inc. | 29,013 | 995,436 | ||||||
Rent A Center, Inc. | 4,747 | 123,564 | ||||||
Sandstorm Gold Ltd.* | 114,120 | 768,028 | ||||||
SEI Investments Co. | 7,328 | 472,876 | ||||||
Stewart Information Services Corp. | 19,801 | 846,889 | ||||||
Stifel Financial Corp. | 9,555 | 597,379 | ||||||
White Mountains Insurance Group Ltd. | 500 | 553,460 | ||||||
15,940,642 |
The accompanying notes are an integral part of the portfolio of investments.
41
BOGLE INVESTMENT MANAGEMENT
SMALL CAP GROWTH FUND
PORTFOLIO OF INVESTMENTS (CONTINUED)
NOVEMBER 30, 2019 (UNAUDITED)
Number Of Shares | Value | |||||||
Health Services—1.1% | ||||||||
Castle Biosciences, Inc.* | 10,346 | 278,618 | ||||||
DaVita, Inc.* | 6,900 | 495,213 | ||||||
773,831 | ||||||||
Health Technology—12.6% | ||||||||
Anika Therapeutics, Inc.* | 10,600 | 612,680 | ||||||
Assertio Therapeutics, Inc.* | 65,375 | 49,685 | ||||||
China Biologic Products Holdings, Inc.* | 5,052 | 589,114 | ||||||
Collegium Pharmaceutical, Inc.* | 43,375 | 942,539 | ||||||
Cutera, Inc.* | 30,095 | 1,152,638 | ||||||
Dr Reddy's Laboratories Ltd., ADR | 13,001 | 529,400 | ||||||
Fluidigm Corp.* | 60,620 | 152,762 | ||||||
Horizon Therapeutics PLC* | 25,762 | 844,478 | ||||||
ICON PLC* | 3,211 | 523,907 | ||||||
Jazz Pharmaceuticals PLC* | 4,256 | 643,167 | ||||||
MacroGenics, Inc.* | 58,617 | 555,103 | ||||||
Puma Biotechnology, Inc.* | 56,320 | 534,477 | ||||||
Retrophin, Inc.* | 44,879 | 622,472 | ||||||
Vanda Pharmaceuticals, Inc.* | 50,215 | 840,097 | ||||||
8,592,519 | ||||||||
Industrial Services—4.4% | ||||||||
Basic Energy Services, Inc.* | 15,620 | 7,170 | ||||||
Clean Harbors, Inc.* | 8,117 | 670,870 | ||||||
Comfort Systems USA, Inc. | 11,778 | 601,856 | ||||||
EMCOR Group, Inc. | 10,168 | 904,240 | ||||||
Great Lakes Dredge & Dock Corp.* | 72,421 | 773,456 | ||||||
2,957,592 | ||||||||
Non-Energy Minerals—2.3% | ||||||||
Boise Cascade Co. | 2,280 | 86,458 | ||||||
Materion Corp. | 12,119 | 713,324 | ||||||
Universal Forest Products, Inc. | 15,444 | 766,022 | ||||||
1,565,804 | ||||||||
Process Industries—3.7% | ||||||||
Cosan Ltd., Class A | 68,782 | 1,202,997 | ||||||
Daqo New Energy Corp., ADR* | 11,100 | 422,688 | ||||||
Neenah, Inc. | 1,600 | 116,448 | ||||||
Renewable Energy Group, Inc.* | 9,102 | 155,280 | ||||||
Verso Corp., Class A* | 34,325 | 633,640 | ||||||
2,531,053 | ||||||||
Producer Manufacturing—10.2% | ||||||||
American Woodmark Corp.* | 9,022 | 928,364 | ||||||
BMC Stock Holdings, Inc.* | 31,157 | 922,559 | ||||||
Builders FirstSource, Inc.* | 41,488 | 1,054,210 | ||||||
Canadian Solar, Inc.* | 29,460 | 481,671 | ||||||
Carlisle Cos, Inc. | 3,000 | 467,940 | ||||||
Installed Building Products, Inc.* | 1,594 | 114,290 | ||||||
PlayAGS, Inc.* | 40,459 | 464,874 | ||||||
Simpson Manufacturing Co., Inc. | 6,809 | 552,891 | ||||||
Spartan Motors, Inc. | 35,443 | 629,113 | ||||||
Steelcase, Inc., Class A | 33,325 | 603,849 | ||||||
TopBuild Corp.* | 6,723 | 741,412 | ||||||
6,961,173 | ||||||||
Retail Trade—3.0% | ||||||||
Lithia Motors, Inc., Class A | 3,404 | 546,614 | ||||||
Sonic Automotive, Inc., Class A | 19,542 | 640,001 | ||||||
Vipshop Holdings Ltd., ADR* | 66,926 | 855,314 | ||||||
2,041,929 | ||||||||
Technology Services—8.2% | ||||||||
Boingo Wireless, Inc.* | 50,388 | 579,966 | ||||||
Bottomline Technologies de, Inc.* | 13,700 | 678,013 | ||||||
CommVault Systems, Inc.* | 12,220 | 618,576 | ||||||
Digital Turbine, Inc.* | 58,800 | 522,144 | ||||||
Evertec, Inc. | 19,700 | 638,674 | ||||||
Model N, Inc.* | 22,495 | 684,298 | ||||||
QIWI PLC, SP ADR | 33,399 | 661,968 | ||||||
Qudian, Inc., SP ADR* | 32,114 | 159,285 | ||||||
Rubicon Project, Inc., (The)* | 64,697 | 522,752 | ||||||
Sohu.com Ltd., ADR* | 49,570 | 507,597 | ||||||
5,573,273 | ||||||||
Transportation—0.4% | ||||||||
DHT Holdings, Inc. | 33,800 | 248,092 | ||||||
Utilities—0.9% | ||||||||
Atlantica Yield PLC | 23,452 | 607,876 | ||||||
Pampa Energia SA, SP ADR | 831 | 11,335 | ||||||
619,211 | ||||||||
TOTAL COMMON STOCKS | ||||||||
(Cost $61,233,234) | 66,853,978 |
The accompanying notes are an integral part of the portfolio of investments.
42
BOGLE INVESTMENT MANAGEMENT
SMALL CAP GROWTH FUND
PORTFOLIO OF INVESTMENTS (CONTINUED)
NOVEMBER 30, 2019 (UNAUDITED)
Number Of Shares | Value | |||||
Short-Term Investments—1.7% | ||||||
Fidelity Investments Money Market Funds - Government Portfolio, Class I, 1.54% (a) | 1,183,746 | |||||
TOTAL SHORT-TERM INVESTMENTS | ||||||
(Cost $1,183,746) | 1,183,746 | |||||
Total Investments—100.0% | ||||||
(Cost $62,416,980) | 68,037,724 | |||||
OTHER ASSETS IN EXCESS OF LIABILITIES—0.0% | 30,205 | |||||
NET ASSETS—100.0% | $ | 68,067,929 |
* | Non-income producing security. |
(a) | Seven-day yield as of November 30, 2019. |
ADR - American Depositary Receipt
PLC - Public Limited Company
SP ADR - Sponsored American Depositary Receipt
The accompanying notes are an integral part of the portfolio of investments.
43
BOGLE INVESTMENT MANAGEMENT
SMALL CAP GROWTH FUND
NOTES TO PORTFOLIO OF INVESTMENTS
NOVEMBER 30, 2019 (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 ("OTC") market are valued at their closing prices. If there were no transactions on that day, securities traded principally on an exchange or on NASDAQ will be valued at the mean of the last bid and ask prices prior to the market close. Fixed income securities are valued using an independent pricing service, which considers such factors as security prices, yields, maturities and ratings, and are deemed representative of market values at the close of the market. Investments in other open-end investment companies, if any, are valued based on the NAV of those investment companies (which may use fair value pricing as discussed in their prospectuses). If market quotations are unavailable or deemed unreliable, securities will be valued in accordance with procedures adopted by the Company's Board of Directors (the “Board”). Relying on prices supplied by pricing services or dealers or using fair valuation may result in values that are higher or lower than the values used by other investment companies and investors to price the same investments.
FAIR VALUE MEASUREMENTS — The inputs and valuation techniques used to measure 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 inputs used, as of November 30, 2019, in valuing the Fund’s investments carried at fair value:
TOTAL | LEVEL 1 | LEVEL 2 | LEVEL 3 | |||||||||||||
Common Stocks | $ | 66,853,978 | $ | 66,853,978 | $ | - | $ | - | ||||||||
Short-Term Investments | 1,183,746 | 1,183,746 | - | - | ||||||||||||
Total Investments* | $ | 68,037,724 | $ | 68,037,724 | $ | - | $ | - |
* | 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, 2 and 3 assets and liabilities on a quarterly basis for changes in listings or delistings on national exchanges.
Due to the inherent uncertainty of determining the fair value of investments that do not have a readily available market value, the fair value of the Fund’s investments may fluctuate from period to period. Additionally, the fair value of investments may differ significantly from the values that would have been used had a ready market existed for such investments and may differ materially from the values the Fund may ultimately realize. Further, such investments may be subject to legal and other restrictions on resale or otherwise less liquid than publicly traded securities.
For fair valuations using significant unobservable inputs, U.S. generally accepted accounting principles (“U.S. GAAP”) requires the Fund to present a reconciliation of the beginning to ending balances for reported market values that presents changes attributable to total realized and unrealized gains or losses, purchase and sales, and transfers in and out of Level 3 during the period. Transfers in and out between levels are based on values at the end of the period. A reconciliation of Level 3 investments is presented only when the Fund had an amount of Level 3 investments at the end of the reporting period that was meaningful in relation to its net assets. The amounts and reasons for all Level 3 transfers are disclosed if the Fund had an amount of total Level 3 transfers during the reporting period that was meaningful in relation to its net assets as of the end of the reporting period.
For the period ended November 30, 2019, 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.
44
CAMPBELL ADVANTAGE FUND
CONSOLIDATED PORTFOLIO OF INVESTMENTS
NOVEMBER 30, 2019 (UNAUDITED)
COUPON* | MATURITY DATE | PAR | VALUE | |||||||||||
SHORT-TERM INVESTMENTS — 58.8% | ||||||||||||||
U.S. TREASURY OBLIGATIONS — 58.8% | ||||||||||||||
United States Treasury Bill | 1.799 | % | 01/02/20 | $ | 250,000 | $ | 249,665 | |||||||
United States Treasury Bill | 1.780 | % | 02/27/20 | 300,000 | 298,876 | |||||||||
United States Treasury Bill | 1.804 | % | 01/16/20 | 250,000 | 249,513 | |||||||||
United States Treasury Bill | 1.553 | % | 03/12/20 | 125,000 | 124,455 | |||||||||
United States Treasury Bill | 1.570 | % | 04/16/20 | 125,000 | 124,270 | |||||||||
United States Treasury Bill | 1.520 | % | 05/14/20 | 440,000 | 436,868 | |||||||||
1,483,647 | ||||||||||||||
TOTAL SHORT-TERM INVESTMENTS | ||||||||||||||
(Cost $1,483,488) | 1,483,647 | |||||||||||||
TOTAL INVESTMENTS — 58.8% | ||||||||||||||
(Cost $1,483,488) | 1,483,647 | |||||||||||||
OTHER ASSETS IN EXCESS OF LIABILITIES — 41.2% | 1,038,332 | |||||||||||||
NET ASSETS — 100.0% | $ | 2,521,979 |
* | 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 portfolio of investments.
45
CAMPBELL ADVANTAGE FUND
CONSOLIDATED PORTFOLIO OF INVESTMENTS (Continued)
NOVEMBER 30, 2019 (UNAUDITED)
Futures contracts outstanding as of November 30, 2019 were as follows:
LONG CONTRACTS | EXPIRATION DATE | NUMBER OF CONTRACTS | NOTIONAL AMOUNT | VALUE AND UNREALIZED APPRECIATION/ (DEPRECIATION) | |||||||||
10 Year Mini Japanese Government Bond | Dec-19 | 2 | $ | 182,782 | $ | (2,689 | ) | ||||||
3-Month Euro Euribor | Dec-20 | 9 | 2,479,038 | (3,096 | ) | ||||||||
90-DAY Bank Bill | Mar-20 | 17 | 11,498,762 | 4,792 | |||||||||
90-Day Euro | Mar-21 | 8 | 2,000,000 | (930 | ) | ||||||||
90-Day Sterling | Dec-20 | 11 | 1,778,278 | (3,279 | ) | ||||||||
Amsterdam Index | Dec-19 | 1 | 131,605 | 49 | |||||||||
Australian 10-Year Bond | Dec-19 | 4 | 270,559 | 838 | |||||||||
Australian 3-Year Bond | Dec-19 | 20 | 1,352,796 | 3,311 | |||||||||
CAC40 10 Euro | Dec-19 | 2 | 129,990 | 152 | |||||||||
Canadian 10-Year Bond | Mar-20 | 1 | 75,284 | 58 | |||||||||
Cocoa | Mar-20 | 3 | 77,040 | (379 | ) | ||||||||
DJIA Mini E-CBOT | Dec-19 | 1 | 140,365 | 5,688 | |||||||||
Euro-Bobl | Mar-20 | 2 | 220,359 | (113 | ) | ||||||||
Euro-BTP | Dec-19 | 3 | 330,538 | (10,724 | ) | ||||||||
Euro-Bund | Mar-20 | 2 | 220,359 | (355 | ) | ||||||||
Euro-Oat | Dec-19 | 2 | 220,359 | (8,156 | ) | ||||||||
Euro-Stoxx 50 | Dec-19 | 3 | 122,365 | 3,566 | |||||||||
FTSE/MIB Index | Dec-19 | 1 | 128,210 | 4,449 | |||||||||
Gasoline RBOB | Jan-20 | 1 | 66,822 | (3,606 | ) | ||||||||
Gold 100 Oz | Feb-20 | 1 | 147,270 | (792 | ) | ||||||||
IBEX 35 Index | Dec-19 | 1 | 102,743 | (348 | ) | ||||||||
Live Cattle | Feb-20 | 2 | 100,960 | 974 | |||||||||
London Metals Exchange Aluminum | Dec-19 | 7 | 311,500 | (3,827 | ) | ||||||||
London Metals Exchange Aluminum | Mar-20 | 1 | 44,363 | (887 | ) | ||||||||
London Metals Exchange Copper | Mar-20 | 1 | 146,681 | (884 | ) | ||||||||
London Metals Exchange Copper | Dec-19 | 1 | 146,331 | (172 | ) | ||||||||
London Metals Exchange Nickel | Dec-19 | 3 | 245,304 | (48,280 | ) | ||||||||
London Metals Exchange Nickel | Mar-20 | 1 | 82,092 | (11,189 | ) | ||||||||
London Metals Exchange Zinc | Dec-19 | 3 | 172,200 | (12,102 | ) | ||||||||
Long Gilt | Mar-20 | 2 | 258,659 | (507 | ) | ||||||||
MSCI Singapore Exchange ETS | Dec-19 | 3 | 80,791 | (381 | ) | ||||||||
MSCI Taiwan Index | Dec-19 | 7 | 304,500 | (5,193 | ) | ||||||||
Nasdaq 100 E-Mini | Dec-19 | 1 | 168,350 | 4,148 | |||||||||
Nikkie 225 (Osaka Securities Exchange) | Dec-19 | 2 | 212,987 | 7,082 | |||||||||
OMX Stockholm 30 Index | Dec-19 | 8 | 144,544 | (2,939 | ) | ||||||||
Palladium | Mar-20 | 1 | 181,010 | 7,838 | |||||||||
Platinum | Jan-20 | 1 | 45,020 | (3,212 | ) | ||||||||
S&P 500 E-Mini | Dec-19 | 1 | 157,185 | 7,245 | |||||||||
S&P/TSX 60 Index | Dec-19 | 1 | 153,233 | 4,324 | |||||||||
Silver | Mar-20 | 1 | 85,550 | (437 | ) | ||||||||
SPI 200 Index | Dec-19 | 1 | 115,935 | 3,702 | |||||||||
Topix Index | Dec-19 | 1 | 155,090 | 6,391 | |||||||||
U.S. Treasury 10-Year Notes | Mar-20 | 3 | 305,535 | (591 | ) | ||||||||
U.S. Treasury 2-Year Notes | Mar-20 | 3 | 610,994 | (403 | ) | ||||||||
U.S. Treasury 5-Year Notes | Mar-20 | 4 | 406,592 | (381 | ) | ||||||||
U.S. Treasury Long Bond (Chicago Board of Trade) | Mar-20 | 1 | 134,870 | 45 | |||||||||
U.S. Treasury Ultra Long Bond (Chicago Board of Trade) | Mar-20 | 1 | 115,279 | 936 | |||||||||
Wheat | Mar-20 | 1 | 27,088 | 1,235 | |||||||||
$ | (59,029 | ) |
The accompanying notes are an integral part of the consolidated portfolio of investments.
46
CAMPBELL ADVANTAGE FUND
CONSOLIDATED PORTFOLIO OF INVESTMENTS (Continued)
NOVEMBER 30, 2019 (UNAUDITED)
SHORT CONTRACTS | EXPIRATION DATE | NUMBER OF CONTRACTS | NOTIONAL AMOUNT | VALUE AND UNREALIZED APPRECIATION/ (DEPRECIATION) | |||||||||
Corn | Mar-20 | 4 | $ | (76,250 | ) | $ | 201 | ||||||
Cotton No.2 | Mar-20 | 2 | (65,360 | ) | 604 | ||||||||
Euro-Schatz | Mar-20 | 18 | (1,983,231 | ) | 558 | ||||||||
FTSE/JSE TOP 40 | Dec-19 | 1 | (33,623 | ) | (587 | ) | |||||||
Lean Hogs | Feb-20 | 2 | (54,540 | ) | 1,974 | ||||||||
London Metals Exchange Aluminum | Mar-20 | 3 | (133,088 | ) | 2,654 | ||||||||
London Metals Exchange Aluminum | Dec-19 | 7 | (311,500 | ) | (2,033 | ) | |||||||
London Metals Exchange Copper | Mar-20 | 1 | (146,681 | ) | 222 | ||||||||
London Metals Exchange Copper | Dec-19 | 1 | (146,331 | ) | (1,446 | ) | |||||||
London Metals Exchange Nickel | Mar-20 | 1 | (82,092 | ) | 945 | ||||||||
London Metals Exchange Nickel | Dec-19 | 3 | (245,304 | ) | 54,181 | ||||||||
London Metals Exchange Zinc | Dec-19 | 3 | (172,200 | ) | (1,615 | ) | |||||||
Natural Gas | Jan-20 | 1 | (22,800 | ) | 3,197 | ||||||||
Soybean | Jan-20 | 1 | (43,838 | ) | 385 | ||||||||
Sugar No. 11 (World) | Mar-20 | 4 | (57,971 | ) | (3,854 | ) | |||||||
$ | 55,386 | ||||||||||||
Total Futures Contracts | $ | (3,643 | ) |
The accompanying notes are an integral part of the consolidated portfolio of investments.
47
CAMPBELL ADVANTAGE FUND
CONSOLIDATED PORTFOLIO OF INVESTMENTS (Continued)
NOVEMBER 30, 2019 (UNAUDITED)
Forward foreign currency contracts outstanding as of November 30, 2019 were as follows:
CURRENCY PURCHASED | CURRENCY SOLD | EXPIRATION DATE | COUNTERPARTY | UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||||||||
AUD | 1,700,000 | USD | 1,170,002 | Dec 18 2019 | NatWest | $ | (19,488 | ) | |||||||||||
CAD | 1,100,000 | USD | 838,558 | Dec 18 2019 | NatWest | (10,274 | ) | ||||||||||||
CHF | 150,000 | USD | 151,975 | Dec 18 2019 | NatWest | (1,670 | ) | ||||||||||||
EUR | 1,200,000 | USD | 1,334,857 | Dec 18 2019 | NatWest | (10,707 | ) | ||||||||||||
GBP | 1,550,000 | USD | 1,970,653 | Dec 18 2019 | NatWest | 35,634 | |||||||||||||
JPY | 90,000,000 | USD | 850,372 | Dec 18 2019 | NatWest | (26,499 | ) | ||||||||||||
NOK | 11,700,000 | USD | 1,284,805 | Dec 18 2019 | NatWest | (15,623 | ) | ||||||||||||
NZD | 1,650,000 | USD | 1,055,927 | Dec 18 2019 | NatWest | 3,716 | |||||||||||||
SEK | 14,550,000 | USD | 1,512,934 | Dec 18 2019 | NatWest | 8,459 | |||||||||||||
USD | 1,699,598 | AUD | 2,500,000 | Dec 18 2019 | NatWest | 7,665 | |||||||||||||
USD | 980,803 | CAD | 1,300,000 | Dec 18 2019 | NatWest | 1,922 | |||||||||||||
USD | 357,128 | CHF | 350,000 | Dec 18 2019 | NatWest | 6,416 | |||||||||||||
USD | 2,106,358 | EUR | 1,900,000 | Dec 18 2019 | NatWest | 9,786 | |||||||||||||
USD | 1,842,331 | GBP | 1,500,000 | Dec 18 2019 | NatWest | (99,237 | ) | ||||||||||||
USD | 1,168,797 | JPY | 126,000,000 | Dec 18 2019 | NatWest | 15,375 | |||||||||||||
USD | 2,031,469 | NOK | 18,450,000 | Dec 18 2019 | NatWest | 30,067 | |||||||||||||
USD | 1,554,704 | NZD | 2,450,000 | Dec 18 2019 | NatWest | (18,705 | ) | ||||||||||||
USD | 2,007,563 | SEK | 19,500,000 | Dec 18 2019 | NatWest | (31,418 | ) | ||||||||||||
Total Forward Foreign Currency Contracts | $ | (114,581 | ) |
AUD | Australian Dollar | JPY | Japanese Yen |
CAD | Canadian Dollar | NatWest | National Westminster Bank |
CHF | Swiss Franc | NOK | Norwegian Krone |
EUR | Euro | NZD | New Zealand Dollar |
GBP | British Pound | SEK | Swedish Krona |
USD | United States Dollar |
The accompanying notes are an integral part of the consolidated portfolio of investments.
