N-CSRS 1 fp0082154-17_ncsrs.htm

 

As filed with the Securities and Exchange Commission on May 8, 2023

 

UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549

 

FORM N-CSR

 

CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES

 

811-05518

Investment Company Act file number

 

THE RBB FUND, INC.
(Exact name of registrant as specified in charter)

 

615 East Michigan Street

Milwaukee, WI 53202
(Address of principal executive offices) (Zip code)

 

Steven Plump, President

c/o U.S. Bancorp Fund Services, LLC

615 East Michigan Street

Milwaukee, WI 53202
(Name and address of agent for service)

 

(609) 731-6256

Registrant's telephone number, including area code

 

Date of fiscal year end: August 31, 2023

 

Date of reporting period: February 28, 2023

 

 

Item 1. Reports to Stockholders.

 

(a)

 

 

 

 

 

 

Abbey Capital Futures Strategy Fund

of

THE RBB FUND, INC.

 

 

Semi-Annual Report

 

 

 

 

February 28, 2023

(Unaudited)

 


 

 

 

 

Abbey Capital Futures Strategy Fund

 

Semi-Annual Investment Adviser’s Report

February 28, 2023 (Unaudited)

 

Dear Shareholder,

 

The Abbey Capital Futures Strategy Fund (the “Fund”) Class I Shares returned -0.24% net of fees for the 6-month fiscal period ended February 28, 2023. Negative performance was driven by trading in energy, major currencies, metals and agricultural commodities. Fund investments in fixed income, emerging market currencies and equities were positive contributors during the 6-month period. The Fund’s core allocation to Diversified Trendfollowing (“Trendfollowing”) strategies was the main detractor from performance, while the performance of the Fund’s non-Trendfollowing allocation was close to flat in aggregate during the period. The Fund may invest up to 25% of its total assets in Abbey Capital Master Offshore Fund Limited (“ACMOF”), a wholly-owned subsidiary of the Fund that invests substantially all of its assets in Abbey Capital Offshore Fund SPC (“ACOF”), which is a wholly-owned and controlled segregated portfolio company that invests in managed futures and foreign exchange contracts. The Fund may also invest a portion of its assets into Abbey Capital Onshore Series LLC (“ACOS”), a wholly-owned subsidiary of the Fund which is a multi-adviser fund that invests in managed futures and foreign exchange contracts.

 

Average Total Returns for the Periods Ended February 28, 2023

 

 

2023
YTD

1 YEAR

SEP. 1, 2022 TO
FEB. 28, 2023

5 YEAR
ANNUALIZED

ANNUALIZED
SINCE
INCEPTION ON
JULY 1, 2014

Class I Shares

1.19%

15.13%

-0.24%

6.64%

5.60%

Class A Shares*

1.12%

14.93%

-0.34%

6.37%

5.34%

Class A Shares (max load)*

-4.72%

8.29%

-6.09%

5.12%

4.62%

Class C Shares**

0.98%

13.99%

-0.71%

5.58%

4.56%

S&P 500® Total Return Index***

3.69%

-7.69%

1.26%

9.82%

10.56%

BofA Merrill Lynch 3-Month T-Bill Index***

0.64%

2.10%

1.74%

1.35%

0.95%

Barclay CTA Index***

0.03%

5.15%

-0.62%

4.12%

2.76%

 

Barclay CTA numbers are based on the estimates available on the BarclayHedge website as of March 15, 2023

 

Source: Abbey Capital, Bloomberg and BarclayHedge

 

Performance quoted is past performance and does not guarantee future results. Investment return and principal value will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the returns quoted. Visit www.abbeycapital.com for returns updated daily. Call (US Toll Free) 1-844-261-6484 or (international callers) + 1-508-871-3276 for returns current to the most recent month-end.

 

Please note the above is shown for illustrative purposes only

 

*

Class A Shares performance prior to its inception on August 29, 2014 is the performance of Class I Shares, adjusted for the Class A Shares expense ratio. There is a maximum sales charge (load) imposed on purchases (as a percentage of offering price) of 5.75% in Class A Shares.

 

**

Class C Shares performance prior to its inception on October 6, 2015 is the performance of Class I Shares, adjusted for the Class C Shares expense ratio.

 

***

The Barclay CTA Index is derived from data that is self-reported by investment managers based on the performance of privately managed funds. In contrast, the S&P 500® Total Return Index and the Bank of America Merrill Lynch 3-Month T-Bill Index are comprised of publicly traded securities. As a result of these differences, these indices may not be directly comparable, and the table above is shown for illustrative purposes only.

 

Abbey Capital Limited (the “Adviser”) has contractually agreed to waive its advisory fee and/or reimburse expenses in order to limit total annual fund operating expenses (excluding acquired fund fees and expenses, brokerage commissions, extraordinary items, interest or taxes) to 1.79%, 2.04% and 2.79% of the Fund’s average daily net assets attributable to

 

1

 

 

Abbey Capital Futures Strategy Fund

 

Semi-Annual Investment Adviser’s Report (Continued)

February 28, 2023 (Unaudited)

 

Class I Shares, Class A Shares, and Class C Shares, respectively. This contractual limitation is in effect until December 31, 2023, and may not be terminated without the approval of the Board of Directors of The RBB Fund, Inc. In addition, the Adviser may recoup any waived or reimbursed amounts from the Fund within three years from the date on which such waiver or reimbursement was made by the Adviser, provided such reimbursement does not cause the Fund to exceed expense limitations that were in effect at the time of the waiver or reimbursement. Without the expense limitation agreement, the expense ratios are 1.85%, 2.10% and 2.85% of the Fund’s average daily net assets attributable to Class I Shares, Class A Shares, and Class C Shares, respectively, as stated in the Fund’s current prospectus dated December 31, 2022 (and which may differ from the actual expense ratios for the period covered by this report). The quoted performance would have been lower without the expense limitation.

 

Please refer to the prospectus for further information on expenses and fees.

 

Performance Analysis

 

The 6-month period ended February 28, 2023 was negative for Fund performance. The Fund’s Trendfollowing sub-advisers recorded losses for the period, while the non-Trendfollowing trading styles were close to flat in aggregate.

 

Inflation, and the outlook for central bank policy, were key drivers of markets over the period. Market expectations for rate hikes in the US and elsewhere shifted several times during the 6- month period, with uncertainty about the outlook for monetary policy contributing to multiple reversals in asset prices and in broader market sentiment.

 

Expectations for monetary policy were relatively hawkish in September 2022. The US Federal Reserve and the European Central Bank both hiked rates by 0.75%, while US inflation was stronger than expected and eurozone inflation reached double digits. Fund performance was positive in September 2022. We saw the continuation of some of the most notable trends from earlier in 2022, namely uptrends in the US Dollar and in global yields. The hawkish outlook continued to weigh on global equity prices with the year-to-date return of the S&P 500 -24.8% as of the end of September.

 

Performance in quarter four of 2022 was more challenging, as reversals in sentiment during the quarter led to corrections in price trends across several markets. Further signs of slowing US inflation initially saw investors price a slower pace of US Federal Reserve tightening. This led to a rebound in equity markets, and a reversal of uptrends in global yields and the US Dollar. Sentiment shifted in December however, as guidance from the US Federal Reserve and European Central Bank proved more hawkish than expected. This saw some of the price trends from earlier in the quarter unwind as equities declined and uptrends in global yields resumed.

 

Performance during the first two months of 2023 was positive. We continued to see significant uncertainty around the outlook for rate hikes in the US and elsewhere. Risk sentiment was initially buoyed by hopes that we were approaching the end of the US rate hiking cycle. However, some stronger than expected US inflation data saw expectations for rate hikes increase in February 2023. Despite mixed signals on the direction of monetary policy, the rally in global equity markets early in the period proved profitable for several of the Fund’s underlying sub-advisers.

 

Similar to financial markets, commodities markets were also choppy during the 6-month period with several markets experiencing a lack of clear trends and frequent price reversals. The Fund’s largest losses occurred in commodities, with negative performance recorded in energy, metals and agricultural commodities.

 

Energy was the largest detractor from Fund performance over the 6-month period. Losses were concentrated in crude oil and distillate contracts. Both long and short positions in energy recorded losses at different times as price reversals and a lack of clear direction in prices proved difficult for the Fund’s Trendfollowing sub-advisers in particular. Several developments on both the supply and demand side contributed to these choppy price moves. These included evidence of a slowdown in global growth, shifts in Chinese demand expectations as COVID-19 restrictions were eased, supply cuts from OPEC+ and rising inventories later in the period.

 

2

 

 

Abbey Capital Futures Strategy Fund

 

Semi-Annual Investment Adviser’s Report (Continued)

February 28, 2023 (Unaudited)

 

Performance in metals was also challenging, with losses recorded in both precious and base metals. Similarly to energy markets, frequent price corrections in metals prices led to losses for the Fund’s Trendfollowing sub-advisers with long and short positions detracting at different times during the period. In agricultural commodities, losses were concentrated in corn and coffee contracts.

 

Major currencies was another difficult sector for performance as long-term uptrends in the US Dollar reversed. The US Dollar had largely been in an uptrend since mid-2021 as guidance for US monetary policy turned progressively more hawkish. Losses in the sector were concentrated in Q4 2022. Long US Dollar positions against the Euro and Japanese Yen resulted in the largest detractors within the sector as trends in the Dollar corrected on slowing US inflation and speculation that the pace of US Federal Reserve rate hikes may slow. Trendfollowing, Global Macro and Short-term Systematic all recorded losses in major currencies over the 6-month period.

 

In contrast, the Fund’s largest gains were observed in fixed income with short positions in bonds and interest rates both contributing positively to returns. Trendfollowing led gains in the sector, while Value was negative due to longs in interest rates. Despite the frequent changes in outlook for monetary policy, global yields rose as central banks in most major markets hiked rates and as inflation, despite signs of slowing, remained elevated. The Fund’s largest gains arose from shorts in UK Gilt and US Treasury contracts.

 

Gains in emerging market currencies were concentrated in the Mexican Peso. Long positions resulted in gains as the currency trended higher for much of the period alongside higher local market rates. In early 2023, the Mexican Peso hit its highest level against the US Dollar since 2018 following larger than expected rate hikes by the Mexican central bank.

 

Performance in equities was slightly positive, as gains for the Fund’s Short-term Systematic and Value trading advisers outweighed losses from Trendfollowing sub-advisers.

 

An investment in the Fund is speculative and involves substantial risk. It is possible that an investor may lose some or all of their investment. The Fund may invest up to 25% of its total assets in ACMOF, which invests substantially all of its assets in ACOF, which is a multi-adviser fund that invests in managed futures and foreign exchange. The Fund may also invest a portion of its assets into Abbey Capital Onshore ACOS, which is a multi-adviser fund that invests in managed futures and foreign exchange. All investments in securities involve risk of the loss of capital. An investment in the Fund includes the risks inherent in an investment in securities, as well as specific risks associated with this open-ended investment product. Among the risks associated with investing in this Fund are Commodity Sector Risk, Counter-Party Risk, Credit Risk, Currency Risk, Manager and Management Risks, Subsidiary Risk, Tax Risk, Emerging Markets Risk, Leveraging Risk, Foreign Investment Risk, Fixed Income Securities Risks, Short Sale Risk and Portfolio Turnover Risks. The Fund may invest in or utilize derivative investments, futures contracts, and hedging strategies. One or more Trading Advisers, from time to time, may invest a substantial portion of the assets managed in a specific industry sector. As a result, the Fund’s investment portfolio may be subject to greater risk and volatility than if investments had been made in the securities of a broader range of issuers. There can be no assurance that the Fund’s strategy (hedging or otherwise) will be successful or that it will employ such strategies with respect to all or any portion of its portfolio. The value of the Fund’s portfolio investments should be expected to fluctuate. Investing in managed futures is not suitable for all investors given its speculative nature and the high level of risk involved. The Fund is appropriate only for investors who can bear the risks associated with the product. This brief statement cannot disclose all of the risks and other factors necessary to evaluate an investment in the Fund. Investors are urged to take appropriate investment advice and to carefully consider their investment objectives, personal situation, and factors such as net worth, income, age, risk tolerance and liquidity needs before investing in the Fund. Before investing, investors should carefully consider the Fund’s investment objectives, risks, tax considerations, sales charges and expenses.

 

Fund holdings and sector allocations are subject to change and should not be considered recommendations to buy or sell any security. Please refer to the Consolidated Portfolio of Investments in this report for a complete list of Fund holdings.

 

The Abbey Capital Futures Strategy Fund is distributed by Quasar Distributions, LLC.

 

3

 

 

Abbey Capital Futures Strategy Fund

 

Semi-Annual Investment Adviser’s Report (Concluded)

February 28, 2023 (Unaudited)

 

This report is submitted for general information to the shareholders of the Fund. It is not authorized for distribution unless preceded or accompanied by a current prospectus for the Fund. Opinions expressed are subject to change at any time, are not guaranteed, and should not be considered investment advice.

 

4

 

 

Abbey Capital Futures Strategy Fund

 

Performance Data

February 28, 2023 (Unaudited)

 

Average Annual Total Returns for the Periods Ended February 28, 2023

 
 

Six
Months†

One
Year

Three
Years

Five
Years

Since
Inception††

 

Class A Shares (without sales charge) (Pro forma July 1, 2014 to August 29, 2014)

-0.34%

14.93%

9.19%

6.37%

5.34%*

 

Class A Shares (with sales charge) (Pro forma July 1, 2014 to August 29, 2014)

-6.09%

8.29%

7.07%

5.12%

4.62%*

 

S&P 500® Total Return Index

1.26%

-7.69%

12.15%

9.82%

10.56%**

 

ICE BofA 3-Month U.S. Treasury Bill Index***

1.74%

2.10%

0.84%

1.35%

0.95%**

 

Barclay CTA Index***

-0.62%

5.15%

6.04%

4.12%

2.76%**

 

 

Not annualized.

 

††

Inception date of Class A Shares of the Fund was August 29, 2014.

 

*

Class A Shares performance prior to its inception on August 29, 2014 is the performance of Class I Shares, adjusted for the Class A Shares expense ratio.

 

**

Performance is from the inception date of the Fund and is not the inception date of the index itself. The above is shown for illustrative purposes only.

 

***

This is not a primary benchmark of the Fund. Results of the index performance are presented for general comparative purposes.

 

The Fund charges a 5.75% maximum sales charge on purchases (as a percentage of offering price) of Class A Shares. The performance data quoted reflects fee waivers in effect and would have been less in their absence. The Adviser has contractually agreed to waive its advisory fee and/or reimburse expenses in order to limit total annual Fund operating expenses (excluding acquired fund fees and expenses, brokerage commissions, extraordinary items, interest or taxes) to 2.04% of the Fund’s average daily net assets attributable to Class A Shares. Without the limitation arrangement, the gross expense ratio is 2.10% for Class A Shares as stated in the current prospectus, as supplemented (and which may differ from the actual expense ratio for the period covered by this report). This contractual limitation is in effect until December 31, 2023 and may not be terminated without the approval of the Board of Directors of The RBB Fund, Inc. Please see the Consolidated Financial Highlights for current figures.

 

5

 

 

Abbey Capital Futures Strategy Fund

 

Performance Data (Continued)

February 28, 2023 (Unaudited)

 

Average Annual Total Returns for the Periods Ended February 28, 2023

 
 

Six
Months†

One
Year

Three
Years

Five
Years

Since
Inception††

 

Class I Shares

-0.24%

15.13%

9.46%

6.64%

5.60%

 

S&P 500® Total Return Index

1.26%

-7.69%

12.15%

9.82%

10.56%*

 

ICE BofA 3-Month U.S. Treasury Bill Index**

1.74%

2.10%

0.84%

1.35%

0.95%*

 

Barclay CTA Index**

-0.62%

5.15%

6.04%

4.12%

2.76%*

 

 

Not annualized.

 

††

Inception date of Class I Shares of the Fund was July 1, 2014.

 

*

Performance is from the inception date of the Fund and is not the inception date of the index itself. The above is shown for illustrative purposes only.

 

**

This is not a primary benchmark of the Fund. Results of the index performance are presented for general comparative purposes.

 

The performance data quoted reflects fee waivers in effect and would have been less in their absence. The Adviser has contractually agreed to waive its advisory fee and/or reimburse expenses in order to limit total annual Fund operating expenses (excluding acquired fund fees and expenses, brokerage commissions, extraordinary items, interest or taxes) to 1.79% of the Fund’s average daily net assets attributable to Class I Shares. Without the limitation arrangement, the gross expense ratio is 1.85% for Class I Shares, as stated in the current prospectus, as supplemented (and which may differ from the actual expense ratios for the period covered by this report). This contractual limitation is in effect until December 31, 2023 and may not be terminated without the approval of the Board of Directors of The RBB Fund, Inc. Please see the Consolidated Financial Highlights for current figures.

 

6

 

 

Abbey Capital Futures Strategy Fund

 

Performance Data (Continued)

February 28, 2023 (Unaudited)

 

Average Annual Total Returns for the Periods Ended February 28, 2023

 
 

Six
Months†

One
Year

Three
Years

Five
Years

Since
Inception††

 

Class C Shares (without sales charge) (Pro forma July 1, 2014 to October 6, 2015)

-0.71%

13.99%

8.36%

5.58%

4.56%*

 

Class C Shares (with sales charge) (Pro forma July 1, 2014 to August 29, 2014)

-1.57%

13.00%

8.36%

5.58%

4.56%*

 

S&P 500® Total Return Index

1.26%

-7.69%

12.15%

9.82%

10.56%**

 

ICE BofA 3-Month U.S. Treasury Bill Index***

1.74%

2.10%

0.84%

1.35%

0.95%**

 

Barclay CTA Index***

-0.62%

5.15%

6.04%

4.12%

2.76%**

 

 

Not annualized.

 

††

Inception date of Class C Shares of the Fund was October 6, 2015.

 

*

Class C Shares performance prior to its inception on October 6, 2015 is the performance of Class I Shares, adjusted for the Class C Shares expense ratio.

 

**

Performance is from the inception date of the Fund and is not the inception date of the index itself. The above is shown for illustrative purposes only.

 

***

This is not a primary benchmark of the Fund. Results of the index performance are presented for general comparative purposes.

 

The Fund charges a contingent deferred sales charge (“CDSC”) of 1.00% on certain redemptions of Class C Shares made within 12 months of purchase. The CDSC is assessed on an amount equal to the lesser of the offering price at the time of purchase of the Class C Shares redeemed and the net asset value of the Class C Shares redeemed at the time of redemption.

 

The performance data quoted reflects fee waivers in effect and would have been less in their absence. The Adviser has contractually agreed to waive its advisory fee and/or reimburse expenses in order to limit total annual Fund operating expenses (excluding acquired fund fees and expenses, brokerage commissions, extraordinary items, interest or taxes) to 2.79% of the Fund’s average daily net assets attributable to Class C Shares. Without the limitation arrangement, the gross expense ratio is 2.85% for Class C Shares, as stated in the current prospectus, as supplemented (and which may differ from the actual expense ratios for the period covered by this report). This contractual limitation is in effect until December 31, 2023 and may not be terminated without the approval of the Board of Directors of The RBB Fund, Inc. Please see the Consolidated Financial Highlights for current figures.

 

Performance quoted is past performance and does not guarantee future results. Investment return and principal value of an investment will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the returns quoted. Visit www.abbeycapital.com for returns updated daily. Call (US Toll Free) 1-844-261-6484 or (international callers) + 1-508-871-3276 for returns current to the most recent month-end.

 

The Barclay CTA Index is derived from data which is self-reported by investment managers based on the performance of privately managed funds. In contrast, the S&P 500® Total Return Index and the ICE BofA 3-Month U.S. Treasury Bill Index are comprised of publicly traded securities. As a result of these differences, these indices may not be directly comparable. Additionally, these indices are not available for direct investment and the above is shown for illustrative purposes only.

 

7

 

 

Abbey Capital Futures Strategy Fund

 

Performance Data (Concluded)

February 28, 2023 (Unaudited)

 

Barclay CTA Index

 

The Barclay CTA Index is a leading industry benchmark of representative performance of commodity trading advisors. There are currently 412 programs included in the calculation of the Barclay CTA Index for 2023. The Barclay CTA Index is equally weighted and rebalanced at the beginning of each year.

 

ICE BofA 3-Month U.S. Treasury Bill Index

 

The ICE BofA 3-Month U.S. Treasury Bill Index is an unmanaged market index of U.S. Treasury securities maturing in 90 days that assumes reinvestment of all income.

 

The S&P 500® Total Return Index

 

The S&P 500® Total Return Index is the total return version of the S&P 500® Index. Dividends are reinvested on a daily basis and all regular cash dividends are assumed reinvested in the index on the ex-dividend date.

 

A basis point is one hundredth of one percent.

 

Portfolio composition is subject to change. It is not possible to invest directly in an index.

 

8

 

 

Abbey Capital Futures Strategy Fund

 

Fund Expense Examples

February 28, 2023 (Unaudited)

 

As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments, (if any) and (2) ongoing costs, including management fees, distribution and/or service (12b-1) fees and other Fund expenses. These examples are intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.

 

These examples are based on an investment of $1,000 invested at the beginning of the six-month period from September 1, 2022 through February 28, 2023, and held for the entire period.

 

ACTUAL EXPENSES

 

The first section in the accompanying table provides information about actual account values and actual expenses. You may use the information in this section, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first section under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.

 

HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES

 

The second section of the accompanying table provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare these 5% hypothetical examples with the 5% hypothetical examples that appear in the shareholder reports of other funds.

 

Please note that the expenses shown in the accompanying table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads) on purchase payments (if any). Therefore, the second section of the accompanying table is useful in comparing ongoing costs only and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.

 

 

Beginning
Account Value
September 1, 2022

Ending
Account Value
February 28, 2023

Expenses Paid
During
Period
(1)

Annualized
Expense
Ratio
(2)

Actual Six-
Month Total
Investment
Returns for the
Fund

Actual

         

Class A Shares

$ 1,000.00

$ 996.60

$ 10.10

2.04%

-0.34%

Class I Shares

1,000.00

997.60

8.87

1.79%

-0.24%

Class C Shares

1,000.00

992.90

13.79

2.79%

-0.71%

Hypothetical (5% return before expenses)

Class A Shares

$ 1,000.00

$ 1,014.68

$ 10.19

2.04%

N/A

Class I Shares

1,000.00

1,015.92

8.95

1.79%

N/A

Class C Shares

1,000.00

1,010.96

13.91

2.79%

N/A

 

 

(1)

Expenses are equal to the Funds’ Class A Shares, Class I Shares, and Class C Shares annualized six-month expense ratios for the period September 1, 2022 through February 28, 2023, multiplied by the average account value over the period, multiplied by the number of days (181) in the most recent fiscal half-year, then divided by 365 to reflect the one half year period. The Fund’s ending account values in the first section in the table are based on the actual six-month total investment return for the Fund’s respective share classes.

 

(2)

Ratios reflect expenses waived by the Fund’s investment adviser. Without these waivers, the Fund’s expenses would have been higher and the ending account values would have been lower.

 

9

 

 

Abbey Capital Futures Strategy Fund

 

Consolidated Portfolio Holdings Summary Table

February 28, 2023 (Unaudited)

 

The following table presents a consolidated summary of the portfolio holdings of the Fund:

 

 

% of Net
Assets

   

Value

 

SHORT-TERM INVESTMENTS:

               

U.S. Treasury Obligations

    81.4 %   $ 2,250,145,249  

Money Market Deposit Account

    4.3       117,370,070  

OTHER ASSETS IN EXCESS OF LIABILITIES (including futures and forward foreign currency contracts)

    14.3       395,522,260  

NET ASSETS

    100.0 %   $ 2,763,037,579  

 

 

The Fund seeks to achieve its investment objective by allocating its assets between a “Managed Futures” strategy and a “Fixed Income” strategy.

 

As a result of the Fund’s use of derivatives, the Fund may hold significant amounts of U.S. Treasuries or short-term investments.

 

Portfolio holdings are subject to change at any time.

 

Refer to the Consolidated Portfolio of Investments for a detailed listing of the Fund’s holdings.

 

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

 

10

 

 

Abbey Capital Futures Strategy Fund

 

Consolidated Portfolio of Investments

February 28, 2023 (Unaudited)

 

   

Coupon*

   

Maturity
Date

   

Par
(000’s)

   

Value

 

SHORT-TERM INVESTMENTS - 85.7%

                               

U.S. TREASURY OBLIGATIONS - 81.4%

                               

U.S. Treasury Bills

    3.371 %     03/02/23     $ 110,839     $ 110,825,607  

U.S. Treasury Bills

    3.584 %     03/09/23       64,592       64,527,730  

U.S. Treasury Bills

    3.829 %     03/16/23       63,515       63,396,703  

U.S. Treasury Bills

    3.893 %     03/23/23       216,642       216,072,381  

U.S. Treasury Bills

    3.944 %     03/30/23       105,557       105,187,324  

U.S. Treasury Bills

    4.063 %     04/06/23       137,461       136,853,743  

U.S. Treasury Bills

    4.297 %     04/13/23       116,954       116,331,101  

U.S. Treasury Bills

    4.486 %     04/20/23       144,767       143,846,071  

U.S. Treasury Bills

    4.482 %     04/27/23       96,329       95,620,731  

U.S. Treasury Bills

    4.619 %     05/04/23       120,721       119,729,157  

U.S. Treasury Bills

    4.522 %     05/11/23       72,296       71,632,629  

U.S. Treasury Bills

    4.631 %     05/18/23       32,385       32,058,493  

U.S. Treasury Bills

    4.704 %     05/25/23       21,756       21,517,747  

U.S. Treasury Bills

    4.707 %     06/01/23       44,930       44,390,609  

U.S. Treasury Bills

    4.736 %     06/08/23       83,977       82,902,221  

U.S. Treasury Bills

    4.680 %     06/15/23       58,154       57,351,226  

U.S. Treasury Bills

    4.685 %     06/22/23       59,681       58,799,134  

U.S. Treasury Bills

    4.778 %     06/29/23       69,219       68,141,489  

U.S. Treasury Bills

    4.858 %     07/06/23       79,668       78,335,583  

U.S. Treasury Bills

    4.816 %     07/13/23       46,347       45,530,471  

U.S. Treasury Bills

    4.852 %     07/20/23       35,126       34,474,538  

U.S. Treasury Bills

    4.840 %     07/27/23       35,608       34,915,315  

U.S. Treasury Bills

    4.823 %     08/03/23       64,615       63,288,388  

U.S. Treasury Bills

    4.935 %     08/10/23       103,310       101,079,666  

U.S. Treasury Bills

    5.059 %     08/17/23       95,763       93,591,652  

U.S. Treasury Bills

    5.144 %     08/24/23       194,391       189,745,540  

TOTAL U.S. TREASURY OBLIGATIONS (Cost $2,251,035,063)

                            2,250,145,249  
                                 
                   

Number
of Shares
(000’s)

         

MONEY MARKET DEPOSIT ACCOUNT - 4.3%

                               

U.S. Bank Money Market Deposit Account, 4.25% (United States)(a)

                    117,370       117,370,070  

TOTAL MONEY MARKET DEPOSIT ACCOUNT (Cost $117,370,070)

                            117,370,070  
                                 

TOTAL SHORT-TERM INVESTMENTS (Cost $2,368,405,133)

                            2,367,515,319  

TOTAL INVESTMENTS - 85.7%

                               

(Cost $2,368,405,133)

                            2,367,515,319  
                                 

OTHER ASSETS IN EXCESS OF LIABILITIES - 14.3%

                            395,522,260  

NET ASSETS - 100.0%

                          $ 2,763,037,579  

 

 

*

Short-term investments’ coupon reflect the annualized effective yield on the date of purchase for discounted investments.

(a)

The rate shown is as of February 28, 2023.

 

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

 

11

 

 

 

Abbey Capital Futures Strategy Fund

 

Consolidated Portfolio of Investments (Continued)

February 28, 2023 (Unaudited)

 

Futures contracts outstanding as of February 28, 2023 were as follows:

 

Long Contracts

 

Expiration
Date

   

Number of
Contracts

   

Notional
Amount

   

Value and
Unrealized
Appreciation/
(Depreciation)

 

3-Month Euro Euribor

    Dec-25       32     $ 8,207,309     $ (38,593 )

90-DAY Bank Bill

    Sep-23       78       51,920,510       (77,638 )

Amsterdam Index Futures

    Mar-23       252       40,187,796       (543,889 )

AUD/USD Currency Futures

    Mar-23       1       67,375       (1,400 )

Australian 10-Year Bond Futures

    Mar-23       125       9,896,729       (33,976 )

Australian 3-Year Bond Futures

    Mar-23       96       6,895,126       (70,719 )

BIST 30 Index Futures

    Apr-23       73       228,171       6,634  

Brent Crude Futures

    May-23       28       2,336,600       8,986  

CAC40 10 Euro Futures

    Mar-23       845       65,038,499       (2,202 )

CAD Currency Futures

    Mar-23       5       366,925       (930 )

Cattle Feeder Futures

    Mar-23       1       94,900       388  

Cattle Feeder Futures

    Apr-23       10       975,375       9,500  

Cattle Feeder Futures

    May-23       2       199,625       2,875  

CHF Currency Futures

    Mar-23       25       3,327,344       (77,319 )

Cocoa Futures

    May-23       376       10,486,640       344,830  

Cocoa Futures

    Jul-23       138       3,847,440       111,230  

Cocoa Futures ICE

    Mar-23       104       2,629,523       105,490  

Cocoa Futures ICE

    May-23       257       6,581,420       322,195  

Cocoa Futures ICE

    Jul-23       101       2,562,175       96,156  

Coffee ‘C’ Futures

    May-23       149       10,409,513       612,394  

Coffee Robusta Futures

    May-23       89       1,904,600       38,370  

Coffee Robusta Futures

    Jul-23       53       1,128,370       34,380  

Copper Futures

    May-23       504       51,527,699       (790,269 )

Copper Futures

    Jul-23       2       204,550       (1,425 )

Corn Futures

    May-23       1,073       33,812,913       (1,700,675 )

Corn Futures

    Jul-23       209       6,502,513       (429,963 )

Corn Futures

    Dec-23       7       199,413       (12,438 )

DAX Index Futures

    Mar-23       298       121,396,900       2,828,974  

DAX-Mini Futures

    Mar-23       8       651,795       3,062  

DJIA Mini E-CBOT

    Mar-23       241       39,381,810       (1,619,495 )

Dollar Index

    Mar-23       94       9,853,550       163,163  

E-Mini Energy Select Futures

    Mar-23       1       87,480       (5,150 )

E-Mini Materials Select Futures

    Mar-23       1       86,770       (1,660 )

E-Mini S&P 500 ESG Futures

    Mar-23       6       1,040,400       (37,640 )

E-Mini Technology Select Futures

    Mar-23       2       275,540       (5,760 )

EUR Foreign Exchange Currency Futures

    Mar-23       804       106,449,599       (1,104,156 )

Euro STOXX 50

    Mar-23       1,920       86,247,184       3,777,823  

Euro Stoxx 50 Index Futures

    Mar-23       3       123,370       1,438  

Euro/GBP Futures

    Mar-23       1       132,088       (391 )

Euro/JPY Futures

    Mar-23       149       19,687,195       (64,035 )

Euro-Bobl Futures

    Mar-23       453       55,186,989       (391,031 )

Euro-BTP Futures

    Mar-23       35       4,171,717       (129,018 )

Euro-Bund Futures

    Mar-23       941       132,284,424       (4,277,835 )

Euro-Oat Futures

    Mar-23       10       1,350,680       (61,854 )

European Climate Exchange Futures

    Dec-23       47       4,961,235       307,875  

European Climate Exchange Futures

    Dec-24       1       110,847       5,394  

FTSE 100 Index Futures

    Mar-23       2,430       229,785,470       5,078,096  

FTSE China A50 Index

    Mar-23       694       9,257,960       (41,747 )

FTSE Taiwan Index

    Mar-23       254       13,728,700       (116,989 )

 

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

 

12

 

 

Abbey Capital Futures Strategy Fund

 

Consolidated Portfolio of Investments (Continued)

February 28, 2023 (Unaudited)

 

Long Contracts

 

Expiration
Date

   

Number of
Contracts

   

Notional
Amount

   

Value and
Unrealized
Appreciation/
(Depreciation)

 

FTSE/JSE TOP 40

    Mar-23       348     $ 13,587,254     $ 274,381  

FTSE/MIB Index Futures

    Mar-23       222       32,297,954       2,437,729  

Gasoline RBOB Futures

    Apr-23       193       21,416,052       262,315  

Gasoline RBOB Futures

    May-23       16       1,768,704       8,698  

Gasoline RBOB Futures

    Jun-23       11       1,199,953       (15,994 )

Gasoline RBOB Futures

    Jul-23       6       645,019       (15,292 )

GBP Currency Futures

    Mar-23       155       11,680,219       (36,263 )

Gold 100 Oz Futures

    Apr-23       395       72,549,649       (2,430,953 )

Hang Seng China Enterprises Index Futures

    Mar-23       107       4,496,388       (171,357 )

Hang Seng Index Futures

    Mar-23       228       28,672,102       (844,880 )

IBEX 35 Index Futures

    Mar-23       16       1,592,909       16,200  

Ice Three Miont SONIA Index Futures

    Sep-23       696       199,301,745       (686,285 )

Ice Three Miont SONIA Index Futures

    Sep-24       86       24,754,378       (153,589 )

Ice Three Miont SONIA Index Futures

    Sep-25       92       26,599,007       (117,684 )

JPY Currency Futures

    Mar-23       130       11,959,188       (700,131 )

Live Cattle Futures

    Apr-23       346       22,901,740       461,450  

Live Cattle Futures

    Jun-23       274       17,683,960       190,720  

Live Cattle Futures

    Aug-23       40       2,564,000       34,880  

Live Cattle Futures

    Oct-23       3       197,220       3,350  

LME Aluminum Forward

    Mar-23       11       640,098       (56,045 )

LME Aluminum Forward

    Mar-23       1       58,315       (4,311 )

LME Aluminum Forward

    Mar-23       1       58,422       (7,277 )

LME Aluminum Forward

    Mar-23       50       2,921,413       (136,918 )

LME Aluminum Forward

    Mar-23       1,481       86,532,237       (4,702,751 )

LME Aluminum Forward

    Mar-23       7       409,404       (50,771 )

LME Aluminum Forward

    Mar-23       1       58,498       (1,227 )

LME Aluminum Forward

    Apr-23       7       410,683       (51,312 )

LME Aluminum Forward

    Apr-23       1       58,685       (7,219 )

LME Aluminum Forward

    Apr-23       1       58,706       2,194  

LME Aluminum Forward

    Apr-23       7       411,317       (14,146 )

LME Aluminum Forward

    Apr-23       2       117,541       (8,635 )

LME Aluminum Forward

    Apr-23       15       882,356       (99,069 )

LME Aluminum Forward

    Apr-23       1       58,835       (7,741 )

LME Aluminum Forward

    Apr-23       75       4,413,056       (459,152 )

LME Aluminum Forward

    Apr-23       7       411,962       (46,263 )

LME Aluminum Forward

    Apr-23       1       58,896       (6,767 )

LME Aluminum Forward

    Apr-23       2       117,813       (14,037 )

LME Aluminum Forward

    Apr-23       3       176,752       (21,886 )

LME Aluminum Forward

    Apr-23       1       58,942       (5,796 )

LME Aluminum Forward

    May-23       1       58,996       213  

LME Aluminum Forward

    May-23       1       59,091       91  

LME Aluminum Forward

    May-23       2       118,257       402  

LME Aluminum Forward

    May-23       1       59,151       201  

LME Aluminum Forward

    May-23       43       2,544,127       (112,210 )

LME Aluminum Forward

    May-23       8       473,526       1,606  

LME Aluminum Forward

    May-23       7       414,663       (11,750 )

LME Aluminum Forward

    May-23       1       59,250       213  

LME Aluminum Forward

    May-23       1       59,275       844  

LME Aluminum Forward

    Jun-23       263       15,674,800       (656,778 )

LME Copper Forward

    Mar-23       5       1,119,875       58,057  

LME Copper Forward

    Mar-23       744       166,637,399       6,378,288  

 

 

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

 

13

 

 

Abbey Capital Futures Strategy Fund

 

Consolidated Portfolio of Investments (Continued)

February 28, 2023 (Unaudited)

 

Long Contracts

 

Expiration
Date

   

Number of
Contracts

   

Notional
Amount

   

Value and
Unrealized
Appreciation/
(Depreciation)

 

LME Copper Forward

    Mar-23       1     $ 223,968     $ 15,855  

LME Copper Forward

    Mar-23       1       223,962       15,737  

LME Copper Forward

    Apr-23       10       2,239,610       20,423  

LME Copper Forward

    Apr-23       3       672,038       (27,825 )

LME Copper Forward

    Apr-23       7       1,568,350       38,475  

LME Copper Forward

    Apr-23       4       896,200       (16,325 )

LME Copper Forward

    Apr-23       1       224,050       (3,463 )

LME Copper Forward

    Apr-23       2       448,100       (8,825 )

LME Copper Forward

    Apr-23       22       4,928,000       (56,329 )

LME Copper Forward

    Apr-23       27       6,048,000       (83,666 )

LME Copper Forward

    Apr-23       1       224,016       (9,484 )

LME Copper Forward

    Apr-23       1       224,027       (9,248 )

LME Copper Forward

    Apr-23       1       224,038       (3,537 )

LME Copper Forward

    May-23       2       448,188       5,463  

LME Copper Forward

    May-23       24       5,377,350       (9,841 )

LME Copper Forward

    May-23       12       2,688,201       72,801  

LME Copper Forward

    May-23       1       224,025       2,063  

LME Copper Forward

    Jun-23       310       69,463,249       (152,306 )

LME Lead Forward

    Mar-23       1       52,931       (4,244 )

LME Lead Forward

    Mar-23       4       210,250       (10,613 )

LME Lead Forward

    Mar-23       31       1,625,950       (100,084 )

LME Lead Forward

    Mar-23       296       15,525,200       (610,521 )

LME Lead Forward

    Mar-23       1       52,424       (4,295 )

LME Lead Forward

    Mar-23       2       104,918       (8,845 )

LME Lead Forward

    Apr-23       1       52,484       (4,216 )

LME Lead Forward

    Apr-23       4       209,955       (12,395 )

LME Lead Forward

    Apr-23       2       104,988       (4,997 )

LME Lead Forward

    Apr-23       1       52,519       (2,694 )

LME Lead Forward

    Apr-23       1       52,525       (913 )

LME Lead Forward

    Apr-23       19       997,975       (55,694 )

LME Lead Forward

    Apr-23       34       1,785,850       (74,825 )

LME Lead Forward

    Apr-23       2       105,113       (1,663 )

LME Lead Forward

    Apr-23       3       157,688       (2,500 )

LME Lead Forward

    Apr-23       2       105,163       (3,141 )

LME Lead Forward

    May-23       1       52,613       (575 )

LME Lead Forward

    May-23       21       1,104,731       (20,948 )

LME Lead Forward

    May-23       1       52,581       (1,081 )

LME Lead Forward

    Jun-23       9       474,104       (3,640 )

LME Nickel Forward

    Mar-23       2       295,202       (44,518 )

LME Nickel Forward

    Mar-23       1       147,614       (25,486 )

LME Nickel Forward

    Mar-23       1       147,627       (42,993 )

LME Nickel Forward

    Mar-23       2       295,281       (37,323 )

LME Nickel Forward

    Mar-23       2       295,387       (55,943 )

LME Nickel Forward

    Mar-23       1       147,707       (22,693 )

LME Nickel Forward

    Mar-23       15       2,215,800       (441,471 )

LME Nickel Forward

    Mar-23       24       3,545,280       (462,870 )

LME Nickel Forward

    Mar-23       1       147,736       (26,084 )

LME Nickel Forward

    Mar-23       2       295,598       (37,972 )

LME Nickel Forward

    Mar-23       1       147,815       (18,476 )

LME Nickel Forward

    Mar-23       1       147,830       (24,370 )

LME Nickel Forward

    Apr-23       3       444,219       (55,504 )

 

 

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

 

14

 

 

Abbey Capital Futures Strategy Fund

 

Consolidated Portfolio of Investments (Continued)

February 28, 2023 (Unaudited)

 

Long Contracts

 

Expiration
Date

   

Number of
Contracts

   

Notional
Amount

   

Value and
Unrealized
Appreciation/
(Depreciation)

 

LME Nickel Forward

    Apr-23       3     $ 444,387     $ (32,127 )

LME Nickel Forward

    Apr-23       3       444,559       (52,001 )

LME Nickel Forward

    Apr-23       3       444,582       (8,901 )

LME Nickel Forward

    Apr-23       18       2,667,492       (370,242 )

LME Nickel Forward

    Apr-23       1       148,215       (25,035 )

LME Nickel Forward

    Apr-23       1       148,343       (16,783 )

LME Nickel Forward

    May-23       1       148,614       1,428  

LME Nickel Forward

    May-23       15       2,230,110       (282,780 )

LME Nickel Forward

    Jun-23       1       149,160       (23,202 )

LME Zinc Forward

    Mar-23       2       150,800       (11,400 )

LME Zinc Forward

    Mar-23       1       75,763       (5,281 )

LME Zinc Forward

    Mar-23       4       302,675       (10,563 )

LME Zinc Forward

    Mar-23       2       151,250       (10,313 )

LME Zinc Forward

    Mar-23       3       226,688       (14,938 )

LME Zinc Forward

    Mar-23       1       75,388       (469 )

LME Zinc Forward

    Mar-23       21       1,582,088       (103,662 )

LME Zinc Forward

    Mar-23       391       29,456,963       (2,381,601 )

LME Zinc Forward

    Mar-23       1       75,275       338  

LME Zinc Forward

    Mar-23       5       376,329       (51,441 )

LME Zinc Forward

    Mar-23       1       75,238       25  

LME Zinc Forward

    Mar-23       1       75,238       (10,251 )

LME Zinc Forward

    Apr-23       1       75,240       (10,309 )

LME Zinc Forward

    Apr-23       3       225,731       (30,911 )

LME Zinc Forward

    Apr-23       12       903,051       (61,687 )

LME Zinc Forward

    Apr-23       1       75,206       (9,844 )

LME Zinc Forward

    Apr-23       20       1,503,875       (68,875 )

LME Zinc Forward

    Apr-23       51       3,834,881       (479,751 )

LME Zinc Forward

    Apr-23       2       150,294       (19,781 )

LME Zinc Forward

    Apr-23       5       375,664       (51,824 )

LME Zinc Forward

    May-23       2       150,238       (19,638 )

LME Zinc Forward

    May-23       3       225,356       2,663  

LME Zinc Forward

    May-23       4       300,475       (1,106 )

LME Zinc Forward

    May-23       1       75,119       888  

LME Zinc Forward

    May-23       1       75,119       (769 )

LME Zinc Forward

    May-23       36       2,702,925       (109,710 )

LME Zinc Forward

    May-23       1       75,019       1,231  

LME Zinc Forward

    Jun-23       99       7,421,288       (293,027 )

Long Gilt Futures

    Jun-23       316       37,994,804       (329,761 )

Low Sulphur Gasoil G Futures

    Mar-23       25       2,083,125       2,500  

Low Sulphur Gasoil G Futures

    Apr-23       29       2,392,500       29,350  

Low Sulphur Gasoil G Futures

    May-23       1       80,950       3,300  

Micro E-mini Russell 200 Index Futures

    Mar-23       1       9,496       (67 )

Mini FTSE/MIB Pound Futures

    Mar-23       5       145,486       12,751  

Mini HSI Index Futures

    Mar-23       4       100,604       (755 )

Mini TOPIX Index Futures

    Mar-23       16       234,439       1,814  

MSCI EAFE Index Futures

    Mar-23       12       1,227,960       (33,935 )

MSCI Emerging Markets Index Futures

    Mar-23       101       4,862,645       (426,185 )

MSCI Singapore Exchange ETS

    Mar-23       273       5,945,081       (66,347 )

MXN Currency Futures

    Mar-23       966       26,304,180       1,784,570  

Nasdaq 100 E-Mini

    Mar-23       101       24,385,945       (263,241 )

Natural Gas Futures

    Apr-23       1       27,470       800  

 

 

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

 

15

 

 

Abbey Capital Futures Strategy Fund

 

Consolidated Portfolio of Investments (Continued)

February 28, 2023 (Unaudited)

 

Long Contracts

 

Expiration
Date

   

Number of
Contracts

   

Notional
Amount

   

Value and
Unrealized
Appreciation/
(Depreciation)

 

Nikkei 225 (Chicago Mercantile Exchange)

    Mar-23       8     $ 1,097,000     $ (4,475 )

Nikkei 225 (Osaka Securities Exchange)

    Mar-23       85       17,149,205       (43,039 )

Nikkei 225 (Singapore Exchange)

    Mar-23       374       37,693,915       14,775  

Nikkei 225 Mini

    Mar-23       296       5,971,958       (6,566 )

Nikkei/Yen Futures

    Mar-23       13       1,309,261       10,099  

NY Harbor Ultra-Low Sulfur Diesel Futures

    Apr-23       13       1,531,858       12,293  

NY Harbor Ultra-Low Sulfur Diesel Futures

    May-23       1       115,676       592  

NYSE FANG+ Index Futures

    Mar-23       1       27,512       (1,893 )

NZD Currency Futures

    Mar-23       219       13,553,910       (162,790 )

OMX Stockholm 30 ESG Responsible Index

    Mar-23       16       325,620       (2,028 )

OMX Stockholm 30 Index Futures

    Mar-23       2,063       43,908,712       (290,704 )

Orange Juice Futures

    May-23       20       760,800       51,038  

Palm Oil Futures

    May-23       1       23,075       (579 )

Russell 2000 E-Mini

    Mar-23       203       19,275,865       (461,431 )

S&P 500 E-Mini Futures

    Mar-23       214       42,537,850       (1,018,636 )

S&P Mid 400 E-Mini

    Mar-23       42       10,933,440       (128,910 )

S&P/TSX 60 IX Futures

    Mar-23       266       47,433,579       (882,565 )

SGX Iron Ore 62% Futures

    Mar-23       13       161,317       2,022  

SGX Iron Ore 62% Futures

    Apr-23       178       2,195,986       (13,634 )

SGX Iron Ore 62% Futures

    May-23       63       772,317       (7,773 )

SGX Iron Ore 62% Futures

    Jun-23       30       365,460       (9,255 )

SGX Nifty 50

    Mar-23       169       5,880,862       (187,450 )

Silver Futures

    May-23       15       1,580,325       (17,070 )

Soybean Futures

    May-23       499       36,901,050       (1,152,525 )

Soybean Futures

    Jul-23       354       26,010,150       (968,663 )

Soybean Futures

    Nov-23       14       943,075       (33,613 )

Soybean Meal Futures

    May-23       422       19,711,620       (149,340 )

Soybean Meal Futures

    Jul-23       45       2,062,350       (50,730 )

Soybean Oil Futures

    May-23       1       36,024       (1,920 )

Soybean Oil Futures

    Dec-23       1       34,512       (1,662 )

SPI 200 Futures

    Mar-23       956       115,760,851       (1,249,189 )

STOXX Dividend Futures

    Dec-23       7       103,802       16,807  

STOXX Europe 600 Banks Index

    Mar-23       8       71,691       13,673  

STOXX Europe 600 ESG-X Index

    Mar-23       134       2,429,277       58,861  

STOXX Europe 600 Index

    Mar-23       58       1,414,036       35,581  

STOXX Europe 600 Utilities Index

    Mar-23       2       39,251       143  

Sugar No. 11 (World)

    May-23       2,251       50,598,877       681,026  

Sugar No. 11 (World)

    Jul-23       272       5,964,851       76,731  

Sugar No. 11 (World)

    Oct-23       7       152,645       2,498  

Sugar No. 11 (World)

    Mar-24       4       87,808       1,086  

Topix Index Futures

    Mar-23       327       47,913,406       308,105  

U.S. Treasury 10-Year Notes (Chicago Board of Trade)

    Jun-23       147       16,413,469       8,719  

U.S. Treasury 5-Year Notes (Chicago Board of Trade)

    Jun-23       799       85,536,695       (120,297 )

USD/CNH Futures

    Mar-23       1       100,031       2,931  

USD/NOK Futures

    Mar-23       9       898,176       37,903  

USD/SEK Futures

    Mar-23       4       398,953       7,394  

Wheat (Chicago Board of Trade)

    May-23       42       1,481,550       (129,675 )

White Sugar ICE

    May-23       107       3,008,840       96,505  

White Sugar ICE

    Aug-23       32       880,000       17,145  

WTI Crude Futures

    Apr-23       167       12,867,350       (42,338 )
                            $ (11,264,898 )

 

 

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

 

16

 

 

Abbey Capital Futures Strategy Fund

 

Consolidated Portfolio of Investments (Continued)

February 28, 2023 (Unaudited)

 

Short Contracts

 

Expiration
Date

   

Number of
Contracts

   

Notional
Amount

   

Value and
Unrealized
Appreciation/
(Depreciation)

 

10-Year Mini Japanese Government Bond Futures

    Mar-23       16     $ (1,723,800 )   $ 823  

1-Month SOFR Future

    Jul-23       6       (2,367,689 )     3,146  

30-Day Fed Funds Futures

    Feb-24       1       (395,219 )     4,271  

3-Month Euro Euribor

    Jun-23       87       (22,168,690 )     4,879  

3-Month Euro Euribor

    Sep-23       80       (20,338,463 )     40,867  

3-Month Euro Euribor

    Dec-23       1,578       (401,009,280 )     1,674,916  

3-Month Euro Euribor

    Mar-24       201       (51,105,703 )     358,824  

3-Month Euro Euribor

    Jun-24       1,137       (289,496,349 )     1,215,056  

3-Month Euro Euribor

    Sep-24       162       (41,318,182 )     281,546  

3-Month Euro Euribor

    Dec-24       223       (56,970,609 )     314,348  

3-Month Euro Euribor

    Mar-25       162       (41,444,551 )     222,751  

3-Month Euro Euribor

    Jun-25       144       (36,879,581 )     166,349  

3-Month Euro Euribor

    Sep-25       234       (59,978,819 )     124,187  

3-Month Euro Euribor

    Dec-25       54       (13,849,834 )     46,314  

3-Month Euro Euribor

    Mar-26       36       (9,237,506 )     37,707  

3-Month SARON Futures

    Jun-23       6       (1,564,740 )     2,575  

3-Month SARON Futures

    Sep-23       4       (1,040,983 )     1,646  

3-Month SOFR Futures

    Jun-23       116       (27,441,250 )     65,788  

3-Month SOFR Futures

    Sep-23       1,056       (249,730,799 )     1,447,575  

3-Month SOFR Futures

    Dec-23       1,303       (308,648,124 )     2,078,449  

3-Month SOFR Futures

    Mar-24       276       (65,598,300 )     455,138  

3-Month SOFR Futures

    Jun-24       1,090       (260,196,624 )     1,195,625  

3-Month SOFR Futures

    Sep-24       426       (102,117,525 )     532,525  

3-Month SOFR Futures

    Dec-24       268       (64,440,600 )     235,000  

3-Month SOFR Futures

    Mar-25       247       (59,502,300 )     173,113  

3-Month SOFR Futures

    Jun-25       221       (53,296,913 )     128,113  

3-Month SOFR Futures

    Sep-25       273       (65,888,550 )     113,950  

3-Month SOFR Futures

    Dec-25       155       (37,432,500 )     78,350  

3-Month SOFR Futures

    Mar-26       114       (27,542,400 )     45,750  

3-Month SOFR Futures

    Jun-26       40       (9,666,500 )     3,663  

3-Month SOFR Futures

    Sep-26       40       (9,668,500 )     2,338  

3-Month SOFR Futures

    Dec-26       39       (9,428,250 )     1,400  

3-Month SOFR Futures

    Mar-27       40       (9,671,000 )     (4,900 )

90-DAY Bank Bill

    Mar-23       19       (12,670,483 )     130  

90-DAY Bank Bill

    Jun-23       110       (73,256,971 )     2,343  

90-DAY Bank Bill

    Sep-23       208       (138,454,697 )     41,092  

90-DAY Bank Bill

    Dec-23       163       (108,497,909 )     44,406  

90-DAY Bank Bill

    Mar-24       62       (41,277,198 )     15,458  

90-DAY Bank Bill

    Jun-24       24       (15,984,119 )     5,921  

90-DAY Bank Bill

    Sep-24       17       (11,326,231 )     3,451  

90-DAY Eurodollar Futures

    Jun-23       36       (8,502,300 )     25,225  

90-DAY Eurodollar Futures

    Sep-23       6       (1,415,025 )     2,625  

90-DAY Eurodollar Futures

    Dec-23       44       (10,393,900 )     103,950  

90-DAY Eurodollar Futures

    Mar-24       6       (1,422,150 )     5,613  

90-DAY Eurodollar Futures

    Dec-24       17       (4,076,600 )     14,450  

90-DAY Eurodollar Futures

    Sep-25       496       (119,387,200 )     (79,147 )

90-DAY Eurodollar Futures

    Mar-26       4       (963,800 )     5,350  

90-DAY Eurodollar Futures

    Sep-26       1       (241,063 )     2,413  

90-DAY Eurodollar Futures

    Dec-26       2       (482,200 )     (1,600 )

90-DAY Eurodollar Futures

    Mar-27       1       (241,125 )     (150 )

 

 

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

 

17

 

 

Abbey Capital Futures Strategy Fund

 

Consolidated Portfolio of Investments (Continued)

February 28, 2023 (Unaudited)

 

Short Contracts

 

Expiration
Date

   

Number of
Contracts

   

Notional
Amount

   

Value and
Unrealized
Appreciation/
(Depreciation)

 

AUD/USD Currency Futures

    Mar-23       1,931     $ (130,101,125 )   $ 1,178,744  

Australian 10-Year Bond Futures

    Mar-23       1,157       (91,604,122 )     464,827  

Australian 3-Year Bond Futures

    Mar-23       2,417       (173,599,156 )     307,251  

Bank Acceptance Futures

    Jun-23       143       (24,866,490 )     24,221  

Bank Acceptance Futures

    Sep-23       289       (50,252,006 )     45,704  

Bank Acceptance Futures

    Dec-23       79       (13,749,011 )     63,686  

Bank Acceptance Futures

    Mar-24       62       (10,817,625 )     65,409  

Bank Acceptance Futures

    Jun-24       36       (6,304,947 )     36,424  

Bank Acceptance Futures

    Sep-24       24       (4,217,809 )     18,487  

Brent Crude Futures

    May-23       52       (4,339,400 )     (71,610 )

Brent Crude Futures

    Jun-23       26       (2,153,580 )     (16,270 )

Brent Crude Futures

    Jul-23       21       (1,728,930 )     2,190  

Brent Crude Futures

    Dec-23       13       (1,039,350 )     6,030  

Brent Crude Oil Last Day

    May-23       1       (83,450 )     (1,130 )

CAD Currency Futures

    Mar-23       1,409       (103,399,465 )     618,976  

Canadian 10-Year Bond Futures

    Jun-23       2,267       (201,828,625 )     (374,745 )

Canadian 5-Year Bond Futures

    Jun-23       2       (163,738 )     (344 )

Canola Futures (Winnipeg Commodity Exchange)

    May-23       137       (1,642,996 )     32,048  

Canola Futures (Winnipeg Commodity Exchange)

    Jul-23       11       (131,226 )     1,274  

CHF Currency Futures

    Mar-23       172       (22,892,125 )     163,654  

Coffee ‘C’ Futures

    May-23       109       (7,615,013 )     (714,356 )

Coffee ‘C’ Futures

    Jul-23       23       (1,594,763 )     (172,125 )

Coffee ‘C’ Futures

    Sep-23       11       (754,050 )     (29,231 )

Corn Futures

    May-23       8       (252,100 )     3,925  

Corn Futures

    Jul-23       7       (217,788 )     2,588  

Cotton No.2 Futures

    May-23       408       (17,142,120 )     (24,855 )

Cotton No.2 Futures

    Jul-23       10       (422,300 )     (4,925 )

DJIA Mini E-CBOT

    Mar-23       69       (11,275,290 )     125,715  

Dollar Index

    Mar-23       240       (25,158,000 )     (385,669 )

Dutch TTF Gas Futures

    Apr-23       45       (1,599,181 )     149,049  

Dutch TTF Gas Futures

    May-23       5       (184,534 )     10,997  

E-Mini Consumer Staples Select Futures

    Mar-23       2       (145,260 )     480  

E-Mini Crude Oil

    Apr-23       12       (462,300 )     1,500  

E-Mini Health Care Select Futures

    Mar-23       2       (257,100 )     5,320  

E-Mini Natural Gas

    Apr-23       15       (103,013 )     (12,138 )

E-Mini Utilities Select Futures

    Mar-23       2       (131,160 )     7,860  

EUR Foreign Exchange Currency Futures

    Mar-23       924       (122,337,600 )     791,289  

Euro BUXL 30-Year Bond Futures

    Mar-23       138       (19,599,810 )     1,315,775  

Euro E-Mini Futures

    Mar-23       1       (66,200 )     519  

Euro-Bobl Futures

    Mar-23       1,756       (213,925,730 )     3,945,900  

Euro-BTP Futures

    Mar-23       355       (42,313,131 )     273,225  

Euro-Bund Futures

    Mar-23       1,057       (148,591,538 )     4,077,240  

Euro-Oat Futures

    Mar-23       493       (66,588,504 )     1,502,969  

Euro-Schatz Futures

    Mar-23       4,212       (467,688,146 )     3,203,113  

FTSE 100 Index Futures

    Mar-23       23       (2,174,924 )     (56 )

FTSE China A50 Index

    Mar-23       16       (213,440 )     (151 )

FTSE KLCI Futures

    Mar-23       11       (176,245 )     134  

Gasoline RBOB Futures

    Apr-23       32       (3,550,848 )     (97,780 )

Gasoline RBOB Futures

    May-23       3       (331,632 )     (5,859 )

Gasoline RBOB Futures

    Jun-23       3       (327,260 )     (3,007 )

GBP Currency Futures

    Mar-23       491       (36,999,919 )     328,430  

 

 

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

 

18

 

 

Abbey Capital Futures Strategy Fund

 

Consolidated Portfolio of Investments (Continued)

February 28, 2023 (Unaudited)

 

Short Contracts

 

Expiration
Date

   

Number of
Contracts

   

Notional
Amount

   

Value and
Unrealized
Appreciation/
(Depreciation)

 

Gold 100 Oz Futures

    Apr-23       79     $ (14,509,930 )   $ 252,110  

Gold 100 Oz Futures

    Jun-23       2       (370,640 )     (2,900 )

Hang Seng China Enterprises Index Futures

    Mar-23       20       (840,446 )     26,212  

Hang Seng Index Futures

    Mar-23       48       (6,036,232 )     171,241  

Ice Three Month SONIA Index Futures

    Jun-23       45       (12,903,480 )     4,255  

Ice Three Month SONIA Index Futures

    Sep-23       87       (24,912,718 )     42,325  

Ice Three Month SONIA Index Futures

    Dec-23       90       (25,775,837 )     66,833  

Ice Three Month SONIA Index Futures

    Mar-24       95       (27,244,966 )     82,696  

Ice Three Month SONIA Index Futures

    Jun-24       201       (57,756,432 )     256,432  

Ice Three Month SONIA Index Futures

    Sep-24       68       (19,573,229 )     59,150  

Ice Three Month SONIA Index Futures

    Dec-24       67       (19,313,595 )     41,754  

Ice Three Month SONIA Index Futures

    Mar-25       60       (17,316,505 )     29,981  

Ice Three Month SONIA Index Futures

    Jun-25       49       (14,155,811 )     23,606  

Ice Three Month SONIA Index Futures

    Sep-25       102       (29,490,203 )     27,350  

Ice Three Month SONIA Index Futures

    Dec-25       17       (4,918,357 )     6,435  

Ice Three Month SONIA Index Futures

    Mar-26       11       (3,184,120 )     6,781  

INR/USD Futures

    Mar-23       2       (48,368 )     (144 )

INR/USD Standard Futures

    Mar-23       1       (60,390 )     (70 )

JPN 10-Year Bond (Osaka Securities Exchange)

    Mar-23       196       (211,107,928 )     (742,536 )

JPY Currency Futures

    Mar-23       1,958       (180,123,762 )     2,958,041  

Kansas City Hard Red Winter Wheat Futures

    May-23       80       (3,251,000 )     206,625  

Kansas City Hard Red Winter Wheat Futures

    Jul-23       119       (4,798,675 )     403,675  

Lean Hogs Futures

    Apr-23       503       (17,137,210 )     485,690  

Lean Hogs Futures

    Jun-23       41       (1,668,290 )     13,570  

Lean Hogs Futures

    Jul-23       1       (41,640 )     (620 )

LME Aluminum Forward

    Mar-23       11       (640,098 )     19,897  

LME Aluminum Forward

    Mar-23       1       (58,315 )     1,330  

LME Aluminum Forward

    Mar-23       1       (58,422 )     2,216  

LME Aluminum Forward

    Mar-23       1,481       (86,532,238 )     2,876,140  

LME Aluminum Forward

    Mar-23       50       (2,921,413 )     14,864  

LME Aluminum Forward

    Mar-23       7       (409,404 )     5,621  

LME Aluminum Forward

    Mar-23       1       (58,498 )     7,253  

LME Aluminum Forward

    Apr-23       7       (410,683 )     3,242  

LME Aluminum Forward

    Apr-23       1       (58,685 )     (2,085 )

LME Aluminum Forward

    Apr-23       1       (58,706 )     (2,320 )

LME Aluminum Forward

    Apr-23       7       (411,317 )     5,849  

LME Aluminum Forward

    Apr-23       2       (117,541 )     6,958  

LME Aluminum Forward

    Apr-23       15       (882,356 )     40,807  

LME Aluminum Forward

    Apr-23       1       (58,835 )     5,800  

LME Aluminum Forward

    Apr-23       75       (4,413,056 )     222,584  

LME Aluminum Forward

    Apr-23       44       (2,588,993 )     18,572  

LME Aluminum Forward

    Apr-23       7       (411,962 )     39,913  

LME Aluminum Forward

    Apr-23       1       (58,896 )     (216 )

LME Aluminum Forward

    Apr-23       2       (117,813 )     (1,116 )

LME Aluminum Forward

    Apr-23       3       (176,752 )     5,370  

LME Aluminum Forward

    Apr-23       1       (58,942 )     4,958  

LME Aluminum Forward

    May-23       1       (58,996 )     6,792  

LME Aluminum Forward

    May-23       1       (59,091 )     2,484  

LME Aluminum Forward

    May-23       1       (59,103 )     2,597  

LME Aluminum Forward

    May-23       9       (532,154 )     14,308  

LME Aluminum Forward

    May-23       9       (532,357 )     11,431  

 

 

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

 

19

 

 

Abbey Capital Futures Strategy Fund

 

Consolidated Portfolio of Investments (Continued)

February 28, 2023 (Unaudited)

 

Short Contracts

 

Expiration
Date

   

Number of
Contracts

   

Notional
Amount

   

Value and
Unrealized
Appreciation/
(Depreciation)

 

LME Aluminum Forward

    May-23       1     $ (59,158 )   $ 492  

LME Aluminum Forward

    May-23       95       (5,620,746 )     49,095  

LME Aluminum Forward

    May-23       8       (473,526 )     12,524  

LME Aluminum Forward

    May-23       1       (59,250 )     (313 )

LME Aluminum Forward

    May-23       1       (59,325 )     (600 )

LME Aluminum Forward

    Jun-23       542       (32,303,200 )     906,255  

LME Copper Forward

    Mar-23       744       (166,637,400 )     (7,436,977 )

LME Copper Forward

    Mar-23       5       (1,119,875 )     (19,875 )

LME Copper Forward

    Mar-23       1       (223,968 )     (14,699 )

LME Copper Forward

    Mar-23       1       (223,962 )     (14,705 )

LME Copper Forward

    Apr-23       10       (2,239,610 )     (98,748 )

LME Copper Forward

    Apr-23       3       (672,038 )     (39,560 )

LME Copper Forward

    Apr-23       7       (1,568,350 )     (28,344 )

LME Copper Forward

    Apr-23       3       (672,150 )     27,675  

LME Copper Forward

    Apr-23       1       (224,050 )     9,231  

LME Copper Forward

    Apr-23       21       (4,704,000 )     20,180  

LME Copper Forward

    Apr-23       4       (896,000 )     (18,092 )

LME Copper Forward

    Apr-23       1       (224,027 )     10,473  

LME Copper Forward

    Apr-23       1       (224,038 )     (6,201 )

LME Copper Forward

    May-23       1       (224,083 )     4,155  

LME Copper Forward

    May-23       1       (224,106 )     (919 )

LME Copper Forward

    May-23       1       (224,131 )     (2,744 )

LME Copper Forward

    May-23       1       (224,103 )     (2,803 )

LME Copper Forward

    May-23       4       (896,225 )     (2,475 )

LME Copper Forward

    May-23       8       (1,792,450 )     (17,653 )

LME Copper Forward

    May-23       1       (224,010 )     3,178  

LME Copper Forward

    May-23       1       (224,025 )     (4,200 )

LME Copper Forward

    Jun-23       190       (42,574,250 )     (241,271 )

LME Lead Forward

    Mar-23       1       (52,931 )     1,481  

LME Lead Forward

    Mar-23       4       (210,250 )     18,300  

LME Lead Forward

    Mar-23       296       (15,525,200 )     106,317  

LME Lead Forward

    Mar-23       31       (1,625,950 )     79,076  

LME Lead Forward

    Mar-23       1       (52,424 )     3,751  

LME Lead Forward

    Mar-23       2       (104,918 )     3,014  

LME Lead Forward

    Apr-23       1       (52,484 )     4,116  

LME Lead Forward

    Apr-23       4       (209,955 )     9,233  

LME Lead Forward

    Apr-23       2       (104,988 )     1,819  

LME Lead Forward

    Apr-23       1       (52,525 )     925  

LME Lead Forward

    Apr-23       34       (1,785,850 )     33,154  

LME Lead Forward

    Apr-23       19       (997,975 )     (18,606 )

LME Lead Forward

    Apr-23       2       (105,113 )     (1,988 )

LME Lead Forward

    Apr-23       3       (157,688 )     5,063  

LME Lead Forward

    Apr-23       2       (105,163 )     1,663  

LME Lead Forward

    May-23       1       (52,581 )     1,444  

LME Lead Forward

    May-23       1       (52,608 )     (258 )

LME Lead Forward

    May-23       21       (1,104,731 )     (17,128 )

LME Lead Forward

    May-23       1       (52,581 )     (469 )

LME Lead Forward

    Jun-23       32       (1,685,704 )     (26,979 )

LME Nickel Forward

    Mar-23       2       (295,202 )     61,413  

LME Nickel Forward

    Mar-23       1       (147,614 )     18,655  

LME Nickel Forward

    Mar-23       1       (147,627 )     18,658  

 

 

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

 

20

 

 

Abbey Capital Futures Strategy Fund

 

Consolidated Portfolio of Investments (Continued)

February 28, 2023 (Unaudited)

 

Short Contracts

 

Expiration
Date

   

Number of
Contracts

   

Notional
Amount

   

Value and
Unrealized
Appreciation/
(Depreciation)

 

LME Nickel Forward

    Mar-23       2     $ (295,281 )   $ 63,639  

LME Nickel Forward

    Mar-23       2       (295,387 )     42,869  

LME Nickel Forward

    Mar-23       1       (147,707 )     21,403  

LME Nickel Forward

    Mar-23       24       (3,545,280 )     223,625  

LME Nickel Forward

    Mar-23       15       (2,215,800 )     288,990  

LME Nickel Forward

    Mar-23       1       (147,736 )     26,564  

LME Nickel Forward

    Mar-23       2       (295,598 )     40,261  

LME Nickel Forward

    Mar-23       1       (147,815 )     22,376  

LME Nickel Forward

    Mar-23       1       (147,830 )     18,454  

LME Nickel Forward

    Apr-23       3       (444,219 )     50,326  

LME Nickel Forward

    Apr-23       3       (444,387 )     54,183  

LME Nickel Forward

    Apr-23       3       (444,559 )     35,554  

LME Nickel Forward

    Apr-23       18       (2,667,492 )     356,974  

LME Nickel Forward

    Apr-23       1       (148,343 )     25,717  

LME Nickel Forward

    May-23       1       (148,614 )     13,236  

LME Nickel Forward

    May-23       14       (2,081,436 )     89,315  

LME Nickel Forward

    May-23       1       (148,704 )     (1,371 )

LME Nickel Forward

    Jun-23       3       (447,480 )     15,865  

LME Zinc Forward

    Mar-23       2       (150,800 )     6,600  

LME Zinc Forward

    Mar-23       1       (75,763 )     913  

LME Zinc Forward

    Mar-23       4       (302,675 )     21,425  

LME Zinc Forward

    Mar-23       2       (151,250 )     10,788  

LME Zinc Forward

    Mar-23       3       (226,688 )     16,350  

LME Zinc Forward

    Mar-23       1       (75,388 )     6,113  

LME Zinc Forward

    Mar-23       391       (29,456,963 )     495,715  

LME Zinc Forward

    Mar-23       21       (1,582,088 )     89,561  

LME Zinc Forward

    Mar-23       1       (75,275 )     10,155  

LME Zinc Forward

    Mar-23       5       (376,329 )     (4,329 )

LME Zinc Forward

    Mar-23       1       (75,238 )     369  

LME Zinc Forward

    Mar-23       1       (75,238 )     (513 )

LME Zinc Forward

    Apr-23       1       (75,240 )     (1,227 )

LME Zinc Forward

    Apr-23       3       (225,731 )     (1,381 )

LME Zinc Forward

    Apr-23       9       (677,288 )     79,955  

LME Zinc Forward

    Apr-23       1       (75,206 )     9,731  

LME Zinc Forward

    Apr-23       48       (3,609,300 )     157,110  

LME Zinc Forward

    Apr-23       27       (2,030,231 )     109,035  

LME Zinc Forward

    Apr-23       4       (300,531 )     40,919  

LME Zinc Forward

    Apr-23       1       (75,119 )     10,781  

LME Zinc Forward

    Apr-23       1       (75,119 )     9,256  

LME Zinc Forward

    May-23       3       (225,356 )     12,869  

LME Zinc Forward

    May-23       4       (300,475 )     9,350  

LME Zinc Forward

    May-23       4       (300,475 )     7,438  

LME Zinc Forward

    May-23       5       (375,594 )     3,456  

LME Zinc Forward

    May-23       3       (225,319 )     2,581  

LME Zinc Forward

    May-23       48       (3,603,900 )     23,149  

LME Zinc Forward

    May-23       20       (1,501,625 )     69,025  

LME Zinc Forward

    May-23       7       (525,102 )     (6,620 )

LME Zinc Forward

    Jun-23       76       (5,697,150 )     78,813  

Long Gilt Futures

    Jun-23       596       (71,661,085 )     495,225  

Low Sulphur Gasoil G Futures

    Apr-23       36       (2,970,000 )     (56,900 )

Low Sulphur Gasoil G Futures

    May-23       18       (1,457,100 )     (29,700 )

 

 

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

 

21

 

 

Abbey Capital Futures Strategy Fund

 

Consolidated Portfolio of Investments (Continued)

February 28, 2023 (Unaudited)

 

Short Contracts

 

Expiration
Date

   

Number of
Contracts

   

Notional
Amount

   

Value and
Unrealized
Appreciation/
(Depreciation)

 

Low Sulphur Gasoil G Futures

    Jun-23       12     $ (957,300 )   $ (20,150 )

Low Sulphur Gasoil G Futures

    Jul-23       6       (474,450 )     (2,475 )

Lumber Futures

    May-23       2       (95,832 )     (7,931 )

MAIZE Futures

    Jun-23       4       (58,068 )     1,944  

Micro EUR/USD Futures

    Mar-23       8       (105,920 )     1,001  

Micro Gold Futures

    Apr-23       2       (36,734 )     (177 )

Milk Futures

    Mar-23       1       (36,060 )     (740 )

Mill Wheat Euro

    Mar-23       4       (58,015 )     2,036  

Mill Wheat Euro

    May-23       131       (1,910,373 )     62,351  

Mill Wheat Euro

    Sep-23       5       (71,791 )     1,031  

Mill Wheat Euro

    Dec-23       2       (28,902 )     13  

Mini H-Shares Index Futures

    Mar-23       3       (25,213 )     320  

MSCI EAFE Index Futures

    Mar-23       15       (1,534,950 )     9,020  

MSCI Emerging Markets Index Futures

    Mar-23       43       (2,070,235 )     45,610  

MSCI Singapore Exchange ETS

    Mar-23       26       (566,198 )     9,648  

MXN Currency Futures

    Mar-23       50       (1,361,500 )     (5,125 )

Nasdaq 100 E-Mini

    Mar-23       56       (13,520,920 )     (113,574 )

Natural Gas Futures

    Apr-23       603       (16,564,410 )     (827,269 )

Natural Gas Futures

    May-23       275       (7,873,250 )     (397,190 )

Natural Gas Futures

    Jun-23       65       (1,973,400 )     (152,390 )

Natural Gas Futures

    Jul-23       20       (642,400 )     (21,190 )

Natural Gas Futures

    Oct-23       2       (66,200 )     17,590  

New Zealand 3-Month Bank Bill Futures

    Jun-23       6       (350 )     1  

New Zealand 3-Month Bank Bill Futures

    Sep-23       11       (642 )     1  

Nikkei 225 (Osaka Securities Exchange)

    Mar-23       33       (6,657,927 )     34,299  

Nikkei 225 (Singapore Exchange)

    Mar-23       92       (9,272,300 )     39,404  

NY Harbor Ultra-Low Sulfur Diesel Futures

    Apr-23       226       (26,630,755 )     (601,867 )

NY Harbor Ultra-Low Sulfur Diesel Futures

    May-23       11       (1,272,440 )     (395 )

NY Harbor Ultra-Low Sulfur Diesel Futures

    Jun-23       5       (569,646 )     (3,671 )

NY Harbor Ultra-Low Sulfur Diesel Futures

    Jul-23       7       (791,624 )     (1,075 )

NZD Currency Futures

    Mar-23       34       (2,104,260 )     15,290  

OAT Futures

    May-23       2       (33,500 )     875  

OMX Stockholm 30 Index Futures

    Mar-23       1,068       (22,731,219 )     224,609  

Palladium Futures

    Jun-23       37       (5,257,330 )     252,000  

Palm Oil Futures

    May-23       1       (23,075 )     (930 )

Palm Oil Futures

    Jun-23       1       (22,992 )     56  

Phelix DE Baseload Futures

    Apr-23       1       (280,920 )     43,636  

Phelix DE Baseload Futures

    Jan-24       1       (1,375,226 )     9,105  

Platinum Futures

    Apr-23       66       (3,153,150 )     (65,975 )

Rapeseed Euro

    May-23       36       (1,005,711 )     38,156  

Rapeseed Euro

    Aug-23       9       (251,785 )     7,615  

Red Wheat Futures (Minneapolis Grain Exchange)

    May-23       19       (823,413 )     29,900  

Red Wheat Futures (Minneapolis Grain Exchange)

    Jul-23       7       (301,875 )     10,788  

Rough Rice Futures

    May-23       4       (138,800 )     (1,820 )

S&P 500 E-Mini Futures

    Mar-23       344       (68,378,600 )     529,796  

SA Rand Currency Futures

    Mar-23       1       (27,200 )     1,375  

SGX Nifty 50

    Mar-23       374       (13,014,452 )     230,808  

Short BTP Future

    Mar-23       603       (67,108,425 )     287,249  

Silver Futures

    May-23       231       (24,337,005 )     228,845  

Soybean Futures

    May-23       326       (24,107,700 )     496,716  

Soybean Oil Futures

    May-23       206       (7,420,944 )     126,318  

 

 

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

 

22

 

 

Abbey Capital Futures Strategy Fund

 

Consolidated Portfolio of Investments (Continued)

February 28, 2023 (Unaudited)

 

Short Contracts

 

Expiration
Date

   

Number of
Contracts

   

Notional
Amount

   

Value and
Unrealized
Appreciation/
(Depreciation)

 

Soybean Oil Futures

    Jul-23       10     $ (358,500 )   $ 10,920  

U.S. Treasury 10-Year Notes (Chicago Board of Trade)

    Jun-23       2,518       (281,150,437 )     (90,041 )

U.S. Treasury 2-Year Notes (Chicago Board of Trade)

    Jun-23       2,208       (449,828,248 )     875,466  

U.S. Treasury 5-Year Notes (Chicago Board of Trade)

    Jun-23       3,234       (346,214,860 )     149,218  

U.S. Treasury Long Bond (Chicago Board of Trade)

    Jun-23       1,057       (132,356,219 )     251,022  

U.S. Treasury Ultra 10-Year Notes

    Jun-23       386       (45,234,375 )     (60,638 )

U.S. Treasury Ultra Long Bond (Chicago Board of Trade)

    Jun-23       283       (38,222,688 )     29,339  

UK Natural Gas Futures

    Apr-23       30       (1,250,794 )     87,724  

USD/TRY Futures

    Apr-23       15       (15,485 )     52  

Wheat (Chicago Board of Trade)

    May-23       705       (24,868,875 )     2,100,015  

Wheat (Chicago Board of Trade)

    Jul-23       356       (12,704,750 )     820,363  

Wheat (Chicago Board of Trade)

    Sep-23       2       (72,450 )     4,338  

Wheat (Chicago Board of Trade)

    Dec-23       13       (481,650 )     46,125  

WTI Crude Futures

    Apr-23       247       (19,031,350 )     416,460  

WTI Crude Futures

    May-23       34       (2,624,460 )     (8,210 )

WTI Crude Futures

    Jun-23       51       (3,934,140 )     (41,790 )

WTI Crude Futures

    Jul-23       11       (845,900 )     7,280  

WTI Crude Futures

    Dec-23       9       (671,310 )     (5,130 )

WTI Crude Futures IPE

    Apr-23       12       (924,600 )     (2,990 )

WTI Crude Futures IPE

    May-23       8       (617,520 )     (2,130 )

WTI Crude Futures IPE

    Jun-23       6       (462,840 )     (9,850 )

WTI Crude Futures IPE

    Jul-23       4       (307,600 )     (2,110 )
                            $ 37,404,675  

Total Futures Contracts

                          $ 26,139,777  

 

Forward foreign currency contracts outstanding as of February 28, 2023 were as follows:

 

Currency Purchased

 

 

Currency Sold

 

   

Expiration
Date

   

Counterparty

   

Unrealized
Appreciation/
(Depreciation)

 

AUD

    58,686,633          

USD

    39,438,095               Mar 01 2023       BOA     $ 53,695  

AUD

    53,786,633          

USD

    36,268,166               Mar 02 2023       BOA       (72,412 )

AUD

    21,000,000          

USD

    14,691,357               Mar 15 2023       BOA       (552,325 )

AUD

    55,662,000          

USD

    38,575,169               Mar 17 2023       BOA       (1,095,661 )

AUD

    24,400,000          

CAD

    22,696,929               Mar 31 2023       BOA       (200,206 )

AUD

    1,737,965          

EUR

    1,125,000               Mar 31 2023       BOA       (21,368 )

AUD

    18,761,534          

GBP

    10,750,000               Mar 31 2023       BOA       (298,521 )

AUD

    8,600,000          

JPY

    787,706,918               Mar 31 2023       BOA       (18,230 )

AUD

    25,000,000          

NZD

    27,512,225               Mar 31 2023       BOA       (168,874 )

AUD

    19,050,000          

USD

    13,272,354               Apr 19 2023       BOA       (430,292 )

BRL

    12,419,043          

USD

    2,402,239               Mar 02 2023       BOA       (31,174 )

BRL

    57,906,890          

USD

    11,400,000               Mar 15 2023       BOA       (374,253 )

BRL

    5,777,842          

USD

    1,100,000               Apr 04 2023       BOA       (4,013 )

CAD

    10,668,552          

USD

    7,827,586               Mar 01 2023       BOA       (8,892 )

CAD

    9,082,333          

USD

    6,791,369               Mar 15 2023       BOA       (134,391 )

CAD

    24,548,000          

USD

    18,271,491               Mar 17 2023       BOA       (278,427 )

CAD

    10,400,000          

JPY

    1,030,766,610               Mar 31 2023       BOA       18,498  

CHF

    61,070,298          

USD

    64,875,230               Mar 01 2023       BOA       (27,432 )

CHF

    61,070,298          

USD

    65,114,355               Mar 02 2023       BOA       (259,548 )

CHF

    10,580,183          

EUR

    10,700,000               Mar 15 2023       BOA       (75,357 )

 

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

 

23

 

 

Abbey Capital Futures Strategy Fund

 

Consolidated Portfolio of Investments (Continued)

February 28, 2023 (Unaudited)

 

Currency Purchased

 

 

Currency Sold

 

   

Expiration
Date

   

Counterparty

   

Unrealized
Appreciation/
(Depreciation)

 

CHF

    1,183,360          

USD

    1,300,000               Mar 15 2023       BOA     $ (41,420 )

CHF

    16,695,000          

USD

    18,222,135               Mar 17 2023       BOA       (461,650 )

CHF

    13,764,773          

EUR

    14,000,000               Mar 31 2023       BOA       (169,380 )

CHF

    3,632,739          

GBP

    3,256,626               Mar 31 2023       BOA       (48,576 )

CHF

    4,750,000          

JPY

    683,396,370               Mar 31 2023       BOA       19,056  

CHF

    9,500,000          

USD

    10,407,789               Mar 31 2023       BOA       (284,687 )

CHF

    30,322,000          

USD

    32,532,804               Apr 19 2023       BOA       (161,368 )

CLP

    160,258,000          

USD

    200,000               Mar 02 2023       BOA       (6,415 )

CLP

    240,699,450          

USD

    300,000               Mar 09 2023       BOA       (9,483 )

CLP

    80,208,580          

USD

    100,000               Mar 13 2023       BOA       (3,249 )

CLP

    80,385,856          

USD

    100,000               Mar 14 2023       BOA       (3,050 )

CLP

    6,149,646,502          

USD

    7,750,000               Mar 15 2023       BOA       (334,281 )

CLP

    160,277,000          

USD

    200,000               Mar 24 2023       BOA       (6,988 )

CLP

    563,850,700          

USD

    700,000               Mar 31 2023       BOA       (21,684 )

CNH

    4,500,000          

USD

    644,764               Mar 01 2023       BOA       2,776  

CNH

    3,500,000          

USD

    502,715               Mar 02 2023       BOA       962  

CNH

    39,186,923          

USD

    5,778,573               Mar 15 2023       BOA       (134,357 )

CZK

    284,585,704          

EUR

    11,900,000               Mar 15 2023       BOA       199,995  

CZK

    4,439,056          

USD

    200,000               Mar 31 2023       BOA       (560 )

EUR

    91,221          

NOK

    1,000,000               Mar 01 2023       BOA       190  

EUR

    180,613          

SEK

    2,000,000               Mar 01 2023       BOA       (22 )

EUR

    52,219,033          

USD

    55,142,057               Mar 01 2023       BOA       93,258  

EUR

    9,279,792          

AUD

    14,590,847               Mar 02 2023       BOA       (2,508 )

EUR

    91,146          

NOK

    1,000,000               Mar 02 2023       BOA       112  

EUR

    271,139          

SEK

    3,000,000               Mar 02 2023       BOA       202  

EUR

    48,074,113          

USD

    50,921,205               Mar 02 2023       BOA       (67,116 )

EUR

    14,200,000          

CHF

    14,228,648               Mar 15 2023       BOA       (99,578 )

EUR

    2,000,000          

CZK

    47,621,068               Mar 15 2023       BOA       (24,238 )

EUR

    33,850,000          

GBP

    30,079,773               Mar 15 2023       BOA       (354,514 )

EUR

    25,800,000          

JPY

    3,655,797,229               Mar 15 2023       BOA       405,893  

EUR

    46,982,684          

NOK

    511,204,203               Mar 15 2023       BOA       474,220  

EUR

    7,139,744          

PLN

    34,119,397               Mar 15 2023       BOA       (102,707 )

EUR

    68,396,034          

SEK

    772,789,033               Mar 15 2023       BOA       (1,472,581 )

EUR

    23,100,000          

USD

    24,769,356               Mar 15 2023       BOA       (313,429 )

EUR

    600,000          

HUF

    230,695,787               Mar 16 2023       BOA       (5,922 )

EUR

    56,287,000          

USD

    60,499,217               Mar 17 2023       BOA       (900,566 )

EUR

    13,750,000          

CAD

    19,753,829               Mar 31 2023       BOA       90,785  

EUR

    10,600,000          

GBP

    9,380,724               Mar 31 2023       BOA       (56,666 )

EUR

    1,000,000          

HUF

    388,356,990               Mar 31 2023       BOA       (13,721 )

EUR

    4,500,000          

JPY

    636,488,460               Mar 31 2023       BOA       72,649  

EUR

    13,125,000          

NOK

    142,267,466               Mar 31 2023       BOA       186,573  

EUR

    2,300,000          

PLN

    11,099,134               Mar 31 2023       BOA       (51,727 )

EUR

    12,250,000          

SEK

    136,005,885               Mar 31 2023       BOA       (32,629 )

EUR

    55,550,000          

USD

    59,705,336               Apr 19 2023       BOA       (772,805 )

GBP

    26,796,263          

USD

    32,261,951               Mar 01 2023       BOA       (29,584 )

GBP

    1,600,000          

USD

    1,938,040               Mar 02 2023       BOA       (13,420 )

GBP

    20,107,707          

EUR

    22,800,000               Mar 15 2023       BOA       54,917  

GBP

    12,800,000          

USD

    15,678,253               Mar 15 2023       BOA       (277,522 )

GBP

    11,675,000          

USD

    14,335,363               Mar 17 2023       BOA       (287,638 )

GBP

    881,626          

CHF

    989,947               Mar 31 2023       BOA       6,224  

GBP

    352,977          

EUR

    400,000               Mar 31 2023       BOA       919  

GBP

    4,750,000          

JPY

    759,395,828               Mar 31 2023       BOA       113,706  

 

 

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

 

24

 

 

Abbey Capital Futures Strategy Fund

 

Consolidated Portfolio of Investments (Continued)

February 28, 2023 (Unaudited)

 

Currency Purchased

 

 

Currency Sold

 

   

Expiration
Date

   

Counterparty

   

Unrealized
Appreciation/
(Depreciation)

 

GBP

    41,281,000          

USD

    50,148,936               Apr 19 2023       BOA     $ (447,024 )

GBP

    200,000          

USD

    230,467               Jun 21 2023       BOA       10,666  

HUF

    4,219,119,324          

EUR

    10,700,000               Mar 16 2023       BOA       397,566  

HUF

    192,923,380          

EUR

    500,000               Mar 31 2023       BOA       3,391  

HUF

    1,047,698,950          

USD

    2,900,000               Mar 31 2023       BOA       (3,926 )

HUF

    4,911,500,000          

USD

    13,448,487               Apr 19 2023       BOA       53,540  

IDR

    755,850,000          

USD

    50,000               Mar 15 2023       BOA       (463 )

IDR

    10,656,460,000          

USD

    700,000               Mar 31 2023       BOA       (1,981 )

ILS

    18,874,658          

USD

    5,200,000               Mar 15 2023       BOA       (31,313 )

INR

    65,558,284          

USD

    800,000               Mar 03 2023       BOA       (7,088 )

INR

    2,221,585,760          

USD

    26,800,000               Mar 08 2023       BOA       62,236  

INR

    28,986,606          

USD

    350,000               Mar 15 2023       BOA       330  

INR

    107,793,080          

USD

    1,300,000               Mar 29 2023       BOA       1,581  

JPY

    92,882,650          

EUR

    644,730               Mar 01 2023       BOA       303  

JPY

    993,462,767          

USD

    7,287,161               Mar 01 2023       BOA       10,371  

JPY

    61,728,132          

GBP

    375,000               Mar 02 2023       BOA       2,405  

JPY

    863,765,100          

USD

    6,339,287               Mar 02 2023       BOA       6,391  

JPY

    402,717,561          

EUR

    2,850,000               Mar 15 2023       BOA       (53,084 )

JPY

    1,390,374,196          

USD

    10,679,325               Mar 15 2023       BOA       (445,467 )

JPY

    5,930,299,000          

USD

    46,029,297               Mar 17 2023       BOA       (2,365,834 )

JPY

    18,456,992          

AUD

    200,000               Mar 31 2023       BOA       1,444  

JPY

    72,709,725          

CHF

    500,000               Mar 31 2023       BOA       3,700  

JPY

    20,066,218          

GBP

    125,000               Mar 31 2023       BOA       (2,386 )

JPY

    250,701,570          

NZD

    3,000,000               Mar 31 2023       BOA       (5,175 )

JPY

    2,225,000,000          

USD

    16,450,298               Apr 19 2023       BOA       10,127  

KRW

    2,434,940,000          

USD

    2,000,000               Mar 06 2023       BOA       (159,498 )

KRW

    5,987,870,057          

USD

    4,700,000               Mar 08 2023       BOA       (173,591 )

KRW

    9,807,647,573          

USD

    7,800,000               Mar 09 2023       BOA       (385,796 )

KRW

    317,041,775          

USD

    250,000               Mar 15 2023       BOA       (10,268 )

KRW

    14,890,340,186          

USD

    11,500,000               Mar 17 2023       BOA       (239,686 )

KRW

    14,043,242,005          

USD

    10,800,000               Mar 21 2023       BOA       (178,487 )

KRW

    14,211,729,781          

USD

    10,800,000               Mar 23 2023       BOA       (50,148 )

KRW

    2,071,810,880          

USD

    1,600,000               Mar 31 2023       BOA       (32,331 )

MXN

    561,845,101          

USD

    29,850,000               Mar 15 2023       BOA       767,007  

MXN

    363,974,000          

USD

    18,366,482               Mar 17 2023       BOA       1,459,683  

MXN

    236,000,000          

USD

    12,630,404               Mar 31 2023       BOA       188,350  

MXN

    510,000          

USD

    27,041               Apr 19 2023       BOA       563  

NOK

    1,000,000          

EUR

    91,257               Mar 01 2023       BOA       (228 )

NOK

    34,280,711          

USD

    3,315,635               Mar 01 2023       BOA       (14,419 )

NOK

    1,000,000          

EUR

    91,158               Mar 02 2023       BOA       (125 )

NOK

    10,338,087          

USD

    1,000,000               Mar 02 2023       BOA       (4,396 )

NOK

    114,813,649          

EUR

    10,471,041               Mar 15 2023       BOA       (47,208 )

NOK

    36,027,262          

USD

    3,524,605               Mar 15 2023       BOA       (52,551 )

NOK

    7,000,000          

SEK

    7,175,700               Mar 31 2023       BOA       (11,455 )

NZD

    6,000,000          

USD

    3,685,557               Mar 01 2023       BOA       24,222  

NZD

    800,000          

USD

    494,342               Mar 02 2023       BOA       293  

NZD

    27,500,000          

USD

    17,461,450               Mar 15 2023       BOA       (458,237 )

NZD

    31,543,000          

USD

    20,096,706               Mar 17 2023       BOA       (593,564 )

NZD

    12,000,000          

JPY

    998,312,280               Mar 31 2023       BOA       53,858  

NZD

    600,000          

USD

    380,483               Mar 31 2023       BOA       (9,484 )

NZD

    6,000          

USD

    3,815               Apr 19 2023       BOA       (105 )

PEN

    959,231          

USD

    250,000               Mar 15 2023       BOA       2,500  

 

 

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

 

25

 

 

Abbey Capital Futures Strategy Fund

 

Consolidated Portfolio of Investments (Continued)

February 28, 2023 (Unaudited)

 

Currency Purchased

 

 

Currency Sold

 

   

Expiration
Date

   

Counterparty

   

Unrealized
Appreciation/
(Depreciation)

 

PHP

    33,123,930          

USD

    600,000               Mar 31 2023       BOA     $ (2,836 )

PLN

    162,439,601          

EUR

    34,269,391               Mar 15 2023       BOA       195,010  

PLN

    251,000,000          

USD

    55,924,900               Apr 19 2023       BOA       297,644  

SEK

    2,000,000          

EUR

    180,669               Mar 01 2023       BOA       (37 )

SEK

    13,795,800          

USD

    1,327,758               Mar 01 2023       BOA       (9,792 )

SEK

    3,000,000          

EUR

    271,057               Mar 02 2023       BOA       (115 )

SEK

    2,499,879          

USD

    239,712               Mar 02 2023       BOA       (877 )

SEK

    432,253,018          

EUR

    38,898,555               Mar 15 2023       BOA       144,191  

SEK

    49,421,630          

USD

    4,765,189               Mar 15 2023       BOA       (40,181 )

SEK

    146,675,841          

NOK

    145,500,000               Mar 31 2023       BOA       1,134  

SGD

    11,681,195          

USD

    8,900,000               Mar 15 2023       BOA       (233,940 )

SGD

    36,469,716          

USD

    27,500,000               Mar 31 2023       BOA       (432,155 )

TRY

    500,000          

USD

    26,477               Mar 01 2023       BOA       (7 )

TRY

    7,000,000          

USD

    364,997               Mar 15 2023       BOA       3,252  

TRY

    1,146,115,000          

USD

    58,535,661               Apr 19 2023       BOA       422,257  

TWD

    151,849,255          

USD

    5,000,000               Mar 01 2023       BOA       (15,850 )

TWD

    5,979,189          

USD

    200,000               Mar 03 2023       BOA       (3,705 )

TWD

    36,946,292          

USD

    1,250,000               Mar 15 2023       BOA       (35,391 )

TWD

    6,056,020          

USD

    200,000               Mar 23 2023       BOA       (714 )

TWD

    3,023,800          

USD

    100,000               Mar 31 2023       BOA       (401 )

USD

    37,877,836          

AUD

    56,186,633               Mar 01 2023       BOA       68,362  

USD

    3,495,617          

AUD

    5,200,000               Mar 02 2023       BOA       (3,727 )

USD

    18,312,225          

AUD

    26,800,000               Mar 15 2023       BOA       268,128  

USD

    41,161,782          

AUD

    59,963,000               Mar 17 2023       BOA       786,233  

USD

    6,486,327          

AUD

    9,300,000               Mar 31 2023       BOA       220,799  

USD

    754,804          

AUD

    1,120,000               Apr 19 2023       BOA       (215 )

USD

    2,382,462          

BRL

    12,419,043               Mar 02 2023       BOA       11,397  

USD

    7,000,000          

BRL

    36,635,312               Mar 15 2023       BOA       24,462  

USD

    7,847,860          

CAD

    10,669,055               Mar 01 2023       BOA       28,797  

USD

    54,083,975          

CAD

    72,874,973               Mar 15 2023       BOA       669,607  

USD

    73,737,607          

CAD

    99,825,000               Mar 17 2023       BOA       568,403  

USD

    11,127,890          

CAD

    14,900,000               Mar 31 2023       BOA       204,913  

USD

    750          

CAD

    1,000               Apr 19 2023       BOA       17  

USD

    65,106,928          

CHF

    61,070,298               Mar 01 2023       BOA       259,129  

USD

    5,400,000          

CHF

    5,021,444               Mar 15 2023       BOA       59,367  

USD

    30,240,339          

CHF

    27,799,000               Mar 17 2023       BOA       667,191  

USD

    169,746,197          

CHF

    155,534,000               Apr 19 2023       BOA       3,699,800  

USD

    200,000          

CLP

    161,242,008               Mar 02 2023       BOA       5,226  

USD

    300,000          

CLP

    240,685,832               Mar 09 2023       BOA       9,499  

USD

    100,000          

CLP

    79,898,220               Mar 13 2023       BOA       3,623  

USD

    100,000          

CLP

    79,957,144               Mar 14 2023       BOA       3,567  

USD

    3,150,000          

CLP

    2,619,584,946               Mar 15 2023       BOA       (8,898 )

USD

    200,000          

CLP

    167,846,288               Apr 03 2023       BOA       (1,846 )

USD

    644,608          

CNH

    4,500,000               Mar 01 2023       BOA       (2,932 )

USD

    502,638          

CNH

    3,500,000               Mar 02 2023       BOA       (1,038 )

USD

    22,373,516          

CNH

    153,593,542               Mar 15 2023       BOA       250,955  

USD

    10,000,000          

CNH

    68,045,850               Mar 31 2023       BOA       188,655  

USD

    2,950,000          

COP

    14,277,586,330               Mar 15 2023       BOA       21,181  

USD

    52,064,098          

EUR

    49,174,022               Mar 01 2023       BOA       49,680  

USD

    2,333,899          

EUR

    2,200,000               Mar 02 2023       BOA       6,679  

USD

    16,373,284          

EUR

    15,400,000               Mar 15 2023       BOA       69,333  

USD

    62,828,425          

EUR

    58,527,000               Mar 17 2023       BOA       857,984  

 

 

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

 

26

 

 

Abbey Capital Futures Strategy Fund

 

Consolidated Portfolio of Investments (Continued)

February 28, 2023 (Unaudited)

 

Currency Purchased

 

 

Currency Sold

 

   

Expiration
Date

   

Counterparty

   

Unrealized
Appreciation/
(Depreciation)

 

USD

    11,845,481          

EUR

    11,000,000               Mar 31 2023       BOA     $ 187,853  

USD

    4,705,294          

EUR

    4,420,000               Apr 19 2023       BOA       16,153  

USD

    31,581,984          

GBP

    26,396,263               Mar 01 2023       BOA       (169,236 )

USD

    31,903,124          

GBP

    26,496,263               Mar 02 2023       BOA       31,097  

USD

    25,251,653          

GBP

    20,900,000               Mar 15 2023       BOA       105,146  

USD

    47,158,520          

GBP

    38,663,000               Mar 17 2023       BOA       637,990  

USD

    6,773,504          

GBP

    5,562,500               Mar 31 2023       BOA       78,632  

USD

    900,000          

IDR

    13,585,231,238               Mar 15 2023       BOA       9,647  

USD

    18,500,000          

ILS

    65,014,566               Mar 15 2023       BOA       696,236  

USD

    6,600,000          

ILS

    23,277,647               Mar 31 2023       BOA       221,966  

USD

    800,000          

INR

    66,243,518               Mar 03 2023       BOA       (1,200 )

USD

    26,800,000          

INR

    2,207,682,000               Mar 08 2023       BOA       105,881  

USD

    8,900,000          

INR

    734,011,775               Mar 15 2023       BOA       28,800  

USD

    26,000,000          

INR

    2,157,074,400               Mar 21 2023       BOA       (59,936 )

USD

    7,700,000          

INR

    638,340,140               Mar 29 2023       BOA       (7,833 )

USD

    7,145,666          

JPY

    973,713,952               Mar 01 2023       BOA       (6,800 )

USD

    2,400,000          

JPY

    328,167,296               Mar 02 2023       BOA       (10,892 )

USD

    36,306,334          

JPY

    4,845,453,477               Mar 15 2023       BOA       641,343  

USD

    45,150,617          

JPY

    5,930,299,000               Mar 17 2023       BOA       1,487,154  

USD

    4,856,772          

JPY

    637,500,000               Mar 31 2023       BOA       152,928  

USD

    99,303,487          

JPY

    13,084,800,000               Apr 19 2023       BOA       2,502,876  

USD

    2,000,000          

KRW

    2,541,968,929               Mar 06 2023       BOA       78,597  

USD

    4,700,000          

KRW

    5,855,881,429               Mar 08 2023       BOA       273,365  

USD

    7,800,000          

KRW

    9,995,829,873               Mar 09 2023       BOA       243,537  

USD

    6,700,000          

KRW

    8,569,114,381               Mar 15 2023       BOA       220,444  

USD

    11,500,000          

KRW

    14,683,121,220               Mar 17 2023       BOA       396,389  

USD

    10,800,000          

KRW

    13,954,197,012               Mar 21 2023       BOA       245,836  

USD

    10,800,000          

KRW

    14,042,565,648               Mar 23 2023       BOA       178,105  

USD

    1,000,000          

KRW

    1,309,607,760               Mar 31 2023       BOA       9,064  

USD

    10,800,000          

KRW

    14,205,661,200               Apr 03 2023       BOA       49,510  

USD

    1,200,000          

MXN

    22,604,880               Mar 15 2023       BOA       (31,823 )

USD

    2,385,622          

MXN

    46,061,000               Mar 17 2023       BOA       (123,384 )

USD

    1,216,417          

MXN

    22,500,000               Mar 31 2023       BOA       (5,710 )

USD

    1,900,300          

NOK

    19,723,715               Mar 01 2023       BOA       916  

USD

    3,424,216          

NOK

    35,400,162               Mar 02 2023       BOA       15,022  

USD

    22,312,665          

NOK

    228,228,279               Mar 15 2023       BOA       317,631  

USD

    8,800,000          

NOK

    89,788,069               Mar 31 2023       BOA       139,057  

USD

    2,029,836          

NZD

    3,300,000               Mar 01 2023       BOA       (10,542 )

USD

    3,320,644          

NZD

    5,400,000               Mar 02 2023       BOA       (18,142 )

USD

    22,204,801          

NZD

    35,500,000               Mar 15 2023       BOA       255,198  

USD

    21,636,953          

NZD

    34,538,000               Mar 17 2023       BOA       281,992  

USD

    50,000          

PEN

    193,600               Mar 15 2023       BOA       (962 )

USD

    150,000          

PHP

    8,251,689               Mar 15 2023       BOA       1,151  

USD

    7,100,000          

PLN

    31,785,990               Mar 31 2023       BOA       (28,726 )

USD

    7,375,736          

PLN

    32,840,000               Apr 19 2023       BOA       19,767  

USD

    708,552          

SEK

    7,417,794               Mar 01 2023       BOA       (99 )

USD

    1,800,000          

SEK

    18,770,355               Mar 02 2023       BOA       6,708  

USD

    7,633,894          

SEK

    79,930,889               Mar 15 2023       BOA       (7,985 )

USD

    8,000,000          

SEK

    82,457,346               Mar 31 2023       BOA       109,302  

USD

    6,750,000          

SGD

    9,013,187               Mar 15 2023       BOA       63,285  

USD

    2,150,000          

THB

    74,280,000               Mar 15 2023       BOA       45,005  

USD

    26,474          

TRY

    500,000               Mar 01 2023       BOA       4  

 

 

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

 

27

 

 

Abbey Capital Futures Strategy Fund

 

Consolidated Portfolio of Investments (Concluded)

February 28, 2023 (Unaudited)

 

Currency Purchased

 

 

Currency Sold

 

   

Expiration
Date

   

Counterparty

   

Unrealized
Appreciation/
(Depreciation)

 

USD

    101,631          

TRY

    2,000,000               Mar 15 2023       BOA     $ (3,583 )

USD

    9,400,000          

TRY

    182,278,105               Mar 31 2023       BOA       (92,957 )

USD

    167,266          

TRY

    3,270,000               Apr 19 2023       BOA       (948 )

USD

    5,054,661          

TWD

    151,849,255               Mar 01 2023       BOA       70,511  

USD

    200,000          

TWD

    6,073,091               Mar 03 2023       BOA       623  

USD

    7,750,000          

TWD

    233,513,710               Mar 15 2023       BOA       73,239  

USD

    5,000,000          

TWD

    151,451,200               Mar 23 2023       BOA       16,171  

USD

    1,200,000          

TWD

    36,167,968               Mar 31 2023       BOA       8,689  

USD

    108,615          

ZAR

    2,000,000               Mar 01 2023       BOA       (278 )

USD

    13,728,529          

ZAR

    243,869,876               Mar 15 2023       BOA       467,417  

USD

    5,200,000          

ZAR

    93,137,616               Mar 31 2023       BOA       142,774  

ZAR

    2,000,000          

USD

    108,678               Mar 01 2023       BOA       215  

ZAR

    49,179,978          

USD

    2,727,521               Mar 15 2023       BOA       (53,221 )

ZAR

    40,000          

USD

    2,225               Apr 19 2023       BOA       (57 )

Total Forward Foreign Currency Contracts

                                  $ 7,723,152  
                                                           
                                                           

 

AUD

Australian Dollar

 

JSE

Johannesburg Stock Exchange

BOA

Bank of America

 

KRW

Korean Won

BRL

Brazilian Real

 

LME

London Mercantile Exchange

BUXL

German Bond

 

MIB

Milano Indice di Borsa

CAD

Canadian Dollar

 

MXN

Mexican Peso

CHF

Swiss Franc

 

NOK

Norwegian Krone

CLP

Chilean Peso

 

NZD

New Zealand Dollar

CNH

Chinese Yuan Renminbi

 

OMX

Stockholm Stock Exchange

COP

Colombian Peso

 

PHP

Philippine Peso

CZK

Czech Koruna

 

PLN

Polish Zloty

DAX

German Stock Exchange

 

RBOB

Reformulated Blendstock for Oxygenate Blending

DJIA

Dow Jones Industrial Average

 

RUB

Russian Ruble

EUR

Euro

 

SEK

Swedish Krona

FTSE

Financial Times Stock Exchange

 

SGD

Singapore Dollar

GBP

British Pound

 

THB

Thai Baht

HUF

Hungarian Forint

 

TRY

Turkish Lira

IBEX

Index of the Bolsa de Madrid

 

TSX

Toronto Stock Exchange

ICE

Intercontinental Exchange

 

TWD

Taiwan Dollar

ILS

Israeli New Shekel

 

USD

United States Dollar

INR

Indian Rupee

 

WTI

West Texas Intermediate

JPY

Japanese Yen

 

ZAR

South African Rand

 

 

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

 

28

 

Abbey Capital Futures Strategy Fund

 

Consolidated Statement of Assets And Liabilities

February 28, 2023 (Unaudited)

 

ASSETS

       

Investments, at value (cost $2,368,405,133)

  $ 2,367,515,319  

Foreign currency deposits with broker for futures contracts (cost $8,286,991)

    8,022,317  

Deposits with broker for forward foreign currency contracts

    70,956,981  

Deposits with broker for futures contracts

    277,476,176  

Receivables for:

       

Capital shares sold

    11,876,249  

Interest receivable

    388,616  

Unrealized appreciation on forward foreign currency contracts

    25,554,858  

Unrealized appreciation on futures contracts

    78,180,698  

Prepaid expenses and other assets

    232,073  

Total assets

    2,840,203,287  
         

LIABILITIES

       

Due to broker

    235,134  

Payables for:

       

Advisory fees

    3,570,517  

Capital shares redeemed

    3,088,575  

Unrealized depreciation on forward foreign currency contracts

    17,831,706  

Unrealized depreciation on futures contracts

    52,040,921  

Other accrued expenses and liabilities

    398,855  

Total liabilities

    77,165,708  

Net assets

  $ 2,763,037,579  
         

NET ASSETS CONSIST OF:

       

Par value

  $ 232,991  

Paid-in capital

    3,193,727,508  

Total distributable earnings/(losses)

    (430,922,920 )

Net assets

  $ 2,763,037,579  
         

CLASS A SHARES:

       

Net assets

  $ 149,017,635  

Shares outstanding ($0.001 par value, 100,000,000 shares authorized)

    12,726,589  

Net asset value and redemption price per share

  $ 11.71  

Maximum offering price per share (100/94.25 of $11.71)

  $ 12.42  
         

CLASS I SHARES:

       

Net assets

  $ 2,603,968,669  

Shares outstanding ($0.001 par value, 300,000,000 shares authorized)

    219,374,234  

Net asset value, offering and redemption price per share

  $ 11.87  
         

CLASS C SHARES:

       

Net assets

  $ 10,051,275  

Shares outstanding ($0.001 par value, 100,000,000 shares authorized)

    890,122  

Net asset value, offering and redemption price per share

  $ 11.29  

 

 

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

 

29

 

 

Abbey Capital Futures Strategy Fund

 

Consolidated Statement of Operations

For the Six Months Ended February 28, 2023 (Unaudited)

 

INVESTMENT INCOME

       

Interest

  $ 44,368,172  

Total investment income

    44,368,172  

EXPENSES

       

Advisory fees (Note 2)

    24,560,746  

Administration and accounting services fees (Note 2)

    417,065  

Transfer agent fees (Note 2)

    195,529  

Distribution fees (Class A Shares) (Note 2)

    173,103  

Distribution fees (Class C Shares) (Note 2)

    37,793  

Directors fees

    156,138  

Legal fees

    121,148  

Registration and filing fees

    88,859  

Printing and shareholder reporting fees

    68,238  

Custodian fees (Note 2)

    67,733  

Officers fees

    60,242  

Audit and tax service fees

    34,549  

Other expenses

    107,310  

Total expenses before waivers and/or reimbursements

    26,088,453  

Less: waivers and/or reimbursements (Note 2)

    (997,600 )

Net expenses after waivers and/or reimbursements

    25,090,853  

Net investment income/(loss)

    19,277,319  

NET REALIZED AND UNREALIZED GAIN/(LOSS) FROM INVESTMENTS

       

Net realized gain/(loss) from:

       

Investments

    (1,266,493 )

Futures contracts

    (27,728,997 )

Foreign currency transactions

    355,791  

Forward foreign currency contracts

    10,613,458  

Net change in unrealized appreciation/(depreciation) on:

       

Investments

    2,215,605  

Futures contracts

    (12,641,810 )

Foreign currency translations

    (212,125 )

Forward foreign currency contracts

    (6,151,865 )

Net realized and unrealized gain/(loss) from investments

    (34,816,436 )

NET INCREASE/(DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS

  $ (15,539,117 )

 

 

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

 

30

 

 

Abbey Capital Futures Strategy Fund

 

Consolidated Statements of Changes in Net Assets

 

   

For the
Six Months Ended
February 28, 2023
(Unaudited)

   

For the
Year Ended
August 31, 2022

 

INCREASE/(DECREASE) IN NET ASSETS FROM OPERATIONS:

               

Net investment income/(loss)

  $ 19,277,319     $ (22,895,427 )

Net realized gain/(loss) from investments, futures contracts, foreign currency transactions and forward foreign currency contracts

    (18,026,241 )     297,758,259  

Net change in unrealized appreciation/(depreciation) on investments, futures contracts, foreign currency translations and forward foreign currency contracts

    (16,790,195 )     37,796,783  

Net increase/(decrease) in net assets resulting from operations

    (15,539,117 )     312,659,615  

DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS FROM:

               

Total distributable earnings

    (368,957,087 )     (54,275,724 )

Net decrease in net assets from dividends and distributions to shareholders

    (368,957,087 )     (54,275,724 )

CAPITAL SHARE TRANSACTIONS:

               

Class A Shares

               

Proceeds from shares sold

    60,695,051       96,389,889  

Proceeds from reinvestment of distributions

    15,458,188       594,933  

Shares redeemed

    (22,553,188 )     (11,764,526 )

Total from Class A Shares

    53,600,051       85,220,296  

Class I Shares

               

Proceeds from shares sold

    954,684,073       1,705,791,826  

Proceeds from reinvestment of distributions

    220,037,703       35,649,949  

Shares redeemed

    (770,543,837 )     (560,126,349 )

Total from Class I Shares

    404,177,939       1,181,315,426  

Class C Shares

               

Proceeds from shares sold

    3,496,169       4,075,349  

Proceeds from reinvestment of distributions

    882,158       147,425  

Shares redeemed

    (1,881,104 )     (1,516,356 )

Total from Class C Shares

    2,497,223       2,706,418  

Net increase/(decrease) in net assets from capital share transactions

    460,275,213       1,269,242,140  

Total increase/(decrease) in net assets

    75,779,009       1,527,626,031  

NET ASSETS:

               

Beginning of period

    2,687,258,570       1,159,632,539  

End of period

  $ 2,763,037,579     $ 2,687,258,570  

 

 

 

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

 

31

 

 

Abbey Capital Futures Strategy Fund

 

Consolidated Statements of Changes in Net Assets (Concluded)

 

   

For the
Six Months Ended
February 28, 2023
(Unaudited)

   

For the
Year Ended
August 31, 2022

 

SHARE TRANSACTIONS:

               

Class A Shares

               

Shares sold

    4,877,126       1,071,456  

Shares reinvested

    1,333,752       14,551  

Shares redeemed

    (1,853,097 )     (578,862 )

Total Class A Shares

    4,357,781       507,145  

Class I Shares

               

Shares sold

    74,581,711       37,193,765  

Shares reinvested

    18,742,564       669,827  

Shares redeemed

    (60,915,121 )     (21,694,016 )

Total Class I Shares

    32,409,154       16,169,576  

Class C Shares

               

Shares sold

    274,083       132,823  

Shares reinvested

    78,764       4,481  

Shares redeemed

    (154,475 )     (130,069 )

Total Class C Shares

    198,372       7,235  

Net increase/(decrease) in shares outstanding

    36,965,307       16,683,956  

 

 

 

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

 

32

 

 

Abbey Capital Futures Strategy Fund

 

Consolidated Financial Highlights

 

Contained below is per share operating performance data for Class A Shares outstanding, total investment return/(loss), ratios to average net assets and other supplemental data for the respective periods. This information has been derived from information provided in the consolidated financial statements.

 

 

   

Class A Shares

 
   

For the
Six Months
Ended
February 28,
2023
(Unaudited)

   

For the
Year
Ended
August 31,
2022

   

For the
Year
Ended
August 31,
2021

   

For the
Year
Ended
August 31,
2020

   

For the
Year
Ended
August 31,
2019

   

For the
Year
Ended
August 31,
2018

 

Per Share Operating Performance

Net asset value, beginning of period

  $ 13.56     $ 11.95     $ 11.28     $ 12.45     $ 11.28     $ 11.15  

Net investment income/(loss)(1)

    0.08       (0.19 )     (0.24 )     (0.11 )     (0.01 )     (0.07 )

Net realized and unrealized gain/(loss) from investments

    (0.15 )     2.20       1.07       (0.14 )     1.18       0.20  

Net increase/(decrease) in net assets resulting from operations

    (0.07 )     2.01       0.83       (0.25 )     1.17       0.13  

Dividends and distributions to shareholders from:

                                               

Net investment income

    (1.11 )     (0.27 )     (0.16 )     (0.64 )            

Net realized capital gains

    (0.67 )     (0.13 )           (0.28 )            

Total dividends and distributions to shareholders

    (1.78 )     (0.40 )     (0.16 )     (0.92 )            

Net asset value, end of period

  $ 11.71     $ 13.56     $ 11.95     $ 11.28     $ 12.45     $ 11.28  

Total investment return/(loss)(2)

    (0.34 )%(4)     17.40 %     7.42 %     (1.64 )%     10.37 %     1.08 %

Ratios/Supplemental Data

                                               

Net assets, end of period (000’s omitted)

  $ 149,018     $ 113,480     $ 21,395     $ 14,469     $ 12,434     $ 15,539  

Ratio of expenses to average net assets with waivers and/or reimbursements (including interest expense)(3)

    2.04 %(5)     2.04 %     2.04 %     2.04 %     2.04 %     2.04 %

Ratio of expenses to average net assets with waivers and/or reimbursements (excluding interest expense)(3)

    2.04 %(5)     2.04 %     2.04 %     2.04 %     2.04 %     2.04 %

Ratio of expenses to average net assets without waivers and/or reimbursements (including interest expense)(3)

    2.11 %(5)     2.10 %     2.14 %     2.15 %     2.14 %     2.13 %

Ratio of net investment income/(loss) to average net assets

    1.23 %(5)     (1.47 )%     (2.03 )%     (0.98 )%     (0.05 )%     (0.65 )%

Portfolio turnover rate(6)

    0 %(4)     0 %     0 %     0 %     0 %     0 %

 

 

(1)

Calculated based on average shares outstanding for the period.

(2)

Total investment return/(loss) is calculated assuming a purchase of shares on the first day and a sale of shares on the last day of each period reported and includes reinvestments of dividends and distributions, if any. Total return does not reflect any applicable sales charge.

(3)

The Adviser has contractually agreed to waive its advisory fee and/or reimburse expenses in order to limit total annual Fund operating expenses (excluding acquired Fund fees and expenses, brokerage commissions, extraordinary items, interest or taxes) to 2.04% of the Fund’s average daily net assets attributable to Class A Shares.

(4)

Not Annualized.

(5)

Annualized.

(6)

Portfolio turnover rate is calculated for the Fund, as a whole, for the entire period.

 

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

 

33

 

 

Abbey Capital Futures Strategy Fund

 

Consolidated Financial Highlights (Continued)

 

Contained below is per share operating performance data for Class I Shares outstanding, total investment return/(loss), ratios to average net assets and other supplemental data for the respective periods. This information has been derived from information provided in the consolidated financial statements.

 

 

   

Class I Shares

 
   

For the
Six Months
Ended
February 28,
2023
(Unaudited)

   

For the
Year
Ended
August 31,
2022

   

For the
Year
Ended
August 31,
2021

   

For the
Year
Ended
August 31,
2020

   

For the
Year
Ended
August 31,
2019

   

For the
Year
Ended
August 31,
2018

 

Per Share Operating Performance

Net asset value, beginning of period

  $ 13.72     $ 12.07     $ 11.38     $ 12.55     $ 11.36     $ 11.20  

Net investment income/(loss)(1)

    0.09       (0.15 )     (0.21 )     (0.09 )     0.02       (0.05 )

Net realized and unrealized gain/(loss) from investments

    (0.15 )     2.22       1.08       (0.14 )     1.19       0.21  

Net increase/(decrease) in net assets resulting from operations

    (0.06 )     2.07       0.87       (0.23 )     1.21       0.16  

Dividends and distributions to shareholders from:

                                               

Net investment income

    (1.12 )     (0.29 )     (0.18 )     (0.66 )     (0.02 )      

Net realized capital gains

    (0.67 )     (0.13 )           (0.28 )            

Total dividends and distributions to shareholders

    (1.79 )     (0.42 )     (0.18 )     (0.94 )     (0.02 )      

Net asset value, end of period

  $ 11.87     $ 13.72     $ 12.07     $ 11.38     $ 12.55     $ 11.36  

Total investment return/(loss)(2)

    (0.24 )%(4)     17.72 %     7.74 %     (1.39 )%     10.63 %     1.34 %

Ratios/Supplemental Data

                                               

Net assets, end of period (000’s omitted)

  $ 2,603,969     $ 2,564,701     $ 1,132,714     $ 883,997     $ 707,564     $ 913,437  

Ratio of expenses to average net assets with waivers and/or reimbursements (including interest expense)(3)

    1.79 %(5)     1.79 %     1.79 %     1.79 %     1.79 %     1.79 %

Ratio of expenses to average net assets with waivers and/or reimbursements (excluding interest expense)(3)

    1.79 %(5)     1.79 %     1.79 %     1.79 %     1.79 %     1.79 %

Ratio of expenses to average net assets without waivers and/or reimbursements (including interest expense)(3)

    1.86 %(5)     1.85 %     1.89 %     1.90 %     1.89 %     1.88 %

Ratio of net investment income/(loss) to average net assets

    1.40 %(5)     (1.22 )%     (1.78 )%     (0.73 )%     0.20 %     (0.40 )%

Portfolio turnover rate(6)

    0 %(4)     0 %     0 %     0 %     0 %     0 %

 

 

(1)

Calculated based on average shares outstanding for the period.

(2)

Total investment return/(loss) is calculated assuming a purchase of shares on the first day and a sale of shares on the last day of each period reported and includes reinvestments of dividends and distributions, if any.

(3)

The Adviser has contractually agreed to waive its advisory fee and/or reimburse expenses in order to limit total annual Fund operating expenses (excluding acquired Fund fees and expenses, brokerage commissions, extraordinary items, interest or taxes) to 1.79% of the Fund’s average daily net assets attributable to Class I Shares.

(4)

Not Annualized.

(5)

Annualized.

(6)

Portfolio turnover rate is calculated for the Fund, as a whole, for the entire period.

 

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

 

34

 

 

Abbey Capital Futures Strategy Fund

 

Consolidated Financial Highlights (Concluded)

 

Contained below is per share operating performance data for Class C Shares outstanding, total investment return/(loss), ratios to average net assets and other supplemental data for the respective periods. This information has been derived from information provided in the consolidated financial statements.

 

 

   

Class C Shares

 
   

For the
Six Months
Ended
February 28,
2023
(Unaudited)

   

For the
Year
Ended
August 31,
2022

   

For the
Year
Ended
August 31,
2021

   

For the
Year
Ended
August 31,
2020

   

For the
Year
Ended
August 31,
2019

   

For the
Year
Ended
August 31,
2018

 

Per Share Operating Performance

Net asset value, beginning of period

  $ 13.12     $ 11.60     $ 10.98     $ 12.11     $ 11.06     $ 11.01  

Net investment income/(loss)(1)

    0.03       (0.27 )     (0.32 )     (0.19 )     (0.08 )     (0.16 )

Net realized and unrealized gain/(loss) from investments

    (0.14 )     2.13       1.05       (0.14 )     1.13       0.21  

Net increase/(decrease) in net assets resulting from operations

    (0.11 )     1.86       0.73       (0.33 )     1.05       0.05  

Dividends and distributions to shareholders from:

                                               

Net investment income

    (1.05 )     (0.21 )     (0.11 )     (0.52 )            

Net realized capital gains

    (0.67 )     (0.13 )           (0.28 )            

Total dividends and distributions to shareholders

    (1.72 )     (0.34 )     (0.11 )     (0.80 )            

Net asset value, end of period

  $ 11.29     $ 13.12     $ 11.60     $ 10.98     $ 12.11     $ 11.06  

Total investment return/(loss)(2)

    (0.71 )%(4)     16.48 %     6.72 %     (2.40 )%     9.49 %     0.36 %

Ratios/Supplemental Data

                                               

Net assets, end of period (000’s omitted)

  $ 10,051     $ 9,078     $ 5,524     $ 5,151     $ 4,487     $ 8,481  

Ratio of expenses to average net assets with waivers and/or reimbursements (including interest expense)(3)

    2.79 %(5)     2.79 %     2.79 %     2.79 %     2.79 %     2.79 %

Ratio of expenses to average net assets with waivers and/or reimbursements (excluding interest expense)(3)

    2.79 %(5)     2.79 %     2.79 %     2.79 %     2.79 %     2.79 %

Ratio of expenses to average net assets without waivers and/or reimbursements (including interest expense)(3)

    2.86 %(5)     2.85 %     2.89 %     2.90 %     2.89 %     2.88 %

Ratio of net investment income/(loss) to average net assets

    0.49 %(5)     (2.22 )%     (2.78 )%     (1.73 )%     (0.80 )%     (1.40 )%

Portfolio turnover rate(6)

    0 %(4)     0 %     0 %     0 %     0 %     0 %

 

 

(1)

Calculated based on average shares outstanding for the period.

(2)

Total investment return/(loss) is calculated assuming a purchase of shares on the first day and a sale of shares on the last day of each period reported and includes reinvestments of dividends and distributions, if any.

(3)

The Adviser has contractually agreed to waive its advisory fee and/or reimburse expenses in order to limit total annual Fund operating expenses (excluding acquired Fund fees and expenses, brokerage commissions, extraordinary items, interest or taxes) to 2.79% of the Fund’s average daily net assets attributable to Class C Shares.

(4)

Not Annualized.

(5)

Annualized.

(6)

Portfolio turnover rate is calculated for the Fund, as a whole, for the entire period.

 

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

 

35

 

 

Abbey Capital Futures Strategy Fund

 

Notes To Consolidated Financial Statements

February 28, 2023 (Unaudited)

 

1. Organization and Significant Accounting Policies

 

The RBB Fund, Inc. (“RBB” or the “Company”) was incorporated under the laws of the State of Maryland on February 29, 1988 and is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. RBB is a “series fund,” which is a mutual fund divided into separate portfolios. Each portfolio is treated as a separate entity for certain matters under the 1940 Act, and for other purposes, and a shareholder of one portfolio is not deemed to be a shareholder of any other portfolio. Currently, RBB has forty-eight separate investment portfolios, including the Abbey Capital Futures Strategy Fund (the “Fund”), which commenced investment operations on July 1, 2014. The Fund is authorized to offer four classes of shares, Class A Shares, Class I Shares, Class C Shares and Class T Shares. Class A Shares are sold subject to a front-end maximum sales charge of 5.75%. Front-end sales charges may be reduced or waived under certain circumstances. Class T Shares are not currently available for sale.

 

RBB has authorized capital of one hundred billion shares of common stock of which 90.623 billion shares are currently classified into two hundred and thirteen classes of common stock. Each class represents an interest in an active or inactive RBB investment portfolio.

 

The Fund seeks to achieve its investment objective by allocating its assets between a “Managed Futures” strategy and a “Fixed Income” strategy.

 

The Fund is an investment company and follows accounting and reporting guidance in the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946 “Financial Services – Investment Companies.”

 

The end of the reporting period for the Fund is February 28, 2023, and the period covered by these Notes to Consolidated Financial Statements is the six months ended February 28, 2023 (the “current fiscal period”).

 

CONSOLIDATION OF SUBSIDIARIES – The Managed Futures strategy is achieved by the Fund investing up to 25% of its total assets in Abbey Capital Master Offshore Fund Limited (the “Cayman Subsidiary”), a wholly-owned and controlled subsidiary of the Fund organized under the acts of the Cayman Islands. The Cayman Subsidiary invests all or substantially all of its assets in segregated portfolios of the Abbey Capital Offshore Fund SPC (the “SPC”), a wholly-owned subsidiary of the Cayman Subsidiary organized under the acts of the Cayman Islands. The Cayman Subsidiary serves solely as an intermediate entity through which the Fund invests in the SPC and makes no independent investment decisions and has no investment or other discretion over the Fund’s investable assets.

 

The Fund may also invest a portion of its assets in segregated series of another wholly-owned subsidiary of the Fund, the Abbey Capital Onshore Series LLC (the “Onshore Subsidiary”), a Delaware series limited liability company.

 

The consolidated financial statements of the Fund include the financial statements of the Cayman Subsidiary, the Onshore Subsidiary and SPC. The Fund consolidates the results of subsidiaries in which the Fund holds a controlling financial interest. All inter-company accounts and transactions have been eliminated. As of the end of the reporting period, the net assets of the Cayman Subsidiary and SPC were $578,144,325, which represented 20.92% of the Fund’s net assets. As of the end of the reporting period, the net assets of the Onshore Subsidiary were $599,017,172, which represented 21.68% of the Fund’s net assets.

 

Portfolio Valuation — The Fund’s net asset value (“NAV”) is calculated once daily at the close of regular trading hours on the New York Stock Exchange (“NYSE”) (generally 4:00 p.m. Eastern time) on each day the NYSE is open. Securities held by the Fund are valued using the closing price or the last sale price on a national securities exchange or the National Association of Securities Dealers Automatic Quotation System (“NASDAQ”) market system where they are primarily traded. Fixed income securities are valued using an independent pricing service, which considers such factors as security prices, yields, maturities and ratings, and are deemed representative of market values at the close of the market. Forward exchange contracts are valued by interpolating between spot and forward currency rates as quoted by an independent pricing service. Futures contracts are generally valued using the settlement price determined by the relevant exchange. Options for which the primary market is a national securities exchange are valued at the last sale price on the exchange on which they are traded, or, in the absence of any sale, will be valued at the mean of the last

 

36

 

 

Abbey Capital Futures Strategy Fund

 

Notes To Consolidated Financial Statements (Continued)

February 28, 2023 (Unaudited)

 

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 by the Valuation Designee (as defined below) 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.

 

The Board has adopted a pricing and valuation policy for use by the Fund and its Valuation Designee (as defined below) in calculating the Fund’s NAV. Pursuant to Rule 2a-5 under the 1940 Act, the Fund has designated Abbey Capital Limited (the “Adviser”) as its “Valuation Designee” to perform all of the fair value determinations as well as to perform all of the responsibilities that may be performed by the Valuation Designee in accordance with Rule 2a-5. The Valuation Designee is authorized to make all necessary determinations of the fair values of portfolio securities and other assets for which market quotations are not readily available or if it is deemed that the prices obtained from brokers and dealers or independent pricing services are unreliable.

 

Fair Value Measurements — The inputs and valuation techniques used to measure the fair value of the Fund’s investments are summarized into three levels as described in the hierarchy below:

 

 

● Level 1 –

Prices are determined using quoted prices in active markets for identical securities.

 

 

● Level 2 –

Prices are determined using other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).

 

 

● Level 3 –

Prices are determined using significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments).

 

The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

 

The following is a summary of the inputs used, as of the end of the reporting period, in valuing the Fund’s investments carried at fair value:

 

 

TOTAL

   

LEVEL 1

   

LEVEL 2

   

LEVEL 3

 

Short-Term Investments

  $ 2,367,515,319     $ 2,367,515,319     $     $  

Commodity Contracts

                               

Futures Contracts

    24,352,466       24,352,466              

Equity Contracts

                               

Futures Contracts

    16,357,422       16,357,422              

Foreign Currency Contracts

                               

Forward Foreign Currency Contracts

    25,554,858             25,554,858        

Futures Contracts

    8,053,332       8,053,332              

Interest Rate Contracts

                               

Futures Contracts

    29,417,478       29,417,478              

Total Assets

  $ 2,471,250,875     $ 2,445,696,017     $ 25,554,858     $  

 

37

 

 

Abbey Capital Futures Strategy Fund

 

Notes To Consolidated Financial Statements (Continued)

February 28, 2023 (Unaudited)

 

 

TOTAL

   

LEVEL 1

   

LEVEL 2

   

LEVEL 3

 

Commodity Contracts

                               

Futures Contracts

  $ (33,088,151 )   $ (33,088,151 )   $     $  

Equity Contracts

                               

Futures Contracts

    (8,571,966 )     (8,571,966 )            

Foreign Currency Contracts

                               

Forward Foreign Currency Contracts

    (17,831,706 )           (17,831,706 )      

Futures Contracts

    (2,538,423 )     (2,538,423 )            

Interest Rate Contracts

                               

Futures Contracts

    (7,842,381 )     (7,842,381 )            

Total Liabilities

  $ (69,872,627 )   $ (52,040,921 )   $ (17,831,706 )   $  

 

At the end of each quarter, management evaluates the classification of Levels 1, 2 and 3 assets and liabilities. Various factors are considered, such as changes in liquidity from the prior reporting period; whether or not a broker is willing to execute at the quoted price; the depth and consistency of prices from third party pricing services; and the existence of contemporaneous, observable trades in the market. Additionally, management evaluates the classification of Levels 1, 2 and 3 assets and liabilities on a quarterly basis for changes in listings or delistings on national exchanges.

 

Due to the inherent uncertainty of determining the fair value of investments that do not have a readily available market value, the fair value of the Fund’s investments may fluctuate from period to period. Additionally, the fair value of investments may differ significantly from the values that would have been used had a ready market existed for such investments and may differ materially from the values the Fund may ultimately realize. Further, such investments may be subject to legal and other restrictions on resale or otherwise less liquid than publicly traded securities.

 

For fair valuations using significant unobservable inputs, U.S. generally accepted accounting principles (“U.S. GAAP”) requires the Fund to present a reconciliation of the beginning to ending balances for reported market values that presents changes attributable to total realized and unrealized gains or losses, purchase and sales, and transfers in and out of Level 3 during the period. Transfers in and out between levels are based on values at the end of the period. A reconciliation of Level 3 investments is presented only when the Fund had an amount of Level 3 investments at the end of the reporting period that was meaningful in relation to its net assets. The amounts and reasons for all Level 3 transfers are disclosed if the Fund had an amount of total Level 3 transfers during the reporting period that was meaningful in relation to its net assets as of the end of the reporting period.

 

During the current fiscal period, the Fund had no Level 3 transfers.

 

Disclosures about Derivative instruments and Hedging Activities — Derivative instruments are defined as financial instruments whose value and performance are based on the value and performance of another security or financial instrument. Derivative instruments that the Fund used during the period include forward foreign currency contracts and futures contracts.

 

During the current fiscal period, the Fund used long and short contracts on U.S. and foreign equity market indices, U.S. and foreign government bonds, foreign currencies, interest rates and commodities (through investment in the Cayman Subsidiary, the SPC and the Onshore 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.

 

38

 

 

Abbey Capital Futures Strategy Fund

 

Notes To Consolidated Financial Statements (Continued)

February 28, 2023 (Unaudited)

 

The following tables list the fair values and location on the Consolidated Statement of Assets and Liabilities of the Fund’s derivative holdings as of the end of the reporting period, grouped by derivative type and primary risk exposure category by contract type.

 

Derivative Type

 

Consolidated
Statement
of Assets and
Liabilities
Location

   

Equity
Contracts

   

Interest
Rate
Contracts

   

Foreign
Currency
Contracts

   

Commodity
Contracts

   

Total

 

Asset Derivatives

Forward Contracts (a)

    Unrealized appreciation on forward foreign currency contracts     $     $     $ 25,554,858     $     $ 25,554,858  

Futures Contracts (a)

    Unrealized appreciation on futures contracts       16,357,422       29,417,478       8,053,332       24,352,466       78,180,698  

Total Value- Assets

          $ 16,357,422     $ 29,417,478     $ 33,608,190     $ 24,352,466     $ 103,735,556  
                                                 

Liability Derivatives

Forward Contracts (a)

    Unrealized depreciation on forward foreign currency contracts     $     $     $ (17,831,706 )   $     $ (17,831,706 )

Futures Contracts (a)

    Unrealized depreciation on futures contracts       (8,571,966 )     (7,842,381 )     (2,538,423 )     (33,088,151 )     (52,040,921 )

Total Value- Liabilities

          $ (8,571,966 )   $ (7,842,381 )   $ (20,370,129 )   $ (33,088,151 )   $ (69,872,627 )

 

(a)

This amount represents the cumulative appreciation/(depreciation) of forwards and futures contracts as reported on the Consolidated Portfolio of Investments.

 

The following table lists the amounts of realized gains/(losses) included in net increase/(decrease) in net assets resulting from operations during the current fiscal period, grouped by derivative type and primary risk exposure category by contract type.

 

Derivative Type

 

Consolidated
Statement of
Operations
Location

   

Equity
Contracts

   

Interest
Rate
Contracts

   

Foreign
Currency
Contracts

   

Commodity
Contracts

   

Total

 

Realized Gain/(Loss)

Futures Contracts

    Net realized gain/(loss) from futures contracts     $ (13,292,486 )   $ 72,294,848     $ 12,750,569     $ (99,481,928 )   $ (27,728,997 )

Forward Contracts

    Net realized gain/(loss) from forward foreign currency contracts                   10,613,458             10,613,458  

Total Realized Gain/(Loss)

  $ (13,292,486 )   $ 72,294,848     $ 23,364,027     $ (99,481,928 )   $ (17,115,539 )

 

39

 

 

Abbey Capital Futures Strategy Fund

 

Notes To Consolidated Financial Statements (Continued)

February 28, 2023 (Unaudited)

 

The following table lists the amounts of change in unrealized appreciation/(depreciation) included in net increase/(decrease) in net assets resulting from operations during the current fiscal period, grouped by derivative type and primary risk exposure category by contract type.

 

Derivative Type

 

Consolidated
Statement of
Operations
Location

   

Equity
Contracts

   

Interest
Rate
Contracts

   

Foreign
Currency
Contracts

   

Commodity
Contracts

   

Total

 

Change in Unrealized Appreciation/(Depreciation)

Futures Contracts

    Net change in unrealized appreciation/(depreciation) on futures contracts     $ 17,475,644     $ 3,035,761     $ (19,340,989 )   $ (13,812,226 )   $ (12,641,810 )

Forward Contracts

    Net change in unrealized appreciation/(depreciation) on forward foreign currency contracts                   (6,151,865 )           (6,151,865 )

Total Change in Unrealized Appreciation/(Depreciation)

  $ 17,475,644     $ 3,035,761     $ (25,492,854 )   $ (13,812,226 )   $ (18,793,675 )

 

During the current fiscal period, 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)

$2,751,132,106

$(6,382,073,259)

$(3,395,703,082)

$3,365,867,272

 

For financial reporting purposes, the Fund does not offset fair value amounts recognized for derivative instruments and fair value amounts recognized for the right to reclaim cash collateral (receivables) or the obligation to return cash collateral (payables) arising from derivative instruments recognized at fair value executed with the same counterparty under a master netting arrangement.

 

40

 

 

Abbey Capital Futures Strategy Fund

 

Notes To Consolidated Financial Statements (Continued)

February 28, 2023 (Unaudited)

 

The following is a summary of financial and derivative instruments that are subject to enforceable master netting agreements (or similar arrangements) and collateral received and pledged in connection with the master netting agreements (or similar arrangements).

 

           

Gross Amount Not
Offset in Consolidated
Statement of
Assets and Liabilities

                           

Gross Amount Not
Offset in Consolidated
Statement of
Assets and Liabilities

         

Description

 

Gross Amount
Presented
in the
Consolidated
Statement of
Assets and
Liabilities

   

Financial
Instruments

   

Collateral
Received

   

Net
Amount
(1)

           

Gross Amount
Presented
in the
Consolidated
Statement of
Assets and
Liabilities

   

Financial
Instruments

   

Collateral
Pledged
(2)

   

Net
Amount
(3)

 
   

Assets

           

Liabilities

 

Forward Foreign Currency Contracts

  $ 25,554,858     $ (17,831,706 )   $     $ 7,723,152             $ 17,831,706     $ (17,831,706 )   $     $  

 

 
 

(1)

Net amount represents the net amount receivable from the counterparty in the event of default.

 

 

(2)

Actual collateral pledged may be more than the amount shown.

 

 

(3)

Net amount represents the net amount payable to the counterparty in the event of default.

 

Use of Estimates — The preparation of consolidated financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the consolidated financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates and those differences could be significant.

 

Investment Transactions, Investment Income and Expenses — The Fund records security transactions based on trade date for financial reporting purposes. The cost of investments sold is determined by use of the specific identification method for both financial reporting and income tax purposes in determining realized gains and losses on investments. Interest income (including amortization of premiums and accretion of discounts) is accrued when earned. Dividend income is recorded on the ex-dividend date. Distributions received on securities that represent a return of capital or capital gain are recorded as a reduction of cost of investments and/or as a realized gain. The Fund’s investment income, expenses (other than class specific expenses) and unrealized and realized gains and losses are allocated daily to each class of shares based upon the relative proportion of net assets of each class at the beginning of the day. Certain expenses are shared with The RBB Fund Trust (formerly, PENN Capital Funds Trust) (the “Trust”), a series trust of affiliated funds. Expenses incurred on behalf of a specific class, fund or fund family of the Company or Trust are charged directly to the class, fund or fund family (in proportion to net assets). Expenses incurred for all funds (such as director or professional fees) are charged to all funds in proportion to their average net assets of RBB and the Trust, or in such other manner as the Board deems fair or equitable. Expenses and fees, including investment advisory and administration fees, are accrued daily and taken into account for the purpose of determining the NAV of the Fund.

 

Dividends and Distributions to Shareholders — Dividends from net investment income and distributions from net realized capital gains, if any, are declared and paid at least annually to shareholders and recorded on the ex-dividend date. Income dividends and capital gain distributions are determined in accordance with U.S. federal income tax regulations, which may differ from U.S. GAAP.

 

U.S. Tax Status — No provision is made for U.S. income taxes as it is the Fund’s intention to continue to qualify for and elect the tax treatment applicable to regulated investment companies under Subchapter M of the Internal Revenue Code of 1986, as amended, and make the requisite distributions to its shareholders which will be sufficient to relieve it from U.S. income and excise taxes.

 

41

 

 

Abbey Capital Futures Strategy Fund

 

Notes To Consolidated Financial Statements (Continued)

February 28, 2023 (Unaudited)

 

The Cayman Subsidiary is registered as an “exempted company” and the SPC as an “exempted segregated portfolio company” pursuant to the Companies Act (Revised) of the Cayman Islands (as amended). Each of the Cayman Subsidiary and the SPC has received an undertaking from the Governor in Cabinet of the Cayman Islands to the effect that, for a period of twenty years from the date of the undertaking, no act that thereafter is enacted in the Cayman Islands imposing any tax or duty to be levied on profits, income or on gains or appreciation, or any tax in the nature of estate duty or inheritance tax, will apply to any property comprised in or any income arising under the Cayman Subsidiary or the SPC, or to the shareholders thereof, in respect of any such property or income. For U.S. federal income tax purposes, the Cayman Subsidiary is treated as a “controlled foreign corporation.” The SPC is treated as an entity disregarded from its owner, the Cayman Subsidiary, for U.S. income tax purposes. The Onshore Subsidiary is treated as an entity disregarded from its owner, the Fund, for U.S. income tax purposes.

 

SEC RULE 18f-4 — Effective August 19, 2022, the U.S. Securities and Exchange Commission (“SEC”) implemented Rule 18f-4 under the 1940 Act (“Rule 18f-4”), providing for the regulation of a registered investment company’s use of derivatives and certain related instruments. Among other things, Rule 18f-4 limits a fund’s derivatives exposure through a value-at-risk test and requires the adoption and implementation of a derivatives risk management program for certain derivatives users. The Fund, as a full derivatives user (as defined in Rule 18f-4), is subject to the full requirements of Rule 18f-4. The Fund is required to comply with Rule18f-4 and has adopted procedures for investing in derivatives and other transactions in compliance with Rule 18f-4.

 

Foreign Currency Translation — Assets and liabilities initially expressed in non-U.S. currencies are translated into U.S. dollars based on the applicable exchange rates at the date of the last business day of the financial statement period. Purchases and sales of securities, interest income, dividends, variation margin received and expenses denominated in foreign currencies are translated into U.S. dollars at the exchange rates in effect on the transaction date.

 

The Fund does not separately report the effect of changes in foreign exchange rates from changes in market prices of securities held. Such changes are included with the net realized gain or loss and change in unrealized appreciation or depreciation on investments in the Consolidated Statement of Operations. Other foreign currency transactions resulting in realized and unrealized gain or loss are reported separately as net realized gain or loss and change in unrealized appreciation or depreciation on foreign currencies in the Consolidated Statement of Operations.

 

Currency Risk —Investment in foreign securities involves currency risk associated with securities that trade or are denominated in currencies other than the U.S. dollar and which may be affected by fluctuations in currency exchange rates. An increase in the strength of the U.S. dollar relative to a foreign currency may cause the U.S. dollar value of an investment in that country to decline. Foreign currencies also are subject to risks caused by inflation, interest rates, budget deficits and low savings rates, political factors and government controls. Forward foreign currency exchange contracts may limit potential gains from a favorable change in value between the U.S. dollar and foreign currencies. Unanticipated changes in currency pricing may result in poorer overall performance for the Fund than if it had not engaged in these contracts.

 

Commodity Sector Risk — Exposure to the commodities markets may subject the Fund to greater volatility than investments in traditional securities. The value of commodity-linked derivative instruments may be affected by changes in overall market movements, commodity index volatility, changes in interest rates or factors affecting a particular industry or commodity, such as drought, floods, weather, livestock disease, embargoes, tariffs and international economic, political and regulatory developments. The prices of energy, industrial metals, precious metals, agriculture and livestock sector commodities may fluctuate widely due to factors such as changes in value, supply and demand and governmental regulatory policies. The commodity-linked securities in which the Fund invests may be issued by companies in the financial services sector, and events affecting the financial services sector may cause the Fund’s share value to fluctuate.

 

Foreign Securities Market Risk — A substantial portion of the trades of the Fund are expected to take place on markets or exchanges outside the United States. There is no limit to the amount of assets of the Fund that may be committed to trading on foreign markets. The risk of loss in trading foreign futures and options on futures contracts can be substantial. Participation in foreign futures and options on futures contracts involves the execution and clearing of trades on, or subject to the rules of, a foreign board of trade or exchange. Some of these foreign markets, in contrast to U.S. exchanges, are so-called

 

42

 

 

Abbey Capital Futures Strategy Fund

 

Notes To Consolidated Financial Statements (Continued)

February 28, 2023 (Unaudited)

 

principals’ markets in which performance is the responsibility only of the individual counterparty with whom the trader has entered into a commodity interest transaction and not of the exchange or clearing corporation. In these kinds of markets, there is risk of bankruptcy or other failure or refusal to perform by the counterparty.

 

Counterparty Risk — The derivative contracts entered into by the Fund, the SPC or Onshore Subsidiary may be privately negotiated in the over-the-counter market. These contracts also involve exposure to credit risk, since contract performance depends in part on the financial condition of the counterparty. Relying on a counterparty exposes the Fund to the risk that a counterparty will not settle a transaction in accordance with its terms and conditions because of a dispute over the terms of the contract (whether or not bona fide) or because of a credit or liquidity problem, thus causing the Fund to suffer a loss. If a counterparty defaults on its payment obligations to the Fund, this default will cause the value of an investment in the Fund to decrease.

 

Credit Risk — Credit risk refers to the possibility that the issuer of the security or a counterparty in respect of a derivative instrument will not be able to satisfy its payment obligations to the Fund when due. Changes in an issuer’s credit rating or the market’s perception of an issuer’s creditworthiness may also affect the value of the Fund’s investment in that issuer. Securities rated in the four highest categories by the rating agencies are considered investment grade, but they may also have some speculative characteristics. Investment grade ratings do not guarantee that bonds will not lose value or default. In addition, the credit quality of securities may be lowered if an issuer’s financial condition changes.

 

Coronavirus (Covid-19) Pandemic — The global outbreak of COVID-19 (commonly referred to as “coronavirus”) has disrupted economic markets and the prolonged economic impact is uncertain. Although vaccines for COVID-19 are available, the ultimate economic fallout from the pandemic, and the long-term impact on economies, markets, industries and individual companies are not known. The operational and financial performance of individual companies and the market in general depends on future developments, including the duration and spread of the outbreak and the pace of recovery which may vary from market to market, and such uncertainty may in turn adversely affect the value and liquidity of the Fund’s investments, impair the Fund’s ability to satisfy redemption requests, and negatively impact the Fund’s performance.

 

Ukraine-Russia Conflict Risk — In February 2022, Russia commenced a military attack on Ukraine. The outbreak of hostilities between the two countries and the threat of wider-spread hostilities could have a severe adverse effect on the region and global economies, including significant negative impacts on the markets for certain securities and commodities, such as oil and natural gas. In addition, sanctions imposed on Russia by the United States and other countries, and any sanctions imposed in the future, could have a significant adverse impact on the Russian economy and related markets. The price and liquidity of investments may fluctuate widely as a result of the conflict and related events. How long the armed conflict and related events will last cannot be predicted. These tensions and any related events could have a significant impact on Fund performance and the value of Fund investments, even beyond any direct exposure the Fund may have to issuers located in these countries.

 

Options — An option on a futures contract gives the purchaser the right, in exchange for a premium, to assume a position in a futures contract at a specified exercise price during the term of the option. The Fund may use futures contracts and related options for: bona fide hedging; attempting to offset changes in the value of securities held or expected to be acquired or be disposed of; attempting to minimize fluctuations in foreign currencies; attempting to gain exposure to a particular market, index or instrument; or other risk management purposes. The risk associated with purchasing an option is that the Fund pays a premium whether or not the option is exercised. Additionally, the Fund bears the risk of loss of premium and change in market value should the counterparty not perform under the contract. Put and call options are accounted for in the same manner as other securities owned. The cost of securities acquired through the exercise of call options is increased by the premiums paid. The proceeds from securities sold through the exercise of put options are decreased by the premiums paid.

 

Options Written — The Fund may enter into options written for: bona fide hedging; attempting to offset changes in the value of securities held or expected to be acquired or be disposed of; attempting to minimize fluctuations in foreign currencies; attempting to gain exposure to a particular market, index or instrument; or other risk management purposes. Such options may relate to particular securities or domestic stock indices, and may or may not be listed on exchanges regulated by the Commodity Futures Trading Commission or on other non-U.S. exchanges. An option on a futures contract gives the

 

43

 

 

Abbey Capital Futures Strategy Fund

 

Notes To Consolidated Financial Statements (Continued)

February 28, 2023 (Unaudited)

 

purchaser the right, in return for the premium paid, to assume a position in the contract (a long position if the option is a call and a short position if the option is a put) at a specified exercise price at any time during the option exercise period. The writer of the option is required upon exercise to assume a short futures position (if the option is a call) or a long futures position (if the option is a put). Upon exercise of the option, the accumulated cash balance in the writer’s futures margin account is delivered to the holder of the option. That balance represents the amount by which the market price of the futures contract at exercise exceeds, in the case of a call, or is less than, in the case of a put, the exercise price of the option. The maximum risk of loss associated with writing put options is limited to the exercised fair value of the option contract. The maximum risk of loss associated with writing call options is potentially unlimited. The Fund also has the additional risk of being unable to enter into a closing transaction at an acceptable price if a liquid secondary market does not exist. The Fund also may write over-the-counter options where completing the obligation depends upon the credit standing of the other party. Option contracts also involve the risk that they may result in loss due to unanticipated developments in market conditions or other causes. Written options are initially recorded as liabilities to the extent of premiums received and subsequently marked to market to reflect the current value of the option written. Gains or losses are realized when the option transaction expires or closes. When an option is exercised, the proceeds on sales for a written call option or the purchase cost for a written put option is adjusted by the amount of the premium received. Listed option contracts present minimal counterparty credit risk since they are exchange traded and the exchange’s clearinghouse, as counterparty to all exchange-traded options, guarantees the options against default. As of the end of the reporting period, the Fund has no written options.

 

Futures Contracts — The Fund uses futures contracts in the normal course of pursuing its investment objective. Upon entering into a futures contract, the Fund must deposit initial margin in addition to segregating cash or liquid assets sufficient to meet its obligation to purchase or provide securities, or to pay the amount owed at the expiration of an index-based futures contract. Such liquid assets may consist of cash, cash equivalents, liquid debt or equity securities or other acceptable assets. Pursuant to the futures contract, the Fund agrees to receive from, or pay to the broker, an amount of cash equal to the daily fluctuation in value of the contract. Such a receipt of payment is known as “variation margin” and is recorded by the Fund as an unrealized gain or loss. When the contract is closed, the Fund records a realized gain or loss equal to the difference between the proceeds from (or cost of) the closing transactions and the Fund’s basis in the contract. Futures contracts have market risks, including the risk that the change in the value of the contract may not correlate with changes in the value of the underlying securities. Use of long futures contracts subjects the Fund to risk of loss in excess of the amount shown on the Consolidated Statement of Assets and Liabilities, up to the notional value of the futures contract. Use of short futures contracts subjects the Fund to potentially unlimited risk of loss.

 

Forward Foreign Currency Contracts — In the normal course of pursuing its investment objectives, the Fund is subject to foreign investment and currency risk. The Fund uses forward foreign currency contracts (“forward contracts”) for purposes of hedging, duration management, as a substitute for securities, to increase returns, for currency hedging or risk management, or to otherwise help achieve the Fund’s investment objective. These contracts are marked-to-market daily at the applicable translation rates. The Fund records realized gains or losses at the time the forward contract is closed. A forward contract is extinguished through a closing transaction or upon delivery of the currency or entering an offsetting contract. Risks may arise upon entering these contracts from the potential inability of a counterparty to meet the terms of their contracts and from unanticipated movements in the value of a foreign currency relative to the U.S. dollar or other currencies. The Fund’s maximum risk of loss from counterparty credit risk related to forward foreign currency contracts is the fair value of the contract. The risk may be mitigated to some extent if a master netting arrangement between the Fund and the counterparty is in place and to the extent the Fund obtains collateral to cover the Fund’s exposure to the counterparty.

 

Cash and Cash Equivalents — Cash and cash equivalents are valued at cost plus accrued interest, which approximates market value.

 

Other — In the normal course of business, the Fund may enter into contracts that provide general indemnifications. The Fund’s maximum exposure under these arrangements is dependent on claims that may be made against the Fund in the future, and, therefore, cannot be estimated; however, the Fund expects the risk of material loss from such claims to be remote.

 

44

 

 

Abbey Capital Futures Strategy Fund

 

Notes To Consolidated Financial Statements (Continued)

February 28, 2023 (Unaudited)

 

2. Investment Adviser and Other Services

 

Abbey Capital Limited (“Abbey Capital” or the “Adviser”) serves as the investment adviser to the Fund and the Cayman Subsidiary, Onshore Subsidiary and SPC. The Adviser allocates the assets of the Onshore Subsidiary and SPC (via the Cayman Subsidiary) to one or more Trading Advisers unaffiliated with the Adviser to manage. The Adviser also has the ultimate responsibility to oversee the Trading Advisers, and to recommend their hiring, termination and replacement, subject to approval by the Board. The Fund compensates the Adviser for its services at an annual rate based on the Fund’s average daily net assets (the “Advisory Fee”), payable on a monthly basis in arrears, as shown in the following table. The Adviser compensates the Trading Advisers out of the Advisory Fee.

 

The Adviser has contractually agreed to waive its advisory fee and/or reimburse expenses in order to limit total annual Fund operating expenses (excluding certain items discussed below) to the rates (“Expense Caps”) shown in the following table of the Fund’s average daily net assets. In determining the Adviser’s obligation to waive advisory fees and/or reimburse expenses, the following expenses are not taken into account and could cause net total annual Fund operating expenses to exceed the Expense Caps as applicable: acquired fund fees and expenses, brokerage commissions, extraordinary expenses, interest and taxes. This contractual limitation is in effect until December 31, 2023 and may not be terminated without the approval of the Board. The Adviser may discontinue these arrangements at any time after December 31, 2023.

 

Advisory
Fee

Expense Caps

 

Class A

Class I

Class C

Class T

1.77%

2.04%

1.79%

2.79%

2.04%

 

During the current fiscal period, investment advisory fees accrued, waived and/or reimbursed were as follows:

 

Gross
Advisory
Fees

Waivers and/or
Reimbursements

Net
Advisory
Fees

$24,560,746

$(997,600)

$23,563,146

 

If at any time the Fund’s total annual fund operating expenses (not including acquired fund fees and expenses, brokerage commissions, extraordinary items, interest or taxes) for a year are less than the relevant share class’s Expense Cap, the Adviser may recoup any waived or reimbursed amounts from the Fund within three years from the date on which such waiver or reimbursement was made, provided such reimbursement does not cause the Fund to exceed expense limitations that were in effect at the time of the waiver or reimbursement.

 

As of the end of the reporting period, the Fund had amounts available for recoupment as follows:

 

Expiration

August 31,
2023

August 31,
2024

August 31,
2025

August 31,
2026

Total

$439,732

$1,020,929

$1,164,300

$997,600

$3,622,561

 

Aspect Capital Limited, Crabel Capital Management, LLC, Eclipse Capital Management, Inc., Episteme Capital Partners (UK), LLP, Graham Capital Management, LP, P/E Global, LLC, R.G. Niederhoffer Capital Management, Inc., Revolution Capital Management, LLC, Systematica Investments Limited (acting as the general partner of Systematica Investments LP), Tudor Investment Corporation, Welton Investment Partners, LLC and Winton Capital Management Limited each served as a Trading Adviser to the Fund during the current fiscal period.

 

45

 

 

Abbey Capital Futures Strategy Fund

 

Notes To Consolidated Financial Statements (Continued)

February 28, 2023 (Unaudited)

 

U.S. Bancorp Fund Services, LLC, doing business as U.S. Bank Global Fund Services (“Fund Services”), serves as administrator for the Fund. For providing administrative and accounting services, Fund Services is entitled to receive a monthly fee, subject to certain minimum and out of pocket expenses.

 

Fund Services serves as the Fund’s transfer and dividend disbursing agent. For providing transfer agent services, Fund Services is entitled to receive a monthly fee, subject to certain minimum and out of pocket expenses.

 

U.S. Bank, N.A. (the “Custodian”) provides certain custodial services to the Fund. The Custodian is entitled to receive a monthly fee, subject to certain minimum and out of pocket expenses.

 

Quasar Distributors, LLC (the “Distributor”), a wholly-owned broker-dealer subsidiary of Foreside Financial Group, LLC, serves as the principal underwriter and distributor of the Fund’s shares pursuant to a Distribution Agreement with RBB.

 

The Board has adopted a Plan of Distribution for the Class A Shares, Class C Shares and Class T Shares (the “Plan”) pursuant to Rule 12b-1 under the 1940 Act. Under the Plan, the Fund’s distributor is entitled to receive from the Fund a distribution fee with respect to the Shares, which is accrued daily and paid monthly, of up to 0.25% on an annualized basis of the average daily net assets of the Class A Shares and Class T Shares and up to 1.00% of the Class C Shares. The actual amount of such compensation under the Plan is agreed upon by the Board and by the Distributor. Because these fees are paid out of the Fund’s assets on an ongoing basis, over time these fees will increase the cost of your investment and may cost you more than paying other types of sales charges. Amounts paid to the Distributor under the Plan may be used by the Distributor to cover expenses that are related to (i) the sale of the Shares, (ii) ongoing servicing and/or maintenance of the accounts of shareholders, and (iii) sub-transfer agency services, subaccounting services or administrative services related to the sale of the Shares, all as set forth in the Fund’s 12b-1 Plan.

 

For compensation amounts paid to Fund Services and the Custodian, please refer to the Consolidated Statement of Operations.

 

3. Director And Officer Compensation

 

The Directors of the Company receive an annual retainer and meeting fees for meetings attended. An employee of Vigilant Compliance, LLC serves as Chief Compliance Officer of the Company. Vigilant Compliance, LLC is compensated for the services provided to the Company. Employees of RBB serve as President, Chief Financial Officer, Chief Operating Officer, Secretary and Director of Marketing & Business Development of the Company. They are compensated by the Company for services provided. Certain employees of Fund Services serve as officers of the Company. They are not compensated by the Fund or the Company. For Director and Officer compensation amounts, please refer to the Consolidated Statement of Operations.

 

4. Purchases and Sales of Investment Securities

 

During the current fiscal period, there were no purchases or sales of investment securities or long-term U.S. Government securities (excluding short-term investments and derivative transactions) by the Fund.

 

5. Federal Income Tax Information

 

The Fund has followed the authoritative guidance on accounting for and disclosure of uncertainty in tax positions, which requires the Fund to determine whether a tax position is more likely than not to be sustained upon examination, including resolution of any related appeals or litigation processes, based on the technical merits of the position. The Fund has determined that there was no effect on the consolidated financial statements from following this authoritative guidance. In the normal course of business, the Fund is subject to examination by federal, state and local jurisdictions, where applicable, for tax years for which applicable statutes of limitations have not expired.