48
CAMPBELL ADVANTAGE
FUND
NOTES TO CONSOLIDATED PORTFOLIO OF INVESTMENTS
NOVEMBER 30, 2019 (UNAUDITED)
CONSOLIDATION OF SUBSIDIARY —The Adviser’s Campbell Advantage Program will be achieved by the Fund investing up to 25% of its total assets in the Campbell Advantage Offshore Limited (the “Subsidiary”), a wholly-owned and controlled subsidiary 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 $294,103, which represented 11.63% 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, 2019, in valuing the Fund’s investments carried at fair value:
TOTAL | LEVEL 1 | LEVEL 2 | LEVEL 3 | |||||||||||||
Short-Term Investments | $ | 1,483,647 | $ | 1,483,647 | $ | - | $ | - | ||||||||
Commodity Contracts | ||||||||||||||||
Futures Contracts | 74,410 | 74,410 | - | - | ||||||||||||
Equity Contracts | ||||||||||||||||
Futures Contracts | 46,796 | 46,796 | - | - | ||||||||||||
Interest Rate Contracts | ||||||||||||||||
Futures Contracts | 10,538 | 10,538 | - | - | ||||||||||||
Foreign Currency Contracts | ||||||||||||||||
Forward Foreign Currency Contracts | 119,040 | - | 119,040 | - | ||||||||||||
Total Assets | $ | 1,734,431 | $ | 1,615,391 | $ | 119,040 | $ | - |
TOTAL | LEVEL 1 | LEVEL 2 | LEVEL 3 | |||||||||||||
Short-Term Investments | $ | - | $ | - | $ | - | $ | - | ||||||||
Commodity Contracts | ||||||||||||||||
Futures Contracts | (94,715 | ) | (94,715 | ) | - | - | ||||||||||
Equity Contracts | ||||||||||||||||
Futures Contracts | (9,448 | ) | (9,448 | ) | - | - | ||||||||||
Interest Rate Contracts | ||||||||||||||||
Futures Contracts | (31,224 | ) | (31,224 | ) | - | - | ||||||||||
Foreign Currency Contracts | ||||||||||||||||
Forward Foreign Currency Contracts | (233,621 | ) | - | (233,621 | ) | - | ||||||||||
Total Liabilities | $ | (369,008 | ) | $ | (135,387 | ) | $ | (233,621 | ) | $ | - |
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 30,2019, the Fund had no Level 3 transfers.
49
CAMPBELL
ADVANTAGE FUND
NOTES TO CONSOLIDATED PORTFOLIO OF INVESTMENTS (Continued)
NOVEMBER 30, 2019 (UNAUDITED)
DISCLOSURES ABOUT DERIVATIVE INSTRUMENTS AND HEDGING ACTIVITIES
Derivative instruments are defined as financial instruments whose value and performance are based on the value and performance of another security or financial instrument. Derivative instruments that the Fund used during the period include forward foreign currency contracts and futures contracts.
During the current fiscal period, the Fund used long and short contracts on U.S. and foreign equity market indices, U.S. and foreign government bonds, foreign currencies and commodities (through investment in the Subsidiary), to gain investment exposure in accordance with its investment objective.
The following tables provide quantitative disclosures about fair value amounts of, and gains and losses on, the Fund’s derivative instruments as of and for the current fiscal period.
The following table lists the fair values of the Fund’s derivative holdings as of November 30, 2019, grouped by contract type and risk exposure category.
DERIVATIVE TYPE | COMMODITY CONTRACTS | EQUITY CONTRACTS | INTEREST RATE CONTRACTS | FOREIGN CURRENCY CONTRACTS | TOTAL | |||||||||||||||
Asset Derivatives | ||||||||||||||||||||
Futures Contracts (a) | $ | 74,410 | $ | 46,796 | $ | 10,538 | $ | - | $ | 131,744 | ||||||||||
Forward Contracts (a) | - | - | - | 119,040 | 119,040 | |||||||||||||||
Total Value - Assets | $ | 74,410 | $ | 46,796 | $ | 10,538 | $ | 119,040 | $ | 250,784 |
Liability Derivatives | ||||||||||||||||||||
Futures Contracts (a) | $ | (94,715 | ) | $ | (9,448 | ) | $ | (31,224 | ) | $ | - | $ | (135,387 | ) | ||||||
Forward Contracts (a) | - | - | - | (233,621 | ) | (233,621 | ) | |||||||||||||
Total Value - Liabilities | $ | (94,715 | ) | $ | (9,448 | ) | $ | (31,224 | ) | $ | (233,621 | ) | $ | (369,008 | ) |
(a) | This amount represents the cumulative appreciation/(depreciation) of forward and futures contracts as reported in the Consolidated Portfolio of Investments. |
For the period ended November 30,2019, the Fund’s quarterly average volume of derivatives was as follows:
LONG FUTURES NOTIONAL AMOUNT | SHORT FUTURES NOTIONAL AMOUNT | FORWARD FOREIGN CURRENCY CONTRACTS-PAYABLE (VALUE AT TRADE DATE) | FORWARD FOREIGN CURRENCY CONTRACTS-RECEIVABLE (VALUE AT TRADE DATE) | |||||||||||
$ | 53,354,179 | $ | (3,276,113 | ) | $ | (20,981,555 | ) | $ | 20,985,701 |
FUTURES CONTRACTS — The Fund uses futures contracts in the normal course of pursuing its investment objective. Upon entering into a futures contract, the Fund must deposit initial margin in addition to segregating cash or liquid assets sufficient to meet its obligation to purchase or provide securities, or to pay the amount owed at the expiration of an index-based futures contract. Such liquid assets may consist of cash, cash equivalents, liquid debt or equity securities or other acceptable assets. Pursuant to the futures contract, the Fund agrees to receive from, or pay to the broker, an amount of cash equal to the daily fluctuation in value of the contract. Such a receipt of payment is known as “variation margin” and is recorded by the Fund as an unrealized gain or loss. When the contract is closed, the Fund records a realized gain or loss equal to the difference between the proceeds from (or cost of) the closing transactions and the Fund’s basis in the contract. Futures contracts have market risks, including the risk that the change in the value of the contract may not correlate with changes in the value of the underlying securities. Use of long futures contracts subjects the Fund to risk of loss in excess of the amount shown on the Consolidated Statement of Assets and Liabilities, up to the notional value of the futures contract. Use of short futures contracts subjects the Fund to unlimited risk of loss.
FORWARD FOREIGN CURRENCY CONTRACTS — The Fund uses forward foreign currency contracts (“forward contracts”) in the normal course of pursuing its investment objectives. These contracts are marked-to-market daily at the applicable translation rates. The Fund records realized gains or losses at the time the forward contract is closed. A forward contract is extinguished through a closing transaction or upon delivery of the currency or entering an off setting contract. Risks may arise upon entering these contracts from the potential inability of a counterparty to meet the terms of their contracts and from unanticipated movements in the value of a foreign currency relative to the U.S. dollar or other currencies. The Fund’s maximum risk of loss from counterparty credit risk related to forward foreign currency contracts is the fair value of the contract. The risk may be mitigated to some extent if a master netting arrangement between the Fund and the counterparty is in place and to the extent the Fund obtains collateral to cover the Fund’s exposure to the counterparty.
For more information with regard to significant accounting policies, see the most recent annual report or prospectus filed with the Securities and Exchange Commission.
50
CAMPBELL DYNAMIC
TREND FUND
CONSOLIDATED PORTFOLIO OF INVESTMENTS
NOVEMBER 30, 2019 (UNAUDITED)
COUPON* | MATURITY DATE | PAR | VALUE | |||||||||||
SHORT-TERM INVESTMENTS — 78.0% | ||||||||||||||
U.S. TREASURY OBLIGATIONS — 78.0% | ||||||||||||||
United States Treasury Bill | 2.159 | % | 01/02/20 | $ | 6,590,000 | $ | 6,581,176 | |||||||
United States Treasury Bill | 2.219 | % | 02/27/20 | 3,450,000 | 3,437,077 | |||||||||
United States Treasury Bill | 1.967 | % | 01/16/20 | 3,630,000 | 3,622,933 | |||||||||
United States Treasury Bill | 1.553 | % | 03/12/20 | 2,125,000 | 2,115,729 | |||||||||
United States Treasury Bill | 1.570 | % | 04/16/20 | 2,130,000 | 2,117,566 | |||||||||
United States Treasury Bill | 1.520 | % | 05/14/20 | 1,365,000 | 1,355,284 | |||||||||
19,229,765 | ||||||||||||||
TOTAL SHORT-TERM INVESTMENTS | ||||||||||||||
(Cost $19,219,621) | 19,229,765 | |||||||||||||
TOTAL INVESTMENTS — 78.0% | ||||||||||||||
(Cost $19,219,621) | 19,229,765 | |||||||||||||
OTHER ASSETS IN EXCESS OF LIABILITIES — 22.0% | 5,415,642 | |||||||||||||
NET ASSETS — 100.0% | $ | 24,645,407 |
* | 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 portfolio of investments.
51
CAMPBELL DYNAMIC
TREND FUND
CONSOLIDATED PORTFOLIO OF INVESTMENTS (Continued)
NOVEMBER 30, 2019 (UNAUDITED)
Futures contracts outstanding as of November 30, 2019 were as follows:
LONG CONTRACTS | EXPIRATION DATE | NUMBER OF CONTRACTS | NOTIONAL AMOUNT | VALUE AND UNREALIZED APPRECIATION/ (DEPRECIATION) | |||||||||
10 Year Mini Japanese Government Bond | Dec-19 | 4 | $ | 365,564 | $ | (6,804 | ) | ||||||
3-Month Euro Euribor | Dec-20 | 56 | 15,425,128 | (18,567 | ) | ||||||||
90-DAY Bank Bill | Mar-20 | 94 | 63,581,391 | 22,569 | |||||||||
90-Day Euro | Mar-21 | 50 | 12,500,000 | (5,521 | ) | ||||||||
90-Day Sterling | Dec-20 | 73 | 11,801,298 | 1,474 | |||||||||
Amsterdam Index | Dec-19 | 6 | 789,630 | 293 | |||||||||
Australian 10-Year Bond | Dec-19 | 27 | 1,826,274 | 18,073 | |||||||||
Australian 3-Year Bond | Dec-19 | 128 | 8,657,892 | 36,573 | |||||||||
Brent Crude | Mar-20 | 1 | 59,850 | (2,722 | ) | ||||||||
CAC40 10 Euro | Dec-19 | 13 | 844,933 | 518 | |||||||||
Canadian 10-Year Bond | Mar-20 | 6 | 451,705 | 395 | |||||||||
Cattle Feeder Futures | Jan-20 | 3 | 213,415 | (4,471 | ) | ||||||||
Cocoa | Mar-20 | 20 | 513,600 | (1,081 | ) | ||||||||
Coffee | Mar-20 | 2 | 89,288 | 894 | |||||||||
DAX Index | Dec-19 | 2 | 729,746 | 25,930 | |||||||||
DJIA Mini E-CBOT | Dec-19 | 6 | 842,190 | 17,783 | |||||||||
Euro BUXL 30-Year Bond Futures | Dec-19 | 3 | 330,538 | (46,014 | ) | ||||||||
Euro-Bobl | Mar-20 | 9 | 991,615 | (506 | ) | ||||||||
Euro-BTP | Dec-19 | 21 | 2,313,769 | (69,977 | ) | ||||||||
Euro-Bund | Mar-20 | 11 | 1,211,974 | (1,952 | ) | ||||||||
Euro-Oat | Dec-19 | 14 | 1,542,513 | (54,478 | ) | ||||||||
Euro-Stoxx 50 | Dec-19 | 19 | 774,980 | 18,640 | |||||||||
FTSE 100 Index | Dec-19 | 2 | 190,502 | 2,416 | |||||||||
FTSE/MIB Index | Dec-19 | 6 | 769,262 | 27,574 | |||||||||
Gasoline RBOB | Jan-20 | 3 | 200,466 | (7,378 | ) | ||||||||
Gold 100 Oz | Feb-20 | 6 | 883,620 | (4,755 | ) | ||||||||
IBEX 35 Index | Dec-19 | 3 | 308,230 | (1,045 | ) | ||||||||
Live Cattle | Feb-20 | 14 | 706,720 | 6,609 | |||||||||
London Metals Exchange Aluminum | Dec-19 | 19 | 845,500 | (16,986 | ) | ||||||||
London Metals Exchange Aluminum | Mar-20 | 2 | 88,725 | (1,894 | ) | ||||||||
London Metals Exchange Copper | Dec-19 | 3 | 438,994 | (515 | ) | ||||||||
London Metals Exchange Nickel | Dec-19 | 9 | 735,912 | (151,133 | ) | ||||||||
London Metals Exchange Nickel | Mar-20 | 8 | 656,736 | (89,514 | ) | ||||||||
London Metals Exchange Zinc | Dec-19 | 6 | 344,400 | (37,478 | ) | ||||||||
London Metals Exchange Zinc | Mar-20 | 1 | 56,688 | (5,160 | ) | ||||||||
Long Gilt | Mar-20 | 10 | 1,293,293 | 1,670 | |||||||||
MSCI Singapore Exchange ETS | Dec-19 | 20 | 538,608 | (2,511 | ) | ||||||||
MSCI Taiwan Index | Dec-19 | 45 | 1,957,500 | (33,386 | ) | ||||||||
Nasdaq 100 E-Mini | Dec-19 | 4 | 673,400 | 22,125 | |||||||||
Nikkie 225 (Osaka Securities Exchange) | Dec-19 | 9 | 958,440 | 22,477 | |||||||||
OMX Stockholm 30 Index | Dec-19 | 42 | 758,854 | (15,823 | ) | ||||||||
Palladium | Mar-20 | 7 | 1,267,070 | 54,863 | |||||||||
Platinum | Jan-20 | 6 | 270,120 | (10,235 | ) | ||||||||
Russell 2000 E-Mini | Dec-19 | 3 | 243,570 | 4,359 | |||||||||
S&P 500 E-Mini | Dec-19 | 6 | 943,110 | 26,260 | |||||||||
S&P Mid 400 E-Mini | Dec-19 | 2 | 402,000 | 7,126 | |||||||||
S&P/TSX 60 Index | Dec-19 | 9 | 1,379,101 | 15,827 | |||||||||
Silver | Mar-20 | 4 | 342,100 | (1,750 | ) | ||||||||
SPI 200 Index | Dec-19 | 10 | 1,159,346 | 31,894 | |||||||||
Topix Index | Dec-19 | 6 | 930,543 | 22,535 | |||||||||
U.S. Treasury 10-Year Notes | Mar-20 | 17 | 1,731,359 | (3,310 | ) | ||||||||
U.S. Treasury 2-Year Notes | Mar-20 | 20 | 4,073,282 | (2,703 | ) | ||||||||
U.S. Treasury 5-Year Notes | Mar-20 | 23 | 2,337,878 | (2,192 | ) | ||||||||
U.S. Treasury Long Bond (Chicago Board of Trade) | Mar-20 | 8 | 1,078,953 | 361 | |||||||||
U.S. Treasury Ultra Long Bond (Chicago Board of Trade) | Mar-20 | 4 | 461,115 | 3,743 | |||||||||
Wheat | Mar-20 | 4 | 108,350 | 4,939 | |||||||||
$ | (201,941 | ) |
The accompanying notes are an integral part of the consolidated portfolio of investments.
52
CAMPBELL DYNAMIC
TREND FUND
CONSOLIDATED PORTFOLIO OF INVESTMENTS (Continued)
NOVEMBER 30, 2019 (UNAUDITED)
SHORT CONTRACTS | EXPIRATION DATE | NUMBER OF CONTRACTS | NOTIONAL AMOUNT | VALUE AND UNREALIZED APPRECIATION/ (DEPRECIATION) | |||||||||
Corn | Mar-20 | 27 | $ | (514,688 | ) | $ | 2,048 | ||||||
Cotton No.2 | Mar-20 | 15 | (490,200 | ) | 4,395 | ||||||||
Euro-Schatz | Mar-20 | 125 | (13,772,435 | ) | 3,891 | ||||||||
FTSE/JSE TOP 40 | Dec-19 | 2 | (67,247 | ) | 573 | ||||||||
Lean Hogs | Feb-20 | 11 | (299,968 | ) | 14,138 | ||||||||
London Metals Exchange Aluminum | Mar-20 | 18 | (798,525 | ) | 11,071 | ||||||||
London Metals Exchange Aluminum | Dec-19 | 19 | (845,500 | ) | (6,507 | ) | |||||||
London Metals Exchange Copper | Mar-20 | 3 | (440,044 | ) | 667 | ||||||||
London Metals Exchange Copper | Dec-19 | 3 | (438,994 | ) | (10,022 | ) | |||||||
London Metals Exchange Nickel | Mar-20 | 5 | (410,460 | ) | 28,939 | ||||||||
London Metals Exchange Nickel | Dec-19 | 9 | (735,912 | ) | 114,422 | ||||||||
London Metals Exchange Zinc | Mar-20 | 4 | (226,750 | ) | 3,687 | ||||||||
London Metals Exchange Zinc | Dec-19 | 6 | (344,400 | ) | 510 | ||||||||
Low Sulphur Gasoil G Futures | Jan-20 | 1 | (57,175 | ) | 1,348 | ||||||||
Natural Gas | Jan-20 | 5 | (114,100 | ) | 21,398 | ||||||||
Soybean | Jan-20 | 6 | (263,025 | ) | 5,033 | ||||||||
Sugar No. 11 (World) | Mar-20 | 23 | (333,334 | ) | (17,777 | ) | |||||||
$ | 177,814 | ||||||||||||
Total Futures Contracts | $ | (24,127 | ) |
The accompanying notes are an integral part of the consolidated portfolio of investments.
53
CAMPBELL DYNAMIC
TREND FUND
CONSOLIDATED PORTFOLIO OF INVESTMENTS (Continued)
NOVEMBER 30, 2019 (UNAUDITED)
Forward foreign currency contracts outstanding as of November 30, 2019 were as follows:
CURRENCY PURCHASED | CURRENCY SOLD | EXPIRATION DATE | COUNTERPARTY | UNREALIZED APPRECIATION/ (DEPRECIATION) | ||||||||||||||||
AUD | 1,600,000 | USD | 1,100,519 | Dec 18 2019 | UBS | $ | (17,682 | ) | ||||||||||||
CAD | 3,350,000 | USD | 2,556,002 | Dec 18 2019 | UBS | (33,501 | ) | |||||||||||||
CHF | 550,000 | USD | 555,516 | Dec 18 2019 | UBS | (4,398 | ) | |||||||||||||
EUR | 2,100,000 | USD | 2,330,775 | Dec 18 2019 | UBS | (13,511 | ) | |||||||||||||
GBP | 3,350,000 | USD | 4,298,315 | Dec 18 2019 | UBS | 37,853 | ||||||||||||||
JPY | 175,500,000 | USD | 1,658,949 | Dec 18 2019 | UBS | (52,398 | ) | |||||||||||||
NOK | 16,650,000 | USD | 1,821,272 | Dec 18 2019 | UBS | (15,129 | ) | |||||||||||||
NZD | 2,550,000 | USD | 1,632,788 | Dec 18 2019 | UBS | 4,841 | ||||||||||||||
SEK | 22,500,000 | USD | 2,337,402 | Dec 18 2019 | UBS | 15,268 | ||||||||||||||
USD | 4,694,163 | AUD | 6,900,000 | Dec 18 2019 | UBS | 24,428 | ||||||||||||||
USD | 3,394,901 | CAD | 4,500,000 | Dec 18 2019 | UBS | 6,467 | ||||||||||||||
USD | 1,473,092 | CHF | 1,450,000 | Dec 18 2019 | UBS | 20,145 | ||||||||||||||
USD | 7,096,359 | EUR | 6,400,000 | Dec 18 2019 | UBS | 34,222 | ||||||||||||||
USD | 3,564,809 | GBP | 2,900,000 | Dec 18 2019 | UBS | (188,889 | ) | |||||||||||||
USD | 3,757,330 | JPY | 406,500,000 | Dec 18 2019 | UBS | 36,173 | ||||||||||||||
USD | 6,285,433 | NOK | 57,150,000 | Dec 18 2019 | UBS | 85,968 | ||||||||||||||
USD | 4,826,348 | NZD | 7,600,000 | Dec 18 2019 | UBS | (54,429 | ) | |||||||||||||
USD | 5,432,812 | SEK | 52,650,000 | Dec 18 2019 | UBS | (72,438 | ) | |||||||||||||
Total Forward Foreign Currency Contracts | $ | (187,010 | ) |
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 portfolio of investments.
54
CAMPBELL DYNAMIC TREND FUND
NOTES TO CONSOLIDATED PORTFOLIO OF INVESTMENTS
NOVEMBER 30, 2019 (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 $890,705, which represented 3.61% 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, 2019, in valuing the Fund’s investments carried at fair value:
TOTAL | LEVEL 1 | LEVEL 2 | LEVEL 3 | |||||||||||||
Short-Term Investments | $ | 19,229,765 | $ | 19,229,765 | $ | - | $ | - | ||||||||
Commodity Contracts | ||||||||||||||||
Futures Contracts | 274,961 | 274,961 | - | - | ||||||||||||
Equity Contracts | ||||||||||||||||
Futures Contracts | 246,330 | 246,330 | - | - | ||||||||||||
Interest Rate Contracts | ||||||||||||||||
Futures Contracts | 88,749 | 88,749 | - | - | ||||||||||||
Foreign Currency Contracts | ||||||||||||||||
Forward Foreign Currency Contracts | 265,365 | - | 265,365 | - | ||||||||||||
Total Assets | $ | 20,105,170 | $ | 19,839,805 | $ | 265,365 | $ | - |
TOTAL | LEVEL 1 | LEVEL 2 | LEVEL 3 | |||||||||||||
Short-Term Investments | $ | - | $ | - | $ | - | $ | - | ||||||||
Commodity Contracts | ||||||||||||||||
Futures Contracts | (369,378 | ) | (369,378 | ) | - | - | ||||||||||
Equity Contracts | ||||||||||||||||
Futures Contracts | (52,765 | ) | (52,765 | ) | - | - | ||||||||||
Interest Rate Contracts | ||||||||||||||||
Futures Contracts | (212,024 | ) | (212,024 | ) | - | - | ||||||||||
Foreign Currency Contracts | ||||||||||||||||
Forward Foreign Currency Contracts | (452,375 | ) | - | (452,375 | ) | - | ||||||||||
Total Liabilities | $ | (1,086,542 | ) | $ | (634,167 | ) | $ | (452,375 | ) | $ | - |
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 30,2019, the Fund had no Level 3 transfers.
55
CAMPBELL DYNAMIC TREND FUND
NOTES TO CONSOLIDATED PORTFOLIO OF INVESTMENTS (Continued)
NOVEMBER 30, 2019 (UNAUDITED)
DISCLOSURES ABOUT DERIVATIVE INSTRUMENTS AND HEDGING ACTIVITIES
Derivative instruments are defined as financial instruments whose value and performance are based on the value and performance of another security or financial instrument. Derivative instruments that the Fund used during the period include forward foreign currency contracts and futures contracts.
During the current fiscal period, the Fund used long and short contracts on U.S. and foreign equity market indices, U.S. and foreign government bonds, foreign currencies and commodities (through investment in the Subsidiary), to gain investment exposure in accordance with its investment objective.
The following tables provide quantitative disclosures about fair value amounts of, and gains and losses on, the Fund’s derivative instruments as of and for the current fiscal period.
The following table lists the fair values of the Fund’s derivative holdings as of November 30, 2019, grouped by contract type and risk exposure category.
DERIVATIVE TYPE | COMMODITY CONTRACTS | EQUITY CONTRACTS | INTEREST RATE CONTRACTS | FOREIGN CURRENCY CONTRACTS | TOTAL | |||||||||||||||
Asset Derivatives | ||||||||||||||||||||
Futures Contracts (a) | $ | 274,961 | $ | 246,330 | $ | 88,749 | $ | - | $ | 610,040 | ||||||||||
Forward Contracts (a) | - | - | - | 265,365 | 265,365 | |||||||||||||||
Total Value - Assets | $ | 274,961 | $ | 246,330 | $ | 88,749 | $ | 265,365 | $ | 875,405 |
Liability Derivatives | ||||||||||||||||||||
Futures Contracts (a) | $ | (369,378 | ) | $ | (52,765 | ) | $ | (212,024 | ) | $ | - | $ | (634,167 | ) | ||||||
Forward Contracts (a) | - | - | - | (452,375 | ) | (452,375 | ) | |||||||||||||
Total Value - Liabilities | $ | (369,378 | ) | $ | (52,765 | ) | $ | (212,024 | ) | $ | (452,375 | ) | $ | (1,086,542 | ) |
(a) | This amount represents the cumulative appreciation/(depreciation) of forward and futures contracts as reported in the Consolidated Portfolio of Investments. |
For the period ended November 30,2019, the Fund’s quarterly average volume of derivatives was as follows:
LONG FUTURES NOTIONAL AMOUNT | SHORT FUTURES NOTIONAL AMOUNT | FORWARD FOREIGN CURRENCY CONTRACTS-PAYABLE (VALUE AT TRADE DATE) | FORWARD FOREIGN CURRENCY CONTRACTS-RECEIVABLE (VALUE AT TRADE DATE) | |||||||||||
$ | 187,028,551 | $ | (13,256,908 | ) | $ | (48,929,334 | ) | $ | 49,018,385 |
FUTURES CONTRACTS — The Fund uses futures contracts in the normal course of pursuing its investment objective. Upon entering into a futures contract, the Fund must deposit initial margin in addition to segregating cash or liquid assets sufficient to meet its obligation to purchase or provide securities, or to pay the amount owed at the expiration of an index-based futures contract. Such liquid assets may consist of cash, cash equivalents, liquid debt or equity securities or other acceptable assets. Pursuant to the futures contract, the Fund agrees to receive from, or pay to the broker, an amount of cash equal to the daily fluctuation in value of the contract. Such a receipt of payment is known as “variation margin” and is recorded by the Fund as an unrealized gain or loss. When the contract is closed, the Fund records a realized gain or loss equal to the difference between the proceeds from (or cost of) the closing transactions and the Fund’s basis in the contract. Futures contracts have market risks, including the risk that the change in the value of the contract may not correlate with changes in the value of the underlying securities. Use of long futures contracts subjects the Fund to risk of loss in excess of the amount shown on the Consolidated Statement of Assets and Liabilities, up to the notional value of the futures contract. Use of short futures contracts subjects the Fund to unlimited risk of loss.
FORWARD FOREIGN CURRENCY CONTRACTS — The Fund uses forward foreign currency contracts (“forward contracts”) in the normal course of pursuing its investment objectives. These contracts are marked-to-market daily at the applicable translation rates. The Fund records realized gains or losses at the time the forward contract is closed. A forward contract is extinguished through a closing transaction or upon delivery of the currency or entering an off setting contract. Risks may arise upon entering these contracts from the potential inability of a counterparty to meet the terms of their contracts and from unanticipated movements in the value of a foreign currency relative to the U.S. dollar or other currencies. The Fund’s maximum risk of loss from counterparty credit risk related to forward foreign currency contracts is the fair value of the contract. The risk may be mitigated to some extent if a master netting arrangement between the Fund and the counterparty is in place and to the extent the Fund obtains collateral to cover the Fund’s exposure to the counterparty.
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.
56
MFAM GLOBAL OPPORTUNITIES FUND
SCHEDULE OF INVESTMENTS
NOVEMBER 30, 2019 (UNAUDITED)
NUMBER OF SHARES | VALUE | |||||||
Common Stocks — 97.3% | ||||||||
Aerospace & Defense — 2.2% | ||||||||
Axon Enterprise, Inc. (United States) (a)* | 150,000 | $ | 11,070,000 | |||||
Banks — 3.9% | ||||||||
Bank of Georgia Group PLC (Georgia) | 293,132 | 5,610,762 | ||||||
Credicorp Ltd. (Peru) | 5,000 | 1,055,950 | ||||||
HDFC Bank., Ltd., ADR (India) | 210,700 | 13,010,725 | ||||||
19,677,437 | ||||||||
Capital Markets — 0.7% | ||||||||
Georgia Capital PLC (Georgia)* | 293,132 | 3,578,756 | ||||||
Consumer Finance — 1.6% | ||||||||
Gentera SAB de CV (Mexico) | 8,550,000 | 8,133,912 | ||||||
Diversified Financial Services — 1.6% | ||||||||
Banco Latinoamerico de Comercio Exterior SA, Class E (Panama) (a) | 379,029 | 8,175,656 | ||||||
Electronic Equipment, Instruments & Components — 2.7% | ||||||||
IPG Photonics Corp. (United States) (a)* | 72,000 | 10,230,480 | ||||||
Lagercrantz Group AB, Class B (Sweden) | 29,296 | 424,617 | ||||||
NLight, Inc. (United States) (a)* | 155,000 | 3,089,150 | ||||||
13,744,247 | ||||||||
Entertainment — 1.9% | ||||||||
Vivendi SA (France) | 345,000 | 9,470,724 | ||||||
Equity Real Estate Investment Trusts (REITs) — 7.8% | ||||||||
American Tower Corp. (United States) | 64,000 | 13,697,920 | ||||||
Equinix, Inc. (United States) | 20,000 | 11,337,000 | ||||||
SBA Communications Corp. (United States) | 60,000 | 14,188,200 | ||||||
39,223,120 | ||||||||
Food & Staples Retailing — 2.5% | ||||||||
Costco Wholesale Corp. (United States) | 40,000 | 11,992,400 | ||||||
CP ALL PCL, NVDR (Thailand) | 190,000 | 478,059 | ||||||
Georgia Healthcare Group PLC (Georgia) (b) | 90,000 | 191,763 | ||||||
12,662,222 | ||||||||
Food Products — 1.2% | ||||||||
Nippon Indosari Corpindo Tbk PT (Indonesia) | 64,257,500 | 5,922,350 | ||||||
Health Care Equipment & Supplies — 7.6% | ||||||||
Medtronic PLC (Ireland) | 205,272 | 22,865,248 | ||||||
ResMed, Inc. (United States) (a) | 102,000 | 15,259,200 | ||||||
38,124,448 | ||||||||
Health Care Providers & Services — 3.1% | ||||||||
NMC Health PLC (United Arab Emirates) | 485,482 | 15,746,140 | ||||||
Hotels, Restaurants & Leisure — 5.2% | ||||||||
Starbucks Corp. (United States) | 195,000 | 16,658,850 | ||||||
Yum China Holdings, Inc. (China) (a) | 214,751 | 9,560,715 | ||||||
26,219,565 | ||||||||
Interactive Media & Services — 4.3% | ||||||||
Alphabet, Inc., Class C (United States)* | 9,024 | 11,775,959 | ||||||
Tencent Holding Ltd. (China) | 225,600 | 9,519,227 | ||||||
21,295,186 |
The accompanying notes are an integral part of the schedule of investments.
57
MFAM GLOBAL OPPORTUNITIES FUND
SCHEDULE OF INVESTMENTS (Continued)
NOVEMBER 30, 2019 (UNAUDITED)
NUMBER OF SHARES | VALUE | |||||||
Internet & Direct Marketing Retail — 11.5% | ||||||||
Alibaba Group Holding Ltd., SP ADR (China)* | 50,000 | 10,000,000 | ||||||
Amazon.com, Inc. (United States)* | 14,150 | 25,481,320 | ||||||
MercadoLibre, Inc. (Argentina) (a)* | 24,387 | 14,158,604 | ||||||
Trip.com Group Ltd., ADR (Cayman Islands) (a) | 234,052 | 7,779,889 | ||||||
57,419,813 | ||||||||
IT Services — 7.5% | ||||||||
Mastercard, Inc., Class A (United States) | 93,300 | 27,265,059 | ||||||
PayPal Holdings, Inc. (United States)* | 94,900 | 10,250,149 | ||||||
37,515,208 | ||||||||
Life Sciences Tools & Services — 0.9% | ||||||||
Horizon Discovery Group PLC (United Kingdom)* | 2,135,499 | 4,508,101 | ||||||
Machinery — 0.6% | ||||||||
Fanuc Corp. (Japan) | 16,000 | 3,055,082 | ||||||
Media — 1.3% | ||||||||
Comcast Corp., Class A (United States) | 110,000 | 4,856,500 | ||||||
System1 Group PLC (United Kingdom) | 700,000 | 1,828,716 | ||||||
6,685,216 | ||||||||
Multiline Retail — 2.1% | ||||||||
Mitra Adiperkasa Tbk PT (Indonesia) | 146,430,000 | 10,534,972 | ||||||
Real Estate Management & Development — 1.0% | ||||||||
Jones Lang LaSalle, Inc. (United States) (a) | 30,000 | 4,989,900 | ||||||
Semiconductors & Semiconductor Equipment — 2.6% | ||||||||
Taiwan Semiconductor Manufacturing Co., Ltd., SP ADR (Taiwan) (a) | 242,500 | 12,874,325 | ||||||
Software — 14.1% | ||||||||
Atlassian Corp., PLC, Class A (Australia) (a)* | 132,000 | 16,778,520 | ||||||
Douzone Bizon Co., Ltd. (South Korea) | 149,798 | 9,065,580 | ||||||
Everbridge, Inc. (United States) (a)* | 180,000 | 15,829,200 | ||||||
Paycom Software, Inc. (United States)* | 55,000 | 15,224,550 | ||||||
Splunk, Inc. (United States)* | 93,300 | 13,922,226 | ||||||
70,820,076 | ||||||||
Trading Companies & Distributors — 5.0% | ||||||||
Fastenal Co. (United States) | 248,000 | 8,808,960 | ||||||
Watsco, Inc. (United States) (a) | 90,000 | 16,017,300 | ||||||
24,826,260 | ||||||||
Transportation Infrastructure — 2.1% | ||||||||
International Container Terminal Services, Inc. (Philippines) | 4,395,000 | 10,690,740 | ||||||
Wireless Telecommunication Services — 2.3% | ||||||||
Safaricom Ltd., PLC (Kenya) | 4,000,000 | 1,140,351 | ||||||
SoftBank Group Corp. (Japan) | 260,000 | 10,114,631 | ||||||
11,254,982 | ||||||||
Total Common Stocks (Cost $283,447,224) | 488,218,438 | |||||||
Investments Purchased with Proceeds from Securities Lending Collateral — 11.3% | ||||||||
Mount Vernon Liquid Assets Portfolio, LLC, 1.18% | 56,861,421 | 56,861,421 | ||||||
Total Investments Purchased with Proceeds from Securities Lending Collateral (Cost $56,861,421) | 56,861,421 | |||||||
Short-Term Investments — 2.8% | ||||||||
U.S. Bank Money Market Deposit Account, 1.64% (United States) (c) | 13,913,526 | 13,913,526 | ||||||
Total Short-Term Investments (Cost $13,913,526) | 13,913,526 | |||||||
Total Investments (Cost $354,222,171) — 111.4% | 558,993,385 | |||||||
Liabilities in Excess of Other Assets — (11.4)% | (57,030,346 | ) | ||||||
NET ASSETS — 100.0% | ||||||||
(Applicable to 19,324,016 shares outstanding) | $ | 501,963,039 |
* | Non-income producing security. |
ADR | American Depositary Receipt |
NVDR | Non-Voting Depository Receipt |
PLC | Public Limited Company |
SP ADR | Sponsored ADR |
(a) | All or a portion of the security is on loan. At November 30, 2019, the market value of securities on loan was $55,325,662. |
(b) | Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration to qualified institutional buyers. As of November 30, 2019, the total market value of Rule 144A securities was $191,763 and represents 0.0% of net assets. |
(c) | The rate shown is as of November 30, 2019. |
The accompanying notes are an integral part of the schedule of investments.
58
MFAM MID-CAP GROWTH FUND
SCHEDULE OF INVESTMENTS
NOVEMBER 30, 2019 (UNAUDITED)
NUMBER OF SHARES | VALUE | |||||||
Common Stocks — 97.8% | ||||||||
Aerospace & Defense — 2.4% | ||||||||
Axon Enterprise, Inc. (United States) (a)* | 90,000 | $ | 6,642,000 | |||||
Air Freight & Logistics — 5.2% | ||||||||
XPO Logistics, Inc. (United States) (a)* | 175,000 | 14,470,750 | ||||||
Auto Components — 7.4% | ||||||||
Gentex Corp. (United States) | 300,000 | 8,520,000 | ||||||
LCI Industries (United States) (a) | 113,914 | 12,127,284 | ||||||
20,647,284 | ||||||||
Automobiles — 2.6% | ||||||||
Thor Industries, Inc. (United States) (a) | 115,000 | 7,333,550 | ||||||
Banks — 0.8% | ||||||||
SVB Financial Group (United States)* | 10,000 | 2,317,300 | ||||||
Electronic Equipment, Instruments & Components — 2.5% | ||||||||
IPG Photonics Corp. (United States)* | 49,500 | 7,033,455 | ||||||
Equity Real Estate Investment Trusts (REITs) — 6.8% | ||||||||
SBA Communications Corp. (United States) | 55,000 | 13,005,850 | ||||||
STAG Industrial, Inc. (United States) | 195,000 | 6,043,050 | ||||||
19,048,900 | ||||||||
Food Products — 2.1% | ||||||||
McCormick & Co., Inc. (United States) (a) | 34,000 | 5,754,500 | ||||||
Health Care Equipment & Supplies — 12.2% | ||||||||
Cooper Companies, Inc. (The) (United States) | 46,400 | 14,527,376 | ||||||
ResMed, Inc. (United States) | 70,000 | 10,472,000 | ||||||
Varian Medical Systems, Inc. (United States)* | 67,000 | 8,959,910 | ||||||
33,959,286 | ||||||||
Health Care Technology — 5.0% | ||||||||
Cerner Corp. (United States) | 105,000 | 7,516,950 | ||||||
Teladoc, Inc. (United States) (a)* | 75,000 | 6,280,500 | ||||||
13,797,450 | ||||||||
Hotels, Restaurants & Leisure — 2.8% | ||||||||
Texas Roadhouse, Inc. (United States) | 134,929 | 7,812,389 | ||||||
Household Products — 3.6% | ||||||||
Church & Dwight Co., Inc. (United States) | 141,600 | 9,945,984 | ||||||
Insurance — 3.2% | ||||||||
Markel Corp. (United States)* | 7,900 | 8,970,845 | ||||||
IT Services — 2.4% | ||||||||
Broadridge Financial Solutions, Inc. (United States) | 55,000 | 6,804,050 | ||||||
Leisure Products — 2.5% | ||||||||
Hasbro, Inc. (United States) (a) | 68,615 | 6,978,146 | ||||||
Machinery — 1.4% | ||||||||
Proto Labs, Inc. (United States)* | 40,000 | 3,875,600 | ||||||
Real Estate Management & Development — 4.3% | ||||||||
Jones Lang LaSalle, Inc. (United States) | 72,500 | 12,058,925 | ||||||
Software — 23.8% | ||||||||
Alarm.com Holdings, Inc. (United States) (a)* | 111,902 | 4,881,165 | ||||||
Everbridge, Inc. (United States) (a)* | 90,000 | 7,914,600 | ||||||
Paycom Software, Inc. (United States)* | 50,000 | 13,840,500 | ||||||
Paylocity Holding Corp. (United States) (a)* | 114,241 | 13,973,959 | ||||||
Splunk, Inc. (United States)* | 107,000 | 15,966,540 | ||||||
Tyler Technologies, Inc. (United States)* | 34,000 | 9,865,780 | ||||||
66,442,544 | ||||||||
Specialty Retail — 1.5% | ||||||||
Tractor Supply Co. (United States) | 44,800 | 4,230,912 | ||||||
Trading Companies & Distributors — 5.3% | ||||||||
Fastenal Co. (United States) | 193,500 | 6,873,120 | ||||||
Watsco, Inc. (United States) | 45,000 | 8,008,650 | ||||||
14,881,770 | ||||||||
Total Common Stocks (Cost $155,084,233) | 273,005,640 | |||||||
Investments Purchased with Proceeds from Securities Lending Collateral — 20.6% | ||||||||
Mount Vernon Liquid Assets Portfolio, LLC, 1.81% | 57,380,215 | 57,380,215 | ||||||
Total Investments Purchased with Proceeds from Securities Lending Collateral (Cost $57,380,215) | 57,380,215 | |||||||
Short-Term Investments — 2.3% | ||||||||
U.S. Bank Money Market Deposit Account, 1.64% (United States) (b) | 6,477,098 | 6,477,098 | ||||||
Total Short-Term Investments (Cost $6,477,098) | 6,477,098 | |||||||
Total Investments (Cost $218,941,546) — 120.7% | 336,862,953 | |||||||
Liabilities in Excess of Other Assets — (20.7)% | (57,784,121 | ) | ||||||
NET ASSETS — 100.0% | ||||||||
(Applicable to 10,600,535 shares outstanding) | $ | 279,078,832 |
* | Non-income producing security. |
(a) | All or a portion of the security is on loan. At November 30, 2019, the market value of securities on loan was $55,444,860. |
(b) | The rate shown is as of November 30, 2019. |
The accompanying notes are an integral part of the schedule of investments.
59
MFAM FUNDS
NOTES TO THE SCHEDULE OF INVESTMENTS
NOVEMBER 30, 2019
(UNAUDITED)
PORTFOLIO VALUATION — Each Fund’s net asset value (“NAV”) is calculated once daily at the close of regular trading hours on the New York Stock Exchange (“NYSE”) (generally 4:00 p.m. Eastern time) on each day the NYSE is open. Securities held by the Funds are valued using the closing price or the last sale price on a national securities exchange or the National Association of Securities Dealers Automatic Quotation System (“NASDAQ”) market system where they are primarily traded. Equity securities traded in the over-the-counter (“OTC”) market are valued at their closing prices. If there were no transactions on that day, securities traded principally on an exchange or on NASDAQ will be valued at the mean of the last bid and ask prices prior to the market close. Fixed income securities are valued using an independent pricing service, which considers such factors as security prices, yields, maturities and ratings, and are deemed representative of market values at the close of the market. Foreign securities are valued based on prices from the primary market in which they are traded, and are translated from the local currency into U.S. dollars using current exchange rates. If market quotations are unavailable or deemed unreliable, securities will be valued in accordance with procedures adopted by the Company’s Board of Directors (the “Board”). Relying on prices supplied by pricing services or dealers or using fair valuation may result in values that are higher or lower than the values used by other investment companies and investors to price the same investments. Such procedures use fundamental valuation methods, which may include, but are not limited to, an analysis of the effect of any restrictions on the resale of the security, industry analysis and trends, significant changes in the issuer’s financial position, and any other event which could have a significant impact on the value of the security. Determination of fair value involves subjective judgment as the actual market value of a particular security can be established only by negotiations between the parties in a sales transaction, and the difference between the recorded fair value and the value that would be received in a sale could be significant. The Funds may use fair value pricing more frequently for securities traded primarily in non-U.S. markets because, among other things, most foreign markets close well before the Funds value their securities, generally as of 4:00 p.m. Eastern time. The earlier close of these foreign markets gives rise to the possibility that significant events, including broad market moves, government actions or pronouncements, aftermarket trading, or news events may have occurred in the interim. To account for this, the Funds may value foreign securities using fair value prices based on third-party vendor modeling tools (international fair value pricing).