 

46

 

 

Abbey Capital Futures Strategy Fund

 

Notes To Consolidated Financial Statements (Continued)

February 28, 2023 (Unaudited)

 

As of August 31, 2022, the federal tax cost and aggregate gross unrealized appreciation and depreciation of investments held by the Fund were as follows(a):

 

Federal Tax
Cost

Unrealized
Appreciation

Unrealized
(Depreciation)

Net
Unrealized
Appreciation/
(Depreciation)

$2,757,733,831

$172,613,883

$(388,732,523)

$(216,118,640)

 

 

(a)

The difference between the book basis and tax basis cost and aggregate gross unrealized appreciation and depreciation of investments is attributable primarily to timing differences related to taxable income from a wholly-owned controlled foreign corporation.

 

Distributions to shareholders, if any, from net investment income and realized gains are determined in accordance with federal income tax regulations, which may differ from net investment income and realized gains recognized for financial reporting purposes. Accordingly, the character of distributions and composition of net assets for tax purposes may differ from those reflected in the accompanying consolidated financial statements. To the extent these differences are permanent, such amounts are reclassified within the capital accounts based on the tax treatment; temporary differences do not require such reclassification.

 

Permanent differences as of August 31, 2022, primarily attributable to disallowed book income from the Cayman Subsidiary, were reclassified to the following accounts:

 

Distributable
Earnings/(Loss)

Paid-In
Capital

$(219,606,329)

$219,606,329

 

As of August 31, 2022, the components of distributable earnings/(deficits) on a tax basis were as follows:

 

Undistributed
Ordinary
Income

Undistributed
Long-Term
Capital Gains

Net Unrealized
Appreciation/
(Depreciation)

Capital Loss
Carryforwards

Qualified
Late-Year
Losses

Other
Temporary
Differences

$269,747,537

$39,610,965

$(355,785,218)

$—

$—

$—

 

The differences between the book and tax basis components of distributable earnings/(deficits) relate principally to the timing of recognition of income and gains of the Cayman Subsidiary for federal income tax purposes.

 

The tax character of dividends and distributions paid during the fiscal year ended August 31, 2022 was as follows:

 

 

Ordinary
Income

Long-Term
Gains

Total

 

$44,586,281

$9,689,443

$54,275,724

 

The Fund is permitted to carry forward capital losses for an unlimited period. Capital losses that are carried forward will retain their character as either short-term or long-term capital losses. As of August 31, 2022, the Fund had no unlimited short-term or long-term capital loss carryovers to offset future capital gains.

 

 

47

 

 

Abbey Capital Futures Strategy Fund

 

Notes To Consolidated Financial Statements (Concluded)

February 28, 2023 (Unaudited)

 

6. New Accounting Pronouncements and Regulatory Updates

 

In June 2022, the FASB issued Accounting Standards Update 2022-03, which amends Fair Value Measurement (Topic 820): Fair Value Measurement of Equity Securities Subject to Contractual Sale Restrictions (“ASU 2022-03”). ASU 2022-03 clarifies guidance for fair value measurement of an equity security subject to a contractual sale restriction and establishes new disclosure requirements for such equity securities. ASU 2022-03 is effective for fiscal years beginning after December 15, 2023 and for interim periods within those fiscal years, with early adoption permitted. Management is currently evaluating the impact of these amendments on the financial statements.

 

7. Subsequent Events

 

Management has evaluated the impact of all subsequent events on the Fund through the date the financial statements were issued and has determined that there were no significant events requiring recognition or disclosure in the financial statements.

 

48

 

 

Abbey Capital Futures Strategy Fund

 

Other Information

(Unaudited)

 

Proxy Voting

 

Policies and procedures that the Fund uses to determine how to vote proxies relating to portfolio securities as well as information regarding how the Fund voted proxies relating to portfolio securities for the most recent twelve-month period ended June 30 are available without charge, upon request, by calling (844) 261-6484 and on the SEC’s website at http://www.sec.gov.

 

Quarterly Portfolio Schedules

 

The Company files its complete schedule of portfolio holdings with the SEC for the first and third fiscal quarters of each fiscal year (quarters ended November 30 and May 31) as an exhibit to its report on Form N-PORT. The Company’s Forms N-PORT are available on the SEC’s website at http://www.sec.gov.

 

49

 

 

Investment Adviser
Abbey Capital Limited
1-2 Cavendish Row
Dublin 1, Ireland

 

Administrator and Transfer Agent
U.S. Bancorp Fund Services, LLC
P.O. Box 701
Milwaukee, WI 53201

 

Principal Underwriter
Quasar Distributors, LLC
111 E Kilbourn Ave, Suite 2200
Milwaukee, WI 53202

 

Custodian
U.S. Bank, N.A.
1555 North Rivercenter Drive, Suite 302
Milwaukee, WI 53212

 

Independent Registered Public Accounting Firm
Ernst & Young LLP
One Commerce Square
2005 Market Street, Suite 700
Philadelphia, PA 19103

 

Legal Counsel
Faegre Drinker Biddle & Reath LLP
One Logan Square, Suite 2000
Philadelphia, PA 19103-6996

 

AFS-SAR23

 

 

 

 

 

 

 

Abbey Capital Multi Asset Fund

 

of

 

THE RBB FUND, INC.

 

 

Semi-Annual Report

 

 

 

 

February 28, 2023

 

(Unaudited)

 

 

 

 

Abbey Capital Multi Asset Fund

 

Semi-Annual Investment Adviser’s Report (Unaudited)

February 28, 2023

 

Dear Shareholder,

 

The Abbey Capital Multi Asset Fund (the “Fund”) Class I Shares returned -0.84% net of fees for the 6-month fiscal period ended February 28, 2022. Negative performance was recorded by both the managed futures and long US equity components of the Fund’s investment strategy. The managed futures component recorded losses from trading in commodity markets, with negative performance recorded in energy, metals and agricultural commodities. The Fund’s long US equity component saw losses from its holdings in S&P 500 futures over the 6-month period. The Fund targets approximately 100% exposure of its net assets to its managed futures strategy and approximately 50% exposure to its long US equity strategy. The Fund’s remaining net assets are allocated to its fixed income strategy. The managed futures strategy is achieved by the Fund investing up to 25% of its total assets in ACMAF Master Offshore Limited (the “ACMAF Master”), a wholly-owned subsidiary of the Fund that invests substantially all of its assets in ACMAF Offshore SPC, which is a wholly-owned and controlled segregated portfolio company that invests in managed futures and foreign exchange contracts. As part of its managed futures strategy, the Fund may also invest a portion of its assets in ACMAF Onshore Series LLC, a wholly-owned subsidiary of the Fund which is a multi-adviser fund that invests in managed futures and foreign exchange contracts.

 

Average Total Returns for the Periods Ended February 28, 2023

 

 

2023 YTD

1 YEAR

SEP. 1, 2022
TO FEB. 28,
2023

ANNUALIZED
SINCE
INCEPTION ON
APRIL 11, 2018

Class I Shares*

2.80%

8.41%

-0.84%

12.56%

Class A Shares**

2.80%

8.17%

-0.98%

12.27%

Class A Shares (max load)**

-3.07%

1.92%

-6.68%

10.92%

Class C Shares***

2.65%

7.37%

-1.33%

11.44%

Class C Shares (max load)***

1.65%

6.37%

-2.28%

11.44%

S&P 500® Total Return Index****

3.69%

-7.69%

1.26%

10.49%

BofA Merrill Lynch 3-Month T-Bill Index****

0.64%

2.10%

1.74%

1.34%

Barclay CTA Index****

0.03%

5.15%

-0.62%

4.30%

 

Barclay CTA numbers are based on the estimates available on the BarclayHedge website as of March 15, 2023

 

Source: Abbey Capital, Bloomberg and BarclayHedge

 

Performance quoted is past performance and does not guarantee future results. The performance data quoted represents past performance. Past performance does not guarantee future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance data quoted. Performance would have been lower without fee waivers in effect. Visit www.abbeycapital.com for returns updated daily. Call (US Toll Free) 1-844-261-6484 or (international callers) +1-508-871-3276 for returns current to the most recent month-end.

 

Please note the above is shown for illustrative purposes only.

 

*

The Fund commenced operations as a series of The RBB Fund, Inc. on April 11, 2018, when all of the assets of Abbey Global LP transferred to Class I Shares of the Fund. For clarity, on February 28, 2023, all references to Abbey Global LP’s performance were removed from the Fund’s prospectus.

 

**

The inception date of the Class A Shares was February 16, 2022. Returns for Class A Shares prior to February 16, 2022 are pro forma (i.e. returns of Class I Shares from April 11, 2018 adjusted for Class A Shares expenses). Purchases of Class A Shares of the Fund are subject to a front-end sales charge of up to 5.75% of the total purchase price; however, sales charges may be reduced for large purchases as outlined in the Fund’s prospectus. For Class A Shares sold by the Distributor, the Distributor will receive the sales charge imposed on purchases of Class A Shares (or any contingent deferred sales charge paid on redemptions) and

 

1

 

 

Abbey Capital Multi Asset Fund

 

Semi-Annual Investment Adviser’s Report (Unaudited) (Continued)

February 28, 2023

 

may retain the full amount of such sales charge. The sales charges or underwriter concessions (the difference between the sales charge and the dealer reallowance) received by the Distributor may be made available to the Fund for pre-approved marketing expenses or may be used to offset the compensation owed by the Adviser to the Distributor for its services. Sales charges are not imposed on Shares that are purchased with reinvested dividends or other distributions.

 

***

The inception date of the Class C Shares was November 8, 2021. Returns for Class C Shares prior to November 8, 2021 are pro forma (i.e. returns of Class I Shares from April 11, 2018 adjusted for Class C Shares expenses). Performance results with sales charges (“with load”) reflect the deduction of the applicable contingent deferred sales charge (“CDSC”). Class C shares are subject to a CDSC of 1.00% if you redeem your shares within twelve (12) months of purchase, based on the lesser of the shares’ cost at purchase or current net asset value at time of redemption. Performance presented without sales charges does not include the CDSC and would be lower if a charge was reflected.

 

****

The Barclay CTA Index is derived from data that is self-reported by investment managers based on the performance of privately managed funds. In contrast, the S&P 500® Total Return Index and the Bank of America Merrill Lynch 3-Month T-Bill Index are comprised of publicly traded securities. As a result of these differences, these indices may not be directly comparable and the table above is shown for illustrative purposes only.

 

Abbey Capital Limited (the “Adviser”) has contractually agreed to waive its advisory fee and/or reimburse expenses in order to limit total annual fund operating expenses (excluding acquired fund fees and expenses, brokerage commissions, extraordinary items, interest or taxes) to 1.79%, 2.04% and 2.79% of the Fund’s average daily net assets attributable to Class I Shares, Class A Shares and Class C Shares, respectively. This contractual limitation is in effect until December 31, 2023, and may not be terminated without the approval of the Board of Directors of The RBB Fund, Inc. In addition, the Adviser may recoup any waived or reimbursed amounts from the Fund within three years from the date on which such waiver or reimbursement was made by the Adviser, provided such reimbursement does not cause the Fund to exceed expense limitations that were in effect at the time of the waiver or reimbursement. Without the expense limitation agreement, the expense ratios are 1.98%, 2.23% and 2.98% of the Fund’s average daily net assets attributable to Class I Shares, Class A Shares and Class C Shares, respectively, as stated in the Fund’s prospectus dated December 31, 2022 (as revised February 28, 2023) (and which may differ from the actual expense ratios for the period covered by this report). The quoted performance would have been lower without the expense limitation.

 

Please refer to the Fund’s prospectus for further information on expenses and fees.

 

Performance Analysis

 

The 6-month period ended February 28, 2023 was negative for Fund performance with losses recorded by both the managed futures allocation and the long US equity allocation.

 

Inflation, and the outlook for central bank policy, were key drivers of markets over the period. Market expectations for rate hikes in the US and elsewhere shifted several times during the 6- month period, with uncertainty about the outlook for monetary policy contributing to multiple reversals in asset prices and in broader market sentiment.

 

Expectations for monetary policy were relatively hawkish in September 2022. The US Federal Reserve and the European Central Bank both hiked rates by 0.75%, while US inflation was stronger than expected and eurozone inflation reached double digits. Fund performance was positive in September 2022 as gains for the managed futures allocation outweighed losses for the long equity allocation. The managed futures allocation profited from the continuation of some of the most notable trends from earlier in 2022, namely uptrends in the US Dollar and in global yields. However, the hawkish outlook weighed on global equity prices, with the long equity allocation experiencing losses as the S&P 500 finished the month of September 2022 9.3% lower.

 

Performance in quarter four of 2022 was more challenging, as reversals in sentiment during the quarter led to corrections in price trends across several markets. Further signs of slowing US inflation initially saw investors price a slower pace of US Federal Reserve tightening. This led to a rebound in equity markets, and a reversal of uptrends in global yields and in the US Dollar. Sentiment shifted in December, however, as guidance from the US Federal Reserve and European Central Bank proved more hawkish than expected. This saw some of the price trends from earlier in the quarter unwind as equities declined and uptrends in global yields resumed.

 

2

 

 

Abbey Capital Multi Asset Fund

 

Semi-Annual Investment Adviser’s Report (Unaudited) (Continued)

February 28, 2023

 

The managed futures allocation was negative in quarter four of 2022 as trend reversals in the US Dollar and choppy price moves in equities resulted in losses. Meanwhile, the long equity allocation was positive as the S&P 500 recorded its first positive quarter of 2022, rising 7.1%.

 

Performance during the first two months of 2023 was positive. The rally in equities in January 2023 was the primary driver of gains for both the managed futures allocation and the long equity allocation, with stocks buoyed by hopes that we were approaching the end of the US rate hiking cycle and solid corporate earnings data. This rally in stocks retraced somewhat in February 2023 as some stronger than expected US inflation data saw expectations for rate hikes increased. Despite mixed signals on the direction of monetary policy, the S&P 500 rose 3.4% overall in the first two months of 2023.

 

Similar to financial markets, commodities markets were also choppy during the 6-month period with several markets experiencing a lack of clear trends and frequent price reversals. The Fund’s largest losses occurred in commodities, with negative performance recorded in energy, metals and agricultural commodities.

 

Energy was the largest detractor from Fund performance over the 6-month period. Losses were concentrated in crude oil and distillate contracts. Both long and short positions in energy recorded losses at different times as price reversals and a lack of clear direction in prices proved difficult for the Fund’s managed futures allocation. Several developments on both the supply and demand side contributed to these choppy price moves. These included evidence of a slowdown in global growth, shifts in Chinese demand expectations as it eased its COVID-19 restrictions, supply cuts from OPEC+ and rising inventories later in the period.

 

Performance in metals was also challenging, with losses recorded in both precious metals and base metals. As we saw in energy markets, frequent price corrections led to losses for the Fund’s managed futures allocation with long and short positions detracting at different times during the period. In agricultural commodities, losses were concentrated in corn and coffee contracts.

 

Performance in equities was also negative over the 6-month period, with the long equity allocation recording losses from its allocation to S&P 500 futures. Performance of the managed futures allocation was close to flat in the sector.

 

Performance for US equities was mixed over the period. The outlook for monetary policy was a key driver of US stocks. Periods when investors priced a more aggressive pace of US Federal Reserve policy tightening were typically negative for the S&P 500. Conversely, periods when monetary policy expectations turned more dovish were generally positive.

 

Despite the S&P 500 index finishing the 6-month period up 0.4%, the long US equity allocation that invests exclusively in S&P 500 futures recorded negative performance over the period.

 

A key reason for this was the size of positioning for the long US equity allocation over the 6-month period. Positioning was maintained below 50% of the Fund’s total assets over the first half of the 6-month period when the S&P 500 rallied. This led to underperformance relative to what a static 50% allocation would have returned, most notably in early November 2022 when the S&P 500 rallied sharply as further evidence of slowing US inflation led to forecasts of a slower pace of Federal Reserve tightening.

 

Positioning for the long US equity allocation was moved closer to 50% of the Fund’s total assets in December 2022. Positioning was maintained close to 50% of the Fund’s total assets for the remainder of the 6-month window, with the S&P 500 performing negatively over the December 2022 to February 2023 period.

 

In contrast, the Fund’s largest gains were observed in fixed income with short positions in bonds and interest rates both contributing positively to returns. Despite the frequent changes in outlook for monetary policy, global yields rose as central banks in most major markets hiked rates and as inflation, despite signs of slowing, remained elevated. The Fund’s largest gains arose from shorts in US Treasury and US interest rate contracts.

 

Gains in emerging market currencies were concentrated in the Mexican Peso. Long positions resulted in gains as the currency trended higher for much of the period alongside higher local market rates. In early 2023, the Mexican Peso hit its highest level since 2018 against the US Dollar following larger than expected rate hikes by the Mexican central bank.

 

3

 

 

Abbey Capital Multi Asset Fund

 

Semi-Annual Investment Adviser’s Report (Unaudited) (Concluded)

February 28, 2023

 

An investment in the Fund is speculative and involves substantial risk. It is possible that an investor may lose some or all of their investment. The Fund may invest up to 25% of its total assets in ACMAF Master, which is a multi-adviser fund that invests in managed futures and foreign exchange contracts. The Fund may also invest a portion of its assets into ACMAF Onshore Series LLC, which is a multi- adviser fund that invests in managed futures and foreign exchange contracts. All investments in securities involve risk of the loss of capital. An investment in the Fund includes the risks inherent in an investment in securities, as well as specific risks associated with this open-ended investment product. Among the risks associated with investing in this Fund are Commodity Sector Risk, Counter- Party Risk, Credit Risk, Currency Risk, Manager and Management Risks, Subsidiary Risk, Tax Risk, Emerging Markets Risk, Leveraging Risk, Foreign Investment Risk, Fixed Income Securities Risks, Short Sale Risk and Portfolio Turnover Risks. The Fund may invest in or utilize derivative investments, futures contracts, and hedging strategies. One or more Trading Advisers, from time to time, may invest a substantial portion of the assets managed in a specific industry sector. As a result, the Fund’s investment portfolio may be subject to greater risk and volatility than if investments had been made in the securities of a broader range of issuers. There can be no assurance that the Fund’s strategy (hedging or otherwise) will be successful or that it will employ such strategies with respect to all or any portion of its portfolio. The value of the Fund’s portfolio investments should be expected to fluctuate. Investing in managed futures is not suitable for all investors given its speculative nature and the high level of risk involved. The Fund is appropriate only for investors who can bear the risks associated with the product. This brief statement cannot disclose all of the risks and other factors necessary to evaluate an investment in the Fund. Investors are urged to take appropriate investment advice and to carefully consider their investment objectives, personal situation, and factors such as net worth, income, age, risk tolerance and liquidity needs before investing in the Fund. Before investing, investors should carefully consider the Fund’s investment objectives, risks, tax considerations, sales charges and expenses.

 

Fund holdings and sector allocations are subject to change and should not be considered recommendations to buy or sell any security. Please refer to the Consolidated Portfolio of Investments in this report for a complete list of Fund holdings.

 

The Abbey Capital Multi Asset Fund is distributed by Quasar Distributions, LLC.

 

This report is submitted for general information to the shareholders of the Fund. It is not authorized for distribution unless preceded or accompanied by a current prospectus for the Fund. Opinions expressed are subject to change at any time, are not guaranteed, and should not be considered investment advice.

 

4

 

 

Abbey Capital Multi Asset Fund

 

Performance Data

February 28, 2023 (Unaudited)

 

Average Annual Total Returns for the Periods Ended February 28, 2023

 
 

Six
Months

One
Year

Three
Years

Since
Inception††

 

Class A Shares (without sales charge) (Pro forma April 11, 2018 to February 16, 2022)

-0.98%

8.17%

15.76%

12.27%*

 

Class A Shares (with sales charge) (Pro forma April 11, 2018 to February 16, 2022)

-6.68%

1.92%

13.50%

10.92%*

 

S&P 500® Total Return Index

1.26%

-7.69%

12.15%

10.49%**

 

ICE BofA 3-Month U.S. Treasury Bill Index***

1.74%

2.10%

0.84%

1.34%**

 

Barclay CTA Index***

-0.62%

5.15%

6.04%

4.30%**

 

 

Not annualized.

 

††

Inception date of Class A Shares of the Fund was February 16, 2022 and the inception date of the Fund was April 11, 2018. Performance information is from the inception date of the Fund.

*

Class A Shares performance prior to its inception on February 16, 2022 is the performance of Class I Shares, adjusted for the Class A Shares expense ratio.

**

Performance is from the inception date of the Fund and is not the inception date of the index itself. The above is shown for illustrative purposes only.

***

This is not a primary benchmark of the Fund. Results of the index performance are presented for general comparative purposes.

 

The Fund charges a 5.75% maximum sales charge on purchases (as a percentage of offering price) of Class A Shares. The performance data quoted reflects fee waivers in effect and would have been less in their absence. The Adviser has contractually agreed to waive its advisory fee and/or reimburse expenses in order to limit total annual Fund operating expenses (excluding acquired fund fees and expenses, brokerage commissions, extraordinary items, interest or taxes) to 2.04% of the Fund’s average daily net assets attributable to Class A Shares. Without the limitation arrangement, the gross expense ratio is 2.23% for Class A Shares as stated in the current prospectus, as supplemented (and which may differ from the actual expense ratio for the period covered by this report). This contractual limitation is in effect until December 31, 2023 and may not be terminated without the approval of the Board of Directors of The RBB Fund, Inc. Please see the Consolidated Financial Highlights for current figures.

 

5

 

 

Abbey Capital Multi Asset Fund

 

Performance Data (Continued)

February 28, 2023 (Unaudited)

 

Average Annual Total Returns for the Periods Ended February 28, 2023

 
 

Six
Months

One
Year

Three
Years

Since
Inception††

 

Class I Shares

-0.84%

8.41%

16.07%

12.56%

 

S&P 500® Total Return Index

1.26%

-7.69%

12.15%

10.49%*

 

ICE BofA 3-Month U.S. Treasury Bill Index**

1.74%

2.10%

0.84%

1.34%*

 

Barclay CTA Index***

-0.62%

5.15%

6.04%

4.30%*

 

 

Not annualized.

††

Inception date of Class I Shares of the Fund was April 11, 2018.

*

Performance is from the inception date of the Fund only and is not the inception date of the index itself.

**

This is not a primary benchmark of the Fund. Results of the index performance are presented for general comparative purposes.

 

The performance quoted reflects fee waivers in effect and would have been less in their absence. The Adviser has contractually agreed to waive its advisory fee and/or reimburse expenses in order to limit total annual Fund operating expenses (excluding acquired fund fees and expenses, brokerage commissions, extraordinary items, interest or taxes) to 1.79% of the Fund’s average daily net assets attributable to Class I Shares. Without the limitation arrangement, the gross expense ratio is 1.98% for Class I Shares, as stated in the current prospectus (and which may differ from the actual expense ratio for the period covered by this report). This contractual limitation is in effect until December 31, 2023 and may not be terminated without the approval of the Board of Directors of The RBB Fund, Inc. Please see the Consolidated Financial Highlights for current figures.

 

6

 

 

Abbey Capital Multi Asset Fund

 

Performance Data (Continued)

February 28, 2023 (Unaudited)

 

Average Annual Total Returns for the Periods Ended February 28, 2023

 
 

Six
Months

One
Year

Three
Years

Since
Inception††

 

Class C Shares (without contingent deferred sales charge) (Pro forma April 11, 2018 to November 8, 2021)

-1.33%

7.37%

14.91%

11.44%*

 

Class C Shares (with contingent deferred sales charge) (Pro forma April 11, 2018 to November 8, 2021)

-2.28%

6.37%

14.91%

11.44%*

 

S&P 500® Total Return Index

1.26%

-7.69%

12.15%

10.49%**

 

ICE BofA 3-Month U.S. Treasury Bill Index***

1.74%

2.10%

0.84%

1.34%**

 

Barclay CTA Index***

-0.62%

5.15%

6.04%

4.30%**

 

 

Not annualized.

††

Inception date of Class C Shares of the Fund was November 8, 2021 and the inception date of the Fund was April 11, 2018. Performance information is from the inception date of the Fund.

*

Class C Shares performance prior to its inception on November 8, 2021 is the performance of Class I Shares, adjusted for the Class C Shares expense ratio.

**

Performance is from the inception date of the Fund and is not the inception date of the index itself. The above is shown for illustrative purposes only.

***

This is not a primary benchmark of the Fund. Results of the index performance are presented for general comparative purposes.

 

The Fund charges a contingent deferred sales charge (“CDSC”) of 1.00% on certain redemptions of Class C Shares made within 12 months of purchase. The CDSC is assessed on an amount equal to the lesser of the offering price at the time of purchase of the Class C Shares redeemed or the net asset value of the Class C Shares redeemed at the time of redemption.

 

The performance data quoted reflects fee waivers in effect and would have been less in their absence. The Adviser has contractually agreed to waive its advisory fee and/or reimburse expenses in order to limit total annual Fund operating expenses (excluding acquired fund fees and expenses, brokerage commissions, extraordinary items, interest or taxes) to 2.79% of the Fund’s average daily net assets attributable to Class C Shares. Without the limitation arrangement, the gross expense ratio is 2.98% for Class C Shares, as stated in the current prospectus (and which may differ from the actual expense ratios for the period covered by this report). This contractual limitation is in effect until December 31, 2023 and may not be terminated without the approval of the Board of Directors of The RBB Fund, Inc. Please see the Consolidated Financial Highlights for current figures.

 

Performance quoted is past performance and does not guarantee future results. Investment return and principal value of an investment will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the returns quoted. Visit www.abbeycapital.com for returns updated daily. Call (US Toll Free) 1-844-261-6484 or (international callers) + 1-508-871-3276 for returns current to the most recent month-end.

 

The Barclay CTA Index is derived from data which is self-reported by investment managers based on the performance of privately managed funds. In contrast, the S&P 500® Total Return Index and the ICE BofA 3-Month U.S. Treasury Bill Index are comprised of publicly traded securities. As a result of these differences, these indices may not be directly comparable. Additionally, these indices are not available for direct investment and the above is shown for illustrative purposes only.

 

7

 

 

Abbey Capital Multi Asset Fund

 

Performance Data (Concluded)

February 28, 2023 (Unaudited)

 

Barclay CTA Index

 

The Barclay CTA Index is a leading industry benchmark of representative performance of commodity trading advisors. There are currently 412 programs included in the calculation of the Barclay CTA Index for 2023. The Barclay CTA Index is equally weighted and rebalanced at the beginning of each year.

 

ICE BofA 3-Month U.S. Treasury Bill Index

 

The ICE BofA 3-Month U.S. Treasury Bill Index is an unmanaged market index of U.S. Treasury securities maturing in 90 days that assumes reinvestment of all income.

 

The S&P 500® Total Return Index

 

The S&P 500® Total Return Index is the total return version of the S&P 500® Index. Dividends are reinvested on a daily basis and all regular cash dividends are assumed reinvested in the index on the ex-dividend date.

 

A basis point is one hundredth of one percent.

 

Portfolio composition is subject to change. It is not possible to invest directly in an index.

 

8

 

 

Abbey Capital Multi Asset Fund

 

Fund Expense Example

February 28, 2023 (Unaudited)

 

As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments, (if any) and (2) ongoing costs, including management fees, distribution and/or service (12b-1) fees and other Fund expenses. These examples are intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.

 

These examples are based on an investment of $1,000 invested at the beginning of the six-month period from September 1, 2022 through February 28, 2023, and held for the entire period.

 

ACTUAL EXPENSES

 

The first section of the accompanying table provides information about actual account values and actual expenses. You may use the information in this section, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first section under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.

 

HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES

 

The second section of the accompanying table provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare these 5% hypothetical examples with the 5% hypothetical examples that appear in the shareholder reports of other funds.

 

Please note that the expenses shown in the accompanying table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads) on purchase payments (if any). Therefore, the second section of the accompanying table is useful in comparing ongoing costs only and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.

 

 

Beginning
Account Value
September 1, 2022

Ending
Account Value
February 28, 2023

Expenses Paid
During Period
(1)

Annualized
Expense Ratio
(2)

Actual Six-Month
Total Investment
Returns
for the Fund

Actual

         

Class A Shares

$ 1,000.00

$ 990.20

$ 10.07

2.04%

-0.98%

Class I Shares

1,000.00

991.60

8.84

1.79%

-0.84%

Class C Shares

1,000.00

986.70

13.74

2.79%

-1.33%

Hypothetical (5% return before expenses)

   

Class A Shares

$ 1,000.00

$ 1,014.68

$ 10.19

2.04%

N/A

Class I Shares

1,000.00

1,015.92

8.95

1.79%

N/A

Class C Shares

1,000.00

1,010.96

13.91

2.79%

N/A

 

(1)

Expenses are equal to the Fund’s Class A Shares, Class I Shares, and Class C Shares annualized six-month expense ratios for the period September 1, 2022 through February 28, 2023, multiplied by the average account value over the period, multiplied by the number of days (181) in the most recent fiscal half-year, then divided by 365 to reflect the one half year period. The Fund’s ending account values in the first section in the table are based on the actual six-month total investment return for the Fund’s respective share classes.

 

(2)

Ratios reflect expenses waived by the Fund’s investment adviser. Without these waivers, the Fund’s expenses would have been higher and the ending account values would have been lower.

 

9

 

 

Abbey Capital Multi Asset Fund

 

Consolidated Portfolio Holdings Summary Table

February 28, 2023 (Unaudited)

 

The following table presents a consolidated summary of the portfolio holdings of the Fund:

 

 

% of Net
Assets

   

Value

 

SHORT-TERM INVESTMENTS:

               

U.S. Treasury Obligations

    80.3 %   $ 359,810,665  

Money Market Deposit Account

    4.5       20,002,097  

OTHER ASSETS IN EXCESS OF LIABILITIES

               

(including futures and forward foreign currency contracts)

    15.2       67,832,889  

NET ASSETS

    100.0 %   $ 447,645,651  

 

 

The Fund seeks to achieve its investment objective by allocating its assets between a “Managed Futures” strategy and a “Long U.S. Equity” Strategy and a “Fixed Income” strategy.

 

As a result of the Fund’s use of derivatives, the Fund may hold significant amounts of U.S. Treasuries or short-term investments.

 

Portfolio holdings are subject to change at any time.

 

Refer to the Consolidated Portfolio of Investments for a detailed listing of the Fund’s holdings.

 

The accompanying notes are an integral part of the consolidated financial statements.
10

 

 

Abbey Capital Multi Asset Fund

 

Consolidated Portfolio of Investments

February 28, 2023 (Unaudited)

 

   

Coupon*

   

Maturity
Date

   

Par
(000’s)

   

Value

 

SHORT-TERM INVESTMENTS - 84.8%

                               

U.S. TREASURY OBLIGATIONS - 80.3%

                               

U.S. Treasury Bills

    3.358%       03/02/23     $ 10,922     $ 10,920,680  

U.S. Treasury Bills

    3.522%       03/09/23       12,029       12,017,030  

U.S. Treasury Bills

    3.851%       03/16/23       7,978       7,963,140  

U.S. Treasury Bills

    3.880%       03/23/23       16,113       16,070,634  

U.S. Treasury Bills

    3.940%       03/30/23       16,810       16,751,129  

U.S. Treasury Bills

    4.091%       04/06/23       15,200       15,132,850  

U.S. Treasury Bills

    4.337%       04/13/23       30,793       30,628,996  

U.S. Treasury Bills

    4.481%       04/20/23       17,381       17,270,431  

U.S. Treasury Bills

    4.512%       04/27/23       10,601       10,523,055  

U.S. Treasury Bills

    4.630%       05/04/23       9,329       9,252,353  

U.S. Treasury Bills

    4.562%       05/11/23       15,935       15,788,785  

U.S. Treasury Bills

    4.652%       05/18/23       10,410       10,305,046  

U.S. Treasury Bills

    4.727%       05/25/23       16,543       16,361,836  

U.S. Treasury Bills

    4.714%       06/01/23       8,487       8,385,112  

U.S. Treasury Bills

    4.701%       06/08/23       11,214       11,070,478  

U.S. Treasury Bills

    4.690%       06/22/23       6,528       6,431,540  

U.S. Treasury Bills

    4.780%       06/29/23       6,948       6,839,843  

U.S. Treasury Bills

    4.859%       07/06/23       14,052       13,816,985  

U.S. Treasury Bills

    4.827%       07/13/23       12,185       11,970,328  

U.S. Treasury Bills

    4.857%       07/20/23       17,882       17,550,353  

U.S. Treasury Bills

    4.819%       07/27/23       16,965       16,634,979  

U.S. Treasury Bills

    4.827%       08/03/23       16,231       15,897,762  

U.S. Treasury Bills

    4.937%       08/10/23       27,492       26,898,483  

U.S. Treasury Bills

    5.057%       08/17/23       9,397       9,183,931  

U.S. Treasury Bills

    5.142%       08/24/23       26,785       26,144,906  

TOTAL U.S. TREASURY OBLIGATIONS (Cost $359,958,318)

                            359,810,665  

 

   

Number of
Shares
(000’s)

         

MONEY MARKET DEPOSIT ACCOUNT — 4.5%

               

U.S. Bank Money Market Deposit Account, 4.25% (United States)(a)

    20,002       20,002,097  

TOTAL MONEY MARKET DEPOSIT ACCOUNT (Cost $20,002,097)

            20,002,097  
                 

TOTAL SHORT-TERM INVESTMENTS

               

(Cost $379,960,415)

            379,812,762  

TOTAL INVESTMENTS — 84.8%

               

(Cost $379,960,415)

            379,812,762  
                 

OTHER ASSETS IN EXCESS OF LIABILITIES — 15.2%

            67,832,889  

NET ASSETS — 100.0%

          $ 447,645,651  

 

 

*

Short-term investments’ coupon reflect the annualized effective yield on the date of purchase for discounted investments.

 

(a)

The rate shown is as of February 28, 2023.

 

The accompanying notes are an integral part of the consolidated financial statements.
11

 

 

Abbey Capital Multi Asset Fund

 

Consolidated Portfolio of Investments (Continued)

February 28, 2023 (Unaudited)

 

Futures contracts outstanding as of February 28, 2023 were as follows:

 

Long Contracts

 

Expiration
Date

   

Number of
Contracts

   

Notional
Amount

   

Value and
Unrealized
Appreciation/
(Depreciation)

 

3-Month Euro Euribor

    Dec-25       9     $ 2,308,306     $ (10,551 )

3-Month SONIA Index Futures

    Sep-23       241       69,011,092       (239,983 )

3-Month SONIA Index Futures

    Sep-24       24       6,908,199       (45,813 )

3-Month SONIA Index Futures

    Sep-25       25       7,227,991       (31,875 )

90-DAY Bank Bill

    Sep-23       21       13,978,598       (18,048 )

Amsterdam Index Futures

    Mar-23       61       9,727,998       (139,406 )

Australian 10-Year Bond Futures

    Mar-23       44       3,483,649       480  

Australian 3-Year Bond Futures

    Mar-23       27       1,939,254       (19,903 )

Brent Crude Futures

    May-23       1       83,450       (210 )

CAC40 10 Euro Futures

    Mar-23       163       12,545,887       (2,832 )

CAD Currency Futures

    Mar-23       2       146,770       (430 )

Cattle Feeder Futures

    Apr-23       1       97,538       1,675  

Cattle Feeder Futures

    May-23       1       99,813       200  

Cocoa Futures

    May-23       37       1,031,930       16,930  

Cocoa Futures

    Jul-23       17       473,960       9,520  

Cocoa Futures ICE

    May-23       36       921,911       30,817  

Cocoa Futures ICE

    Jul-23       25       634,202       25,356  

Coffee Robusta Futures

    May-23       6       128,400       1,230  

Coffee Robusta Futures

    Jul-23       1       21,290       890  

Copper Futures

    May-23       23       2,351,463       (17,827 )

Corn Futures

    May-23       268       8,445,350       (316,227 )

Corn Futures

    Jul-23       52       1,617,850       (106,988 )

Corn Futures

    Dec-23       2       56,975       (3,550 )

DAX Index Futures

    Mar-23       53       21,590,723       245,276  

DAX-Mini Futures

    Mar-23       1       81,474       4,707  

DJIA Mini E-CBOT

    Mar-23       48       7,843,680       (282,420 )

Dollar Index

    Mar-23       7       733,775       12,016  

E-Mini Technology Select Futures

    Mar-23       1       137,770       (410 )

EUR Foreign Exchange Currency Futures

    Mar-23       184       24,361,599       (166,863 )

Euro STOXX 50

    Mar-23       236       10,601,216       418,192  

Euro/JPY Futures

    Mar-23       43       5,681,539       (2,038 )

Euro-Bobl Futures

    Mar-23       162       19,735,744       (141,932 )

Euro-BTP Futures

    Mar-23       10       1,191,919       (37,115 )

Euro-Bund Futures

    Mar-23       58       8,153,556       (86,488 )

Euro-Oat Futures

    Mar-23       4       540,272       (16,532 )

European Climate Exchange Futures

    Dec-23       8       844,466       39,769  

European Climate Exchange Futures

    Dec-24       1       110,847       5,426  

FTSE 100 Index Futures

    Mar-23       425       40,188,816       773,877  

FTSE China A50 Index

    Mar-23       27       360,180       (4,538 )

FTSE Taiwan Index

    Mar-23       3       162,150       (1,720 )

FTSE/JSE TOP 40

    Mar-23       7       273,307       (8,254 )

FTSE/MIB Index Futures

    Mar-23       57       8,292,718       630,916  

Gasoline RBOB Futures

    Apr-23       50       5,548,200       108,887  

GBP Currency Futures

    Mar-23       47       3,541,744       (12,063 )

Gold 100 Oz Futures

    Apr-23       68       12,489,560       (366,521 )

Hang Seng China Enterprises Index Futures

    Mar-23       21       882,469       (37,455 )

Hang Seng Index Futures

    Mar-23       61       7,671,045       (229,750 )

IBEX 35 Index Futures

    Mar-23       3       298,670       2,986  

 

The accompanying notes are an integral part of the consolidated financial statements.
12

 

 

Abbey Capital Multi Asset Fund

 

Consolidated Portfolio of Investments (Continued)

February 28, 2023 (Unaudited)

 

Long Contracts

 

Expiration
Date

   

Number of
Contracts

   

Notional
Amount

   

Value and
Unrealized
Appreciation/
(Depreciation)

 

JPY Currency Futures

    Mar-23       37     $ 3,403,769     $ (194,338 )

Kansas City Hard Red Winter Wheat Futures

    Jul-23       1       40,325       (3,925 )

Live Cattle Futures

    Apr-23       25       1,654,750       20,820  

Live Cattle Futures

    Jun-23       50       3,227,000       20,340  

Live Cattle Futures

    Aug-23       12       769,200       11,330  

Live Cattle Futures

    Oct-23       2       131,480       2,280  

LME Aluminum Forward

    Mar-23       3       174,572       (15,506 )

LME Aluminum Forward

    Mar-23       399       23,312,871       (1,039,447 )

LME Aluminum Forward

    Mar-23       2       116,973       (14,506 )

LME Aluminum Forward

    Apr-23       2       117,338       (14,661 )

LME Aluminum Forward

    Apr-23       1       58,685       1,522  

LME Aluminum Forward

    Apr-23       1       58,695       1,908  

LME Aluminum Forward

    Apr-23       3       176,279       (11,353 )

LME Aluminum Forward

    Apr-23       5       294,119       (32,206 )

LME Aluminum Forward

    Apr-23       2       117,704       (13,234 )

LME Aluminum Forward

    Apr-23       1       58,907       (7,006 )

LME Aluminum Forward

    Apr-23       2       117,884       (13,017 )

LME Aluminum Forward

    May-23       1       59,091       91  

LME Aluminum Forward

    May-23       2       118,257       402  

LME Aluminum Forward

    May-23       2       118,332       402  

LME Aluminum Forward

    May-23       2       118,382       402  

LME Aluminum Forward

    May-23       2       118,475       (3,388 )

LME Aluminum Forward

    Jun-23       68       4,052,800       (148,991 )

LME Copper Forward

    Mar-23       198       44,347,049       1,759,786  

LME Copper Forward

    Apr-23       2       447,922       4,060  

LME Copper Forward

    Apr-23       1       224,013       (9,275 )

LME Copper Forward

    Apr-23       2       448,100       11,013  

LME Copper Forward

    Apr-23       1       224,050       (4,363 )

LME Copper Forward

    Apr-23       2       448,077       (7,024 )

LME Copper Forward

    May-23       1       224,094       (2,094 )

LME Copper Forward

    May-23       6       1,344,101       35,663  

LME Copper Forward

    Jun-23       89       19,942,674       (69,351 )

LME Lead Forward

    Mar-23       1       52,563       (2,700 )

LME Lead Forward

    Mar-23       69       3,619,050       (138,668 )

LME Lead Forward

    Mar-23       1       52,424       (4,295 )

LME Lead Forward

    Apr-23       2       104,978       (6,160 )

LME Lead Forward

    Apr-23       1       52,494       (2,498 )

LME Lead Forward

    Apr-23       1       52,525       (925 )

LME Lead Forward

    Apr-23       1       52,525       (3,125 )

LME Lead Forward

    Apr-23       2       105,050       (2,313 )

LME Lead Forward

    Apr-23       1       52,556       (831 )

LME Lead Forward

    Apr-23       2       105,125       (1,667 )

LME Lead Forward

    Apr-23       1       52,575       (2,350 )

LME Lead Forward

    Apr-23       1       52,581       (1,144 )

LME Lead Forward

    May-23       2       105,175       1,675  

LME Lead Forward

    Jun-23       2       105,357       (1,141 )

LME Nickel Forward

    Mar-23       1       147,601       (22,319 )

LME Nickel Forward

    Mar-23       1       147,693       (18,637 )

LME Nickel Forward

    Mar-23       1       147,707       (21,433 )

 

 

The accompanying notes are an integral part of the consolidated financial statements.
13

 

 

Abbey Capital Multi Asset Fund

 

Consolidated Portfolio of Investments (Continued)

February 28, 2023 (Unaudited)

 

Long Contracts

 

Expiration
Date

   

Number of
Contracts

   

Notional
Amount

   

Value and
Unrealized
Appreciation/
(Depreciation)

 

LME Nickel Forward

    Mar-23       1     $ 147,720     $ (18,624 )

LME Nickel Forward

    Mar-23       4       590,880       (126,525 )

LME Nickel Forward

    Mar-23       1       147,736       (25,994 )

LME Nickel Forward

    Mar-23       1       147,799       (18,821 )

LME Nickel Forward

    Mar-23       1       147,956       (37,474 )

LME Nickel Forward

    Apr-23       1       148,301       (16,735 )

LME Zinc Forward

    Mar-23       1       75,669       (2,281 )

LME Zinc Forward

    Mar-23       1       75,438       (5,763 )

LME Zinc Forward

    Mar-23       1       75,338       (5,300 )

LME Zinc Forward

    Mar-23       64       4,821,600       (400,328 )

LME Zinc Forward

    Mar-23       1       75,306       (400 )

LME Zinc Forward

    Mar-23       1       75,266       (10,288 )

LME Zinc Forward

    Mar-23       1       75,238       25  

LME Zinc Forward

    Apr-23       1       75,244       96  

LME Zinc Forward

    Apr-23       2       150,509       (10,054 )

LME Zinc Forward

    Apr-23       1       75,194       (9,031 )

LME Zinc Forward

    Apr-23       2       150,238       (23,725 )

LME Zinc Forward

    May-23       1       75,119       888  

LME Zinc Forward

    May-23       1       75,119       888  

LME Zinc Forward

    Jun-23       16       1,199,400       (52,261 )

Long Gilt Futures

    Jun-23       113       13,586,748       (117,699 )

Mini FTSE/MIB Pound Futures

    Mar-23       2       58,195       6,817  

Mini TOPIX Index Futures

    Mar-23       4       58,610       397  

MSCI EAFE Index Futures

    Mar-23       3       306,990       (8,675 )

MSCI Emerging Markets Index Futures

    Mar-23       29       1,396,205       (119,275 )

MXN Currency Futures

    Mar-23       224       6,099,520       411,725  

Nasdaq 100 E-Mini

    Mar-23       30       7,243,350       (47,918 )

Natural Gas Futures

    Apr-23       1       27,470       750  

Nikkei 225 (Chicago Mercantile Exchange)

    Mar-23       3       411,375       (2,925 )

Nikkei 225 (Osaka Securities Exchange)

    Mar-23       22       4,438,618       (9,254 )

Nikkei 225 (Singapore Exchange)

    Mar-23       96       9,675,443       1,506  

Nikkei 225 Mini

    Mar-23       83       1,674,569       (2,134 )

Nikkei/Yen Futures

    Mar-23       4       402,850       3,103  

NZD Currency Futures

    Mar-23       61       3,775,290       (44,620 )

OMX Helsinki All-Share Index Futures

    Mar-23       3       61,054       (329 )

OMX Stockholm 30 Index Futures

    Mar-23       548       11,663,584       (70,964 )

Orange Juice Futures

    May-23       1       38,040       2,865  

Palm Oil Futures

    Apr-23       1       23,003       (212 )

Palm Oil Futures

    May-23       1       23,075       (540 )

Platinum Futures

    Apr-23       1       47,775       (405 )

Rough Rice Futures

    May-23       1       34,700       (910 )

Russell 2000 E-Mini

    Mar-23       13       1,234,415       (44,855 )

S&P 500 E-Mini Futures

    Mar-23       1,140       226,603,499       (4,744,553 )

S&P Mid 400 E-Mini

    Mar-23       5       1,301,600       (7,390 )

S&P/TSX 60 IX Futures

    Mar-23       23       4,101,400       (58,336 )

SET50 Index Futures

    Mar-23       67       366,193       (14,964 )

SGX Iron Ore 62% Futures

    Apr-23       25       308,425       190  

SGX Nifty 50

    Mar-23       49       1,705,102       (55,280 )

Silver Futures

    May-23       3       316,065       (1,460 )

 

 

 

The accompanying notes are an integral part of the consolidated financial statements.
14

 

 

Abbey Capital Multi Asset Fund

 

Consolidated Portfolio of Investments (Continued)

February 28, 2023 (Unaudited)

 

Long Contracts

 

Expiration
Date

   

Number of
Contracts

   

Notional
Amount

   

Value and
Unrealized
Appreciation/
(Depreciation)

 

Soybean Futures

    May-23       42     $ 3,105,900     $ (99,138 )

Soybean Futures

    Jul-23       92       6,759,700       (241,500 )

Soybean Futures

    Nov-23       4       269,450       (9,650 )

Soybean Meal Futures

    May-23       48       2,242,080       13,410  

Soybean Meal Futures

    Jul-23       4       183,320       (5,580 )

Soybean Oil Futures

    Dec-23       1       34,512       (1,644 )

SPI 200 Futures

    Mar-23       116       14,046,295       (47,759 )

STOXX Dividend Futures

    Dec-23       2       29,658       5,109  

STOXX Europe 600 Banks Index

    Mar-23       2       17,923       3,430  

STOXX Europe 600 Index

    Mar-23       17       414,459       11,275  

STOXX® Europe 600 ESG-X Index Futures

    Mar-23       10       181,289       994  

Sugar No. 11 (World)

    May-23       493       11,081,851       153,258  

Sugar No. 11 (World)

    Jul-23       45       986,832       13,306  

Sugar No. 11 (World)

    Oct-23       2       43,613       739  

Topix Index Futures

    Mar-23       63       9,231,023       57,692  

U.S. Treasury 10-Year Notes (Chicago Board of Trade)

    Jun-23       53       5,917,781       2,484  

U.S. Treasury 5-Year Notes (Chicago Board of Trade)

    Jun-23       285       30,510,585       (42,812 )

White Sugar ICE

    May-23       11       309,320       9,645  
                            $ (5,844,582 )

 

Short Contracts

 

Expiration
Date

   

Number of
Contracts

   

Notional
Amount

   

Value and
Unrealized
Appreciation/
(Depreciation)

 

10-Year Mini Japanese Government Bond Futures

    Mar-23       107     $ (11,527,913 )   $ (91,991 )

1-Month SOFR Future

    Jul-23       2       (789,230 )     1,333  

3-Month Euro Euribor

    Mar-26       1       (256,597 )     1,401  

3-Month Euro Euribor

    Jun-26       1       (256,677 )     (132 )

3-Month Euro Euribor

    Jun-25       21       (5,378,272 )     24,843  

3-Month Euro Euribor

    Sep-24       22       (5,611,111 )     36,504  

3-Month Euro Euribor

    Sep-23       23       (5,847,308 )     11,291  

3-Month Euro Euribor

    Mar-25       24       (6,139,933 )     30,210  

3-Month Euro Euribor

    Jun-23       25       (6,370,313 )     1,335  

3-Month Euro Euribor

    Mar-24       34       (8,644,746 )     56,256  

3-Month Euro Euribor

    Dec-24       39       (9,963,470 )     49,461  

3-Month Euro Euribor

    Jun-24       186       (47,358,241 )     215,597  

3-Month Euro Euribor

    Dec-23       416       (105,716,007 )     389,648  

3-Month SOFR Futures

    Jun-25       21       (5,064,413 )     5,563  

3-Month SOFR Futures

    Mar-25       23       (5,540,700 )     9,838  

3-Month SOFR Futures

    Dec-24       24       (5,770,800 )     15,088  

3-Month SOFR Futures

    Sep-25       29       (6,999,150 )     4,713  

3-Month SOFR Futures

    Mar-24       31       (7,367,925 )     60,000  

3-Month SOFR Futures

    Jun-23       33       (7,806,563 )     18,875  

3-Month SOFR Futures

    Sep-24       69       (16,540,162 )     86,300  

3-Month SOFR Futures

    Jun-24       144       (34,374,599 )     207,131  

3-Month SOFR Futures

    Dec-23       215       (50,928,124 )     270,513  

3-Month SOFR Futures

    Sep-23       355       (83,953,062 )     482,612  

3-Month SONIA Index Futures

    Jun-25       8       (2,311,153 )     4,466  

 

 

 

The accompanying notes are an integral part of the consolidated financial statements.
15

 

 

Abbey Capital Multi Asset Fund

 

Consolidated Portfolio of Investments (Continued)

February 28, 2023 (Unaudited)

 

Short Contracts

 

Expiration
Date

   

Number of
Contracts

   

Notional
Amount

   

Value and
Unrealized
Appreciation/
(Depreciation)

 

3-Month SONIA Index Futures

    Mar-25       10     $ (2,886,084 )   $ 5,999  

3-Month SONIA Index Futures

    Sep-24       11       (3,166,258 )     11,202  

3-Month SONIA Index Futures

    Dec-24       11       (3,170,889 )     8,089  

3-Month SONIA Index Futures

    Jun-23       13       (3,727,672 )     1,218  

3-Month SONIA Index Futures

    Jun-24       13       (3,735,491 )     16,419  

3-Month SONIA Index Futures

    Dec-23       19       (5,441,566 )     15,021  

3-Month SONIA Index Futures

    Mar-24       20       (5,735,782 )     17,832  

3-Month SONIA Index Futures

    Sep-23       25       (7,158,827 )     12,224  

90-DAY Bank Bill

    Sep-24       5       (3,331,244 )     618  

90-DAY Bank Bill

    Mar-23       5       (3,334,338 )     33  

90-DAY Bank Bill

    Jun-24       7       (4,662,035 )     1,675  

90-DAY Bank Bill

    Mar-24       10       (6,657,613 )     3,479  

90-DAY Bank Bill

    Dec-23       15       (9,984,470 )     5,054  

90-DAY Bank Bill

    Jun-23       15       (9,989,587 )     1,008  

90-DAY Bank Bill

    Sep-23       17       (11,316,009 )     5,200  

90-DAY Eurodollar Futures

    Sep-23       1       (235,838 )     438  

90-DAY Eurodollar Futures

    Mar-26       1       (240,950 )     1,338  

90-DAY Eurodollar Futures

    Sep-26       1       (241,063 )     1,625  

90-DAY Eurodollar Futures

    Dec-26       1       (241,100 )     (213 )

90-DAY Eurodollar Futures

    Mar-24       2       (474,050 )     1,000  

90-DAY Eurodollar Futures

    Dec-24       4       (959,200 )     3,400  

90-DAY Eurodollar Futures

    Jun-23       9       (2,125,575 )     6,194  

90-DAY Eurodollar Futures

    Dec-23       12       (2,834,700 )     28,350  

AUD/USD Currency Futures

    Mar-23       179       (12,060,125 )     205,720  

Australian 10-Year Bond Futures

    Mar-23       111       (8,788,295 )     101,725  

Australian 3-Year Bond Futures

    Mar-23       388       (27,867,800 )     62,428  

Bank Acceptance Futures

    Sep-24       7       (1,230,194 )     5,313  

Bank Acceptance Futures

    Jun-24       10       (1,751,374 )     9,729  

Bank Acceptance Futures

    Mar-24       19       (3,315,079 )     19,000  

Bank Acceptance Futures

    Dec-23       22       (3,828,838 )     17,378  

Bank Acceptance Futures

    Sep-23       31       (5,390,353 )     13,586  

Bank Acceptance Futures

    Jun-23       34       (5,912,312 )     5,066  

Brent Crude Futures

    Dec-23       4       (319,800 )     2,360  

Brent Crude Futures

    Jul-23       4       (329,320 )     1,340  

Brent Crude Futures

    Jun-23       5       (414,150 )     1,040  

Brent Crude Futures

    May-23       8       (667,600 )     (10,550 )

Brent Crude Oil Last Day

    May-23       1       (83,450 )     (1,130 )

CAD Currency Futures

    Mar-23       210       (15,410,849 )     62,234  

Canadian 10-Year Bond Futures

    Jun-23       165       (14,689,776 )     (48,106 )

Canola Futures (Winnipeg Commodity Exchange)

    Jul-23       2       (23,859 )     300  

Canola Futures (Winnipeg Commodity Exchange)

    May-23       4       (47,971 )     607  

CHF Currency Futures

    Mar-23       61       (8,118,719 )     61,013  

Coffee ‘C’ Futures

    Sep-23       3       (205,650 )     (8,081 )

Coffee ‘C’ Futures

    Jul-23       5       (346,688 )     (47,494 )

Coffee ‘C’ Futures

    May-23       11       (768,488 )     (81,038 )

Copper Futures

    Jul-23       1       (102,275 )     (838 )

Corn Futures

    Sep-23       1       (29,125 )     1,525  

Corn Futures

    Jul-23       2       (62,225 )     713  

Corn Futures

    May-23       2       (63,025 )     1,275  

 

 

The accompanying notes are an integral part of the consolidated financial statements.
16

 

 

Abbey Capital Multi Asset Fund

 

Consolidated Portfolio of Investments (Continued)

February 28, 2023 (Unaudited)

 

Short Contracts

 

Expiration
Date

   

Number of
Contracts

   

Notional
Amount

   

Value and
Unrealized
Appreciation/
(Depreciation)

 

Cotton No.2 Futures

    Jul-23       1     $ (42,230 )   $ 1,220  

Cotton No.2 Futures

    May-23       55       (2,310,825 )     (12,270 )

DJIA Mini E-CBOT

    Mar-23       3       (490,230 )     4,195  

Dollar Index

    Mar-23       87       (9,119,775 )     (145,456 )

Dutch TTF Gas Futures

    Apr-23       10       (355,374 )     40,857  

E-Mini Crude Oil

    Apr-23       4       (154,100 )     838  

E-Mini Financial Select Futures

    Mar-23       1       (110,050 )     1  

E-Mini Industrial Select Futures

    Mar-23       1       (101,760 )     (10 )

E-Mini Natural Gas

    Apr-23       6       (41,205 )     (4,793 )

E-Mini Utilities Select Futures

    Mar-23       1       (65,580 )     4,190  

EUR Foreign Exchange Currency Futures

    Mar-23       80       (10,592,000 )     53,769  

Euro BUXL 30-Year Bond Futures

    Mar-23       22       (3,124,607 )     223,618  

Euro E-Mini Futures

    Mar-23       1       (66,200 )     531  

Euro-Bobl Futures

    Mar-23       248       (30,212,745 )     465,111  

Euro-BTP Futures

    Mar-23       41       (4,886,869 )     80,967  

Euro-Bund Futures

    Mar-23       112       (15,744,798 )     448,928  

Euro-Oat Futures

    Mar-23       48       (6,483,262 )     231,255  

Euro-Schatz Futures

    Mar-23       586       (65,067,723 )     400,655  

FTSE 100 Index Futures

    Mar-23       1       (94,562 )     577  

FTSE China A50 Index

    Mar-23       5       (66,700 )     87  

FTSE KLCI Futures

    Mar-23       4       (64,089 )     39  

Gasoline RBOB Futures

    Jun-23       1       (109,087 )     (1,852 )

Gasoline RBOB Futures

    May-23       1       (110,544 )     (1,840 )

Gasoline RBOB Futures

    Apr-23       12       (1,331,568 )     (30,971 )

GBP Currency Futures

    Mar-23       2       (150,713 )     306  

Gold 100 Oz Futures

    Apr-23       14       (2,571,380 )     (8,020 )

Hang Seng China Enterprises Index Futures

    Mar-23       7       (294,156 )     8,765  

Hang Seng Index Futures

    Mar-23       2       (251,510 )     6,867  

JPN 10-Year Bond (Osaka Securities Exchange)

    Mar-23       4       (4,308,325 )     (7,712 )

JPY Currency Futures

    Mar-23       152       (13,983,050 )     6,975  

Kansas City Hard Red Winter Wheat Futures

    May-23       7       (284,463 )     10,663  

Lean Hogs Futures

    Jun-23       2       (81,380 )     950  

Lean Hogs Futures

    Apr-23       76       (2,589,320 )     88,520  

LME Aluminum Forward

    Apr-23       1       (58,685 )     7,219  

LME Aluminum Forward

    Apr-23       1       (58,695 )     7,213  

LME Aluminum Forward

    Apr-23       1       (58,907 )     (216 )

LME Aluminum Forward

    May-23       1       (59,091 )     3,659  

LME Aluminum Forward

    Mar-23       2       (116,973 )     1,703  

LME Aluminum Forward

    Apr-23       2       (117,338 )     925  

LME Aluminum Forward

    Apr-23       2       (117,704 )     11,372  

LME Aluminum Forward

    Apr-23       2       (117,884 )     (431 )

LME Aluminum Forward

    May-23       2       (118,302 )     2,799  

LME Aluminum Forward

    May-23       2       (118,332 )     556  

LME Aluminum Forward

    May-23       2       (118,382 )     3,106  

LME Aluminum Forward

    Mar-23       3       (174,572 )     8,393  

LME Aluminum Forward

    Apr-23       3       (176,279 )     2,808  

LME Aluminum Forward

    May-23       4       (236,513 )     6,200  

LME Aluminum Forward

    Apr-23       5       (294,119 )     19,720  

LME Aluminum Forward

    Jun-23       152       (9,059,200 )     278,697  

 

 

The accompanying notes are an integral part of the consolidated financial statements.
17

 

 

Abbey Capital Multi Asset Fund

 

Consolidated Portfolio of Investments (Continued)

February 28, 2023 (Unaudited)

 

Short Contracts

 

Expiration
Date

   

Number of
Contracts

   

Notional
Amount

   

Value and
Unrealized
Appreciation/
(Depreciation)

 

LME Aluminum Forward

    Mar-23       399     $ (23,312,871 )   $ 826,853  

LME Copper Forward

    Apr-23       1       (224,013 )     (13,187 )

LME Copper Forward

    Apr-23       1       (224,027 )     8,623  

LME Copper Forward

    Apr-23       1       (224,050 )     9,225  

LME Copper Forward

    May-23       1       (224,056 )     (669 )

LME Copper Forward

    Apr-23       2       (447,922 )     (19,910 )

LME Copper Forward

    Apr-23       2       (448,077 )     (12,402 )

LME Copper Forward

    Apr-23       2       (448,100 )     (12,525 )

LME Copper Forward

    Jun-23       61       (13,668,575 )     (61,668 )

LME Copper Forward

    Mar-23       198       (44,347,049 )     (1,832,749 )

LME Lead Forward

    Mar-23       1       (52,424 )     3,789  

LME Lead Forward

    Apr-23       1       (52,494 )     910  

LME Lead Forward

    Apr-23       1       (52,525 )     931  

LME Lead Forward

    Apr-23       1       (52,556 )     (1,119 )

LME Lead Forward

    Mar-23       1       (52,563 )     4,575  

LME Lead Forward

    Apr-23       1       (52,575 )     (850 )

LME Lead Forward

    May-23       1       (52,581 )     1,144  

LME Lead Forward

    Apr-23       1       (52,581 )     831  

LME Lead Forward

    May-23       1       (52,606 )     (1,381 )

LME Lead Forward

    Apr-23       2       (104,978 )     4,654  

LME Lead Forward

    Apr-23       2       (105,050 )     700  

LME Lead Forward

    Apr-23       2       (105,125 )     3,125  

LME Lead Forward

    Jun-23       8       (421,426 )     (5,559 )

LME Lead Forward

    Mar-23       69       (3,619,050 )     20,802  

LME Nickel Forward

    Mar-23       1       (147,601 )     30,707  

LME Nickel Forward

    Mar-23       1       (147,693 )     26,007  

LME Nickel Forward

    Mar-23       1       (147,707 )     18,630  

LME Nickel Forward

    Mar-23       1       (147,720 )     24,300  

LME Nickel Forward

    Mar-23       1       (147,736 )     26,414  

LME Nickel Forward

    Mar-23       1       (147,799 )     18,377  

LME Nickel Forward

    Mar-23       1       (147,956 )     16,864  

LME Nickel Forward

    Apr-23       1       (148,301 )     22,429  

LME Nickel Forward

    Jun-23       1       (149,160 )     1,412  

LME Nickel Forward

    Mar-23       4       (590,880 )     60,867  

LME Zinc Forward

    May-23       1       (75,106 )     806  

LME Zinc Forward

    May-23       1       (75,119 )     4,231  

LME Zinc Forward

    May-23       1       (75,119 )     2,331  

LME Zinc Forward

    Mar-23       1       (75,238 )     369  

LME Zinc Forward

    Apr-23       1       (75,244 )     (469 )

LME Zinc Forward

    Apr-23       1       (75,254 )     10,168  

LME Zinc Forward

    Mar-23       1       (75,266 )     (828 )

LME Zinc Forward

    Mar-23       1       (75,306 )     106  

LME Zinc Forward

    Mar-23       1       (75,338 )     388  

LME Zinc Forward

    Mar-23       1       (75,438 )     300  

LME Zinc Forward

    Mar-23       1       (75,669 )     5,356  

LME Zinc Forward

    May-23       2       (150,029 )     (1,892 )

LME Zinc Forward

    May-23       3       (225,356 )     5,981  

LME Zinc Forward

    Jun-23       21       (1,574,213 )     17,735  

LME Zinc Forward

    Mar-23       64       (4,821,600 )     86,478  

Long Gilt Futures

    Jun-23       52       (6,252,309 )     40,452  

 

 

The accompanying notes are an integral part of the consolidated financial statements.
18

 

 

Abbey Capital Multi Asset Fund

 

Consolidated Portfolio of Investments (Continued)

February 28, 2023 (Unaudited)

 

Short Contracts

 

Expiration
Date

   

Number of
Contracts

   

Notional
Amount

   

Value and
Unrealized
Appreciation/
(Depreciation)

 

Low Sulphur Gasoil G Futures

    Jun-23       1     $ (79,775 )   $ (850 )

Low Sulphur Gasoil G Futures

    Jul-23       2       (158,150 )     (800 )

Low Sulphur Gasoil G Futures

    May-23       3       (242,850 )     (3,325 )

Low Sulphur Gasoil G Futures

    Apr-23       10       (825,000 )     (13,925 )

Micro EUR/USD Futures

    Mar-23       1       (13,240 )     138  

Mill Wheat Euro

    Sep-23       1       (14,358 )     185  

Mill Wheat Euro

    May-23       29       (422,907 )     12,018  

Mini H-Shares Index Futures

    Mar-23       3       (25,213 )     274  

MSCI EAFE Index Futures

    Mar-23       2       (204,660 )     1,225  

MSCI Emerging Markets Index Futures

    Mar-23       14       (674,030 )     12,220  

MSCI Singapore Exchange ETS

    Mar-23       7       (152,438 )     2,859  

Nasdaq 100 E-Mini

    Mar-23       5       (1,207,225 )     (40,120 )

Natural Gas Futures

    Jun-23       3       (91,080 )     (9,510 )

Natural Gas Futures

    May-23       61       (1,746,430 )     (68,840 )

Natural Gas Futures

    Apr-23       128       (3,516,160 )     (203,828 )

NY Harbor Ultra-Low Sulfur Diesel Futures

    Jul-23       1       (113,089 )     1,848  

NY Harbor Ultra-Low Sulfur Diesel Futures

    Jun-23       2       (227,858 )     11,420  

NY Harbor Ultra-Low Sulfur Diesel Futures

    May-23       2       (231,353 )     2,428  

NY Harbor Ultra-Low Sulfur Diesel Futures

    Apr-23       31       (3,652,891 )     (94,848 )

NZD Currency Futures

    Mar-23       1       (61,890 )     (90 )

OAT Futures

    May-23       1       (16,750 )     463  

Palladium Futures

    Jun-23       3       (426,270 )     20,070  

Platinum Futures

    Apr-23       5       (238,875 )     (3,020 )

Rapeseed Euro

    May-23       7       (195,555 )     5,460  

Red Wheat Futures (Minneapolis Grain Exchange)

    May-23       1       (43,338 )     938  

S&P 500 E-Mini Futures

    Mar-23       4       (795,100 )     7,208  

SGX Nifty 50

    Mar-23       1       (34,798 )     69  

Short BTP Future

    Mar-23       87       (9,682,310 )     60,617  

Silver Futures

    May-23       66       (6,953,430 )     50,000  

Soybean Oil Futures

    Jul-23       1       (35,850 )     1,632  

Soybean Oil Futures

    May-23       3       (108,072 )     5,076  

U.S. Treasury 10-Year Notes (Chicago Board of Trade)

    Jun-23       423       (47,230,593 )     6,203  

U.S. Treasury 2-Year Notes (Chicago Board of Trade)

    Jun-23       329       (67,026,038 )     159,760  

U.S. Treasury 5-Year Notes (Chicago Board of Trade)

    Jun-23       578       (61,877,609 )     50,867  

U.S. Treasury Long Bond (Chicago Board of Trade)

    Jun-23       112       (14,024,500 )     45,296  

U.S. Treasury Ultra 10-Year Notes

    Jun-23       25       (2,929,688 )     742  

U.S. Treasury Ultra Long Bond (Chicago Board of Trade)

    Jun-23       25       (3,376,563 )     (1,406 )

UK Natural Gas Futures

    Apr-23       5       (208,466 )     33,144  

Wheat (Chicago Board of Trade)

    Sep-23       1       (36,225 )     2,150  

Wheat (Chicago Board of Trade)

    Dec-23       4       (148,200 )     12,613  

Wheat (Chicago Board of Trade)

    Jul-23       95       (3,390,313 )     203,063  

Wheat (Chicago Board of Trade)

    May-23       130       (4,585,750 )     289,176  

WTI Crude Futures

    Dec-23       2       (149,180 )     (1,040 )

WTI Crude Futures

    Jul-23       2       (153,800 )     130  

WTI Crude Futures IPE

    Apr-23       2       (154,100 )     800  

WTI Crude Futures

    May-23       6       (463,140 )     (2,470 )

WTI Crude Futures

    Jun-23       11       (848,540 )     (7,150 )

WTI Crude Futures

    Apr-23       78       (6,009,900 )     163,964  
                            $ 4,688,352  

Total Futures Contracts

                          $ (1,156,230 )

 

 

The accompanying notes are an integral part of the consolidated financial statements.
19

 

 

Abbey Capital Multi Asset Fund

 

Consolidated Portfolio of Investments (Continued)

February 28, 2023 (Unaudited)

 

Forward foreign currency contracts outstanding as of February 28, 2023 were as follows:

 

Currency Purchased

 

   

Currency Sold

   

   

Expiration
Date

   

Counterparty

   

Unrealized
Appreciation/
(Depreciation)

 

AUD

    19,389,153          

USD

    13,031,450               Mar 01 2023       SOCIETE GENERALE     $ 16,025  

AUD

    19,389,153          

USD

    13,074,106               Mar 02 2023       SOCIETE GENERALE       (26,161 )

AUD

    500,000          

USD

    356,164               Mar 15 2023       SOCIETE GENERALE       (19,521 )

AUD

    6,800,000          

CAD

    6,325,591               Mar 31 2023       SOCIETE GENERALE       (55,955 )

AUD

    386,228          

EUR

    250,000               Mar 31 2023       SOCIETE GENERALE       (4,739 )

AUD

    5,246,721          

GBP

    3,000,000               Mar 31 2023       SOCIETE GENERALE       (75,935 )

AUD

    2,400,000          

JPY

    220,238,494               Mar 31 2023       SOCIETE GENERALE       (8,137 )

AUD

    7,200,000          

NZD

    7,929,418               Mar 31 2023       SOCIETE GENERALE       (52,282 )

BRL

    16,253,525          

USD

    3,200,000               Mar 15 2023       SOCIETE GENERALE       (105,251 )

CAD

    1,876,580          

USD

    1,400,000               Mar 15 2023       SOCIETE GENERALE       (24,543 )

CAD

    2,800,000          

JPY

    277,671,686               Mar 31 2023       SOCIETE GENERALE       3,817  

CHF

    22,179,735          

USD

    23,561,624               Mar 01 2023       SOCIETE GENERALE       (9,963 )

CHF

    22,179,735          

USD

    23,648,471               Mar 02 2023       SOCIETE GENERALE       (94,263 )

CHF

    2,866,658          

EUR

    2,900,000               Mar 15 2023       SOCIETE GENERALE       (21,348 )

CHF

    365,741          

USD

    400,000               Mar 15 2023       SOCIETE GENERALE       (11,011 )

CHF

    3,946,121          

EUR

    4,000,000               Mar 31 2023       SOCIETE GENERALE       (34,191 )

CHF

    1,119,892          

GBP

    1,000,000               Mar 31 2023       SOCIETE GENERALE       (10,228 )

CHF

    1,000,000          

JPY

    143,688,100               Mar 31 2023       SOCIETE GENERALE       5,376  

CHF

    2,375,000          

USD

    2,595,997               Mar 31 2023       SOCIETE GENERALE       (65,222 )

CLP

    79,292,856          

USD

    100,000               Mar 09 2023       SOCIETE GENERALE       (4,296 )

CLP

    159,953,936          

USD

    200,000               Mar 14 2023       SOCIETE GENERALE       (7,086 )

CLP

    1,746,910,666          

USD

    2,200,000               Mar 15 2023       SOCIETE GENERALE       (93,440 )

CLP

    160,006,000          

USD

    200,000               Mar 24 2023       SOCIETE GENERALE       (7,314 )

CNH

    671,532          

USD

    100,000               Mar 15 2023       SOCIETE GENERALE       (3,277 )

COP

    229,903,580          

USD

    50,000               Mar 15 2023       SOCIETE GENERALE       (2,839 )

CZK

    80,110,200          

EUR

    3,350,000               Mar 15 2023       SOCIETE GENERALE       56,109  

EUR

    16,894,850          

USD

    17,832,514               Mar 01 2023       SOCIETE GENERALE       38,218  

EUR

    2,750,000          

AUD

    4,324,315               Mar 02 2023       SOCIETE GENERALE       (1,027 )

EUR

    16,660,695          

USD

    17,644,764               Mar 02 2023       SOCIETE GENERALE       (20,633 )

EUR

    3,900,000          

CHF

    3,907,633               Mar 15 2023       SOCIETE GENERALE       (27,099 )

EUR

    550,000          

CZK

    13,094,056               Mar 15 2023       SOCIETE GENERALE       (6,587 )

EUR

    9,550,000          

GBP

    8,487,457               Mar 15 2023       SOCIETE GENERALE       (101,391 )

EUR

    7,300,000          

JPY

    1,034,421,161               Mar 15 2023       SOCIETE GENERALE       114,634  

EUR

    10,600,000          

NOK

    115,773,616               Mar 15 2023       SOCIETE GENERALE       64,754  

EUR

    1,750,000          

PLN

    8,358,886               Mar 15 2023       SOCIETE GENERALE       (24,273 )

EUR

    15,800,000          

SEK

    179,404,027               Mar 15 2023       SOCIETE GENERALE       (424,685 )

EUR

    300,000          

USD

    328,554               Mar 15 2023       SOCIETE GENERALE       (10,945 )

EUR

    200,000          

HUF

    76,979,431               Mar 16 2023       SOCIETE GENERALE       (2,199 )

EUR

    3,500,000          

CAD

    5,030,313               Mar 31 2023       SOCIETE GENERALE       21,594  

EUR

    3,100,000          

GBP

    2,739,294               Mar 31 2023       SOCIETE GENERALE       (11,607 )

EUR

    300,000          

HUF

    116,682,417               Mar 31 2023       SOCIETE GENERALE       (4,601 )

EUR

    1,200,000          

JPY

    170,046,000               Mar 31 2023       SOCIETE GENERALE       17,043  

EUR

    3,375,000          

NOK

    36,658,821               Mar 31 2023       SOCIETE GENERALE       40,668  

EUR

    600,000          

PLN

    2,887,180               Mar 31 2023       SOCIETE GENERALE       (11,645 )

EUR

    3,625,000          

SEK

    40,222,102               Mar 31 2023       SOCIETE GENERALE       (7,307 )

GBP

    9,332,464          

USD

    11,236,287               Mar 01 2023       SOCIETE GENERALE       (10,565 )

GBP

    5,688,159          

EUR

    6,450,000               Mar 15 2023       SOCIETE GENERALE       15,289  

GBP

    300,000          

USD

    364,734               Mar 15 2023       SOCIETE GENERALE       (3,779 )

GBP

    375,000          

CHF

    420,701               Mar 31 2023       SOCIETE GENERALE       3,045  

 

The accompanying notes are an integral part of the consolidated financial statements.
20

 

 

Abbey Capital Multi Asset Fund

 

Consolidated Portfolio of Investments (Continued)

February 28, 2023 (Unaudited)

 

Currency Purchased

 

   

Currency Sold

   

   

Expiration
Date

   

Counterparty

   

Unrealized
Appreciation/
(Depreciation)

 

GBP

    88,185          

EUR

    100,000               Mar 31 2023       SOCIETE GENERALE     $ 159  

GBP

    1,125,000          

JPY

    180,941,600               Mar 31 2023       SOCIETE GENERALE       18,927  

HUF

    1,220,765,594          

EUR

    3,100,000               Mar 16 2023       SOCIETE GENERALE       110,747  

HUF

    77,176,298          

EUR

    200,000               Mar 31 2023       SOCIETE GENERALE       1,376  

HUF

    288,486,560          

USD

    800,000               Mar 31 2023       SOCIETE GENERALE       (2,559 )

IDR

    745,000,000          

USD

    50,000               Mar 15 2023       SOCIETE GENERALE       (1,174 )

ILS

    5,448,512          

USD

    1,500,000               Mar 15 2023       SOCIETE GENERALE       (7,965 )

INR

    16,531,710          

USD

    200,000               Mar 01 2023       SOCIETE GENERALE       (32 )

INR

    33,141,661          

USD

    400,000               Mar 02 2023       SOCIETE GENERALE       862  

INR

    16,382,363          

USD

    200,000               Mar 03 2023       SOCIETE GENERALE       (1,859 )

INR

    248,030,616          

USD

    3,000,000               Mar 06 2023       SOCIETE GENERALE       (593 )

INR

    331,572,000          

USD

    4,000,000               Mar 08 2023       SOCIETE GENERALE       9,193  

INR

    33,170,941          

USD

    400,000               Mar 09 2023       SOCIETE GENERALE       1,059  

INR

    8,282,712          

USD

    100,000               Mar 15 2023       SOCIETE GENERALE       104  

JPY

    33,733,410          

EUR

    234,155               Mar 01 2023       SOCIETE GENERALE       110  

JPY

    269,112,240          

USD

    1,975,861               Mar 01 2023       SOCIETE GENERALE       917  

JPY

    20,530,263          

GBP

    125,000               Mar 02 2023       SOCIETE GENERALE       465  

JPY

    302,845,650          

USD

    2,222,557               Mar 02 2023       SOCIETE GENERALE       2,308  

JPY

    120,269,122          

EUR

    850,000               Mar 15 2023       SOCIETE GENERALE       (14,652 )

JPY

    13,027,635          

USD

    100,000               Mar 15 2023       SOCIETE GENERALE       (4,110 )

JPY

    36,322,830          

CHF

    250,000               Mar 31 2023       SOCIETE GENERALE       1,613  

JPY

    66,834,552          

NZD

    800,000               Mar 31 2023       SOCIETE GENERALE       (1,522 )

KRW

    737,379,804          

USD

    600,000               Mar 02 2023       SOCIETE GENERALE       (42,712 )

KRW

    735,297,456          

USD

    600,000               Mar 07 2023       SOCIETE GENERALE       (44,190 )

KRW

    1,656,240,177          

USD

    1,300,000               Mar 08 2023       SOCIETE GENERALE       (47,999 )

KRW

    2,893,882,051          

USD

    2,300,000               Mar 09 2023       SOCIETE GENERALE       (112,337 )

KRW

    128,299,360          

USD

    100,000               Mar 15 2023       SOCIETE GENERALE       (2,986 )

KRW

    4,273,717,925          

USD

    3,300,000               Mar 17 2023       SOCIETE GENERALE       (68,146 )

KRW

    4,080,519,788          

USD

    3,100,000               Mar 21 2023       SOCIETE GENERALE       (13,726 )

MXN

    157,236,768          

USD

    8,350,000               Mar 15 2023       SOCIETE GENERALE       218,410  

MXN

    67,000,000          

USD

    3,583,375               Mar 31 2023       SOCIETE GENERALE       55,847  

NOK

    31,736,344          

EUR

    2,900,000               Mar 15 2023       SOCIETE GENERALE       (11,699 )

NOK

    2,000,000          

SEK

    2,042,522               Mar 31 2023       SOCIETE GENERALE       (2,538 )

NZD

    700,000          

USD

    451,367               Mar 15 2023       SOCIETE GENERALE       (18,558 )

NZD

    3,400,000          

JPY

    283,136,496               Mar 31 2023       SOCIETE GENERALE       13,184  

NZD

    300,000          

USD

    190,005               Mar 31 2023       SOCIETE GENERALE       (4,505 )

PEN

    192,319          

USD

    50,000               Mar 15 2023       SOCIETE GENERALE       625  

PLN

    38,616,689          

EUR

    8,150,000               Mar 15 2023       SOCIETE GENERALE       43,021  

SEK

    104,467,736          

EUR

    9,400,000               Mar 15 2023       SOCIETE GENERALE       35,990  

SEK

    41,805,186          

NOK

    41,500,000               Mar 31 2023       SOCIETE GENERALE       (2,566 )

SGD

    3,347,084          

USD

    2,550,000               Mar 15 2023       SOCIETE GENERALE       (66,861 )

SGD

    10,475,495          

USD

    7,900,000               Mar 31 2023       SOCIETE GENERALE       (125,082 )

TRY

    1,927,010          

USD

    100,000               Mar 31 2023       SOCIETE GENERALE       358  

TWD

    36,461,496          

USD

    1,200,000               Mar 01 2023       SOCIETE GENERALE       (3,224 )

TWD

    10,335,066          

USD

    350,000               Mar 15 2023       SOCIETE GENERALE       (10,235 )

USD

    13,073,602          

AUD

    19,389,153               Mar 01 2023       SOCIETE GENERALE       26,127  

USD

    1,232,456          

AUD

    1,800,000               Mar 15 2023       SOCIETE GENERALE       20,539  

USD

    1,744,490          

AUD

    2,500,000               Mar 31 2023       SOCIETE GENERALE       60,208  

USD

    1,950,000          

BRL

    10,203,675               Mar 15 2023       SOCIETE GENERALE       7,172  

USD

    134          

CAD

    182               Mar 01 2023       SOCIETE GENERALE       1  

 

 

The accompanying notes are an integral part of the consolidated financial statements.
21

 

 

Abbey Capital Multi Asset Fund

 

Consolidated Portfolio of Investments (Continued)

February 28, 2023 (Unaudited)

 

Currency Purchased

 

   

Currency Sold

   

   

Expiration
Date

   

Counterparty

   

Unrealized
Appreciation/
(Depreciation)

 

USD

    6,100,000          

CAD

    8,167,803               Mar 15 2023       SOCIETE GENERALE     $ 113,335  

USD

    3,283,499          

CAD

    4,400,000               Mar 31 2023       SOCIETE GENERALE       57,922  

USD

    23,645,773          

CHF

    22,179,735               Mar 01 2023       SOCIETE GENERALE       94,112  

USD

    1,500,000          

CHF

    1,394,348               Mar 15 2023       SOCIETE GENERALE       17,021  

USD

    100,000          

CLP

    79,509,934               Mar 09 2023       SOCIETE GENERALE       4,034  

USD

    200,000          

CLP

    159,780,288               Mar 14 2023       SOCIETE GENERALE       7,295  

USD

    900,000          

CLP

    747,947,297               Mar 15 2023       SOCIETE GENERALE       (1,933 )

USD

    100,000          

CLP

    83,923,144               Apr 03 2023       SOCIETE GENERALE       (923 )

USD

    4,800,000          

CNH

    32,870,362               Mar 15 2023       SOCIETE GENERALE       65,578  

USD

    2,800,000          

CNH

    19,047,647               Mar 31 2023       SOCIETE GENERALE       53,572  

USD

    900,000          

COP

    4,347,719,590               Mar 15 2023       SOCIETE GENERALE       8,135  

USD

    17,643,676          

EUR

    16,660,695               Mar 01 2023       SOCIETE GENERALE       20,624  

USD

    639,280          

EUR

    600,000               Mar 15 2023       SOCIETE GENERALE       4,061  

USD

    3,235,490          

EUR

    3,000,000               Mar 31 2023       SOCIETE GENERALE       56,137  

USD

    11,166,293          

GBP

    9,332,464               Mar 01 2023       SOCIETE GENERALE       (59,429 )

USD

    11,236,431          

GBP

    9,332,464               Mar 02 2023       SOCIETE GENERALE       10,526  

USD

    2,302,281          

GBP

    1,900,000               Mar 15 2023       SOCIETE GENERALE       16,235  

USD

    1,678,274          

GBP

    1,375,000               Mar 31 2023       SOCIETE GENERALE       23,361  

USD

    300,000          

IDR

    4,523,956,621               Mar 15 2023       SOCIETE GENERALE       3,508  

USD

    5,300,000          

ILS

    18,644,416               Mar 15 2023       SOCIETE GENERALE       194,362  

USD

    1,600,000          

ILS

    5,633,490               Mar 31 2023       SOCIETE GENERALE       56,434  

USD

    202,348          

INR

    16,531,710               Mar 01 2023       SOCIETE GENERALE       2,380  

USD

    404,887          

INR

    33,141,661               Mar 02 2023       SOCIETE GENERALE       4,026  

USD

    200,000          

INR

    16,387,860               Mar 03 2023       SOCIETE GENERALE       1,793  

USD

    3,000,000          

INR

    246,207,000               Mar 06 2023       SOCIETE GENERALE       22,646  

USD

    4,000,000          

INR

    329,650,226               Mar 08 2023       SOCIETE GENERALE       14,044  

USD

    400,000          

INR

    33,156,240               Mar 09 2023       SOCIETE GENERALE       (881 )

USD

    2,500,000          

INR

    206,197,285               Mar 15 2023       SOCIETE GENERALE       7,918  

USD

    7,000,000          

INR

    580,094,500               Mar 21 2023       SOCIETE GENERALE       (8,208 )

USD

    400,000          

INR

    33,253,600               Apr 03 2023       SOCIETE GENERALE       (1,354 )

USD

    2,222,258          

JPY

    302,845,650               Mar 01 2023       SOCIETE GENERALE       (2,310 )

USD

    5,900,000          

JPY

    785,325,450               Mar 15 2023       SOCIETE GENERALE       119,606  

USD

    1,236,037          

JPY

    162,500,000               Mar 31 2023       SOCIETE GENERALE       37,017  

USD

    601,477          

KRW

    737,379,804               Mar 02 2023       SOCIETE GENERALE       44,189  

USD

    600,000          

KRW

    764,344,461               Mar 07 2023       SOCIETE GENERALE       22,234  

USD

    1,300,000          

KRW

    1,620,030,575               Mar 08 2023       SOCIETE GENERALE       75,371  

USD

    2,300,000          

KRW

    2,949,513,739               Mar 09 2023       SOCIETE GENERALE       70,281  

USD

    1,900,000          

KRW

    2,429,513,073               Mar 15 2023       SOCIETE GENERALE       62,918  

USD

    3,300,000          

KRW

    4,213,024,830               Mar 17 2023       SOCIETE GENERALE       114,043  

USD

    3,100,000          

KRW

    4,004,631,865               Mar 21 2023       SOCIETE GENERALE       71,123  

USD

    3,100,000          

KRW

    4,078,468,500               Apr 03 2023       SOCIETE GENERALE       13,517  

USD

    250,000          

MXN

    4,712,501               Mar 15 2023       SOCIETE GENERALE       (6,802 )

USD

    324,253          

MXN

    6,000,000               Mar 31 2023       SOCIETE GENERALE       (1,647 )

USD

    2,500,000          

NOK

    25,580,864               Mar 31 2023       SOCIETE GENERALE       32,474  

USD

    1,189,004          

NZD

    1,900,000               Mar 15 2023       SOCIETE GENERALE       14,237  

USD

    50,000          

PHP

    2,749,813               Mar 15 2023       SOCIETE GENERALE       397  

USD

    1,800,000          

PLN

    8,039,554               Mar 31 2023       SOCIETE GENERALE       (3,052 )

USD

    2,200,000          

SEK

    22,654,526               Mar 31 2023       SOCIETE GENERALE       32,091  

USD

    1,950,000          

SGD

    2,602,792               Mar 15 2023       SOCIETE GENERALE       19,037  

USD

    600,000          

THB

    20,717,494               Mar 15 2023       SOCIETE GENERALE       12,894  

USD

    2,700,000          

TRY

    52,365,101               Mar 31 2023       SOCIETE GENERALE       (27,150 )

 

 

The accompanying notes are an integral part of the consolidated financial statements.
22

 

 

Abbey Capital Multi Asset Fund

 

Consolidated Portfolio of Investments (Concluded)

February 28, 2023 (Unaudited)

 

Currency Purchased

 

   

Currency Sold

   

   

Expiration
Date

   

Counterparty

   

Unrealized
Appreciation/
(Depreciation)

 

USD

    1,213,973          

TWD

    36,461,496               Mar 01 2023       SOCIETE GENERALE     $ 17,197  

USD

    2,200,000          

TWD

    66,289,400               Mar 15 2023       SOCIETE GENERALE       20,737  

USD

    1,200,000          

TWD

    36,366,960               Mar 23 2023       SOCIETE GENERALE       3,267  

USD

    3,400,000          

ZAR

    60,420,485               Mar 15 2023       SOCIETE GENERALE       114,466  

USD

    1,400,000          

ZAR

    25,090,807               Mar 31 2023       SOCIETE GENERALE       37,609  

ZAR

    12,713,844          

USD

    700,000               Mar 15 2023       SOCIETE GENERALE       (8,649 )

Total Forward Foreign Currency Contracts

                          $ 680,145  

 

AUD

Australian Dollar

 

LME

London Mercantile Exchange

BRL

Brazilian Real

 

MIB

Milano Indice di Borsa

CAD

Canadian Dollar

 

MXN

Mexican Peso

CHF

Swiss Franc

 

NOK

Norwegian Krone

CLP

Chilean Peso

 

NZD

New Zealand Dollar

CNH

Chinese Yuan Renminbi

 

OMX

Stockholm Stock Exchange

COP

Colombian Peso

 

PHP

Philippine Peso

CZK

Czech Koruna

 

PLN

Polish Zloty

DAX

Deutscher Aktienindex

 

RBOB

Reformulated Blendstock for Oxygenate Blending

DJIA

Dow Jones Industrial Average

 

RUB

Russian Ruble

EUR

Euro

 

SEK

Swedish Krona

FTSE

Financial Times Stock Exchange

 

SGD

Singapore Dollar

GBP

British Pound

 

THB

Thai Baht

HUF

Hungarian Forint

 

TRY

Turkish Lira

ILS

Israeli New Shekel

 

TWD

Taiwan Dollar

INR

Indian Rupee

 

USD

United States Dollar

JPY

Japanese Yen

 

WTI

West Texas Intermediate

KRW

Korean Won

 

ZAR

South African Rand

 

 

The accompanying notes are an integral part of the consolidated financial statements.
23

 

 

Abbey Capital Multi Asset Fund

 

Consolidated Statement of Assets And Liabilities

February 28, 2023 (Unaudited)

 

ASSETS

       

Investments, at value (cost $379,960,415)

  $ 379,812,762  

Deposits with broker for forward foreign currency contracts

    8,753,888  

Deposits with broker for futures contracts

    60,259,585  

Receivables for:

       

Capital shares sold

    1,173,333  

Interest receivable

    71,424  

Unrealized appreciation on forward foreign currency contracts

    2,819,658  

Unrealized appreciation on futures contracts

    12,509,362  

Prepaid expenses and other assets

    63,214  

Total assets

  $ 465,463,226  
         

LIABILITIES

       

Due to broker

    1,120,988  

Payables for:

       

Advisory fees

    569,729  

Captial shares redeemed

    220,615  

Unrealized depreciation on forward foreign currency contracts

    2,139,513  

Unrealized depreciation on futures contracts

    13,665,592  

Other accrued expenses and liabilities

    101,138  

Total liabilities

  $ 17,817,575  

Net assets

  $ 447,645,651  
         

NET ASSETS CONSIST OF:

       

Par value

  $ 39,381  

Paid-in capital

    481,626,411  

Total distributable earnings/(losses)

    (34,020,141 )

Net assets

  $ 447,645,651  
         

CLASS A SHARES:

       

Net assets

  $ 1,629,216  

Shares outstanding ($0.001 par value, 100,000,000 shares authorized)

    143,574  

Net asset value and redemption price per share

  $ 11.35  

Maxium offering price per share (100/94.25 of $11.35)

  $ 12.04  
         

CLASS I SHARES:

       

Net assets

  $ 441,248,986  

Shares outstanding ($0.001 par value, 100,000,000 shares authorized)

    38,812,114  

Net asset value, offering and redemption price per share

  $ 11.37  
         

CLASS C SHARES:

       

Net assets

  $ 4,767,449  

Shares outstanding ($0.001 par value, 100,000,000 shares authorized)

    425,268  

Net asset value, offering and redemption price per share

  $ 11.21  

 

 

The accompanying notes are an integral part of the consolidated financial statements.
24

 

 

Abbey Capital Multi Asset Fund

 

Consolidated Statement of Operations

For the Six Months Ended February 28, 2023 (Unaudited)

 

INVESTMENT INCOME

       

Interest

  $ 6,725,132  

Total investment income

    6,725,132  

EXPENSES

       

Advisory fees (Note 2)

    3,575,711  

Administration and accounting services fees (Note 2)

    87,754  

Audit and tax service fees

    39,170  

Transfer agent fees (Note 2)

    34,147  

Registration and filing fees

    33,011  

Director fees

    24,672  

Custodian fees (Note 2)

    17,045  

Distribution fees (Class C Shares) (Note 2)

    14,020  

Distribution fees (Class A Shares) (Note 2)

    1,669  

Legal fees

    12,326  

Printing and shareholder reporting fees

    10,862  

Officer fees

    7,175  

Other expenses

    17,696  

Total expenses before waivers and/or reimbursements

    3,875,258  

Less: waivers and/or reimbursements (Note 2)

    (234,559 )

Net expenses after waivers and/or reimbursements

    3,640,699  

Net investment income/(loss)

    3,084,433  

NET REALIZED AND UNREALIZED GAIN/(LOSS) FROM INVESTMENTS

       

Net realized gain/(loss) from:

       

Investments

    (146,312 )

Futures contracts

    1,418,592  

Foreign currency transactions

    (86,678 )

Forward foreign currency contracts

    (989,189 )

Net change in unrealized appreciation/(depreciation) on:

       

Investments

    233,084  

Futures contracts

    (8,803,008 )

Foreign currency translations

    64  

Forward foreign currency contracts

    (526,040 )

Net realized and unrealized gain/(loss) from investments

    (8,899,487 )

NET INCREASE/(DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS

  $ (5,815,054 )

 

 

The accompanying notes are an integral part of the consolidated financial statements.
25

 

 

Abbey Capital Multi Asset Fund

 

Consolidated Statements of Changes in Net Assets

 

   

For the
Six Months Ended
February 28, 2023
(Unaudited)

   

For the
Year Ended
August 31, 2022

 

INCREASE/(DECREASE) IN NET ASSETS FROM OPERATIONS:

               

Net investment income/(loss)

  $ 3,084,433     $ (1,886,699 )

Net realized gain/(loss) from investments, futures contracts, foreign currency transactions and forward foreign currency contracts

    196,413       9,827,414  

Net change in unrealized appreciation/(depreciation) on investments, futures contracts, foreign currency translations and forward foreign currency contracts

    (9,095,900 )     5,724,023  

Net increase/(decrease) in net assets resulting from operations

    (5,815,054 )     13,664,738  

DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS FROM:

               

Total distributable earnings

    (16,107,884 )     (10,931,120 )

Net decrease in net assets from dividends and distributions to shareholders

    (16,107,884 )     (10,931,120 )

CAPITAL SHARE TRANSACTIONS:

               

Class A Shares

               

Proceeds from shares sold

    2,389,008       1,346,515  

Proceeds from reinvestment of distributions

    35,006        

Shares redeemed

    (1,510,532 )     (541,920 )

Total from Class A Shares

    913,482       804,595  

Class I Shares

               

Proceeds from shares sold

    199,333,865       278,631,362  

Proceeds from reinvestment of distributions

    10,506,767       10,666,118  

Shares redeemed

    (88,858,352 )     (44,846,418 )

Total from Class I Shares

    120,982,280       244,451,062  

Class C Shares

               

Proceeds from shares sold

    4,806,196       709,761  

Proceeds from reinvestment of distributions

    108,350        

Shares redeemed

    (489,005 )     (99,936 )

Total from Class C Shares

    4,425,541       609,825  

Net increase/(decrease) in net assets from capital share transactions

    126,321,303       245,865,482  

Total increase/(decrease) in net assets

    104,398,365       248,599,100  

NET ASSETS:

               

Beginning of period

    343,247,286       94,648,186  

End of period

  $ 447,645,651     $ 343,247,286  

 

 

The accompanying notes are an integral part of the consolidated financial statements.
26

 

 

Abbey Capital Multi Asset Fund

 

Consolidated Statements of Changes in Net Assets (Concluded)

 

   

For the
Six Months Ended
February 28, 2023
(Unaudited)

   

For the
Year Ended
August 31, 2022

 

SHARE TRANSACTIONS:

               

Class A Shares

               

Shares sold

    202,289       112,990  

Shares reinvested

    3,095        

Shares redeemed

    (129,455 )     (45,345 )

Total Class A Shares

    75,929       67,645  

Class I Shares

               

Shares sold

    16,971,850       23,584,424  

Shares reinvested

    927,341       957,461  

Shares redeemed

    (7,674,145 )     (3,858,008 )

Total Class I Shares

    10,225,046       20,683,877  

Class C Shares

               

Shares sold

    406,254       61,350  

Shares reinvested

    9,674        

Shares redeemed

    (43,348 )     (8,662 )

Total Class C Shares

    372,580       52,688  

Net increase/(decrease) in shares outstanding

    10,673,555       20,804,210  

 

 

The accompanying notes are an integral part of the consolidated financial statements.
27

 

 

Abbey Capital Multi Asset Fund

 

Consolidated Financial Highlights

 

Contained below is per share operating performance data for Class A Shares outstanding, total investment return/(loss), ratios to average net assets and other supplemental data for the respective periods. This information has been derived from information provided in the consolidated financial statements.

 

 

   

For the
Six Months
Ended
February 28,
2023
(Unaudited)

   

For The
Period
February 16,
2022
to august
31,
2022
(1)

 

Per Share Operating Performance

               

Net asset value, beginning of period

  $ 11.94     $ 11.21  

Net investment income/(loss)(2)

    0.08       (0.06 )

Net realized and unrealized gain/(loss) from investments

    (0.22 )     0.79  

Net increase/(decrease) in net assets resulting from operations

    (0.14 )     0.73  

Dividends and distributions to shareholders from:

               

Net investment income

    (0.42 )      

Net realized capital gains

    (0.03 )      

Total dividends and distributions to shareholders

    (0.45 )      

Net asset value, end of period

  $ 11.35     $ 11.94  

Total investment return/(loss)(3)

    (0.98 )%(4)     6.51 %(4)

Ratios/Supplemental Data

               

Net assets, end of period (000’s omitted)

  $ 1,629     $ 808  

Ratio of expenses to average net assets with waivers and/or reimbursements (including interest expense)(6)

    2.04 %(5)     2.04 %(5)

Ratio of expenses to average net assets with waivers and/or reimbursements (excluding interest expense)(6)

    2.04 %(5)     2.04 %(5)

Ratio of expenses to average net assets without waivers and/or reimbursements (including interest expense)(6)

    2.16 %(5)     2.23 %(5)

Ratio of net investment income/(loss) to average net assets

    1.31 %(5)     (0.87 )%(5)

Portfolio turnover rate(7)

    0 %(4)     0 %(4)

 

 

(1)

Inception date of Class A Shares of the Fund was February 16, 2022.

(2)

Calculated based on average shares outstanding for the period.

(3)

Total investment return/(loss) is calculated assuming a purchase of shares on the first day and a sale of shares on the last day of each period reported and includes reinvestments of dividends and distributions, if any. Total return does not reflect any applicable sales charge.

(4)

Not Annualized

(5)

Annualized

(6)

The Adviser has contractually agreed to waive its advisory fee and/or reimburse expenses in order to limit total annual Fund operating expenses (excluding acquired Fund fees and expenses, brokerage commissions, extraordinary items, interest or taxes) to 2.04% of the Fund’s average daily net assets attributable to Class A Shares.

(7)

Portfolio turnover rate is calculated for the Fund, as a whole, for the entire period.

 

The accompanying notes are an integral part of the consolidated financial statements.
28

 

 

Abbey Capital Multi Asset Fund

 

Consolidated Financial Highlights (Continued)

 

Contained below is per share operating performance data for Class I Shares outstanding, total investment return, ratios to average net assets and other supplemental data for the respective periods. This information has been derived from information provided in the consolidated financial statements.

 

 

   

For the
Six Months
Ended
February 28,
2023
(Unaudited)

   

For the
Year
Ended
August 31,
2022

   

For the
Year
Ended
August 31,
2021

   

For the
Year
Ended
August 31,
2020

   

For the
Year
Ended
August 31,
2019

   

For the
Period
Ended
August 31,
2018
(1)

 

Per Share Operating Performance

                                               

Net asset value, beginning of period

  $ 11.96     $ 11.98     $ 11.07     $ 10.94     $ 10.65     $ 10.00  

Net investment income/(loss)(2)

    0.09       (0.13 )     (0.21 )     (0.08 )     0.02       (0.01 )

Net realized and unrealized gain/(loss) from investments

    (0.23 )     1.29       2.21       1.38       1.09       0.66  

Net increase/(decrease) in net assets resulting from operations

    (0.14 )     1.16       2.00       1.30       1.11       0.65  

Dividends and distributions to shareholders from:

                                               

Net investment income

    (0.42 )     (0.34 )     (0.17 )     (0.96 )     (0.36 )      

Net realized capital gains

    (0.03 )     (0.84 )     (0.92 )     (0.21 )     (0.46 )      

Total dividends and distributions to shareholders

    (0.45 )     (1.18 )     (1.09 )     (1.17 )     (0.82 )      

Net asset value, end of period

  $ 11.37     $ 11.96     $ 11.98     $ 11.07     $ 10.94     $ 10.65  

Total investment return/(loss)(3)

    (0.84 )%(4)     10.40 %     19.72 %     13.97 %     12.20 %     6.50 %(4)

Ratios/Supplemental Data

                                               

Net assets, end of period (000’s omitted)

  $ 441,249     $ 341,815     $ 94,948     $ 37,572     $ 28,242     $ 21,608  

Ratio of expenses to average net assets with waivers and/or reimbursements (including interest expense)(6)

    1.79 %(5)     1.79 %     1.84 %     1.79 %     1.79 %     1.79 %(5)

Ratio of expenses to average net assets with waivers and/or reimbursements (excluding interest expense)(6)

    1.79 %(5)     1.79 %     1.79 %     1.79 %     1.79 %     1.79 %(5)

Ratio of expenses to average net assets without waivers and/or reimbursements (including interest expense)(6)

    1.91 %(5)     1.98 %     2.28 %     2.45 %     2.27 %     2.84 %(5)

Ratio of net investment income/(loss) to average net assets

    1.54 %(5)     (1.12 )%     (1.80 )%     (0.76 )%     0.25 %     (0.25 )%(5)

Portfolio turnover rate(7)

    0 %(4)     0 %     0 %     0 %     0 %     0 %(4)

 

 

(1)

Inception date of Class I Shares of the Fund was April 11, 2018.

(2)

Calculated based on average shares outstanding for the period.

(3)

Total investment return is calculated assuming a purchase of shares on the first day and a sale of shares on the last day of the period reported and includes reinvestments of dividends and distributions, if any.

(4)

Not annualized.

(5)

Annualized.

(6)

The Adviser has contractually agreed to waive its advisory fee and/or reimburse expenses in order to limit total annual Fund operating expenses (excluding acquired Fund fees and expenses, brokerage commissions, extraordinary items, interest or taxes) to 1.79% of the Fund’s average daily net assets attributable to Class I Shares.

(7)

Portfolio turnover rate is calculated for the Fund, as a whole, for the entire period.

 

The accompanying notes are an integral part of the consolidated financial statements.
29

 

 

Abbey Capital Multi Asset Fund

 

Consolidated Financial Highlights (Concluded)

 

Contained below is per share operating performance data for Class C Shares outstanding, total investment return/(loss), ratios to average net assets and other supplemental data for the respective periods. This information has been derived from information provided in the consolidated financial statements.

 

 

   

For the
Six Months
Ended
February 28,
2023
(Unaudited)

   

For The
Period
November 8,
2021
To August
31,
2022
(1)

 

Per Share Operating Performance

               

Net asset value, beginning of period

  $ 11.85     $ 12.51  

Net investment income/(loss)(2)

    0.04       (0.18 )

Net realized and unrealized gain/(loss) from investments

    (0.23 )     0.70  

Net increase/(decrease) in net assets resulting from operations

    (0.19 )     0.52  

Dividends and distributions to shareholders from:

               

Net investment income

    (0.42 )     (0.34 )

Net realized capital gains

    (0.03 )     (0.84 )

Total dividends and distributions to shareholders

    (0.45 )     (1.18 )

Net asset value, end of period

  $ 11.21     $ 11.85  

Total investment return/(loss)(3)

    (1.33 )%(4)     4.84 %(4)

Ratios/Supplemental Data

               

Net assets, end of period (000’s omitted)

  $ 4,767     $ 624  

Ratio of expenses to average net assets with waivers and/or reimbursements (including interest expense)(6)

    2.79 %(5)     2.79 %(5)

Ratio of expenses to average net assets with waivers and/or reimbursements (excluding interest expense)(6)

    2.79 %(5)     2.79 %(5)

Ratio of expenses to average net assets without waivers and/or reimbursements (including interest expense)(6)

    2.91 %(5)     2.98 %(5)

Ratio of net investment income/(loss) to average net assets

    0.67 %(5)     (1.88 )%(5)

Portfolio turnover rate(7)

    0 %(4)     0 %(4)

 

 

(1)

Inception date of Class C Shares of the Fund was November 8, 2021.

(2)

Calculated based on average shares outstanding for the period.

(3)

Total investment return/(loss) is calculated assuming a purchase of shares on the first day and a sale of shares on the last day of the period reported and includes reinvestments of dividends and distributions, if any.

(4)

Not annualized.

(5)

Annualized.

(6)

The Adviser has contractually agreed to waive its advisory fee and/or reimburse expenses in order to limit total annual Fund operating expenses (excluding acquired Fund fees and expenses, brokerage commissions, extraordinary items, interest or taxes) to 2.79% of the Fund’s average daily net assets attributable to Class C Shares.

(7)

Portfolio turnover rate is calculated for the Fund, as a whole, for the entire period.

 

The accompanying notes are an integral part of the consolidated financial statements.
30

 

 

Abbey Capital Multi Asset Fund

 

Notes To Consolidated Financial Statements

February 28, 2023 (Unaudited)

 

1. Organization and Significant Accounting Policies

 

The RBB Fund, Inc. (“RBB” or the “Company”) was incorporated under the laws of the State of Maryland on February 29, 1988 and is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. RBB is a “series fund,” which is a mutual fund complex divided into separate portfolios. Each portfolio is treated as a separate entity for certain matters under the 1940 Act, and for other purposes, and a shareholder of one portfolio is not deemed to be a shareholder of any other portfolio. Currently, RBB has forty-eight separate investment portfolios, including the Abbey Capital Multi Asset Fund (the “Fund”), which commenced investment operations on April 11, 2018. The Fund is authorized to offer three classes of shares, Class A Shares, Class I Shares and Class C Shares. Class A Shares are sold subject to a front-end maximum sales charge of 5.75%. Front-end sales charges may be reduced or waived under certain circumstances.

 

RBB has authorized capital of one hundred billion shares of common stock of which 90.623 billion shares are currently classified into two hundred and thirteen classes of common stock. Each class represents an interest in an active or inactive RBB investment portfolio.

 

The Fund seeks to achieve its investment objective by allocating its assets between a “Managed Futures” strategy, a “Long U.S. Equity” strategy and a “Fixed Income” strategy.

 

The Fund is an investment company and follows accounting and reporting guidance in the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946 “Financial Services – Investment Companies.”

 

The end of the reporting period for the Fund is February 28, 2023, and the period covered by these Notes to Consolidated Financial Statements is the six months ended February 28, 2023 (the “current fiscal period”).

 

Consolidation of Subsidiaries — The Managed Futures strategy is achieved by the Fund investing up to 25% of its total assets in ACMAF Master Offshore Limited (the “Cayman Subsidiary”), a wholly-owned and controlled subsidiary of the Fund organized under the acts of the Cayman Islands. Effective on or about November 12, 2020, the Fund’s previous wholly-owned subsidiary, the Abbey Capital Multi Asset Offshore Fund Limited, became a wholly-owned subsidiary of the Cayman Subsidiary through a share exchange between the Fund and the Cayman Subsidiary and registered as a segregated portfolio company under the acts of the Cayman Islands under the name ACMAF Offshore SPC (the “SPC”). The Cayman Subsidiary invests all or substantially all of its assets in segregated portfolios of the SPC. The Cayman Subsidiary serves solely as an intermediate entity through which the Fund invests in the SPC and makes no independent investment decisions and has no investment or other discretion over the Fund’s investable assets.

 

Effective on or about July 8, 2021, the Fund may also invest a portion of its assets in segregated series of another wholly-owned subsidiary of the Fund, the ACMAF Onshore Series LLC (the “Onshore Subsidiary”), a Delaware series limited liability company.

 

The consolidated financial statements of the Fund include the financial statements of the Cayman Subsidiary, the Onshore Subsidiary and SPC. The Fund consolidates the results of subsidiaries in which the Fund holds a controlling financial interest. All inter-company accounts and transactions have been eliminated. As of the end of the reporting period, the net assets of the Cayman Subsidiary and SPC were $101,078,546 which represented 22.58% of the Fund’s net assets. As of the end of the reporting period, the net assets of the Onshore Subsidiary were $62,847,158, which represented 14.04% of the Fund’s net assets.

 

Portfolio Valuation — The Fund’s net asset value (“NAV”) is calculated once daily at the close of regular trading hours on the New York Stock Exchange (“NYSE”) (generally 4:00 p.m. Eastern time) on each day the NYSE is open. Securities held by the Fund are valued using the closing price or the last sale price on a national securities exchange or the National Association of Securities Dealers Automatic Quotation System (“NASDAQ”) market system where they are primarily traded. Fixed income securities are valued using an independent pricing service, which considers such factors as security prices, yields, maturities and ratings, and are deemed representative of market values at the close of the market. Forward exchange contracts are valued by interpolating between spot and forward currency rates as quoted by an independent pricing service. Futures contracts are generally valued using the settlement price determined by the relevant

 

31

 

 

Abbey Capital Multi Asset Fund

 

Notes To Consolidated Financial Statements (Continued)

February 28, 2023 (Unaudited)

 

exchange. If market quotations are unavailable or deemed unreliable, securities will be valued by the Valuation Designee (as defined below) 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.

 

The Board has adopted a pricing and valuation policy for use by the Fund and its Valuation Designee (as defined below) in calculating the Fund’s NAV. Pursuant to Rule 2a-5 under the 1940 Act, the Fund has designated Abbey Capital Limited (the “Adviser”) as its “Valuation Designee” to perform all of the fair value determinations as well as to perform all of the responsibilities that may be performed by the Valuation Designee in accordance with Rule 2a-5. The Valuation Designee is authorized to make all necessary determinations of the fair values of portfolio securities and other assets for which market quotations are not readily available or if it is deemed that the prices obtained from brokers and dealers or independent pricing services are unreliable.

 

Fair Value Measurements — The inputs and valuation techniques used to measure the fair value of the Fund’s investments are summarized into three levels as described in the hierarchy below:

 

 

● Level 1 –

Prices are determined using quoted prices in active markets for identical securities.

 

 

● Level 2 –

Prices are determined using other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).

 

 

● Level 3 –

Prices are determined using significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments).

 

The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

 

The following is a summary of the inputs used, as of the end of the reporting period, in valuing the Fund’s investments carried at fair value:

 

 

Total

   

Level 1

   

Level 2

   

Level 3

 

Short-Term Investments

  $ 379,812,762     $ 379,812,762     $     $  

Commodity Contracts

                               

Futures Contracts

    4,898,028       4,898,028              

Equity Contracts

                               

Futures Contracts

    2,214,852       2,214,852              

Foreign Currency Contracts

                               

Forward Foreign Currency Contracts

    2,819,658             2,819,658        

Futures Contracts

    814,427       814,427              

Interest Rate Contracts

                               

Futures Contracts

    4,582,055       4,582,055              

Total Assets

  $ 395,141,782     $ 392,322,124     $ 2,819,658     $  

 

32

 

 

Abbey Capital Multi Asset Fund

 

Notes To Consolidated Financial Statements (Continued)

February 28, 2023 (Unaudited)

 

 

Total

   

Level 1

   

Level 2

   

Level 3

 

Commodity Contracts

                               

Futures Contracts

  $ (6,159,857 )   $ (6,159,857 )   $     $  

Equity Contracts

                               

Futures Contracts

    (5,981,526 )     (5,981,526 )            

Foreign Currency Contracts

                               

Forward Foreign Currency Contracts

    (2,139,513 )           (2,139,513 )      

Futures Contracts

    (565,898 )     (565,898 )            

Interest Rate Contracts

                               

Futures Contracts

    (958,311 )     (958,311 )            

Total Liabilities

  $ (15,805,105 )   $ (13,665,592 )   $ (2,139,513 )   $  

 

At the end of each quarter, management evaluates the classification of Levels 1, 2 and 3 assets and liabilities. Various factors are considered, such as changes in liquidity from the prior reporting period; whether or not a broker is willing to execute at the quoted price; the depth and consistency of prices from third party pricing services; and the existence of contemporaneous, observable trades in the market. Additionally, management evaluates the classification of Levels 1, 2 and 3 assets and liabilities on a quarterly basis for changes in listings or delistings on national exchanges.

 

Due to the inherent uncertainty of determining the fair value of investments that do not have a readily available market value, the fair value of the Fund’s investments may fluctuate from period to period. Additionally, the fair value of investments may differ significantly from the values that would have been used had a ready market existed for such investments and may differ materially from the values the Fund may ultimately realize. Further, such investments may be subject to legal and other restrictions on resale or otherwise less liquid than publicly traded securities.

 

For fair valuations using significant unobservable inputs, U.S. generally accepted accounting principles (“U.S. GAAP”) requires the Fund to present a reconciliation of the beginning to ending balances for reported market values that presents changes attributable to total realized and unrealized gains or losses, purchase and sales, and transfers in and out of Level 3 during the period. Transfers in and out between levels are based on values at the end of the period. A reconciliation of Level 3 investments is presented only when the Fund had an amount of Level 3 investments at the end of the reporting period that was meaningful in relation to its net assets. The amounts and reasons for Level 3 transfers are disclosed if the Fund had an amount of total Level 3 transfers during the reporting period that was meaningful in relation to its net assets as of the end of the reporting period.

 

During the current fiscal period, the Fund had no Level 3 transfers.

 

Disclosures about Derivative instruments and Hedging Activities — Derivative instruments are defined as financial instruments whose value and performance are based on the value and performance of another security or financial instrument. Derivative instruments that the Fund used during the period include forward foreign currency contracts and futures contracts.

 

During the current fiscal period, the Fund used long and short contracts on U.S. and foreign equity market indices, U.S. and foreign government bonds, foreign currencies, interest rates and commodities (through investment in the Cayman Subsidiary, the SPC and the Onshore 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.

 

33

 

 

Abbey Capital Multi Asset Fund

 

Notes To Consolidated Financial Statements (Continued)

February 28, 2023 (Unaudited)

 

The following tables list the fair values of the Fund’s derivative holdings and location on the Consolidated Statement of Assets and Liabilities as of the end of the reporting period, grouped by derivative type and primary risk exposure category by contract type.

 

Derivative Type

 

Consolidated
Statement
of Assets and
Liabilities
Location

   

Equity
Contracts

   

Interest
Rate
Contracts

   

Foreign
Currency
Contracts

   

Commodity
Contracts

   

Total

 

Asset Derivatives

Forward Contracts (a)

    Unrealized appreciation on forward foreign currency contracts     $     $     $ 2,819,658     $     $ 2,819,658  

Futures Contracts (a)

    Unrealized appreciation on futures contracts       2,214,852       4,582,055       814,427       4,898,028       12,509,362  

Total Value- Assets

          $ 2,214,852     $ 4,582,055     $ 3,634,085     $ 4,898,028     $ 15,329,020  

Liability Derivatives

Forward Contracts (a)

    Unrealized depreciation on forward foreign currency contracts     $     $     $ (2,139,513 )   $     $ (2,139,513 )

Futures Contracts (a)

    Unrealized depreciation on futures contracts       (5,981,526 )     (958,311 )     (565,898 )     (6,159,857 )     (13,665,592 )

Total Value- Liabilities

  $ (5,981,526 )   $ (958,311 )   $ (2,705,411 )   $ (6,159,857 )   $ (15,805,105 )

 

(a)

This amount represents the cumulative appreciation/(depreciation) of forwards and futures contracts as reported on the Consolidated Portfolio of Investments.

 

The following table lists the amounts of realized gains/(losses) included in net increase/(decrease) in net assets resulting from operations during the current fiscal period, grouped by derivative type and primary risk exposure category by contract type.

 

Derivative Type

 

Consolidated
Statement of
Operations
Location

   

Equity
Contracts

   

Interest
Rate
Contracts

   

Foreign
Currency
Contracts

   

Commodity
Contracts

   

Total

 

Realized Gain/(Loss)

Futures Contracts

    Net realized gain/(loss) from Futures Contracts     $ 4,851,905     $ 6,280,577     $ 2,202,706     $ (11,916,596 )   $ 1,418,592  

Forward Contracts

    Net realized gain/(loss) from Forward Foreign Currency Contracts                   (989,189 )           (989,189 )

Total Realized Gain/(Loss)

  $ 4,851,905     $ 6,280,577     $ 1,213,517     $ (11,916,596 )   $ 429,403  

 

34

 

 

Abbey Capital Multi Asset Fund

 

Notes To Consolidated Financial Statements (Continued)

February 28, 2023 (Unaudited)

 

The following table lists the amounts of change in unrealized appreciation/(depreciation) included in net increase/(decrease) in net assets resulting from operations during the current fiscal period, grouped by derivative type and primary risk exposure category by contract type.

 

Derivative Type

 

Consolidated
Statement of
Operations
Location

   

Equity
Contracts

   

Interest
Rate
Contracts

   

Foreign
Currency
Contracts

   

Commodity
Contracts

   

Total

 

Change in Unrealized Appreciation/(Depreciation)

Futures Contracts

    Net change in unrealized appreciation/(depreciation) on futures contracts     $ (6,996,004 )   $ 1,044,092     $ (1,545,979 )   $ (1,305,117 )   $ (8,803,008 )

Forward Contracts

    Net change in unrealized appreciation/(depreciation) on forward foreign currency contracts                   (526,040 )           (526,040 )

Total Change in Unrealized Appreciation/(Depreciation)

  $ (6,996,004 )   $ 1,044,092     $ (2,072,019 )   $ (1,305,117 )   $ (9,329,048 )

 

During the current fiscal period, 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)

$468,093,493

$(726,176,691)

$(372,037,337)

$372,018,174

 

For financial reporting purposes, the Fund does not offset fair value amounts recognized for derivative instruments and fair value amounts recognized for the right to reclaim cash collateral (receivables) or the obligation to return cash collateral (payables) arising from derivative instruments recognized at fair value executed with the same counterparty under a master netting arrangement.

 

35

 

 

Abbey Capital Multi Asset Fund

 

Notes To Consolidated Financial Statements (Continued)

February 28, 2023 (Unaudited)

 

The following is a summary of financial and derivative instruments that are subject to enforceable master netting agreements (or similar arrangements) and collateral received and pledged in connection with the master netting agreements (or similar arrangements).

 

           

Gross Amount Not
Offset in Consolidated
Statement of
Assets and Liabilities

                           

Gross Amount Not
Offset in Consolidated
Statement of
Assets and Liabilities

         

Description

 

Gross Amount
Presented
in the
Consolidated
Statement of
Assets and
Liabilities

   

Financial
Instruments

   

Collateral
Received

   

Net
Amount
(1)

           

Gross Amount
Presented
in the
Consolidated
Statement of
Assets and
Liabilities

   

Financial
Instruments

   

Collateral
Pledged
(2)

   

Net
Amount
(3)

 
   

Assets

           

Liabilities

 

Forward Foreign Currency Contracts

  $ 2,819,658     $ (2,139,513 )   $     $ 680,145             $ 2,139,513     $ (2,139,513 )   $     $  

 

 
 

(1)

Net amount represents the net amount receivable from the counterparty in the event of default.

 

 

(2)

Actual collateral pledged may be more than the amount shown.

 

 

(3)

Net amount represents the net amount payable to the counterparty in the event of default.

 

Use of Estimates — The preparation of consolidated financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the consolidated financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates and those differences could be significant.

 

Investment Transactions, Investment Income and Expenses — The Fund records security transactions based on trade date for financial reporting purposes. The cost of investments sold is determined by use of the specific identification method for both financial reporting and income tax purposes in determining realized gains and losses on investments. Interest income (including amortization of premiums and accretion of discounts) is accrued when earned. Dividend income is recorded on the ex-dividend date. Distributions received on securities that represent a return of capital or capital gain are recorded as a reduction of cost of investments and/or as a realized gain. The Fund’s investment income, expenses (other than class specific expenses) and unrealized and realized gains and losses are allocated daily to each class of shares based upon the relative proportion of net assets of each class at the beginning of the day. Certain expenses are shared with The RBB Fund Trust (formerly, PENN Capital Funds Trust) (the “Trust”), a series trust of affiliated funds. Expenses incurred on behalf of a specific class, fund or fund family of the Company or Trust are charged directly to the class, fund or fund family (in proportion to net assets). Expenses incurred for all funds (such as director or professional fees) are charged to all funds in proportion to their average net assets of RBB and the Trust, or in such other manner as the Board deems fair or equitable. Expenses and fees, including investment advisory and administration fees, are accrued daily and taken into account for the purpose of determining the NAV of the Fund.

 

Dividends and Distributions to Shareholders — Dividends from net investment income and distributions from net realized capital gains, if any, are declared and paid at least annually to shareholders and recorded on the ex-dividend date. Income dividends and capital gain distributions are determined in accordance with U.S. federal income tax regulations, which may differ from U.S. GAAP.

 

U.S. Tax Status — No provision is made for U.S. income taxes as it is the Fund’s intention to continue to qualify for and elect the tax treatment applicable to regulated investment companies under Subchapter M of the Internal Revenue Code of 1986, as amended, and make the requisite distributions to its shareholders which will be sufficient to relieve it from U.S. income and excise taxes.

 

36

 

 

Abbey Capital Multi Asset Fund

 

Notes To Consolidated Financial Statements (Continued)

February 28, 2023 (Unaudited)

 

The Cayman Subsidiary is registered as an “exempted company” and the SPC as an “exempted segregated portfolio company” pursuant to the Companies Act (Revised) of the Cayman Islands (as amended). Each of the Cayman Subsidiary and the SPC has received an undertaking from the Governor in Cabinet of the Cayman Islands to the effect that, for a period of twenty years from the date of the undertaking, no act that thereafter is enacted in the Cayman Islands imposing any tax or duty to be levied on profits, income or on gains or appreciation, or any tax in the nature of estate duty or inheritance tax, will apply to any property comprised in or any income arising under the Cayman Subsidiary or the SPC, or to the shareholders thereof, in respect of any such property or income. For U.S. federal income tax purposes, the Cayman Subsidiary is treated as a “controlled foreign corporation” and the SPC is treated as disregarded from its owner, the Cayman Subsidiary, for U.S. income tax purposes. The Onshore Subsidiary is treated as an entity disregarded from its owner, the Fund, for U.S. income tax purposes.

 

SEC RULE 18f-4 — Effective August 19, 2022, the U.S. Securities and Exchange Commission (“SEC”) implemented Rule 18f-4 under the 1940 Act (“Rule 18f-4”), providing for the regulation of a registered investment company’s use of derivatives and certain related instruments. Among other things, Rule 18f-4 limits a fund’s derivatives exposure through a value-at-risk test and requires the adoption and implementation of a derivatives risk management program for certain derivatives users. The Fund, as a full derivatives user (as defined in Rule 18f-4), is subject to the full requirements of Rule 18f-4. The Fund is required to comply with Rule18f-4 and has adopted procedures for investing in derivatives and other transactions in compliance with Rule 18f-4.

 

Foreign Currency Translation — Assets and liabilities initially expressed in non-U.S. currencies are translated into U.S. dollars based on the applicable exchange rates at the date of the last business day of the financial statement period. Purchases and sales of securities, interest income, dividends, variation margin received and expenses denominated in foreign currencies are translated into U.S. dollars at the exchange rates in effect on the transaction date.

 

The Fund does not separately report the effect of changes in foreign exchange rates from changes in market prices of securities held. Such changes are included with the net realized gain or loss and change in unrealized appreciation or depreciation on investments in the Consolidated Statement of Operations. Other foreign currency transactions resulting in realized and unrealized gain or loss are reported separately as net realized gain or loss and change in unrealized appreciation or depreciation on foreign currencies in the Consolidated Statement of Operations.

 

Currency Risk —Investment in foreign securities involves currency risk associated with securities that trade or are denominated in currencies other than the U.S. dollar and which may be affected by fluctuations in currency exchange rates. An increase in the strength of the U.S. dollar relative to a foreign currency may cause the U.S. dollar value of an investment in that country to decline. Foreign currencies also are subject to risks caused by inflation, interest rates, budget deficits and low savings rates, political factors and government controls. Forward foreign currency exchange contracts may limit potential gains from a favorable change in value between the U.S. dollar and foreign currencies. Unanticipated changes in currency pricing may result in poorer overall performance for the Fund than if it had not engaged in these contracts.

 

Commodity Sector Risk — Exposure to the commodities markets may subject the Fund to greater volatility than investments in traditional securities. The value of commodity-linked derivative instruments may be affected by changes in overall market movements, commodity index volatility, changes in interest rates or factors affecting a particular industry or commodity, such as drought, floods, weather, livestock disease, embargoes, tariffs and international economic, political and regulatory developments. The prices of energy, industrial metals, precious metals, agriculture and livestock sector commodities may fluctuate widely due to factors such as changes in value, supply and demand and governmental regulatory policies. The commodity-linked securities in which the Fund invests may be issued by companies in the financial services sector, and events affecting the financial services sector may cause the Fund’s share value to fluctuate.

 

Foreign Securities Market Risk — A substantial portion of the trades of the Fund are expected to take place on markets or exchanges outside the United States. There is no limit to the amount of assets of the Fund that may be committed to trading on foreign markets. The risk of loss in trading foreign futures and options on futures contracts

 

37

 

 

Abbey Capital Multi Asset Fund

 

Notes To Consolidated Financial Statements (Continued)

February 28, 2023 (Unaudited)

 

can be substantial. Participation in foreign futures and options on futures contracts involves the execution and clearing of trades on, or subject to the rules of, a foreign board of trade or exchange. Some of these foreign markets, in contrast to U.S. exchanges, are so-called principals’ markets in which performance is the responsibility only of the individual counterparty with whom the trader has entered into a commodity interest transaction and not of the exchange or clearing corporation. In these kinds of markets, there is risk of bankruptcy or other failure or refusal to perform by the counterparty.

 

Counterparty Risk — The derivative contracts entered into by the Fund, the Cayman Subsidiary, Onshore Subsidiary or the SPC may be privately negotiated in the over-the-counter market. These contracts also involve exposure to credit risk, since contract performance depends in part on the financial condition of the counterparty. Relying on a counterparty exposes the Fund to the risk that a counterparty will not settle a transaction in accordance with its terms and conditions because of a dispute over the terms of the contract (whether or not bona fide) or because of a credit or liquidity problem, thus causing the Fund to suffer a loss. If a counterparty defaults on its payment obligations to the Fund, this default will cause the value of an investment in the Fund to decrease.

 

Credit Risk — Credit risk refers to the possibility that the issuer of the security or a counterparty in respect of a derivative instrument will not be able to satisfy its payment obligations to the Fund when due. Changes in an issuer’s credit rating or the market’s perception of an issuer’s creditworthiness may also affect the value of the Fund’s investment in that issuer. Securities rated in the four highest categories by the rating agencies are considered investment grade, but they may also have some speculative characteristics. Investment grade ratings do not guarantee that bonds will not lose value or default. In addition, the credit quality of securities may be lowered if an issuer’s financial condition changes.

 

Coronavirus (COVID-19) Pandemic — The global outbreak of COVID-19 (commonly referred to as “coronavirus”) has disrupted economic markets and the prolonged economic impact is uncertain. Although vaccines for COVID-19 are available, the ultimate economic fallout from the pandemic, and the long-term impact on economies, markets, industries and individual companies are not known. The operational and financial performance of individual companies and the market in general depends on future developments, including the duration and spread of the outbreak and the pace of recovery which may vary from market to market, and such uncertainty may in turn adversely affect the value and liquidity of the Fund’s investments, impair the Fund’s ability to satisfy redemption requests, and negatively impact the Fund’s performance.

 

UKRAINE-RUSSIA CONFLICT RISK — In February 2022, Russia commenced a military attack on Ukraine. The outbreak of hostilities between the two countries and the threat of wider-spread hostilities could have a severe adverse effect on the region and global economies, including significant negative impacts on the markets for certain securities and commodities, such as oil and natural gas. In addition, sanctions imposed on Russia by the United States and other countries, and any sanctions imposed in the future, could have a significant adverse impact on the Russian economy and related markets. The price and liquidity of investments may fluctuate widely as a result of the conflict and related events. How long the armed conflict and related events will last cannot be predicted. These tensions and any related events could have a significant impact on Fund performance and the value of Fund investments, even beyond any direct exposure the Fund may have to issuers located in these countries.

 

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

 

38

 

 

Abbey Capital Multi Asset Fund

 

Notes To Consolidated Financial Statements (Continued)

February 28, 2023 (Unaudited)

 

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 potentially unlimited risk of loss.

 

Forward Foreign Currency Contracts — In the normal course of pursuing its investment objectives, the Fund is subject to foreign investment and currency risk. The Fund uses forward foreign currency contracts (“forward contracts”) for purposes of hedging, duration management, as a substitute for securities, to increase returns, for currency hedging or risk management, or to otherwise help achieve the Fund’s investment objective. These contracts are marked-to-market daily at the applicable translation rates. The Fund records realized gains or losses at the time the forward contract is closed. A forward contract is extinguished through a closing transaction or upon delivery of the currency or entering an offsetting contract. Risks may arise upon entering these contracts from the potential inability of a counterparty to meet the terms of their contracts and from unanticipated movements in the value of a foreign currency relative to the U.S. dollar or other currencies. The Fund’s maximum risk of loss from counterparty credit risk related to forward foreign currency contracts is the fair value of the contract. The risk may be mitigated to some extent if a master netting arrangement between the Fund and the counterparty is in place and to the extent the Fund obtains collateral to cover the Fund’s exposure to the counterparty.

 

Cash and Cash Equivalents — Cash and cash equivalents are valued at cost plus accrued interest, which approximates market value.

 

Other — In the normal course of business, the Fund may enter into contracts that provide general indemnifications. The Fund’s maximum exposure under these arrangements is dependent on claims that may be made against the Fund in the future, and, therefore, cannot be estimated; however, the Fund expects the risk of material loss from such claims to be remote.

 

2. Investment Adviser and Other Services

 

Abbey Capital Limited (“Abbey Capital” or the “Adviser”) serves as the investment adviser to the Fund, the Cayman Subsidiary, Onshore Subsidiary and the SPC. The Adviser allocates the assets of the Onshore Subsidiary and SPC (via the Cayman Subsidiary) to one or more Trading Advisers unaffiliated with the Adviser to manage. The Adviser also has the ultimate responsibility to oversee the Trading Advisers, and to recommend their hiring, termination and replacement, subject to approval by the Board. The Fund compensates the Adviser for its services at an annual rate based on the Fund’s average daily net assets (the “Advisory Fee”), payable on a monthly basis in arrears, as shown in the following table. The Adviser compensates the Trading Advisers out of the Advisory Fee.

 

The Adviser has contractually agreed to waive its advisory fee and/or reimburse expenses in order to limit total annual Fund operating expenses (excluding certain items discussed below) to the rates (“Expense Caps”) shown in the following table of the Fund’s average daily net assets. In determining the Adviser’s obligation to waive advisory fees and/or reimburse expenses, the following expenses are not taken into account and could cause net total annual Fund operating expenses to exceed the Expense Caps as applicable: acquired fund fees and expenses, brokerage commissions, extraordinary expenses, interest and taxes. This contractual limitation is in effect until December 31, 2023 and may not be terminated without the approval of the Board. The Adviser may discontinue these arrangements at any time after December 31, 2023.

 

Advisory
Fee

Expense Caps

 

Class A

Class I

Class C

1.77%

2.04%

1.79%

2.79%

 

39

 

 

Abbey Capital Multi Asset Fund

 

Notes To Consolidated Financial Statements (Continued)

February 28, 2023 (Unaudited)

 

During the current fiscal period, investment advisory fees accrued, waived and/or reimbursed were as follows:

 

Gross
Advisory
Fees

Waivers and/or
Reimbursements

Net
Advisory
Fees

$3,575,711

$(234,559)

$3,341,152

 

If at any time the Fund’s total annual fund operating expenses (not including acquired fund fees and expenses, brokerage commissions, extraordinary items, interest or taxes) for a year are less than the relevant share class’s Expense Cap, the Adviser may recoup any waived or reimbursed amounts from the Fund within three years from the date on which such waiver or reimbursement was made, provided such reimbursement does not cause the Fund to exceed expense limitations that were in effect at the time of the waiver or reimbursement.

 

As of the end of the reporting period, the Fund had amounts available for recoupment as follows:

 

Expiration

August 31,
2023

August 31,
2024

August 31,
2025

August 31,
2026

Total

$112,914

$254,268

$312,567

$234,559

$914,308

 

Aspect Capital Limited, Crabel Capital Management, LLC, Eclipse Capital Management, Inc., Revolution Capital Management, LLC, Tudor Investment Corporation and Welton Investment Partners, LLC each served as a Trading Adviser to the Fund during the period.

 

U.S. Bancorp Fund Services, LLC, doing business as U.S. Bank Global Fund Services (“Fund Services”), serves as administrator for the Fund. For providing administrative and accounting services, Fund Services is entitled to receive a monthly fee, subject to certain minimum and out of pocket expenses.

 

Fund Services serves as the Fund’s transfer and dividend disbursing agent. For providing transfer agent services, Fund Services is entitled to receive a monthly fee, subject to certain minimum and out of pocket expenses.

 

U.S. Bank, N.A. (the “Custodian”) provides certain custodial services to the Fund. The Custodian is entitled to receive a monthly fee, subject to certain minimum and out of pocket expenses.

 

Quasar Distributors, LLC (the “Distributor”), a wholly-owned broker-dealer subsidiary of Foreside Financial Group, LLC, serves as the principal underwriter and distributor of the Fund’s shares pursuant to a Distribution Agreement with RBB.

 

For compensation amounts paid to Fund Services and the Custodian, please refer to the Consolidated Statement of Operations.

 

The Board has adopted a Plan of Distribution for the Class A Shares and Class C Shares (the “Plan”) pursuant to Rule 12b-1 under the 1940 Act. Under the Plan, the Fund’s distributor is entitled to receive from the Fund a distribution fee with respect to the Shares, which is accrued daily and paid monthly, of up to 0.25% on an annualized basis of the average daily net assets of the Class A Shares and up to 1.00% of the Class C Shares. The actual amount of such compensation under the Plan is agreed upon by the Board and by the Distributor. Because these fees are paid out of the Fund’s assets on an ongoing basis, over time these fees will increase the cost of your investment and may cost you more than paying other types of sales charges. Amounts paid to the Distributor under the Plan may be used by the Distributor to cover expenses that are related to (i) the sale of the Shares, (ii) ongoing servicing and/or maintenance of the accounts of shareholders, and (iii) sub-transfer agency services, subaccounting services or administrative services related to the sale of the Shares, all as set forth in the Fund’s 12b-1 Plan.

 

40

 

 

Abbey Capital Multi Asset Fund

 

Notes To Consolidated Financial Statements (Continued)

February 28, 2023 (Unaudited)

 

3. Director And Officer Compensation

 

The Directors of the Company receive an annual retainer and meeting fees for meetings attended. An employee of Vigilant-Compliance, LLC serves as Chief Compliance Officer of the Company. Vigilant Compliance, LLC is compensated for the services provided to the Company. Employees of RBB serve as President, Chief Financial Officer, Chief Operating Officer, Secretary and Director of Marketing & Business Development of the Company. They are compensated by the Company for services provided. Certain employees of Fund Services serve as officers of the Company. They are not compensated by the Fund or the Company. For Director and Officer compensation amounts, please refer to the Consolidated Statement of Operations.

 

4. Purchases and Sales of Investment Securities

 

During the current fiscal period, there were no purchases or sales of investment securities or long-term U.S. Government securities (excluding short-term investments and derivative transactions) by the Fund.

 

5. Federal Income Tax Information

 

The Fund has followed the authoritative guidance on accounting for and disclosure of uncertainty in tax positions, which requires the Fund to determine whether a tax position is more likely than not to be sustained upon examination, including resolution of any related appeals or litigation processes, based on the technical merits of the position. The Fund has determined that there was no effect on the consolidated financial statements from following this authoritative guidance. In the normal course of business, the Fund is subject to examination by federal, state and local jurisdictions, where applicable, for tax years for which applicable statutes of limitations have not expired.

 

As of August 31, 2022, the federal tax cost and aggregate gross unrealized appreciation and depreciation of investments held by the Fund were as follows(a):

 

Federal Tax
Cost

Unrealized
Appreciation

Unrealized
(Depreciation)

Net
Unrealized
Appreciation/
(Depreciation)

$335,548,310

$11,447,106

$(25,688,872)

$(14,241,766)

 

 

(a)

The difference between the book basis and tax basis cost and aggregate gross unrealized appreciation and depreciation of investments is attributable primarily to timing differences related to taxable income from a wholly-owned controlled foreign corporation.

 

Distributions to shareholders, if any, from net investment income and realized gains are determined in accordance with federal income tax regulations, which may differ from net investment income and realized gains recognized for financial reporting purposes. Accordingly, the character of distributions and composition of net assets for tax purposes may differ from those reflected in the accompanying consolidated financial statements. To the extent these differences are permanent, such amounts are reclassified within the capital accounts based on the tax treatment; temporary differences do not require such reclassification.

 

Permanent differences as of August 31, 2022, primarily attributable to disallowed book income from the Cayman Subsidiary, were reclassified to the following accounts:

 

Distributable
Earnings/(Loss)

Paid-In
Capital

$(15,918,422)

$15,918,422

 

41

 

 

Abbey Capital Multi Asset Fund

 

Notes To Consolidated Financial Statements (Concluded)

February 28, 2023 (Unaudited)

 

As of August 31, 2022, the components of distributable earnings on a tax basis were as follows:

 

Undistributed
Ordinary
Income

Undistributed
Long-Term
Capital Gains

Net Unrealized
Appreciation/
(Depreciation)

Capital Loss
Carryforwards

Qualified
Late-Year
Losses

Other
Temporary
Differences

$14,228,148

$—

$(24,300,369)

$—

$2,024,982

$—

 

The differences between the book and tax basis components of distributable earnings relate principally to the timing of recognition of income and gains of the Cayman Subsidiary for federal income tax purposes.

 

The tax character of dividends and distributions paid during the fiscal year ended August 31, 2022 was as follows:

 

Ordinary
Income

Long-Term
Gains

Total

$7,325,763

$3,605,357

$10,931,120

 

Pursuant to federal income tax rules applicable to regulated investment companies, the Fund may elect to treat certain capital losses between November 1 and August 31 and late year ordinary losses ((i) ordinary losses between January 1 and August 31, and (ii) specified ordinary and currency losses between November 1 and August 31) as occurring on the first day of the following tax year. For the fiscal year ended August 31, 2022, any amount of losses elected within the tax return will not be recognized for federal income tax purposes until September 1, 2022. The Fund deferred qualified late-year losses of $2,024,982 which will be treated as arising on the first business day of the following fiscal year.

 

The Fund is permitted to carry forward capital losses for an unlimited period. Capital losses that are carried forward will retain their character as either short-term or long-term capital losses. As of August 31, 2022, the Fund had no unlimited short-term or long-term capital loss carryovers to offset future capital gains.

 

6. NEW ACCOUNTING PRONOUNCEMENTS AND REGULATORY UPDATES

 

In June 2022, the FASB issued Accounting Standards Update 2022-03, which amends Fair Value Measurement (Topic 820): Fair Value Measurement of Equity Securities Subject to Contractual Sale Restrictions (“ASU 2022-03”). ASU 2022-03 clarifies guidance for fair value measurement of an equity security subject to a contractual sale restriction and establishes new disclosure requirements for such equity securities. ASU 2022-03 is effective for fiscal years beginning after December 15, 2023 and for interim periods within those fiscal years, with early adoption permitted. Management is currently evaluating the impact of these amendments on the financial statements.

 

7. Subsequent Events

 

Management has evaluated the impact of all subsequent events on the Fund through the date the financial statements were issued and has determined that there were no significant events requiring recognition or disclosure in the financial statements.

 

42

 

 

Abbey Capital Multi Asset Fund

 

Other Information

(Unaudited)

 

Proxy Voting

 

Policies and procedures that the Fund uses to determine how to vote proxies relating to portfolio securities as well as information regarding how the Fund voted proxies relating to portfolio securities for the most recent twelve-month period ended June 30 are available without charge, upon request, by calling (844) 261-6484 and on the SEC’s website at http://www.sec.gov.

 

Quarterly Portfolio Schedules

 

The Company files its complete schedule of portfolio holdings with the SEC for the first and third fiscal quarters of each fiscal year (quarters ended November 30 and May 31) as an exhibit to its report on Form N-PORT. The Company’s Forms N-PORT are available on the SEC’s website at http://www.sec.gov.

 

43

 

 

[THIS PAGE INTENTIONALLY LEFT BLANK]

 

 

[THIS PAGE INTENTIONALLY LEFT BLANK]

 

 

Investment Adviser
Abbey Capital Limited
1-2 Cavendish Row
Dublin 1, Ireland

 

Administrator and Transfer Agent
U.S. Bancorp Fund Services, LLC
P.O. Box 701
Milwaukee, WI 53201

 

Principal Underwriter
Quasar Distributors, LLC
111 E Kilbourn Ave, Suite 2200
Milwaukee, WI 53202

 

Custodian
U.S. Bank, N.A.
1555 North Rivercenter Drive, Suite 302
Milwaukee, WI 53212

 

Independent Registered Public Accounting Firm
Ernst & Young LLP
One Commerce Square
2005 Market Street, Suite 700
Philadelphia, PA 19103

 

Legal Counsel
Faegre Drinker Biddle & Reath LLP.
One Logan Square, Suite 2000
Philadelphia, PA 19103-6996

 

AMA-SAR23

 

 

 

 

 

 

 

ADARA SMALLER COMPANIES FUND

 

of

 

The RBB Fund, Inc.

 

SEMI-ANNUAL REPORT

 

February 28, 2023
(Unaudited)

 

This report is submitted for the general information of the shareholders of the Fund. It is not authorized for distribution unless preceded or accompanied by a current prospectus for the Fund.

 

 

ADARA SMALLER COMPANIES FUND

 

semi-ANNUAL report
Performance Data

FEBRUARY 28, 2023 (UNAUDITED)

 

Average Annual Total Returns for the Periods Ended February 28, 2023

 

Six
Months†

One
Year

Three
Years

Five
Years

Since
Inception

 

Adara Smaller Companies Fund

4.45%

-4.99%

15.68%

10.55%

10.76%*

 

Russell 2000® Index

3.63%

-6.02%

10.08%

6.01%

8.03%**

 

 

Not annualized.

 

*

The Fund commenced operations on October 21, 2014.

 

**

Benchmark performance is from inception date of the Fund only and is not the inception date of the benchmark itself.

 

Performance quoted is past performance and does not guarantee future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the returns quoted. Returns shown do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. Performance data current to the most recent month-end may be obtained by calling (844) 261-6482.

 

The Fund’s total annual Fund operating expenses, as stated in the current prospectus dated December 31, 2022, are 0.84% of average daily net assets. This ratio may differ from the actual expenses incurred by the Fund for the period covered by this report.

 

The Fund invests in common stocks, preferred stocks, warrants to acquire common stocks and securities convertible into common stocks. Portfolio composition is subject to change.

 

The Fund evaluates performance as compared to that of the Russell 2000® Index. The Russell 2000® Index is a widely-recognized, capitalization-weighted index that measures the performance of the smallest 2,000 companies in the Russell 3000® Index and is considered representative of small-cap stocks. It is impossible to invest directly in an index.

 

Investment Considerations

 

Investing in the Fund involves risk and an investor may lose money. The success of the Fund’s strategy depends on the Adviser’s ability to select Sub-Advisers and each Sub-Adviser’s ability to select investments for the Fund. The Fund may invest in riskier types of investments including small and micro-cap stocks, Initial Public Offerings (IPOs), special situations and illiquid securities all of which may be more volatile and less liquid.

 

1

 

 

ADARA SMALLER COMPANIES FUND

 


Fund Expense Example

FEBRUARY 28, 2023 (UNAUDITED)

 

As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, and (2) ongoing costs, including management fees and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.

 

This example is based on an investment of $1,000 invested at the beginning of the six-month period from September 1, 2022 through February 28, 2023 and held for the entire period.

 

Actual Expenses

 

The first line of the accompanying table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.

 

Hypothetical Example for Comparison Purposes

 

The second line of the accompanying table provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare these 5% hypothetical examples with the 5% hypothetical examples that appear in the shareholder reports of other funds.

 

Please note that the expenses shown in the accompanying table are meant to highlight your ongoing costs only and do not reflect any transactional costs. Therefore, the second line of the accompanying table is useful in comparing ongoing costs only and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.

 

 

Beginning
Account Value
September 1, 2022

Ending
Account Value
February 28, 2023

Expenses Paid
During Period*

Annualized
Expense
Ratio

Actual Six Month
Total Investment
Return

Class I Shares

         

Actual

$ 1,000.00

$ 1,044.50

$ 4.11

0.81%

4.45%

Hypothetical
(5% return before expenses)

1,000.00

1,020.78

4.06

0.81%

N/A

 

 

*

Expenses are equal to the Fund’s annualized six-month expense ratio in the table above, multiplied by the average account value over the period, multiplied by the number of days (181) in the most recent fiscal half-year, then divided by 365 to reflect the one-half year period. The Fund’s ending account value on the first line in the table is based on the actual six-month total investment return for the Fund.

 

2

 

 

ADARA SMALLER COMPANIES FUND

 


Portfolio Holdings Summary Table

FEBRUARY 28, 2023 (UNAUDITED)

 

The following table presents a summary by security type of the portfolio holdings of the Fund:

 

Security Type/Sector Classification

 

% of Net
Assets

   

Value

 

COMMON STOCKS:

               

Banks

    8.0 %   $ 37,180,838  

Retail

    6.2       29,019,291  

Commercial Services

    6.1       28,443,066  

Biotechnology

    5.8       26,962,809  

Software

    4.5       21,177,681  

Semiconductors

    4.5       21,147,635  

Healthcare-Products

    3.1       14,594,491  

Engineering & Construction

    3.1       14,406,512  

REITS

    2.8       13,084,640  

Electronics

    2.8       12,889,702  

Insurance

    2.4       11,374,727  

Pharmaceuticals

    2.3       10,778,698  

Auto Parts & Equipment

    2.2       10,007,985  

Oil & Gas

    2.0       9,101,506  

Computers

    1.7       8,141,748  

Diversified Financial Services

    1.7       8,082,138  

Savings & Loans

    1.6       7,303,201  

Transportation

    1.5       7,099,739  

Metal Fabricate/Hardware

    1.5       6,932,199  

Internet

    1.5       6,802,355  

Miscellaneous Manufacturing

    1.4       6,721,209  

Food

    1.4       6,487,045  

Building Materials

    1.3       6,269,266  

Oil & Gas Services

    1.3       6,212,845  

Telecommunications

    1.3       6,106,089  

Distribution/Wholesale

    1.2       5,348,322  

Cosmetics/Personal Care

    1.1       5,115,232  

Machinery-Diversified

    1.1       4,955,254  

Apparel

    0.9       4,270,577  

Home Builders

    0.9       4,053,344  

Real Estate

    0.8       3,894,931  

Beverages

    0.8       3,748,610  

Agriculture

    0.8       3,654,929  

Home Furnishings

    0.8       3,646,856  

Healthcare-Services

    0.8       3,632,246  

Leisure Time

    0.8       3,603,286  

Aerospace/Defense

    0.7       3,427,454  

Chemicals

    0.7       3,151,550  

Environmental Control

    0.7       3,084,425  

Energy-Alternate Sources

    0.6       2,930,829  

Iron/Steel

    0.6       2,699,232  

Textiles

    0.5       2,266,674  

Auto Manufacturers

    0.5       2,174,519  

Hand/Machine Tools

    0.4       2,009,835  

Mining

    0.4       1,928,323  

Packaging & Containers

    0.4       1,924,569  

Machinery-Construction & Mining

    0.4       1,910,606  

Airlines

    0.4       1,909,811  

Entertainment

    0.4       1,869,030  

Lodging

    0.4       1,812,396  

Investment Companies

    0.4       1,635,695  

Gas

    0.3       1,504,846  

Housewares

    0.3       1,387,449  

Media

    0.3       1,296,357  

Electric

    0.2       718,700  

Food Service

    0.1       602,618  

Electrical Components & Equipment

    0.1       525,836  

Household Products/Wares

    0.1       420,153  

Coal

    0.1       365,517  

Water

    0.1       323,132  

Forest Products & Paper

    0.0       84,451  

Office/Business Equip

    0.0       59,480  

Office Furnishings

    0.0       52,514  

RIGHTS:

               

Machinery -Diversified

    0.0        

WARRANTS:

               

Biotechnology

    0.0       3,481  

SHORT-TERM INVESTMENTS

    9.0       41,701,838  

LIABILITIES IN EXCESS OF OTHER ASSETS

    (0.1 )     (246,797 )

NET ASSETS

    100.0 %   $ 465,785,525  

 

 

Portfolio holdings are subject to change at any time.

 

The accompanying notes are an integral part of the financial statements.
3

 

 

ADARA SMALLER COMPANIES FUND

 


Portfolio of Investments

FEBRUARY 28, 2023 (UNAUDITED)

 

   

Number of
Shares

   

Value

 

COMMON STOCKS — 91.1%

               

Aerospace/Defense — 0.7%

               

AAR Corp.*

    33,114     $ 1,801,071  

AeroVironment, Inc.*

    1,433       122,865  

Curtiss-Wright Corp.

    2,004       350,279  

Hexcel Corp.

    11,205       817,405  

Mercury Systems, Inc.*

    2,290       119,859  

Moog, Inc. - Class A

    1,762       173,768  

National Presto Industries, Inc.

    615       42,207  
              3,427,454  

Agriculture — 0.8%

               

Alico, Inc.

    64,320       1,655,597  

Darling Ingredients, Inc.*

    8,943       565,824  

Universal Corp.

    3,026       153,085  

Vector Group Ltd.

    9,371       124,353  

Vital Farms, Inc.*

    71,539       1,156,070  
              3,654,929  

Airlines — 0.4%

               

Allegiant Travel Co.*

    6,594       676,215  

Hawaiian Holdings, Inc.*

    13,143       147,202  

SkyWest, Inc.*

    8,137       155,172  

Sun Country Airlines Holdings, Inc.*

    46,445       931,222  
              1,909,811  

Apparel — 0.9%

               

Capri Holdings Ltd.*

    5,836       289,290  

Crocs, Inc.*

    3,786       460,794  

Deckers Outdoor Corp.*

    906       377,213  

Kontoor Brands, Inc.

    4,168       217,361  

Lakeland Industries, Inc.

    178,780       2,712,093  

Skechers USA, Inc. - Class A*

    3,666       163,174  

Wolverine World Wide, Inc.

    3,024       50,652  
              4,270,577  

Auto Manufacturers — 0.5%

               

Wabash National Corp.

    79,362       2,174,519  

Auto Parts & Equipment — 2.2%

       

Cooper-Standard Holdings, Inc.*

    125,320       1,998,854  

Dorman Products, Inc.*

    3,643       338,908  

Fox Factory Holding Corp.*

    2,807       329,823  

Gentherm, Inc.*

    15,463       982,055  

indie Semiconductor, Inc. - Class A*

    45,304       473,880  

Methode Electronics, Inc.

    2,370       115,490  

Miller Industries, Inc.

    35,640       991,148  

Motorcar Parts of America, Inc.*

    151,090       1,977,768  

Standard Motor Products, Inc.

    3,756       146,371  

The Shyft Group, Inc.

    36,311       941,544  

Titan International, Inc.*

    45,416       563,613  

XPEL, Inc.*

    17,191       1,148,531  
              10,007,985  

 

 

   

Number of
Shares

   

Value

 

Banks — 8.0%

               

Ameris Bancorp

    2,245     $ 107,468  

Banner Corp.

    1,733       109,144  

Cadence Bank

    22,282       591,810  

Capital Bancorp, Inc.

    62,030       1,259,829  

Capital City Bank Group, Inc.

    876       31,247  

Central Pacific Financial Corp.

    3,784       84,875  

City Holding Co.

    7,387       725,403  

Civista Bancshares, Inc.

    72,340       1,543,012  

Colony Bankcorp, Inc.

    119,217       1,498,558  

Community Bank System, Inc.

    1,997       121,917  

Community Trust Bancorp, Inc.

    3,554       151,934  

Customers Bancorp, Inc.*

    13,377       412,012  

CVB Financial Corp.

    8,715       208,550  

Dime Community Bancshares, Inc.

    2,193       67,194  

Eagle Bancorp, Inc.

    2,728       119,514  

Esquire Financial Holdings, Inc.

    51,975       2,390,330  

Farmers National Banc Corp.

    113,640       1,619,370  

First BanCorp

    41,247       598,494  

First Business Financial Services, Inc.

    51,219       1,814,177  

First Commonwealth Financial Corp.

    18,699       299,371  

First Financial Bancorp

    24,036       592,247  

First Financial Bankshares, Inc.

    13,162       482,782  

First Financial Corp.

    1,035       45,488  

First Hawaiian, Inc.

    13,502       369,280  

First Interstate BancSystem, Inc. - Class A

    2,950       104,843  

First Merchants Corp.

    8,970       367,052  

First Northwest Bancorp

    82,210       1,176,425  

German American Bancorp, Inc.

    1,217       47,828  

Glacier Bancorp, Inc.

    3,879       183,787  

Heritage Financial Corp.

    5,441       151,641  

HomeStreet, Inc.

    2,233       56,339  

Hope Bancorp, Inc.

    27,648       354,171  

Horizon Bancorp, Inc.

    61,647       938,267  

Independent Bank Corp.

    1,193       95,058  

Independent Bank Group, Inc.

    581       34,198  

Metropolitan Bank Holding Corp.*

    36,096       2,014,518  

NBT Bancorp, Inc.

    1,326       53,822  

Northeast Bank

    63,060       2,779,685  

OFG Bancorp

    7,960       242,143  

Old National Bancorp

    10,450       184,652  

Orrstown Financial Services, Inc.

    59,950       1,378,850  

Parke Bancorp, Inc.

    99,591       2,032,652  

Peoples Financial Services Corp.

    19,760       979,108  

Preferred Bank

    1,379       97,082  

S&T Bancorp, Inc.

    8,702       324,237  

Seacoast Banking Corp. of Florida

    15,287       466,406  

 

 

The accompanying notes are an integral part of the financial statements.
4

 

 

ADARA SMALLER COMPANIES FUND

 


Portfolio of Investments (Continued)

FEBRUARY 28, 2023 (UNAUDITED)

 

   

Number of
Shares

   

Value

 

Banks — (Continued)

               

Simmons First National Corp. - Class A

    4,453     $ 98,990  

Southside Bancshares, Inc.

    4,513       172,352  

Stellar Bancorp, Inc.

    2,051       59,992  

The Bancorp, Inc.*

    19,832       685,989  

Tompkins Financial Corp.

    1,660       124,151  

Triumph Financial, Inc.*

    6,514       396,377  

TrustCo Bank Corp. NY

    1,864       69,825  

UMB Financial Corp.

    3,164       286,848  

United Community Banks, Inc.

    12,730       421,490  

Unity Bancorp, Inc.

    72,830       1,923,440  

Univest Financial Corp.

    1,395       39,339  

USCB Financial Holdings, Inc.*

    108,660       1,381,069  

Veritex Holdings, Inc.

    11,815       314,988  

Walker & Dunlop, Inc.

    1,239       108,078  

West BanCorp, Inc.

    78,870       1,661,002  

Westamerica Bancorp

    2,361       130,138  
              37,180,838  

Beverages — 0.8%

               

Celsius Holdings, Inc.*

    7,408       672,647  

Coca-Cola Consolidated, Inc.

    279       155,361  

MGP Ingredients, Inc.

    8,239       835,764  

The Duckhorn Portfolio, Inc.*

    55,892       852,353  

The Vita Coco Co., Inc.*

    72,885       1,232,485  
              3,748,610  

Biotechnology — 5.8%

               

2seventy bio, Inc.*

    4,486       60,516  

Acumen Pharmaceuticals, Inc.*

    38,220       201,419  

Akero Therapeutics, Inc.*

    4,302       195,784  

Albireo Pharma, Inc.*

    1,908       85,001  

Anavex Life Sciences Corp.*

    13,742       130,824  

ANI Pharmaceuticals, Inc.*

    5,276       220,748  

Apellis Pharmaceuticals, Inc.*

    8,466       554,354  

Astria Therapeutics, Inc.*

    43,071       524,605  

Avidity Biosciences, Inc.*

    26,179       620,442  

Biohaven Ltd.*

    29,187       445,977  

Biomea Fusion, Inc.*

    26,396       338,925  

Cara Therapeutics, Inc.*

    4,074       41,392  

Chinook Therapeutics, Inc.*

    49,028       1,069,791  

Crinetics Pharmaceuticals, Inc.*

    95,026       1,866,311  

Cytokinetics, Inc.*

    16,333       708,199  

Day One Biopharmaceuticals, Inc.*

    32,773       603,679  

DICE Therapeutics, Inc.*

    40,648       1,212,936  

Dynavax Technologies Corp.*

    75,030       772,809  

Emergent BioSolutions, Inc.*

    7,014       86,833  

Halozyme Therapeutics, Inc.*

    8,931       428,599  

Immunocore Holdings PLC - ADR*

    3,376       185,174  

Intra-Cellular Therapies, Inc.*

    7,299       357,870  

IVERIC bio, Inc.*

    42,773       888,823  

 

 

   

Number of
Shares

   

Value

 

Biotechnology — (Continued)

               

Ligand Pharmaceuticals, Inc.*

    978     $ 70,553  

Maravai LifeSciences Holdings, Inc. - Class A *

    13,033       192,237  

Mineralys Therapeutics, Inc.*

    17,126       304,500  

NeoGenomics, Inc.*

    3,845       64,788  

NGM Biopharmaceuticals, Inc.*

    8,562       40,584  

Nuvalent, Inc. - Class A*

    47,553       1,440,380  

Omniab, Inc.*

    370        

Omniab, Inc.*

    370        

Point Biopharma Global, Inc.*

    23,221       173,925  

Relay Therapeutics, Inc.*

    22,129       357,383  

REVOLUTION Medicines, Inc.*

    14,642       391,820  

Roivant Sciences Ltd.*

    33,134       268,054  

Sana Biotechnology, Inc.*

    10,908       40,032  

SpringWorks Therapeutics, Inc.*

    26,672       850,837  

Stoke Therapeutics, Inc.*

    4,657       41,401  

Structure Therapeutics, Inc. - ADR*

    31,664       809,332  

Tarsus Pharmaceuticals, Inc.*

    1,802       27,913  

Terns Pharmaceuticals, Inc.*

    31,620       320,311  

TG Therapeutics, Inc.*

    19,225       307,984  

Theravance Biopharma, Inc.*

    6,387       68,980  

TransMedics Group, Inc.*

    37,425       2,996,620  

Ventyx Biosciences, Inc.*

    41,520       1,795,740  

Veracyte, Inc.*

    27,735       682,558  

Vericel Corp.*

    1,632       49,629  

Vir Biotechnology, Inc.*

    4,966       113,225  

Viridian Therapeutics, Inc.*

    25,032       820,048  

Xencor, Inc.*

    6,611       212,411  

Xenon Pharmaceuticals, Inc.*

    74,013       2,920,553  
              26,962,809  

Building Materials — 1.3%

               

AAON, Inc.