FAIR VALUE MEASUREMENTS – The inputs and valuation techniques used to measure the fair value of the Funds' investments are summarized into three levels as
described in the hierarchy below:
• Level 1 — Prices are determined using quoted prices in active markets for identical securities.
• Level 2 — Prices are determined using other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
• Level 3 — Prices are determined using significant unobservable inputs (including the Funds' own assumptions in determining the fair value of investments).
The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The following is a summary of the inputs used, as of November 30, 2019, in valuing the Funds' investments carried at fair value:
TOTAL | LEVEL 1 | LEVEL 2 | LEVEL 3 | INVESTMENTS MEASURED AT NET ASSET VALUE^ | ||||||||||||||||
GLOBAL OPPORTUNITIES FUND | ||||||||||||||||||||
Common Stocks | $ | 488,218,438 | $ | 405,035,182 | $ | 83,183,256 | $ | - | $ | - | ||||||||||
Investments Purchased with Proceeds From Securities Lending Collateral | 56,861,421 | - | - | - | 56,861,421 | |||||||||||||||
Short-Term Investments | 13,913,526 | 13,913,526 | - | - | - | |||||||||||||||
Total Investments* | $ | 558,993,385 | $ | 418,948,708 | $ | 83,183,256 | $ | - | $ | 56,861,421 | ||||||||||
MID-CAP GROWTH FUND | ||||||||||||||||||||
Common Stocks | $ | 273,005,640 | $ | 273,005,640 | $ | - | $ | - | $ | - | ||||||||||
Investments Purchased with Proceeds From Securities Lending Collateral | 57,380,215 | - | - | - | 57,380,215 | |||||||||||||||
Short-Term Investments | 6,477,098 | 6,477,098 | - | - | - | |||||||||||||||
Total Investments* | $ | 336,862,953 | $ | 279,482,738 | $ | - | $ | - | $ | 57,380,215 |
* | Please refer to Schedule of Investments for further details. |
^ | Certain investments that are measured at fair value using the net asset value per share (or its equivalent) practical expedient have not been categorized in the fair value hierarchy. The fair value amounts presented in the table are intended to permit reconciliation of the fair value hierarchy to the amounts presented in the Schedule 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 Levels 1, 2 and 3 assets and liabilities on a quarterly basis for changes in listings or delistings on national exchanges.
Due to the inherent uncertainty of determining the fair value of investments that do not have a readily available market value, the fair value of the Funds' investments may fluctuate from period to period. Additionally, the fair value of investments may differ significantly from the values that would have been used had a ready market existed for such investments and may differ materially from the values the Funds may ultimately realize. Further, such investments may be subject to legal and other restrictions on resale or otherwise less liquid than publicly traded securities.
For fair valuations using significant unobservable inputs, U.S. generally accepted accounting principles (“U.S. GAAP”) requires each Fund to present a reconciliation of the beginning to ending balances for reported market values that presents changes attributable to total realized and unrealized gains or losses, purchase and sales, and transfers in and out of Level 3 during the period. Transfers in and out between levels are based on values at the end of the period. A reconciliation of Level 3 investments is presented only if a Fund had an amount of Level 3 investments at the end of the reporting period that was meaningful in relation to its net assets. The amounts and reasons for Level 3 transfers in and out of each level is disclosed when a Fund had an amount of total Level 3 transfers during the reporting period that was meaningful in relation to its net assets as of the end of the reporting period.
For the period ended November 30, 2019, the Funds 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.
60
MOTLEY FOOL 100 INDEX ETF
SCHEDULE OF INVESTMENTS
NOVEMBER 30, 2019 (UNAUDITED)
NUMBER OF SHARES | VALUE | |||||||
Common Stocks — 99.8% | ||||||||
Aerospace & Defense — 0.2% | ||||||||
TransDigm Group, Inc. (United States) | 834 | $ | 472,961 | |||||
Air Freight & Logistics — 0.4% | ||||||||
FedEx Corp. (United States) | 5,037 | 806,172 | ||||||
Airlines — 0.6% | ||||||||
Delta Air Lines, Inc. (United States) | 11,080 | 634,995 | ||||||
Southwest Airlines Co. (United States) | 9,256 | 533,516 | ||||||
1,168,511 | ||||||||
Automobiles — 0.8% | ||||||||
Ford Motor Co. (United States) | 75,535 | 684,347 | ||||||
Tesla, Inc. (United States) (a)* | 2,843 | 938,020 | ||||||
1,622,367 | ||||||||
Beverages — 0.3% | ||||||||
Monster Beverage Corp. (United States) (a)* | 9,963 | 595,987 | ||||||
Biotechnology — 3.0% | ||||||||
Amgen, Inc. (United States) | 9,839 | 2,309,410 | ||||||
Biogen, Inc. (United States)* | 3,356 | 1,006,162 | ||||||
Gilead Sciences, Inc. (United States) | 23,206 | 1,560,372 | ||||||
Vertex Pharmaceuticals, Inc. (United States)* | 4,567 | 1,012,732 | ||||||
5,888,676 | ||||||||
Capital Markets — 1.9% | ||||||||
Charles Schwab Corp. (The) (United States) | 22,809 | 1,129,045 | ||||||
CME Group, Inc. (United States) (a) | 5,735 | 1,162,657 | ||||||
Intercontinental Exchange, Inc. (United States) | 8,789 | 827,660 | ||||||
Moody's Corp. (United States) | 3,151 | 714,237 | ||||||
3,833,599 | ||||||||
Chemicals — 0.9% | ||||||||
Ecolab, Inc. (United States) | 4,730 | 882,949 | ||||||
Sherwin-Williams Co. (The) (United States) | 1,355 | 790,141 | ||||||
1,673,090 | ||||||||
Commercial Services & Supplies — 0.8% | ||||||||
Cintas Corp. (United States) | 1,571 | 403,841 | ||||||
Copart, Inc. (United States)* | 3,856 | 343,184 | ||||||
Waste Management, Inc. (United States) | 7,291 | 823,227 | ||||||
1,570,252 | ||||||||
Communications Equipment — 0.1% | ||||||||
Arista Networks, Inc. (United States)* | 1,293 | 252,303 | ||||||
Consumer Finance — 0.9% | ||||||||
American Express Co. (United States) | 14,963 | 1,797,356 | ||||||
Diversified Financial Services — 4.7% | ||||||||
Berkshire Hathaway, Inc., Class B (United States)* | 41,725 | 9,192,017 | ||||||
Electric Utilities — 0.9% | ||||||||
NextEra Energy, Inc. (United States) (a) | 7,331 | 1,714,134 | ||||||
Electrical Equipment — 0.2% | ||||||||
Rockwell Automation, Inc. (United States) | 1,902 | 372,488 | ||||||
Electronic Equipment, Instruments & Components — 0.2% | ||||||||
Corning, Inc. (United States) (a) | 14,842 | 431,012 | ||||||
Entertainment — 4.7% | ||||||||
Activision Blizzard, Inc. (United States) | 11,305 | 619,853 | ||||||
Electronic Arts, Inc. (United States)* | 4,767 | 481,515 | ||||||
Netflix, Inc. (United States) (a)* | 9,971 | 3,137,475 | ||||||
Walt Disney Co. (The) (United States) | 33,842 | 5,129,770 | ||||||
9,368,613 |
The accompanying notes are an integral part of the schedule of investments.
61
MOTLEY FOOL 100 INDEX ETF
SCHEDULE OF INVESTMENTS (Continued)
NOVEMBER 30, 2019 (UNAUDITED)
NUMBER OF SHARES | VALUE | |||||||
Equity Real Estate Investment Trusts (REITs) — 1.8% | ||||||||
Alexandria Real Estate Equities, Inc. (United States) | 2,022 | 328,616 | ||||||
American Tower Corp. (United States) | 7,408 | 1,585,534 | ||||||
Crown Castle International Corp. (United States) | 7,042 | 941,234 | ||||||
Equinix, Inc. (United States) | 1,284 | 727,835 | ||||||
3,583,219 | ||||||||
Food & Staples Retailing — 1.1% | ||||||||
Costco Wholesale Corp. (United States) | 6,891 | 2,065,991 | ||||||
Food Products — 0.2% | ||||||||
McCormick & Co., Inc. (United States) (a) | 2,277 | 385,382 | ||||||
Health Care Equipment & Supplies — 1.8% | ||||||||
Align Technology, Inc. (United States)* | 2,251 | 624,292 | ||||||
Becton Dickinson and Co. (United States) | 4,359 | 1,126,801 | ||||||
IDEXX Laboratories, Inc. (United States)* | 1,475 | 371,081 | ||||||
Intuitive Surgical, Inc. (United States)* | 1,912 | 1,133,625 | ||||||
ResMed, Inc. (United States) | 2,376 | 355,450 | ||||||
3,611,249 | ||||||||
Health Care Providers & Services — 4.1% | ||||||||
CVS Health Corp. (United States) | 19,569 | 1,472,959 | ||||||
HCA Healthcare, Inc. (United States) | 6,311 | 875,083 | ||||||
McKesson Corp. (United States) | 3,178 | 459,666 | ||||||
UnitedHealth Group, Inc. (United States) | 18,698 | 5,233,009 | ||||||
8,040,717 | ||||||||
Health Care Technology — 0.4% | ||||||||
Cerner Corp. (United States) (a) | 5,932 | 424,672 | ||||||
Veeva Systems, Inc., Class A (United States)* | 2,791 | 416,361 | ||||||
841,033 | ||||||||
Hotels, Restaurants & Leisure — 1.5% | ||||||||
Chipotle Mexican Grill, Inc. (United States)* | 419 | 341,033 | ||||||
Marriott International, Inc., Class A (United States) | 6,267 | 879,636 | ||||||
Starbucks Corp. (United States) | 19,868 | 1,697,323 | ||||||
2,917,992 | ||||||||
Industrial Conglomerates — 1.2% | ||||||||
3M Co. (United States) | 10,253 | 1,740,652 | ||||||
Roper Technologies, Inc. (United States) | 1,837 | 661,999 | ||||||
2,402,651 | ||||||||
Insurance — 0.5% | ||||||||
Aflac, Inc. (United States) | 13,407 | 735,240 | ||||||
Loews Corp. (United States) | 5,363 | 272,977 | ||||||
1,008,217 | ||||||||
Interactive Media & Services — 12.9% | ||||||||
Alphabet, Inc., Class C (United States)* | 10,823 | 14,123,582 | ||||||
Facebook, Inc., Class A (United States)* | 52,666 | 10,619,572 | ||||||
Match Group, Inc. (United States) (a) | 5,100 | 359,448 | ||||||
Twitter, Inc. (United States)* | 11,595 | 358,402 | ||||||
25,461,004 | ||||||||
Internet & Direct Marketing Retail — 9.4% | ||||||||
Amazon.com, Inc. (United States)* | 9,298 | 16,743,839 | ||||||
Booking Holdings, Inc. (United States) (a)* | 680 | 1,294,740 | ||||||
eBay, Inc. (United States) | 15,162 | 538,554 | ||||||
18,577,133 | ||||||||
IT Services — 8.1% | ||||||||
Cognizant Technology Solutions Corp., Class A (United States) | 10,369 | 664,757 | ||||||
Mastercard, Inc., Class A (United States) | 16,970 | 4,959,143 | ||||||
PayPal Holdings, Inc. (United States)* | 23,040 | 2,488,550 | ||||||
Square, Inc., Class A (United States)* | 8,603 | 594,639 | ||||||
Twilio, Inc., Class A (United States)* | 3,007 | 310,563 | ||||||
Visa, Inc., Class A (United States) (a) | 37,511 | 6,921,155 | ||||||
15,938,807 |
The accompanying notes are an integral part of the schedule of investments.
62
MOTLEY FOOL 100 INDEX ETF
SCHEDULE OF INVESTMENTS (Continued)
NOVEMBER 30, 2019 (UNAUDITED)
NUMBER OF SHARES | VALUE | |||||||
Life Sciences Tools & Services — 0.5% | ||||||||
Illumina, Inc. (United States)* | 2,931 | 940,148 | ||||||
Machinery — 0.3% | ||||||||
Cummins, Inc. (United States) | 2,750 | 502,865 | ||||||
Media — 0.5% | ||||||||
Discovery, Inc., Class A (United States) (a)* | 12,856 | 423,477 | ||||||
Sirius XM Holdings, Inc. (United States) (a) | 71,678 | 500,312 | ||||||
923,789 | ||||||||
Oil, Gas & Consumable Fuels — 0.4% | ||||||||
Kinder Morgan, Inc. (United States) (a) | 39,671 | 777,948 | ||||||
Professional Services — 0.2% | ||||||||
CoStar Group, Inc. (United States)* | 637 | 390,392 | ||||||
Road & Rail — 1.7% | ||||||||
Uber Technologies, Inc. (United States) (a)* | 41,922 | 1,240,891 | ||||||
Union Pacific Corp. (United States) | 12,514 | 2,202,339 | ||||||
3,443,230 | ||||||||
Semiconductors & Semiconductor Equipment — 3.1% | ||||||||
Broadcom, Inc. (United States) | 6,608 | 2,089,516 | ||||||
NVIDIA Corp. (United States) | 8,810 | 1,909,479 | ||||||
Texas Instruments, Inc. (United States) | 13,474 | 1,619,710 | ||||||
Xilinx, Inc. (United States) | 4,735 | 439,313 | ||||||
6,058,018 |
The accompanying notes are an integral part of the schedule of investments.
63
MOTLEY FOOL 100 INDEX ETF
SCHEDULE OF INVESTMENTS (Continued)
NOVEMBER 30, 2019 (UNAUDITED)
NUMBER OF SHARES | VALUE | |||||||
Software — 15.2% | ||||||||
Adobe Systems, Inc. (United States)* | 8,462 | 2,619,243 | ||||||
Intuit, Inc. (United States) (a) | 4,312 | 1,116,334 | ||||||
Microsoft Corp. (United States) | 127,718 | 19,333,951 | ||||||
Palo Alto Networks, Inc. (United States) (a)* | 1,632 | 370,823 | ||||||
Salesforce.com, Inc. (United States)* | 13,668 | 2,226,381 | ||||||
ServiceNow, Inc. (United States) (a)* | 3,485 | 986,394 | ||||||
Splunk, Inc. (United States)* | 2,643 | 394,388 | ||||||
Synopsys, Inc. (United States)* | 2,510 | 354,010 | ||||||
VMware, Inc., Class A (United States)* | 8,011 | 1,246,672 | ||||||
Workday, Inc., Class A (United States)* | 4,804 | 860,492 | ||||||
Zoom Video Communications, Inc., Class A (United States) (a)* | 6,016 | 448,192 | ||||||
29,956,880 | ||||||||
Specialty Retail — 3.2% | ||||||||
AutoZone, Inc. (United States)* | 430 | 506,506 | ||||||
Home Depot, Inc. (The) (United States) | 16,985 | 3,745,362 | ||||||
O'Reilly Automotive, Inc. (United States)* | 1,303 | 576,291 | ||||||
TJX Cos, Inc. (The) (United States) | 20,158 | 1,232,258 | ||||||
Ulta Beauty, Inc. (United States)* | 1,435 | 335,589 | ||||||
6,396,006 | ||||||||
Technology Hardware, Storage & Peripherals — 9.4% | ||||||||
Apple, Inc. (United States) | 69,448 | 18,559,978 | ||||||
Textiles, Apparel & Luxury Goods — 1.1% | ||||||||
NIKE, Inc., Class B (United States) | 23,966 | 2,240,581 | ||||||
Wireless Telecommunication Services — 0.6% | ||||||||
T-Mobile US, Inc. (United States)* | 14,123 | 1,109,362 | ||||||
Total Common Stocks (Cost $161,998,120) | 196,892,130 | |||||||
Rights - 0.1% | ||||||||
Altaba, Inc. - Escrow Shares (United States)*(c) | 8,565 | 151,344 | ||||||
Total Rights (Cost $158,961) | 19,614,217 | |||||||
Investments Purchased with Proceeds from Securities Lending Collateral — 9.9% | ||||||||
Mount Vernon Liquid Assets Portfolio, LLC, 1.81% | 19,614,217 | 19,614,217 | ||||||
Total Investments Purchased with Proceeds from Securities Lending Collateral (Cost $19,614,217) | 19,614,217 | |||||||
Short-Term Investments — 0.1% | ||||||||
First American Treasury Obligations Fund Class X, 1.59% (United States) (b) | 90,880 | 90,880 | ||||||
Total Short-Term Investments (Cost $90,880) | 90,880 | |||||||
Total Investments (Cost $181,862,178) — 109.9% | 216,748,571 | |||||||
Liabilities in Excess of Other Assets — (9.9)% | (19,503,526 | ) | ||||||
NET ASSETS — 100.0% | ||||||||
(Applicable to 8,100,000 shares outstanding) | $ | 197,245,045 |
* | Non-income producing security. |
(a) | All or a portion of the security is on loan. At November 30, 2019, the market value of securities on loan was $19,199,612. |
(b) | Seven-day yield as of November 30, 2019. |
(c) | Security has been valued at fair market value using significant unobservable inputs as determined in good faith by or under the direction of The RBB Fund, Inc.'s Board of Directors. As of November 30, 2019, these securities amounted to $151,344 or 0.1% of net assets. |
The accompanying notes are an integral part of the schedule of investments.