    4,120       374,755  

American Woodmark Corp.*

    1,043       53,172  

Apogee Enterprises, Inc.

    7,722       353,359  

Armstrong World Industries, Inc.

    18,178       1,433,335  

Boise Cascade Co.

    3,571       246,792  

Gibraltar Industries, Inc.*

    4,141       221,171  

Modine Manufacturing Co.*

    44,620       1,089,174  

PGT Innovations, Inc.*

    6,101       129,036  

Simpson Manufacturing Co., Inc.

    2,069       223,163  

SPX Technologies, Inc.*

    4,521       318,459  

Summit Materials, Inc. - Class A*

    33,245       982,057  

The AZEK Co., Inc.*

    6,299       151,743  

UFP Industries, Inc.

    8,103       693,050  
              6,269,266  

Chemicals — 0.7%

               

AdvanSix, Inc.

    3,917       161,184  

Axalta Coating Systems Ltd.*

    37,613       1,120,867  

AZZ, Inc.

    1,964       79,837  

Balchem Corp.

    1,846       239,980  

 

 

The accompanying notes are an integral part of the financial statements.
5

 

 

ADARA SMALLER COMPANIES FUND

 


Portfolio of Investments (Continued)

FEBRUARY 28, 2023 (UNAUDITED)

 

   

Number of
Shares

   

Value

 

Chemicals — (Continued)

               

Codexis, Inc.*

    9,224     $ 44,598  

Innospec, Inc.

    1,121       122,705  

Koppers Holdings, Inc.

    7,974       286,187  

Livent Corp.*

    7,945       186,310  

Rayonier Advanced Materials, Inc.*

    4,477       36,711  

Rogers Corp.*

    1,868       274,970  

Stepan Co.

    2,701       281,147  

The Chemours Co.

    9,276       317,054  
              3,151,550  

Coal — 0.1%

               

Warrior Met Coal, Inc.

    9,551       365,517  

Commercial Services — 6.1%

               

Acacia Research Corp.*

    320,940       1,386,461  

Adtalem Global Education, Inc.*

    3,449       134,925  

AirSculpt Technologies, Inc.

    42,362       277,471  

Alight, Inc. - Class A*

    118,030       1,133,088  

AMN Healthcare Services, Inc.*

    3,294       296,493  

ARC Document Solutions, Inc.

    446,350       1,490,809  

ASGN, Inc.*

    2,386       211,877  

Barrett Business Services, Inc.

    39,368       3,778,541  

BGSF, Inc.

    165,900       2,345,826  

BrightView Holdings, Inc.*

    11,695       73,912  

Cass Information Systems, Inc.

    815       39,405  

CoreCivic, Inc.*

    174,890       1,698,182  

CorVel Corp.*

    432       77,881  

CRA International, Inc.

    17,450       2,172,002  

Cross Country Healthcare, Inc.*

    29,067       768,822  

Deluxe Corp.

    7,148       131,809  

Ennis, Inc.

    2,365       51,439  

EVERTEC, Inc.

    35,125       1,292,951  

Forrester Research, Inc.*

    758       24,931  

FTI Consulting, Inc.*

    1,865       342,619  

Green Dot Corp. - Class A*

    2,231       42,233  

HealthEquity, Inc.*

    1,801       117,371  

Heidrick & Struggles International, Inc.

    2,031       69,724  

Huron Consulting Group, Inc.*

    8,913       625,604  

I3 Verticals, Inc. - Class A*

    24,023       591,206  

Insperity, Inc.

    2,292       284,414  

Kelly Services, Inc. - Class A

    46,617       779,902  

Lifecore Biomedical, Inc.*

    135,618       785,228  

LiveRamp Holdings, Inc.*

    5,117       120,915  

MarketAxess Holdings, Inc.

    1,203       410,764  

Matthews International Corp. - Class A

    5,499       209,842  

Medifast, Inc.

    1,970       220,896  

Monro, Inc.

    951       47,968  

Payoneer Global, Inc.*

    103,582       600,776  

Paysafe Ltd.*

    2,251       44,885  

Perdoceo Education Corp.*

    10,039       138,388  

 

 

   

Number of
Shares

   

Value

 

Commercial Services — (Continued)

       

Performant Financial Corp.*

    94,404     $ 307,757  

Progyny, Inc.*

    5,684       213,491  

Resources Connection, Inc.

    5,457       98,553  

Shift4 Payments, Inc. - Class A*

    3,300       212,850  

ShotSpotter, Inc.*

    1,126       38,397  

SP Plus Corp.*

    49,360       1,679,227  

Strategic Education, Inc.

    1,789       152,512  

Stride, Inc.*

    17,468       741,866  

The Brink’s Co.

    4,054       264,524  

Upbound Group, Inc.

    3,409       91,532  

Viad Corp.*

    33,341       857,197  

WillScot Mobile Mini Holdings Corp.*

    18,786       965,600  
              28,443,066  

Computers — 1.7%

               

3D Systems Corp.*

    9,382       91,850  

CACI International, Inc. - Class A*

    1,145       335,485  

Cantaloupe, Inc.*

    9,881       56,915  

DXC Technology Co.*

    26,040       722,350  

ExlService Holdings, Inc.*

    1,497       246,272  

Globant SA*

    2,493       411,544  

Grid Dynamics Holdings, Inc.*

    32,139       374,419  

Insight Enterprises, Inc.*

    2,176       291,410  

Maximus, Inc.

    8,627       708,104  

NCR Corp.*

    47,288       1,207,263  

One Stop Systems, Inc.*

    185,588       534,493  

OneSpan, Inc.*

    4,506       60,921  

Quantum Corp.*

    447,440       505,607  

Rimini Street, Inc.*

    394,650       1,689,102  

Science Applications International Corp.

    1,681       179,262  

Telos Corp.*

    10,593       40,995  

TTEC Holdings, Inc.

    3,501       140,950  

Unisys Corp.*

    8,411       41,887  

WNS Holdings Ltd. - ADR*

    5,786       502,919  
              8,141,748  

Cosmetics/Personal Care — 1.1%

       

Coty, Inc. - Class A*

    41,530       469,289  

Edgewell Personal Care Co.

    4,692       200,349  

elf Beauty, Inc.*

    43,523       3,253,344  

Inter Parfums, Inc.

    5,966       718,366  

The Beauty Health Co.*

    37,580       473,884  
              5,115,232  

Distribution/Wholesale — 1.2%

               

G-III Apparel Group Ltd.*

    19,012       315,884  

H&E Equipment Services, Inc.

    22,246       1,234,653  

Manitex International, Inc.*

    311,230       1,593,498  

MRC Global, Inc.*

    7,000       78,400  

Pool Corp.

    2,106       751,547  

SiteOne Landscape Supply, Inc.*

    1,349       200,111  

 

 

The accompanying notes are an integral part of the financial statements.
6

 

 

ADARA SMALLER COMPANIES FUND

 


Portfolio of Investments (Continued)

FEBRUARY 28, 2023 (UNAUDITED)

 

   

Number of
Shares

   

Value

 

Distribution/Wholesale — (Continued)

       

Univar Solutions, Inc.*

    32,023     $ 1,112,799  

WESCO International, Inc.*

    371       61,430  
              5,348,322  

Diversified Financial Services — 1.7%

       

Encore Capital Group, Inc.*

    3,458       178,710  

Enova International, Inc.*

    3,612       176,085  

Evercore, Inc. - Class A

    3,541       464,508  

Flywire Corp.*

    27,213       672,978  

FTAI Aviation Ltd.

    38,246       966,476  

Houlihan Lokey, Inc.

    3,838       367,297  

Interactive Brokers Group, Inc. - Class A

    3,063       263,755  

International Money Express, Inc.*

    37,835       966,684  

NerdWallet, Inc. - Class A*

    27,462       566,816  

Radian Group, Inc.

    33,704       719,580  

Silvercrest Asset Management Group, Inc. - Class A

    113,746       2,023,541  

Sunlight Financial Holdings, Inc.*

    263,130       344,700  

Virtus Investment Partners, Inc.

    807       169,817  

World Acceptance Corp.*

    2,155       201,191  
              8,082,138  

Electric — 0.2%

               

NorthWestern Corp.

    6,199       358,178  

Unitil Corp.

    6,637       360,522  
              718,700  

Electrical Components & Equipment — 0.1%

       

Encore Wire Corp.

    1,278       246,667  

Littelfuse, Inc.

    1,079       279,169  
              525,836  

Electronics — 2.8%

               

Advanced Energy Industries, Inc.

    2,466       229,535  

Atkore, Inc.*

    15,424       2,252,212  

Badger Meter, Inc.

    2,217       269,632  

Benchmark Electronics, Inc.

    3,566       84,835  

Brady Corp. - Class A

    2,928       161,508  

Coherent Corp.*

    3,416       147,332  

Comtech Telecommunications Corp.

    119,350       1,908,406  

CTS Corp.

    9,573       414,607  

Itron, Inc.*

    11,780       656,971  

Ituran Location and Control Ltd.

    27,351       611,021  

Kimball Electronics, Inc.*

    124,956       3,125,150  

Knowles Corp.*

    7,352       124,837  

Napco Security Technologies, Inc.*

    17,051       538,812  

OSI Systems, Inc.*

    1,136       105,137  

Plexus Corp.*

    2,641       253,245  

Sanmina Corp.*

    6,648       401,938  

Stoneridge, Inc.*

    2,058       49,001  

TD SYNNEX Corp.

    830       80,112  

 

 

   

Number of
Shares

   

Value

 

Electronics — (Continued)

               

TTM Technologies, Inc.*

    8,548     $ 113,603  

Vontier Corp.

    52,037       1,361,808  
              12,889,702  

Energy-Alternate Sources — 0.6%

       

Array Technologies, Inc.*

    30,256       566,997  

Eneti, Inc.

    5,572       58,952  

Green Plains, Inc.*

    20,942       726,059  

REX American Resources Corp.*

    2,520       83,185  

Shoals Technologies Group, Inc. - Class A*

    47,318       1,161,184  

SolarEdge Technologies, Inc.*

    1,052       334,452  
              2,930,829  

Engineering & Construction — 3.1%

       

Bowman Consulting Group Ltd.*

    107,210       2,952,564  

Comfort Systems USA, Inc.

    10,350       1,505,304  

EMCOR Group, Inc.

    4,741       792,790  

Exponent, Inc.

    7,336       754,874  

MasTec, Inc.*

    4,614       450,880  

Mistras Group, Inc.*

    86,870       479,522  

MYR Group, Inc.*

    15,305       1,845,936  

NV5 Global, Inc.*

    6,714       706,447  

Sterling Infrastructure, Inc.*

    113,267       4,356,249  

TopBuild Corp.*

    2,707       561,946  
              14,406,512  

Entertainment — 0.4%

               

Cinemark Holdings, Inc.*

    4,090       55,665  

Everi Holdings, Inc.*

    44,483       844,732  

IMAX Corp.*

    16,557       305,311  

Liberty Media Corp-Liberty Braves - Class A*

    1,183       40,518  

Light & Wonder, Inc.*

    6,167       386,116  

Monarch Casino & Resort, Inc.

    3,215       236,688  
              1,869,030  

Environmental Control — 0.7%

               

Energy Recovery, Inc.*

    19,643       433,521  

Harsco Corp.*

    3,525       29,822  

Montrose Environmental Group, Inc.*

    44,841       2,183,308  

Tetra Tech, Inc.

    3,198       437,774  
              3,084,425  

Food — 1.4%

               

Calavo Growers, Inc.

    1,990       64,217  

Grocery Outlet Holding Corp.*

    7,756       209,800  

Hostess Brands, Inc.*

    11,540       285,038  

Ingles Markets, Inc. - Class A

    14,569       1,302,469  

J&J Snack Foods Corp.

    2,130       300,777  

John B Sanfilippo & Son, Inc.

    1,789       160,599  

Krispy Kreme, Inc.

    29,488       383,639  

SpartanNash Co.

    7,719       206,560  

SunOpta, Inc.*

    70,886       544,405  

 

 

The accompanying notes are an integral part of the financial statements.
7

 

 

ADARA SMALLER COMPANIES FUND

 


Portfolio of Investments (Continued)

FEBRUARY 28, 2023 (UNAUDITED)

 

   

Number of
Shares

   

Value

 

Food — (Continued)

               

The Chefs’ Warehouse, Inc.*

    10,413     $ 338,943  

The Real Good Food Co., Inc. *

    48,654       187,804  

TreeHouse Foods, Inc.*

    2,674       130,464  

United Natural Foods, Inc.*

    8,258       336,348  

Utz Brands, Inc.

    22,552       369,853  

Weis Markets, Inc.

    1,995       152,498  

Whole Earth Brands, Inc.*

    440,009       1,513,631  
              6,487,045  

Food Service — 0.1%

               

Sovos Brands, Inc.*

    46,107       602,618  

Forest Products & Paper — 0.0%

       

Mercer International, Inc.

    7,834       84,451  

Gas — 0.3%

               

Chesapeake Utilities Corp.

    1,307       167,414  

Northwest Natural Holding Co.

    5,018       242,570  

Southwest Gas Holdings, Inc.

    17,376       1,094,862  
              1,504,846  

Hand/Machine Tools — 0.4%

               

Franklin Electric Co., Inc.

    1,896       181,201  

Hurco Cos., Inc.

    50,680       1,486,444  

MSA Safety, Inc.

    2,547       342,190  
              2,009,835  

Healthcare-Products — 3.1%

               

ABIOMED, Inc.*

    1,453        

Adaptive Biotechnologies Corp.*

    41,319       353,277  

Alphatec Holdings, Inc.*

    121,583       1,800,644  

Atrion Corp.

    121       68,728  

Artivion, Inc.*

    6,948       91,991  

Azenta, Inc.*

    2,595       113,895  

BioLife Solutions, Inc.*

    10,865       252,720  

EDAP TMS SA - ADR*

    53,477       629,424  

Embecta Corp.

    5,326       170,166  

Establishment Labs Holdings, Inc.*

    11,771       843,510  

Glaukos Corp.*

    2,161       102,064  

Haemonetics Corp.*

    3,260       253,530  

ICU Medical, Inc.*

    2,450       418,068  

Inari Medical, Inc.*

    3,272       184,083  

Inogen, Inc.*

    4,778       74,871  

Inspire Medical Systems, Inc.*

    4,588       1,192,559  

Integra LifeSciences Holdings Corp.*

    3,088       171,755  

LeMaitre Vascular, Inc.

    934       46,803  

Masimo Corp.*

    2,530       423,294  

MaxCyte, Inc.*

    55,568       252,279  

Merit Medical Systems, Inc.*

    3,088       217,951  

NanoString Technologies, Inc.*

    6,238       60,883  

NuVasive, Inc.*

    1,042       45,046  

Omnicell, Inc.*

    4,226       230,063  

Orthofix Medical, Inc.*

    7,321       150,813  

 

 

   

Number of
Shares

   

Value

 

Healthcare-Products — (Continued)

       

Patterson Cos., Inc.

    32,899     $ 872,481  

PROCEPT BioRobotics Corp.*

    31,041       1,162,485  

Pulmonx Corp.*

    5,099       57,262  

Quanterix Corp.*

    4,610       50,710  

Repligen Corp.*

    4,162       725,728  

RxSight, Inc.*

    32,611       447,423  

SI-BONE, Inc.*

    23,520       465,108  

Silk Road Medical, Inc.*

    7,636       404,632  

Surmodics, Inc.*

    1,885       41,168  

Treace Medical Concepts, Inc.*

    52,234       1,120,942  

Varex Imaging Corp.*

    7,739       136,903  

West Pharmaceutical Services, Inc.

    2,836       899,097  

Zimvie, Inc.*

    5,460       62,135  
              14,594,491  

Healthcare-Services — 0.8%

               

Addus HomeCare Corp.*

    1,574       170,999  

Agiliti, Inc.*

    2,635       50,223  

Amedisys, Inc.*

    6,207       570,734  

Chemed Corp.

    621       323,901  

Community Health Systems, Inc.*

    9,950       60,297  

Enhabit, Inc.*

    6,073       93,220  

ModivCare, Inc.*

    2,212       217,196  

Pediatrix Medical Group, Inc.*

    33,609       529,006  

RadNet, Inc.*

    25,051       590,828  

Surgery Partners, Inc.*

    14,006       468,501  

The Ensign Group, Inc.

    2,982       266,829  

The Pennant Group, Inc.*

    3,933       59,074  

US Physical Therapy, Inc.

    2,284       231,438  
              3,632,246  

Home Builders — 0.9%

               

Cavco Industries, Inc.*

    624       177,840  

Century Communities, Inc.

    19,596       1,172,037  

Installed Building Products, Inc.

    11,828       1,364,714  

LCI Industries

    2,012       226,974  

LGI Homes, Inc.*

    2,657       277,152  

M/I Homes, Inc.*

    5,874       339,752  

MDC Holdings, Inc.

    4,389       162,393  

Winnebago Industries, Inc.

    5,231       332,482  
              4,053,344  

Home Furnishings — 0.8%

               

Arhaus, Inc.*

    38,458       558,026  

Ethan Allen Interiors, Inc.

    3,342       98,756  

Hamilton Beach Brands Holding Co. - Class A

    130,070       1,690,910  

iRobot Corp.*

    747       30,694  

MillerKnoll, Inc.

    2,046       48,838  

Sleep Number Corp.*

    13,940       555,648  

Universal Electronics, Inc.*

    52,200       663,984  
              3,646,856  

 

 

The accompanying notes are an integral part of the financial statements.
8

 

 

ADARA SMALLER COMPANIES FUND

 


Portfolio of Investments (Continued)

FEBRUARY 28, 2023 (UNAUDITED)

 

   

Number of
Shares

   

Value

 

Household Products/Wares — 0.1%

       

Central Garden & Pet Co.*

    2,380     $ 96,390  

Quanex Building Products Corp.

    1,957       50,784  

WD-40 Co.

    1,574       272,979  
              420,153  

Housewares — 0.3%

               

Lifetime Brands, Inc.

    175,183       1,387,449  

Insurance — 2.4%

               

American Equity Investment Life Holding Co.

    25,679       1,069,530  

Argo Group International Holdings Ltd.

    2,322       67,454  

Axis Capital Holdings Ltd.

    28,437       1,726,695  

BRP Group, Inc. - Class A*

    30,761       884,071  

Donegal Group, Inc. - Class A

    2,108       32,400  

Employers Holdings, Inc.

    3,627       161,075  

Genworth Financial, Inc. - Class A*

    281,044       1,750,904  

HCI Group, Inc.

    2,200       115,500  

Heritage Insurance Holdings, Inc.

    336,030       856,877  

Horace Mann Educators Corp.

    1,864       68,893  

Mercury General Corp.

    1,257       42,801  

NMI Holdings, Inc. - Class A*

    39,935       932,083  

RLI Corp.

    1,478       203,831  

Safety Insurance Group, Inc.

    1,668       134,591  

Selective Insurance Group, Inc.

    3,866       392,515  

Stewart Information Services Corp.

    2,200       93,478  

United Fire Group, Inc.

    2,567       73,262  

White Mountains Insurance Group Ltd.

    1,918       2,768,767  
              11,374,727  

Internet — 1.5%

               

Cogent Communications Holdings, Inc.

    1,297       83,968  

ePlus, Inc.*

    28,732       1,556,412  

Eventbrite, Inc. - Class A*

    44,219       387,358  

EverQuote, Inc. - Class A*

    101,508       1,385,584  

HealthStream, Inc.*

    4,636       118,913  

Magnite, Inc.*

    46,419       516,644  

Perion Network Ltd.*

    56,928       1,920,751  

Yelp, Inc.*

    27,739       832,725  
              6,802,355  

Investment Companies — 0.4%

               

Cannae Holdings, Inc.*

    72,440       1,635,695  

Iron/Steel — 0.6%

               

ATI, Inc.*

    52,244       2,123,718  

Carpenter Technology Corp.

    11,908       575,514  
              2,699,232  

 

   

Number of
Shares

   

Value

 

Leisure Time — 0.8%

               

OneSpaWorld Holdings Ltd.*

    70,443     $ 816,434  

Planet Fitness, Inc. - Class A*

    4,568       370,236  

Topgolf Callaway Brands Corp.*

    4,678       108,436  

Vista Outdoor, Inc.*

    14,337       409,465  

Xponential Fitness, Inc. - Class A*

    74,782       1,898,715  
              3,603,286  

Lodging — 0.4%

               

Boyd Gaming Corp.

    4,776       311,061  

Full House Resorts, Inc.*

    44,765       433,325  

Playa Hotels & Resorts NV*

    119,732       1,068,010  
              1,812,396  

Machinery-Construction & Mining — 0.4%

       

Argan, Inc.

    26,500       1,029,790  

Astec Industries, Inc.

    3,361       151,346  

Bloom Energy Corp. - Class A*

    7,762       168,358  

BWX Technologies, Inc.

    9,182       561,112  
              1,910,606  

Machinery-Diversified — 1.1%

               

Albany International Corp. - Class A

    1,126       113,636  

Applied Industrial Technologies, Inc.

    1,045       149,289  

Chart Industries, Inc.*

    3,219       429,737  

Esab Corp.

    9,897       580,459  

Flowserve Corp.

    13,355       463,285  

Lindsay Corp.

    2,819       424,231  

Tennant Co.

    2,414       170,959  

The Toro Co.

    5,348       590,633  

Twin Disc, Inc.*

    185,495       2,033,025  
              4,955,254  

Media — 0.3%

               

AMC Networks, Inc. - Class A*

    5,207       116,428  

Cable One, Inc.

    754       520,720  

iHeartMedia, Inc. - Class A*

    6,165       44,758  

Liberty Latin America Ltd. - Class C*

    44,088       387,093  

Scholastic Corp.

    3,196       145,770  

The EW Scripps Co. - Class A*

    6,465       81,588  
              1,296,357  

Metal Fabricate/Hardware — 1.5%

       

Mueller Industries, Inc.

    5,975       441,971  

NN, Inc.*

    179,350       330,004  

Northwest Pipe Co.*

    95,210       3,665,585  

Proto Labs, Inc.*

    6,108       192,036  

Standex International Corp.

    1,485       171,785  

Strattec Security Corp.*

    55,520       1,139,270  

Xometry, Inc. - Class A*

    32,606       991,548  
              6,932,199  

 

The accompanying notes are an integral part of the financial statements.
9

 

 

ADARA SMALLER COMPANIES FUND

 


Portfolio of Investments (Continued)

FEBRUARY 28, 2023 (UNAUDITED)

 

   

Number of
Shares

   

Value

 

Mining — 0.4%

               

Century Aluminum Co.*

    18,637     $ 224,949  

Energy Fuels, Inc.*

    67,017       449,684  

Kaiser Aluminum Corp.

    2,403       190,606  

Uranium Energy Corp.*

    287,320       1,063,084  
              1,928,323  

Miscellaneous Manufacturing — 1.4%

       

Axon Enterprise, Inc.*

    6,703       1,342,678  

EnPro Industries, Inc.

    12,377       1,330,528  

ESCO Technologies, Inc.

    1,920       178,925  

Fabrinet*

    5,714       696,365  

Federal Signal Corp.

    28,443       1,500,937  

John Bean Technologies Corp.

    2,493       276,449  

Materion Corp.

    2,877       321,303  

Myers Industries, Inc.

    2,441       63,075  

Park Aerospace Corp.

    58,133       954,544  

Sturm Ruger & Co., Inc.

    968       56,405  
              6,721,209  

Office Furnishings — 0.0%

               

Interface, Inc.

    5,954       52,514  

Office/Business Equip — 0.0%

               

Pitney Bowes, Inc.

    13,705       59,480  

Oil & Gas — 2.0%

               

Evolution Petroleum Corp.

    60,009       390,659  

Helmerich & Payne, Inc.

    4,567       192,179  

Matador Resources Co.

    13,885       746,874  

Nabors Industries Ltd.*

    628       94,395  

Par Pacific Holdings, Inc.*

    10,809       300,274  

Patterson-UTI Energy, Inc.

    112,890       1,546,593  

PBF Energy, Inc. - Class A

    5,245       229,259  

PDC Energy, Inc.

    21,646       1,452,663  

Permian Resources Corp.

    128,521       1,389,312  

Range Resources Corp.

    29,237       787,645  

SM Energy Co.

    32,148       948,687  

Southwestern Energy Co.*

    112,602       596,791  

Talos Energy, Inc.*

    23,929       426,175  
              9,101,506  

Oil & Gas Services — 1.3%

               

DMC Global, Inc.*

    44,840       1,200,367  

Helix Energy Solutions Group, Inc.*

    41,891       346,858  

Natural Gas Services Group, Inc.*

    183,540       2,018,940  

NOW, Inc.*

    14,472       185,965  

Oceaneering International, Inc.*

    62,620       1,308,132  

Profire Energy, Inc.*

    570,090       661,304  

Select Energy Services, Inc. - Class A

    8,411       62,410  

TechnipFMC PLC*

    28,049       428,869  
              6,212,845  

 

 

   

Number of
Shares

   

Value

 

Packaging & Containers — 0.4%

       

Clearwater Paper Corp.*

    2,737     $ 105,621  

Karat Packaging, Inc.

    39,796       616,838  

O-I Glass, Inc.*

    6,528       145,052  

TriMas Corp.

    35,247       1,057,058  
              1,924,569  

Pharmaceuticals — 2.3%

               

Alector, Inc.*

    18,296       156,248  

Amphastar Pharmaceuticals, Inc.*

    6,771       215,724  

Anika Therapeutics, Inc.*

    3,736       118,431  

Bioxcel Therapeutics, Inc.*

    25,463       812,779  

Collegium Pharmaceutical, Inc.*

    2,619       69,482  

Corcept Therapeutics, Inc.*

    3,332       69,406  

Eagle Pharmaceuticals, Inc.*

    3,963       110,964  

Enanta Pharmaceuticals, Inc.*

    4,093       198,511  

Fulcrum Therapeutics, Inc.*

    5,904       35,660  

Heska Corp.*

    1,941       158,056  

KalVista Pharmaceuticals Inc.*

    39,035       286,127  

Merus NV*

    46,256       882,102  

Morphic Holding, Inc.*

    19,570       832,116  

Nature’s Sunshine Products, Inc.*

    61,090       662,216  

Option Care Health, Inc.*

    12,311       377,578  

Owens & Minor, Inc.*

    3,772       57,825  

Pacira BioSciences, Inc.*

    1,113       47,380  

Premier, Inc. - Class A

    59,941       1,929,501  

Prestige Consumer Healthcare, Inc.*

    3,474       209,309  

Prometheus Biosciences, Inc.*

    13,714       1,678,456  

Supernus Pharmaceuticals, Inc.*

    1,205       45,296  

uniQure NV*

    2,321       48,648  

USANA Health Sciences, Inc.*

    6,685       406,314  

Vaxcyte, Inc.*

    33,453       1,370,569  
              10,778,698  

Real Estate — 0.8%

               

McGrath RentCorp

    32,420       3,334,073  

Newmark Group, Inc. - Class A

    35,006       280,748  

RE/MAX Holdings, Inc. - Class A

    4,257       78,712  

The RMR Group, Inc. - Class A

    7,157       201,398  
              3,894,931  

REITS — 2.8%

               

Agree Realty Corp.

    1,641       116,150  

Alexander & Baldwin, Inc.

    8,102       151,264  

Alexander’s, Inc.

    531       116,241  

Alpine Income Property Trust, Inc.

    106,224       1,936,464  

Apollo Commercial Real Estate Finance, Inc.

    44,054       506,180  

CareTrust REIT, Inc.

    7,113       139,913  

Centerspace

    1,467       91,849  

Chatham Lodging Trust

    17,141       209,292  

City Office REIT, Inc.

    5,129       43,391  

 

 

The accompanying notes are an integral part of the financial statements.
10

 

 

ADARA SMALLER COMPANIES FUND

 


Portfolio of Investments (Continued)

FEBRUARY 28, 2023 (UNAUDITED)

 

   

Number of
Shares

   

Value

 

REITS — (Continued)

               

Community Healthcare Trust, Inc.

    8,220     $ 318,443  

CTO Realty Growth, Inc.

    3,783       66,505  

DiamondRock Hospitality Co.

    13,130       114,494  

EastGroup Properties, Inc.

    2,590       422,869  

Farmland Partners, Inc.

    4,288       45,967  

Four Corners Property Trust, Inc.

    10,498       285,021  

Getty Realty Corp.

    5,173       177,589  

Global Medical REIT, Inc.

    170,360       1,713,822  

Great Ajax Corp.

    202,961       1,700,813  

Hudson Pacific Properties, Inc.

    25,618       236,454  

Indus Realty Trust, Inc.

    679       45,174  

Industrial Logistics Properties Trust

    13,449       55,141  

Kite Realty Group Trust

    7,450       161,814  

KKR Real Estate Finance Trust, Inc.

    9,611       139,359  

LTC Properties, Inc.

    5,085       182,145  

LXP Industrial Trust

    12,112       126,328  

National Health Investors, Inc.

    1,656       91,080  

NETSTREIT Corp.

    7,458       150,577  

New York Mortgage Trust, Inc.

    183,589       490,183  

NexPoint Residential Trust, Inc.

    3,307       160,158  

One Liberty Properties, Inc.

    1,332       30,170  

Orion Office REIT, Inc.

    13,702       117,289  

PennyMac Mortgage Investment Trust

    24,404       317,984  

PotlatchDeltic Corp.

    1,462       67,486  

Ready Capital Corp.

    6,588       74,181  

Redwood Trust, Inc.

    77,920       592,971  

Retail Opportunity Investments Corp.

    28,261       402,154  

Saul Centers, Inc.

    3,903       153,466  

Tanger Factory Outlet Centers, Inc.

    33,410       631,115  

UMH Properties, Inc.

    5,802       98,692  

Universal Health Realty Income Trust

    4,455       236,204  

Urstadt Biddle Properties, Inc. - Class A

    13,578       234,899  

Whitestone REIT

    14,111       133,349  
              13,084,640  

Retail — 6.2%

               

Abercrombie & Fitch Co. - Class A*

    2,464       72,466  

Asbury Automotive Group, Inc.*

    6,154       1,397,573  

Aspen Aerogels, Inc.*

    61,422       666,429  

BJ’s Restaurants, Inc.*

    7,047       225,504  

BJ’s Wholesale Club Holdings, Inc.*

    34,289       2,461,950  

Bloomin’ Brands, Inc.

    20,453       533,823  

Boot Barn Holdings, Inc.*

    15,131       1,171,896  

 

 

   

Number of
Shares

   

Value

 

Retail — (Continued)

               

Build-A-Bear Workshop, Inc.*

    141,500     $ 2,964,425  

Caleres, Inc.

    1,929       50,366  

Casey’s General Stores, Inc.

    1,888       392,610  

Chuy’s Holdings, Inc.*

    3,285       117,439  

Dave & Buster’s Entertainment, Inc.*

    17,641       705,993  

Designer Brands, Inc. - Class A

    6,339       62,059  

Destination XL Group, Inc.*

    396,110       2,368,738  

Dine Brand Global, Inc.

    1,134       86,944  

Dutch Bros, Inc. - Class A*

    5,833       194,531  

El Pollo Loco Holdings, Inc.

    11,495       137,595  

FirstCash Holdings, Inc.

    2,930       258,573  

Five Below, Inc.*

    5,574       1,138,768  

Freshpet, Inc.*

    6,166       383,402  

Genesco, Inc.*

    986       44,340  

GMS, Inc.*

    28,056       1,703,280  

Group 1 Automotive, Inc.

    2,270       501,829  

Guess?, Inc.

    12,246       257,656  

Hibbett, Inc.

    1,413       101,637  

Kura Sushi USA, Inc. - Class A*

    14,963       936,983  

Leslie’s, Inc.*

    70,825       893,103  

Lithia Motors, Inc.

    382       97,479  

MSC Industrial Direct Co., Inc. - Class A

    8,736       738,367  

Murphy USA, Inc.

    5,145       1,312,438  

Nu Skin Enterprises, Inc. - Class A

    4,936       196,650  

Ollie’s Bargain Outlet Holdings, Inc.*

    3,168       182,287  

Papa John’s International, Inc.

    4,150       348,393  

Portillo’s, Inc. - Class A*

    21,434       486,980  

PriceSmart, Inc.

    1,079       75,228  

Red Robin Gourmet Burgers, Inc.*

    139,480       1,186,975  

RH*

    2,399       717,373  

Shoe Carnival, Inc.

    6,304       166,110  

Signet Jewelers Ltd.

    5,100       365,262  

Texas Roadhouse, Inc.

    6,327       642,444  

The Buckle, Inc.

    2,951       120,371  

The ODP Corp.*

    1,590       71,995  

Tilly’s, Inc. - Class A*

    158,630       1,376,908  

Wingstop, Inc.

    2,527       430,474  

World Fuel Services Corp.

    19,749       542,110  

Zumiez, Inc.*

    5,655       131,535  
              29,019,291  

Savings & Loans — 1.6%

               

Axos Financial, Inc.*

    3,461       164,017  

Banc of California, Inc.

    5,748       100,877  

Berkshire Hills Bancorp, Inc.

    17,583       510,962  

Brookline Bancorp, Inc.

    4,100       53,136  

Eagle Bancorp Montana, Inc.

    73,800       1,254,600  

 

 

The accompanying notes are an integral part of the financial statements.
11

 

 

ADARA SMALLER COMPANIES FUND

 


Portfolio of Investments (Continued)

FEBRUARY 28, 2023 (UNAUDITED)

 

   

Number of
Shares

   

Value

 

Savings & Loans — (Continued)

       

Flushing Financial Corp.

    3,267     $ 63,576  

FS Bancorp, Inc.

    75,814       2,723,997  

New York Community Bancorp, Inc.

    8,845       78,544  

Northfield Bancorp, Inc.

    4,651       68,416  

Northwest Bancshares, Inc.

    5,826       80,515  

Pacific Premier Bancorp, Inc.

    8,033       260,430  

Provident Financial Services, Inc.

    10,750       251,013  

Riverview Bancorp, Inc.

    242,220       1,693,118  
              7,303,201  

Semiconductors — 4.5%

               

Aehr Test Systems*

    61,162       2,039,753  

Allegro MicroSystems, Inc.*

    8,511       371,760  

Amtech Systems, Inc.*

    251,750       2,411,765  

Axcelis Technologies, Inc.*

    17,670       2,271,302  

AXT, Inc.*

    328,822       1,436,952  

Cirrus Logic, Inc.*

    3,525       362,194  

FormFactor, Inc.*

    7,775       234,027  

Impinj, Inc.*

    20,237       2,683,831  

inTEST Corp.*

    238,620       3,550,666  

Kulicke & Soffa Industries, Inc.

    6,419       342,133  

Lattice Semiconductor Corp.*

    5,066       430,407  

MKS Instruments, Inc.

    1,371       132,891  

Monolithic Power Systems, Inc.

    1,952       945,334  

Onto Innovation, Inc.*

    7,549       622,566  

Photronics, Inc.*

    69,485       1,224,326  

Power Integrations, Inc.

    10,707       880,651  

Semtech Corp.*

    5,218       160,767  

Silicon Laboratories, Inc.*

    1,861       332,244  

SiTime Corp.*

    2,046       254,011  

SkyWater Technology, Inc.*

    29,414       386,206  

Veeco Instruments, Inc.*

    3,472       73,849  
              21,147,635  

Software — 4.5%

               

8x8, Inc.*

    8,813       46,885  

ACI Worldwide, Inc.*

    48,337       1,249,512  

Agilysys, Inc.*

    30,964       2,474,333  

Alkami Technology, Inc.*

    33,534       515,082  

Alteryx, Inc. - Class A*

    4,788       312,704  

Appfolio, Inc. - Class A*

    3,094       408,594  

Asure Software, Inc.*

    255,740       3,414,129  

BigCommerce Holdings, Inc.*

    14,771       140,620  

Blackbaud, Inc.*

    799       44,496  

Blackline, Inc.*

    2,678       183,068  

BM Technologies, Inc.*

    216,265       720,163  

Cerence, Inc.*

    2,519       68,970  

Computer Programs & Systems, Inc.*

    36,865       1,106,319  

Concentrix Corp.

    830       113,577  

CS Disco, Inc.*

    6,801       47,607  

CSG Systems International, Inc.

    2,981       167,532  

 

 

   

Number of
Shares

   

Value

 

Software — (Continued)

               

Digi International, Inc.*

    47,123     $ 1,572,495  

DoubleVerify Holdings, Inc.*

    16,714       439,077  

Doximity, Inc. - Class A*

    7,060       237,428  

Duolingo, Inc.*

    2,792       253,486  

Dynatrace, Inc.*

    5,794       246,419  

Fastly, Inc. - Class A*

    40,891       567,976  

Five9, Inc.*

    4,890       322,740  

Health Catalyst, Inc.*

    4,416       61,647  

Hims & Hers Health, Inc.*

    93,433       1,052,990  

Jamf Holding Corp.*

    10,402       220,730  

JFrog Ltd.*

    17,334       398,682  

LivePerson, Inc.*

    9,192       93,023  

Model N, Inc.*

    15,710       521,572  

ON24, Inc.*

    7,374       71,085  

PDF Solutions, Inc.*

    7,212       270,017  

Phreesia, Inc.*

    28,865       1,062,232  

Privia Health Group, Inc.*

    13,671       381,831  

Progress Software Corp.

    5,306       304,777  

Rackspace Technology, Inc.*

    17,711       41,621  

Simulations Plus, Inc.

    1,175       44,697  

Smith Micro Software, Inc.*

    618,660       866,124  

Sprout Social, Inc. - Class A*

    4,338       264,531  

SPS Commerce, Inc.*

    800       120,512  

Take-Two Interactive Software, Inc.*

    3,504       383,863  

Verra Mobility Corp.*

    21,157       364,535  
              21,177,681  

Telecommunications — 1.3%

               

Aviat Networks, Inc.*

    21,380       759,632  

Calix, Inc.*

    12,927       661,216  

Clearfield, Inc.*

    6,809       426,856  

Credo Technology Group Holding Ltd.*

    43,176       458,097  

Extreme Networks, Inc.*

    61,411       1,149,614  

Harmonic, Inc.*

    115,123       1,518,472  

IDT Corp. - Class B*

    3,111       94,606  

InterDigital, Inc.

    869       63,428  

Iridium Communications, Inc.*

    9,628       590,870  

NETGEAR, Inc.*

    431       7,801  

Telephone and Data Systems, Inc.

    9,210       116,875  

Viavi Solutions, Inc.*

    23,640       258,622  
              6,106,089  

Textiles — 0.5%

               

UniFirst Corp.

    11,557       2,266,674  

Transportation — 1.5%

               

Air Transport Services Group, Inc.*

    111,772       2,339,388  

ArcBest Corp.

    7,779       748,340  

DHT Holdings, Inc.

    32,058       370,911  

Forward Air Corp.

    9,263       956,034  

 

 

The accompanying notes are an integral part of the financial statements.
12

 

 

ADARA SMALLER COMPANIES FUND

 


Portfolio of Investments (CONCLUDED)

FEBRUARY 28, 2023 (UNAUDITED)

 

   

Number of
Shares

   

Value

 

Transportation — (Continued)

               

Knight-Swift Transportation Holdings, Inc.

    1,873     $ 106,461  

Marten Transport Ltd.

    7,327       161,707  

PAM Transportation Services, Inc.*

    37,076       1,075,204  

Saia, Inc.*

    4,008       1,085,647  

Scorpio Tankers, Inc.

    4,242       256,047  
              7,099,739  

Water — 0.1%

               

American States Water Co.

    1,758       156,989  

California Water Service Group

    1,969       112,706  

The York Water Co.

    1,229       53,437  
              323,132  

TOTAL COMMON STOCKS

               

(Cost $306,145,426)

            424,327,003  
                 

RIGHTS — 0.0%

               

Machinery -Diversified — 0.0%

               

Acacia Research Corp.*

    80,235        

EVERCEL INC CVR*

    350,100        

TOTAL RIGHTS

               

(Cost $–)

             

 

   

Number of
Shares

   

Value

 

WARRANTS — 0.0%

               

Biotechnology — 0.0%

               

EQRx, Inc.*

    13,678       3,481  

TOTAL WARRANTS

               

(Cost $23,295)

            3,481  
                 

SHORT-TERM INVESTMENTS — 9.0%

       

U.S. Bank Money Market Deposit Account, 4.25%(a)

    41,701,838       41,701,838  

TOTAL SHORT-TERM INVESTMENTS

               

(Cost $41,701,838)

            41,701,838  

TOTAL INVESTMENTS — 100.1%

       

(Cost $347,870,559)

            466,032,322  

LIABILITIES IN EXCESS OF OTHER ASSETS — (0.1)%

            (246,797 )

NET ASSETS — 100.0%

          $ 465,785,525  

 

 
*Non-income producing security

 

(a)

The rate shown is as of February 28, 2023.

 

Security has been valued at fair market value using significant unobservable inputs as determined in good faith by the Adviser, as valuation designee, under the oversight of The RBB Fund, Inc.’s Board of Directors. As of February 28, 2023, these securities amounted to $0 or 0.00% of net assets.

 

ADR

American Depositary Receipt

 

PLC

Public Limited Company

 

REIT

Real Estate Investment Trust

 

The accompanying notes are an integral part of the financial statements.
13

 

 

ADARA SMALLER COMPANIES FUND

 


STATEMENT of Assets and Liabilities

FEBRUARY 28, 2023 (UNAUDITED)

 

ASSETS

       

Investments, at value (cost $306,168,721)

  $ 424,330,484  

Short-term investments, at value (cost $41,701,838)

    41,701,838  

Receivables for:

       

Investments sold

    2,273,997  

Dividends

    351,068  

Prepaid expenses and other assets

    52,653  

Total assets

    468,710,040  
         

LIABILITIES

       

Payables for:

       

Investments purchased

    2,543,320  

Capital shares redeemed

    40,020  

Sub-advisory fees

    227,479  

Other accrued expenses and liabilities

    113,696  

Total liabilities

    2,924,515  

Net assets

  $ 465,785,525  
         

NET ASSETS CONSIST OF:

       

Par value

  $ 31,098  

Paid-in capital

    357,386,166  

Total distributable earnings/(loss)

    108,368,261  

Net assets

  $ 465,785,525  
         

CAPITAL SHARES:

       

Net Assets

    465,785,525  

Shares outstanding ($0.001 par value, 100,000,000 shares authorized)

    31,098,278  

Net asset value, offering and redemption price per share

  $ 14.98  

 

 

The accompanying notes are an integral part of the financial statements.
14

 

 

ADARA SMALLER COMPANIES FUND

 


Statement of Operations

FOR THE sIX MONTHS ENDED FEBRUARY 28, 2023 (UNAUDITED)

 

INVESTMENT INCOME

       

Dividends (net of foreign taxes withheld of $3,481)

  $ 2,741,570  

Total investment income

    2,741,570  
         

EXPENSES

       

Sub-advisory fees (Note 2)

    1,503,864  

Administration and accounting services fees (Note 2)

    72,773  

Transfer agent fees (Note 2)

    26,024  

Director fees

    24,436  

Legal fees

    23,018  

Custodian fees (Note 2)

    21,754  

Officer fees

    19,425  

Registration and filing fees

    19,380  

Audit fees and tax services

    14,112  

Printing and shareholder reporting fees

    2,877  

Other expenses

    59,333  

Total expenses

    1,786,996  

Net investment income/(loss)

    954,574  
         

NET REALIZED AND UNREALIZED GAIN/(LOSS) FROM INVESTMENTS

       

Net realized gain/(loss) from investments

    (1,920,470 )

Net change in unrealized appreciation/(depreciation) on investments

    20,244,267  

Net realized and unrealized gain/(loss) on investments

    18,323,797  

NET INCREASE/(DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS

  $ 19,278,371  

 

 

The accompanying notes are an integral part of the financial statements.
15

 

 

ADARA SMALLER COMPANIES FUND

 


Statements of Changes in Net Assets

 

   

For the
Six Months Ended
February 28, 2023
(Unaudited)

   

For the
Year Ended
August 31, 2022

 

INCREASE/(DECREASE) IN NET ASSETS FROM OPERATIONS

               

Net investment income/(loss)

  $ 954,574     $ 462,143  

Net realized gain/(loss) from investments

    (1,920,470 )     7,961,046  

Net change in unrealized appreciation/(depreciation) on investments

    20,244,267       (94,979,643 )

Net increase/(decrease) in net assets resulting from operations

    19,278,371       (86,556,454 )
                 

DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS FROM:

               

Total distributable earnings

    (1,462,252 )     (105,103,713 )

Net decrease in net assets from dividends and distributions to shareholders

    (1,462,252 )     (105,103,713 )
                 

CAPITAL SHARE TRANSACTIONS:

               

Proceeds from shares sold

    26,817,889       47,018,138  

Reinvestment of distributions

    1,335,449       86,226,516  

Shares redeemed

    (21,661,622 )     (36,283,870 )

Net increase/(decrease) in net assets resulting from capital share transactions

    6,491,716       96,960,784  

Total increase/(decrease) in net assets

    24,307,835       (94,699,383 )
                 

NET ASSETS:

               

Beginning of period

    441,477,690       536,177,073  

End of period

  $ 465,785,525     $ 441,477,690  
                 

SHARE TRANSACTIONS:

               

Shares sold

    1,849,790       2,989,240  

Shares reinvested

    93,192       4,890,897  

Shares redeemed

    (1,524,132 )     (2,172,006 )

Net increase/(decrease) in shares

    418,850       5,708,131  

 

 

The accompanying notes are an integral part of the financial statements.
16

 

 

ADARA SMALLER COMPANIES FUND

 


Financial Highlights

 

Contained below is per share operating performance data for shares outstanding, total investment return/(loss), ratios to average net assets and other supplemental data for the respective periods. This information has been derived from information provided in the financial statements.

 

 

   

For the
Six Months
Ended
February 28,
2023
(Unaudited)

   

For the
Year
Ended
August 31,
2022

   

For the
Year
Ended
August 31,
2021

   

For the
Year
Ended
August 31,
2020

   

For the
Year
Ended
August 31,
2019

   

For the
Year
Ended
August 31,
2018

 

Per Share Operating Performance

                                               

Net asset value, beginning of period

  $ 14.39     $ 21.47     $ 13.73     $ 12.89     $ 16.76     $ 12.94  

Net investment income/(loss)(1)

    0.03       0.02       (0.03 )     (0.01 )     (0.01 )     (0.01 )

Net realized and unrealized gain/(loss) from investments

    0.61       (2.88 )     7.99       1.33       (1.99 )     4.36  

Net increase/(decrease) in net assets resulting from operations

    0.64       (2.86 )     7.96       1.32       (2.00 )     4.35  

Dividends and distributions to shareholders from:

                                               

Net investment income

    (0.05 )     (4.22 )     (0.22 )     (0.48 )     (1.87 )     (0.53 )

Total dividends and distributions to shareholders

    (0.05 )     (4.22 )     (0.22 )     (0.48 )     (1.87 )     (0.53 )

Net asset value, end of period

  $ 14.98     $ 14.39     $ 21.47     $ 13.73     $ 12.89     $ 16.76  

Total investment return/(loss)(2)

    4.45 %(3)     (16.93 )%     58.41 %     10.47 %     (11.16 )%     34.54 %
                                                 

Ratios/Supplemental Data

                                               

Net assets, end of period (000’s omitted)

  $ 465,786     $ 441,478     $ 536,177     $ 361,442     $ 291,859     $ 349,352  

Ratio of expenses to average net assets

    0.81 %(4)     0.84 %     0.84 %     0.90 %     0.93 %     0.90 %

Ratio of net investment income/(loss) to average net assets

    0.43 %(4)     0.10 %     (0.18 )%     (0.08 )%     (0.08 )%     (0.07 )%

Portfolio turnover rate

    27 %(3)     56 %     75 %     101 %     80 %     86 %

 

 

(1)

Calculated based on average shares outstanding for the period.

 

(2)

Total investment return/(loss) is calculated assuming a purchase of shares on the first day and a sale of shares on the last day of each period reported and includes reinvestments of dividends and distributions, if any.

 

(3)

Not annualized.

 

(4)

Annualized.

 

The accompanying notes are an integral part of the financial statements.
17

 

 

ADARA SMALLER COMPANIES FUND

 


NOTES TO FINANCIAL STATEMENTS

FEBRUARY 28, 2023 (UNAUDITED)

 

1. Organization and Significant Accounting Policies

 

The RBB Fund, Inc. (“RBB” or the “Company”) was incorporated under the laws of the State of Maryland on February 29, 1988 and is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. RBB is a “series fund,” which is a mutual fund complex dividend into separate portfolios. Each portfolio is treated as a separate entity for certain matters under the 1940 Act, and for other purposes, and a shareholder of one portfolio is not deemed to be a shareholder of any other portfolio. Currently, RBB has forty-eight separate investment portfolios, including the Adara Smaller Companies Fund (the “Fund”), which commenced investment operations on October 21, 2014.

 

RBB has authorized capital of one hundred billion shares of common stock of which 90.623 billion shares are currently classified into two hundred and thirteen classes of common stock. Each class represents an interest in an active or inactive RBB investment portfolio.

 

The Fund’s investment objective seeks capital appreciation.

 

The Fund is an investment company and follows accounting and reporting guidance in the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946 “Financial Services - Investment Companies”.

 

The end of the reporting period for the Fund is February 28, 2023, and the period covered by these Notes to Financial Statements is for the six months ended February 28, 2023 (the “current fiscal period”).

 

PORTFOLIO VALUATION – The Fund’s net asset value (“NAV”) is calculated once daily at the close of regular trading hours on the New York Stock Exchange (“NYSE”) (generally 4:00 p.m. Eastern time) on each day the NYSE is open. Securities held by the Fund are valued using the closing price or the last sale price on a national securities exchange or the National Association of Securities Dealers Automatic Quotation System (“NASDAQ”) market system where they are primarily traded. Equity securities traded in the over-the-counter (“OTC”) market are valued at their closing prices. If there were no transactions on that day, securities traded principally on an exchange or on NASDAQ will be valued at the mean of the last bid and ask prices prior to the market close. Fixed income securities are valued using an independent pricing service, which considers such factors as security prices, yields, maturities and ratings, and are deemed representative of market values at the close of the market. Investments in 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 by the Adviser, as Valuation Designee 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.

 

18

 

 

ADARA SMALLER COMPANIES FUND

 


NOTES TO FINANCIAL STATEMENTS (CONTINUED)

FEBRUARY 28, 2023 (UNAUDITED)

 

The following is a summary of the inputs used, as of the end of the current fiscal period, in valuing the Fund’s investments carried at fair value:

 

   

Total

   

Level 1

   

Level 2

   

Level 3

 

Common Stocks

  $ 424,327,003     $ 424,327,003     $     $  

Rights

                      **

Warrants

    3,481             3,481        

Short-Term Investments

    41,701,838       41,701,838              

Total Investments*

  $ 466,032,322     $ 466,028,841     $ 3,481     $  

 

*

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 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 current fiscal period, the Fund had no significant Level 3 transfers.

 

REITS — The Fund has made certain investments in real estate investment trusts (“REITs”) which pay dividends to their shareholders based upon available funds from operations. It is quite common for these dividends to exceed the REITs’ taxable earnings and profits resulting in the excess portion being designated as a return of capital. The Fund intends to include the gross dividends from such REITs in its annual distributions to shareholders and, accordingly, a portion of the Fund’s distributions may also be designated as a return of capital.

 

USE OF ESTIMATES — The preparation of financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates and those differences could be significant.

 

INVESTMENT TRANSACTIONS, INVESTMENT INCOME AND EXPENSES — The Fund records security transactions based on trade date for financial reporting purposes. The cost of investments sold is determined by use of the specific identification method for both financial reporting and income tax purposes in determining realized gains and losses on investments. Interest income (including amortization of premiums and accretion of discounts) is accrued when earned. Dividend income is recorded on the ex-dividend date. Distributions received on securities that represent a

 

19

 

 

ADARA SMALLER COMPANIES FUND

 


NOTES TO FINANCIAL STATEMENTS (CONTINUED)

FEBRUARY 28, 2023 (UNAUDITED)

 

return of capital or capital gain are recorded as a reduction of cost of investments and/or as a realized gain. The Fund’s investment income, expenses (other than class specific expenses) and unrealized and realized gains and losses are allocated daily to each class of shares based upon the relative proportion of net assets of each class at the beginning of the day. Certain expenses are shared with The RBB Fund Trust (formerly, PENN Capital Funds Trust) (the “Trust”), a series trust of affiliated funds. Expenses incurred on behalf of a specific class, fund or fund family of the Company or Trust are charged directly to the class, fund or fund family (in proportion to net assets). Expenses incurred for all funds (such as director or professional fees) are charged to all funds in proportion to their average net assets of RBB and the Trust, or in such other manner as the Board deems fair or equitable. Expenses and fees, including investment advisory and administration fees, are accrued daily and taken into account for the purpose of determining the NAV of the Fund.

 

DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS — Dividends from net investment income and distributions from net realized capital gains (including net short-term capital gains), if any, are declared and paid at least annually to shareholders recorded on the ex-dividend date. Income dividends and capital gain distributions are determined in accordance with U.S. federal income tax regulations, which may differ from U.S. GAAP.

 

U.S. TAX STATUS — No provision is made for U.S. income taxes as it is the Fund’s intention to continue to qualify for and elect the tax treatment applicable to regulated investment companies under Subchapter M of the Internal Revenue Code of 1986, as amended, and make the requisite distributions to its shareholders which will be sufficient to relieve it from U.S. income and excise taxes.

 

CORONAVIRUS (COVID-19) PANDEMIC — The global outbreak of COVID-19 (commonly referred to as “coronavirus”) has disrupted economic markets and the prolonged economic impact is uncertain. Although vaccines for COVID-19 are available, the ultimate economic fallout from the pandemic, and the long-term impact on economies, markets, industries and individual issuers are not known. The operational and financial performance of the issuers of securities in which the Fund invests depends on future developments, including the duration and spread of the outbreak and the pace of recovery which may vary from market to market, and such uncertainty may in turn adversely affect the value and liquidity of the Fund’s investments, impair the Fund’s ability to satisfy redemption requests, and negatively impact the Fund’s performance.

 

UKRAINE-RUSSIA CONFLICT RISK — In February 2022, Russia commenced a military attack on Ukraine. The outbreak of hostilities between the two countries and the threat of wider-spread hostilities could have a severe adverse effect on the region and global economies, including significant negative impacts on the markets for certain securities and commodities, such as oil and natural gas. In addition, sanctions imposed on Russia by the United States and other countries, and any sanctions imposed in the future, could have a significant adverse impact on the Russian economy and related markets. The price and liquidity of investments may fluctuate widely as a result of the conflict and related events. How long the armed conflict and related events will last cannot be predicted. These tensions and any related events could have a significant impact on Fund performance and the value of Fund investments, even beyond any direct exposure the Fund may have to issuers located in these countries.

 

CASH AND CASH EQUIVALENTS — Cash and cash equivalents are valued at cost plus accrued interest, which approximates market value.

 

OTHER — In the normal course of business, the Fund may enter into contracts that provide general indemnifications. The Fund’s maximum exposure under these arrangements is dependent on claims that may be made against the Fund in the future, and, therefore, cannot be estimated; however, the Fund expects the risk of material loss from such claims to be remote.

 

2. Investment Adviser and Other Services

 

Altair Advisers, LLC (“Altair” or the “Adviser”) serves as the investment adviser to the Fund. Aperio Group, LLC, Driehaus Capital Management, LLC, Pacific Ridge Capital Partners, LLC, Pier Capital, LLC and River Road Asset Management, LLC each serves as an investment sub-adviser (“Sub-Adviser”) to the Fund.

 

20

 

 

ADARA SMALLER COMPANIES FUND

 


NOTES TO FINANCIAL STATEMENTS (CONTINUED)

FEBRUARY 28, 2023 (UNAUDITED)

 

The Fund is managed by the Adviser and one or more Sub-Advisers unaffiliated with the Adviser. The Adviser also has the ultimate responsibility to oversee the Sub-Advisers, and to recommend their hiring, termination and replacement, subject to approval by the Board. The Adviser has an investment team that is jointly responsible for the day-to-day management of the Fund. The Sub-Advisers provide investment advisory services to the portion of the Fund’s portfolio allocated to them by the Adviser. The Adviser and the Company on behalf of the Fund have entered into sub-advisory agreements with the Sub-Advisers to manage the Fund, subject to supervision of the Adviser and the Board, and in accordance with the investment objective and restrictions of the Fund. The Fund compensates the Sub-Advisers for their services at an annual rate based on the Fund’s sub-advised average daily net assets, (the “Sub-Advisory Fee”), not to exceed 1.00%, payable on a monthly basis in arrears.

 

During the current fiscal period, collectively, sub-advisory fees accrued were $1,503,864, or the rate of 0.68%.

 

The Fund is currently only available to clients of the Adviser and to other investors at the Fund’s discretion. The Adviser does not receive a separate management fee from the Fund. However, pursuant to the Fund’s investment advisory agreement with the Adviser, the Adviser is entitled to receive reimbursement for out-of-pocket expenses it incurs in connection with its compliance monitoring of Fund trading, up to 0.01% of the Fund’s average daily net assets. During the current fiscal period, the Adviser received $29,678.

 

U.S. Bancorp Fund Services, LLC, doing business as U.S. Bank Global Fund Services (“Fund Services”), serves as administrator for the Fund. For providing administrative and accounting services, Fund Services is entitled to receive a monthly fee, subject to certain minimum and out of pocket expenses.

 

Fund Services serves as the Fund’s transfer and dividend disbursing agent. For providing transfer agent services, Fund Services is entitled to receive a monthly fee, subject to certain minimum and out of pocket expenses.

 

U.S. Bank, N.A. (the “Custodian”) provides certain custodial services to the Fund. The Custodian is entitled to receive a monthly fee, subject to certain minimum and out of pocket expenses.

 

Quasar Distributors, LLC (the “Distributor”), a wholly-owned broker-dealer subsidiary of Foreside Financial Group, LLC, serves as the principal underwriter and distributor of the Fund’s shares pursuant to a Distribution Agreement with RBB.

 

For compensation amounts paid to Fund Services and the Custodian, please refer to the Statement of Operations.

 

3. Director and Officer Compensation

 

The Directors of the Company receive an annual retainer and meeting fees for meetings attended. An employee of Vigilant Compliance, LLC serves as Chief Compliance Officer of the Company. Vigilant Compliance, LLC is compensated for the services provided to the Company. Employees of RBB serve as President, Chief Financial Officer, Chief Operating Officer, Secretary and Director of Marketing & Business Development of the Company. They are compensated by the Company for services provided. Certain employees of Fund Services serve as officers of the Company. They are not compensated by the Fund or the Company. For Director and Officer compensation amounts, please refer to the Statement of Operations.

 

4. Purchases and Sales of Investment Securities

 

During the current fiscal period, aggregate purchases and sales of investment securities (excluding short-term investments) of the Fund were as follows:

 

PURCHASES

SALES

$121,203,791

$109,721,476

 

There were no purchases or sales of long-term U.S. Government securities during the current fiscal period.

 

21

 

 

ADARA SMALLER COMPANIES FUND

 


NOTES TO FINANCIAL STATEMENTS (CONTINUED)

FEBRUARY 28, 2023 (UNAUDITED)

 

5. Federal Income Tax Information

 

The Fund has followed the authoritative guidance on accounting for and disclosure of uncertainty in tax positions, which requires the Fund to determine whether a tax position is more likely than not to be sustained upon examination, including resolution of any related appeals or litigation processes, based on the technical merits of the position. The Fund has determined that there was no effect on the financial statements from following this authoritative guidance. In the normal course of business, the Fund is subject to examination by federal, state and local jurisdictions, where applicable, for tax years for which applicable statutes of limitations have not expired.

 

As of August 31, 2022, the federal tax cost and aggregate gross unrealized appreciation and depreciation of investments held by the Fund were as follows:

 

FEDERAL
TAX COST

UNREALIZED
APPRECIATION

UNREALIZED
(DEPRECIATION)

Net Unrealized
Appreciation/
(Depreciation)

$345,369,549

$120,471,149

$(25,324,396)

$95,146,753

 

Distributions to shareholders, if any, from net investment income and realized gains are determined in accordance with federal income tax regulations, which may differ from net investment income and realized gains recognized for financial reporting purposes. Accordingly, the character of distributions and composition of net assets for tax purposes may differ from those reflected in the accompanying financial statements. To the extent these differences are permanent, such amounts are reclassified within the capital accounts based on the tax treatment; temporary differences do not require such reclassification.

 

As of August 31, 2022, the components of distributable earnings on a tax basis were as follows:

 

UNDISTRIBUTED
ORDINARY
INCOME

UNDISTRIBUTED
LONG-TERM
CAPITAL GAINS

CAPITAL LOSS
CARRYFORWARDS

NET UNREALIZED
APPRECIATION/
(DEPRECIATION)

QUALIFIED
LATE-YEAR
LOSSES

$—

$—

$—

$95,146,753

$(4,594,611)

 

The differences between the book and tax basis components of distributable earnings relate primarily to the timing of recognition of income and gains for federal income tax purposes. Short-term and foreign currency gains, if applicable, are reported as ordinary income for federal income tax purposes.

 

The tax character of dividends and distributions paid during the fiscal years ended August 31, 2022 and August 31, 2021 was as follows:

 

   

ORDINARY
INCOME

   

LONG-TERM
GAINS

   

TOTAL

 

2022

  $ 40,918,809     $ 64,184,904     $ 105,103,713  

2021

  $     $ 5,747,679     $ 5,747,679  

 

Pursuant to federal income tax rules applicable to regulated investment companies, the Fund may elect to treat certain capital losses between November 1 and August 31 and late year ordinary losses ((i) ordinary losses between January 1 and August 31, and (ii) specified ordinary and currency losses between November 1 and August 31) as occurring on the first day of the following tax year. For the fiscal year ended August 31, 2022, any amount of losses elected within the tax return will not be recognized for federal income tax purposes until September 1, 2022.

 

Under the Regulated Investment Company Modernization Act of 2010, the Fund is permitted to carry forward capital losses incurred in taxable years beginning after December 22, 2010 for an unlimited period. Additionally, capital losses that are carried forward will retain their character as either short-term or long-term capital losses rather than being considered all short-term as under the previous law. As of August 31, 2022, the Fund had no unexpiring short-term or long-term losses.

 

22

 

 

ADARA SMALLER COMPANIES FUND

 


NOTES TO FINANCIAL STATEMENTS (CONCLUDED)

FEBRUARY 28, 2023 (UNAUDITED)

 

6. NEW ACCOUNTING PRONOUNCEMENTS AND REGULATORY UPDATES

 

In June 2022, the FASB issued Accounting Standards Update 2022-03, which amends Fair Value Measurement (Topic 820): Fair Value Measurement of Equity Securities Subject to Contractual Sale Restrictions (“ASU 2022-03”). ASU 2022-03 clarifies guidance for fair value measurement of an equity security subject to a contractual sale restriction and establishes new disclosure requirements for such equity securities. ASU 2022-03 is effective for fiscal years beginning after December 15, 2023 and for interim periods within those fiscal years, with early adoption permitted. Management is currently evaluating the impact of these amendments on the financial statements.

 

In October 2020, the Securities and Exchange Commission (“SEC”) adopted new regulations governing the use of derivatives by registered investment companies (“Rule 18f-4”). Rule 18f-4 imposes limits on the amount of derivatives a fund can enter into, eliminates the asset segregation framework previously used by funds to comply with Section 18 of the 1940 Act, and requires funds whose use of derivatives is greater than a limited specified amount to establish and maintain a comprehensive derivatives risk management program and appoint a derivatives risk manager. The Fund is required to comply with Rule 18f-4 and has adopted procedures for investing in derivatives and other transactions in compliance with Rule 18f-4. Rule 18f-4 may require the Fund to observe more stringent requirements than were previously imposed by the 1940 Act, which could adversely affect the ability of the Fund to engage in certain derivatives transactions and/or increase the costs of such derivatives transactions, which could adversely affect the Fund’s performance and increase costs related to the Fund’s use of derivatives.

 

In December 2020, the SEC adopted a new rule providing a framework for fund valuation practices (“Rule 2a-5”). Rule 2a-5 establishes requirements for determining fair value in good faith for purposes of the 1940 Act. Rule 2a-5 permits fund boards to designate certain parties to perform fair value determinations, subject to board oversight and certain other conditions. Rule 2a-5 also defines when market quotations are “readily available” for purposes of the 1940 Act and the threshold for determining whether a fund must fair value a security. In connection with Rule 2a-5, the SEC also adopted related recordkeeping requirements and is rescinding previously issued guidance, including with respect to the role of a board in determining fair value and the accounting and auditing of fund investments. The Fund is required to comply with the rules. Effective September 8, 2022 and pursuant to the requirements of Rule 2a-5, the Board designated the Adviser as its Valuation Designee to perform fair value determinations and approved new valuation procedures for the Fund.

 

7. SUBSEQUENT EVENTS

 

Management has evaluated the impact of all subsequent events on the Fund through the date the financial statements were issued, and has determined that there were no subsequent events.

 

23

 

 

ADARA SMALLER COMPANIES FUND

 


Other Information (Unaudited)

 

Proxy Voting

 

Policies and procedures that the Fund uses to determine how to vote proxies relating to portfolio securities as well as information regarding how the Fund voted proxies relating to portfolio securities for the most recent twelve-month period ended June 30 are available without charge, upon request, by calling (844) 261-6482 and on the Securities and Exchange Commission’s (“SEC”) website at http://www.sec.gov.

 

Quarterly Portfolio Schedules

 

The Company files a complete schedule of portfolio holdings with the SEC for the first and third fiscal quarters of each fiscal year (quarters ended November 30 and May 31) as an exhibit to its report on Form N-PORT. The Company’s Forms N-PORT are available on the SEC website at http://www.sec.gov.

 

24

 

 

[THIS PAGE INTENTIONALLY LEFT BLANK]

 

 

Investment Adviser
Altair Advisers, LLC
303 West Madison Street, Suite 600
Chicago, IL 60606

 

Administrator and Transfer Agent
U.S. Bank Global Fund Services, LLC
P.O. Box 701
Milwaukee, WI 53201

 

Principal Underwriter
Quasar Distributors, LLC
111 E Kilbourn Ave, Suite 2200
Milwaukee, WI 53202

 

Custodian
U.S. Bank, N.A.
1555 North Rivercenter Drive, Suite 302
Milwaukee, WI 53212

 

Independent Registered Public Accounting Firm
PricewaterhouseCoopers LLP
Two Commerce Square
2001 Market Street, Suite 1800
Philadelphia, PA 19103

 

Legal Counsel
Faegre Drinker Biddle & Reath LLP
One Logan Square, Suite 2000
Philadelphia, PA 19103-6996

 

ADA-SAR23

 

 

 

 

 

 

 

AQUARIUS INTERNATIONAL FUND

 

of

 

The RBB Fund, Inc.

 

SEMI-ANNUAL REPORT

 

February 28, 2023
(Unaudited)

 

 

This report is submitted for the general information of the shareholders of the Fund. It is not authorized for distribution unless preceded or accompanied by a current prospectus for the Fund.

 

 

AQUARIUS INTERNATIONAL FUND

 

SEMI-Annual Report
Performance Data

FEBRUARY 28, 2023 (UNAUDITED)

 

Average Annual Total Returns for the Periods Ended February 28, 2023

 
 

Six
Months†

One
Year

Three
Years

Since
Inception

 

Aquarius International Fund

7.10%

-8.05%

3.39%

0.90%*

 

MSCI AC WORLD INDEX ex USA Gross Index

7.47%

-6.70%

5.75%

2.16%**

 

 

Not annualized.

 

*

The Fund commenced operations on April 17, 2018.

 

**

Benchmark performance is from inception date of the Fund only and is not the inception date of the benchmark itself.

 

Performance quoted is past performance and does not guarantee future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the returns quoted. Returns shown do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. Performance data current to the most recent month-end may be obtained by calling (844) 261-6482.

 

The Fund’s total annual Fund operating expenses, as stated in the current prospectus dated December 31, 2022, are 0.75% of average daily net assets. This ratio may differ from the actual expenses incurred by the Fund for the period covered by this report.

 

The Fund invests in common stocks, preferred stocks, warrants to acquire common stocks and securities convertible into common stocks. Portfolio composition is subject to change.

 

The MSCI ACWI ex USA Gross Index captures large and mid cap representation across 22 of 23 Developed Markets (DM) countries (excluding the US) and 24 Emerging Markets (EM) countries. With 2,257 constituents, the index covers approximately 85% of the global equity opportunity set outside the US. It is impossible to invest directly in an index.

 

Investment Considerations

 

Investing in the Fund involves risk and an investor may lose money. The success of the Fund’s strategy depends on the Adviser’s ability to select Sub-Advisers and each Sub-Adviser’s ability to select investments for the Fund. The Fund may invest in riskier type investments including small, micro-cap and large cap stocks, Initial Public Offerings (IPOs), special situations, foreign markets, emerging markets and illiquid securities all of which may be more volatile and less liquid.

 

1

 

 

AQUARIUS INTERNATIONAL FUND

 


Fund Expense Example

FEBRUARY 28, 2023 (UNAUDITED)

 

As a shareholder of the Fund, you incur two types of costs: (1) transaction costs and (2) ongoing costs, including management fees and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.

 

This example is based on an investment of $1,000 invested at the beginning of the six-month period from September 1, 2022 through February 28, 2023 and held for the entire period.

 

Actual Expenses

 

The first line of the accompanying table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.

 

Hypothetical Example for Comparison Purposes

 

The second line of the accompanying table provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare these 5% hypothetical examples with the 5% hypothetical examples that appear in the shareholder reports of other funds.

 

Please note that the expenses shown in the accompanying table are meant to highlight your ongoing costs only and do not reflect any transactional costs. Therefore, the second line of the accompanying table is useful in comparing ongoing costs only and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.

 

 

Beginning
Account Value
September 1, 2022

Ending
Account Value
February 28, 2023

Expenses Paid
During Period*

Annualized
Expense
Ratio

Actual Six Month
Total Investment
Return

Actual

$ 1,000.00

$ 1,071.00

$ 3.85

0.75%

7.10%

Hypothetical (5% return before expenses)

1,000.00

1,021.08

3.76

0.75%

N/A

 

 

*

Expenses are equal to the Fund’s annualized six-month expense ratio in the table above, multiplied by the average account value over the period, multiplied by the number of days (181) in the most recent fiscal half-year, then divided by 365 to reflect the one-half year period. The Fund’s ending account value on the first line in the table is based on the actual six-month total investment return for the Fund.

 

2

 

 

AQUARIUS INTERNATIONAL FUND

 


Portfolio Holdings Summary Table

FEBRUARY 28, 2023 (UNAUDITED)

 

The following table presents a summary by security type of the portfolio holdings of the Fund:

 

Security Type/Sector Classification

 

% of Net
Assets

   

Value

 

COMMON STOCKS:

               

Banks

    9.1 %   $ 35,810,175  

Pharmaceuticals

    8.4       33,119,186  

Semiconductors

    6.8       26,881,121  

Insurance

    5.2       20,511,875  

Oil & Gas

    4.4       17,260,736  

Distribution/Wholesale

    3.9       15,452,866  

Commercial Services

    3.2       12,755,850  

Healthcare-Products

    3.2       12,437,467  

Internet

    3.1       12,125,140  

Telecommunications

    2.8       11,170,433  

Beverages

    2.6       10,444,795  

Retail

    2.5       9,928,433  

Aerospace/Defense

    2.4       9,411,305  

Apparel

    2.3       9,135,661  

Cosmetics/Personal Care

    1.9       7,649,227  

Diversified Financial Services

    1.9       7,515,136  

Media

    1.9       7,312,639  

Computers

    1.6       6,278,048  

Software

    1.5       5,890,921  

Food

    1.5       5,787,028  

Machinery-Diversified

    1.3       5,231,126  

Investment Companies

    1.2       4,892,764  

Chemicals

    1.2       4,847,798  

Airlines

    1.2       4,660,828  

Building Materials

    1.2       4,617,014  

Mining

    1.1       4,361,330  

Real Estate

    1.0       3,939,975  

Machinery-Construction & Mining

    1.0       3,770,864  

Transportation

    0.8       3,213,008  

Food Service

    0.8       2,943,705  

Water

    0.7       2,876,259  

Electric

    0.7       2,690,791  

Hand/Machine Tools

    0.6       2,513,151  

Biotechnology

    0.6       2,415,207  

Life Sciences Tools & Services

    0.5       2,046,300  

Electronics

    0.4       1,715,470  

Engineering & Construction

    0.4       1,665,199  

Auto Manufacturers

    0.4       1,639,314  

Lodging

    0.4       1,500,396  

Agriculture

    0.3       1,336,387  

Iron/Steel

    0.3       1,279,102  

Auto Parts & Equipment

    0.3     $ 1,145,804  

Electrical Components & Equipment

    0.3       1,096,332  

Miscellaneous Manufacturing

    0.3       1,037,510  

Private Equity

    0.2       884,396  

Healthcare-Services

    0.2       878,729  

REITS

    0.1       575,261  

Entertainment

    0.1       504,368  

Home Furnishings

    0.1       441,808  

Gas

    0.1       415,684  

Energy-Alternate Sources

    0.1       342,489  

Pipelines

    0.1       287,267  

Holding Companies-Diversification

    0.1       277,564  

Advertising

    0.1       274,912  

Toys/Games/Hobbies

    0.1       204,254  

Forest Products & Paper

    0.0       148,967  

Office/Business Equipment

    0.0       142,083  

Coal

    0.0       117,307  

Home Builders

    0.0       75,733  

Environmental Control

    0.0       70,343  

Leisure Time

    0.0       59,464  

Shipbuilding

    0.0       24,065  

EXCHANGE TRADED FUNDS

               

Diversified Financial Services

    0.4       1,490,854  

PREFERRED STOCKS

               

Iron/Steel

    0.1       232,535  

Banks

    0.0       148,853  

Cosmetics/Personal Care

    0.0       93,569  

Auto Manufacturers

    0.0       48,302  

SHORT-TERM INVESTMENTS

    10.8       42,798,379  

OTHER ASSETS IN EXCESS OF LIABILITIES

    0.2       857,862  

NET ASSETS

    100.0 %   $ 395,708,724  

 

 

Portfolio holdings are subject to change at any time.

 

The accompanying notes are an integral part of the financial statements.
3

 

 

AQUARIUS INTERNATIONAL FUND

 


Portfolio Holdings Summary Table

FEBRUARY 28, 2023 (UNAUDITED)

 

The following table presents a summary by country of the portfolio holdings of the Fund:

 

Country

 

% of Net
Assets

   

Value

 

COMMON STOCKS:

               

Argentina

    0.0 %   $ 158,801  

Australia

    0.7       2,736,783  

Austria

    0.1       235,890  

Belgium

    1.9       7,525,123  

Brazil

    1.0       3,869,838  

Britain

    14.9       59,146,341  

Canada

    1.3       4,956,292  

Cayman Islands

    0.1       429,866  

Chile

    0.1       229,067  

China

    5.8       23,139,580  

Cyprus

    0.0        

Denmark

    3.0       11,947,854  

Finland

    0.9       3,398,779  

France

    6.7       26,447,661  

Germany

    4.6       18,037,375  

Greece

    0.1       252,277  

Hong Kong

    1.6       6,247,717  

India

    3.1       12,427,755  

Indonesia

    0.4       1,678,674  

Ireland

    4.5       17,787,106  

Isle Of Man

    0.3       1,004,930  

Israel

    1.1       4,340,798  

Italy

    1.8       7,217,611  

Japan

    6.6       26,082,118  

Kazakhstan

    0.2       690,209  

Luxembourg

    0.5       2,048,587  

Mexico

    0.7       2,919,441  

Netherlands

    4.1       16,068,394  

New Zealand

    0.0       125,050  

Norway

    1.3       5,028,255  

Panama

    0.0       149,237  

Peru

    0.1       224,514  

Philippines

    0.1     $ 231,000  

Portugal

    0.0       41,430  

Qatar

    0.1       254,560  

Russia

    0.0       20  

Singapore

    1.0       4,013,018  

South Africa

    0.3       1,335,170  

South Korea

    3.6       14,162,949  

Spain

    0.3       1,046,487  

Sweden

    1.7       6,739,742  

Switzerland

    4.9       19,262,298  

Taiwan

    4.0       15,728,901  

Thailand

    1.5       6,511,822  

Turkey

    0.0       62,775  

United Arab Emirates

    0.3       1,122,530  

United States

    3.1       12,345,935  

Uruguay

    0.1       470,920  

Vietnam

    0.0       156,890  

EXCHANGE TRADED FUNDS:

               

United States

    0.4       1,490,854  

PREFERRED STOCKS:

               

Brazil

    0.0       345,246  

Colombia

    0.1       36,142  

Germany

    0.0       48,302  

South Korea

    0.0       93,569  

SHORT-TERM INVESTMENTS

               

United States

    10.8       42,798,379  

OTHER ASSETS IN EXCESS OF LIABILITIES

    0.2       857,862  

NET ASSETS

    100.0 %   $ 395,708,724  

 

 

Portfolio holdings are subject to change at any time.

 

The accompanying notes are an integral part of the financial statements.
4

 

 

AQUARIUS INTERNATIONAL FUND

 


Portfolio of Investments

FEBRUARY 28, 2023 (UNAUDITED)

 

   

Number of
Shares

   

Value

 

COMMON STOCKS — 88.5%

Advertising — 0.1%

Dentsu Group, Inc.

    1,800     $ 57,723  

Publicis Groupe SA

    2,188       173,699  

WPP PLC

    3,536       43,490  
              274,912  

Aerospace/Defense — 2.4%

Airbus SE

    1,185       155,200  

BAE Systems PLC

    273,926       2,958,453  

CAE, Inc.*

    1,578       35,631  

Dassault Aviation SA

    263       45,212  

Elbit Systems Ltd.

    2,255       381,805  

MTU Aero Engines AG - ADR

    562       68,193  

Rheinmetall AG

    9,623       2,445,945  

Safran SA

    580       81,897  

Thales SA

    23,168       3,238,969  
              9,411,305  

Agriculture — 0.3%

British American Tabacco PLC - SP ADR

    5,128       195,172  

Imperial Brands PLC - SP ADR

    3,146       76,354  

ITC Ltd.

    82,119       374,027  

Japan Tobacco, Inc.

    6,900       140,314  

RLX Technology, Inc. - ADR*

    23,295       45,425  

SLC Agricola SA

    44,596       420,367  

Wilmar International Ltd.

    29,000       84,728  
              1,336,387  

Airlines — 1.2%

Copa Holdings SA - Class A*

    1,616       149,237  

Ryanair Holdings PLC - SP ADR*

    48,632       4,511,591  
              4,660,828  

Apparel — 2.3%

adidas AG

    23,963       3,578,790  

Gildan Activewear, Inc.

    5,757       182,785  

Hermes International

    80       144,811  

Kering SA - ADR

    990       58,172  

LVMH Moet Hennessy Louis Vuitton SE *

    5,229       4,346,999  

LVMH Moet Hennessy Louis Vuitton SE - ADR

    2,000       333,260  

Samsonite International SA (a)*

    174,900       490,844  
              9,135,661  

Auto Manufacturers — 0.4%

Bayerische Motoren Werke AG - SP ADR

    3,309       113,863  

Daimler Truck Holding AG*

    1,811       57,362  

Ferrari NV

    141       36,582  

Ferrari NV

    642       167,157  

Honda Motor Co. Ltd. - SP ADR

    1,291       33,527  

Hyundai Motor Co.

    545       72,536  

 

   

Number of
Shares

   

Value

 

Auto Manufacturers — (Continued)

Iveco Group NV*

    1,324     $ 12,499  

Li Auto, Inc. - ADR*

    1,693       39,972  

Mahindra & Mahindra Ltd.

    11,415       175,141  

Mercedes-Benz Group AG

    3,623       277,676  

Nissan Motor Co. Ltd. - SP ADR*

    4,601       35,980  

Stellantis NV

    5,160       89,932  

Stellantis NV

    2,278       39,910  

Toyota Motor Corp.

    3,000       40,889  

Toyota Motor Corp. - SP ADR

    1,862       253,083  

Volkswagen AG - ADR

    5,060       89,865  

Volvo AB - Class B

    3,636       72,753  

XPeng, Inc. - ADR*

    3,429       30,587  
              1,639,314  

Auto Parts & Equipment — 0.3%

Cie Generale des Etablissements Michelin SCA

    1,852       58,183  

Continental AG - SP ADR

    9,600       69,072  

Hyundai Mobis Co. Ltd.

    322       51,721  

KPIT Technologies Ltd.

    43,955       440,550  

LG Energy Solution Ltd.*

    802       316,800  

Magna International, Inc.

    3,010       167,747  

Vitesco Technologies Group AG*

    88       6,109  

Weichai Power Co. Ltd. - Class H

    24,000       35,622  
              1,145,804  

Banks — 9.1%

Australia & New Zealand Banking Group Ltd.*

    5,980       98,918  

Banco do Brasil SA

    59,500       458,798  

Banco do Brasil SA - SP ADR

    11,296       89,126  

Banco Santander Brasil SA - ADR

    5,655       30,876  

Banco Santander SA

    37,238       146,621  

Bangkok Bank PCL

    339,600       1,557,868  

Bank Leumi Le-Israel

    467,629       3,635,594  

Bank Mandiri Persero Tbk PT

    1,232,500       807,966  

Bank Mandiri Persero Tbk PT - ADR

    5,112       67,683  

Bank of Ireland Group PLC

    361,810       3,986,094  

Bank of Montreal

    867       82,157  

Bank Rakyat Indonesia Persero Tbk PT - ADR

    1,382       21,373  

Barclays PLC

    126,063       264,554  

Bendigo & Adelaide Bank Ltd.

    12,614       82,787  

BNP Paribas SA

    2,636       184,285  

BOC Hong Kong Holdings Ltd.

    49,500       167,525  

CaixaBank SA

    65,952       283,189  

Canadian Imperial Bank of Commerce

    1,146       52,407  

China Merchants Bank Co. Ltd. - Class H

    35,063       190,269  

China Merchants Bank Co. Ltd. - ADR

    554       15,047  

 

 

The accompanying notes are an integral part of the financial statements.
5

 

 

AQUARIUS INTERNATIONAL FUND

 


Portfolio of Investments (Continued)

FEBRUARY 28, 2023 (UNAUDITED)

 

   

Number of
Shares

   

Value

 

Banks — (Continued)

Commerzbank AG*

    18,102     $ 220,581  

Commonwealth Bank of Australia

    4,044       273,209  

Concordia Financial Group Ltd.

    11,723       50,365  

Credicorp Ltd.

    1,762       224,514  

Dah Sing Financial Holdings Ltd.

    222,400       600,878  

DBS Group Holdings Ltd.

    100,700       2,554,874  

DBS Group Holdings Ltd. - SP ADR

    2,227       227,199  

Deutsche Bank AG

    8,776       109,349  

DNB Bank ASA

    85,535       1,706,870  

FinecoBank Banca Fineco SpA

    137,640       2,378,480  

FirstRand Ltd.

    13,495       48,134  

Fukuoka Financial Group, Inc.

    3,000       66,970  

Grupo Financiero Banorte SAB de CV

    162,385       1,374,590  

Grupo Financiero Galicia SA - ADR

    11,922       158,801  

HDFC Bank Ltd.

    140,941       2,725,857  

HDFC Bank Ltd. - ADR

    8,744       591,444  

HSBC Holdings PLC - SP ADR

    9,910       379,652  

ICICI Bank Ltd. - SP ADR

    76,732       1,586,818  

Industrial & Commerical Bank China Ltd. - Class H

    1,668,000       832,269  

ING Groep NV

    7,103       99,407  

Intesa Sanpaolo SpA

    14,336       38,726  

Japan Post Bank Co. Ltd.

    3,700       31,963  

KakaoBank Corp.*

    8,265       166,248  

Macquarie Group Ltd.

    749       95,110  

Mediobanca Banca di Credito Finanziario SpA

    3,974       42,409  

Mitsubishi UFJ Financial Group Inc. - SP ADR

    53,334       380,271  

National Australia Bank Ltd.

    7,689       154,767  

National Australia Bank Ltd. - SP ADR

    11,208       112,304  

Nedbank Group Ltd. - SP ADR

    2,666       33,565  

Nordea Bank Abp

    11,504       145,781  

Nordea Bank Abp

    93       1,177  

Oversea-Chinese Banking Corp. Ltd.

    9,000       84,586  

Royal Bank of Canada

    3,511       356,296  

SCB X PCL - NVDR

    118,500       348,591  

Shinhan Financial Group Co. Ltd. - ADR

    9,162       268,172  

Shizuoka Financial Group, Inc.

    3,900       31,163  

Societe Generale SA

    2,392       68,936  

Standard Bank Group Ltd.

    73,030       729,498  

State Bank of India

    47,499       300,067  

Sumitomo Mitsui Financial Group, Inc. - SP ADR

    56,610       494,205  

 

   

Number of
Shares

   

Value

 

Banks — (Continued)

Svenska Handelsbanken AB - Class A

    195,762     $ 2,076,441  

TCS Group Holding PLC - GDR*

    3,732        

The Bank of Nova Scotia

    1,685       83,374  

The Chiba Bank Ltd.

    4,900       35,878  

The Toronto-Dominion Bank

    3,414       227,202  

UBS Group AG

    13,717       298,142  

UniCredit SpA

    2,917       59,677  

United Overseas Bank Ltd.

    26,200       580,740  

Woori Financial Group, Inc. - SP ADR

    4,696       131,488  
              35,810,175  

Beverages — 2.6%

Ambev SA - ADR

    8,588       21,900  

Anheuser-Busch InBev SA/NV - SP ADR

    2,592       157,334  

Arca Continental SAB de CV

    28,700       243,087  

Carlsberg A/S - Class B

    499       70,514  

China Resources Beer Holdings Co. Ltd.

    24,000       177,554  

Cia Cervecerias Unidas SA - SP ADR

    4,167       63,255  

Coca-Cola Europacific Partners PLC

    476       26,180  

Davide Campari-Milano NV

    5,538       62,001  

Diageo PLC

    123,485       5,240,260  

Diageo PLC - SP ADR

    2,046       354,040  

Endeavour Group Ltd.

    2,137       9,806  

Fomento Economico Mexicano SAB de CV - SP ADR

    461       42,375  

Heineken Holding NV

    434       37,128  

Kirin Holdings Co. Ltd.

    1,800       26,943  

Pernod Ricard SA

    300       62,583  

Suntory Beverage & Food Ltd.

    800       28,063  

Thai Beverage PCL

    7,924,600       3,762,553  

Tsingtao Brewery Co. Ltd. - Class H

    6,000       59,219  
              10,444,795  

Biotechnology — 0.6%

Argenx SE - ADR*

    245       89,675  

BeiGene Ltd.*

    24,800       429,866  

CSL Ltd.

    760       151,216  

CSL Ltd. - SP ADR

    1,030       102,650  

Genmab A/S*

    4,131       1,554,285  

Genmab A/S - SP ADR*

    2,330       87,515  
              2,415,207  

Building Materials — 1.2%

Beijing Oriental Yuhong Waterproof Technology Co. Ltd. - Class A

    46,200       228,724  

 

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

 

AQUARIUS INTERNATIONAL FUND

 


Portfolio of Investments (Continued)

FEBRUARY 28, 2023 (UNAUDITED)

 

   

Number of
Shares

   

Value

 

Building Materials — (Continued)

CRH PLC

    80,421     $ 3,777,647  

CRH PLC - SP ADR

    1,441       68,174  

Daikin Industries Ltd.

    149       25,478  

Daikin Industries Ltd. - ADR

    820       14,063  

Geberit AG

    202       109,019  

Holcim AG

    2,013       124,253  

James Hardie Industries PLC - CDI

    2,896       60,337  

Kingspan Group PLC

    554       35,959  

Rinnai Corp.

    400       28,057  

Semen Indonesia Persero Tbk PT - ADR

    2,421       22,757  

Sika AG

    437       122,546  
              4,617,014  

Chemicals — 1.2%

Air Liquide SA

    15,592       2,477,195  

Air Liquide SA - ADR

    1,948       61,888  

Asahi Kasei Corp.

    6,000       41,790  

BASF SE

    1,976       101,176  

Chr Hansen Holding A/S

    439       30,434  

Croda International PLC

    584       46,055  

Daqo New Energy Corp. - ADR*

    804       35,521  

EMS-Chemie Holding AG

    143       108,354  

FUCHS PETROLUB SE

    31,938       1,046,037  

Givaudan SA

    27       81,386  

Givaudan SA - ADR

    600       36,186  

ICL Group Ltd.

    12,592       88,522  

Koninklijke DSM NV

    785       96,735  

LG Chem Ltd.

    385       197,637  

Nippon Sanso Holdings Corp.

    1,500       26,742  

Nissan Chemical Corp.

    500       21,957  

Shin Etsu Chemical Co. Ltd. - ADR

    2,744       94,942  

Shin-Etsu Chemical Co. Ltd.

    654       90,665  

Solvay SA - Class A

    373       42,607  

Sumitomo Chemical Co. Ltd.

    13,000       45,552  

Symrise AG

    500       51,085  

Umicore SA - ADR

    3,052       25,332  
              4,847,798  

Coal — 0.0%

China Shenhua Energy Co. Ltd. - Class H

    39,000       117,307  
 

Commercial Services — 3.2%

Abu Dhabi Ports Co. PJSC*

    202,910       341,228  

Adyen NV (a)*

    1,249       1,770,366  

Allfunds Group PLC

    141,996       1,236,807  

Amadeus IT Group SA - ADR*

    1,437       90,258  

Ashtead Group PLC

    46,401       3,070,319  

Bureau Veritas SA

    1,739       49,677  

 

   

Number of
Shares

   

Value

 

Commercial Services — (Continued)

China Merchants Port Holdings Co. Ltd.

    60,000     $ 84,109  

Edenred

    1,223       68,838  

Experian PLC

    2,543       85,735  

GMO Payment Gateway, Inc.

    300       24,641  

International Container Terminal Services, Inc.

    40,107       144,681  

Intertek Group PLC

    1,279       64,196  

Localiza Rent a Car SA - SP ADR

    4,006       42,448  

New Oriental Education & Technology Group, Inc. - SP ADR*

    2,260       87,507  

Offcn Education Technology Co. Ltd. - Class A*

    252,500       207,391  

Recruit Holdings Co. Ltd.

    3,892       104,367  

RELX PLC

    165,322       4,985,360  

Rentokil Initial PLC

    7,414       45,604  

Ritchie Bros Auctioneers, Inc.

    545       33,338  

TAL Education Group - ADR*

    7,594       53,386  

The Bidvest Group Ltd.

    3,146       40,142  

TravelSky Technology Ltd. - Class H

    51,000       100,669  

Worldline SA(a)*

    595       24,783  
              12,755,850  

Computers — 1.6%

AutoStore Holdings Ltd.(a)*

    481,390       1,000,190  

CGI, Inc.*

    1,307       117,133  

Check Point Software Technologies Ltd.*

    457       56,540  

Computershare Ltd.

    1,973       32,817  

CyberArk Software Ltd.*

    576       83,387  

Infosys Ltd. - SP ADR

    22,690       407,059  

Lenovo Group Ltd.

    432,000       388,758  

Nomura Research Institute Ltd.

    71,000       1,586,273  

NTT Data Corp.

    3,100       43,011  

Teleperformance

    7,989       2,073,842  

Wipro Ltd. - ADR

    95,357       445,317  

WNS Holdings Ltd. - ADR*

    503       43,721  
              6,278,048  

Cosmetics/Personal Care — 1.9%

Beiersdorf AG

    432       51,557  

Dabur India Ltd.

    41,042       264,247  

Essity AB - Class B

    5,178       139,664  

Haleon PLC - ADR*

    9,632       75,900  

Haleon PLC*

    208,987       808,707  

Kose Corp.

    200       22,611  

Lion Corp.

    800       8,631  

L’Oreal SA

    148       58,500  

L’Oreal SA - ADR

    3,400       269,348  

Proya Cosmetics Co. Ltd. - Class A

    35,777       940,896  

Shiseido Co. Ltd.

    1,200       55,293  

 

 

The accompanying notes are an integral part of the financial statements.
7

 

 

AQUARIUS INTERNATIONAL FUND

 


Portfolio of Investments (Continued)

FEBRUARY 28, 2023 (UNAUDITED)

 

   

Number of
Shares

   

Value

 

Cosmetics/Personal Care — (Continued)

Unicharm Corp.

    3,287     $ 121,660  

Unilever PLC

    87,546       4,367,714  

Unilever PLC - SP ADR

    9,303       464,499  
              7,649,227  

Distribution/Wholesale — 3.9%

Azelis Group NV

    88,825       2,249,137  

Bunzl PLC

    136,666       4,869,528  

Ferguson PLC

    14,722       2,119,390  

Ferguson PLC

    28,886       4,162,472  

IMCD NV

    11,068       1,751,963  

ITOCHU Corp.

    3,700       110,595  

ITOCHU Corp. - ADR

    426       25,409  

Mitsubishi Corp.

    800       27,177  

Mitsui & Co. Ltd.

    3,159       88,660  

Sendas Distribuidora SA - ADR

    2,775       48,535  
              15,452,866  

Diversified Financial Services — 1.9%

Deutsche Boerse AG

    24,395       4,253,844  

Deutsche Boerse AG - ADR

    2,810       48,838  

Futu Holdings Ltd. - ADR *

    852       41,927  

Hong Kong Exchange & Clearing Ltd.

    1,780       71,294  

Housing Development Finance Corp. Ltd.

    26,492       835,142  

Japan Exchange Group, Inc. - ADR

    80,100       1,194,660  

KB Financial Group, Inc.

    12,336       477,762  

KB Financial Group, Inc. - ADR

    6,431       247,787  

London Stock Exchange Group PLC

    791       70,574  

London Stock Exchange Group PLC - ADR

    2,464       55,588  

Sanlam Ltd. -SP ADR

    5,156       33,530  

SBI Holdings, Inc.

    2,600       56,044  

Singapore Exchange Ltd.

    6,000       38,750  

St James’s Place PLC

    5,807       89,396  
              7,515,136  

Electric — 0.7%

Algonquin Power & Utilities Corp.

    4,799       36,616  

China Resources Power Holdings Co. Ltd.

    14,000       28,587  

Dubai Electricity & Water Authority PJSC

    625,948       405,585  

E.ON SE

    4,732       51,630  

Electricite de France SA

    2,132       26,598  

Elia Group SA/NV

    478       62,966  

Enel SpA

    25,288       141,854  

Engie SA - SP ADR

    8,968       130,574  

Equatorial Energia SA

    78,400       380,960  

 

   

Number of
Shares

   

Value

 

Electric — (Continued)

Fortis, Inc.

    3,649     $ 144,391  

Fortum Oyj

    2,493       38,102  

Iberdrola SA

    11,694       134,053  

Iberdrola SA - SP ADR

    1,618       74,193  

Meridian Energy Ltd.

    15,956       52,373  

National Grid PLC

    5,579       70,015  

National Grid PLC - SP ADR

    2,605       163,881  

Orsted AS (a)

    320       27,854  

Power Assets Holdings Ltd.

    33,500       179,184  

Power Grid Corp. of India Ltd.

    134,029       360,043  

RWE AG

    1,019       43,254  

SSE PLC - SP ADR

    5,415       113,228  

Tokyo Electric Power Co. Holdings, Inc.*

    7,500       24,850  
              2,690,791  

Electrical Components & Equipment — 0.3%

ABB Ltd.

    4,533       150,845  

Delta Electronics, Inc.

    66,000       617,477  

Legrand SA

    942       87,010  

Schneider Electric SE

    698       111,999  

Schneider Electric SE - ADR

    4,025       129,001  
              1,096,332  

Electronics — 0.4%

AAC Technologies Holdings, Inc.*

    32,000       71,518  

Azbil Corp.

    1,400       36,408  

BYD Electronic International Co. Ltd.

    23,500       68,523  

Hirose Electric Co. Ltd.

    427       52,207  

Hon Hai Precision Industry Co. Ltd.

    141,353       467,596  

Hoya Corp.

    670       66,332  

Hoya Corp. - SP ADR

    487       47,948  

Kyocera Corp.

    500       24,608  

Murata Manufacturing Co. Ltd.

    1,619       86,661  

Murata Manufacturing Co. Ltd. - ADR

    5,048       67,517  

Nidec Corp.

    78       3,958  

Nidec Corp. - SP ADR

    4,640       58,882  

Samsung Electronic-Mechanics Co. Ltd.

    3,325       361,514  

Sinbon Electronics Co. Ltd.

    31,000       301,798  
              1,715,470  

Energy-Alternate Sources — 0.1%

Energy Absolute PCL - NVDR

    122,700       271,722  

Vestas Wind System A/S

    2,480       70,767  
              342,489  

Engineering & Construction — 0.4%

Aeroports de Paris*

    206       29,848  

 

 

The accompanying notes are an integral part of the financial statements.
8

 

 

AQUARIUS INTERNATIONAL FUND

 


Portfolio of Investments (Continued)

FEBRUARY 28, 2023 (UNAUDITED)

 

   

Number of
Shares

   

Value

 

Engineering & Construction — (Continued)

Airports of Thailand PCL - NVDR*

    277,500     $ 571,088  

Auckland International Airport Ltd.*

    13,450       72,677  

Ferrovial SA

    3,085       85,627  

Grupo Aeroportuario del Pacifico SAB de CV - SP ADR

    392       74,511  

Grupo Aeroportuario del Sureste SAB de CV - SP ADR

    471       134,791  

Larsen & Toubro Ltd.

    22,043       561,807  

Vinci SA

    317       36,045  

Vinci SA - ADR

    3,476       98,805  
              1,665,199  

Entertainment — 0.1%

Evolution AB - ADR

    336       40,555  

Flutter Entertainment PLC*

    244       39,176  

MultiChoice Group

    5,548       42,596  

MultiChoice Group Ltd. - ADR

    93       703  

OPAP SA

    16,254       252,277  

Oriental Land Co. Ltd.

    613       97,887  

The Lottery Corp. Ltd. *

    8,950       31,174  
              504,368  

Environmental Control — 0.0%

China Conch Environment Protection Holdings Ltd.*

    21,500       7,956  

China Conch Venture Holdings Ltd.

    31,000       62,387  
              70,343  

Food — 1.5%

Aeon Co. Ltd.

    5,200       96,990  

Ajinomoto Co., Inc.

    1,500       44,261  

Associated British Foods PLC

    1,593       38,400  

Barry Callebaut AG

    25       49,779  

China Mengniu Dairy Co. Ltd.

    32,703       143,948  

Chocoladefabriken Lindt & Spruengli AG

    6       65,734  

Cia Brasileira de Distribuicao - SP ADR *

    2,775       8,269  

Coles Group Ltd.

    6,998       85,471  

Danone SA

    2,502       140,643  

Foshan Haitian Flavouring & Food Co. Ltd. - Class A

    33,600       398,146  

Kerry Group PLC - SP ADR

    308       29,731  

Koninklijke Ahold Delhaize NV

    101,440       3,220,905  

Koninklijke Ahold Delhaize NV - SP ADR

    4,031       128,024  

Masan Group Corp.

    45,460       156,890  

MEIJI Holdings Co. Ltd.

    500       22,898  

Nestle SA

    1,079       121,572  

Nestle SA - SP ADR

    6,845       770,165  

 

   

Number of
Shares

   

Value

 

Food — (Continued)

Nisshin Seifun Group, Inc.

    2,700     $ 31,199  

Seven & i Holdings Co. Ltd.

    600       26,824  

Seven & i Holdings Co. Ltd. - ADR

    3,000       67,140  

Tesco PLC

    14,561       44,606  

Yakult Honsha Co. Ltd.

    1,400       95,433  
              5,787,028  

Food Service — 0.8%

Compass Group PLC

    120,090       2,774,292  

Compass Group PLC - SP ADR

    7,353       169,413  
              2,943,705  

Forest Products & Paper — 0.0%

Suzano SA - SP ADR

    3,086       28,175  

Svenska Cellulosa AB SCA - Class B

    4,527       63,176  

UPM-Kymmene Oyj

    1,590       57,616  
              148,967  

Gas — 0.1%

ENN Energy Holdings Ltd.

    29,200       415,684  
                 

Hand/Machine Tools — 0.6%

Alleima AB *

    657       3,552  

Amada Co. Ltd.

    174,200       1,585,244  

Disco Corp.

    1,500       470,343  

Schindler Holding AG

    651       140,295  

Techtronic Industrials Co. Ltd.

    31,500       313,717  
              2,513,151  

Healthcare-Products — 3.2%

Alcon, Inc.

    61,711       4,207,629  

Alcon, Inc.

    1,673       114,166  

Asahi Intecc Co. Ltd.

    1,900       32,349  

China Medical System Holdings Ltd.

    21,000       31,615  

Cochlear Ltd.

    376       56,071  

Coloplast A/S - SP ADR

    1,070       12,284  

Coloplast A/S - Class B

    327       37,784  

EssilorLuxottica SA

    26,573       4,606,510  

EssilorLuxottica SA - ADR

    144       12,478  

Getinge AB - Class B

    1,494       32,111  

Olympus Corp.

    1,400       23,584  

Sartorius Stedim Biotech

    6,367       2,073,706  

Shandong Weigao Group Medical Polymer Co. Ltd. - Class H

    24,000       38,740  

Shenzhen Mindray Bio-Medical Electronics Co. Ltd. - Class A

    11,800       533,167  

Smith & Nephew PLC

    2,921       41,678  

Sonova Holding AG

    2,235       549,668  

Terumo Corp.

    1,262       33,927  
              12,437,467  

 

 

The accompanying notes are an integral part of the financial statements.
9

 

 

AQUARIUS INTERNATIONAL FUND

 


Portfolio of Investments (Continued)

FEBRUARY 28, 2023 (UNAUDITED)

 

   

Number of
Shares

   

Value

 

Healthcare-Services — 0.2%

Aier Eye Hospital Group Co. Ltd. - Class A

    43,100     $ 193,789  

BioMerieux

    307       30,062  

Lonza Group AG

    182       108,407  

Lonza Group AG - ADR

    370       22,033  

Max Healthcare Institute Ltd.*

    58,390       300,762  

Sonic Healthcare Ltd. - SP ADR

    3,345       72,921  

Wuxi Biologics Cayman, Inc.(a)*

    21,536       150,755  
              878,729  

Holding Companies-Diversification — 0.1%

MELI Kaszek Pioneer Corp. - Class A*

    23,189       236,760  

Swire Pacific Ltd. - Class A

    5,000       40,804  
              277,564  

Home Builders — 0.0%

Sekisui House Ltd.

    4,000       75,733  
                 

Home Furnishings — 0.1%

Electrolux AB - Class B

    972       11,762  

Hoshizaki Corp.

    800       28,361  

Sony Group Corp. - SP ADR

    4,806       401,685  
              441,808  

Insurance — 5.2%

Admiral Group PLC

    57,305       1,516,404  

Aegon NV

    14,288       74,344  

Ageas SA/NV

    2,481       111,965  

AIA Group Ltd.

    100,400       1,067,053  

AIA Group, Ltd. - SP ADR

    12,131       515,810  

Allianz SE - ADR

    6,060       141,925  

Aon PLC - Class A

    23,949       7,281,693  

AXA SA

    2,251       70,932  

Baloise Holding AG

    522       86,927  

Cathay Financial Holding Co. Ltd.

    24,000       34,034  

China Pacific Insurance Group Co. Ltd. - Class H

    40,400       107,163  

Dai-ichi Life Holdings, Inc.

    6,692       142,769  

Hannover Rueck SE

    421       81,757  

Lancashire Holdings Ltd.

    293,742       2,162,004  

Legal & General Group PLC

    36,815       113,320  

M&G PLC

    12,144       31,278  

Manulife Finanical Corp.

    6,860       135,554  

MS&AD Insurance Group Holdings, Inc.

    900       29,452  

Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen

    295       101,621  

New China Life Insurance Co. Ltd. - Class H

    45,800       110,999  

NN Group NV

    3,039       123,008  

 

   

Number of
Shares

   

Value

 

Insurance — (Continued)

PICC Property & Casualty Co. Ltd. - Class H

    48,000     $ 42,161  

Ping An Insurance Group Co. of China Ltd. - Class H

    156,000       1,064,940  

Sampo Oyj - Class A

    60,789       2,959,214  

Sompo Holdings, Inc.

    600       25,759  

Sun Life Financial, Inc.

    2,753       132,970  

Suncorp Group Ltd.

    18,597       160,419  

Swiss Re AG

    544       56,830  

T&D Holdings, Inc.

    5,200       78,750  

Tokio Marine Holdings, Inc.

    4,200       89,169  

Topdanmark AS

    33,163       1,773,896  

Zurich Insurance Group AG

    185       87,755  
              20,511,875  

Internet — 3.1%

Alibaba Group Holding Ltd.*

    129,000       1,417,896  

Alibaba Group Holdings, Ltd. - SP ADR*

    1,747       153,369  

Auto Trader Group PLC (a)

    5,141       36,769  

Delivery Hero SE (a)*

    740       29,737  

iQIYI, Inc. - ADR*

    12,194       94,260  

JD.com, Inc. - ADR

    2,393       106,345  

JOYY, Inc., ADR

    2,046       64,244  

Meituan - Class B (a)*

    30,673       532,328  

MercadoLibre, Inc.*

    386       470,920  

MonotaRO Co. Ltd.

    29,700       403,961  

Naspers Ltd. - SP ADR

    4,780       169,212  

NAVER Corp.

    1,223       192,258  

PDD Holdings, Inc. - ADR*

    5,346       469,005  

Prosus NV

    2,237       160,368  

Rakuten Group, Inc.

    5,500       27,111  

Sea Ltd. - ADR*

    1,601       100,047  

SEEK Ltd.

    4,272       69,218  

Shopify, Inc. - Class A*

    731       30,073  

Tencent Holdings Ltd.

    148,530       6,524,686  

Tencent Holdings, Ltd. - ADR

    7,992       351,328  

Trip.com Group Ltd. - ADR*

    17,242       612,953  

United Internet AG

    2,260       49,388  

Wix.com Ltd.*

    389       35,216  

ZOZO, Inc.

    1,100       24,448  
              12,125,140  

Investment Companies — 1.2%

Groupe Bruxelles Lambert NV

    57,253       4,806,148  

L E Lundbergforetagen AB - Class B

    1,867       86,616  
              4,892,764  

Iron/Steel — 0.3%

BlueScope Steel Ltd.

    6,357       81,336  

Cia Siderurgica Nacional SA - SP ADR

    41,580       134,719  

 

 

The accompanying notes are an integral part of the financial statements.
10

 

 

AQUARIUS INTERNATIONAL FUND

 


Portfolio of Investments (Continued)

FEBRUARY 28, 2023 (UNAUDITED)

 

   

Number of
Shares

   

Value

 

Iron/Steel — (Continued)

Fortescue Metals Group Ltd.

    5,658     $ 81,079  

Nippon Steel Corp.

    8,000       178,782  

Posco Holdings, Inc. - SP ADR

    3,580       218,344  

Vale SA - SP ADR

    35,792       584,842  
              1,279,102  

Leisure Time — 0.0%

Shimano, Inc.

    236       36,698  

Yamaha Corp.

    600       22,766  
              59,464  

Life Sciences Tools & Services — 0.5%

Eurofins Scientific SE *

    29,361       2,046,300  
                 

Lodging — 0.4%

Galaxy Entertainment Group Ltd.

    121,000       805,575  

Huazhu Group Ltd. - ADR

    12,512       592,693  

InterContinental Hotels Group PLC

    1,515       102,128  
              1,500,396  

Machinery-Construction & Mining — 1.0%

Epiroc AB - Class A *

    75,651       1,453,851  

Hitachi Ltd.

    901       45,607  

Hitachi Ltd. - ADR

    1,830       184,628  

Komatsu Ltd.

    4,400       105,272  

Mitsubishi Electical Corp.

    5,500       61,805  

Siemens Energy AG *

    960       19,237  

The Weir Group PLC

    83,539       1,900,464  
              3,770,864  

Machinery-Diversified — 1.3%

Accelleron Industries AG*

    226       5,571  

Atlas Copco AB - Class A

    6,804       80,779  

Atlas Copco AB - Class A - SP ADR

    6,624       78,296  

CNH Industrial NV

    6,623       108,566  

GEA Group AG

    81,076       3,564,085  

Haitian International Holdings Ltd.

    31,000       81,027  

Husqvarna AB - Class B

    4,490       39,755  

Jiangsu Hengli Hydraulic Co. Ltd. - Class A

    43,800       434,981  

Keyence Corp.

    500       216,114  

KION Group AG

    1,235       48,370  

Kubota Corp. - SP ADR

    883       66,635  

Omron Corp.

    500       26,841  

SMC Corp.

    110       55,914  

SMC Corp. - SP ADR

    2,280       57,980  

Spirax-Sarco Engineering PLC

    358       50,278  

Sumitomo Heavy Industries Ltd.

    2,000       47,086  

WEG SA

    36,100       268,848  
              5,231,126  

 

   

Number of
Shares

   

Value

 

Media — 1.9%

Grupo Televisa SAB - SP ADR

    5,156     $ 25,574  

Informa PLC

    4,850       38,960  

Liberty Media Corp-Liberty Formula One - Class C*

    7,779       527,961  

Pearson PLC - SP ADR

    15,198       166,874  

Shaw Communications, Inc. - Class B

    9,386       271,912  

Thomson Reuters Corp.

    1,419       171,741  

Wolters Kluwer NV - SP ADR

    52,108       6,032,405  

Wolters Kluwer NV - SP ADR

    667       77,212  
              7,312,639  

Mining — 1.1%

Agnico Eagle Mines Ltd.

    1,485       68,355  

Antofagasta PLC

    8,790       165,812  

Barrick Gold Corp.

    6,196       99,879  

BHP Group Ltd. - SP ADR

    4,374       266,683  

Boliden AB

    2,900       118,717  

Cameco Corp.

    3,460       94,596  

Franco-Nevada Corp.

    1,038       132,418  

MMC Norilsk Nickel PJSC - ADR ‡

    2,034       20  

Norsk Hydro ASA

    15,202       110,652  

Polyus PJSC*

    1,719        

Rio Tinto PLC - SP ADR

    1,210       84,373  

South32 Ltd.

    44,192       128,397  

Southern Copper Corp.

    30,603       2,255,135  

Sumitomo Metal Mining Co. Ltd.

    2,000       74,450  

Teck Resources Ltd. - Class B

    8,215       327,943  

United Tractors Tbk PT

    149,100       272,712  

Wheaton Precious Metals Corp.

    2,998       124,867  

Zijin Mining Group Co. Ltd. - Class H

    24,000       36,321  
              4,361,330  

Miscellaneous Manufacturing — 0.3%

Alstom SA

    1,445       42,408  

Knorr-Bremse AG

    679       46,148  

Largan Precision Co. Ltd.

    4,000       287,560  

Orica Ltd.

    5,536       60,147  

POSCO Chemical Co. Ltd.

    1,732       288,979  

Siemens AG

    1,920       292,592  

Sunny Optical Technology Group Co. Ltd.

    1,469       16,705  

Toshiba Corp.

    96       2,971  
              1,037,510  

Office/Business Equipment — 0.0%

Canon, Inc.

    2,700       58,110  

FUJIFILM Holdings Corp.

    1,800       83,973  
              142,083  

 

 

The accompanying notes are an integral part of the financial statements.
11

 

 

AQUARIUS INTERNATIONAL FUND

 


Portfolio of Investments (Continued)

FEBRUARY 28, 2023 (UNAUDITED)

 

   

Number of
Shares

   

Value

 

Oil & Gas — 4.4%

Aker BP ASA

    1,947     $ 52,258  

BP PLC - SP ADR

    1       40  

Canadian Natural Resources Ltd.

    4,335       244,971  

DCC PLC

    93,500       5,192,662  

Eni SpA

    97,787       1,381,143  

Equinor ASA

    67,375       2,062,575  

Equinor ASA - SP ADR

    3,137       95,710  

Exxon Mobil Corp.

    9,686       1,064,588  

Galp Energia SGPS SA

    3,396       41,430  

Imperial Oil Ltd.

    2,792       137,813  

Inpex Corp.

    6,228       65,297  

Neste Oyj

    756       36,463  

OMV AG

    4,843       235,890  

Petro Rio SA*

    41,800       272,814  

Petroleo Brasileiro - SP ADR

    73,260       812,453  

Reliance Industries Ltd.

    34,614       970,858  

Repsol SA

    7,844       124,051  

Santos Ltd.

    19,946       93,135  

Shell PLC - ADR

    60,743       3,691,352  

Suncor Energy, Inc.

    945       31,752  

TotalEnergies SE - SP ADR

    7,259       449,405  

Ultrapar Participacoes SA - SP ADR

    10,793       27,414  

Woodside Energy Group Ltd.

    7,291       176,662  
              17,260,736  

Pharmaceuticals — 8.4%

Alfresa Holdings Corp.

    260,800       3,149,609  

Aspen Pharmacare Holdings Ltd. - ADR

    6,986       54,561  

Astellas Pharma, Inc.

    116,900       1,641,578  

AstraZeneca PLC

    22,698       2,957,048  

AstraZeneca PLC - SP ADR

    8,296       540,733  

Bayer AG

    1,690       100,354  

Chugai Pharmaceutical Co. Ltd.

    2,000       49,755  

Cipla Ltd.

    46,299       507,258  

CSPC Pharmaceutical Group Ltd.

    23,040       24,752  

Daiichi Sankyo Co. Ltd.

    3,548       111,749  

Daiichi Sankyo Co. Ltd. - SP ADR

    876       27,647  

Dr. Reddy’s Laboratories Ltd. - ADR

    6,244       326,249  

GSK PLC

    170,180       2,915,329  

GSK PLC - SP ADR

    3,543       121,419  

Kobayashi Pharmaceutical Co. Ltd.

    400       24,081  

Kyowa Kirin Co. Ltd.

    2,500       53,501  

Merck KGaA

    587       111,232  

Novartis AG

    46,199       3,888,114  

Novartis AG - SP ADR

    5,833       490,672  

 

   

Number of
Shares

   

Value

 

Pharmaceuticals — (Continued)

Novo Nordisk A/S - Class B

    29,129     $ 4,114,625  

Novo-Nordisk AS - SP ADR

    6,449       909,244  

Ono Pharmaceutical Co. Ltd.

    2,900       59,067  

Orion Oyj - Class B

    672       31,665  

Otsuka Holdings Co. Ltd.

    800       24,237  

Recordati Industria Chimica e Farmaceutica SpA

    68,317       2,897,083  

Roche Holdings AG

    10,794       3,112,331  

Roche Holdings AG - SP ADR

    12,016       433,177  

Sanofi

    36,465       3,409,408  

Sanofi - ADR

    5,762       269,950  

Shanghai Fosun Pharmaceutical Group Co. Ltd. - Class H

    10,000       29,256  

Sinopharm Group Co. Ltd. - Class H

    36,400       97,491  

Sun Pharmaceutical Industries Ltd.

    48,974       566,377  

UCB SA

    810       69,634  
              33,119,186  

Pipelines — 0.1%

Enbridge, Inc.

    6,937       260,276  

TC Energy Corp.

    678       26,991  
              287,267  

Private Equity — 0.2%

3i Group PLC

    3,463       67,751  

Antin Infrastructure Partners SA

    15,382       336,469  

Bridgepoint Group PLC (a)

    34,077       102,177  

Macquarie Korea Infrastructure Fund

    30,578       288,040  

Partners Group Holding AG

    95       89,959  
              884,396  

Real Estate — 1.0%

China Resources Land Ltd.

    149,714       665,220  

CK Asset Holdings Ltd.

    20,500       128,577  

Corp Inmobiliaria Vesta SAB de CV

    166,200       481,345  

Country Garden Holdings Co. Ltd.

    1,116,000       342,236  

Daito Trust Construction Co. Ltd.

    300       28,260  

DLF Ltd.

    89,155       378,894  

Great Eagle Holdings Ltd.

    377,662       893,223  

Henderson Land Development Co. Ltd

    23,000       80,734  

Iguatemi SA

    52,600       193,604  

KE Holdings, Inc. - ADR*

    26,892       490,779  

REA Group Ltd.

    633       52,124  

Sunac Services Holdings Ltd.(a)

    619       247  

Swire Properties Ltd.

    22,200       58,419  

The Wharf Holdings Ltd.

    14,000       31,000  

Vonovia SE

    1,533       38,553  

 

 

The accompanying notes are an integral part of the financial statements.
12

 

 

AQUARIUS INTERNATIONAL FUND

 


Portfolio of Investments (Continued)

FEBRUARY 28, 2023 (UNAUDITED)

 

   

Number of
Shares

   

Value

 

Real Estate — (Continued)

Wharf Real Estate Investment Co. Ltd.

    14,000     $ 76,760  
              3,939,975  

REITS — 0.1%

CapitaLand Ascendas REIT

    23,000       47,239  

CapitaLand Integrated Commercial Trust

    25,000       35,963  

Goodman Group

    6,677       88,825  

Japan Metropolitan Fund Invest

    76       57,058  

Japan Real Estate Investment Corp.

    15       62,120  

Mirvac Group

    19,373       29,497  

Nippon Prologis REIT, Inc.

    12       25,597  

Scentre Group

    14,492       28,944  

Segro PLC

    2,361       23,320  

Stockland

    11,630       29,958  

The GPT Group

    9,864       31,138  

Unibail-Rodamco-Westfield*

    938       59,270  

United Urban Investment Corp.

    51       56,332  
              575,261  

Retail — 2.5%

Abu Dhabi National Oil Co for Distribution PJSC

    319,455       375,717  

ANTA Sports Products Ltd.

    15,361       202,846  

Astra International Tbk PT - ADR

    3,615       28,830  

Cie Financiere Richemont SA - ADR

    12,160       182,035  

Fast Retailing Co. Ltd.

    441       87,060  

Haidilao International Holding Ltd.(a)*

    128,000       354,525  

Hennes & Mauritz AB - Class B

    6,863       86,477  

Industria de Diseno Textil SA

    2,234       68,822  

Jardine Cycle & Carriage Ltd.

    4,000       88,181  

Li Ning Co. Ltd.

    59,500       507,696  

McDonald’s Holdings Co. Japan Ltd.

    2,600       102,928  

Next PLC

    952       78,313  

Pan Pacific International Holdings Corp.

    1,600       29,246  

PriceSmart, Inc.

    2,999       209,090  

Restaurant Brands International, Inc.

    3,260       210,237  

Shanghai M&G Stationery, Inc. - Class A

    44,700       348,966  

Shanghai Pharmaceuticals Holding Co. Ltd. - Class H

    39,800       70,187  

Sundrug Co. Ltd.

    24,100       652,501  

The Swatch Group AG

    10,040       3,493,870  

Tsuruha Holdings, Inc.

    29,400       2,070,457  

USS Co. Ltd.

    1,700       27,580  

 

   

Number of
Shares

   

Value

 

Retail — (Continued)

Wal-Mart de Mexico SAB de CV - SP ADR

    1,815     $ 71,330  

Welcia Holdings Co. Ltd.

    4,000       87,565  

Yum China Holdings, Inc.

    5,971       350,677  

Zalando SE(a)*

    717       28,407  

Zhongsheng Group Holdings Ltd.

    23,000       114,890  
              9,928,433  

Semiconductors — 6.8%

ASE Technology Holding Co. Ltd. - ADR

    6,033       43,257  

ASML Holding NV

    2,203       1,357,830  

ASML Holding NV - ADR

    1,488       919,182  

ASPEED Technology, Inc.

    4,000       359,530  

Hamamatsu Photonics KK

    800       39,257  

MediaTek, Inc.

    32,000       751,329  

Parade Technologies Ltd.

    9,000       279,864  

Rohm Co. Ltd.

    40       3,081  

Samsung Electronic Co. Ltd.

    117,514       5,376,844  

Samsung Electronic Co., Ltd. - GDR

    3,812       4,362,517  

SK Hynix, Inc.

    11,197       756,747  

SUMCO Corp.

    34       469  

Taiwan Semiconductor Manufacturing Co. Ltd.

    269,122       4,452,326  

Taiwan Semiconductor Manufacturing Co. Ltd. - SP ADR

    87,925       7,655,630  

Tokyo Electron Ltd.

    400       137,241  

Tokyo Electron Ltd. - ADR

    1,048       89,939  

United Microelectronics Corp. - SP ADR

    36,418       296,078  
              26,881,121  

Shipbuilding — 0.0%

Hyundai Mipo Dockyard Co. Ltd.*

    454       24,065  
                 

Software — 1.5%

Bilibili, Inc. - SP ADR*

    6,322       122,015  

BlackBerry Ltd.*

    10,732       41,640  

Dassault Systemes SE

    2,375       91,652  

Dassault Systemes SE - SP ADR

    2,450       94,619  

Kaspi.KZ JSC - GDR

    9,277       690,209  

Kingdee International Software Group Co. Ltd.*

    41,000       76,607  

Kingsoft Corp. Ltd.

    21,000       69,334  

NetEase, Inc.

    96,100       1,493,438  

NetEase, Inc. - ADR

    2,660       206,522  

Nexon Co. Ltd.

    2,300       49,892  

Playtech PLC*

    148,394       1,004,930  

SAP SE - SP ADR

    3,821       434,906  

 

 

The accompanying notes are an integral part of the financial statements.
13

 

 

AQUARIUS INTERNATIONAL FUND

 


Portfolio of Investments (Continued)

FEBRUARY 28, 2023 (UNAUDITED)

 

   

Number of
Shares

   

Value

 

Software — (Continued)

SimCorp A/S

    20,641     $ 1,479,399  

TeamViewer AG - ADR*

    4,442       35,758  
              5,890,921  

Telecommunications — 2.8%

America Movil SAB de CV - Class L - SP ADR

    22,927       471,838  

BCE, Inc.

    5,954       263,464  

Bharti Airtel Ltd.

    29,660       266,117  

Chunghwa Telecom Co. Ltd.

    81,000       306,249  

Chunghwa Telecom Co. Ltd. - SP ADR

    4,171       156,037  

Deutsche Telekom AG

    1,461       32,789  

Deutsche Telekom AG - SP ADR

    5,690       128,195  

Elisa Oyj

    1,238       70,304  

GDS Holdings Ltd. - ADR*

    5,564       107,107  

Hikari Tsushin, Inc.

    200       29,030  

HKT Trust & HKT Ltd.

    35,000       45,503  

KDDI Corp.

    173,348       5,071,795  

KT Corp.

    15,784       363,471  

Millicom International Cellular SA - SDR*

    116       2,287  

MTN Group Ltd.

    23,254       183,229  

Nice Ltd. - SP ADR*

    288       59,734  

Nippon Telegraph & Telephone Corp.

    3,000       86,930  

Nippon Telegraph & Telephone Corp. - ADR

    984       28,556  

Nokia Oyj - SP ADR

    12,708       58,457  

Orange SA

    4,154       47,423  

PLDT, Inc. - SP ADR

    3,681       86,319  

Rogers Communications, Inc. - Class B

    1,628       77,786  

Singapore Telecommunications Ltd.

    60,600       106,467  

SK Telecom Co. Ltd. - SP ADR

    1       19  

Swisscom AG

    251       154,878  

Telefonaktiebolaget LM Ericsson - Class B

    425,317       2,355,237  

Telefonica SA

    9,725       39,673  

Telekomunikasi Indonesia Persero Tbk PT

    1,444,800       368,043  

Telekomunikasi Indonesia Persero Tbk PT - ADR

    3,467       89,310  

Turkcell Iletisim Hizmetleri AS - ADR

    15,018       62,775  

Vodafone Group PLC - SP ADR

    4,295       51,411  
              11,170,433  

Toys/Games/Hobbies — 0.1%

Bandai Namco Holdings, Inc.

    800       49,433  

Nintendo Co. Ltd.

    2,700       101,080  

 

   

Number of
Shares

   

Value

 

Toys/Games/Hobbies — (Continued)

Nintendo Co. Ltd. - ADR

    5,760     $ 53,741  
              204,254  

Transportation — 0.8%

Canadian National Railway Co.

    3,433       390,984  

Canadian Pacific Railway Ltd.

    2,120       160,993  

Deutsche Post AG - SP ADR

    1,603       68,095  

DSV A/S

    9,379       1,704,223  

DSV A/S - ADR

    826       75,030  

East Japan Railway Co.

    1,500       75,756  

Getlink SE

    1,582       26,569  

Keio Corp.

    1,500       52,263  

Keisei Electric Railway Co. Ltd.

    1,000       28,906  

Kintetsu Group Holdings Co. Ltd.

    800       24,236  

Mitsui OSK Lines Ltd.

    9,000       235,081  

Qatar Gas Transport Co. Ltd.

    254,080       254,560  

SG Holdings Co. Ltd.

    3,200       46,139  

Tobu Railway Co. Ltd.

    2,100       46,885  

West Japan Railway Co.

    600       23,288  
              3,213,008  

Water — 0.7%

Cia de Saneamento Basico do Estado de Sao Paulo - ADR

    4,592       45,690  

Guangdong Investment Ltd.

    30,000       30,316  

United Utilities Group PLC

    229,334       2,800,253  
              2,876,259  

TOTAL COMMON STOCKS

               

(Cost $321,671,244)

            350,038,370  
 

EXCHANGE TRADED FUNDS - 0.4%

Diversified Financial Services — 0.4%

iShares MSCI Saudi Arabia ETF

    41,093       1,490,854  

TOTAL EXCHANGE TRADED FUNDS

       

(Cost $1,628,819)

            1,490,854  
                 

PREFERRED STOCKS - 0.1%

Auto Manufacturers — 0.0%

Porsche Automobil Holding SE 4.787%

    851       48,302  
                 

Banks — 0.0%

Banco Bradesco SA - ADR 7.546%

    44,550       112,711  

Bancolombia SA - SP ADR 9.671%

    1,414       36,142  
              148,853  

Cosmetics/Personal Care — 0.0%

LG H&H Co. Ltd. 1.416%

    433       93,569  
                 

 

 

The accompanying notes are an integral part of the financial statements.
14

 

 

AQUARIUS INTERNATIONAL FUND

 


Portfolio of Investments (Concluded)

FEBRUARY 28, 2023 (UNAUDITED)

 

   

Number of
Shares

   

Value

 

Iron/Steel — 0.1%

Gerdau SA - SP ADR 12.878%

    42,511     $ 232,535  

TOTAL PREFERRED STOCKS

               

(Cost $677,502)

            523,259  
                 

SHORT-TERM INVESTMENTS - 10.8%

U.S. Bank Money Market Deposit Account, 4.25% (b)

    42,798,379       42,798,379  

TOTAL SHORT-TERM INVESTMENTS

       

(Cost $42,798,379)

            42,798,379  
                 

TOTAL INVESTMENTS — 99.8%

(Cost $366,775,944)

            394,850,862  

OTHER ASSETS IN EXCESS OF LIABILITIES — 0.2%

            857,862  

NET ASSETS — 100.0%

          $ 395,708,724  

 

 

*

Non-income producing security.

 

(a)

Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration to qualified institutional buyers. As of February 28, 2023, total market value of Rule 144A securities is $4,548,982 and represents 1.15% of net assets.

 

(b)

The rate shown is as of February 28, 2023.

 

Security has been valued at fair market value using significant unobservable inputs as determined in good faith by the Adviser, as Valuation Designee, under the oversight of The RBB Fund, Inc.’s Board of Directors. As of February 28, 2023, these securities amounted to $20 or 0.00% of net assets.

 

ADR

American Depositary Receipt

 

CDI

CREST Depository Interest

 

ETF

Exchange Traded Fund

 

GDR

Global Depositary Receipt

 

NVDR

Non-Voting Depositary

 

PLC

Public Limited Company

 

REIT

Real Estate Investment Trust

 

SDR

Special Drawing Right

 

SP ADR

Sponsored ADR

 

The accompanying notes are an integral part of the financial statements.
15

 

 

AQUARIUS INTERNATIONAL FUND

 


STATEMENT of Assets and Liabilities

FEBRUARY 28, 2023 (UNAUDITED)

 

ASSETS

       

Investments, at value (cost $323,977,565)

  $ 352,052,483  

Short-term investments, at value (cost $42,798,379)

    42,798,379  

Foreign currency at value (cost $324,997)

    325,329  

Receivables for:

       

Dividends

    1,096,869  

Investments sold

    699,172  

Capital shares sold

    14,980  

Prepaid expenses and other assets

    95,441  

Total assets

  $ 397,082,653  
         

LIABILITIES

       

Payables for:

       

Investments purchased

    914,829  

Capital shares redeemed

    7,020  

Sub-advisory fees

    144,596  

Other accrued expenses and liabilities

    307,484  

Total liabilities

    1,373,929  

Net assets

  $ 395,708,724  
         

NET ASSETS CONSIST OF:

       

Par value

  $ 40,220  

Paid-in capital

    399,673,572  

Total distributable earnings/(loss)

    (4,005,068 )

Net assets

  $ 395,708,724  
         

CAPITAL SHARES:

       

Net Assets

  $ 395,708,724  

Shares outstanding ($0.001 par value, 100,000,000 shares authorized)

    40,220,035  

Net asset value, offering and redemption price per share

  $ 9.84  

 

 

The accompanying notes are an integral part of the financial statements.
16

 

 

AQUARIUS INTERNATIONAL FUND

 


Statement of Operations

FOR THE Six Months ENDED FEBRUARY 28, 2023 (UNAUDITED)

 

INVESTMENT INCOME

       

Dividends (net of foreign taxes withheld of $286,019)

  $ 3,199,650  

Total investment income

    3,199,650  
         

EXPENSES

       

Sub-advisory fees (Note 2)

    854,850  

Custodian fees (Note 2)

    217,527  

Administration and accounting services fees (Note 2)

    114,623  

Transfer agent fees (Note 2)

    28,376  

Director fees

    21,969  

Legal fees

    21,315  

Audit fees and tax services

    20,619  

Officer fees

    12,409  

Registration and filing fees

    6,896  

Printing and shareholder reporting fees

    2,955  

Other expenses

    71,031  

Total expenses

    1,372,570  

Net investment income/(loss)

    1,827,080  
         

NET REALIZED AND UNREALIZED GAIN/(LOSS) FROM INVESTMENTS

       

Net realized gain/(loss) from investments and foreign currency transactions

    (10,059,319 )

Net change in unrealized appreciation/(depreciation) on investments and foreign currency translation

    33,921,929  

Net realized and unrealized gain/(loss) on investments

    23,862,610  

NET INCREASE/(DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS

  $ 25,689,690  

 

 

The accompanying notes are an integral part of the financial statements.
17

 

 

AQUARIUS INTERNATIONAL FUND

 


Statements of Changes in Net Assets

 

   

For the
Six Months Ended
February 28, 2023
(Unaudited)

   

For the
Year Ended
August 31, 2022

 

INCREASE/(DECREASE) IN NET ASSETS FROM OPERATIONS

               

Net investment income/(loss)

  $ 1,827,080     $ 5,581,660  

Net realized gain/(loss) from investments and foreign currency transactions

    (10,059,319 )     (12,646,664 )

Net change in unrealized appreciation/(depreciation) on investments and foreign currency translation

    33,921,929       (83,378,012 )

Net increase/(decrease) in net assets resulting from operations

    25,689,690       (90,443,016 )
                 

DIVIDEND AND DISTRIBUTIONS TO SHAREHOLDERS FROM:

               

Total distributable earnings

    (4,179,382 )     (5,072,140 )

Net decrease in net assets from dividends and distributions to shareholders

    (4,179,382 )     (5,072,140 )
                 

CAPITAL SHARE TRANSACTIONS:

               

Proceeds from shares sold

    34,994,236       89,693,476  

Reinvestment of distributions

    3,505,305       4,234,119  

Shares redeemed

    (19,967,074 )     (25,570,223 )

Net increase/(decrease) in net assets resulting from capital share transactions

    18,532,467       68,357,372  

Total increase/(decrease) in net assets

    40,042,775       (27,157,784 )
                 

NET ASSETS:

               

Beginning of period

    355,665,949       382,823,733  

End of period

  $ 395,708,724     $ 355,665,949  
                 

SHARE TRANSACTIONS:

               

Shares sold

    3,714,175       8,416,052  

Shares reinvested

    366,281       363,131  

Shares redeemed

    (2,124,983 )     (2,483,280 )

Net increase/(decrease) in shares

    1,955,473       6,295,903  

 

 

The accompanying notes are an integral part of the financial statements.
18

 

 

AQUARIUS INTERNATIONAL FUND

 


Financial Highlights

 

Contained below is per share operating performance data for shares outstanding, total investment return/(loss), ratios to average net assets and other supplemental data for the respective periods. This information has been derived from information provided in the financial statements.

 

 

   

For the
Six Months
Ended
February 28,
2023
(Unaudited)

   

For the
Year Ended
August 31,
2022

   

For the
Year Ended
August 31,
2021

   

For the
Year Ended
August 31,
2020

   

For the
Year Ended
August 31,
2019

   

For the Period
April 17,
2018
(1)
to
August 31,
2018

 

Per Share Operating Performance

                                               

Net asset value, beginning of period

  $ 9.29     $ 11.97     $ 9.93     $ 9.27     $ 9.61     $ 10.00  

Net investment income/(loss)(2)

    0.05       0.16       0.12       0.12       0.14       0.08  

Net realized and unrealized gain/(loss) from investments

    0.61       (2.69 )     2.00       0.67       (0.35 )     (0.47 )

Net increase/(decrease) in net assets resulting from operations

    0.66       (2.53 )     2.12       0.79       (0.21 )     (0.39 )

Dividends and distributions to shareholders from:

                                               

Net investment income

    (0.11 )     (0.15 )     (0.08 )     (0.13 )     (0.13 )      

Total dividends and distributions to shareholders

    (0.11 )     (0.15 )     (0.08 )     (0.13 )     (0.13 )      

Net asset value, end of period

  $ 9.84     $ 9.29     $ 11.97     $ 9.93     $ 9.27     $ 9.61  

Total investment return/(loss)(3)

    7.10 %(4)     (21.38 )%     21.46 %     8.61 %     (2.12 )%     (3.90 )%(4)
                                                 

Ratios/Supplemental Data

                                               

Net assets, end of period (000’s)

  $ 395,709     $ 355,666     $ 382,824     $ 278,956     $ 163,375     $ 176,968  

Ratio of expenses to average net assets

    0.75 %(5)     0.73 %     0.75 %     0.75 %     0.94 %     0.80 %(5)

Ratio of net investment income/(loss) to average net assets

    1.00 %(5)     1.48 %     1.08 %     1.24 %     1.56 %     2.21 %(5)

Portfolio turnover rate

    26 %(4)     52 %     48 %     55 %     81 %     36 %(4)

 

 

(1)

Commencement of operations.

(2)

Calculated based on average shares outstanding for the period.

(3)

Total investment return/(loss) is calculated assuming a purchase of shares on the first day and a sale of shares on the last day of each period reported and includes reinvestments of dividends and distributions, if any.

(4)

Not annualized.

(5)

Annualized.

 

The accompanying notes are an integral part of the financial statements.
19

 

 

AQUARIUS INTERNATIONAL FUND

 


NOTES TO FINANCIAL STATEMENTS

FEBRUARY 28, 2023 (UNAUDITED)

 

1. Organization and Significant Accounting Policies

 

The RBB Fund, Inc. (“RBB” or the “Company”) was incorporated under the laws of the State of Maryland on February 29, 1988 and is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. RBB is a “series fund,” which is a mutual fund complex dividend into separate portfolios. Each portfolio is treated as a separate entity for certain matters under the 1940 Act, and for other purposes, and a shareholder of one portfolio is not deemed to be a shareholder of any other portfolio. Currently, RBB has forty-eight separate investment portfolios, including the Aquarius International Fund (the “Fund”), which commenced investment operations on April 17, 2018.

 

RBB has authorized capital of one hundred billion shares of common stock of which 90.623 billion shares are currently classified into two hundred and thirteen classes of common stock. Each class represents an interest in an active or inactive RBB investment portfolio.

 

The Fund’s investment objective seeks capital appreciation.

 

The Fund is an investment company and follows accounting and reporting guidance in the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946 “Financial Services - Investment Companies”.

 

The end of the reporting period for the Fund is February 28, 2023, and the period covered by these Notes to Financial Statements is for the six months ended February 28, 2023 (the “current fiscal period”).

 

PORTFOLIO VALUATION – The Fund’s net asset value (“NAV”) is calculated once daily at the close of regular trading hours on the New York Stock Exchange (“NYSE”) (generally 4:00 p.m. Eastern time) on each day the NYSE is open. Securities held by the Fund are valued using the closing price or the last sale price on a national securities exchange or the National Association of Securities Dealers Automatic Quotation System (“NASDAQ”) market system where they are primarily traded. Equity securities traded in the over-the-counter (“OTC”) market are valued at their closing prices. If there were no transactions on that day, securities traded principally on an exchange or on NASDAQ will be valued at the mean of the last bid and ask prices prior to the market close. Fixed income securities are valued using an independent pricing service, which considers such factors as security prices, yields, maturities and ratings, and are deemed representative of market values at the close of the market. Foreign securities are valued based on prices from the primary market in which they are traded, and are translated from the local currency into U.S. dollars using current exchange rates. Investments in other open-end investment companies, if any, are valued based on the NAV of those investment companies (which may use fair value pricing as disclosed in their prospectuses). If market quotations are unavailable or deemed unreliable, securities will be valued by the Adviser, as Valuation Designee, 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 Valuation Designee 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 Valuation Designee may value foreign securities using fair value prices based on third-party vendor modeling tools (international fair value pricing).

 

20

 

 

AQUARIUS INTERNATIONAL FUND

 


NOTES TO FINANCIAL STATEMENTS (CONTINUED)

FEBRUARY 28, 2023 (UNAUDITED)

 

FAIR VALUE MEASUREMENTS – The inputs and valuation techniques used to measure the fair value of the Fund’s investments are summarized into three levels as described in the hierarchy below:

 

 

● Level 1

Prices are determined using quoted prices in active markets for identical securities.

 

 

● Level 2

Prices are determined using other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).

 

 

● Level 3

Prices are determined using significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments).

 

The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

 

The following is a summary of the inputs used, as of the end of the reporting period, in valuing the Fund’s investments carried at fair value:

 

   

Total

   

Level 1

   

Level 2

   

Level 3

 

Common Stocks

  $ 350,038,370     $ 72,205,483     $ 277,832,867     $ 20  

Exchange Traded Funds

    1,490,854       1,490,854              

Preferred Stocks

    523,259       381,388       141,871        

Short-Term Investments

    42,798,379       42,798,379              

Total Investments*

  $ 394,850,862     $ 116,876,104     $ 277,974,738     $ 20  

 

*

Please refer to the Portfolio of Investments for further details.

 

At the end of each quarter, management evaluates the classification of Levels 1, 2 and 3 assets and liabilities. Various factors are considered, such as changes in liquidity from the prior reporting period; whether or not a broker is willing to execute at the quoted price; the depth and consistency of prices from third party pricing services; and the existence of contemporaneous, observable trades in the market. Additionally, management evaluates the classification of Levels 1, 2 and 3 assets and liabilities on a quarterly basis for changes in listings or delistings on national exchanges.

 

Due to the inherent uncertainty of determining the fair value of investments that do not have a readily available market value, the fair value of the Fund’s investments may fluctuate from period to period. Additionally, the fair value of investments may differ significantly from the values that would have been used had a ready market existed for such investments and may differ materially from the values the Fund may ultimately realize. Further, such investments may be subject to legal and other restrictions on resale or otherwise less liquid than publicly traded securities.

 

For fair valuations using significant unobservable inputs, U.S. generally accepted accounting principles (“U.S. GAAP”) requires the Fund to present a reconciliation of the beginning to ending balances for reported market values that presents changes attributable to total realized and unrealized gains or losses, purchase and sales, and transfers in and out of Level 3 during the period. Transfers in and out between levels are based on values at the end of the period. A reconciliation of Level 3 investments is presented only when the Fund had an amount of Level 3 investments at the end of the reporting period that was meaningful in relation to its net assets. The amounts and reasons for Level 3 transfers are disclosed if the Fund had an amount of total Level 3 transfers during the reporting period that was meaningful in relation to its net assets as of the end of the reporting period.

 

During the current fiscal period, the Fund had no significant Level 3 transfers.

 

21

 

 

AQUARIUS INTERNATIONAL FUND

 


NOTES TO FINANCIAL STATEMENTS (CONTINUED)

FEBRUARY 28, 2023 (UNAUDITED)

 

REITS — The Fund has made certain investments in real estate investment trusts (“REITs”) which pay dividends to their shareholders based upon available funds from operations. It is quite common for these dividends to exceed the REITs’ taxable earnings and profits resulting in the excess portion being designated as a return of capital. The Fund intends to include the gross dividends from such REITs in its annual distributions to shareholders and, accordingly, a portion of the Fund’s distributions may also be designated as a return of capital.

 

USE OF ESTIMATES — The preparation of financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates and those differences could be significant.

 

INVESTMENT TRANSACTIONS, INVESTMENT INCOME AND EXPENSES — The Fund records security transactions based on trade date for financial reporting purposes. The cost of investments sold is determined by use of the specific identification method for both financial reporting and income tax purposes in determining realized gains and losses on investments. Interest income (including amortization of premiums and accretion of discounts) is accrued when earned. Dividend income is recorded on the ex-dividend date. Distributions received on securities that represent a return of capital or capital gain are recorded as a reduction of cost of investments and/or as a realized gain. The Fund’s investment income, expenses (other than class specific expenses) and unrealized and realized gains and losses are allocated daily to each class of shares based upon the relative proportion of net assets of each class at the beginning of the day. Certain expenses are shared with The RBB Fund Trust (formerly, PENN Capital Funds Trust) (the “Trust”), a series trust of affiliated funds. Expenses incurred on behalf of a specific class, fund or fund family of the Company or Trust are charged directly to the class, fund or fund family (in proportion to net assets). Expenses incurred for all funds (such as director or professional fees) are charged to all funds in proportion to their average net assets of RBB and the Trust, or in such other manner as the Board deems fair or equitable. Expenses and fees, including investment advisory and administration fees, are accrued daily and taken into account for the purpose of determining the NAV of the Fund.

 

DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS — Dividends from net investment income and distributions from net realized capital gains (including net short-term capital gains), if any, are declared and paid at least annually to shareholders recorded on the ex-dividend date. Income dividends and capital gain distributions are determined in accordance with U.S. federal income tax regulations, which may differ from U.S. GAAP.

 

U.S. TAX STATUS — No provision is made for U.S. income taxes as it is the Fund’s intention to continue to qualify for and elect the tax treatment applicable to regulated investment companies under Subchapter M of the Internal Revenue Code of 1986, as amended, and make the requisite distributions to its shareholders which will be sufficient to relieve it from U.S. income and excise taxes.

 

FOREIGN CURRENCY TRANSLATION — Assets and liabilities initially expressed in non-U.S. currencies are translated into U.S. dollars based on the applicable exchange rates at the date of the last business day of the financial statement period. Purchases and sales of securities, interest income, dividends, variation margin received and expenses denominated in foreign currencies are translated into U.S. dollars at the exchange rates in effect on the transaction date.

 

The Fund does not separately report the effect of changes in foreign exchange rates from changes in market prices of securities held. Such changes are included with the net realized gain or loss and change in unrealized appreciation or depreciation on investments in the Statement of Operations. Other foreign currency transactions resulting in realized and unrealized gain or loss are reported separately as net realized gain or loss and change in unrealized appreciation or depreciation on foreign currencies in the Statement of Operations.

 

CASH AND CASH EQUIVALENTS — Cash and cash equivalents are valued at cost plus accrued interest, which approximates market value.

 

22

 

 

AQUARIUS INTERNATIONAL FUND

 


NOTES TO FINANCIAL STATEMENTS (CONTINUED)

FEBRUARY 28, 2023 (UNAUDITED)

 

OTHER — In the normal course of business, the Fund may enter into contracts that provide general indemnifications. The Fund’s maximum exposure under these arrangements is dependent on claims that may be made against the Fund in the future, and, therefore, cannot be estimated; however, the Fund expects the risk of material loss from such claims to be remote.

 

The Fund may be subject to taxes imposed by countries in which it invests, with respect to its investments in issuers existing or operating in such countries. Such taxes are generally based on income earned or repatriated and capital gains realized on the sale of such investments. The Fund accrues such taxes when the related income or capital gains are earned or throughout the holding period. Some countries require governmental approval for the repatriation of investment income, capital or the proceeds of sales earned by foreign investors. Additionally, if there is a deterioration in a country’s balance of payments or for other reasons, a country may impose temporary restrictions on foreign capital remittances abroad.

 

MARKET RISK — Investments in foreign markets may involve certain considerations and risks not typically associated with investments in the United States of America, including the possibility of future political and economic developments and the level of foreign governmental supervision and regulation of foreign securities markets. These markets are generally smaller, less liquid and more volatile than the major securities markets in the United States of America. Consequently, acquisition and disposition of international securities held by the Fund may be inhibited.

 

CORONAVIRUS (COVID-19) PANDEMIC — The global outbreak of COVID-19 (commonly referred to as “coronavirus”) has disrupted economic markets and the prolonged economic impact is uncertain. Although vaccines for COVID-19 are available, the ultimate economic fallout from the pandemic, and the long-term impact on economies, markets, industries and individual issuers are not known. The operational and financial performance of the issuers of securities in which the Fund invests depends on future developments, including the duration and spread of the outbreak and the pace of recovery which may vary from market to market, and such uncertainty may in turn adversely affect the value and liquidity of the Fund’s investments, impair the Fund’s ability to satisfy redemption requests, and negatively impact the Fund’s performance.

 

UKRAINE-RUSSIA CONFLICT RISK — In February 2022, Russia commenced a military attack on Ukraine. The outbreak of hostilities between the two countries and the threat of wider-spread hostilities could have a severe adverse effect on the region and global economies, including significant negative impacts on the markets for certain securities and commodities, such as oil and natural gas. In addition, sanctions imposed on Russia by the United States and other countries, and any sanctions imposed in the future, could have a significant adverse impact on the Russian economy and related markets. The price and liquidity of investments may fluctuate widely as a result of the conflict and related events. How long the armed conflict and related events will last cannot be predicted. These tensions and any related events could have a significant impact on Fund performance and the value of Fund investments, even beyond any direct exposure the Fund may have to issuers located in these countries.

 

2. INVESTMENT ADVISER AND OTHER SERVICES

 

Altair Advisers, LLC (“Altair” or the “Adviser”) serves as the investment adviser to the Fund. Aperio Group, LLC, Driehaus Capital Management, LLC, Mawer Investment Management, Ltd. and Setanta Asset Management Limited each serves as an investment sub-adviser (“Sub-Adviser”) to the Fund.

 

The Fund is managed by the Adviser and one or more Sub-Advisers unaffiliated with the Adviser. The Adviser also has the ultimate responsibility to oversee the Sub-Advisers, and to recommend their hiring, termination and replacement, subject to approval by the Board. The Adviser has an investment team that is jointly responsible for the day-to-day management of the Fund. The Sub-Advisers provide investment advisory services to the portion of the Fund’s portfolio allocated to them by the Adviser. The Adviser and the Company on behalf of the Fund have entered into sub-advisory agreements with the Sub-Advisers to manage the Fund, subject to supervision of the Adviser and the Board, and in

 

23

 

 

AQUARIUS INTERNATIONAL FUND

 


NOTES TO FINANCIAL STATEMENTS (CONTINUED)

FEBRUARY 28, 2023 (UNAUDITED)

 

accordance with the investment objective and restrictions of the Fund. The Fund compensates the Sub-Advisers for their services at an annual rate based on the Fund’s sub-advised average daily net assets, (the “Sub-Advisory Fee”), not to exceed 0.90%, payable on a monthly basis in arrears.

 

During the current fiscal period, collectively, sub-advisory fees accrued were $854,850, or the rate of 0.47%.

 

The Fund is currently only available to clients of the Adviser and to other investors at the Fund’s discretion. The Adviser does not receive a separate management fee from the Fund. However, pursuant to the Fund’s investment advisory agreement with the Adviser, the Adviser is entitled to receive reimbursement for compliance expenses in connection with managing the Fund, up to 0.03% of the Fund’s average daily net assets. During the current fiscal period, the Adviser received $55,829.

 

U.S. Bancorp Fund Services, LLC, doing business as U.S. Bank Global Fund Services (“Fund Services”), serves as administrator for the Fund. For providing administrative and accounting services, Fund Services is entitled to receive a monthly fee, subject to certain minimum and out of pocket expenses.

 

Fund Services serves as the Fund’s transfer and dividend disbursing agent. For providing transfer agent services, Fund Services is entitled to receive a monthly fee, subject to certain minimum and out of pocket expenses.

 

U.S. Bank, N.A. (the “Custodian”) provides certain custodial services to the Fund. The Custodian is entitled to receive a monthly fee, subject to certain minimum and out of pocket expenses.

 

Quasar Distributors, LLC (the “Distributor”), a wholly-owned broker-dealer subsidiary of Foreside Financial Group, LLC, serves as the principal underwriter and distributor of the Fund’s shares pursuant to a Distribution Agreement with RBB.

 

For compensation amounts paid to Fund Services and the Custodian, please refer to the Statement of Operations.

 

3. DIRECTOR AND OFFICER COMPENSATION

 

The Directors of the Company receive an annual retainer and meeting fees for meetings attended. An employee of Vigilant Compliance, LLC serves as Chief Compliance Officer of the Company. Vigilant Compliance, LLC is compensated for the services provided to the Company. Employees of RBB serve as President, Chief Financial Officer, Chief Operating Officer, Secretary and Director of Marketing & Business Development of the Company. They are compensated by the Company for services provided. Certain employees of Fund Services serve as officers of the Company. They are not compensated by the Fund or the Company. For Director and Officer compensation amounts, please refer to the Statement of Operations.

 

4. PURCHASES AND SALES OF INVESTMENT SECURITIES

 

During the current fiscal period, aggregate purchases and sales of investment securities (excluding short-term investments) of the Fund were as follows:

 

PURCHASES

SALES

$100,526,126

$83,601,014

 

There were no purchases or sales of long-term U.S. Government securities during the current fiscal period.

 

5. FEDERAL INCOME TAX INFORMATION

 

The Fund has followed the authoritative guidance on accounting for and disclosure of uncertainty in tax positions, which requires the Fund to determine whether a tax position is more likely than not to be sustained upon examination, including resolution of any related appeals or litigation processes, based on the technical merits of the position. The

 

24

 

 

AQUARIUS INTERNATIONAL FUND

 


NOTES TO FINANCIAL STATEMENTS (CONTINUED)

FEBRUARY 28, 2023 (UNAUDITED)

 

Fund has determined that there was no effect on the financial statements from following this authoritative guidance. In the normal course of business, the Fund is subject to examination by federal, state and local jurisdictions, where applicable, for tax years for which applicable statutes of limitations have not expired.

 

As of August 31, 2022, the federal tax cost, which includes foreign currency, and aggregate gross unrealized appreciation and depreciation of investments held by the Fund were as follows:

 

FEDERAL
TAX COST

UNREALIZED
APPRECIATION

UNREALIZED
(DEPRECIATION)

Net Unrealized
Appreciation/
(Depreciation)

$364,987,858

$38,310,971

$(48,650,639)

$(10,339,668)

 

Distributions to shareholders, if any, from net investment income and realized gains are determined in accordance with federal income tax regulations, which may differ from net investment income and realized gains recognized for financial reporting purposes. Accordingly, the character of distributions and composition of net assets for tax purposes may differ from those reflected in the accompanying financial statements. To the extent these differences are permanent, such amounts are reclassified within the capital accounts based on the tax treatment; temporary differences do not require such reclassification.

 

Permanent differences as of August 31, 2022, primarily attributed to foreign currency. There were no permanent differences between distributable earnings/(loss) and paid in capital.

 

As of August 31, 2022, the components of distributable earnings on a tax basis were as follows:

 

UNDISTRIBUTED
ORDINARY
INCOME

UNDISTRIBUTED
LONG-TERM
CAPITAL GAINS

CAPITAL LOSS
CARRYFORWARDS

NET UNREALIZED
APPRECIATION/
(DEPRECIATION)

QUALIFIED
LATE-YEAR
LOSSES

$3,144,936

$—

$(18,320,644)

$(10,339,668)

$—

 

The differences between the book and tax basis components of distributable earnings relate primarily to the timing of recognition of income and gains for federal income tax purposes. Short-term and foreign currency gains are reported as ordinary income for federal income tax purposes.

 

The tax character of dividends and distributions paid during the fiscal years ended August 31, 2022 and August 31, 2021 was as follows:

 

         

ORDINARY
INCOME

   

LONG-TERM
GAINS

   

TOTAL

 
    2022     $ 5,072,140     $     $ 5,072,140  
    2021     $ 2,348,112     $     $ 2,348,112  

 

Pursuant to federal income tax rules applicable to regulated investment companies, the Fund may elect to treat certain capital losses between November 1 and August 31 and late year ordinary losses ((i) ordinary losses between January 1 and August 31, and (ii) specified ordinary and currency losses between November 1 and August 31) as occurring on the first day of the following tax year. For the fiscal year ended August 31, 2022, any amount of losses elected within the tax return will not be recognized for federal income tax purposes until September 1, 2022.

 

Under the Regulated Investment Company Modernization Act of 2010, the Fund is permitted to carry forward capital losses incurred in taxable years beginning after December 22, 2010 for an unlimited period. Additionally, capital losses that are carried forward will retain their character as either short-term or long-term capital losses rather than being considered all short-term as under the previous law. As of August 31, 2022, the Fund had short-term capital loss carryforwards of $18,320,644.

 

25

 

 

AQUARIUS INTERNATIONAL FUND

 


NOTES TO FINANCIAL STATEMENTS (CONCLUDED)

FEBRUARY 28, 2023 (UNAUDITED)

 

6. NEW ACCOUNTING PRONOUNCEMENTS AND REGULATORY UPDATES

 

In October 2020, the Securities and Exchange Commission (“SEC”) adopted new regulations governing the use of derivatives by registered investment companies (“Rule 18f-4”). Rule 18f-4 imposes limits on the amount of derivatives a fund can enter into, eliminates the asset segregation framework previously used by funds to comply with Section 18of the 1940 Act, and requires funds whose use of derivatives is greater than a limited specified amount to establish and maintain a comprehensive derivatives risk management program and appoint a derivatives risk manager. The Fund is required to comply with Rule 18f-4 and has adopted procedures for investing in derivatives and other transactions in compliance with Rule 18f-4. Rule 18f-4 may require the Fund to observe more stringent requirements than were previously imposed by the 1940 Act, which could adversely affect the ability of the Fund to engage in certain derivatives transactions and/or increase the costs of such derivatives transactions, which could adversely affect the Fund’s performance and increase costs related to the Fund’s use of derivatives.

 

In December 2020, the SEC adopted a new rule providing a framework for fund valuation practices (“Rule 2a-5”). Rule 2a-5 establishes requirements for determining fair value in good faith for purposes of the 1940 Act. Rule 2a-5 permits fund boards to designate certain parties to perform fair value determinations, subject to board oversight and certain other conditions. Rule 2a-5 also defines when market quotations are “readily available” for purposes of the 1940 Act and the threshold for determining whether a fund must fair value a security. In connection with Rule 2a-5, the SEC also adopted related recordkeeping requirements and is rescinding previously issued guidance, including with respect to the role of a board in determining fair value and the accounting and auditing of fund investments. The Fund is required to comply with the rules. Effective September 8, 2022 and pursuant to the requirements of Rule 2a-5, the Board designated the Adviser as its valuation designee to perform fair value determinations and approved new valuation procedures for the Fund.

 

In June 2022, the FASB issued Accounting Standards Update 2022-03, which amends Fair Value Measurement (Topic 820): Fair Value Measurement of Equity Securities Subject to Contractual Sale Restrictions (“ASU 2022-03”). ASU 2022-03 clarifies guidance for fair value measurement of an equity security subject to a contractual sale restriction and establishes new disclosure requirements for such equity securities. ASU 2022-03 is effective for fiscal years beginning after December 15, 2023 and for interim periods within those fiscal years, with early adoption permitted. Management is currently evaluating the impact of these amendments on the financial statements.

 

7. SUBSEQUENT EVENTS

 

Management has evaluated the impact of all subsequent events on the Fund through the date the financial statements were issued, and has determined that there were the following subsequent events:

 

During a special Board meeting held on March 29, 2023, the Board approved a new sub-advisory agreement (the “New Sub-Advisory Agreement”) among Altair, Boston Partners Global Investors, Inc., and the Company on behalf of the Fund. The New Sub-Advisory Agreement was approved for an initial period beginning from March 31, 2023, ending August 16, 2024.

 

The sub-advisory agreement with Setanta Asset Management Limited was terminated as of March 31, 2023.

 

26

 

 

AQUARIUS INTERNATIONAL FUND

 


Other Information (Unaudited)

 

Proxy Voting

 

Policies and procedures that the Fund uses to determine how to vote proxies relating to portfolio securities as well as information regarding how the Fund voted proxies relating to portfolio securities for the most recent twelve-month period ended June 30 are available without charge, upon request, by calling (844) 261-6482 and on the Securities and Exchange Commission’s (“SEC”) website at http://www.sec.gov.