64
MFAM SMALL-CAP GROWTH ETF
SCHEDULE OF INVESTMENTS
NOVEMBER 30, 2019 (UNAUDITED)
NUMBER OF SHARES | VALUE | |||||||
Common Stocks — 95.7% | ||||||||
Aerospace & Defense — 2.7% | ||||||||
Axon Enterprise, Inc. (United States) (a)* | 27,648 | $ | 2,040,423 | |||||
Auto Components — 2.3% | ||||||||
Fox Factory Holding Corp. (United States)* | 26,567 | 1,751,562 | ||||||
Biotechnology — 8.3% | ||||||||
ADMA Biologics, Inc. (United States) (a)* | 425,128 | 2,019,358 | ||||||
Akcea Therapeutics, Inc. (United States) (a)* | 59,455 | 1,157,589 | ||||||
Editas Medicine, Inc. (United States) (a)* | 33,353 | 1,009,929 | ||||||
PTC Therapeutics, Inc. (United States)* | 42,335 | 1,988,051 | ||||||
6,174,927 | ||||||||
Building Products — 3.9% | ||||||||
Trex Co, Inc. (United States)* | 33,818 | 2,910,377 | ||||||
Electronic Equipment, Instruments & Components — 4.0% | ||||||||
NLight, Inc. (United States) (a)* | 149,845 | 2,986,411 | ||||||
Equity Real Estate Investment Trusts (REITs) — 2.5% | ||||||||
STAG Industrial, Inc. (United States) | 61,108 | 1,893,737 | ||||||
Health Care Equipment & Supplies — 16.1% | ||||||||
Antares Pharma, Inc. (United States)* | 561,054 | 2,653,785 | ||||||
Globus Medical, Inc., Class A (United States) (a)* | 35,081 | 1,962,782 | ||||||
Heska Corp. (United States)* | 23,303 | 2,225,436 | ||||||
iRhythm Technologies, Inc. (United States)* | 30,629 | 2,208,045 | ||||||
Penumbra, Inc. (United States) (a)* | 16,905 | 2,990,833 | ||||||
12,040,881 | ||||||||
Health Care Providers & Services — 4.1% | ||||||||
BioTelemetry, Inc. (United States)* | 13,822 | 640,097 | ||||||
HealthEquity, Inc. (United States)* | 37,986 | 2,388,939 | ||||||
3,029,036 | ||||||||
Health Care Technology — 4.6% | ||||||||
Teladoc, Inc. (United States) (a)* | 40,825 | 3,418,686 | ||||||
Insurance — 1.8% | ||||||||
Goosehead Insurance, Inc., Class A (United States) (a) | 32,998 | 1,337,079 | ||||||
Machinery — 4.3% | ||||||||
John Bean Technologies Corp. (United States) | 16,560 | 1,814,148 | ||||||
Proto Labs, Inc. (United States)* | 14,536 | 1,408,393 | ||||||
3,222,541 | ||||||||
Media — 2.8% | ||||||||
Cardlytics, Inc. (United States)* | 38,020 | 2,131,021 | ||||||
Real Estate Management & Development — 10.1% | ||||||||
Howard Hughes Corp., (The) (United States)* | 9,242 | 1,020,409 | ||||||
Jones Lang LaSalle, Inc. (United States) | 17,365 | 2,888,320 | ||||||
Newmark Group, Inc., Class A (United States) | 278,452 | 3,633,799 | ||||||
7,542,528 | ||||||||
Road & Rail — 2.5% | ||||||||
Landstar System, Inc. (United States) | 16,675 | 1,857,762 | ||||||
Software — 21.5% | ||||||||
Alarm.com Holdings, Inc. (United States)* | 37,429 | 1,632,653 | ||||||
Everbridge, Inc. (United States) (a)* | 46,006 | 4,045,768 | ||||||
Paylocity Holding Corp. (United States)* | 43,125 | 5,275,050 | ||||||
Q2 Holdings, Inc. (United States)* | 32,890 | 2,776,903 | ||||||
Smartsheet, Inc., Class A (United States) (a)* | 48,924 | 2,320,465 | ||||||
16,050,839 | ||||||||
Trading Companies & Distributors — 4.2% | ||||||||
Watsco, Inc. (United States) | 17,480 | 3,110,915 | ||||||
Total Common Stocks (Cost $59,234,436) | 71,498,725 | |||||||
Investments Purchased with Proceeds from Securities Lending Collateral — 20.0% | ||||||||
Mount Vernon Liquid Assets Portfolio, LLC, 1.81% | 14,977,459 | 14,977,459 | ||||||
Total Investments Purchased with Proceeds from Securities Lending Collateral (Cost $14,977,459) | 14,977,459 | |||||||
Short-Term Investments — 4.3% | ||||||||
First American Treasury Obligations Fund Class X, 1.59% (United States) (b) | 3,217,820 | 3,217,820 | ||||||
Total Short-Term Investments (Cost $3,217,820) | 3,217,820 | |||||||
Total Investments (Cost $77,429,715 — 120.0% | 89,694,004 | |||||||
Liabilities in Excess of Other Assets — (20.0)% | (14,968,329 | ) | ||||||
NET ASSETS — 100.0% | ||||||||
(Applicable to 2,875,000 shares outstanding) | $ | 74,725,675 |
* | Non-income producing security. |
(a) | All or a portion of the security is on loan. At November 30, 2019, the market value of securities on loan was $14,571,572. |
(b) | Seven-day yield as of November 30, 2019. |
65
MFAM ETFS
NOTES TO THE SCHEDULE OF INVESTMENTS
NOVEMBER 30, 2019
(UNAUDITED)
PORTFOLIO VALUATION — Each Fund’s net asset value (“NAV”) is calculated once daily at the close of regular trading hours on the New York Stock Exchange (“NYSE”) (generally 4:00 p.m. Eastern time) on each day the NYSE is open. Securities held by the Funds are valued using the closing price or the last sale price on a national securities exchange or the National Association of Securities Dealers Automatic Quotation System (“NASDAQ”) market system where they are primarily traded. Equity securities traded in the over-the-counter (“OTC”) market are valued at their closing prices. If there were no transactions on that day, securities traded principally on an exchange or on NASDAQ will be valued at the mean of the last bid and ask prices prior to the market close. Fixed income securities are valued using an independent pricing service, which considers such factors as security prices, yields, maturities and ratings, and are deemed representative of market values at the close of the market. Foreign securities are valued based on prices from the primary market in which they are traded, and are translated from the local currency into U.S. dollars using current exchange rates. If market quotations are unavailable or deemed unreliable, securities will be valued in accordance with procedures adopted by the Company’s Board of Directors (the “Board”). Relying on prices supplied by pricing services or dealers or using fair valuation may result in values that are higher or lower than the values used by other investment companies and investors to price the same investments. Such procedures use fundamental valuation methods, which may include, but are not limited to, an analysis of the effect of any restrictions on the resale of the security, industry analysis and trends, significant changes in the issuer’s financial position, and any other event which could have a significant impact on the value of the security. Determination of fair value involves subjective judgment as the actual market value of a particular security can be established only by negotiations between the parties in a sales transaction, and the difference between the recorded fair value and the value that would be received in a sale could be significant.
FAIR VALUE MEASUREMENTS – The inputs and valuation techniques used to measure the fair value of the Funds' investments are summarized into three levels as
described in the hierarchy below:
• Level 1 — Prices are determined using quoted prices in active markets for identical securities.
• Level 2 — Prices are determined using other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
• Level 3 — Prices are determined using significant unobservable inputs (including the Funds' own assumptions in determining the fair value of investments).
The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The following is a summary of the inputs used, as of November 30, 2019, in valuing the Funds' investments carried at fair value:
TOTAL | LEVEL 1 | LEVEL 2 | LEVEL 3 | INVESTMENTS MEASURED AT NET ASSET VALUE^ | ||||||||||||||||
FOOL 100 FUND | ||||||||||||||||||||
Common Stocks | $ | 196,892,130 | $ | 196,892,130 | $ | - | $ | - | $ | - | ||||||||||
Rights | 151,344 | - | - | 151,344 | - | |||||||||||||||
Investments Purchased with Proceeds From Securities Lending Collateral | 19,614,217 | - | - | - | 19,614,217 | |||||||||||||||
Short-Term Investments | 90,880 | 90,880 | - | - | - | |||||||||||||||
Total Investments* | $ | 216,748,571 | $ | 196,983,010 | $ | - | $ | 151,344 | $ | 19,614,217 | ||||||||||
SMALL-CAP GROWTH FUND | ||||||||||||||||||||
Common Stocks | $ | 71,498,725 | $ | 71,498,725 | $ | - | $ | - | $ | - | ||||||||||
Investments Purchased with Proceeds From Securities Lending Collateral | 14,977,459 | - | - | - | 14,977,459 | |||||||||||||||
Short-Term Investments | 3,217,820 | 3,217,820 | - | - | - | |||||||||||||||
Total Investments* | $ | 89,694,004 | $ | 74,716,545 | $ | - | $ | - | $ | 14,977,459 |
* | Please refer to Schedule of Investments for further details. |
^ | Certain investments that are measured at fair value using the net asset value per share (or its equivalent) practical expedient have not been categorized in the fair value hierarchy. The fair value amounts presented in the table are intended to permit reconciliation of the fair value hierarchy to the amounts presented in the Schedule 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 Levels 1, 2 and 3 assets and liabilities on a quarterly basis for changes in listings or delistings on national exchanges.
Due to the inherent uncertainty of determining the fair value of investments that do not have a readily available market value, the fair value of the Funds' investments may fluctuate from period to period. Additionally, the fair value of investments may differ significantly from the values that would have been used had a ready market existed for such investments and may differ materially from the values the Funds may ultimately realize. Further, such investments may be subject to legal and other restrictions on resale or otherwise less liquid than publicly traded securities.
For fair valuations using significant unobservable inputs, U.S. generally accepted accounting principles (“U.S. GAAP”) requires each Fund to present a reconciliation of the beginning to ending balances for reported market values that presents changes attributable to total realized and unrealized gains or losses, purchase and sales, and transfers in and out of Level 3 during the period. Transfers in and out between levels are based on values at the end of the period. A reconciliation of Level 3 investments is presented only if a Fund had an amount of Level 3 investments at the end of the reporting period that was meaningful in relation to its net assets. The amounts and reasons for all Level 3 transfers in and out of each level is disclosed when a Fund had an amount of total Level 3 transfers during the reporting period that was meaningful in relation to its net assets as of the end of the reporting period.
For the period ended November 30, 2019, the Fool 100 Fund had Level 3 investments of $151,344.
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.
66
ORINDA INCOME OPPORTUNITIES FUND
SCHEDULE OF INVESTMENTS
NOVEMBER 30, 2019 (UNAUDITED)
NUMBER OF SHARES | VALUE | |||||||
COMMON STOCKS - 0.2% | ||||||||
Real Estate - 0.2% | ||||||||
Summit Industrial Income REIT (a) | 50,000 | $ | 483,325 | |||||
TOTAL COMMON STOCKS | 483,325 | |||||||
(Cost $267,661) | ||||||||
REITS - 67.4% | ||||||||
Financials - 33.0% | ||||||||
AG Mortgage Investment Trust, Inc. - Series C, 8.00% (3 Month LIBOR USD + 6.48%) (b) | 30,000 | 788,100 | ||||||
AGNC Investment Corp. | 60,300 | 1,044,396 | ||||||
AGNC Investment Corp. - Series C, 7.00% (3 Month LIBOR USD + 5.11%) (b)(c) | 183,526 | 4,799,205 | ||||||
AGNC Investment Corp. - Series D, 6.88% (3 Month LIBOR USD + 4.33%) (b) | 65,000 | 1,653,600 | ||||||
Annaly Capital Management, Inc. - Series F, 6.95% (3 Month LIBOR USD + 4.99%) (b)(c) | 207,481 | 5,305,289 | ||||||
Annaly Capital Management, Inc. - Series G, 6.50% (3 Month LIBOR USD + 4.17%) (b) | 38,970 | 973,471 | ||||||
Annaly Capital Management, Inc. - Series I, 6.75% (3 Month LIBOR USD + 4.99%) (b) | 175,800 | 4,486,416 | ||||||
Apollo Commercial Real Estate Finance, Inc. (c) | 100,000 | 1,827,000 | ||||||
Arbor Realty Trust, Inc. (c) | 361,685 | 5,483,145 | ||||||
ARMOUR Residential REIT, Inc. - Series B, 7.88% | 120,155 | 3,015,890 | ||||||
Blackstone Mortgage Trust, Inc. (c) | 85,000 | 3,113,550 | ||||||
Chimera Investment Corp. - Series A, 8.00% (c) | 106,725 | 2,826,078 | ||||||
Chimera Investment Corp. - Series B, 8.00% (3 Month LIBOR USD + 5.79%) (b)(c) | 121,888 | 3,208,092 | ||||||
Chimera Investment Corp. - Series C, 7.75% (3 Month LIBOR USD + 4.74%) (b) | 135,468 | 3,459,853 | ||||||
Chimera Investment Corp. - Series D, 8.00% (3 Month LIBOR USD + 5.38%) (b)(c) | 146,447 | 3,812,015 | ||||||
Colony Credit Real Estate, Inc. | 35,000 | 463,750 | ||||||
Ellington Financial, Inc., 6.75% (3 Month LIBOR USD + 5.20%) (b) | 40,000 | 1,017,600 | ||||||
Exantas Capital Corp. | 176,047 | 2,119,606 | ||||||
Exantas Capital Corp., 8.63% (3 Month LIBOR USD + 5.93%) (b) | 60,000 | 1,560,000 | ||||||
Granite Point Mortgage Trust, Inc. (c) | 159,570 | 2,899,387 | ||||||
Invesco Mortgage Capital, Inc. - Series C, 7.50% (3 Month LIBOR USD + 5.29%) (b) | 179,539 | 4,750,602 | ||||||
KKR Real Estate Finance Trust, Inc. | 35,533 | 717,411 | ||||||
Ladder Capital Corp. | 20,000 | 345,800 | ||||||
New Residential Investment Corp. | 133,814 | 2,074,117 | ||||||
New Residential Investment Corp. - Series A, 7.50% (3 Month LIBOR USD + 5.80%) (b) | 139,113 | 3,654,499 | ||||||
New Residential Investment Corp. - Series B, 7.13% (3 Month LIBOR USD + 5.64%) (b) | 124,501 | 3,151,120 | ||||||
New York Mortgage Trust, Inc. - Series B, 7.75% | 2,429 | 60,798 | ||||||
New York Mortgage Trust, Inc. - Series D, 8.00% (3 Month LIBOR USD + 5.70%) (b) | 13,819 | 349,621 | ||||||
Pebblebrook Hotel Trust | 100,000 | 2,620,000 | ||||||
PennyMac Mortgage Investment Trust - Series A, 8.13% (3 Month LIBOR USD + 5.83%) (b)(c) | 88,379 | 2,355,300 | ||||||
PennyMac Mortgage Investment Trust - Series B, 8.00% (3 Month LIBOR USD + 5.99%) (b)(c) | 162,406 | 4,216,060 | ||||||
Ready Capital Corp., 6.20% | 68,200 | 1,724,587 | ||||||
Ready Capital Corp. | 86,996 | 1,371,927 | ||||||
RLJ Lodging Trust | 40,000 | 683,600 | ||||||
STAG Industrial, Inc. | 67,500 | 2,091,825 | ||||||
Starwood Property Trust, Inc. | 125,000 | 3,062,500 | ||||||
Sunstone Hotel Investors, Inc. | 77,010 | 1,078,140 | ||||||
TPG RE Finance Trust, Inc. (c) | 160,234 | 3,244,738 | ||||||
Two Harbors Investment Corp. - Series A, 8.13% (3 Month LIBOR USD + 5.66%) (b)(c) | 57,466 | 1,578,591 | ||||||
Two Harbors Investment Corp. - Series C, 7.25% (3 Month LIBOR USD + 5.01%) (b)(c) | 77,619 | 1,993,256 | ||||||
Two Harbors Investment Corp. - Series D, 7.75% | 5,500 | 139,987 | ||||||
Two Harbors Investment Corp. - Series E, 7.50% (c) | 93,366 | 2,358,425 | ||||||
97,479,347 |
The accompanying notes are an integral part of the schedule of investments.
67
ORINDA INCOME OPPORTUNITIES FUND
SCHEDULE OF INVESTMENTS (Continued)
NOVEMBER 30, 2019 (UNAUDITED)
NUMBER OF SHARES | VALUE | |||||||
Real Estate - 34.4% | ||||||||
American Finance Trust, Inc. - Series A, 7.50% | 87,500 | 2,235,625 | ||||||
American Homes 4 Rent - Series D, 6.50% | 179,399 | 4,719,988 | ||||||
American Homes 4 Rent - Series E, 6.35% | 16,181 | 421,030 | ||||||
American Homes 4 Rent - Series F, 5.88% | 6,029 | 156,995 | ||||||
American Homes 4 Rent - Series G, 5.88% | 40,307 | 1,052,416 | ||||||
American Homes 4 Rent - Series H, 6.25% | 19,659 | 525,485 | ||||||
Armada Hoffler Properties, Inc. - Series A, 6.75% | 35,000 | 948,850 | ||||||
Ashford Hospitality Trust, Inc. - Series D, 8.45% (c) | 25,795 | 649,415 | ||||||
Ashford Hospitality Trust, Inc. - Series F, 7.38% (c) | 104,645 | 2,315,794 | ||||||
Ashford Hospitality Trust, Inc. - Series H, 7.50% | 152,343 | 3,333,265 | ||||||
Ashford Hospitality Trust, Inc. - Series I, 7.50% (c) | 130,647 | 2,841,572 | ||||||
Bluerock Residential Growth REIT, Inc. (c) | 125,000 | 1,532,500 | ||||||
Bluerock Residential Growth REIT, Inc. - Series C, 7.63% | 6,174 | 161,573 | ||||||
Bluerock Residential Growth REIT, Inc. - Series D, 7.13% | 53,500 | 1,382,975 | ||||||
Braemar Hotels & Resorts, Inc. - Series D, 8.25% | 33,300 | 895,270 | ||||||
Brookfield Property REIT, Inc. - Series A, 6.38% | 7,884 | 199,071 | ||||||
City Office REIT, Inc. | 70,000 | 940,100 | ||||||
City Office REIT, Inc. - Series A, 6.63% | 76,926 | 1,963,921 | ||||||
Colony Capital, Inc. | 181,486 | 885,652 | ||||||
Colony Capital, Inc. - Series B, 8.25% | 67,764 | 1,719,850 | ||||||
Colony Capital, Inc. - Series E, 8.75% (c) | 235,552 | 5,910,000 | ||||||
Colony Capital, Inc. - Series H, 7.13% (c) | 167,228 | 3,857,950 | ||||||
Colony Capital, Inc. - Series I, 7.15% (c) | 110,000 | 2,544,300 | ||||||
Colony Capital, Inc. - Series J, 7.13% | 133,811 | 3,074,977 | ||||||
Digital Realty Trust, Inc. - Series G, 5.88% | 21,600 | 546,480 | ||||||
Digital Realty Trust, Inc. - Series K, 5.85% | 50,000 | 1,335,500 | ||||||
Digital Realty Trust, Inc. - Series L, 5.20% | 60,000 | 1,518,600 | ||||||
Global Medical REIT, Inc. - Series A, 7.50% (c) | 10,000 | 263,349 | ||||||
Global Net Lease, Inc. - Series A, 7.25% (c) | 127,780 | 3,331,225 | ||||||
Global Net Lease, Inc. - Series B, 6.88% | 75,000 | 1,860,000 | ||||||
Hersha Hospitality Trust - Series E, 6.50% (c) | 80,892 | 2,049,803 | ||||||
Investors Real Estate Trust - Series C, 6.63% (c) | 67,500 | 1,757,025 | ||||||
Iron Mountain, Inc. | 27,500 | 883,300 | ||||||
iStar, Inc. - Series D, 8.00% (c) | 96,610 | 2,500,267 | ||||||
iStar, Inc. - Series I, 7.50% | 54,840 | 1,395,130 | ||||||
MGM Growth Properties LLC | 10,000 | 309,900 | ||||||
Monmouth Real Estate Investment Corp. - Series C, 6.13% | 115,202 | 2,878,898 | ||||||
National Storage Affiliates Trust - Series A, 6.00% | 98,622 | 2,643,070 | ||||||
Office Properties Income Trust, 5.88% | 14,627 | 374,744 | ||||||
Pebblebrook Hotel Trust - Series C, 6.50% | 10,282 | 260,032 | ||||||
Pebblebrook Hotel Trust - Series E, 6.38% | 48,380 | 1,218,208 | ||||||
Pennsylvania Real Estate Investment Trust | 196,001 | 1,128,966 | ||||||
Pennsylvania Real Estate Investment Trust - Series C, 7.20% | 26,308 | 560,886 | ||||||
Plymouth Industrial REIT, Inc. | 15,000 | 278,100 | ||||||
PS Business Parks, Inc. - Series Z, 4.88% | 50,000 | 1,252,500 | ||||||
Public Storage - Series I, 4.88% | 50,000 | 1,294,500 | ||||||
QTS Realty Trust, Inc. - Series A, 7.13% | 88,528 | 2,434,520 | ||||||
QTS Realty Trust, Inc. - Series B, 6.50% | 10,085 | 1,273,029 | ||||||
Rexford Industrial Realty, Inc. - Series A, 5.88% | 40,800 | 1,046,520 | ||||||
RLJ Lodging Trust - Series A, 1.95% | 200,400 | 5,709,396 | ||||||
Sabra Health Care REIT, Inc. | 121,700 | 2,711,476 | ||||||
Seritage Growth Properties | 500 | 21,140 | ||||||
Seritage Growth Properties - Series A, 7.00% | 56,000 | 1,423,800 | ||||||
Simon Property Group, Inc. | 12,000 | 1,814,520 | ||||||
Summit Hotel Properties, Inc. - Series E, 6.25% | 45,125 | 1,135,796 | ||||||
Sunstone Hotel Investors, Inc. - Series E, 6.95% | 40,000 | 1,043,600 | ||||||
UMH Properties, Inc. - Series C, 6.75% | 70,300 | 1,817,958 | ||||||
UMH Properties, Inc. - Series D, 6.38% (c) | 50,000 | 1,250,000 | ||||||
VEREIT, Inc. | 360,000 | 3,513,600 | ||||||
Vornado Realty Trust - Series L, 5.40% | 17,874 | 450,603 | ||||||
Washington Prime Group, Inc. | 330,853 | 1,376,348 | ||||||
Washington Prime Group, Inc. - Series H, 7.50% | 26,584 | 600,267 | ||||||
WPT Industrial Real Estate Investment Trust (a) | 12,300 | 172,200 | ||||||
101,703,830 |
The accompanying notes are an integral part of the schedule of investments.