 

Quarterly Portfolio Schedules

 

The Company files a complete schedule of portfolio holdings with the SEC for the first and third fiscal quarters of each fiscal year (quarters ended November 30 and May 31) as an exhibit to its report on Form N-PORT. The Company’s Forms N-PORT are available on the SEC website at http://www.sec.gov.

 

27

 

 

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Investment Adviser
Altair Advisers, LLC
303 West Madison Street, Suite 600
Chicago, IL 60606

 

Administrator and Transfer Agent
U.S. Bank Global Fund Services, LLC
P.O. Box 701
Milwaukee, WI 53201

 

Principal Underwriter
Quasar Distributors, LLC
111 E Kilbourn Ave, Suite 2200
Milwaukee, WI 53202

 

Custodian
U.S. Bank, N.A.
1555 North Rivercenter Drive, Suite 302
Milwaukee, WI 53212

 

Independent Registered Public Accounting Firm
PricewaterhouseCoopers LLP
Two Commerce Square
2001 Market Street, Suite 1800
Philadelphia, PA 19103

 

Legal Counsel
Faegre Drinker Biddle & Reath LLP
One Logan Square, Suite 2000
Philadelphia, PA 19103-6996

 

AQU-SAR23

 

 

 

     
     
     
   
     
 

Boston Partners Investment Funds

of The RBB Fund, Inc.

 
 

Semi-Annual Report

February 28, 2023 (Unaudited)

 
 

 

Boston Partners All-Cap Value Fund

Boston Partners Small Cap Value Fund II

WPG Partners Select Small Cap Value Fund

WPG Partners Small Cap Value Diversified Fund
(formerly WPG Partners Small/Micro Cap Value Fund)

Boston Partners Global Sustainability Fund

Boston Partners Global Equity Fund

Boston Partners Emerging Markets Fund

Boston Partners Long/Short Equity Fund

Boston Partners Long/Short Research Fund

Boston Partners Global Long/Short Fund

Boston Partners Emerging Markets Dynamic Equity Fund

 
 

BOSTON PARTNERS INVESTMENT FUNDS

 

Table of Contents

 

General Market Commentary 1
Fund Expense Examples 7
Portfolio Holdings Summary Tables 9
Portfolio of Investments 12
Statements of Assets and Liabilities 58
Statements of Operations 61
Statements of Changes in Net Assets 64
Financial Highlights 70
Notes to Financial Statements 76
Other Information 90
 

BOSTON PARTNERS INVESTMENT FUNDS

GENERAL MARKET COMMENTARY

 

Overview

 

Investment results for the six-month period ended February 28, 2023 got off to a rough start as last September 2022 lived up to its reputation as “the cruelest month” with the S&P 500 Index (the “S&P 500”) falling by -9.21%, the worst monthly performance for the S&P 500 since March 2020 during the height of the COVID-19 pandemic. Markets were hampered by a third consecutive 75-basis point rate hike by the U.S. Federal Reserve (“Fed”), the most aggressive tightening by the Fed since Paul Volcker’s chairmanship in 1980, and a 75-basis point rate hike by the European Central Bank, the largest on record.

 

Fortunately for investors, the S&P 500 rebounded in October 2022 with a return of +8.10%, largely due a Wall St. Journal story that suggested that the Fed might be contemplating a pause or even a pivot on interest rates in the near future.

 

Confirmation of that storyline came in November when Fed Chair Jerome Powell acknowledged at a symposium at the Brookings Institution that “monetary policy affects the economy and inflation with uncertain lags, and the full effects of our rapid tightening so far are yet to be felt. Thus, it makes sense to moderate the pace of our rate increases as we approach the level of restraint that will be sufficient to bring inflation down. The time for moderating the pace of rate increases may come as soon as the December meeting.” That statement helped U.S. stocks to advance for a second consecutive month with a gain +5.59% in November 2022 for the S&P 500.

 

After two months of rangebound trading, February 2023 brought news of additional strength in the U.S. labor market, a surge in the service side of the economy and an above consensus print for the Fed’s favored inflation measure that forced a recalibration of the future path of potential interest rate moves by the Fed and a “no-landing” scenario for U.S. economy. The S&P 500 fell by -2.45% in February.

 

For the entire six-month period ended February 28, 2023, the S&P 500 was able to eke out a total return of +1.24%.

 

Results

 

Seven of the eleven sectors that comprise the S&P 500 posted positive results over the six-month period, led by three cyclical sectors: Materials (+9.91%), Industrials (+9.60%) and Financials (+9.36%) on investor belief that a “goldilocks” economic environment was unfolding, i.e., strong growth but transitory inflation that would keep the Fed at bay….at least until February arrived. The Energy sector also had strong results with a gain of +6.27% despite a roller-coaster ride for oil prices which began the period at $89.55, peaked at $92.64 in October and ended the period at $77.05 as sanctions on Russia failed to disrupt overall production and above average temperatures hindered demand. The average price of $81.37 per barrel over the period and strong pricing for distillates allowed energy companies to remain highly profitable.

 

At the opposite end of the spectrum came sectors that have historically proven to be more sensitive to changes in interest rates: Utilities (-11.17%), Consumer Discretionary (-7.06%), Real Estate (-6.84%) and Communication Services (-5.43%). Utilities and Real Estate are thought of as bond surrogates while Consumer Discretionary and Communication Services are considered as long duration sectors since a significant portion of their cash flows are more long dated in nature. All were impacted by an average 0.95% increase in U.S. Treasury interest rates for maturities ranging from three months to 30 years that led to a -2.13% loss for the Bloomberg U.S. Aggregate Bond Index over the six-month period ended February 28, 2023.

 

The results of risk characteristics were mixed over the six months as high-quality stocks (those rated “B+” or higher by S&P Global Ratings) beat low-quality stocks (“B” or lower) by +3.01%, yet the highest-beta quintile of the S&P 500 beat the lowest-beta quintile by +8.23% and the Russell 2000 Index of small-cap stocks outperformed the Russell 1000 Index of large-cap stocks, +3.61% to +1.35%, respectively.

 

Style returns in terms of growth versus value were also mixed over the six-month period with the Russell 1000 Value Index outpacing the Russell 1000 Growth Index, +2.87% to -1.75%, respectively, and the Russell 2000 Value Index gaining +3.06% to the +2.66% posted by the Russell 2000 Growth Index. Only in the mid-cap range did value lag, with the Russell Mid-Cap Value Index returning +3.23% to the +4.89% gain of the Russell Mid-Cap Growth Index. In the large-cap space, the Russell 1000 Growth Index was negatively impacted by the five largest holdings in that benchmark (Apple, Microsoft, Tesla, Alphabet Class A, Alphabet Class C) which make-up just over 30% of the index and posted an average loss of -13.89% over the period.

 

Returns for developed market stocks were strong over the six months with the MSCI EAFE Index of non-U.S. stocks gaining +9.19% in local currency terms on stronger fundamentals (better revenue and earnings growth) and lower valuations. In U.S. dollar terms, the index gained +12.72% as the DXY Index, a measure of dollar appreciation/depreciation versus a basket of six foreign currencies (the Euro, Swiss franc, Japanese yen, Canadian dollar, British pound, and Swedish krona) fell by -3.52% and added a foreign currency boost to the return, with the dollar weakness the result of a belief that a Fed pause/pivot was in the making.

 

Emerging market stocks were less fortunate as the MSCI Emerging Markets Index fell by -1.74% in local currency terms and by -2.14% in U.S. dollar terms, though the losses were largely the result of what transpired in February when the MSCI Emerging Markets Index lost -4.65% in local currencies and -6.48% is U.S. dollar terms. The MSCI Emerging Markets Currency Index fell by -2.24% during the month on the expectations of more aggressive Fed rate moves to be forthcoming. The MSCI China Index was particularly hard hit, posting a loss of -10.37% in $U.S. dollar terms in February 2023 on anticipated repercussions from “balloon-gate” and the passing of the Lunar New Year holiday.

 

Semi-Annual Report 2023  |  1

 

BOSTON PARTNERS INVESTMENT FUNDS

GENERAL MARKET COMMENTARY (concluded)

 

Looking Ahead

 

There were numerous signs of labor market strength during February with job openings exceeding expectations by 712,000 (about 7% higher than consensus), unemployment insurance jobless claims that averaged 189,000 per week versus an expected 198,000, Nonfarm Payrolls (jobs) increasing by 517,000 versus the 189,000 expected and the Unemployment Rate falling to 3.4% from 3.5% a month earlier and below the 3.6% level forecasted.

 

During the month of February, The Institute of Supply Management (ISM) reported a stellar reading for the service side of the U.S. economy at 55.2 versus the prior months 49.2, the biggest gain since June 2020 and well above the 50 level, the demarcation line between expansion and contraction. Services make up about 75% of U.S. gross domestic product.

 

Inflation ran hot during January (reported in February) as the Personal Consumption Expenditure Price Index (PCE) increased by 5.4% year-over-year on a headline basis versus the consensus expectation of a 5.0% gain. Core PCE, items less food and energy, increased by 4.7% year-over-year versus a forecast of 4.3%.

 

Core Services PCE less Housing, Fed Chair Powell’s so-called “core-core PCE” or “super-core PCE” rose month-over-month by 0.58%, the highest level since November 2021 and the 5th highest print in the last 30 years.

 

These results led investors to reassess what level of interest rates will be required to slow the economy, cool the hot labor market and reduce inflation. At the start of February, a hike of 20-basis points (an 80% probability of a 25-basis point hike) in the Fed Funds rate was priced for the March Federal Open Market Committee meeting and 11-basis points for the May meeting (a 44% chance of a 25-basis point move) with a terminal Fed Funds rate of 4.91% as of June before rate cuts were projected to begin. By the end of the month a hike of 30-basis points in March was priced in (indicating a 20% chance of a 50-basis point hike) and a 26-basis point hike for the May meeting. Two potential rate hikes were added, a 72% probability of a 25-basis point hike in June 2023 and a 30% chance of a final hike in July 2023. The expected terminal Fed Funds rate is now expected to reach 5.18% and hold that level through the end of the year.

 

In reality, we believe the “no-landing” scenario is really a “delayed-landing” as the Fed will keep ratcheting up interest rates until the economy slows enough to corral inflation. Base effects will soon help, at least on the surface, as inflation a year ago was running at 40-year highs making today’s comparisons easier.

 

But base effects can be misleading, for example, if gasoline prices were to rise from today’s $3.91 per gallon to $4.10 by June 2023 that would be the 10th highest price for gas recorded over the last 20-years, but a 24% reduction from last year. By the end of the year, the positives from base effects will begin to wane.

 

Higher rates due to elevated inflation, heightened geo-political risk and lower margin/earnings expectations do not seem all that conducive to significantly higher equity prices.

 

Boston Partners Global Investors, Inc. (“Boston Partners”) is a registered investment adviser under the Investment Advisers Act of 1940. The views expressed in this commentary reflect those of the author as of the date of this commentary. Any such views are subject to change at any time based on market and other conditions and Boston Partners disclaims any responsibility to update such views. Past performance is not an indication of future results. Discussions of securities, market returns, and trends are not intended to be a forecast of future events or returns.

 

2  |  Semi-Annual Report 2023

 

BOSTON PARTNERS INVESTMENT FUNDS

DEFINITIONS (unaudited)

 

Past Performance is not a guarantee of future results.

 

Opinions expressed herein are as of February 28, 2023 and are subject to change at any time, are not guaranteed and should not be considered investment advice. This report is for the information of shareholders of the Funds. It may also be used as sales literature when preceded or accompanied by the current prospectus.

 

Basis point refers to a common unit of measure for interest rates and other percentages in finance. One basis point is equal to 1/100th of 1%, or 0.01%, or 0.0001.

 

Beta or beta coefficient is a measure of a stock or portfolio’s level of systematic and unsystematic risk based on in its prior performance. In general, a higher beta indicates a more volatile security in relation to its benchmark and lower beta indicates a less volatile security in relation to its benchmark.

 

Bloomberg Barclays US Aggregate Bond Index “US Aggregate Bond Index” is a broad base bond market index consisting of approximately 10,000 bonds, representing intermediate term investment grade bonds traded in the United States.

 

Consumer Price Index: An index of the variation in prices paid by typical consumers for retail goods and other items.

 

Growth stocks typically are more volatile than value stocks; however, value stocks generally have a lower expected growth rate in earnings and sales.

 

Mergers and Acquisitions (M&A) is a general term that refers to the consolidation of companies or assets through various types of financial transactions.

 

Momentum: High Momentum companies are characterized in the literature as companies with high price performance in the recent history, up to 12-months. High Momentum companies tend to continue their high price performance over the near term, typically over a six- to 12-month period.

 

MSCI China Index is constructed based on the integrated China equity universe included in the MSCI Emerging Markets Index, providing a standardized definition of the China equity opportunity set. The index aims to represent the performance of large- and mid-cap segments with H shares, B shares, red chips, P chips and foreign listings (e.g., ADRs) of Chinese stocks.

 

MSCI EAFE (EAFE) Index is a stock market index that is designed to measure the equity market performance of developed markets outside of the U.S. & Canada. It is maintained by MSCI Inc., a provider of investment decision support tools; the EAFE acronym stands for Europe, Australasia and Far East.

 

MSCI Emerging Markets Currency Index in USD measures the total return of 25 emerging market currencies relative to the US Dollar where the weight of each currency is equal to its country weight in the MSCI Emerging Markets Index.

 

MSCI Emerging Markets (EM) Index is an index created by Morgan Stanley Capital International (MSCI) designed to measure equity market performance in global emerging markets.

 

MSCI World Index is an unmanaged index that measures the equity market performance of developed markets.

 

MSCI World Growth Index captures large and mid-cap securities exhibiting overall growth style characteristics across 23 Developed Markets Countries.

 

MSCI World Value NR Index is an index tracking value stocks, which are stocks with prices lower than their intrinsic values.

 

A net return index includes reinvesting the after tax dividends. A gross return index includes reinvesting the before tax dividends. In general, a net return index should under perform a gross return index.

 

OROA: Operating Return on Operating Assets

 

P/B: Price/Book: A valuation ratio of a company’s current share price compared to its book value.

 

P/E: Price/Earnings: A valuation ratio of a company’s current share price compared to its per-share earnings.

 

Quality has long been established as an investment approach, dating back to Benjamin Graham, but it is less well accepted as a factor, especially when compared with value, size, yield, momentum and low volatility. By “factor”, we mean any characteristic that helps explain the risk and returns of a group of securities.

 

ROE: Return on Equity: measures a corporation’s profitability by revealing how much profit a company generates with the money invested.

 

Russell 1000® Index measures the performance of the 1,000 largest companies in the Russell 3000® Index, which represents approximately 93% of the total market capitalization of the Russell 3000 Index. You cannot invest directly in an index.

 

Russell 2000® Index measures the performance of the 2,000 smallest companies in the Russell 3000® Index, which represents approximately 10% of the total market capitalization of the Russell 3000® Index and is considered representative of small-cap stocks.

 

The Russell 1000® Growth Index measures the performance of the large-cap growth segment of the US equity universe. It includes those Russell 1000 companies with relatively higher price-to-book ratios and higher forecasted growth values.

 

Semi-Annual Report 2023  |  3

 

BOSTON PARTNERS INVESTMENT FUNDS

DEFINITIONS (concluded) (unaudited)

 

Russell 2000® Growth Index is an unmanaged index that measures the performance of Russell 2000 companies with higher price-to-book ratios and higher forecasted growth values.

 

Russell 2000® Value Index is an unmanaged index that measures the performance of the small-cap value segment of the U.S. equity universe. It includes those Russell 2000® Index companies with lower price-to-book ratios and lower forecasted growth values.

 

Russell 3000® Index measures the performance of the largest 3,000 U.S. companies representing approximately 97% of the investable U.S. equity market.

 

Russell 3000® Growth Index is a market capitalization weighted index based on the Russell 3000® Index. It includes companies that display signs of above average growth.

 

Russell 3000® Value Index is an unmanaged index that measures the performance of the broad value segment of the U.S. equity value universe. It includes those Russell 3000® Index companies with lower price-to-book ratios and lower forecasted growth values.

 

The Russell Midcap® Index measures performance of the 800 smallest companies in the Russell 1000® Index.

 

The Russell Midcap® Growth Index measures the performance of the mid-cap growth segment of the US equity universe. It includes those Russell Midcap Index companies with relatively higher price-to-book ratios and higher forecasted growth values.

 

The Russell Midcap® Value Index measures the performance of the mid-cap value segment of the US equity universe. It includes those Russell Midcap Index companies with relatively lower price-to-book ratios and higher forecasted growth values.

 

The S&P 500® Index is a market–capitalization–weighted index of 500 U.S. stocks chosen for market size, liquidity and industry grouping, among other factors. The S&P 500® Index is designed to be a leading indicator of U.S. equities and is meant to reflect the risk/return characteristics of the large cap universe. The S&P 500® Index was first introduced on January 1, 1923, though expanded to 500 stocks on March 4, 1957.

 

Trade Weighted U.S. Dollar Index: Major Currencies is a weighted average of the foreign exchange value of the U.S. dollar against a subset of the broad index currencies that circulate widely outside the country of issue. Major currencies index includes the Euro Area, Canada, Japan, United Kingdom, Switzerland, Australia, and Sweden.

 

4  |  Semi-Annual Report 2023

 

BOSTON PARTNERS INVESTMENT FUNDS

AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIODS ENDED FEBRUARY 28, 2023 (unaudited)

 

      AVERAGE ANNUAL
   SIX MONTH  1 YEAR  5 YEAR  10 YEAR  SINCE
INCEPTION
 
Boston Partners All-Cap Value Fund                          
Institutional Class  8.19%  1.07%  7.62%  11.22%   N/A   
Investor Class  8.06%  0.81%  7.35%  10.96%   N/A   
Russell 3000® Value Index  4.08%  –2.92%  7.16%  9.51%   N/A   
Russell 3000® Index(1)  1.51%  –8.07%  9.42%  11.87%   N/A   
(1)     This is not a primary benchmark of the Fund. Results of the index performance are presented for general comparative purposes.  
Boston Partners Small Cap Value Fund II                   
Institutional Class  7.06%  –2.22%  6.40%  8.74%   N/A   
Investor Class  6.90%  –2.47%  6.14%  8.47%   N/A   
Russell 2000® Value Index  4.20%  –4.40%  6.38%  8.46%   N/A   
Russell 2000® Index(1)  3.63%  –6.02%  6.01%  9.06%   N/A   
(1)     This is not a primary benchmark of the Fund. Results of the index performance are presented for general comparative purposes.  
WPG Partners Select Small Cap Value Fund                   
Institutional Class(1)  16.67%  4.25%  N/A  N/A   8.23%  
Russell 2000® Value Index  4.20%  –4.40%  N/A  N/A   –7.41%(2)   
(1)     Inception date of the Fund was December 29, 2021.  
(2)     Index performance is from inception date of the Class only and is not the inception date of the index itself.
WPG Partners Small Cap Value Diversified Fund (formerly WPG Partners Small/Micro Cap Value Fund)                   
Institutional Class  11.17%  5.11%  9.30%  7.12%   N/A   
Russell 2000® Value Index  4.20%  –4.40%  6.38%  8.46%   N/A   
Boston Partners Global Sustainability Fund                   
Institutional Class(1)  14.06%  1.16%  N/A  N/A   –1.44%  
MSCI World Index – Net Return  7.30%  –7.19%  N/A  N/A   –10.44%(2)   
(1)     Inception date of the Fund was December 29, 2021.  
(2)     Index performance is from inception date of the Class only and is not the inception date of the index itself.   
Boston Partners Global Equity Fund                   
Institutional Class  13.76%  2.08%  5.50%  8.43%   N/A   
MSCI World Index – Net Return  4.04%  –7.33%  6.88%  8.77%   N/A   
Boston Partners Emerging Markets Fund                   
Institutional Class(1)  2.65%  –11.97%  –1.23%  N/A   –0.05%  
MSCI Emerging Markets Index – Net Return  –2.29%  –15.28%  –1.87%  N/A   –0.55%(2)   
(1)     Inception date of the Fund was October 17, 2017.                
(2)     Index performance is from inception date of the Class only and is not the inception date of the index itself.  
Boston Partners Long/Short Equity Fund                   
Institutional Class  11.25%  7.10%  5.57%  5.62%   N/A   
Investor Class  11.13%  6.87%  5.30%  5.35%   N/A   
S&P 500® Index  1.26%  –7.69%  9.82%  12.25%   N/A   
Boston Partners Long/Short Research Fund                   
Institutional Class  4.88%  1.70%  3.43%  5.49%   N/A   
Investor Class  4.80%  1.52%  3.18%  5.23%   N/A   
S&P 500® Index  1.26%  –7.69%  9.82%  12.25%   N/A   
Boston Partners Global Long/Short Fund                   
Institutional Class(1)  7.01%  7.24%  5.03%  N/A   4.67%  
MSCI World Index – Net Return  4.04%  –7.33%  6.88%  N/A   7.42%(3)   
Investor Class(2)  6.88%  6.96%  4.76%  N/A   4.72%  
MSCI World Index – Net Return  4.04%  –7.33%  6.88%  N/A   7.76%(3)   
(1)  Inception date of the class was December 31, 2013.
(2)  Inception date of the class was April 11, 2014.
(3)  Index performance is from inception date of the Class only and is not the inception date of the index itself.

 

Semi-Annual Report 2023  |  5

 

BOSTON PARTNERS INVESTMENT FUNDS

AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIODS ENDED FEBRUARY 28, 2023 (concluded) (unaudited)

      AVERAGE ANNUAL
   SIX MONTH  1 YEAR  5 YEAR  10 YEAR  SINCE
INCEPTION
 
Boston Partners Emerging Markets Dynamic Equity Fund               
Institutional Class(1)  –1.84%  –7.71%  –1.14%  N/A   2.47%  
MSCI Emerging Markets Index – Net Return  –2.29%  –15.28%  –1.87%  N/A   2.07%(2)   
(1)  Inception date of the fund was March 1, 2015. The Fund commenced operations as a series of The RBB Fund, Inc. on December 15, 2015, when substantially all of the assets of Boston Partners Emerging Market Long/Short Equity (the “Prior Account”) transferred to the Fund. The Fund is managed in all material respects in a manner equivalent to the management of the Prior Account. Accordingly, the performance information shown above for periods prior to December 15, 2015 is that of the Prior Account.
(2)  Index performance is from inception date of the Class only and is not the inception date of the index itself.

Performance quoted is past performance and does not guarantee future results. Investment return and principal value of an investment will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. Boston Partners Global Investors, Inc. waived a portion of its advisory fee and agreed to reimburse a portion of each Fund’s operating expenses, if necessary, to maintain certain expense ratios as set forth in the notes to the financial statements. Total returns shown include fee waivers, expense reimbursements and expense recoupment, if any; total returns would have been lower had there been no assumption of fees and expenses in excess of expense limitations. Each Fund’s annual operating expense ratios below are as stated in the current prospectuses. These ratios may differ from the actual expenses incurred by a Fund for the period covered by this report. Returns shown include the reinvestment of all dividends and other distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. Current performance may be lower or higher than the returns quoted. Visit www.boston-partners.com for returns updated daily. Call 1-888-261-4073 for returns current to the most recent month-end.

Investors should note that the Funds are actively managed mutual funds while the indices are unmanaged, do not incur expenses and are not available for investment.

Small company stocks are generally riskier than large company stocks due to greater volatility and less liquidity.

Value investing involves the risk that a fund’s investment in companies whose securities are believed to be undervalued, relative to their underlying profitability, will not appreciate in value as anticipated.

A long/short strategy uses short sales, which theoretically involve unlimited loss potential since the market price of securities sold short may continuously increase. Increased leverage may cause a fund’s net asset value to be disproportionately volatile. The strategy also may generate high portfolio turnover, which may result in higher costs and capital gains.

International investing is subject to special risks including, but not limited to, currency risk associated with securities denominated in other than the U.S. dollar, which may be affected by fluctuations in currency exchange rates, political, social or economic instability, and differences in taxation, auditing and other financial practices. Investment in emerging market securities may increase these risks.

The following are the Funds’ gross annual operating expense ratios as stated in the most recent prospectuses for Institutional Class and Investor Class, respectively, dated December 31, 2022:

 

   INSTITUTIONAL
CLASS
  INVESTOR
CLASS
Boston Partners All-Cap Value Fund  0.86%  1.11%
Boston Partners Small Cap Value Fund II  1.02%  1.27%
WPG Partners Select Small Cap Value Fund  2.93%  N/A 
WPG Partners Small Cap Value Diversified Fund  1.26%  N/A 
Boston Partners Global Sustainability Fund  1.73%  N/A 
Boston Partners Global Equity Fund  1.13%  1.38%
Boston Partners Emerging Markets Fund  1.74%  N/A 
Boston Partners Long/Short Equity Fund  3.18%(1)   3.43%(1) 
Boston Partners Long/Short Research Fund  1.95%(1)   2.20%(1) 
Boston Partners Global Long/Short Fund  2.56%(1)   2.81%(1) 
Boston Partners Emerging Markets Dynamic Equity Fund  1.73%(1)  N/A 
1  Includes interest and/or dividend expense on short sales.  

 

6  |  Semi-Annual Report 2023

 

BOSTON PARTNERS INVESTMENT FUNDS

FUND EXPENSE EXAMPLES

FEBRUARY 28, 2023 (unaudited)

 

As a shareholder of the Fund(s), you incur two types of costs: (1) transaction costs, if any, and (2) ongoing costs, including management fees, distribution and/or service (12b-1) fees, and other Fund expenses. These examples are intended to help you understand your ongoing costs (in dollars) of investing in the Fund(s) and to compare these costs with the ongoing costs of investing in other mutual funds.

 

These examples are based on an investment of $1,000 invested at the beginning of the six-month period from September 1, 2022 through February 28, 2023, and held for the entire period.

 

ACTUAL EXPENSES

 

The first line of the accompanying table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.

 

HYPOTHETICAL EXAMPLES FOR COMPARISON PURPOSES

 

The second line of the accompanying table provides information about hypothetical account values and hypothetical expenses based on a Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund(s) and other funds. To do so, compare these 5% hypothetical examples with the 5% hypothetical examples that appear in the shareholder reports of other funds.

 

Please note that the expenses shown in the accompanying table are meant to highlight your ongoing costs only and do not reflect any transactional costs, if any. Therefore, the second line of the accompanying table is useful in comparing ongoing costs only and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.

 

      BEGINNING ACCOUNT
VALUE
SEPTEMBER 1, 2022
     ENDING ACCOUNT
VALUE
FEBRUARY 28, 2023
     EXPENSES
PAID DURING
PERIOD*
     ANNUALIZED
EXPENSE
RATIO
     ACTUAL
SIX-MONTH
TOTAL INVESTMENT
RETURN FOR THE FUND
Boston Partners All-Cap Value Fund                              
Institutional                        
Actual          $1,000.00                   $1,081.90                   $4.13       0.80%     8.19%
Hypothetical (5% return before expenses)   1,000.00    1,020.83    4.01   0.80%    N/A 
Investor                        
Actual  $1,000.00   $1,080.60   $5.42   1.05%    8.06%
Hypothetical (5% return before expenses)   1,000.00    1,019.59    5.26   1.05%    N/A 
Boston Partners Small Cap Value Fund II                        
Institutional                        
Actual  $1,000.00   $1,070.60   $5.08   0.99%    7.06%
Hypothetical (5% return before expenses)   1,000.00    1,019.89    4.96   0.99%    N/A 
Investor                        
Actual  $1,000.00   $1,069.00   $6.36   1.24%    6.90%
Hypothetical (5% return before expenses)   1,000.00    1,018.65    6.21   1.24%    N/A 
WPG Partners Select Small Cap Value Fund                        
Institutional                        
Actual  $1,000.00   $1,166.70   $5.91   1.10%    16.67%
Hypothetical (5% return before expenses)   1,000.00    1,019.34    5.51   1.10%    N/A 
WPG Partners Small Cap Value
Diversified Fund
                        
Institutional                        
Actual  $1,000.00   $1,111.70   $5.76   1.10%    11.17%
Hypothetical (5% return before expenses)   1,000.00    1,019.34    5.51   1.10%    N/A 
Boston Partners Global Sustainability Fund                        
Institutional                        
Actual  $1,000.00   $1,140.60   $4.78   0.90%    14.06%
Hypothetical (5% return before expenses)   1,000.00    1,020.33    4.51   0.90%    N/A 

 

Semi-Annual Report 2023  |  7

 

BOSTON PARTNERS INVESTMENT FUNDS

FUND EXPENSE EXAMPLES (concluded)

FEBRUARY 28, 2023 (unaudited)

 

      BEGINNING ACCOUNT
VALUE
SEPTEMBER 1, 2022
     ENDING ACCOUNT
VALUE
FEBRUARY 28, 2023
     EXPENSES
PAID DURING
PERIOD*
     ANNUALIZED
EXPENSE
RATIO
     ACTUAL
SIX-MONTH
TOTAL INVESTMENT
RETURN FOR THE FUND
Boston Partners Global Equity Fund                              
Institutional                       
Actual          $1,000.00                   $1,137.60                   $5.04       0.95%  13.76%
Hypothetical (5% return before expenses)   1,000.00    1,020.08    4.76   0.95%  N/A 
Boston Partners Emerging Markets Fund                       
Institutional                       
Actual  $1,000.00   $1,026.50   $5.02   1.00%  2.65%
Hypothetical (5% return before expenses)   1,000.00    1,019.84    5.01   1.00%  N/A 
Boston Partners Long/Short Equity Fund                       
Institutional                       
Actual  $1,000.00   $1,112.50   $10.53   2.01%(1)   11.25%
Hypothetical (5% return before expenses)   1,000.00    1,014.83    10.04   2.01%(1)   N/A 
Investor                       
Actual  $1,000.00   $1,111.30   $11.83   2.26%(1)   11.13%
Hypothetical (5% return before expenses)   1,000.00    1,013.59    11.28   2.26%(1)   N/A 
Boston Partners Long/Short Research Fund                       
Institutional                       
Actual  $1,000.00   $1,048.80   $9.14   1.80%(1)   4.88%
Hypothetical (5% return before expenses)   1,000.00    1,015.87    9.00   1.80%(1)   N/A 
Investor                       
Actual  $1,000.00   $1,048.00   $10.41   2.05%(1)   4.80%
Hypothetical (5% return before expenses)   1,000.00    1,014.63    10.24   2.05%(1)   N/A 
Boston Partners Global Long/Short Fund                       
Institutional                       
Actual  $1,000.00   $1,070.10   $12.22   2.38%(1)   7.01%
Hypothetical (5% return before expenses)   1,000.00    1,012.99    11.88   2.38%(1)   N/A 
Investor                       
Actual  $1,000.00   $1,068.80   $13.49   2.63%(1)   6.88%
Hypothetical (5% return before expenses)   1,000.00    1,011.75    13.12   2.63%(1)   N/A 
Boston Partners Emerging Markets
Dynamic Equity Fund
                       
Institutional                       
Actual  $1,000.00   $981.60   $6.88   1.40%(1)   –1.84%
Hypothetical (5% return before expenses)   1,000.00    1,017.85    7.00   1.40%(1)   N/A 
* Expenses are equal to each Fund’s annualized six-month expense ratios in the table above, which include waived fees or reimbursed expenses, multiplied by the average account value over the period, multiplied by the number of days (181) in the most recent fiscal half-year, then divided by 365 to reflect the one-half year period.
(1)  These amounts include dividends paid on securities which the Funds have sold short (“short-sale dividends”) and related interest expense. The amount of short-sale dividends and related interest expense was 0.05% of average net assets for the six-month period ended February 28, 2023 for both the Institutional Class and Investor Class of the Boston Partners Long/Short Equity Fund, 0.41% of average net assets for the Institutional Class and Investor Class of the Boston Partners Long/Short Research Fund, 0.58% of average net assets of the Institutional Class and Investor Class of the Boston Partners Global Long/Short Fund and 0.00% of average net assets for the Institutional Class of the Boston Partners Emerging Markets Dynamic Equity Fund.

 

8  |  Semi-Annual Report 2023

 
BOSTON PARTNERS INVESTMENT FUNDS February 28, 2023 (unaudited)

 

Portfolio Holdings Summary Tables

 

The Boston Partners All-Cap Value Fund, Boston Partners Small Cap Value Fund II, WPG Partners Select Small Cap Value Fund, WPG Partners Small Cap Value Diversified Fund, Boston Partners Long/Short Equity Fund, and Boston Partners Long/Short Research Fund use the Global Industry Classification StandardSM (“GICSSM”) as the basis for the classification of securities on the Portfolio of Investments.

 

BOSTON PARTNERS
ALL-CAP VALUE FUND

SECURITY TYPE/SECTOR CLASSIFICATION  % OF NET
ASSETS
  VALUE
COMMON STOCK          
Health Care   22.7%  $318,297,247 
Financials   21.8    305,787,015 
Information Technology   18.1    253,575,870 
Industrials   14.2    199,017,616 
Consumer Discretionary   8.4    117,865,989 
Energy   7.6    106,506,691 
Communication Services   3.1    44,508,289 
Materials   2.1    29,579,542 
Consumer Staples   1.8    25,857,669 
INVESTMENTS PURCHASED WITH PROCEEDS FROM SECURITIES LENDING COLLATERAL   11.2    156,461,054 
SHORT-TERM INVESTMENTS   1.0    13,547,672 
OPTIONS WRITTEN   (0.3)   (4,111,184)
LIABILITIES IN EXCESS OF OTHER ASSETS   (11.7)   (164,575,599)
NET ASSETS   100.0%  $1,402,317,871 

 

 

Portfolio holdings are subject to change at any time.

 

BOSTON PARTNERS
SMALL CAP VALUE FUND II

SECURITY TYPE/SECTOR CLASSIFICATION  % OF NET
ASSETS
  VALUE
COMMON STOCK          
Financials   24.5%  $178,797,561 
Industrials   21.3    155,610,262 
Consumer Discretionary   14.3    104,746,694 
Information Technology   10.9    79,636,320 
Energy   8.2    59,850,418 
Health Care   5.3    38,565,025 
Materials   4.3    31,297,816 
Communication Services   2.7    19,320,729 
Consumer Staples   2.0    14,750,496 
Real Estate   1.9    13,981,296 
Utilities   0.2    1,429,171 
RIGHTS   0.0     
INVESTMENTS PURCHASED WITH PROCEEDS FROM SECURITIES LENDING COLLATERAL   33.3    243,279,365 
SHORT-TERM INVESTMENTS   0.7    5,097,938 
LIABILITIES IN EXCESS OF OTHER ASSETS   (29.6)   (215,896,258)
NET ASSETS   100.0%  $730,466,833 

 

 

Portfolio holdings are subject to change at any time.

WPG PARTNERS
SELECT SMALL CAP VALUE FUND

SECURITY TYPE/SECTOR CLASSIFICATION  % OF NET
ASSETS
   VALUE
COMMON STOCK          
Industrials   30.2%  $26,336,341 
Financials   11.8    10,285,635 
Information Technology   10.8    9,441,005 
Health Care   8.4    7,340,252 
Materials   7.8    6,817,156 
Consumer Staples   7.0    6,151,206 
Consumer Discretionary   5.1    4,475,315 
Energy   4.1    3,543,102 
Real Estate   2.2    1,939,785 
Communication Services   1.8    1,581,635 
SHORT-TERM INVESTMENTS   9.1    7,953,984 
OTHER ASSETS IN EXCESS OF LIABILITIES   1.7    1,505,813 
NET ASSETS   100.0%  $87,371,229 

 

 

Portfolio holdings are subject to change at any time.

 

WPG PARTNERS
SMALL CAP VALUE DIVERSIFIED FUND
(FORMERLY WPG PARTNERS SMALL/MICRO CAP
VALUE FUND)

SECURITY TYPE/SECTOR CLASSIFICATION  % OF NET
ASSETS
  VALUE
COMMON STOCK          
Industrials   23.5%  $7,732,127 
Financials   19.8    6,539,154 
Materials   12.1    3,977,446 
Information Technology   7.7    2,521,337 
Energy   6.8    2,225,016 
Real Estate   5.5    1,817,491 
Utilities   5.2    1,707,356 
Health Care   4.7    1,561,434 
Consumer Discretionary   4.5    1,499,297 
Consumer Staples   4.5    1,486,415 
INVESTMENTS PURCHASED WITH PROCEEDS FROM SECURITIES LENDING COLLATERAL   32.9    10,828,403 
SHORT-TERM INVESTMENTS   4.8    1,588,824 
LIABILITIES IN EXCESS OF OTHER ASSETS   (32.0)   (10,542,430)
NET ASSETS   100.0%  $32,941,870 

 

 

Portfolio holdings are subject to change at any time.


 

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

 

Semi-Annual Report 2023  |  9

 
BOSTON PARTNERS INVESTMENT FUNDS February 28, 2023 (unaudited)

 

Portfolio Holdings Summary Tables (continued)

 

BOSTON PARTNERS
GLOBAL SUSTAINABILITY FUND

SECURITY TYPE/SECTOR CLASSIFICATION  % OF NET
ASSETS
  VALUE
COMMON STOCK          
Industrials   19.7%  $4,560,135 
Financials   18.0    4,162,163 
Health Care   16.3    3,788,466 
Information Technology   11.2    2,586,840 
Consumer Discretionary   8.3    1,932,426 
Consumer Staples   6.7    1,560,011 
Communication Services   5.4    1,258,749 
Energy   5.3    1,223,111 
Materials   4.1    946,188 
Utilities   0.5    114,157 
SHORT-TERM INVESTMENTS   4.8    1,112,163 
LIABILITIES IN EXCESS OF OTHER ASSETS   (0.3)   (77,509)
NET ASSETS   100.0%  $23,166,900 

 

 

Portfolio holdings are subject to change at any time.

 

BOSTON PARTNERS
GLOBAL EQUITY FUND

SECURITY TYPE/SECTOR CLASSIFICATION  % OF NET
ASSETS
  VALUE
COMMON STOCK          
Financials   19.3%  $38,215,715 
Industrials   18.1    35,767,855 
Health Care   15.6    30,854,733 
Consumer Discretionary   10.2    20,247,648 
Information Technology   9.3    18,451,458 
Energy   8.5    16,739,300 
Materials   6.0    11,852,192 
Consumer Staples   4.5    8,938,551 
Communication Services   4.3    8,485,575 
Utilities   1.4    2,799,704 
INVESTMENTS PURCHASED WITH PROCEEDS FROM SECURITIES LENDING COLLATERAL   6.6    13,101,734 
SHORT-TERM INVESTMENTS   3.0    5,916,851 
LIABILITIES IN EXCESS OF OTHER ASSETS   (6.8)   (13,415,946)
NET ASSETS   100.0%  $197,955,370 

 

 

Portfolio holdings are subject to change at any time.

BOSTON PARTNERS
EMERGING MARKETS FUND

SECURITY TYPE/SECTOR CLASSIFICATION  % OF NET
ASSETS
   VALUE 
COMMON STOCK          
Financials   22.9%  $4,951,301 
Consumer Discretionary   20.3    4,385,572 
Consumer Staples   12.1    2,609,406 
Information Technology   9.2    1,984,831 
Industrials   7.1    1,523,237 
Health Care   4.2    909,791 
Communication Services   3.6    782,114 
Real Estate   2.4    515,789 
Utilities   1.2    253,101 
Materials   0.8    181,795 
Energy   0.2    32,309 
PREFERRED STOCKS   1.0    209,680 
EXCHANGE TRADED FUNDS   0.0    11,393 
SHORT-TERM INVESTMENTS   16.0    3,442,510 
LIABILITIES IN EXCESS OF OTHER ASSETS   (1.0)   (215,989)
NET ASSETS   100.0%  $21,576,840 

 

 

Portfolio holdings are subject to change at any time.

 

BOSTON PARTNERS
LONG/SHORT EQUITY FUND

SECURITY TYPE/SECTOR CLASSIFICATION  % OF NET
ASSETS
  VALUE
LONG POSITIONS:          
COMMON STOCK          
Health Care   21.0%  $14,583,485 
Financials   17.4    12,073,601 
Information Technology   13.9    9,636,068 
Industrials   10.7    7,409,673 
Consumer Discretionary   10.0    6,965,588 
Energy   6.8    4,749,910 
Communication Services   6.4    4,467,073 
Materials   3.5    2,445,798 
Real Estate   2.3    1,595,977 
Consumer Staples   2.0    1,379,283 
SHORT-TERM INVESTMENTS   6.5    4,545,270 
PURCHASED OPTIONS   0.1    33,400 
INVESTMENTS PURCHASED WITH PROCEEDS FROM SECURITIES LENDING COLLATERAL   13.4    9,336,324 
           
SHORT POSITIONS:          
COMMON STOCK          
Information Technology   (5.4)   (3,759,535)
Consumer Discretionary   (5.3)   (3,664,505)
Industrials   (2.8)   (1,939,344)
Health Care   (1.3)   (892,605)
Consumer Staples   (1.2)   (863,432)
Energy   (0.6)   (430,634)
Communication Services   (0.6)   (402,029)
Financials   (0.2)   (155,066)
Materials   (0.2)   (115,542)
OPTIONS WRITTEN   (0.3)   (199,389)
OTHER ASSETS IN EXCESS OF LIABILITIES   3.9    2,723,830 
NET ASSETS   100.0%  $69,523,199 

 

 

Portfolio holdings are subject to change at any time.


 

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

 

10  |  Semi-Annual Report 2023

 
BOSTON PARTNERS INVESTMENT FUNDS February 28, 2023 (unaudited)

 

Portfolio Holdings Summary Tables (concluded)

 

BOSTON PARTNERS
LONG/SHORT RESEARCH FUND

SECURITY TYPE/SECTOR CLASSIFICATION  % OF NET
ASSETS
  VALUE
LONG POSITIONS:          
COMMON STOCK          
Industrials   17.1%  $129,355,504 
Financials   16.3    122,998,483 
Information Technology   12.5    94,957,561 
Health Care   11.7    88,488,214 
Consumer Discretionary   9.7    73,089,679 
Energy   7.9    59,710,902 
Consumer Staples   6.0    45,482,635 
Communication Services   5.3    39,883,747 
Materials   3.9    29,904,530 
Real Estate   2.4    18,237,813 
Utilities   1.5    11,114,701 
WARRANTS   0.0    7 
SHORT-TERM INVESTMENTS   5.6    42,455,942 
           
SHORT POSITIONS:          
COMMON STOCK          
Industrials   (6.5)   (48,915,472)
Consumer Discretionary   (5.2)   (38,979,519)
Information Technology   (3.7)   (28,270,798)
Financials   (2.9)   (21,575,650)
Communication Services   (2.3)   (17,773,614)
Materials   (2.1)   (15,586,246)
Health Care   (2.0)   (15,388,614)
Consumer Staples   (1.8)   (13,586,800)
Energy   (1.5)   (11,691,792)
Real Estate   (1.0)   (7,343,475)
Utilities   (0.3)   (2,183,572)
OPTIONS WRITTEN   (0.0)   (6,049)
OTHER ASSETS IN EXCESS OF LIABILITIES   29.4    222,326,026 
NET ASSETS   100.0%  $756,704,143 

 

 

Portfolio holdings are subject to change at any time.

BOSTON PARTNERS
GLOBAL LONG/SHORT FUND

SECURITY TYPE/SECTOR CLASSIFICATION  % OF NET
ASSETS
  VALUE
LONG POSITIONS:          
COMMON STOCK          
Information Technology   16.9%  $28,239,962 
Financials   15.2    25,422,248 
Industrials   12.8    21,421,862 
Consumer Discretionary   11.9    19,958,696 
Energy   9.6    16,103,460 
Health Care   9.3    15,447,059 
Materials   7.5    12,578,048 
Communication Services   1.5    2,521,557 
Consumer Staples   1.4    2,282,008 
SHORT-TERM INVESTMENTS   17.2    28,816,636 
           
SHORT POSITIONS:          
COMMON STOCK          
Consumer Discretionary   (7.0)   (11,675,849)
Industrials   (6.9)   (11,519,481)
Materials   (6.0)   (10,039,185)
Financials   (5.2)   (8,748,364)
Information Technology   (4.4)   (7,434,278)
Consumer Staples   (3.1)   (5,139,022)
Energy   (2.2)   (3,715,930)
Health Care   (1.9)   (3,165,799)
Communication Services   (1.7)   (2,918,362)
Real Estate   (1.0)   (1,604,311)
Utilities   (0.3)   (483,035)
OPTIONS WRITTEN   (1.6)   (2,600,548)
OTHER ASSETS IN EXCESS OF LIABILITIES   38.0    63,610,507 
NET ASSETS   100.0%  $167,357,879 

 

 

Portfolio holdings are subject to change at any time.

 

BOSTON PARTNERS
EMERGING MARKETS DYNAMIC EQUITY FUND

SECURITY TYPE/SECTOR CLASSIFICATION  % OF NET
ASSETS
   VALUE
LONG POSITIONS:          
COMMON STOCK          
Financials   14.5%  $8,008,633 
Consumer Staples   9.9    5,490,207 
Consumer Discretionary   9.8    5,431,107 
Information Technology   8.6    4,745,596 
Industrials   3.4    1,906,423 
Real Estate   2.8    1,560,396 
Health Care   2.7    1,516,167 
Communication Services   2.5    1,394,959 
Materials   0.9    503,685 
Utilities   0.5    284,969 
PREFERRED STOCKS   1.1    614,659 
SHORT-TERM INVESTMENTS   41.1    22,791,231 
EXCHANGE TRADED FUNDS   0.3    141,720 
           
SHORT POSITIONS:          
COMMON STOCK          
Materials   (0.2)   (79,454)
OTHER ASSETS IN EXCESS OF LIABILITIES   2.1    1,136,731 
NET ASSETS   100.0%  $55,447,029 

 

 

Portfolio holdings are subject to change at any time.


 

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

 

Semi-Annual Report 2023  |  11

 

 

BOSTON PARTNERS INVESTMENT FUNDS February 28, 2023 (unaudited)
BOSTON PARTNERS ALL-CAP VALUE FUND Portfolio Of Investments

 

   NUMBER OF
SHARES
   VALUE 
COMMON STOCKS—99.8%          
Communication Services—3.1%          
Activision Blizzard, Inc.   99,860   $7,614,325 
Alphabet, Inc., Class A*   121,986    10,986,059 
Electronic Arts, Inc.   20,601    2,285,475 
Interpublic Group of Cos., Inc., (The)(a)   210,795    7,491,654 
Omnicom Group, Inc.(a)   76,770    6,953,059 
Take-Two Interactive Software, Inc.*   55,690    6,100,840 
TEGNA, Inc.   176,832    3,076,877 
         44,508,289 
Consumer Discretionary—8.4%          
AutoZone, Inc.*   6,326    15,729,852 
Booking Holdings, Inc.*   8,270    20,873,480 
Harley-Davidson, Inc.(a)   347,200    16,509,360 
International Game Technology PLC   134,851    3,581,643 
LKQ Corp.   211,952    12,142,730 
Mohawk Industries, Inc.*   55,664    5,725,042 
NVR, Inc.*   2,781    14,387,837 
Tempur Sealy International, Inc.(a)   359,852    15,380,075 
Whirlpool Corp.(a)   46,427    6,405,998 
Wyndham Hotels & Resorts, Inc.   92,573    7,129,972 
         117,865,989 
Consumer Staples—1.8%          
Altria Group, Inc.   82,804    3,844,589 
Coca-Cola European Partners PLC(a)   70,070    3,853,850 
Keurig Dr Pepper, Inc.   189,709    6,554,446 
Monster Beverage Corp.*   53,713    5,465,835 
Philip Morris International, Inc.   63,093    6,138,949 
         25,857,669 
Energy—7.6%          
BP PLC - SP ADR   137,226    5,434,149 
Canadian Natural Resources Ltd.   131,235    7,416,090 
Chord Energy Corp.   66,953    9,013,213 
ConocoPhillips   67,924    7,019,945 
Devon Energy Corp.   128,678    6,938,318 
Diamondback Energy, Inc.   84,658    11,901,222 
EOG Resources, Inc.   62,504    7,064,202 
Halliburton Co.   278,628    10,094,692 
Marathon Oil Corp.   439,372    11,050,206 
Phillips 66   48,516    4,975,801 
Pioneer Natural Resources Co.   30,575    6,127,536 
Schlumberger Ltd.   254,639    13,549,341 
Shell PLC - ADR   97,449    5,921,976 
         106,506,691 
Financials—21.8%          
Aflac, Inc.   196,752    13,408,649 
Allstate Corp., (The)   58,198    7,494,738 
American International Group, Inc.   368,408    22,513,413 
Aon PLC, Class A   27,909    8,485,731 
Bank of America Corp.   785,675    26,948,653 
Charles Schwab Corp., (The)   227,671    17,740,124 
Chubb Ltd.   78,295    16,521,811 
Citigroup, Inc.(a)   269,742    13,673,222 
Discover Financial Services   72,854    8,159,648 
Fifth Third Bancorp   161,608    5,866,370 
Globe Life, Inc.   84,906    10,332,211 
Goldman Sachs Group, Inc., (The)   46,038    16,189,263 
   NUMBER OF
SHARES
   VALUE 
Financials—(continued)          
Huntington Bancshares, Inc.   648,958   $9,942,037 
JPMorgan Chase & Co.   170,483    24,438,738 
KeyCorp(a)   761,553    13,928,804 
Loews Corp.   207,283    12,662,919 
Markel Corp.*(a)   4,477    5,953,783 
Renaissance Holdings Ltd.   66,423    14,274,303 
Synchrony Financial   160,613    5,735,490 
Travelers Cos., Inc., (The)(a)   53,142    9,837,647 
Truist Financial Corp.   254,869    11,966,100 
Wells Fargo & Co.   328,291    15,354,170 
White Mountains Insurance Group Ltd.   9,947    14,359,191 
         305,787,015 
Health Care—22.7%          
AbbVie, Inc.   179,320    27,597,348 
AmerisourceBergen Corp.   75,384    11,726,735 
Amgen, Inc.   66,933    15,505,699 
Avantor, Inc.*   379,538    9,249,341 
Bristol-Myers Squibb Co.   456,215    31,460,586 
Centene Corp.*   200,901    13,741,628 
Cigna Corp.   29,976    8,755,990 
Elevance Health, Inc.   40,730    19,129,659 
Humana, Inc.   24,486    12,121,060 
Johnson & Johnson   238,917    36,616,419 
McKesson Corp.   42,745    14,952,628 
Medtronic PLC   227,201    18,812,243 
Merck & Co., Inc.   196,396    20,865,111 
Molina Healthcare, Inc.*   23,856    6,568,272 
Pfizer, Inc.   499,237    20,254,045 
Sanofi - ADR   479,688    22,473,383 
UnitedHealth Group, Inc.   44,240    21,055,586 
Zimmer Biomet Holdings, Inc.   59,833    7,411,514 
         318,297,247 
Industrials—14.2%          
Acuity Brands, Inc.(a)   41,260    8,002,790 
Advanced Drainage Systems, Inc.(a)   36,384    3,228,352 
Allegion PLC   32,576    3,671,641 
Allison Transmission Holdings, Inc.   129,739    6,162,602 
Altra Industrial Motion Corp.   64,020    3,939,151 
AMETEK, Inc.   56,034    7,932,173 
Boeing Co., (The)*   27,302    5,502,718 
BWX Technologies, Inc.   117,284    7,167,225 
Copart, Inc.*   70,261    4,950,590 
Curtiss-Wright Corp.   33,541    5,862,631 
EnerSys   46,069    4,177,998 
Expeditors International of Washington, Inc.(a)   127,601    13,341,961 
Howmet Aerospace, Inc.   306,321    12,920,620 
Huron Consulting Group, Inc.*   95,837    6,726,799 
Landstar System, Inc.(a)   65,724    11,882,242 
Leidos Holdings, Inc.   37,666    3,656,239 
ManpowerGroup, Inc.   32,552    2,763,014 
Masco Corp.(a)   106,437    5,580,492 
Middleby Corp., (The)*(a)   25,039    3,893,314 
PACCAR, Inc.   106,128    7,662,442 
Resideo Technologies, Inc.*   153,237    2,810,367 
Robert Half International, Inc.   36,591    2,949,966 
Science Applications International Corp.(a)   105,687    11,270,462 


 

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

 

12  |  Semi-Annual Report 2023

 
BOSTON PARTNERS INVESTMENT FUNDS February 28, 2023 (unaudited)
BOSTON PARTNERS ALL-CAP VALUE FUND Portfolio Of Investments (continued)

 

   NUMBER OF
SHARES
   VALUE 
Industrials—(continued)          
Sensata Technologies Holding PLC   101,940   $5,156,125 
Textron, Inc.   127,635    9,257,366 
United Parcel Service, Inc., Class B(a)   47,831    8,728,679 
WESCO International, Inc.*   104,675    17,332,086 
Westinghouse Air Brake Technologies Corp.   119,693    12,487,571 
         199,017,616 
Information Technology—18.1%          
Advanced Micro Devices, Inc.*#   227,200    17,853,376 
Analog Devices, Inc.   59,258    10,872,065 
Applied Materials, Inc.(a)   53,079    6,165,126 
Arrow Electronics, Inc.*   59,609    7,033,266 
Belden, Inc.   50,149    4,231,573 
Check Point Software Technologies Ltd.*   111,225    13,760,757 
Cisco Systems, Inc.   334,273    16,185,499 
Cognizant Technology Solutions Corp., Class A   227,817    14,268,179 
Fidelity National Information Services, Inc.   94,211    5,970,151 
FleetCor Technologies, Inc.*   93,418    20,065,252 
Flex Ltd.*   381,350    8,679,526 
Gen Digital, Inc.(a)   157,160    3,066,192 
Global Payments, Inc.   108,255    12,146,211 
Hewlett Packard Enterprise Co.   275,566    4,301,585 
Jabil, Inc.   161,139    13,379,371 
KLA Corp.   15,355    5,825,380 
Lam Research Corp.   11,735    5,703,327 
Microchip Technology, Inc.   152,093    12,324,096 
Oracle Corp.   172,234    15,053,252 
Qorvo, Inc.*   81,278    8,200,137 
QUALCOMM, Inc.   133,331    16,470,378 
SS&C Technologies Holdings, Inc.(a)   119,179    6,995,807 
TE Connectivity Ltd.   44,808    5,704,955 
Visa, Inc., Class A(a)   87,844    19,320,409 
         253,575,870 
Materials—2.1%          
Corteva, Inc.   170,393    10,613,780 
CRH PLC - SP ADR(a)   140,953    6,668,486 
FMC Corp.   95,217    12,297,276 
         29,579,542 
TOTAL COMMON STOCKS
(Cost $871,075,219)
        1,400,995,928 
INVESTMENTS PURCHASED WITH PROCEEDS FROM SECURITIES LENDING COLLATERAL—11.2%          
Mount Vernon Liquid Assets Portfolio, LLC, 4.67%(b)   156,461,054    156,461,054 
TOTAL INVESTMENTS PURCHASED WITH PROCEEDS FROM SECURITIES LENDING COLLATERAL
(Cost $156,461,054)
        156,461,054 
            NUMBER OF
SHARES
      VALUE  
SHORT-TERM INVESTMENTS—1.0%        
Tri-State Deposit, 4.45%(b)     8,828,842     $ 8,828,842  
U.S. Bank Money Market Deposit Account, 4.25%(b)     4,718,830       4,718,830  
TOTAL SHORT-TERM INVESTMENTS
(Cost $13,547,672)
            13,547,672  
TOTAL INVESTMENTS—112.0%
(Cost $1,041,083,945)
            1,571,004,654  
                       
    NUMBER OF
CONTRACTS
      NOTIONAL
AMOUNT
         
OPTIONS WRITTEN††—(0.3%)                
Call Options Written—(0.3%)                
Advanced Micro Devices, Inc.                

Expiration:

06/16/2023, Exercise Price: 60.00

  (1,136 )     (8,926,688 )     (2,544,640 )

Expiration:

06/16/2023, Exercise Price: 70.00

 

  (1,136 )     (8,926,688 )     (1,566,544 )
TOTAL CALL OPTIONS WRITTEN
(Premiums received $(6,450,869))
      (4,111,184 )
TOTAL OPTIONS WRITTEN
(Premiums received $(6,450,869))
  (4,111,184 )
LIABILITIES IN EXCESS OF OTHER ASSETS—(11.7)%       (164,575,599 )
NET ASSETS—100.0%     $ 1,402,317,871  

 

 
ADR American Depositary Receipt
PLC Public Limited Company
SP ADR Sponsored American Depositary Receipt
* Non-income producing.
(a) All or a portion of the security is on loan. At February 28, 2023, the market value of securities on loan was $153,060,251.
(b) The rate shown is as of February 28, 2023.
# Security segregated as collateral for options written.
†† Primary risk exposure is equity contracts.
   
  Industry classifications may be different than those used for compliance monitoring purposes.


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

 

Semi-Annual Report 2023  |  13

 
BOSTON PARTNERS INVESTMENT FUNDS February 28, 2023 (unaudited)
BOSTON PARTNERS ALL-CAP VALUE FUND Portfolio Of Investments (concluded)

 

A summary of the inputs used to value the Fund’s investments carried at fair value as of February 28, 2023 is as follows (see Notes to Portfolio of Investments):

 

   TOTAL   LEVEL 1   LEVEL 2   LEVEL 3   INVESTMENTS
MEASURED
AT NET
ASSET VALUE*
 
Common Stock                         
Communication Services  $44,508,289   $44,508,289   $   $   $ 
Consumer Discretionary   117,865,989    117,865,989             
Consumer Staples   25,857,669    25,857,669             
Energy   106,506,691    106,506,691             
Financials   305,787,015    305,787,015             
Health Care   318,297,247    318,297,247             
Industrials   199,017,616    199,017,616             
Information Technology   253,575,870    253,575,870             
Materials   29,579,542    29,579,542             
Investments Purchased with Proceeds from Securities Lending Collateral   151,014,961                151,014,961 
Short-Term Investments   13,547,672    4,718,830    8,828,842         
Total Assets  $1,565,558,561   $1,405,714,758   $8,828,842   $   $151,014,961 

 

   TOTAL   LEVEL 1   LEVEL 2   LEVEL 3   INVESTMENTS
MEASURED
AT NET
ASSET VALUE*
 
Options Written                         
Equity Contracts  $(4,111,184)  $(4,111,184)  $   $   $ 
Total Liabilities  $(4,111,184)  $(4,111,184)  $   $   $ 

 

* Certain investments that are measured at fair value using the net asset value per share (or its equivalent) practical expedient have not been categorized in the fair value hierarchy included to reconcile to the amounts presented in the Portfolio of Investments.

 

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

 

14  |  Semi-Annual Report 2023

 
BOSTON PARTNERS INVESTMENT FUNDS February 28, 2023 (unaudited)
BOSTON PARTNERS SMALL CAP VALUE FUND II Portfolio Of Investments

 

   NUMBER OF
SHARES
   VALUE 
COMMON STOCKS—95.6%          
Communication Services—2.7%          
Entravision Communications Corp., Class A   76,289   $500,456 
John Wiley & Sons, Inc., Class A(a)   80,058    3,561,780 
Nexstar Media Group, Inc., Class A(a)   46,721    8,685,434 
TEGNA, Inc.   377,762    6,573,059 
         19,320,729 
Consumer Discretionary—14.3%          
Beazer Homes USA, Inc.*   178,332    2,658,930 
Bloomin’ Brands, Inc.   133,839    3,493,198 
Buckle, Inc. (The)(a)   101,821    4,153,278 
Caleres, Inc.(a)   235,371    6,145,537 
Carriage Services, Inc.   138,778    4,707,350 
Fiesta Restaurant Group, Inc.*   339,916    2,736,324 
Foot Locker, Inc.(a)   107,312    4,691,681 
International Game Technology PLC   254,632    6,763,026 
J Jill, Inc.*(a)   121,313    3,366,436 
Laureate Education, Inc.   477,403    5,661,999 
LCI Industries(a)   55,786    6,293,219 
Petco Health & Wellness Co., Inc.*(a)   204,547    2,106,834 
Standard Motor Products, Inc.   56,775    2,212,522 
Steven Madden Ltd.(a)   208,719    7,576,500 
Stride, Inc.*   179,425    7,620,180 
Tempur Sealy International, Inc.(a)   193,433    8,267,326 
Topgolf Callaway Brands Corp.*(a)   494,098    11,453,192 
Travel + Leisure Co.(a)   117,114    4,912,932 
TravelCenters of America, Inc.*(a)   90,555    7,638,314 
Universal Technical Institute, Inc.*   315,140    2,287,916 
         104,746,694 
Consumer Staples—2.0%          
Fresh Del Monte Produce, Inc.   154,949    4,846,805 
Herbalife Nutrition Ltd.*(a)   204,183    3,950,941 
Nature’s Sunshine Products, Inc.*   262,904    2,849,879 
Vector Group Ltd.   233,826    3,102,871 
         14,750,496 
Energy—8.2%          
Cactus, Inc., Class A(a)   59,043    2,713,026 
ChampionX Corp.(a)   114,582    3,502,772 
Chord Energy Corp.   35,598    4,792,203 
Delek US Holdings, Inc.(a)   69,142    1,740,304 
DMC Global, Inc.*   120,876    3,235,850 
Enerplus Corp.   397,152    6,302,802 
Kosmos Energy Ltd.*(a)   888,786    6,994,746 
National Energy Services Reunited Corp.*   482,483    3,116,840 
NexTier Oilfield Solutions, Inc.*(a)   535,717    4,891,096 
Par Pacific Holdings, Inc.*   116,223    3,228,675 
Peabody Energy Corp.*(a)   100,790    2,751,567 
ProPetro Holding Corp.*(a)   334,143    2,943,800 
Viper Energy Partners LP   262,580    7,517,665 
World Fuel Services Corp.(a)   222,917    6,119,072 
         59,850,418 
Financials—24.5%          
AllianceBernstein Holding LP   63,385    2,461,873 
Ameris Bancorp   40,214    1,925,044 
AMERISAFE, Inc.   49,964    2,725,037 
Assured Guaranty Ltd.   46,645    2,911,114 
   NUMBER OF
SHARES
   VALUE 
Financials—(continued)          
Avantax, Inc.*   86,726   $2,479,496 
Axis Capital Holdings Ltd.   141,296    8,579,493 
Bar Harbor Bankshares   96,778    2,890,759 
Berkshire Hills Bancorp, Inc.(a)   90,379    2,626,414 
BGC Partners, Inc., Class A   866,997    4,213,605 
Byline Bancorp, Inc.(a)   103,953    2,562,441 
Diamond Hill Investment Group, Inc.   19,153    3,344,114 
Dime Community Bancshares, Inc.   9,767    299,261 
Employers Holdings, Inc.   58,235    2,586,216 
Essent Group Ltd.   57,793    2,482,209 
Evercore, Inc., Class A(a)   59,671    7,827,642 
Federal Agricultural Mortgage Corp., Class C   68,125    9,664,213 
First Hawaiian, Inc.(a)   99,591    2,723,814 
First Merchants Corp.(a)   105,852    4,331,464 
First Mid Bancshares, Inc.   53,205    1,648,823 
FirstCash Holdings, Inc.(a)   40,327    3,558,858 
Hancock Whitney Corp.(a)   63,546    3,121,380 
Hanover Insurance Group, Inc., (The)(a)   15,712    2,191,510 
Heritage Commerce Corp.   222,617    2,695,892 
Heritage Financial Corp.   68,125    1,898,644 
Hope Bancorp, Inc.   249,188    3,192,098 
Luther Burbank Corp.*   176,678    2,054,765 
Merchants Bancorp(a)   112,206    3,394,232 
Nelnet, Inc., Class A   43,631    4,095,642 
OceanFirst Financial Corp.   127,766    3,030,610 
Peapack-Gladstone Financial Corp.(a)   165,717    6,156,387 
PRA Group, Inc.*(a)   91,045    3,874,875 
Preferred Bank(a)   105,978    7,460,851 
Primis Financial Corp.   171,985    2,013,944 
RBB Bancorp   138,749    2,741,680 
Silvercrest Asset Management Group, Inc., Class A   373,547    6,645,401 
SLM Corp.(a)   803,296    11,551,397 
StoneX Group, Inc.*   48,472    4,887,432 
Synovus Financial Corp.   92,941    3,885,863 
Univest Financial Corp.   106,203    2,994,925 
Valley National Bancorp(a)   446,318    5,168,362 
Velocity Financial, Inc.*   31,875    307,275 
Veritex Holdings, Inc.(a)   95,431    2,544,191 
Voya Financial, Inc.(a)   52,166    3,885,845 
Walker & Dunlop, Inc.(a)   54,053    4,715,043 
White Mountains Insurance Group Ltd.   4,399    6,350,264 
Wintrust Financial Corp.   66,180    6,097,163 
         178,797,561 
Health Care—5.3%          
Amedisys, Inc.*   51,069    4,695,795 
AMN Healthcare Services, Inc.*(a)   40,427    3,638,834 
Biote Corp., Class A*(a)   795,087    3,705,106 
Haemonetics Corp.*(a)   64,329    5,002,866 
Inmode Ltd.*   81,758    2,886,875 
Lantheus Holdings, Inc.*   38,277    2,830,967 
PetIQ, Inc.*(a)   186,460    1,737,807 
Quipt Home Medical Corp.*   45,694    286,958 
R1 RCM, Inc.*(a)   396,572    5,631,322 
Sotera Health Co.*(a)   357,963    5,974,403 
Syneos Health, Inc.*   54,055    2,174,092 
         38,565,025 

 

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

 

Semi-Annual Report 2023  |  15

 
BOSTON PARTNERS INVESTMENT FUNDS February 28, 2023 (unaudited)
BOSTON PARTNERS SMALL CAP VALUE FUND II Portfolio Of Investments (continued)

 

   NUMBER OF
SHARES
   VALUE 
Industrials—21.3%          
ABM Industries, Inc.(a)   242,170   $11,723,450 
Acuity Brands, Inc.(a)   14,753    2,861,492 
Allison Transmission Holdings, Inc.   83,029    3,943,878 
Altra Industrial Motion Corp.   75,397    4,639,177 
ASGN, Inc.*   65,758    5,839,310 
Atkore, Inc.*   17,338    2,531,695 
Brink’s Co., (The)(a)   144,953    9,458,183 
CBIZ, Inc.*   135,713    6,797,864 
Civeo Corp.*   85,317    2,415,324 
CoreCivic, Inc.*   298,761    2,900,969 
CRA International, Inc.(a)   73,366    9,131,866 
Curtiss-Wright Corp.(a)   55,718    9,738,949 
Daseke, Inc.*   431,027    3,512,870 
EnerSys   26,833    2,433,485 
Granite Construction, Inc.(a)   75,667    3,268,814 
Heidrick & Struggles International, Inc.   110,407    3,790,272 
Hillenbrand, Inc.(a)   127,545    6,012,471 
Hub Group, Inc., Class A*   60,307    5,531,961 
Huron Consulting Group, Inc.*   52,741    3,701,891 
ICF International, Inc.   54,961    5,468,070 
Korn Ferry   91,007    5,086,381 
LSI Industries, Inc.   263,422    3,824,887 
Masonite International Corp.*   27,140    2,410,032 
Matrix Service Co.*   340,938    2,158,138 
NOW, Inc.*   199,026    2,557,484 
Resideo Technologies, Inc.*   115,371    2,115,904 
Science Applications International Corp.   78,195    8,338,715 
Terex Corp.(a)   98,078    5,807,198 
Universal Logistics Holdings, Inc.   77,815    2,311,106 
V2X, Inc.*   91,497    4,242,716 
Viad Corp.*   166,412    4,278,453 
Wabash National Corp.(a)   145,484    3,986,262 
Werner Enterprises, Inc.(a)   60,086    2,790,995 
         155,610,262 
Information Technology—10.9%          
AppLovin Corp., Class A*(a)   195,222    2,635,497 
Avnet, Inc.(a)   127,274    5,690,421 
Bel Fuse, Inc., Class B   115,387    4,098,546 
Belden, Inc.   125,357    10,577,624 
Cass Information Systems, Inc.(a)   73,141    3,536,367 
Clearfield, Inc.*(a)   64,328    4,032,722 
CommScope Holding Co., Inc.*   624,980    4,524,855 
Extreme Networks, Inc.*   175,168    3,279,145 
Hackett Group, Inc., (The)   136,894    2,551,704 
IBEX Holdings Ltd.*   149,204    4,170,252 
Insight Enterprises, Inc.*(a)   46,711    6,255,537 
InterDigital, Inc.   86,696    6,327,941 
MAXIMUS, Inc.(a)   25,532    2,095,667 
NCR Corp.*   123,575    3,154,870 
OSI Systems, Inc.*   41,673    3,856,836 
Photronics, Inc.*   120,085    2,115,898 
Richardson Electronics Ltd.   97,191    2,039,067 
SMART Global Holdings, Inc.*   280,022    4,676,367 
Ultra Clean Holdings, Inc.*(a)   126,083    4,017,004 
         79,636,320 
   NUMBER OF
SHARES
   VALUE 
Materials—4.3%          
Ashland, Inc.(a)   26,462   $2,693,302 
Ecovyst, Inc.*(a)   410,187    4,118,277 
Ingevity Corp.*(a)   78,978    6,520,424 
Mativ Holdings, Inc.   145,587    3,772,159 
Myers Industries, Inc.   52,307    1,351,613 
Orion Engineered Carbons SA(a)   200,525    5,113,388 
Valvoline, Inc.   219,564    7,728,653 
         31,297,816 
Real Estate—1.9%          
BRT Apartments Corp.   149,954    3,174,526 
Cousins Properties, Inc.(a)   111,747    2,736,684 
Highwoods Properties, Inc.   84,661    2,243,517 
Kennedy-Wilson Holdings, Inc.(a)   150,888    2,521,339 
Spirit Realty Capital, Inc.(a)   80,263    3,305,230 
         13,981,296 
Utilities—0.2%          
Pure Cycle Corp.*   161,854    1,429,171 
TOTAL COMMON STOCKS
(Cost $528,150,600)
        697,985,788 
RIGHTS—0.0%          
Consumer Discretionary—0.0%          
Evercel, Inc., CVR*‡   284,149    0 
TOTAL RIGHTS
(Cost $0)
        0 
INVESTMENTS PURCHASED WITH PROCEEDS FROM SECURITIES LENDING COLLATERAL—33.3%          
Mount Vernon Liquid Assets Portfolio, LLC, 4.67%(b)   243,279,365    243,279,365 
TOTAL INVESTMENTS PURCHASED WITH PROCEEDS FROM SECURITIES LENDING COLLATERAL
(Cost $243,279,365)
        243,279,365 
SHORT-TERM INVESTMENTS—0.7%          
Tri-State Deposit, 4.45%(b)   4,918,413    4,918,413 
U.S. Bank Money Market Deposit Account, 4.25%(b)   179,525    179,525 
TOTAL SHORT-TERM INVESTMENTS
(Cost $5,097,938)
        5,097,938 
TOTAL INVESTMENTS—129.6%
(Cost $776,527,903)
        946,363,091 
LIABILITIES IN EXCESS OF OTHER ASSETS—(29.6)%        (215,896,258)
NET ASSETS—100.0%       $730,466,833 
 
PLC Public Limited Company
LP Limited Partnership
CVR Contingent Value Right
* Non-income producing.
(a) All or a portion of the security is on loan. At February 28, 2023, the market value of securities on loan was $235,995,842.
(b) The rate shown is as of February 28, 2023.
Security has been valued at fair market value using significant unobservable inputs as determined in good faith by Boston Partners, as valuation designee, under the oversight of The RBB Fund, Inc.’s Board of Directors. As of February 28, 2023, these securities amounted to $0 or 0.0% of net assets.
   
  Industry classifications may be different than those used for compliance monitoring purposes.

 

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

 

16  |  Semi-Annual Report 2023

 
BOSTON PARTNERS INVESTMENT FUNDS February 28, 2023 (unaudited)
BOSTON PARTNERS SMALL CAP VALUE FUND II Portfolio Of Investments (concluded)

 

A summary of the inputs used to value the Fund’s investments carried at fair value as of February 28, 2023 is as follows (see Notes to Portfolio of Investments):

 

   TOTAL   LEVEL 1   LEVEL 2   LEVEL 3   INVESTMENTS
MEASURED
AT NET
ASSET VALUE*
 
Common Stock                         
Communication Services  $19,320,729   $19,320,729   $   $   $ 
Consumer Discretionary   104,746,694    104,746,694             
Consumer Staples   14,750,496    14,750,496             
Energy   59,850,418    59,850,418             
Financials   178,797,561    178,797,561             
Health Care   38,565,025    38,565,025             
Industrials   155,610,262    155,610,262             
Information Technology   79,636,320    79,636,320             
Materials   31,297,816    31,297,816             
Real Estate   13,981,296    13,981,296             
Utilities   1,429,171    1,429,171             
Rights               **    
Investments Purchased with Proceeds from Securities Lending Collateral   243,279,365                243,279,365 
Short-Term Investments   5,097,938    179,525    4,918,413         
Total Assets  $946,363,091   $698,165,313   $4,918,413   $   $243,279,365 

 

* Certain investments that are measured at fair value using the net asset value per share (or its equivalent) practical expedient have not been categorized in the fair value hierarchy included to reconcile to the amounts presented in the Portfolio of Investments.
** Value equals zero as of the end of the reporting period.

 

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

 

Semi-Annual Report 2023  |  17

 
BOSTON PARTNERS INVESTMENT FUNDS February 28, 2023 (unaudited)
WPG PARTNERS SELECT SMALL CAP VALUE FUND Portfolio Of Investments

 

   NUMBER OF
SHARES
   VALUE 
COMMON STOCKS—89.2%          
Communication Services—1.8%          
Cars.com, Inc.*   62,315   $1,196,448 
Vimeo, Inc.*   100,571    385,187 
         1,581,635 
Consumer Discretionary—5.1%          
Barnes & Noble Education, Inc.*   109,720    226,023 
BJ’s Restaurants, Inc.*   65,383    2,092,256 
Carrols Restaurant Group, Inc.*   284,048    590,820 
Gildan Activewear, Inc.   31,233    991,648 
Purple Innovation, Inc.*   133,002    574,568 
         4,475,315 
Consumer Staples—7.0%          
Adecoagro SA   348,657    2,831,095 
TreeHouse Foods, Inc.*   68,049    3,320,111 
         6,151,206 
Energy—4.1%          
Green Plains, Inc.*   30,202    1,047,103 
NexTier Oilfield Solutions, Inc.*   75,677    690,931 
SM Energy Co.   61,168    1,805,068 
         3,543,102 
Financials—11.8%          
Avantax, Inc.*   43,200    1,235,088 
Axis Capital Holdings Ltd.   42,053    2,553,458 
Encore Capital Group, Inc.*   16,220    838,250 
EZCORP, Inc., Class A*   233,585    2,060,220 
Kemper Corp.   29,437    1,813,319 
NMI Holdings, Inc., Class A*   76,491    1,785,300 
         10,285,635 
Health Care—8.4%          
Apollo Endosurgery, Inc.*   79,518    789,614 
Augmedix, Inc.*   182,357    295,418 
Enovis Corp.*   17,583    1,013,132 
Pacira BioSciences, Inc.*   50,580    2,153,191 
Pennant Group, Inc., (The)*   54,479    818,275 
Sight Sciences, Inc.*   156,360    1,716,833 
Syneos Health, Inc.*   13,769    553,789 
         7,340,252 
Industrials—30.2%          
Air Lease Corp.   39,639    1,715,576 
Altra Industrial Motion Corp.   61,550    3,787,171 
Arcosa, Inc.   35,596    2,157,118 
ICF International, Inc.   18,733    1,863,746 
KBR, Inc.   37,465    2,064,696 
Kirby Corp.*   24,264    1,759,868 
Leonardo DRS, Inc.*   155,282    2,018,666 
Maxar Technologies, Inc.   117,762    6,064,743 
Univar Solutions, Inc.*   76,842    2,670,260 
V2X, Inc.*   34,407    1,595,453 
XPO, Inc.*   19,156    639,044 
         26,336,341 
Information Technology—10.8%          
Global Blue Group Holding AG*   41,288    289,016 
Momentive Global, Inc.*   445,761    3,075,751 
NetScout Systems, Inc.*   71,108    2,022,312 
ON24, Inc.*   184,485    1,778,435 
Rambus, Inc.*   30,202    1,335,834 
SmartRent, Inc.*   362,802    939,657 
         9,441,005 
   NUMBER OF
SHARES
   VALUE 
Materials—7.8%          
Axalta Coating Systems Ltd.*   50,485   $1,504,453 
Capstone Copper Corp.*   200,213    890,651 
Tronox Holdings PLC   194,973    3,041,579 
Valvoline, Inc.   39,218    1,380,473 
         6,817,156 
Real Estate—2.2%          
Equity Commonwealth   91,370    1,939,785 
TOTAL COMMON STOCKS
(Cost $65,649,027)
        77,911,432 
SHORT-TERM INVESTMENTS—9.1%          
U.S. Bank Money Market Deposit Account, 4.25%(a)   7,953,984    7,953,984 
TOTAL SHORT-TERM INVESTMENTS
(Cost $7,953,984)
        7,953,984 
TOTAL INVESTMENTS—98.3%
(Cost $73,603,011)
        85,865,416 
OTHER ASSETS IN EXCESS OF LIABILITIES—1.7%        1,505,813 
NET ASSETS—100.0%       $87,371,229 

 

 

PLC Public Limited Company
* Non-income producing.
(a) The rate shown is as of February 28, 2023.
   
  Industry classifications may be different than those used for compliance monitoring purposes.

 

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

 

18  |  Semi-Annual Report 2023

 
BOSTON PARTNERS INVESTMENT FUNDS February 28, 2023 (unaudited)
WPG PARTNERS SELECT SMALL CAP VALUE FUND Portfolio Of Investments (concluded)

 

A summary of the inputs used to value the Fund’s investments carried at fair value as of February 28, 2023 is as follows (see Notes to Portfolio of Investments):

 

   TOTAL   LEVEL 1   LEVEL 2   LEVEL 3 
Common Stock                    
Communication Services  $1,581,635   $1,581,635   $   $ 
Consumer Discretionary   4,475,315    4,475,315         
Consumer Staples   6,151,206    6,151,206         
Energy   3,543,102    3,543,102         
Financials   10,285,635    10,285,635         
Health Care   7,340,252    7,340,252         
Industrials   26,336,341    26,336,341         
Information Technology   9,441,005    9,441,005         
Materials   6,817,156    6,817,156         
Real Estate   1,939,785    1,939,785         
Short-Term Investments   7,953,984    7,953,984         
Total Assets  $85,865,416   $85,865,416   $   $ 

 

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

 

Semi-Annual Report 2023  |  19

 
BOSTON PARTNERS INVESTMENT FUNDS February 28, 2023 (unaudited)
WPG PARTNERS SMALL CAP VALUE DIVERSIFIED FUND  
(FORMERLY WPG PARTNERS SMALL/MICRO CAP VALUE FUND) Portfolio Of Investments

 

   NUMBER OF
SHARES
   VALUE 
COMMON STOCKS—94.3%          
Consumer Discretionary—4.5%          
BJ’s Restaurants, Inc.*(a)   9,242   $295,744 
Cheesecake Factory Inc., (The)(a)   6,099    228,346 
Designer Brands, Inc., Class A(a)   17,243    168,809 
Gildan Activewear, Inc.   5,932    188,341 
Hanesbrands, Inc.(a)*   30,869    175,336 
Latham Group, Inc.*   19,064    60,623 
Stride, Inc.*(a)   4,851    206,022 
Target Hospitality Corp.*(a)   6,073    90,063 
Universal Electronics, Inc.*   6,762    86,013 
         1,499,297 
Consumer Staples—4.5%          
Dole PLC   14,905    174,836 
Nomad Foods Ltd.*   16,590    297,293 
Sovos Brands, Inc.*(a)   27,698    362,013 
TreeHouse Foods, Inc.*(a)   13,369    652,273 
         1,486,415 
Energy—6.8%          
DHT Holdings, Inc.   47,712    552,028 
Earthstone Energy, Inc., Class A*(a)   13,897    193,863 
Green Plains, Inc.*(a)   8,859    307,142 
Gulfport Energy Corp.*   2,064    136,472 
NexTier Oilfield Solutions, Inc.*(a)   14,373    131,225 
Scorpio Tankers, Inc.   8,289    500,324 
SM Energy Co.(a)   13,689    403,962 
         2,225,016 
Financials—19.8%          
Ameris Bancorp(a)   7,053    337,627 
Avantax, Inc.*   10,967    313,547 
Axis Capital Holdings Ltd.   8,277    502,579 
Essent Group Ltd.   11,711    502,987 
First American Financial Corp.   2,419    137,351 
First BanCorp   20,798    301,779 
First Commonwealth Financial Corp.   28,201    451,498 
First Foundation, Inc.   11,114    167,488 
First Interstate BancSystem, Inc., Class A   8,140    289,296 
Hanover Insurance Group, Inc., (The)(a)   1,528    213,125 
HomeStreet, Inc.   6,756    170,454 
Kemper Corp.   6,477    398,983 
National Bank Holdings Corp., Class A   11,952    483,936 
Popular, Inc.(a)   6,749    481,879 
PRA Group, Inc.*(a)   8,744    372,145 
Premier Financial Corp.   13,900    344,998 
Sculptor Capital Management, Inc.   9,942    89,180 
Synovus Financial Corp.   4,996    208,883 
Triumph Financial, Inc.*   3,190    194,111 
Webster Financial Corp.   10,868    577,308 
         6,539,154 
Health Care—4.7%          
Enovis Corp.*   3,788    218,265 
Innoviva, Inc.*(a)   24,780    299,095 
Nevro Corp.*   4,251    133,651 
Pacira BioSciences, Inc.*(a)   9,282    395,135 
Patterson Cos., Inc.(a)   2,709    71,843 
   NUMBER OF
SHARES
   VALUE 
Health Care—(continued)          
Syneos Health, Inc.*   4,311   $173,388 
Tenet Healthcare Corp.*   4,614    270,057 
         1,561,434 
Industrials—23.5%          
ABM Industries, Inc.(a)   6,690    323,863 
Air Lease Corp.   7,197    311,486 
Allison Transmission Holdings, Inc.   4,300    204,250 
Altra Industrial Motion Corp.   8,965    551,616 
Arcosa, Inc.   6,991    423,655 
Argan, Inc.   8,548    332,175 
Astec Industries, Inc.   2,705    121,806 
BrightView Holdings, Inc.*(a)   10,535    66,581 
Driven Brands Holdings, Inc.*   5,558    155,485 
Frontier Group Holdings, Inc.*   9,723    114,343 
Hillman Solutions Corp.*   22,569    200,638 
ICF International, Inc.   3,847    382,738 
KBR, Inc.(a)   12,079    665,674 
Kirby Corp.*(a)   4,539    329,214 
Knight-Swift Transportation Holdings, Inc., Class A(a)   4,169    236,966 
Leonardo DRS, Inc.*   33,683    437,879 
Matthews International Corp., Class A   5,585    213,124 
Maxar Technologies, Inc.   20,256    1,043,184 
Star Bulk Carriers Corp.(a)   14,248    349,219 
Stericycle, Inc.*   2,407    114,766 
Sun Country Airlines Holdings, Inc.*   14,047    281,642 
Univar Solutions, Inc.*(a)   16,891    586,962 
XPO, Inc.*(a)   8,539    284,861 
         7,732,127 
Information Technology—7.7%          
Celestica, Inc.*   15,029    194,625 
Global Blue Group Holding AG*   7,877    55,139 
JFrog Ltd.*   12,862    295,826 
LiveRamp Holdings, Inc.*   9,568    226,092 
Mirion Technologies, Inc.*(a)   35,471    322,077 
Momentive Global, Inc.*   78,815    543,823 
NetScout Systems, Inc.*   13,336    379,276 
Rambus, Inc.*(a)   7,709    340,969 
SMART Global Holdings, Inc.*   9,791    163,510 
         2,521,337 
Materials—12.1%          
ATI, Inc.*(a)   4,931    200,445 
Axalta Coating Systems Ltd.*   11,858    353,368 
Capstone Copper Corp.*   56,570    251,653 
Commercial Metals Co.   3,007    155,612 
Constellium SE*(a)   13,676    218,679 
Ecovyst, Inc.*(a)   29,685    298,038 
Livent Corp.*(a)   8,020    188,069 
Mativ Holdings, Inc.   2,932    75,968 
O-I Glass, Inc.*(a)   3,890    86,436 
Perimeter Solutions SA*   17,609    150,733 
Piedmont Lithium, Inc.*(a)   3,816    247,658 
Stelco Holdings, Inc.   4,963    202,958 
Summit Materials, Inc., Class A*(a)   8,217    242,730 
Tronox Holdings PLC, Class A   35,329    551,132 
Valvoline, Inc.   14,208    500,122 
Warrior Met Coal, Inc.   6,633    253,845 
         3,977,446 

 

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

 

20  |  Semi-Annual Report 2023

 
BOSTON PARTNERS INVESTMENT FUNDS February 28, 2023 (unaudited)
WPG PARTNERS SMALL CAP VALUE DIVERSIFIED FUND  
(FORMERLY WPG PARTNERS SMALL/MICRO CAP VALUE FUND) Portfolio Of Investments (continued)

 

   NUMBER OF
SHARES
   VALUE 
Real Estate—5.5%          
Apple Hospitality REIT, Inc.(a)   13,475   $222,472 
Brixmor Property Group, Inc.   25,812    584,383 
Equity Commonwealth   12,348    262,148 
Getty Realty Corp.(a)   10,469    359,401 
UMH Properties, Inc.   22,874    389,087 
         1,817,491 
Utilities—5.2%          
ALLETE, Inc.   4,936    302,034 
Avista Corp.(a)   6,187    254,409 
Black Hills Corp.(a)   3,056    187,669 
NorthWestern Corp.   3,909    225,862 
Portland General Electric Co.(a)   4,452    212,806 
Southwest Gas Holdings, Inc.   4,674    294,509 
Spire, Inc.(a)   3,268    230,067 
         1,707,356 
TOTAL COMMON STOCKS
(Cost $25,484,327)
        31,067,073 
INVESTMENTS PURCHASED WITH PROCEEDS FROM SECURITIES LENDING COLLATERAL—32.9%          
Mount Vernon Liquid Assets Portfolio, LLC, 4.67%(b)   10,828,403    10,828,403 
TOTAL INVESTMENTS PURCHASED WITH PROCEEDS FROM SECURITIES LENDING COLLATERAL
(Cost $10,828,403)
        10,828,403 
   NUMBER OF
SHARES
   VALUE 
SHORT-TERM INVESTMENTS—4.8%      
U.S. Bank Money Market Deposit Account, 4.25%(b)   1,588,824   $1,588,824 
TOTAL SHORT-TERM INVESTMENTS
(Cost $1,588,824)
        1,588,824 
TOTAL INVESTMENTS—132.0%
(Cost $37,901,554)
        43,484,300 
LIABILITIES IN EXCESS OF OTHER ASSETS—(32.0)%        (10,542,430)
NET ASSETS—100.0%       $32,941,870 

 

 

PLC Public Limited Company
REIT Real Estate Investment Trust
* Non-income producing.
(a) All or a portion of the security is on loan. At February 28, 2023, the market value of securities on loan was $10,551,262.
(b) The rate shown is as of February 28, 2023.
   
  Industry classifications may be different than those used for compliance monitoring purposes.

 

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

 

Semi-Annual Report 2023  |  21

 
BOSTON PARTNERS INVESTMENT FUNDS February 28, 2023 (unaudited)
WPG PARTNERS SMALL CAP VALUE DIVERSIFIED FUND  
(FORMERLY WPG PARTNERS SMALL/MICRO CAP VALUE FUND) Portfolio Of Investments (concluded)

 

A summary of the inputs used to value the Fund’s investments carried at fair value as of February 28, 2023 is as follows (see Notes to Portfolio of Investments):

 

   TOTAL   LEVEL 1   LEVEL 2   LEVEL 3   INVESTMENTS
MEASURED
AT NET
ASSET VALUE*
 
Common Stock                         
Consumer Discretionary  $1,499,297   $1,499,297   $   $   $ 
Consumer Staples   1,486,415    1,486,415             
Energy   2,225,016    2,225,016             
Financials   6,539,154    6,539,154             
Health Care   1,561,434    1,561,434             
Industrials   7,732,127    7,732,127             
Information Technology   2,521,337    2,521,337             
Materials   3,977,446    3,977,446             
Real Estate   1,817,491    1,817,491             
Utilities   1,707,356    1,707,356             
Investments Purchased with Proceeds from Securities Lending Collateral   10,828,403                10,828,403 
Short-Term Investments   1,588,824    1,588,824             
Total Assets  $43,484,300   $32,655,897   $   $   $10,828,403 

 

* Certain investments that are measured at fair value using the net asset value per share (or its equivalent) practical expedient have not been categorized in the fair value hierarchy included to reconcile to the amounts presented in the Portfolio of Investments.

 

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

 

22  |  Semi-Annual Report 2023

 
BOSTON PARTNERS INVESTMENT FUNDS February 28, 2023 (unaudited)
BOSTON PARTNERS GLOBAL SUSTAINABILITY FUND Portfolio Of Investments

 

   NUMBER OF
SHARES
   VALUE 
COMMON STOCKS—95.5%          
Austria—1.6%          
ANDRITZ AG   4,234   $261,272 
Verbund AG   1,320    114,157 
         375,429 
Belgium—1.4%          
Azelis Group NV   12,609    319,272 
Bermuda—1.6%          
Everest Re Group Ltd.   937    359,780 
Denmark—0.4%          
DSV A/S   552    100,302 
Finland—2.1%          
Nordea Bank Abp   33,221    420,984 
Sampo Oyj, Class A   1,114    54,230 
         475,214 
France—10.8%          
Airbus SE   3,663    479,744 
Capgemini SE   803    150,591 
Eiffage SA   1,625    178,342 
Imerys SA   1,361    60,393 
Kering SA   282    165,342 
Legrand SA   2,763    255,210 
Rexel SA   21,120    524,991 
Sanofi   1,909    178,488 
SPIE SA   8,483    232,578 
TotalEnergies SE   4,326    266,932 
         2,492,611 
Germany—6.0%          
Brenntag SE   3,043    229,208 
Deutsche Telekom AG   18,196    408,373 
Rheinmetall AG   1,721    437,439 
Siemens AG   2,016    307,221 
         1,382,241 
Greece—1.2%          
Hellenic Telecommunications Organization SA   18,566    284,803 
Ireland—1.3%          
ICON PLC*   1,313    296,252 
Japan—8.2%          
Asahi Group Holdings Ltd.   7,700    272,305 
IHI Corp.   13,800    358,371 
Renesas Electronics Corp.*   36,200    467,613 
Sony Group Corp.   3,400    284,296 
Subaru Corp.   5,700    91,321 
Sumitomo Mitsui Financial Group, Inc.   9,700    423,637 
         1,897,543 
Netherlands—4.9%          
Aalberts NV   4,300    209,029 
ING Groep NV   29,432    411,903 
Koninklijke Ahold Delhaize NV   13,634    432,904 
Stellantis NV   5,053    88,071 
         1,141,907 
Norway—0.8%          
Norsk Hydro ASA   25,115    182,806 
Sweden—1.9%          
Svenska Handelsbanken AB, Class A   42,143    447,009 
   NUMBER OF
SHARES
   VALUE 
Switzerland—3.6%          
STMicroelectronics NV   6,486   $310,689 
Swiss Re AG   1,053    110,005 
UBS Group AG*   19,430    422,316 
         843,010 
United Kingdom—8.6%          
BAE Systems PLC   10,528    113,704 
Coca-Cola European Partners PLC   3,351    184,305 
Informa PLC   30,281    243,249 
JD Sports Fashion PLC   179,175    390,094 
NatWest Group PLC   87,433    307,147 
Nomad Foods Ltd.*   10,090    180,813 
RS GROUP PLC   10,435    122,695 
Shell PLC   8,904    269,687 
Tesco PLC   61,976    189,856 
         2,001,550 
United States—41.1%          
AbbVie, Inc.   2,430    373,977 
Advanced Micro Devices, Inc.*   1,884    148,045 
Alphabet, Inc., Class A*   3,579    322,325 
AmerisourceBergen Corp.   1,211    188,383 
AMETEK, Inc.   2,209    312,706 
Amgen, Inc.   675    156,370 
Applied Materials, Inc.   1,691    196,410 
AutoZone, Inc.*   91    226,275 
Axalta Coating Systems Ltd.*   8,414    250,737 
Booking Holdings, Inc.*   165    416,460 
Cigna Corp.   1,733    506,209 
Cisco Systems, Inc.   7,503    363,295 
Concentrix Corp.   449    61,441 
Corteva, Inc.   4,592    286,036 
CVS Health Corp.   5,690    475,343 
Dollar General Corp.   269    58,185 
Elevance Health, Inc.   474    222,624 
Expedia Group, Inc.*   1,949    212,383 
FMC Corp.   1,287    166,216 
Gen Digital, Inc.   5,566    108,593 
Goldman Sachs Group, Inc., (The)   195    68,572 
Halliburton Co.   9,415    341,105 
Humana, Inc.   1,053    521,256 
Huntington Bancshares, Inc.   21,796    333,915 
Johnson & Johnson   2,144    328,589 
JPMorgan Chase & Co.   3,199    458,577 
KeyCorp   18,813    344,090 
Microchip Technology, Inc.   4,039    327,280 
Oracle Corp.   2,258    197,349 
QUALCOMM, Inc.   369    45,583 
Schlumberger Ltd.   6,491    345,386 
Science Applications International Corp.   1,107    118,050 
TE Connectivity Ltd.   1,649    209,951 
UnitedHealth Group, Inc.   461    219,408 
US Foods Holding Corp.*   7,989    299,827 
Zimmer Biomet Holdings, Inc.   2,596    321,566 
         9,532,517 
TOTAL COMMON STOCKS
(Cost $20,512,004)
        22,132,246 

 

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

 

Semi-Annual Report 2023  |  23

 
BOSTON PARTNERS INVESTMENT FUNDS February 28, 2023 (unaudited)
BOSTON PARTNERS GLOBAL SUSTAINABILITY FUND Portfolio Of Investments (continued)

 

   NUMBER OF
SHARES
   VALUE 
SHORT-TERM INVESTMENTS—4.8%          
U.S. Bank Money Market Deposit Account, 4.25%(a)   1,112,163   $1,112,163 
TOTAL SHORT-TERM INVESTMENTS
(Cost $1,112,163)
        1,112,163 
TOTAL INVESTMENTS—100.3%
(Cost $21,624,167)
        23,244,409 
LIABILITIES IN EXCESS OF OTHER ASSETS—(0.3)%        (77,509)
NET ASSETS—100.0%       $23,166,900 

 

 
PLC Public Limited Company
* Non-income producing.
(a) The rate shown is as of February 28, 2023.

 

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

 

24  |  Semi-Annual Report 2023

 
BOSTON PARTNERS INVESTMENT FUNDS February 28, 2023 (unaudited)
BOSTON PARTNERS GLOBAL SUSTAINABILITY FUND Portfolio Of Investments (concluded)

 

A summary of the inputs used to value the Fund’s investments carried at fair value as of February 28, 2023 is as follows (see Notes to Portfolio of Investments):

 

   TOTAL   LEVEL 1   LEVEL 2   LEVEL 3 
Common Stock                    
Austria  $375,429   $   $375,429   $ 
Belgium   319,272        319,272     
Bermuda   359,780    359,780         
Denmark   100,302        100,302     
Finland   475,214        475,214     
France   2,492,611        2,492,611     
Germany   1,382,241        1,382,241     
Greece   284,803        284,803     
Ireland   296,252    296,252         
Japan   1,897,543        1,897,543     
Netherlands   1,141,907        1,141,907     
Norway   182,806        182,806     
Sweden   447,009        447,009     
Switzerland   843,010        843,010     
United Kingdom   2,001,550    365,118    1,636,432     
United States   9,532,517    9,532,517         
Short-Term Investments   1,112,163    1,112,163         
Total Assets  $23,244,409   $11,665,830   $11,578,579   $ 

 

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

 

Semi-Annual Report 2023  |  25

 
BOSTON PARTNERS INVESTMENT FUNDS February 28, 2023 (unaudited)
BOSTON PARTNERS GLOBAL EQUITY FUND Portfolio Of Investments

 

   NUMBER OF
SHARES
   VALUE 
COMMON STOCKS—97.2%          
Bermuda—3.6%          
Everest Re Group Ltd.   10,027   $3,850,067 
RenaissanceRe Holdings Ltd.   14,936    3,209,747 
         7,059,814 
Canada—1.6%          
Cenovus Energy, Inc.   176,052    3,246,221 
Denmark—0.5%          
DSV A/S   5,364    974,672 
Finland—1.3%          
Nordea Bank Abp   208,373    2,640,551 
France—10.0%          
Airbus SE   19,624    2,570,160 
Capgemini SE   8,375    1,570,612 
Cie de Saint-Gobain   15,862    942,561 
Eiffage SA   24,720    2,712,993 
Kering SA   2,394    1,403,649 
Rexel SA   129,399    3,216,536 
Sanofi   34,941    3,266,917 
TotalEnergies SE   67,805    4,183,845 
         19,867,273 
Germany—6.7%          
Brenntag SE   25,073    1,888,575 
Daimler Truck Holding AG*   40,961    1,297,400 
Deutsche Telekom AG   129,166    2,898,875 
Rheinmetall AG   13,924    3,539,160 
Siemens AG   23,778    3,623,567 
         13,247,577 
Greece—0.3%          
Hellenic Telecommunications Organization SA   44,264    679,010 
Ireland—3.2%          
CRH PLC   61,179    2,877,976 
Flutter Entertainment PLC*   12,722    2,033,122 
Ryanair Holdings PLC*   91,557    1,425,796 
         6,336,894 
Italy—0.6%          
Enel SpA   204,821    1,148,953 
Japan—7.0%          
Asahi Group Holdings Ltd.   35,000    1,237,752 
Fuji Corp.   6,200    93,900 
Hitachi Ltd.   14,300    723,837 
Honda Motor Co., Ltd.   35,900    933,514 
IHI Corp.   52,800    1,371,158 
Mitsubishi Heavy Industries Ltd.   34,800    1,282,368 
Renesas Electronics Corp.*   204,900    2,646,795 
Sony Group Corp.   30,400    2,541,941 
Subaru Corp.   88,700    1,421,084 
Sumitomo Mitsui Financial Group, Inc.   38,100    1,663,974 
         13,916,323 
Netherlands—5.4%          
Aalberts NV   31,300    1,521,534 
ING Groep NV   178,984    2,504,897 
Koninklijke Ahold NV   74,523    2,366,241 
NXP Semiconductors NV   3,619    645,919 
Stellantis NV   205,739    3,585,895 
         10,624,486 
Norway—0.8%          
Norsk Hydro ASA   226,454    1,648,306 
   NUMBER OF
SHARES
   VALUE 
Singapore—1.8%          
Genting Singapore Ltd.   1,263,200   $955,577 
United Overseas Bank Ltd.   117,600    2,606,679 
         3,562,256 
Sweden—1.8%          
Loomis AB   31,223    1,008,903 
Svenska Handelsbanken AB, Class A   230,632    2,446,305 
         3,455,208 
Switzerland—3.0%          
Glencore PLC*   671,181    4,001,486 
STMicroelectronics NV   38,097    1,824,903 
         5,826,389 
United Kingdom—11.3%          
AstraZeneca PLC   7,085    923,019 
BP PLC   104,259    685,140 
Coca-Cola Europacific Partners PLC(a)   39,212    2,156,660 
Future PLC   39,567    665,944 
IMI PLC   102,829    1,922,718 
Inchcape PLC   195,539    2,137,792 
JD Sports Fashion PLC   1,239,435    2,698,455 
NatWest Group PLC   571,133    2,006,356 
Nomad Foods Ltd.*   39,920    715,366 
Shell PLC   135,609    4,107,371 
SSE PLC   42,939    898,668 
Tesco PLC   803,860    2,462,531 
WH Smith PLC   52,336    996,883 
         22,376,903 
United States—38.3%          
AbbVie, Inc.   13,807    2,124,897 
Allstate Corp., (The)(a)   8,987    1,157,346 
Amgen, Inc.   8,216    1,903,318 
Applied Materials, Inc.(a)   6,637    770,887 
AutoZone, Inc.*(a)   224    556,985 
Axalta Coating Systems Ltd.*   21,292    634,502 
Bank of America Corp.   44,555    1,528,236 
Bristol-Myers Squibb Co.   44,559    3,072,789 
Centene Corp.*   25,254    1,727,374 
Chubb Ltd.   12,701    2,680,165 
Cigna Corp., (The)   11,568    3,379,013 
Cisco Systems, Inc.   51,622    2,499,537 
Concentrix Corp.(a)   16,115    2,205,177 
Corteva, Inc.(a)   24,335    1,515,827 
CVS Health Corp.   35,023    2,925,821 
Diamondback Energy, Inc.(a)   4,924    692,216 
Discover Financial Services   14,264    1,597,568 
Elevance Health, Inc.   5,235    2,458,722 
Entergy Corp.   7,311    752,083 
Fifth Third Bancorp   39,880    1,447,644 
FleetCor Technologies, Inc.*   7,568    1,625,531 
Gen Digital, Inc.   62,841    1,226,028 
Goldman Sachs Group, Inc., (The)   6,210    2,183,746 
Halliburton Co.(a)   29,058    1,052,771 
HCA Healthcare, Inc.   5,841    1,421,991 
Humana, Inc.   5,243    2,595,390 
Huntington Bancshares, Inc.   97,927    1,500,242 
Johnson & Johnson   9,749    1,494,132 
JPMorgan Chase & Co.   13,209    1,893,510 
KeyCorp(a)   78,271    1,431,577 

 

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

 

26  |  Semi-Annual Report 2023

 
BOSTON PARTNERS INVESTMENT FUNDS February 28, 2023 (unaudited)
BOSTON PARTNERS GLOBAL EQUITY FUND Portfolio Of Investments (continued)

 

   NUMBER OF
SHARES
   VALUE 
United States—(continued)          
Leidos Holdings, Inc.   8,823   $856,449 
LKQ Corp.   17,154    982,753 
Marathon Petroleum Corp.   8,590    1,061,724 
McKesson Corp.(a)   4,978    1,741,354 
Nexstar Media Group, Inc., Class A   15,277    2,839,994 
Oracle Corp.(a)   16,438    1,436,681 
Pioneer Natural Resources Co.(a)   3,142    629,688 
QUALCOMM, Inc.   5,958    735,992 
Schlumberger Ltd.   20,303    1,080,323 
Science Applications International Corp.   17,054    1,818,638 
TE Connectivity Ltd.(a)   9,923    1,263,396 
Textron, Inc.   21,290    1,544,164 
T-Mobile US, Inc.*   9,859    1,401,753 
United Rentals, Inc.   3,058    1,432,765 
UnitedHealth Group, Inc.   3,824    1,819,995 
Valvoline, Inc.(a)   33,355    1,174,096 
Wells Fargo & Co.   39,921    1,867,105 
         75,741,895 
TOTAL COMMON STOCKS
(Cost $155,598,213)
        192,352,731 
INVESTMENTS PURCHASED WITH PROCEEDS FROM SECURITIES LENDING COLLATERAL—6.6%          
Mount Vernon Liquid Assets Portfolio, LLC, 4.67%(b)   13,101,734    13,101,734 
TOTAL INVESTMENTS PURCHASED WITH PROCEEDS FROM SECURITIES LENDING COLLATERAL
(Cost $13,101,734)
        13,101,734 
   NUMBER OF
SHARES
   VALUE 
SHORT-TERM INVESTMENTS—3.0%          
Tri-State Deposit, 4.45%(b)   5,060,222   $5,060,222 
U.S. Bank Money Market Deposit Account, 4.25%(b)   856,629    856,629 
TOTAL SHORT-TERM INVESTMENTS
(Cost $5,916,851)
        5,916,851 
TOTAL INVESTMENTS—106.8%
(Cost $174,616,798)
        211,371,316 
LIABILITIES IN EXCESS OF OTHER ASSETS—(6.8)%        (13,415,946)
NET ASSETS—100.0%       $197,955,370 

 

 

PLC Public Limited Company
* Non-income producing.
(a) All or a portion of the security is on loan. At February 28, 2023, the market value of securities on loan was $12,771,352.
(b) The rate shown is as of February 28, 2023.

 

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

 

Semi-Annual Report 2023  |  27

 
BOSTON PARTNERS INVESTMENT FUNDS February 28, 2023 (unaudited)
BOSTON PARTNERS GLOBAL EQUITY FUND Portfolio Of Investments (concluded)

 

A summary of the inputs used to value the Fund’s investments carried at fair value as of February 28, 2023 is as follows (see Notes to Portfolio of Investments):

 

   TOTAL   LEVEL 1   LEVEL 2   LEVEL 3   INVESTMENTS
MEASURED
AT NET
ASSET VALUE*
 
Common Stock                         
Bermuda  $7,059,814   $7,059,814   $   $   $ 
Canada   3,246,221    3,246,221             
Denmark   974,672        974,672         
Finland   2,640,551        2,640,551         
France   19,867,273        19,867,273         
Germany   13,247,577        13,247,577         
Greece   679,010        679,010         
Ireland   6,336,894        6,336,894         
Italy   1,148,953        1,148,953         
Japan   13,916,323        13,916,323         
Netherlands   10,624,486    645,919    9,978,567         
Norway   1,648,306        1,648,306         
Singapore   3,562,256        3,562,256         
Sweden   3,455,208        3,455,208         
Switzerland   5,826,389        5,826,389         
United Kingdom   22,376,903    2,872,026    19,504,877         
United States   75,741,895    75,741,895             
Investments Purchased with Proceeds from Securities Lending Collateral   13,101,734                13,101,734 
Short-Term Investments   5,916,851    856,629    5,060,222         
Total Assets  $211,371,316   $90,422,504   $107,847,078   $   $13,101,734 

 

* Certain investments that are measured at fair value using the net asset value per share (or its equivalent) practical expedient have not been categorized in the fair value hierarchy to the amounts presented in the Portfolio of Investments.

 

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

 

28  |  Semi-Annual Report 2023

 
BOSTON PARTNERS INVESTMENT FUNDS February 28, 2023 (unaudited)
BOSTON PARTNERS EMERGING MARKETS FUND Portfolio Of Investments

 

   NUMBER OF
SHARES
   VALUE 
COMMON STOCKS—84.0%          
Austria—0.7%          
Erste Group Bank AG   1,695   $66,534 
Raiffeisen Bank International AG   4,738    79,103 
         145,637 
Brazil—7.7%          
Banco do Brasil SA*   113,700    876,729 
Cielo SA*   207,000    190,574 
Eletromidia SA*   129,376    322,238 
Localiza Rent a Car SA*   63    669 
Minerva SA   20,300    44,086 
Sendas Distribuidora SA*   64,400    223,136 
         1,657,432 
Chile—0.1%          
Banco Santander Chile - ADR   1,447    24,281 
China—13.9%          
Alibaba Group Holding Ltd.*   18,900    207,738 
Alibaba Group Holding Ltd. - SP ADR*   2,346    205,955 
China State Construction Engineering Corp., Ltd., Class A   303,200    245,639 
Fufeng Group Ltd.   103,000    66,051 
JD.com, Inc., Class A   305    6,775 
JD.com, Inc. - ADR   3,901    173,360 
Meituan, Class B*   420    7,289 
Muyuan Foodstuff Co., Ltd., Class A    35,300    251,649 
PDD Holdings, Inc. - ADR*   4,778    419,174 
Proya Cosmetics Co., Ltd., Class A    12,600    331,363 
Rianlon Corp., Class A   15,700    115,744 
Tech-Bank Food Co., Ltd., Class A   276,778    242,230 
Tencent Holdings Ltd.   4,200    184,499 
Trip.com Group Ltd. - ADR*   6,079    216,109 
Xiamen Xiangyu Co., Ltd., Class A   32,100    52,728 
YTO Express Group Co., Ltd., Class A   19,800    51,797 
YTO Express Group Co., Ltd., Class A   85,197    222,876 
         3,000,976 
Greece—1.0%          
Hellenic Telecommunications Organization SA   7,058    108,270 
JUMBO SA   5,689    113,597 
         221,867 
Hungary—0.3%          
Richter Gedeon Nyrt   2,632    55,171 
India—14.7%          
Apollo Tyres Ltd.   27,658    104,744 
Bajaj Auto Ltd.   3,384    149,767 
Bank of Baroda   325,678    625,602 
Bharti Airtel Ltd.   12,294    110,305 
Bharti Airtel Ltd.   1,797    7,861 
IDFC First Bank Ltd.*   288,533    192,257 
Indian Hotels Co., Ltd.   65,502    245,991 
ITC Ltd.   118,400    539,276 
Mahindra & Mahindra Ltd.   19,107    293,160 
Maruti Suzuki India Ltd.   3,314    345,372 
PB Fintech Ltd.*   33,184    223,759 
Phoenix Mills Ltd., (The)   3,351    56,032 
Power Grid Corp. of India Ltd.   94,219    253,101 
Reliance Industries Ltd. - SP GDR   575    32,309 
         3,179,536 
   NUMBER OF
SHARES
   VALUE 
Indonesia—4.1%          
Bank Central Asia Tbk PT   737,600   $423,042 
Bank Mandiri Persero Tbk PT   480,800    315,189 
Bank Negara Indonesia Persero Tbk PT   261,300    150,281 
         888,512 
Israel—2.5%          
Inmode Ltd.*   11,630    410,655 
Mizrahi Tefahot Bank Ltd.   4,353    129,445 
         540,100 
Japan—2.0%          
Suzuki Motor Corp.   12,000    421,093 
Mexico—8.1%          
Arca Continental SAB de CV   14,100    119,426 
Coca-Cola Femsa SAB de CV - SP ADR   1,563    112,552 
Coca-Cola Femsa SAB de CV   7,690    55,580 
Grupo Aeroportuario del Centro Norte SAB de CV - ADR   2,405    187,566 
Grupo Aeroportuario del Pacifico SAB de CV - ADR   2,563    487,175 
Grupo Aeroportuario del Sureste SAB de CV - ADR   524    149,958 
Grupo Bimbo SAB de CV, Class A   35,400    168,772 
Grupo Comercial Chedraui SA de CV   8,400    42,697 
Grupo Financiero Banorte SAB de CV, Class O   51,200    433,409 
         1,757,135 
Poland—0.7%          
Dino Polska SA*   1,837    153,359 
Russia—0.0%          
Fix Price Group PLC - GDR*†   5,934    0 
HeadHunter Group PLC - ADR†   3,106    0 
Magnit PJSC*†   2,995    0 
Sberbank of Russia PJSC - SP ADR*†   9,522    0 
         0 
Singapore—4.8%          
DBS Group Holdings Ltd.   31,056    787,926 
United Overseas Bank Ltd.   11,600    257,121 
         1,045,047 
South Africa—1.0%          
Aspen Pharmacare Holdings Ltd.   7,850    60,616 
Life Healthcare Group Holdings Ltd.    28,783    30,690 
Shoprite Holdings Ltd.   9,831    119,046 
         210,352 
South Korea—7.7%          
Hankook Tire & Technology Co., Ltd.   2,708    76,175 
HL Mando Co., Ltd.   4,439    158,993 
Hyundai Mobis Co., Ltd.   1,629    261,656 
JYP Entertainment Corp.   824    48,941 
KT&G Corp.   1,576    105,756 
LIG Nex1 Co., Ltd.   2,213    124,828 
Orion Corp.   1,063    100,479 
SK Hynix, Inc.   11,755    794,459 
         1,671,287 


 

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

 

Semi-Annual Report 2023  |  29

 
BOSTON PARTNERS INVESTMENT FUNDS February 28, 2023 (unaudited)
BOSTON PARTNERS EMERGING MARKETS FUND Portfolio Of Investments (continued)

 

   NUMBER OF
SHARES
   VALUE 
Taiwan—4.6%          
Accton Technology Corp.   50,000   $457,911 
Delta Electronics, Inc.   23,000    215,182 
Lotes Co., Ltd.   2,115    59,412 
Nanya Technology Corp.   91,000    173,220 
Wiwynn Corp.   3,000    94,072 
         999,797 
Thailand—5.5%          
AP Thailand PCL - NVDR   491,400    172,344 
Bangkok Dusit Medical Services PCL†   250,700    198,624 
Bumrungrad Hospital PCL†   25,800    154,035 
Kiatnakin Phatra Bank PCL - NVDR   194,200    366,626 
Supalai PCL - NVDR   445,600    287,412 
         1,179,041 
United Kingdom—1.2%          
Pepco Group NV*   25,360    251,204 
United States—3.4%          
Coupang, Inc.*   46,900    727,419 
TOTAL COMMON STOCKS
(Cost $18,118,623)
        18,129,246 
PREFERRED STOCKS—1.0%          
Brazil—0.8%          
Itau Unibanco Holding SA, Class H - SP ADR 3.930%   35,184    169,235 
South Korea—0.2%          
Samsung Electronics Co., Ltd. 2.706%   1,003    40,445 
TOTAL PREFERRED STOCKS
(Cost $202,422)
        209,680 
EXCHANGE TRADED FUNDS—0.0%          
Thailand—0.0%          
Jasmine Broadband Internet Infrastructure Fund   49,100    11,393 
TOTAL EXCHANGE TRADED FUNDS
(Cost $16,928)
        11,393 
   NUMBER OF
SHARES
   VALUE 
SHORT-TERM INVESTMENTS—16.0%          
Tri-State Deposit, 4.45%(a)   2,517,197   $2,517,197 
U.S. Bank Money Market Deposit Account, 4.25%(a)   925,313    925,313 
TOTAL SHORT-TERM INVESTMENTS
(Cost $3,442,510)
        3,442,510 
TOTAL INVESTMENTS—101.0%
(Cost $21,780,483)
        21,792,829 
LIABILITIES IN EXCESS OF OTHER ASSETS—(1.0)%        (215,989)
NET ASSETS—100.0%       $21,576,840 

 

 
ADR American Depositary Receipt
GDR Global Depositary Receipt
NVDR Non-voting Depository Receipt
PLC Public Limited Company
SP ADR Sponsored American Depositary Receipt
SP GDR Sponsored Global Depositary Receipt
* Non-income producing.
(a) The rate shown is as of February 28, 2023.
Security has been valued at fair market value using significant unobservable inputs as determined in good faith by Boston Partners, as valuation designee, under the oversight of The RBB Fund, Inc.’s Board of Directors. As of February 28, 2023, these securities amounted to $352,659 or 1.6% of net assets.


 

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

 

30  |  Semi-Annual Report 2023

 
BOSTON PARTNERS INVESTMENT FUNDS February 28, 2023 (unaudited)
BOSTON PARTNERS EMERGING MARKETS FUND Portfolio Of Investments (continued)

 

Contracts For Difference held by the Fund at February 28, 2023, are as follows:

 

REFERENCE
COMPANY
    COUNTERPARTY    EXPIRATION
DATE
    FINANCING
RATE
    PAYMENT
FREQUENCY
    NUMBER OF
CONTRACTS
LONG/
(SHORT)
    NOTIONAL
AMOUNT
    UNREALIZED
APPRECIATION
(DEPRECIATION)
Long                             
China                             
Petpal Pet Nutrition Technology Co., Ltd., Class A  Goldman Sachs  01/05/2026   0.00%       Termination   36,956   $104,540   $11,746 
Wens Foodstuffs Group Co., Ltd., Class A  Goldman Sachs  02/09/2026   0.00   Termination   151,186    431,158    (33,522)
                       535,698    (21,776)
Portugal                             
Jeronimo Martins  Goldman Sachs  12/08/2025   2.40   Termination   18,619    382,443    (20,136)
Russia                             
Detsky Mir PJSC  Goldman Sachs  09/18/2025   4.58   Monthly   117,900        (179,468)
Total Long                      918,141    (221,380)
Net unrealized gain/(loss) on Contracts For Difference                   $(221,380)

 

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

 

Semi-Annual Report 2023  |  31

 
BOSTON PARTNERS INVESTMENT FUNDS February 28, 2023 (unaudited)
BOSTON PARTNERS EMERGING MARKETS FUND Portfolio Of Investments (concluded)

 

A summary of the inputs used to value the Fund’s investments carried at fair value as of February 28, 2023 is as follows (see Notes to Portfolio of Investments):

 

   TOTAL   LEVEL 1   LEVEL 2   LEVEL 3 
Common Stock                    
Austria  $145,637   $   $145,637   $ 
Brazil   1,657,432    1,657,432         
Chile   24,281    24,281         
China   3,000,976    1,014,598    1,986,378     
Greece   221,867        221,867     
Hungary   55,171        55,171     
India   3,179,536        3,179,536     
Indonesia   888,512        888,512     
Israel   540,100    410,655    129,445     
Japan   421,093        421,093     
Mexico   1,757,135    1,757,135         
Poland   153,359        153,359     
Russia               
Singapore   1,045,047        1,045,047     
South Africa   210,352        210,352     
South Korea   1,671,287        1,671,287     
Taiwan   999,797        999,797     
Thailand   1,179,041        826,382    352,659 
United Kingdom   251,204        251,204     
United States   727,419    727,419         
Preferred Stock                    
Brazil   169,235    169,235         
South Korea   40,445        40,445     
Exchange Traded Funds                    
Thailand   11,393    11,393         
Short-Term Investments   3,442,510    925,313    2,517,197     
Contracts For Difference                    
Equity Contracts   11,746    11,746         
Total Assets  $21,804,575   $6,709,207   $14,742,709   $352,659 
                     
   TOTAL   LEVEL 1   LEVEL 2   LEVEL 3 
Contracts For Difference                    
Equity Contracts  $(233,126)  $(53,658)  $   $(179,468)
Total Liabilities  $(233,126)  $(53,658)  $   $(179,468)

 

* Value equals zero as of the end of the reporting period.

 

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

 

32  |  Semi-Annual Report 2023

 
BOSTON PARTNERS INVESTMENT FUNDS February 28, 2023 (unaudited)
BOSTON PARTNERS LONG/SHORT EQUITY FUND Portfolio Of Investments

 

   NUMBER OF
SHARES
   VALUE 
LONG POSITIONS—114.0%          
COMMON STOCKS—94.0%          
Communication Services—6.4%          
Activision Blizzard, Inc.#   2,783   $212,204 
Alphabet, Inc., Class A*†   8,379    754,613 
Baidu, Inc., Class A*   54,048    929,265 
Entravision Communications Corp., Class A†   207,858    1,363,548 
Grindr, Inc.*   54,246    349,886 
Nexstar Media Group, Inc., Class A(a)   4,613    857,557 
         4,467,073 
Consumer Discretionary—10.0%          
Alibaba Group Holding Ltd.*   27,504    302,309 
Arcos Dorados Holdings, Inc., Class A   137,337    1,134,402 
Bowlero Corp.*(a)   22,805    350,741 
Carriage Services, Inc.†   16,151    547,842 
Cavco Industries, Inc.*   1,704    485,640 
JD.com, Inc., Class A   22,086    490,970 
Las Vegas Sands Corp.*(a)   4,937    283,729 
LKQ Corp.†   12,095    692,923 
Perdoceo Education Corp.*†   42,606    587,324 
Skechers U.S.A., Inc., Class A*†   5,929    263,900 
Stellantis NV(a)   23,937    419,376 
Stride, Inc.*†   29,223    1,241,101 
Torrid Holdings, Inc.*(a)   60,561    165,331 
         6,965,588 
Consumer Staples—2.0%          
British American Tobacco PLC - SP ADR   11,364    432,514 
Coca-Cola European Partners PLC(a)   7,116    391,380 
Vector Group Ltd.†   41,853    555,389 
         1,379,283 
Energy—6.8%          
BP PLC - SP ADR   22,534    892,346 
Canadian Natural Resources Ltd.   25,023    1,414,050 
Devon Energy Corp.(a)   3,712    200,151 
Marathon Petroleum Corp.†   8,325    1,028,970 
Schlumberger Ltd.   7,760    412,909 
VAALCO Energy, Inc.(a)   35,007    164,183 
Vitesse Energy, Inc.(a)   18,940    329,367 
World Fuel Services Corp.(a)   11,218    307,934 
         4,749,910 
Financials—17.4%          
American International Group, Inc.†   9,924    606,456 
Bank of America Corp.†   20,845    714,983 
Bank OZK(a)†   11,762    541,405 
BGC Partners, Inc., Class A†   226,149    1,099,084 
Charles Schwab Corp., (The)   8,044    626,788 
Citigroup, Inc.(a)†   12,182    617,506 
Crawford & Co., Class A†   32,418    178,947 
Evercore, Inc., Class A(a)   2,895    379,766 
Fairfax Financial Holdings Ltd.   1,695    1,184,941 
Intercorp Financial Services, Inc.   12,682    302,212 
Jefferies Financial Group, Inc.   26,471    1,000,339 
KB Financial Group, Inc. - ADR*   12,874    496,035 
OP Bancorp   15,191    171,203 
PCB Bancorp   20,111    367,227 
Prudential Financial, Inc.(a)   2,964    296,400 
   NUMBER OF
SHARES
   VALUE 
Financials—(continued)          
Reinsurance Group of America, Inc.    3,591   $518,792 
Stifel Financial Corp.†   16,347    1,092,470 
Wells Fargo & Co.   18,841    881,194 
Western Alliance Bancorp(a)†   6,597    489,761 
Willis Towers Watson PLC   2,168    508,092 
         12,073,601 
Health Care—21.0%          
Amgen, Inc.†   2,936    680,154 
Bristol-Myers Squibb Co.   12,680    874,413 
Catalyst Pharmaceuticals, Inc.*†   54,923    838,125 
Centene Corp.*†   6,059    414,436 
Cigna Corp.†   3,108    907,847 
CVS Health Corp.†   12,497    1,043,999 
Elevance Health, Inc.†   2,600    1,221,142 
Harrow Health, Inc.*†   36,032    645,693 
HCA Healthcare, Inc.   3,851    937,526 
Henry Schein, Inc.*   8,125    636,269 
Inmode Ltd.*#   11,480    405,359 
Jazz Pharmaceuticals PLC*   2,210    310,284 
Johnson & Johnson†   6,071    930,441 
Lantheus Holdings, Inc.*(a)   9,552    706,466 
Medtronic PLC†   8,535    706,698 
Merck & Co., Inc.   5,363    569,765 
Novartis AG - SP ADR(a)Ɨ   10,497    883,008 
Quipt Home Medical Corp.*   62,952    395,338 
UnitedHealth Group, Inc.†   1,357    645,850 
Universal Health Services, Inc., Class BƗ   6,219    830,672 
         14,583,485 
Industrials—10.7%          
Acuity Brands, Inc.(a)   1,832    355,335 
Barrett Business Services, Inc.†   9,366    898,949 
Builders FirstSource, Inc.*(a)†#   9,761    827,537 
CACI International, Inc., Class A*   1,709    500,737 
Euroseas Ltd.(a)   14,723    283,565 
Forward Air Corp.(a)   2,678    276,396 
Galliford Try Holdings PLC   133,023    280,011 
Gibraltar Industries, Inc.*   5,494    293,434 
Global Industrial Co.†   8,567    240,990 
Graham Corp.*†   16,965    243,617 
Heidrick & Struggles International, Inc.†   5,251    180,267 
Kelly Services, Inc., Class A†   13,697    229,151 
Korn Ferry(a)   5,731    320,306 
L B Foster Co., Class A*   16,718    210,145 
Quanta Services, Inc.†   2,942    474,839 
Ryanair Holdings PLC - SP ADR*(a)   5,119    474,890 
Sterling Infrastructure, Inc.*   8,702    334,679 
UFP Industries, Inc.(a)   6,358    543,800 
V2X, Inc.*   9,511    441,025 
         7,409,673 
Information Technology—13.9%          
Arrow Electronics, Inc.*   2,190    258,398 
Box, Inc., Class A*(a)   10,620    354,177 
Capgemini SE - ADR†   7,040    263,859 
Check Point Software Technologies Ltd.*   7,186    889,052 
Cisco Systems, Inc.   13,691    662,918 
Cognizant Technology Solutions Corp., Class A†   11,531    722,187 


 

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

 

Semi-Annual Report 2023  |  33

 
BOSTON PARTNERS INVESTMENT FUNDS February 28, 2023 (unaudited)
BOSTON PARTNERS LONG/SHORT EQUITY FUND Portfolio Of Investments (continued)

 

   NUMBER OF
SHARES
   VALUE 
Information Technology—(continued)          
Concentrix Corp.†   2,004   $274,227 
DocuSign, Inc.*#   6,699    410,984 
Dropbox, Inc., Class A*†   18,459    376,564 
Fabrinet*†   1,666    203,035 
FleetCor Technologies, Inc.*   2,461    528,598 
Genpact Ltd.   9,000    429,570 
Hackett Group, Inc., (The)   26,936    502,087 
InterDigital, Inc.   7,098    518,083 
Nano Dimension Ltd. - ADR*(a)   54,344    159,771 
Open Text Corp.†   10,525    361,850 
Oracle Corp.(a)†   7,649    668,523 
QUALCOMM, Inc.   6,658    822,463 
Richardson Electronics Ltd.†   23,161    485,918 
TD SYNNEX Corp.†   2,479    239,273 
Telefonaktiebolaget LM Ericsson - SP ADRƗ   91,733    504,531 
         9,636,068 
Materials—3.5%          
Berry Global Group, Inc.†   11,161    693,098 
Dundee Precious Metals, Inc.   46,422    298,026 
Ecovyst, Inc.*(a)   26,031    261,351 
Ferroglobe PLC*   56,921    284,036 
POSCO Holdings, Inc. - SP ADR(a)   3,822    233,104 
Rio Tinto PLC - SP ADR(a)†   3,562    248,378 
Ternium SA - SP ADR†   10,040    427,805 
         2,445,798 
Real Estate—2.3%          
Newmark Group, Inc., Class A†   103,631    831,121 
Service Properties Trust†   42,817    470,131 
Simon Property Group, Inc.(a)   2,414    294,725 
         1,595,977 
TOTAL COMMON STOCKS
(Cost $46,207,565)
        65,306,456 
           
   NUMBER OF
CONTRACTS
   NOTIONAL
AMOUNT
     
PURCHASED OPTIONS—0.1%           
Call Purchased Options—0.1%           

Activision Blizzard, Inc.

Expiration:
05/19/2023

               
Exercise Price:
70.00
   40    305,000    33,400 
TOTAL CALL PURCHASED OPTIONS
(Cost $47,521)
             33,400 
TOTAL PURCHASED OPTIONS
(Cost $47,521)
             33,400 
                
    NUMBER OF
SHARES
           
INVESTMENTS PURCHASED WITH PROCEEDS FROM SECURITIES LENDING COLLATERAL—13.4%           
Mount Vernon Liquid Assets Portfolio, LLC, 4.67%(b)   9,336,324         9,336,324 
TOTAL INVESTMENTS PURCHASED WITH PROCEEDS FROM SECURITIES LENDING COLLATERAL
(Cost $9,336,324)
             9,336,324 
   NUMBER OF
SHARES
   VALUE 
SHORT-TERM INVESTMENTS—6.5%          
BlackRock Liquidity Funds Treasury Trust Fund Portfolio, 4.47%(b)†   560   $560 
Federated Hermes U.S. Treasury Cash Reserves, 4.42%(b)†   560    560 
Goldman Sachs Financial Square Funds - Treasury Instruments Fund, 4.48%(b)†   560    560 
MSILF Treasury Securities Portfolio, 4.42%(b)†   560    560 
U.S. Bank Money Market Deposit Account, 4.25%(b)   4,543,030    4,543,030 
TOTAL SHORT-TERM INVESTMENTS (Cost $4,545,270)        4,545,270 
TOTAL LONG POSITIONS—114.0% (Cost $60,136,680)        79,221,450 
SECURITIES SOLD SHORT—(17.6%)          
COMMON STOCKS—(17.6%)          
Communication Services—(0.6%)          
Consolidated Communications Holdings, Inc.*   (53,792)   (162,990)
CTC Communications Group, Inc.*†   (98,900)   0 
Roblox Corp., Class A*   (6,524)   (239,039)
         (402,029)
Consumer Discretionary—(5.3%)          
Brunswick Corp.   (3,167)   (276,859)
Destination XL Group, Inc.*   (32,786)   (196,060)
Dutch Bros, Inc., Class A*   (7,356)   (245,323)
GrowGeneration Corp.*   (21,460)   (90,883)
Krispy Kreme, Inc.   (17,536)   (228,143)
Mattel, Inc.*   (15,308)   (275,391)
Mister Car Wash, Inc.*   (17,727)   (163,620)
Papa John’s International, Inc.   (1,965)   (164,962)
Peloton Interactive, Inc., Class A*   (9,044)   (116,849)
Portillo’s, Inc., Class A*   (12,876)   (292,543)
Qsound Labs, Inc.*†   (4,440)   0 
Tesla, Inc.*   (2,558)   (526,206)
Vizio Holding Corp., Class A*   (20,057)   (205,584)
Warby Parker, Inc., Class A*   (14,641)   (190,479)
Wingstop, Inc.   (2,316)   (394,531)
Workhorse Group, Inc.*   (81,444)   (167,775)
YETI Holdings, Inc.*   (3,317)   (129,297)
         (3,664,505)
Consumer Staples—(1.2%)          
Amish Naturals, Inc.*†   (25,959)   0 
BRC, Inc., Class A*   (29,377)   (195,651)
Freshpet, Inc.*   (3,235)   (201,152)
National Beverage Corp.*   (4,217)   (196,723)
Oatly Group AB - ADR*   (51,391)   (113,060)
Tattooed Chef, Inc.*   (14,126)   (17,799)
Tootsie Roll Industries, Inc.   (3,158)   (139,047)
         (863,432)
Energy—(0.6%)          
Beard Co.*†   (9,710)   0 
Enviva, Inc.   (4,200)   (182,952)
Green Plains, Inc.*   (7,144)   (247,682)
         (430,634)


 

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

 

34  |  Semi-Annual Report 2023

 
BOSTON PARTNERS INVESTMENT FUNDS February 28, 2023 (unaudited)
BOSTON PARTNERS LONG/SHORT EQUITY FUND Portfolio Of Investments (continued)

 

   NUMBER OF
SHARES
   VALUE 
Financials—(0.2%)          
P10, Inc., Class A   (14,398)  $(155,066)
Health Care—(1.3%)          
10X Genomics, Inc., Class A*   (2,854)   (135,622)
Beam Therapeutics, Inc.*   (2,517)   (101,284)
BodyTel Scientific, Inc.*†   (4,840)   0 
CareView Communications, Inc.*   (174,320)   (9,858)
Cassava Sciences, Inc.*   (5,925)   (146,348)
Celldex Therapeutics, Inc.*   (4,001)   (171,203)
Glaukos Corp.*   (3,605)   (170,264)
Nano-X Imaging Ltd.*   (11,571)   (84,353)
Oxford Nanopore Technologies PLC*   (29,323)   (73,673)
         (892,605)
Industrials—(2.8%)          
Ameresco, Inc., Class A*   (4,709)   (206,961)
Applied Energetics, Inc.*   (57,676)   (135,539)
Array Technologies, Inc.*   (11,608)   (217,534)
Corporate Resource Services, Inc.*†   (218,896)   (219)
Custom Truck One Source, Inc.*   (30,483)   (220,697)
DynaMotive Energy Systems Corp.*†   (72,185)   (7)
Ener1, Inc.*†   (102,820)   (10)
Fiverr International Ltd.*   (8,864)   (351,103)
MillerKnoll, Inc.   (13,950)   (332,986)
Omega Flex, Inc.   (2,769)   (322,256)
Sunrun, Inc.*   (6,324)   (152,029)
Valence Technology, Inc.*†   (27,585)   (3)
         (1,939,344)
Information Technology—(5.4%)          
Affirm Holdings, Inc.*   (12,866)   (175,235)
ANTs software, Inc.*†   (10,334)   (1)
BILL Holdings, Inc.*   (1,701)   (143,956)
Confluent, Inc., Class A*   (7,503)   (182,998)
Consygen, Inc.*†   (200)   0 
Crowdstrike Holdings, Inc., Class A*   (1,051)   (126,845)
Flywire Corp.*   (10,982)   (271,585)
Guidewire Software, Inc.*   (2,390)   (167,802)
HashiCorp, Inc., Class A*   (7,738)   (225,950)
Impinj, Inc.*   (5,046)   (669,201)
Interliant, Inc.*†   (600)   0 
Lightwave Logic, Inc.*   (38,966)   (229,899)
Marathon Digital Holdings, Inc.*   (7,047)   (50,034)
Matterport, Inc.*   (21,207)   (64,681)
MicroVision, Inc.*   (42,843)   (109,678)
nCino, Inc.*   (9,102)   (248,029)
Nestor, Inc.*†   (15,200)   (2)
Procore Technologies, Inc.*   (3,531)   (236,542)
Sprout Social, Inc., Class A*   (2,834)   (172,817)
Tiger Telematics, Inc.*†   (6,510)   0 
UiPath, Inc., Class A*   (16,980)   (251,983)
Uni-Pixel, Inc.*†   (19,665)   0 
Unity Software, Inc.*   (8,746)   (266,228)
Wolfspeed, Inc.*   (2,244)   (166,011)
Worldgate Communications, Inc.*†   (582,655)   (58)
XRiver Corp.*†   (34,156)   0 
         (3,759,535)
Materials—(0.2%)          
PureCycle Technologies, Inc.*   (18,110)   (115,542)
TOTAL COMMON STOCKS
(Proceeds $(19,905,636))
    (12,222,692)
TOTAL SECURITIES SOLD SHORT—(17.6%)
(Proceeds $(19,905,636))
    (12,222,692)
   NUMBER OF
CONTRACTS
   NOTIONAL
AMOUNT
   VALUE 
OPTIONS WRITTEN††—(0.3%)           
Call Options Written—(0.3%)           

Builders FirstSource, Inc.

Expiration:
06/16/2023,
Exercise Price:
75.00

   (77)   (652,806)  $(109,340)

DocuSign, Inc.

Expiration:
06/16/2023,
Exercise Price:
65.00

   (66)   (404,910)   (51,480)

Inmode Ltd.

Expiration:
05/19/2023,
Exercise Price:
37.50

   (92)   (324,852)   (26,312)
TOTAL CALL OPTIONS WRITTEN (Premiums received $(193,608))         (187,132)
Put Options Written—(0.0%)           

Activision Blizzard, Inc.

Expiration:
01/19/2024,
Exercise Price:
52.50

   (66)   (503,250)   (4,752)

Silicon Motion Technology Corp.

Expiration:
03/17/2023,
Exercise Price:
45.00

   (79)   (531,038)   (7,505)
TOTAL PUT OPTIONS WRITTEN (Premiums received $(40,916))         (12,257)
TOTAL OPTIONS WRITTEN
(Premiums received $(234,524))
         (199,389)
OTHER ASSETS IN EXCESS OF LIABILITIES—3.9%    2,723,830 
NET ASSETS—100.0%            $69,523,199 

 

 
ADR   American Depositary Receipt
PLC   Public Limited Company
SP ADR   Sponsored American Depositary Receipt
*   Non-income producing.
(a)   All or a portion of the security is on loan. At February 28, 2023, the market value of securities on loan was $9,034,696.
(b)   The rate shown is as of February 28, 2023.
  Security position is either entirely or partially held in a segregated account as collateral for securities sold short.
#   Security segregated as collateral for options written.
††   Primary risk exposure is equity contracts.
  Security has been valued at fair market value using significant unobservable inputs as determined in good faith by Boston Partners, as valuation designee, under the oversight of The RBB Fund, Inc.’s Board of Directors. As of February 28, 2023, these securities amounted to $(300) or 0.0% of net assets.
     
    Industry classifications may be different than those used for compliance monitoring purposes.


 

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

 

Semi-Annual Report 2023  |  35

 
BOSTON PARTNERS INVESTMENT FUNDS February 28, 2023 (unaudited)
BOSTON PARTNERS LONG/SHORT EQUITY FUND Portfolio Of Investments (concluded)

 

A summary of the inputs used to value the Fund’s investments carried at fair value as of February 28, 2023 is as follows (see Notes to Portfolio of Investments):

 

   TOTAL   LEVEL 1   LEVEL 2   LEVEL 3   INVESTMENTS
MEASURED
AT NET
ASSET VALUE*
 
Common Stock                         
Communication Services  $4,467,073   $3,537,808   $929,265   $   $ 
Consumer Discretionary   6,965,588    6,172,309    793,279         
Consumer Staples   1,379,283    1,379,283             
Energy   4,749,910    4,749,910             
Financials   12,073,601    12,073,601             
Health Care   14,583,485    14,583,485             
Industrials   7,409,673    7,409,673             
Information Technology   9,636,068    9,636,068             
Materials   2,445,798    2,445,798             
Real Estate   1,595,977    1,595,977             
Purchased Options   33,400        33,400         
Investments Purchased with Proceeds from Securities Lending Collateral   9,336,324                9,336,324 
Short-Term Investments   4,545,270    4,545,270             
Total Assets  $79,221,450   $68,129,182   $1,755,944   $   $9,336,324 
                          
   TOTAL   LEVEL 1   LEVEL 2   LEVEL 3   INVESTMENTS
MEASURED
AT NET
ASSET VALUE*
 
Securities Sold Short                         
Communication Services  $(402,029)  $(402,029)  $   $**  $ 
Consumer Discretionary   (3,664,505)   (3,664,505)       **    
Consumer Staples   (863,432)   (863,432)       **    
Energy   (430,634)   (430,634)   **        
Financials   (155,066)   (155,066)            
Health Care   (892,605)   (818,932)   (73,673)   **    
Industrials   (1,939,344)   (1,939,105)       (239)    
Information Technology   (3,759,535)   (3,759,474)       (61)    
Materials   (115,542)   (115,542)            
Options Written                         
Equity Contracts   (199,389)   (194,637)   (4,752)        
Total Liabilities  $(12,422,081)  $(12,343,356)  $(78,425)  $(300)  $ 

 

* Certain investments that are measured at fair value using the net asset value per share (or its equivalent) practical expedient have not been categorized in the fair value hierarchy included to reconcile to the amounts presented in the Portfolio of Investments.
** Value equals zero as of the end of the reporting period.

 

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

 

36  |  Semi-Annual Report 2023

 
BOSTON PARTNERS INVESTMENT FUNDS February 28, 2023 (unaudited)
BOSTON PARTNERS LONG/SHORT RESEARCH FUND Portfolio Of Investments

 

   NUMBER OF
SHARES
   VALUE 
LONG POSITIONS—99.9%          
COMMON STOCKS—94.3%          
Communication Services—5.3%          
Activision Blizzard, Inc.   71,105   $5,421,756 
Alphabet, Inc., Class A*   37,984    3,420,839 
Deutsche Telekom AG   214,520    4,814,476 
Future PLC   220,542    3,711,894 
Interpublic Group of Cos., Inc., (The)†   55,170    1,960,742 
Live Nation Entertainment, Inc.*   27,694    1,995,630 
Nexstar Media Group, Inc., Class A†   53,061    9,864,040 
Take-Two Interactive Software, Inc.*   23,047    2,524,799 
TEGNA, Inc.   195,356    3,399,194 
T-Mobile US, Inc.*   19,485    2,770,377 
         39,883,747 
Consumer Discretionary—9.7%          
AutoNation, Inc.*   4,454    608,015 
AutoZone, Inc.*   2,119    5,268,978 
Booking Holdings, Inc.*   2,621    6,615,404 
Boyd Gaming Corp.   42,979    2,799,222 
Dollar General Corp.   22,242    4,810,945 
Flutter Entertainment PLC*   34,117    5,452,288 
Frontdoor, Inc.*   71,677    2,024,875 
Garmin Ltd.   17,691    1,736,018 
Genting Singapore Ltd.   4,325,300    3,271,973 
GVC Holdings PLC   219,271    3,580,844 
H&R Block, Inc.   63,755    2,346,184 
Harley-Davidson, Inc.†   42,102    2,001,950 
LKQ Corp.†   40,808    2,337,890 
Mohawk Industries, Inc.*   15,206    1,563,937 
Restaurant Brands International, Inc.   .63,555    4,098,662 
Ross Stores, Inc.   37,524    4,147,903 
Stride, Inc.*†   92,929    3,946,695 
Tempur Sealy International, Inc.†   75,289    3,217,852 
TJX Cos., Inc., (The)†   42,418    3,249,219 
Topgolf Callaway Brands Corp.*†   108,343    2,511,391 
Whirlpool Corp.   8,354    1,152,685 
Wyndham Hotels & Resorts, Inc.   46,594    3,588,670 
Wynn Macau Ltd.*   2,666,900    2,758,079 
         73,089,679 
Consumer Staples—6.0%          
Albertsons Cos., Inc., Class A   151,885    3,019,474 
British American Tobacco PLC - SP ADR†   64,641    2,460,236 
Coca-Cola European Partners PLC†   33,606    1,848,330 
Hershey Co., (The)   38,012    9,059,020 
Keurig Dr Pepper, Inc.†   231,818    8,009,312 
Kraft Heinz Co., (The)†   107,926    4,202,638 
Kroger Co., (The)   59,342    2,560,014 
Philip Morris International, Inc.   53,438    5,199,517 
US Foods Holding Corp.*†#   105,586    3,962,643 
Walmart, Inc.   36,315    5,161,451 
         45,482,635 
Energy—7.9%          
Canadian Natural Resources Ltd.   93,273    5,270,857 
Cenovus Energy, Inc.   384,505    7,089,883 
Chord Energy Corp.   14,432    1,942,836 
Devon Energy Corp.†   81,632    4,401,597 
Diamondback Energy, Inc.†   10,643    1,496,193 
Enerplus Corp.   117,268    1,860,647 
Halliburton Co.†   163,711    5,931,250 
Kosmos Energy Ltd.*†   241,907    1,903,808 
Marathon Petroleum Corp.†   48,185    5,955,666 
   NUMBER OF
SHARES
   VALUE 
Energy—(continued)          
MEG Energy Corp.*   213,203   $3,368,748 
Peabody Energy Corp.*   143,822    3,926,341 
Pioneer Natural Resources Co.   6,950    1,392,849 
ProPetro Holding Corp.*   393,335    3,465,281 
Schlumberger Ltd.   113,518    6,040,293 
Valero Energy Corp.   43,002    5,664,653 
         59,710,902 
Financials—16.3%          
Allstate Corp., (The)†   30,488    3,926,245 
Ameriprise Financial, Inc.†   19,817    6,794,655 
Aon PLC, Class A   12,185    3,704,849 
Arthur J Gallagher & Co.   1,813    339,665 
Bank of America Corp.†   222,242    7,622,901 
Berkshire Hathaway, Inc., Class B*†   12,373    3,775,992 
Charles Schwab Corp., (The)   40,612    3,164,487 
Chubb Ltd.   9,263    1,954,678 
DBS Group Holdings Ltd.   66,600    1,689,718 
Direct Line Insurance Group PLC   544,404    1,178,552 
Discover Financial Services†   18,675    2,091,600 
East West Bancorp, Inc.†   91,530    6,975,501 
Everest Re Group Ltd.   11,500    4,415,655 
Fifth Third Bancorp†   196,805    7,144,022 
Goldman Sachs Group, Inc., (The)†   6,091    2,141,900 
Hana Financial Group, Inc.   51,597    1,769,637 
Huntington Bancshares, Inc.†   515,153    7,892,144 
ING Groep NV   149,689    2,094,910 
JPMorgan Chase & Co.†   58,653    8,407,908 
KeyCorp†   223,225    4,082,785 
NatWest Group PLC   540,851    1,899,977 
Nordea Bank Abp   302,498    3,833,325 
Regions Financial Corp.†   137,980    3,217,694 
Renaissance Holdings Ltd.   22,049    4,738,330 
S&P Global, Inc.   2,669    910,663 
Sampo Oyj, Class A   75,679    3,684,060 
SLM Corp.†   101,830    1,464,315 
Synchrony Financial†   17,433    622,532 
Truist Financial Corp.†   75,359    3,538,105 
UBS Group AG*   84,726    1,845,332 
United Overseas Bank Ltd.   120,100    2,662,093 
W R Berkley Corp.†   50,748    3,359,010 
Wells Fargo & Co.   187,369    8,763,248 
White Mountains Insurance Group Ltd.   895    1,291,995 
         122,998,483 
Health Care—11.7%          
Abbott Laboratories†   3,524    358,461 
AbbVie, Inc.†   60,420    9,298,638 
Amedisys, Inc.*   5,002    459,934 
AmerisourceBergen Corp.   2,693    418,923 
Amgen, Inc.   24,157    5,596,211 
AstraZeneca PLC   17,532    2,284,032 
Avantor, Inc.*†   135,555    3,303,475 
Boston Scientific Corp.*†   33,117    1,547,226 
Bristol-Myers Squibb Co.   101,910    7,027,714 
Centene Corp.*†   51,442    3,518,633 
Cigna Corp.†   12,358    3,609,772 
CVS Health Corp.†   55,279    4,618,008 
Elevance Health, Inc.†   8,878    4,169,730 
Envista Holdings Corp.*†   68,485    2,647,630 


 

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

 

Semi-Annual Report 2023  |  37

 
BOSTON PARTNERS INVESTMENT FUNDS February 28, 2023 (unaudited)
BOSTON PARTNERS LONG/SHORT RESEARCH FUND Portfolio Of Investments (continued)

 

   NUMBER OF
SHARES
   VALUE 
Health Care—(continued)          
HCA Healthcare, Inc.   9,292   $2,262,138 
Humana, Inc.   5,543    2,743,896 
ICON PLC*   12,688    2,862,794 
IQVIA Holdings, Inc.*   9,358    1,950,862 
Johnson & Johnson†   20,414    3,128,650 
Medtronic PLC   16,838    1,394,186 
Merck & Co., Inc.   3,245    344,749 
Molina Healthcare, Inc.*   2,413    664,371 
Novo Nordisk A/S, Class B   9,665    1,365,232 
Pfizer, Inc.   12,186    494,386 
R1 RCM, Inc.*   113,739    1,615,094 
Sanofi   33,050    3,090,112 
Sotera Health Co.*†   77,086    1,286,565 
Stryker Corp.   4,649    1,222,129 
Syneos Health, Inc.*   5,735    230,662 
Thermo Fisher Scientific, Inc.   6,304    3,415,255 
UCB SA   14,068    1,209,399 
UnitedHealth Group, Inc.   15,295    7,279,502 
Universal Health Services, Inc., Class B   2,794    373,195 
Zimmer Biomet Holdings, Inc.†   21,770    2,696,650 
         88,488,214 
Industrials—17.1%          
Acuity Brands, Inc.   16,046    3,112,282 
Advanced Drainage Systems, Inc.   24,078    2,136,441 
AGCO Corp.   14,298    2,013,301 
Airbus SE   21,247    2,782,725 
Allegion PLC   24,601    2,772,779 
Allison Transmission Holdings, Inc.†   55,504    2,636,440 
AMETEK, Inc.†   31,267    4,426,157 
ANDRITZ AG   45,084    2,782,050 
ASGN, Inc.*†   34,779    3,088,375 
BWX Technologies, Inc.†   41,373    2,528,304 
Carlisle Cos., Inc.   11,592    2,993,286 
Caterpillar, Inc.   14,486    3,470,121 
Clean Harbors, Inc.*   32,158    4,247,107 
Copart, Inc.*   65,077    4,585,325 
Curtiss-Wright Corp.   14,785    2,584,270 
Daimler Truck Holding AG*   89,296    2,828,365 
Deere & Co.   7,885    3,305,707 
Dover Corp.†   19,039    2,853,946 
Eaton Corp., PLC†   19,651    3,437,549 
Eiffage SA   24,656    2,705,969 
Ferguson PLC   19,903    2,868,022 
Fortive Corp.   57,608    3,840,149 
FTI Consulting, Inc.*†   42,853    7,872,525 
Hexcel Corp.   28,855    2,104,972 
Howmet Aerospace, Inc.†   105,593    4,453,913 
Landstar System, Inc.   12,830    2,319,536 
Leidos Holdings, Inc.†   33,781    3,279,122 
nVent Electric PLC   84,685    3,881,960 
Otis Worldwide Corp.   43,679    3,696,117 
Parker-Hannifin Corp.†   14,649    5,154,251 
Resideo Technologies, Inc.*†   71,837    1,317,491 
Science Applications International Corp.†   65,935    7,031,308 
Sensata Technologies Holding PLC   30,606    1,548,051 
Siemens AG   21,019    3,203,119 
   NUMBER OF
SHARES
   VALUE 
Industrials—(continued)          
Societe BIC SA   32,723   $2,116,738 
Textron, Inc.   49,007    3,554,478 
TransUnion   31,685    2,073,150 
WESCO International, Inc.*   26,384    4,368,663 
Westinghouse Air Brake Technologies Corp.   32,411    3,381,440 
         129,355,504 
Information Technology—12.5%          
Advanced Micro Devices, Inc.*   28,578    2,245,659 
Amdocs Ltd.†   21,083    1,931,414 
Applied Materials, Inc.   23,105    2,683,646 
Arrow Electronics, Inc.*†   15,679    1,849,965 
Broadcom, Inc.   11,168    6,637,031 
Capgemini SE   23,263    4,362,644 
Check Point Software Technologies Ltd.*   41,285    5,107,780 
Cisco Systems, Inc.†   111,913    5,418,827 
Cognizant Technology Solutions Corp., Class A†   70,820    4,435,457 
Concentrix Corp.   28,509    3,901,172 
Fair Isaac Corp.*   3,209    2,173,745 
FleetCor Technologies, Inc.*†   21,884    4,700,464 
Flex Ltd.*†   269,620    6,136,551 
Gen Digital, Inc.†   123,919    2,417,660 
Jabil, Inc.†   79,508    6,601,549 
Juniper Networks, Inc.   101,210    3,115,244 
KLA Corp.   4,106    1,557,734 
Lam Research Corp.   5,407    2,627,856 
Microchip Technology, Inc.†   60,302    4,886,271 
Micron Technology, Inc.   38,359    2,217,917 
NetApp, Inc.   49,972    3,225,693 
NXP Semiconductors NV   13,336    2,380,209 
Oracle Corp.†   41,817    3,654,806 
QUALCOMM, Inc.   35,819    4,424,721 
Samsung Electronics Co., Ltd.   35,974    1,645,988 
SS&C Technologies Holdings, Inc.†    70,282    4,125,553 
Western Digital Corp.*   12,786    492,005 
         94,957,561 
Materials—3.9%          
Avery Dennison Corp.   15,679    2,856,557 
Corteva, Inc.†   101,476    6,320,940 
DuPont de Nemours, Inc.†   16,443    1,200,832 
FMC Corp.   36,895    4,764,989 
Glencore PLC*   971,267    5,790,556 
Norsk Hydro ASA   736,924    5,363,898 
Olin Corp.   47,169    2,724,010 
WestRock Co.   28,113    882,748 
         29,904,530 
Real Estate—2.4%          
Americold Realty Trust, Inc.†   104,400    3,069,360 
Equity LifeStyle Properties, Inc.   21,433    1,468,375 
Essex Property Trust, Inc.   11,918    2,718,019 
Host Hotels & Resorts, Inc.†   92,769    1,558,519 
Klepierre SA   38,717    965,588 
Lamar Advertising Co., Class A   24,319    2,542,795 
Regency Centers Corp.   29,329    1,844,794 
Ventas, Inc.   53,940    2,624,181 
VICI Properties, Inc.   43,131    1,446,182 
         18,237,813 


 

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

 

38  |  Semi-Annual Report 2023

 
BOSTON PARTNERS INVESTMENT FUNDS February 28, 2023 (unaudited)
BOSTON PARTNERS LONG/SHORT RESEARCH FUND Portfolio Of Investments (continued)

 

   NUMBER OF
SHARES
   VALUE 
Utilities—1.5%          
American Electric Power Co., Inc.   20,531   $1,806,112 
CenterPoint Energy, Inc.†   110,592    3,076,669 
Entergy Corp.   33,860    3,483,178 
FirstEnergy Corp.   69,518    2,748,742 
         11,114,701 
TOTAL COMMON STOCKS
(Cost $554,829,279)
        713,223,769 
WARRANTS—0.0%          
Energy—0.0%          
Vista Energy SAB de CV*   26    7 
TOTAL WARRANTS
(Cost $4)
        7 
SHORT-TERM INVESTMENTS—5.6%          
BlackRock Liquidity Funds Treasury Trust Fund Portfolio, 4.47%(a)†   4,867    4,867 
Federated Hermes U.S. Treasury Cash Reserves, 4.42%(a)†   4,867    4,867 
Goldman Sachs Financial Square Funds - Treasury Instruments Fund, 4.48%(a)†   4,867    4,867 
MSILF Treasury Securities Portfolio, 4.42%(a)†   4,867    4,867 
U.S. Bank Money Market Deposit Account, 4.25%(a)   42,436,474    42,436,474 
TOTAL SHORT-TERM INVESTMENTS
(Cost $42,455,942)
        42,455,942 
TOTAL LONG POSITIONS—99.9%
(Cost $597,285,225)
        755,679,718 
SECURITIES SOLD SHORT—(29.3%)          
COMMON STOCKS—(29.3%)          
Communication Services—(2.3%)          
Angi, Inc.*   (585,009)   (1,497,623)
AT&T, Inc.   (88,088)   (1,665,744)
Cable One, Inc.   (841)   (580,803)
Clear Channel Outdoor Holdings, Inc.*   (628,684)   (1,112,771)
fuboTV, Inc.*   (299,748)   (572,519)
iHeartMedia, Inc., Class A*   (180,527)   (1,310,626)
Lions Gate Entertainment Corp., Class A*   (127,619)   (1,354,038)
Madison Square Garden Entertainment Corp.*   (27,875)   (1,687,274)
Paramount Global, Class B   (152,274)   (3,261,709)
Proximus SADP   (51,628)   (475,434)
Roblox Corp., Class A*   (16,424)   (601,775)
Telia Co., AB   (812,839)   (2,099,063)
Warner Music Group Corp., Class A   (49,247)   (1,554,235)
         (17,773,614)
Consumer Discretionary—(5.2%)          
Accor SA*   (59,358)   (1,970,048)
Acushnet Holdings Corp.   (23,256)   (1,122,335)
Adient PLC*   (23,171)   (989,865)
Carnival Corp.*   (42,228)   (448,461)
Cheesecake Factory Inc., (The)   (27,852)   (1,042,779)
Choice Hotels International, Inc.   (17,522)   (2,073,904)
   NUMBER OF
SHARES
   VALUE 
Consumer Discretionary—(continued)          
Dick’s Sporting Goods, Inc.   (22,080)  $(2,840,150)
Etsy, Inc.*   (9,810)   (1,191,032)
Genius Sports Ltd.*   (124,909)   (604,560)
Golden Entertainment, Inc.*   (33,471)   (1,375,993)
Hyatt Hotels Corp., Class A*   (18,640)   (2,166,714)
LGI Homes, Inc.*   (16,890)   (1,761,796)
Life Time Group Holdings, Inc.*   (122,486)   (2,213,322)
Lululemon Athletica, Inc.*   (2,273)   (702,812)
Mattel, Inc.*   (52,079)   (936,901)
Membership Collective Group, Inc., Class A*   (220,189)   (1,473,064)
Moncler SpA   (21,186)   (1,291,411)
Pearson PLC   (103,441)   (1,144,229)
Portillo’s, Inc., Class A*   (32,355)   (735,106)
QuantumScape Corp.*   (374,453)   (3,583,515)
Rakuten Group, Inc.   (465,000)   (2,292,071)
RH*   (2,513)   (751,462)
Shake Shack, Inc., Class A*   (9,331)   (520,576)
Texas Roadhouse, Inc.   (6,842)   (694,737)
Whitbread PLC   (24,978)   (926,395)
Williams-Sonoma, Inc.   (13,030)   (1,627,708)
Wingstop, Inc.   (8,886)   (1,513,730)
Yum China Holdings, Inc.   (16,769)   (984,843)
         (38,979,519)
Consumer Staples—(1.8%)          
B&G Foods, Inc.   (84,028)   (1,064,635)
Beyond Meat, Inc.*   (40,159)   (716,437)
Central Garden & Pet Co., Class A*   (79,533)   (3,056,453)
Clorox Co., (The)   (10,339)   (1,607,094)
Coca-Cola Bottlers Japan Holdings, Inc.   (160,800)   (1,692,716)
Hormel Foods Corp.   (25,458)   (1,129,826)
Kimberly-Clark Corp.   (16,838)   (2,105,592)
McCormick & Co., Inc.   (17,394)   (1,292,722)
Oatly Group AB - ADR*   (418,784)   (921,325)
         (13,586,800)
Energy—(1.5%)          
Antero Resources Corp.*   (36,275)   (950,405)
Chesapeake Energy Corp.   (11,679)   (943,780)
Comstock Resources, Inc.   (114,644)   (1,391,778)
Coterra Energy, Inc.   (57,220)   (1,428,783)
Enviva, Inc.   (43,161)   (1,880,093)
EQT Corp.   (42,292)   (1,403,249)
Permian Resources Corp.   (126,169)   (1,363,887)
Vital Energy, Inc.*   (45,336)   (2,329,817)
         (11,691,792)
Financials—(2.9%)          
Ashmore Group PLC   (735,024)   (2,389,775)
B Riley Financial, Inc.   (73,059)   (2,906,287)
Cincinnati Financial Corp.   (9,721)   (1,173,325)
Credit Suisse Group AG   (266,886)   (804,576)
Deutsche Bank AG   (36,855)   (459,482)
Erie Indemnity Co., Class A   (4,814)   (1,133,167)
Hang Seng Bank Ltd.   (227,000)   (3,692,504)
Selective Insurance Group, Inc.   (7,769)   (788,787)
SoFi Technologies, Inc.*   (249,035)   (1,643,631)
T Rowe Price Group, Inc.   (30,337)   (3,406,238)
Trupanion, Inc.*   (9,544)   (566,723)
United Bankshares, Inc.   (64,046)   (2,611,155)
         (21,575,650)


 

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

 

Semi-Annual Report 2023  |  39

 
BOSTON PARTNERS INVESTMENT FUNDS February 28, 2023 (unaudited)
BOSTON PARTNERS LONG/SHORT RESEARCH FUND Portfolio Of Investments (continued)

 

   NUMBER OF
SHARES
   VALUE 
Health Care—(2.0%)          
Align Technology, Inc.*   (3,820)  $(1,182,290)
Ambu A/S, Class B   (24,850)   (364,154)
Ascendis Pharma A/S - ADR*   (7,592)   (843,395)
Cassava Sciences, Inc.*   (14,675)   (362,473)
Celldex Therapeutics, Inc.*   (19,363)   (828,543)
Doximity, Inc., Class A*   (33,539)   (1,127,917)
Glaukos Corp.*   (12,300)   (580,929)
GoodRx Holdings, Inc., Class A*   (185,042)   (978,872)
Guardant Health, Inc.*   (23,593)   (728,788)
Idorsia Ltd.*   (41,421)   (546,977)
Intra-Cellular Therapies, Inc.*   (14,836)   (727,409)
Mirati Therapeutics, Inc.*   (7,301)   (334,678)
ModivCare, Inc.*   (8,580)   (842,470)
Neogen Corp.*   (67,022)   (1,185,619)
Oak Street Health, Inc.*   (33,506)   (1,186,112)
Oxford Nanopore Technologies PLC*   (133,540)   (335,515)
Tandem Diabetes Care, Inc.*   (15,572)   (558,412)
Teladoc Health, Inc.*   (40,044)   (1,060,766)
Ventyx Biosciences, Inc.*   (17,884)   (773,483)
West Pharmaceutical Services, Inc.   (2,649)   (839,812)
         (15,388,614)
Industrials—(6.5%)          
AeroVironment, Inc.*   (35,665)   (3,057,917)
American Airlines Group, Inc.*   (74,818)   (1,195,592)
Array Technologies, Inc.*   (142,242)   (2,665,615)
AZEK Co., Inc., (The)*   (134,708)   (3,245,116)
General Electric Co.   (32,605)   (2,761,969)
Hayward Holdings, Inc.*   (206,943)   (2,547,468)
Healthcare Services Group, Inc.*   (52,373)   (694,990)
Husqvarna AB, Class B   (340,775)   (3,017,241)
InPost SA*   (285,328)   (2,361,173)
Joby Aviation, Inc.*   (231,439)   (1,087,763)
Kennametal, Inc.   (101,342)   (2,871,019)
Kratos Defense & Security Solutions, Inc.*   (248,264)   (3,140,539)
Mercury Systems, Inc.*   (44,330)   (2,320,232)
Oshkosh Corp.   (27,806)   (2,480,017)
Pentair PLC   (44,082)   (2,465,947)
Proto Labs, Inc.*   (55,081)   (1,731,747)
Rolls-Royce Holdings PLC*   (1,131,611)   (1,971,602)
Saia, Inc.*   (6,464)   (1,750,904)
Triton International Ltd.   (29,250)   (2,016,495)
Vertiv Holdings Co.   (191,515)   (3,112,119)
Watsco, Inc.   (7,942)   (2,420,007)
         (48,915,472)
Information Technology—(3.7%)          
Appfolio, Inc., Class A*   (17,369)   (2,293,750)
BlackBerry Ltd.*   (418,851)   (1,625,142)
Entegris, Inc.   (30,669)   (2,613,919)
GCL Technology Holdings Ltd.*   (10,225,000)   (2,633,087)
Itron, Inc.*   (35,874)   (2,000,693)
Jamf Holding Corp.*   (127,908)   (2,714,208)
Melexis NV   (19,462)   (2,105,113)
Napco Security Technologies, Inc.*   (70,393)   (2,224,419)
Palantir Technologies, Inc., Class A*   (366,071)   (2,869,997)
Procore Technologies, Inc.*   (44,510)   (2,981,725)
Taiyo Yuden Co., Ltd.   (59,600)   (1,804,807)
Unity Software, Inc.*   (78,973)   (2,403,938)
         (28,270,798)
       NUMBER OF
SHARES
   VALUE 
Materials—(2.1%)           
Antofagasta PLC    (47,451)  $(895,105)
AptarGroup, Inc.    (8,615)   (1,005,543)
Ball Corp.    (27,317)   (1,535,489)
Huntsman Corp.    (112,638)   (3,304,799)
Kumba Iron Ore Ltd.    (53,067)   (1,383,874)
Mitsui Chemicals, Inc.    (63,200)   (1,524,708)
Nippon Paper Industries Co., Ltd.    (278,100)   (2,224,184)
Siam Cement PCL, (The) - NVDR    (188,600)   (1,744,653)
Southern Copper Corp.    (26,705)   (1,967,891)
              (15,586,246)
Real Estate—(1.0%)           
Howard Hughes Corp., (The)*    (12,786)   (1,062,772)
Macerich Co., (The)    (68,451)   (817,989)
Nomura Real Estate Master Fund, Inc.*    (990)   (1,097,370)
Rexford Industrial Realty, Inc.    (20,323)   (1,228,729)
SL Green Realty Corp.    (32,915)   (1,120,756)
Unibail-Rodamco-Westfield*    (19,442)   (1,228,489)
WeWork, Inc., Class A*    (678,767)   (787,370)
              (7,343,475)
Utilities—(0.3%)           
Avangrid, Inc.    (55,946)   (2,183,572)
TOTAL COMMON STOCKS
(Proceeds $(245,872,950))
         (221,295,552)
TOTAL SECURITIES SOLD SHORT—(29.3%)
(Proceeds $(245,872,950))
         (221,295,552)
                
    NUMBER OF
CONTRACTS
    NOTIONAL
AMOUNT
      
OPTIONS WRITTEN ††—0.0%           
Call Options Written—(0.0%)           

US Foods Holding Corp.

Expiration:

03/17/2023,

Exercise Price:

40.00

   (263)   (987,039)   (6,049)
TOTAL CALL OPTIONS WRITTEN (Premiums received $(26,478))             (6,049)
TOTAL OPTIONS WRITTEN (Premiums received $(26,478))             (6,049)
OTHER ASSETS IN EXCESS OF LIABILITIES—29.4%             222,326,026 
NET ASSETS—100.0%            $756,704,143 

 

 
ADR   American Depositary Receipt
PLC   Public Limited Company
SP ADR   Sponsored American Depositary Receipt
NVDR   Non-Voting Depository Receipt
*   Non-income producing.
(a)   The rate shown is as of February 28, 2023.
  Security position is either entirely or partially held in a segregated account as collateral for securities sold short.
#   Security segregated as collateral for options written.
††   Primary risk exposure is equity contracts.
     
    Industry classifications may be different than those used for compliance monitoring purposes.


 

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

 

40  |  Semi-Annual Report 2023

 
BOSTON PARTNERS INVESTMENT FUNDS February 28, 2023 (unaudited)
BOSTON PARTNERS LONG/SHORT RESEARCH FUND Portfolio Of Investments (continued)

 

Contracts For Difference held by the Fund at February 28, 2023, are as follows:

 

REFERENCE
COMPANY
     COUNTERPARTY     EXPIRATION
DATE
     FINANCING
RATE
     PAYMENT
FREQUENCY
     NUMBER OF
CONTRACTS
LONG/
(SHORT)
     NOTIONAL
AMOUNT
     UNREALIZED
APPRECIATION
(DEPRECIATION)
Long                             
United States                             
International Game Technology  Goldman Sachs  12/08/2025   4.58%  Termination   123,435   $3,278,434     $263,345 
Total Long                      3,278,434      263,345 
Short                             
Australia                             
Commonwealth Bank of Australia  Morgan Stanley  12/08/2025   3.33   Termination   (50,944)  $(3,451,686)    $197,112 
WiseTech Global Ltd.  Morgan Stanley  12/08/2025   3.33   Termination   (45,093)   (1,911,620)     (207,244)
                       (5,363,306)   (10,132)
China                             
Shenzhen Goodix Technology Co., Ltd., Class A  Morgan Stanley  02/23/2026   4.58   Termination   (22,700)   (175,760)   15,661 
Shenzhen Goodix Technology Co., Ltd., Class A  Goldman Sachs  12/08/2025   4.58   Termination   (153,700)   (1,190,060)   (29,179)
Tongwei Co., Ltd., Class A  Goldman Sachs  01/19/2026   4.58   Termination   (334,900)   (2,022,122)     (71,861)
                       (3,387,942)     (85,379)
Germany                             
Deutsche Bank AG  Morgan Stanley  12/08/2025   2.48   Termination   (204,466)   (2,551,905)     (373,703)
Japan                               
Nippon Shinyaku Co., Ltd.  Morgan Stanley  12/08/2025   -0.01   Termination   (12,500)   (560,024)     151,482 
South Korea                               
Kakaobank Corp.  Goldman Sachs  12/08/2025   4.58   Termination   (43,760)   (881,318)     46,253 
Krafton, Inc.  Morgan Stanley  12/08/2025   4.58   Termination   (11,652)   (1,495,190)     95,045 
                       (2,376,508)     141,298 
Switzerland                               
Credit Suisse Group AG  Morgan Stanley  12/31/2025   0.94   Termination   (166,168)   (503,171)     (1,615)
Credit Suisse Group AG  Morgan Stanley  12/08/2025   0.94   Termination   (785,636)   (2,378,971)     87,060 
Vat Group AG  Morgan Stanley  12/08/2025   0.94   Termination   (8,138)   (2,457,342)     (153,800)
                       (5,339,484)     (68,355)
Taiwan                             
Acer, Inc.  Goldman Sachs  12/08/2025   4.58   Termination   (1,489,000)   (1,238,818)   (70,034)
Asustek Computer, Inc.  Goldman Sachs  12/08/2025   4.58   Termination   (183,000)   (1,669,670)   31,230 
Compal Electronics  Goldman Sachs  12/08/2025   4.58   Termination   (1,420,000)   (1,125,486)   (106,470)
Pan Jit International, Inc.  Goldman Sachs  12/08/2025   4.58   Termination   (1,101,000)   (2,413,784)   (27,224)
SDI Corporation  Goldman Sachs  12/08/2025   4.58   Termination   (201,000)   (817,998)     (91,842)
Taiwan Cement  Goldman Sachs  12/12/2025   4.58   Termination   (1,950,000)   (2,505,537)     (403,660)
                       (9,771,293)     (668,000)
United States                             
Affirm Holdings, Inc.  Goldman Sachs  03/02/2026   4.58   Termination   (5,463)   (74,406)   (2,854)
Affirm Holdings, Inc.  Morgan Stanley  12/08/2025   4.58   Termination   (25,827)   (351,764)   (42,744)
Alexandria Real Estate Equities, Inc.  Morgan Stanley  12/08/2025   4.58   Termination   (8,467)   (1,268,187)   (27,856)
AMERCO - Non-Voting  Morgan Stanley  12/08/2025   4.58   Termination   (50,121)   (2,788,231)   274,162 
Ameresco, Inc., Class A  Morgan Stanley  12/08/2025   4.58   Termination   (39,320)   (1,728,114)   706,187 
Bank of Hawaii Corp.  Goldman Sachs  03/02/2026   4.58   Termination   (8,829)   (660,939)   (2,215)
Bank of Hawaii Corp.  Morgan Stanley  12/08/2025   4.58   Termination   (41,744)   (3,124,956)   115,213 
BlackLine, Inc.  Morgan Stanley  12/08/2025   4.58   Termination   (36,233)   (2,476,888)   (215,586)
Ceridian HCM Holding, Inc.  Morgan Stanley  12/08/2025   4.58   Termination   (17,260)   (1,258,772)   (175,707)
Chipotle Mexican Grill, Inc.  Morgan Stanley  12/08/2025   4.58   Termination   (1,033)   (1,540,286)   17,892 
Coinbase Global, Inc., Class A  Morgan Stanley  12/08/2025   4.58   Termination   (4,121)   (267,164)   (92,393)
Coinbase Global, Inc., Class A  Goldman Sachs  03/02/2026   4.58   Termination   (872)   (56,532)   (4,918)
Commerce Bancshares, Inc.  Morgan Stanley  12/08/2025   4.58   Termination   (53,765)   (3,556,554)   88,175 
Community Bank System, Inc  Morgan Stanley  12/08/2025   4.58   Termination   (59,128)   (3,609,763)   76,866 
Coty, Inc., Class A  Morgan Stanley  12/08/2025   4.58   Termination   (236,252)   (2,669,648)   (791,445)
Coty, Inc., Class A  Goldman Sachs  12/15/2025   4.58   Termination   (17,885)   (202,101)   (60,501)
Credit Acceptance Corp.  Goldman Sachs  03/02/2026   4.58   Termination   (773)   (343,475)   277 
Credit Acceptance Corp.  Morgan Stanley  12/08/2025   4.58   Termination   (3,653)   (1,623,174)   48,987 
Cullen/Frost Bankers, Inc.  Morgan Stanley  12/08/2025   4.58   Termination   (10,428)   (1,374,619)   67,573 

 

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

 

Semi-Annual Report 2023  |  41

 
BOSTON PARTNERS INVESTMENT FUNDS February 28, 2023 (unaudited)
BOSTON PARTNERS LONG/SHORT RESEARCH FUND Portfolio Of Investments (continued)

 

REFERENCE
COMPANY
     COUNTERPARTY     EXPIRATION
DATE
     FINANCING
RATE
     PAYMENT
FREQUENCY
     NUMBER OF
CONTRACTS
LONG/
(SHORT)
     NOTIONAL
AMOUNT
     UNREALIZED
APPRECIATION
(DEPRECIATION)
CVB Financial Corp.  Morgan Stanley  12/08/2025   4.58    Termination   (26,525)  $(634,743)            $96,551 
Definitive Healthcare Corp.  Morgan Stanley  12/08/2025   4.58   Termination   (61,023)   (696,883)   14,035 
Extra Space Storage, Inc.  Morgan Stanley  12/08/2025   4.58   Termination   (7,610)   (1,252,987)   (65,522)
Figs, Inc., Class A  Morgan Stanley  12/08/2025   4.58   Termination   (95,152)   (876,350)   (153,195)
First Financial Bankshares, Inc.  Morgan Stanley  12/08/2025   4.58   Termination   (82,962)   (3,043,046)   (92,917)
First Financial Bankshares, Inc.  Goldman Sachs  03/02/2026   4.58   Termination   (17,547)   (643,624)   6,772 
Floor & Decor Holdings, Inc., Class A  Morgan Stanley  12/08/2025   4.58   Termination   (21,940)   (2,014,311)   (433,754)
Glacier Bancorp, Inc.  Goldman Sachs  03/02/2026   4.58   Termination   (12,930)   (612,623)   (51)
Glacier Bancorp, Inc.  Morgan Stanley  12/08/2025   4.58   Termination   (61,131)   (2,896,387)   455,426 
Guidewire Software, Inc.  Morgan Stanley  12/08/2025   4.58   Termination   (36,360)   (2,552,836)   (497,768)
Kinsale Capital Group, Inc.  Morgan Stanley  12/08/2025   4.58   Termination   (11,122)   (3,544,580)   (312,862)
La-Z-Boy, Inc.  Morgan Stanley  12/08/2025   4.58   Termination   (60,325)   (1,953,324)   (478,377)
La-Z-Boy, Inc.  Goldman Sachs  12/15/2025   4.58   Termination   (5,188)   (167,987)   (42,591)
Lowe’s Cos., Inc.  Morgan Stanley  12/08/2025   4.58   Termination   (8,644)   (1,778,503)   (33,193)
Moody’s Corp.  Goldman Sachs  03/02/2026   4.58   Termination   (2,022)   (586,683)   235 
Moody’s Corp.  Morgan Stanley  12/08/2025   4.58   Termination   (9,558)   (2,773,254)   23,417 
Myriad Genetics, Inc.  Morgan Stanley  12/08/2025   4.58   Termination   (31,441)   (594,864)   18,550 
National Beverage Corp.  Morgan Stanley  12/08/2025   4.58   Termination   (40,199)   (1,875,283)   125,421 
National Beverage Corp.  Goldman Sachs  12/15/2025   4.58   Termination   (2,534)   (118,211)   10,039 
Novanta, Inc.  Morgan Stanley  12/08/2025   4.58   Termination   (13,027)   (2,044,067)   (102,262)
RLI Corp.  Morgan Stanley  12/08/2025   4.58   Termination   (22,213)   (3,063,395)   (214,578)
Rocket Cos., Inc., Class A  Goldman Sachs  03/02/2026   4.58   Termination   (20,002)   (157,216)   780 
Rocket Cos., Inc., Class A  Morgan Stanley  12/08/2025   4.58   Termination   (94,567)   (743,297)   37,827 
Wayfair Inc., Class A  Morgan Stanley  12/08/2025   4.58   Termination   (12,039)   (487,459)   (41,775)
WD-40 Co.  Morgan Stanley  12/08/2025   4.58   Termination   (14,202)   (2,463,053)   (86,206)
WD-40 Co.  Goldman Sachs  12/15/2025   4.58   Termination   (667)   (115,678)   (4,412)
Westamerica Bancorporation  Morgan Stanley  12/08/2025   4.58   Termination   (12,390)   (682,937)   60,587 
Wolfspeed, Inc.  Morgan Stanley  12/08/2025   4.58   Termination   (17,201)   (1,272,530)     116,795 
                       (68,621,684)     (1,613,915)
Total Short                      (97,972,146)     (2,526,704)
Net unrealized gain/(loss) on Contracts For Difference                     $(2,263,359)

 

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

 

42  |  Semi-Annual Report 2023

 
BOSTON PARTNERS INVESTMENT FUNDS February 28, 2023 (unaudited)
BOSTON PARTNERS LONG/SHORT RESEARCH FUND Portfolio Of Investments (concluded)

 

A summary of the inputs used to value the Fund’s investments carried at fair value as of February 28, 2023 is as follows (see Notes to Portfolio of Investments):

 

   TOTAL   LEVEL 1   LEVEL 2   LEVEL 3 
Common Stock                    
Communication Services  $39,883,747   $31,357,377   $8,526,370   $ 
Consumer Discretionary   73,089,679    58,026,495    15,063,184     
Consumer Staples   45,482,635    45,482,635         
Energy   59,710,902    59,710,902         
Financials   122,998,483    104,186,211    18,812,272     
Health Care   88,488,214    80,539,439    7,948,775     
Industrials   129,355,504    112,936,538    16,418,966     
Information Technology   94,957,561    88,948,929    6,008,632     
Materials   29,904,530    18,750,076    11,154,454     
Real Estate   18,237,813    17,272,225    965,588     
Utilities   11,114,701    11,114,701         
Warrants   7    7         
Short-Term Investments   42,455,942    42,455,942         
Contracts For Difference                    
Equity Contracts   3,248,955    3,248,955         
Total Assets  $758,928,673   $674,030,432   $84,898,241   $ 
                     
   TOTAL   LEVEL 1   LEVEL 2   LEVEL 3 
Securities Sold Short                    
Communication Services  $(17,773,614)  $(15,199,117)  $(2,574,497)  $ 
Consumer Discretionary   (38,979,519)   (31,355,365)   (7,624,154)    
Consumer Staples   (13,586,800)   (11,894,084)   (1,692,716)    
Energy   (11,691,792)   (11,691,792)        
Financials   (21,575,650)   (14,229,313)   (7,346,337)    
Health Care   (15,388,614)   (14,141,968)   (1,246,646)    
Industrials   (48,915,472)   (41,565,456)   (7,350,016)    
Information Technology   (28,270,798)   (21,727,791)   (6,543,007)    
Materials   (15,586,246)   (7,813,722)   (7,772,524)    
Real Estate   (7,343,475)   (5,017,616)   (2,325,859)    
Utilities   (2,183,572)   (2,183,572)        
Options Written                    
Equity Contracts   (6,049)   (6,049)        
Contracts For Difference                    
Equity Contracts   (5,512,314)   (5,512,314)        
Total Liabilities  $(226,813,915)  $(182,338,159)  $(44,475,756)  $ 

 

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

 

Semi-Annual Report 2023  |  43

 
BOSTON PARTNERS INVESTMENT FUNDS February 28, 2023 (unaudited)
BOSTON PARTNERS GLOBAL LONG/SHORT FUND Portfolio Of Investments

 

   NUMBER OF
SHARES
   VALUE 
LONG POSITIONS—103.3%          
COMMON STOCKS—86.1%          
Austria—0.7%          
Andritz AG   19,888   $1,227,252 
Bermuda—2.5%          
Everest Re Group Ltd.†#   10,745    4,125,758 
Brazil—0.7%          
Banco do Brasil SA*   142,400    1,098,031 
Canada—7.7%          
Canadian Natural Resources Ltd.   42,930    2,426,040 
Cenovus Energy, Inc.#   77,222    1,423,974 
Cenovus Energy, Inc.#   55,917    1,031,053 
MEG Energy Corp.*   48,686    769,271 
Suncor Energy, Inc.   122,262    4,109,150 
Teck Resources Ltd., Class B   79,825    3,186,614 
         12,946,102 
China—2.0%          
Alibaba Group Holding Ltd.*   307,200    3,376,572 
Meituan, Class B*   2,550    44,255 
         3,420,827 
Finland—0.9%          
Nordea Bank Abp   118,761    1,504,967 
France—6.8%          
AXA SA   48,653    1,533,125 
Capgemini SE   8,333    1,562,736 
Imerys SA   37,393    1,659,289 
Kering SA   1,514    887,688 
Rexel SA   48,098    1,195,596 
Sanofi   39,649    3,707,106 
SPIE SA   32,427    889,050 
         11,434,590 
Germany—2.4%          
Brenntag SE   19,990    1,505,708 
Daimler Truck Holding AG*   22,992    728,249 
Siemens AG   11,481    1,749,608 
         3,983,565 
India—1.4%          
HDFC Bank Ltd. - ADR†   34,514    2,334,527 
Ireland—3.7%          
Flutter Entertainment PLC*   10,543    1,684,892 
ICON PLC*   7,802    1,760,365 
Ryanair Holdings PLC*   173,239    2,697,811 
         6,143,068 
Israel—1.2%          
Check Point Software Technologies Ltd.*   15,775    1,951,683 
Japan—8.5%          
Fuji Corp.   48,900    740,595 
Idemitsu Kosan Co., Ltd.   34,700    767,963 
IHI Corp.   71,500    1,856,777 
Komatsu Ltd.   72,600    1,736,984 
Renesas Electronics Corp.*   458,000    5,916,213 
Sony Group Corp.   28,400    2,374,708 
Subaru Corp.   53,200    852,330 
         14,245,570 
Netherlands—3.5%          
Aalberts NV   46,594    2,264,996 
ING Groep NV   59,293    829,811 
Stellantis NV   158,358    2,760,076 
         5,854,883 
   NUMBER OF
SHARES
   VALUE 
Norway—0.3%        
Norsk Hydro ASA   59,462   $432,810 
Singapore—1.4%          
Genting Singapore Ltd.   1,002,200    758,137 
United Overseas Bank Ltd.   73,000    1,618,092 
         2,376,229 
South Korea—1.4%          
Hana Financial Group, Inc.   27,421    940,465 
POSCO Holdings, Inc.   5,494    1,324,183 
         2,264,648 
Switzerland—5.0%          
Glencore PLC*   505,910    3,016,163 
STMicroelectronics NV   86,191    4,128,678 
UBS Group AG*   58,744    1,276,815 
         8,421,656 
United Kingdom—2.6%          
Coca-Cola Europacific Partners PLC†   12,711    699,105 
Endeavour Mining PLC   58,184    1,211,012 
Ferroglobe PLC*†   120,880    603,191 
IMI PLC   96,401    1,802,526 
         4,315,834 
United States—33.4%          
Activision Blizzard, Inc.†   13,836    1,054,995 
AGCO Corp.†   21,495    3,026,711 
Alphabet, Inc., Class C*†#   16,241    1,466,562 
Applied Materials, Inc.†   11,374    1,321,090 
AutoZone, Inc.*#   612    1,521,762 
Bank of America Corp.†   61,717    2,116,893 
Booking Holdings, Inc.*#   1,568    3,957,632 
Centene Corp.*†   53,479    3,657,963 
Cigna Corp., (The)†#   11,862    3,464,890 
Cisco Systems, Inc.†   52,220    2,528,492 
Concentrix Corp.†   12,617    1,726,510 
CVS Health Corp.†   34,196    2,856,734 
Diamondback Energy, Inc.†#   12,708    1,786,491 
FleetCor Technologies, Inc.*   9,462    2,032,343 
FMC Corp.†#   8,864    1,144,786 
JPMorgan Chase & Co.†#   13,316    1,908,849 
Lennar Corp., Class A†#   17,993    1,740,643 
Micron Technology, Inc.†#   18,346    1,060,766 
NexTier Oilfield Solutions, Inc.*   210,696    1,923,654 
Oracle Corp.†#   52,722    4,607,903 
Ovintiv, Inc.   16,080    687,628 
ProFrac Holding Corp., Class A*†   61,591    1,178,236 
QUALCOMM, Inc.†   11,362    1,403,548 
StoneX Group, Inc.*†   9,290    936,711 
US Foods Holding Corp.*†   42,177    1,582,903 
Wells Fargo & Co.#   111,144    5,198,205 
         55,892,900 
TOTAL COMMON STOCKS
(Cost $124,800,164)
        143,974,900 
SHORT-TERM INVESTMENTS—17.2%          
BlackRock Liquidity Funds Treasury Trust Fund Portfolio, 4.47%(a)†   913,000    913,000 
Federated Hermes U.S. Treasury Cash Reserves, 4.42%(a)†   913,000    913,000 
Goldman Sachs Financial Square Funds - Treasury Instruments Fund, 4.48%(a)†   913,000    913,000 

 
 

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

 

44  |  Semi-Annual Report 2023

 
BOSTON PARTNERS INVESTMENT FUNDS February 28, 2023 (unaudited)
BOSTON PARTNERS GLOBAL LONG/SHORT FUND Portfolio Of Investments (continued)

 

   NUMBER OF
SHARES
   VALUE 
SHORT-TERM INVESTMENTS—(continued)          
MSILF Treasury Securities Portfolio, 4.42% (a)†   913,000   $913,000 
Tri-State Deposit, 4.45%(a)   16,175,293    16,175,293 
U.S. Bank Money Market Deposit Account, 4.25%(a)   8,989,343    8,989,343 
TOTAL SHORT-TERM INVESTMENTS
(Cost $28,816,636)
        28,816,636 
TOTAL LONG POSITIONS—103.3%
(Cost $153,616,800)
        172,791,536 
SECURITIES SOLD SHORT—(39.7%)          
COMMON STOCKS—(39.7%)          
Australia—(0.8%)          
Commonwealth Bank of Australia   (13,747)   (928,735)
Fortescue Metals Group Ltd.   (27,343)   (391,824)
         (1,320,559)
Belgium—(1.0%)          
Melexis NV   (9,398)   (1,016,538)
Umicore SA   (18,230)   (607,579)
         (1,624,117)
Bermuda—(0.5%)          
Triton International Ltd.   (12,582)   (867,403)
Canada—(0.8%)          
Lululemon Athletica, Inc.*   (2,441)   (754,757)
Saputo, Inc.   (18,923)   (506,740)
         (1,261,497)
China—(0.4%)          
Yum China Holdings, Inc.   (11,219)   (658,892)
Denmark—(0.4%)          
Ambu A/S, Class B   (45,039)   (660,005)
Finland—(0.4%)          
Valmet Oyj   (17,749)   (585,702)
France—(0.5%)          
Unibail-Rodamco-Westfield*   (13,689)   (864,972)
Germany—(0.8%)          
Covestro AG   (19,641)   (863,425)
Varta AG   (17,849)   (530,629)
         (1,394,054)
Hong Kong—(0.3%)          
Techtronic Industries Co., Ltd.   (52,500)   (522,861)
Ireland—(0.6%)          
Trane Technologies PLC   (5,698)   (1,053,959)
Japan—(3.5%)          
Aeon Co., Ltd.   (23,000)   (428,993)
Hirose Electric Co., Ltd.   (3,600)   (440,151)
Lasertec Corp.   (5,200)   (845,496)
Murata Manufacturing Co., Ltd.   (14,500)   (776,147)
Musashi Seimitsu Industry Co., Ltd.   (62,500)   (806,936)
Nidec Corp.   (9,800)   (497,345)
Nippon Paper Industries Co., Ltd.   (45,200)   (361,500)
Nomura Real Estate Master Fund, Inc.*   (667)   (739,339)
Rakuten Group, Inc.   (178,400)   (879,366)
         (5,775,273)
Netherlands—(0.3%)          
Universal Music Group NV   (22,501)   (530,153)
   NUMBER OF
SHARES
   VALUE 
New Zealand—(0.4%)          
Xero Ltd.*   (12,888)  $(671,258)
Norway—(0.4%)          
Crayon Group Holding ASA*   (80,783)   (728,684)
Sweden—(1.7%)          
Epiroc AB*   (30,974)   (595,255)
EQT AB   (26,263)   (587,357)
Husqvarna AB, Class B   (104,099)   (921,698)
Telia Co., AB   (300,878)   (776,983)
         (2,881,293)
Switzerland—(3.7%)          
Bucher Industries AG   (876)   (395,987)
Credit Suisse Group AG   (233,211)   (703,056)
EMS-Chemie Holding AG   (953)   (722,106)
Givaudan SA   (277)   (834,956)
Idorsia Ltd.*   (61,451)   (811,480)
Kardex Holding AG   (4,236)   (787,813)
Kuehne + Nagel International AG   (1,631)   (417,597)
Logitech International SA   (20,430)   (1,115,897)
VAT Group AG*   (1,287)   (388,477)
         (6,177,369)
United Kingdom—(0.5%)          
Haleon PLC - ADR*   (111,379)   (877,667)
United States—(22.7%)          
Ameresco, Inc., Class A*   (14,929)   (656,130)
Antero Resources Corp.*   (24,229)   (634,800)
Appfolio, Inc., Class A*   (3,729)   (492,452)
AptarGroup, Inc.   (9,220)   (1,076,158)
Avangrid, Inc.   (12,376)   (483,035)
AZEK Co Inc/The*   (29,815)   (718,243)
Ball Corp.   (9,665)   (543,270)
Cassava Sciences, Inc.*   (14,725)   (363,707)
Central Garden & Pet Co., Class A*   (8,711)   (334,764)
Ceridian HCM Holding, Inc.*   (10,027)   (731,269)
Cheesecake Factory Inc., (The)   (13,863)   (519,031)
Chipotle Mexican Grill, Inc.*   (449)   (669,495)
Cincinnati Financial Corp.   (6,704)   (809,173)
Coinbase Global, Inc., Class A*   (4,653)   (301,654)
Coterra Energy, Inc.   (31,479)   (786,031)
Credit Acceptance Corp.*   (2,570)   (1,141,954)
Cullen/Frost Bankers, Inc.   (3,954)   (521,216)
Doximity, Inc., Class A*   (11,205)   (376,824)
EQT Corp.   (16,994)   (563,861)
First Financial Bankshares, Inc.   (21,395)   (784,769)
Floor & Decor Holdings, Inc., Class A*   (13,483)   (1,237,874)
General Electric Co.   (6,172)   (522,830)
Greif, Inc., Class A   (10,310)   (732,525)
Hormel Foods Corp.   (13,137)   (583,020)
Huntsman Corp.   (14,752)   (432,824)
iHeartMedia, Inc., Class A*   (29,090)   (211,193)
LGI Homes, Inc.*   (7,717)   (804,960)
Lightwave Logic, Inc.*   (50,492)   (297,903)
Lowe’s Cos., Inc.   (3,223)   (663,132)
Lucid Group, Inc.*   (38,222)   (348,967)
Matador Resources Co.   (22,426)   (1,206,295)
Mattel, Inc.*   (55,652)   (1,001,179)
McCormick & Co., Inc.   (14,709)   (1,093,173)
Mercury Systems, Inc.*   (6,113)   (319,954)

 
 

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

 

Semi-Annual Report 2023  |  45

 
BOSTON PARTNERS INVESTMENT FUNDS February 28, 2023 (unaudited)
BOSTON PARTNERS GLOBAL LONG/SHORT FUND Portfolio Of Investments (continued)

 

   NUMBER OF
SHARES
   VALUE 
United States—(continued)          
Mosaic Co., (The)   (10,289)  $(547,272)
National Beverage Corp.*   (13,281)   (619,559)
Paramount Global, Class B   (44,819)   (960,023)
Permian Resources Corp.   (48,561)   (524,944)
Portillo’s, Inc., Class A*   (29,540)   (671,149)
PureCycle Technologies, Inc.*   (52,237)   (333,272)
QuantumScape Corp.*   (33,935)   (324,758)
Saia, Inc.*   (2,310)   (625,710)
Selective Insurance Group, Inc.   (6,353)   (645,020)
Southern Copper Corp.   (15,900)   (1,171,671)
Steel Dynamics, Inc.   (3,320)   (418,685)
Summit Materials, Inc., Class A*   (33,924)   (1,002,117)
T Rowe Price Group, Inc.   (20,711)   (2,325,431)
Tandem Diabetes Care, Inc.*   (11,241)   (403,102)
Tesla, Inc.*   (9,024)   (1,856,327)
Warner Music Group Corp.,          
Class A   (13,942)   (440,010)
Watsco, Inc.   (3,649)   (1,111,887)
WD-40 Co.   (4,008)   (695,107)
West Pharmaceutical Services, Inc.   (1,737)   (550,681)
Wingstop, Inc.   (2,812)   (479,024)
Wolfspeed, Inc.*   (4,305)   (318,484)
         (37,987,898)
TOTAL COMMON STOCKS
(Proceeds $(66,336,427))
        (66,443,616)
TOTAL SECURITIES SOLD SHORT—(39.7%)
(Proceeds $(66,336,427))
        (66,443,616)
                   
   NUMBER OF
CONTRACTS
     NOTIONAL
AMOUNT
         
                
OPTIONS WRITTEN ††—(1.6%)
Call Options Written—(1.6%)
Alphabet, Inc.
Expiration:

04/21/2023, Exercise Price: 80.00

   (162)   (1,462,860)   (194,400)
AutoZone, Inc.
Expiration:

03/17/2023, Exercise Price: 2,300.00

   (3)   (745,962)   (59,700)
Booking Holdings, Inc. Expiration:

06/16/2023, Exercise Price: 2,350.00

   (8)   (2,019,200)   (241,560)
Expiration:

06/16/2023, Exercise Price: 2,450.00

   (7)   (1,766,800)   (170,800)
Cenovus Energy, Inc.
Expiration:

06/16/2023, Exercise Price: 21.00

   (772)   (1,423,568)   (65,620)
   NUMBER OF
CONTRACTS
   NOTIONAL
AMOUNT
   VALUE 
Call Options Written—(continued)               
Cigna Corp., (The)
Expiration:

06/16/2023, Exercise Price: 300.00

   (116)   (3,388,360)  $(146,740)
Diamondback Energy, Inc.
Expiration:

03/17/2023, Exercise Price: 128.49

   (100)   (1,405,800)   (124,500)
Everest Re Group Ltd.
Expiration:

10/20/2023, Exercise Price: 370.00

   (54)   (2,073,438)   (221,400)
FMC Corp.
Expiration:

07/21/2023, Exercise Price: 120.00

   (69)   (891,135)   (100,740)
JPMorgan Chase & Co.
Expiration:

04/21/2023, Exercise Price: 120.00

   (105)   (1,505,175)   (249,900)
Lennar Corp.
Expiration:

06/16/2023, Exercise Price: 80.00

   (89)   (860,986)   (171,770)
Micron Technology, Inc.
Expiration:

03/17/2023, Exercise Price: 50.00

   (136)   (786,352)   (109,888)
Oracle Corp.
Expiration:

09/15/2023, Exercise Price: 82.50

   (395)   (3,452,300)   (446,350)
Wells Fargo & Co.
Expiration:

06/16/2023, Exercise Price: 42.50

   (508)   (2,375,916)   (297,180)
TOTAL CALL OPTIONS WRITTEN
(Premiums received $(2,716,116))
   (2,600,548)
TOTAL OPTIONS WRITTEN
(Premiums received $(2,716,116))
    (2,600,548)
OTHER ASSETS IN EXCESS OF LIABILITIES—38.0%             63,610,507 
NET ASSETS—100.0%            $167,357,879 

 

 
ADR   American Depositary Receipt
PLC   Public Limited Company
*   Non-income producing.
(a)   The rate shown is as of February 28, 2023.
  Security position is either entirely or partially held in a segregated account as collateral for securities sold short.
#   Security segregated as collateral for options written.
††   Primary risk exposure is equity contracts.

 
 

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

 

46  |  Semi-Annual Report 2023

 
BOSTON PARTNERS INVESTMENT FUNDS February 28, 2023 (unaudited)
BOSTON PARTNERS GLOBAL LONG/SHORT FUND Portfolio Of Investments (continued)

 

Contracts For Difference held by the Fund at February 28, 2023, are as follows:

 

REFERENCE
COMPANY
    COUNTERPARTY   EXPIRATION
DATE
    FINANCING
RATE
    PAYMENT
FREQUENCY
    NUMBER OF
CONTRACTS
LONG/
(SHORT)
    NOTIONAL
AMOUNT
    UNREALIZED
APPRECIATION
(DEPRECIATION)
Long                         
Ireland                         
CRH PLC    Goldman Sachs    12/08/2025   3.93%     Termination   30,060   $1,412,859     $221,000 
United Kingdom                                 
AstraZeneca PLC    Morgan Stanley    01/19/2026   3.93   Termination   15,835    2,072,325    (136,637)
CVS Group PLC    Morgan Stanley    01/19/2026   3.93   Termination   41,654    939,941    (20,846)
Future PLC    Morgan Stanley    01/19/2026   3.93   Termination   104,132    1,756,075    (139,896)
JD Sports Fashion PLC    Morgan Stanley    01/19/2026   3.93   Termination   699,180    1,523,064    189,332 
WH Smith PLC    Goldman Sachs    12/08/2025   3.93   Termination   92,554    1,758,989      129,105 
                           8,050,394      21,058 
Total Long                          9,463,253      242,058 
Short                                 
Brazil                                 
Klabin SA - Unit    Morgan Stanley    01/19/2026   4.58   Termination   (110,100)   (409,659)   27,034 
Klabin SA - Unit    Goldman Sachs    12/22/2025   4.58   Termination   (11,500)   (42,789)     924 
                           (452,448)   27,958 
Japan                                 
Ibiden Co., Ltd.    Goldman Sachs    02/24/2026   -0.01   Termination   (25,700)   (882,432)   (22,601)
Shinko Electric Industries Co., Ltd.    Goldman Sachs    02/24/2026   -0.01   Termination   (21,300)   (584,301)     (2,370)
                           (1,466,733)   (24,971)
South Korea                                 
KakaoBank Corp.    Goldman Sachs    02/13/2026   4.58   Termination   (18,685)   (376,312)   31,942 
KakaoBank Corp.    Morgan Stanley    02/23/2026   4.58   Termination   (20,610)   (415,081)   (32,068)
SK Bioscience Co., Ltd.    Morgan Stanley    02/16/2026   4.58   Termination   (8,737)   (460,207)     30,995 
                           (1,251,600)   30,869 
Taiwan                                 
Advantech Co., Ltd.    Morgan Stanley    01/19/2026   4.58   Termination   (2,000)   (23,433)   (1,130)
Advantech Co., Ltd.    Goldman Sachs    12/08/2025   4.58   Termination   (84,000)   (984,197)   (74,819)
Advantech Co., Ltd.    HSBC    12/22/2025   0.00   Termination   (1,000)   (11,717)   (1,151)
Compal Electronics, Inc.    Morgan Stanley    01/19/2026   4.58   Termination   (106,000)   (84,015)   (4,102)
Compal Electronics, Inc.    Goldman Sachs    12/08/2025   4.58   Termination   (1,018,000)   (806,863)   (73,597)
Compal Electronics, Inc.    HSBC    12/22/2025   0.00   Termination   (12,000)   (9,511)   (655)
Nan Ya Plastics Corp.    Morgan Stanley    01/19/2026   4.58   Termination   (7,000)   (17,368)   (47)
Nan Ya Plastics Corp.    Goldman Sachs    12/08/2025   4.58   Termination   (287,000)   (712,096)   1,881 
Pan Jit International, Inc.    Morgan Stanley    01/19/2026   4.58   Termination   (54,000)   (118,387)   (6,500)
Pan Jit International, Inc.    Goldman Sachs    12/08/2025   4.58   Termination   (407,000)   (892,289)   (16,553)
Pan Jit International, Inc.    HSBC    12/22/2025   0.00   Termination   (5,000)   (10,962)     (1,013)
                           (3,670,838)   (177,686)
United Kingdom                                 
abrdn PLC    Goldman Sachs    02/23/2026   3.93   Termination   (302,528)   (817,309)   (57,665)
Antofagasta PLC    Morgan Stanley    01/19/2026   3.93   Termination   (2,280)   (43,057)   4,703 
Antofagasta PLC    Goldman Sachs    12/08/2025   3.93   Termination   (116,728)   (2,204,376)   (139,962)
Ashmore Group PLC    Morgan Stanley    01/19/2026   3.93   Termination   (18,432)   (59,773)   (798)
Ashmore Group PLC    Goldman Sachs    12/08/2025   3.93   Termination   (282,068)   (914,712)   (138,761)
Associated British Foods PLC    Morgan Stanley    01/19/2026   3.93   Termination   (752)   (18,154)   (1,388)
Associated British Foods PLC    Goldman Sachs    12/08/2025   3.93   Termination   (20,509)   (495,111)   (85,887)
Dunelm Group PLC    Morgan Stanley    01/19/2026   3.93   Termination   (1,523)   (23,027)   (4,067)
Dunelm Group PLC    Goldman Sachs    12/08/2025   3.93   Termination   (31,799)   (480,795)   (96,695)
Fevertree Drinks PLC    Goldman Sachs    02/09/2026   3.93   Termination   (29,834)   (382,184)   24,689 
Next PLC    Morgan Stanley    01/19/2026   3.93   Termination   (6,076)   (500,048)   (13,598)
Next PLC    Goldman Sachs    12/08/2025   3.93   Termination   (1,453)   (119,580)   (18,054)
Ocado Group PLC    Goldman Sachs    02/16/2026   3.93   Termination   (97,098)   (640,966)   99,365 
Oxford Nanopore Technologies PLC    Morgan Stanley    01/19/2026   3.93   Termination   (134,849)   (339,004)   97,878 
Oxford Nanopore Technologies PLC    Goldman Sachs    12/08/2025   3.93   Termination   (78,941)   (198,454)   49,717 
Pearson PLC    Goldman Sachs    01/09/2026   3.93   Termination   (69,459)   (767,311)              (13,195)
                           (8,003,861)     (293,718)

 

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

 

Semi-Annual Report 2023  |  47

 
BOSTON PARTNERS INVESTMENT FUNDS February 28, 2023 (unaudited)
BOSTON PARTNERS GLOBAL LONG/SHORT FUND Portfolio Of Investments (continued)

 

REFERENCE
COMPANY
  COUNTERPARTY   EXPIRATION
DATE
  FINANCING
RATE
  PAYMENT
FREQUENCY
  NUMBER OF
CONTRACTS
LONG/
(SHORT)
  NOTIONAL
AMOUNT
  UNREALIZED
APPRECIATION
(DEPRECIATION)
United States                                 
Adient PLC    Morgan Stanley    01/19/2026   4.58   Termination   (532)  $(22,727)                  $(410)
Adient PLC    Goldman Sachs    12/08/2025   4.58   Termination   (27,201)   (1,162,027)     (163,711)
                           (1,184,754)     (164,121)
Total Short                          (16,030,234)     (601,669)
Net unrealized gain/(loss) on Contracts For Difference          $(359,611)

 

A summary of the inputs used to value the Fund’s investments carried at fair value as of February 28, 2023 is as follows (see Notes to Portfolio of Investments):

 

   TOTAL   LEVEL 1   LEVEL 2   LEVEL 3 
Common Stock                    
Austria  $1,227,252   $   $1,227,252   $ 
Bermuda   4,125,758    4,125,758         
Brazil   1,098,031    1,098,031         
Canada   12,946,102    12,946,102         
China   3,420,827        3,420,827     
Finland   1,504,967        1,504,967     
France   11,434,590        11,434,590     
Germany   3,983,565        3,983,565     
India   2,334,527    2,334,527         
Ireland   6,143,068    1,760,365    4,382,703     
Israel   1,951,683    1,951,683         
Japan   14,245,570        14,245,570     
Netherlands   5,854,883        5,854,883     
Norway   432,810        432,810     
Singapore   2,376,229        2,376,229     
South Korea   2,264,648        2,264,648     
Switzerland   8,421,656        8,421,656     
United Kingdom   4,315,834    2,513,308    1,802,526     
United States   55,892,900    55,892,900         
Short-Term Investments   28,816,636    12,641,343    16,175,293     
Contracts For Difference                    
Equity Contracts   908,565    908,565         
Total Assets  $173,700,101   $96,172,582   $77,527,519   $ 

 

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

 

48  |  Semi-Annual Report 2023

 
BOSTON PARTNERS INVESTMENT FUNDS February 28, 2023 (unaudited)
BOSTON PARTNERS GLOBAL LONG/SHORT FUND Portfolio Of Investments (concluded)

 

   TOTAL   LEVEL 1   LEVEL 2   LEVEL 3 
Securities Sold Short                    
Australia  $(1,320,559)  $   $(1,320,559)  $ 
Belgium   (1,624,117)       (1,624,117)    
Bermuda   (867,403)   (867,403)        
Canada   (1,261,497)   (1,261,497)        
China   (658,892)   (658,892)        
Denmark   (660,005)       (660,005)    
Finland   (585,702)       (585,702)    
France   (864,972)       (864,972)    
Germany   (1,394,054)       (1,394,054)    
Hong Kong   (522,861)       (522,861)    
Ireland   (1,053,959)   (1,053,959)        
Japan   (5,775,273)       (5,775,273)    
Netherlands   (530,153)       (530,153)    
New Zealand   (671,258)       (671,258)    
Norway   (728,684)       (728,684)    
Sweden   (2,881,293)       (2,881,293)    
Switzerland   (6,177,369)       (6,177,369)    
United Kingdom   (877,667)   (877,667)        
United States   (37,987,898)   (37,987,898)        
Options Written                    
Equity Contracts   (2,600,548)   (1,680,878)   (919,670)    
Contracts For Difference                    
Equity Contracts   (1,268,176)   (1,268,176)        
Total Liabilities  $(70,312,340)  $(45,656,370)  $(24,655,970)  $ 

 

* Value equals 0 as of the end of the reporting period.

 

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

 

Semi-Annual Report 2023  |  49

 
BOSTON PARTNERS INVESTMENT FUNDS February 28, 2023 (unaudited)
BOSTON PARTNERS EMERGING MARKETS DYNAMIC EQUITY FUND Portfolio Of Investments

 

   NUMBER OF
SHARES
   VALUE 
LONG POSITIONS—98.1%          
COMMON STOCKS—55.6%          
Brazil—2.6%          
Eletromidia SA*   380,078   $946,665 
Localiza Rent a Car SA*   173    1,838 
Minerva SA   65,000    141,163 
Sendas Distribuidora SA*   95,300    330,199 
         1,419,865 
China—7.7%          
China State Construction Engineering Corp., Ltd., Class A†   798,400    646,829 
Fufeng Group Ltd.   321,000    205,848 
Muyuan Foods Co., Ltd., Class A†   116,481    830,377 
Proya Cosmetics Co., Ltd., Class A†   24,900    654,836 
Rianlon Corp., Class A†   40,400    297,837 
Tech-Bank Food Co., Ltd., Class A†   913,830    799,764 
Xiamen Xiangyu Co., Ltd., Class A†   93,700    153,913 
YTO Express Group Co., Ltd., Class A†   264,000    690,626 
         4,280,030 
Greece—0.6%          
JUMBO SA   16,107    321,623 
Hungary—0.7%          
Richter Gedeon Nyrt   19,701    412,966 
India—10.9%          
Apollo Tyres Ltd.   183,173    693,694 
Bajaj Auto Ltd.   9,898    438,061 
Bank of Baroda   607,837    1,167,607 
Bharti Airtel Ltd.   35,267    316,425 
Bharti Airtel Ltd.   4,783    20,921 
Indian Hotels Co., Ltd.   112,482    422,424 
ITC Ltd.   110,354    502,629 
Mahindra & Mahindra Ltd.   44,402    681,262 
Maruti Suzuki India Ltd.   6,855    714,402 
PB Fintech Ltd.*   84,977    572,997 
Phoenix Mills Ltd., (The)   13,027    217,826 
Power Grid Corp. of India Ltd.   106,082    284,969 
         6,033,217 
Indonesia—3.5%          
Bank Central Asia Tbk PT   777,400    445,869 
Bank Mandiri Persero Tbk PT   2,330,200    1,527,564 
         1,973,433 
Israel—0.7%          
Mizrahi Tefahot Bank Ltd.   12,592    374,448 
Mexico—2.9%          
Arca Continental SAB de CV   20,400    172,786 
Grupo Bimbo SAB de CV, Class A   102,100    486,770 
Grupo Financiero Banorte SAB de CV, Class O   111,200    941,309 
         1,600,865 
Poland—1.7%          
Dino Polska SA*   11,165    932,094 
Russia—0.0%          
Fix Price Group PLC - GDR*   21,704    0 
Singapore—3.5%          
DBS Group Holdings Ltd.   44,100    1,118,867 
United Overseas Bank Ltd.   37,000    820,129 
         1,938,996 
   NUMBER OF
SHARES
   VALUE 
South Africa—0.7%          
Life Healthcare Group Holdings Ltd.   84,151   $89,726 
Shoprite Holdings Ltd.   25,560    309,511 
         399,237 
South Korea—9.2%          
Hankook Tire & Technology Co., Ltd.   49,795    1,400,712 
HL Mando Co., Ltd.   12,749    456,634 
Hyundai Mobis Co., Ltd.   1,882    302,294 
JYP Entertainment Corp.   1,868    110,948 
LIG Nex1 Co., Ltd.   6,400    361,003 
Orion Corp.   3,492    330,078 
SK Hynix, Inc.   31,851    2,152,643 
         5,114,312 
Taiwan—4.8%          
Accton Technology Corp.   186,000    1,703,429 
Delta Electronics, Inc.   31,000    290,027 
Lotes Co., Ltd.   5,328    149,669 
Nanya Technology Corp.   121,000    230,325 
Voltronic Power Technology Corp.   1,000    52,214 
Wiwynn Corp.   7,000    219,503 
         2,645,167 
Thailand—6.1%          
AP Thailand PCL - NVDR   1,617,100    567,150 
Bangkok Dusit Medical Services PCL   720,800    571,072 
Bumrungrad Hospital PCL   74,100    442,404 
Kiatnakin Phatra Bank PCL - NVDR   550,800    1,039,844 
Supalai PCL - NVDR   1,202,200    775,419 
         3,395,889 
TOTAL COMMON STOCKS
(Cost $29,407,865)
        30,842,142 
PREFERRED STOCKS—1.1%          
South Korea—1.1%          
Samsung Electronics Co., Ltd. 2.706%   15,243    614,659 
TOTAL PREFERRED STOCKS
(Cost $285,774)
        614,659 
EXCHANGE TRADED FUNDS—0.3%      
Thailand—0.3%          
Jasmine Broadband Internet Infrastructure Fund   610,800    141,720 
TOTAL EXCHANGE TRADED FUNDS
(Cost $210,578)
        141,720 
SHORT-TERM INVESTMENTS—41.1%
BlackRock Liquidity Funds Treasury Trust Fund Portfolio, 4.47%(a)†   3,675,447    3,675,447 
Federated Hermes U.S. Treasury Cash Reserves, 4.42%(a)†   3,971,707    3,971,707 
Goldman Sachs Financial Square Funds - Treasury Instruments Fund, 4.48%(a)†   3,675,447    3,675,447 
MSILF Treasury Securities Portfolio, 4.42%(a)†   3,379,188    3,379,188 
Tri-State Deposit, 4.45%(a)   5,823,594    5,823,594 
U.S. Bank Money Market Deposit Account, 4.25%(a)   2,265,848    2,265,848 
TOTAL SHORT-TERM INVESTMENTS
(Cost $22,791,231)
        22,791,231 
TOTAL LONG POSITIONS—98.1%
(Cost $52,695,448)
        54,389,752 

 
 

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

 

50  |  Semi-Annual Report 2023

 
BOSTON PARTNERS INVESTMENT FUNDS February 28, 2023 (unaudited)
BOSTON PARTNERS EMERGING MARKETS DYNAMIC EQUITY FUND Portfolio Of Investments (continued)

 

   NUMBER OF
SHARES
   VALUE 
SECURITIES SOLD SHORT—(0.2%)          
COMMON STOCKS—(0.2%)          
United Kingdom—(0.2%)          
Antofagasta PLC   (4,212)  $(79,454)
TOTAL COMMON STOCKS
(Proceeds $(74,356))
        (79,454)
TOTAL SECURITIES SOLD SHORT—(0.2%)
(Proceeds $(74,356))
        (79,454)
OTHER ASSETS IN EXCESS OF LIABILITIES—2.1%        1,136,731 
NET ASSETS—100.0%       $55,447,029 

 

 
GDR   Global Depositary Receipt
NVDR   Non-voting Depository Receipt
PLC       Public Limited Company
*   Non-income producing.
  Security position is either entirely or partially held in a segregated account as collateral for securities sold short.
(a)   The rate shown is as of February 28, 2023.
  Security has been valued at fair market value using significant unobservable inputs as determined in good faith by Boston Partners, as valuation designee, under the oversight of The RBB Fund, Inc.’s Board of Directors. As of February 28, 2023, these securities amounted to $1,013,476 or 1.8% of net assets.

 
 

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

 

Semi-Annual Report 2023  |  51

 
BOSTON PARTNERS INVESTMENT FUNDS February 28, 2023 (unaudited)
BOSTON PARTNERS EMERGING MARKETS DYNAMIC EQUITY FUND Portfolio Of Investments (continued)

 

Contracts For Difference held by the Fund at February 28, 2023, are as follows:

 

REFERENCE
COMPANY
    COUNTERPARTY   EXPIRATION
DATE
    FINANCING
RATE
    PAYMENT
FREQUENCY
    NUMBER OF
CONTRACTS
LONG/
(SHORT)
     NOTIONAL
AMOUNT
     UNREALIZED
APPRECIATION
(DEPRECIATION)
Long                                   
Austria                                   
Erste Group Bank AG    Goldman Sachs    08/12/25   2.40%  Termination   4,261   $167,565                  $34,027 
Raiffeisen Bank International AG    Morgan Stanley    08/12/25   2.48   Termination   13,070    218,421      10,921 
                           385,986      44,948 
Brazil                                   
Banco do Brasil SA    Morgan Stanley    08/12/25   4.58   Termination   277,900    2,142,858      254,487 
Cielo SA    Morgan Stanley    08/12/25   4.58   Termination   281,900    259,530      23,588 
Itau Unibanco Holding SA - SP ADR    Goldman Sachs    08/12/25   4.58   Termination   87,808    422,356      (6,253)
Sendas Distribuidora SA    Goldman Sachs    08/12/25   4.58   Termination   40,100    138,940      (16,518)
                           2,963,684      255,304 
China                                   
Alibaba Group Holding Ltd.    Goldman Sachs    08/12/25   2.41   Termination   21,100    232,521      (16,532)
Alibaba Group Holding Ltd. - SP ADR    Goldman Sachs    08/12/25   4.58   Termination   4,733    415,510      (12,921)
JD.com, Inc. - ADR    Goldman Sachs    08/12/25   4.58   Termination   11,856    526,881      (174,757)
JD.com, Inc., Class A    Goldman Sachs    08/12/25   2.41   Termination   854    18,898      (7,387)
Meituan, Class B    Goldman Sachs    31/12/25   0.00   Termination   1,170    20,287      20,287 
Petpal Pet Nutrition Technology Co., Ltd., Class A    HSBC    05/01/26   4.55   Termination   106,200    300,416      31,042 
Pinduoduo, Inc. - ADR    Goldman Sachs    08/12/25   4.58   Termination   11,966    1,049,777      (12,113)
Proya Cosmetics Co., Ltd., Class A    Goldman Sachs    08/12/25   4.58   Termination   24,900    654,848      66,594 
Tencent Holdings Ltd.    Goldman Sachs    08/12/25   2.41   Termination   11,700    512,156      44,121 
Trip.com Group Ltd. - ADR    Goldman Sachs    08/12/25   4.58   Termination   15,226    541,284      5,093 
Wens Foodstuffs Group Co., Ltd., Class A    JPMorgan    09/02/26   1.17   Termination   380,020    1,083,753      (84,286)
                           5,356,331      (140,859)
Greece                                   
Hellenic Telecommunications Organization SA    Goldman Sachs    03/02/26   2.40   Termination   17,506    268,853      630 
India                                   
Reliance Industries Ltd. - GDR    Goldman Sachs    08/12/25   4.58   Termination   2,046    113,962      (18,196)
Israel                                   
INMODE Ltd.    Goldman Sachs    08/12/25   4.58   Termination   33,660    1,188,535      (36,098)
Mizrahi Tefahot Bank Ltd.    Goldman Sachs    12/12/25   3.91   Termination   16,625    494,645      (65,621)
                           1,683,180      (101,719)
Japan                                   
Suzuki Motor Corp.    Goldman Sachs    08/12/25   -0.01   Termination   34,200    1,201,415      20,116 
Mexico                                   
Arca Continental SAB de CV    Goldman Sachs    02/03/26   4.58   Termination   16,500    139,258      (184)
Coca-Cola Femsa SAB de CV    Goldman Sachs    08/12/25   4.58   Termination   22,041    159,304      10,415 
Coca-Cola Femsa SAB de CV - SP ADR    Goldman Sachs    09/02/26   4.58   Termination   3,797    273,422      (4,075)
Grupo Bimbo SAB de CV, Class A    Goldman Sachs    09/12/25   4.58   Termination   35,000    166,865      17,790 
Grupo Comercial Chedraui SA de CV    Morgan Stanley    08/12/25   4.58   Termination   81,800    415,784      73,102 
Grupo Financiero Banorte SAB de CV, Class O    Goldman Sachs    08/12/25   4.58   Termination   105,200    890,519      29,977 
                           2,045,152      127,025 
Portugal                                   
Jeronimo Martins SGPS SA    Goldman Sachs    08/12/25   2.40   Termination   60,933    1,251,593      (56,846)

 

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

 

52  |  Semi-Annual Report 2023

 
BOSTON PARTNERS INVESTMENT FUNDS February 28, 2023 (unaudited)
BOSTON PARTNERS EMERGING MARKETS DYNAMIC EQUITY FUND Portfolio Of Investments (continued)

 

REFERENCE
COMPANY
    COUNTERPARTY   EXPIRATION
DATE
    FINANCING
RATE
    PAYMENT
FREQUENCY
    NUMBER OF
CONTRACTS
LONG/
(SHORT)
     NOTIONAL
AMOUNT
     UNREALIZED
APPRECIATION
(DEPRECIATION)
Russia                                   
Detsky Mir PJSC    Goldman Sachs    18/09/25   4.58   Monthly   316,240   $                  $(469,315)
Headhunter Group PLC - ADR    Morgan Stanley    19/09/23   4.58   Monthly   7,725          (116,107)
Magnit PJSC - SP GDR    Goldman Sachs    16/09/25   4.58   Monthly   37,249          (462)
Sberbank PJSC - SP ADR    Goldman Sachs    16/09/25   4.58   Monthly   23,338          (1,057)
                                 (586,941)
Singapore                                   
DBS Group Holdings Ltd.    Goldman Sachs    08/12/25   3.87   Termination   44,551    1,128,931      423 
South Africa                                   
Aspen Pharmacare Holdings Ltd.    Morgan Stanley    09/12/25   7.19   Termination   58,826    454,496      (2,080)
South Korea                                   
Hyundai Mobis Co., Ltd.    Goldman Sachs    08/12/25   4.58   Termination   2,774    445,475      (3,034)
KT&G Corp.    Goldman Sachs    03/02/26   4.58   Termination   4,049    271,412      (32,045)
Orion Corp.    Goldman Sachs    02/02/26   4.58   Termination   7,035    664,557      (42,160)
SK Hynix, Inc.    Goldman Sachs    08/12/25   4.58   Termination   5,167    349,087      25,313 
                           1,730,531      (51,926)
United Kingdom                                   
Pepco Group NV    Goldman Sachs    03/02/26   4.58   Termination   34,423    340,937      5,071 
United States                                   
Banco Santander Chile - ADR    Morgan Stanley    08/12/25   4.58   Termination   3,843    64,486      5,802 
Coupang, Inc.    Goldman Sachs    08/12/25   4.58   Termination   74,961    1,162,645      (185,961)
Grupo Aeroportuario del Centro Norte SAB de CV - SP ADR    Goldman Sachs    08/12/25   4.58   Termination   12,075    941,729      127,633 
Grupo Aeroportuario del Pacifico SAB de CV - SP ADR    Goldman Sachs    08/12/25   4.58   Termination   8,351    1,587,359      301,221 
                           3,756,219      248,695 
Total Long                          22,681,270      (256,355)
Short                                   
Brazil                                   
B3 SA - Brasil Bolsa Balcao    Bank of America    08/12/25   4.58   Termination   (42,800)   (86,574)     13,042 
Hapvida Participacoes e Investimentos SA    Goldman Sachs    08/12/25   4.58   Termination   (70,632)   (60,440)     6,605 
Klabin SA - Unit    Morgan Stanley    08/12/25   4.58   Termination   (14,600)   (54,324)     2,152 
Natura & Co. Holding SA    Morgan Stanley    08/12/25   4.58   Termination   (40,000)   (117,430)     (22,582)
OI SA    Goldman Sachs    08/12/25   4.58   Termination   (180,680)   (69,022)     (7,157)
OI SA    Morgan Stanley    22/12/25   4.58   Termination   (386,070)   (147,483)     (1,549)
Pagseguro Digital Ltd., Class A    Goldman Sachs    08/12/25   4.58   Termination   (6,894)   (59,771)     3,861 
Suzano SA - SP ADR    Goldman Sachs    08/12/25   4.58   Termination   (5,780)   (52,771)     3,901 
                           (647,815)     (1,727)
China                                   
China National Building Material Co., Ltd., Class H    Goldman Sachs    08/12/25   2.41   Termination   (622,000)   (550,730)     (31,757)
China Resources Microelectronics Ltd., Class A    Morgan Stanley    29/12/25   4.58   Termination   (37,000)   (288,934)     (676)
Flat Glass Group Co., Ltd., Class H    Bank of America    08/12/25   2.41   Termination   (157,000)   (415,032)     (12,001)
Hangzhou Silan Microelectronics Co., Ltd., Class A    Goldman Sachs    08/12/25   4.58   Termination   (31,600)   (153,506)     12,151 
Hangzhou Silan Microelectronics Co., Ltd., Class A    HSBC    05/12/25   4.55   Termination   (18,512)   (89,927)     6,525 
Hua Hong Semiconductor Ltd.    Goldman Sachs    08/12/25   2.41   Termination   (149,000)   (570,419)     (60,744)
Kanzhun Ltd. - ADR    Goldman Sachs    08/12/25   4.58   Termination   (10,131)   (204,140)     (6,180)
Maxscend Microelectronics Co., Ltd., Class A    Goldman Sachs    08/12/25   4.58   Termination   (13,000)   (219,745)     (3,426)
Shenzhen Goodix Technology Co., Ltd., Class A    Goldman Sachs    08/12/25   4.58   Termination   (5,600)   (43,359)     (1,063)
Shenzhen Goodix Technology Co., Ltd., Class A    Morgan Stanley    09/12/25   4.58   Termination   (1,611)   (12,474)     1,228 
Skshu Paint Co., Ltd., Class A    HSBC    05/12/25   4.55   Termination   (32,700)   (576,823)     (16,124)

 

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

 

Semi-Annual Report 2023  |  53

 
BOSTON PARTNERS INVESTMENT FUNDS February 28, 2023 (unaudited)
BOSTON PARTNERS EMERGING MARKETS DYNAMIC EQUITY FUND Portfolio Of Investments (continued)

 

REFERENCE
COMPANY
    COUNTERPARTY   EXPIRATION
DATE
    FINANCING
RATE
    PAYMENT
FREQUENCY
    NUMBER OF
CONTRACTS
LONG/
(SHORT)
     NOTIONAL
AMOUNT
     UNREALIZED
APPRECIATION
(DEPRECIATION)
China—(continued)                                   
Sunny Optical Technology Group Co., Ltd.    Goldman Sachs    08/12/25   2.41   Termination   (35,900)  $(407,050)                 $67,689 
Tongwei Co., Ltd., Class A    Morgan Stanley    20/02/26   4.58   Termination   (28,300)   (170,875)     (4,188)
Vanchip (Tianjin) Technology Co., Ltd., Class A    Morgan Stanley    23/02/26   4.58   Termination   (32,300)   (218,114)     14,054 
Will Semiconductor Co., Ltd., Shanghai, Class A    Goldman Sachs    08/12/25   4.58   Termination   (33,635)   (416,596)     (19,599)
Wingtech Technology Co., Ltd., Class A    Goldman Sachs    08/12/25   4.58   Termination   (34,500)   (267,821)     14,680 
Xiaomi Corp., Class B    Goldman Sachs    08/12/25   2.41   Termination   (207,800)   (313,974)     (9,530)
Xinyi Solar Holdings Ltd.    Goldman Sachs    08/12/25   2.41   Termination   (104,000)   (111,030)     3,577 
Yihai International Holding Ltd.    Goldman Sachs    08/12/25   2.41   Termination   (42,000)   (121,997)     23,811 
Zoomlion Heavy Industry Science and Technology Co., Ltd., Class H    Goldman Sachs    08/12/25   2.41   Termination   (729,000)   (420,716)     (60,368)
                           (5,573,262)     (81,941)
Hong Kong                                   
China Taiping Insurance Holdings Co., Ltd.    Goldman Sachs    08/12/25   2.41   Termination   (159,400)   (188,249)     (5,208)
Nine Dragons Paper Holdings Ltd.    Goldman Sachs    08/12/25   2.41   Termination   (575,000)   (468,093)     (6,066)
Techtronic Industries Co., Ltd.    Goldman Sachs    08/12/25   2.41   Termination   (43,000)   (427,568)     120,245 
Xinyi Glass Holdings Ltd.    Goldman Sachs    08/12/25   2.41   Termination   (315,000)   (588,313)     10,434 
                           (1,672,223)     119,405 
Indonesia                                   
Unilever Indonesia Tbk PT    HSBC    02/12/25   4.55   Termination   (349,400)   (95,770)     10,839 
Israel                                   
Camtek Ltd.    Morgan Stanley    16/02/26   4.58   Termination   (10,001)   (271,227)     (10,068)
Camtek Ltd.    Goldman Sachs    08/12/25   4.58   Termination   (6,900)   (187,128)     (21,390)
Nova Ltd.    Morgan Stanley    16/02/26   4.58   Termination   (3,266)   (295,834)     302 
Nova Ltd.    Goldman Sachs    08/12/25   4.58   Termination   (1,585)   (143,569)     (6,118)
Playtika Holding Corp.    Goldman Sachs    08/12/25   4.58   Termination   (9,020)   (86,592)     (4,961)
Wix.com Ltd.    Goldman Sachs    08/12/25   4.58   Termination   (1,712)   (154,987)     (8,492)
                           (1,139,337)     (50,727)
Japan                                   
Ibiden Co., Ltd.    Goldman Sachs    23/02/26   -0.01   Termination   (8,200)   (281,554)     (10,073)
Lasertec Corp.    Goldman Sachs    08/12/25   -0.01   Termination   (3,600)   (585,656)     127,311 
Murata Manufacturing Co., Ltd.    Goldman Sachs    08/12/25   -0.01   Termination   (6,400)   (344,078)     7,615 
Shinko Electric Industries Co., Ltd.    Morgan Stanley    16/02/26   -0.01   Termination   (14,300)   (392,277)     7,682 
Taiyo Yuden Co., Ltd.    Goldman Sachs    08/12/25   -0.01   Termination   (6,500)   (196,926)     12,890 
                           (1,800,491)     145,425 
Malaysia                                   
Top Glove Corp. Bhd    Morgan Stanley    08/12/25   4.58   Termination   (1,062,700)   (178,794)     18,249 
Mexico                                   
Grupo Mexico SAB de CV, Class B    Goldman Sachs    08/12/25   4.58   Termination   (51,800)   (232,975)     (26,656)
Kimberly-Clark de Mexico SAB de CV, Class A    Goldman Sachs    08/12/25   4.58   Termination   (58,100)   (116,222)     (18,011)
                           (349,197)     (44,667)
Russia                                   
Ozon Holdings PLC - ADR    Goldman Sachs    16/09/25   4.58   Monthly   (27,082)         314,150 
VK Co., Ltd.    Morgan Stanley    19/09/23   4.58   Monthly   (77,484)         140,169 
                                 454,319 
Singapore                                   
Starhub Ltd.    Goldman Sachs    08/12/25   3.87   Termination   (79,900)   (62,808)     1,535 

 

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

 

54  |  Semi-Annual Report 2023

 
BOSTON PARTNERS INVESTMENT FUNDS February 28, 2023 (unaudited)
BOSTON PARTNERS EMERGING MARKETS DYNAMIC EQUITY FUND Portfolio Of Investments (continued)

 

REFERENCE
COMPANY
    COUNTERPARTY   EXPIRATION
DATE
    FINANCING
RATE
    PAYMENT
FREQUENCY
    NUMBER OF
CONTRACTS
LONG/
(SHORT)
     NOTIONAL
AMOUNT
     UNREALIZED
APPRECIATION
(DEPRECIATION)
South Africa                                   
Capitec Bank Holdings Ltd.    Goldman Sachs    08/12/25   7.07   Termination   (4,331)  $(413,764)                 $32,773 
Kumba Iron Ore Ltd.    HSBC    05/12/25   7.07   Termination   (5,421)   (141,409)     1,352 
Sappi Ltd.    Goldman Sachs    08/12/25   7.07   Termination   (49,105)   (130,670)     1,016 
                           (685,843)     35,141 
South Korea                                   
Amorepacific Corp.    Goldman Sachs    08/12/25   4.58   Termination   (1,584)   (165,672)     5,270 
Chunbo Co., Ltd.    Goldman Sachs    12/12/25   4.58   Termination   (657)   (125,119)     (7,405)
Chunbo Co., Ltd.    Morgan Stanley    08/12/25   4.58   Termination   (1,824)   (347,363)     (23,056)
DB HiTek Co., Ltd.    Bank of America    08/12/25   4.58   Termination   (5,025)   (172,025)     (7,624)
Hana Micron, Inc.    Goldman Sachs    08/12/25   4.58   Termination   (44,973)   (373,855)     (8,546)
Hanon Systems    Morgan Stanley    08/12/25   4.58   Termination   (15,087)   (102,955)     (6,181)
Hansol Chemical Co., Ltd.    Morgan Stanley    08/12/25   4.58   Termination   (1,637)   (252,988)     834 
Hansol Chemical Co., Ltd.    Goldman Sachs    12/12/25   4.58   Termination   (962)   (148,671)     (2,402)
Hybe Co., Ltd.    Morgan Stanley    08/12/25   4.58   Termination   (1,844)   (257,944)     (56,224)
Hyundai Motor Co.    Morgan Stanley    08/12/25   4.58   Termination   (1,304)   (173,735)     (11,094)
KakaoBank Corp.    Goldman Sachs    08/12/25   4.58   Termination   (12,321)   (248,143)     13,023 
Kia Corp.    Morgan Stanley    08/12/25   4.58   Termination   (3,298)   (187,674)     (24,887)
KIWOOM Securities Co., Ltd.    Morgan Stanley    08/12/25   4.58   Termination   (4,086)   (318,666)     (39,533)
Krafton, Inc.    Goldman Sachs    08/12/25   4.58   Termination   (1,729)   (221,866)     24,863 
Kumho Petrochemical Co., Ltd.    Morgan Stanley    08/12/25   4.58   Termination   (2,564)   (304,793)     (28,739)
Leeno Industrial, Inc.    Morgan Stanley    08/12/25   4.58   Termination   (3,269)   (400,951)     20,407 
LG Chem Ltd.    Goldman Sachs    08/12/25   4.58   Termination   (146)   (75,027)     3,583 
LG Display Co., Ltd.    Goldman Sachs    08/12/25   4.58   Termination   (28,654)   (331,094)     (15,216)
LG H&H Co., Ltd.    Goldman Sachs    08/12/25   4.58   Termination   (371)   (187,287)     14,253 
NAVER Corp.    Goldman Sachs    08/12/25   4.58   Termination   (3,209)   (505,631)     (30,233)
Netmarble Corp.    Goldman Sachs    08/12/25   4.58   Termination   (4,462)   (208,390)     (30,276)
Samsung Electro-Mechanics Co., Ltd.    Goldman Sachs    08/12/25   4.58   Termination   (4,271)   (464,783)     (2,214)
SK Biopharmaceuticals Co., Ltd.    Goldman Sachs    08/12/25   4.58   Termination   (2,220)   (111,902)     12,782 
SK Bioscience Co., Ltd.    Goldman Sachs    13/02/26   4.58   Termination   (2,328)   (122,624)     15,204 
SK IE Technology Co., Ltd.    Goldman Sachs    08/12/25   4.58   Termination   (8,049)   (397,812)     (9,295)
TSE Co., Ltd.    Goldman Sachs    08/12/25   4.58   Termination   (10,776)   (313,528)     23,509 
                           (6,520,498)     (169,197)
Taiwan                                   
Acer, Inc.    Morgan Stanley    08/12/25   4.58   Termination   (711,000)   (591,538)     (47,408)
Advanced Wireless Semiconductor Co.    Goldman Sachs    08/12/25   4.58   Termination   (139,000)   (349,901)     (9,796)
ASMedia Technology, Inc.    Goldman Sachs    08/12/25   4.58   Termination   (17,000)   (552,914)     (141,051)
Asustek Computer, Inc.    Goldman Sachs    08/12/25   4.58   Termination   (64,000)   (583,928)     10,922 
Compal Electronics, Inc.    Goldman Sachs    08/12/25   4.58   Termination   (457,000)   (362,216)     (34,265)
Dyaco International, Inc.    HSBC    02/12/25   4.55   Termination   (72,000)   (112,362)     (19,407)
Faraday Technology Corp.    Goldman Sachs    08/12/25   4.58   Termination   (94,000)   (572,277)     (22,750)
FocalTech Systems Co., Ltd.    HSBC    02/12/25   4.55   Termination   (52,000)   (122,706)     (12,163)
Formosa Plastics Corp.    Goldman Sachs    08/12/25   4.58   Termination   (51,000)   (152,149)     (2,908)
Giant Manufacturing Co., Ltd.    Goldman Sachs    08/12/25   4.58   Termination   (22,753)   (151,963)     21,778 
Kinsus Interconnect Technology Corp.    Morgan Stanley    08/12/25   4.58   Termination   (142,000)   (505,653)     117,652 
Mediatek, Inc.    Goldman Sachs    08/12/25   4.58   Termination   (23,000)   (545,759)     12,472 
Micro-Star International Co., Ltd.    Morgan Stanley    08/12/25   4.58   Termination   (95,000)   (427,149)     (50,453)
Nan Ya Plastics Corp.    Morgan Stanley    08/12/25   4.58   Termination   (147,000)   (364,732)     (1,088)
Nan Ya Printed Circuit Board Corp.    Morgan Stanley    08/12/25   4.58   Termination   (72,000)   (555,309)     160,191 
Nuvoton Technology Corp.    Goldman Sachs    08/12/25   4.58   Termination   (120,000)   (580,909)     (85,602)
Pan Jit International, Inc.    Morgan Stanley    08/12/25   4.58   Termination   (281,000)   (616,052)     (33,721)
Parade Technologies Ltd.    Goldman Sachs    08/12/25   4.58   Termination   (20,000)   (631,451)     (83,632)
Powerchip Semiconductor Manufacturing Corp.    Goldman Sachs    08/12/25   4.58   Termination   (363,000)   (396,721)     22,336 
Realtek Semiconductor Corp.    Morgan Stanley    08/12/25   4.58   Termination   (50,000)   (623,574)     (125,067)
SDI Corporation    Morgan Stanley    08/12/25   4.58   Termination   (85,000)   (345,920)     (51,874)
Silergy Corp.    Goldman Sachs    08/12/25   4.58   Termination   (32,000)   (611,234)     (13,231)

 

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

 

Semi-Annual Report 2023  |  55

 
BOSTON PARTNERS INVESTMENT FUNDS February 28, 2023 (unaudited)
BOSTON PARTNERS EMERGING MARKETS DYNAMIC EQUITY FUND Portfolio Of Investments (continued)

 

REFERENCE
COMPANY
    COUNTERPARTY   EXPIRATION
DATE
    FINANCING
RATE
    PAYMENT
FREQUENCY
    NUMBER OF
CONTRACTS
LONG/
(SHORT)
     NOTIONAL
AMOUNT
     UNREALIZED
APPRECIATION
(DEPRECIATION)
Taiwan—(continued)                                   
TSRC Corp.    Goldman Sachs    08/12/25   4.58   Termination   (324,000)  $(308,905)                 $(9,891)
Unimicron Technology Corp.    Goldman Sachs    08/12/25   4.58   Termination   (115,000)   (483,106)     143,865 
UPI Semiconductor Corp.    Goldman Sachs    08/12/25   4.58   Termination   (55,000)   (527,987)     33,790 
USI Corp.    Morgan Stanley    08/12/25   4.58   Termination   (223,000)   (183,702)     (30,506)
Win Semiconductors Corp.    Morgan Stanley    08/12/25   4.58   Termination   (46,000)   (256,650)     (20,206)
Win Semiconductors Corp.    Goldman Sachs    12/12/25   4.58   Termination   (48,000)   (267,809)     (32,762)
Yageo Corp.    Morgan Stanley    08/12/25   4.58   Termination   (19,306)   (340,886)     (31,526)
                           (12,125,462)     (336,301)
Thailand                                   
Com7 PCL - NVDR    Morgan Stanley    08/12/25   4.58   Termination   (548,600)   (473,449)     39,297 
KCE Electronics PCL - NVDR    Morgan Stanley    08/12/25   4.58   Termination   (56,700)   (74,603)     4,496 
Kerry Express Thailand - NVDR    Morgan Stanley    08/12/25   4.58   Termination   (135,500)   (59,428)     11,860 
Muangthai Capital PCL - NVDR    Morgan Stanley    08/12/25   4.58   Termination   (93,200)   (92,300)     15,953 
Siam Cement PCL, (The) - NVDR    Goldman Sachs    08/12/25   4.58   Termination   (25,900)   (239,643)     3,112 
Sri Trang Agro-Industry PCL - NVDR    Morgan Stanley    08/12/25   4.58   Termination   (217,800)   (155,610)     (38,145)
TOA Paint Thailand PCL - NVDR    Morgan Stanley    08/12/25   4.58   Termination   (109,100)   (100,329)     988 
                           (1,195,362)     37,561 
United Kingdom                                   
Antofagasta PLC    Goldman Sachs    08/12/25   3.93   Termination   (13,490)   (254,755)     (20,202)
United States                                   
Alpha & Omega Semiconductor Ltd.    Goldman Sachs    08/12/25   4.58   Termination   (12,587)   (336,199)     81,690 
Freeport-McMoRan, Inc.    Goldman Sachs    08/12/25   4.58   Termination   (7,840)   (321,205)     (16,542)
GDS Holdings Ltd. - ADR    Goldman Sachs    08/12/25   4.58   Termination   (17,695)   (340,629)     (30,057)
Hess Corp.    Goldman Sachs    08/12/25   4.58   Termination   (1,971)   (265,494)     11,609 
Monolithic Power Systems, Inc.    Goldman Sachs    16/02/26   4.58   Termination   (540)   (261,517)     16,030 
Mosaic Co., (The)    Goldman Sachs    23/02/26   4.58   Termination   (6,706)   (356,692)     (22,695)
Southern Copper Corp.    Goldman Sachs    08/12/25   4.58   Termination   (2,007)   (147,896)     (26,191)
Synaptics, Inc.    Goldman Sachs    08/12/25   4.58   Termination   (4,144)   (487,376)     (39,959)
                           (2,517,008)     (26,115)
Total Short                          (34,818,625)     91,597 
Net unrealized gain/(loss) on Contracts For Difference                   $(164,758)

 

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

 

56  |  Semi-Annual Report 2023

 
BOSTON PARTNERS INVESTMENT FUNDS February 28, 2023 (unaudited)
BOSTON PARTNERS EMERGING MARKETS DYNAMIC EQUITY FUND Portfolio Of Investments (concluded)

 

A summary of the inputs used to value the Fund’s investments carried at fair value as of February 28, 2023 is as follows (see Notes to Portfolio of Investments):

 

   TOTAL   LEVEL 1   LEVEL 2   LEVEL 3 
Common Stock                    
Brazil  $1,419,865   $1,419,865   $   $ 
China   4,280,030        4,280,030     
Greece   321,623        321,623     
Hungary   412,966        412,966     
India   6,033,217        6,033,217     
Indonesia   1,973,433        1,973,433     
Israel   374,448        374,448     
Mexico   1,600,865    1,600,865         
Poland   932,094        932,094     
Russia               *
Singapore   1,938,996        1,938,996     
South Africa   399,237        399,237     
South Korea   5,114,312        5,114,312     
Taiwan   2,645,167        2,645,167     
Thailand   3,395,889        2,382,413    1,013,476 
Preferred Stock                    
South Korea   614,659        614,659     
Exchange Traded Funds                    
Thailand   141,720    141,720         
Short-Term Investments   22,791,231    16,967,637    5,823,594     
Contracts For Difference                    
Equity Contracts   2,929,260    2,474,941        454,319 
Total Assets  $57,319,012   $22,605,028   $33,246,189   $1,467,795 
                     
   TOTAL   LEVEL 1   LEVEL 2   LEVEL 3 
Securities Sold Short                    
United Kingdom  $(79,454)  $   $(79,454)  $ 
Contracts For Difference                    
Equity Contracts   (3,094,018)   (2,507,077)       (586,941)
Total Liabilities  $(3,173,472)  $(2,507,077)  $(79,454)  $(586,941)

 

* Value equals zero as of the end of the reporting period.

 

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

 

Semi-Annual Report 2023  |  57

 
BOSTON PARTNERS INVESTMENT FUNDS February 28, 2023 (unaudited)
STATEMENTS OF ASSETS AND LIABILITIES  

 

   Boston
Partners
All-Cap
Value Fund
   Boston
Partners
Small Cap
Value Fund II
   WPG Partners
Select Small Cap
Value Fund
   WPG Partners
Small Cap Value
Diversified Fund
 
ASSETS                    
Investments in securities, at value †^  $1,400,995,928   $697,985,788   $77,911,432   $31,067,073 
Investments purchased with proceeds from securities lending collateral, at value *   156,461,054    243,279,365        10,828,403 
Short-term investments, at value **   13,547,672    5,097,938    7,953,984    1,588,824 
Purchased options, at value                
Cash                
Foreign currency, at value #               19,790 
Receivables                    
Investments sold   5,162,175    33,332,839    1,155,005    170,052 
Foreign currency deposits with brokers for securities sold short #                
Deposits with brokers for contracts for difference                
Deposits with brokers for securities sold short                
Capital shares sold   1,690,288    565,871    709,991    51,040 
Dividends and interest   2,597,040    528,664    418,056    98,112 
Due from advisor           7,899     
Unrealized appreciation on contracts for difference ◊                
Prepaid expenses and other assets   119,664    74,226    6,161    11,362 
Total assets   1,580,573,821    980,864,691    88,162,528    43,834,656 
LIABILITIES                    
Securities sold short, at fair value ‡                
Options written, at value +◊   4,111,184             
Due to custodian                
Due to broker                
Foreign currency overdraft                
Payables                    
Securities lending collateral (note 8)   156,461,054    243,279,365        10,828,403 
Investments purchased   14,868,435    5,714,318    608,439     
Capital shares redeemed   1,507,574    512,125    54,862     
Investment advisory fees   862,771    530,996    59,714    17,151 
Custodian fees   27,953    13,976    17,178    9,529 
Distribution and service fees   68,784    96,347         
Dividends on securities sold short                
Administration and accounting fees   143,880    72,830    12,387    5,241 
Transfer agent fees   170,480    112,548        4,214 
Unrealized depreciation on contracts for difference ◊                
Other accrued expenses and liabilities   33,835    65,353    38,719    28,248 
Total liabilities   178,255,950    250,397,858    791,299    10,892,786 
Net Assets  $1,402,317,871   $730,466,833   $87,371,229   $32,941,870 
NET ASSETS CONSIST OF:                    
Par value  $45,749   $26,831   $7,984   $1,754 
Paid-in Capital   795,067,145    532,065,853    74,098,269    27,274,580 
Total Distributable earnings/(loss)   607,204,977    198,374,149    13,264,976    5,665,536 
Net Assets  $1,402,317,871   $730,466,833   $87,371,229   $32,941,870 
INSTITUTIONAL CLASS                    
Net assets  $1,167,428,957   $644,862,252   $87,371,229   $32,941,870 
Shares outstanding   38,049,332    23,533,225    7,984,324    1,753,510 
Net asset value, offering and redemption price per share  $30.68   $27.40   $10.94   $18.79 
INVESTOR CLASS                    
Net assets  $234,888,914   $85,604,581   $   $ 
Shares outstanding   7,699,265    3,298,021         
Net asset value, offering and redemption price per share  $30.51   $25.96   $   $ 
Investments in securities, at cost  $871,075,219   $528,150,600   $65,649,027   $25,484,327 
^ Includes market value of securities on loan  $153,060,251   $235,995,842   $   $10,551,262 
* Investments purchased with proceeds from securities lending collateral, at cost  $156,461,054   $243,279,365   $   $10,828,403 
** Short-term investments, at cost  $13,547,672   $5,097,938   $7,953,984   $1,588,824 
  Purchased options, at cost  $   $   $   $ 
# Foreign currency, at cost  $   $   $   $19,885 
Proceeds received, securities sold short  $   $   $   $ 
+ Premiums received, options written  $6,450,869   $   $   $ 
Primary risk exposure is equity contracts                    

 

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

 

58  |  Semi-Annual Report 2023

 
BOSTON PARTNERS INVESTMENT FUNDS February 28, 2023 (unaudited)
STATEMENTS OF ASSETS AND LIABILITIES (continued)  

 

   Boston
Partners
Global
Sustainability Fund
   Boston
Partners Global
Equity Fund
   Boston
Partners
Emerging
Markets Fund
   Boston
Partners
Long/Short
Equity Fund
 
ASSETS                    
Investments in securities, at value †^  $22,132,246   $192,352,731   $18,350,319   $65,306,456 
Investments purchased with proceeds from securities lending collateral, at value *       13,101,734        9,336,324 
Short-term investments, at value **   1,112,163    5,916,851    3,442,510    4,545,270 
Purchased options, at value               33,400 
Cash               1,390 
Foreign currency, at value #           22,721     
Receivables                    
Investments sold   545,740    1,006,280    202,981    478,266 
Foreign currency deposits with brokers for securities sold short #               2,957,272 
Deposits with brokers for contracts for difference           190,000     
Deposits with brokers for securities sold short               8,601,207 
Capital shares sold       4,137        277,139 
Dividends and interest   42,962    708,207    64,356    96,391 
Due from advisor                
Unrealized appreciation on contracts for difference ◊           11,746     
Prepaid expenses and other assets   5,789    26,927    11,872    24,487 
Total assets   23,838,900    213,116,867    22,296,505    91,657,602 
LIABILITIES                    
Securities sold short, at fair value ‡               12,222,692 
Options written, at value +◊               199,389 
Due to custodian           6,368     
Due to broker                
Foreign currency overdraft                
Payables                    
Securities lending collateral (note 8)       13,101,734        9,336,324 
Investments purchased   584,132    1,783,777    375,816    187,318 
Capital shares redeemed       10,012        18,356 
Investment advisory fees   9,577    156,559    7,282    86,101 
Custodian fees   13,708    28,246    46,644    9,305 
Distribution and service fees               6,211 
Dividends on securities sold short               1,267 
Administration and accounting fees   14,537    19,917    5,933    9,753 
Transfer agent fees   3,527    17,224    5,183    4,808 
Unrealized depreciation on contracts for difference ◊           233,126     
Other accrued expenses and liabilities   46,519    44,028    39,313    52,879 
Total liabilities   672,000    15,161,497    719,665    22,134,403 
Net Assets  $23,166,900   $197,955,370   $21,576,840   $69,523,199 
NET ASSETS CONSIST OF:                    
Par value  $2,390   $9,448   $2,520   $4,958 
Paid-in Capital   24,280,819    181,588,654    25,956,703    37,275,453 
Total Distributable earnings/(loss)   (1,116,309)   16,357,268    (4,382,383)   32,242,788 
Net Assets  $23,166,900   $197,955,370   $21,576,840   $69,523,199 
INSTITUTIONAL CLASS                    
Net assets  $23,166,900   $197,955,370   $21,576,840   $56,871,299 
Shares outstanding   2,390,116    9,448,173    2,519,686    3,911,619 
Net asset value, offering and redemption price per share  $9.69   $20.95   $8.56   $14.54 
INVESTOR CLASS                    
Net assets  $   $   $   $12,651,900 
Shares outstanding               1,046,522 
Net asset value, offering and redemption price per share  $   $   $   $12.09 
Investments in securities, at cost  $20,512,004   $155,598,213   $18,337,973   $46,207,565 
^ Includes market value of securities on loan  $   $12,771,352   $   $9,034,696 
* Investments purchased with proceeds from securities lending collateral, at cost  $   $13,101,734   $   $9,336,324 
** Short-term investments, at cost  $1,112,163   $5,916,851   $3,442,510   $4,545,270 
  Purchased options, at cost  $   $   $   $47,521 
# Foreign currency, at cost  $   $   $22,478   $3,209,327 
Proceeds received, securities sold short  $   $   $   $19,905,636 
+ Premiums received, options written  $   $   $   $234,524 
Primary risk exposure is equity contracts                    

 

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

 

Semi-Annual Report 2023  |  59

 
BOSTON PARTNERS INVESTMENT FUNDS February 28, 2023 (unaudited)
STATEMENTS OF ASSETS AND LIABILITIES (concluded)  

 

   Boston
Partners
Long/Short
Research Fund
   Boston
Partners
Global
Long/Short Fund
   Boston
Partners
Emerging Markets
Dynamic Equity Fund
 
ASSETS               
Investments in securities, at value †^  $713,223,776   $143,974,900   $31,598,521 
Investments purchased with proceeds from securities lending collateral, at value *            
Short-term investments, at value **   42,455,942    28,816,636    22,791,231 
Purchased options, at value            
Cash           883 
Foreign currency, at value #            
Receivables               
Investments sold   2,939,761    353,883    407,076 
Foreign currency deposits with brokers for securities sold short #   44,169,624        74,636 
Deposits with brokers for contracts for difference   1,321,258    510,000    2,238,224 
Deposits with brokers for securities sold short   186,881,742    66,093,165     
Capital shares sold   1,104,089    707,405    3,325 
Dividends and interest   2,172,923    1,573,666    119,714 
Due from advisor            
Unrealized appreciation on contracts for difference ◊   3,248,955    908,565    2,929,260 
Prepaid expenses and other assets   118,295    134,618    120,155 
Total assets   997,636,365    243,072,838    60,283,025 
LIABILITIES               
Securities sold short, at fair value ‡   221,295,552    66,443,616    79,454 
Options written, at value +◊   6,049    2,600,548     
Due to custodian            
Due to broker           180,690 
Foreign currency overdraft       61,207     
Payables               
Securities lending collateral (note 8)            
Investments purchased   10,383,378    4,470,383    939,353 
Capital shares redeemed   1,990,465    329,729    267 
Investment advisory fees   684,801    151,892    73,525 
Custodian fees   41,289    41,052    48,480 
Distribution and service fees   4,748    6,051     
Dividends on securities sold short   233,854    92,645     
Administration and accounting fees   73,471    17,361    9,648 
Transfer agent fees   48,542    6,126    1,709 
Unrealized depreciation on contracts for difference ◊   5,512,314    1,268,176    3,094,018 
Other accrued expenses and liabilities   657,759    226,173    408,852 
Total liabilities   240,932,222    75,714,959    4,835,996 
Net Assets  $756,704,143   $167,357,879   $55,447,029 
NET ASSETS CONSIST OF:               
Par value  $54,649   $11,718   $6,876 
Paid-in Capital   547,851,176    160,786,194    72,800,689 
Total Distributable earnings/(loss)   208,798,318    6,559,967    (17,360,536)
Net Assets  $756,704,143   $167,357,879   $55,447,029 
INSTITUTIONAL CLASS               
Net assets  $746,338,835   $159,094,860   $55,447,029 
Shares outstanding   53,872,511    11,130,117    6,876,012 
Net asset value, offering and redemption price per share  $13.85   $14.29   $8.06 
INVESTOR CLASS               
Net assets  $10,365,308   $8,263,019   $ 
Shares outstanding   776,519    587,916     
Net asset value, offering and redemption price per share  $13.35   $14.05   $ 
Investments in securities, at cost  $554,829,283   $124,800,164   $29,904,217 
^ Includes market value of securities on loan  $   $   $ 
* Investments purchased with proceeds from securities lending collateral, at cost  $   $   $ 
** Short-term investments, at cost  $42,455,942   $28,816,636   $22,791,231 
  Purchased options, at cost  $   $   $ 
# Foreign currency, at cost  $44,186,233   $   $77,016 
Proceeds received, securities sold short  $245,872,950   $66,336,427   $74,356 
+ Premiums received, options written  $26,478   $2,716,116   $ 
Primary risk exposure is equity contracts               

 

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

 

60  |  Semi-Annual Report 2023

 
BOSTON PARTNERS INVESTMENT FUNDS For the Six Months Ended February 28, 2023 (unaudited)
STATEMENTS OF OPERATIONS  

 

   Boston
Partners
All-Cap
Value Fund
   Boston
Partners
Small Cap
Value Fund II
   WPG Partners
Select Small Cap
Value Fund
   WPG Partners
Small Cap Value
Diversified Fund
 
Investment Income                    
Dividends †  $14,248,449   $7,153,456   $563,621   $351,749 
Interest   404,595    238,464    102,963    22,323 
Income from securities loaned (Note 8)   115,194    151,662        10,638 
Prime broker interest income                
Total investment income   14,768,238    7,543,582    666,584    384,710 
Expenses                    
Advisory fees (Note 2)   4,916,594    3,138,693    296,063    122,401 
Transfer agent fees (Note 2)   433,639    317,441    6,739    10,794 
Distribution fees (Investor Class) (Note 2)   289,257    102,152         
Administration and accounting fees (Note 2)   180,072    116,861    17,281    13,801 
Director’s fees   89,864    44,304    202    1,998 
Officer’s fees   77,881    38,425    133    1,469 
Legal fees   76,461    43,576    631    1,928 
Printing and shareholder reporting fees   45,020    44,271    1,418    5,785 
Registration fees   27,114    23,336    19,976    11,001 
Audit and tax service fees   19,970    19,789    23,561    19,921 
Custodian fees (Note 2)   10,284    15,628    20,630    10,392 
Other expenses   56,160    28,328    5,951    2,633 
Dividend expense on securities sold short                
Total expenses before waivers and/or reimbursements   6,222,316    3,932,804    392,585    202,123 
Less: waivers and/or reimbursements net of amounts recouped (Note 2)   (307,215)   (173,374)   (31,906)   (33,030)
Net expenses after waivers and/or reimbursements net of amounts recouped   5,915,101    3,759,430    360,679    169,093 
Net investment income/(loss)   8,853,137    3,784,152    305,905    215,617 
                     
Net realized gain/(loss) from:                    
Investment securities   72,896,677    48,475,554    1,107,383    172,267 
Securities sold short                
Options written **                
Contracts for difference **                
Foreign currency transactions   336        (979)   1,166 
Net change in unrealized appreciation/(depreciation) on:                    
Investment securities   27,493,770    (1,523,367)   13,113,637    2,836,032 
Purchased options **                
Securities sold short                
Options written **   1,672,091             
Contracts for difference **                
Foreign currency translation   (251)       1    (41)
Net realized and unrealized gain/(loss)   102,062,623    46,952,187    14,220,042    3,009,424 
Net increase/(decrease) in net assets resulting from operations  $110,915,760   $50,736,339   $14,525,947   $3,225,041 
†       Net of foreign withholding taxes of  $(24,294)  $(4,645)  $(4,591)  $(3,760)

 

** Primary risk exposure is equity contracts

 

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

 

Semi-Annual Report 2023  |  61

 
BOSTON PARTNERS INVESTMENT FUNDS For the Six Months Ended February 28, 2023 (unaudited)
STATEMENTS OF OPERATIONS (continued)  

 

   Boston
Partners Global
Sustainability Fund
   Boston
Partners Global
Equity Fund
   Boston
Partners
Emerging
Markets Fund
   Boston
Partners
Long/Short
Equity Fund
 
Investment Income                    
Dividends †  $159,506   $1,689,681   $184,269   $540,349 
Interest   16,968    107,643    38,802    57,573 
Income from securities loaned (Note 8)       9,425        24,021 
Prime broker interest income               53,014 
Total investment income   176,474    1,806,749    223,071    674,957 
Expenses                    
Advisory fees (Note 2)   85,479    816,764    76,812    759,836 
Transfer agent fees (Note 2)   724    62,763    645    30,057 
Distribution fees (Investor Class) (Note 2)               14,668 
Administration and accounting fees (Note 2)   16,350    39,135    14,966    22,957 
Director’s fees   44    10,302    1,319    4,087 
Officer’s fees   43    8,474    1,027    2,855 
Legal fees   678    10,007    1,236    3,726 
Printing and shareholder reporting fees   2,080        357     
Registration fees   17,016    13,156    9,484    16,089 
Audit and tax service fees   28,161    29,253    32,808    27,398 
Custodian fees (Note 2)   13,047    22,502    42,936    7,573 
Other expenses   5,842    7,793    733    3,178 
Dividend expense on securities sold short               17,045 
Total expenses before waivers and/or reimbursements   169,464    1,020,149    182,323    909,469 
Less: waivers and/or reimbursements net of amounts recouped (Note 2)   (73,069)   (158,009)   (79,870)   (215,854)
Net expenses after waivers and/or reimbursements net of amounts recouped   96,395    862,140    102,453    693,615 
Net investment income/(loss)   80,079    944,609    120,618    (18,658)
                     
Net realized gain/(loss) from:                    
Investment securities   (1,463,944)   3,157,074    (529,916)   3,011,511 
Securities sold short               4,699,498 
Options written **               102,189 
Contracts for difference **           (150,221)   266,549 
Foreign currency transactions   564    12,932    (15,827)   (10,365)
Net change in unrealized appreciation/(depreciation) on:                    
Investment securities   4,159,043    19,637,988    1,154,127    3,254,860 
Purchased options **               (14,121)
Securities sold short               (3,424,524)
Options written **               (84,061)
Contracts for difference **           (22,743)   (419,379)
Foreign currency translation   1,102    22,669    608    (33,361)
Net realized and unrealized gain/(loss)   2,696,765    22,830,663    436,028    7,348,796 
Net increase/(decrease) in net assets resulting from operations  $2,776,844   $23,775,272   $556,646   $7,330,138 
†       Net of foreign withholding taxes of  $(5,139)  $(83,050)  $(23,184)  $(11,475)

 

** Primary risk exposure is equity contracts

 

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

 

62  |  Semi-Annual Report 2023

 
BOSTON PARTNERS INVESTMENT FUNDS For the Six Months Ended February 28, 2023 (unaudited)
STATEMENTS OF OPERATIONS (concluded)  

 

   Boston
Partners
Long/Short
Research Fund
   Boston
Partners
Global
Long/Short Fund
   Boston
Partners
Emerging Markets
Dynamic Equity Fund
 
Investment Income               
Dividends †  $7,966,883   $1,046,986   $328,431 
Interest   746,471    344,568    145,576 
Income from securities loaned (Note 8)            
Prime broker interest income   2,252,580    890,195    2,428 
Total investment income   10,965,934    2,281,749    476,435 
Expenses               
Advisory fees (Note 2)   4,975,910    1,112,781    363,392 
Transfer agent fees (Note 2)   175,697    67,347    4,104 
Distribution fees (Investor Class) (Note 2)   14,671    10,673     
Administration and accounting fees (Note 2)   130,361    28,865    20,839 
Director’s fees   50,232    8,167    3,364 
Officer’s fees   33,605    4,941    2,614 
Legal fees   42,975    7,371    1,645 
Printing and shareholder reporting fees            
Registration fees   19,673    18,443    10,080 
Audit and tax service fees   36,681    32,638    39,032 
Custodian fees (Note 2)   41,165    47,268    48,679 
Other expenses   26,507    6,362    4,467 
Dividend expense on securities sold short   1,649,809    446,856    375 
Total expenses before waivers and/or reimbursements   7,197,286    1,791,712    498,591 
Less: waivers and/or reimbursements net of amounts recouped (Note 2)           (91,019)
Net expenses after waivers and/or reimbursements net of amounts recouped   7,197,286    1,791,712    407,572 
Net investment income/(loss)   3,768,648    490,037    68,863 
                
Net realized gain/(loss) from:               
Investment securities   21,230,506    4,175,011    (712,653)
Securities sold short   12,900,473    70,774    22 
Options written **   898,914    (154,224)    
Contracts for difference **   12,345,235    (483,758)   (397,424)
Foreign currency transactions   (2,338,964)   198,996    (35,309)
Net change in unrealized appreciation/(depreciation) on:               
Investment securities   34,312,266    13,058,548    1,651,091 
Purchased options **            
Securities sold short   (29,273,375)   (7,018,857)   (25,560)
Options written **   20,429    (85,737)    
Contracts for difference **   (15,544,880)   (1,160,657)   (1,478,014)
Foreign currency translation   3,635,991    (51,291)   (78,158)
Net realized and unrealized gain/(loss)   38,186,595    8,548,805    (1,076,005)
Net increase/(decrease) in net assets resulting from operations  $41,955,243   $9,038,842   $(1,007,142)
†       Net of foreign withholding taxes of  $(120,926)  $(65,541)  $(47,936)

 

** Primary risk exposure is equity contracts.

 

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

 

Semi-Annual Report 2023  |  63

 
BOSTON PARTNERS INVESTMENT FUNDS (unaudited)
STATEMENTS OF CHANGES IN NET ASSETS  

 

   Boston Partners
All-Cap Value Fund
   Boston Partners
Small Cap Value Fund II
 
   For the
Six Months Ended
February 28, 2023
   For the
Year Ended
August 31, 2022
   For the
Six Months Ended
February 28, 2023
   For the
Year Ended
August 31, 2022
 
Increase/(decrease) in net assets from operations:                    
Net investment income/(loss)  $8,853,137   $16,754,843   $3,784,152   $4,924,806 
Net realized gain/(loss) from investments and foreign currency   72,897,013    141,891,515    48,475,554    37,453,487 
Net change in unrealized appreciation/(depreciation) on investments and foreign currency translation   29,165,610    (201,890,405)   (1,523,367)   (120,654,994)
Net increase/(decrease) in net assets resulting from operations   110,915,760    (43,244,047)   50,736,339    (78,276,701)
                     
Dividends and distributions to shareholders:                    
Institutional Class   (96,713,599)   (89,636,021)   (46,030,717)   (52,624,831)
Investor Class   (18,398,789)   (14,088,626)   (5,861,952)   (7,067,459)
Net decrease in net assets from dividends and distributions to shareholders   (115,112,388)   (103,724,647)   (51,892,669)   (59,692,290)
                     
Capital transactions:                    
Institutional Class                    
Proceeds from shares sold   147,272,025    279,553,596    51,935,251    158,734,422 
Reinvestment of distributions   75,831,183    74,080,238    43,911,312    49,549,396 
Shares redeemed   (252,534,608)   (682,906,325)   (138,462,785)   (175,418,506)
Investor Class                    
Proceeds from shares sold   10,352,573    19,585,547    4,083,380    12,962,300 
Reinvestment of distributions   17,605,766    13,527,130    5,743,917    6,920,636 
Shares redeemed   (23,078,364)   (58,809,925)   (6,861,255)   (24,229,889)
Net increase/(decrease) in net assets from capital transactions   (24,551,425)   (354,969,739)   (39,650,180)   28,518,359 
Total increase/(decrease) in net assets   (28,748,053)   (501,938,433)   (40,806,510)   (109,450,632)
                     
Net assets:                    
Beginning of period   1,431,065,924    1,933,004,357    771,273,343    880,723,975 
End of period  $1,402,317,871   $1,431,065,924   $730,466,833   $771,273,343 
                     
Share transactions:                    
Institutional Class                    
Shares sold   4,740,905    8,516,986    1,950,896    5,241,830 
Shares reinvested   2,498,556    2,283,608    1,711,942    1,643,429 
Shares redeemed   (8,193,828)   (20,766,356)   (5,156,431)   (5,867,812)
Net increase/(decrease)   (954,367)   (9,965,762)   (1,493,593)   1,017,447 
Investor Class                    
Shares sold   335,164    604,325    161,758    451,279 
Shares reinvested   583,165    419,056    236,278    241,305 
Shares redeemed   (754,580)   (1,811,471)   (274,352)   (903,346)
Net increase/(decrease)   163,749    (788,090)   123,684    (210,762)

 

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

 

64  |  Semi-Annual Report 2023

 
BOSTON PARTNERS INVESTMENT FUNDS (unaudited)
STATEMENTS OF CHANGES IN NET ASSETS (continued)  

 

   WPG Partners
Select Small Cap Value Fund
   WPG Partners
Small Cap Value Diversified Fund
 
   For the
Six Months Ended
February 28, 2023
   For the
Period Ended
August 31, 2022*
   For the
Six Months Ended
February 28, 2023
   For the
Year Ended
August 31, 2022
 
Increase/(decrease) in net assets from operations:                    
Net investment income/(loss)  $305,905   $(13,383)  $215,617   $136,513 
Net realized gain/(loss) from investments and foreign currency   1,106,404    (284,617)   173,433    4,766,002 
Net change in unrealized appreciation/(depreciation) on investments and foreign currency translation   13,113,638    (851,233)   2,835,991    (3,865,450)
Net increase/(decrease) in net assets resulting from operations   14,525,947    (1,149,233)   3,225,041    1,037,065 
                     
Dividends and distributions to shareholders:                    
Institutional Class   (111,741)       (4,669,593)   (417,759)
Net decrease in net assets from dividends and distributions to shareholders   (111,741)       (4,669,593)   (417,759)
                     
Capital transactions:                    
Institutional Class                    
Proceeds from shares sold   58,390,701    19,127,270    1,232,380    6,503,416 
Reinvestment of distributions   111,438        4,416,593    392,172 
Shares redeemed   (3,390,165)   (132,988)   (3,526,741)   (2,852,853)
Net increase/(decrease) in net assets from capital transactions   55,111,974    18,994,282    2,122,232    4,042,735 
Total increase/(decrease) in net assets   69,526,180    17,845,049    677,680    4,662,041 
                     
Net assets:                    
Beginning of period   17,845,049        32,264,190    27,602,149 
End of period  $87,371,229   $17,845,049   $32,941,870   $32,264,190 
Share transactions:                    
Institutional Class                    
Shares sold   6,402,831    1,912,822    65,574    313,324 
Shares reinvested   11,155        253,245    19,717 
Shares redeemed   (328,720)   (13,764)   (184,750)   (141,175)
Net increase/(decrease)   6,085,266    1,899,058    134,069    191,866 

 

*       The Fund commenced operations on December 29, 2021.

 

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

 

Semi-Annual Report 2023  |  65

 
BOSTON PARTNERS INVESTMENT FUNDS (unaudited)
STATEMENTS OF CHANGES IN NET ASSETS (continued)  

 

   Boston Partners
Global Sustainability Fund
   Boston Partners
Global Equity Fund
 
   For the
Six Months Ended
February 28, 2023
   For the
Period Ended
August 31, 2022*
   For the
Six Months Ended
February 28, 2023
   For the
Year Ended
August 31, 2022
 
Increase/(decrease) in net assets from operations:                    
Net investment income/(loss)  $80,079   $263,754   $944,609   $3,593,717 
Net realized gain/(loss) from investments and foreign currency   (1,463,380)   (1,302,681)   3,170,006    10,613,523 
Net change in unrealized appreciation/(depreciation) on investments and foreign currency translation   4,160,145    (2,540,407)   19,660,657    (29,901,450)
Net increase/(decrease) in net assets resulting from operations   2,776,844    (3,579,334)   23,775,272    (15,694,210)
                     
Dividends and distributions to shareholders:                    
Institutional Class   (313,835)       (2,771,850)   (3,282,335)
Net decrease in net assets from dividends and distributions to shareholders   (313,835)       (2,771,850)   (3,282,335)
                     
Capital transactions:                    
Institutional Class                    
Proceeds from shares sold   600,237    26,219,183    9,044,652    13,720,960 
Reinvestment of distributions   313,835        2,760,443    3,267,140 
Shares redeemed   (2,850,030)       (6,260,111)   (10,037,979)
Net increase/(decrease) in net assets from capital transactions   (1,935,958)   26,219,183    5,544,984    6,950,121 
Total increase/(decrease) in net assets   527,051    22,639,849    26,548,406    (12,026,424)
                     
Net assets:                    
Beginning of period   22,639,849        171,406,964    183,433,388 
End of period  $23,166,900   $22,639,849   $197,955,370   $171,406,964 
Share transactions:                    
Institutional Class                    
Shares sold   64,679    2,626,775    453,715    672,846 
Shares reinvested   33,673        136,453    160,233 
Shares redeemed   (335,011)       (315,103)   (502,686)
Net increase/(decrease)   (236,659)   2,626,775    275,065    330,393 

 

*       The Fund commenced operations on December 29, 2021.

 

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

 

66  |  Semi-Annual Report 2023

 
BOSTON PARTNERS INVESTMENT FUNDS (unaudited)
STATEMENTS OF CHANGES IN NET ASSETS (continued)  

 

   Boston Partners
Emerging Markets Fund
   Boston Partners
Long/Short Equity Fund
 
   For the
Six Months Ended
February 28, 2023
   For the
Year Ended
August 31, 2022
   For the
Six Months Ended
February 28, 2023
   For the
Year Ended
August 31, 2022
 
Increase/(decrease) in net assets from operations:                    
Net investment income/(loss)  $120,618   $450,857   $(18,658)  $(594,234)
Net realized gain/(loss) from investments and foreign currency   (695,964)   (3,083,963)   8,069,382    9,017,511 
Net change in unrealized appreciation/(depreciation) on investments and foreign currency translation   1,131,992    (3,484,403)   (720,586)   (3,660,649)
Net increase/(decrease) in net assets resulting from operations   556,646    (6,117,509)   7,330,138    4,762,628 
                     
Dividends and distributions to shareholders:                    
Institutional Class   (651,962)   (1,230,604)   (6,481,806)   (2,222,369)
Investor Class           (1,588,742)   (568,709)
Net decrease in net assets from dividends and distributions to shareholders   (651,962)   (1,230,604)   (8,070,548)   (2,791,078)
                     
Capital transactions:                    
Institutional Class                    
Proceeds from shares sold   316,189    4,922,572    7,323,386    11,580,037 
Reinvestment of distributions   651,962    1,230,604    6,315,049    2,118,791 
Shares redeemed   (800,010)   (1,030,015)   (11,119,099)   (10,206,570)
Investor Class                    
Proceeds from shares sold           1,295,989    1,987,755 
Reinvestment of distributions           1,538,485    549,395 
Shares redeemed           (1,543,201)   (2,670,683)
Net increase/(decrease) in net assets from capital transactions   168,141    5,123,161    3,810,609    3,358,725 
Total increase/(decrease) in net assets   72,825    (2,224,952)   3,070,199    5,330,275 
                     
Net assets:                    
Beginning of period   21,504,015    23,728,967    66,453,000    61,122,725 
End of period  $21,576,840   $21,504,015   $69,523,199   $66,453,000 
                     
Share transactions:                    
Institutional Class                    
Shares sold   38,171    471,060    503,199    772,646 
Shares reinvested   78,079    120,176    453,016    149,316 
Shares redeemed   (95,240)   (106,407)   (760,732)   (691,858)
Net increase/(decrease)   21,010    484,829    195,483    230,104 
Investor Class                    
Shares sold           104,254    153,329 
Shares reinvested           132,628    45,405 
Shares redeemed           (124,923)   (210,827)
Net increase/(decrease)           111,959    (12,093)

 

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

 

Semi-Annual Report 2023  |  67

 
BOSTON PARTNERS INVESTMENT FUNDS (unaudited)
STATEMENTS OF CHANGES IN NET ASSETS (continued)  

 

   Boston Partners
Long/Short Research Fund
   Boston Partners
Global Long/Short Fund
 
   For the
Six Months Ended
February 28, 2023
   For the
Year Ended
August 31, 2022
   For the
Six Months Ended
February 28, 2023
   For the
Year Ended
August 31, 2022
 
Increase/(decrease) in net assets from operations:                    
Net investment income/(loss)  $3,768,648   $(806,220)  $490,037   $432,017 
Net realized gain/(loss) from investments and foreign currency   45,036,164    176,879,838    3,806,799    15,104,285 
Net change in unrealized appreciation/(depreciation) on investments and foreign currency translation   (6,849,569)   (124,327,460)   4,742,006    (3,987,028)
Net increase/(decrease) in net assets resulting from operations   41,955,243    51,746,158    9,038,842    11,549,274 
                     
Dividends and distributions to shareholders:                    
Institutional Class   (144,215,120)   (86,584,443)   (2,998,432)    
Investor Class   (2,234,372)   (1,150,099)   (245,884)    
Net decrease in net assets from dividends and distributions to shareholders   (146,449,492)   (87,734,542)   (3,244,316)    
                     
Capital transactions:                    
Institutional Class                    
Proceeds from shares sold   208,050,717    211,949,877    74,203,202    64,513,248 
Reinvestment of distributions   71,158,668    45,172,097    2,776,329     
Shares redeemed   (231,938,336)   (228,297,315)   (38,476,718)   (63,270,608)
Investor Class                    
Proceeds from shares sold   1,719,436    3,774,057    9,052,493    6,524,071 
Reinvestment of distributions   2,215,329    1,144,023    223,590     
Shares redeemed   (3,909,676)   (2,637,299)   (7,453,133)   (5,729,454)
Net increase/(decrease) in net assets from capital transactions   47,296,138    31,105,440    40,325,763    2,037,257 
Total increase/(decrease) in net assets   (57,198,111)   (4,882,944)   46,120,289    13,586,531 
                     
Net assets:                    
Beginning of period   813,902,254    818,785,198    121,237,590    107,651,059 
End of period  $756,704,143   $813,902,254   $167,357,879   $121,237,590 
                     
Share transactions:                    
Institutional Class                    
Shares sold   14,056,379    12,983,416    5,225,367    4,730,594 
Shares reinvested   5,086,395    2,891,940    194,557     
Shares redeemed   (15,456,437)   (13,752,873)   (2,721,231)   (4,731,465)
Net increase/(decrease)   3,686,337    2,122,483    2,698,693    (871)
Investor Class                    
Shares sold   116,178    239,284    635,206    481,835 
Shares reinvested   164,220    75,463    15,925     
Shares redeemed   (278,394)   (163,631)   (521,751)   (436,138)
Net increase/(decrease)   2,004    151,116    129,380    45,697 

 

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

 

68  |  Semi-Annual Report 2023

 
BOSTON PARTNERS INVESTMENT FUNDS (unaudited)
STATEMENTS OF CHANGES IN NET ASSETS (concluded)  

 

   Boston Partners
Emerging Markets Dynamic Equity Fund
 
   For the
Six Months Ended
February 28, 2023
   For the
Year Ended
August 31, 2022
 
Increase/(decrease) in net assets from operations:          
Net investment income/(loss)  $68,863   $384,446 
Net realized gain/(loss) from investments and foreign currency   (1,145,364)   (4,533,397)
Net change in unrealized appreciation/(depreciation) on investments and foreign currency translation   69,359    (2,597,974)
Net increase/(decrease) in net assets resulting from operations   (1,007,142)   (6,746,925)
           
Dividends and distributions to shareholders:          
Institutional Class   (11,778,440)   (36,249)
Net decrease in net assets from dividends and distributions to shareholders   (11,778,440)   (36,249)
           
Capital transactions:          
Institutional Class          
Proceeds from shares sold   2,378,257    10,840,739 
Reinvestment of distributions   11,469,531    35,160 
Shares redeemed   (6,230,792)   (4,906,731)
Net increase/(decrease) in net assets from capital transactions   7,616,996    5,969,168 
Total increase/(decrease) in net assets   (5,168,586)   (814,006)
           
Net assets:          
Beginning of period   60,615,615    61,429,621 
End of period  $55,447,029   $60,615,615 
           
Share transactions:          
Institutional Class          
Shares sold   265,351    1,008,879 
Shares reinvested   1,402,143    3,301 
Shares redeemed   (716,365)   (457,685)
Net increase/(decrease)   951,129    554,495 

 

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

 

Semi-Annual Report 2023  |  69

 
BOSTON PARTNERS INVESTMENT FUNDS  
FINANCIAL HIGHLIGHTS Per Share Operating Performance

 

Contained below is per share operating performance data for each class of shares outstanding, total investment return, ratios to average net assets and other supplemental data for the respective periods. This information has been derived from information provided in the financial statements.

 

   Net Asset
Value,
Beginning
of Period
 Net
Investment
Income/
(Loss)*
 Net Realized
and
Unrealized
Gain/
(Loss) on
Investments
 Net Increase/
(Decrease)
in Net Assets
Resulting
from
Operations
 Dividends to
Shareholders
from Net
Investment
Income
 Distributions
to
Shareholders
from Net
Realized
Gains
 Total
Dividend and
Distributions
to
Shareholders
Boston Partners All-Cap Value Fund         
Institutional Class                                                 
9/1/22 through 2/28/23†      $30.78          $0.21                $2.28                $2.49                $(0.31)               $(2.28)              $(2.59)      
8/31/22     33.77      0.33      (1.51)     (1.18)     (0.33)     (1.48)     (1.81)
8/31/21     24.53      0.26      9.43      9.69      (0.21)     (0.24)     (0.45)
8/31/20     24.97      0.36      (0.08)     0.28      (0.37)     (0.35)     (0.72)
8/31/19     27.86      0.34      (1.76)     (1.42)     (0.29)     (1.18)     (1.47)
8/31/18     25.57      0.22      3.20      3.42      (0.18)     (0.95)     (1.13)
Investor Class                                                 
9/1/22 through 2/28/23†    $30.58     $0.16     $2.28     $2.44     $(0.23)    $(2.28)    $(2.51)
8/31/22     33.56      0.25      (1.51)     (1.26)     (0.24)     (1.48)     (1.72)
8/31/21     24.39      0.18      9.38      9.56      (0.15)     (0.24)     (0.39)
8/31/20     24.82      0.30      (0.09)     0.21      (0.29)     (0.35)     (0.64)
8/31/19     27.69      0.27      (1.75)     (1.48)     (0.21)     (1.18)     (1.39)
8/31/18     25.42      0.16      3.18      3.34      (0.12)     (0.95)     (1.07)
Boston Partners Small Cap Value Fund II           
Institutional Class                                                 
9/1/22 through 2/28/23†    $27.51     $0.14     $1.67     $1.81     $(0.26)    $(1.66)    $(1.92)
8/31/22     32.34      0.18      (2.86)     (2.68)     (0.12)     (2.03)     (2.15)
8/31/21     21.06      0.15      11.27      11.42      (0.14)           (0.14)
8/31/20     23.42      0.20      (1.94)     (1.74)     (0.28)     (0.34)     (0.62)
8/31/19     27.74      0.23      (3.12)     (2.89)     (0.12)     (1.31)     (1.43)
8/31/18     24.96      0.21      3.75      3.96      (0.20)     (0.98)     (1.18)
Investor Class                                                 
9/1/22 through 2/28/23†    $26.12     $0.10     $1.59     $1.69     $(0.19)    $(1.66)    $(1.85)
8/31/22     30.81      0.10      (2.72)     (2.62)     (0.04)     (2.03)     (2.07)
8/31/21     20.07      0.07      10.75      10.82      (0.08)           (0.08)
8/31/20     22.33      0.15      (1.85)     (1.70)     (0.22)     (0.34)     (0.56)
8/31/19     26.53      0.16      (2.99)     (2.83)     (0.06)     (1.31)     (1.37)
8/31/18     23.92      0.14      3.59      3.73      (0.14)     (0.98)     (1.12)
WPG Partners Select Small Cap Value Fund              
Institutional Class                                                 
9/1/22 through 2/28/23†    $9.40     $0.05     $1.51     $1.56     $     $(0.02)    $(0.02)
12/29/21** through 8/31/22     10.00      (0.01)     (0.59)     (0.60)                  
WPG Partners Small Cap Value Diversified Fund        
Institutional Class                                                 
9/1/22 through 2/28/23†    $19.92     $0.13     $1.85     $1.98     $(0.09)    $(3.02)    $(3.11)
8/31/22     19.33      0.09      0.80      0.89      (0.07)     (0.23)     (0.30)
8/31/21     11.96      0.07      7.39      7.46      (0.09)           (0.09)
8/31/20     13.19      0.09      (1.26)     (1.17)     (0.06)           (0.06)
8/31/19     17.52      0.06      (3.36)     (3.30)     (0.05)     (0.98)     (1.03)
8/31/18     16.13      0.04      2.50      2.54      (0.06)     (1.09)     (1.15)

 

unaudited.
* Calculated based on average shares outstanding for the period.
** Commencement of operations.

 

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

 

70  |  Semi-Annual Report 2023

 
BOSTON PARTNERS INVESTMENT FUNDS  
FINANCIAL HIGHLIGHTS (continued) Per Share Operating Performance

 

Net Asset
Value, End
of Period
        Total
Investment
Return1
        Net Assets,
End of Period
(000)
        Ratio of Expenses
to Average
Net Assets
With Waivers,
Reimbursements
and Recoupment
if any2
        Ratio of Expenses
to Average
Net Assets
With Waivers,
Reimbursements
and Recoupments
if any (Excluding
Dividend and
Interest Expense)
        Ratio of Expenses
to Average Net
Assets Without
Waivers,
Reimbursements
and Recoupments
if any
        Ratio of Net
Investment
Income/(Loss)
to Average Net
Assets With
Waivers and
Reimbursements
        Portfolio
Turnover
Rate
                       
       $30.68             8.19%          $1,167,429           0.80%3      N/A       0.84%3           1.30%3          23%4   
 30.78    (3.76)     1,200,629    0.80   N/A   0.86    1.00    29 
 33.77    39.91      1,653,698    0.80   N/A   0.83    0.86    33 
 24.53    0.84      1,053,301    0.80   N/A   0.84    1.46    37 
 24.97    (4.65)     1,561,229    0.80   N/A   0.82    1.34    33 
 27.86    13.70      1,853,976    0.80   N/A   0.80    0.83    33 
                                      
 $30.51    8.06%    $234,889    1.05%3  N/A   1.09%3   1.05%3   23%4 
 30.58    (4.00)     230,437    1.05   N/A   1.11    0.75    29 
 33.56    39.57      279,306    1.05   N/A   1.08    0.61    33 
 24.39    0.59      220,927    1.05   N/A   1.09    1.21    37 
 24.82    (4.90)     320,962    1.05   N/A   1.07    1.09    33 
 27.69    13.44      510,737    1.05   N/A   1.05    0.58    33 
                                      
 $27.40    7.06%    $644,862    0.99%3  N/A   1.04%3   1.05%3   39%4 
 27.51    (8.88)     688,375    0.99   N/A   1.02    0.61    24 
 32.34    54.40      776,442    0.99   N/A   1.01    0.52    33 
 21.06    (7.88)     503,349    1.07   N/A   1.09    0.94    46 
 23.42    (9.92)     421,429    1.10   N/A   1.16    0.97    29 
 27.74    16.25      476,179    1.10   N/A   1.14    0.78    40 
                                      
 $25.96    6.90%    $85,605    1.24%3  N/A   1.29%3   0.80%3   39%4 
 26.12    (9.11)     82,898    1.24   N/A   1.27    0.36    24 
 30.81    54.01      104,282    1.24   N/A   1.26    0.27    33 
 20.07    (8.07)     77,032    1.32   N/A   1.34    0.69    46 
 22.33    (10.20)     122,703    1.35   N/A   1.41    0.72    29 
 26.53    15.94      144,315    1.35   N/A   1.39    0.53    40 
                                      
 $10.94    16.67%    $87,371    1.10%3  N/A   1.19%3   0.93%3   56%4 
 9.40    (6.00)     17,845    1.103   N/A   2.933    (0.22)3    704 
                                      
 $18.79    11.17%    $32,942    1.10%3   N/A   1.32%3    1.41%3    42%4 
 19.92    4.59      32,264    1.10   N/A   1.26    0.44    92 
 19.33    62.66      27,602    1.10   N/A   1.28    0.40    114 
 11.96    (8.92)     19,150    1.10   N/A   1.31    0.74    123 
 13.19    (18.85)     22,273    1.10   N/A   1.23    0.40    79 
 17.52    16.16      32,436    1.09   N/A   1.11    0.23    80 

 

1 Total return is calculated by assuming a purchase of shares on the first day and a sale of shares on the last day of the period and is not annualized if period is less than one year.
2 Beginning on September 1, 2018, the expense limitation includes acquired fund fees and expenses (AFFE). AFFE are not reflected as expenses in these financial statements and therefore this may cause the net expense ratios after waivers/reimbursements to be lower than the expense limitation in place.
3 Annualized
4 Not Annualized

 

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

 

Semi-Annual Report 2023  |  71

 
BOSTON PARTNERS INVESTMENT FUNDS  
FINANCIAL HIGHLIGHTS (continued) Per Share Operating Performance

 

Contained below is per share operating performance data for each class of shares outstanding, total investment return, ratios to average net assets and other supplemental data for the respective periods. This information has been derived from information provided in the financial statements.

 

   Net Asset
Value,
Beginning
of Period
 Net
Investment
Income/
(Loss)*
 Net Realized
and
Unrealized
Gain/
(Loss) on
Investments
 Net Increase/
(Decrease)
in Net Assets
Resulting
from
Operations
 Dividends to
Shareholders
from Net
Investment
Income
 Distributions
to
Shareholders
from Net
Realized
Gains
 Total
Dividend and
Distributions
to
Shareholders
Boston Partners Global Sustainability Fund                       
Institutional Class                                                 
9/1/22 through 2/28/23†       $8.62            $0.03               $1.18               $1.21               $(0.14)               $               $(0.14)     
12/29/21** through 8/31/22     10.00      0.11      (1.49)     (1.38)                  
Boston Partners Global Equity Fund                            
Institutional Class                                                 
9/1/22 through 2/28/23†    $18.69     $0.10     $2.46     $2.56     $(0.30)    $     $(0.30)
8/31/22     20.74      0.39      (2.08)     (1.69)     (0.36)           (0.36)
8/31/21     15.15      0.25      5.69      5.94      (0.35)           (0.35)
8/31/20     15.91      0.15      (0.67)     (0.52)     (0.24)           (0.24)
8/31/19     18.73      0.25      (1.79)     (1.54)     (0.18)     (1.10)     (1.28)
8/31/18     17.39      0.16      1.56      1.72      (0.12)     (0.26)     (0.38)
Boston Partners Emerging Markets Fund                      
Institutional Class                                                 
9/1/22 through 2/28/23†    $8.61     $0.05     $0.17     $0.22     $(0.27)    $     $(0.27)
8/31/22     11.78      0.19      (2.75)     (2.56)     (0.46)     (0.15)     (0.61)
8/31/21     9.79      0.13      1.94      2.07      (0.08)           (0.08)
8/31/20     9.18      0.21      0.89      1.10      (0.49)           (0.49)
8/31/19     9.13      0.13      (0.08)     0.05                   
10/17/17** through 8/31/18     10.00      0.05      (0.86)     (0.81)     (0.06)           (0.06)
Boston Partners Long/Short Equity Fund             
Institutional Class                                                 
9/1/22 through 2/28/23†    $14.73      $ —^    $1.58     $1.58     $     $(1.77)    $(1.77)
8/31/22     14.21      (0.13)     1.29      1.16            (0.64)     (0.64)
8/31/21     15.15      (0.12)     3.69      3.57            (4.51)     (4.51)
8/31/20     17.74      (0.14)     (0.70)     (0.84)           (1.75)     (1.75)
8/31/19     20.51      (0.18)     (1.06)     (1.24)           (1.53)     (1.53)
8/31/18     20.96      (0.35)     0.07      (0.28)           (0.17)     (0.17)
Investor Class                                                 
9/1/22 through 2/28/23†    $12.54     $(0.02)    $1.34     $1.32     $     $(1.77)    $(1.77)
8/31/22     12.22      (0.14)     1.10      0.96            (0.64)     (0.64)
8/31/21     13.64      (0.14)     3.23      3.09            (4.51)     (4.51)
8/31/20     16.17      (0.16)     (0.62)     (0.78)           (1.75)     (1.75)
8/31/19     18.88      (0.20)     (0.98)     (1.18)           (1.53)     (1.53)
8/31/18     19.36      (0.38)     0.07      (0.31)           (0.17)     (0.17)

 

Unaudited.
* Calculated based on average shares outstanding.
** Commencement of operations.
^ Amount is less than $0.005.

 

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

 

72  |  Semi-Annual Report 2023

 
BOSTON PARTNERS INVESTMENT FUNDS  
FINANCIAL HIGHLIGHTS (continued) Per Share Operating Performance

 

  Net Asset
Value, End
of Period
  Total
Investment
Return1
  Net Assets,
End of Period
(000)
  Ratio of Expenses
to Average
Net Assets
With Waivers,
Reimbursements
and Recoupment
if any2
  Ratio of Expenses
to Average
Net Assets
With Waivers,
Reimbursements
and Recoupments
if any (Excluding
Dividend and
Interest Expense)
  Ratio of Expenses
to Average Net
Assets Without
Waivers,
Reimbursements
and Recoupments
if any
  Ratio of Net
Investment
Income/(Loss)
to Average Net
Assets With
Waivers and
Reimbursements
  Portfolio
Turnover
Rate
                        
        $9.69         14.06%     $23,167       0.90%3   N/A    1.59%3   0.75%3   40%4 
   8.62    (13.80)   22,640    0.903    N/A    1.733    1.753    554 
                                        
  $20.95    13.76%  $197,955    0.95%3   N/A    1.12%3    1.04%3   26%4 
   18.69    (8.27)   171,407    0.95    N/A    1.13    1.94    59 
   20.74    39.66    183,433    0.95    N/A    1.04    1.38    88 
   15.15    (3.40)   177,470    0.95    N/A    1.22    0.96    118 
   15.91    (7.92)   683,649    0.95    N/A    1.03    1.55    97 
   18.73    9.93    666,271    0.95    N/A    1.03    0.88    80 
                                        
  $8.56    2.65%  $21,577    1.00%3    N/A    1.78%3   1.18%3   86%4 
   8.61    (22.55)   21,504    1.00    N/A    1.74    1.94    143 
   11.78    21.15    23.729    1.00    N/A    1.56    1.16    123 
   9.79    12.05    16,508    1.06    N/A    2.39    2.29    177 
   9.18    0.55    9,468    1.07    N/A    2.89    1.41    155 
   9.13    (8.11)   8,296    1.103    N/A    2.953    0.583    1464 
                                        
  $14.54    11.25%  $56,871    2.01%3    1.96%3    2.65%3    (0.01%)3    22%4 
   14.73    8.35    54,733    2.55    1.96    3.18    (0.87)   40 
   14.21    29.08    49,551    2.60    1.97    3.14    (0.91)   31 
   15.15    (5.78)   68,780    2.57    2.25    2.74    (0.81)   46 
   17.74    (6.05)   227,834    2.67    2.45    2.68    (0.94)   64 
   20.51    (1.38)   651,325    3.01    2.37    3.01    (1.62)   58 
                                        
  $12.09    11.13%  $12,652    2.26%3    2.21%3    2.90%3    (0.26%)3    22%4 
   12.54    8.07    11,720    2.80    2.21    3.43    (1.12)   40 
   12.22    28.71    11.571    2.85    2.22    3.39    (1.16)   31 
   13.64    (5.99)   14,484    2.82    2.50    2.99    (1.06)   46 
   16.17    (6.27)   28,156    2.92    2.70    2.93    (1.19)   64 
   18.88    (1.65)   54,167    3.26    2.62    3.26    (1.87)   58 

 

1  Total return is calculated by assuming a purchase of shares on the first day and a sale of shares on the last day of the period and is not annualized if period is less than one year.
2  Beginning on September 1, 2018, the expense limitation includes acquired fund fees and expenses (AFFE). AFFE are not reflected as expenses in these financial statements and therefore this may cause the net expense ratios after waivers/reimbursements to be lower than the expense limitation in place.
3  Annualized
4  Not Annualized

 

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

 

Semi-Annual Report 2023  |  73

 
BOSTON PARTNERS INVESTMENT FUNDS  
FINANCIAL HIGHLIGHTS (continued) Per Share Operating Performance

 

Contained below is per share operating performance data for each class of shares outstanding, total investment return, ratios to average net assets and other supplemental data for the respective periods. This information has been derived from information provided in the financial statements.

 

   Net Asset
Value,
Beginning
of Period
 Net
Investment
Income/
(Loss)*
 Net Realized
and
Unrealized
Gain/
(Loss) on
Investments
 Net Increase/
(Decrease)
in Net Assets
Resulting
from
Operations
 Dividends to
Shareholders
from Net
Investment
Income
 Distributions
to
Shareholders
from Net
Realized
Gains
 Total
Dividend and
Distributions
to
Shareholders
Boston Partners Long/Short Research Fund         
Institutional Class                                                 
9/1/22 through 2/28/23†       $15.98            $0.07               $0.74                 $0.81                $(0.22)               $(2.72)               $(2.94)     
8/31/22     16.82      (0.02)     1.18      1.16            (2.00)     (2.00)
8/31/21     13.31      (0.10)     3.61      3.51                   
8/31/20     15.15      (0.00)     (1.48)     (1.48)     (0.21)     (0.15)     (0.36)
8/31/19     16.64      0.09      (0.79)     (0.70)     (0.01)     (0.78)     (0.79)
8/31/18     16.27      (0.03)     0.40      0.37                   
Investor Class                                                 
9/1/22 through 2/28/23†    $15.48     $0.05     $0.72     $0.77     $(0.18)    $(2.72)    $(2.90)
8/31/22     16.39      (0.05)     1.14      1.09            (2.00)     (2.00)
8/31/21     13.01      (0.13)     3.51      3.38                   
8/31/20     14.81      (0.04)     (1.44)     (1.48)     (0.17)     (0.15)     (0.32)
8/31/19     16.31      0.06      (0.78)     (0.72)           (0.78)     (0.78)
8/31/18     15.99      (0.08)     0.40      0.32                   
Boston Partners Global Long/Short Fund           
Institutional Class                                                 
9/1/22 through 2/28/23†    $13.65     $0.05     $0.91     $0.96     $(0.32)    $     $(0.32)
8/31/22     12.18      0.05      1.42      1.47                   
8/31/21     9.72      (0.01)     2.48      2.47      (0.01)           (0.01)
8/31/20     10.74      0.01      (0.89)     (0.88)     (0.14)           (0.14)
8/31/19     11.52      0.07      (0.65)     (0.58)           (0.20)     (0.20)
8/31/18     11.34      (0.01)     0.19      0.18                   
Investor Class                                                 
9/1/22 through 2/28/23†    $13.43     $0.03     $0.89     $0.92     $(0.30)    $     $(0.30)
8/31/22     12.01      0.01      1.41      1.42                   
8/31/21     9.61      (0.03)     2.43      2.40                   
8/31/20     10.61      (0.02)     (0.88)     (0.90)     (0.10)           (0.10)
8/31/19     11.40      0.05      (0.84)     (0.79)                  
8/31/18     11.25      (0.04)     0.19      0.15                   
Boston Partners Emerging Markets Dynamic Equity Fund          
Institutional Class                                                 
9/1/22 through 2/28/23†    $10.23     $0.01     $(0.17)    $(0.16)    $(2.01)    $     $(2.01)
8/31/22     11.44      0.07      (1.27)     (1.20)     (0.01)           (0.01)
8/31/21     11.23      (0.02)     1.17      1.15      (0.94)           (0.94)
8/31/20     10.45      0.19      0.82      1.01      (0.23)           (0.23)
8/31/19     10.49      0.04      (0.03)     0.01            (0.05)     (0.05)
8/31/18     12.12      (0.05)     (0.87)     (0.92)     (0.26)     (0.45)     (0.71)

 

unaudited.
* Calculated based on average shares outstanding, unless otherwise noted.

 

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

 

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BOSTON PARTNERS INVESTMENT FUNDS  
FINANCIAL HIGHLIGHTS (concluded) Per Share Operating Performance

 

Net Asset
Value, End
of Period
Total
Investment
Return1
    Net Assets,
End of Period
(000)
  Ratio of Expenses
to Average
Net Assets
With Waivers,
Reimbursements
and Recoupment
if any2
  Ratio of Expenses
to Average
Net Assets
With Waivers,
Reimbursements
and Recoupments
if any (Excluding
Dividend and
Interest Expense)
  Ratio of Expenses
to Average Net
Assets Without
Waivers,
Reimbursements
and Recoupments
if any
  Ratio of Net
Investment
Income/(Loss)
to Average Net
Assets With
Waivers and
Reimbursements
  Portfolio
Turnover
Rate
                                          
      $13.85       4.88%         $746,339      1.80%3       1.39%3     1.80%3    0.95%3   29%4
   15.98    7.17      801,913    1.95    1.40    1.95    (0.10)   85 
   16.82    26.37      808,565    2.15    1.40    2.15    (0.66)   61 
   13.31    (10.13)     1,082,963    2.21    1.37    2.21    (0.01)   66 
   15.15    (4.05)     3,212,731    2.15    1.38    2.15    0.62    60 
   16.64    2.27      6,636,897    2.09    1.34    2.09    (0.19)   60 
                                          
  $13.35    4.80%    $10,365    2.05%3   1.64%3   2.05%3   0.70%3   29%4
   15.48    6.91      11,989    2.20    1.65    2.20    (0.35)   85 
   16.39    25.98      10,220    2.40    1.65    2.40    (0.91)   61 
   13.01    (10.32)     24,436    2.46    1.62    2.46    (0.26)   66 
   14.81    (4.27)     54,570    2.40    1.63    2.40    0.37    60 
   16.31    2.00      118,905    2.34    1.59    2.34    (0.44)   60 
                                          
  $14.29    7.01%    $159,095    2.39%3   1.79%3   2.39%3   0.70%3   75%4
   13.65    12.07      115,079    2.56    1.81    2.56    0.34    161 
   12.18    25.39      102,691    2.29    1.83    2.29    (0.07)   102 
   9.72    (8.30)     130,857    2.46    1.75    2.46    0.07    125 
   10.74    (5.00)     611,254    2.47    1.65    2.47    0.69    99 
   11.52    1.59      913,237    2.34    1.65    2.34    (0.11)   85 
                                          
  $14.05    6.88%    $8,263    2.64%3   2.04%3   2.64%3   0.45%3   75%4
   13.43    11.82      6,159    2.81    2.06    2.81    0.09    161 
   12.01    24.97      4,960    2.54    2.08    2.54    (0.32)   102 
   9.61    (8.55)     6,308    2.71    2.00    2.71    (0.18)   125 
   10.61    (5.14)     14,610    2.72    1.90    2.72    0.44    99 
   11.40    1.33      23,987    2.59    1.90    2.59    (0.36)   85 
                                          
  $8.06    (1.84%)    $55,447    1.40%3   1.40%3   1.72%3   0.24%3   68%4
   10.23    (10.52)     60,616    1.42    1.40    1.73    0.63    136 
   11.44    10.38      61,430    1.75    1.40    2.00    (0.14)   125 
   11.23    9.75      60,176    1.66    1.49    2.19    1.81    219 
   10.45    0.18      58,424    1.96    1.96    2.44    0.43    186 
   10.49    (8.11)     58,245    2.00    2.00    2.37    (0.47)   222 

 

1  Total return is calculated by assuming a purchase of shares on the first day and a sale of shares on the last day of the period and is not annualized if period is less than one year.
2  Beginning on September 1, 2018, the expense limitation includes acquired fund fees and expenses (AFFE). AFFE are not reflected as expenses in these financial statements and therefore this may cause the net expense ratios after waivers/reimbursements to be lower than the expense limitation in place.
3  Annualized
4  Not Annualized

 

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

 

Semi-Annual Report 2023  |  75

 

BOSTON PARTNERS INVESTMENT FUNDS

 

NOTES TO FINANCIAL STATEMENTS

 

February 28, 2023

 

1. ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES

 

The RBB Fund, Inc. (“RBB” or the “Company”) was incorporated under the laws of the State of Maryland on February 29, 1988 and is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. RBB is a “series fund,” which is a mutual fund complex divided into separate portfolios. Each portfolio is treated as a separate entity for certain matters under the 1940 Act, and for other purposes, and a shareholder of one portfolio is not deemed to be a shareholder of any other portfolio. Currently, RBB has forty-eight separate investment portfolios, including Boston Partners All-Cap Value Fund (“BP All-Cap Value Fund”), Boston Partners Small Cap Value Fund II (“BP Small Cap Value Fund II”), WPG Partners Select Small Cap Value Fund (“WPG Select Small Cap Value Fund”), WPG Partners Small Cap Value Diversified Fund (formerly known as WPG Partners Small/Micro Cap Value Fund) (“WPG Small Cap Value Diversified Fund”), Boston Partners Global Sustainability Fund (“BP Global Sustainability Fund”), Boston Partners Global Equity Fund (“BP Global Equity Fund”), Boston Partners Emerging Markets Fund (“BP Emerging Markets Fund”), Boston Partners Long/Short Equity Fund (“BP Long/Short Equity Fund”), Boston Partners Long/Short Research Fund (“BP Long/Short Research Fund”), Boston Partners Global Long/Short Fund (“BP Global Long/Short Fund”) and Boston Partners Emerging Markets Dynamic Equity Fund (“BP Emerging Markets Dynamic Equity Fund”), (each, a “Fund” and collectively, the “Funds”). As of the end of the reporting period, the Funds (other than the WPG Select Small Cap Value Fund, WPG Small Cap Value Diversified Fund, BP Global Sustainability Fund, BP Global Equity Fund, BP Emerging Markets Fund and BP Emerging Markets Dynamic Equity Fund) each offer two classes of shares, Institutional Class and Investor Class. As of the end of the reporting period, Investor Class shares of the BP Global Equity Fund have not been issued. The WPG Select Small Cap Value Fund, WPG Small Cap Value Diversified Fund, BP Global Sustainability Fund, BP Emerging Markets Fund and BP Emerging Markets Dynamic Equity Fund are single class funds, offering only the Institutional Class of shares.

 

RBB has authorized capital of one hundred billion shares of common stock of which 90.623 billion shares are currently classified into two hundred and thirteen classes of common stock. Each class represents an interest in an active or inactive investment portfolio of the Company.

 

The investment objective of BP Small Cap Value Fund II and BP All-Cap Value Fund is to seek long-term growth of capital primarily through investment in equity securities. The investment objective of BP Global Equity Fund, BP Global/Long Short Fund, BP Emerging Markets Fund, and BP Emerging Markets Dynamic Equity Fund is to seek long-term capital growth. The investment objective of WPG Select Small Cap Value Fund and BP Global Sustainability Fund is to seek long-term capital appreciation. The investment objective of BP Long/Short Equity Fund is to seek long-term capital appreciation while reducing exposure to general equity market risk. The investment objective of WPG Small Cap Value Diversified Fund is to seek capital appreciation by investing primarily in common stocks, securities convertible into common stocks and in special situations. The investment objective of BP Long/Short Research Fund is to seek long-term total return.

 

The Funds are investment companies and follow accounting and reporting guidance in the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946 “Financial Services-Investment Companies.”

 

The end of the reporting period for the Funds is February 28, 2023, and the period covered by these Notes to Financial Statements is the six months ended February 28, 2023 (the “current fiscal period”).

 

PORTFOLIO VALUATION — Each Fund’s net asset value (“NAV”) is calculated once daily at the close of regular trading hours on the New York Stock Exchange (“NYSE”) (generally 4:00 p.m Eastern time) on each day the NYSE is open. Securities held by a Fund are valued using the closing price or the last sale price on a national securities exchange or the National Association of Securities Dealers Automatic Quotation System (“NASDAQ”) market system where they are primarily traded. Equity securities traded in the over-the-counter (“OTC”) market are valued at their closing prices. If there were no transactions on that day, securities traded principally on an exchange or on NASDAQ will be valued at the mean of the last bid and ask prices prior to the market close. Fixed income securities are valued using an independent pricing service, which considers such factors as security prices, yields, maturities and ratings, and are deemed representative of market values at the close of the market. Foreign securities are valued based on prices from the primary market in which they are traded, and are translated from the local currency into U.S. dollars using current exchange rates. Investments in other open-end investment companies, if any, are valued based on the NAV of the investment companies (which may use fair value pricing as disclosed in their prospectuses). Options for which the primary market is a national securities exchange are valued at the last sale price on the exchange on which they are traded, or, in the absence of any sale, will be valued at the mean of the last bid and ask prices prior to the market close. Options not traded on a national securities exchange are valued at the last quoted bid price for long option positions and the closing ask price for short option positions. If market quotations are unavailable or deemed unreliable, securities will be valued by the Valuation Designee (as defined below) 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

 

76  |  Semi-Annual Report 2023

 

BOSTON PARTNERS INVESTMENT FUNDS

 

NOTES TO FINANCIAL STATEMENTS (continued)

 

February 28, 2023

 

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).

 

The Board has adopted a pricing and valuation policy for use by the Fund and its Valuation Designee (as defined below) in calculating the Fund’s NAV. Pursuant to Rule 2a-5 under the 1940 Act, the Board has designated Boston Partners Global Investors, Inc. (“Boston Partners” or the “Adviser”) as its “Valuation Designee” to perform all of the fair value determinations as well as to perform all of the responsibilities that may be performed by the Valuation Designee in accordance with Rule 2a-5. The Valuation Designee is authorized to make all necessary determinations of the fair values of portfolio securities and other assets for which market quotations are not readily available or if it is deemed that the prices obtained from brokers and dealers or independent pricing services are unreliable.

 

FAIR VALUE MEASUREMENTS — The inputs and valuation techniques used to measure the fair value of the Funds’ investments are summarized into three levels as described in the hierarchy below:

 

  Level 1 —  Prices are determined using quoted prices in active markets for identical securities.
       
  Level 2 —  Prices are determined using other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
       
  Level 3 —  Prices are determined using significant unobservable inputs (including the Funds’ own assumptions in determining the fair value of investments).

 

The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

 

A summary of the inputs used to value each Fund’s investments as of the end of the reporting period is included in each Fund’s Portfolio of Investments.

 

At the end of each quarter, management evaluates the classification of Levels 1, 2 and 3 assets and liabilities. Various factors are considered, such as changes in liquidity from the prior reporting period; whether or not a broker is willing to execute at the quoted price; the depth and consistency of prices from third party pricing services; and the existence of contemporaneous, observable trades in the market. Additionally, management evaluates the classification of Level 1, 2 and 3 assets and liabilities on a quarterly basis for changes in listings or delistings on national exchanges.

 

Due to the inherent uncertainty of determining the fair value of investments that do not have a readily available market value, the fair value of the Funds’ investments may fluctuate from period to period. Additionally, the fair value of investments may differ significantly from the values that would have been used had a ready market existed for such investments and may differ materially from the values the Funds may ultimately realize. Further, such investments may be subject to legal and other restrictions on resale or otherwise less liquid than publicly traded securities.

 

The following is a summary of quantitative information about Level 3 Fair Value Measurements:

 

  FUND   TYPE OF SECURITY   UNREALIZED
APPRECIATION/
(DEPRECIATION)
AS OF 2/28/2023
  VALUATION
TECHNIQUES
  UNOBSERVABLE
INPUT
  UNOBSERVABLE
INPUT
VALUES (USD)
  IMPACT TO
VALUATION FROM
AN INCREASE
TO INPUT
  BP Emerging Markets Dynamic Equity Fund   Contracts For Difference – Total Short – Russia   314,150   Market Approach & Concensus Pricing   Discount for lack of marketability as a result of geopolitical event and sanction   100%   Significant changes in the market quotes would have resulted in direct and proportional changes in the fair value of the security
  BP Emerging Markets Dynamic Equity Fund   Contracts For Difference – Total Short – Russia   140,169   Market Approach & Concensus Pricing   Discount for lack of marketability as a result of geopolitical event and sanction   100%   Significant changes in the market quotes would have resulted in direct and proportional changes in the fair value of the security

 

Semi-Annual Report 2023  |  77

 

BOSTON PARTNERS INVESTMENT FUNDS

 

NOTES TO FINANCIAL STATEMENTS (continued)

 

February 28, 2023

 

For fair valuations using significant unobservable inputs, U.S. generally accepted accounting principles (“U.S. GAAP”) requires each Fund to present a reconciliation of the beginning to ending balances for reported market values that presents changes attributable to total realized and unrealized gains or losses, purchase and sales, and transfers in and out of Level 3 during the period. Transfers in and out between levels are based on values at the end of the period. A reconciliation of Level 3 investments is presented only when a Fund had an amount of Level 3 investments at the end of the reporting period that was meaningful in relation to its net assets. The amounts and reasons for all Level 3 transfers are disclosed if a Fund had an amount of total Level 3 transfers during the reporting period that was meaningful in relation to its net assets as of the end of the reporting period.

 

During the current fiscal year, the Funds had no significant level 3 investments or transfers.

 

USE OF ESTIMATES — The preparation of financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates and those differences could be significant.

 

INVESTMENT TRANSACTIONS, INVESTMENT INCOME AND EXPENSES — The Funds record security transactions based on trade date for financial reporting purposes. The cost of investments sold is determined by use of the specific identification method for both financial reporting and income tax purposes in determining realized gains and losses on investments. Interest income (including amortization of premiums and accretion of discounts) is accrued when earned. Dividend income is recorded on the ex-dividend date. Distributions received on securities that represent a return of capital or capital gain are recorded as a reduction of cost of investments and/or as a realized gain. The Funds’ investment income, expenses (other than class specific expenses) and unrealized and realized gains and losses are allocated daily to each class of shares based upon the relative proportion of net assets of each class at the beginning of the day. Certain expenses are shared with The RBB Fund Trust (formerly, PENN Capital Funds Trust) (the “Trust”), a series trust of affiliated funds. Expenses incurred on behalf of a specific class, fund or fund family of the Company or Trust are charged directly to the class, fund or fund family (in proportion to net assets). Expenses incurred for all funds (such as director or professional fees) are charged to all funds in proportion to their average net assets of RBB and the Trust, or in such other manner as the Board deems fair or equitable. Offering costs are amortized for a new fund and accrued over a 12-month period from the inception date of the fund. Offering costs are charged directly to the fund in which they are incurred. Expenses and fees, including investment advisory, offering costs, and administration fees, are accrued daily and taken into account for the purpose of determining the NAV of the Funds.

 

DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS — Dividends from net investment income and distributions from net realized capital gains, if any, are declared and paid at least annually to shareholders and recorded on the ex-dividend date. Income dividends and capital gain distributions are determined in accordance with U.S. federal income tax regulations which may differ from U.S. GAAP.

 

U.S. TAX STATUS — No provision is made for U.S. income taxes as it is each Fund’s intention to qualify or continue to qualify for and elect the tax treatment applicable to regulated investment companies under Subchapter M of the Internal Revenue Code of 1986, as amended, and make the requisite distributions to its shareholders which will be sufficient to relieve it from U.S. income and excise taxes.

 

SEC RULE 18f-4 — Effective August 19, 2022, the Securities and Exchange Commission (the “SEC”) implemented Rule 18f-4 under the 1940 Act (“Rule 18f-4”), providing for the regulation of a registered investment company’s use of derivatives and certain related instruments. Among other things, Rule 18f-4 limits a fund’s derivatives exposure through a value-at-risk test and requires the adoption and implementation of a derivatives risk management program for certain derivatives users. The BP Emerging Markets Fund, BP Long/Short Equity Fund, BP Long/Short Research Fund, BP Global Long/Short Fund, and BP Emerging Markets Dynamic Equity Fund, as a full derivatives user (as defined in Rule 18f-4), is subject to the full requirements of Rule 18f-4. The BP All-Cap Value Fund, BP Small Cap Value Fund II, WPG Select Small Cap Value Fund, WPG Small Cap Value Diversified Fund, BP Global Sustainability Fund, and BP Global Equity Fund, as a limited derivatives user (as defined in Rule 18f-4), is not subject to the full requirements of Rule 18f-4. The Funds are required to comply with Rule18f-4 and has adopted procedures for investing in derivatives and other transactions in compliance with Rule 18f-4.

 

FOREIGN CURRENCY TRANSLATION — Assets and liabilities initially expressed in non-U.S. currencies are translated into U.S. dollars based on the applicable exchange rates at the date of the last business day of the financial statement period. Purchases and sales of securities, interest income, dividends, variation margin received and expenses denominated in foreign currencies are translated into U.S. dollars at the exchange rates in effect on the transaction date.

 

The Funds do not separately report the effect of changes in foreign exchange rates from changes in market prices of securities held. Such changes are included with the net realized gain or loss and change in unrealized appreciation or depreciation on investments in the Statements of Operations. Other foreign currency transactions resulting in realized and unrealized gain or loss are reported separately as net realized gain or loss and change in unrealized appreciation or depreciation on foreign currencies in the Statements of Operations.

 

CASH AND CASH EQUIVALENTS — Cash and cash equivalents are valued at cost plus accrued interest, which approximates market value.

 

OTHER — In the normal course of business, the Funds may enter into contracts that provide general indemnifications. Each Fund’s maximum exposure under these arrangements is dependent on claims that may be made against the Funds in the future, and, therefore, cannot be estimated; however, the Funds expect the risk of material loss from such claims to be remote.

 

78  |  Semi-Annual Report 2023

 

BOSTON PARTNERS INVESTMENT FUNDS

 

NOTES TO FINANCIAL STATEMENTS (continued)

 

February 28, 2023

 

CURRENCY RISK — The Funds invest in securities of foreign issuers, including American Depositary Receipts. These markets are subject to special risks associated with foreign investments not typically associated with investing in U.S. markets. Because the foreign securities in which the Funds may invest generally trade in currencies other than the U.S. dollar, changes in currency exchange rates will affect the Funds’ NAV, the value of dividends and interest earned and gains and losses realized on the sale of securities. Because the NAV for the Funds are determined on the basis of U.S. dollars, the Funds may lose money by investing in a foreign security if the local currency of a foreign market depreciates against the U.S. dollar, even if the local currency value of the Funds’ holdings goes up. Generally, a strong U.S. dollar relative to these other currencies will adversely affect the value of the Funds’ holdings in foreign securities.

 

EMERGING MARKETS RISK — The BP Global Sustainability Fund, the BP Emerging Markets Fund and the BP Emerging Markets Dynamic Equity Fund invest in emerging market instruments which are subject to certain credit and market risks. The securities and currency markets of emerging market countries are generally smaller, less developed, less liquid and more volatile than the securities and currency markets of the United States and other developed markets. Disclosure and regulatory standards in many respects are less stringent than in other developed markets. There also may be a lower level of monitoring and regulation of securities markets in emerging market countries and the activities of investors in such markets and enforcement of existing regulations may be extremely limited. Political and economic structures in many of these countries may be in their infancy and developing rapidly, and such countries may lack the social, political and economic stability characteristics of more developed countries.

 

FOREIGN SECURITIES MARKET RISK — Securities of many non-U.S. companies may be less liquid and their prices more volatile than securities of comparable U.S. companies. Securities of companies traded in many countries outside the U.S., particularly emerging markets countries, may be subject to further risks due to the inexperience of local investment professionals and financial institutions, the possibility of permanent or temporary termination of trading and greater spreads between bid and asked prices of securities. In addition, non-U.S. stock exchanges and investment professionals are subject to less governmental regulation, and commissions may be higher than in the United States. Also, there may be delays in the settlement of non-U.S. stock exchange transactions.

 

LIBOR DISCONTINUATION RISK — The terms of many financial instruments in which the Funds may invest or other transactions to which the Funds may be a party may be tied to the London Interbank Offered Rate, or “LIBOR.” LIBOR is the offered rate for short-term Eurodollar deposits between major international banks. LIBOR may be a significant factor in determining the Funds’ payment obligations under a derivative investment, the cost of financing to the Funds or an investment’s value or return to the Funds, and may be used in other ways that affect the Funds’ investment performance. In July 2017, the Financial Conduct Authority (“FCA”), the United Kingdom’s financial regulatory body, announced a desire to phase out the use of LIBOR by the end of 2021.

 

The FCA and ICE Benchmark Administrator have since announced that most LIBOR settings will no longer be published after December 31, 2021 and a majority of U.S. dollar LIBOR settings will cease publication after June 30, 2023. It is possible that a subset of LIBOR settings will be published after these dates on a “synthetic” basis, but any such publications would be considered non-representative of the underlying market. The U.S. Federal Reserve, based on the recommendations of the New York Federal Reserve’s Alternative Reference Rate Committee (comprised of major derivative market participants and their regulators), has begun publishing the Secured Overnight Financing Rate (“SOFR”) that is intended to replace U.S. dollar LIBOR. Proposals for alternative reference rates for other currencies have also been announced or have already begun publication. Markets are slowly developing in response to these new reference rates. Uncertainty related to the liquidity impact of the change in rates, and how to appropriately adjust these rates at the time of transition, poses risks for the Funds. The effect of any changes to, or discontinuation of, LIBOR on the Funds will depend on, among other things, (1) existing fallback or termination provisions in individual contracts and (2) whether, how, and when industry participants develop and adopt new reference rates and fallbacks for both legacy and new instruments and contracts. In addition, there are obstacles to converting certain longer-term securities and transactions to a new reference rate or rates and the effectiveness of one alternative reference rate versus multiple alternative reference rates in new or existing financial instruments and products has not been determined.