68
ORINDA INCOME OPPORTUNITIES FUND
SCHEDULE OF INVESTMENTS (Continued)
NOVEMBER 30, 2019 (UNAUDITED)
NUMBER OF SHARES | VALUE | |||||||
TOTAL REITS | 199,183,177 | |||||||
(Cost $187,351,656) | ||||||||
PREFERRED STOCKS - 27.9% | ||||||||
Consumer Discretionary - 0.0% | ||||||||
Ford Motor Co., 6.20% | 917 | 23,603 | ||||||
Energy - 9.1% | ||||||||
Crestwood Equity Partners LP, 9.25% | 380,000 | 3,488,400 | ||||||
DCP Midstream LP - Series B, 7.88% (3 Month LIBOR USD + 4.92%) (b)(c) | 95,000 | 2,183,100 | ||||||
DCP Midstream LP - Series C, 7.95% (3 Month LIBOR USD + 4.88%) (b) | 4,797 | 114,552 | ||||||
Energy Transfer Partners LP - Series C, 7.38% (3 Month LIBOR USD + 4.53%) (b)(c) | 149,605 | 3,452,883 | ||||||
Energy Transfer Partners LP - Series D, 7.63% (3 Month LIBOR USD + 4.74%) (b)(c) | 180,918 | 4,296,803 | ||||||
Energy Transfer Partners LP - Series E, 7.60% (3 Month LIBOR USD + 5.16%) (b) | 36,500 | 880,380 | ||||||
GasLog Partners LP - Series A, 8.63% (3 Month LIBOR USD + 6.31%) (a)(b)(c) | 41,500 | 1,044,555 | ||||||
GasLog Partners LP - Series B, 8.20% (3 Month LIBOR USD + 5.84%) (a)(b)(c) | 46,000 | 1,126,080 | ||||||
GasLog Partners LP - Series C, 8.50% (3 Month LIBOR USD + 5.32%) (a)(b) | 25,000 | 610,000 | ||||||
NGL Energy Partners LP - Series B, 9.00% (3 Month LIBOR USD + 7.21%) (b) | 98,967 | 2,469,227 | ||||||
NuStar Energy LP - Series A, 8.50% (3 Month LIBOR USD + 6.77%) (b)(c) | 60,000 | 1,428,600 | ||||||
NuStar Energy LP - Series B, 7.63% (3 Month LIBOR USD + 5.64%) (b)(c) | 25,000 | 548,500 | ||||||
NuStar Energy LP - Series C, 9.00% (3 Month LIBOR USD + 6.88%) (b)(c) | 50,000 | 1,246,500 | ||||||
Teekay LNG Partners LP - Series B, 8.50% (3 Month LIBOR USD + 6.24%) (a)(b)(c) | 103,714 | 2,681,007 | ||||||
Tsakos Energy Navigation Ltd. - Series F, 9.50% (T-BILL 1MO + 6.54%) (b) | 54,756 | 1,262,126 | ||||||
26,832,713 | ||||||||
Financials - 11.2% | ||||||||
Affiliated Managers Group, Inc., 5.88% | 27,692 | 727,746 | ||||||
AG Mortgage Investment Trust, Inc. - Series A, 8.25% | 11,000 | 279,198 | ||||||
AG Mortgage Investment Trust, Inc. - Series B, 8.00% | 41,819 | 1,058,439 | ||||||
American Equity Investment Life Holding Co. - Series A, 5.95% (5 Year CMT Rate + 4.32%) (b) | 40,000 | 1,012,400 | ||||||
Annaly Capital Management, Inc. - Series D, 7.50% | 37,684 | 956,043 | ||||||
Arbor Realty Trust, Inc. - Series B, 7.75% | 17,223 | 446,765 | ||||||
Athene Holding Ltd. - Series A, 6.35% (3 Month LIBOR USD + 4.25%) (a)(b) | 32,880 | 904,200 | ||||||
B. Riley Financial, Inc., 6.50% | 46,975 | 1,182,361 | ||||||
Bank of America Corp. - Series KK, 5.38% | 40,000 | 1,056,000 | ||||||
Capital One Financial Corp. - Series I, 5.00% | 70,000 | 1,739,500 | ||||||
Capstead Mortgage Corp. - Series E, 7.50% | 48,111 | 1,222,019 | ||||||
Citizens Financial Group, Inc. - Series E, 5.00% | 40,000 | 1,001,600 | ||||||
Cowen, Inc., 7.35% | 40,000 | 1,036,400 | ||||||
GMAC Capital Trust I - Series 2, 7.69% (3 Month LIBOR USD + 5.79%) (b) | 141,800 | 3,676,874 | ||||||
Invesco Mortgage Capital, Inc. - Series A, 7.75% (c) | 77,700 | 2,009,322 | ||||||
Invesco Mortgage Capital, Inc. - Series B, 7.75% (3 Month LIBOR USD + 5.18%) (b)(c) | 152,692 | 4,122,684 | ||||||
JPMorgan Chase & Co. - Series GG, 4.75% | 90,000 | 2,271,600 | ||||||
KeyCorp, 5.63% | 20,313 | 525,294 | ||||||
Merchants Bancorp - Series B, 6.00% (3 Month LIBOR USD + 4.57%) (b) | 28,027 | 728,702 | ||||||
MFA Financial, Inc. - Series B, 7.50% (c) | 75,737 | 1,935,838 | ||||||
Oaktree Capital Group LLC - Series B, 6.55% | 60,000 | 1,615,800 | ||||||
Ready Capital Corp., 7.00% | 49,941 | 1,337,919 | ||||||
Voya Financial, Inc. - Series B, 5.35% (5 Year CMT Rate + 3.21%) (b) | 53,000 | 1,417,220 | ||||||
Wells Fargo Real Estate Investment Corp. - Series A, 6.38% | 30,487 | 770,711 | ||||||
33,034,635 |
The accompanying notes are an integral part of the schedule of investments.
69
ORINDA INCOME OPPORTUNITIES FUND
SCHEDULE OF INVESTMENTS (Continued)
NOVEMBER 30, 2019 (UNAUDITED)
NUMBER OF SHARES | VALUE | |||||||
Industrials - 1.0% | ||||||||
Fortress Transportation & Infrastructure Investors LLC - Series A, 8.25% (3 Month LIBOR USD + 6.89%) (b) | 5,500 | 140,360 | ||||||
Seaspan Corp. - Series H, 7.88% (a) | 44,575 | 1,135,771 | ||||||
Seaspan Corp. - Series I, 8.00% (3 Month LIBOR USD + 5.01%) (b) | 30,000 | 779,100 | ||||||
Triton International Ltd/Bermuda, 7.38% | 40,000 | 1,044,800 | ||||||
3,100,031 | ||||||||
Real Estate - 6.0% | ||||||||
Ashford Hospitality Trust, Inc. - Series G, 7.38% (c) | 158,920 | 3,405,656 | ||||||
Bluerock Residential Growth REIT, Inc. - Series A, 8.25% | 67,991 | 1,796,322 | ||||||
Brookfield Property Partners LP - Series A-2, 6.38% (a) | 35,000 | 887,250 | ||||||
Hersha Hospitality Trust - Series D, 6.50% | 80,424 | 2,007,383 | ||||||
iStar, Inc. - Series G, 7.65% | 53,525 | 1,364,887 | ||||||
Landmark Infrastructure Partners LP - Series B, 7.90% | 51,884 | 1,330,825 | ||||||
Summit Hotel Properties, Inc. - Series D, 6.45% | 17,619 | 448,553 | ||||||
UMH Properties, Inc. - Series B, 8.00% (c) | 40,190 | 1,036,002 | ||||||
VEREIT, Inc. - Series F, 6.70% (c) | 220,782 | 5,565,914 | ||||||
17,842,792 | ||||||||
Utilities - 0.6% | ||||||||
Sempra Energy, 5.75% | 70,000 | 1,844,500 | ||||||
TOTAL PREFERRED STOCKS | 82,678,274 | |||||||
(Cost $78,994,590) | ||||||||
CONVERTIBLE PREFERRED STOCKS - 0.9% | ||||||||
Real Estate - 0.9% | ||||||||
CorEnergy Infrastructure Trust, Inc. - Series A, 7.38% | 100,597 | 2,570,253 | ||||||
TOTAL CONVERTIBLE PREFERRED STOCKS | 2,570,253 | |||||||
(Cost $2,501,118) |
PRINCIPAL AMOUNT | ||||||||
CORPORATE BONDS - 0.2% | ||||||||
Real Estate - 0.3% | ||||||||
CBL & Associates Properties, Inc. | ||||||||
5.250%, 12/01/2023 | 1,000,000 | 735,115 | ||||||
TOTAL CORPORATE BONDS | 735,115 | |||||||
(Cost $900,636) | ||||||||
CLOSED-END MUTUAL FUNDS - 3.5% | ||||||||
Brookfield Real Assets Income Fund, Inc. | 122,798 | 2,691,732 | ||||||
Cohen & Steers Limited Duration Preferred and Income Fund, Inc. | 34,000 | 894,880 | ||||||
Cohen & Steers Select Preferred and Income Fund, Inc. | 29,299 | 878,384 | ||||||
Nuveen Preferred Income Opportunities Fund (c) | 396,553 | 4,068,634 | ||||||
Oaktree Specialty Lending Corp. | 359,200 | 1,903,760 | ||||||
TOTAL CLOSED-END MUTUAL FUNDS | 10,437,390 | |||||||
(Cost $9,378,541) |
NUMBER OF SHARES | ||||||||
SHORT-TERM INVESTMENTS - 0.4% | ||||||||
First American Treasury Obligations Fund, 1.59% (d) | 1,290,611 | 1,290,611 | ||||||
TOTAL SHORT-TERM INVESTMENTS | 1,290,611 | |||||||
(Cost $1,290,611) | ||||||||
TOTAL INVESTMENTS | ||||||||
(Cost $280,684,813) - 100.5% | 297,378,145 | |||||||
LIABILITIES IN EXCESS OF OTHER ASSETS - (0.5)% | (1,542,293 | ) | ||||||
TOTAL NET ASSETS - 100.0% | $ | 295,835,852 |
Percentages are stated as a percent of net assets.
(a) | U.S. traded security of a foreign issuer or corporation. |
(b) | Variable Rate Security. The rate shown represents the rate at November 30, 2019. |
(c) | All or a portion of the security has been segregated for open short positions. |
(d) | Seven-day yield as of November 30, 2019. |
Industry classifications may be different than those used for compliance monitoring purposes.
The accompanying notes are an integral part of the schedule of investments.
70
ORINDA INCOME OPPORTUNITIES FUND
SCHEDULE OF SECURITIES SOLD SHORT
NOVEMBER 30, 2019 (UNAUDITED)
NUMBER OF SHARES | VALUE | |||||||
EXCHANGE TRADED FUNDS - (1.2%) | ||||||||
Finance and Insurance - (1.2%) | ||||||||
iShares Mortgage Real Estate ETF | (77,500 | ) | $ | (3,403,025 | ) | |||
TOTAL EXCHANGE TRADED FUNDS | (3,403,025 | ) | ||||||
(Proceeds $3,208,982) | ||||||||
REITS - (0.1%) | ||||||||
Real Estate - (0.1%) | ||||||||
Seritage Growth Properties | (9,600 | ) | (405,888 | ) | ||||
TOTAL REITS | (405,888 | ) | ||||||
(Proceeds $386,814) | ||||||||
TOTAL SECURITIES SOLD SHORT | $ | (3,808,913 | ) | |||||
(Proceeds $3,595,796) - (1.3%) |
The accompanying notes are an integral part of the schedule of investments.
71
ORINDA INCOME OPPORTUNITIES FUND
NOTES TO SCHEDULE OF INVESTMENTS
NOVEMBER 30, 2019 (UNAUDITED)
PORTFOLIO VALUATION — The Fund’s net asset value (“NAV”) is calculated once daily at the close of regular trading hours on the New York Stock Exchange (“NYSE”) (generally 4:00 p.m. Eastern time) on each day the NYSE is open. Securities held by the Fund are valued using the closing price or the last sale price on a national securities exchange or the National Association of Securities Dealers Automatic Quotation System (“NASDAQ”) market system where they are primarily traded. Equity securities traded in the over-the-counter (“OTC”) market are valued at their closing prices. If there were no transactions on that day, securities traded principally on an exchange or on NASDAQ will be valued at the mean of the last bid and ask prices prior to the market close. Fixed income securities are valued using an independent pricing service, which considers such factors as security prices, yields, maturities and ratings, and are deemed representative of market values at the close of the market. Foreign securities are valued based on prices from the primary market in which they are traded, and are translated from the local currency into U.S. dollars using current exchange rates. Investments in other open-end investment companies are valued based on the NAV of the investment companies (which may use fair value pricing as disclosed in their prospectuses). Options for which the primary market is a national securities exchange are valued at the last sale price on the exchange on which they are traded, or, in the absence of any sale, will be valued at the mean of the last bid and ask prices prior to the market close. Options not traded on a national securities exchange are valued at the last quoted bid price for long option positions and the closing ask price for short option positions. If market quotations are unavailable or deemed unreliable, securities will be valued in accordance with procedures adopted by the Company’s Board of Directors (the “Board”). Relying on prices supplied by pricing services or dealers or using fair valuation may result in values that are higher or lower than the values used by other investment companies and investors to price the same investments. Such procedures use fundamental valuation methods, which may include, but are not limited to, an analysis of the effect of any restrictions on the resale of the security, industry analysis and trends, significant changes in the issuer’s financial position, and any other event which could have a significant impact on the value of the security. Determination of fair value involves subjective judgment as the actual market value of a particular security can be established only by negotiations between the parties in a sales transaction, and the difference between the recorded fair value and the value that would be received in a sale could be significant. The Fund may use fair value pricing more frequently for securities traded primarily in non-U.S. markets because, among other things, most foreign markets close well before the Fund values its securities, generally as of 4:00 p.m. Eastern time. The earlier close of these foreign markets gives rise to the possibility that significant events, including broad market moves, government actions or pronouncements, aftermarket trading, or news events may have occurred in the interim. To account for this, the Fund may value foreign securities using fair value prices based on third-party vendor modeling tools (international fair value pricing).
FAIR VALUE MEASUREMENTS — The inputs and valuation techniques used to measure fair value of the Fund’s investments are
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 inputs used, as of November 30, 2019, in valuing the Fund's investments carried at fair value:
TOTAL | LEVEL 1 | LEVEL 2 | LEVEL 3 | |||||||||||||
Assets | ||||||||||||||||
Common Stocks | ||||||||||||||||
Real Estate | $ | 483,325 | $ | 483,325 | $ | - | $ | - | ||||||||
Total Common Stocks | 483,325 | 483,325 | - | - | ||||||||||||
REITs | ||||||||||||||||
Financials | 97,479,347 | 97,479,347 | - | - | ||||||||||||
Real Estate | 101,703,830 | 99,384,760 | 2,319,070 | - | ||||||||||||
Total REITs | 199,183,177 | 196,864,107 | 2,319,070 | - | ||||||||||||
Preferred Stocks | ||||||||||||||||
Consumer Discretionary | 23,603 | 23,603 | - | - | ||||||||||||
Energy | 26,832,713 | 26,832,713 | - | - | ||||||||||||
Financials | 33,034,635 | 33,034,635 | - | |||||||||||||
Industrials | 3,100,031 | 3,100,031 | - | - | ||||||||||||
Real Estate | 17,842,792 | 17,842,792 | - | |||||||||||||
Utilities | 1,844,500 | 1,844,500 | - | - | ||||||||||||
Total Preferred Stocks | 82,678,274 | 82,678,274 | - | - | ||||||||||||
Convertible Preferred Stocks | ||||||||||||||||
Real Estate | 2,570,253 | 2,570,253 | - | - | ||||||||||||
Total Convertible Preferred Stocks | 2,570,253 | 2,570,253 | - | - | ||||||||||||
Corporate Bonds | ||||||||||||||||
Real Estate | 735,115 | - | 735,115 | - | ||||||||||||
Total Corporate Bonds | 735,115 | - | 735,115 | - | ||||||||||||
Closed-End Mutual Funds | 10,437,390 | 10,437,390 | - | - | ||||||||||||
Short-Term Investments | 1,290,611 | 1,290,611 | - | - | ||||||||||||
Total Investments in Securities | $ | 297,378,145 | $ | 294,323,960 | $ | 3,054,185 | $ | - | ||||||||
Total Assets | $ | 297,378,145 | $ | 294,323,960 | $ | 3,054,185 | $ | - | ||||||||
Liabilities | ||||||||||||||||
Securities Sold Short | $ | (3,808,913 | ) | $ | (3,808,913 | ) | $ | - | $ | - | ||||||
Total Liabilities | $ | (3,808,913 | ) | $ | (3,808,913 | ) | $ | - | $ | - |
72
ORINDA INCOME OPPORTUNITIES FUND
NOTES TO SCHEDULE OF INVESTMENTS (Continued)
NOVEMBER 30, 2019 (UNAUDITED)
At the end of each quarter, management evaluates the classification of Levels 1, 2 and 3 assets and liabilities. Various factors are considered, such as changes in liquidity from the prior reporting period; whether or not a broker is willing to execute at the quoted price; the depth and consistency of prices from third party pricing services; and the existence of contemporaneous, observable trades in the market. Additionally, management evaluates the classification of Level 1, 2 and 3 assets and liabilities on a quarterly basis for changes in listings or delistings on national exchanges.
Due to the inherent uncertainty of determining the fair value of investments that do not have a readily available market value, the fair value of the Fund’s investments may fluctuate from period to period. Additionally, the fair value of investments may differ significantly from the values that would have been used had a ready market existed for such investments and may differ materially from the values the Fund may ultimately realize. Further, such investments may be subject to legal and other restrictions on resale or otherwise less liquid than publicly traded securities.
For fair valuations using significant unobservable inputs, U.S. generally accepted accounting principles (“U.S. GAAP”) requires the Fund to present a reconciliation of the beginning to ending balances for reported market values that presents changes attributable to total realized and unrealized gains or losses, purchase and sales, and transfers in and out of Level 3 during the period. Transfers in and out between levels are based on values at the end of the period. A reconciliation of Level 3 investments is presented only when the Fund had an amount of Level 3 investments at the end of the reporting period that was meaningful in relation to its net assets. The amounts and reasons for all Level 3 transfers are disclosed if the Fund had an amount of total Level 3 transfers during the reporting period that was meaningful in relation to its net assets as of the end of the reporting period.
Foreign securities that utilize international fair value pricing are categorized as Level 2 in the hierarchy.
For the period ending November 30, 2019, 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.
73
SCHNEIDER SMALL CAP VALUE FUND
PORTFOLIO OF INVESTMENTS
NOVEMBER 30, 2019
Number of Shares | Value | |||||||
COMMON STOCKS — 99.7% | ||||||||
Auto Parts & Equipment — 6.6% | ||||||||
Adient PLC* | 90,749 | $ | 1,983,773 | |||||
Banks — 9.4% | ||||||||
Cadence BanCorp | 49,921 | 824,196 | ||||||
HomeStreet, Inc.* | 5,264 | 168,027 | ||||||
MidWestOne Financial Group, Inc. | 5,615 | 190,910 | ||||||
OFG Bancorp | 11,513 | 246,954 | ||||||
Synovus Financial Corp. | 36,068 | 1,373,830 | ||||||
2,803,917 | ||||||||
Chemicals — 12.4% | ||||||||
Koppers Holdings, Inc.* | 35,862 | 1,328,687 | ||||||
Olin Corp. | 20,710 | 362,839 | ||||||
UNIVAR, Inc.*(a) | 50,266 | 1,177,230 | ||||||
Venator Materials PLC* | 221,045 | 815,656 | ||||||
3,684,412 | ||||||||
Commercial Services — 8.0% | ||||||||
Herc Holdings, Inc.* | 43,407 | 2,029,712 | ||||||
Hudson Global, Inc.* | 29,914 | 363,754 | ||||||
2,393,466 | ||||||||
Health Care Equipment & Supplies — 0.0% | ||||||||
Invacare Corp. | 378 | 3,300 | ||||||
Information Technology — 8.9% | ||||||||
Intevac, Inc.* | 446,433 | 2,665,205 | ||||||
Insurance — 10.9% | ||||||||
Assured Guaranty Ltd. | 20,924 | 1,038,877 | ||||||
Brighthouse Financial, Inc.* | 44,709 | 1,840,222 | ||||||
Kingstone Cos., Inc. | 45,180 | 344,723 | ||||||
3,223,822 | ||||||||
Manufacturing — 3.0% | ||||||||
Intrepid Potash, Inc.*(a) | 101,304 | 230,973 | ||||||
Manitowoc Company, Inc., (The)* | 39,848 | 637,568 | ||||||
REV Group, Inc. | 3,000 | 39,000 | ||||||
907,541 |
The accompanying notes are an integral part of the portfolio of investments.
74
SCHNEIDER SMALL CAP VALUE FUND
PORTFOLIO OF INVESTMENTS (Continued)
NOVEMBER 30, 2019
Number of Shares | Value | |||||||
Oil & Gas — 10.2% | ||||||||
Chesapeake Energy Corp.*(a) | 2,471 | 1,471 | ||||||
Halcon Resources Corp.*(c) | 3,985 | 127,161 | ||||||
SM Energy Co.(a) | 99,000 | 822,690 | ||||||
Transocean Ltd.*(a) | 329,465 | 1,640,736 | ||||||
Whiting Petroleum Corp.*(a) | 91,302 | 418,163 | ||||||
3,010,221 | ||||||||
Oil & Gas Services — 2.5% | ||||||||
McDermott International, Inc.*(a) | 11,782 | 9,430 | ||||||
NexTier Oilfield Solutions, Inc.* | 156,382 | 749,070 | ||||||
758,500 | ||||||||
Pharmaceuticals — 0.1% | ||||||||
Mylan NV* | 1,000 | 18,780 | ||||||
Plastics Product Manufacturing — 2.0% | ||||||||
Newell Brands, Inc.(a) | 31,193 | 599,529 | ||||||
Real Estate Investment Trust — 7.6% | ||||||||
Alexander & Baldwin, Inc.(a) | 24,562 | 532,504 | ||||||
Boardwalk Real Estate Investment Trust(a) | 46,991 | 1,720,811 | ||||||
2,253,315 | ||||||||
Retail — 0.3% | ||||||||
Tuesday Morning Corp.*(a) | 54,368 | 85,901 | ||||||
Semiconductors — 1.6% | ||||||||
Kulicke & Soffa Industries, Inc. | 19,100 | 479,219 | ||||||
Telecommunications — 8.6% | ||||||||
Aviat Networks, Inc.* | 182,441 | 2,523,159 | ||||||
UTStarcom Holdings Corp.* | 15,755 | 47,108 | ||||||
2,570,267 | ||||||||
Transportation — 7.6% | ||||||||
Diamond S Shipping, Inc.* | 22,792 | 328,889 | ||||||
Scorpio Tankers, Inc. | 55,928 | 1,923,364 | ||||||
Stolt-Nielsen Ltd. | 2,375 | 28,262 | ||||||
2,280,515 | ||||||||
TOTAL COMMON STOCKS | ||||||||
(Cost $36,580,963) | 29,721,683 | |||||||
WARRANTS — 0.0% | ||||||||
Oil & Gas — 0.0% | ||||||||
Halcon Resources Corp. Expiration Date October 8, 2022 (c) | 6,153 | – | ||||||
Halcon Resources Corp. Expiration Date October 8, 2022 *(c) | 4,922 | – | ||||||
Halcon Resources Corp. Expiration Date September 10, 2022 *(c) | 7,911 | – | ||||||
TOTAL WARRANTS | ||||||||
(Cost $0) | – | |||||||
INVESTMENTS PURCHASED WITH PROCEEDS FROM SECURITIES LENDING COLLATERAL— 14.8% | ||||||||
Mount Vernon Liquid Assets Portfolio, LLC, 1.81% | 4,430,263 | 4,430,263 | ||||||
TOTAL INVESTMENTS PURCHASED WITH PROCEEDS FROM SECURITIES LENDING COLLATERAL | ||||||||
(Cost $4,430,263) | 4,430,263 | |||||||
SHORT-TERM INVESTMENTS — 0.5% | ||||||||
First American Government Obligations Fund, Class X, 1.56% (b) | 162,490 | 162,490 | ||||||
TOTAL SHORT-TERM INVESTMENTS | ||||||||
(Cost $162,490) | 162,490 | |||||||
TOTAL INVESTMENTS — 115.0% | ||||||||
(Cost $41,173,716) | 34,314,436 | |||||||
LIABILITIES IN EXCESS OF OTHER ASSETS — (15.0)% | (4,480,394 | ) | ||||||
NET ASSETS — 100.0% | $ | 29,834,042 |
* | Non-income producing security. |
PLC | Public Limited Company |
(a) | All or a portion of the security is on loan. At November 30, 2019, the market value of securities on loan was $4,166,792. |
(b) | Seven day yield as of November 30, 2019. |
(c) | 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, 2019, these securities amounted to $127,161 or 0.4% of net assets. |
Industry classifications may be different than those used for compliance monitoring purposes.