 

The transition away from LIBOR might lead to increased volatility and illiquidity in markets for instruments whose terms currently reference LIBOR, reduced values of LIBOR-related investments, reduced effectiveness of hedging strategies, increased costs for certain LIBOR-related instruments, increased difficulty in borrowing or refinancing, and prolonged adverse market conditions for the Funds. Furthermore, the risks associated with the expected discontinuation of LIBOR and related transition may be exacerbated if the work necessary to effect an orderly transition to an alternative reference rate is not completed in a timely manner.

 

Although the Funds are working to minimize its exposure to risks associated with the expected discontinuation of LIBOR, all of the aforementioned risks may adversely affect the Funds’ performance or NAV.

 

CORONAVIRUS (COVID-19) PANDEMIC — The global outbreak of COVID-19 (commonly referred to as “coronavirus”) has disrupted economic markets and the prolonged economic impact is uncertain. Although vaccines for COVID-19 are available, the ultimate economic fallout from the pandemic, and the long-term impact on economies, markets, industries and individual issuers are not known. The operational and financial performance of the issuers of securities in which the Funds invest depends on future developments, including the duration and spread of the outbreak and the pace of recovery which may vary from market to market, and such uncertainty may in turn adversely affect the value and liquidity of the Funds’ investments, impair the Funds’ ability to satisfy redemption requests, and negatively impact the Funds’ performance.

 

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NOTES TO FINANCIAL STATEMENTS (continued)

 

February 28, 2023

 

UKRAINE-RUSSIA CONFLICT RISK — In February 2022, Russia commenced a military attack on Ukraine. The outbreak of hostilities between the two countries and the threat of wider-spread hostilities could have a severe adverse effect on the region and global economies, including significant negative impacts on the markets for certain securities and commodities, such as oil and natural gas. In addition, sanctions imposed on Russia by the United States and other countries, and any sanctions imposed in the future, could have a significant adverse impact on the Russian economy and related markets. The price and liquidity of investments may fluctuate widely as a result of the conflict and related events. How long the armed conflict and related events will last cannot be predicted. These tensions and any related events could have a significant impact on the Funds’ performance and the value of Funds’ investments, even beyond any direct exposure that the Funds may have to issuers located in these countries.

 

SUSTAINABLE INVESTMENT RISK — The sustainability criterion required for investment by the BP Global Sustainability Fund may cause the Fund to not invest in certain industries or issuers. As a result, the BP Global Sustainability Fund may be overweight or underweight in certain industries or issuers relative to its benchmark index, which may cause the Fund’s performance to be more or less sensitive to developments affecting those industries or issuers. Sustainability information provided by issuers, upon which the portfolio managers may rely, continues to develop, and may be incomplete, inaccurate, use different methodologies, or be applied differently across companies and industries. Further, the regulatory landscape for sustainable investing in the United States is still developing and future rules and regulations may require the BP Global Sustainability Fund to modify or alter its investment process. Similarly, government policies incentivizing issuers to engage in sustainable practices may fall out of favor, which could potentially limit the BP Global Sustainability Fund’s investment universe. There is also a risk that the companies identified through the investment process may fail to adhere to sustainable business practices, which may result in the BP Global Sustainability Fund selling a security when it might otherwise be disadvantageous to do so. There is no guarantee that sustainable investments will outperform the broader market on either an absolute or relative basis.

 

OPTIONS WRITTEN — The Funds may enter into options written for: bona fide hedging; attempting to offset changes in the value of securities held or expected to be acquired or be disposed of; attempting to minimize fluctuations in foreign currencies; attempting to gain exposure to a particular market, index or instrument; or other risk management purposes. Such options may relate to particular securities or domestic stock indices, and may or may not be listed on exchanges regulated by the Commodity Futures Trading Commission or on other non-U.S. exchanges. An option on a futures contract gives the purchaser the right, in return for the premium paid, to assume a position in the contract (a long position if the option is a call and a short position if the option is a put) at a specified exercise price at any time during the option exercise period. The writer of the option is required upon exercise to assume a short futures position (if the option is a call) or a long futures position (if the option is a put). Upon exercise of the option, the accumulated cash balance in the writer’s futures margin account is delivered to the holder of the option. That balance represents the amount by which the market price of the futures contract at exercise exceeds, in the case of a call, or is less than, in the case of a put, the exercise price of the option. The maximum risk of loss associated with writing put options is limited to the exercised fair value of the option contract. The maximum risk of loss associated with writing call options is potentially unlimited. The Funds also have the additional risk of being unable to enter into a closing transaction at an acceptable price if a liquid secondary market does not exist. The Funds also may write OTC options where completing the obligation depends upon the credit standing of the other party. Option contracts also involve the risk that they may result in loss due to unanticipated developments in market conditions or other causes. Written options are initially recorded as liabilities to the extent of premiums received and subsequently marked to market to reflect the current value of the option written. Gains or losses are realized when the option transaction expires or closes. When an option is exercised, the proceeds on sales for a written call option or the purchase cost for a written put option is adjusted by the amount of the premium received. Listed option contracts present minimal counterparty credit risk since they are exchange traded and the exchange’s clearinghouse, as counterparty to all exchange-traded options, guarantees the options against default. As of the end of the reporting period, all of the Funds’ written options are exchange-traded options.

 

During the current fiscal period, the Funds’ average quarterly volume of options transactions was as follows:

 

FUND  PURCHASED OPTIONS
(COST)
   WRITTEN OPTIONS
(PROCEEDS)
 
BP All-Cap Value Fund  $   $3,272,778 
BP Long/Short Equity Fund   22,696    167,224 
BP Long/Short Research Fund       506,201 
BP Global Long/Short Fund       1,251,653 

 

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NOTES TO FINANCIAL STATEMENTS (continued)

 

February 28, 2023

 

SHORT SALES — When the investment adviser believes that a security is overvalued, the BP Long/Short Equity Fund, the BP Long/Short Research Fund, the BP Global Long/Short Fund and the BP Emerging Markets Dynamic Equity Fund may sell the security short by borrowing the same security from a broker or other institution and selling the security. A Fund will incur a loss as a result of a short sale if the price of the borrowed security increases between the date of the short sale and the date on which the Fund buys and replaces such borrowed security. A Fund will realize a gain if there is a decline in price of the security between those dates where the decline in price exceeds the costs of borrowing the security and other transaction costs. There can be no assurance that a Fund will be able to close out a short position at any particular time or at an acceptable price. Although a Fund’s gain is limited to the amount at which it sold a security short, its potential loss is unlimited. Until a Fund replaces a borrowed security, it will maintain at all times cash, U.S. Government securities, or other liquid securities in an amount which, when added to any amount deposited with a broker as collateral, will at least equal the current market value of the security sold short. Depending on arrangements made with brokers, a Fund may not receive any payments (including interest) on collateral deposited with them.

 

In accordance with the terms of its prime brokerage agreements, a Fund may receive rebate income or be charged a fee for borrowed securities. Such income or fee is calculated on a daily basis based upon the market value of each borrowed security and a variable rate that is dependent upon the availability of such security. The Funds record these prime broker charges on a net basis as interest income or interest expense. During the current fiscal period, the BP Long/Short Equity Fund, the BP Long/Short Research Fund, the BP Global Long/Short Fund and the BP Emerging Markets Dynamic Equity Fund had net income/(charges) of $93,527, $2,331,264, $894,336 and $4,718, respectively, on borrowed securities. Such amounts are included in prime broker interest income on the Statements of Operations.

 

As of the end of the reporting period, BP Long/Short Equity Fund, BP Long/Short Research Fund, BP Global Long/Short Fund and BP Emerging Markets Dynamic Equity Fund had securities sold short valued at $12,222,692, $221,295,552, $66,443,616 and $79,454, respectively, for which securities of $27,998,776, $241,201,816, $47,418,565 and $18,777,944 and deposits of $11,558,479, $231,051,366, $66,093,165 and $74,636, respectively, were pledged as collateral.

 

In accordance with Special Custody and Pledge Agreements with Goldman Sachs & Co. (“Goldman Sachs”) (the Funds’ prime broker), BP Long/Short Equity Fund, BP Long/Short Research Fund, BP Global Long/Short Fund and BP Emerging Markets Dynamic Equity Fund may borrow from Goldman Sachs to the extent necessary to maintain required margin cash deposits on short positions. Interest on such borrowings is charged to the Fund based on the LIBOR rate plus an agreed upon spread.

 

The BP Long/Short Equity Fund, BP Long/Short Research Fund, BP Global Long/Short Fund and BP Emerging Markets Dynamic Equity Fund utilized cash borrowings from Goldman Sachs to meet required margin cash deposits as follows during the current fiscal period:

 

BP LONG/SHORT EQUITY FUND  BP LONG/SHORT RESEARCH FUND
DAYS
UNITIZED
  AVERAGE DAILY
BORROWINGS
  WEIGHTED AVERAGE
INTEREST RATE
  DAYS
UNITIZED
 AVERAGE DAILY
BORROWINGS
  WEIGHTED AVERAGE
INTEREST RATE
         181   EUR 6,592       1.76%    142    AUD 442,791     3.45%
 181   USD 1,933,059       4.16%    77     CAD 3,528,238     4.79%
              54     CHF 137,715     1.01%
              162     DKK 355,656     1.92%
              120     EUR 772,116     2.32%
              158     GBP 696,598     3.79%
              106     HKD 1,605,592     2.42%
              42     JPY 75,991,897     0.37%
              104     MXN 551,886     10.87%
              52     SEK 372,096     2.98%
              139     THB 66,202,272     1.56%
              54     USD 2,263,881     3.36%
              64     ZAR 1,444,827     7.53%
                            
BP GLOBAL LONG/SHORT FUND  BP EMERGING MARKETS DYNAMIC EQUITY FUND
DAYS
UNITIZED
  AVERAGE DAILY
BORROWINGS
  WEIGHTED AVERAGE
INTEREST RATE
  DAYS
UNITIZED
 AVERAGE DAILY
BORROWINGS
  WEIGHTED AVERAGE
INTEREST RATE
 84   AUD 154,289       3.50%    51     GBP 23,010      2.21%
 51   EUR 7,239       1.45%    60     HKD 116,969     2.55%
 78   HKD 79,578       2.22%    62     USD 346,446     3.60%
 165   JPY 26,908,744       0.41%                  
 31   SEK 272,460       2.12%                  
 51   USD 464,185       4.25%                  

 

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NOTES TO FINANCIAL STATEMENTS (continued)

 

February 28, 2023

 

The BP Long/Short Equity Fund, BP Long/Short Research Fund, BP Global Long/Short Fund and BP Emerging Markets Dynamic Equity Fund incurred interest expense during the current fiscal period on such borrowings, in the amount of $40,513, $78,684, $4,141 and $2,290 respectively.

 

CONTRACTS FOR DIFFERENCE — The BP Emerging Markets Fund, BP Long/Short Equity Fund, BP Long/Short Research Fund, BP Global Long/Short Fund and BP Emerging Markets Dynamic Equity Fund (for this section only, each a “Fund”) may enter into Contracts for Differences (“CFDs”). CFDs are leveraged derivative instruments that allow a Fund to take a position on the change in the market price of an underlying asset, such as a stock, or the value of an index or currency exchange rate. With a short CFD, a Fund is seeking to profit from falls in the market price of the asset. CFDs are subject to liquidity risk because the liquidity of CFDs is based on the liquidity of the underlying instrument, and are subject to counterparty risk, i.e., the risk that the counterparty to the CFD transaction may be unable or unwilling to make payments or to otherwise honor its financial obligations under the terms of the contract. It is also possible that the market price of the CFD will move between the time the order is placed by a Fund and when it is executed by the issuer, which can result in the trade being executed at a less favorable price. CFDs, like many other derivative instruments, involve the risk that, if the derivative security declines in value, additional margin would be required to maintain the margin level. The seller may require a Fund to deposit additional sums to cover this decline in value, and the margin call may be at short notice. If additional margin is not provided in time, the seller may liquidate the positions at a loss for which a Fund is liable. The potential for margin calls and large losses are much greater in CFDs than in other leveraged products. Most CFDs are traded OTC. CFDs are not registered with the SEC or any U.S. regulator, and are not subject to U.S. regulation. In a short position, the Fund will receive or pay an amount based upon the amount, if any, by which the notional amount of the CFD would have decreased or increased in value had it sold the particular stocks short, less the dividends that would have been paid on those stocks, plus a floating rate of interest on the notional amount of the CFD. All of these components are reflected in the market value of the CFD.

 

CFDs are marked-to-market daily based upon quotations from market makers and the resulting changes in market values, if any, are recorded as an unrealized gain or loss in the Statements of Operations. Periodic payments made or received are recorded as realized gains or losses. Entering into CFDs involves, to varying degrees, elements of credit and market risk in excess of the amounts recognized on the Statements of Assets and Liabilities. Such risks involve the possibility that there will be no liquid market for these contracts, that the counterparty to the contract may default on its obligation to perform and that there may be unfavorable changes in market conditions. CFDs outstanding at period end, if any, are listed on the Portfolio of Investments. As of the end of the reporting period, BP Emerging Markets Fund, BP Long/Short Research Fund, BP Global Long/Short Fund and BP Emerging Markets Dynamic Equity Fund had cash deposits for CFDs of $190,000, $1,321,258, $510,000 and $2,238,224, respectively, which were pledged as collateral. In connection with CFDs, cash or securities may be segregated as collateral by the Funds’ custodian. As of the end of the reporting period, the BP Long/Short Research Fund, BP Global Long/Short Fund, BP Emerging Markets Dynamic Equity Fund and the BP Emerging Markets Fund held CFDs.

 

During the current fiscal period, the average volume of CFDs was as follows:

 

FUND  NOTIONAL AMOUNT
LONG
   NOTIONAL AMOUNT
SHORT
 
BP Emerging Markets Fund  $1,464,007   $ 
BP Long/Short Equity Fund       871,197 
BP Long/Short Research Fund   2,874,802    123,923,120 
BP Global Long/Short Fund   6,827,501    12,257,186 
BP Emerging Markets Dynamic Equity Fund   23,371,378    38,043,758 

 

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NOTES TO FINANCIAL STATEMENTS (continued)

 

February 28, 2023

 

The following is a summary of CFD’s that are subject to enforceable master netting agreements (or similar arrangements) and collateral received and pledged in connection with the master netting agreements (or similar arrangements) as of the end of the reporting period:

 

       GROSS AMOUNT
NOT OFFSET IN
THE STATEMENTS OF
ASSETS AND LIABILITIES
           GROSS AMOUNT
NOT OFFSET IN
THE STATEMENTS OF
ASSETS AND LIABILITIES
     
FUND  GROSS
AMOUNTS OF
RECOGNIZED
ASSETS
   FINANCIAL
INSTRUMENTS
   CASH
COLLATERAL
RECEIVED
   NET
AMOUNT1
   GROSS
AMOUNTS OF
RECOGNIZED
LIABILITIES
   FINANCIAL
INSTRUMENTS
   CASH
COLLATERAL
PLEDGED2
   NET
AMOUNT3
 
BP Emerging Markets Fund                                        
Goldman Sachs  $11,746   $11,746   $   $   $233,126   $11,746   $190,000   $31,380 
Total  $11,746   $11,746   $   $   $233,126   $11,746   $190,000   $31,380 
BP Long/Short Research Fund                                        
Goldman Sachs  $358,931   $358,931   $   $   $917,812   $358,931   $558,881   $ 
Morgan Stanley   2,890,024    2,890,024            4,594,502    2,890,024    711,258    1,293,220 
Total  $3,248,955   $3,248,955   $   $   $5,512,314   $3,248,955   $1,270,139   $1,293,220 
BP Global Long/Short Fund                                        
HSBC  $   $   $   $   $2,819   $   $   $2,819 
Goldman Sachs   558,623    558,623            903,870    558,623    345,247     
Morgan Stanley   349,942    349,942            361,487    349,942        194,332 
Total  $908,565   $908,565   $   $   $1,268,176   $908,565   $345,247   $197,151 
BP Emerging Markets Dynamic Equity Fund                                        
Bank of America  $13,042   $13,042   $   $   $19,625   $13,042   $6,583   $ 
Goldman Sachs   1,943,046    1,943,046            2,165,455    1,943,046    222,409     
HSBC   49,758    47,694        2,064    47,694    47,694         
JPMorgan                   84,286            84,286 
Morgan Stanley   923,414    776,958        146,456    776,958    776,958         
Total  $2,929,260   $2,780,740   $   $148,520   $3,094,018   $2,780,740   $228,992   $84,286 

 

1  Net amount represents the net amount receivable from the counterparty in the event of default.
2  Actual collateral pledged may be more than the amount shown.
3  Net amount represents the net amount payable to the counterparty in the event of default.

 

2. INVESTMENT ADVISERS AND OTHER SERVICES

 

Boston Partners Global Investors, Inc. (“Boston Partners” or the “Adviser”) serves as the investment adviser to each Fund. Each Fund compensates the Adviser for its services at an annual rate based on the Fund’s average daily net assets (the “Advisory Fee”), payable on a monthly basis in arrears, as shown in the following table.

 

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NOTES TO FINANCIAL STATEMENTS (continued)

 

February 28, 2023

 

The Adviser has contractually agreed to waive advisory fees and/or reimburse expenses to the extent that total annual Fund operating expenses (excluding certain items discussed below) exceed the rates (“Expense Caps”) shown in the following table of each Fund’s average daily net assets. In determining the Adviser’s obligation to waive advisory fees and/or reimburse expenses, the following expenses are not taken into account and could cause total annual Fund operating expenses to exceed the Expense Caps as applicable: short sale dividend expense, brokerage commissions, extraordinary expenses, interest and taxes. This contractual limitation for all the Funds is in effect until December 31, 2023 and may not be terminated without the approval of the Board.

 

       EXPENSE CAPS
FUND  ADVISORY FEE  INSTITUTIONAL
CLASS
  INVESTOR
CLASS
BP All-Cap Value Fund   0.70%   0.80%   1.05%
BP Small Cap Value Fund II   0.85    0.99    1.24 
WPG Select Small Cap Value Fund   0.90    1.10    N/A 
WPG Small Cap Value Diversified Fund*   0.80    1.10    N/A 
BP Global Sustainability Fund   0.80    0.90    N/A 
BP Global Equity Fund   0.90    0.95    1.20 
BP Emerging Markets Fund   0.75    1.00    N/A 
BP Long/Short Equity Fund   2.25    1.96    2.21 
BP Long/Short Research Fund   1.25    1.50    1.75 
BP Global Long/Short Fund   1.50    2.00    2.25 
BP Emerging Markets Dynamic Equity Fund   1.25    1.40    N/A 

 

* 0.80% of net asset up to $500 million, 0.75% of net assets in excess of $500 million.

 

The Adviser may recoup from each Fund fees and expenses previously paid, waived, or absorbed for a period of three years after such fees or expenses were incurred, provided that the repayments do not cause the Funds’ operating expenses (excluding brokerage commissions, short sale dividend expense, taxes, interest expense, and any extraordinary expenses) to exceed the Expense Caps of each class of each Fund that were in effect at the time the fees and expenses were paid, waived, or absorbed by the Adviser, as well as the Expense Caps that are currently in effect, if different.

 

During the current fiscal period, investment advisory fees accrued, waived and/or reimbursed were as follows:

 

FUND  GROSS
ADVISORY FEES
  WAIVERS AND/OR
REIMBURSEMENTS*
  RECOUPMENTS  NET
ADVISORY FEES
BP All-Cap Value Fund           $4,916,594                  $(307,215)           $            $4,609,379 
BP Small Cap Value Fund II   3,138,693    (173,374)       2,965,319 
WPG Select Small Cap Value Fund   296,063    (34,888)   2,982    264,157 
WPG Small Cap Value Diversified Fund   122,401    (33,030)       89,371 
BP Global Sustainability Fund   85,479    (73,069)       12,410 
BP Global Equity Fund   816,764    (158,009)       658,755 
BP Emerging Markets Fund   76,812    (79,870)       (3,058)
BP Long/Short Equity Fund   759,836    (215,854)       543,982 
BP Long/Short Research Fund   4,975,910            4,975,910 
BP Global Long/Short Fund   1,112,781            1,112,781 
BP Emerging Markets Dynamic Equity Fund   363,392    (91,019)       272,373 

 

As of the end of the reporting period, the Funds had amounts available for recoupment as follows:

 

   EXPIRATION     
FUND  August 31, 2023   August 31, 2024   August 31, 2025   August 31, 2026   TOTAL 
BP All-Cap Value Fund              $446,940                $479,510              $1,054,852                $307,215   $2,288,517 
BP Small Cap Value Fund II   89,204    139,323    274,029    173,374    675,930 
WPG Select Small Cap Value Fund           109,573    34,888    144,461 
WPG Small Cap Value Diversified Fund   31,925    43,934    49,003    33,030    157,892 
BP Global Sustainability Fund           125,165    73,069    198,234 
BP Global Equity Fund   812,624    140,758    327,392    158,009    1,438,783 
BP Emerging Markets Fund   139,751    123,547    170,692    79,870    513,860 
BP Long/Short Equity Fund   241,392    366,046    404,556    215,854    1,227,848 
BP Emerging Markets Dynamic Equity Fund   208,806    168,395    194,970    91,019    663,190 

 

* Includes Acquired fund fees and expenses. Acquired fund fees and expenses are indirect fees and expenses that the Fund incurs from investing in the shares of other mutual funds, including money market funds and exchange traded funds.

 

U.S. Bancorp Fund Services, LLC, doing business as U.S. Bank Global Fund Services (“Fund Services”), serves as administrator for the Funds. For providing administrative and accounting services, Fund Services is entitled to receive a monthly fee, subject to certain minimum and out of pocket expenses.

 

Fund Services serves as the Funds’ transfer and dividend disbursing agent. For providing transfer agent services, Fund Services is entitled to receive a monthly fee, subject to certain minimum and out of pocket expenses.

 

84  |  Semi-Annual Report 2023

 

BOSTON PARTNERS INVESTMENT FUNDS

 

NOTES TO FINANCIAL STATEMENTS (continued)

 

February 28, 2023

 

U.S. Bank, N.A. (the “Custodian”) provides certain custodial services to the Funds. The Custodian is entitled to receive a monthly fee, subject to certain minimum and out of pocket expenses.

 

Quasar Distributors, LLC (the “Distributor”), a wholly-owned broker-dealer subsidiary of Foreside Financial Group, LLC, serves as the principal underwriter and distributor of the Funds’ shares pursuant to a Distribution Agreement with RBB.

 

For compensation amounts paid to Fund Services and the Custodian, please refer to the Statements of Operations.

 

The Board has approved a Distribution Agreement for the Funds and adopted separate Plans of Distribution for the Investor Class Shares of each Fund (the “Plans”) pursuant to Rule 12b-1 under the 1940 Act. Under the Plans, Quasar Distributors, LLC (the “Underwriter”) is entitled to receive from each Fund a distribution fee with respect to the Investor Class Shares, which is accrued daily and paid monthly, of up to 0.25% on an annualized basis of the average daily net assets of the Investor Class Shares. Amounts paid to the Distributor under the Plans may be used by the Distributor to cover expenses that are related to (i) the sale of the Investor Class Shares, (ii) ongoing servicing and/or maintenance of the accounts of shareholders, and (iii) sub-transfer agency services, subaccounting services or administrative services related to the sale of the Investor Class Shares, all as set forth in the Plans.

 

3. DIRECTOR AND OFFICER COMPENSATION

 

The Directors of the Company receive an annual retainer and meeting fees for meetings attended. An employee of Vigilant Compliance, LLC serves as Chief Compliance Officer of the Company and served as President of the Company until August 2022. Vigilant Compliance, LLC is compensated for the services provided to the Company. Employees of RBB serve as President, Chief Financial Officer, Chief Operating Officer, Secretary and Director of Marketing & Business Development of the Company. They are compensated by the Company for services provided. Certain employees of Fund Services serve as officers of the Company. They are not compensated by the Funds or the Company. For Director and Officer compensation amounts, please refer to the Statements of Operations.

 

4. PURCHASES AND SALES OF INVESTMENT SECURITIES

 

During the current fiscal period, aggregate purchases and sales of investment securities (excluding short-term investments and derivative transactions) of the Funds were as follows:

 

FUND  PURCHASES   SALES 
BP All-Cap Value Fund   $320,555,841    $429,892,203 
BP Small Cap Value Fund II   285,108,482    390,627,531 
WPG Select Small Cap Value Fund   81,551,306    34,204,616 
WPG Small Cap Value Diversified Fund   12,614,274    15,631,619 
BP Global Sustainability Fund   8,285,475    10,018,949 
BP Global Equity Fund   49,981,249    45,514,647 
BP Emerging Markets Fund   15,763,852    17,157,076 
BP Long/Short Equity Fund   14,381,674    14,087,992 
BP Long/Short Research Fund   214,513,846    307,323,146 
BP Global Long/Short Fund   123,494,776    98,402,134 
BP Emerging Markets Dynamic Equity Fund   25,808,321    35,309,546 

 

There were no purchases or sales of long-term U.S. Government securities during the current fiscal period.

 

5. CAPITAL SHARE TRANSACTIONS

 

As of the end of the reporting period, each class of each Fund has 100,000,000 shares of $0.001 par value common stock authorized except for the Institutional Class Shares of the BP Long/Short Research Fund, BP Global Long/Short Fund and WPG Small Cap Value Diversified Fund, which have 750,000,000 shares, 300,000,000 shares and 50,000,000 shares, respectively, of $0.001 par value common stock authorized.

 

6. RESTRICTED SECURITIES

 

Each Fund may invest in securities that are subject to legal or contractual restrictions on resale. These securities generally may be resold in transactions exempt from registration or to the public if the securities are registered. Disposal of these securities may involve time-consuming negotiations and expense, and prompt sale at an acceptable price may be difficult. Information regarding restricted securities, if applicable, is included at the end of each Fund’s Portfolio of Investments.

 

As of the end of the reporting period, the Funds did not hold any restricted securities that were illiquid.

 

Semi-Annual Report 2023  |  85

 

BOSTON PARTNERS INVESTMENT FUNDS

 

NOTES TO FINANCIAL STATEMENTS (continued)

 

February 28, 2023

 

7. FEDERAL INCOME TAX INFORMATION

 

The Funds have followed the authoritative guidance on accounting for and disclosure of uncertainty in tax positions, which requires the Funds to determine whether a tax position is more likely than not to be sustained upon examination, including resolution of any related appeals or litigation processes, based on the technical merits of the position. The Funds have determined that there was no effect on the financial statements from following this authoritative guidance. In the normal course of business, the Funds are subject to examination by federal, state and local jurisdictions, where applicable, for tax years for which applicable statutes of limitations have not expired.

 

As of August 31, 2022, the federal tax cost and aggregate gross unrealized appreciation and depreciation of investments held by each Fund were as follows:

 

FUND  FEDERAL
TAX COST
   UNREALIZED
APPRECIATION
   UNREALIZED
(DEPRECIATION)
  NET UNREALIZED
APPRECIATION/
(DEPRECIATION)
BP All-Cap Value Fund   $1,051,594,229    $515,605,400    $(17,151,073)   $498,454,327 
BP Small Cap Value Fund II   763,526,124    217,031,499    (52,186,201)   164,845,298 
WPG Select Small Cap Value Fund   19,262,101    497,699    (1,758,614)   (1,260,915)
WPG Small Cap Value Diversified Fund   35,207,952    5,178,621    (2,738,066)   2,440,555 
BP Global Sustainability Fund   25,343,269    709,747    (3,378,798)   (2,669,051)
BP Global Equity Fund   171,300,538    32,066,880    (19,016,723)   13,050,157 
BP Emerging Markets Fund   22,211,654    1,403,103    (2,661,479)   (1,258,376)
BP Long/Short Equity Fund   58,925,959    28,195,029    (2,551,387)   25,643,642 
BP Long/Short Research Fund   678,310,185    210,900,306    (39,055,046)   171,845,260 
BP Global Long/Short Fund   116,847,266    20,521,147    (13,290,223)   7,230,924 
BP Emerging Markets Dynamic Equity Fund   45,977,773    3,439,330    (3,487,105)   (47,775)

 

Distributions to shareholders, if any, from net investment income and realized gains are determined in accordance with federal income tax regulations, which may differ from net investment income and realized gains recognized for financial reporting purposes. Accordingly, the character of distributions and composition of net assets for tax purposes may differ from those reflected in the accompanying financial statements. To the extent these differences are permanent, such amounts are reclassified within the capital accounts based on the tax treatment; temporary differences do not require such reclassification.

 

The following permanent differences as of August 31, 2022 were reclassified among the following accounts. They are primarily attributable to net investment loss, deemed distributions due to shareholder redemptions and investments in partnerships.

 

FUND  DISTRIBUTABLE
EARNINGS/(LOSS)
  PAID-IN
CAPITAL
BP All-Cap Value Fund   $(20,607,230)   $20,607,230 
BP Small Cap Value Fund II   (4,315,026)   4,315,026 
WPG Select Small Cap Value Fund   3    (3)
WPG Small Cap Value Diversified Fund   (225,362)   225,362 
BP Global Sustainability Fund   16    (16)
BP Global Equity Fund        
BP Emerging Markets Fund        
BP Long/Short Equity Fund   7    (7)
BP Long/Short Research Fund   (8,800,702)   8,800,702 
BP Global Long/Short Fund   (2,177)   2,177 
BP Emerging Markets Dynamic Equity Fund        

 

86  |  Semi-Annual Report 2023

 

BOSTON PARTNERS INVESTMENT FUNDS

 

NOTES TO FINANCIAL STATEMENTS (continued)

 

February 28, 2023

 

As of August 31, 2022, the components of distributable earnings on a tax basis were as follows:

 

FUND  UNDISTRIBUTED
ORDINARY
INCOME
   UNDISTRIBUTED
LONG-TERM
CAPITAL GAINS
   CAPITAL LOSS
CARRYFORWARDS
   QUALIFIED
LATE-YEAR
LOSS DEFERRAL
   OTHER
TEMPORARY
DIFFERENCES
   UNREALIZED
APPRECIATION/
(DEPRECIATION)
 
BP All-Cap Value Fund   $21,940,541    $91,006,661   $   $   $    $498,454,403 
BP Small Cap Value Fund II   3,467,979    38,767,754        (7,550,552)       164,845,298 
WPG Select Small Cap Value Fund   111,686                    (1,260,916)
WPG Small Cap Value Diversified Fund   1,862,973    2,806,614                2,440,501 
BP Global Sustainability Fund   255,240        (1,163,901)           (2,670,657)
BP Global Equity Fund   2,131,969        (19,776,513)           12,998,390 
BP Emerging Markets Fund   651,962        (3,679,074)           (1,259,955)
BP Long/Short Equity Fund   3,931,846    3,626,560                25,424,792 
BP Long/Short Research Fund   58,564,394    86,589,178                168,138,995 
BP Global Long/Short Fund   3,244,316        (9,158,562)       (530,699)   7,210,386 
BP Emerging Markets Dynamic Equity Fund   7,610,542        (12,136,889)           (48,607)

 

The differences between the book and tax basis components of distributable earnings relate principally to the timing of recognition of income and gains for federal income tax purposes.

 

The tax character of dividends and distributions paid during the fiscal year ended August 31, 2022 was as follows:

 

   2022  2021
FUND  ORDINARY
INCOME
   LONG-TERM
GAINS
   TOTAL   ORDINARY
INCOME
   LONG-TERM
GAINS
   TOTAL
BP All-Cap Value Fund  $42,230,699   $61,493,948   $103,724,647   $9,805,102   $11,863,033   $21,668,135
BP Small Cap Value Fund II   17,060,225    42,632,065    59,692,290    3,711,285        3,711,285
WPG Select Small Cap Value Fund                          
WPG Small Cap Value Diversified Fund   417,759        417,759    144,307        144,307
BP Global Sustainability Fund                          
BP Global Equity Fund   3,282,335        3,282,335    2,917,436        2,917,436
BP Emerging Markets Fund   926,742    303,862    1,230,604    129,801        129,801
BP Long/Short Equity Fund       2,791,078    2,791,078        23,768,795    23,768,795
BP Long/Short Research Fund       87,734,542    87,734,542            
BP Global Long/Short Fund               79,283        79,283
BP Emerging Markets Dynamic Equity Fund   36,249        36,249    5,338,757        5,338,757

 

Dividends from net investment income and short-term capital gains are treated as ordinary income dividends for federal income tax purposes.

 

Pursuant to federal income tax rules applicable to regulated investment companies, the Funds may elect to treat certain capital losses between November 1 and August 31 and late year ordinary losses ((i) ordinary losses between January 1 and August 31, and (ii) specified ordinary and currency losses between November 1 and August 31) as occurring on the first day of the following tax year. For the year ended August 31, 2022, any amount of losses elected within the tax return will not be recognized for federal income tax purposes until September 1, 2022.

 

Semi-Annual Report 2023  |  87

 

BOSTON PARTNERS INVESTMENT FUNDS

 

NOTES TO FINANCIAL STATEMENTS (continued)

 

February 28, 2023

 

For the fiscal year ended August 31, 2022, the Funds deferred to September 1, 2022, the following qualified late-year losses.

 

FUND  LATE-YEAR
ORDINARY LOSS
DEFERRAL
  POST-OCTOBER
CAPITAL LOSS
DEFERRAL
BP All-Cap Value Fund  $        $   
BP Small Cap Value Fund II       7,550,552 
WPG Select Small Cap Value Fund        
WPG Small Cap Value Diversified Fund        
BP Global Sustainability Fund        
BP Global Equity Fund        
BP Emerging Markets Fund        
BP Long/Short Equity Fund        
BP Long/Short Research Fund        
BP Global Long/Short Fund        
BP Emerging Markets Dynamic Equity Fund        

 

Accumulated capital losses represent net capital loss carryforwards as of August 31, 2022 that may be available to offset future realized capital gains and thereby reduce future capital gains distributions. Under the Regulated Investment Company Modernization Act of 2010, the Funds are permitted to carry forward capital losses incurred in taxable years beginning after December 22, 2010 for an unlimited period. Any losses incurred during those future taxable years will be required to be utilized prior to any losses incurred in pre-enactment taxable years. Additionally, post-enactment capital losses that are carried forward will retain their character as either short-term or long-term capital losses rather than being considered all short-term as under the previous law. During the fiscal year, the BP Global Equity Fund had utilized $9,128,785, and BP Global Long/Short Fund had utilized $13,718,886 of carry forward capital losses.

 

As of August 31, 2022, the BP Global Sustainability Fund had short-term post-enactment capital losses of $1,163,901. The BP Global Equity Fund had short-term post-enactment capital losses of $19,776,513. The BP Emerging Markets Fund had short-term post-enactment capital losses of $3,679,074. The BP Global Long/Short Fund had short-term post-enactment capital losses of $9,158,562. The BP Emerging Markets Dynamic Equity Fund had short-term post-enactment capital losses of $11,790,527 and long-term post-enactment capital losses of $346,362. The capital losses can be carried forward for an unlimited period.

 

8. SECURITIES LENDING

 

Securities may be loaned to financial institutions, such as broker-dealers, and are required to be secured continuously by collateral in cash, cash equivalents, letter of credit or U.S. Government securities maintained on a current basis at an amount at least equal to the market value of the securities loaned. Cash collateral received, pursuant to investment guidelines established by the Funds and approved by the Board, is invested in short-term investments. All such investments are made at the risk of the Funds and, as such, the Funds are liable for investment losses. Such loans would involve risks of delay in receiving additional collateral in the event the value of the collateral decreased below the value of the securities loaned or of delay in recovering the securities loaned or even loss of rights in the collateral should the borrower of the securities fail financially. However, loans will be made only to borrowers deemed by Boston Partners to be of good standing and only when, in Boston Partners’ judgment, the income to be earned from the loans justifies the attendant risks. Any loans of a Fund’s securities will be fully collateralized and marked to market daily. Investments purchased with proceeds from securities lending are overnight and continuous. During the current fiscal period, the Funds participated in securities lending. The market value of securities on loan and cash collateral as of the end of the reporting period and the income generated from the program during the current fiscal period with respect to such loans were as follows:

 

FUND  MARKET VALUE
OF SECURITIES
LOANED
   MARKET VALUE
OF COLLATERAL
   INCOME RECEIVED
FROM SECURITIES
LENDING
 
BP All-Cap Value Fund  $153,060,251   $156,413,081   $115,194 
BP Small Cap Value Fund II   235,995,842    243,204,773    151,662 
WPG Small Cap Value Diversified Fund   10,551,262    10,825,083    10,638 
BP Global Equity Fund   12,771,352    13,097,717    9,425 
BP Long/Short Equity Fund   9,034,696    9,333,461    24,021 

 

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BOSTON PARTNERS INVESTMENT FUNDS

 

NOTES TO FINANCIAL STATEMENTS (concluded)

 

February 28, 2023

 

Securities lending transactions are entered into by the Funds’ securities lending agent on behalf of the Funds under a Master Securities Lending Agreement (“MSLA”) which permits the Funds’ securities lending agent on behalf of the Funds, under certain circumstances including an event of default (such as bankruptcy or insolvency), to offset amounts payable on behalf of the Funds to the same counterparty against amounts to be received and create one single net payment due to or from the Funds. The following table is a summary of the Funds’ open securities lending transactions which are subject to a MSLA as of the end of the reporting period:

 

               GROSS AMOUNT NOT OFFSET IN THE
STATEMENTS OF ASSETS AND LIABILITIES
FUND  GROSS AMOUNT
OF RECOGNIZED
ASSETS
   GROSS AMOUNTS
OFFSET IN
THE STATEMENT
OF ASSETS
AND LIABILITIES
   NET AMOUNT
OF ASSETS
PRESENTED IN
THE STATEMENT
OF ASSETS
AND LIABILITIES
   FINANCIAL
INSTRUMENTS1
   CASH
COLLATERAL
RECEIVED
   NET AMOUNT 
BP All-Cap Value Fund  $153,060,251       $153,060,251   $(153,060,251)        
BP Small Cap Value Fund II   235,995,842        235,995,842    (235,995,842)        
WPG Small Cap Value Diversified Fund   10,551,262        10,551,262    (10,551,262)        
BP Global Equity Fund   12,771,352        12,771,352    (12,771,352)        
BP Long/Short Equity Fund   9,034,696        9,034,696    (9,034,696)        

 

1 Amount disclosed is limited to the amount of assets presented in the Statement of Assets and Liabilites. Actual collateral received may be more than the amount shown.

 

9. LINE OF CREDIT

 

The Company, on behalf of the Funds, has established a line of credit (“LoC”) with the Custodian to be used for temporary or emergency purposes, primarily for financing redemption payments. Any loan issued to a Fund utilizing the LoC (each, a “Borrowing Fund” and together, the “Borrowing Funds”) is secured by securities held in the Borrowing Fund’s portfolio. The LoC was renewed on September 13, 2022. The LoC will mature, unless renewed, on September 12, 2023. Borrowing under the LoC is limited to the lesser of (i) $100,000,000, (ii) 20.0% of the gross market value of a Borrowing Fund, or (iii) 33 1/3% of the net market value of the unencumbered assets of a Borrowing Fund. The interest rate paid by the Borrowing Funds on outstanding borrowings is equal to the prime lending rate of the Custodian, which was 7.75% at February 28, 2023.

 

During the current fiscal period, the Funds’ LoC borrowing activity was as follows:

 

   TOTAL
AMOUNT OF
DAYS BORROWED
  AVERAGE
BORROWINGS
  MAXIMUM
AMOUNT
OUTSTANDING
   INTEREST
EXPENSE
   AVERAGE
INTEREST RATE
BP All-Cap Value Fund   8    $38,321,125    $54,361,000    $63,377    7.27%
BP Small Cap Value Fund II   8    1,040,250    2,624,000    1,624    7.27%
WPG Small Cap Value Diversified Fund   2    1,702,500    1,780,000    520    5.50%
BP Global Sustainability Fund   1    1,496,000    1,496,000    229    5.73%
BP Emerging Markets Fund   4    49,750    59,000    39    7.27%
BP Long/Short Research Fund   4    61,568,500    61,609,000    47,887    7.27%
BP Emerging Markets Dynamic Equity Fund   2    249,500    298,000    97    6.95%

 

10. NEW ACCOUNTING PRONOUNCEMENTS AND REGULATORY UPDATES

 

In June 2022, the FASB issued Accounting Standards Update 2022-03, which amends Fair Value Measurement (Topic 820): Fair Value Measurement of Equity Securities Subject to Contractual Sale Restrictions (“ASU 2022-03”). ASU 2022-03 clarifies guidance for fair value measurement of an equity security subject to a contractual sale restriction and establishes new disclosure requirements for such equity securities. ASU 2022-03 is effective for fiscal years beginning after December 15, 2023 and for interim periods within those fiscal years, with early adoption permitted. Management is currently evaluating the impact of these amendments on the financial statements.

 

11. SUBSEQUENT EVENTS

 

Management has evaluated the impact of all subsequent events on the Funds through the date the financial statements were issued and has determined that there were no significant events requiring recognition or disclosure in the financial statements.

 

Semi-Annual Report 2023  |  89

 
BOSTON PARTNERS INVESTMENT FUNDS (unaudited)

OTHER INFORMATION

 

Proxy Voting

 

Policies and procedures that the Funds use to determine how to vote proxies relating to portfolio securities as well as information regarding how the Funds voted proxies relating to portfolio securities for the most recent twelve-month period ended June 30 are available without charge, upon request, by calling (888) 261-4073 and on the SEC’s website at http://www.sec.gov.

 

Quarterly Portfolio Schedule

 

The Company files a complete schedule of portfolio holdings with the SEC for the first and third fiscal quarters of each fiscal year (quarters ended November 30 and May 31) as an exhibit to its reports on Form N-PORT. The Company’s Forms N-PORT are available on the SEC’s website at http://www.sec.gov.

 

90  |  Semi-Annual Report 2023

 
     
     
     

 

INVESTMENT ADVISER
Boston Partners Global Investors, Inc.
1 Beacon Street, 30th Floor
Boston, MA 02108
 
ADMINISTRATOR AND TRANSFER AGENT
U.S. Bancorp Fund Services, LLC
P.O. Box 701
Milwaukee, WI 53201
 
PRINCIPAL UNDERWRITER
Quasar Distributors, LLC
111 E. Kilbourn Ave., Suite 2200
Milwaukee, WI 53202
CUSTODIAN
U.S. Bank, N.A.
1555 North Rivercenter Drive, Suite 302
Milwaukee, WI 53212
 
INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
Ernst & Young LLP
One Commerce Square
2005 Market Street, Suite 700
Philadelphia, PA 19103
 
LEGAL COUNSEL
Faegre Drinker Biddle & Reath LLP
One Logan Square, Ste. 2000
Philadelphia, PA 19103-6996

 

BOS-SAR23
 

 

 

 

 

 

 

 

 

Campbell Systematic Macro Fund

 

of

 

THE RBB FUND, INC.

 

 

Class A (TICKER: EBSAX)

Class C (TICKER: EBSCX)

Class I (TICKER: EBSIX)

Semi-Annual Report

 

 

February 28, 2023
(Unaudited)

 

 

Campbell Systematic Macro Fund

 

Performance Data
February 28, 2023 (Unaudited)

 

Average annual total returns for the periods ended February 28, 2023

 
 

SIX
MONTHS(1)

ONE
YEAR

THREE
YEARS

FIVE
YEARS

SINCE
INCEPTION(2)

 

Class A Shares (without sales charge)

4.70%

30.12%

13.18%

11.00%

5.69%

 

Class A Shares (with sales charge)

1.00%

25.57%

11.84%

10.20%

5.32%

 

BarclayHedge BTOP50 Index (3)(4)

0.76%

12.06%

10.44%

6.85%

3.54%

 

S&P 500® Total Return Index (3)(5)

1.26%

-7.69%

12.16%

9.83%

12.26%

 

 

(1)

Not annualized.

 

(2)

The Fund commenced operations on March 8, 2013 as a separate portfolio (the “Predecessor Fund”) of Equinox Funds Trust. Effective May 29, 2020, the Predecessor Fund was reorganized as a new series of The RBB Fund, Inc. (the “Reorganization”). The performance shown for periods prior to May 29, 2020 represents the performance of the Predecessor Fund.

 

(3)

Benchmark performance is from inception date of the Class only and is not the inception date of the benchmark itself.

 

(4)

The BarclayHedge BTOP50 Index (“BTOP50 Index”) seeks to replicate the overall composition of the managed futures industry with regard to trading style and overall market exposure. The BTOP50 Index employs a top-down approach in selecting its constituents. The largest investable trading advisor programs, as measured by assets under management, are selected for inclusion in the BTOP50 Index. It is not possible to invest directly in an index.

 

(5)

This is not a primary benchmark of the Fund. Results of the S&P 500® Total Return Index are presented for general comparative purposes. The S&P 500® Total Return Index is a widely accepted, unmanaged index of U.S. stock market performance which does not take into account charges, fees and other expenses. It is not possible to invest directly in an index.

 

Effective January 15, 2021, the outstanding Class P Shares of the Campbell Systematic Macro Fund (the “Fund”) were converted into Class A Shares of the Fund. Class A Shares of the Fund have a 3.50% maximum sales charge. Prior to February 16, 2021, the Class A Shares of the Fund had a 5.75% maximum sales charge.

 

Performance data quoted is past performance and does not guarantee future results. Investment return and principal value will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the returns quoted above. Returns shown do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. Call the Fund at 1-844-261-6488 for returns current to the most recent month-end.

 

The performance data quoted reflects fee waivers in effect and would have been less in their absence. The Fund’s total annual operating expense ratio for Class A Shares, as stated in the current prospectus dated December 31, 2022, as supplemented, is 2.16% and the Fund’s net operating expense ratio after waivers for Class A Shares is 2.00%. Campbell & Company Investment Adviser LLC (the “Adviser”). has contractually agreed to waive its advisory fee and/or reimburse expenses in order to limit total annual Fund operating expenses (excluding acquired fund fees and expenses, brokerage commissions, extraordinary items, interest or taxes) for Class A Shares to 2.00% of the Fund’s average daily net assets. This contractual limitation is in effect until December 31, 2023 and may not be terminated without the approval of the Board of Directors of The RBB Fund, Inc. (the “Company”). Please see the Consolidated Financial Highlights for current figures.

 

An investment in the Fund is speculative and involves substantial risk. The Fund is not suitable for all investors. It is possible that an investor may lose some or all of its investment. The Fund invests in long and short positions in futures, forwards and spot contracts, each of which may be tied to commodities, financial indices and instruments, foreign currencies, or equity indices. The Fund also invests in investment grade fixed income securities of all durations and maturities. The Fund may be more volatile than investments in traditional securities. Losses on futures and other derivatives can be caused by unanticipated market movements and may be potentially unlimited. Commodities, currencies, foreign investments, and interest rate-linked instruments each entail special risks. The Fund is non-diversified; therefore gains or losses on a single holding may have a relatively great impact on the Fund. A more complete description of the Fund’s risks can be found in its prospectus, which should be read carefully before investing.

 

Portfolio composition is subject to change.

 

1

 

 

Campbell Systematic Macro Fund

 

Performance Data (Continued)
February 28, 2023 (Unaudited)

 

Average annual total returns for the periods ended February 28, 2023

 
 

SIX
MONTHS(1)

ONE
YEAR

THREE
YEARS

FIVE
YEARS

SINCE
INCEPTION(2)

 

Class C Shares (without sales charge)

4.25%

29.09%

12.36%

10.17%

5.98%

 

Class C Shares (with sales charge)

3.35%

28.09%

12.36%

10.17%

5.98%

 

BarclayHedge BTOP50 Index (3)(4)

0.76%

12.06%

10.44%

6.85%

4.12%

 

S&P 500® Total Return Index (3)(5)

1.26%

-7.69%

12.16%

9.83%

11.33%

 

 

(1)

Not annualized.

 

(2)

Class C Shares of the Fund commenced operations on February 11, 2014 in a separate portfolio (the “Predecessor Fund”) of Equinox Funds Trust. Effective May 29, 2020, the Predecessor Fund was reorganized as a new series of The RBB Fund, Inc. (the “Reorganization”). The performance shown for periods prior to May 29, 2020 represents the performance of the Predecessor Fund.

 

(3)

Benchmark performance is from inception date of the Class only and is not the inception date of the benchmark itself.

 

(4)

The BarclayHedge BTOP50 Index (“BTOP50 Index”) seeks to replicate the overall composition of the managed futures industry with regard to trading style and overall market exposure. The BTOP50 Index employs a top-down approach in selecting its constituents. The largest investable trading advisor programs, as measured by assets under management, are selected for inclusion in the BTOP50 Index. It is not possible to invest directly in an index.

 

(5)

This is not a primary benchmark of the Fund. Results of the S&P 500® Total Return Index are presented for general comparative purposes. The S&P 500® Total Return Index is a widely accepted, unmanaged index of U.S. stock market performance which does not take into account charges, fees and other expenses. It is not possible to invest directly in an index.

 

Performance data quoted is past performance and does not guarantee future results. Investment return and principal value will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the returns quoted above. Returns shown do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. Call the Fund at 1-844-261-6488 for returns current to the most recent month-end.

 

The performance data quoted reflects fee waivers in effect and would have been less in their absence. The Fund’s total annual operating expense ratio for Class C Shares, as stated in the current prospectus dated December 31, 2022, as supplemented, is 2.91% and the Fund’s net operating expense ratio after waivers for Class C Shares is 2.75%. The Adviser has contractually agreed to waive its advisory fee and/or reimburse expenses in order to limit total annual Fund operating expenses (excluding acquired fund fees and expenses, brokerage commissions, extraordinary items, interest or taxes) for Class C Shares to 2.75% of the Fund’s average daily net assets. This contractual limitation is in effect until December 31, 2023 and may not be terminated without the approval of the Board of Directors of the Company. Please see the Consolidated Financial Highlights for current figures.

 

An investment in the Fund is speculative and involves substantial risk. The Fund is not suitable for all investors. It is possible that an investor may lose some or all of its investment. The Fund invests in long and short positions in futures, forwards and spot contracts, each of which may be tied to commodities, financial indices and instruments, foreign currencies, or equity indices. The Fund also invests in investment grade fixed income securities of all durations and maturities. The Fund may be more volatile than investments in traditional securities. Losses on futures and other derivatives can be caused by unanticipated market movements and may be potentially unlimited. Commodities, currencies, foreign investments, and interest rate-linked instruments each entail special risks. The Fund is non-diversified; therefore gains or losses on a single holding may have a relatively great impact on the Fund. A more complete description of the Fund’s risks can be found in its prospectus, which should be read carefully before investing.

 

Portfolio composition is subject to change.

 

2

 

 

Campbell Systematic Macro Fund

 

Performance Data (Concluded)
February 28, 2023 (Unaudited)

 

Average annual total returns for the periods ended FEBRUARY 28, 2023

 
 

SIX
MONTHS(1)

ONE
YEAR

THREE
YEARS

FIVE
YEARS

SINCE
INCEPTION(2)

 

Class I Shares

4.77%

30.42%

13.46%

11.27%

5.95%

 

BarclayHedge BTOP50 Index (3)(4)

0.76%

12.06%

10.44%

6.85%

3.54%

 

S&P 500® Total Return Index (3)(5)

1.26%

-7.69%

12.16%

9.83%

12.26%

 

 

(1)

Not annualized.

 

(2)

The Fund commenced operations on March 8, 2013 as a separate portfolio (the “Predecessor Fund”) of Equinox Funds Trust. Effective May 29, 2020, the Predecessor Fund was reorganized as a new series of The RBB Fund, Inc. (the “Reorganization”). The performance shown for periods prior to May 29, 2020 represents the performance of the Predecessor Fund.

 

(3)

Benchmark performance is from inception date of the Class only and is not the inception date of the benchmark itself.

 

(4)

The BarclayHedge BTOP50 Index (“BTOP50 Index”) seeks to replicate the overall composition of the managed futures industry with regard to trading style and overall market exposure. The BTOP50 Index employs a top-down approach in selecting its constituents. The largest investable trading advisor programs, as measured by assets under management, are selected for inclusion in the BTOP50 Index. It is not possible to invest directly in an index.

 

(5)

This is not a primary benchmark of the Fund. Results of the S&P 500® Total Return Index are presented for general comparative purposes. The S&P 500® Total Return Index is a widely accepted, unmanaged index of U.S. stock market performance which does not take into account charges, fees and other expenses. It is not possible to invest directly in an index.

 

Performance data quoted is past performance and does not guarantee future results. Investment return and principal value will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the returns quoted above. Returns shown do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. Call the Fund at 1-844-261-6488 for returns current to the most recent month-end.

 

The performance data quoted reflects fee waivers in effect and would have been less in their absence. The Fund’s total annual operating expense ratio for Class I Shares, as stated in the current prospectus dated December 31, 2022, as supplemented, is 1.91% and the Fund’s net operating expense ratio after waivers is for Class I Shares 1.75%. The Adviser has contractually agreed to waive its advisory fee and/or reimburse expenses in order to limit total annual Fund operating expenses (excluding acquired fund fees and expenses, brokerage commissions, extraordinary items, interest or taxes) for Class I Shares to 1.75% of the Fund’s average daily net assets. This contractual limitation is in effect until December 31, 2023 and may not be terminated without the approval of the Board of Directors of the Company. Please see the Consolidated Financial Highlights for current figures.

 

An investment in the Fund is speculative and involves substantial risk. The Fund is not suitable for all investors. It is possible that an investor may lose some or all of its investment. The Fund invests in long and short positions in futures, forwards and spot contracts, each of which may be tied to commodities, financial indices and instruments, foreign currencies, or equity indices. The Fund also invests in investment grade fixed income securities of all durations and maturities. The Fund may be more volatile than investments in traditional securities. Losses on futures and other derivatives can be caused by unanticipated market movements and may be potentially unlimited. Commodities, currencies, foreign investments, and interest rate-linked instruments each entail special risks. The Fund is non-diversified; therefore gains or losses on a single holding may have a relatively great impact on the Fund. A more complete description of the Fund’s risks can be found in its prospectus, which should be read carefully before investing.

 

Portfolio composition is subject to change.

 

3

 

 

Campbell Systematic Macro Fund

 

Fund Expense Example

February 28, 2023 (Unaudited)

 

As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments, (if any) and (2) ongoing costs, including management fees, distribution and/or service (12b-1) fees and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.

 

This example is based on an investment of $1,000 invested at the beginning of the six-month period from September 1, 2022 through February 28, 2023, and held for the entire period.

 

Actual Expenses

 

The first line of the accompanying table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.

 

Hypothetical Example for Comparison Purposes

 

The second line of the accompanying table provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.

 

Please note that the expenses shown in the accompanying table are meant to highlight your ongoing costs only and do not reflect any transactional costs. Therefore, the second line of the accompanying table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.

 

 

Beginning
Account Value
September 1, 2022

Ending
Account Value
February 28, 2023

Expenses
Pa
id During
Period *

Annualized
Expense
Ratio

Actual
Six-Month Total
Investment
Returns for the
Fund

Actual

         

Class A Shares

$ 1,000.00

$ 1,047.00

$ 10.15

2.00%

4.70%

Class C Shares

1,000.00

1,042.50

13.93

2.75%

4.25%

Class I Shares

1,000.00

1,047.70

8.89

1.75%

4.77%

Hypothetical (5% return before expenses)

         

Class A Shares

$ 1,000.00

$ 1,014.88

$ 9.99

2.00%

N/A

Class C Shares

1,000.00

1,011.16

13.71

2.75%

N/A

Class I Shares

1,000.00

1,016.12

8.75

1.75%

N/A

 

 

*

Expenses are equal to the Fund’s annualized six-month expense ratio for the period September 1, 2022 to February 28, 2023, multiplied by the average account value over the period, multiplied by the number of days (181) in the most recent fiscal half-year, then divided by 365 to reflect the one half year period. The Fund’s ending account values on the first line in the table is based on the actual six-month total investment return for the Fund.

 

4

 

 

Campbell Systematic Macro Fund

 

Consolidated Portfolio Holdings Summary Table

February 28, 2023 (Unaudited)

 

The following table presents a consolidated summary of the portfolio holdings of the Fund:

 

   

% of Net
Assets

   

Value

 

SHORT-TERM INVESTMENTS:

               

U.S. Treasury Bills

    70.3 %   $ 539,524,260  

MONEY MARKET DEPOSIT ACCOUNT:

               

U.S. Bank Money Market Deposit Account

    12.4       95,017,267  

OTHER ASSETS IN EXCESS OF LIABILITIES (including futures and forward foreign currency contracts)

    17.3       132,687,334  

NET ASSETS

    100.0 %   $ 767,228,861  

 

 

The Fund seeks to achieve its investment objective by allocating its assets among derivatives and fixed income securities.

 

As a result of the Fund’s use of derivatives, the Fund may hold significant amounts of U.S. Treasuries or short-term investments.

 

Portfolio holdings are subject to change at any time.

 

Refer to the Consolidated Portfolio of Investments for a detailed listing of the Fund’s holdings.

 

The accompanying notes are an integral part of the consolidated financial statements.
5

 

 

Campbell Systematic Macro Fund

 

Consolidated Portfolio of Investments

February 28, 2023 (Unaudited)

 

 

Coupon*

Maturity
Date

 

PAR
(000’s)

   

Value

 

SHORT-TERM INVESTMENTS — 70.3%

                   

U.S. TREASURY OBLIGATIONS — 70.3%

                   

United States Treasury Bill

3.40%

03/09/23

  $ 100,000     $ 99,900,500  

United States Treasury Bill

4.11%

04/13/23

    110,000       109,414,137  

United States Treasury Bill

4.55%

05/04/23

    115,000       114,055,160  

United States Treasury Bill

4.67%

06/15/23

    75,000       73,964,678  

United States Treasury Bill

4.83%

07/06/23

    25,000       24,581,885  

United States Treasury Bill

4.76%

07/13/23

    50,000       49,119,113  

United States Treasury Bill

4.89%

08/10/23

    70,000       68,488,787  

TOTAL U.S. TREASURY OBLIGATIONS

                   

(Cost $539,804,568)

    539,524,260  
                     
       

Number
of Shares
(000’s)

         

MONEY MARKET DEPOSIT ACCOUNT — 12.4%

                   

U.S. Bank Money Market Deposit Account, 4.25%(a)

    95,017       95,017,267  

TOTAL MONEY MARKET DEPOSIT ACCOUNT

       

(Cost $95,017,267)

    95,017,267  
                     

TOTAL SHORT-TERM INVESTMENTS

       

(Cost $634,821,835)

    634,541,527  
         

TOTAL INVESTMENTS — 82.7%

       

(Cost $634,821,835)

    634,541,527  
                     

OTHER ASSETS IN EXCESS OF LIABILITIES — 17.3%

    132,687,334  

NET ASSETS — 100.0%

  $ 767,228,861  

 

 

*

Short-term investments’ coupon reflects the annualized yield on the date of purchase for discounted investments.

(a)

The rate shown is as of February 28, 2023.

 

The accompanying notes are an integral part of the consolidated financial statements.
6

 

 

Campbell Systematic Macro Fund

 

Consolidated Portfolio of Investments (Continued)

February 28, 2023 (Unaudited)

 

Futures contracts outstanding as of February 28, 2023 were as follows:

 

Long Contracts

Expiration
Date

Number of
Contracts

 

Notional
Amount

   

Value and
Unrealized
Appreciation/
(Depreciation)

 

Australian 10-Year Bond

Mar-23

606

  $ 47,979,341     $ (80,501 )

CAC40 10 Euro

Mar-23

174

    13,392,543       (294 )

Canadian 10-Year Bond

Jun-23

304

    27,064,800       44,771  

Coffee

May-23

271

    18,932,738       891,982  

Cotton No.2

May-23

125

    5,251,875       (23,594 )

DAX Index

Mar-23

114

    46,440,425       (68,537 )

Euro Stoxx 50

Mar-23

665

    29,872,072       30,851  

FTSE Taiwan Index

Mar-23

170

    9,188,500       (61,540 )

FTSE/JSE TOP 40

Mar-23

184

    7,184,065       (216,871 )

FTSE/MIB Index

Mar-23

99

    14,403,142       317,681  

Gasoline RBOB

Apr-23

184

    20,417,376       155,144  

Hang Seng Index

Mar-23

156

    19,617,754       (510,868 )

IBEX 35 Index

Mar-23

140

    13,937,955       190,849  

JPN 10-Year Bond (Osaka Securities Exchange)

Mar-23

5

    5,385,406       (683 )

Kansas City Hard Red Winter Wheat

May-23

454

    18,449,425       (1,467,346 )

Live Cattle

Apr-23

161

    10,656,590       77,756  

London Metals Exchange Aluminum

Mar-23

1,003

    58,603,535       (2,991,960 )

London Metals Exchange Aluminum

Jun-23

296

    17,641,600       (73,402 )

London Metals Exchange Copper

Mar-23

1,550

    347,161,250       17,334,419  

London Metals Exchange Copper

Jun-23

477

    106,883,775       1,329,104  

London Metals Exchange Zinc

Mar-23

822

    61,927,425       66,028  

London Metals Exchange Zinc

Jun-23

224

    16,791,600       (430,875 )

Long Gilt

Jun-23

128

    15,390,300       (173,807 )

Nasdaq 100 E-Mini

Mar-23

65

    15,693,925       (39,606 )

Nikkei 225 (Osaka Securities Exchange)

Mar-23

139

    28,043,994       4,908  

S&P/TSX 60 Index

Mar-23

108

    19,258,747       (91,245 )

SGX Nifty 50

Mar-23

232

    8,073,136       (281,063 )

Soybean Meal

May-23

922

    43,066,620       (583,744 )

Soybean Oil

May-23

463

    16,679,112       (336,108 )

SPI 200 Index

Mar-23

273

    33,057,230       (457,278 )

Sugar No. 11 (World)

May-23

875

    19,668,600       414,109  

Topix Index

Mar-23

70

    10,256,693       103,896  
                $ 13,072,176  

 

 

The accompanying notes are an integral part of the consolidated financial statements.
7

 

 

Campbell Systematic Macro Fund

 

Consolidated Portfolio of Investments (Continued)

February 28, 2023 (Unaudited)

 

Short Contracts

Expiration
Date

Number of
Contracts

 

Notional
Amount

   

Value and
Unrealized
Appreciation/
(Depreciation)

 

3-Month Euro Euribor

Mar-24

1,481

  $ (376,554,961 )   $ 1,983,116  

90-Day Bank Bill

Mar-24

455

    (302,922,026 )     277,884  

Australian 3-Year Bond

Mar-23

246

    (17,668,760 )     22,291  

Bank Acceptance

Jun-24

208

    (36,428,582 )     39,321  

Brent Crude

Jun-23

101

    (8,365,830 )     (155,714 )

Cattle Feeder Futures

Apr-23

58

    (5,657,175 )     (115,887 )

Cocoa

May-23

1,039

    (28,977,710 )     (1,720,268 )

Copper

May-23

245

    (25,048,187 )     57,545  

Corn

May-23

29

    (913,862 )     18,162  

DJIA Mini E-CBOT

Mar-23

3

    (490,230 )     2,488  

Euro-Bobl

Mar-23

1,190

    (144,972,447 )     807,345  

Euro-BTP

Mar-23

122

    (14,541,414 )     80,823  

Euro-Bund

Mar-23

729

    (102,481,770 )     844,845  

Euro-BUXL 30-Year Bond Futures

Mar-23

84

    (11,930,319 )     631,079  

Euro-Oat

Mar-23

197

    (26,608,388 )     520,077  

Euro-Schatz

Mar-23

1,970

    (218,743,032 )     1,194,157  

FTSE 100 Index

Mar-23

178

    (16,832,022 )     45,724  

FTSE China A50 Index

Mar-23

223

    (2,974,820 )     64,587  

Gold 100 Oz

Apr-23

359

    (65,937,530 )     (61,117 )

Hang Seng China Enterprises Index

Mar-23

36

    (1,512,804 )     75,879  

ICE Three Month SONIA Index Futures

Mar-24

487

    (139,666,300 )     1,064,637  

iShares MSCI EAFE ETF

Mar-23

29

    (2,967,570 )     (70,687 )

London Metals Exchange Aluminum

Mar-23

1,003

    (58,603,535 )     1,918,837  

London Metals Exchange Aluminum

Jun-23

772

    (46,011,200 )     2,590,134  

London Metals Exchange Copper

Mar-23

1,550

    (347,161,250 )     (13,052,278 )

London Metals Exchange Copper

Jun-23

341

    (76,409,575 )     239,337  

London Metals Exchange Zinc

Mar-23

822

    (61,927,425 )     2,615,987  

London Metals Exchange Zinc

Jun-23

127

    (9,520,237 )     257,874  

Low Sulphur Gasoil G Futures

Apr-23

20

    (1,650,000 )     (26,459 )

MSCI Emerging Markets Index

Mar-23

65

    (3,129,425 )     64,501  

MSCI Singapore Exchange ETS

Mar-23

164

    (3,571,404 )     45,788  

Natural Gas

Apr-23

124

    (3,406,280 )     (127,130 )

NY Harbor Ultra-Low Sulfur Diesel

Apr-23

25

    (2,945,880 )     (65,433 )

OMX Stockholm 30 Index

Mar-23

857

    (18,240,313 )     33,902  

Palladium

Jun-23

24

    (3,410,160 )     206,021  

Platinum

Apr-23

146

    (6,975,150 )     64,574  

Russell 2000 E-Mini

Mar-23

96

    (9,115,680 )     78,012  

S&P 500 E-Mini

Mar-23

292

    (58,042,300 )     189,518  

S&P Mid 400 E-Mini

Mar-23

20

    (5,206,400 )     70,696  

Silver

May-23

226

    (23,810,230 )     303,402  

Soybean

May-23

33

    (2,440,350 )     11,838  

Three-Month SOFR

Jun-24

1,433

    (342,075,012 )     65,512  

U.S. Treasury 2-Year Notes

Jun-23

1,548

    (315,368,718 )     825,883  

U.S. Treasury 5-Year Notes

Jun-23

270

    (28,904,766 )     132,170  

U.S. Treasury 10-Year Notes

Jun-23

1,320

    (147,386,250 )     397,323  

U.S. Treasury Long Bond (Chicago Board of Trade)

Jun-23

60

    (7,513,125 )     (29,982 )

U.S. Treasury Ultra Long Bond (Chicago Board of Trade)

Jun-23

47

    (6,347,938 )     60,857  

Wheat

May-23

748

    (26,385,700 )     2,044,204  

 

 

The accompanying notes are an integral part of the consolidated financial statements.
8

 

 

Campbell Systematic Macro Fund

 

Consolidated Portfolio of Investments (Continued)

February 28, 2023 (Unaudited)

 

Short Contracts

Expiration
Date

Number of
Contracts

 

Notional
Amount

   

Value and
Unrealized
Appreciation/
(Depreciation)

 

WTI Crude

Apr-23

350

  $ (26,967,500 )   $ (324,687 )
                $ 4,196,688  

Total Futures Contracts

              $ 17,268,864  

 

 

The accompanying notes are an integral part of the consolidated financial statements.
9

 

 

Campbell Systematic Macro Fund

 

Consolidated Portfolio of Investments (Continued)

February 28, 2023 (Unaudited)

 

Forward foreign currency contracts outstanding as of February 28, 2023 were as follows:

 

Currency Purchased

 

 

Currency Sold

 

 

Expiration
Date

Counterparty

 

Unrealized
Appreciation/
(Depreciation)

 

AUD

    1,017,950,000          

USD

    702,001,342          

Mar 15 2023

UBS

  $ (16,628,610 )

BRL

    513,850,000          

USD

    98,354,736          

Mar 15 2023

UBS

    (515,251 )

CAD

    1,300,400,000          

USD

    966,449,540          

Mar 15 2023

UBS

    (13,309,649 )

CHF

    102,300,000          

USD

    111,510,610          

Mar 15 2023

UBS

    (2,707,910 )

CLP

    49,560,000,000          

USD

    58,845,561          

Mar 15 2023

UBS

    917,720  

CNH

    566,100,000          

USD

    81,915,345          

Mar 15 2023

UBS

    (378,180 )

COP

    279,360,000,000          

USD

    57,524,090          

Mar 15 2023

UBS

    (217,834 )

CZK

    2,210,000,000          

USD

    98,911,442          

Mar 15 2023

UBS

    477,566  

EUR

    735,450,000          

USD

    787,698,417          

Mar 15 2023

UBS

    (9,078,872 )

GBP

    390,300,000          

USD

    474,395,978          

Mar 15 2023

UBS

    (4,793,983 )

HUF

    36,906,000,000          

USD

    97,107,185          

Mar 16 2023

UBS

    5,467,155  

IDR

    739,375,000,000          

USD

    48,655,308          

Mar 15 2023

UBS

    (197,951 )

INR

    8,129,000,000          

USD

    98,204,454          

Mar 15 2023

UBS

    41,907  

JPY

    43,665,000,000          

USD

    331,436,786          

Mar 15 2023

UBS

    (10,040,279 )

KRW

    127,755,000,000          

USD

    101,599,897          

Mar 15 2023

UBS

    (4,997,651 )

MXN

    2,775,000,000          

USD

    142,777,229          

Mar 15 2023

UBS

    8,442,730  

NOK

    1,958,550,000          

USD

    196,439,069          

Mar 15 2023

UBS

    (7,687,818 )

NZD

    936,900,000          

USD

    594,912,628          

Mar 15 2023

UBS

    (15,628,591 )

PHP

    6,121,500,000          

USD

    109,058,283          

Mar 15 2023

UBS

    1,365,311  

PLN

    486,825,000          

USD

    108,526,112          

Mar 15 2023

UBS

    790,856  

SEK

    784,950,000          

USD

    75,755,109          

Mar 15 2023

UBS

    (709,113 )

SGD

    179,469,000          

USD

    134,291,053          

Mar 15 2023

UBS

    (1,146,362 )

TWD

    1,121,850,000          

USD

    37,184,640          

Mar 15 2023

UBS

    (303,833 )

USD

    888,965,504          

AUD

    1,297,750,000          

Mar 15 2023

UBS

    15,207,006  

USD

    90,086,709          

BRL

    478,500,000          

Mar 15 2023

UBS

    (1,021,968 )

USD

    1,165,005,075          

CAD

    1,572,400,000          

Mar 15 2023

UBS

    12,500,334  

USD

    151,818,093          

CHF

    140,100,000          

Mar 15 2023

UBS

    2,812,636  

USD

    35,456,400          

CLP

    30,420,000,000          

Mar 15 2023

UBS

    (1,226,388 )

USD

    99,221,538          

CNH

    684,400,000          

Mar 15 2023

UBS

    645,253  

USD

    88,758,968          

COP

    420,030,000,000          

Mar 15 2023

UBS

    2,596,502  

USD

    64,611,695          

CZK

    1,458,000,000          

Mar 15 2023

UBS

    (958,066 )

USD

    668,917,493          

EUR

    622,750,000          

Mar 15 2023

UBS

    9,613,228  

USD

    367,731,322          

GBP

    302,300,000          

Mar 15 2023

UBS

    4,009,357  

USD

    60,475,465          

HUF

    22,713,000,000          

Mar 16 2023

UBS

    (2,651,695 )

USD

    102,085,398          

IDR

    1,585,500,000,000          

Mar 15 2023

UBS

    (1,825,527 )

USD

    99,771,344          

INR

    8,240,000,000          

Mar 15 2023

UBS

    183,447  

USD

    330,995,583          

JPY

    43,638,000,000          

Mar 15 2023

UBS

    9,797,809  

USD

    70,318,511          

KRW

    90,585,000,000          

Mar 15 2023

UBS

    1,822,449  

USD

    90,923,652          

MXN

    1,757,700,000          

Mar 15 2023

UBS

    (4,859,888 )

USD

    334,266,709          

NOK

    3,290,400,000          

Mar 15 2023

UBS

    17,161,139  

USD

    531,844,288          

NZD

    840,000,000          

Mar 15 2023

UBS

    12,473,393  

USD

    104,499,961          

PHP

    5,758,500,000          

Mar 15 2023

UBS

    624,396  

USD

    129,199,144          

PLN

    570,675,000          

Mar 15 2023

UBS

    1,053,588  

USD

    65,357,437          

SEK

    673,650,000          

Mar 15 2023

UBS

    952,398  

USD

    148,217,267          

SGD

    198,390,000          

Mar 15 2023

UBS

    1,035,440  

USD

    106,623,273          

TWD

    3,200,400,000          

Mar 15 2023

UBS

    1,410,158  

USD

    217,579,258          

ZAR

    3,785,600,000          

Mar 15 2023

UBS

    11,726,593  

 

The accompanying notes are an integral part of the consolidated financial statements.
10

 

 

Campbell Systematic Macro Fund

 

Consolidated Portfolio of Investments (Concluded)

February 28, 2023 (Unaudited)

 

Currency Purchased

 

 

Currency Sold

 

 

Expiration
Date

Counterparty

 

Unrealized
Appreciation/
(Depreciation)

 

ZAR

    3,504,800,000          

USD

    200,745,173          

Mar 15 2023

UBS

  $ (10,161,798 )

Total Forward Foreign Currency Contracts

                      $ 12,081,154  

 

AUD

Australian Dollar

 

JPY

Japanese Yen

BRL

Brazilian Real

 

KRW

South Korean Won

CAD

Canadian Dollar

 

MXN

Mexican Peso

CHF

Swiss Franc

 

NOK

Norwegian Krone

CLP

Chilean Peso

 

NZD

New Zealand Dollar

CNH

Chinese Yuan Renminbi

 

PHP

Philippine Peso

COP

Columbian Peso

 

PLN

Polish Zloty

CZK

Czech Koruna

 

SEK

Swedish Krona

EUR

Euro

 

SGD

Singapore Dollar

GBP

British Pound

 

TWD

Taiwan New Dollar

HUF

Hungarian Forint

 

UBS

Union Bank of Switzerland

IDR

Indonesian Rupiah

 

USD

United States Dollar

INR

Indian Rupee

 

ZAR

South African Rand

 

 

The accompanying notes are an integral part of the consolidated financial statements.
11

 

 

Campbell Systematic Macro Fund

 

Consolidated Statement of Assets and Liabilities

February 28, 2023 (Unaudited)

 

ASSETS

       

Investments, at value (cost $634,821,835)

  $ 634,541,527  

Deposits with brokers:

       

Futures contracts

    61,556,989  

Forward foreign currency contracts

    41,254,702  

Unrealized appreciation on forward foreign currency contracts

    123,128,371  

Unrealized appreciation on futures contracts

    40,907,828  

Receivable for capital shares sold

    3,585,817  

Interest receivable

    301,696  

Prepaid expenses and other assets

    117,313  

Total assets

    905,394,243  

LIABILITIES

       

Unrealized depreciation on forward foreign currency contracts

    111,047,217  

Unrealized depreciation on futures contracts

    23,638,964  

Due to Broker

    2,155,079  

Payable for:

       

Advisory fees

    873,609  

Capital shares redeemed

    359,924  

Other accrued expenses and liabilities

    90,589  

Total liabilities

    138,165,382  

Net assets

  $ 767,228,861  

NET ASSETS CONSIST OF:

       

Par value

  $ 78,179  

Paid-in capital

    799,506,573  

Total distributable earnings/(loss)

    (32,355,891 )

Net assets

  $ 767,228,861  

CAPITAL SHARES:

       

Class A Shares:

       

Net assets applicable to Class A Shares

  $ 67,597,450  

Shares outstanding ($0.001 par value, 100,000,000 shares authorized)

    6,959,932  

Net asset value, offering and redemption price per share

  $ 9.71  

Maximum offering price per share (100/96.5 of $9.71)

  $ 10.06  
         

Class C Shares:

       

Net assets applicable to Class C Shares

  $ 19,413,951  

Shares outstanding ($0.001 par value, 100,000,000 shares authorized)

    2,139,676  

Net asset value, offering and redemption price per share

  $ 9.07  
         

Class I Shares:

       

Net assets applicable to Class I Shares

  $ 680,217,460  

Shares outstanding ($0.001 par value, 100,000,000 shares authorized)

    69,079,055  

Net asset value, offering and redemption price per share

  $ 9.85  

 

 

The accompanying notes are an integral part of the consolidated financial statements.
12

 

 

Campbell Systematic Macro Fund

 

Consolidated Statement of Operations

For the Period Ended February 28, 2023 (Unaudited)

 

INVESTMENT INCOME

       

Interest

  $ 11,422,812  

Total investment income

    11,422,812  

EXPENSES

       

Advisory fees (Note 2)

    6,101,147  

Transfer agent fees (Note 2)

    443,837  

Administration and accounting fees (Note 2)

    93,641  

Distribution fees - Class A Shares

    87,718  

Distribution fees - Class C Shares

    91,071  

Registration and filing fees

    48,583  

Director fees

    29,544  

Audit and tax service fees

    27,424  

Legal fees

    26,493  

Printing and shareholder reporting fees

    22,392  

Officer fees

    18,490  

Custodian fees (Note 2)

    15,922  

Other expenses

    9,193  

Total expenses before waivers and/or reimbursements

    7,015,455  

Less: waivers and reimbursements (Note 2)

    (326,295 )

Net expenses after waivers and/or reimbursements

    6,689,160  

Net investment income/(loss)

    4,733,652  

NET REALIZED AND UNREALIZED GAIN/(LOSS) FROM INVESTMENTS

Net realized gain/(loss) from:

       

Investments

    (3,839 )

Futures contracts

    8,000,809  

Foreign currency transactions

    (2,530,538 )

Forward foreign currency contracts

    8,669,811  

Net change in unrealized appreciation/(depreciation) on:

       

Investments

    268,724  

Futures contracts

    14,059,747  

Foreign currency translations

    498,338  

Forward foreign currency contracts

    (3,357,552 )

Net realized and unrealized gain/(loss) on investments

    25,605,500  

NET INCREASE/(DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS

  $ 30,339,152  

 

 

The accompanying notes are an integral part of the consolidated financial statements.
13

 

 

Campbell Systematic Macro Fund

 

Consolidated Statements of Changes in Net Assets

 

   

For the
Period Ended
February 28,
2023
(Unaudited)

   

For the
Year Ended
August 31,
2022

 

INCREASE/(DECREASE) IN NET ASSETS FROM OPERATIONS:

Net investment income/(loss)

  $ 4,733,652     $ (2,792,104 )

Net realized gain/(loss) from investments, futures contracts, foreign currency transactions and forward foreign currency contracts

    14,136,243       50,437,598  

Net change in unrealized appreciation/(depreciation) on investments, future contracts, foreign currency translation and forward foreign currency contracts

    11,469,257       19,222,601  

Net increase/(decrease) in net assets resulting from operations

    30,339,152       66,868,095  
                 

DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS FROM:

Total distributable earnings

    (100,796,916 )     (10,151,201 )

Net decrease in net assets from dividends and distributions to shareholders

    (100,796,916 )     (10,151,201 )
                 

CAPITAL SHARE TRANSACTIONS:

               

Class A Shares

               

Proceeds from shares sold

    23,897,772       53,370,788  

Reinvestment of distributions

    9,286,917       840,478  

Shares redeemed

    (24,358,627 )     (6,522,289 )

Total from Class A Shares

    8,826,062       47,688,977  

Class C Shares

               

Proceeds from shares sold

    5,492,758       5,670,775  

Proceeds from reinvestment of distributions

    2,388,732       635,536  

Shares redeemed

    (2,307,725 )     (1,834,074 )

Total from Class C Shares

    5,573,765       4,472,237  

Class I Shares

               

Proceeds from shares sold

    384,929,778       494,892,554  

Proceeds from reinvestment of distributions

    85,541,786       8,403,372  

Shares redeemed

    (283,458,884 )     (116,914,962 )

Total from Class I Shares

    187,012,680       386,380,964  

Net increase/(decrease) in net assets from capital share transactions

    201,412,507       438,542,178  

Total increase/(decrease) in net assets

    130,954,743       495,259,072  

 

 

The accompanying notes are an integral part of the consolidated financial statements.
14

 

 

Campbell Systematic Macro Fund

 

Consolidated Statements of Changes in Net Assets (Concluded)

 

   

For the
Period Ended
February 28,
2023
(Unaudited)

   

For the
Year Ended
August 31,
2022

 

Net Assets:

               

Beginning of period

  $ 636,274,118     $ 141,015,046  

End of period

  $ 767,228,861     $ 636,274,118  
                 

SHARE TRANSACTIONS:

               

Class A Shares

               

Shares sold

    2,346,267       5,296,683  

Shares reinvested

    979,633       103,635  

Shares redeemed

    (2,523,256 )     (683,187 )

Total from Class A Shares

    802,644       4,717,131  

Class C Shares

               

Shares sold

    556,223       604,995  

Shares reinvested

    269,001       82,860  

Shares redeemed

    (247,756 )     (208,784 )

Total from Class C Shares

    577,468       479,071  

Class I Shares

               

Shares sold

    37,552,288       48,866,179  

Shares reinvested

    8,901,331       1,026,053  

Shares redeemed

    (28,890,666 )     (11,782,155 )

Total from Class I Shares

    17,562,953       38,110,077  

Net increase/(decrease) in shares outstanding

    18,943,065       43,306,279  

 

 

The accompanying notes are an integral part of the consolidated financial statements.
15

 

 

Campbell Systematic Macro Fund

 

Consolidated Financial Highlights

 

Contained below is per share operating performance data for shares outstanding, total investment return/(loss), ratios to average net assets and other supplemental data for the respective periods. This information has been derived from information provided in the consolidated financial statements.

 

 

   

Class A

 
   

For the
Period
Ended
February 28,
2023
(Unaudited)

   

For the
Year
Ended
A
ugust 31,
2022

   

For the
Year
Ended
A
ugust 31,
2021

   

For the
Period
Ended
A
ugust 31,
2020
(1)(2)

   

For the
Year
Ended
Sept. 30,
2019

   

For the
Year
Ended
Sept. 30,
2018

   

For the
Year
Ended
Sept. 30,
2017

 

Per Share Operating Performance

               

Net asset value, beginning of period

  $ 10.65     $ 8.76     $ 7.55     $ 9.81     $ 9.49     $ 9.36     $ 10.13  

Net investment income/(loss)(3)

    0.05       (0.11 )     (0.16 )     (0.07 )     (4)      (0.03 )     (0.04 )

Net realized and unrealized gain/(loss) on investments, futures, forward currency and swap contracts (5)

    0.40       2.57       1.37       (0.76 )     1.45       0.16       (0.73 )

Net increase/(decrease) in net assets resulting from operations

    0.45       2.46       1.21       (0.83 )     1.45       0.13       (0.77 )

Dividends and distributions to shareholders from:

                               

Net investment income

    (0.20 )     (0.48 )           (0.79 )     (1.13 )            

Net realized capital gain

    (1.19 )     (0.09 )           (0.64 )                  

Total dividends and distributions to shareholders

    (1.39 )     (0.57 )           (1.43 )     (1.13 )            

Net asset value, end of period

  $ 9.71     $ 10.65     $ 8.76     $ 7.55     $ 9.81     $ 9.49     $ 9.36  

Total investment return (6)

    4.70 %(7)     30.09 %     16.03 %     (8.86 )%(7)     17.73 %     1.39 %     (7.60 )%

Ratios/Supplemental Data

               

Net assets, end of period (000’s omitted)

  $ 67,597     $ 65,549     $ 12,613     $ 10,365     $ 12,895     $ 14,744     $ 24,092  

Ratio of expenses to average net assets with waivers and reimbursements and/or recoupments (10)

    2.00 %(8)     2.00 %     2.03 %     2.15 %(8)     2.12 %     1.58 %     1.15 %

Ratio of expenses to average net assets without waivers and reimbursements and/or recoupments (9)(11)

    2.09 %(8)     2.16 %     2.36 %     2.51 %(8)     2.54 %     1.96 %     1.33 %

Ratio of net investment income/(loss) to average net assets

    1.08 %(8)     (1.32 )%     (1.93 )%     (0.93 )%(8)     (0.03 )%     (0.32 )%     (0.45 )%

Portfolio turnover rate (12)

    0 %(7)     0 %     0 %     0 %(7)     15 %     122 %     0 %

 

 

(1)

The fiscal year end of the Predecessor Fund was September 30. The Fund changed its fiscal year end to August 31 to reflect the fiscal year end of the other series of the Company. The period ended is from October 1, 2019 to August 31, 2020.

(2)

Prior to May 29, 2020, the Fund was a diversified series (the “Predecessor Fund”) of Equinox Funds Trust (the “Trust”), an open-end management investment company (or mutual fund) organized on June 2, 2010, as a statutory trust under the laws of the State of Delaware. The Predecessor Fund was reorganized into the Fund following the close of business on May 29, 2020 (the “Reorganization”). As a result of the Reorganization, the performance and accounting history of the Predecessor Fund was assumed by the Fund. Performance and accounting information prior to May 29, 2020 included herein is that of the Predecessor Fund.

(3)

Calculated based on average shares outstanding for the period.

(4)

Less than $0.005 per share.

(5)

The amount shown may not correlate with the change in the aggregate gains and losses due to the timing of sales and purchases of the Fund’s shares in relation to fluctuating market values for the Fund’s portfolio.

(6)

Total returns are historical and assume changes in share price and reinvestment of dividends and distributions. Total returns for periods of less than one year are not annualized. Had the Adviser not waived its fees or reimbursed a portion of the Fund’s expenses, the returns would have been lower.

(7)

Not annualized

(8)

Annualized

(9)

Represents the ratio of expenses to average net assets absent fee waivers and/or expense reimbursements by the Adviser.

 

The accompanying notes are an integral part of the consolidated financial statements.
16

 

 

Campbell Systematic Macro Fund

 

Consolidated Financial Highlights (Continued)

 

(10) Ratio of net expenses to average net assets excluding interest expense

2.00%

2.00%

2.00%

2.12%

2.07%

1.58%

1.15%

(11) Ratio of gross expenses to average net assets excluding interest expense(9)

2.09%

2.16%

2.33%

2.48%

2.49%

1.96%

1.33%

 

(12)

Portfolio turnover is calculated on the basis of the Fund as a whole without distinguishing between the classes of shares issued.

 

The accompanying notes are an integral part of the consolidated financial statements.
17

 

 

Campbell Systematic Macro Fund

 

Consolidated Financial Highlights (Continued)

 

Contained below is per share operating performance data for shares outstanding, total investment return/(loss), ratios to average net assets and other supplemental data for the respective periods. This information has been derived from information provided in the consolidated financial statements.

 

 

   

Class C

 
   

For the
Period
Ended
February 28,
2023
(Unaudited)

   

For the
Year
Ended
A
ugust 31,
2022

   

For the
Year
Ended
A
ugust 31,
2021

   

For the
Period
Ended
A
ugust 31,
2020
(1)(2)

   

For the
Year
Ended
Sept. 30,
2019

   

For the
Year
Ended
Sept. 30,
2018

   

For the
Year
Ended
Sept. 30,
2017

 

Per Share Operating Performance

                       

Net asset value, beginning of period

  $ 10.02     $ 8.38     $ 7.28     $ 9.51     $ 9.20     $ 9.15     $ 9.98  

Net investment income/(loss)(3)

    0.02       (0.20 )     (0.21 )     (0.12 )     (0.07 )     (0.10 )     (0.11 )

Net realized and unrealized gain/(loss) on investments, futures, forward currency and swap contracts (4)

    0.37       2.45       1.31       (0.74 )     1.42       0.15       (0.72 )

Net increase/(decrease) in net assets resulting from operations

    0.39       2.25       1.10       (0.86 )     1.35       0.05       (0.83 )

Dividends and distributions to shareholders from:

                               

Net investment income

    (0.15 )     (0.52 )           (0.73 )     (1.04 )            

Net realized capital gain

    (1.19 )     (0.09 )           (0.64 )                  

Total dividends and distributions to shareholders

    (1.34 )     (0.61 )           (1.37 )     (1.04 )            

Net asset value, end of period

  $ 9.07     $ 10.02     $ 8.38     $ 7.28     $ 9.51     $ 9.20     $ 9.15  

Total investment return (5)

    4.25 %(6)     29.13 %     15.11 %     (9.49 )%(6)     16.88 %     0.55 %     (8.32 )%

Ratios/Supplemental Data

                                                       

Net assets, end of period (000’s omitted)

  $ 19,414     $ 15,654     $ 9,079     $ 9,087     $ 13,237     $ 15,676     $ 22,792  

Ratio of expenses to average net assets with waivers and reimbursements and/or recoupments (9)

    2.75 %(7)     2.75 %     2.78 %     2.88 %(7)     2.87 %     2.35 %     1.90 %

Ratio of expenses to average net assets without waivers and reimbursements and/or recoupments (8)(10)

    2.84 %(7)     2.91 %     3.11 %     3.27 %(7)     3.29 %     2.74 %     2.08 %

Ratio of net investment income/(loss) to average net assets

    0.33 %(7)     (2.07 )%     (2.67 )%     (1.65 )%(7)     (0.78 )%     (1.05 )%     (1.19 )%

Portfolio turnover rate (11)

    0 %(6)     0 %     0 %     0 %(6)     15 %     122 %     0 %

 

 

(1)

The fiscal year end of the Predecessor Fund was September 30. The Fund changed its fiscal year end to August 31 to reflect the fiscal year end of the other series of the Company. The period ended is from October 1, 2019 to August 31, 2020.

(2)

Prior to May 29, 2020, the Fund was a diversified series (the “Predecessor Fund”) of Equinox Funds Trust (the “Trust”), an open-end management investment company (or mutual fund) organized on June 2, 2010, as a statutory trust under the laws of the State of Delaware. The Predecessor Fund was reorganized into the Fund following the close of business on May 29, 2020 (the “Reorganization”). As a result of the Reorganization, the performance and accounting history of the Predecessor Fund was assumed by the Fund. Performance and accounting information prior to May 29, 2020 included herein is that of the Predecessor Fund.

(3)

Calculated based on average shares outstanding for the period.

(4)

The amount shown may not correlate with the change in the aggregate gains and losses due to the timing of sales and purchases of the Fund’s shares in relation to fluctuating market values for the Fund’s portfolio.

(5)

Total returns are historical and assume changes in share price and reinvestment of dividends and distributions. Total returns for periods of less than one year are not annualized. Had the Adviser not waived its fees or reimbursed a portion of the Fund’s expenses, the returns would have been lower.

(6)

Not annualized

(7)

Annualized

(8)

Represents the ratio of expenses to average net assets absent fee waivers and/or expense reimbursements by the Adviser.

(9) Ratio of net expenses to average net assets excluding interest expense

2.75%

2.75%

2.75%

2.85%

2.82%

2.35%

1.90%

 

 

The accompanying notes are an integral part of the consolidated financial statements.
18

 

 

Campbell Systematic Macro Fund

 

Consolidated Financial Highlights (Continued)

 

(10) Ratio of gross expenses to average net assets excluding interest expense(8)

2.84%

2.91%

3.08%

3.24%

3.24%

2.74%

2.08%

 

(11)

Portfolio turnover is calculated on the basis of the Fund as a whole without distinguishing between the classes of shares issued.

 

The accompanying notes are an integral part of the consolidated financial statements.
19

 

 

Campbell Systematic Macro Fund

 

Consolidated Financial Highlights (Continued)

 

Contained below is per share operating performance data for shares outstanding, total investment return/(loss), ratios to average net assets and other supplemental data for the respective periods. This information has been derived from information provided in the consolidated financial statements.

 

 

   

Class I

 
   

For the
Period
Ended
February 28,
2023
(Unaudited)

   

For the
Year
Ended
A
ugust 31,
2022

   

For the
Year
Ended
A
ugust 31,
2021

   

For the
Period
Ended
A
ugust 31,
2020
(1)(2)

   

For the
Year
Ended
Sept. 30,
2019

   

For the
Year
Ended
Sept. 30,
2018

   

For the
Year
Ended
Sept. 30,
2017

 

Per Share Operating Performance

               

Net asset value, beginning of period

  $ 10.77     $ 8.90     $ 7.65     $ 9.93     $ 9.59     $ 9.44     $ 10.20  

Net investment income/(loss)(3)

    0.07       (0.09 )     (0.14 )     (0.07 )     0.02       (0.01 )     (0.02 )

Net realized and unrealized gain/(loss) on investments, futures, forward currency and swap contracts (4)

    0.42       2.59       1.39       (0.77 )     1.48       0.16       (0.74 )

Net increase/(decrease) in net assets resulting from operations

    0.49       2.50       1.25       (0.84 )     1.50       0.15       (0.76 )

Dividends and distributions to shareholders from:

                               

Net investment income

    (0.22 )     (0.54 )           (0.80 )     (1.16 )            

Net realized capital gain

    (1.19 )     (0.09 )           (0.64 )                  

Total dividends and distributions to shareholders

    (1.41 )     (0.63 )           (1.44 )     (1.16 )            

Net asset value, end of period

  $ 9.85     $ 10.77     $ 8.90     $ 7.65     $ 9.93     $ 9.59     $ 9.44  

Total investment return (5)

    4.77 %(6)     30.35 %     16.34 %     (8.75 )%(6)     18.17 %     1.59 %     (7.45 )%

Ratios/Supplemental Data

                                                       

Net assets, end of period (000’s omitted)

  $ 680,217     $ 555,072     $ 119,324     $ 115,431     $ 51,067     $ 89,456     $ 279,212  

Ratio of expenses to average net assets with waivers and reimbursements and/or recoupments (9)

    1.75 %(7)     1.75 %     1.78 %     1.88 %(7)     1.84 %     1.30 %     0.90 %

Ratio of expenses to average net assets without waivers and reimbursements and/or recoupments (8)(10)

    1.84 %(7)     1.91 %     2.11 %     2.24 %(7)     2.28 %     1.64 %     1.07 %

Ratio of net investment income/(loss) to average net assets

    1.33 %(7)     (1.07 )%     (1.68 )%     (0.91 )%(7)     0.23 %     (0.10 )%     (0.20 )%

Portfolio turnover rate (11)

    0 %(6)     0 %     0 %     0 %(6)     15 %     122 %     0 %

 

 

(1)

The fiscal year end of the Predecessor Fund was September 30. The Fund changed its fiscal year end to August 31 to reflect the fiscal year end of the other series of the Company. The period ended is from October 1, 2019 to August 31, 2020.

(2)

Prior to May 29, 2020, the Fund was a diversified series (the “Predecessor Fund”) of Equinox Funds Trust (the “Trust”), an open-end management investment company (or mutual fund) organized on June 2, 2010, as a statutory trust under the laws of the State of Delaware. The Predecessor Fund was reorganized into the Fund following the close of business on May 29, 2020 (the “Reorganization”). As a result of the Reorganization, the performance and accounting history of the Predecessor Fund was assumed by the Fund. Performance and accounting information prior to May 29, 2020 included herein is that of the Predecessor Fund.

(3)

Calculated based on average shares outstanding for the period.

(4)

The amount shown may not correlate with the change in the aggregate gains and losses due to the timing of sales and purchases of the Fund’s shares in relation to fluctuating market values for the Fund’s portfolio.

(5)

Total returns are historical and assume changes in share price and reinvestment of dividends and distributions. Total returns for periods of less than one year are not annualized. Had the Adviser not waived its fees or reimbursed a portion of the Fund’s expenses, the returns would have been lower.

(6)

Not annualized

(7)

Annualized

(8)

Represents the ratio of expenses to average net assets absent fee waivers and/or expense reimbursements by the Adviser.

(9) Ratio of net expenses to average net assets excluding interest expense

1.75%

1.75%

1.75%

1.85%

1.80%

1.30%

0.90%

 

 

The accompanying notes are an integral part of the consolidated financial statements.
20

 

 

Campbell Systematic Macro Fund

 

Consolidated Financial Highlights (Concluded)

 

(10) Ratio of gross expenses to average net assets excluding interest expense(8)

1.84%

1.91%

2.08%

2.21%

2.24%

1.64%

1.07%

 

(11)

Portfolio turnover is calculated on the basis of the Fund as a whole without distinguishing between the classes of shares issued.

 

The accompanying notes are an integral part of the consolidated financial statements.
21

 

 

Campbell Systematic Macro Fund

 

Notes To Consolidated Financial Statements

February 28, 2023 (Unaudited)

 

1. ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES

 

The RBB Fund, Inc. (“RBB” or the “Company”) was incorporated under the laws of the State of Maryland on February 29, 1988 and is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. RBB is a “series fund,” which is a mutual fund complex divided into separate portfolios. Each portfolio is treated as a separate entity for certain matters under the 1940 Act, and for other purposes, and a shareholder of one portfolio is not deemed to be a shareholder of any other portfolio. Currently, RBB has forty-eight separate investment portfolios, including the Campbell Systematic Macro Fund (the “Fund”), which commenced investment operations on March 4, 2013. The Fund currently offers Class A, Class C and Class I shares. Class A and Class I shares commenced operations on March 4, 2013. Class C commenced operations on February 11, 2014.

 

Class C and Class I shares are offered at net asset value. Class A shares are offered at net asset value plus a maximum sales charge of 3.50%. Prior to February 16, 2021, Class A shares were offered at net asset value plus a maximum sales charge of 5.75%. A contingent deferred sales charge (“CDSC”) of 1.00% is assessed on certain redemptions of Class A shares made within twelve months after a purchase of Class A shares where no initial sales charge was paid at the time of purchase as part of an investment of $1,000,000 or more. A CDSC of 1.00% is assessed on redemptions of Class C shares made within twelve months after a purchase of such shares. Each class represents an interest in the same assets of the Fund and classes are identical except for differences in their sales charge structures and ongoing service and distribution charges. All classes of shares have equal voting privileges except that each class has exclusive voting rights with respect to its service and/or distribution plans. The Fund’s income, expenses (other than class specific distribution fees) and realized and unrealized gains and losses are allocated proportionately each day based upon the relative net assets of each class.

 

Prior to May 29, 2020, the Fund was a diversified series (the “Predecessor Fund”) of Equinox Funds Trust (the “Trust”), an open-end management investment company (or mutual fund) organized on June 2, 2010, as a statutory trust under the laws of the State of Delaware. The Predecessor Fund was reorganized into the Fund following the close of business on May 29, 2020 (the “Reorganization”). As a result of the Reorganization, the performance and accounting history of the Predecessor Fund was assumed by the Fund. Performance and accounting information prior to May 29, 2020 included herein is that of the Predecessor Fund.

 

The fiscal year end of the Predecessor Fund was September 30. The Fund changed its fiscal year end to August 31 to reflect the fiscal year end of the other series of the Company.

 

The Company has authorized capital of one hundred billion shares of common stock of which 90.623 billion shares are currently classified into two hundred and thirteen classes of common stock. Each class represents an interest in an active or inactive RBB investment portfolio.

 

Effective January 15, 2021 (the “Conversion Date”), the outstanding Class P shares of the Fund were converted into Class A shares of the Fund (the “Class Conversion”). The Class Conversion was completed based on the share classes’ relative net asset values on the Conversion Date, without the imposition of any fees or expenses. All Class P shares of the Fund were converted into Class A shares as of the Conversion Date.

 

The Fund’s investment objective is to seek capital appreciation.

 

The Fund is an investment company and follows accounting and reporting guidance in the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946 “Financial Services - Investment Companies.”

 

The end of the reporting period for the Fund is February 28, 2023, and the period covered by these Notes to Consolidated Financial Statements is the six months ended February 28, 2023 (the “current fiscal period”).

 

CONSOLIDATION OF SUBSIDIARY — Campbell & Company Investment Adviser LLC’s (the “Adviser”) Campbell Systematic Macro Program is achieved by the Fund investing up to 25% of its total assets in the Campbell Systematic Macro Offshore Limited (the “Subsidiary”), a wholly-owned and controlled subsidiary of the Fund

 

22

 

 

Campbell Systematic Macro Fund

 

Notes To Consolidated Financial Statements (Continued)

February 28, 2023 (Unaudited)

 

organized under the acts 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 $44,166,581, which represented 5.76% of the Fund’s net assets.

 

PORTFOLIO VALUATION — The 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 by Valuation Designee (as defined below) 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.

 

The Board has adopted a pricing and valuation policy for use by the Fund and its Valuation Designee (as defined below) in calculating the Fund’s NAV. Pursuant to Rule 2a-5 under the 1940 Act, the Fund has designated the Adviser as its “Valuation Designee” to perform all of the fair value determinations as well as to perform all of the responsibilities that may be performed by the Valuation Designee in accordance with Rule 2a-5. The Valuation Designee is authorized to make all necessary determinations of the fair values of portfolio securities and other assets for which market quotations are not readily available or if it is deemed that the prices obtained from brokers and dealers or independent pricing services are unreliable.

 

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.

 

23

 

 

Campbell Systematic Macro Fund

 

Notes To Consolidated Financial Statements (Continued)

February 28, 2023 (Unaudited)

 

The following is a summary of the inputs used, as of the end of the reporting period, in valuing the Fund’s investments carried at fair value:

 

 

TOTAL

   

LEVEL 1

   

LEVEL 2

   

LEVEL 3

 

Short-Term Investments

  $ 634,541,527     $ 634,541,527     $     $  

Commodity Contracts

                               

Futures Contracts

    30,596,457       30,596,457              

Equity Contracts

                               

Futures Contracts

    1,319,280       1,319,280              

Interest Rate Contracts

                               

Futures Contracts

    8,992,091       8,992,091              

Foreign Currency Contracts

                               

Forward Foreign Currency Contracts

    123,128,371             123,128,371        

Total Assets

  $ 798,577,726     $ 675,449,355     $ 123,128,371     $  

 

 

TOTAL

   

LEVEL 1

   

LEVEL 2

   

LEVEL 3

 

Commodity Contracts

                               

Futures Contracts

  $ (21,556,002 )   $ (21,556,002 )   $     $  

Equity Contracts

                               

Futures Contracts

    (1,797,989 )     (1,797,989 )            

Interest Rate Contracts

                               

Futures Contracts

    (284,973 )     (284,973 )            

Foreign Currency Contracts

                               

Forward Foreign Currency Contracts

    (111,047,217 )           (111,047,217 )      

Total Liabilities

  $ (134,686,181 )   $ (23,638,964 )   $ (111,047,217 )   $  

 

At the end of each quarter, management evaluates the classification of Levels 1, 2 and 3 assets and liabilities. Various factors are considered, such as changes in liquidity from the prior reporting period; whether or not a broker is willing to execute at the quoted price; the depth and consistency of prices from third party pricing services; and the existence of contemporaneous, observable trades in the market. Additionally, management evaluates the classification of Levels 1, 2 and 3 assets and liabilities on a quarterly basis for changes in listings or delistings on national exchanges.

 

Due to the inherent uncertainty of determining the fair value of investments that do not have a readily available market value, the fair value of the Fund’s investments may fluctuate from period to period. Additionally, the fair value of investments may differ significantly from the values that would have been used had a ready market existed for such investments and may differ materially from the values the Fund may ultimately realize. Further, such investments may be subject to legal and other restrictions on resale or otherwise less liquid than publicly traded securities.

 

For fair valuations using significant unobservable inputs, U.S. generally accepted accounting principles (“U.S. GAAP”) requires the Fund to present a reconciliation of the beginning to ending balances for reported market values that presents changes attributable to total realized and unrealized gains or losses, purchase and sales, and transfers in and out of Level 3 during the period. Transfers in and out between levels are based on values at the end of the period. A reconciliation of Level 3 investments is presented only when the Fund had an amount of Level 3 investments at the end of the reporting period that was meaningful in relation to its net assets. The amounts and reasons for Level 3 transfers are disclosed if the Fund had an amount of total transfers during the reporting period that was meaningful in relation to its net assets as of the end of the reporting period.

 

During the current fiscal period, the Fund had no Level 3 transfers.

 

24

 

 

Campbell Systematic Macro Fund

 

Notes To Consolidated Financial Statements (Continued)

February 28, 2023 (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 tables list the fair values and location on the Consolidated Statement of Assets and Liabilities of the Fund’s derivative holdings as of the end of the reporting period, grouped by derivative type and primary risk exposure category by contract type.

 

Derivative Type

 

Consolidated
Statement of
Assets and
Liabilities
Location

   

Commodity
Contracts

   

Equity
Contracts

   

Interest
Rate
Contracts

   

Foreign
Currency
Contracts

   

Total

 

Asset Derivatives

Futures Contracts (a)

    Unrealized appreciation on futures contracts     $ 30,596,457     $ 1,319,280     $ 8,992,091     $     $ 40,907,828  

Forward Contracts (a)

    Unrealized appreciation on forward foreign currency contracts                         123,128,371       123,128,371  

Total Value - Assets

          $ 30,596,457     $ 1,319,280     $ 8,992,091     $ 123,128,371     $ 164,036,199  
                                                 

Liability Derivatives

Futures Contracts (a)

    Unrealized depreciation on futures contracts     $ (21,556,002 )   $ (1,797,989 )   $ (284,973 )   $     $ (23,638,964 )

Forward Contracts (a)

    Unrealized depreciation on forward foreign currency contracts                         (111,047,217 )     (111,047,217 )

Total Value - Liabilities

          $ (21,556,002 )   $ (1,797,989 )   $ (284,973 )   $ (111,047,217 )   $ (134,686,181 )

 

 

(a)

This amount represents the cumulative appreciation/(depreciation) of forward and futures contracts as reported in the Consolidated Portfolio of Investments.

 

25

 

 

Campbell Systematic Macro Fund

 

Notes To Consolidated Financial Statements (Continued)

February 28, 2023 (Unaudited)

 

The following table lists the amounts of realized gains/(losses) included in net increase/(decrease) in net assets resulting from operations during the current fiscal period, grouped by derivative type and primary risk exposure category by contract type.

 

Derivative Type

 

Consolidated
Statement of
Operations
Location

   

Commodity
Contracts

   

Equity
Contracts

   

Interest
Rate
Contracts

   

Foreign
Currency
Contracts

   

Total

 

Realized Gain/(Loss)

Futures Contracts

    Net realized gain/(loss) from futures contracts     $ (20,058,971 )   $ 3,387,111     $ 24,672,669     $     $ 8,000,809  

Forward Contracts

    Net realized gain/(loss) from forward foreign currency contracts                         8,669,811       8,669,811  

Total Realized Gain/(Loss)

 

  $ (20,058,971 )   $ 3,387,111     $ 24,672,669     $ 8,669,811     $ 16,670,620  

 

The following table lists the amounts of change in unrealized appreciation/(depreciation) included in net increase/(decrease) in net assets resulting from operations during the current fiscal period, grouped by derivative type and primary risk exposure category by contract type.

 

Derivative Type

 

Consolidated
Statement of
Operations
Location

   

Commodity
Contracts

   

Equity
Contracts

   

Interest
Rate
Contracts

   

Foreign
Currency
Contracts

   

Total

 

Change in Unrealized Appreciation/(Depreciation)

Futures Contracts

    Net change in unrealized appreciation/
(depreciation) on futures contracts
    $ 6,768,417     $ (175,416 )   $ 7,466,746     $     $ 14,059,747  

Forward Contracts

    Net change in unrealized appreciation/
(depreciation) on forward foreign currency contracts
                        (3,357,552 )     (3,357,552 )

Total Change in Unrealized Appreciation/(Depreciation)

          $ 6,768,417     $ (175,416 )   $ 7,466,746     $ (3,357,552 )   $ 10,702,195  

 

During the current fiscal period, 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)

 
    $1,069,757,853       $(2,295,518,083)       $(8,981,841,982)       $8,989,388,558  

 

For financial reporting purposes, the Fund does not offset fair value amounts recognized for derivative instruments and fair value amounts recognized for the right to reclaim cash collateral (receivables) or the obligation to return cash collateral (payables) arising from derivative instruments recognized at fair value executed with the same counterparty under a master netting arrangement.

 

26

 

 

Campbell Systematic Macro Fund

 

Notes To Consolidated Financial Statements (Continued)

February 28, 2023 (Unaudited)

 

The following is a summary of financial and derivative instruments that are subject to enforceable master netting agreements (or similar arrangements) and collateral received and pledged in connection with the master netting agreements (or similar arrangements).

 

           

Gross Amount Not
Offset in Consolidated
Statement of Assets and
Liabilities

                           

Gross Amount Not
Offset in Consolidated
Statement of Assets and
Liabilities

         

Description

 

Gross Amount
Presented in
the
Consolidated
Statement of
Assets and
Liabilities

   

Financial
Instruments

   

Collateral
Received

   

Net
Amount
(1)

           

Gross Amount
Presented in
the
Consolidated
Statement of
Assets and
Liabilities

   

Financial
Instruments

   

Collateral
Pledged
(2)

   

Net
Amount
(3)

 
   

Assets

           

Liabilities

 

Forward Foreign Currency Contracts

  $ 123,128,371     $ (111,047,217 )   $     $ 12,081,154             $ 111,047,217     $ (111,047,217 )   $     $  

 

 

(1)

Net amount represents the net amount receivable from the counterparty in the event of default.

 

(2)

Actual collateral pledged may be more than the amount shown.

 

(3)

Net amount represents the net amount payable to the counterparty in the event of default.

 

Use of Estimates — The preparation of consolidated financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the consolidated financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates and those differences could be significant.

 

Investment Transactions, Investment Income and Expenses — The Fund records security transactions based on trade date for financial reporting purposes. The cost of investments sold is determined by use of the specific identification method for both financial reporting and income tax purposes in determining realized gains and losses on investments. Interest income (including amortization of premiums and accretion of discounts) is accrued when earned. Dividend income is recorded on the ex-dividend date. Distributions received on securities that represent a return of capital or capital gain are recorded as a reduction of cost of investments and/or as a realized gain. The Fund’s investment income, expenses (other than class specific expenses) and unrealized and realized gains and losses are allocated daily to each class of shares based upon the relative proportion of net assets of each class at the beginning of the day. Certain expenses are shared with The RBB Fund Trust (formerly, PENN Capital Funds Trust) (the “Trust”), a series trust of affiliated funds. Expenses incurred on behalf of a specific class, fund or fund family of the Company or Trust are charged directly to the class, fund or fund family (in proportion to net assets). Expenses incurred for all funds (such as director or professional fees) are charged to all funds in proportion to their average net assets of RBB and the Trust, or in such other manner as the Board deems fair or equitable. Expenses and fees, including investment advisory and administration fees, are accrued daily and taken into account for the purpose of determining the NAV of the Fund.

 

Dividends and Distributions to Shareholders — Dividends from net investment income and distributions from net realized capital gains, if any, are declared and paid at least annually to shareholders and recorded on the ex-dividend date. Income dividends and capital gain distributions are determined in accordance with U.S. federal income tax regulations, which may differ from U.S. GAAP.

 

U.S. Tax Status — No provision is made for U.S. income taxes as it is the Fund’s intention to continue to qualify for and elect the tax treatment applicable to regulated investment companies under Subchapter M of the Internal Revenue Code of 1986, as amended, and make the requisite distributions to its shareholders which will be sufficient to relieve it from U.S. income and excise taxes.

 

27

 

 

Campbell Systematic Macro Fund

 

Notes To Consolidated Financial Statements (Continued)

February 28, 2023 (Unaudited)

 

For tax purposes, the Subsidiary is an exempted Cayman Islands investment company. The Subsidiary has received an undertaking from the Government of the Cayman Islands exempting it from all local income, profits and capital gains taxes. No such taxes are levied in the Cayman Islands at the present time. For U.S. income tax purposes, the Subsidiary is a Controlled Foreign Corporation and as such is not subject to U.S. income tax.

 

SEC RULE 18f-4 — Effective August 19, 2022, the U.S. Securities and Exchange Commission (the “SEC”) implemented Rule 18f-4 under the 1940 Act (“Rule 18f-4”), providing for the regulation of a registered investment company’s use of derivatives and certain related instruments. Among other things, Rule 18f-4 limits a fund’s derivatives exposure through a value-at-risk test and requires the adoption and implementation of a derivatives risk management program for certain derivatives users. The Fund, as a full derivatives user (as defined in Rule 18f-4), is subject to the full requirements of Rule 18f-4. The Fund is required to comply with Rule18f-4 and has adopted procedures for investing in derivatives and other transactions in compliance with Rule 18f-4.

 

Foreign Currency Translation — Assets and liabilities initially expressed in non-U.S. currencies are translated into U.S. dollars based on the applicable exchange rates at the date of the last business day of the consolidated financial statement period. Purchases and sales of securities, interest income, dividends, variation margin received and expenses denominated in foreign currencies are translated into U.S. dollars at the exchange rates in effect on the transaction date.

 

The Fund does not separately report the effect of changes in foreign exchange rates from changes in market prices of securities held. Such changes are included with the net realized gain or loss and change in unrealized appreciation or depreciation on investments in the Consolidated Statement of Operations. Other foreign currency transactions resulting in realized and unrealized gain or loss are reported separately as net realized gain or loss and change in unrealized appreciation or depreciation on foreign currencies in the Consolidated Statement of Operations.

 

Currency Risk — Investment in foreign securities involves currency risk associated with securities that trade or are denominated in currencies other than the U.S. dollar and which may be affected by fluctuations in currency exchange rates. An increase in the strength of the U.S. dollar relative to a foreign currency may cause the U.S. dollar value of an investment in that country to decline. Foreign currencies also are subject to risks caused by inflation, interest rates, budget deficits and low savings rates, political factors and government controls. Forward foreign currency exchange contracts may limit potential gains from a favorable change in value between the U.S. dollar and foreign currencies. Unanticipated changes in currency pricing may result in poorer overall performance for the Fund than if it had not engaged in these contracts.

 

Commodity Sector Risk — Exposure to the commodities markets may subject the Fund to greater volatility than investments in traditional securities. The value of commodity-linked derivative instruments may be affected by changes in overall market movements, commodity index volatility, changes in interest rates or factors affecting a particular industry or commodity, such as drought, floods, weather, livestock disease, embargoes, tariffs and international economic, political and regulatory developments. The prices of energy, industrial metals, precious metals, agriculture and livestock sector commodities may fluctuate widely due to factors such as changes in value, supply and demand and governmental regulatory policies. The commodity-linked securities in which the Fund invests may be issued by companies in the financial services sector, and events affecting the financial services sector may cause the Fund’s share value to fluctuate.

 

Foreign Securities Market Risk — A substantial portion of the trades of the Fund are expected to take place on markets or exchanges outside the United States. There is no limit to the amount of assets of the Fund that may be committed to trading on foreign markets. The risk of loss in trading foreign futures and options on futures contracts can be substantial. Participation in foreign futures and options on futures contracts involves the execution and clearing of trades on, or subject to the rules of, a foreign board of trade or exchange. Some of these foreign markets, in contrast to U.S. exchanges, are so-called principals’ markets in which performance is the responsibility only of the individual

 

28

 

 

Campbell Systematic Macro Fund

 

Notes To Consolidated Financial Statements (Continued)

February 28, 2023 (Unaudited)

 

counterparty with whom the trader has entered into a commodity interest transaction and not of the exchange or clearing corporation. In these kinds of markets, there is risk of bankruptcy or other failure or refusal to perform by the counterparty.

 

Counterparty Risk — The derivative contracts entered into by the Fund or its Subsidiary may be privately negotiated in the over-the-counter market. These contracts also involve exposure to credit risk, since contract performance depends in part on the financial condition of the counterparty. Relying on a counterparty exposes the Fund to the risk that a counterparty will not settle a transaction in accordance with its terms and conditions because of a dispute over the terms of the contract (whether or not bona fide) or because of a credit or liquidity problem, thus causing the Fund to suffer a loss. If a counterparty defaults on its payment obligations to the Fund, this default will cause the value of an investment in the Fund to decrease.

 

Futures Contracts — The Fund uses futures contracts in the normal course of pursuing its investment objective. Upon entering into a futures contract, the Fund must deposit initial margin in addition to segregating cash or liquid assets sufficient to meet its obligation to purchase or provide securities, or to pay the amount owed at the expiration of an index-based futures contract. Such liquid assets may consist of cash, cash equivalents, liquid debt or equity securities or other acceptable assets. Pursuant to the futures contract, the Fund agrees to receive from, or pay to the broker, an amount of cash equal to the daily fluctuation in value of the contract. Such a receipt of payment is known as “variation margin” and is recorded by the Fund as an unrealized gain or loss. When the contract is closed, the Fund records a realized gain or loss equal to the difference between the proceeds from (or cost of) the closing transactions and the Fund’s basis in the contract. Futures contracts have market risks, including the risk that the change in the value of the contract may not correlate with changes in the value of the underlying securities. Use of long futures contracts subjects the Fund to risk of loss in excess of the amount shown on the Consolidated Statement of Assets and Liabilities, up to the notional value of the futures contract. Use of short futures contracts subjects the Fund to unlimited risk of loss.

 

Forward Foreign Currency Contracts —The Fund uses forward foreign currency contracts (“forward contracts”) in the normal course of pursuing its investment objectives. These contracts are marked-to-market daily at the applicable translation rates. The Fund records realized gains or losses at the time the forward contract is closed. A forward contract is extinguished through a closing transaction or upon delivery of the currency or entering an off setting contract. Risks may arise upon entering these contracts from the potential inability of a counterparty to meet the terms of their contracts and from unanticipated movements in the value of a foreign currency relative to the U.S. dollar or other currencies. The Fund’s maximum risk of loss from counterparty credit risk related to forward foreign currency contracts is the fair value of the contract. The risk may be mitigated to some extent if a master netting arrangement between the Fund and the counterparty is in place and to the extent the Fund obtains collateral to cover the Fund’s exposure to the counterparty.

 

Credit Risk — Credit risk refers to the possibility that the issuer of the security or a counterparty in respect of a derivative instrument will not be able to satisfy its payment obligations to the Fund when due. Changes in an issuer’s credit rating or the market’s perception of an issuer’s creditworthiness may also affect the value of the Fund’s investment in that issuer. Securities rated in the four highest categories by the rating agencies are considered investment grade but they may also have some speculative characteristics. Investment grade ratings do not guarantee that bonds will not lose value or default. In addition, the credit quality of securities may be lowered if an issuer’s financial condition changes.

 

Coronavirus (COVID-19) Pandemic — The global outbreak of COVID-19 (commonly referred to as “coronavirus”) has disrupted economic markets and the prolonged economic impact is uncertain. Although vaccines for COVID-19 are available, the ultimate economic fallout from the pandemic, and the long-term impact on economies, markets, industries and individual companies are not known. The operational and financial performance of individual companies and the market in general depends on future developments, including the duration and spread of the outbreak and the pace of recovery which may vary from market to market, and such uncertainty may in turn adversely affect the value and liquidity of the Fund’s investments, impair the Fund’s ability to satisfy redemption requests, and negatively impact the Fund’s performance.

 

29

 

 

Campbell Systematic Macro Fund

 

Notes To Consolidated Financial Statements (Continued)

February 28, 2023 (Unaudited)

 

Ukraine-Russia Conflict Risk — In February 2022, Russia commenced a military attack on Ukraine. The outbreak of hostilities between the two countries and the threat of wider-spread hostilities could have a severe adverse effect on the region and global economies, including significant negative impacts on the markets for certain securities and commodities, such as oil and natural gas. In addition, sanctions imposed on Russia by the United States and other countries, and any sanctions imposed in the future, could have a significant adverse impact on the Russian economy and related markets. The price and liquidity of investments may fluctuate widely as a result of the conflict and related events. How long the armed conflict and related events will last cannot be predicted. These tensions and any related events could have a significant impact on Fund performance and the value of Fund investments, even beyond any direct exposure the Fund may have to issuers located in these countries.

 

Cash and Cash Equivalents — Cash and cash equivalents are valued at cost plus accrued interest, which approximates market value.

 

Other — In the normal course of business, the Fund may enter into contracts that provide general indemnifications. The Fund’s maximum exposure under these arrangements is dependent on claims that may be made against the Fund in the future, and, therefore, cannot be estimated; however, the Fund expects the risk of material loss from such claims to be remote.

 

2. Investment Adviser and Other Services

 

Campbell & Company Investment Adviser LLC (“Campbell” or the “Adviser”) serves as the investment adviser to the Fund. The Adviser is a wholly-owned subsidiary of Campbell & Company, L.P. The Fund compensates the Adviser for its services at an annual rate based on the Fund’s average daily net assets (the “Advisory Fee”), payable on a monthly basis in arrears, as shown in the following table.

 

Prior to May 29, 2020, Equinox Institutional Asset Management, LP (“Equinox”) served as adviser to the Predecessor Fund and Campbell served as a sub-adviser to the Predecessor Fund. Equinox was entitled to an advisory fee from the Predecessor Fund at the same rate payable to Campbell as Adviser to the Fund. Equinox, not the Predecessor Fund, paid a sub-advisory fee to Campbell.

 

The Adviser has contractually agreed to waive advisory fees and/or reimburse expenses to the extent that total annual Fund operating expenses (excluding certain items discussed below) exceed the rate (“Expense Cap”) shown in the following table of the Fund’s average daily net assets. In determining the Adviser’s obligation to waive advisory fees and/or reimburse expenses, the following expenses are not taken into account and could cause total annual Fund operating expenses to exceed the Expense Cap as applicable: acquired fund fees and expenses, brokerage commissions, extraordinary expenses, interest and taxes. This contractual limitation is in effect until December 31, 2023 and may not be terminated without the approval of the Board. The Adviser may discontinue this arrangement at any time after December 31, 2023.

 

 

Expense Cap

Advisory Fee

Class A*

Class C

Class I

1.64%

2.00%

2.75%

1.75%

 

*

Effective January 15, 2021, the outstanding Class P Shares of the Fund were converted into Class A Shares of the Fund. Prior to that date, the Adviser had contractually agreed maintain an Expense Cap for Class P Shares of the Fund of 2.00%.

 

Prior to May 29, 2020, Equinox and Campbell had contractually agreed to reduce their advisory fees and/or reimburse certain expenses of the Predecessor Fund, to ensure that the Predecessor Fund’s total annual operating expenses, excluding (i) taxes, (ii) interest, (iii) extraordinary items, (iv) acquired fund fees and expenses, and (v) brokerage commissions, did not exceed, on an annual basis, 2.14% with respect to Class A shares, 2.89% with respect to Class C shares, and 1.89% with respect to Class I shares of the Predecessor Fund’s average daily net assets.

 

30

 

 

Campbell Systematic Macro Fund

 

Notes To Consolidated Financial Statements (Continued)

February 28, 2023 (Unaudited)

 

During the current fiscal period, investment advisory fees accrued, waived and/or reimbursed by the Adviser were as follows:

 

Gross
Advisory Fees

Waivers and/or
Reimbursements

Net
Advisory Fees

$6,101,147

$(326,295)

$5,774,852

 

If at any time the Fund’s total annual Fund operating expenses for a year are less than the Expense Cap, the Adviser is entitled to reimbursement by the Fund of the advisory fees forgone and other payments remitted by the Adviser to the Fund within three years from the date on which such waiver or reimbursement was made, provided such reimbursement does not cause the Fund to exceed the Expense Cap that was in effect at the time of the waiver or reimbursement.

 

As of the end of the reporting period, the Fund had amounts available for recoupment as follows:

 

Expiration

August 31,
2023

August 31,
2024

August 31,
2025

August 31,
2026

Total

$74,409

$438,636

$392,091

$326,295

$839,340

 

U.S. Bancorp Fund Services, LLC, doing business as U.S. Bank Global Fund Services (“Fund Services”), serves as administrator for the Fund. For providing administrative and accounting services, Fund Services is entitled to receive a monthly fee, subject to certain minimum and out of pocket expenses.

 

Fund Services serves as the Fund’s transfer and dividend disbursing agent. For providing transfer agent services, Fund Services is entitled to receive a monthly fee, subject to certain minimum and out of pocket expenses.

 

U.S. Bank, N.A. (the “Custodian”) provides certain custodial services to the Fund. The Custodian is entitled to receive a monthly fee, subject to certain minimum and out of pocket expenses.

 

Quasar Distributors, LLC (the “Distributor”), a wholly-owned broker-dealer subsidiary of Foreside Financial Group, LLC, serves as the principal underwriter and distributor of the Fund’s shares pursuant to a Distribution Agreement with RBB.

 

The Board has adopted a Plan of Distribution (the “Plan”) for the Class A Shares and Class C Shares of the Fund pursuant to Rule 12b-1 under the 1940 Act. Under the Plan, the Distributor is entitled to receive from the Fund a distribution fee with respect to the Shares, which is accrued daily and paid monthly, of up to 0.25% on an annualized basis of the average daily net assets of the Class A Shares and up to 1.00% on an annualized basis of the average daily net assets of the Class C Shares. The actual amount of such compensation under the Plan is agreed upon by the Board and by the Distributor. Because these fees are paid out of each Fund’s assets on an ongoing basis, over time these fees will increase the cost of your investment and may cost you more than paying other types of sales charges. Amounts paid to the Distributor under the Plan may be used by the Distributor to cover expenses that are related to (i) the sale of the Shares, (ii) ongoing servicing and/or maintenance of the accounts of shareholders, and (iii) sub-transfer agency services, subaccounting services or administrative services related to the sale of the Shares, all as set forth in the Fund’s 12b-1 Plan.

 

For compensation amounts paid to Fund Services and the Custodian, please refer to the Consolidated Statement of Operations.

 

31

 

 

Campbell Systematic Macro Fund

 

Notes To Consolidated Financial Statements (Continued)

February 28, 2023 (Unaudited)

 

3. Director and Officer Compensation

 

The Directors of the Company receive an annual retainer and meeting fees for meetings attended. An employee of Vigilant Compliance, LLC serves as Chief Compliance Officer of the Company. Vigilant Compliance, LLC is compensated for the services provided to the Company. Employees of RBB serve as President, Chief Financial Officer, Chief Operating Officer, Secretary and Director of Marketing & Business Development of the Company. They are compensated by the Company for services provided. Certain employees of Fund Services serve as officers of the Company. They are not compensated by the Fund or the Company. For Director and Officer compensation amounts, please refer to the Consolidated Statement of Operations.

 

4. Purchases and Sales of Investment Securities

 

During the current fiscal period, there were no purchases and sales of investment securities (excluding short-term investments and derivative transactions) or long-term U.S. Government securities by the Fund.

 

5. Federal Income Tax Information

 

The Fund has followed the authoritative guidance on accounting for and disclosure of uncertainty in tax positions, which requires the Fund to determine whether a tax position is more likely than not to be sustained upon examination, including resolution of any related appeals or litigation processes, based on the technical merits of the position. The Fund has determined that there was no effect on the consolidated financial statements from following this authoritative guidance. In the normal course of business, the Fund is subject to examination by federal, state and local jurisdictions, where applicable, for tax years for which applicable statutes of limitations have not expired.

 

As of August 31, 2022, the federal tax cost and aggregate gross unrealized appreciation and depreciation of investments held by the Fund were as follows(a):

 

Federal Tax
Cost

Unrealized
Appreciation

Unrealized
(Depreciation)

Net
Unrealized
Appreciation/
(Depreciation)

$575,071,353

$30,680,816

$(40,460,779)

$(9,779,963)

 

 

(a)

The difference between the book basis and tax basis cost and aggregate gross unrealized appreciation and depreciation of investments is attributable primarily to futures not regulated by Section 1256 of the Internal Revenue Code and timing difference related to taxable income from a wholly owned controlled foreign corporation.

 

Distributions to shareholders, if any, from net investment income and realized gains are determined in accordance with federal income tax regulations, which may differ from net investment income and realized gains recognized for financial reporting purposes. Accordingly, the character of distributions and composition of net assets for tax purposes may differ from those reflected in the accompanying consolidated financial statements. To the extent these differences are permanent, such amounts are reclassified within the capital accounts based on the tax treatment; temporary differences do not require such reclassification.

 

The following permanent differences as of August 31, 2022, primarily attributable to investments in wholly-owned controlled foreign corporation were reclassified among the following accounts:

 

Distributable
Earnings/(Loss)

PAID-IN
CAPITAL

$(14,110,248)

$14,110,248

 

32

 

 

Campbell Systematic Macro Fund

 

Notes To Consolidated Financial Statements (Concluded)

February 28, 2023 (Unaudited)

 

As of August 31, 2022, the components of distributable earnings on a tax basis were as follows:

 

Undistributed
Ordinary
Income

Undistributed
Long-Term
Capital Gains

Capital
Loss
Carryforwards

Qualified
Late-Year Loss
Deferral

Other
Temporary
Differences

Unrealized
Appreciation/
(Depreciation)

$42,343,982

$30,737,246

$—

$—

$(2,861,646)

$(32,117,709)

 

The differences between the book and tax basis components of distributable earnings relate principally to the timing of recognition of income and gains of the Subsidiary for federal income tax purposes. Short-term and foreign currency gains are reported as ordinary income for federal income tax purposes.

 

The tax character of dividends and distributions paid during the fiscal year ended August 31, 2022 was as follows:

 

Ordinary
Income

Long-Term
Gains

Total

$8,660,018

$1,491,183

$10,151,201

 

Pursuant to federal income tax rules applicable to regulated investment companies, the Fund may elect to treat certain capital losses between November 1 and August 31 and late year ordinary losses ((i) ordinary losses between January 1 and August 31, and (ii) specified ordinary and currency losses between November 1 and August 31) as occurring on the first day of the following tax year. For the fiscal period ended August 31, 2022, any amount of losses elected within the tax return will not be recognized for federal income tax purposes until September 1, 2022. As of August 31, 2022, the Fund had no tax basis qualified late-year loss deferral.

 

6. New Accounting Pronouncements and Regulatory Updates

 

In June 2022, the FASB issued Accounting Standards Update 2022-03, which amends Fair Value Measurement (Topic 820): Fair Value Measurement of Equity Securities Subject to Contractual Sale Restrictions (“ASU 2022-03”). ASU 2022-03 clarifies guidance for fair value measurement of an equity security subject to a contractual sale restriction and establishes new disclosure requirements for such equity securities. ASU 2022-03 is effective for fiscal years beginning after December 15, 2023 and for interim periods within those fiscal years, with early adoption permitted. Management is currently evaluating the impact of these amendments on the financial statements.

 

7. Subsequent Events

 

Management has evaluated the impact of all subsequent events on the Fund through the date the consolidated financial statements were issued and has determined that there were no significant events requiring recognition or disclosure in the consolidated financial statements.

 

33

 

 

Campbell Systematic Macro Fund

 

Other Information

(Unaudited)

 

Proxy Voting

 

Policies and procedures that the Fund uses to determine how to vote proxies relating to portfolio securities as well as information regarding how the Fund voted proxies relating to portfolio securities for the most recent twelve-month period ended June 30 are available without charge, upon request, by calling 1-844-261-6488 and on the SEC website at http://www.sec.gov.

 

Quarterly Portfolio Schedules

 

The Company files a complete schedule of portfolio holdings with the SEC for the first and third fiscal quarters of each fiscal year (quarters ended November 30 and May 31) as an exhibit to its report on Form N-PORT. The Company’s Forms N-PORT are available on the SEC’s website at http://www.sec.gov.

 

34

 

 

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Investment Adviser
Campbell & Company Investment Adviser LLC
2850 Quarry Lake Drive
Baltimore, Maryland 21209

 

Administrator and Transfer Agent
U.S. Bancorp Fund Services, LLC
P.O. Box 701
Milwaukee, WI 53201

 

Principal Underwriter
Quasar Distributors, LLC
111 E Kilbourn Ave, Suite 2200
Milwaukee, WI 53202

 

Custodian
U.S. Bank, N.A.
1555 North Rivercenter Drive, Suite 302
Milwaukee, WI 53212

 

Independent Registered Public Accounting Firm
Ernst & Young LLP
One Commerce Square
2005 Market Street, Suite 700
Philadelphia, PA 19103

 

Legal Counsel
Faegre Drinker Biddle & Reath LLP
One Logan Square, Suite 2000
Philadelphia, PA 19103-6996

 

CSMF-SAR23

 

 

 

 

 

 

 

FREE MARKET U.S. EQUITY FUND
FREE MARKET INTERNATIONAL EQUITY FUND
FREE MARKET FIXED INCOME FUND

 

of

 

The RBB Fund, Inc.

 

 

Semi-Annual Report

 

February 28, 2023
(Unaudited)

 

 

 

 

 

 

 

 

 

 

 

 

This report is submitted for the general information of the shareholders of the Funds. It is not authorized for distribution unless preceded or accompanied by a current prospectus for the Funds.

 

 

FREE MARKET FUNDS

PERFORMANCE DATA

February 28, 2023 (Unaudited)

 

Free Market U.S. Equity Fund

 

 

Average Annual Total Returns for the Periods Ended February 28, 2023

 

Six
Months
(1)

1 Year

5 Years

10 Years

Since
Inception

Free Market U.S. Equity Fund

6.79%

-1.49%

7.59%

9.94%

8.78%(2)

Russell 2500® Index

4.40%

-5.42%

7.67%

9.96%

8.52%

Composite Index(3)

3.34%

-5.16%

7.52%

9.97%

7.82%

 

(1)

Not annualized.

(2)

The Fund commenced operations on December 31, 2007.

(3)

The Composite Index is comprised of the S&P 500® Index, Russell 1000® Value Index, Russell 2000® Index and Russell 2000® Value Index, each weighted 25%, respectively.

 

The performance data quoted represents past performance. Past performance is not indicative of future results. Investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher. Returns shown include the reinvestment of all dividends and other distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. For performance data current to the most recent month-end, please call 1-866-780-0357 ext. 3863. The Fund’s annual operating expense ratio, as stated in the current prospectus dated December 31, 2022, is 0.80% (included in the ratio is 0.24% attributable to acquired fund fees and expenses).

 

The Fund’s aggregate total return since inception is based on an increase in net asset value from $10.00 per share on December 31, 2007 (commencement of operations) to $20.76 per share on February 28, 2023.

 

Portfolio composition is subject to change.

 

The Free Market U.S. Equity Fund’s underlying funds invest in small-cap and micro-cap stocks, large-cap stocks and other equity securities. In addition to the ordinary risks of equity investing, small companies entail special risk. Small companies tend to have more risk than large companies. An investor in the Fund will incur the expenses of the underlying funds in addition to the Fund’s expenses. The foregoing is not intended to be a complete discussion of all risks associated with the investment strategies of the Fund.

 

1

 

 

FREE MARKET FUNDS

PERFORMANCE DATA (Continued)

February 28, 2023 (Unaudited)

 

Free Market International Equity Fund

 

 

Average Annual Total Returns for the Periods Ended February 28, 2023

 

Six
Months
(1)

1 Year

5 Years

10 Years

Since
Inception

Free Market International Equity Fund

11.32%

-3.65%

1.02%

4.61%

3.11%(2)

MSCI World (excluding U.S.) Index

11.41%

-3.75%

2.99%

4.77%

2.20%

Composite Index(3)

8.37%

-6.77%

0.94%

4.28%

2.27%

 

(1)

Not annualized.

(2)

The Fund commenced operations on December 31, 2007.

(3)

The Composite Index is comprised of the MSCI EAFE Index, MSCI EAFE Value Index, MSCI EAFE Small Company Index and MSCI Emerging Markets Free Index, each weighted 25%, respectively.

 

The performance data quoted represents past performance. Past performance is not indicative of future results. Investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher. Returns shown include the reinvestment of all dividends and other distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. For performance data current to the most recent month-end, please call 1-866-780-0357 ext. 3863. The Fund’s annual operating expense ratio, as stated in the current prospectus dated December 31, 2022, is 0.88% (included in the ratio is 0.32% attributable to acquired fund fees and expenses).

 

The Fund’s aggregate total return since inception is based on a decrease in net asset value from $10.00 per share on December 31, 2007 (commencement of operations) to $10.39 per share on February 28, 2023.

 

Portfolio composition is subject to change.

 

The Free Market International Equity Fund’s underlying funds invest in common stock, preferred stock, securities convertible into stocks and other equity securities issued by foreign companies. In addition to the ordinary risks of equity investing, foreign and small companies entail special risk. The return on foreign equities may be adversely affected by currency fluctuations. Emerging markets may be subject to social instability and lack of market liquidity. Small companies tend to have more risk than large companies. An investor in the Fund will incur the expenses of the underlying funds in addition to the Fund’s expenses. The foregoing is not intended to be a complete discussion of all risks associated with the investment strategies of the Fund.

 

2

 

 

FREE MARKET FUNDS

PERFORMANCE DATA (CONCLUDED)

February 28, 2023 (Unaudited)

 

Free Market Fixed Income Fund

 

 

Average Annual Total Returns for the Periods Ended February 28, 2023

 

Six
Months
(1)

1 Year

5 Years

10 Years

Since
Inception

Free Market Fixed Income Fund

-0.46%

-4.58%

0.39%

0.34%

1.09%(2)

FTSE World Government Bond Index 1-5 Years

-0.62%

-3.39%

0.80%

0.98%

1.65%

Composite Index(3)

-0.55%

-4.22%

0.89%

0.87%

1.71%

 

(1)

Not annualized.

(2)

The Fund commenced operations on December 31, 2007.

(2)

The Composite Index is comprised of the Three-Month Treasury Bill Index, Bloomberg Barclays Intermediate Government/Credit Bond Index, ICE BofA Merrill Lynch 1-3 Year US Government/Corporate Index and Bloomberg Barclays U.S. Capital Aggregate Bond Index, each weighted 25%, respectively.

 

The performance data quoted represents past performance. Past performance is not indicative of future results. Investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher. Returns shown include the reinvestment of all dividends and other distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. For performance data current to the most recent month-end, please call 1-866-780-0357 ext. 3863. The Fund’s annual operating expense ratio, as stated in the current prospectus dated December 31, 2022, is 0.68% (included in the ratio is 0.12% attributable to acquired fund fees and expenses).

 

The Fund’s aggregate total return since inception is based on a decrease in net asset value from $10.00 per share on December 31, 2007 (commencement of operations) to $9.66 per share on February 28, 2023.

 

Portfolio composition is subject to change.

 

The Free Market Fixed Income Fund’s underlying funds invest in fixed income securities. The underlying funds may invest their assets in bonds and other debt securities issued by domestic and foreign governments and companies. Debt instruments involve the risk that their prices will fall when interest rates rise, and they are subject to the risk that the borrower may default. In addition, the return on foreign debt securities may be adversely affected by currency fluctuations. An investor in the Fund will incur expenses of the underlying funds in addition to the Fund’s expenses. The foregoing is not intended to be a complete discussion of all risks associated with the investment strategies of the Fund.

 

3

 

 

FREE MARKET FUNDS

Fund Expense Examples

February 28, 2023 (Unaudited)

 

As a shareholder of the Fund(s), you incur two types of costs: (1) transaction costs, and (2) ongoing costs, including management fees, and other Fund expenses. These examples are intended to help you understand your ongoing costs (in dollars) of investing in the Fund(s) and to compare these costs with the ongoing costs of investing in other mutual funds.

 

These examples are based on an investment of $1,000 invested at the beginning of the six-month period from September 1, 2022 through February 28, 2023, and held for the entire period.

 

Actual Expenses

 

The first section of the accompanying table provides information about actual account values and actual expenses. You may use the information in this section, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first section under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.

 

Hypothetical EXAMPLES for Comparison Purposes

 

The second section of the accompanying table provides information about hypothetical account values and hypothetical expenses based on each Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in each Fund and other funds. To do so, compare these 5% hypothetical examples with the 5% hypothetical examples that appear in the shareholder reports of other funds.

 

The expenses shown in the accompanying table are meant to highlight your ongoing costs only and do not reflect any transactional costs. Therefore, the second section of the accompanying table is useful in comparing ongoing costs only and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.

 

 

Beginning
Account Value
September 1,
2022

Ending
Account Value
February 28,
2023

Expenses
Paid*

Annualized
Expense Ratio*

Actual
S
ix-Month
Total
Investment
Return for the
Portfolio

Actual

         

Free Market U.S. Equity Fund

$ 1,000.00

$ 1,067.90

$ 2.87

0.56%

6.79%

Free Market International Equity Fund

1,000.00

1,113.20

2.99

0.57%

11.32%

Free Market Fixed Income Fund

1,000.00

995.40

2.77

0.56%

-0.46%

Hypothetical (5% return before expenses)

         

Free Market U.S. Equity Fund

$ 1,000.00

$ 1,022.02

$ 2.81

0.56%

N/A

Free Market International Equity Fund

1,000.00

1021.97

2.86

0.57%

N/A

Free Market Fixed Income Fund

1,000.00

1,022.02

2.81

0.56%

N/A

 

*

Expenses are equal to each Fund’s annualized six-month expense ratio for the period September 1, 2022 through February 28, 2023, multiplied by the average account value over the period, multiplied by the number of days (181) in the most recent fiscal half-year, then divided by 365 to reflect the one half year period. The annualized expense ratios do not reflect fees and expenses associated with the underlying funds. If such fees and expenses had been included, the expenses would have been higher. Each Fund’s ending account values in the first section in the table is based on the actual six-month total investment return for each Fund for the period September 1, 2022 through February 28, 2023, The range of weighted expense ratios of the underlying funds held by the Funds, as stated in the underlying funds’ current prospectuses, were as follows:

 

FUNDS

RANGE OF WEIGHTED
EXPENSE RATIO

Free Market U.S. Equity Fund

0.00% - 0.08%

Free Market International Equity Fund

0.00% - 0.17%

Free Market Fixed Income Fund

0.00% - 0.04%

 

4

 

 

FREE MARKET FUNDS

FREE MARKET U.S. EQUITY FUND

 

Portfolio of Investments

February 28, 2023 (Unaudited)

 

   

Number
of Shares

   

Value

 

DOMESTIC EQUITY FUNDS — 99.9%

       

iShares Core S&P 500 ETF

    648,555     $ 258,105,433  

iShares MSCI USA Value Factor ETF

    3,233,565       303,082,048  

U.S. Large Cap Value Portfolio III (a)

    19,432,293       540,412,073  

U.S. Large Cap Value Series (b)

    2,825,615       192,311,388  

U.S. Large Company Portfolio (a)

    9,702,781       263,042,394  

U.S. Micro Cap Portfolio (c)

    21,636,778       535,726,633  

U.S. Small Cap Portfolio (c)

    12,801,214       535,218,738  

U.S. Small Cap Value Portfolio (c)

    21,005,399       888,108,274  

TOTAL DOMESTIC EQUITY FUNDS

       

(Cost $2,309,407,656)

            3,516,006,981  
                 

SHORT-TERM INVESTMENTS — 0.1%

       

STIT-Government & Agency Portfolio, 4.52%*

    2,719,774       2,719,774  

TOTAL SHORT-TERM INVESTMENTS

       

(Cost $2,719,774)

            2,719,774  

TOTAL INVESTMENTS — 100.0%

       

(Cost $2,312,127,430)

            3,518,726,755  

OTHER ASSETS IN EXCESS OF LIABILITIES — 0.0%

            1,209,223  

NET ASSETS — 100.0%

          $ 3,519,935,978  

 

 

 

 

Portfolio Holdings Summary Table

 

   

% of
Net Assets

   

Value

 

Domestic Equity Funds

    99.9 %   $ 3,516,006,981  

Short-Term Investments

    0.1 %     2,719,774  

Other Assets In Excess Of Liabilities

    0.0 %     1,209,223  

NET ASSETS

    100.0 %   $ 3,519,935,978  

 

 

*

Seven-day yield as of February 28, 2023.

(a)

A portfolio of Dimensional Investment Group Inc.

(b)

A portfolio of DFA Investment Trust Company.

(c)

A portfolio of DFA Investment Dimensions Group Inc.

 

ETF Exchange-Traded Fund

 

Portfolio holdings are subject to change at any time.

 

5

 

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

 

 

FREE MARKET FUNDS

FREE MARKET INTERNATIONAL EQUITY FUND

 

Portfolio of Investments

February 28, 2023 (Unaudited)

 

   

Number of
Shares/
Beneficial
Interest

   

Value

 

INTERNATIONAL EQUITY FUNDS — 99.9%

       

Canadian Small Company Series (a)

    2,108,704     $ 34,083,995  

DFA International Small Cap Value Portfolio (b)

    54,895,567       1,098,460,291  

DFA International Value Portfolio III (c)

    26,202,260       428,668,966  

DFA International Value Series (a)

    13,331,142       395,268,373  

Emerging Markets Small Cap Portfolio (b)

    6,323,659       131,532,099  

Emerging Markets Value Portfolio, Class Institutional (b)

    4,850,967       130,588,026  

iShares Core MSCI EAFE ETF

    2,070,385       134,637,137  

iShares Core MSCI Emerging Markets ETF

    2,909,255       137,753,224  

iShares MSCI EAFE Small-Cap ETF

    3,966,023       234,867,882  

TOTAL INTERNATIONAL EQUITY FUNDS

       

(Cost $2,459,809,340)

            2,725,859,993  
                 

SHORT-TERM INVESTMENTS — 0.1%

       

STIT-Government & Agency Portfolio, 4.52%*

    3,322,935       3,322,935  

TOTAL SHORT-TERM INVESTMENTS

       

(Cost $3,322,935)

            3,322,935  

TOTAL INVESTMENTS — 100.0%

       

(Cost $2,463,132,275)

            2,729,182,928  

OTHER ASSETS IN EXCESS OF LIABILITIES — 0.0%

            743,627  

NET ASSETS — 100.0%

          $ 2,729,926,555  

 

 

 

 

Portfolio Holdings Summary Table

 

   

% of
Net Assets

   

Value

 

International Equity Funds

    99.9 %   $ 2,725,859,993  

Short-Term Investments

    0.1 %     3,322,935  

Other Assets In Excess of Liabilities

    0.0 %     743,627  

NET ASSETS

    100.0 %   $ 2,729,926,555  

 

 

*

Seven-day yield as of February 28, 2023.

(a)

A portfolio of DFA Investment Trust Company.

(b)

A portfolio of DFA Investment Dimensions Group Inc.

(c)

A portfolio of Dimensional Investment Group Inc.

 

ETF Exchange-Traded Fund

 

Portfolio holdings are subject to change at any time.

 

6

 

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

 

 

FREE MARKET FUNDS

FREE MARKET FIXED INCOME FUND

 

Portfolio of Investments

February 28, 2023 (Unaudited)

 

   

Number
of Shares

   

Value

 

FIXED INCOME FUNDS — 99.4%

       

DFA One-Year Fixed Income Portfolio (a)

    38,781,096     $ 390,525,637  

DFA Two-Year Global Fixed Income Portfolio (a)

    70,543,440       673,689,855  

iShares 1-3 Year Treasury Bond ETF

    1,318,454       106,781,589  

iShares 3-7 Year Treasury Bond ETF

    1,404,212       160,782,274  

iShares Core International Aggregate Bond ETF

    8,411,627       403,253,398  

iShares Intermediate-Term Corporate Bond ETF

    3,240,530       161,605,231  

iShares Short-Term Corporate Bond ETF

    12,946,291       646,278,847  

iShares TIPS Bond ETF

    1,261,194       135,174,773  

TOTAL FIXED INCOME FUNDS

       

(Cost $2,861,939,442)

            2,678,091,604  
                 

SHORT-TERM INVESTMENTS — 0.8%

       

STIT-Government & Agency Portfolio, 4.52%*

    21,644,024       21,644,024  

TOTAL SHORT-TERM INVESTMENTS

       

(Cost $21,644,024)

            21,644,024  

TOTAL INVESTMENTS — 100.2%

       

(Cost $2,883,583,466)

            2,699,735,628  

LIABILITIES IN EXCESS OF OTHER ASSETS — (0.2)%

            (4,884,246 )

NET ASSETS — 100.0%

          $ 2,694,851,382  

 

 

 

 

Portfolio Holdings Summary Table

 

   

% of
Net Assets

   

Value

 

Fixed Income Funds

    99.4 %   $ 2,678,091,604  

Short-Term Investments

    0.8 %     21,644,024  

Liabilities In Excess Of Other Assets

    (0.2 )%     (4,884,246 )

NET ASSETS

    100.0 %   $ 2,694,851,382  

 

 

*

Seven-day yield as of February 28, 2023.

(a)

A portfolio of DFA Investment Dimensions Group Inc.

 

ETF Exchange-Traded Fund

 

Portfolio holdings are subject to change at any time.

 

7

 

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

 

 

FREE MARKET FUNDS

Statements of Assets and Liabilities

February 28, 2023 (Unaudited)

 

   

Free Market
U.S. Equity
Fund

   

Free Market
International
Equity Fund

   

Free Market
Fixed Income
Fund

 

ASSETS

                       

Investments in non-affiliated funds, at value (cost $2,309,407,655, $2,459,809,341 and $2,861,939,443, respectively)

  $ 3,516,006,981     $ 2,725,859,994     $ 2,678,091,605  

Short-term investments, at value (cost $2,719,774, $3,322,935 and $21,644,024, respectively)

    2,719,774       3,322,935       21,644,024  

Receivables for:

                       

Capital shares sold

    4,391,527       3,414,200       3,698,681  

Prepaid expenses and other assets

    240,982       171,226       256,032  

Total assets

    3,523,359,264       2,732,768,355       2,703,690,342  

LIABILITIES

                       

Payables for:

                       

Capital shares redeemed

    1,505,070       1,330,807       1,265,535  

Advisory fees

    1,358,472       1,050,887       1,022,843  

Administration and accounting fees

    259,132       198,600       211,595  

Transfer agent fees

    60,117       45,002       49,388  

Other accrued expenses and liabilities

    240,495       216,504       6,289,599  

Total liabilities

    3,423,286       2,841,800       8,838,960  

Net assets

  $ 3,519,935,978     $ 2,729,926,555     $ 2,694,851,382  
                         

NET ASSETS CONSIST OF:

                       

Par value

  $ 169,567     $ 262,766     $ 279,054  

Paid-in capital

    2,194,207,864       2,440,407,269       2,885,084,860  

Total distributable earnings/(loss)

    1,325,558,547       289,256,520       (190,512,532 )

Net assets

  $ 3,519,935,978     $ 2,729,926,555     $ 2,694,851,382  
                         

CAPITAL SHARES:

                       

Net assets

  $ 3,519,935,978     $ 2,729,926,555     $ 2,694,851,382  

Shares outstanding ($0.001 par value, 700,000,000 shares authorized)

    169,567,379       262,766,111       279,053,715  

Net asset value, offering and redemption price per share

  $ 20.76     $ 10.39     $ 9.66  

 

 

8

 

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

 

 

FREE MARKET FUNDS

Statements of Operations

FOR THE Six Months ENDED February 28, 2023 (Unaudited)

 

   

Free Market
U.S. Equity
Fund

   

Free Market
International
Equity Fund

   

Free Market
Fixed Income
Fund

 

INVESTMENT INCOME

                       

Dividends from non-affiliated funds

  $ 27,455,793     $ 32,080,102     $ 36,041,064  

Total investment income

    27,455,793       32,080,102       36,041,064  
                         

EXPENSES

                       

Advisory fees (Note 2)

    8,205,492       6,153,672       6,580,667  

Administration and accounting fees (Note 2)

    362,071       276,530       322,399  

Director fees

    155,388       117,045       129,809  

Legal fees

    125,581       92,347       102,517  

Officer fees

    115,756       87,603       102,873  

Transfer agent fees (Note 2)

    79,267       66,747       72,262  

Custodian fees (Note 2)

    48,480       38,703       39,511  

Printing and shareholder reporting fees

    41,127       36,233       37,809  

Registration and filing fees

    20,603       20,429       18,905  

Audit and tax service fees

    18,441       19,347       18,543  

Other expenses

    89,632       140,140       64,256  

Total expenses

    9,261,838       7,048,796       7,489,551  

Net investment income/(loss)

    18,193,955       25,031,306       28,551,513  
                         

NET REALIZED AND UNREALIZED GAIN/(LOSS) FROM INVESTMENTS

                       

Net realized gain/(loss) from:

                       

Non-affiliated funds

    2,248,435       (1,808,897 )     (4,675,738 )

Capital gain distributions from non-affiliated fund investments

    112,189,127       2,393,907       97,941  

Net change in unrealized appreciation/(depreciation) on:

                       

Non-affiliated funds

    90,944,951       253,884,377       (39,075,948 )

Net realized and unrealized gain/(loss) on investments

    205,382,513       254,469,387       (43,653,745 )

NET INCREASE/(DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS

  $ 223,576,468     $ 279,500,693     $ (15,102,232 )

 

 

9

 

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

 

 

FREE MARKET U.S. EQUITY FUND

Statements of Changes in Net Assets

 

   

For the
six months Ended
February 28. 2023
(Unaudited)

   

For the
Year Ended
August 31, 2022

 

INCREASE/(DECREASE) IN NET ASSETS FROM OPERATIONS:

               

Net investment income/(loss)

  $ 18,193,955     $ 32,200,297  

Net realized gain/(loss) from investments

    114,437,562       273,761,097  

Net change in unrealized appreciation/(depreciation) on investments

    90,944,951       (532,671,620 )

Net increase/(decrease) in net assets resulting from operations

    223,576,468       (226,710,226 )
                 

DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS:

               

Total distributable earnings

    (220,809,118 )     (160,049,321 )

Net decrease in net assets from dividends and distributions to shareholders

    (254,085,784 )     (160,049,321 )
                 

CAPITAL SHARE TRANSACTIONS:

               

Proceeds from shares sold

    230,395,117       505,375,262  

Reinvestment of distributions

    253,858,591       159,919,251  

Shares redeemed

    (226,662,925 )     (620,998,823 )

Net increase/(decrease) in net assets from capital shares

    257,590,783       44,295,690  

Total increase/(decrease) in net assets

    227,081,467       (342,463,857 )
                 

NET ASSETS:

               

Beginning of period

    3,292,854,511       3,635,318,368  

End of period

  $ 3,519,935,978     $ 3,292,854,511  
                 

SHARES TRANSACTIONS:

               

Shares sold

    11,055,097       22,341,943  

Dividends and distributions reinvested

    13,098,999       6,724,947  

Shares redeemed

    (10,887,252 )     (26,856,120 )

Net increase/(decrease) in shares outstanding

    13,266,844       2,210,770  

 

 

 

10

 

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

 

 

FREE MARKET INTERNATIONAL EQUITY FUND

Statements of Changes in Net Assets

 

   

For the
six months Ended
February 28. 2023
(Unaudited)

   

For the
Year Ended
August 31, 2022

 

INCREASE/(DECREASE) IN NET ASSETS FROM OPERATIONS:

               

Net investment income/(loss)

  $ 25,031,306     $ 79,767,694  

Net realized gain/(loss) from investments

    585,010       19,150,254  

Net change in unrealized appreciation/(depreciation) on investments

    253,884,377       (522,820,062 )

Net increase/(decrease) in net assets resulting from operations

    279,500,693       (423,902,114 )
                 

DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS:

               

Total distributable earnings

          (35,219,290 )

Net decrease in net assets from dividends and distributions to shareholders

    (86,538,910 )     (35,219,290 )
                 

CAPITAL SHARE TRANSACTIONS:

               

Proceeds from shares sold

    210,327,926       454,919,419  

Reinvestment of distributions

    86,521,788       35,204,207  

Shares redeemed

    (155,261,687 )     (317,838,272 )

Net increase/(decrease) in net assets from capital shares

    141,588,027       172,285,354  

Total increase/(decrease) in net assets

    334,549,810       (286,836,050 )
                 

NET ASSETS:

               

Beginning of period

    2,395,376,745       2,682,212,795  

End of period

  $ 2,729,926,555     $ 2,395,376,745  
                 

SHARES TRANSACTIONS:

               

Shares sold

    21,668,166       42,243,193  

Dividends and distributions reinvested

    8,874,030       3,107,167  

Shares redeemed

    (15,736,326 )     (28,689,507 )

Net increase/(decrease) in shares outstanding

    14,805,870       16,660,853  

 

 

 

11

 

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

 

 

FREE MARKET FIXED INCOME FUND

Statements of Changes in Net Assets

 

   

For the
six months Ended
February 28. 2023
(Unaudited)

   

For the
Year Ended
August 31, 2022

 

INCREASE/(DECREASE) IN NET ASSETS FROM OPERATIONS:

               

Net investment income/(loss)

  $ 28,551,513     $ 14,460,405  

Net realized gain/(loss) from investments

    (4,577,797 )     2,217,382  

Net change in unrealized appreciation/(depreciation) on investments

    (39,075,948 )     (207,628,479 )

Net increase/(decrease) in net assets resulting from operations

    (15,102,232 )     (190,950,692 )
                 

DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS:

               

Total distributable earnings

          (15,000,590 )

Net decrease in net assets from dividends and distributions to shareholders

    (31,271,661 )     (15,000,590 )
                 

CAPITAL SHARE TRANSACTIONS:

               

Proceeds from shares sold

    200,229,316       561,502,718  

Reinvestment of distributions

    31,267,525       14,991,009  

Shares redeemed

    (239,435,083 )     (441,988,903 )

Net increase/(decrease) in net assets from capital shares

    (7,938,242 )     134,504,824  

Total increase/(decrease) in net assets

    (54,312,135 )     (71,446,458 )
                 

NET ASSETS:

               

Beginning of period

    2,749,163,517       2,820,609,975  

End of period

  $ 2,694,851,382     $ 2,749,163,517  
                 

SHARES TRANSACTIONS:

               

Shares sold

    20,634,074       54,774,661  

Dividends and distributions reinvested

    3,251,380       1,463,991  

Shares redeemed

    (24,723,429 )     (43,490,265 )

Net increase/(decrease) in shares outstanding

    (837,975 )     12,748,387  

 

 

12

 

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

 

 

FREE MARKET FUNDS

FREE MARKET U.S. EQUITY FUND

 

Financial Highlights

 

Contained below is per share operating performance data for each share outstanding, total investment return/(loss), ratios to average net assets and other supplemental data for the respective periods. This information has been derived from information provided in the financial statements.