The accompanying notes are an integral part of the portfolio of investments.
75
THE SCHNEIDER FUNDS
NOTES TO PORTFOLIO OF INVESTMENTS
NOVEMBER 30, 2019 (UNAUDITED)
PORTFOLIO VALUATION — The Fund’s net asset value (“NAV”) is calculated once daily at the close of regular trading hours on the New York Stock Exchange (“NYSE”) (generally 4:00 p.m. Eastern time) on each day the NYSE is open. Securities held by the Fund are valued using the closing price or the last sale price on a national securities exchange or the National Association of Securities Dealers Automatic Quotation System (“NASDAQ”) market system where they are primarily traded. Equity securities traded in the over-the-counter (“OTC”) market are valued at their closing prices. If there were no transactions on that day, securities traded principally on an exchange or on NASDAQ will be valued at the mean of the last bid and ask prices prior to the market close. Fixed income securities are valued using an independent pricing service, which considers such factors as security prices, yields, maturities and ratings, and are deemed representative of market values at the close of the market. Foreign securities are valued based on prices from the primary market in which they are traded, and are translated from the local currency into U.S. dollars using current exchange rates. Investments in other open-end investment companies are valued based on the NAV of the investment companies (which may use fair value pricing as discussed in their prospectuses). If market quotations are unavailable or deemed unreliable, securities will be valued in accordance with procedures adopted by the Company’s Board of Directors (the “Board”). Relying on prices supplied by pricing services or dealers or using fair valuation may result in values that are higher or lower than the values used by other investment companies and investors to price the same investments.
FAIR VALUE MEASUREMENTS — The inputs and valuation techniques used to measure 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.
securities.
76
THE SCHNEIDER FUNDS
NOTES TO PORTFOLIO OF INVESTMENTS (Continued)
NOVEMBER 30, 2019 (UNAUDITED)
The following is a summary of inputs used, as of the end of the reporting period, in valuing the Fund’s investments carried at fair value:
TOTAL | LEVEL 1 | LEVEL 2 | LEVEL 3 | INVESTMENTS MEASURED AT NET ASSET VALUE* | ||||||||||||||||
Common Stocks | $ | 29,721,683 | $ | 27,873,712 | $ | 1,720,810 | 127,161 | $ | - | |||||||||||
Warrants | - | - | - | - | *** | - | ||||||||||||||
Investments Purchased with Proceeds from Securities Lending Collateral | 4,430,263 | - | - | - | 4,430,263 | |||||||||||||||
Short-Term Investments | 162,490 | 162,490 | - | - | - | |||||||||||||||
Total** | $ | 34,314,436 | $ | 28,036,202 | $ | 1,720,810 | $ | 127,161 | $ | 4,430,263 |
* | Certain investments that are measured at fair value using the net asset value per share (or its equivalent) practical expedient have not been categorized in the fair value hierarchy. The fair value amounts presented in the table are intended to permit reconciliation of the fair value hierarchy to the amounts presented in the Portfolio of Investments. |
** | Please refer to the Portfolio of Investments for further details. |
*** | Value equals zero as of the end of the reporting period. |
At the end of each period, 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 an active market existed for such investments and may differ materially from the values the Fund may ultimately realize. Further, such investments may be subject to legal and other restrictions on resale or otherwise less liquid than publicly traded securities.
For fair valuations using significant unobservable inputs, U.S. generally accepted accounting principles (“U.S. GAAP”) requires the Fund to present a reconciliation of the beginning to ending balances for reported market values that presents changes attributable to total realized and unrealized gains or losses, purchase and sales, and transfers in and out of Level 3 during the period. Transfers in and out between levels are based on values at the end of the period. A reconciliation of Level 3 investments is presented only when the Fund had an amount of Level 3 investments at the end of the reporting period that was meaningful in relation to its net assets. The amounts and reasons for all Level 3 transfers are disclosed if the Fund had an amount of total Level 3 transfers during the reporting period that was meaningful in relation to its net assets as of the end of the reporting period.
During the current fiscal period, the Fund had no Level 3 transfers.
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.
77
SGI U.S. LARGE CAP EQUITY FUND
PORTFOLIO OF INVESTMENTS
NOVEMBER 30, 2019 (UNAUDITED)
Number of Shares | Value | |||||||
COMMON STOCKS - 96.7% | ||||||||
Aerospace/Defense — 1.6% | ||||||||
L3Harris Technologies, Inc. | 39,400 | $ | 7,922,946 | |||||
Lockheed Martin Corp. | 3,100 | 1,212,193 | ||||||
9,135,139 | ||||||||
Apparel — 0.2% | ||||||||
VF Corp. | 12,300 | 1,089,042 | ||||||
Banks — 1.6% | ||||||||
Huntington Bancshares Inc. | 71,500 | 1,064,635 | ||||||
Northern Trust Corp. | 43,900 | 4,707,836 | ||||||
Regions Financial Corp. | 68,700 | 1,143,168 | ||||||
Umpqua Holdings Corp. | 134,300 | 2,198,491 | ||||||
9,114,130 | ||||||||
Beverages — 1.4% | ||||||||
PepsiCo, Inc. | 59,100 | 8,027,553 | ||||||
Chemicals — 2.0% | ||||||||
Air Products & Chemicals, Inc. | 17,000 | 4,017,610 | ||||||
CF Industries Holdings, Inc. | 132,700 | 6,132,067 | ||||||
Ecolab, Inc. | 5,200 | 970,684 | ||||||
11,120,361 | ||||||||
Commercial Services — 3.2% | ||||||||
Robert Half International, Inc. | 44,100 | 2,566,620 | ||||||
S&P Global, Inc. | 57,400 | 15,190,910 | ||||||
17,757,530 | ||||||||
Computers — 3.2% | ||||||||
Accenture PLC, Class A, (Ireland) | 25,700 | 5,169,812 | ||||||
Amdocs Ltd | 44,700 | 3,097,710 | ||||||
Apple, Inc. | 4,700 | 1,256,075 | ||||||
Cognizant Technology Solutions Corp., Class A | 127,100 | 8,148,381 | ||||||
17,671,978 | ||||||||
Cosmetics & Personal Care — 2.3% | ||||||||
Colgate-Palmolive Co. | 150,800 | 10,227,256 | ||||||
Procter & Gamble Co., (The) | 20,100 | 2,453,406 | ||||||
12,680,662 | ||||||||
Distribution/Wholesale — 1.6% | ||||||||
Copart, Inc.* | 101,300 | 9,015,700 | ||||||
Diversified Financial Services — 2.0% | ||||||||
Cboe Global Markets, Inc. | 76,100 | 9,048,290 | ||||||
T Rowe Price Group, Inc. | 15,600 | 1,927,536 | ||||||
10,975,826 | ||||||||
Electric — 8.7% | ||||||||
Alliant Energy Corp. | 20,400 | 1,081,200 | ||||||
Avangrid, Inc. | 228,000 | 11,067,120 | ||||||
Consolidated Edison, Inc. | 11,600 | 1,007,924 | ||||||
DTE Energy Co. | 43,500 | 5,434,890 | ||||||
Evergy, Inc. | 157,000 | 9,933,390 | ||||||
Eversource Energy | 48,800 | 4,032,832 | ||||||
OGE Energy Corp. | 167,400 | 7,040,844 | ||||||
Pinnacle West Capital Corp. | 18,600 | 1,625,454 | ||||||
Sempra Energy | 8,200 | 1,207,614 | ||||||
Xcel Energy, Inc. | 91,600 | 5,632,484 | ||||||
48,063,752 | ||||||||
Electronics — 2.1% | ||||||||
Garmin Ltd., (Switzerland) | 22,200 | 2,168,718 | ||||||
Mettler-Toledo International, Inc.* | 1,700 | 1,222,997 | ||||||
National Instruments Corp. | 173,500 | 7,307,820 | ||||||
TE Connectivity Ltd., (Switzerland) | 11,400 | 1,056,894 | ||||||
11,756,429 | ||||||||
Environmental Control — 0.9% | ||||||||
Republic Services, Inc. | 37,700 | 3,342,105 | ||||||
Waste Management, Inc. | 13,500 | 1,524,285 | ||||||
4,866,390 |
The accompanying notes are an integral part of the portfolio of investments.
78
SGI U.S. LARGE CAP EQUITY FUND
PORTFOLIO OF INVESTMENTS (Continued)
NOVEMBER 30, 2019 (UNAUDITED)
Number of Shares | Value | |||||||
Food — 8.6% | ||||||||
Flowers Foods, Inc. | 645,500 | 13,897,615 | ||||||
Hershey Co., (The) | 92,700 | 13,734,432 | ||||||
Ingredion, Inc. | 108,400 | 9,015,628 | ||||||
Sysco Corp. | 134,600 | 10,842,030 | ||||||
47,489,705 | ||||||||
Gas — 1.2% | ||||||||
National Fuel Gas Co. | 145,800 | 6,563,916 | ||||||
Healthcare-Products — 1.7% | ||||||||
Baxter International, Inc. | 62,400 | 5,114,928 | ||||||
IDEXX Laboratories, Inc.* | 16,300 | 4,100,754 | ||||||
9,215,682 | ||||||||
Healthcare-Services — 1.8% | ||||||||
Chemed Corp. | 2,900 | 1,247,058 | ||||||
Humana, Inc. | 3,400 | 1,160,182 | ||||||
UnitedHealth Group, Inc. | 26,500 | 7,416,555 | ||||||
9,823,795 | ||||||||
Home Builders — 2.9% | ||||||||
NVR, Inc.* | 4,200 | 15,925,938 | ||||||
Home Furnishings — 0.2% | ||||||||
Dolby Laboratories Inc., Class A | 16,700 | 1,150,296 | ||||||
Household Products & Wares — 0.3% | ||||||||
Clorox Co., (The) | 10,000 | 1,482,300 | ||||||
Housewares — 2.2% | ||||||||
Toro Co., (The) | 155,200 | 12,133,536 | ||||||
Insurance — 2.7% | ||||||||
Allstate Corp., (The) | 35,900 | 3,997,465 | ||||||
American International Group, Inc. | 110,900 | 5,839,994 | ||||||
First American Financial Corp. | 48,800 | 3,104,656 | ||||||
Progressive Corp., (The) | 31,500 | 2,301,075 | ||||||
15,243,190 | ||||||||
Internet — 0.7% | ||||||||
Alphabet, Inc., Class A* | 1,500 | 1,956,135 | ||||||
CDW Corp. | 14,000 | 1,890,700 | ||||||
3,846,835 | ||||||||
Lodging — 1.5% | ||||||||
Choice Hotels International, Inc. | 84,800 | 8,246,800 | ||||||
Machinery-Diversified — 0.7% | ||||||||
Graco, Inc. | 83,300 | 4,024,223 | ||||||
Media — 2.7% | ||||||||
Charter Communications, Inc., Class A* | 20,600 | 9,682,206 | ||||||
Comcast Corp., Class A | 115,100 | 5,081,665 | ||||||
14,763,871 | ||||||||
Mining — 1.3% | ||||||||
Royal Gold, Inc. | 60,600 | 7,106,562 | ||||||
Oil & Gas — 0.4% | ||||||||
Exxon Mobil Corp. | 14,100 | 960,633 | ||||||
Phillips 66 | 10,100 | 1,158,672 | ||||||
2,119,305 | ||||||||
Pharmaceuticals — 5.3% | ||||||||
AbbVie, Inc. | 77,200 | 6,772,756 | ||||||
Bristol-Myers Squibb Co. | 147,700 | 8,410,038 | ||||||
Eli Lilly & Co. | 33,300 | 3,907,755 | ||||||
Jazz Pharmaceuticals PLC, (Ireland)* | 8,100 | 1,224,072 | ||||||
PRA Health Sciences, Inc.* | 9,900 | 1,077,219 | ||||||
Zoetis, Inc. | 68,200 | 8,219,464 | ||||||
29,611,304 | ||||||||
REITS — 8.6% | ||||||||
American Tower Corp. | 17,100 | 3,659,913 | ||||||
Equity LifeStyle Properties Inc. | 172,800 | 12,801,024 | ||||||
Essex Property Trust, Inc. | 43,600 | 13,611,048 | ||||||
Public Storage | 30,600 | 6,446,808 | ||||||
Rayonier, Inc. | 184,500 | 5,651,235 | ||||||
UDR, Inc. | 21,500 | 1,033,075 | ||||||
Weingarten Realty Investors | 49,000 | 1,560,160 | ||||||
WP Carey, Inc. | 39,100 | 3,261,722 | ||||||
48,024,985 |
The accompanying notes are an integral part of the portfolio of investments.
79
SGI U.S. LARGE CAP EQUITY FUND
PORTFOLIO OF INVESTMENTS (Continued)
NOVEMBER 30, 2019 (UNAUDITED)
Number of Shares | Value | |||||||
Retail — 9.6% | ||||||||
Costco Wholesale Corp. | 8,500 | 2,548,385 | ||||||
Darden Restaurants, Inc. | 65,000 | 7,698,600 | ||||||
Dollar General Corp. | 30,500 | 4,799,480 | ||||||
Home Depot, Inc., (The) | 26,800 | 5,909,668 | ||||||
Ross Stores, Inc. | 13,800 | 1,602,870 | ||||||
Starbucks Corp. | 43,400 | 3,707,662 | ||||||
TJX Cos, Inc., (The) | 194,900 | 11,914,237 | ||||||
Tractor Supply Co. | 10,100 | 953,844 | ||||||
Wal-Mart Stores, Inc. | 121,500 | 14,469,435 | ||||||
53,604,181 | ||||||||
Semiconductors — 0.4% | ||||||||
Teradyne, Inc. | 22,858 | 1,430,682 | ||||||
Texas Instruments, Inc. | 8,300 | 997,743 | ||||||
2,428,425 | ||||||||
Shipbuilding — 0.2% | ||||||||
Huntington Ingalls Industries, Inc. | 4,800 | 1,208,016 | ||||||
Software — 6.6% | ||||||||
Aspen Technology, Inc.* | 9,500 | 1,191,300 | ||||||
Cadence Design Systems, Inc.* | 53,600 | 3,765,400 | ||||||
Fiserv, Inc.* | 89,700 | 10,426,728 | ||||||
Intuit, Inc. | 27,200 | 7,041,808 | ||||||
Jack Henry & Associates, Inc. | 35,800 | 5,439,452 | ||||||
Paychex, Inc. | 43,400 | 3,737,608 | ||||||
Synopsys, Inc.* | 37,700 | 5,317,208 | ||||||
36,919,504 | ||||||||
Telecommunications — 3.6% | ||||||||
Cisco Systems, Inc. | 100,300 | 4,544,593 | ||||||
T-Mobile US, Inc.* | 13,100 | 1,029,005 | ||||||
Verizon Communications, Inc. | 240,800 | 14,505,792 | ||||||
20,079,390 | ||||||||
Water — 2.7% | ||||||||
American Water Works Co, Inc. | 110,700 | 13,398,021 | ||||||
Aqua America, Inc. | 36,500 | 1,615,855 | ||||||
15,013,876 | ||||||||
TOTAL COMMON STOCKS | ||||||||
(Cost $455,642,456) | 537,300,127 | |||||||
EXCHANGE-TRADED FUNDS - 1.7% | ||||||||
iShares Core S&P 500 ETF | 14,800 | 4,677,688 | ||||||
Vanguard S&P 500 ETF | 16,200 | 4,676,130 | ||||||
9,353,818 | ||||||||
TOTAL EXCHANGE-TRADED FUNDS | ||||||||
(Cost $9,311,485) | 9,353,818 | |||||||
SHORT-TERM INVESTMENTS - 1.4% | ||||||||
Fidelity Investments Money Market Funds - Government Portfolio, Class I, 1.53% (a) | 7,616,228 | 7,616,228 | ||||||
TOTAL SHORT-TERM INVESTMENTS | ||||||||
(Cost $7,616,228) | 7,616,228 | |||||||
TOTAL INVESTMENTS - 99.8% | ||||||||
(Cost $472,570,169) | 554,270,173 | |||||||
OTHER ASSETS IN EXCESS OF LIABILITIES - 0.2% | 981,645 | |||||||
NET ASSETS - 100.0% | $ | 555,251,818 |
* | Non-income producing security. |
(a) | Seven-day yield as of November 30, 2019. |
ETF | Exchange-Traded Fund |
PLC | Public Limited Company |
REIT | Real Estate Investment Trust |
The accompanying notes are an integral part of the portfolio of investments.
80
SGI U.S. SMALL CAP EQUITY FUND
PORTFOLIO OF INVESTMENTS
NOVEMBER 30, 2019 (UNAUDITED)
Number of Shares | Value | |||||||
COMMON STOCKS - 96.8% | ||||||||
Agriculture — 1.0% | ||||||||
Limoneira Co. | 23,800 | $ | 469,931 | |||||
Airlines — 0.9% | ||||||||
SkyWest, Inc. | 6,200 | 388,368 | ||||||
Apparel — 0.7% | ||||||||
Rocky Brands, Inc. | 11,640 | 324,523 | ||||||
Auto Parts & Equipment — 1.0% | ||||||||
Cooper Tire & Rubber Co. | 15,509 | 446,970 | ||||||
Banks — 11.4% | ||||||||
Bryn Mawr Bank Corp. | 11,500 | 451,605 | ||||||
Byline Bancorp, Inc.* | 19,476 | 358,164 | ||||||
First Bancshares, Inc., (The) | 12,500 | 419,500 | ||||||
First Financial Corp. | 10,090 | 446,180 | ||||||
German American Bancorp, Inc. | 12,962 | 436,819 | ||||||
Great Southern Bancorp, Inc. | 7,400 | 451,622 | ||||||
HarborOne Bancorp, Inc.* | 35,400 | 375,594 | ||||||
Heritage Commerce Corp. | 36,000 | 450,000 | ||||||
Independent Bank Corp. | 20,000 | 447,000 | ||||||
Opus Bank | 17,800 | 457,638 | ||||||
Preferred Bank | 7,100 | 391,565 | ||||||
QCR Holdings, Inc. | 10,800 | 451,440 | ||||||
5,137,127 | ||||||||
Biotechnology — 0.9% | ||||||||
Emergent BioSolutions, Inc.* | 7,200 | 394,992 | ||||||
Chemicals — 2.5% | ||||||||
American Vanguard Corp. | 24,861 | 400,262 | ||||||
Materion Corp. | 6,220 | 366,109 | ||||||
Sensient Technologies Corp. | 5,700 | 360,753 | ||||||
1,127,124 | ||||||||
Commercial Services — 8.6% | ||||||||
Carriage Services, Inc. | 18,104 | 435,401 | ||||||
Ennis, Inc. | 20,300 | 418,992 | ||||||
ICF International, Inc. | 5,100 | 457,623 | ||||||
International Money Express, Inc.* | 29,400 | 399,546 | ||||||
Kelly Services, Inc., Class A | 20,800 | 455,728 | ||||||
SP Plus Corp.* | 9,500 | 416,575 | ||||||
TrueBlue, Inc.* | 19,531 | 455,268 | ||||||
Vectrus, Inc.* | 8,550 | 435,537 | ||||||
Viad Corp. | 6,400 | 402,560 | ||||||
3,877,230 | ||||||||
Communications Equipment — 1.0% | ||||||||
Comtech Telecommunications Corp. | 11,522 | 435,416 | ||||||
Computers — 0.9% | ||||||||
Sykes Enterprises, Inc.* | 12,000 | 421,680 | ||||||
Diversified Financial Services — 0.9% | ||||||||
Provident Financial Services, Inc. | 16,800 | 408,576 | ||||||
Electric — 6.9% | ||||||||
ALLETE, Inc. | 5,500 | 440,605 | ||||||
Avista Corp. | 9,600 | 453,888 | ||||||
NorthWestern Corp. | 6,000 | 429,420 | ||||||
Otter Tail Corp. | 9,100 | 447,356 | ||||||
PNM Resources, Inc. | 9,400 | 455,430 | ||||||
Portland General Electric Co. | 8,200 | 455,182 | ||||||
Unitil Corp. | 6,998 | 427,158 | ||||||
3,109,039 | ||||||||
Electronics — 3.6% | ||||||||
Brady Corp., Class A | 6,400 | 364,800 | ||||||
Ituran Location and Control Ltd., (Israel) | 16,610 | 398,640 | ||||||
OSI Systems, Inc.* | 4,700 | 467,603 | ||||||
Universal Electronics, Inc.* | 7,000 | 389,200 | ||||||
1,620,243 |
The accompanying notes are an integral part of the portfolio of investments.