 

 

   

For the
Six months Ended
February 28, 2023
(Unaudited)

   

For the
Year Ended
August 31, 2022

   

For the
Year Ended
August 31, 2021

   

For the
Year Ended
August 31, 2020

   

For the
Year Ended
August 31, 2019

   

For the
Year Ended
August 31, 2018

 

Per Share Operating Performance

                                               

Net asset value, beginning of period

  $ 21.07     $ 23.59     $ 16.06     $ 16.90     $ 20.37     $ 17.60  

Net investment income/(loss)(1)

    0.11       0.21       0.21       0.17       0.17       0.15  

Net realized and unrealized gain/(loss) on investments

    1.20       (1.69 )     7.62       (2)      (2.73 )     3.34  

Net increase/(decrease) in net assets resulting from operations

    1.31       (1.48 )     7.83       0.17       (2.56 )     3.49  

Dividends and distributions to shareholders from:

                                               

Net investment income

    (0.21 )     (0.41 )     (0.08 )     (0.16 )     (0.15 )     (0.20 )

Net realized capital gains

    (1.41 )     (0.63 )     (0.22 )     (0.85 )     (0.76 )     (0.52 )

Total dividends and distributions to shareholders

    (1.62 )     (1.04 )     (0.30 )     (1.01 )     (0.91 )     (0.72 )

Net asset value, end of period

  $ 20.76     $ 21.07     $ 23.59     $ 16.06     $ 16.90     $ 20.37  

Total investment return/(loss)(3)

    6.79 %(5)     (6.77 )%     49.28 %     0.32 %     (12.09 )%     20.11 %
                                                 

Ratios/Supplemental Data

                                               

Net assets, end of period (000’s omitted)

  $ 3,519,936     $ 3,292,855     $ 3,635,318     $ 2,839,337     $ 2,899,018     $ 3,413,559  

Ratio of expenses to average net assets(4)

    0.56 %(6)     0.56 %     0.55 %     0.56 %     0.55 %     0.55 %

Ratio of net investment income/(loss) to average net assets(4)

    1.09 %(6)     0.92 %     1.05 %     1.05 %     0.96 %     0.76 %

Portfolio turnover rate

    2 %(5)     7 %     5 %     14 %     7 %     2 %

 

 

(1)

The selected per share data is calculated using the average shares outstanding method for the period.

(2)

Amount less than $(0.005) per share.

(3)

Total investment return/(loss) is calculated by assuming a purchase of shares on the first day and a sale of shares on the last day of each period reported and includes reinvestments of dividends and distributions, if any.

(4)

The Fund also will indirectly bear its prorated share of expenses of the underlying funds. Such expenses are not included in the calculation of this ratio.

(5)

Not Annualized.

(6)

Annualized.

 

13

 

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

 

 

FREE MARKET FUNDS

FREE MARKET INTERNATIONAL EQUITY FUND

 

Financial Highlights

 

Contained below is per share operating performance data for each share outstanding, total investment return/(loss), ratios to average net assets and other supplemental data for the respective periods. This information has been derived from information provided in the financial statements.

 

 

   

For the
Six months Ended
February 28, 2023
(Unaudited)

   

For the
Year Ended
August 31, 2022

   

For the
Year Ended
August 31, 2021

   

For the
Year Ended
August 31, 2020

   

For the
Year Ended
August 31, 2019

   

For the
Year Ended
August 31, 2018

 

Per Share Operating Performance

                                               

Net asset value, beginning of period

  $ 9.66     $ 11.60     $ 8.89     $ 9.09     $ 10.72     $ 10.97  

Net investment income/(loss)(1)

    0.10       0.34       0.18       0.19       0.21       0.22  

Net realized and unrealized gain/(loss) on investments

    0.97       (2.13 )     2.84       (0.13 )     (1.47 )     (0.10 )

Net increase/(decrease) in net assets resulting from operations

    1.07       (1.79 )     3.02       0.06       (1.26 )     0.12  

Dividends and distributions to shareholders from:

                                               

Net investment income

    (0.34 )     (0.15 )     (0.13 )     (0.14 )     (0.18 )     (0.26 )

Net realized capital gains

                (0.18 )     (0.12 )     (0.19 )     (0.11 )

Total dividends and distributions to shareholders

    (0.34 )     (0.15 )     (0.31 )     (0.26 )     (0.37 )     (0.37 )

Net asset value, end of period

  $ 10.39     $ 9.66     $ 11.60     $ 8.89     $ 9.09     $ 10.72  

Total investment return/(loss)(2)

    11.32 %(4)     (15.63 )%     34.43 %     0.30 %     (11.66 )%     0.98 %
                                                 

Ratios/Supplemental Data

                                               

Net assets, end of period (000’s omitted)

  $ 2,729,927     $ 2,395,377     $ 2,682,213     $ 2,153,655     $ 2,154,908     $ 2,312,863  

Ratio of expenses to average net assets(3)

    0.57 %(5)     0.56 %     0.56 %     0.58 %     0.58 %     0.57 %

Ratio of net investment income/(loss) to average net assets(3)

    2.01 %(5)     3.08 %     1.70 %     2.13 %     2.22 %     1.93 %

Portfolio turnover rate

    1 %(4)     2 %     5 %     28 %     4 %     3 %

 

 

(1)

The selected per share data is calculated using the average shares outstanding method for the period.

(2)

Total investment return/(loss) is calculated by assuming a purchase of shares on the first day and a sale of shares on the last day of each period reported and includes reinvestments of dividends and distributions, if any.

(3)

The Fund also will indirectly bear its prorated share of expenses of the underlying funds. Such expenses are not included in the calculation of this ratio.

(4)

Not Annualized.

(5)

Annualized.

  

14

 

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

 

 

FREE MARKET FUNDS

FREE MARKET FIXED INCOME FUND

 

Financial Highlights

 

Contained below is per share operating performance data for each share outstanding, total investment return/(loss), ratios to average net assets and other supplemental data for the respective periods. This information has been derived from information provided in the financial statements.

 

 

   

For the
Six months Ended
February 28, 2023
(Unaudited)

   

For the
Year Ended
August 31, 2022

   

For the
Year Ended
August 31, 2021

   

For the
Year Ended
August 31, 2020

   

For the
Year Ended
August 31, 2019

   

For the
Year Ended
August 31, 2018

 

Per Share Operating Performance

                                               

Net asset value, beginning of period

  $ 9.82     $ 10.56     $ 10.61     $ 10.47     $ 10.22     $ 10.36  

Net investment income/(loss)(1)

    0.10       0.05       0.03       0.15       0.27       0.10  

Net realized and unrealized gain/(loss) on investments

    (0.15 )     (0.74 )     (2)      0.16       0.24       (0.14 )

Net increase/(decrease) in net assets resulting from operations

    (0.05 )     (0.69 )     0.03       0.31       0.51       (0.04 )

Dividends and distributions to shareholders from:

                                               

Net investment income

    (0.11 )     (0.05 )     (0.05 )     (0.17 )     (0.26 )     (0.09 )

Net realized capital gains

                (0.03 )           (2)      (0.01 )

Return of capital

                (2)                   

Total dividends and distributions to shareholders

    (0.11 )     (0.05 )     (0.08 )     (0.17 )     (0.26 )     (0.10 )

Net asset value, end of period

  $ 9.66     $ 9.82     $ 10.56     $ 10.61     $ 10.47     $ 10.22  

Total investment return/(loss)(3)

    (0.46 )%(5)     (6.51 )%     0.31 %     2.98 %     5.11 %     (0.35 )%
                                                 

Ratios/Supplemental Data

                                               

Net assets, end of period (000’s omitted)

  $ 2,694,851     $ 2,749,164     $ 2,820,610     $ 2,307,909     $ 2,748,593     $ 2,867,621  

Ratio of expenses to average net assets(4)

    0.56 %(6)     0.56 %     0.56 %     0.56 %     0.55 %     0.55 %

Ratio of net investment income/(loss) to average net assets(4)

    2.14 %(6)     0.51 %     0.27 %     1.39 %     2.62 %     1.02 %

Portfolio turnover rate

    3 %(5)     3 %     2 %     46 %     3 %     0 %

 

 

(1)

The selected per share data is calculated using the average shares outstanding method for the period.

(2)

Amount less than $(0.005) per share.

(3)

Total investment return/(loss) is calculated by assuming a purchase of shares on the first day and a sale of shares on the last day of each period reported and includes reinvestments of dividends and distributions, if any.

(4)

The Fund also will indirectly bear its prorated share of expenses of the underlying funds. Such expenses are not included in the calculation of this ratio.

(5)

Not Annualized.

(6)

Annualized.

 

15

 

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

 

 

FREE MARKET FUNDS

Notes to Financial Statements

February 28, 2023 (Unaudited)

 

1.

Organization and Significant Accounting Policies

 

The RBB Fund, Inc. (“RBB” or the “Company”) was incorporated under the laws of the State of Maryland on February 29, 1988 and is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. RBB is a “series fund,” which is a mutual fund complex divided into separate portfolios. Each portfolio is treated as a separate entity for certain matters under the 1940 Act, and for other purposes, and a shareholder of one portfolio is not deemed to be a shareholder of any other portfolio. Currently, RBB has forty-eight separate investment portfolios, including the Free Market U.S. Equity Fund, the Free Market International Equity Fund and the Free Market Fixed Income Fund (each a “Fund” and collectively, the “Funds”). Each Fund operates as a “fund of funds” and commenced investment operations on December 31, 2007.

 

RBB has authorized capital of one hundred billion shares of common stock of which 90.623 billion shares are currently classified into two hundred and thirteen classes of common stock. Each class represents an interest in an active or inactive investment portfolio of the Company.

 

Free Market U.S. Equity and Free Market International Equity’s investment objective is to seek long-term capital appreciation. Free Market Fixed Income’s investment objective is to seek total return (consisting of current income and capital appreciation).

 

The Funds are investment companies and follow accounting and reporting guidance in the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946 “Financial Services - Investment Companies”.

 

The end of the reporting period for the Funds is February 28, 2023, and the period covered by these Notes to Financial Statements is the six months ended February 28, 2023 (the “current fiscal period”).

 

Investment Company Securities – The Funds pursue their investment objectives by investing primarily in shares of registered, open-end investment companies and exchange-traded funds (“ETFs”) (collectively, “underlying funds”). When a Fund invests in underlying funds it will indirectly bear its proportionate share of any fees and expenses payable directly by the underlying fund. In connection with its investments in other investment companies, a Fund will incur higher expenses, many of which may be duplicative. Furthermore, because the Funds invest in shares of ETFs and underlying funds their performances are directly related to the ability of the ETFs and underlying funds to meet their respective investment objectives, as well as the allocation of each Fund’s assets among the ETFs and underlying funds. Accordingly, the Funds’ investment performance will be influenced by the investment strategies of and risks associated with the ETFs and underlying funds in direct proportion to the amount of assets the Funds allocate to the ETFs and underlying funds utilizing such strategies. As disclosed in the Portfolio of Investments, the Funds invest in a number of different underlying funds, including underlying funds that are portfolios of DFA Investment Dimensions Group Inc., and Dimensional Investment Group Inc. (collectively, “DFA Underlying Funds”) and iShares by BlackRock (“iShares Underlying Funds”). Information about DFA Underlying Funds and iShares Underlying Funds’ risks may be found in such DFA Underlying Funds’ and iShares Underlying Funds’ annual or semiannual report to shareholders, which can be found at us.dimensional.com and iShares.com, respectively. Additional information about derivatives related risks, if applicable, may also be found in each such DFA Underlying Fund or iShares Underlying Funds’ annual or semiannual report to shareholders. The annual and semiannual reports to shareholders for the underlying funds may also be found by visiting the Securities and Exchange Commission’s (“SEC”) website at http://www.sec.gov.

 

PORTFOLIO VALUATION — Investments in the underlying funds are valued at each Fund’s net asset value (“NAV”) determined as of the close of business on the New York Stock Exchange (generally 4:00 p.m. Eastern time). Investments in ETFs are valued at their last reported sale price. As required, some securities and assets may be valued at fair value as determined in good faith by the Company’s Board of Directors (the “Board”). Direct investments in fixed income securities are valued using an independent pricing service, which considers such factors as security prices, yields, maturities and ratings, and are deemed representative of market values at the close of the market.

 

The Board has adopted a pricing and valuation policy for use by each Fund and its Valuation Designee (as defined below) in calculating the Fund’s NAV. Pursuant to Rule 2a-5 under the 1940 Act, the Board has designated Matson Money, Inc. (“Matson Money” or the “Adviser”) as its “Valuation Designee” to perform all of the fair value determinations as well as to perform all of the responsibilities that may be performed by the Valuation Designee in accordance with Rule 2a-5. The Valuation Designee

 

16

 

 

FREE MARKET FUNDS

Notes to Financial Statements (Continued)

February 28, 2023 (Unaudited)

 

is authorized to make all necessary determinations of the fair values of portfolio securities and other assets for which market quotations are not readily available or if it is deemed that the prices obtained from brokers and dealers or independent pricing services are unreliable.

 

FAIR VALUE MEASUREMENTS — The inputs and valuation techniques used to measure the fair value of the Funds’ investments are summarized into three levels as described in the hierarchy below:

 

 

● Level 1 —

Prices are determined using quoted prices in active markets for identical securities.

 

 

● Level 2 —

Prices are determined using other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).

 

 

● Level 3 —

Prices are determined using significant unobservable inputs (including the Funds’ own assumptions in determining the fair value of investments).

 

The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

 

The following is a summary of the inputs used, as of the end of the reporting period, in valuing the Funds’ investments carried at fair value:

 

FREE MARKET U.S. EQUITY Fund

 

   

TOTAL

   

LEVEL 1

   

LEVEL 2

   

LEVEL 3

   

INVESTMENTS
MEASURED AT NET
ASSET VALUE*

 

Domestic Equity Funds

  $ 3,516,006,981     $ 3,323,695,593     $     $     $ 192,311,388  

Short-Term Investments

    2,719,774       2,719,774                    

Total Investments**

  $ 3,518,726,755     $ 3,326,415,367     $     $     $ 192,311,388  

 

*

Certain investments that are measured at fair value using the net asset value per share (or its equivalent) practical expedient have not been categorized in the fair value hierarchy. The fair value amounts presented in the table are intended to permit reconciliation of the fair value hierarchy to the amounts presented in the Statements of Assets and Liabilities.

 

**

Please refer to the Portfolio of Investments for further details.

 

FREE MARKET INTERNATIONAL EQUITY Fund

 

   

TOTAL

   

LEVEL 1

   

LEVEL 2

   

LEVEL 3

   

INVESTMENTS
MEASURED AT NET
ASSET VALUE*

 

International Equity Funds

  $ 2,725,859,993     $ 2,296,507,625     $     $     $ 429,352,368  

Short-Term Investments

    3,322,935       3,322,935                    

Total Investments**

  $ 2,729,182,928     $ 2,299,830,560     $     $     $ 429,352,368  

 

*

Certain investments that are measured at fair value using the net asset value per share (or its equivalent) practical expedient have not been categorized in the fair value hierarchy. The fair value amounts presented in the table are intended to permit reconciliation of the fair value hierarchy to the amounts presented in the Statements of Assets and Liabilities.

 

**

Please refer to the Portfolio of Investments for further details.

 

17

 

 

FREE MARKET FUNDS

Notes to Financial Statements (Continued)

February 28, 2023 (Unaudited)

 

FREE MARKET FIXED INCOME VI Fund

 

   

TOTAL

   

LEVEL 1

   

LEVEL 2

   

LEVEL 3

   

INVESTMENTS
MEASURED AT NET
ASSET VALUE*

 

Fixed Income Funds

  $ 2,678,091,604     $ 2,678,091,604     $     $     $  

Short-Term Investments

    21,644,024       21,644,024                    

Total Investments**

  $ 2,699,735,628     $ 2,699,735,628     $     $     $  

 

*

Certain investments that are measured at fair value using the net asset value per share (or its equivalent) practical expedient have not been categorized in the fair value hierarchy. The fair value amounts presented in the table are intended to permit reconciliation of the fair value hierarchy to the amounts presented in the Statements of Assets and Liabilities.

 

**

Please refer to the Portfolio of Investments for further details.

 

At the end of each quarter, management evaluates the classification of Levels 1, 2 and 3 assets and liabilities. Various factors are considered, such as changes in liquidity from the prior reporting period; whether or not a broker is willing to execute at the quoted price; the depth and consistency of prices from third party pricing services; and the existence of contemporaneous, observable trades in the market. Additionally, management evaluates the classification of Levels 1, 2 and 3 assets and liabilities on a quarterly basis for changes in listings or delistings on national exchanges.

 

Due to the inherent uncertainty of determining the fair value of investments that do not have a readily available market value, the fair value of the Funds’ investments may fluctuate from period to period. Additionally, the fair value of investments may differ significantly from the values that would have been used had a ready market existed for such investments and may differ materially from the values the Funds may ultimately realize. Further, such investments may be subject to legal and other restrictions on resale or otherwise less liquid than publicly traded securities.

 

For fair valuations using significant unobservable inputs, U.S. generally accepted accounting principles (“U.S. GAAP”) requires each Fund to present a reconciliation of the beginning to ending balances for reported market values that presents changes attributable to total realized and unrealized gains or losses, purchase and sales, and transfers in and out of Level 3 during the period. Transfers in and out between levels are based on values at the end of the period. A reconciliation of Level 3 investments is presented only when a Fund had an amount of Level 3 investments at the end of the reporting period that was meaningful in relation to its net assets. The amounts and reasons for all Level 3 transfers are disclosed if a Fund had an amount of total Level 3 transfers during the reporting period that was meaningful in relation to its net assets as of the end of the reporting period.

 

During the current fiscal period, the Funds had no Level 3 transfers.

 

USE OF ESTIMATES — The preparation of financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates and those differences could be significant.

 

INVESTMENT TRANSACTIONS, INVESTMENT INCOME AND EXPENSES — The Funds record security transactions based on trade date for financial reporting purposes. The cost of investments sold is determined by use of the specific identification method for both financial reporting and income tax purposes in determining realized gains and losses on investments. Interest income (including amortization of premiums and accretion of discounts) is accrued when earned. Dividend income is recorded on the ex-dividend date. Distributions received on securities that represent a return of capital or capital gain are recorded as a reduction of cost of investments and/or as a realized gain. Each Fund’s investment income, expenses (other than class specific expenses) and unrealized and realized gains and losses are allocated daily to each class of shares based upon the relative proportion of net assets of each class at the beginning of the day. Certain expenses are shared with The RBB Fund Trust (formerly, PENN Capital Funds Trust) (the “Trust”), a series trust of affiliated funds. Expenses incurred on behalf of a specific class, fund or fund family of

 

18

 

 

FREE MARKET FUNDS

Notes to Financial Statements (Continued)

February 28, 2023 (Unaudited)

 

the Company or Trust are charged directly to the class, fund or fund family (in proportion to net assets). Expenses incurred for all funds (such as director or professional fees) are charged to all funds in proportion to their average net assets of RBB, or in such other manner as the Board deems fair or equitable. Expenses and fees, including investment advisory and administration fees, are accrued daily and taken into account for the purpose of determining the NAV of the Funds. In addition to the net annual operating expenses that the Funds bear directly, the shareholders indirectly bear the Funds’ pro-rata expenses of the underlying mutual funds in which each Fund invests.

 

DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS — Dividends from net investment income and distributions from net realized capital gains, if any, are declared and paid at least annually to shareholders recorded on the ex-dividend date for each Fund with the exception of the Free Market Fixed Income Fund which declares and pays quarterly dividends from net investment income. Income dividends and capital gain distributions are determined in accordance with U.S. federal income tax regulations, which may differ from U.S. GAAP.

 

U.S. TAX STATUS — No provision is made for U.S. income taxes as it is each Fund’s intention to continue to qualify for and elect the tax treatment applicable to regulated investment companies under Subchapter M of the Internal Revenue Code of 1986, as amended, and make the requisite distributions to its shareholders which will be sufficient to relieve it from U.S. income and excise taxes.

 

MARKET RISK — The value of a Fund’s shares will fluctuate as a result of the movement of the overall stock market or the value of the underlying fund held by a Fund, and you could lose money.

 

CORONAVIRUS (COVID-19) PANDEMIC — The global outbreak of COVID-19 (commonly referred to as “coronavirus”) has disrupted economic markets and the prolonged economic impact is uncertain. Although vaccines for COVID-19 are available, the ultimate economic fallout from the pandemic, and the long-term impact on economies, markets, industries and individual issuers are not known. The operational and financial performance of the issuers of securities in which the Funds invest depends on future developments, including the duration and spread of the outbreak and the pace of recovery which may vary market to market, and such uncertainty may in turn adversely affect the value and liquidity of the Funds’ investments, impair the Funds’ ability to satisfy redemption requests, and negatively impact the Funds’ performance.

 

UKRAINE-RUSSIA CONFLICT RISK — In February 2022, Russia commenced a military attack on Ukraine. The outbreak of hostilities between the two countries and the threat of wider-spread hostilities could have a severe adverse effect on the region and global economies, including significant negative impacts on the markets for certain securities and commodities, such as oil and natural gas. In addition, sanctions imposed on Russia by the United States and other countries, and any sanctions imposed in the future, could have a significant adverse impact on the Russian economy and related markets. The price and liquidity of investments may fluctuate widely as a result of the conflict and related events. How long the armed conflict and related events will last cannot be predicted. These tensions and any related events could have a significant impact on Fund performance and the value of Fund investments, even beyond any direct exposure a Fund may have to issuers located in these countries.

 

CASH AND CASH EQUIVALENTS — Cash and cash equivalents are valued at cost plus accrued interest, which approximates market value.

 

OTHER — In the normal course of business, the Funds may enter into contracts that provide general indemnifications. Each Fund’s maximum exposure under these arrangements is dependent on claims that may be made against the Funds in the future, and, therefore, cannot be estimated; however, the Funds expect the risk of material loss for such claims is considered to be remote.

 

For additional information about the DFA Underlying Funds and iShares Underlying Funds’ valuation policies, refer to the DFA Underlying Funds and iShares Underlying Funds’ most recent annual or semiannual report which can be found at us.dimensional.com and iShares.com, respectively.

 

19

 

 

FREE MARKET FUNDS

Notes to Financial Statements (Continued)

February 28, 2023 (Unaudited)

 

2.

Investment Adviser and Other Services

 

Matson Money, Inc. serves as the investment adviser to each Fund. Each Fund compensates the Adviser for its services at an annual rate based on each Fund’s average daily net assets (the “Advisory Fee”), payable on a monthly basis in arrears, as shown in the following tables.

 

AVERAGE DAILY NET ASSETS

 

ADVISORY FEE

 

For the first $1 billion

    0.50 %

Over $1 billion to $3 billion

    0.49  

Over $3 billion to $5 billion

    0.48  

Over $5 billion

    0.47  

 

The Adviser has voluntarily agreed to waive advisory fees and/or reimburse expenses to the extent that total annual Fund operating expenses exceed the rates (“Expense Caps”) shown in the following table annually of each Fund’s average daily net assets. The Adviser may not recoup waived management fees or reimbursed expenses. The Adviser may discontinue these arrangements at any time.

 

FUND

 

EXPENSE CAPS

 

Free Market U.S. Equity Fund

    1.13 %

Free Market International Equity Fund

    1.35  

Free Market Fixed Income Fund

    1.00  

 

During the current fiscal period, investment advisory fees accrued were as follows:

 

FUND

 

ADVISORY FEES

 

Free Market U.S. Equity Fund

  $ 8,205,492  

Free Market International Equity Fund

    6,153,672  

Free Market Fixed Income Fund

    6,580,667  

 

U.S. Bancorp Fund Services, LLC, doing business as U.S. Bank Global Fund Services (“Fund Services”), serves as administrator for the Funds. For providing administrative and accounting services, Fund Services is entitled to receive a monthly fee, subject to certain minimum and out of pocket expenses.

 

Fund Services serves as the Funds’ transfer and dividend disbursing agent. For providing transfer agent services, Fund Services is entitled to receive a monthly fee, subject to certain minimum and out of pocket expenses.

 

U.S. Bank, N.A. (the “Custodian”) provides certain custodial services to the Funds. The Custodian is entitled to receive a monthly fee, subject to certain minimum and out of pocket expenses.

 

Vigilant Distributors, LLC (the “Distributor”), serves as the principal underwriter and distributor of the Funds’ shares pursuant to a Distribution Agreement with RBB.

 

For compensation amounts paid to Fund Services and the Custodian, please refer to the Statements of Operations.

 

3.

Director and Officer Compensation

 

The Directors of the Company receive an annual retainer and meeting fees for meetings attended. An employee of Vigilant Compliance, LLC serves as Chief Compliance Officer of the Company. Vigilant Compliance, LLC is compensated for the services provided to the Company. Employees of RBB serve as President, Chief Financial Officer, Chief Operating Officer, Secretary and Director of Marketing & Business Development of the Company. They are compensated for services provided. Certain employees of Fund Services serve as officers of the Company. They are not compensated by the Funds or the Company. For Director and Officer compensation amounts, please refer to the Statements of Operations.

 

20

 

 

FREE MARKET FUNDS

Notes to Financial Statements (Continued)

February 28, 2023 (Unaudited)

 

4.

Purchases and Sales of Investment Securities

 

During the current fiscal period, aggregate purchase and sales of investment securities (excluding short-term investments) of the Funds were as follows:

 

   

Purchases

   

Sales

 

Free Market U.S. Equity Fund

  $ 186,495,647     $ 51,831,563  

Free Market International Equity Fund

    109,084,608       25,000,000  

Free Market Fixed Income Fund

    69,143,864       78,915,444  

 

There were no purchases or sales of long-term U.S. Government securities during the current fiscal period.

 

5.

Federal Income Tax Information

 

The Funds have followed the authoritative guidance on accounting for and disclosure of uncertainty in tax positions, which requires the Funds to determine whether a tax position is more likely than not to be sustained upon examination, including resolution of any related appeals or litigation processes, based on the technical merits of the position. The Funds have determined that there was no effect on the financial statements from following this authoritative guidance. In the normal course of business, the Funds are subject to examination by federal, state and local jurisdictions, where applicable, for tax years for which applicable statutes of limitations have not expired.

 

As of August 31, 2022, the federal tax cost and aggregate gross unrealized appreciation and depreciation of investments held by each Fund were as follows:

 

   

FEDERAL
TAX COST

   

UNREALIZED
APPRECIATION

   

UNREALIZED
(DEPRECIATION)

   

NET UNREALIZED
APPRECIATION/
(DEPRECIATION)

 

Free Market U.S. Equity Fund

  $ 2,161,839,023     $ 1,164,755,951     $ (34,945,254 )     1,129,810,697  

Free Market International Equity Fund

    2,305,194,402       197,679,142       (109,380,408 )     88,298,734  

Free Market Fixed Income Fund

    2,894,150,687             (146,884,500 )     (146,884,500 )

 

Distributions to shareholders, if any, from net investment income and realized gains are determined in accordance with federal income tax regulations, which may differ from net investment income and realized gains recognized for financial reporting purposes. Accordingly, the character of distributions and composition of net assets for tax purposes may differ from those reflected in the accompanying financial statements. To the extent these differences are permanent, such amounts are reclassified within the capital accounts based on the tax treatment; temporary differences do not require such reclassification.

 

Permanent differences as of August 31, 2022, primarily attributable to equalization, short term dividend reclass, distribution reclass, and dividend reclass were reclassified among the following accounts:

 

   

DISTRIBUTABLE
EARNINGS/(LOSS)

   

Paid-In
Capital

 

Free Market U.S. Equity Fund

  $ (26,171,102 )   $ 26,171,102  

Free Market International Equity Fund

           

Free Market Fixed Income Fund

           

 

21

 

 

FREE MARKET FUNDS

Notes to Financial Statements (Concluded)

February 28, 2023 (Unaudited)

 

As of August 31, 2022, the components of distributable earnings on a tax basis were as follows:

 

   

Undistributed
Ordinary Income

   

Undistributed
Long-Term
Capital Gains

   

Capital Loss
CarryForwards

   

NET Unrealized
Appreciation/
(Depreciation)

 

Free Market U.S. Equity Fund

  $ 7,863,581     $ 218,393,585     $     $ 1,129,810,697  

Free Market International Equity Fund

    86,538,908             (78,542,905 )     88,298,734  

Free Market Fixed Income Fund

    3,970,625             (1,224,764 )     (146,884,500 )

 

The differences between the book and tax basis components of distributable earnings relate primarily to the timing of recognition of income and gains for federal income tax purposes and are inclusive of underlying partnerships and investments. Short-term and foreign currency gains, if applicable, are reported as ordinary income for federal income tax purposes.

 

The tax character of distributions paid during the fiscal year ended August 31, 2022 was as follows:

 

           

Ordinary
Income

   

Long-Term
Gains

   

RETURN OF
CAPITAL

   

Total

 

Free Market U.S. Equity Fund

          $ 62,775,363     $ 97,273,958     $     $ 160,049,321  

Free Market International Equity Fund

            35,219,290                 $ 35,219,290  

Free Market Fixed Income Fund

            15,000,590                 $ 15,000,590  

 

Distributions from net investment income and short-term capital gains are treated as ordinary income for federal income tax purposes.

 

The Funds are permitted to carry forward capital losses for an unlimited period. Capital losses that are carried forward will retain their character as either short-term or long-term capital losses. As of August 31, 2022, the Free Market International Equity Fund had $13,568,310 of short-term capital loss carryforwards and $64,974,595 of long-term capital loss carryforwards, the Free Market Fixed Income Fund had $1,224,764 of short-term capital loss carryforwards.

 

6.

NEW ACCOUNTING PRONOUNCEMENTS AND REGULATORY UPDATES

 

In June 2022, the FASB issued Accounting Standards Update 2022-03, which amends Fair Value Measurement (Topic 820): Fair Value Measurement of Equity Securities Subject to Contractual Sale Restrictions (“ASU 2022-03”). ASU 2022-03 clarifies guidance for fair value measurement of an equity security subject to a contractual sale restriction and establishes new disclosure requirements for such equity securities. ASU 2022-03 is effective for fiscal years beginning after December 15, 2023 and for interim periods within those fiscal years, with early adoption permitted. Management is currently evaluating the impact of these amendments on the financial statements.

 

7.

SUBSEQUENT EVENTS

 

Management has evaluated the impact of all subsequent events on the Funds through the date the financial statements were issued and has determined there were no subsequent events.

 

22

 

 

FREE MARKET FUNDS

Other Information

(Unaudited)

 

 

Proxy Voting

 

Policies and procedures that the Funds use to determine how to vote proxies relating to portfolio securities as well as information regarding how the Funds voted proxies relating to portfolio securities for the most recent twelve-month period ended June 30 are available without charge, upon request, by calling Free Market Funds at (866) 780-0357, ext. 3863 and on the SEC’s website at http://www.sec.gov.

 

Quarterly Portfolio Schedules

 

The Company files a complete schedule of portfolio holdings with the SEC for the first and third fiscal quarters of each fiscal year (quarters ended November 30 and May 31) as an exhibit to its report on Form N-PORT. The Company’s Form N-PORT is available on the SEC’s website at http://www.sec.gov.

 

23

 

 

[THIS PAGE INTENTIONALLY LEFT BLANK]

 

 

[THIS PAGE INTENTIONALLY LEFT BLANK]

 

 

[THIS PAGE INTENTIONALLY LEFT BLANK]

 

 

Investment Adviser

Matson Money, Inc.
5955 Deerfield Blvd.
Mason, OH 45040

 

Administrator and Transfer Agent

U.S. Bancorp Fund Services, LLC
P.O. Box 701
Milwaukee, WI 53201

 

Principal Underwriter

Vigilant Distributors, LLC
Gateway Corporate Center, Suite 216
223 Wilmington West Chester Pike
Chadds Ford, PA 19317

 

Custodian

U.S. Bank, N.A.
1555 North Rivercenter Drive, Suite 302
Milwaukee, WI 53212

 

Independent Registered Public Accounting Firm

PricewaterhouseCoopers LLP
Two Commerce Square, Suite 1800
2001 Market Street
Philadelphia, PA 19103-7042

 

Legal Counsel

Faegre Drinker Biddle & Reath LLP
One Logan Square, Suite 2000
Philadelphia, PA 19103-6996

 

FMFI-SAR23

 

 

 

 

 

 

MATSON MONEY U.S. EQUITY VI PORTFOLIO
MATSON MONEY INTERNATIONAL EQUITY VI PORTFOLIO
MATSON MONEY FIXED INCOME VI PORTFOLIO

 

of

 

The RBB Fund, Inc.

 

 

SEMI-Annual Report

 

February 28, 2023
(Unaudited)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

This report is submitted for the general information of the shareholders of the Portfolios. It is not authorized for distribution unless preceded or accompanied by a current prospectus for the Portfolios.

 

 

MATSON MONEY VI PORTFOLIOS

Performance Data

February 28, 2023 (Unaudited)

 

Matson Money U.S. Equity VI Portfolio

 

 

Average Annual Total Returns for the Periods Ended February 28, 2023

 

SIX
MONTHS
(1)

1 YEAR

5 YEARS

SINCE
INCEPTION

Matson Money U.S. Equity VI Portfolio

7.07%

-1.14%

7.56%

7.95%(2)

Russell 2500® Index

4.40%

-5.42%

7.67%

8.12%(4)

Composite Index(3)

3.34%

-5.16%

7.52%

8.71%(4)

 

(1)

Not annualized.

(2)

The Portfolio commenced operations on February 18, 2014.

(3)

The Composite Index is comprised of the S&P 500® Index, Russell 1000® Value Index, Russell 2000® Index and Russell 2000® Value Index, each weighted 25%, respectively.

(4)

Index information is not available as of the date of the inception of the Portfolio. The average annual returns for the Russell 2500® Index and the Composite Index are presented as of March 1, 2014. If the Portfolio had commenced operations on March 1, 2014, its average annual return since inception would have been 7.80%.

 

The performance data quoted represents past performance. Past performance is not indicative of future results. Investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher. Returns shown include the reinvestment of all dividends and other distributions and do not reflect taxes that a shareholder would pay on Portfolio distributions or on the redemption of Portfolio shares. For performance data current to the most recent month-end, please call 1-866-780-0357 ext. 3863. The Portfolio’s annual operating expense ratio, as stated in the current prospectus dated December 31, 2022 is 0.98% (included in the ratio is 0.25% attributable to acquired fund fees and expenses).

 

The Portfolio’s aggregate total return since inception is based on an increase in net asset value from $25.00 per share on February 18, 2014 (commencement of operations) to $30.70 per share on February 28, 2023.

 

Portfolio composition is subject to change.

 

The Matson Money U.S. Equity VI Portfolio’s underlying funds invest in small-cap and micro-cap stocks, large-cap stocks and other equity securities. In addition to the ordinary risks of equity investing, small companies entail special risk. Small companies tend to have more risk than large companies. An investor in the Portfolio will incur the expenses of the underlying funds in addition to the Portfolio’s expenses. The foregoing is not intended to be a complete discussion of all risks associated with the investment strategies of the Portfolio.

 

2

 

 

MATSON MONEY VI PORTFOLIOS

Performance Data (Continued)

February 28, 2023 (Unaudited)

 

Matson Money International Equity VI Portfolio

 

 

Average Annual Total Returns for the Periods Ended February 28, 2023

 

SIX
MONTHS
(1)

1 YEAR

5 YEARS

SINCE
INCEPTION

Matson Money International Equity VI Portfolio

11.12%

-3.85%

0.91%

2.77%(2)

MSCI World (excluding U.S.) Index

11.41%

-3.75%

2.99%

3.97%(4)

Composite Index(3)

8.37%

-6.77%

0.94%

3.71%(4)

 

(1)

Not annualized.

(2)

The Portfolio commenced operations on February 18, 2014.

(3)

The Composite Index is comprised of the MSCI EAFE Index, MSCI EAFE Value Index, MSCI EAFE Small Company Index, and MSCI Emerging Markets Index, each weighted 25%, respectively.

(4)

Index information is not available as of the date of the inception of the Portfolio. The average annual returns for the MSCI World (excluding U.S.) Index and the Composite Index are presented as of March 1, 2014. If the Portfolio had commenced operations on March 1, 2014, its average annual return since inception would have been 2.63%.

 

The performance data quoted represents past performance. Past performance is not indicative of future results. Investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher. Returns shown include the reinvestment of all dividends and other distributions and do not reflect taxes that a shareholder would pay on Portfolio distributions or on the redemption of Portfolio shares. For performance data current to the most recent month-end, please call 1-866-780-0357 ext. 3863. The Portfolio’s annual operating expense ratio, as stated in the current prospectus dated December 31, 2022 is 1.15% (included in the ratio is 0.35% attributable to acquired fund fees and expenses).

 

The Portfolio’s aggregate total return since inception is based on a decrease in net asset value from $25.00 per share on February 18, 2014 (commencement of operations) to $23.91 per share on February 28, 2023.

 

Portfolio composition is subject to change.

 

The Matson Money International Equity VI Portfolio’s underlying funds invest in common stock, preferred stock, securities convertible into stocks and other equity securities issued by foreign companies. In addition to the ordinary risks of equity investing, foreign and small companies entail special risk. The return on foreign equities may be adversely affected by currency fluctuations. Emerging markets may be subject to social instability and lack of market liquidity. Small companies tend to have more risk than large companies. An investor in the Portfolio will incur the expenses of the underlying funds in addition to the Portfolio’s expenses. The foregoing is not intended to be a complete discussion of all risks associated with the investment strategies of the Portfolio.

 

3

 

 

MATSON MONEY VI PORTFOLIOS

Performance Data (Concluded)

February 28, 2023 (Unaudited)

 

Matson Money Fixed Income VI Portfolio

 

 

Average Annual Total Returns for the Periods Ended February 28, 2023

 

SIX
MONTHS
(1)

1 YEAR

5 YEARS

SINCE
INCEPTION

Matson Money Fixed Income VI Portfolio

-0.65%

-4.99%

0.15%

0.16%(2)

FTSE World Government Bond Index 1-5 Years

-0.62%

-3.39%

0.80%

0.98%(4)

Composite Index(3)

-0.55%

-4.22%

0.89%

0.96%(4)

 

(1)

Not annualized.

(2)

The Portfolio commenced operations on February 18, 2014.

(3)

The Composite Index is comprised of the Three-Month Treasury Bill Index, Bloomberg Barclays Capital Intermediate Government Bond Index, ICE BofA Merrill Lynch 1-3 Year US Government/Corporate Index and Bloomberg Barclays U.S. Aggregate Bond Index, each weighted 25%, respectively.

(4)

Index information is not available as of the date of the inception of the Portfolio. The average annual returns for the FTSE World Government Bond Index 1-5 Years (formerly known as the Citigroup World Govt. Bond 1-5 Year Currency Hedged U.S. Dollar Index), and the Composite Index are presented as of March 1, 2014. If the Portfolio had commenced operations on March 1, 2014, its average annual return since inception would have been 0.15%.

 

The performance data quoted represents past performance. Past performance is not indicative of future results. Investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher. Returns shown include the reinvestment of all dividends and other distributions and do not reflect taxes that a shareholder would pay on Portfolio distributions or on the redemption of Portfolio shares. For performance data current to the most recent month-end, please call 1-866-780-0357 ext. 3863. The Portfolio’s annual operating expense ratio, as stated in the current prospectus dated December 31, 2022 is 0.85% (included in the ratio is 0.12% attributable to acquired fund fees and expenses).

 

The Portfolio’s aggregate total return since inception is based on a decrease in net asset value from $25.00 per share on February 18, 2014 (commencement of operations) to $23.23 per share on February 28, 2023.

 

Portfolio composition is subject to change.

 

The Matson Money Fixed Income VI Portfolio’s underlying funds invest in fixed income securities. The underlying funds may invest their assets in bonds and other debt securities issued by domestic and foreign governments and companies. Debt instruments involve the risk that their prices will fall when interest rates rise, and they are subject to the risk that the borrower may default. In addition, the return on foreign debt securities may be adversely affected by currency fluctuations. An investor in the Portfolio will incur expenses of the underlying funds in addition to the Portfolio’s expenses. The foregoing is not intended to be a complete discussion of all risks associated with the investment strategies of the Portfolio.

 

4

 

 

MATSON MONEY VI PORTFOLIOS

Fund Expense ExampleS

February 28, 2023 (Unaudited)

 

As a shareholder of the Portfolio(s), you incur two types of costs: (1) transaction costs, and (2) ongoing costs, including management fees, and other Portfolio expenses. These examples are intended to help you understand your ongoing costs (in dollars) of investing in the Portfolio(s) and to compare these costs with the ongoing costs of investing in other mutual funds.

 

These examples are based on an investment of $1,000 invested at the beginning of the six-month period from September 1, 2022 through February 28, 2023, and held for the entire period.

 

ACTUAL EXPENSES

 

The first section of the accompanying table provides information about actual account values and actual expenses. You may use the information in this section, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first section under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.

 

HYPOTHETICAL EXAMPLES FOR COMPARISON PURPOSES

 

The second section of the accompanying table provides information about hypothetical account values and hypothetical expenses based on each Portfolio’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Portfolio’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in each Portfolio and other funds. To do so, compare these 5% hypothetical examples with the 5% hypothetical examples that appear in the shareholder reports of other funds.

 

The expenses shown in the accompanying table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as redemption fees. Therefore, the second section of the accompanying table is useful in comparing ongoing costs only and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.

 

 

BEGINNING
ACCOUNT VALUE
SEPTEMBER 1,
2022

ENDING
ACCOUNT VALUE
FEBRUARY 28,
2023

EXPENSES
PAID DURING
PERIOD*

Annualized
EXPENSE
RATIO*

ACTUAL SIX-
MONTH TOTAL
INVESTMENT
RETURN FOR
THE PORTFOLIO

Actual

         

Matson Money U.S. Equity VI Portfolio

$ 1,000.00

$ 1,070.70

$ 3.85

0.75%

7.07%

Matson Money International Equity VI Portfolio

1,000.00

1,111.20

4.29

0.82%

11.12%

Matson Money Fixed Income VI Portfolio

1,000.00

993.50

3.76

0.76%

-0.65%

 

5

 

 

MATSON MONEY VI PORTFOLIOS

Fund Expense Examples (CONCLUDED)

February 28, 2023 (Unaudited)

 

 

BEGINNING
ACCOUNT VALUE
SEPTEMBER 1,
2022

ENDING
ACCOUNT VALUE
FEBRUARY 28,
2023

EXPENSES
PAID DURING
PERIOD*

Annualized
EXPENSE
RATIO*

ACTUAL SIX-
MONTH TOTAL
INVESTMENT
RETURN FOR
THE PORTFOLIO

Hypothetical (5% return before expenses)

Matson Money U.S. Equity VI Portfolio

$ 1,000.00

$ 1,021.08

$ 3.76

0.75%

N/A

Matson Money International Equity VI Portfolio

1,000.00

1,020.73

4.11

0.82%

N/A

Matson Money Fixed Income VI Portfolio

1,000.00

1,021.03

3.81

0.76%

N/A

 

*

Expenses are equal to each Portfolio’s annualized six-month expense ratio for the period September 1, 2022 through February 28, 2023, multiplied by the average account value over the period, multiplied by the number of days (181) in the most recent fiscal half-year, then divided by 365 to reflect the one half year period. The annualized expense ratios do not reflect fees and expenses associated with the underlying funds. Fees and expenses presented for a Portfolio do not reflect any fees and expenses imposed on shares of the Portfolio purchased through variable annuity contracts, variable life insurance policies, and certain qualified pension and retirement plans, which would increase overall fees and expenses. If such fees and expenses had been included, the expenses would have been higher. Each Portfolio’s ending account value in the first section in the table is based on the actual six-month total investment return for each Portfolio for the period September 1, 2022 through February 28, 2023. The range of weighted expense ratios of the underlying funds held by the Portfolios, as stated in the underlying funds’ current prospectuses, were as follows:

 

FUNDS

RANGE OF WEIGHTED
EXPENSE RATIO

Matson Money U.S. Equity VI Portfolio

0.01% - 0.06%

Matson Money International Equity VI Portfolio

0.00% - 0.12%

Matson Money Fixed Income VI Portfolio

0.00% - 0.02%

 

6

 

 

MATSON MONEY VI PORTFOLIOS

MATSON MONEY U.S. EQUITY VI PORTFOLIO

 

Portfolio of Investments

February 28, 2023 (Unaudited)

 

   

NUMBER OF
SHARES

   

VALUE

 

DOMESTIC EQUITY FUNDS — 99.1%

       

U.S. Large Cap Value Portfolio III (a)

    267,929     $ 7,451,104  

U.S. Large Company Portfolio (a)

    147,876       4,008,930  

U.S. Micro Cap Portfolio (b)

    177,606       4,397,534  

U.S. Small Cap Portfolio (b)

    104,876       4,384,853  

U.S. Small Cap Value Portfolio (b)

    68,994       2,917,071  

VA U.S. Large Value Portfolio (b)

    36,794       1,145,029  

VA U.S. Targeted Value Portfolio (b)

    196,257       4,362,786  

TOTAL DOMESTIC EQUITY FUNDS

       

(Cost $25,008,729)

            28,667,307  
                 

SHORT-TERM INVESTMENTS — 1.0%

       

STIT-Government & Agency Portfolio, 4.52%*

    293,382       293,382  

TOTAL SHORT-TERM INVESTMENTS

       

(Cost $293,382)

            293,382  

TOTAL INVESTMENTS — 100.1%

       

(Cost $25,302,111)

            28,960,689  

LIABILITIES IN EXCESS OF OTHER ASSETS — (0.1)%

            (39,802 )

NET ASSETS — 100.0%

          $ 28,920,887  

 

 

 

                 

PORTFOLIO HOLDINGS SUMMARY TABLE

   

% of
Net Assets

   

Value

 

Domestic Equity Funds

    99.1 %   $ 28,667,307  

Short-Term Investments

    1.0 %     293,382  

Liabilities In Excess Of Other Assets

    (0.1 )%     (39,802 )

NET ASSETS

    100.0 %   $ 28,920,887  

 

 

*

Seven-day yield as of February 28, 2023.

(a)

A portfolio of Dimensional Investment Group Inc.

(b)

A portfolio of DFA Investment Trust Company.

 

Portfolio holdings are subject to change at any time.

 

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

 

7

 

 

MATSON MONEY VI PORTFOLIOS

MATSON MONEY INTERNATIONAL EQUITY VI PORTFOLIO

 

Portfolio of Investments

February 28, 2023 (Unaudited)

 

   

NUMBER OF
SHARES

   

VALUE

 

INTERNATIONAL EQUITY FUNDS — 99.2%

       

DFA International Small Cap Value Portfolio (a)

    295,281     $ 5,908,573  

DFA International Value Portfolio III (b)

    383,286       6,270,554  

Emerging Markets Small Cap Portfolio (a)

    48,428       1,007,298  

Emerging Markets Value Portfolio, Class Institutional (a)

    37,465       1,008,550  

iShares Core MSCI EAFE ETF

    12,628       821,199  

iShares Core MSCI Emerging Markets ETF

    22,307       1,056,236  

VA International Small Portfolio (a)

    313,851       3,546,511  

VA International Value Portfolio (a)

    80,607       1,055,951  

TOTAL INTERNATIONAL EQUITY FUNDS

       

(Cost $19,866,407)

            20,674,872  
                 

SHORT-TERM INVESTMENTS — 1.0%

       

STIT-Government & Agency Portfolio, 4.52%*

    202,550       202,550  

TOTAL SHORT-TERM INVESTMENTS

       

(Cost $202,550)

            202,550  

TOTAL INVESTMENTS — 100.2%

       

(Cost $20,068,957)

            20,877,422  

LIABILITIES IN EXCESS OF OTHER ASSETS — (0.2)%

            (40,877 )

NET ASSETS — 100.0%

          $ 20,836,545  

 

 

 

                 

PORTFOLIO HOLDINGS SUMMARY TABLE

   

% of
Net Assets

   

Value

 

International Equity Funds

    99.2 %   $ 20,674,872  

Short-Term Investments

    1.0 %     202,550  

Liabilities In Excess Of Other Assets

    (0.2 )%     (40,877 )

NET ASSETS

    100.0 %   $ 20,836,545  

 

 

*

Seven-day yield as of February 28, 2023.

(a)

A portfolio of DFA Investment Trust Company.

(b)

A portfolio of DFA Investment Dimensions Group Inc.

ETF

Exchange-Traded Fund

 

Portfolio holdings are subject to change at any time.    

 

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

 

8

 

 

MATSON MONEY VI PORTFOLIOS

MATSON MONEY FIXED INCOME VI PORTFOLIO

 

Portfolio of Investments

February 28, 2023 (Unaudited)

 

   

NUMBER OF
SHARES

   

VALUE

 

FIXED INCOME FUNDS — 98.6%

       

DFA One-Year Fixed Income Portfolio (a)

    320,768     $ 3,230,135  

DFA Two-Year Global Fixed Income Portfolio (a)

    441,613       4,217,404  

iShares 1-3 Year Treasury Bond ETF

    13,923       1,127,624  

iShares 3-7 Year Treasury Bond ETF

    14,683       1,681,203  

iShares Core International Aggregate Bond ETF

    87,001       4,170,828  

iShares Intermediate-Term Corporate Bond ETF

    33,017       1,646,558  

iShares Short-Term Corporate Bond ETF

    134,392       6,708,849  

iShares TIPS Bond ETF

    13,103       1,404,379  

VA Global Bond Portfolio (a)

    291,210       2,816,005  

VA Short-Term Fixed Income Portfolio (a)

    57,104       569,900  

TOTAL FIXED INCOME FUNDS

       

(Cost $29,663,154)

            27,572,885  
                 

SHORT-TERM INVESTMENTS — 1.5%

       

STIT-Government & Agency Portfolio, 4.52%*

    415,027       415,027  

TOTAL SHORT-TERM INVESTMENTS

       

(Cost $415,027)

            415,027  

TOTAL INVESTMENTS — 100.1%

       

(Cost $30,078,181)

            27,987,912  

LIABILITIES IN EXCESS OF OTHER ASSETS — (0.1)%

            (31,579 )

NET ASSETS — 100.0%

          $ 27,956,333  

 

 

 

                 

PORTFOLIO HOLDINGS SUMMARY TABLE

   

% of
Net Assets

   

Value

 

Fixed Income Funds

    98.6 %   $ 27,572,885  

Short-Term Investments

    1.5 %     415,027  

Liabilities In Excess Of Other Assets

    (0.1 )%     (31,579 )

NET ASSETS

    100.0 %   $ 27,956,333  

 

 

*

Seven-day yield as of February 28, 2023.

(a)

A portfolio of DFA Investment Dimensions Group Inc.

ETF

Exchange-Traded Fund

 

Portfolio holdings are subject to change at any time.

 

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

 

9

 

 

MATSON MONEY VI PORTFOLIOS

Statements of Assets and Liabilities

February 28, 2023 (Unaudited)

 

   

MATSON MONEY
U.S. EQUITY
VI PORTFOLIO

   

MATSON MONEY
INTERNATIONAL EQUITY
VI PORTFOLIO

   

MATSON MONEY
FIXED INCOME
VI PORTFOLIO

 

ASSETS

                       

Investments, at value (cost $25,008,730, $19,866,407 and $29,671,945, respectively)

  $ 28,667,308     $ 20,674,872     $ 27,572,885  

Short-term investments, at value (cost $293,382, $202,550 and $415,027, respectively)

    293,382       202,550       415,027  

Receivables for:

                       

Investments sold

    3,793       616       10,998  

Prepaid expenses and other assets

    1,562       481       1,533  

Total assets

    28,966,045       20,878,519       28,000,443  
                         

LIABILITIES

                       

Payables for:

                       

Audit fees

    22,471       22,988       22,917  

Advisory fees

    11,362       8,156       10,824  

Administration and accounting fees

    4,305       3,667       4,393  

Capital shares redeemed

    947       3,156       679  

Transfer agent fees

    822       674       847  

Other accrued expenses and liabilities

    5,251       3,333       4,450  

Total liabilities

    45,158       41,974       44,110  

Net assets

  $ 28,920,887     $ 20,836,545     $ 27,956,333  
                         

NET ASSETS CONSIST OF:

                       

Par Value

  $ 942     $ 872     $ 1,203  

Paid-in capital

    24,117,583       20,620,255       30,249,305  

Total distributable earnings/(loss)

    4,802,362       215,418       (2,294,175 )

Net assets

  $ 28,920,887     $ 20,836,545     $ 27,956,333  
                         

CAPITAL SHARES:

                       

Net assets

  $ 28,920,887     $ 20,836,545     $ 27,956,333  

Shares outstanding ($0.001 par value, 100,000,000 shares authorized)

    942,022       871,613       1,203,441  

Net asset value, offering and redemption price per share

  $ 30.70     $ 23.91     $ 23.23  

 

 

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

 

10

 

 

MATSON MONEY VI PORTFOLIOS

Statements of Operations

FOR THE SIX MONTHS ENDED February 28, 2023 (Unaudited)

 

   

MATSON MONEY
U.S. EQUITY
VI PORTFOLIO

   

MATSON MONEY
INTERNATIONAL EQUITY
VI PORTFOLIO

   

MATSON MONEY
FIXED INCOME
VI PORTFOLIO

 

INVESTMENT INCOME

                       

Dividends from non-affiliated funds

  $ 267,232     $ 408,321     $ 392,008  

Total investment income

    267,232       408,321       392,008  
                         

EXPENSES:

                       

Advisory fees (Note 2)

    69,755       50,182       69,053  

Audit and tax services fees

    16,602       17,061       17,014  

Administration and accounting fees (Note 2)

    9,581       8,675       9,688  

Custodian fees (Note 2)

    3,049       2,625       2,261  

Director fees

    1,380       977       1,382  

Printing and shareholder reporting fees

    1,238       562       1,384  

Officer fees

    1,094       768       1,127  

Legal fees

    947       670       973  

Transfer agent fees (Note 2)

    443       318       443  

Other expenses

    1,048       946       1,074  

Total expenses

    105,137       82,784       104,399  

Net investment income/(loss)

    162,095       325,537       287,609  
                         

NET REALIZED AND UNREALIZED GAIN/(LOSS) FROM INVESTMENTS

                       

Net realized gain/(loss) from:

                       

Non-affiliated funds

    219,599       (205,953 )     (69,559 )

Capital gain distributions from non-affiliated fund investments

    1,236,276       96,255       1,016  

Net change in unrealized appreciation/(depreciation) on:

                       

Non-affiliated funds

    341,219       2,089,642       (399,714 )

Net realized and unrealized gain/(loss) on investments

    1,797,094       1,979,944       (468,257 )

NET INCREASE/(DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS

  $ 1,959,189     $ 2,305,481     $ (180,648 )

 

 

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

 

11

 

 

MATSON MONEY U.S. EQUITY VI PORTFOLIO

Statements of Changes in Net Assets

 

   

FOR THE
SIX MONTHS ENDED
FEBRUARY 28, 2023
(UNAUDITED)

   

FOR THE
YEAR ENDED
AUGUST 31, 2022

 

INCREASE/(DECREASE) IN NET ASSETS FROM OPERATIONS:

               

Net investment income/(loss)

  $ 162,095     $ 200,906  

Net realized gain/(loss) from investments

    1,455,875       2,750,655  

Net change in unrealized appreciation/(depreciation) on investments

    341,219       (4,996,942 )

Net increase/(decrease) in net assets resulting from operations

    1,959,189       (2,045,381 )
                 

DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS:

               

Total distributable earnings

    (2,549,816 )     (2,291,039 )

Net decrease in net assets from dividends and distributions to shareholders

    (2,775,746 )     (2,291,039 )
                 

CAPITAL SHARE TRANSACTIONS:

               

Proceeds from shares sold

    635,339       3,769,795  

Reinvestment of distributions

    2,775,746       2,291,039  

Shares redeemed

    (1,490,569 )     (5,703,434 )

Net increase/(decrease) in net assets from capital shares

    1,920,516       357,400  

Total increase/(decrease) in net assets

    1,103,959       (3,979,020 )
                 

NET ASSETS:

               

Beginning of period

    27,816,928       31,795,948  

End of period

  $ 28,920,887     $ 27,816,928  
                 

SHARES TRANSACTIONS:

               

Shares sold

    20,827       106,781  

Dividends and distributions reinvested

    96,851       63,871  

Shares redeemed

    (47,524 )     (165,123 )

Net increase/(decrease) in shares outstanding

    70,154       5,529  

 

 

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

 

12

 

 

MATSON MONEY INTERNATIONAL EQUITY VI PORTFOLIO

Statements of Changes in Net Assets

 

   

FOR THE
SIX MONTHS ENDED
FEBRUARY 28, 2023
(UNAUDITED)

   

FOR THE
YEAR ENDED
AUGUST 31, 2022

 

INCREASE/(DECREASE) IN NET ASSETS FROM OPERATIONS:

               

Net investment income/(loss)

  $ 325,537     $ 622,505  

Net realized gain/(loss) from investments

    (109,698 )     372,095  

Net change in unrealized appreciation/(depreciation) on investments

    2,089,642       (4,576,837 )

Net increase/(decrease) in net assets resulting from operations

    2,305,481       (3,582,237 )
                 

DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS:

               

Total distributable earnings

    (210,264 )     (1,361,460 )

Net decrease in net assets from dividends and distributions to shareholders

    (663,764 )     (1,361,460 )
                 

CAPITAL SHARE TRANSACTIONS:

               

Proceeds from shares sold

    1,331,337       2,954,287  

Reinvestment of distributions

    663,764       1,361,460  

Shares redeemed

    (1,900,453 )     (3,051,625 )

Net increase/(decrease) in net assets from capital shares

    94,648       1,264,122  

Total increase/(decrease) in net assets

    1,736,365       (3,679,575 )
                 

NET ASSETS:

               

Beginning of period

    19,100,180       22,779,755  

End of period

  $ 20,836,545     $ 19,100,180  
                 

SHARES TRANSACTIONS:

               

Shares sold

    62,587       114,254  

Dividends and distributions reinvested

    29,553       52,183  

Shares redeemed

    (80,113 )     (120,422 )

Net increase/(decrease) in shares outstanding

    12,027       46,015  

 

 

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

 

13

 

 

MATSON MONEY FIXED INCOME VI PORTFOLIO

Statements of Changes in Net Assets

 

   

FOR THE
SIX MONTHS ENDED
FEBRUARY 28, 2023
(UNAUDITED)

   

FOR THE
YEAR ENDED
AUGUST 31, 2022

 

INCREASE/(DECREASE) IN NET ASSETS FROM OPERATIONS:

               

Net investment income/(loss)

  $ 287,609     $ 122,102  

Net realized gain/(loss) from investments

    (68,543 )     (27,840 )

Net change in unrealized appreciation/(depreciation) on investments

    (399,714 )     (2,400,845 )

Net increase/(decrease) in net assets resulting from operations

    (180,648 )     (2,306,583 )
                 

DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS:

               

Total distributable earnings

          (100,067 )

Net decrease in net assets from dividends and distributions to shareholders

    (338,690 )     (100,067 )
                 

CAPITAL SHARE TRANSACTIONS:

               

Proceeds from shares sold

    1,485,804       2,888,692  

Reinvestment of distributions

    338,690       100,067  

Shares redeemed

    (1,647,655 )     (5,386,524 )

Net increase/(decrease) in net assets from capital shares

    176,839       (2,397,765 )

Total increase/(decrease) in net assets

    (342,499 )     (4,804,415 )
                 

NET ASSETS:

               

Beginning of period

    28,298,832       33,103,247  

End of period

  $ 27,956,333     $ 28,298,832  
                 

SHARES TRANSACTIONS:

               

Shares sold

    63,512       116,203  

Dividends and distributions reinvested

    14,630       3,969  

Shares redeemed

    (70,311 )     (220,221 )

Net increase/(decrease) in shares outstanding

    7,831       (100,049 )

 

 

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

 

14

 

 

MATSON MONEY VI PORTFOLIOS

MATSON MONEY U.S. EQUITY VI PORTFOLIO

 

Financial Highlights

 

Contained below is per share operating performance data for each share outstanding, total investment return/(loss), ratios to average net assets and other supplemental data for the respective periods. This information has been derived from information provided in the financial statements.

 

 

   

FOR THE
SIX MONTHS ENDED
FEBRUARY 28, 2023
(UNAUDITED)

   

FOR THE
YEAR ENDED
AUGUST 31, 2022

   

FOR THE
YEAR ENDED
AUGUST 31, 2021

   

FOR THE
YEAR ENDED
AUGUST 31, 2020

   

FOR THE
YEAR ENDED
AUGUST 31, 2019

   

FOR THE
YEAR ENDED
AUGUST 31, 2018

 

Per Share Operating Performance

                                               

Net asset value, beginning of period

  $ 31.90     $ 36.70     $ 25.62     $ 27.08     $ 33.12     $ 29.15  

Net investment income/(loss)(1)

    0.18       0.23       0.25       0.22       0.21       0.18  

Net realized and unrealized gain/(loss) on investments

    1.84       (2.37 )     12.06       (0.04 )     (4.34 )     5.40  

Net increase/(decrease) in net assets resulting from operations

    2.02       (2.14 )     12.31       0.18       (4.13 )     5.58  

Dividends and distributions to shareholders from:

                                               

Net investment income

    (0.26 )     (0.34 )     (0.29 )     (0.24 )     (0.27 )     (0.33 )

Net realized capital gains

    (2.96 )     (2.32 )     (0.94 )     (1.40 )     (1.64 )     (1.28 )

Total dividends and distributions to shareholders

    (3.22 )     (2.66 )     (1.23 )     (1.64 )     (1.91 )     (1.61 )

Net asset value, end of period

  $ 30.70     $ 31.90     $ 36.70     $ 25.62     $ 27.08     $ 33.12  

Total investment return/(loss)(2)

    7.07 %(4)     (6.64 )%     49.31 %     (0.02 )%     (11.89 )%     19.56 %
                                                 

Ratios/Supplemental Data

                                               

Net assets, end of period (000’s omitted)

  $ 28,921     $ 27,817     $ 31,796     $ 25,070     $ 24,839     $ 26,181  

Ratio of expenses to average net assets with waivers, if any(3)

    0.75 %(5)     0.73 %     0.74 %     0.76 %     0.76 %     0.73 %

Ratio of expenses to average net assets without waivers, if any(3)

    0.75 %(5)     0.73 %     0.74 %     0.76 %     0.76 %     0.73 %

Ratio of net investment income/(loss) to average net assets with waivers(3)

    1.16 %(5)     0.65 %     0.77 %     0.86 %     0.72 %     0.58 %

Portfolio turnover rate

    4 %(4)     15 %     18 %     18 %     17 %     12 %

 

 

(1)

The selected per share data is calculated using the average shares outstanding method for the period.

(2)

Total investment return/(loss) is calculated by assuming a purchase of shares on the first day and a sale of shares on the last day of each period reported and includes reinvestments of dividends and distributions, if any.

(3)

The Portfolio also will indirectly bear its prorated share of expenses of the underlying funds. Such expenses are not included in the calculation of this ratio.

(4)

Not Annualized.

(5)

Annualized.

 

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

 

15

 

 

MATSON MONEY VI PORTFOLIOS

MATSON MONEY INTERNATIONAL EQUITY VI PORTFOLIO

 

Financial Highlights

 

Contained below is per share operating performance data for each share outstanding, total investment return/(loss), ratios to average net assets and other supplemental data for the respective periods. This information has been derived from information provided in the financial statements.

 

 

   

FOR THE
SIX MONTHS ENDED
FEBRUARY 28, 2023
(UNAUDITED)

   

FOR THE
YEAR ENDED
AUGUST 31, 2022

   

FOR THE
YEAR ENDED
AUGUST 31, 2021

   

FOR THE
YEAR ENDED
AUGUST 31, 2020

   

FOR THE
YEAR ENDED
AUGUST 31, 2019

   

FOR THE
YEAR ENDED
AUGUST 31, 2018

 

Per Share Operating Performance

                                               

Net asset value, beginning of period

  $ 22.22     $ 28.00     $ 21.35     $ 22.27     $ 26.16     $ 26.60  

Net investment income/(loss)(1)

    0.36       0.73       0.37       0.42       0.43       0.47  

Net realized and unrealized gain/(loss) on investments

    2.06       (4.87 )     6.80       (0.25 )     (3.51 )     (0.13 )

Net increase/(decrease) in net assets resulting from operations

    2.42       (4.14 )     7.17       0.17       (3.08 )     0.34  

Dividends and distributions to shareholders from:

                                               

Net investment income

    (0.50 )     (0.82 )     (0.35 )     (0.52 )     (0.39 )     (0.54 )

Net realized capital gains

    (0.23 )     (0.82 )     (0.17 )     (0.57 )     (0.42 )     (0.24 )

Total dividends and distributions to shareholders

    (0.73 )     (1.64 )     (0.52 )     (1.09 )     (0.81 )     (0.78 )

Net asset value, end of period

  $ 23.91     $ 22.22     $ 28.00     $ 21.35     $ 22.27     $ 26.16  

Total investment return/(loss)(2)

    11.12 %(4)     (15.66 )%     33.96 %     0.17 %     (11.62 )%     1.13 %
                                                 

Ratios/Supplemental Data

                                               

Net assets, end of period (000’s omitted)

  $ 20,837     $ 19,100     $ 22,780     $ 18,559     $ 18,228     $ 17,950  

Ratio of expenses to average net assets with waivers, if any(3)

    0.82 %(5)     0.80 %     0.80 %     0.83 %     0.86 %     0.79 %

Ratio of expenses to average net assets without waivers, if any(3)

    0.82 %(5)     0.80 %     0.80 %     0.83 %     0.86 %     0.79 %

Ratio of net investment income/(loss) to average net assets with waivers(3)

    3.24 %(5)     2.86 %     1.48 %     1.99 %     1.82 %     1.70 %

Portfolio turnover rate

    8 %(4)     11 %     18 %     26 %     13 %     8 %

 

 

(1)

The selected per share data is calculated using the average shares outstanding method for the period.

(2)

Total investment return/(loss) is calculated by assuming a purchase of shares on the first day and a sale of shares on the last day of each period reported and includes reinvestments of dividends and distributions, if any.

(3)

The Portfolio also will indirectly bear its prorated share of expenses of the underlying funds. Such expenses are not included in the calculation of this ratio.

(4)

Not Annualized.

(5)

Annualized.

 

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

 

16

 

 

MATSON MONEY VI PORTFOLIOS

MATSON MONEY FIXED INCOME VI PORTFOLIO

 

Financial Highlights

 

Contained below is per share operating performance data for each share outstanding, total investment return/(loss), ratios to average net assets and other supplemental data for the respective periods. This information has been derived from information provided in the financial statements.

 

 

   

FOR THE
SIX MONTHS ENDED
FEBRUARY 28, 2023
(UNAUDITED)

   

FOR THE
YEAR ENDED
AUGUST 31, 2022

   

FOR THE
YEAR ENDED
AUGUST 31, 2021

   

FOR THE
YEAR ENDED
AUGUST 31, 2020

   

FOR THE
YEAR ENDED
AUGUST 31, 2019

   

FOR THE
YEAR ENDED
AUGUST 31, 2018

 

Per Share Operating Performance

                                               

Net asset value, beginning of period

  $ 23.67     $ 25.55     $ 25.66     $ 25.38     $ 24.74     $ 25.12  

Net investment income/(loss)(1)

    0.24       0.10       0.02       0.43       0.59       0.23  

Net realized and unrealized gain/(loss) on investments

    (0.39 )     (1.90 )     0.04       0.27       0.61       (0.36 )

Net increase/(decrease) in net assets resulting from operations

    (0.15 )     (1.80 )     0.06       0.70       1.20       (0.13 )

Dividends and distributions to shareholders from:

                                               

Net investment income

    (0.29 )     (0.08 )     (0.16 )     (0.42 )     (0.56 )     (0.22 )

Net realized capital gains

                            (2)      (0.03 )

Return of capital

                (0.01 )                  

Total dividends and distributions to shareholders

    (0.29 )     (0.08 )     (0.17 )     (0.42 )     (0.56 )     (0.25 )

Net asset value, end of period

  $ 23.23     $ 23.67     $ 25.55     $ 25.66     $ 25.38     $ 24.74  

Total investment return/(loss)(3)

    (0.65 )%(5)     (7.08 )%     0.22 %     2.80 %     4.98 %     (0.50 )%
                                                 

Ratios/Supplemental Data

                                               

Net assets, end of period (000’s omitted)

  $ 27,956     $ 28,299     $ 33,103     $ 27,323     $ 29,546     $ 30,405  

Ratio of expenses to average net assets with waivers, if any(4)

    0.76 %(6)     0.73 %     0.73 %     0.74 %     0.74 %     0.71 %

Ratio of expenses to average net assets without waivers, if any(4)

    0.76 %(6)     0.73 %     0.73 %     0.74 %     0.74 %     0.71 %

Ratio of net investment income/(loss) to average net assets with waivers(4)

    2.08 %(6)     0.39 %     0.07 %     1.69 %     2.39 %     0.93 %

Portfolio turnover rate

    4 %(5)     7 %     8 %     46 %     19 %     2 %

 

 

(1)

The selected per share data is calculated using the average shares outstanding method for the period.

(2)

Amount less than $(0.005) per share.

(3)

Total investment return/(loss) is calculated by assuming a purchase of shares on the first day and a sale of shares on the last day of each period reported and includes reinvestments of dividends and distributions, if any.

(4)

The Portfolio also will indirectly bear its prorated share of expenses of the underlying funds. Such expenses are not included in the calculation of this ratio.

(5)

Not Annualized.

(6)

Annualized.

 

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

 

17

 

 

MATSON MONEY VI PORTFOLIOS

Notes to Financial Statements

February 28, 2023 (Unaudited)

 

1.

Organization and Significant Accounting Policies

 

The RBB Fund, Inc. (“RBB” or the “Company”) was incorporated under the laws of the State of Maryland on February 29, 1988 and is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. RBB is a “series fund,” which is a mutual fund complex divided into separate portfolios. Each portfolio is treated as a separate entity for certain matters under the 1940 Act, and for other purposes, and a shareholder of one portfolio is not deemed to be a shareholder of any other portfolio. Currently, has forty separate investment portfolios, including the Matson Money U.S. Equity VI Portfolio, the Matson Money International Equity VI Portfolio and the Matson Money Fixed Income VI Portfolio (each, a “Portfolio” and collectively, the “Portfolios”). Each Portfolio operates as a “fund of funds” and commenced investment operations on February 18, 2014. Shares of the Portfolios are offered to separate accounts of participating life insurance companies for the purpose of funding variable annuity contracts and variable life insurance policies.

 

RBB has authorized capital of one hundred billion shares of common stock of which 90.623 billion shares are currently classified into two hundred and thirteen classes of common stock. Each class represents an interest in an active or inactive investment portfolio of the Company.

 

Matson Money U.S. Equity VI Portfolio and Matson Money International Equity VI Portfolio’s investment objective is to seek long-term capital appreciation. Matson Money Fixed Income VI Portfolio’s investment objective is to seek total return (consisting of current income and capital appreciation).

 

The Portfolios are investment companies and follow accounting and reporting guidance in the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946 “Financial Services - Investment Companies”.

 

The end of the reporting period for the Portfolios is February 28, 2023, and the period covered by these Notes to Financial Statements is the six months ended February 28, 2023 (the “current fiscal period”).

 

INVESTMENT COMPANY SECURITIES — The Portfolios pursue their investment objectives by investing primarily in shares of registered, open-end investment companies and exchange-traded funds (“ETFs”) (collectively, “underlying funds”). When a Portfolio invests in underlying funds it will indirectly bear its proportionate share of any fees and expenses payable directly by the underlying fund. In connection with its investments in other investment companies, a Portfolio will incur higher expenses, many of which may be duplicative. Furthermore, because the Portfolios invest in shares of ETFs and underlying funds their performances are directly related to the ability of the ETFs and underlying funds to meet their respective investment objectives, as well as the allocation of each Portfolio’s assets among the ETFs and underlying funds. Accordingly, the Portfolios’ investment performance will be influenced by the investment strategies of and risks associated with the ETFs and underlying funds in direct proportion to the amount of assets the Portfolios allocate to the ETFs and underlying funds utilizing such strategies. As disclosed in the Portfolio of Investments, the Portfolios invest in a number of different underlying funds, including underlying funds that are portfolios of DFA Investment Dimensions Group Inc., and Dimensional Investment Group Inc. (collectively, “DFA Underlying Funds”) and iShares by BlackRock (“iShares Underlying Funds”). Information about DFA Underlying Funds’ and iShares Underlying Funds’ risks may be found in such DFA Underlying Funds and iShares Underlying Funds’ annual or semiannual report to shareholders, which can be found at us.dimensional.com and iShares.com, respectively. Additional information about derivatives related risks, if applicable, may also be found in each such DFA Underlying Fund or iShares Underlying Funds’ annual or semiannual report to shareholders. The annual and semiannual reports to shareholders for the underlying funds may also be found by visiting the Securities and Exchange Commission’s (“SEC”) website at http://www.sec.gov.

 

PORTFOLIO VALUATION — Investments in the underlying funds are valued at each Portfolio’s net asset value (“NAV”) determined as of the close of business on the New York Stock Exchange (generally 4:00 p.m. Eastern time). Investments in ETFs are valued at their last reported sale price. As required, some securities and assets may be valued at fair value as determined in good faith by the Company’s Board of Directors (the “Board”). Direct investments in fixed income securities are valued using an independent pricing service, which considers such factors as security prices, yields, maturities and ratings, and are deemed representative of market values at the close of the market.

 

18

 

 

MATSON MONEY VI PORTFOLIOS

Notes to Financial Statements (continued)

February 28, 2023 (Unaudited)

 

The Board has adopted a pricing and valuation policy for use by each Fund and its Valuation Designee (as defined below) in calculating the Fund’s NAV. Pursuant to Rule 2a-5 under the 1940 Act, the Board has designated Matson Money, Inc. (“Matson Money” or the “Adviser”) as its “Valuation Designee” to perform all of the fair value determinations as well as to perform all of the responsibilities that may be performed by the Valuation Designee in accordance with Rule 2a-5. The Valuation Designee is authorized to make all necessary determinations of the fair values of portfolio securities and other assets for which market quotations are not readily available or if it is deemed that the prices obtained from brokers and dealers or independent pricing services are unreliable.

 

FAIR VALUE MEASUREMENTS — The inputs and valuation techniques used to measure the fair value of the Portfolios’ investments are summarized into three levels as described in the hierarchy below:

 

 

● Level 1 —

Prices are determined using quoted prices in active markets for identical securities.

 

 

● Level 2 —

Prices are determined using other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).

 

 

● Level 3 —

Prices are determined using significant unobservable inputs (including the Portfolios’ own assumptions in determining the fair value of investments).

 

The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

 

The following is a summary of the inputs used, as of the end of the reporting period, in valuing the Portfolios’ investments carried at fair value:

 

MATSON MONEY U.S. EQUITY VI PORTFOLIO

 

   

TOTAL

   

LEVEL 1

   

LEVEL 2

   

LEVEL 3

   

INVESTMENTS
MEASURED AT NET
ASSET VALUE*

 

Domestic Equity Funds

  $ 28,667,307     $ 23,159,492     $     $     $ 5,507,815  

Short-Term Investments

    293,382       293,382                    

Total Investments**

  $ 28,960,689     $ 23,452,874     $     $     $ 5,507,815  

 

*

Certain investments that are measured at fair value using the net asset value per share (or its equivalent) practical expedient have not been categorized in the fair value hierarchy. The fair value amounts presented in the table are intended to permit reconciliation of the fair value hierarchy to the amounts presented in the Statements of Assets and Liabilities.

**

Please refer to the Portfolio of Investments for further details.

 

MATSON MONEY INTERNATIONAL EQUITY VI PORTFOLIO

 

   

TOTAL

   

LEVEL 1

   

LEVEL 2

   

LEVEL 3

   

INVESTMENTS
MEASURED AT NET
ASSET VALUE*

 

International Equity Funds

  $ 20,674,872     $ 16,072,410     $     $     $ 4,602,462  

Short-Term Investments

    202,550       202,550                    

Total Investments**

  $ 20,877,422     $ 16,274,960     $     $     $ 4,602,462  

 

*

Certain investments that are measured at fair value using the net asset value per share (or its equivalent) practical expedient have not been categorized in the fair value hierarchy. The fair value amounts presented in the table are intended to permit reconciliation of the fair value hierarchy to the amounts presented in the Statements of Assets and Liabilities.

**

Please refer to the Portfolio of Investments for further details.

 

19

 

 

MATSON MONEY VI PORTFOLIOS

Notes to Financial Statements (Continued)

February 28, 2023 (Unaudited)

 

MATSON MONEY FIXED INCOME VI PORTFOLIO

 

   

TOTAL

   

LEVEL 1

   

LEVEL 2

   

LEVEL 3

   

INVESTMENTS
MEASURED AT NET
ASSET VALUE*

 

Fixed Income Funds

  $ 27,572,885     $ 24,186,980     $     $     $ 3,385,905  

Short-Term Investments

    415,027       415,027                    

Total Investments**

  $ 27,987,912     $ 24,602,007     $     $     $ 3,385,905  

 

*

Certain investments that are measured at fair value using the net asset value per share (or its equivalent) practical expedient have not been categorized in the fair value hierarchy. The fair value amounts presented in the table are intended to permit reconciliation of the fair value hierarchy to the amounts presented in the Statements of Assets and Liabilities.

**

Please refer to the Portfolio of Investments for further details.

 

At the end of each quarter, management evaluates the classification of Levels 1, 2 and 3 assets and liabilities. Various factors are considered, such as changes in liquidity from the prior reporting period; whether or not a broker is willing to execute at the quoted price; the depth and consistency of prices from third party pricing services; and the existence of contemporaneous, observable trades in the market. Additionally, management evaluates the classification of Levels 1, 2 and 3 assets and liabilities on a quarterly basis for changes in listings or delistings on national exchanges.

 

Due to the inherent uncertainty of determining the fair value of investments that do not have a readily available market value, the fair value of the Portfolios’ investments may fluctuate from period to period. Additionally, the fair value of investments may differ significantly from the values that would have been used had a ready market existed for such investments and may differ materially from the values the Portfolios may ultimately realize. Further, such investments may be subject to legal and other restrictions on resale or otherwise less liquid than publicly traded securities.

 

For fair valuations using significant unobservable inputs, U.S. generally accepted accounting principles (“U.S. GAAP”) requires each Portfolio to present a reconciliation of the beginning to ending balances for reported market values that presents changes attributable to total realized and unrealized gains or losses, purchases and sales, and transfers in and out of Level 3 during the period. Transfers in and out between levels are based on values at the end of the period. A reconciliation of Level 3 investments is presented only when a Portfolio had an amount of Level 3 investments at the end of the reporting period that was meaningful in relation to its net assets. The amounts and reasons for all Level 3 transfers are disclosed if a Portfolio had an amount of total Level 3 transfers during the reporting period that was meaningful in relation to its net assets as of the end of the reporting period.

 

During the current fiscal period, the Portfolios had no Level 3 transfers.

 

USE OF ESTIMATES — The preparation of financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates and those differences could be significant.

 

INVESTMENT TRANSACTIONS, INVESTMENT INCOME AND EXPENSES — The Portfolios record security transactions based on trade date for financial reporting purposes. The cost of investments sold is determined by use of the specific identification method for both financial reporting and income tax purposes in determining realized gains and losses on investments. Interest income (including amortization of premiums and accretion of discounts) is accrued when earned. Dividend income is recorded on the ex-dividend date. Distributions received on securities that represent a return of capital or capital gain are recorded as a reduction of cost of investments and/or as a realized gain. Each Portfolio’s investment income, expenses (other than class specific expenses) and unrealized and realized gains and losses are allocated daily to each class of shares based upon the relative proportion of net assets of each class at the beginning of the day. Certain expenses are shared with The RBB Fund Trust (formerly, PENN Capital Funds Trust) (the “Trust”), a series trust of affiliated funds. Expenses incurred on behalf of a specific class, fund or fund family of the Company or Trust are charged directly to the class, fund or fund family (in proportion to net

 

20

 

 

MATSON MONEY VI PORTFOLIOS

Notes to Financial Statements (Continued)

February 28, 2023 (Unaudited)

 

assets). Expenses incurred for all funds (such as director or professional fees) are charged to all funds in proportion to their average net assets of RBB and the Trust, or in such other manner as the Board deems fair or equitable. Expenses and fees, including investment advisory and administration fees, are accrued daily and taken into account for the purpose of determining the NAV of the Portfolios. In addition to the net annual operating expenses that the Portfolios bear directly, the shareholders indirectly bear the Portfolios’ pro-rata expenses of the underlying mutual funds in which each Portfolio invests.

 

DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS — Dividends from net investment income and distributions from net realized capital gains, if any, are declared and paid at least annually to shareholders recorded on the ex-dividend date for each Portfolio. Income dividends and capital gain distributions are determined in accordance with U.S. federal income tax regulations, which may differ from U.S. GAAP.

 

U.S. TAX STATUS — No provision is made for U.S. income taxes as it is each Portfolio’s intention to continue to qualify for and elect the tax treatment applicable to regulated investment companies under Subchapter M of the Internal Revenue Code of 1986, as amended, and make the requisite distributions to its shareholders which will be sufficient to relieve it from U.S. income and excise taxes.

 

MARKET RISK — The value of a Portfolio’s shares will fluctuate as a result of the movement of the overall stock market or the value of the underlying fund held by a Portfolio, and you could lose money.

 

CORONAVIRUS (COVID-19) PANDEMIC — The global outbreak of COVID-19 (commonly referred to as “coronavirus”) has disrupted economic markets and the prolonged economic impact is uncertain. Although vaccines for COVID-19 are available, the ultimate economic fallout from the pandemic, and the long-term impact on economies, markets, industries and individual issuers are not known. The operational and financial performance of the issuers of securities in which the Portfolios invest depends on future developments, including the duration and spread of the outbreak and the pace of recovery which may vary market to market, and such uncertainty may in turn adversely affect the value and liquidity of the Portfolios’ investments, impair the Portfolios’ ability to satisfy redemption requests, and negatively impact the Portfolios’ performance.

 

UKRAINE-RUSSIA CONFLICT RISK — In February 2022, Russia commenced a military attack on Ukraine. The outbreak of hostilities between the two countries and the threat of wider-spread hostilities could have a severe adverse effect on the region and global economies, including significant negative impacts on the markets for certain securities and commodities, such as oil and natural gas. In addition, sanctions imposed on Russia by the United States and other countries, and any sanctions imposed in the future, could have a significant adverse impact on the Russian economy and related markets. The price and liquidity of investments may fluctuate widely as a result of the conflict and related events. How long the armed conflict and related events will last cannot be predicted. These tensions and any related events could have a significant impact on Fund performance and the value of Fund investments, even beyond any direct exposure the Fund may have to issuers located in these countries.

 

CASH AND CASH EQUIVALENTS — Cash and cash equivalents are valued at cost plus accrued interest, which approximates market value.

 

OTHER — In the normal course of business, the Portfolios may enter into contracts that provide general indemnifications. Each Portfolio’s maximum exposure under these arrangements is dependent on claims that may be made against the Portfolios in the future, and, therefore, cannot be estimated; however, the Portfolios expect the risk of material loss for such claims to be remote.

 

For additional information about the DFA Underlying Funds and iShares Underlying Funds’ valuation policies, refer to the DFA Underlying Funds and iShares Underlying Funds’ most recent annual or semiannual report which can be found at us.dimensional.com and iShares.com, respectively.

 

21

 

 

MATSON MONEY VI PORTFOLIOS

Notes to Financial Statements (Continued)

February 28, 2023 (Unaudited)

 

2.

Investment Adviser and Other Services

 

Matson Money, Inc. serves as the investment adviser to each Portfolio. Each Portfolio compensates the Adviser for its services at an annual rate based on each Portfolio’s average daily net assets (the “Advisory Fee”), payable on a monthly basis in arrears, as shown in the following table.

 

AVERAGE DAILY NET ASSETS

 

ADVISORY FEE

 

For the first $1 billion

    0.50 %

Over $1 billion to $5 billion

    0.49  

Over $5 billion

    0.47  

 

The Adviser has contractually agreed to waive advisory fees and/or reimburse expenses to the extent that total annual Portfolio operating expenses (excluding certain items discussed below) exceed the rates (“Expense Caps”) shown in the following table of each Portfolio’s average daily net assets. In determining the Adviser’s obligation to waive advisory fees and/or reimburse expenses, the following expenses are not taken into account and certain of these expenses could cause total annual Portfolio operating expenses to exceed the Expense Caps: acquired fund fees and expenses, brokerage commissions, extraordinary items, interest or taxes. This contractual limitation is in effect until December 31, 2023 and may not be terminated without the approval of the Board. The Adviser may discontinue these arrangements at any time after December 31, 2023.

 

PORTFOLIO

 

EXPENSE CAPS

 

Matson Money U.S. Equity VI Portfolio

    1.13 %

Matson Money International Equity VI Portfolio

    1.35  

Matson Money Fixed Income VI Portfolio

    1.00  

 

During the current fiscal period, investment advisory fees accrued were as follows:

 

PORTFOLIO

 

ADVISORY FEES

 

Matson Money U.S. Equity VI Portfolio

  $ 69,755  

Matson Money International Equity VI Portfolio

    50,182  

Matson Money Fixed Income VI Portfolio

    69,053  

 

Effective September 1, 2019, if at any time a Portfolio’s total annual Portfolio operating expenses for a year are less than the Expense Cap, the Adviser is entitled to reimbursement by the Portfolio of the advisory fees forgone and other payments remitted by the Adviser to the Portfolio within three years from the date on which such waiver or reimbursement was made, provided such reimbursement does not cause the Portfolio to exceed the Expense Cap that was in effect at the time of the waiver or reimbursement. As of the end of the reporting period, the Portfolios had no amounts available for recoupment.

 

U.S. Bancorp Fund Services, LLC, doing business as U.S. Bank Global Fund Services (“Fund Services”) serves as administrator for the Portfolios. For providing administrative and accounting services, Fund Services is entitled to receive a monthly fee, subject to certain minimum and out of pocket expenses.

 

Fund Services serves as the Portfolios’ transfer and dividend disbursing agent. For providing transfer agent services, Fund Services is entitled to receive a monthly fee, subject to certain minimum and out of pocket expenses.

 

U.S. Bank, N.A. (the “Custodian”) provides certain custodial services to the Portfolios. The Custodian is entitled to receive a monthly fee, subject to certain minimum and out of pocket expenses.

 

Vigilant Distributors, LLC (the “Distributor”), serves as the principal underwriter and distributor of the Funds’ shares pursuant to a Distribution Agreement with RBB.

 

For compensation amounts paid to Fund Services and the Custodian, please refer to the Statements of Operations.

 

22

 

 

MATSON MONEY VI PORTFOLIOS

Notes to Financial Statements (CONTINUED)

February 28, 2023 (Unaudited)

 

3.

Director and Officer Compensation

 

The Directors of the Company receive an annual retainer and meeting fees for meetings attended. An employee of Vigilant Compliance, LLC serves as Chief Compliance Officer of the Company. Vigilant Compliance, LLC is compensated for the services provided to the Company. Employees of RBB serve as President, Chief Financial Officer, Chief Operating Officer, Secretary and Director of Marketing & Business Development of the Company. They are compensated for services provided. Certain employees of Fund Services serve as officers of the Company. They are not compensated by the Portfolios or the Company. For Director and Officer compensation amounts, please refer to the Statements of Operations.

 

4.

Purchases and Sales of Investment Securities

 

During the current fiscal period, aggregate purchases and sales of investment securities (excluding short-term investments) of the Portfolios were as follows:

 

   

PURCHASES

   

SALES

 

Matson Money U.S. Equity VI Portfolio

  $ 1,743,225     $ 1,225,713  

Matson Money International Equity VI Portfolio

    1,606,883       1,750,056  

Matson Money Fixed Income VI Portfolio

    1,328,082       1,202,215  

 

There were no purchases or sales of long-term U.S. Government securities during the current fiscal period.

 

5.

Federal Income Tax Information

 

The Portfolios have followed the authoritative guidance on accounting for and disclosure of uncertainty in tax positions, which requires the Portfolios to determine whether a tax position is more likely than not to be sustained upon examination, including resolution of any related appeals or litigation processes, based on the technical merits of the position. The Portfolios have determined that there was no effect on the financial statements from following this authoritative guidance. In the normal course of business, the Portfolios are subject to examination by federal, state and local jurisdictions, where applicable, for tax years for which applicable statutes of limitations have not expired.

 

As of August 31, 2022, the federal tax cost and aggregate gross unrealized appreciation and depreciation of investments held by each Portfolio were as follows:

 

   

FEDERAL TAX
COST

   

UNREALIZED
APPRECIATION

   

UNREALIZED
(DEPRECIATION)

   

NET
UNREALIZED
APPRECIATION/
(DEPRECIATION)

 

Matson Money U.S. Equity Fund

  $ 24,782,062     $ 4,079,158     $ (993,209 )   $ 3,085,949  

Matson Money International Equity Fund

    20,885,586       685,789       (2,424,682 )     (1,738,893 )

Matson Money Fixed Income Fund

    30,139,701       37,189       (1,827,472 )     (1,790,283 )

 

Distributions to shareholders from net investment income and realized gains are determined in accordance with federal income tax regulations, which may differ from net investment income and realized gains recognized for financial reporting purposes. Accordingly, the character of distributions and composition of net assets for tax purposes may differ from those reflected in the accompanying financial statements. To the extent these differences are permanent, such amounts are reclassified within the capital accounts based on the tax treatment; temporary differences do not require such reclassification.

 

23

 

 

MATSON MONEY VI PORTFOLIOS

Notes to Financial Statements (CONTINUED)

February 28, 2023 (Unaudited)

 

Permanent differences as of August 31, 2022, primarily attributed to short-term capital gain distributions, distribution reclass, and dividend reclass. There were no permanent differences between distributable earnings/(loss) and paid in capital.

 

As of August 31, 2022, the components of distributable earnings on a tax basis were as follows:

 

   

Undistributed
Ordinary Income

   

Undistributed
Long-Term
Capital Gains

   

Capital Loss
Carry Forwards

   

Net
Unrealized
Appreciation/
(Depreciation)

 

Matson Money U.S. Equity Fund

  $ 14,896     $ 2,518,074     $     $ 3,085,949  

Matson Money International Equity Fund

    102,331       210,263             (1,738,893 )

Matson Money Fixed Income Fund

    68,675             (53,229 )     (1,790,283 )

 

The differences between the book and tax basis components of distributable earnings relate primarily to the timing of recognition of income and gains for federal income tax purposes. Short-term and foreign currency gains, if applicable, are reported as ordinary income for federal income tax purposes.

 

The tax character of distributions paid during the fiscal year ended August 31, 2022 was as follows:

 

           

ORDINARY
INCOME

   

LONG-TERM
GAINS

   

RETURN OF
CAPITAL

   

TOTAL

 

Matson Money U.S. Equity Fund

          $ 290,468     $ 2,000,571     $     $ 2,291,039  

Matson Money International Equity Fund

            679,887       681,573             1,361,460  

Matson Money Fixed Income Fund

            100,067                   100,067  

 

Distributions from net investment income and short-term capital gains are treated as ordinary income for federal income tax purposes.

 

Pursuant to federal income tax rules applicable to regulated investment companies, the Funds may elect to treat certain capital losses between November 1 and August 31 and late year ordinary losses ((i) ordinary losses between January 1 and August 31, and (ii) specified ordinary and currency losses between November 1 and August 31) as occurring on the first day of the following tax year. For the fiscal year ended August 31, 2022, any amount of losses elected within the tax return will not be recognized for federal income tax purposes until September 1, 2022. The Matson Money Fixed Income Fund deferred qualified late-year losses of $53,229 which will be treated as arising on the first business day of the following fiscal year.

 

The Funds are permitted to carry forward capital losses for an unlimited period. Capital losses that are carried forward will retain their character as either short-term or long-term capital losses. As of August 31, 2022, the Funds had no unexpiring short-term or long-term losses.

 

6.

NEW ACCOUNTING PRONOUNCEMENTS AND REGULATORY UPDATES

 

In June 2022, the FASB issued Accounting Standards Update 2022-03, which amends Fair Value Measurement (Topic 820): Fair Value Measurement of Equity Securities Subject to Contractual Sale Restrictions (“ASU 2022-03”). ASU 2022-03 clarifies guidance for fair value measurement of an equity security subject to a contractual sale restriction and establishes new disclosure requirements for such equity securities. ASU 2022-03 is effective for fiscal years beginning after December 15, 2023 and for interim periods within those fiscal years, with early adoption permitted. Management is currently evaluating the impact of these amendments on the financial statements.

 

24

 

 

MATSON MONEY VI PORTFOLIOS

Notes to Financial Statements (concluded)

February 28, 2023 (Unaudited)

 

7.

Subsequent Events

 

Management has evaluated the impact of all subsequent events on the Funds through the date the financial statements were issued and has determined there were no subsequent events.

 

25

 

 

MATSON MONEY VI PORTFOLIOS

Other Information

(Unaudited)

 

Proxy Voting

 

Policies and procedures that the Portfolios use to determine how to vote proxies relating to portfolio securities as well as information regarding how the Portfolios voted proxies relating to portfolio securities for the most recent twelve-month period ended June 30 are available without charge, upon request, by calling Matson Money VI Portfolios at (866) 780-0357, ext. 3863 and on the SEC’s website at http://www.sec.gov.

 

Quarterly Portfolio Schedules

 

The Company files a complete schedule of portfolio holdings with the SEC for the first and third fiscal quarters of each fiscal year (quarters ended November 30 and May 31) as an exhibit to its report on Form N-PORT. The Company’s Form N-PORT is available on the SEC’s website at http://www.sec.gov.

 

26

 

 

[THIS PAGE INTENTIONALLY LEFT BLANK]

 

 

Investment Adviser

Matson Money, Inc.
5955 Deerfield Blvd.
Mason, OH 45040

 

Administrator and Transfer Agent

U.S. Bancorp Fund Services, LLC
P.O. Box 701
Milwaukee, WI 53201

 

Principal Underwriter

Vigilant Distributors, LLC
Gateway Corporate Center, Suite 216
223 Wilmington West Chester Pike
Chadds Ford, PA 19317

 

Custodian

U.S. Bank, N.A.
1555 North Rivercenter Drive, Suite 302
Milwaukee, WI 53212

 

Independent Registered Public Accounting Firm

PricewaterhouseCoopers LLP
Two Commerce Square, Suite 1800
2001 Market Street
Philadelphia, PA 19103-7042

 

Legal Counsel

Faegre Drinker Biddle & Reath LLP
One Logan Square, Suite 2000
Philadelphia, PA 19103-6996

 

MMFI-SAR23

 

 

 

 

Semi-ANNUAL
report 2023

Motley Fool Asset Management ETFs
Series of The RBB Fund, Inc.

2/28/23
(UNAUDITED)

 

Motley Fool Global Opportunities ETF

Motley Fool Mid-Cap Growth ETF

Motley Fool 100 Index ETF

Motley Fool Small-Cap Growth ETF

Motley Fool Capital Efficiency 100 Index ETF

Motley Fool Next Index ETF

 

 

 

 

Motley Fool Global Opportunities ETF (TMFG)

Motley Fool Mid-Cap Growth ETF (TMFM)

Motley Fool 100 Index ETF (TMFC)

Motley Fool Small-Cap Growth ETF (TMFS)

Motley Fool Capital Efficiency 100 Index ETF (TMFE)

Motley Fool Next Index ETF (TMFX)

 

 

Table of Contents

 

   

Portfolio Characteristics

1

Fund Expense Examples

14

Schedules of Investments

16

Financial Statements

47

Notes to Financial Statements

65

Notice to Shareholders

79

 

 

 

 

Motley Fool GLOBAL OPPORTUNITIES ETF

Portfolio Characteristics

(Unaudited)

 

Average Annual Total Returns for the periods ended February 28, 2023

 

SIX
MONTHS

One
Year

Five
Years

Since
Inception

Inception
Date

Motley Fool Global Opportunities ETF*

0.71%

-11.64%

5.76%

7.84%

6/17/2014

FTSE Global All Cap Net Tax Index**

3.80%

-7.88%

6.06%

6.81%(1)

Fund Expense Ratio:(2) 0.85%

 

The performance data quoted represents past performance and does not guarantee future results. Current performance may be lower or higher. Performance data current to the most recent month-end may be obtained at www.fooletfs.com. The investment return and principal value of an investment will fluctuate so that shares, when redeemed, may be worth more or less than their original cost.

 

Not annualized.

 

(1)

Benchmark performance is from inception date of the Fund only and is not the inception date of the benchmark itself.

 

(2)

The expense ratios of the Fund are set forth according to the Prospectus for the Fund and may differ from the expense ratios disclosed in the Financial Highlights tables in this report. See the Financial Highlights for more current expense ratios.

 

*

The Motley Fool Global Opportunities ETF operated as a series of The Motley Fool Funds Trust (the “Predecessor Fund”) prior to December 21, 2016 at which time the Predecessor Fund was reorganized into the Fund. The performance shown for periods prior to December 21, 2016 represents the performance of the Predecessor Fund. These returns reflect expense waivers by the Fund’s investment adviser. Without these waivers, returns would have been lower.

 

**

The FTSE Global All Cap Net Tax Index is a market-capitalization weighted index representing the performance of large, mid and small cap companies in Developed and Emerging markets. The index is comprised of approximately 9,500 securities from 49 countries and captures 98% of the world’s investable market capitalization. Fair value prices and foreign exchange as of 4 pm ET are used in the calculation of this index, and returns are adjusted for withholding taxes applicable to dividends received by a U.S. Regulated Investment Company domiciled in the United States. The index is unmanaged and not available for direct investments. Its performance does not reflect deductions for fees, expenses or taxes.

 

 

1

 

 

Motley Fool GLOBAL OPPORTUNITIES ETF

Portfolio Characteristics (CONTINUED)

(Unaudited)

 

The investment objective of the Motley Fool Global Opportunities ETF is to achieve long-term capital appreciation, and it pursues this objective by investing primarily in common stocks of companies located anywhere in the world. The Fund seeks long-term growth by identifying and acquiring securities of companies that are, in the view of Motley Fool Asset Management, LLC (the “Adviser”), high quality. To identify these high-quality businesses, the Adviser engages in research to evaluate each company under consideration using four criteria: management, culture, and incentives; the economics of the business; competitive advantage; and trajectory. The Adviser’s approach prizes a long-term mindset and a balance of qualitative and quantitative factors.

 

The Fund will invest in areas of the market, that, in the view of the Adviser, offer the greatest potential for long-term capital appreciation, and it does not attempt to match the allocations of its benchmark. As such, significant deviation from the benchmark is expected from time to time, especially over shorter time frames.

 

The allocations to various sectors, countries, or any other macro-economic designation, are the byproduct of rigorous bottom-up analysis rather than an intentional top-down opinion of asset classes. While market conditions are constantly changing, exposure to equity market risk is needed to consistently achieve equity-like returns.

 

The following tables show the top ten holdings, sector allocations, and top ten countries in which the Fund was invested in as of February 28, 2023. Portfolio holdings are subject to change without notice.

 

Top Ten Holdings

% OF NET
Assets

Mastercard, Inc., Class A

6.2%

Watsco, Inc.

4.5

Amazon.com, Inc.

4.4

Waste Connections, Inc.

4.2

Axon Enterprise, Inc.

4.2

International Container Terminal Services, Inc.

3.8

Yum China Holdings, Inc.

3.7

ICON PLC

3.7

Cellnex Telecom SA

3.6

MercadoLibre, Inc.

3.6

 

41.9%

 

2

 

 

 

Motley Fool GLOBAL OPPORTUNITIES ETF

Portfolio Characteristics (Concluded)

(Unaudited)

 

The Motley Fool Global Opportunities ETF uses the Global Industry Classification StandardSM (“GICS SM”) as the basis for the classification of securities on the Schedule of Investments (“SOI”).

 

Sector Allocation

% OF Net
Assets

Industrials

21.0%

Information Technology

19.8

Consumer Discretionary

14.8

Financials

12.6

Communication Services

11.7

Real Estate

7.8

Health Care

7.5

Consumer Staples

2.3

 

97.5%

 

Top ten Countries

% OF Net
Assets

United States*

55.5%

Canada

8.6

Ireland

6.1

Philippines

3.8

China

3.7

Spain

3.6

Argentina

3.6

Taiwan

3.2

United Kingdom

3.0

India

2.9

 

94.0%

 

*

As of the date of this report, the Fund had a holding of 2.3% in the U.S. Bank Money Market Deposit Account

 

 

3

 

 

Motley Fool MID-CAP GROWTH ETF

Portfolio Characteristics

(Unaudited)

 

Average Annual Total Returns for the periods ended February 28, 2023

 

SIX
MONTHS

One
Year

Five
Years

Since
Inception

Inception
Date

Motley Fool Mid-Cap Growth ETF*

-0.03%

-12.17%

3.67%

6.97%

6/17/2014

Russell MidCap®* Growth Total Return Index**

5.31%

-8.31%

8.74%

9.61%(1)

Fund Expense Ratio:(2) 0.85%

 

The performance data quoted represents past performance and does not guarantee future results. Current performance may be lower or higher. Performance data current to the most recent month-end may be obtained at www.fooletfs.com. The investment return and principal value of an investment will fluctuate so that shares, when redeemed, may be worth more or less than their original cost.

 

Not annualized.

 

(1)

Benchmark performance is from inception date of the Fund only and is not the inception date of the benchmark itself.

 

(2)

The expense ratios of the Fund are set forth according to the Prospectus for the Fund and may differ from the expense ratios disclosed in the Financial Highlights tables in this report. See the Financial Highlights for more current expense ratios.

 

*

The Motley Fool Mid-Cap Growth ETF operated as a series of The Motley Fool Funds Trust (the “Predecessor Fund”) prior to December 21, 2016 at which time the Predecessor Fund was reorganized into the Fund. The performance shown for periods prior to December 21, 2016 represents the performance of the Predecessor Fund. These returns reflect expense waivers by the Fund’s investment adviser. Without these waivers, returns would have been lower.

 

**

The Russell Midcap® Growth Total Return Index measures the performance of the mid-cap growth segment of the U.S. equity universe. It includes those Russell Midcap® Index companies with higher price-to-book ratios and higher forecasted growth values. The Russell Midcap® Growth Total Return Index is constructed to provide a comprehensive and unbiased barometer of the mid-cap growth market. The Index is completely reconstituted annually to ensure larger stocks do not distort the performance and characteristics of the true mid-cap growth market.

 

The investment objective of the Motley Fool Mid-Cap Growth ETF is to achieve long-term capital appreciation, and it pursues this objective by investing primarily in common stocks of companies organized in the United States. The Fund seeks long-term growth by identifying and acquiring securities of companies that are, in the view of the Adviser, high quality. To identify these high-quality businesses, the Adviser engages in research to evaluate each company under consideration using four criteria: management, culture, and incentives; the economics of the business; competitive advantage; and trajectory. The Adviser’s approach prizes a long-term mindset and a balance of qualitative and quantitative factors.

 

The Fund will invest in areas of the market, that, in the view of the Adviser, offer the greatest potential for long-term capital appreciation, and it does not attempt to match the allocations of its benchmark. As such, significant deviation from the benchmark is expected from time to time, especially over shorter time frames.

 

The allocations to various sectors, or any other macro-economic designation, are the byproduct of rigorous bottom-up analysis rather than an intentional top-down opinion of asset classes. While market conditions are constantly changing, exposure to equity market risk is needed to consistently achieve equity-like returns. The Adviser views its time as best spent focused on evaluating businesses and seeking to minimize company-specific risk in order to pursue its objective of long-term capital appreciation.

 

Although the Motley Fool Mid-Cap Growth ETF may invest in companies with any market capitalization, the Adviser expects that investments in the securities of companies having smaller- and mid-market capitalizations will be important components of the Fund’s investment program. Investments in securities of these companies may involve greater risk than do investments in larger, more established companies. Small- and mid-cap stocks tend to be more volatile and less liquid than their large-cap counterparts.

 

4

 

 

 

Motley Fool MID-CAP GROWTH ETF

Portfolio Characteristics (Concluded)

(Unaudited)

 

The following tables show the top ten holdings, and sector allocations in which the Fund was invested in as of February 28, 2023.Portfolio holdings are subject to change without notice.

 

Top ten Holdings

% OF Net
Assets

Axon Enterprise, Inc.

6.1%

Watsco, Inc.

5.9

Markel Corp.

5.0

SBA Communications Corp.

5.0

Brown & Brown, Inc.

4.8

ResMed, Inc.

4.6

Fastenal Co.

4.2

Paylocity Holding Corp.

4.0

Tyler Technologies, Inc.

3.9

Gentex Corp.

3.6

 

47.1%

 

The Motley Fool Mid-Cap Growth ETF uses the Global Industry Classification StandardSM (“GICS SM”) as the basis for the classification of securities on the Schedule of Investments (“SOI”).

 

Sector Allocation

% OF Net
Assets

Information Technology

24.0%

Industrials

20.6

Financials

12.5

Consumer Discretionary

11.9

Health Care

11.8

Real Estate

8.5

Materials

2.5

 

91.8%

 

 

5

 

 

Motley Fool 100 Index ETF

Portfolio Characteristics

(Unaudited)

 

AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIODS ENDED February 28, 2023

 

SIX
MONTHS

One
Year

Five
Years

Since
Inception

Inception
Date

Motley Fool 100 Index ETF

-2.90%

-15.09%

11.51%

10.75%

1/29/2018

Motley Fool 100 Index*

-2.63%

-14.66%

12.10%

11.31%(1)

S&P 500* Total Return Index**

1.26%

-7.69%

9.82%

8.63%(1)

Fund Expense Ratio:(2) 0.50%

         

 

The performance data quoted represents past performance and does not guarantee future results. Current performance may be lower or higher. Performance data current to the most recent month-end may be obtained at www.fooletfs.com. The investment return and principal value of an investment will fluctuate so that shares, when redeemed, may be worth more or less than their original cost.

 

Not annualized.

 

(1)

Benchmark performance is from inception date of the Fund only and is not the inception date of the benchmark itself.

 

(2)

The expense ratio of the Fund is set forth according to the Prospectus for the Fund and may differ from the expense ratio disclosed in the Financial Highlights table in this report. See the Financial Highlights for most current expense ratio.

 

*

The Motley Fool 100 Index (“Fool 100 Index”) was developed by The Motley Fool, LLC (“The Motley Fool”), an affiliate of Motley Fool Asset Management, LLC (“Adviser”), in 2017 and is a proprietary, rules-based index designed to track the performance of the 100 largest, most liquid U.S. companies that have been recommended by The Motley Fool’s analysts and newsletters or the highest-rated stocks in Fool IQ, the company’s analyst opinion database. Every company included in the Fool 100 Index is incorporated and listed in the U.S. The Fool 100 Index is calculated and administered by Solactive AG (the “Index Calculation Agent”), which is not affiliated with the Fund, the Adviser or The Motley Fool. Additional information regarding the Fool 100 Index, including its value, is available on the websites of the Fund at www.fooletfs.com and the Index Calculation Agent, at www.solactive.com. You cannot invest directly in an index.

 

**

The S&P 500® Total Return Index is the total return version of the S&P 500® Index. Dividends are reinvested on a daily basis and all regular cash dividends are assumed reinvested in the index on the ex-dividend date. The S&P 500® Index is a market-capitalization-weighted index of 500 US stocks chosen for market size, liquidity and industry grouping, among other factors. The S&P 500® Index is designed to be a leading indicator of U.S. equities and is meant to reflect the risk/return characteristics of the large cap universe. The S&P 500® Index was first introduced on the 1st of January, 1923, though expanded to 500 stocks on March 4, 1957.

 

6

 

 

 

Motley Fool 100 Index ETF

Portfolio Characteristics (Concluded)

(Unaudited)

 

The following tables show the top ten holdings and sector allocations, in which the Motley Fool 100 Index ETF was invested in as of February 28, 2023. Portfolio holdings are subject to change without notice.

 

Top TEN Holdings

% OF Net
Assets

Apple, Inc.

13.5%

Microsoft Corp.

10.7

Alphabet, Inc., Class C

6.7

Amazon.com, Inc.

5.5

Berkshire Hathaway, Inc., Class B

3.9

Tesla, Inc.

3.7

NVIDIA Corp.

3.3

Meta Platforms, Inc., Class A

2.6

Visa, Inc., Class A

2.6

UnitedHealth Group, Inc.

2.6

 

55.1%

 

The Motley Fool 100 Index ETF uses the Global Industry Classification StandardSM (“GICSSM”) as the basis for the classification of securities on the Schedule of Investments (“SOI”). We believe that this makes the SOI classifications more standard with the rest of the industry.

 

Sector Allocation

% OF Net
Assets

Information Technology

42.9%

Consumer Discretionary

15.2

Communication Services

13.1

Health Care

11.5

Financials

9.1

Industrials

3.7

Consumer Staples

1.5

Real Estate

1.4

Utilities

0.8

Materials

0.6

Energy

0.2

 

100.0%

 

 

7

 

 

MOTLEY FOOL SMALL-CAP GROWTH ETF

Portfolio Characteristics

(Unaudited)

 

AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIODS ENDED February 28, 2023

 

SIX
MONTHS

One
Year

THREE
YEARS

Since
Inception

Inception
Date

Motley Fool Small-Cap Growth ETF

5.75%

-14.06%

3.98%

9.13%

10/29/2018

Russell 2000 Growth Total Return® Index*

3.06%

-7.92%

6.51%

6.58%(1)

Fund Expense Ratio:(2) 0.85%

         

 

The performance data quoted represents past performance and does not guarantee future results. Current performance may be lower or higher. The investment return and principal value of an investment will fluctuate so that shares, when redeemed or sold, may be worth more or less than their original cost.

 

Not annualized.

 

(1)

Benchmark performance is from inception date of the Fund only and is not the inception date of the benchmark itself.

 

(2)

The expense ratio of the Fund is set forth according to the Prospectus for the Fund and may differ from the expense ratio disclosed in the Financial Highlights table in this report. See the Financial Highlights for most current expense ratio.

 

*

The Russell 2000 Growth Total Return® Index measures the performance of those companies included in the Russell 2000 Index with higher price-to-book ratios and higher forecasted earnings growth rates. The Russell 2000 Index measures the performance of approximately 2,000 companies with small-market capitalizations.

 

8

 

 

 

MOTLEY FOOL SMALL-CAP GROWTH ETF

Portfolio Characteristics (CONCLUDED)

(Unaudited)

 

The following tables show the top ten holdings and sector allocations, in which the Motley Fool Small-Cap Growth ETF was invested in as of February 28, 2023. Portfolio holdings are subject to change without notice.

 

Top TEN Holdings

% OF Net
Assets

Penumbra, Inc.

5.8%

Alarm.com Holdings, Inc.

4.5

Leonardo DRS, Inc.

4.2

Heska Corp.

4.1

Watsco, Inc.

4.0

Landstar System, Inc.

4.0

Howard Hughes Corp., (The)

3.9

Globus Medical, Inc., Class A

3.9

Goosehead Insurance, Inc., Class A

3.5

Gentex Corp.

3.4

 

41.3%

 

The Motley Fool Small-Cap Growth ETF uses GICSSM as the basis for the classification of securities on the Schedule of Investments.

 

Sector Allocation

% OF Net
Assets

Health Care

25.3%

Industrials

21.9

Information Technology

13.8

Real Estate

9.4

Consumer Discretionary

7.9

Financials

7.4

Energy

2.9

Materials

1.5

 

90.1%

 

 

9

 

 

MOTLEY FOOL CAPITAL EFFICIENCY 100 INDEX ETF

Portfolio Characteristics

(Unaudited)

 

AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIODS ENDED February 28, 2023

 

SIX
MONTHS

One
Year

Since
Inception

Inception
Date

Motley Fool Capital Efficiency 100 Index ETF

0.47%

-11.62%

-19.90%

12/30/2021

Motley Fool Capital Efficiency 100 Index*

0.76%

-11.30%

-19.65%(1)

S&P 500 Total Return Index**

1.26%

-7.69%

-13.30%(1)

Fund Expense Ratio:(2) 0.50%

       

 

The performance data quoted represents past performance and does not guarantee future results. Current performance may be lower or higher. The investment return and principal value of an investment will fluctuate so that shares, when redeemed or sold, may be worth more or less than their original cost.

 

Not annualized.

 

(1)

Benchmark performance is from inception date of the Fund only and is not the inception date of the benchmark itself.

 

(2)

The expense ratio of the Fund is set forth according to the Prospectus for the Fund and may differ from the expense ratio disclosed in the Financial Highlights table in this report. See the Financial Highlights for most current expense ratio.

 

*

The Motley Fool Capital Efficiency 100 Index (“Capital Efficiency 100 Index”) was developed by The Motley Fool, LLC (“The Motley Fool”), an affiliate of Motley Fool Asset Management, LLC (“Adviser”), in 2021 and is a proprietary, rules-based index designed to track the performance of the highest scoring stocks of U.S. companies, measured by a company’s capital efficiency, that have been recommended by The Motley Fool’s analysts and newsletters, and that also meet certain liquidity requirements. Capital efficiency is a measure of how a business turns its investments into revenue and profit and it provides insight into the company’s return on invested capital. Every company included in the Capital Efficiency 100 Index is incorporated and listed in the U.S. The Capital Efficiency 100 Index is calculated and administered by Solactive AG (the “Index Calculation Agent”), which is not affiliated with the Fund, the Adviser or The Motley Fool. Additional information regarding the Capital Efficiency 100 Index, including its value, is available on the websites of the Fund at www.fooletfs.com and the Index Calculation Agent, at www.solactive.com. You cannot invest directly in an index.

 

**

The S&P 500® Total Return Index is the total return version of the S&P 500® Index. Dividends are reinvested on a daily basis and all regular cash dividends are assumed reinvested in the index on the ex-dividend date. The S&P 500® Index is a market-capitalization-weighted index of 500 US stocks chosen for market size, liquidity and industry grouping, among other factors. The S&P 500® Index is designed to be a leading indicator of U.S. equities and is meant to reflect the risk/return characteristics of the large cap universe. The S&P 500® Index was first introduced on the 1st of January, 1923, though expanded to 500 stocks on March 4, 1957.

 

10

 

 

 

MOTLEY FOOL CAPITAL EFFICIENCY 100 INDEX ETF

Portfolio Characteristics (CONCLUDED)

(Unaudited)

 

The following tables show the top ten holdings and sector allocations, in which the Motley Fool Capital Efficiency 100 Index ETF was invested in as of February 28, 2023. Portfolio holdings are subject to change without notice.

 

Top TEN Holdings

% OF Net
Assets

Meta Platforms, Inc., Class A

7.2%

Apple, Inc.

5.3

Amazon.com, Inc.

5.2

Visa, Inc., Class A

5.1

Mastercard, Inc., Class A

5.0

Microsoft Corp.

4.9

Alphabet, Inc., Class C

4.8

Home Depot, Inc., (The)

4.4

UnitedHealth Group, Inc.

4.3

Johnson & Johnson

4.2

 

50.4%

 

The Motley Fool Capital Efficiency 100 Index ETF uses GICSSM as the basis for the classification of securities on the Schedule of Investments.

 

Sector Allocation

% OF Net
Assets

Information Technology

39.1%

Health Care

17.4

Consumer Discretionary

15.9

Communication Services

15.7

Industrials

5.7

Consumer Staples

4.3

Materials

1.5

Financials

0.4

 

100.0%

 

 

11

 

 

MOTLEY FOOL NEXT INDEX ETF

Portfolio Characteristics

(Unaudited)

 

AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIODS ENDED February 28, 2023

 

SIX
MONTHS

One
Year

Since
Inception

Inception
Date

Motley Fool Next Index ETF

1.74%

-12.71%

-20.62%

12/30/2021

Motley Fool Next Index*

1.96%

-12.33%

-20.33%(1)

Russell Midcap®* Growth Total Return Index**

5.31%

-8.31%

-18.73%(1)

Fund Expense Ratio:(2) 0.50%

       

 

The performance data quoted represents past performance and does not guarantee future results. Current performance may be lower or higher. The investment return and principal value of an investment will fluctuate so that shares, when redeemed or sold, may be worth more or less than their original cost.

 

Not annualized.

 

(1)

Benchmark performance is from inception date of the Fund only and is not the inception date of the benchmark itself.

 

(2)

The expense ratio of the Fund is set forth according to the Prospectus for the Fund and may differ from the expense ratio disclosed in the Financial Highlights table in this report. See the Financial Highlights for most current expense ratio.

 

*

The Motley Fool Next Index (“Next Index”) was developed by The Motley Fool, LLC (“The Motley Fool”), an affiliate of Motley Fool Asset Management, LLC (“Adviser”), in 2021 and is a proprietary, rules-based index designed to track the performance of the 100 largest, most liquid U.S. companies that have been recommended by The Motley Fool’s analysts and newsletters. Every company included in the Capital Efficiency 100 Index is incorporated and listed in the U.S. The Next Index is calculated and administered by Solactive AG (the “Index Calculation Agent”), which is not affiliated with the Fund, the Adviser or The Motley Fool. Additional information regarding the Next Index, including its value, is available on the websites of the Fund at www.fooletfs.com and the Index Calculation Agent, at www.solactive.com. You cannot invest directly in an index.

 

**

The Russell Midcap® Growth Total Return Index measures the performance of the mid-cap growth segment of the U.S. equity universe. It includes those Russell Midcap® Index companies with higher price-to-book ratios and higher forecasted growth values. The Russell Midcap® Growth Total Return Index is constructed to provide a comprehensive and unbiased barometer of the mid-cap growth market. The Index is completely reconstituted annually to ensure larger stocks do not distort the performance and characteristics of the true mid-cap growth market.

 

12

 

 

 

MOTLEY FOOL NEXT INDEX ETF

Portfolio Characteristics (CONCLUDED)

(Unaudited)

 

The following tables show the top ten holdings and sector allocations, in which the Motley Fool Next Index ETF was invested in as of February 28, 2023. Portfolio holdings are subject to change without notice.

 

Top TEN Holdings

% OF Net
Assets

Corning, Inc.

1.9%

Nasdaq, Inc.

1.8

Trade Desk, Inc., (The) Class A

1.8

Ulta Beauty, Inc.

1.7

Gartner, Inc.

1.7

Tractor Supply Co.

1.7

Alnylam Pharmaceuticals, Inc.

1.5

McCormick & Co., Inc.

1.3

HEICO Corp.

1.3

Insulet Corp.

1.2

 

15.9%

 

The Motley Fool Next Index ETF uses GICSSM as the basis for the classification of securities on the Schedule of Investments.

 

Sector Allocation

% OF Net
Assets

Information Technology

33.8%

Consumer Discretionary

16.7

Health Care

12.5

Industrials

11.8

Financials

10.2

Communication Services

8.8

Consumer Staples

3.6

Real Estate

1.2

Materials

1.0

Energy

0.5

 

0.3

 

100.4%

 

 

 

13

 

 

Motley Fool Asset Management ETFs

Fund Expense Examples

FEBRUARY 28, 2023 (UNAUDITED)

 

As a shareholder of the Fund(s), you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments, (if any), including brokerage commissions on purchases and sales of Fund shares, and (2) ongoing costs, including management fees, distribution and/or service (12b-1) fees. These examples are intended to help you understand your ongoing costs (in dollars) of investing in the Fund(s) and to compare these costs with the ongoing costs of investing in other ETFs.

 

These examples are based on an investment of $1,000 invested at the beginning of the six-month period from September 1, 2022 through February 28, 2023, and held for the entire period.

 

Actual Expenses

 

The first line of the accompanying table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.

 

Hypothetical Examples for Comparison Purposes

 

The second line of the accompanying table provides information about hypothetical account values and hypothetical expenses based on each Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in a Fund and other funds. To do so, compare these 5% hypothetical examples with the 5% hypothetical examples that appear in the shareholder reports of other funds.

 

Please note that the expenses shown in the accompanying table are meant to highlight your ongoing costs only and do not reflect any transactional costs. Therefore, the second line of the accompanying table is useful in comparing ongoing costs only and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.

 

Do you know how many times a fund, or the market, has returned a smooth 5% over a long period of time? Never. But we have to pick some example. In reality, the market’s returns are always far bumpier, with the market returning 20% one year, followed by a loss of 10% the next year, followed by a 3% gain,etc. These variations affect actual expenses as well. Happily, over almost all time periods of 20 years or longer, according to the research of University of Pennsylvania’s Jeremy Siegel and others, the domestic market’s returns have been at least 5% per year on average.

 

 

14

 

 

 

Motley Fool Asset Management ETFs

Fund Expense Examples (Concluded)

FEBRUARY 28, 2023 (UNAUDITED)

 

 

Beginning
Account Value
September 1,
2022

Ending
Account Value
February 28,
2023

Expenses
Paid During
Period
(1)

Annualized
Expense
Ratio

Actual Six-Month Total Investment Returns
for the Funds

Motley Fool 100 Index ETF

         

Actual

$ 1,000.00

$ 971.00

$ 2.44

0.50%

-2.90%

Hypothetical (5% return before expenses)

1,000.00

1,022.32

2.51

0.50%

N/A

Motley Fool Small-Cap Growth ETF

         

Actual

$ 1,000.00

$ 1,057.50

$ 4.34

0.85%

5.75%

Hypothetical (5% return before expenses)

1,000.00

1,020.58

4.26

0.85%

N/A

Motley Fool Global Opportunities ETF

         

Actual

$ 1,000.00

$ 1,007.10

$ 4.23

0.85%

0.71%

Hypothetical (5% return before expenses)

1,000.00

1,020.58

4.26

0.85%

N/A

Motley Fool Mid-Cap Growth ETF

         

Actual

$ 1,000.00

$ 999.70

$ 4.21

0.85%

-0.03%

Hypothetical (5% return before expenses)

1,000.00

1,020.58

4.26

0.85%

N/A

Motley Fool Capital Efficiency 100 Index ETF

       

Actual

$ 1,000.00

$ 1,022.32

$ 2.51

0.50%

0.47%

Hypothetical (5% return before expenses)

1,000.00

1,022.32

2.51

0.50%

N/A

Motley Fool Next Index ETF

         

Actual

$ 1,000.00

$ 1,000.00

$ 2.51

0.50%

1.74%

Hypothetical (5% return before expenses)

1,000.00

1,022.32

2.51

0.50%

N/A

 

(1)

Expenses are equal to the Fund’s annualized expense ratio for the period September 1, 2022 through February 28, 2023, multiplied by the average account value over the period, multiplied by the number of days (181) in the most recent fiscal half-year, then divided by 365 to reflect the one-half year period. The Fund’s ending account value in the first section in the table is based on the actual since inception total investment return for the Fund.

 

 

15

 

 

Motley Fool global opportunities ETF

Schedule of Investments

FEBRUARY 28, 2023 (UNAUDITED)

 

 

 

Number of
Shares

   

Value
(Note 2)

 

 

               

Common Stocks — 97.5%

               

Aerospace & Defense — 4.2%

               

Axon Enterprise, Inc. (United States)*

    85,954     $ 17,217,446  

Banks — 6.8%

               

Bank of Georgia Group PLC (Georgia)

    243,452       8,170,120  

HDFC Bank., Ltd., ADR (India)

    175,060       11,841,059  

Signature Bank (United States)(a)

    49,302       5,672,195  

SVB Financial Group (United States)*(a)

    8,076       2,326,776  
              28,010,150  

Capital Markets — 3.1%

               

Brookfield Asset Management Ltd., Class A, ADR (Canada)(a)

    61,794       2,077,514  

Brookfield Corp. (Canada)

    247,163       8,218,170  

Georgia Capital PLC (Georgia)*

    258,167       2,537,077  
              12,832,761  

Commercial Services & Supplies — 4.2%

               

Waste Connections, Inc., ADR (Canada)

    128,810       17,250,235  

Diversified Telecommunication Services — 3.6%

               

Cellnex Telecom SA (Spain)

    390,320       14,680,606  

Entertainment — 2.5%

               

Universal Music Group NV (Netherlands)

    440,532       10,413,972  

Equity Real Estate Investment Trusts (REITs) — 6.5%

               

American Tower Corp. (United States)

    37,440       7,413,494  

Equinix, Inc. (United States)

    16,625       11,442,489  

SBA Communications Corp. (United States)

    29,560       7,666,386  
              26,522,369  

Food & Staples Retailing — 2.3%

               

Costco Wholesale Corp. (United States)

    19,171       9,282,215  

Health Care Equipment & Supplies — 3.9%

               

Medtronic PLC, ADR (Ireland)

    122,321       10,128,179  

ResMed, Inc. (United States)

    26,600       5,665,800  
              15,793,979  

Health Care Providers & Services — 0.0%

               

NMC Health PLC (United Arab Emirates)*(b)

    485,482       8,760  

 

 

The accompanying notes are an integral part of these financial statements.

 

16

 

 

 

Motley Fool global opportunities ETF

Schedule of Investments (continued)

FEBRUARY 28, 2023 (UNAUDITED)

 

 

 

Number of
Shares

   

Value
(Note 2)

 

 

               

Common Stocks (continued)

Hotels, Restaurants & Leisure — 6.9%

               

Starbucks Corp. (United States)

    128,810     $ 13,150,213  

Yum China Holdings, Inc. (China)

    257,130       15,101,245  
              28,251,458  

Insurance — 2.7%

               

Aon PLC, Class A, ADR(United Kingdom)

    35,842       10,897,760  

Interactive Media & Services — 3.3%

               

Alphabet, Inc., Class C (United States)*

    150,451       13,585,725  

Internet & Direct Marketing Retail — 7.9%

               

Amazon.com, Inc. (United States)*

    189,787       17,883,629  

MercadoLibre, Inc. (Argentina)*

    11,957       14,587,540  
              32,471,169  

IT Services — 7.5%

               

Mastercard, Inc., Class A (United States)

    71,420       25,374,812  

PayPal Holdings, Inc. (United States)*

    73,050       5,376,480  
              30,751,292  

Life Sciences Tools & Services — 3.7%

               

ICON PLC (Ireland)*

    66,500       15,004,395  

Machinery — 0.5%

               

FANUC Corp. (Japan)

    13,300       2,263,310  

Media — 2.1%

               

Comcast Corp., Class A (United States)

    195,175       7,254,655  

System1 Group PLC (United Kingdom)*

    535,650       1,191,965  
              8,446,620  

Real Estate Management & Development — 1.3%

               

Jones Lang LaSalle, Inc. (United States)*(a)

    30,408       5,304,980  

Road & Rail — 1.9%

               

Canadian National Railway Co., ADR (Canada)

    67,422       7,678,692  

Semiconductors & Semiconductor Equipment — 3.2%

               

Taiwan Semiconductor Manufacturing Co., Ltd., SP ADR (Taiwan)

    152,715       13,296,895  

 

 

The accompanying notes are an integral part of these financial statements.

 

 

17

 

 

Motley Fool global opportunities ETF

Schedule of Investments (continued)

FEBRUARY 28, 2023 (UNAUDITED)

 

 

 

Number of
Shares

   

Value
(Note 2)

 

 

               

Common Stocks (continued)

Software — 9.0%

               

Atlassian Corp., Class A (United States)*(a)

    78,070     $ 12,829,243  

Everbridge, Inc. (United States)*

    94,330       3,082,704  

Paycom Software, Inc. (United States)*

    30,790       8,900,157  

Salesforce.com, Inc. (United States)*

    47,768       7,815,323  

Splunk, Inc. (United States)*

    43,225       4,430,563  
              37,057,990  

Trading Companies & Distributors — 6.4%

               

Fastenal Co. (United States)

    152,252       7,850,113  

Watsco, Inc. (United States)(a)

    60,427       18,412,711  
              26,262,824  

Transportation Infrastructure — 3.8%

               

International Container Terminal Services, Inc. (Philippines)

    4,306,156       15,544,173  

Wireless Telecommunication Services — 0.2%

               

Safaricom Ltd., PLC (Kenya)

    4,000,000       734,147  

Total Common Stocks (Cost $246,550,999)

            399,563,923  
                 

Investments Purchased with Proceeds from Securities Lending Collateral — 9.9%

               

Mount Vernon Liquid Assets Portfolio, LLC, 4.67%

    40,518,101       40,518,101  

Total Investments Purchased with Proceeds from Securities Lending Collateral (Cost $40,518,101)

            40,518,101  
                 

 

 

The accompanying notes are an integral part of these financial statements.

 

18

 

 

 

Motley Fool global opportunities ETF

Schedule of Investments (CONCLUDED)

FEBRUARY 28, 2023 (UNAUDITED)

 

 

 

Number of
Shares

   

Value
(Note 2)

 

 

               

Short-Term Investments — 2.3%

               

U.S. Bank Money Market Deposit Account, 4.25% (United States)(c)

    9,386,795     $ 9,386,795  

Total Short-Term Investments (Cost $9,386,795)

            9,386,795  
                 

Total Investments (Cost $296,455,895) — 109.7%

            449,468,819  

Liabilities in Excess of Other Assets — (9.7)%

            (39,763,942 )

NET ASSETS — 100.0%

               

(Applicable to 16,543,873 shares outstanding)

          $ 409,704,877  

 

*

Non-income producing security.

 

ADR — American Depositary Receipt

 

PLC — Public Limited Company

 

SP ADR — Sponsored ADR

 

(a)

All or a portion of the security is on loan. At February 28, 2023, the market value of securities on loan was $39,800,691.

 

(b)

Security has been valued at fair market value using significant unobservable inputs as determined in good faith by the Adviser, as valuation designee, under the oversight of The RBB Fund, Inc.’s Board of Directors. As of February 28, 2023, these securities amounted to $8,760 or 0.0% of net assets.

 

(c)

Seven-day yield as of February 28, 2023.

 

The accompanying notes are an integral part of these financial statements.

 

 

19

 

 

Motley Fool mid-cap growth ETF

Schedule of Investments

FEBRUARY 28, 2023 (UNAUDITED)

 

 

 

Number of
Shares

   

Value
(Note 2)

 
                 

Common Stocks — 91.7%

               

Aerospace & Defense — 6.1%

               

Axon Enterprise, Inc. (United States)*

    58,763     $ 11,770,817  

Air Freight & Logistics — 2.1%

               

GXO Logistics, Inc. (United States)*(a)

    82,181       4,073,712  

Auto Components — 6.3%

               

Gentex Corp. (United States)

    246,545       7,038,860  

LCI Industries (United States)(a)

    45,572       5,140,977  
              12,179,837  

Automobiles — 2.8%

               

Thor Industries, Inc. (United States)(a)

    59,624       5,425,188  

Banks — 2.2%

               

SVB Financial Group (United States)*(a)

    14,818       4,269,214  

Biotechnology — 0.2%

               

Ultragenyx Pharmaceutical, Inc. (United States)*

    9,076       403,791  

Chemicals — 2.5%

               

Eastman Chemical Co. (United States)

    57,284       4,880,597  

Electronic Equipment, Instruments & Components — 2.6%

               

Cognex Corp. (United States)(a)

    104,822       4,970,659  

Equity Real Estate Investment Trusts (REITs) — 4.9%

               

SBA Communications Corp. (United States)

    37,008       9,598,025  

Health Care Equipment & Supplies — 9.0%

               

Cooper Companies, Inc., (The) (United States)(a)

    20,460       6,689,806  

Heska Corp. (United States)*(a)

    22,296       1,815,563  

ResMed, Inc. (United States)(a)

    41,546       8,849,298  
              17,354,667  

Health Care Providers & Services — 2.6%

               

HealthEquity, Inc. (United States)*(a)

    78,090       5,089,125  

Insurance — 10.2%

               

Brown & Brown, Inc. (United States)

    164,362       9,215,777  

Goosehead Insurance, Inc., Class A (United States)*(a)

    18,542       864,984  

Markel Corp. (United States)*

    7,346       9,769,152  
              19,849,913  

 

 

The accompanying notes are an integral part of these financial statements.

 

20

 

 

 

Motley Fool mid-cap growth ETF

Schedule of Investments (Continued)

FEBRUARY 28, 2023 (UNAUDITED)

 

 

 

Number of
Shares

   

Value
(Note 2)

 
                 

Common Stocks (continued)

IT Services — 3.3%

               

Broadridge Financial Solutions, Inc. (United States)

    45,232     $ 6,367,761  

Real Estate Management & Development — 3.6%

               

Jones Lang LaSalle, Inc. (United States)*

    39,898       6,960,605  

Road & Rail — 2.3%

               

RXO, Inc. (United States)*(a)

    82,181       1,690,463  

XPO Logistics, Inc. (United States)*(a)

    82,181       2,741,558  
              4,432,021  

Software — 18.1%

               

Alarm.com Holdings, Inc. (United States)*

    112,531       5,719,951  

ANSYS, Inc. (United States)*

    6,594       2,002,004  

Everbridge, Inc. (United States)*

    31,033       1,014,158  

Paycom Software, Inc. (United States)*

    18,414       5,322,751  

Paylocity Holding Corp. (United States)*(a)

    40,509       7,802,439  

Splunk, Inc. (United States)*

    55,924       5,732,210  

Tyler Technologies, Inc. (United States)*

    23,368       7,506,970  
              35,100,483  

Specialty Retail — 2.8%

               

Tractor Supply Co. (United States)(a)

    23,034       5,372,911  

Trading Companies & Distributors — 10.1%

               

Fastenal Co. (United States)

    159,016       8,198,865  

Watsco, Inc. (United States)(a)

    37,294       11,363,855  
              19,562,720  

Total Common Stocks (Cost $101,796,886)

            177,662,046  
                 

Investments Purchased with Proceeds from Securities Lending Collateral — 24.8%

               

Mount Vernon Liquid Assets Portfolio, LLC, 4.67%

    48,052,898       48,052,898  

Total Investments Purchased with Proceeds from Securities Lending Collateral (Cost $48,052,898)

            48,052,898  
                 

 

 

The accompanying notes are an integral part of these financial statements.

 

 

21

 

 

Motley Fool mid-cap growth ETF

Schedule of Investments (CONCLUDED)

FEBRUARY 28, 2023 (UNAUDITED)

 

 

 

Number of
Shares

   

Value
(Note 2)

 
                 

Short-Term Investments — 8.3%

               

U.S. Bank Money Market Deposit Account, 4.25% (United States)(b)

    15,996,949     $ 15,996,949  

Total Short-Term Investments (Cost $15,996,949)

            15,996,949  
                 

Total Investments (Cost $165,846,733) — 124.8%

            241,711,893  

Liabilities in Excess of Other Assets — (24.8)%

            (48,029,172 )

NET ASSETS — 100.0%

               

(Applicable to 8,542,511 shares outstanding)

          $ 193,682,721  

 

*

Non-income producing security.

 

(a)

All or a portion of the security is on loan. At February 28, 2023, the market value of securities on loan was $46,995,272.

 

(b)

The rate shown is as of February 28, 2023.

 

The accompanying notes are an integral part of these financial statements.

 

22

 

 

 

Motley Fool 100 Index ETF

Schedule of Investments

FEBRUARY 28, 2023 (UNAUDITED)

 

 

 

Number of
Shares

   

Value
(Note 2)

 
                 

Common Stocks — 99.9%

               

Aerospace & Defense — 0.2%

               

TransDigm Group, Inc. (United States)

    1,178     $ 876,279  

Air Freight & Logistics — 0.3%

               

FedEx Corp. (United States)

    5,663       1,150,835  

Automobiles — 3.7%

               

Tesla, Inc. (United States)*

    69,263       14,248,092  

Banks — 2.4%

               

JPMorgan Chase & Co. (United States)

    64,749       9,281,769  

Beverages — 0.3%

               

Monster Beverage Corp. (United States)*

    11,438       1,163,931  

Biotechnology — 2.4%

               

Amgen, Inc. (United States)

    11,704       2,711,349  

Biogen, Inc. (United States)*

    3,166       854,377  

Gilead Sciences, Inc. (United States)

    27,512       2,215,541  

Moderna, Inc. (United States)*(a)

    8,488       1,178,219  

Seagen, Inc. (United States)*

    4,071       731,518  

Vertex Pharmaceuticals, Inc. (United States)*

    5,630       1,634,333  
              9,325,337  

Capital Markets — 2.6%

               

Charles Schwab Corp., (The) (United States)

    40,820       3,180,694  

CME Group, Inc. (United States)

    7,813       1,448,218  

Goldman Sachs Group, Inc, (The) (United States)

    7,780       2,735,837  

Intercontinental Exchange, Inc. (United States)

    12,109       1,232,696  

Moody’s Corp. (United States)

    3,994       1,158,859  
              9,756,304  

Chemicals — 0.6%

               

Ecolab, Inc. (United States)

    6,165       982,516  

Sherwin-Williams Co., (The) (United States)

    5,589       1,237,125  
              2,219,641  

Commercial Services & Supplies — 0.8%

               

Cintas Corp. (United States)

    2,220       973,403  

Copart, Inc. (United States)*

    10,449       736,236  

Waste Management, Inc. (United States)

    8,969       1,343,197  
              3,052,836  

 

 

The accompanying notes are an integral part of these financial statements.

 

 

23

 

 

Motley Fool 100 Index ETF

Schedule of Investments (continued)

FEBRUARY 28, 2023 (UNAUDITED)

 

 

 

Number of
Shares

   

Value
(Note 2)

 
                 

Common Stocks (continued)

               

Communications Equipment — 0.2%

               

Arista Networks, Inc. (United States)*

    6,698     $ 929,013  

Diversified Financial Services — 3.9%

               

Berkshire Hathaway, Inc., Class B (United States)*

    48,424       14,778,036  

Electric Utilities — 0.8%

               

NextEra Energy, Inc. (United States)

    43,591       3,096,269  

Entertainment — 2.7%

               

Activision Blizzard, Inc. (United States)

    16,919       1,290,074  

Electronic Arts, Inc. (United States)(a)

    6,031       669,079  

Netflix, Inc. (United States)*

    9,760       3,143,989  

ROBLOX Corp., Class A (United States)*(a)

    13,000       476,320  

Walt Disney Co., (The) (United States)*

    39,999       3,984,300  

Warner Bros Discovery, Inc. (United States)*(a)

    53,215       831,218  
              10,394,980  

Equity Real Estate Investment Trusts (REITs) — 1.4%

               

American Tower Corp. (United States)

    10,122       2,004,257  

Crown Castle International Corp. (United States)

    9,462       1,237,157  

Digital Realty Trust, Inc. (United States)(a)

    6,224       648,728  

Equinix, Inc. (United States)

    2,031       1,397,876  
              5,288,018  

Food & Staples Retailing — 1.2%

               

Costco Wholesale Corp. (United States)

    9,739       4,715,429  

Health Care Equipment & Supplies — 1.6%

               

Align Technology, Inc. (United States)*

    1,740       538,530  

Becton Dickinson and Co. (United States)

    6,192       1,452,334  

DexCom, Inc. (United States)*

    8,520       945,805  

IDEXX Laboratories, Inc. (United States)*

    1,827       864,609  

Intuitive Surgical, Inc. (United States)*

    7,759       1,779,837  

ResMed, Inc. (United States)

    3,221       686,073  
              6,267,188  

Health Care Providers & Services — 3.9%

               

CVS Health Corp. (United States)

    28,821       2,407,706  

HCA Healthcare, Inc. (United States)

    6,233       1,517,424  

 

 

The accompanying notes are an integral part of these financial statements.

 

24

 

 

 

Motley Fool 100 Index ETF

Schedule of Investments (continued)

FEBRUARY 28, 2023 (UNAUDITED)

 

 

 

Number of
Shares

   

Value
(Note 2)

 
                 

Common Stocks (continued)

               

Health Care Providers & Services (continued)

McKesson Corp. (United States)

    3,119     $ 1,091,057  

UnitedHealth Group, Inc. (United States)

    20,494       9,753,914  
              14,770,101  

Health Care Technology — 0.1%

               

Veeva Systems, Inc., Class A (United States)*

    3,419       566,392  

Hotels, Restaurants & Leisure — 2.2%

               

Airbnb, Inc., Class A (United States)*

    13,917       1,715,688  

Booking Holdings, Inc. (United States)*

    856       2,160,544  

Chipotle Mexican Grill, Inc. (United States)*

    610       909,559  

Marriott International, Inc., Class A (United States)

    6,956       1,177,233  

Starbucks Corp. (United States)

    25,177       2,570,320  
              8,533,344  

Industrial Conglomerates — 0.4%

               

3M Co. (United States)

    12,640       1,361,834  

Insurance — 0.2%

               

Aflac, Inc. (United States)(a)

    13,710       934,337  

Interactive Media & Services — 9.3%

               

Alphabet, Inc., Class C (United States)*

    282,699       25,527,720  

Meta Platforms, Inc., Class A (United States)*

    57,575       10,072,171  
              35,599,891  

Internet & Direct Marketing Retail — 5.7%

               

Amazon.com, Inc. (United States)*

    223,765       21,085,376  

eBay, Inc. (United States)

    11,924       547,312  
              21,632,688  

IT Services — 5.9%

               

Block, Inc. (United States)*(a)

    12,769       979,765  

Cloudflare, Inc., Class A (United States)*(a)

    7,203       432,252  

Cognizant Technology Solutions Corp., Class A (United States)

    11,390       713,356  

Mastercard, Inc., Class A (United States)

    21,090       7,493,066  

PayPal Holdings, Inc. (United States)*

    25,072       1,845,299  

Snowflake, Inc., Class A (United States)*(a)

    7,054       1,088,997  

Visa, Inc., Class A (United States)(a)

    45,216       9,944,807  
              22,497,542  

 

 

The accompanying notes are an integral part of these financial statements.

 

 

25

 

 

Motley Fool 100 Index ETF

Schedule of Investments (continued)

FEBRUARY 28, 2023 (UNAUDITED)

 

 

 

Number of
Shares

   

Value
(Note 2)

 
                 

Common Stocks (continued)

               

Life Sciences Tools & Services — 0.2%

               

Illumina, Inc. (United States)*(a)

    3,440     $ 685,248  

Machinery — 0.2%

               

Cummins, Inc. (United States)

    3,093       751,846  

Oil, Gas & Consumable Fuels — 0.2%

               

Kinder Morgan, Inc. (United States)(a)

    48,847       833,330  

Pharmaceuticals — 3.2%

               

Bristol-Myers Squibb Co. (United States)

    48,688       3,357,524  

Johnson & Johnson (United States)

    57,349       8,789,308  
              12,146,832  

Professional Services — 0.2%

               

CoStar Group, Inc. (United States)*

    8,817       623,009  

Road & Rail — 1.4%

               

Old Dominion Freight Line, Inc. (United States)(a)

    2,429       824,063  

Uber Technologies, Inc. (United States)*

    42,811       1,423,894  

Union Pacific Corp. (United States)

    14,102       2,923,063  
              5,171,020  

Semiconductors & Semiconductor Equipment — 5.8%

               

Advanced Micro Devices, Inc. (United States)*

    35,366       2,779,060  

Broadcom, Inc. (United States)

    9,169       5,449,045  

Lam Research Corp. (United States)

    2,981       1,448,796  

NVIDIA Corp. (United States)

    53,830       12,497,173  
              22,174,074  

Software — 17.8%

               

Adobe Systems, Inc. (United States)*

    10,201       3,304,614  

Autodesk, Inc. (United States)*

    4,682       930,267  

Cadence Design Systems, Inc. (United States)*(a)

    5,958       1,149,536  

Crowdstrike Holdings, Inc., Class A (United States)*

    5,104       616,002  

Datadog, Inc., Class A (United States)*

    6,961       532,656  

Fortinet, Inc. (United States)*

    17,114       1,017,256  

Intuit, Inc. (United States)

    6,115       2,489,906  

Microsoft Corp. (United States)

    163,555       40,793,888  

Oracle Corp. (United States)

    59,083       5,163,854  

 

 

The accompanying notes are an integral part of these financial statements.

 

26

 

 

 

Motley Fool 100 Index ETF

Schedule of Investments (continued)

FEBRUARY 28, 2023 (UNAUDITED)

 

 

 

Number of
Shares

   

Value
(Note 2)

 
                 

Common Stocks (continued)

               

Software (continued)

Palo Alto Networks, Inc. (United States)*(a)

    6,530     $ 1,230,056  

Roper Technologies, Inc. (United States)

    2,305       991,611  

Salesforce.com, Inc. (United States)*

    21,605       3,534,794  

ServiceNow, Inc. (United States)*(a)

    4,387       1,895,930  

Synopsys, Inc. (United States)*

    3,308       1,203,318  

VMware, Inc., Class A (United States)*

    9,221       1,015,509  

Workday, Inc., Class A (United States)*(a)

    5,570       1,033,068  

Zoom Video Communications, Inc., Class A (United States)*

    6,514       485,879  

Zscaler, Inc. (United States)*(a)

    3,162       414,696  
              67,802,840  

Specialty Retail — 2.5%

               

Home Depot, Inc., (The) (United States)

    22,355       6,629,152  

Lowe’s Cos, Inc. (United States)

    13,317       2,739,973  
              9,369,125  

Technology Hardware, Storage & Peripherals — 13.5%

               

Apple, Inc. (United States)

    348,935       51,436,508  

Textiles, Apparel & Luxury Goods — 1.1%

               

NIKE, Inc., Class B (United States)

    34,322       4,077,110  

Wireless Telecommunication Services — 1.0%

               

T-Mobile US, Inc. (United States)*

    27,293       3,880,519  

Total Common Stocks (Cost $306,114,379)

            381,391,547  

Rights — 0.0%

               

Altaba, Inc. - Escrow Shares (United States)*(b)

    8,565       20,470  

Total Rights (Cost $2,161)

            20,470  
                 

Investments Purchased with Proceeds from Securities Lending Collateral — 6.3%

               

Mount Vernon Liquid Assets Portfolio, LLC, 4.67%

    24,096,724       24,096,724  

Total Investments Purchased with Proceeds from Securities Lending Collateral (Cost $24,096,724)

            24,096,724  

 

 

The accompanying notes are an integral part of these financial statements.

 

 

27

 

 

Motley Fool 100 Index ETF

Schedule of Investments (Concluded)

FEBRUARY 28, 2023 (UNAUDITED)

 

 

 

Number of
Shares

   

Value
(Note 2)

 
                 

Short-Term Investments — 0.1%

               

U.S. Bank Money Market Deposit Account, 4.25% (United States)(c)

    329,012     $ 329,012  

Total Short-Term Investments (Cost $329,012)

            329,012  
                 

Total Investments (Cost $330,542,276) — 106.3%

            405,837,753  

Liabilities in Excess of Other Assets — (6.3)%

            (23,936,587 )

NET ASSETS — 100.0%

               

(Applicable to 11,600,000 shares outstanding)

          $ 381,901,166  

 

*

Non-income producing security.

 

(a)

All or a portion of the security is on loan. At February 28, 2023, the market value of securities on loan was $23,562,746.

 

(b)

Security has been valued at fair market value using significant unobservable inputs as determined in good faith by the Adviser, as valuation designee, under the oversight of The RBB Fund, Inc.’s Board of Directors. As of February 28, 2023, these securities amounted to $20,470 or 0.0% of net assets.

 

(c)

The rate shown is as of February 28, 2023.

 

The accompanying notes are an integral part of these financial statements.

 

28

 

 

 

MOTLEY FOOL Small-Cap Growth ETF

Schedule of Investments

FEBRUARY 28, 2023 (UNAUDITED)

 

 

 

Number of
Shares

   

Value
(Note 2)

 
                 

Common Stocks — 90.1%

               

Aerospace & Defense — 7.1%

               

Axon Enterprise, Inc. (United States)(a)*

    10,387     $ 2,080,620  

Leonardo DRS, Inc. (United States)*

    225,568       2,932,384  
              5,013,004  

Air Freight & Logistics — 2.7%

               

GXO Logistics, Inc. (United States)(a)*

    37,524       1,860,065  

Auto Components — 6.5%

               

Fox Factory Holding Corp. (United States)(a)*

    18,550       2,179,625  

Gentex Corp. (United States)

    83,152       2,373,990  
              4,553,615  

Banks — 2.4%

               

Live Oak Bancshares, Inc. (United States)(a)

    49,414       1,707,748  

Biotechnology — 4.3%

               

PTC Therapeutics, Inc. (United States)*

    41,340       1,805,318  

Ultragenyx Pharmaceutical, Inc. (United States)*

    26,623       1,184,457  
              2,989,775  

Building Products — 1.2%

               

Trex Co., Inc. (United States)(a)*

    16,933       865,784  

Capital Markets — 1.5%

               

StoneX Group, Inc. (United States)*

    10,145       1,022,920  

Chemicals — 1.5%

               

Perimeter Solutions SA (Luxembourg)(a)*ADR

    121,677       1,041,555  

Electronic Equipment, Instruments & Components — 1.5%

               

nLight, Inc. (United States)*

    96,050       1,085,365  

Equity Real Estate Investment Trusts (REITs) — 2.7%

               

STAG Industrial, Inc. (United States)(a)

    56,329       1,894,908  

Health Care Equipment & Supplies — 19.1%

               

Globus Medical, Inc., Class A (United States)(a)*

    46,844       2,732,879  

Heska Corp. (United States)(a)*

    35,722       2,908,842  

Inari Medical, Inc. (United States)(a)*

    20,000       1,125,200  

Mesa Laboratories, Inc. (United States)

    8,160       1,440,403  

Penumbra, Inc. (United States)(a)*

    15,582       4,051,164  

 

 

The accompanying notes are an integral part of these financial statements.

 

 

29

 

 

MOTLEY FOOL Small-Cap Growth ETF

Schedule of Investments (CONTINUED)

FEBRUARY 28, 2023 (UNAUDITED)

 

 

 

Number of
Shares

   

Value
(Note 2)

 
                 

Common Stocks (continued)

               

Health Care Equipment & Supplies (continued)

               

UFP Technologies, Inc. (United States)*

    10,145     $ 1,194,269  
              13,452,757  

Health Care Providers & Services — 1.0%

               

HealthEquity, Inc. (United States)(a)*

    10,940       712,960  

Health Care Technology — 0.9%

               

Schrodinger, Inc. (United States)(a)*

    30,257       657,485  

Insurance — 3.5%

               

Goosehead Insurance, Inc., Class A (United States)(a)*

    53,285       2,485,745  

Leisure Products — 1.4%

               

Clarus Corp. (United States)

    98,514       975,289  

Machinery — 2.9%

               

John Bean Technologies Corp. (United States)

    18,530       2,054,792  

Oil, Gas & Consumable Fuels — 2.9%

               

Northern Oil and Gas, Inc. (United States)(a)

    64,962       2,016,420  

Real Estate Management & Development — 6.7%

               

Howard Hughes Corp., (The) (United States)(a)*

    33,274       2,765,735  

Jones Lang LaSalle, Inc. (United States)*

    6,993       1,219,999  

Newmark Group, Inc., Class A (United States)(a)

    94,353       756,711  
              4,742,445  

Road & Rail — 4.0%

               

Landstar System, Inc. (United States)

    15,370       2,778,742  

Software — 12.3%

               

Alarm.com Holdings, Inc. (United States)*

    61,850       3,143,836  

Everbridge, Inc. (United States)*

    28,706       938,112  

Paylocity Holding Corp. (United States)(a)*

    6,509       1,253,698  

Q2 Holdings, Inc. (United States)*

    38,372       1,238,648  

Smartsheet, Inc., Class A (United States)(a)*

    45,099       1,985,258  

Upland Software, Inc. (United States)(a)*

    15,388       89,097  
              8,648,649  

Trading Companies & Distributors — 4.0%

               

Watsco, Inc. (United States)(a)

    9,206       2,805,160  

Total Common Stocks (Cost $75,919,091)

            63,365,183  

 

 

The accompanying notes are an integral part of these financial statements.

 

30

 

 

 

MOTLEY FOOL Small-Cap Growth ETF

Schedule of Investments (Concluded)

FEBRUARY 28, 2023 (UNAUDITED)

 

 

 

Number of
Shares

   

Value
(Note 2)

 
                 

Investments Purchased with Proceeds from Securities Lending Collateral — 45.9%

               

Mount Vernon Liquid Assets Portfolio, LLC, 4.67%

    32,276,210     $ 32,276,210  

Total Investments Purchased with Proceeds from Securities Lending Collateral (Cost $32,276,210)

            32,276,210  
                 

Short-Term Investments — 8.7%

               

U.S. Bank Money Market Deposit Account, 4.25% (United States)(b)

    6,096,928       6,096,928  

Total Short-Term Investments (Cost $6,096,928)

            6,096,928  
                 

Total Investments (Cost $114,292,229) — 144.7%

            101,738,321  

Liabilities in Excess of Other Assets — (44.7)%

            (31,411,492 )

NET ASSETS — 100.0%

               

(Applicable to 2,650,000 shares outstanding)

          $ 70,326,829  

 

*

Non-income producing security.

 

ADR — American Depositary Receipt

 

(a)

All or a portion of the security is on loan. At February 28, 2023, the market value of securities on loan was $31,554,214.

 

(b)

Seven-day yield as of February 28, 2023.

 

The accompanying notes are an integral part of these financial statements.

 

 

31

 

 

MOTLEY FOOL CAPITAL EFFICIENCY 100 INDEX ETF

Schedule of Investments

FEBRUARY 28, 2023 (UNAUDITED)

 

 

 

Number of
Shares

   

Value
(Note 2)

 
                 

Common Stocks — 99.8%

               

Air Freight & Logistics — 0.1%

               

GXO Logistics, Inc. (United States)*

    278     $ 13,780  

Beverages — 0.8%

               

Boston Beer Co., Inc., Class A (The) (United States)*

    30       9,714  

Monster Beverage Corp. (United States)*

    1,366       139,004  
              148,718  

Biotechnology — 4.4%

               

Amgen, Inc. (United States)

    1,494       346,100  

Biogen, Inc. (United States)*

    332       89,593  

Exelixis, Inc. (United States)*

    748       12,776  

Gilead Sciences, Inc. (United States)

    2,987       240,543  

Neurocrine Biosciences, Inc. (United States)*

    225       23,198  

Vertex Pharmaceuticals, Inc. (United States)*

    606       175,916  
              888,126  

Capital Markets — 0.3%

               

Nasdaq, Inc. (United States)

    1,108       62,114  

PJT Partners, Inc., Class A (United States)

    78       6,153  
              68,267  

Chemicals — 1.4%

               

Balchem Corp. (United States)

    78       10,140  

Ecolab, Inc. (United States)

    682       108,690  

RPM International, Inc. (United States)

    359       31,818  

Sherwin-Williams Co., (The) (United States)

    602       133,253  
              283,901  

Commercial Services & Supplies — 2.0%

               

Cintas Corp. (United States)

    301       131,979  

Copart, Inc. (United States)*

    1,118       78,774  

Rollins, Inc. (United States)

    1,133       39,882  

Waste Management, Inc. (United States)

    978       146,465  
              397,100  

Consumer Finance — 0.0%

               

Upstart Holdings, Inc. (United States)*

    205       3,795  

Distributors — 0.2%

               

LKQ Corp. (United States)

    763       43,712  

 

 

The accompanying notes are an integral part of these financial statements.

 

32

 

 

 

MOTLEY FOOL CAPITAL EFFICIENCY 100 INDEX ETF

Schedule of Investments (Continued)

FEBRUARY 28, 2023 (UNAUDITED)

 

 

 

Number of
Shares

   

Value
(Note 2)

 
                 

Common Stocks (continued)

Electronic Equipment, Instruments & Components — 0.4%

               

Cognex Corp. (United States)

    358     $ 16,976  

National Instruments Corp. (United States)

    372       18,790  

Zebra Technologies Corp., Class A (United States)*

    151       45,338  
              81,104  

Entertainment — 3.1%

               

Activision Blizzard, Inc. (United States)

    1,776       135,420  

Electronic Arts, Inc. (United States)

    642       71,223  

Netflix, Inc. (United States)*

    1,057       340,491  

Take-Two Interactive Software, Inc. (United States)*

    351       38,452  

World Wrestling Entertainment, Inc., Class A (United States)

    194       16,296  
              601,882  

Food & Staples Retailing — 3.4%

               

Casey’s General Stores, Inc. (United States)

    124       25,786  

Costco Wholesale Corp. (United States)

    1,321       639,602  
              665,388  

Food Products — 0.1%

               

Darling Ingredients, Inc. (United States)*

    361       22,840  

Health Care Equipment & Supplies — 2.4%

               

Globus Medical, Inc., Class A (United States)*

    255       14,877  

IDEXX Laboratories, Inc. (United States)*

    327       154,749  

Intuitive Surgical, Inc. (United States)*

    809       185,577  

Masimo Corp. (United States)*

    110       18,404  

ResMed, Inc. (United States)

    445       94,785  
              468,392  

Health Care Providers & Services — 6.0%

               

HCA Healthcare, Inc. (United States)

    836       203,524  

McKesson Corp. (United States)

    343       119,985  

UnitedHealth Group, Inc. (United States)

    1,783       848,601  
              1,172,110  

Health Care Technology — 0.3%

               

Veeva Systems, Inc., Class A (United States)*

    411       68,086  

 

 

The accompanying notes are an integral part of these financial statements.

 

 

33

 

 

MOTLEY FOOL CAPITAL EFFICIENCY 100 INDEX ETF

Schedule of Investments (Continued)

FEBRUARY 28, 2023 (UNAUDITED)

 

 

 

Number of
Shares

   

Value
(Note 2)

 
                 

Common Stocks (continued)

Hotels, Restaurants & Leisure — 0.1%

               

Wingstop, Inc. (United States)

    64     $ 10,902  

Household Durables — 0.3%

               

Meritage Homes Corp. (United States)*

    90       9,831  

NVR, Inc. (United States)*

    9       46,563  
              56,394  

Industrial Conglomerates — 0.7%

               

3M Co. (United States)

    1,335       143,833  

Interactive Media & Services — 12.3%

               

Alphabet, Inc., Class C (United States)*

    10,431       941,919  

Meta Platforms, Inc., Class A (United States)*

    8,110       1,418,763  

Pinterest, Inc., Class A (United States)*

    1,653       41,507  
              2,402,189  

Internet & Direct Marketing Retail — 5.8%

               

Amazon.com, Inc. (United States)*

    10,911       1,028,144  

eBay, Inc. (United States)

    1,396       64,076  

Etsy, Inc. (United States)*

    312       37,880  
              1,130,100  

IT Services — 11.5%

               

Cognizant Technology Solutions Corp., Class A (United States)

    1,464       91,690  

EPAM Systems, Inc. (United States)*

    153       47,070  

Gartner, Inc. (United States)*

    215       70,479  

GoDaddy, Inc., Class A (United States)*

    420       31,798  

Jack Henry & Associates, Inc. (United States)

    195       32,027  

Mastercard, Inc., Class A (United States)

    2,736       972,073  

TaskUS, Inc., Class A (United States)*

    233       4,009  

Visa, Inc., Class A (United States)

    4,558       1,002,486  
              2,251,632  

Machinery — 0.4%

               

Cummins, Inc. (United States)

    311       75,598  

Tennant Co. (United States)

    45       3,187  
              78,785  

 

 

The accompanying notes are an integral part of these financial statements.