81
SGI U.S. SMALL CAP EQUITY FUND
PORTFOLIO OF INVESTMENTS (Continued)
NOVEMBER 30, 2019 (UNAUDITED)
Number of Shares | Value | |||||||
Engineering & Construction — 0.9% | ||||||||
Great Lakes Dredge & Dock Corp.* | 38,200 | 407,976 | ||||||
Food — 1.9% | ||||||||
Ingles Markets, Inc., Class A | 9,969 | 443,022 | ||||||
J&J Snack Foods Corp. | 2,300 | 425,500 | ||||||
868,522 | ||||||||
Forest Products & Paper — 0.8% | ||||||||
Neenah, Inc. | 4,900 | 356,622 | ||||||
Gas — 2.9% | ||||||||
Chesapeake Utilities Corp. | 4,800 | 437,472 | ||||||
Northwest Natural Holding Co. | 6,600 | 453,882 | ||||||
Southwest Gas Holdings, Inc. | 5,400 | 409,104 | ||||||
1,300,458 | ||||||||
Healthcare-Services — 1.0% | ||||||||
Medpace Holdings, Inc.* | 5,800 | 444,686 | ||||||
Home Builders — 1.8% | ||||||||
Forestar Group, Inc.* | 21,100 | 430,440 | ||||||
Taylor Morrison Home Corp.* | 16,200 | 376,164 | ||||||
806,604 | ||||||||
Household Products/Wares — 1.0% | ||||||||
Quanex Building Products Corp. | 23,300 | 453,418 | ||||||
Insurance — 4.0% | ||||||||
CNO Financial Group, Inc. | 28,000 | 507,360 | ||||||
FBL Financial Group, Inc., Class A | 7,700 | 443,289 | ||||||
Heritage Insurance Holdings, Inc. | 30,100 | 412,069 | ||||||
National General Holdings Corp. | 20,600 | 438,574 | ||||||
1,801,292 | ||||||||
Internet — 1.1% | ||||||||
HealthStream, Inc.* | 16,500 | 480,645 | ||||||
Investment Companies — 3.9% | ||||||||
Fidus Investment Corp. | 28,748 | 459,393 | ||||||
Gladstone Capital Corp. | 40,495 | 421,553 | ||||||
PennantPark Investment Corp. | 74,977 | 463,358 | ||||||
Solar Capital Ltd. | 20,500 | 425,375 | ||||||
1,769,679 | ||||||||
Leisure Time — 0.8% | ||||||||
Lindblad Expeditions Holdings, Inc.* | 24,600 | 381,300 | ||||||
Lodging — 0.8% | ||||||||
Marcus Corp., (The) | 11,600 | 364,936 | ||||||
Metal Fabricate/Hardware — 1.0% | ||||||||
Northwest Pipe Co.* | 13,533 | 464,588 | ||||||
Miscellaneous Manufacturing — 1.0% | ||||||||
Myers Industries, Inc. | 26,300 | 435,265 | ||||||
Office Furnishings — 1.8% | ||||||||
Herman Miller, Inc. | 7,700 | 367,906 | ||||||
Steelcase, Inc., Class A | 25,000 | 453,000 | ||||||
820,906 | ||||||||
Oil & Gas Services — 1.1% | ||||||||
Matrix Service Co.* | 23,700 | 496,278 | ||||||
Pharmaceuticals — 2.2% | ||||||||
Amphastar Pharmaceuticals, Inc.* | 26,400 | 515,064 | ||||||
BioSpecifics Technologies Corp.* | 9,000 | 495,000 | ||||||
1,010,064 |
The accompanying notes are an integral part of the portfolio of investments.
82
SGI U.S. SMALL CAP EQUITY FUND
PORTFOLIO OF INVESTMENTS (Continued)
NOVEMBER 30, 2019 (UNAUDITED)
Number of Shares | Value | |||||||
REITS — 15.8% | ||||||||
American Assets Trust, Inc. | 9,720 | 461,992 | ||||||
Apple Hospitality REIT, Inc. | 26,000 | 422,760 | ||||||
Ares Commercial Real Estate Corp. | 27,377 | 428,176 | ||||||
Cherry Hill Mortgage Investment Corp. | 31,200 | 467,376 | ||||||
Chimera Investment Corp. | 21,100 | 429,807 | ||||||
Exantas Capital Corp. | 38,270 | 460,771 | ||||||
First Industrial Realty Trust, Inc. | 10,900 | 464,122 | ||||||
Investors Real Estate Trust | 5,900 | 456,188 | ||||||
Lexington Realty Trust | 41,700 | 462,036 | ||||||
National Health Investors, Inc. | 5,600 | 453,544 | ||||||
One Liberty Properties, Inc. | 16,400 | 447,884 | ||||||
Saul Centers, Inc. | 7,882 | 418,849 | ||||||
Summit Hotel Properties, Inc. | 37,900 | 459,348 | ||||||
Urstadt Biddle Properties, Inc., Class A | 18,400 | 448,408 | ||||||
Western Asset Mortgage Capital Corp. | 45,100 | 463,628 | ||||||
Whitestone REIT | 32,400 | 454,896 | ||||||
7,199,785 | ||||||||
Retail — 3.9% | ||||||||
Foundation Building Materials, Inc.* | 20,789 | 424,927 | ||||||
PC Connection, Inc. | 9,194 | 453,448 | ||||||
Rush Enterprises, Inc., Class A | 10,200 | 467,364 | ||||||
Ruth's Hospitality Group, Inc. | 18,000 | 420,660 | ||||||
1,766,399 | ||||||||
Savings & Loans — 1.0% | ||||||||
Flushing Financial Corp. | 20,265 | 429,618 | ||||||
Semiconductors — 1.0% | ||||||||
Photronics, Inc.* | 37,273 | 438,331 | ||||||
Software — 2.0% | ||||||||
Computer Programs & Systems, Inc. | 16,700 | 444,053 | ||||||
CSG Systems International, Inc. | 8,200 | 468,958 | ||||||
913,011 | ||||||||
Telecommunications — 0.9% | ||||||||
InterDigital, Inc. | 7,100 | 403,280 | ||||||
Textiles — 1.0% | ||||||||
UniFirst Corp. | 2,100 | 433,125 | ||||||
Water — 2.9% | ||||||||
American States Water Co. | 4,600 | 392,334 | ||||||
California Water Service Group | 8,689 | 446,614 | ||||||
Middlesex Water Co. | 7,200 | 452,232 | ||||||
1,291,180 | ||||||||
TOTAL COMMON STOCKS | ||||||||
(Cost $40,748,160) | 43,699,187 | |||||||
EXCHANGE-TRADED FUNDS - 1.5% | ||||||||
iShares Russell 2000 ETF | 2,100 | 339,717 | ||||||
Vanguard Russell 2000 ETF | 2,600 | 338,130 | ||||||
677,847 | ||||||||
TOTAL EXCHANGE-TRADED FUNDS | ||||||||
(Cost $667,079) | 677,847 | |||||||
SHORT-TERM INVESTMENTS - 1.6% | ||||||||
Fidelity Investments Money Market Funds - Government Portfolio, Class I, 1.53% (a) | 740,655 | 740,655 | ||||||
TOTAL SHORT-TERM INVESTMENTS | ||||||||
(Cost $740,655) | 740,655 | |||||||
TOTAL INVESTMENTS - 99.9% | ||||||||
(Cost $42,155,894) | 45,117,689 | |||||||
OTHER ASSETS IN EXCESS OF LIABILITIES - 0.1% | 61,446 | |||||||
NET ASSETS - 100.0% | $ | 45,179,135 |
* | Non-income producing security. |
(a) | Seven-day yield as of November 30, 2019. |
ETF | Exchange-Traded Fund |
REIT | Real Estate Investment Trust |
The accompanying notes are an integral part of the portfolio of investments.
83
SGI GLOBAL EQUITY FUND
PORTFOLIO OF INVESTMENTS
NOVEMBER 30, 2019 (UNAUDITED)
Number of Shares | Value | |||||||
COMMON STOCKS - 92.4% | ||||||||
Apparel — 1.8% | ||||||||
NIKE, Inc., Class B | 5,500 | $ | 514,195 | |||||
Banks — 3.8% | ||||||||
Canadian Imperial Bank of Commerce, (Canada) | 6,300 | 547,470 | ||||||
Royal Bank of Canada, (Canada) | 6,400 | 523,200 | ||||||
1,070,670 | ||||||||
Beverages — 3.5% | ||||||||
Coca-Cola Co., (The) | 9,500 | 507,300 | ||||||
PepsiCo, Inc. | 3,600 | 488,988 | ||||||
996,288 | ||||||||
Chemicals — 2.0% | ||||||||
Linde PLC, (Ireland) | 2,700 | 556,767 | ||||||
Computers — 3.8% | ||||||||
CGI, Inc.* | 6,600 | 548,724 | ||||||
Genpact Ltd. | 13,000 | 529,100 | ||||||
1,077,824 | ||||||||
Cosmetics & Personal Care — 1.8% | ||||||||
Procter & Gamble Co., (The) | 4,080 | 498,005 | ||||||
Diversified Financial Services — 2.0% | ||||||||
T Rowe Price Group, Inc. | 4,700 | 580,732 | ||||||
Electric — 5.2% | ||||||||
Algonquin Power & Utilities Corp., (Canada) | 36,400 | 508,144 | ||||||
Fortis Inc., (Canada) | 11,900 | 465,171 | ||||||
Sempra Energy | 3,500 | 515,445 | ||||||
1,488,760 | ||||||||
Environmental Control — 1.8% | ||||||||
Waste Connections, Inc., (Canada) | 5,500 | 498,025 | ||||||
Food — 3.7% | ||||||||
Hershey Co., (The) | 3,200 | 474,112 | ||||||
Lancaster Colony Corp. | 3,700 | 584,711 | ||||||
1,058,823 | ||||||||
Healthcare-Products — 1.9% | ||||||||
Medtronic PLC, (Ireland) | 4,800 | 534,672 | ||||||
Household Products & Wares — 1.8% | ||||||||
Clorox Co., (The) | 3,500 | 518,805 | ||||||
Insurance — 3.7% | ||||||||
Berkshire Hathaway, Inc., Class B* | 2,500 | 550,750 | ||||||
Chubb Ltd., (Switzerland) | 3,220 | 487,766 | ||||||
1,038,516 | ||||||||
Internet — 1.8% | ||||||||
Alphabet, Inc., Class C* | 400 | 521,984 | ||||||
Media — 3.7% | ||||||||
Shaw Communications, Inc., Class B (Canada) | 25,700 | 534,303 | ||||||
Thomson Reuters Corp., (Canada) | 7,500 | 529,125 | ||||||
1,063,428 | ||||||||
Oil & Gas — 5.5% | ||||||||
BP PLC, (United Kingdom), SP ADR | 14,000 | 523,880 | ||||||
Enbridge, Inc., (Canada) | 15,200 | 577,600 | ||||||
Royal Dutch Shell PLC, (Netherlands), Class A, SP ADR | 8,200 | 471,418 | ||||||
1,572,898 | ||||||||
Pharmaceuticals — 13.6% | ||||||||
Eli Lilly & Co. | 4,770 | 559,759 | ||||||
GlaxoSmithKline PLC, (United Kingdom) SP ADR | 12,500 | 568,500 | ||||||
Merck & Co., Inc. | 6,100 | 531,798 | ||||||
Novartis AG, (Switzerland), SP ADR | 6,000 | 553,800 | ||||||
Novo Nordisk, (Denmark), SP ADR | 10,000 | 561,500 | ||||||
Pfizer, Inc. | 14,300 | 550,836 | ||||||
Sanofi, (France) ADR | 11,370 | 530,752 | ||||||
3,856,945 | ||||||||
REITS — 1.6% | ||||||||
Public Storage | 2,100 | 442,428 | ||||||
Retail — 7.3% | ||||||||
McDonald's Corp. | 2,420 | 470,642 | ||||||
Starbucks Corp. | 6,000 | 512,580 | ||||||
TJX Cos, Inc., (The) | 9,300 | 568,509 | ||||||
Wal-Mart Stores, Inc. | 4,260 | 507,323 | ||||||
2,059,054 |
The accompanying notes are an integral part of the portfolio of investments.
84
SGI GLOBAL EQUITY FUND
PORTFOLIO OF INVESTMENTS (Continued)
NOVEMBER 30, 2019 (UNAUDITED)
Number of Shares | Value | |||||||
Software — 5.9% | ||||||||
Microsoft Corp. | 3,700 | 560,106 | ||||||
Nice Ltd., (Isreal), SP ADR | 3,500 | 530,215 | ||||||
SAP SE, (Germany), SP ADR | 4,300 | 584,585 | ||||||
1,674,906 | ||||||||
Telecommunications — 14.3% | ||||||||
BCE, Inc., (Canada) | 10,480 | 503,773 | ||||||
China Mobile Ltd., (China) SP ADR | 12,100 | 456,533 | ||||||
Orange SA, (France), SP ADR | 33,000 | 538,560 | ||||||
Rogers Communications, Inc., Class B (Canada) | 10,400 | 502,424 | ||||||
SK Telecom Co Ltd. (Korea), SP ADR | 23,300 | 534,036 | ||||||
Telekomunikasi Indonesia Persero Tbk PT, (Indonesia), SP ADR | 17,300 | 478,691 | ||||||
TELUS Corp. (Canada) | 14,200 | 536,050 | ||||||
Verizon Communications, Inc. | 8,600 | 518,064 | ||||||
4,068,131 | ||||||||
Transportation — 1.9% | ||||||||
Canadian National Railway Co., (Canada) | 5,900 | 537,431 | ||||||
TOTAL COMMON STOCKS | ||||||||
(Cost $23,784,102) | 26,229,287 | |||||||
EXCHANGE-TRADED FUNDS - 5.2% | ||||||||
iShares Core S&P 500 ETF | 1,100 | 347,666 | ||||||
iShares MSCI ACWI ETF | 4,900 | 379,946 | ||||||
Vanguard S&P 500 ETF | 1,200 | 346,380 | ||||||
Vanguard Total World Stock ETF | 4,900 | 386,512 | ||||||
1,460,504 | ||||||||
TOTAL EXCHANGE-TRADED FUNDS | ||||||||
(Cost $1,421,219) | 1,460,504 | |||||||
SHORT-TERM INVESTMENTS - 2.3% | ||||||||
Fidelity Investments Money Market Funds - Government Portfolio, Class I, 1.53% (a) | 652,226 | 652,226 | ||||||
TOTAL SHORT-TERM INVESTMENTS | ||||||||
(Cost $652,226) | 652,226 | |||||||
TOTAL INVESTMENTS - 99.9% | ||||||||
(Cost $25,857,547) | 28,342,017 | |||||||
OTHER ASSETS IN EXCESS OF LIABILITIES - 0.1% | 39,177 | |||||||
NET ASSETS - 100.0% | $ | 28,381,194 |
* | Non-income producing security. |
(a) | Seven-day yield as of November 30, 2019. |
ADR | American Depositary Receipt |
PLC | Public Limited Company |
REIT | Real Estate Investment Trust |
SP ADR | Sponsored ADR |
The accompanying notes are an integral part of the portfolio of investments.
85
SUMMIT GLOBAL INVESTMENTS, LLC
PORTFOLIO OF INVESTMENTS
NOVEMBER 30, 2019 (UNAUDITED)
PORTFOLIO VALUATION – Investments in the underlying funds are valued at the SGI U.S. Large Cap Equity Fund, the SGI U.S. Small Cap Equity Fund, and the SGI Global Equity Fund (each a "Fund", collectively 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 the Funds are valued using the closing price or the last sale price on a national securities exchange or the National Association of Securities Dealers Automatic Quotation System (“NASDAQ”) market system where they are primarily traded. Equity securities traded in the over-the-counter ("OTC") market are valued at their closing prices. If there were no transactions on that day, securities traded principally on an exchange or on NASDAQ will be valued at the mean of the last bid and ask prices prior to the market close. Fixed income securities are valued using an independent pricing service, which considers such factors as security prices, yields, maturities and ratings, and are deemed representative of market values at the close of the market. Investments in Exchange-Traded Funds ("ETFs") are valued at their last reported sale price. Investments in other open-end investment companies, if any, are valued based on the NAV of those investment companies (which may use fair value pricing as disclosed in their prospectuses). If market quotations are unavailable or deemed unreliable, securities will be valued in accordance with procedures adopted by the RBB Fund, Inc.’s Board of Directors (the “Board”). Relying on prices supplied by pricing services or dealers or using fair valuation may result in values that are higher or lower than the values used by other investment companies and investors to price the same investments.
FAIR VALUE MEASUREMENTS – The inputs and valuation techniques used to measure the fair value of the Funds' investments are summarized into three levels as described in the hierarchy below:
• Level 1 — Prices are determined using quoted prices in active markets for identical securities.
• Level 2 — Prices are determined using other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
• Level 3 — Prices are determined using significant unobservable inputs (including the Funds' own assumptions in determining the fair value of investments).
The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The following is a summary of the inputs used, as of November 30, 2019, in valuing each Fund's investments carried at fair value:
SGI U.S. Large Cap Equity Fund | TOTAL | LEVEL 1 | LEVEL 2 | LEVEL 3 | ||||||||||||
Common Stocks | $ | 537,300,127 | $ | 537,300,127 | $ | - | $ | - | ||||||||
Exchange-Traded Funds | 9,353,818 | 9,353,818 | - | - | ||||||||||||
Short-Term Investments | 7,616,228 | 7,616,228 | - | - | ||||||||||||
Total Investments* | $ | 554,270,173 | $ | 554,270,173 | $ | - | $ | - | ||||||||
SGI U.S. Small Cap Equity Fund | ||||||||||||||||
Common Stocks | $ | 43,699,187 | $ | 43,699,187 | $ | - | $ | - | ||||||||
Exchange-Traded Funds | 677,847 | 677,847 | - | - | ||||||||||||
Short-Term Investments | 740,655 | 740,655 | - | - | ||||||||||||
Total Investments* | $ | 45,117,689 | $ | 45,117,689 | $ | - | $ | - | ||||||||
SGI Global Equity Fund | ||||||||||||||||
Common Stocks | $ | 26,229,287 | $ | 26,229,287 | $ | - | $ | - | ||||||||
Exchange-Traded Funds | 1,460,504 | 1,460,504 | - | - | ||||||||||||
Short-Term Investments | 652,226 | 652,226 | - | - | ||||||||||||
Total Investments* | $ | 28,342,017 | $ | 28,342,017 | $ | - | $ | - |
* | Please refer to Portfolio of Investments for further details. |
At the end of each quarter, management evaluates the classification of Levels 1, 2 and 3 assets and liabilities. Various factors are considered, such as changes in liquidity from the prior reporting period; whether or not a broker is willing to execute at the quoted price; the depth and consistency of prices from third party pricing services; and the existence of contemporaneous, observable trades in the market. Additionally, management evaluates the classification of Levels 1, 2 and 3 assets and liabilities on a quarterly basis for changes in listings or delistings on national exchanges.
Due to the inherent uncertainty of determining the fair value of investments that do not have a readily available market value, the fair value of the Fund’s investments may fluctuate from period to period. Additionally, the fair value of investments may differ significantly from the values that would have been used had a ready market existed for such investments and may differ materially from the values the Fund may ultimately realize. Further, such investments may be subject to legal and other restrictions on resale or otherwise less liquid than publicly traded securities.
For fair valuations using significant unobservable inputs, U.S. generally accepted accounting principles (“U.S. GAAP”) requires the Fund to present a reconciliation of the beginning to ending balances for reported market values that presents changes attributable to total realized and unrealized gains or losses, purchase and sales, and transfers in and out of Level 3 during the period. Transfers in and out between levels are based on values at the end of the period. A reconciliation of Level 3 investments is presented only if a Fund had an amount of Level 3 investments at the end of the reporting period that was meaningful in relation to its net assets. The amounts and reasons for all Level 3 transfers are disclosed if the Fund had an amount of total Level 3 transfers during the reporting period that was meaningful in relation to its net assets as of the end of the reporting period.
During the current fiscal period, the Fund had no Level 3 transfers.
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.
86
Item 2. Controls and Procedures.
(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(b)). |
(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. |
Item 3. Exhibits.
Separate certifications for each principal executive officer and principal financial officer of the Registrant as required by Rule 30a-2(a) under the 1940 Act (17 CFR 270.30a-2(a)). Filed herewith.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
(Registrant) | The RBB Fund, Inc. | |
By (Signature and Title) | /s/ Salvatore Faia | |
Salvatore Faia, President | ||
(principal executive officer) | ||
Date | 1/24/2020 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By (Signature and Title)* | /s/ Salvatore Faia | |
Salvatore Faia, President | ||
(principal executive officer) | ||
Date | 1/24/2020 |
By (Signature and Title)* | /s/ James Shaw | |
James Shaw, Treasurer | ||
(principal financial officer) | ||
Date | 1/24/2020 |
* | Print the name and title of each signing officer under his or her signature. |
Exhibit 99.CERT
CERTIFICATION
I, Salvatore Faia, certify that:
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: | 1/24/2020 | /s/ Salvatore Faia | ||
Salvatore Faia, President (principal executive officer) |
Exhibit 99.CERT
CERTIFICATION
I, James Shaw, certify that:
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: | 1/24/2020 | /s/ James Shaw | ||
James Shaw, Treasurer (principal financial officer) |