 

34

 

 

 

MOTLEY FOOL CAPITAL EFFICIENCY 100 INDEX ETF

Schedule of Investments (Continued)

FEBRUARY 28, 2023 (UNAUDITED)

 

 

 

Number of
Shares

   

Value
(Note 2)

 
                 

Common Stocks (continued)

Media — 0.3%

               

New York Times Co., (The), Class A (United States)

    415     $ 15,978  

Sirius XM Holdings, Inc. (United States)

    11,069       48,593  
              64,571  

Pharmaceuticals — 4.2%

               

Johnson & Johnson (United States)

    5,320       815,343  

Professional Services — 0.0%

               

Upwork, Inc. (United States)*

    296       3,357  

Road & Rail — 2.2%

               

Old Dominion Freight Line, Inc. (United States)

    327       110,938  

Union Pacific Corp. (United States)

    1,550       321,284  
              432,222  

Semiconductors & Semiconductor Equipment — 4.6%

               

Broadcom, Inc. (United States)

    1,047       622,222  

Cirrus Logic, Inc. (United States)*

    145       14,899  

Impinj, Inc. (United States)*

    68       9,018  

Lam Research Corp. (United States)

    400       194,404  

Skyworks Solutions, Inc. (United States)

    338       37,711  

Universal Display Corp. (United States)

    116       15,758  
              894,012  

Software — 17.3%

               

Adobe Systems, Inc. (United States)*

    1,526       494,348  

Appfolio, Inc., Class A (United States)*

    82       10,829  

Autodesk, Inc. (United States)*

    746       148,223  

Cadence Design Systems, Inc. (United States)*

    823       158,790  

Fair Isaac Corp. (United States)*

    89       60,288  

Fortinet, Inc. (United States)*

    2,391       142,121  

Microsoft Corp. (United States)

    3,873       966,004  

Nutanix, Inc., Class A (United States)*

    546       15,425  

Oracle Corp. (United States)

    6,912       604,109  

Palo Alto Networks, Inc. (United States)*

    693       130,540  

ServiceNow, Inc. (United States)*

    583       251,955  

Synopsys, Inc. (United States)*

    468       170,240  

VMware, Inc., Class A (United States)*

    1,003       110,460  

 

 

The accompanying notes are an integral part of these financial statements.

 

 

35

 

 

MOTLEY FOOL CAPITAL EFFICIENCY 100 INDEX ETF

Schedule of Investments (Continued)

FEBRUARY 28, 2023 (UNAUDITED)

 

 

 

Number of
Shares

   

Value
(Note 2)

 
                 

Common Stocks (continued)

Software (continued)

               

Workday, Inc., Class A (United States)*

    673     $ 124,821  
              3,388,153  

Specialty Retail — 7.2%

               

Camping World Holdings, Inc., Class A (United States)

    107       2,443  

Home Depot, Inc., (The) (United States)

    2,942       872,421  

Lowe’s Cos, Inc. (United States)

    2,030       417,673  

RH (United States)*

    57       17,045  

Ulta Beauty, Inc. (United States)*

    147       76,263  

Williams-Sonoma, Inc. (United States)

    188       23,485  

Winmark Corp. (United States)

    20       5,840  
              1,415,170  

Technology Hardware, Storage & Peripherals — 5.4%

               

Apple, Inc. (United States)

    7,024       1,035,408  

Pure Storage, Inc., Class A (United States)*

    811       23,146  
              1,058,554  

Textiles, Apparel & Luxury Goods — 2.4%

               

NIKE, Inc., Class B (United States)

    3,820       453,778  

Under Armour, Inc., Class A (United States)*

    1,326       13,167  
              466,945  

Thrifts & Mortgage Finance — 0.0%

               

Walker & Dunlop, Inc. (United States)

    69       6,019  

Trading Companies & Distributors — 0.2%

               

Watsco, Inc. (United States)

    115       35,042  

Total Common Stocks (Cost $20,686,063)

            19,580,424  

 

 

The accompanying notes are an integral part of these financial statements.

 

36

 

 

 

MOTLEY FOOL CAPITAL EFFICIENCY 100 INDEX ETF

Schedule of Investments (Concluded)

FEBRUARY 28, 2023 (UNAUDITED)

 

 

 

Number of
Shares

   

Value
(Note 2)

 
                 

Short-Term Investments — 0.1%

               

U.S. Bank Money Market Deposit Account, 4.25% (United States)(a)

    25,436     $ 25,436  

Total Short-Term Investments (Cost $25,436)

            25,436  
                 

Total Investments (Cost $20,711,499) — 99.9%

            19,605,860  

Other Assets in Excess of Liabilities — 0.1%

            12,474  

NET ASSETS — 100.0%

               

(Applicable to 1,275,000 shares outstanding)

          $ 19,618,334  

 

*

Non-income producing security.

 

(a)

Seven-day yield as of February 28, 2023.

 

The accompanying notes are an integral part of these financial statements.

 

 

37

 

 

MOTLEY FOOL next index ETF

Schedule of Investments

FEBRUARY 28, 2023 (UNAUDITED)

 

 

 

Number of
Shares

   

Value
(Note 2)

 
                 

Common Stocks — 99.9%

               

Aerospace & Defense — 3.3%

               

AeroVironment, Inc. (United States)*

    488     $ 41,841  

Axon Enterprise, Inc. (United States)*

    1,393       279,032  

HEICO Corp. (United States)

    2,308       382,136  

Textron, Inc. (United States)

    4,087       296,430  
              999,439  

Air Freight & Logistics — 0.4%

               

GXO Logistics, Inc. (United States)*

    2,322       115,101  

Airlines — 0.6%

               

Alaska Air Group, Inc. (United States)*

    2,483       118,762  

Hawaiian Holdings, Inc. (United States)*

    948       10,617  

JetBlue Airways Corp. (United States)*

    6,340       52,622  
              182,001  

Auto Components — 0.8%

               

BorgWarner, Inc. (United States)

    4,583       230,433  

Banks — 1.6%

               

SVB Financial Group (United States)*

    1,156       333,055  

Western Alliance Bancorp (United States)

    2,115       157,018  
              490,073  

Beverages — 0.7%

               

Boston Beer Co., Inc., (The), Class A (United States)*

    238       77,064  

Celsius Holdings, Inc. (United States)*

    1,492       135,474  
              212,538  

Biotechnology — 5.0%

               

2seventy bio, Inc. (United States)*

    696       9,389  

Alnylam Pharmaceuticals, Inc. (United States)*

    2,408       461,012  

AnaptysBio, Inc. (United States)*

    556       13,844  

BioMarin Pharmaceutical, Inc. (United States)*

    3,637       362,209  

Bluebird Bio, Inc. (United States)*

    1,623       8,440  

Editas Medicine, Inc. (United States)*

    1,264       11,427  

Emergent BioSolutions, Inc. (United States)*

    976       12,083  

Exact Sciences Corp. (United States)*

    3,477       216,721  

Exelixis, Inc. (United States)*

    6,315       107,860  

 

 

The accompanying notes are an integral part of these financial statements.

 

38

 

 

 

MOTLEY FOOL next index ETF

Schedule of Investments (Continued)

FEBRUARY 28, 2023 (UNAUDITED)

 

 

 

Number of
Shares

   

Value
(Note 2)

 
                 

Common Stocks (continued)

               

Biotechnology (continued)

               

Ionis Pharmaceuticals, Inc. (United States)*

    2,780     $ 99,802  

Neurocrine Biosciences, Inc. (United States)*

    1,883       194,137  
              1,496,924  

Building Products — 0.4%

               

Trex Co., Inc. (United States)*

    2,148       109,827  

Capital Markets — 6.2%

               

Affiliated Managers Group, Inc. (United States)

    737       117,485  

Cboe Global Markets, Inc. (United States)

    2,076       261,929  

FactSet Research Systems, Inc. (United States)

    745       308,840  

Interactive Brokers Group, Inc., Class A (United States)

    2,014       173,425  

Jefferies Financial Group, Inc. (United States)

    4,483       169,413  

MarketAxess Holdings, Inc. (United States)

    736       251,307  

Nasdaq, Inc. (United States)

    9,618       539,185  

PJT Partners, Inc., Class A (United States)

    477       37,626  
              1,859,210  

Chemicals — 1.0%

               

Balchem Corp. (United States)

    630       81,900  

RPM International, Inc. (United States)

    2,528       224,057  
              305,957  

Commercial Services & Supplies — 1.1%

               

Rollins, Inc. (United States)

    9,639       339,293  

Communications Equipment — 1.1%

               

Ubiquiti, Inc. (United States)

    1,184       317,667  

Construction & Engineering — 0.6%

               

MasTec, Inc. (United States)*

    1,505       147,069  

NV5 Global, Inc. (United States)*

    305       32,092  
              179,161  

Consumer Finance — 0.1%

               

Upstart Holdings, Inc. (United States)*

    1,602       29,653  

Distributors — 1.0%

               

LKQ Corp. (United States)

    5,230       299,627  

 

 

The accompanying notes are an integral part of these financial statements.

 

 

39

 

 

MOTLEY FOOL next index ETF

Schedule of Investments (Continued)

FEBRUARY 28, 2023 (UNAUDITED)

 

 

 

Number of
Shares

   

Value
(Note 2)

 
                 

Common Stocks (continued)

               

Diversified Consumer Services — 0.2%

               

2U, Inc. (United States)*

    1,388     $ 12,436  

Chegg, Inc. (United States)*

    2,455       39,010  
              51,446  

Diversified Telecommunication Services — 0.0%

               

Bandwidth, Inc., Class A (United States)*

    474       7,536  

Electronic Equipment, Instruments & Components — 5.0%

               

Cognex Corp. (United States)

    3,386       160,564  

Coherent Corp. (United States)*

    2,715       117,098  

Corning, Inc. (United States)

    16,556       562,076  

IPG Photonics Corp. (United States)*

    953       117,448  

Littelfuse, Inc. (United States)

    484       125,225  

National Instruments Corp. (United States)

    2,556       129,104  

Zebra Technologies Corp., Class A (United States)*

    1,011       303,553  
              1,515,068  

Energy Equipment & Services — 0.1%

               

Oceaneering International, Inc. (United States)*

    1,963       41,007  

Entertainment — 3.3%

               

Live Nation Entertainment, Inc. (United States)*

    4,429       319,154  

Roku, Inc. (United States)*

    2,726       176,345  

Skillz, Inc. (United States)*

    7,663       4,793  

Take-Two Interactive Software, Inc. (United States)*

    3,285       359,872  

World Wrestling Entertainment, Inc., Class A (United States)

    1,456       122,304  
              982,468  

Equity Real Estate Investment Trusts (REITs) — 0.5%

               

Retail Opportunity Investments Corp. (United States)

    2,439       34,707  

STAG Industrial, Inc. (United States)

    3,508       118,009  
              152,716  

Food & Staples Retailing — 0.5%

               

Casey’s General Stores, Inc. (United States)

    729       151,595  

Food Products — 2.2%

               

Beyond Meat, Inc. (United States)*

    1,248       22,264  

Darling Ingredients, Inc. (United States)*

    3,138       198,541  

 

 

The accompanying notes are an integral part of these financial statements.

 

40

 

 

 

MOTLEY FOOL next index ETF

Schedule of Investments (Continued)

FEBRUARY 28, 2023 (UNAUDITED)

 

 

 

Number of
Shares

   

Value
(Note 2)

 
                 

Common Stocks (continued)

               

Food Products (continued)

               

Freshpet, Inc. (United States)*

    941     $ 58,512  

McCormick & Co., Inc. (United States)

    5,246       389,883  
              669,200  

Health Care Equipment & Supplies — 3.5%

               

Globus Medical, Inc., Class A (United States)*

    1,955       114,055  

Insulet Corp. (United States)*

    1,359       375,573  

Masimo Corp. (United States)*

    1,028       171,995  

NuVasive, Inc. (United States)*

    1,021       44,138  

QuidelOrtho Corp. (United States)*

    1,293       112,413  

Shockwave Medical, Inc. (United States)*

    708       134,690  

STAAR Surgical Co. (United States)*

    944       52,288  

TransMedics Group, Inc. (United States)*

    626       50,124  
              1,055,276  

Health Care Providers & Services — 1.7%

               

Fulgent Genetics, Inc. (United States)*

    592       19,412  

Guardant Health, Inc. (United States)*

    2,005       61,934  

HealthEquity, Inc. (United States)*

    1,658       108,052  

Quest Diagnostics, Inc. (United States)

    2,227       308,128  
              497,526  

Health Care Technology — 0.8%

               

Doximity, Inc., Class A (United States)*

    3,768       126,718  

GoodRx Holdings, Inc., Class A (United States)*

    7,755       41,024  

Teladoc, Inc. (United States)*

    3,169       83,947  
              251,689  

Hotels, Restaurants & Leisure — 2.8%

               

Dave & Buster’s Entertainment, Inc. (United States)*

    946       37,859  

Hyatt Hotels Corp., Class A (United States)*

    2,097       243,755  

Planet Fitness, Inc., Class A (United States)*

    1,633       132,355  

Texas Roadhouse, Inc. (United States)

    1,310       133,017  

Vail Resorts, Inc. (United States)

    790       184,457  

Wingstop, Inc. (United States)

    585       99,655  
              831,098  

 

 

The accompanying notes are an integral part of these financial statements.

 

 

41

 

 

MOTLEY FOOL next index ETF

Schedule of Investments (Continued)

FEBRUARY 28, 2023 (UNAUDITED)

 

 

 

Number of
Shares

   

Value
(Note 2)

 
                 

Common Stocks (continued)

Household Durables — 1.5%

               

Dream Finders Homes, Inc., Class A (United States)*

    1,817     $ 21,859  

iRobot Corp. (United States)*

    536       22,024  

Meritage Homes Corp. (United States)*

    715       78,099  

NVR, Inc. (United States)*

    63       325,938  
              447,920  

Household Products — 0.2%

               

Spectrum Brands Holdings, Inc. (United States)

    798       51,088  

Insurance — 1.9%

               

Kinsale Capital Group, Inc. (United States)

    452       144,052  

Lemonade, Inc. (United States)*

    1,353       22,054  

Markel Corp. (United States)*

    263       349,753  

Safety Insurance Group, Inc. (United States)

    289       23,320  

Trupanion, Inc. (United States)*

    800       47,504  
              586,683  

Interactive Media & Services — 2.1%

               

Bumble, Inc., Class A (United States)*

    2,538       61,369  

fuboTV, Inc. (United States)*

    3,822       7,300  

Match Group, Inc. (United States)*

    5,467       226,443  

Pinterest, Inc., Class A (United States)*

    13,275       333,335  
              628,447  

Internet & Direct Marketing Retail — 2.4%

               

Chewy, Inc., Class A (United States)*

    8,288     336,078  

Etsy, Inc. (United States)*

    2,460       298,669  

Stitch Fix, Inc., Class A (United States)*

    2,016       9,395  

Wayfair, Inc., Class A (United States)*

    2,097       84,907  
              729,049  

IT Services — 9.5%

               

Broadridge Financial Solutions, Inc. (United States)

    2,431       342,236  

DigitalOcean Holdings, Inc. (United States)*

    1,886       60,314  

EPAM Systems, Inc. (United States)*

    1,125       346,106  

Euronet Worldwide, Inc. (United States)*

    970       105,585  

Fastly, Inc., Class A (United States)*

    2,367       32,878  

Gartner, Inc. (United States)*

    1,547       507,122  

GoDaddy, Inc., Class A (United States)*

    3,035       229,780  

 

 

The accompanying notes are an integral part of these financial statements.

 

42

 

 

 

MOTLEY FOOL next index ETF

Schedule of Investments (Continued)

FEBRUARY 28, 2023 (UNAUDITED)

 

 

 

Number of
Shares

   

Value
(Note 2)

 
                 

Common Stocks (continued)

IT Services (continued)

               

Jack Henry & Associates, Inc. (United States)

    1,427     $ 234,371  

Marqeta, Inc., Class A (United States)*

    10,669       61,880  

MongoDB, Inc. (United States)*

    1,356       284,109  

Okta, Inc. (United States)*

    3,136       223,565  

TaskUS, Inc., Class A (United States)*

    1,909       32,844  

Twilio, Inc., Class A (United States)*

    3,609       242,561  

WEX, Inc. (United States)*

    854       164,660  
              2,868,011  

Leisure Products — 0.8%

               

Hasbro, Inc. (United States)

    2,703       148,692  

Peloton Interactive, Inc., Class A (United States)*

    6,656       85,995  
              234,687  

Life Sciences Tools & Services — 0.6%

               

Repligen Corp. (United States)*

    1,087       189,540  

Machinery — 3.0%

               

Chart Industries, Inc. (United States)*

    818       109,203  

Middleby Corp., (The) (United States)*

    1,055       164,042  

Proto Labs, Inc. (United States)*

    501       15,751  

Tennant Co. (United States)

    364       25,779  

Toro Co., (The) (United States)

    2,040       225,298  

Westinghouse Air Brake Technologies Corp. (United States)

    3,559       371,310  
              911,383  

Media — 3.4%

               

Boston Omaha Corp., Class A (United States)*

    553       13,322  

New York Times Co., (The), Class A (United States)

    3,239       124,701  

PubMatic, Inc., Class A (United States)*

    1,027       15,590  

Sirius XM Holdings, Inc. (United States)

    76,133       334,224  

Trade Desk, Inc., (The) Class A (United States)*

    9,582       536,209  
              1,024,046  

Oil, Gas & Consumable Fuels — 0.1%

               

Clean Energy Fuels Corp. (United States)*

    4,353       24,377  

Vitesse Energy, Inc. (United States)*

    527       9,164  
              33,541  

 

 

The accompanying notes are an integral part of these financial statements.

 

 

43

 

 

MOTLEY FOOL next index ETF

Schedule of Investments (Continued)

FEBRUARY 28, 2023 (UNAUDITED)

 

 

 

Number of
Shares

   

Value
(Note 2)

 
                 

Common Stocks (continued)

Pharmaceuticals — 0.9%

               

Viatris, Inc. (United States)

    23,737     $ 270,602  

Professional Services — 0.7%

               

Robert Half International, Inc. (United States)

    2,089       168,415  

Upwork, Inc. (United States)*

    2,571       29,155  
              197,570  

Real Estate Management & Development — 0.7%

               

Redfin Corp. (United States)*

    1,975       14,635  

Zillow Group, Inc., Class A (United States)*

    4,621       194,082  
              208,717  

Road & Rail — 1.0%

               

U-Haul Holding Co. (United States)

    3,545       227,625  

XPO Logistics, Inc. (United States)*

    2,254       75,193  
              302,818  

Semiconductors & Semiconductor Equipment — 3.7%

               

Cirrus Logic, Inc. (United States)*

    1,078       110,765  

First Solar, Inc. (United States)*

    2,087       352,995  

Impinj, Inc. (United States)*

    507       67,238  

Silicon Laboratories, Inc. (United States)*

    651       116,223  

Skyworks Solutions, Inc. (United States)

    3,136       349,884  

Universal Display Corp. (United States)

    925       125,661  
              1,122,766  

Software — 13.9%

               

Alarm.com Holdings, Inc. (United States)*

    977       49,661  

Alteryx, Inc., Class A (United States)*

    1,352       88,299  

Appfolio, Inc., Class A (United States)*

    689       90,989  

Appian Corp., Class A (United States)*

    1,421       58,900  

Asana, Inc., Class A (United States)*

    4,166       61,615  

Blackbaud, Inc. (United States)*

    1,017       56,637  

Blackline, Inc. (United States)*

    1,171       80,050  

Box, Inc., Class A (United States)*

    2,795       93,213  

Braze, Inc., Class A (United States)*

    1,874       57,532  

Confluent, Inc., Class A (United States)*

    5,607       136,755  

DocuSign, Inc. (United States)*

    3,937       241,535  

 

 

The accompanying notes are an integral part of these financial statements.

 

44

 

 

 

MOTLEY FOOL next index ETF

Schedule of Investments (Continued)

FEBRUARY 28, 2023 (UNAUDITED)

 

 

 

Number of
Shares

   

Value
(Note 2)

 
                 

Common Stocks (continued)

Software (continued)

               

Fair Isaac Corp. (United States)*

    488     $ 330,566  

Five9, Inc. (United States)*

    1,380       91,080  

HubSpot, Inc. (United States)*

    950       367,517  

LivePerson, Inc. (United States)*

    1,475       14,927  

New Relic, Inc. (United States)*

    1,339       97,707  

Nutanix, Inc., Class A (United States)*

    4,504       127,238  

PagerDuty, Inc. (United States)*

    1,761       52,583  

Paycom Software, Inc. (United States)*

    1,132       327,216  

Pegasystems, Inc. (United States)

    1,609       74,625  

Q2 Holdings, Inc. (United States)*

    1,125       36,315  

Smartsheet, Inc., Class A (United States)*

    2,571       113,175  

Splunk, Inc. (United States)*

    3,205       328,513  

Sprout Social, Inc., Class A (United States)*

    1,073       65,432  

SS&C Technologies Holdings, Inc. (United States)

    4,931       289,450  

Tyler Technologies, Inc. (United States)*

    815       261,819  

UiPath, Inc., Class A (United States)*

    10,822       160,598  

Unity Software, Inc. (United States)*

    7,888       240,111  

Varonis Systems, Inc. (United States)*

    2,157       58,412  

Zuora, Inc., Class A (United States)*

    2,613       22,132  
              4,074,602  

Specialty Retail — 6.4%

               

Camping World Holdings, Inc., Class A (United States)

    825       18,835  

CarMax, Inc. (United States)*

    3,093       213,540  

Designer Brands, Inc., Class A (United States)

    1,246       12,198  

Five Below, Inc. (United States)*

    1,087       222,074  

GameStop Corp., Class A (United States)*

    5,956       114,534  

RH (United States)*

    463       138,451  

Sleep Number Corp. (United States)*

    414       16,502  

Tractor Supply Co. (United States)

    2,162       504,308  

Ulta Beauty, Inc. (United States)*

    996       516,725  

Williams-Sonoma, Inc. (United States)

    1,303       162,771  

Winmark Corp. (United States)

    66       19,272  
              1,939,210  

Technology Hardware, Storage & Peripherals — 0.6%

               

Pure Storage, Inc., Class A (United States)*

    5,924       169,071  

 

 

The accompanying notes are an integral part of these financial statements.

 

 

45

 

 

MOTLEY FOOL next index ETF

Schedule of Investments (Concluded)

FEBRUARY 28, 2023 (UNAUDITED)

 

 

 

Number of
Shares

   

Value
(Note 2)

 
                 

Common Stocks (continued)

Textiles, Apparel & Luxury Goods — 0.9%

               

Carter’s, Inc. (United States)

    747     $ 56,316  

Skechers USA, Inc., Class A (United States)*

    3,036       135,132  

Under Armour, Inc., Class A (United States)*

    8,302       82,439  
              273,887  

Thrifts & Mortgage Finance — 0.4%

               

Axos Financial, Inc. (United States)*

    1,175       55,683  

Walker & Dunlop, Inc. (United States)

    646       56,351  
              112,034  

Trading Companies & Distributors — 0.7%

               

Watsco, Inc. (United States)

    703       214,211  

Total Common Stocks (Cost $34,532,156)

            29,963,412  
                 

Short-Term Investments — 0.5%

               

U.S. Bank Money Market Deposit Account, 4.25% (United States)(a)

    155,645       155,645  

Total Short-Term Investments (Cost $155,645)

            155,645  
                 

Total Investments (Cost $34,687,801) — 100.4%

            30,119,057  

Liabilities in Excess of Other Assets — (0.4)%

            6,346  

NET ASSETS — 100.0%

               

(Applicable to 1,975,000 shares outstanding)

          $ 30,125,403  

 

*

Non-income producing security.

 

(a)

Seven-day yield as of February 28, 2023.

 

The accompanying notes are an integral part of these financial statements.

 

46

 

 

 

Motley Fool ETFs

Statements of Assets and Liabilities

FEBRUARY 28, 2023 (UNAUDITED)

 

 

 

Motley
Fool Global
Opportunities
ETF

   

Motley Fool
Mid-Cap
Growth ETF

   

Motley
Fool 100
Index ETF

   

Motley Fool
Small-Cap
Growth ETF

 

ASSETS

                               

Investments in securities of unaffiliated issurers, at value (cost $246,550,999, $101,796,886, $306,116,540 and $75,919,091 respectively)^

  $ 399,563,923     $ 177,662,046     $ 381,412,017     $ 63,365,183  

Investments purchased with proceeds from securities lending collateral (cost $40,518,101, $48,052,898, $24,096,724 and $32,276,210 respectively)

    40,518,101       48,052,898       24,096,724       32,276,210  

Short-term investments, at value (cost $9,386,795, $15,996,949, $329,012 and $6,096,928 respectively)

    9,386,795       15,996,949       329,012       6,096,928  

Receivables for:

                               

Dividends and tax reclaims

    1,034,525       154,788       311,675       41,744  

Investments sold

                      870,390  

Total assets

    450,503,344       241,866,681       406,149,428       102,650,455  
                                 

LIABILITIES

                               

Payables for:

                               

Securities lending collateral (see Note 7)

    40,518,101       48,052,898       24,096,724       32,276,210  

Advisory fees

    277,695       131,062       151,538       47,416  

Other accrued expenses and liabilities

    2,671                    

Total liabilities

    40,798,467       48,183,960       24,248,262       32,323,626  

Net assets

  $ 409,704,877     $ 193,682,721     $ 381,901,166     $ 70,326,829  
                                 

NET ASSETS CONSIST OF:

                               

Par value

  $ 16,544     $ 8,543     $ 11,600     $ 2,650  

Paid-in capital

    243,179,882       108,647,553       310,154,493       88,567,175  

Total distributable earnings/(losses)

    166,508,451       85,026,575       71,735,073       (18,242,996 )

Net assets

  $ 409,704,877     $ 193,682,721     $ 381,901,166     $ 70,326,829  
                                 

Shares outstanding ($0.001 par value, 100,000,000 shares authorized)

    16,543,873       8,542,511       11,600,000       2,650,000  

Net asset value, price per share

    24.76       22.67       32.92       26.54  

^ Includes market value of securities on loan

  $ 39,800,691     $ 46,995,272     $ 23,562,746     $ 31,554,214  

 

 

The accompanying notes are an integral part of these financial statements.

 

 

47

 

 

Motley Fool ETFs

Statements of Assets and Liabilities (concluded)

FEBRUARY 28, 2023 (UNAUDITED)

 

 

 

Motley Fool
Capital
Efficiency 100
Index ETF

   

Motley
Fool Next
Index ETF

 

ASSETS

               

Investments in securities of unaffiliated issurers, at value (cost $20,686,063 and $34,532,156 respectively)^

  $ 19,580,424     $ 29,963,412  

Short-term investments, at value (cost $25,436 and $155,645 respectively)

    25,436       155,645  

Receivables for:

               

Dividends and tax reclaims

    20,277       18,356  

Total assets

    19,626,137       30,137,413  
                 

LIABILITIES

               

Payables for:

               

Advisory fees

    7,803       12,010  

Total liabilities

    7,803       12,010  

Net assets

  $ 19,618,334     $ 30,125,403  
                 

NET ASSETS CONSIST OF:

               

Par value

  $ 1,275     $ 1,975  

Paid-in capital

    21,822,639       36,142,050  

Total distributable earnings/(losses)

    (2,205,580 )     (6,018,622 )

Net assets

  $ 19,618,334     $ 30,125,403  
                 

Shares outstanding ($0.001 par value, 100,000,000 shares authorized)

    1,275,000       1,975,000  

Net asset value, price per share

    15.39       15.25  

 

^

Includes market value of securities on loan

 

The accompanying notes are an integral part of these financial statements.

 

48

 

 

 

Motley Fool ETFs

Statements of Operations

FOR THE SIX MONTHS ENDED FEBRUARY 28, 2023 (UNAUDITED)

 

 

 

Motley
Fool Global
Opportunities
ETF

   

Motley Fool
Mid-Cap
Growth ETF

   

Motley
Fool 100
Index ETF

   

Motley Fool
Small-Cap
Growth ETF

 

INVESTMENT INCOME

                               

Dividends

  $ 1,947,621     $ 1,057,000     $ 1,704,367     $ 335,211  

Securities lending income

    41,631       27,161       29,298       17,210  

Total investment income

    1,989,252       1,084,161       1,733,665       352,421  
                                 

EXPENSES

                               

Advisory fees (Note 3)

    1,723,678       830,045       955,365       298,078  

Total expenses

    1,723,678       830,045       955,365       298,078  

Net investment income/(loss)

    265,574       254,116       778,300       54,343  
                                 

NET REALIZED AND UNREALIZED GAIN/(LOSS) FROM INVESTMENTS

                               

Net realized gain/(loss) from:

                               

Investments

    15,690,484       9,504,760       (3,403,666 )     (4,426,742 )

Foreign currency transactions

    (5,798 )                  

Redemption in-kind

                9,744,607       259,573  

Net change in unrealized appreciation/(depreciation) on:

                               

Investments

    (13,779,434 )     (10,169,080 )     (19,924,168 )     7,559,767  

Foreign currency transactions

    45,219                    

Net realized and unrealized gain/(loss)

    1,950,471       (664,320 )     (13,583,227 )     3,392,598  

NET INCREASE/(DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS

  $ 2,216,045     $ (410,204 )   $ (12,804,927 )   $ 3,446,941  

 

 

The accompanying notes are an integral part of these financial statements.

 

 

49

 

 

Motley Fool ETFs

Statements of Operations (CONCLUDED)

FOR THE SIX MONTHS ENDED FEBRUARY 28, 2023 (UNAUDITED)

 

 

 

Motley Fool
Capital
Efficiency 100
Index ETF

   

Motley
Fool NEXT
INDEX ETF

 

INVESTMENT INCOME

               

Dividends

  $ 96,802     $ 96,322  

Total investment income

    96,802       96,322  
                 

EXPENSES

               

Advisory fees (Note 3)

    48,666       75,431  

Total expenses

    48,666       75,431  

Net investment income/(loss)

    48,136       20,891  
                 

NET REALIZED AND UNREALIZED GAIN/(LOSS) FROM INVESTMENTS

               

Net realized gain/(loss) from:

               

Investments

    (876,138 )     (1,122,903 )

Redemption in-kind

    63,110       (84,638 )

Net change in unrealized appreciation/(depreciation) on:

               

Investments

    811,989       1,633,400  

Net realized and unrealized gain/(loss)

    (1,039 )     425,859  

NET INCREASE/(DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS

  $ 47,097     $ 446,750  

 

 

The accompanying notes are an integral part of these financial statements.

 

50

 

 

 

MOTLEY FOOL Global Opportunities ETF
Statements of Changes in Net Assets

 

 

 

FOR THE
SIX MONTHS
ENDED
FEBRUARY 28,
2023
(UNAUDITED)

   

FOR THE
YEAR ENDED
AUGUST 31,
2022

 

OPERATIONS

               

Net investment income/(loss)

  $ 265,574     $ 14,163,531  

Net realized gain/(loss) from investments and foreign currency transactions

    15,684,686       28,994,058  

Net change in unrealized appreciation/(depreciation) on investments, foreign currency translation and assets and liabilities denominated in foreign currencies

    (13,734,215 )     (227,722,486 )

Net increase/(decrease) in net assets resulting from operations

    2,216,045       (184,564,897 )

DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS:

               

Investor Shares

          (35,341,409 )

Insitutional Shares

    (2,705,256 )     (12,707,670 )

Total dividends and distributions to shareholders

    (2,705,256 )     (48,049,079 )

CAPITAL SHARE TRANSACTIONS:

               

Investor Shares

               

Proceeds from shares sold

          6,643,104  

Reinvestment of dividends

          34,321,026  

Share redeemed

          (21,570,991 )

Shares redeemed from exchange to Institutional Class(1)

          (458,343,422 )

Total from Investor Shares

          (438,950,283 )

Institutional Shares

               

Proceeds from shares sold

          6,411,019  

Proceeds from Institutional Class exchange(1)

          458,343,422  

Reinvestment of dividends

          12,058,120  

Shares redeemed

    (23,457,955 )     (73,170,311 )

Total from Institutional Shares

    (23,457,955 )     403,642,250  

Net increase/(decrease) in net assets from capital share transactions

    (23,457,955 )     (35,308,033 )

Total increase/(decrease) in net assets

    (23,947,166 )     (267,922,009 )

NET ASSETS:

               

Beginning of period

  $ 433,652,043     $ 701,574,052  

End of period

  $ 409,704,877     $ 433,652,043  

 

(1)

Effective December 3, 2021, the outstanding Investor Class Shares of the Fund were converted into Institutional Class Shares of the Fund.

 

The accompanying notes are an integral part of these financial statements.

 

 

51

 

 

MOTLEY FOOL Global Opportunities ETF
Statements of Changes in Net Assets (CONCLUDED)

 

 

 

FOR THE
SIX MONTHS
ENDED
FEBRUARY 28,
2023
(UNAUDITED)

   

FOR THE
YEAR ENDED
AUGUST 31,
2022

 

SHARE TRANSACTIONS:

               

Investor Shares

               

Shares sold

          187,055  

Shares reinvested

          1,111,072  

Shares redeemed

          (612,521 )

Shares exchanged into Institutional Class(1)

          (14,816,530 )

Net increase/(decrease) in shares

          (14,130,924 )
                 

Institutional Shares

               

Shares sold

            179,722  

Shares exchanged from Investor Class(1)

          14,718,418  

Shares reinvested

          387,721  

Shares redeemed

    (975,000 )     (2,668,501 )

Net increase/(decrease) in shares

    (975,000 )     12,617,360  

 

(1)

Effective December 3, 2021, the outstanding Investor Class Shares of the Fund were converted into Institutional Class Shares of the Fund.

 

The accompanying notes are an integral part of these financial statements.

 

52

 

 

 

MOTLEY FOOL Mid-Cap Growth ETF
Statements of Changes in Net Assets

 

 

 

FOR THE
SIX MONTHS
ENDED
FEBRUARY 28,
2023
(UNAUDITED)

   

FOR THE
YEAR ENDED
AUGUST 31,
2022

 

OPERATIONS

               

Net investment income/(loss)

  $ 254,116     $ (660,888 )

Net realized gain/(loss) from investments and foreign currency transactions

    9,504,760       16,762,592  

Net change in unrealized appreciation/(depreciation) on investments, foreign currency translation, and assets and liabilities denominated in foreign currencies

    (10,169,080 )     (100,048,288 )

Net increase/(decrease) in net assets resulting from operations

    (410,204 )     (83,946,584 )

DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS:

               

Investor Shares

          (3,423,164 )

Institutional Shares

          (17,390,769 )

Total dividends and distributions to shareholders

          (20,813,933 )

CAPITAL SHARE TRANSACTIONS:

               

Investor Shares

               

Proceeds from shares sold

          3,029,266  

Reinvestment of dividends

          16,920,328  

Shares redeemed

          (10,054,968 )

Shares redeemed from exchange to Institutional Class(1)

          (250,730,153 )

Total from Investor Shares

          (240,835,527 )

Institutional Shares

               

Proceeds from shares sold

          1,532,940  

Proceeds from Institutional Class exchange(1)

          250,730,153  

Reinvestment of dividends

          3,235,692  

Shares redeemed

    (14,951,090 )     (32,143,643 )

Total from Institutional Shares

    (14,951,090 )     223,355,142  

Net increase/(decrease) in net assets from capital share transactions

    (14,951,090 )     (17,480,385 )

Total increase/(decrease) in net assets

    (15,361,294 )     (122,240,902 )

NET ASSETS:

               

Beginning of period

  $ 209,044,015     $ 331,284,917  

End of period

  $ 193,682,721     $ 209,044,015  

 

(1)

Effective December 3, 2021, the outstanding Investor Class Shares of the Fund were converted into Institutional Class Shares of the Fund.

 

The accompanying notes are an integral part of these financial statements.

 

 

53

 

 

MOTLEY FOOL Mid-Cap Growth ETF
Statements of Changes in Net Assets (CONCLUDED)

 

 

 

FOR THE
SIX MONTHS
ENDED
FEBRUARY 28,
2023
(UNAUDITED)

   

FOR THE
YEAR ENDED
AUGUST 31,
2022

 

SHARE TRANSACTIONS:

               

Investor Shares

               

Shares sold

          95,439  

Shares reinvested

          601,505  

Shares redeemed

          (316,334 )

Shares exchanged into Institutional Class(1)

          (8,829,770 )

Net increase/(decrease) in shares

          (8,449,160 )
                 

Institutional Shares

               

Shares sold

          47,461  

Shares exchanged from Investor Class(1)

          8,699,588  

Shares reinvested

          113,334  

Shares redeemed

    (625,000 )     (1,283,081 )

Net increase/(decrease) in shares

    (625,000 )     7,577,302  

 

(1)

Effective December 3, 2021, the outstanding Investor Class Shares of the Fund were converted into Institutional Class Shares of the Fund.

 

The accompanying notes are an integral part of these financial statements.

 

54

 

 

 

Motley Fool 100 Index ETF

Statements of Changes in Net Assets

 

 

 

FOR THE
SIX MONTHS
ENDED
FEBRUARY 28,
2023
(UNAUDITED)

   

FOR THE
YEAR ENDED
AUGUST 31,
2022

 

INCREASE/(DECREASE) IN NET ASSETS FROM OPERATIONS:

               

Net investment income/(loss)

  $ 778,300     $ 980,905  

Net realized gain/(loss) from investments

    6,340,941       12,165,022  

Net change in unrealized appreciation/(depreciation) on investments

    (19,924,168 )     (120,161,259 )

Net increase/(decrease) in net assets resulting from operations

    (12,804,927 )     (107,015,332 )
                 

DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS FROM:

               

Total distributable earnings

    (982,823 )     (1,325,790 )

Net decrease in net assets from dividends and distributions to shareholders

    (982,823 )     (1,325,790 )
                 

CAPITAL SHARE TRANSACTIONS:

               

Proceeds from shares sold

    3,855,702       41,513,113  

Shares redeemed

    (25,435,523 )     (43,914,753 )

Net increase/(decrease) in net assets from capital share transactions

    (21,579,821 )     (2,401,640 )

Total increase/(decrease) in net assets

    (35,367,571 )     (110,742,762 )
                 

NET ASSETS:

               

Beginning of period

    417,268,737       528,011,499  

End of period

  $ 381,901,166     $ 417,268,737  
                 

SHARES TRANSACTIONS:

               

Shares sold

    125,000       975,000  

Shares redeemed

    (800,000 )     (1,225,000 )

Net increase/(decrease) in shares outstanding

    (675,000 )     (250,000 )

 

 

The accompanying notes are an integral part of these financial statements.

 

 

55

 

 

Motley Fool Small-Cap Growth ETF

Statements of Changes in Net Assets

 

 

 

FOR THE
SIX MONTHS
ENDED
FEBRUARY 28,
2023
(UNAUDITED)

   

FOR THE
YEAR ENDED
AUGUST 31,
2022

 

INCREASE/(DECREASE) IN NET ASSETS FROM OPERATIONS:

               

Net investment income/(loss)

  $ 54,343     $ (571,366 )

Net realized gain/(loss) from investments

    (4,167,169 )     12,159,631  

Net change in unrealized appreciation/(depreciation) on investments

    7,559,767       (70,725,754 )

Net increase/(decrease) in net assets resulting from operations

    3,446,941       (59,137,489 )
                 

DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS FROM:

               

Total distributable earnings

    (227,522 )     (3,829,540 )

Net decrease in net assets from dividends and distributions to shareholders

    (227,522 )     (3,829,540 )
                 

CAPITAL SHARE TRANSACTIONS:

               

Proceeds from shares sold

          2,045,968  

Shares redeemed

    (10,942,445 )     (50,410,673 )

Net increase/(decrease) in net assets from capital share transactions

    (10,942,445 )     (48,364,705 )

Total increase/(decrease) in net assets

    (7,723,026 )     (111,331,734 )
                 

NET ASSETS:

               

Beginning of period

    78,049,855       189,381,589  

End of period

  $ 70,326,829     $ 78,049,855  
                 

SHARES TRANSACTIONS:

               

Shares sold

          50,000  

Shares redeemed

    (450,000 )     (1,600,000 )

Net increase/(decrease) in shares outstanding

    (450,000 )     (1,550,000 )

 

 

The accompanying notes are an integral part of these financial statements.

 

56

 

 

 

MOTLEY FOOL CAPITAL EFFICIENCY 100 INDEX ETF

Statements of Changes in Net Assets

 

 

 

FOR THE
SIX MONTHS
ENDED
FEBRUARY 28,
2023
(UNAUDITED)

   

FOR THE
PERIOD
ENDED
august 31,
2022*

 

INCREASE/(DECREASE) IN NET ASSETS FROM OPERATIONS:

               

Net investment income/(loss)

  $ 48,136     $ 42,783  

Net realized gain/(loss) from investments

    (813,028 )     (369,769 )

Net change in unrealized appreciation/(depreciation) on investments

    811,989       (1,917,628 )

Net increase/(decrease) in net assets resulting from operations

    47,097       (2,244,614 )
                 

DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS FROM:

               

Total distributable earnings

    (76,457 )      

Net decrease in net assets from dividends and distributions to shareholders

    (76,457 )      
                 

CAPITAL SHARE TRANSACTIONS:

               

Proceeds from shares sold

          24,197,108  

Shares redeemed

    (1,106,495 )     (1,198,305 )

Net increase/(decrease) in net assets from capital share transactions

    (1,106,495 )     22,998,803  

Total increase/(decrease) in net assets

    (1,135,855 )     20,754,189  
                 

NET ASSETS:

               

Beginning of period

    20,754,189        

End of period

  $ 19,618,334     $ 20,754,189  
                 

SHARES TRANSACTIONS:

               

Shares sold

          1,425,000  

Shares redeemed

    (75,000 )     (75,000 )

Net increase/(decrease) in shares outstanding

    (75,000 )     1,350,000  

 

*

Inception date of the Fund was December 30, 2021.

 

The accompanying notes are an integral part of these financial statements.

 

 

57

 

 

MOTLEY FOOL NEXT INDEX ETF

Statements of Changes in Net Assets

 

 

 

FOR THE
SIX MONTHS
ENDED
FEBRUARY 28,
2023
(UNAUDITED)

   

FOR THE
PERIOD
ENDED
august 31,
2022*

 

INCREASE/(DECREASE) IN NET ASSETS FROM OPERATIONS:

               

Net investment income/(loss)

  $ 20,891     $ 50,952  

Net realized gain/(loss) from investments

    (1,207,541 )     (268,811 )

Net change in unrealized appreciation/(depreciation) on investments

    1,633,400       (6,202,144 )

Net increase/(decrease) in net assets resulting from operations

    446,750       (6,420,003 )
                 

DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS FROM:

               

Total distributable earnings

    (64,299 )      

Net decrease in net assets from dividends and distributions to shareholders

    (64,299 )      
                 

CAPITAL SHARE TRANSACTIONS:

               

Proceeds from shares sold

          39,453,233  

Shares redeemed

    (2,935,025 )     (355,253 )

Net increase/(decrease) in net assets from capital share transactions

    (2,935,025 )     39,097,980  

Total increase/(decrease) in net assets

    (2,552,574 )     32,677,977  
                 

NET ASSETS:

               

Beginning of period

    32,677,977        

End of period

  $ 30,125,403     $ 32,677,977  
                 

SHARES TRANSACTIONS:

               

Shares sold

          2,200,000  

Shares redeemed

    (200,000 )     (25,000 )

Net increase/(decrease) in shares outstanding

    (200,000 )     2,175,000  

 

*

Inception date of the Fund was December 30, 2021.

 

The accompanying notes are an integral part of these financial statements.

 

58

 

 

 

MOTLEY FOOL Global Opportunities ETF
Financial Highlights

 

Contained below is per share operating performance data for shares outstanding, total investment return/(loss), ratios to average net assets and other supplemental data for the respective periods. This information has been derived from information provided in the financial statements.

 

 

 

FOR THE
SIX MONTHS
ENDED
FEBRUARY 28,
2023

   

YEARS ENDED
AUGUST 31,

 

 

 

(UNAUDITED)

   

2022

   

2021

   

2020

   

2019

   

2018

 

PER SHARE OPERATING PERFORMANCE

                                               

Net asset value, beginning of period

  $ 24.75     $ 37.03     $ 30.17     $ 25.09     $ 25.97     $ 24.09  

Net investment income/(loss)(1)

    0.02       0.30       (0.05 )     *     0.05       0.02  

Net realized and unrealized gain/(loss) from investments

    0.13       (10.00 )     9.03       6.21       0.80       4.94  

Net increase/(decrease) in net assets resulting from operations

    0.15       (9.70 )     8.98       6.21       0.85       4.96  

Dividends and distributions to shareholders from:

                                               

Net investment income

    (0.06 )     (0.77 )           (0.04 )           (0.03 )

Net realized capital gains

    (0.08 )     (1.81 )     (2.12 )     (1.09 )     (1.73 )     (3.05 )

Total dividends and distributions to shareholders

    (0.14 )     (2.58 )     (2.12 )     (1.13 )     (1.73 )     (3.08 )

Redemption and small-balance account fees

                                  *

Net asset value, end of period

  $ 24.76     $ 24.75     $ 37.03     $ 30.17     $ 25.09     $ 25.97  

Market value, end of period

  $ 24.80     $ 24.74     $     $     $     $  

Total investment return/(loss) on net asset value(2)

    0.71 %(4)     (27.61 )%     30.86 %     25.64 %     4.94 %     22.48 %

Total investment return/(loss) on market price(3)

    24.73 %     (27.65 )%     %     %     %     %

RATIOS/SUPPLEMENTAL DATA

                                               

Net assets, end of period (000’s omitted)

  $ 409,705     $ 433,652     $ 181,509     $ 122,406     $ 92,760     $ 78,987  

Ratio of expenses to average net assets

    0.85 %(5)     0.87 %     0.95 %     0.95 %     0.95 %     0.95 %

Ratio of expenses to average net assets (before waivers and reimbursement of expenses and/or recapture of previously waived fees)

    0.85 %(5)     0.88 %     0.98 %     1.00 %     0.99 %     1.06 %

Ratio of net investment income/(loss) to average net assets

    0.13 %(5)     1.08 %     (0.16 )%     (0.01 )%     0.19 %     0.07 %

Ratio of net investment income/(loss) to average net assets (before waivers and reimbursement of expenses and/or recapture of previously waived fees)

    0.13 %(5)     1.07 %     (0.19 )%     (0.06 )%     0.15 %     (0.04 )%

Portfolio turnover rate

    2 %(4)     14 %     12 %     10 %     11 %     15 %

 

*

Amount represents less than $0.005 per share.

 

(1)

Per share data calculated using average shares outstanding method.

 

(2)

Total investment return/(loss) on net asset value is calculated assuming a purchase of shares on the first day and a sale of shares on the last day of each period reported and includes reinvestments of dividends and distributions, if any.

 

(3)

Total investment return/(loss) on market price is calculated assuming an initial investment made at the market price on the first day of the period, reinvestment of dividends and distributions at market price during the period and redemption at market price on the last day of the period.

 

(4)

Not annualized.

 

(5)

Annualized.

 

The accompanying notes are an integral part of these financial statements.

 

 

59

 

 

MOTLEY FOOL Mid-Cap Growth ETF
Financial Highlights

 

Contained below is per share operating performance data for shares outstanding, total investment return/(loss), ratios to average net assets and other supplemental data for the respective periods. This information has been derived from information provided in the financial statements.

 

 

 

FOR THE
SIX MONTHS
ENDED
FEBRUARY 28,
2023

   

YEARS ENDED
AUGUST 31,

 

 

 

(UNAUDITED)

   

2022

   

2021

   

2020

   

2019

   

2018

 

PER SHARE OPERATING PERFORMANCE

                                               

Net asset value, beginning of period

  $ 22.68     $ 33.20     $ 29.79     $ 24.48     $ 27.50     $ 22.14  

Net investment income/(loss)(1)

    0.03       (0.04 )     (0.09 )     (0.02 )     0.02       (0.01 )

Net realized and unrealized gain/(loss) from investments

    (0.04 )     (8.38 )     6.90       6.79       (1.88 )     6.72  

Net increase/(decrease) in net assets resulting from operations

    (0.01 )     (8.42 )     6.81       6.77       (1.86 )     6.71  

Dividends and distributions to shareholders from:

                                               

Net investment income

                                   

Net realized capital gains

          (2.10 )     (3.40 )     (1.46 )     (1.16 )     (1.35 )

Total dividends and distributions to shareholders

          (2.10 )     (3.40 )     (1.46 )     (1.16 )     (1.35 )

Redemption and small-balance account fees

                                  *

Net asset value, end of period

  $ 22.67     $ 22.68     $ 33.20     $ 29.79     $ 24.48     $ 27.50  

Market value, end of period

  $ 22.65     $ 22.62     $     $     $     $  

Total investment return/(loss) on net asset value(2)

    (0.03 )%(4)     (26.66 )%     24.38 %     28.77 %     (5.97 )%     31.10 %

Total investment return/(loss) on market price(3)

    0.12 %     (26.84 )%     %     %     %     %

RATIOS/SUPPLEMENTAL DATA

                                               

Net assets, end of period (000’s omitted)

  $ 193,683     $ 209,044     $ 54,460     $ 39,488     $ 29,205     $ 30,562  

Ratio of expenses to average net assets

    0.85 %(5)     0.90 %     0.95 %     0.95 %     0.95 %     0.95 %

Ratio of expenses to average net assets (before waivers and reimbursement of expenses and/or recapture of previously waived fees)

    0.85 %(5)     0.88 %     0.98 %     1.00 %     0.98 %     1.17 %

Ratio of net investment income/(loss) to average net assets

    0.26 %(5)     (0.17 )%     (0.30 )%     (0.06 )%     0.10 %     (0.05 )%

Ratio of net investment income/(loss) to average net assets (before waivers and reimbursement of expenses and/or recapture of previously waived fees)

    0.26 %(5)     (0.15 )%     (0.33 )%     (0.11 )%     0.07 %     (0.26 )%

Portfolio turnover rate

    3 %(4)     2 %     15 %     14 %     4 %     19 %

 

*

Amount represents less than $0.005 per share.

 

(1)

Per share data calculated using average shares outstanding method.

 

(2)

Total investment return/(loss) on net asset value is calculated assuming a purchase of shares on the first day and a sale of shares on the last day of each period reported and includes reinvestments of dividends and distributions, if any.

 

(3)

Total investment return/(loss) on market price is calculated assuming an initial investment made at the market price on the first day of the period, reinvestment of dividends and distributions at market price during the period and redemption at market price on the last day of the period.

 

(4)

Not annualized.

 

(5)

Annualized.

 

The accompanying notes are an integral part of these financial statements.

 

60

 

 

 

Motley Fool 100 Index ETF

Financial Highlights

 

Contained below is per share operating performance data for shares outstanding, total investment return/(loss), ratios to average net assets and other supplemental data for the respective periods. This information has been derived from information provided in the financial statements.

 

 

 

FOR THE
SIX MONTHS
ENDED
FEBRUARY 28,
2023

   

YEARS ENDED AUGUST 31,

   

For the
Period Ended
august 31,

 

 

 

(UNAUDITED)

   

2022

   

2021

   

2020

   

2019

   

2018(1)

 

PER SHARE OPERATING PERFORMANCE

                                               

Net asset value, beginning of period

  $ 33.99     $ 42.16     $ 33.67     $ 22.46     $ 22.10     $ 20.00  

Net investment income/(loss)(2)

    0.07       0.08       0.05       0.11       0.15       0.08  

Net realized and unrealized gain/(loss) from investments

    (1.06 )     (8.15 )     8.59       11.23       0.32       2.02  

Net increase/(decrease) in net assets resulting from operations

    (0.99 )     (8.07 )     8.64       11.34       0.47       2.10  

Dividends and distributions to shareholders from:

                                               

Net investment income

    (0.08 )     (0.02 )     (0.10 )     (0.13 )     (0.11 )      

Net realized capital gains

          (0.08 )     (0.05 )                  

Total dividends and distributions to shareholders

    (0.08 )     (0.10 )     (0.15 )     (0.13 )     (0.11 )      

Net asset value, end of period

  $ 32.92     $ 33.99     $ 42.16     $ 33.67     $ 22.46     $ 22.10  

Market value, end of period

  $ 32.89     $ 34.00     $ 42.20     $ 33.66     $ 22.42     $ 22.13  

Total investment return/(loss) on net asset value(3)

    (2.90 )%(5)     (19.18 )%     25.74 %     50.67 %     2.27 %     10.49 %(5)

Total investment return/(loss) on market price(4)

    (3.01 )%     (19.24 )%     25.91 %     50.89 %     1.93 %     10.65 %(5)

RATIOS/SUPPLEMENTAL DATA

                                               

Net assets, end of period (000’s omitted)

  $ 381,901     $ 417,269     $ 528,011     $ 337,547     $ 185,871     $ 140,879  

Ratio of expenses to average net assets

    0.5 %(6)     0.50 %     0.50 %     0.50 %     0.50 %     0.50 %(6)

Ratio of net investment income/(loss) to average net assets

    0.41 %(6)     0.20 %     0.15 %     0.43 %     0.69 %     0.68 %(6)

Portfolio turnover rate

    4 %(5)     15 %     23 %     26 %     26 %     10 %(5)

 

(1)

Inception date of the Fund was January 29, 2018.

 

(2)

Per share data calculated using average shares outstanding method.

 

(3)

Total investment return/(loss) on net asset value is calculated assuming a purchase of shares on the first day and a sale of shares on the last day of each period reported and includes reinvestments of dividends and distributions, if any.

 

(4)

Total investment return/(loss) on market price is calculated assuming an initial investment made at the market price on the first day of the period, reinvestment of dividends and distributions at market price during the period and redemption at market price on the last day of the period.

 

(5)

Not annualized.

 

(6)

Annualized.

 

The accompanying notes are an integral part of these financial statements.

 

 

61

 

 

MOTLEY FOOL Small-Cap Growth ETF

Financial Highlights

 

Contained below is per share operating performance data for shares outstanding, total investment return/(loss) return, ratios to average net assets and other supplemental data for the respective periods. This information has been derived from information provided in the financial statements.

 

 

 

FOR THE
SIX MONTHS
ENDED
FEBRUARY 28,
2023

   

YEARS ENDED AUGUST 31,

   

FOR THE
PERIOD ENDED
AUGUST 31,

 

 

 

(UNAUDITED)

   

2022

   

2021

   

2020

   

2019(1)

 

PER SHARE OPERATING PERFORMANCE

                                       

Net asset value, beginning of period

  $ 25.18     $ 40.73     $ 32.59     $ 23.33     $ 20.00  

Net investment income/(loss)(2)

    0.10       (0.15 )     (0.19 )     (0.07 )     *

Net realized and unrealized gain/(loss) from investments

    1.34       (14.53 )     10.48       9.67       3.33  

Net increase/(decrease) in net assets resulting from operations

    1.44       (14.68 )     10.29       9.60       3.33  

Dividends and distributions to shareholders from:

                                       

Net realized capital gains

    (0.08 )     (0.87 )     (2.15 )     (0.34 )      

Total dividends and distributions to shareholders

    (0.08 )     (0.87 )     (2.15 )     (0.34 )      

Net asset value, end of period

  $ 26.54     $ 25.18     $ 40.73     $ 32.59     $ 23.33  

Market value, end of period

  $ 26.53     $ 25.18     $ 40.74     $ 32.68     $ 23.34  

Total investment return/(loss) on net asset value(3)

    5.75 %(5)     (36.66 )%     32.00 %     41.58 %     16.65 %(5)

Total investment return/(loss) on market price(4)

    5.69 %     (36.65 )%     31.54 %     41.88 %     16.69 %(5)

RATIOS/SUPPLEMENTAL DATA

                                       

Net assets, end of period (000’s omitted)

  $ 70,327     $ 78,050     $ 189,382     $ 106,745     $ 71,153  

Ratio of expenses to average net assets

    0.85 %(6)     0.85 %     0.85 %     0.85 %     0.85 %(6)

Ratio of net investment income/(loss) to average net assets

    0.8 %(6)     (0.46 )%     (0.51 )%     (0.29 )%     (0.01 )%(6)

Portfolio turnover rate

    37 %(5)     11 %     21 %     27 %     21 %(5)

 

*

Amount represents less than $0.005 per share.

 

(1)

Inception date of the Fund was October 29, 2018.

 

(2)

Per share data calculated using average shares outstanding method.

 

(3)

Total investment return/(loss) on net asset value is calculated assuming a purchase of shares on the first day and a sale of shares on the last day of each period reported and includes reinvestments of dividends and distributions, if any.

 

(4)

Total investment return/(loss) on market price is calculated assuming an initial investment made at the market price on the first day of the period, reinvestment of dividends and distributions at market price during the period and redemption at market price on the last day of the period.

 

(5)

Not annualized.

 

(6)

Annualized.

 

The accompanying notes are an integral part of these financial statements.

 

62

 

 

 

Motley Fool CAPITAL EFFICIENCY 100 INDEX ETF

Financial Highlights

 

Contained below is per share operating performance data for shares outstanding, total investment return/(loss) return, ratios to average net assets and other supplemental data for the respective period. This information has been derived from information provided in the financial statements.

 

 

 

FOR THE
SIX MONTHS
ENDED
FEBRUARY 28,
2023

   

For the
Period Ended
august 31,

 

 

 

(UNAUDITED)

   

2022(1)

 

PER SHARE OPERATING PERFORMANCE

               

Net asset value, beginning of period

  $ 15.37     $ 20.00  

Net investment income/(loss)(2)

    0.04       0.05  

Net realized and unrealized gain/(loss) from investments

    0.04       (4.68 )

Net increase/(decrease) in net assets resulting from operations

    0.08       (4.63 )

Dividends and distributions to shareholders from:

               

Net realized capital gains

    (0.06 )      

Total dividends and distributions to shareholders

    (0.06 )      

Net asset value, end of period

  $ 15.39     $ 15.37  

Market value, end of period

  $ 15.38     $ 15.38  

Total investment return/(loss) on net asset value(3)

    0.47 %(5)     (23.13 )%(5)

Total investment return/(loss) on market price(4)

    0.38 %     (23.09 )%(5)

RATIOS/SUPPLEMENTAL DATA

               

Net assets, end of period (000’s omitted)

  $ 19,618     $ 20,754  

Ratio of expenses to average net assets

    0.5 %(6)     0.50 %(6)

Ratio of net investment income/(loss) to average net assets

    0.49 %(6)     0.50 %(6)

Portfolio turnover rate

    16 %(5)     17 %(5)

 

(1)

Inception date of the Fund was December 30, 2021.

 

(2)

Per share data calculated using average shares outstanding method.

 

(3)

Total investment return/(loss) on net asset value is calculated assuming a purchase of shares on the first day and a sale of shares on the last day of each period reported and includes reinvestments of dividends and distributions, if any.

 

(4)

Total investment return/(loss) on market price is calculated assuming an initial investment made at the market price on the first day of the period, reinvestment of dividends and distributions at market price during the period and redemption at market price on the last day of the period.

 

(5)

Not annualized.

 

(6)

Annualized.

 

The accompanying notes are an integral part of these financial statements.

 

 

63

 

 

MOTLEY FOOL NEXT INDEX ETF

Financial Highlights

 

Contained below is per share operating performance data for shares outstanding, total investment return/(loss) return, ratios to average net assets and other supplemental data for the respective period. This information has been derived from information provided in the financial statements.

 

 

 

FOR THE
SIX MONTHS
ENDED
FEBRUARY 28,
2023

   

For the
Period Ended
august 31,

 

 

 

(UNAUDITED)

   

2022(1)

 

PER SHARE OPERATING PERFORMANCE

               

Net asset value, beginning of period

  $ 15.02     $ 20.00  

Net investment income/(loss)(2)

    0.01       0.03  

Net realized and unrealized gain/(loss) from investments

    0.25       (5.01 )

Net increase/(decrease) in net assets resulting from operations

    0.26       (4.98 )

Dividends and distributions to shareholders from:

               

Net realized capital gains

    (0.03 )      

Total dividends and distributions to shareholders

    (0.03 )      

Net asset value, end of period

  $ 15.25     $ 15.02  

Market value, end of period

  $ 15.25     $ 15.01  

Total investment return/(loss) on net asset value(3)

    1.74 %(5)     (24.88 )%(5)

Total investment return/(loss) on market price(4)

    1.85 %     (24.97 )%(5)

RATIOS/SUPPLEMENTAL DATA

               

Net assets, end of period (000’s omitted)

  $ 30,125     $ 32,678  

Ratio of expenses to average net assets

    0.50 %(6)     0.50 %(6)

Ratio of net investment income/(loss) to average net assets

    0.14 %(6)     0.26 %(6)

Portfolio turnover rate

    18 %(5)     11 %(5)

 

(1)

Inception date of the Fund was December 30, 2021.

 

(2)

Per share data calculated using average shares outstanding method.

 

(3)

Total investment return/(loss) on net asset value is calculated assuming a purchase of shares on the first day and a sale of shares on the last day of each period reported and includes reinvestments of dividends and distributions, if any.

 

(4)

Total investment return/(loss) on market price is calculated assuming an initial investment made at the market price on the first day of the period, reinvestment of dividends and distributions at market price during the period and redemption at market price on the last day of the period.

 

(5)

Not annualized.

 

(6)

Annualized.

 

The accompanying notes are an integral part of these financial statements.

 

64

 

 

 

Motley Fool Asset Management ETFs

Notes to Financial Statements

FEBRUARY 28, 2023 (UNAUDITED)

 

1. ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES

 

The RBB Fund, Inc. (“RBB” or the “Company”) was incorporated under the laws of the State of Maryland on February 29, 1988 and is registered under the Investment Company Act of 1940, as amended, (the “1940 Act”), as an open-end management investment company. RBB is a “series fund,” which is a mutual fund complex divided into separate portfolios. Each portfolio is treated as a separate entity for certain matters under the 1940 Act, and for other purposes, and a shareholder of one portfolio is not deemed to be a shareholder of any other portfolio. Currently, RBB has forty-eight separate investment portfolios, including the Motley Fool Global Opportunities ETF (“Global Opportunities Fund”), the Motley Fool Mid-Cap Growth ETF (“Mid-Cap Growth Fund”), the Motley Fool 100 Index ETF (the “Fool 100 Fund”), the Motley Fool Small-Cap Growth ETF (“Small-Cap Growth Fund”), the Motley Fool Capital Efficiency 100 Index ETF (“Capital Efficiency Fund”) and the Motley Fool Next Index ETF (“Next Fund”) (each a “Fund” and together the “Funds”). The Global Opportunities Fund, Mid-Cap Growth Fund, Fool 100 Fund, Small-Cap Growth Fund, Capital Efficiency Fund and Next Fund commenced investment operations on June 17, 2014, June 17, 2014, January 29, 2018, October 29, 2018, December 30, 2021 and December 30, 2021, respectively.

 

RBB has authorized capital of one hundred billion shares of common stock of which 90.623 billion shares are currently classified into two hundred and thirteen classes of common stock. Each class represents an interest in an active or inactive RBB investment portfolio.

 

The investment objective of each Fund is to achieve long-term capital appreciation. The Global Opportunities Fund pursues its objective by investing primarily in common stocks of United States companies and of companies that are organized under the laws of other countries around the world. The Mid-Cap Growth Fund pursues its objective by investing primarily in common stocks of companies that are organized in the United States and that are engaged in a broad range of industries.

 

The investment objective of the Fool 100 Fund is to achieve investment results that correspond (before fees and expenses) generally to the total return performance of the Motley Fool 100 Index (the “Fool 100 Index”). The Fool 100 Index was developed by The Motley Fool, LLC (“The Motley Fool”), an affiliate of Motley Fool Asset Management, LLC (the “Adviser”), in 2017 and is a proprietary, rules-based index designed to track the performance of the 100 largest, most liquid U.S. companies that have been recommended by The Motley Fool’s analysts and newsletters or the highest-rated stocks in Fool IQ, the company’s analyst opinion database. Every company include in the Fool 100 Index is incorporated and listed in the U.S. The investment objective of the Small-Cap Growth Fund is to achieve long-term capital appreciation.

 

The investment objective of the Capital Efficiency Fund is to seek investment results that correspond (before fees and expenses) generally to the total return performance of the Motley Fool Capital Efficiency 100 Index (the “Capital Efficiency 100 Index”). The Capital Efficiency 100 Index was developed by The Motley Fool in 2021 and is a proprietary, rules-based index designed to track the performance of the highest scoring stocks of U.S. companies, measured by a company’s capital efficiency, that have been recommended by The Motley Fool’s analysts and newsletters, and that also meet certain liquidity requirements. Capital efficiency is a measure of how a business turns its investments into revenue and profit and it provides insight into the company’s return on invested capital. Every company included in the Capital Efficiency 100 Index is incorporated and listed in the U.S. The investment objective of the Next Fund is to seek investment results that correspond (before fees and expenses) generally to the total return performance of the Motley Fool Next Index (the “Next Index”). The Next Index was developed by The Motley Fool in 2021 and is a proprietary, rules-based index designed to track the performance of the 100 largest, most liquid U.S. companies that have been recommended by The Motley Fool’s analysts and newsletters. Every company included in the Next Index is incorporated and listed in the U.S.

 

The Funds are investment companies and follow accounting and reporting guidance in the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946 “Financial Services - Investment Companies”.

 

The end of the reporting period for the Funds is February 28, 2023, and the period covered by these Notes to Financial Statements is the six months ended February 28, 2023 (the “current fiscal period”).

 

PORTFOLIO VALUATION — Each Fund’s net asset value (“NAV”) is calculated once daily at the close of regular trading hours on the New York Stock Exchange (“NYSE”) (generally 4:00 p.m. Eastern time) on each day the NYSE is open. Securities held by the Funds are valued using the closing price or the last sale price on a national securities exchange or the National Association of Securities Dealers Automatic Quotation System (“NASDAQ”) market system where they are primarily traded. Equity securities traded in the over-the-counter (“OTC”) market are valued at their closing prices. If there were no transactions on that day, securities traded principally on an exchange or on NASDAQ will be valued at the mean of the last bid and ask prices

 

 

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Motley Fool Asset Management ETFs

Notes to Financial Statements (continued)

FEBRUARY 28, 2023 (UNAUDITED)

 

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 Board has adopted a pricing and valuation policy for use by each Fund and its Valuation Designee (as defined below) in calculating the Fund’s NAV. Pursuant to Rule 2a-5 under the 1940 Act, the Board has designated Motley Fool Asset Management, LLC (the “Adviser”) as its “Valuation Designee” to perform all of the fair value determinations as well as to perform all of the responsibilities that may be performed by the Valuation Designee in accordance with Rule 2a-5. The Valuation Designee is authorized to make all necessary determinations of the fair values of portfolio securities and other assets for which market quotations are not readily available or if it is deemed that the prices obtained from brokers and dealers or independent pricing services are unreliable.

 

FAIR VALUE MEASUREMENTS — The inputs and valuation techniques used to measure the fair value of the Funds’ investments are summarized into three levels as described in the hierarchy below:

 

 

Level 1 – Prices are determined using quoted prices in active markets for identical securities.

 

 

Level 2 – Prices are determined using other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).

 

 

Level 3 – Prices are determined using significant unobservable inputs (including the Funds’ own assumptions in determining the fair value of investments).

 

The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

 

The following is a summary of the inputs used, as of the end of the reporting period, in valuing the Funds’ investments carried at fair value:

 

GLOBAL OPPORTUNITIES FUND

 

 

 

TOTAL

   

LEVEL 1

   

LEVEL 2

   

LEVEL 3

   

INVESTMENTS
MEASURED
AT NET ASSET
VALUE^

 

Common Stocks

  $ 399,563,923     $ 399,555,163     $     $ 8,760     $  

Investments Purchased with Proceeds From Securities Lending Collateral

    40,518,101                         40,518,101  

Short-Term Investments

    9,386,795       9,386,795                    

Total Investments*

  $ 449,468,819     $ 408,941,958     $     $ 8,760     $ 40,518,101  

 

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Motley Fool Asset Management ETFs

Notes to Financial Statements (continued)

FEBRUARY 28, 2023 (UNAUDITED)

 

MID-CAP GROWTH FUND

 

 

 

TOTAL

   

LEVEL 1

   

LEVEL 2

   

LEVEL 3

   

INVESTMENTS
MEASURED
AT NET ASSET
VALUE^

 

Common Stocks

  $ 177,662,046     $ 177,662,046     $     $     $  

Investments Purchased with Proceeds From Securities Lending Collateral

    48,052,898                         48,052,898  

Short-Term Investments

    15,996,949       15,996,949                    

Total Investments*

  $ 241,711,893     $ 193,658,995     $     $     $ 48,052,898  

 

FOOL 100 FUND

 

 

 

TOTAL

   

LEVEL 1

   

LEVEL 2

   

LEVEL 3

   

INVESTMENTS
MEASURED
AT NET ASSET
VALUE^

 

Common Stocks

  $ 381,391,547     $ 381,382,982     $     $ 8,565     $  

Rights

    20,470                   20,470        

Investments Purchased with Proceeds From Securities Lending Collateral

    24,096,724                         24,096,724  

Short-Term Investments

    329,012       329,012                    

Total Investments*

  $ 405,837,753     $ 381,711,994     $     $ 29,035     $ 24,096,724  

 

SMALL-CAP GROWTH FUND

 

 

 

TOTAL

   

LEVEL 1

   

LEVEL 2

   

LEVEL 3

   

INVESTMENTS
MEASURED
AT NET ASSET
VALUE^

 

Common Stocks

  $ 63,365,183     $ 63,365,183     $     $     $  

Investments Purchased with Proceeds From Securities Lending Collateral

    32,276,210                         32,276,210  

Short-Term Investments

    6,096,928       6,096,928                    

Total Investments*

  $ 101,738,321     $ 69,462,111     $     $     $ 32,276,210  

 

 

67

 

 

Motley Fool Asset Management ETFs

Notes to Financial Statements (continued)

FEBRUARY 28, 2023 (UNAUDITED)

 

CAPITAL EFFICIENCY FUND

 

 

 

TOTAL

   

LEVEL 1

   

LEVEL 2

   

LEVEL 3

   

INVESTMENTS
MEASURED
AT NET ASSET
VALUE^

 

Common Stocks

  $ 19,580,424     $ 19,580,424     $     $     $  

Short-Term Investments

    25,436       25,436                    

Total Investments*

  $ 19,605,860     $ 19,605,860     $     $     $  

 

NEXT FUND

 

 

 

TOTAL

   

LEVEL 1

   

LEVEL 2

   

LEVEL 3

   

INVESTMENTS
MEASURED
AT NET ASSET
VALUE^

 

Common Stocks

  $ 29,963,412     $ 29,963,412     $     $     $  

Short-Term Investments

    155,645       155,645                    

Total Investments*

  $ 30,119,057     $ 30,119,057     $     $     $  

 

*

Please refer to the Schedule of Investments for further details.

 

^

Certain investments that are measured at fair value using the net asset value per share (or its equivalent) practical expedient have not been categorized in the fair value hierarchy. The fair value amounts presented in the table are intended to permit reconciliation of the fair value hierarchy to the amounts presented in the Statements of Assets and Liabilities.

 

At the end of each quarter, management evaluates the classification of Levels 1, 2 and 3 assets and liabilities. Various factors are considered, such as changes in liquidity from the prior reporting period; whether or not a broker is willing to execute at the quoted price; the depth and consistency of prices from third party pricing services; and the existence of contemporaneous, observable trades in the market. Additionally, management evaluates the classification of Levels 1, 2 and 3 assets and liabilities on a quarterly basis for changes in listings or delistings on national exchanges.

 

Due to the inherent uncertainty of determining the fair value of investments that do not have a readily available market value, the fair value of the Funds’ investments may fluctuate from period to period. Additionally, the fair value of investments may differ significantly from the values that would have been used had a ready market existed for such investments and may differ materially from the values the Funds may ultimately realize. Further, such investments may be subject to legal and other restrictions on resale or otherwise less liquid than publicly traded securities.

 

For fair valuations using significant unobservable inputs, U.S. generally accepted accounting principles (“U.S. GAAP”) requires each Fund to present a reconciliation of the beginning to ending balances for reported market values that presents changes attributable to total realized and unrealized gains or losses, purchase and sales, and transfers in and out of Level 3 during the period. Transfers in and out between levels are based on values at the end of the period. A reconciliation of Level 3 investments is presented only when a Fund had an amount of Level 3 investments at the end of the reporting period that was meaningful in relation to its net assets. The amounts and reasons for all Level 3 transfers are disclosed if a Fund had an amount of total Level 3 transfers during the reporting period that was meaningful in relation to its net assets as of the end of the reporting period.

 

During the current fiscal period, the Funds had no Level 3 transfers.

 

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Motley Fool Asset Management ETFs

Notes to Financial Statements (continued)

FEBRUARY 28, 2023 (UNAUDITED)

 

USE OF ESTIMATES — The preparation of financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates and those differences could be significant.

 

INVESTMENT TRANSACTIONS, INVESTMENT INCOME AND EXPENSES — The Funds record security transactions based on trade date for financial reporting purposes. The cost of investments sold is determined by use of the specific identification method for both financial reporting and income tax purposes in determining realized gains and losses on investments. Interest income (including amortization of premiums and accretion of discounts) is accrued when earned. Dividend income is recorded on the ex-dividend date. Distributions received on securities that represent a return of capital or capital gains are recorded as a reduction of cost of investments and/or as a realized gain. Certain expenses are shared with The RBB Fund Trust (formerly, PENN Capital Funds Trust) (the “Trust”), a series trust of affiliated funds. Expenses incurred on behalf of a specific class, fund or fund family of the Company or Trust are charged directly to the class, fund or fund family (in proportion to net assets). Expenses incurred for all funds (such as director or professional fees) are charged to all funds in proportion to their average net assets of RBB and the Trust, or in such other manner as the Board deems fair or equitable. Expenses and fees, including investment advisory fees, are accrued daily and taken into account for the purpose of determining the NAV of each Fund.

 

DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS — Each Fund pays dividends from its net investment income and distributes any net capital gains that it realizes. Dividends and capital gains distributions are generally paid once a year and as required to comply with federal excise tax requirements. Distributions to shareholders are determined in accordance with tax regulations and recorded on the ex dividend date. Additionally, each Fund reports details of distribution-related transactions on quarterly account statements. You may not receive a separate confirmation statement for these transactions.

 

U.S. TAX STATUSNo provision is made for U.S. income taxes as it is the Funds’ intention to continue to qualify for and elect the tax treatment applicable to regulated investment companies under Subchapter M of the Internal Revenue Code of 1986, as amended, and make the requisite distributions to its shareholders which will be sufficient to relieve it from U.S. income and excise taxes.

 

CORONAVIRUS (COVID-19) PANDEMIC — The global outbreak of COVID-19 (commonly referred to as “coronavirus”) has disrupted economic markets and the prolonged economic impact is uncertain. Although vaccines for COVID-19 are available, the ultimate economic fallout from the pandemic, and the long-term impact on economies, markets, industries and individual issuers are not known. The operational and financial performance of the issuers of securities in which the Funds invest depends on future developments, including the duration and spread of the outbreak and the pace of recovery which may vary from market to market, and such uncertainty may in turn adversely affect the value and liquidity of the Funds’ investments, impair the Funds’ ability to satisfy redemption requests, and negatively impact the Funds’ performance.

 

UKRAINE-RUSSIA CONFLICT RISK — In February 2022, Russia commenced a military attack on Ukraine. The outbreak of hostilities between the two countries and the threat of wider-spread hostilities could have a severe adverse effect on the region and global economies, including significant negative impacts on the markets for certain securities and commodities, such as oil and natural gas. In addition, sanctions imposed on Russia by the United States and other countries, and any sanctions imposed in the future, could have a significant adverse impact on the Russian economy and related markets. The price and liquidity of investments may fluctuate widely as a result of the conflict and related events. How long the armed conflict and related events will last cannot be predicted. These tensions and any related events could have a significant impact on Fund performance and the value of Fund investments, even beyond any direct exposure the Fund may have to issuers located in these countries.

 

CASH AND CASH EQUIVALENTS — Cash and cash equivalents are valued at cost plus accrued interest, which approximates market value.

 

FOREIGN CURRENCY TRANSLATION — The books and records of the Funds are maintained in U.S. dollars as follows: (1) the values of investment securities and other assets and liabilities stated in foreign currencies are translated at the exchange rates prevailing at the end of the period; and (2) purchases, sales and income are translated at the rates of exchange prevailing on the respective dates of such transactions. Transaction gains or losses resulting from changes in exchange rates during the reporting period or upon settlement from foreign currency transactions are reported in the Statements of Operations for the current period. The Funds do not isolate the portion of gains and losses on investments.

 

 

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Motley Fool Asset Management ETFs

Notes to Financial Statements (continued)

FEBRUARY 28, 2023 (UNAUDITED)

 

OTHER — In the normal course of business, the Funds may enter into contracts that provide general indemnifications. Each Fund’s maximum exposure under these arrangements is dependent on claims that may be made against the Funds in the future, and, therefore, cannot be estimated; however, the Funds expect the risk of material loss from such claims to be remote.

 

2. Investment Policies and Practices

 

The sections below describe some of the different types of investments that may be made by the Funds and the investment practices in which the Funds may engage.

 

TYPES OF FIXED-INCOME SECURITIES — Each Fund may invest in bonds and other types of debt obligations of U.S. and foreign issuers. Fixed income securities purchased by a Fund may include, among others, bonds, notes, and debentures issued by corporations; debt securities issued or guaranteed by the U.S. government or one of its agencies or instrumentalities (“U.S. Government Securities”); municipal securities; mortgage-backed and asset-backed securities; and debt securities issued or guaranteed by foreign governments, their agencies, instrumentalities, or political subdivisions, or by government-owned, -controlled, or -sponsored entities, including central banks. These investments also include money market instruments and other types of obligations. Investors should recognize that, although securities ratings issued by S&P Global Ratings (“S&P”), a division of The McGraw-Hill Companies, Inc., and Moody’s Investors Services©, Inc. (“Moody’s”), provide a generally useful guide as to credit risks, they do not offer any criteria to evaluate interest rate risk. Changes in interest rate levels generally cause fluctuations in the prices of fixed-income securities and will, therefore, cause fluctuations in the NAV per share of a Fund. Subsequent to the purchase of a fixed-income security by a Fund, the ratings or credit quality of such security may deteriorate. Any such subsequent adverse changes in the rating or quality of a security held by a Fund would not require a Fund to sell the security.

 

REAL ESTATE INVESTMENT TRUSTS — Real estate investment trusts (“REITs”) are pooled investment vehicles that manage a portfolio of real estate or real estate-related loans to earn profits for their shareholders. REITs are generally classified as equity REITs, mortgage REITs, or a combination of equity and mortgage REITs. Investing in REITs involves certain unique risks in addition to those risks associated with investing in the real estate industry in general. Equity REITs may be affected by changes in the value of the underlying property owned by the REITs, while mortgage REITs may be affected by the quality of the borrower on any credit extended. REITs are dependent upon management skills, may not be diversified geographically or by property type, and are subject to heavy cash-flow dependency, default by borrowers, and self-liquidation. REITs must also meet certain requirements under the Internal Revenue Code of 1986, as amended (the “Code”), to avoid entity level tax and be eligible to pass through certain tax attributes of their income to shareholders. REITs are consequently subject to the risk of failing to meet these requirements for favorable tax treatment and of failing to maintain their exemptions from registration under the 1940 Act. REITs are also subject to the risks of changes in the Code, affecting their tax status.

 

REITs (especially mortgage REITs) are also subject to interest rate risks. When interest rates decline, the value of a REIT’s investment in fixed-rate obligations can be expected to rise. Conversely, when interest rates rise, the value of a REIT’s investment in fixed-rate obligations can be expected to decline. In contrast, as interest rates on adjustable-rate mortgage loans are reset periodically, yields on a REIT’s investments in such loans will gradually align themselves to reflect changes in market interest rates, causing the value of such investments to fluctuate less dramatically in response to interest rate fluctuations than would investments in fixed-rate obligations.

 

The management of a REIT may be subject to conflicts of interest with respect to the operation of the business of the REIT and may be involved in real estate activities competitive with the REIT. REITs may own properties through joint ventures or in other circumstances in which a REIT may not have control over its investments. REITs may use significant amounts of leverage.

 

REITs often do not provide complete tax information until after the end of the calendar year. Consequently, because of the delay, it may be necessary for a Fund, if invested in REITs, to request permission to extend the deadline for issuance of Forms 1099-DIV beyond January 31. Alternatively, amended Forms 1099-DIV may be sent.

 

FOREIGN SECURITIES — The Global Opportunities Fund and the Mid-Cap Growth Fund may invest in equity and fixed-income securities of foreign companies, including companies located in both developed and emerging-market countries. Investment in foreign securities may include the purchase of American Depositary Receipts (“ADRs”) and other depositary receipts (European Depositary Receipts (“EDRs”) and Global Depositary Receipts (“GDRs”)) that represent indirect interests in securities of foreign issuers. A significant portion of a Fund’s exposure to foreign investments may be composed of such investments. Investments in foreign securities are affected by risk factors generally not associated with investments in the securities

 

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Motley Fool Asset Management ETFs

Notes to Financial Statements (continued)

FEBRUARY 28, 2023 (UNAUDITED)

 

of U.S. companies in the U.S. With respect to such securities, there may be more limited information publicly available concerning the issuer than would be the case with respect to domestic securities, foreign issuers may use different accounting standards, and foreign trading markets may not be as liquid as are U.S. markets. Foreign securities also involve such risks as currency risks, possible imposition of withholding or confiscatory taxes, possible currency transfer restrictions, expropriation or other adverse political or economic developments, and the difficulty of enforcing obligations in other countries. These risks may be greater in emerging-market countries and in less-developed countries.

 

The purchase of securities denominated in foreign currencies will subject the value of the Funds’ investments in those securities to fluctuations caused by changes in foreign exchange rates. To hedge against the effects of changes in foreign exchange rates, the Funds may enter into forward foreign currency exchange contracts (“forward contracts”). These contracts represent agreements to exchange an amount of currency at an agreed-upon future date and rate. The Funds will generally use forward contracts only to “lock in” the price in U.S. dollars of a foreign security that a Fund plans to purchase or to sell. In certain limited cases, it may use such contracts to hedge against an anticipated substantial decline in the price of a foreign currency against the U.S. dollar that would adversely affect the U.S. dollar value of foreign securities held by the Fund. Forward contracts will not be used in all cases and, in any event, cannot completely protect the Funds against all changes in the values of foreign securities resulting from fluctuations in foreign exchange rates. The Funds will not enter into a forward contract if, as a result, forward contracts would represent more than 20% of a Fund’s total assets. For hedging purposes, the Funds may also use options on foreign currencies, which expose the Funds to certain risks.

 

Some foreign securities are traded in the U.S. in the form of ADRs. ADRs are receipts typically issued by a U.S. bank or company evidencing ownership of the underlying securities of foreign issuers. EDRs and GDRs are receipts typically issued by foreign banks or trust companies, evidencing ownership of underlying securities issued by either a foreign or U.S. issuer. Generally, depositary receipts in registered form are designed for use in the U.S. and depositary receipts in bearer form are designed for use in securities markets outside the U.S. Depositary receipts may not necessarily be denominated in the same currency as the underlying securities into which they may be converted. Depositary receipts generally involve the same risks as other investments in foreign securities. However, holders of ADRs and other depositary receipts may not have all the legal rights of shareholders and may experience difficulty in receiving shareholder communications.

 

PARTICIPATORY NOTES — A participatory note, as used by a Fund, is an instrument used by investors to obtain exposure to an equity investment, including common stocks and warrants, in a local market where direct ownership is not permitted (or is impractical.) In countries where direct ownership by a foreign investor, such as a Fund, is not allowed by local law, such as Saudi Arabia, an investor may gain exposure to the market through a participatory note, which derives its value from a group of underlying equity securities. A participatory note is intended (disregarding the effect of any fees and expenses) to reflect the performance of the underlying equity securities on a one-to-one basis so that investors will not normally gain more in absolute terms than they would have made had they invested in the underlying securities directly, and will not normally lose more than they would have lost had they invested in the underlying securities directly.

 

In addition to providing access to otherwise closed markets, participatory notes can also provide a less expensive option to direct investment (where ownership by foreign investors is permitted) by reducing registration and transaction costs in acquiring and selling local registered shares. The Funds’ investment manager also believes that participatory notes can offer greater liquidity in markets that restrict the ability of the Funds to dispose of an investment by either restricting transactions by size or requiring registration and/or regulatory approvals.

 

The purchase of participatory notes involves risks that are in addition to the risks normally associated with a direct investment in the underlying securities. The Fund is subject to the risk that the issuer of the participatory note (i.e., the issuing bank or broker-dealer), which is the only responsible party under the note, is unable or refuses to perform under the terms of the participatory note, also known as counterparty risk.

 

While the holder of a participatory note is entitled to receive from the bank or broker-dealer any dividends or other distributions paid on the underlying securities, the holder is not entitled to the same rights as an owner of the underlying securities, such as voting rights.

 

 

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Motley Fool Asset Management ETFs

Notes to Financial Statements (continued)

FEBRUARY 28, 2023 (UNAUDITED)

 

Participatory notes may not be traded on exchanges, are privately issued, and may be illiquid. To the extent a participatory note is determined to be illiquid, it would be subject to the Fund’s limitation on investments in illiquid securities. There can be no assurance that the trading price or value of participatory notes will equal the value of the underlying value of the equity securities they seek to replicate.

 

TEMPORARY INVESTMENTS — During periods of adverse market or economic conditions, a Fund may temporarily invest all or a substantial portion of its assets in high-quality, fixed-income securities, money market instruments, and shares of money market mutual funds, or it may hold cash. At such times, a Fund would not be pursuing its stated investment objective with its usual investment strategies. A Fund may also hold these investments for liquidity purposes. Fixed-income securities will be deemed to be of high quality if they are rated “A” or better by S&P or Moody’s or, if unrated, are determined to be of comparable quality by the Adviser. Money market instruments are high-quality, short-term fixed income obligations (which generally have remaining maturities of one year or less), and may include U.S. Government Securities, commercial paper, certificates of deposit and banker’s acceptances issued by domestic branches of United States banks that are members of the Federal Deposit Insurance Corporation, and repurchase agreements for US. Government Securities. In lieu of purchasing money market instruments, a Fund may purchase shares of money market mutual funds that invest primarily in U.S. Government Securities and repurchase agreements involving those securities, subject to certain limitations imposed by the 1940 Act. A Fund, as an investor in a money market fund, will indirectly bear the fees and expenses of the money market fund. These indirect fees and expenses will be in addition to the fees and expenses of the Funds. Repurchase agreements involve certain risks not associated with direct investments in debt securities.

 

3. INVESTMENT adviser and other services

 

Each Fund pays all of its expenses other than those expressly assumed by the Adviser. Expenses of each Fund are deducted from the Fund’s total income before dividends are paid. Subject to the supervision of the Board, the Adviser manages the overall investment operations of each Fund in accordance with the Fund’s respective investment objective and policies and formulates a continuing investment strategy for each Fund pursuant to the terms of the Investment Advisory Agreements between the Adviser and the Company on behalf of each Fund. The Adviser is a wholly-owned subsidiary of Motley Fool Investment Management, LLC, which is a wholly owned subsidiary of The Motley Fool Holdings Inc. (“TMF Holdings”), a multimedia financial-services holding company that also owns The Motley Fool, which publishes investment information and analysis across a wide range of media, including investment newsletter services, websites, and books. TMF Holdings is controlled by David Gardner and Tom Gardner, along with other private shareholders. Each Fund compensates the Adviser with a unitary management fee for its services at an annual rate based on each Fund’s average daily net assets (the “Advisory Fee”), payable on a monthly basis in arrears, as shown on the following table. From the Advisory Fee, the Adviser pays most of the expenses of each Fund, including the cost of transfer agency, custody, fund administration, legal, audit and other services. However, the Adviser is not responsible for interest expenses, brokerage commissions and other trading expenses, taxes and other extraordinary costs such as litigation and other expenses not incurred in the ordinary course of business.

 

FUND

 

ADVISORY FEE

 

Global Opportunities Fund

    0.85 %

Mid-Cap Growth Fund

    0.85 %

Fool 100 Fund

    0.50 %

Small-Cap Growth Fund

    0.85 %

Capital Efficiency Fund

    0.50 %

Next Fund

    0.50 %

 

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Motley Fool Asset Management ETFs

Notes to Financial Statements (continued)

FEBRUARY 28, 2023 (UNAUDITED)

 

During the current fiscal period, investment advisory fees accrued were as follows:

 

FUND

 

GROSS ADVISORY
FEES

   

RECOUPMENT/
WAIVERS

   

NET ADVISORY
FEES

 

Global Opportunities Fund

  $ 1,723,678     $     $ 1,723,678  

Mid-Cap Growth Fund

    830,045             830,045  

Fool 100 Fund

    955,365             955,365  

Small-Cap Growth Fund

    298,078             298,078  

Capital Efficiency Fund

    48,666             48,666  

Next Fund

    75,431             75,431  

 

U.S. Bancorp Fund Services, LLC (“Fund Services”), doing business as U.S. Bank Global Fund Services, serves as administrator for the Funds. For providing administrative and accounting services, Fund Services is entitled to receive a monthly fee, subject to certain minimum and out of pocket expenses.

 

Fund Services serves as the Funds’ transfer and dividend disbursing agent. For providing transfer agent services, Fund Services is entitled to receive a monthly fee, subject to certain minimum and out of pocket expenses.

 

U.S. Bank, N.A. (the “Custodian”) provides certain custodial services to the Funds. The Custodian is entitled to receive a monthly fee, subject to certain minimum and out of pocket expenses.

 

Foreside Funds Distributors, LLC (“Foreside”) serves as the principal underwriter and distributor of the Global Opportunities Fund’s shares and Mid-Cap Growth Fund’s shares pursuant to a Distribution Agreement with RBB.

 

Quasar Distributors, LLC (“Quasar”), a wholly-owned broker-dealer subsidiary of Foreside Financial Group, LLC, serves as the principal underwriter and distributor of the Fool 100 Fund’s shares, Small-Cap Growth Fund’s shares, Capital Efficiency Fund’s shares and Next Fund’s shares pursuant to a Distribution Agreement with RBB.

 

Under the Fund’s unitary fee, the Adviser compensates Fund Services and the Custodian for its services provided.

 

DIRECTOR AND OFFICER COMPENSATION — The Directors of the Company receive an annual retainer and meeting fees for meetings attended. An employee of Vigilant Compliance, LLC serves as Chief Compliance Officer of the Company. Vigilant Compliance, LLC is compensated for the services provided to the Company. Employees of RBB serve as President, Chief Financial Officer, Chief Operating Officer, Secretary and Director of Marketing & Business Development of the Company. They are compensated for services provided. Certain employees of Fund Services serve as officers of the Company. They are not compensated by the Funds or the Company. Until October 1, 2020, an employee of Vigilant Compliance, LLC served as Chief Compliance Officer of the Adviser. Neither the Funds nor the Company compensated this individual or Vigilant Compliance, LLC for the services provided to Motley Fool Asset Management. For Director and Officer compensation amounts, please refer to the Statements of Operations.

 

REDEMPTION FEE — Prior to January 1, 2018, the Global Opportunities Fund and Mid-Cap Growth Fund imposed a redemption fee of 2.00% on redemptions/exchanges of Fund shares held less than 90 days. The redemption fee was calculated as a percentage of the net asset value of the total redemption proceeds and was retained by the Funds and accounted for as additional paid-in capital. Effective January 1, 2018, the Funds have eliminated their redemption fees. Please see the Funds’ prospectus for more information.

 

TRANSACTIONS WITH AFFILIATES — Advisers to investment companies, including the Motley Fool Asset Management Funds, are permitted under 17a-7 of the 1940 Act to purchase or sell securities directly between affiliated clients. When affecting these “cross” transactions, Rule 17a-7 imposes restrictions on how the trades are processed and reported. The specified conditions within Rule 17a-7 are outlined in procedures established by or under the direction of the Board of Directors. The procedures have been designed to provide assurance that any purchase or sale of securities by the Fund from or to another Fund complies with Rule 17a-7 under the 1940 Act.

 

During the current fiscal period, the Funds did not engage in any security transactions with affiliates.

 

 

73

 

 

Motley Fool Asset Management ETFs

Notes to Financial Statements (continued)

FEBRUARY 28, 2023 (UNAUDITED)

 

4. PURCHASES AND SALES OF INVESTMENT SECURITIES

 

During the current fiscal period, aggregate purchases and sales and maturities of investment securities (excluding in-kind transactions and short-term investments) of the Funds were as follows:

 

FUND

 

PURCHASES

   

SALES

 

Global Opportunities Fund

  $ 7,210,488     $ 11,088,490  

Mid-Cap Growth Fund

    6,134,417       9,573,508  

Fool 100 Fund

    16,230,714       16,724,247  

Small-Cap Growth Fund

    24,159,203       27,015,101  

Capital Efficiency Fund

    3,086,283       3,165,569  

Next Fund

    5,491,548       5,591,805  

 

There were no purchases or sales of long-term U.S. Government Securities during the current fiscal period.

 

During the current fiscal period, aggregate purchases and sales and maturities of in-kind transactions of the Funds were as follows:

 

FUND

 

PURCHASES

   

SALES

 

Global Opportunities Fund

  $     $ 22,013,362  

Mid-Cap Growth Fund

          13,727,400  

Fool 100 Fund

    3,795,839       24,954,314  

Small-Cap Growth Fund

          9,889,052  

Capital Efficiency Fund

          1,057,892  

Next Fund

          2,821,248  

 

5. Federal Income tax information

 

The Funds have followed the authoritative guidance on accounting for and disclosure of uncertainty in tax positions, which requires the Funds to determine whether a tax position is more likely than not to be sustained upon examination, including resolution of any related appeals or litigation processes, based on the technical merits of the position. The Funds have determined that there was no effect on the financial statements from following this authoritative guidance. In the normal course of business, the Funds are subject to examination by federal, state and local jurisdictions, where applicable, for tax years for which applicable statutes of limitations have not expired. Since the Capital Efficiency Fund and Next Fund did not have a full fiscal year, the tax cost of investments is the same as noted in the Schedule of Investments.

 

As of August 31, 2022, the federal tax cost, aggregate gross unrealized appreciation and depreciation of securities held by the Funds were as follows:

 

FUND

 

FEDERAL
TAX COST

   

UNREALIZED
APPRECIATION

   

UNREALIZED
(DEPRECIATION)

   

NET UNREALIZED
APPRECIATION/
(DEPRECIATION)

 

Global Opportunities Fund

  $ 299,887,575     $ 193,641,843     $ (26,974,236 )   $ 166,667,607  

Mid-Cap Growth Fund

    154,978,563       95,591,547       (9,557,307 )     86,034,240  

Fool 100 Fund

    346,104,539       123,076,386       (30,874,055 )     92,202,331  

 

74

 

 

 

Motley Fool Asset Management ETFs

Notes to Financial Statements (continued)

FEBRUARY 28, 2023 (UNAUDITED)

 

FUND

 

FEDERAL
TAX COST

   

UNREALIZED
APPRECIATION

   

UNREALIZED
(DEPRECIATION)

   

NET UNREALIZED
APPRECIATION/
(DEPRECIATION)

 

Small-Cap Growth Fund

  $ 115,340,590     $ 7,601,478     $ (27,728,730 )   $ (20,127,252 )

Capital Efficiency Fund

    22,911,589       574,023       (2,749,476 )     (2,175,453 )

Next Fund

    38,887,385       1,392,214       (7,613,889 )     (6,221,675 )

 

Distributions to shareholders, if any, from net investment income and realized gains are determined in accordance with federal income tax regulations, which may differ from net investment income and realized gains recognized for financial reporting purposes. Accordingly, the character of distributions and composition of net assets for tax purposes may differ from those reflected in the accompanying financial statements. To the extent these differences are permanent, such amounts are reclassified within the capital accounts based on the tax treatment; temporary differences do not require such reclassification.

 

The following permanent differences as of August 31, 2022, primarily attributable to foreign currency transactions and in-kind redemptions gains, were reclassified among the following accounts:

 

FUND

 

DISTRIBUTABLE
EARNINGS/(LOSS)

   

PAID-IN
CAPITAL

 

Global Opportunities Fund

  $ (26,462,033 )   $ 26,462,033  

Mid-Cap Growth Fund

    (12,729,248 )     12,729,248  

Fool 100 Fund

    (20,166,702 )     20,166,702  

Small-Cap Growth Fund

    (12,327,921 )     12,327,921  

Capital Efficiency Fund

    68,394       (68,394 )

Next Fund

    18,930       (18,930 )

 

As of August 31, 2022, the components of distributable earnings on a tax basis were as follows:

 

FUND

 

UNDISTRIBUTED
ORDINARY
INCOME

   

UNDISTRIBUTED
LONG-TERM
CAPITAL GAINS

   

CAPITAL Loss
Carryover

   

Post October
Losses and
Qualified Late-
Year losses

   

UNREALIZED
APPRECIATION/
(DEPRECIATION)

   

Total

 

Global Opportunities Fund

  $     $ 330,055     $     $     $ 166,667,607     $ 166,997,662  

Mid-Cap Growth Fund

                      (597,461 )     86,034,240       85,436,779  

Fool 100 Fund

    982,823             (7,662,331 )           92,202,331       85,522,823  

Small-Cap Growth Fund

                (953,492 )     (381,671 )     (20,127,252 )     (21,462,415 )

Capital Efficiency Fund

    42,783             (43,550 )           (2,175,453 )     (2,176,220 )

Next Fund

    50,952             (230,350 )           (6,221,675 )     (6,401,073 )

 

The differences between the book and tax basis components of distributable earnings relate primarily to the timing of recognition of income and gains for federal income tax purposes.

 

 

75

 

 

Motley Fool Asset Management ETFs

Notes to Financial Statements (continued)

FEBRUARY 28, 2023 (UNAUDITED)

 

The tax character of dividends and distributions paid during the fiscal years ended August 31, 2022 and August 31, 2021 was as follows:

 

FUND

 

Tax
year

   

ORDINARY
INCOME

   

LONG-TERM
CAPITAL GAIN

   

TOTAL

 

Global Opportunities Fund

    2022     $ 13,281,199     $ 34,767,880     $ 48,049,079  
      2021       254,531       38,103,932       38,358,463  

Mid-Cap Growth Fund

    2022             20,813,933       20,813,933  
      2021             32,831,307       32,831,307  

Fool 100 Fund

    2022       309,330       1,016,460       1,325,790  
      2021       1,067,239       562,320       1,629,559  

Small-Cap Growth Fund

    2022             3,829,540       3,829,540  
      2021       454,925       7,916,932       8,371,857  

Capital Efficiency Fund

    2022                    

Next Fund

    2022                    

 

Dividends from net investment income and short-term capital gains are treated as ordinary income dividends for federal income tax purposes.

 

Pursuant to federal income tax rules applicable to regulated investment companies, the Funds may elect to treat certain capital losses between November 1 and August 31 and late year ordinary losses ((i) ordinary losses between January 1 and August 31, and (ii) specified ordinary and currency losses between November 1 and August 31) as occurring on the first day of the following tax year. For the fiscal year ended August 31, 2022, any amount of losses elected within the tax return will not be recognized for federal income tax purposes until September 1, 2022. The Mid-Cap Growth Fund and Small-Cap Growth Fund deferred $514,142 post October loss and $83,319 late-year loss and $185,190 post October loss and $196,481 late-year loss, respectively, which will be treated as arising on the first business day of the following fiscal year.

 

Under the Regulated Investment Company Modernization Act of 2010, the Funds are permitted to carry forward capital losses incurred in taxable years beginning after December 22, 2010 for an unlimited period. Additionally, capital losses that are carried forward will retain their character as either short-term or long-term capital losses rather than being considered all short-term as under the previous law. As of August 31, 2022, the Fool 100 Fund, Small-Cap Growth Fund, Capital Efficiency Fund and Next Fund had unexpiring short-term losses of $7,662,331, $953,492, $43,550 and $230,350, respectively.

 

6. SHARE TRANSACTIONS

 

Shares of the Global Opportunities Fund, Mid-Cap Growth Fund, Fool 100 Fund and Small-Cap Growth Fund are listed and trade on the Cboe BZX Exchange, Inc. Shares of the Capital Efficiency Fund and Next Fund are listed and trade on the NYSE, Arca, Inc. Market prices for the shares may be different from their NAV. Each Fund issues and redeems shares on a continuous basis at NAV only in blocks of 25,000 shares, called “Creation Units.” Creation Units are issued and redeemed principally in-kind for securities included in a specified universe. Once created, shares generally trade in the secondary market at market prices that change throughout the day. Except when aggregated in Creation Units, shares are not redeemable securities of each Fund. Creation Units may only be purchased or redeemed by certain financial institutions (“Authorized Participants”). An Authorized Participant is either (i) a broker-dealer or other participant in the clearing process through the Continuous Net Settlement System of the National Securities Clearing Corporation or (ii) a Depository Trust Company participant and, in each case, must have executed a Participant Agreement with the Distributor. Most retail investors do not qualify as Authorized Participants nor have the resources to buy and sell whole Creation Units. Therefore, they are unable to purchase or redeem shares directly from each Fund. Rather, most retail investors may purchase shares in the secondary market with the assistance of a broker and are subject to customary brokerage commissions or fees.

 

76

 

 

 

Motley Fool Asset Management ETFs

Notes to Financial Statements (continued)

FEBRUARY 28, 2023 (UNAUDITED)

 

Each Fund currently offers one class of shares, which has no front-end sales load, no deferred sales charge, and no redemption fee. A fixed transaction fee is imposed for the transfer and other transaction costs associated with the purchase or sale of Creation Units. The standard fixed transaction fee for each Fund is $250, payable to the custodian. In addition, a variable fee may be charged on all cash transactions or substitutes for Creation Units of up to a maximum of 2% as a percentage of the value of the Creation Units subject to the transaction. Variable fees are imposed to compensate each Fund for the transaction costs associated with the cash transactions. Variable fees received by each Fund, if any, are displayed in the capital shares transactions section of the Statements of Changes in Net Assets. Each Fund may issue an unlimited number of shares of beneficial interest, with $0.001 par value per share. Shares of each Fund have equal rights and privileges.

 

7. SECURITIES LENDING

 

The Funds may make secured loans of their portfolio securities to brokers, dealers and other financial institutions to earn additional income and receive cash collateral equal to at least 100% of the current market value of the loaned securities, as marked to market each day that the NAV of the Funds is determined. When the collateral falls below specified amounts, the Funds’ lending agent will use its best effort to obtain additional collateral on the next business day to meet required amounts under the security lending agreement. The Funds will pay administrative and custodial fees in connection with the loan of securities. Collateral is invested in short-term investments and the Funds will bear the risk of loss of the invested collateral. Investments purchased with proceeds from securities lending are overnight and continuous. Securities lending will expose the Funds to the risk of loss should a borrower default on its obligation to return the borrowed securities. The market value of the securities on loan and cash collateral as of the end of the reporting period and the income generated from the program during the current fiscal period with respect to such secured loans were as follows:

 

FUND

 

MARKET VALUE
OF SECURITIES
LOANED

   

MARKET VALUE
OF COLLATERAL

   

INCOME
RECEIVED FROM
SECURITIES
LENDING

 

Global Opportunities Fund

  $ 39,800,691     $ 40,505,678     $ 41,631  

Mid-Cap Growth Fund

    46,995,272       48,038,164       27,161  

Fool 100 Fund

    23,562,746       24,089,336       29,298  

Small-Cap Growth Fund

    31,554,214       32,266,314       17,210  

 

Securities lending transactions are entered into by the Funds’ securities lending agent on behalf of the Funds under a Master Securities Lending Agreement (“MSLA”) which permits the Funds’ securities lending agent on behalf of the Funds under certain circumstances including an event of default (such as bankruptcy or insolvency), to offset amounts payable on behalf of the

 

 

77

 

 

Motley Fool Asset Management ETFs

Notes to Financial Statements (Concluded)

FEBRUARY 28, 2023 (UNAUDITED)

 

Funds to the same counterparty against amounts to be received and create one single net payment due to or from the Funds. The following table is a summary of the Funds’ open securities lending transactions which are subject to a MSLA as of the end of the reporting period:

 

                           

GROSS AMOUNTS NOT OFFSET IN THE
STATEMENTS OF ASSETS AND LIABILITIES

 

FUND

 

GROSS
AMOUNTS OF
RECOGNIZED
ASSETS

   

GROSS
AMOUNTS
OFFSET IN THE
STATEMENTS
OF ASSETS
AND
LIABILITIES

   

NET AMOUNTS
OF ASSETS
PRESENTED
IN THE
STATEMENTS
OF ASSETS
AND
LIABILITIES

   

FINANCIAL
INSTRUMENTS
1

   

CASH
COLLATERAL
RECEIVED

   

NET
AMOUNT
2

 

Global Opportunities Fund

  $ 39,800,691     $     $ 39,800,691     $ (39,800,691 )   $     $  

Mid-Cap Growth Fund

    46,995,272             46,995,272       (46,995,272 )            

Fool 100 Fund

    23,562,746             23,562,746       (23,562,746 )            

Small-Cap Growth Fund

    31,554,214             31,554,214       (31,554,214 )            

 

1

Amount disclosed is limited to the amount of assets presented in the Statements of Assets and Liabilities. Actual collateral received may be more than the amount shown.

 

2

Net amount represents the net amount receivable from the counterparty in the event of default.

 

8. NEW ACCOUNTING PRONOUNCEMENTS AND REGULATORY UPDATES

 

In June 2022, the FASB issued Accounting Standards Update 2022-03, which amends Fair Value Measurement (Topic 820): Fair Value Measurement of Equity Securities Subject to Contractual Sale Restrictions (“ASU 2022-03”). ASU 2022-03 clarifies guidance for fair value measurement of an equity security subject to a contractual sale restriction and establishes new disclosure requirements for such equity securities. ASU 2022-03 is effective for fiscal years beginning after December 15, 2023 and for interim periods within those fiscal years, with early adoption permitted. Management is currently evaluating the impact of these amendments on the financial statements.

 

9. Subsequent Events

 

Management has evaluated the impact of all subsequent events on the Funds through the date the financial statements were issued and has determined that there were no significant events requiring recognition or disclosure in the financial statements.

 

78

 

 

 

Motley Fool Asset Management ETFs

Notice to Shareholders

(Unaudited)

 

Information on Proxy Voting

 

Policies and procedures that the Funds use to determine how to vote proxies relating to portfolio securities as well as information regarding how the Funds voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 are available (i) without charge, upon request, by calling (888) 863-8803; and (ii) on the SEC’s website at http://www.sec.gov.

 

Quarterly Schedule of Investments

 

The Company files a complete schedule of portfolio holdings with the SEC for the first and third fiscal quarters of each fiscal year (quarters ended November 30 and May 31) as an exhibit to its report on Form N-PORT. The Company’s Form N-PORT are available on the SEC’s website at http://www.sec.gov.

 

Frequency Distributions of Premiums and Discounts

 

Information regarding how often shares of the Funds trade on an exchange at a price above (i.e., at a premium) or below (i.e., at a discount) the NAV of the Funds is available, without charge, on the Funds’ website at www.fooletfs.com.

 

 

79

 

 

Investment Adviser

Motley Fool Asset Management, LLC
2000 Duke Street
Suite 275
Alexandria, VA 22314

 

Administrator and Transfer Agent

U.S. Bancorp Fund Services, LLC
P.O. Box 701
Milwaukee, WI 53201

 

Custodian

U.S. Bank, N.A.
1555 North Rivercenter Drive, Suite 302
Milwaukee, WI 53212

 

Principal Underwriters

Quasar Distributors, LLC
111 E Kilbourn Ave, Suite 2200
Milwaukee, WI 53202

 

Foreside Funds Distributors, LLC
899 Cassatt Road
400 Berwyn Park, Suite 110
Berwyn, PA 19312

 

Independent Registered Public Accounting Firm

Tait, Weller & Baker LLP
Two Liberty Place
50 S 16th St. Suite 2900
Philadelphia, PA 19102-2529

 

Legal Counsel

Faegre Drinker Biddle & Reath LLP
One Logan Square, Suite 2000
Philadelphia, PA 19103-6996

 

80

 

 

 

Thank you for being a valued part of our Community!

 

Our investors are just as diverse as our portfolios! No matter where you are on your investment path, Motley Fool Asset Management strives to make investing accessible to people of all backgrounds and experience levels.

 

 

 

 

 

 

 

 

Optima Strategic Credit Fund

 

of

 

THE RBB FUND, INC.

 

 

Semi-Annual Report

 

 

 

 

February 28, 2023

 

(Unaudited)

 

 

 

 

Optima Strategic Credit Fund

 

Table of Contents

 

Performance Data

1

Fund Expense Example

2

Portfolio Holdings Summary Table

3

Portfolio of Investments

4

Statement of Assets And Liabilities

6

Statement of Operations

7

Statements of Changes in Net Assets

8

Financial Highlights

9

Notes To Financial Statements

10

Other Information

18

 

 

 

 

Optima Strategic Credit Fund

 

Performance Data

February 28, 2023 (Unaudited)

 

Average Annual Total Returns for the Periods Ended February 28, 2023

 
 

Six Months

One Year

Since
Inception(1)

 

Optima Strategic Credit Fund

-0.04%

-1.04%

-1.14%

 

iBoxx USD Liquid High Yield Index(2)(3)(4)

2.72%

-5.36%

-8.70%

 

Markit CDX North America High Yield Index(2)(4)

8.65%

4.65%

1.78%

 
         

Fund Expense Ratio(5) 1.25%

 

 

 

 

Gross Expense Ratio(6) 1.71%

 

 

 

 

 

(1)

Inception date of the Founders Class Shares of the Fund was December 29, 2021.

 

(2)

Benchmark performance is from inception date of the Class only and is not the inception date of the benchmark itself.

 

(3)

The iBoxx USD Liquid High Yield Index seeks to accurately and objectively replicate the USD High Yield Corporate Bond Market by utilizing multi-source independent pricing and quality tested reference data. The index consists of liquid USD high yield bonds and is subject to monthly rebalancing and daily total return calculations to maintain a high quality rendering of bond market performance. The index is market-value weighted with an issuer cap of 3%.

 

(4)

Beginning on February 28, 2023, the Fund has opted to change its primary index from the iBoxx USD Liquid High Yield Index to the Markit CDX North America High Yield Index (the “HY Index”). The HY Index is composed of one hundred (100) liquid North American entities with high yield credit ratings that trade in the credit default swaps market.

 

(5)

The expense ratios of the Fund are set forth according to the Prospectus for the Fund and may differ from the expense ratios disclosed in the Financial Highlights table in this report. See the Financial Highlights for most current expense ratios.

 

(6)

The gross expense ratio of the Fund as of the most recent prospectus.

 

The performance quoted reflects fee waivers in effect and would have been less in their absence. The Adviser has contractually agreed to waive its advisory fee and/or reimburse expenses in order to limit total annual Fund operating expenses (excluding acquired fund fees and expenses, brokerage commissions, extraordinary expenses, interest and taxes) to 1.25% of the Fund’s average daily net assets attributable to Founders Class Shares. This contractual limitation is in effect until December 31, 2023 and may not be terminated without the approval of the Board of Directors of The RBB Fund, Inc. Please see the Financial Highlights for current figures.

 

The performance data quoted represents past performance and does not guarantee future results. Current performance may be lower or higher. The investment return and principal value of investments will fluctuate so that shares, when redeemed or sold, may be worth more or less than their original cost.

 

1

 

 

Optima Strategic Credit Fund

 

Fund Expense Example

February 28, 2023 (Unaudited)

 

As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, and (2) ongoing costs, including management fees, and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.

 

This example is based on an investment of $1,000 invested at the beginning of the six-month period from September 1, 2022 through February 28, 2023, and held for the entire period.

 

ACTUAL EXPENSES

 

The first line of the accompanying table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.

 

HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES

 

The second line of the accompanying table provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare these 5% hypothetical examples with the 5% hypothetical examples that appear in the shareholder reports of other funds.

 

Please note that the expenses shown in the accompanying table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads) on purchase payments (if any). Therefore, the second line of the accompanying table is useful in comparing ongoing costs only and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.

 

 

Founders Class Shares

 

Beginning
Account Value
September 1, 2022

Ending
Account Value
February 28, 2023

Expenses Paid
During Period*

Annualized
Expense Ratio

Actual Six-Month
Total Investment
Return
for the Fund

Actual

$ 1,000.00

$ 999.60

$6.20

1.25%

-0.04%

Hypothetical (5% return before expenses)

1,000.00

1,024.79

6.28

1.25%

N/A

 

*

Expenses are equal to the Fund’s annualized expense ratio for the period September 1, 2022 to February 28, 2023, multiplied by the average account value over the period, multiplied by the number of days (181) in the most recent fiscal half-year, then divided by 365 to reflect the one half year period. The Fund’s ending account value on the first line in the table is based on the actual six-month total investment return for the Fund.

 

2

 

 

Optima Strategic Credit Fund

 

Portfolio Holdings Summary Table

February 28, 2023 (Unaudited)

 

The following table presents a summary of the portfolio holdings of the Fund:

 

 

% of Net
Assets

   

Value

 

SHORT-TERM INVESTMENTS:

               

U.S. Treasury Obligations

    54.7 %   $ 27,842,774  

Money Market Deposit Account

    20.3       10,329,721  

OTHER ASSETS IN EXCESS OF LIABILITIES

    25.0       12,715,395  

NET ASSETS

    100.0 %   $ 50,887,890  

 

 

Portfolio holdings are subject to change at any time.

 

Refer to the Portfolio of Investments for a detailed listing of the Fund’s holdings.

 

The accompanying notes are an integral part of the financial statements.
3

 

 

Optima Strategic Credit Fund

 

Portfolio of Investments

February 28, 2023 (Unaudited)

 

   

Coupon*

   

Maturity
Date

   

Par
(000’s)

   

Value

 

SHORT-TERM INVESTMENTS — 75.0%

                               

U.S. TREASURY OBLIGATIONS — 54.7%

                               

United States Treasury Bill

    1.620%       03/23/23       13,000     $ 12,965,819  

United States Treasury Bill

    3.911%       03/30/23       8,000       7,971,983  

United States Treasury Bill

    4.130%       04/06/23       1,000       995,582  

United States Treasury Bill

    2.856%       06/15/23       5,000       4,930,979  

United States Treasury Bill

    3.235%       08/10/23       1,000       978,411  

TOTAL U.S. TREASURY OBLIGATIONS (Cost $27,904,736)

                            27,842,774  

 

                   

Number of
Shares
(000’s)

         

MONEY MARKET DEPOSIT ACCOUNT — 20.3%

                               

U.S. Bank Money Market Deposit Account, 4.25%(a)

                    10,330       10,329,721  

TOTAL MONEY MARKET DEPOSIT ACCOUNT

                               

(Cost $10,329,721)

                            10,329,721  
                                 

TOTAL SHORT-TERM INVESTMENTS — 75.0%

                               

(Cost $38,234,457)

                            38,172,495  
                                 

OTHER ASSETS IN EXCESS OF LIABILITIES — 25.0%

                            12,715,395  

NET ASSETS — 100.0%

                          $ 50,887,890  

 

 

*

Short-term investments’ coupon reflects the annualized yield on the date of purchase for discounted investments.

 

(a)

The rate shown is as of February 28, 2023.

 

The accompanying notes are an integral part of the financial statements.
4

 

 

Optima Strategic Credit Fund

 

SCHEDULE OF CENTRALLY CLEARED CREDIT DEFAULT SWAPS

February 28, 2023 (Unaudited)

 

Counterparty

Reference
Entity

 

Protection

   

Termination
Date

   

Pay Fixed
Rate

   

Payment
Frequency

   

NOTIONAL
AMOUNT

   

Value

   

Premium paid

   

UNREALIZED
APPRECIATION
(DEPRECIATION)

 

Wells Fargo

Markit CDX North American High Yield (Series #39)

    Sell       12/20/2027       5.000%       Quarterly       45,000,000     $ 888,825     $ 1,179,847     $ (291,022 )

Total Credit Default Swap Contracts

                                            $ 888,825     $ 1,179,847     $ (291,022 )

 

 

The accompanying notes are an integral part of the financial statements.
5

 

 

Optima Strategic Credit Fund

 

Statement of Assets And Liabilities

February 28, 2023 (Unaudited)

 

ASSETS

       

Short-term investments, at value (cost $38,234,457)

  $ 38,172,495  

Cash

    4,086,138  

Deposit at Broker for Swap Contracts

    8,680,746  

Receivables for:

       

Variation margin on centrally cleared swaps

    145  

Interest

    16,584  

Prepaid expenses and other assets

    994  

Total assets

    50,957,102  
         

LIABILITIES

       

Payables for:

       

Advisory fees

    32,030  

Administration and accounting services fees

    11,031  

Audit expenses

    8,962  

Transfer agent fees

    7,127  

Printing and shareholder reporting fees

    6,261  

Custodian fees

    1,080  

Blue Sky Fees

    703  

Other accrued expenses and liabilities

    2,018  

Total liabilities

    69,212  

Net assets

  $ 50,887,890  
         

NET ASSETS CONSIST OF:

       

Par value

  $ 5,167  

Paid-in capital

    51,282,630  

Total distributable earnings/(losses)

    (399,907 )

Net assets

  $ 50,887,890  
         

FOUNDERS CLASS SHARES:

       

Net assets

  $ 50,887,890  

Shares outstanding ($0.001 par value, 100,000,000 shares authorized)

    5,166,519  

Net asset value, offering and redemption price per share

  $ 9.85  

 

 

The accompanying notes are an integral part of the financial statements.
6

 

 

Optima Strategic Credit Fund

 

Statement of Operations

For the Six-Month Period Ended February 28, 2023 (Unaudited)

 

INVESTMENT INCOME

       

Interest

  $ 559,580  

Broker interest income

    13,100  

Total investment income

    572,680  

EXPENSES

       

Advisory fees (Note 2)

    123,137  

Offering costs

    82,234  

Transfer agent fees (Note 2)

    36,609  

Administration and accounting services fees (Note 2)

    26,519  

Audit fees and tax services

    7,748  

Registration and filing fees

    3,821  

Printing and shareholder reporting fees

    3,381  

Legal fees

    2,427  

Custodian fees (Note 2)

    667  

Officer fees

    292  

Director fees

    238  

Other expenses

    76  

Broker interest expense

    48,753  

Recoupment

    54,198  

Total expenses before waivers and/or reimbursements

    390,100  

Less: waivers and/or reimbursements (Note 2)

    (33,505 )

Net expenses after waivers and/or reimbursements

    356,595  

Net investment income/(loss)

    216,085  

NET REALIZED AND UNREALIZED GAIN/(LOSS) FROM INVESTMENTS

       

Net realized gain/(loss) from:

       

Swap contracts

    (77,268 )

Net change in unrealized appreciation/(depreciation) from:

       

Short-term investments

    124,638  

Swap contracts

    (291,022 )

Net realized and unrealized gain/(loss) from investments

    (243,652 )

NET INCREASE/(DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS

  $ (27,567 )

 

 

The accompanying notes are an integral part of the financial statements.
7

 

 

Optima Strategic Credit Fund

 

Statements of Changes in Net Assets

 

   

For the
Six-Month Period
Ended
February 28, 2023
(Unaudited)

   

For the
Period Ended
August 31, 2022*

 

INCREASE/(DECREASE) IN NET ASSETS FROM OPERATIONS:

               

Net investment income/(loss)

  $ 216,085     $ 3,277  

Net realized gain/(loss) from investments

    (77,268 )     (852 )

Net change in unrealized appreciation/(depreciation) on investments

    (166,384 )     (186,600 )

Net increase/(decrease) in net assets resulting from operations

    (27,567 )     (184,175 )

DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS:

               

Total distributable earnings

    (188,165 )      

Net decrease in net assets from dividends and distributions to shareholders

    (188,165 )      

CAPITAL SHARE TRANSACTIONS:

               

Proceeds from shares sold

    10,930,649       41,719,542  

Proceeds from reinvestment of distributions

    188,165        

Shares redeemed

    (1,117,512 )     (433,047 )

Net increase/(decrease) in net assets from capital share transactions

    10,001,302       41,286,495  

Total increase/(decrease) in net assets

    9,785,570       41,102,320  

NET ASSETS:

               

Beginning of period

    41,102,320        

End of period

  $ 50,887,890     $ 41,102,320  

SHARE TRANSACTIONS:

               

Shares sold

    1,106,168       4,197,861  

Shares reinvested

    19,063        

Shares redeemed

    (113,115 )     (43,458 )

Net increase/(decrease) in shares outstanding

    1,012,116       4,154,403  

 

 

*

Inception date of the Founders Class Shares of the Fund was December 29, 2021.

 

The accompanying notes are an integral part of the financial statements.
8

 

 

Optima Strategic Credit Fund

 

Financial Highlights

 

Contained below is per share operating performance data for Founders Class outstanding, total investment return/(loss), ratios to average net assets and other supplemental data for the respective periods. This information has been derived from information provided in the financial statements.

 

 

   

For the
Six-Month
Period Ended
February 28,
2023
(Unaudited)

   

For the
Period
December 29,
2021
(1)
to August 31,
2022

 

Per Share Operating Performance

               

Net asset value, beginning of period

  $ 9.89     $ 10.00  

Net investment income/(loss)(2)

    0.04        

Net realized and unrealized gain/(loss) from investments

    (0.04 )     (0.11 )

Net increase/(decrease) in net assets resulting from operations

          (0.11 )

Total dividends and distributions to shareholders

    (0.04 )      

Net asset value, end of period

  $ 9.85     $ 9.89  

Total investment return/(loss)(3)

    (0.04 )%(4)     (1.10 )%(4)

Ratios/Supplemental Data

               

Net assets, end of period (000’s omitted)

  $ 50,888     $ 41,102  

Ratio of expenses to average net assets with waivers and/or reimbursements

    1.36 %(5)     1.48 %(5)

Ratio of expenses to average net assets without waivers and/or reimbursements

    1.28 %(5)     1.94 %(5)

Ratio of expenses to average net assets with waivers and reimbursements (excluding interest expense)

    1.25 %(5)     1.25 %(5)

Ratio of expenses to average net assets without waivers and reimbursements (excluding interest expense)

    1.17 %(5)     1.71 %(5)

Ratio of net investment income/(loss) to average net assets

    0.88 %(5)     0.03 %(5)

Portfolio turnover rate

    0 %(4)     0 %(4)

 

 

(1)

Inception date of the Founders Class Shares of the Fund was December 29, 2021.

(2)

Calculated based on average shares outstanding for the period.

(3)

Total investment return is calculated assuming a purchase of shares on the first day and a sale of shares on the last day of the period reported and includes reinvestments of dividends and distributions, if any.

(4)

Not annualized.

(5)

Annualized.

 

The accompanying notes are an integral part of the financial statements.
9

 

 

Optima Strategic Credit Fund

 

Notes To Financial Statements

February 28, 2023 (Unaudited)

 

1. Organization and Significant Accounting Policies

 

The RBB Fund, Inc. (“RBB” or the “Company”) was incorporated under the laws of the State of Maryland on February 29, 1988 and is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. RBB is a “series fund,” which is a mutual fund divided into separate portfolios. Each portfolio is treated as a separate entity for certain matters under the 1940 Act, and for other purposes, and a shareholder of one portfolio is not deemed to be a shareholder of any other portfolio. Currently, RBB has forty-eight separate investment portfolios, including the Optima Strategic Credit Fund (the “Fund”), which commenced investment operations on December 29, 2021. The Fund is authorized to offer two classes of shares, Founders Class Shares and Investor Class Shares. Investor Class Shares have not yet commenced operations as of the end of the reporting period.

 

RBB has authorized capital of one hundred billion shares of common stock of which 90.623 billion shares are currently classified into two hundred and thirteen classes of common stock. Each class represents an interest in an active or inactive RBB investment portfolio.

 

The investment objective of the Fund is to seek total return.

 

The Fund is an investment company and follows accounting and reporting guidance in the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946 “Financial Services – Investment Companies.”

 

The end of the reporting period for the Fund is February 28, 2023, and the period covered by these Notes to Financial Statements is the six months ended February 28, 2023 (the “current fiscal period”).

 

Portfolio Valuation — The Fund values its investments at fair value. 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. Securities listed or traded on U.S. exchanges, including swaps contracts, are valued at the last sales prices on the exchange where they are principally traded. In the absence of a current quotation, a security is valued at the mean between the last bid and asked prices on that exchange. 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. 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.

 

The Board has adopted a pricing and valuation policy for use by the Fund and its Valuation Designee (as defined below) in calculating the Fund’s NAV. Pursuant to Rule 2a-5 under the 1940 Act, the Fund has designated Optima Asset Management, LLC (the “Adviser”) as its “Valuation Designee” to perform all of the fair value determinations as well as to perform all of the responsibilities that may be performed by the Valuation Designee in accordance with Rule 2a-5. The Valuation Designee is authorized to make all necessary determinations of the fair values of portfolio securities and other assets for which market quotations are not readily available or if it is deemed that the prices obtained from brokers and dealers or independent pricing services are unreliable.

 

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.).

 

10

 

 

Optima Strategic Credit Fund

 

Notes To Financial Statements (Continued)

February 28, 2023 (Unaudited)

 

 

● Level 3 –

Prices are determined using significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments).

 

The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

 

The following is a summary of the inputs used, as of the end of the reporting period, in valuing the Fund’s investments carried at fair value:

 

 

Total

   

Level 1

   

Level 2

   

Level 3

 

Total Investments*

                               

Short-Term Investments

  $ 38,172,495     $ 10,329,721     $ 27,842,774     $  

Total Investments

  $ 38,172,495     $ 10,329,721     $ 27,842,774     $  
                                 

Other Financial Instruments**

                               
                                 

Liabilities

                               

Unrealized Depreciation on Swap Contracts

    (291,022 )           (291,022 )      

Total Other Financial Instruments

  $ (291,022 )   $     $ (291,022 )   $  

 

*

Please refer to the Portfolio of Investments for further details.

 

**

Other financial instruments are derivative financial instruments not reflected in the Schedules of Investments, such as futures contracts, swap contracts and forward foreign currency contracts. These contracts are valued at the unrealized appreciation (depreciation) on the instrument.

 

At the end of each quarter, management evaluates the classification of Levels 1, 2 and 3 assets and liabilities. Various factors are considered, such as changes in liquidity from the prior reporting period; whether or not a broker is willing to execute at the quoted price; the depth and consistency of prices from third party pricing services; and the existence of contemporaneous, observable trades in the market. Additionally, management evaluates the classification of Levels 1, 2 and 3 assets and liabilities on a quarterly basis for changes in listings or delistings on national exchanges.

 

Due to the inherent uncertainty of determining the fair value of investments that do not have a readily available market value, the fair value of the Fund’s investments may fluctuate from period to period. Additionally, the fair value of investments may differ significantly from the values that would have been used had a ready market existed for such investments and may differ materially from the values the Fund may ultimately realize. Further, such investments may be subject to legal and other restrictions on resale or otherwise less liquid than publicly traded securities.

 

For fair valuations using significant unobservable inputs, U.S. generally accepted accounting principles (“U.S. GAAP”) requires the Fund to present a reconciliation of the beginning to ending balances for reported market values that presents changes attributable to total realized and unrealized gains or losses, purchase and sales, and transfers in and out of Level 3 during the period. Transfers in and out between levels are based on values at the end of the period. A reconciliation of Level 3 investments is presented only when the Fund had an amount of Level 3 investments at the end of the reporting period that was meaningful in relation to its net assets. The amounts and reasons for Level 3 transfers are disclosed if the Fund had an amount of total Level 3 transfers during the reporting period that was meaningful in relation to its net assets as of the end of the reporting period.

 

During the current fiscal period, the Fund had no Level 3 transfers.

 

11

 

 

Optima Strategic Credit Fund

 

Notes To Financial Statements (Continued)

February 28, 2023 (Unaudited)

 

Use of Estimates — The preparation of financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates and those differences could be significant.

 

Investment Transactions, Investment Income and Expenses — The Fund records security transactions based on trade date for financial reporting purposes. The cost of investments sold is determined by use of the specific identification method for both financial reporting and income tax purposes in determining realized gains and losses on investments. Interest income (including amortization of premiums and accretion of discounts) is accrued when earned. Dividend income is recorded on the ex-dividend date. Distributions received on securities that represent a return of capital or capital gain are recorded as a reduction of cost of investments and/or as a realized gain. The Fund’s investment income, expenses (other than class specific expenses) and unrealized and realized gains and losses are allocated daily to each class of shares based upon the relative proportion of net assets of each class at the beginning of the day. Certain expenses are shared with The RBB Fund Trust (formerly, PENN Capital Funds Trust) (the “Trust”), a series trust of affiliated funds. Expenses incurred on behalf of a specific class, fund or fund family of the Company or Trust are charged directly to the class, fund or fund family (in proportion to net assets). Expenses incurred for all funds (such as director or professional fees) are charged to all funds in proportion to their average net assets of RBB and the Trust, or in such other manner as the Board deems fair or equitable. Expenses and fees, including investment advisory and administration fees, are accrued daily and taken into account for the purpose of determining the NAV of the Fund.

 

Credit Default Swap – During the current fiscal period, the Fund entered into a credit default swap to preserve a return or spread on a particular investment or portion of its portfolio, as a duration management technique and to protect against any increase in the price of securities the Fund anticipates purchasing at a later date. In a credit default swap, the protection buyer makes a stream of payments based on a fixed percentage applied to the contract notional amount to the protection seller in exchange for the right to receive a specified return upon the occurrence of a defined credit event on the reference obligation which may be either a single security or a basket of securities issued by corporate or sovereign issuers. Although contract-specific, credit events are generally defined as bankruptcy, failure to pay, restructuring, obligation acceleration, obligation default, or repudiation/moratorium. Upon the occurrence of a defined credit event, the difference between the value of the reference obligation and the swap’s notional amount is recorded as realized gain (for protection written) or loss (for protection sold) in the Statement of Operations. In the case of credit default swaps where the Fund is selling protection, the notional amount approximates the maximum loss. For financial reporting purposes, cash collateral that has been pledged to cover obligations of the Fund, if any, is reported separately as Deposit at Broker for Swap Contracts on the Statement of Assets and Liabilities. The average monthly notional value of the credit default swap in the Fund during the current fiscal period was as follows:

 

Portfolio

 

 

Optima Strategic Credit Fund

  $ 21,200,000  

 

Centrally Cleared Swaps – For swaps that are centrally cleared, initial margins are posted, and daily changes in fair value are recorded as variation margin at the broker and may be recorded as a payable or receivable on the Statement of Assets and Liabilities as “Variation margin on centrally cleared swaps” and settled daily against the Portfolio’s margin account. Because the Portfolio’s margin does not leave the brokerage account until recalled, centrally cleared swaps are shown at unrealized appreciation (depreciation) on swap contracts, which closely approximates the accumulated variation margin. Initial margin is determined by each relevant clearing agency and is segregated at a broker account registered with the Commodity Futures Trading Commission (“CFTC”), or the applicable regulator. Customer Account Agreements (“CAA”) and related addendums governing the Company’s cleared swap transactions do not provide the Company with legal right of set off and are not associated with a master netting agreement.

 

12

 

 

Optima Strategic Credit Fund

 

Notes To Financial Statements (Continued)

February 28, 2023 (Unaudited)

 

For the current fiscal period, the effect of derivative contracts in the Fund’s Statement of Operations was as follows:

 

   

STATEMENT OF OPERATIONS

 

RISK

 

DERIVATIVE TYPE

   

LOCATION

   

NET REALIZED
GAIN(LOSS)

   

NET CHANGE
IN UNREALIZED
APPRECIATION
(DEPRECIATION)

 

Credit

    Swap contracts       Swap contracts     $ (77,268 )   $ (291,022 )

 

For the current fiscal period, the effect of derivative contracts in the Fund’s Statement of Assets and Liabilities was as follows:

 

   

STATEMENT OF ASSETS AND LIABILITIES

 

RISK

 

DERIVATIVE TYPE

   

LOCATION

   

Amount

 

Liability Derivatives

Credit

    Swap contracts       Unrealized depreciation on swap contracts*     $ (291,022 )

Total Value - Liabilities

                  $ (291,022 )

 

*

Includes cumulative appreciation/depreciation on centrally cleared swaps

 

Dividends and Distributions to Shareholders — Dividends from net investment income, if any, are declared and paid quarterly. Net realized capital gains (including net short-term capital gains), if any, are distributed by the Fund at least annually. Income dividends and capital gain distributions are determined in accordance with U.S. federal income tax regulations, which may differ from U.S. GAAP.

 

U.S. Tax Status — No provision is made for U.S. income taxes as it is the Fund’s intention to continue to qualify for and elect the tax treatment applicable to regulated investment companies under Subchapter M of the Internal Revenue Code of 1986, as amended, and make the requisite distributions to its shareholders which will be sufficient to relieve it from U.S. income.

 

Active Management Risk — The Fund is subject to management risk as an actively-managed investment portfolio. The Fund’s ability to achieve its investment objective depends on the investment skill and ability of the Sub-Adviser and on Anthony Capital Management, LLC’s (the “Sub-Adviser”) ability to correctly identify economic trends.

 

Cash Positions Risk — The Fund may hold a significant position in cash and/or cash equivalent securities. When the Fund’s investment in cash or cash equivalent securities increases, the Fund may not participate in market advances or declines to the same extent that it would if the Fund were more fully invested in other securities.

 

Counterparty Risk — Counterparty risk is the risk that the other party(s) to an agreement or a participant to a transaction might default on a contract or fail to perform by failing to pay amounts due or failing to fulfill the obligations of the contract or transaction.

 

Credit Risk — Credit risk is the risk that an issuer or other obligated party of a debt security may be unable or unwilling to make interest and principal payments when due. Changes in an issuer’s credit rating or the market’s perception of an issuer’s creditworthiness may also affect the value of the Fund’s investment in that issuer. Securities rated in the four highest categories by the rating agencies are considered investment grade but they may also have some speculative characteristics. Investment grade ratings do not guarantee that bonds will not lose value or default. In addition, the credit quality of securities may be lowered if an issuer’s financial condition changes. The Fund could also be delayed or hindered in its enforcement of rights against an issuer, guarantor, or counterparty.

 

13

 

 

Optima Strategic Credit Fund

 

Notes To Financial Statements (Continued)

February 28, 2023 (Unaudited)

 

Credit Default Swap Risk — Credit default swaps are typically two-party financial contracts that transfer credit exposure between the two parties. Under a typical credit default swap, one party (the “seller”) receives pre-determined periodic payments from the other party (the “buyer”). The seller agrees to make specific payments to the buyer if a negative credit event occurs, such as the bankruptcy of or default by the issuer of the underlying debt instrument. The use of credit default swaps involves investment techniques and risks different from those associated with ordinary portfolio security transactions, such as potentially heightened counterparty or concentration risks.

 

Cyber Security Risk — Cyber security risk is the risk of an unauthorized breach and access to Fund assets, Fund or customer data (including private shareholder information), or proprietary information, or the risk of an incident occurring that causes the Adviser, Sub-Adviser, custodian, transfer agent, distributor and/or other service providers and financial intermediaries to suffer data breaches, data corruption or lose operational functionality or prevent Fund investors from purchasing, redeeming or exchanging shares or receiving distributions. The Fund and its Adviser and Sub-Adviser have limited ability to prevent or mitigate cyber security incidents affecting third-party service providers. Successful cyber-attacks or other cyber-failures or events affecting the Fund or its service providers may adversely impact and cause financial losses to the Fund or its shareholders. Issuers of securities in which the Fund invests are also subject to cyber security risks, and the value of these securities could decline if the issuers experience cyber-attacks or other cyber-failures.

 

Fixed Income Securities Risk — Fixed income securities in which the Fund or an Underlying Fund may invest are subject to certain risks, including: interest rate risk, prepayment risk and credit/default risk. Interest rate risk involves the risk that prices of fixed income securities will rise and fall in response to interest rate changes. Prepayment risk involves the risk that in declining interest rate environments prepayments of principal could increase and require the Fund or an Underlying Fund to reinvest proceeds of the prepayments at lower interest rates. Credit risk involves the risk that the credit rating of a security may be lowered.

 

Government Intervention and Regulatory Changes — The Dodd-Frank Wall Street Reform and Consumer Protection Act (the “Dodd-Frank Act”) (which was passed into law in July 2010) significantly revised and expanded the rulemaking, supervisory and enforcement authority of federal bank, securities and commodities regulators. There can be no assurance that future regulatory actions including, but not limited to, those authorized by the Dodd-Frank Act will not adversely impact the Fund. Major changes resulting from legislative or regulatory actions could materially affect the profitability of the Fund or the value of investments made by the Fund or force the Fund to revise its investment strategy or divest certain of its investments. Any of these developments could expose the Fund to additional costs, taxes, liabilities, enforcement actions and reputational risk.

 

In addition, in October 2020, the SEC adopted new regulations governing the use of derivatives by registered investment companies. The Fund is required to comply with Rule 18f-4 and has adopted procedures for investing in derivatives and other transactions in compliance with Rule 18f-4. Rule 18f-4 imposes limits on the amount of derivatives a fund can enter into, eliminates the asset segregation framework previously used by funds to comply with Section 18 of the 1940 Act, treats derivatives as senior securities so that a failure to comply with the limits would result in a statutory violation and requires funds whose use of derivatives is more than a limited specified exposure to establish and maintain a comprehensive derivatives risk management program and appoint a derivatives risk manager. These rules could have a substantial effect on the ability of the Fund to implement fully its investment strategy, as described herein, which may limit the Fund’s ability to achieve its objective.

 

High Yield Securities — High yield securities, which are rated below investment grade and commonly referred to as “junk” bonds, are high risk, speculative investments that may cause income and principal losses for the Fund. They generally have greater credit risk, are less liquid and have more volatile prices than investment grade securities.

 

Interest Rate Risk— Interest rate risk is the risk that prices of fixed income securities generally increase when interest rates decline and decrease when interest rates increase. The Fund may lose money if short term or long term interest rates rise sharply or otherwise change in a manner not anticipated by the Sub-Adviser. It is likely there will be less governmental action in the near future to maintain low interest rates. Changing interest rates may have unpredictable

 

14

 

 

Optima Strategic Credit Fund

 

Notes To Financial Statements (Continued)

February 28, 2023 (Unaudited)

 

effects on the markets and the Fund’s investments and may also affect the liquidity of fixed income securities and instruments held by the Fund. Any future declines in interest rate levels could cause the Fund’s earnings to fall below the Fund’s expense ratio, resulting in a negative yield, and a decline in the Fund’s share price. A general rise in interest rates may cause investors to move out of fixed income securities on a large scale, which could adversely affect the price and liquidity of fixed income securities and could also result in increased redemptions for the Fund. Fluctuations in interest rates may also affect the liquidity of fixed income securities and instruments held by the Fund.

 

Cash and Cash Equivalents —The Fund maintains cash in bank deposit accounts which, at times, may exceed United States federally insured limits and is classified as Cash and Cash Equivalents on the Statement of Assets and Liabilities.

 

Other — In the normal course of business, the Fund may enter into contracts that provide general indemnifications. The Fund’s maximum exposure under these arrangements is dependent on claims that may be made against the Fund in the future, and, therefore, cannot be estimated; however, the Fund expects the risk of material loss from such claims to be remote.

 

2. Investment Adviser and Other Services

 

Optima Asset Management LLC serves as the investment adviser for the Fund. Anthony Capital Management, LLC serves as the investment sub-adviser to the Fund. Subject to the supervision of the Board, the Adviser manages the overall investment operations of the Fund, primarily in the form of oversight of the Sub-Adviser pursuant to the terms of the Investment Advisory Agreement between the Adviser and the Company on behalf of the Fund. The Fund compensates the Adviser for its services at an annual rate based on the Fund’s average daily net assets (the“Advisory Fee”), payable on a monthly basis in arrears, as shown in the following table. The Adviser compensates the Sub-Adviser out of the Advisory Fee.

 

The Adviser has contractually agreed to waive its advisory fee and/or reimburse expenses in order to limit total annual Fund operating expenses (excluding certain items discussed below) to the rates (“Expense Cap”) shown in the following table of the Fund’s average daily net assets. In determining the Adviser’s obligation to waive advisory fees and/or reimburse expenses, the following expenses are not taken into account and could cause net total annual Fund operating expenses to exceed the Expense Cap as applicable: acquired fund fees and expenses, brokerage commissions, extraordinary expenses, interest and taxes. This contractual limitation is in effect until December 31, 2023 and may not be terminated without the approval of the Board. The Adviser may discontinue these arrangements at any time after December 31, 2023.

 

Advisory
Fee

Expense Cap

 

Founders Class

.50%

1.25%

 

During the current fiscal period, investment advisory fees accrued, waived and/or reimbursed were as follows:

 

Gross
Advisory
Fees

Waivers

Recoupment

Net
Advisory
Fees

$123,137

$(33,505)

$54,198

$143,830

 

15

 

 

Optima Strategic Credit Fund

 

Notes To Financial Statements (Continued)

February 28, 2023 (Unaudited)

 

If at any time the Fund’s total annual fund operating expenses (not including acquired fund fees and expenses, brokerage commissions, extraordinary expenses, interest and taxes) for a year are less than the relevant share class’s Expense Cap, the Adviser may recoup any waived or reimbursed amounts from the Fund within three years from the date on which such waiver or reimbursement was made, provided such reimbursement does not cause the Fund to exceed expense limitations that were in effect at the time of the waiver or reimbursement.

 

As of the end of the reporting period, the Fund had amounts available for recoupment as follows:

 

Expiration

AUGUST 31,
2025

August 31,
2026

$2,965

$33,505

 

U.S. Bancorp Fund Services, LLC (“Fund Services”), doing business as U.S. Bank Global Fund Services, serves as administrator for the Fund. For providing administrative and accounting services, Fund Services is entitled to receive a monthly fee, subject to certain minimum and out of pocket expenses.

 

Fund Services serves as the Fund’s transfer and dividend disbursing agent. For providing transfer agent services, Fund Services is entitled to receive a monthly fee, subject to certain minimum and out of pocket expenses.

 

U.S. Bank, N.A. (the “Custodian”) provides certain custodial services to the Fund. The Custodian is entitled to receive a monthly fee, subject to certain minimum and out of pocket expenses.

 

Quasar Distributors, LLC (the “Distributor”), a wholly-owned broker-dealer subsidiary of Foreside Financial Group, LLC, serves as the principal underwriter and distributor of the Fund’s shares pursuant to a Distribution Agreement with RBB.

 

For compensation amounts paid to Fund Services and the Custodian, please refer to the Statement of Operations.

 

3. Director And Officer Compensation

 

The Directors of the Company receive an annual retainer and meeting fees for meetings attended. An employee of Vigilant Compliance, LLC serves as Chief Compliance Officer of the Company. Vigilant Compliance, LLC is compensated for the services provided to the Company. Employees of RBB serve as President, Chief Financial Officer, Chief Operating Officer, Secretary and Director of Marketing & Business Development of the Company. They are compensated by the Fund for services provided. Certain employees of Fund Services serve as officers of the Company. They are not compensated by the Fund or the Company. As of the end of the reporting period, there were no director and officer fees charged or paid by the Fund.

 

4. Purchases and Sales of Investment Securities

 

During the current fiscal period, there were no purchases or sales of investment securities or long-term U.S. Government securities (excluding short-term investments) by the Fund.

 

5. Federal Income Tax Information

 

The Fund has followed the authoritative guidance on accounting for and disclosure of uncertainty in tax positions, which requires the Fund to determine whether a tax position is more likely than not to be sustained upon examination, including resolution of any related appeals or litigation processes, based on the technical merits of the position. The Fund has determined that there was no effect on the financial statements from following this authoritative guidance. In the normal course of business, the Fund is subject to examination by federal, state and local jurisdictions, where applicable, for tax years for which applicable statutes of limitations have not expired.

 

16

 

 

Optima Strategic Credit Fund

 

Notes To Financial Statements (Concluded)

February 28, 2023 (Unaudited)

 

As of August 31, 2022, the federal tax cost and aggregate gross unrealized appreciation and depreciation of investments held by the Fund were as follows:

 

Federal Tax
Cost

Unrealized
Appreciation

Unrealized
(Depreciation)

Net
Unrealized
Appreciation/
(Depreciation)

$37,171,685

$—

$(186,600)

$(186,600)

 

Distributions to shareholders, if any, from net investment income and realized gains are determined in accordance with federal income tax regulations, which may differ from net investment income and realized gains recognized for financial reporting purposes. Accordingly, the character of distributions and composition of net assets for tax purposes may differ from those reflected in the accompanying financial statements. To the extent these differences are permanent, such amounts are reclassified within the capital accounts based on the tax treatment; temporary differences do not require such reclassification.

 

As of August 31, 2022, the components of distributable earnings on a tax basis were as follows:

 

Undistributed
Ordinary
Income

Undistributed
Long-Term
Capital Gains

Net Unrealized
Appreciation/
(Depreciation)

Capital Loss
Carryforwards

Qualified
Late-Year
Losses

Other
Temporary
Differences

$3,277

$—

$(186,600)

$(852)

$—

$—

 

The differences between the book and tax basis components of distributable earnings relate primarily to the timing of recognition of income and gains for federal income tax purposes. Short-term and foreign currency gains, if applicable, are reported as ordinary income for federal income tax purposes.

 

The tax character of dividends and distributions paid during the fiscal year ended August 31, 2022 were as follows:

 

 

Ordinary
Income

Long-Term
Gains

Total

2022

$—

$—

$—

 

The Fund is permitted to carry forward capital losses for an unlimited period. Capital losses that are carried forward will retain their character as either short-term or long-term capital losses. As of August 31, 2022, the Fund had unexpiring short-term losses of $852 to offset future capital gains.

 

6. NEW ACCOUNTING PRONOUNCEMENTS AND REGULATORY UPDATES

 

In June 2022, the FASB issued Accounting Standards Update 2022-03, which amends Fair Value Measurement (Topic 820): Fair Value Measurement of Equity Securities Subject to Contractual Sale Restrictions (“ASU 2022-03”). ASU 2022-03 clarifies guidance for fair value measurement of an equity security subject to a contractual sale restriction and establishes new disclosure requirements for such equity securities. ASU 2022-03 is effective for fiscal years beginning after December 15, 2023 and for interim periods within those fiscal years, with early adoption permitted. Management is currently evaluating the impact of these amendments on the financial statements.

 

7. Subsequent Events

 

Management has evaluated the impact of all subsequent events on the Fund through the date the financial statements were issued and has determined that there were no significant events requiring recognition or disclosure in the financial statements.

 

17

 

 

Optima Strategic Credit Fund

 

Other Information

(Unaudited)

 

Proxy Voting

 

Policies and procedures that the Fund uses to determine how to vote proxies relating to portfolio securities as well as information regarding how the Fund voted proxies relating to portfolio securities for the most recent twelve-month period ended June 30 are available without charge, upon request, by calling (866) 239-2026 and on the SEC’s website at http://www.sec.gov.

 

Quarterly Portfolio Schedules

 

The Company files its complete schedule of portfolio holdings with the SEC for the first and third fiscal quarters of each fiscal year (quarters ended November 30 and May 31) as an exhibit to its report on Form N-PORT. The Company’s Form N-PORT is available on the SEC’s website at http://www.sec.gov.

 

18

 

 

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[THIS PAGE INTENTIONALLY LEFT BLANK]

 

 

Investment Adviser
Optima Asset Management LLC
10 East 53rd Street
New York, New York 10022

 

Sub-Adviser
Anthony Capital Management, LLC
421 George Street, Suite 206
De Pere, Wisconsin 54115

 

Administrator and Transfer Agent
U.S. Bank Global Fund Services, LLC
P.O. Box 701
Milwaukee, WI 53201

 

Principal Underwriter
Quasar Distributors, LLC
111 E Kilbourn Ave, Suite 2200
Milwaukee, WI 53202

 

Custodian
U.S. Bank, N.A.
1555 North Rivercenter Drive, Suite 302
Milwaukee, WI 53212

 

Independent Registered Public Accounting Firm
Cohen & Company, Ltd.
1350 Euclid Avenue, Suite 800
Cleveland, Ohio 44115

 

Legal Counsel
Faegre Drinker Biddle & Reath LLP
One Logan Square, Suite 2000
Philadelphia, PA 19103-6996

 

OSCF-SAR23

 

 

 

 

 

SGI U.S. LARGE CAP EQUITY FUND

 

SGI U.S. SMALL CAP EQUITY FUND

 

SGI GLOBAL EQUITY FUND

 

SGI PRUDENT GROWTH FUND

 

SGI PEAK GROWTH FUND

 

SGI SMALL CAP CORE FUND

 

of

 

The RBB Fund, Inc.

 

SEMI-ANNUAL REPORT

 

February 28, 2023
(Unaudited)

 

This report is submitted for the general information of the shareholders of the Funds and may not be used as sales literature unless preceded or accompanied by a current prospectus for the Funds.

 

 

SGI U.S. LARGE CAP EQUITY FUND - CLASS I SHARES

 

Performance Data

February 28, 2023 (UNAUDITED)

 

Average Annual Total Returns for the periods ended February 28, 2023

 
 

Six
Months
(1)

One
Year

Five
Years

Ten
Years

Since
Inception
(2)

 

Class I Shares

2.36%

-1.23%

7.55%

9.99%

10.20%

 

S&P 500® Index(3)

1.26%

-7.69%

9.82%

12.25%

12.36%

 

 

 

(1)

Not annualized.

 

(2)

Class I Shares of the Fund commenced operations on February 29, 2012.

 

(3)

Benchmark performance is from the inception date of the Class I Shares only and is not the inception date of the benchmark itself.

 

Performance quoted is past performance and does not guarantee future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher. Returns shown do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. Performance data current to the most recent month-end may be obtained by calling 1-855-744-8500.

 

The Fund’s total annual gross and net operating expenses, as stated in the current prospectus dated December 31, 2022, are 0.96% and 0.92%, respectively, of average daily net assets for Class I Shares. These ratios may differ from the actual expenses incurred by the Fund for the period covered by this report. Summit Global Investments, LLC (the “Adviser”) has contractually agreed to waive management fees and/or reimburse expenses through December 31, 2023 to the extent that total annual Fund operating expenses (excluding certain items discussed below) exceed 0.98% of the Fund’s average daily net assets attributable to Class I Shares. In determining the Adviser’s obligation to waive advisory fees and/or reimburse expenses, the following expenses are not taken into account and could cause net total annual Fund operating expenses to exceed 0.98%: acquired fund fees and expenses, brokerage commissions, extraordinary items, interest or taxes. The contractual limitation may not be terminated before December 31, 2023 without the approval of the Board of Directors of The RBB Fund, Inc. If at any time the Fund’s total annual Fund operating expenses for a year are less than 0.98% of the Fund’s average daily net assets attributable to Class I Shares, the Adviser is entitled to reimbursement by the Fund of the advisory fees forgone and other payments remitted by the Adviser to the Fund within three years from the date on which such waiver or reimbursement was made, provided such reimbursement does not cause the Fund to exceed expense limitations that were in effect at the time of the waiver or reimbursement.

 

The Fund’s investments will generally consist of securities, which may include common stocks, preferred stocks, warrants to acquire common stock and securities convertible into common stock. Portfolio composition is subject to change. The Fund evaluates performance as compared to that of the Standard & Poor’s 500® Index (“S&P 500®”). The S&P 500® is a widely recognized, unmanaged index of 500 common stocks which are generally representative of the U.S. stock market as a whole. It is impossible to invest directly in an index.

 

1

 

 

SGI U.S. LARGE CAP EQUITY FUND - CLASS A SHARES

 

Performance Data (continued)

February 28, 2023 (UNAUDITED)

 

Average Annual Total Returns for the periods ended February 28, 2023

 
 

Six
Months
(1)

One
Year

Three
Years

Five
Years

Since
Inception
(2)

 

Class A Shares (without sales charge)

2.17%

-1.46%

6.74%

7.28%

8.34%

 

Class A Shares (with sales charge)

-3.19%

-6.65%

4.84%

6.13%

7.55%

 

S&P 500® Index(3)

1.26%

-7.69%

12.15%

9.82%

11.21%

 

 

 

(1)

Not annualized.

 

(2)

Class A Shares of the Fund commenced operations on October 29, 2015.

 

(3)

Benchmark performance is from the inception date of the Class A Shares only and is not the inception date of the benchmark itself.

 

Class A Shares of the Fund have a 5.25% maximum sales charge.

 

Performance quoted is past performance and does not guarantee future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher. Returns shown do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. Performance data current to the most recent month-end may be obtained by calling 1-855-744-8500.

 

The Fund’s total annual gross and net operating expenses, as stated in the current prospectus dated December 31, 2022, are 1.21% and 1.17%, respectively, of average daily net assets for Class A Shares. These ratios may differ from the actual expenses incurred by the Fund for the period covered by this report. Summit Global Investments, LLC (the “Adviser”) has contractually agreed to waive management fees and/or reimburse expenses through December 31, 2023 to the extent that total annual Fund operating expenses (excluding certain items discussed below) exceed 1.23% of the Fund’s average daily net assets attributable to Class A Shares. In determining the Adviser’s obligation to waive advisory fees and/or reimburse certain expenses, the following expenses are not taken into account and could cause net total annual Fund operating expenses to exceed 1.23%: acquired fund fees and expenses, brokerage commissions, extraordinary items, interest or taxes. The contractual limitation may not be terminated before December 31, 2023 without the approval of the Board of Directors of The RBB Fund, Inc. If at any time the Fund’s total annual Fund operating expenses for a year are less than 1.23% of the Fund’s average daily net assets attributable to Class A Shares, the Adviser is entitled to reimbursement by the Fund of the advisory fees forgone and other payments remitted by the Adviser to the Fund within three years from the date on which such waiver or reimbursement was made, provided such reimbursement does not cause the Fund to exceed expense limitations that were in effect at the time of the waiver or reimbursement.

 

The Fund’s investments will generally consist of securities, which may include common stocks, preferred stocks, warrants to acquire common stock and securities convertible into common stock. Portfolio composition is subject to change. The Fund evaluates performance as compared to that of the Standard & Poor’s 500® Index (“S&P 500®”). The S&P 500® is a widely recognized, unmanaged index of 500 common stocks which are generally representative of the U.S. stock market as a whole. It is impossible to invest directly in an index.

 

2

 

 

SGI U.S. LARGE CAP EQUITY FUND - CLASS C SHARES

 

Performance Data (continued)

February 28, 2023 (UNAUDITED)

 

Average Annual Total Returns for the periods ended February 28, 2023

 
 

Six
Months
(1)

One
Year

Three
Years

Five
Years

Since
Inception
(2)

 

Class C Shares

1.83%

-2.17%

6.10%

6.58%

7.92%

 

S&P 500® Index(3)

1.26%

-7.69%

12.15%

9.82%

11.77%

 

 

 

(1)

Not annualized.

 

(2)

Class C Shares of the Fund commenced operations on December 31, 2015.

 

(3)

Benchmark performance is from the inception date of the Class C Shares only and is not the inception date of the benchmark itself.

 

Performance quoted is past performance and does not guarantee future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher. Returns shown do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. Performance data current to the most recent month-end may be obtained by calling 1-855-744-8500.

 

The Fund’s total annual gross and net operating expenses, as stated in the current prospectus dated December 31, 2022, are 1.96% and 1.92%, respectively, of average daily net assets for Class C Shares. These ratios may differ from the actual expenses incurred by the Fund for the period covered by this report. Summit Global Investments, LLC (the “Adviser”) has contractually agreed to waive management fees and/or reimburse expenses through December 31, 2023 to the extent that total annual Fund operating expenses (excluding certain items discussed below) exceed 1.98% of the Fund’s average daily net assets attributable to Class C Shares. In determining the Adviser’s obligation to waive advisory fees and/or reimburse expenses, the following expenses are not taken into account and could cause net total annual Fund operating expenses to exceed 1.98%: acquired fund fees and expenses, brokerage commissions, extraordinary items, interest or taxes. The contractual limitation may not be terminated before December 31, 2023 without the approval of the Board of Directors of The RBB Fund, Inc. If at any time the Fund’s total annual Fund operating expenses for a year are less than 1.98% of the Fund’s average daily net assets attributable to Class C Shares, the Adviser is entitled to reimbursement by the Fund of the advisory fees forgone and other payments remitted by the Adviser to the Fund within three years from the date on which such waiver or reimbursement was made, provided such reimbursement does not cause the Fund to exceed expense limitations that were in effect at the time of the waiver or reimbursement.

 

The Fund’s investments will generally consist of securities, which may include common stocks, preferred stocks, warrants to acquire common stock and securities convertible into common stock. Portfolio composition is subject to change. The Fund evaluates performance as compared to that of the Standard & Poor’s 500® Index (“S&P 500®”). The S&P 500® is a widely recognized, unmanaged index of 500 common stocks which are generally representative of the U.S. stock market as a whole. It is impossible to invest directly in an index.

 

 

3

 

 

SGI U.S. SMALL CAP EQUITY FUND - CLASS I SHARES

 

Performance Data (continued)

February 28, 2023 (UNAUDITED)

 

Average Annual Total Returns for the periods ended February 28, 2023

 
 

Six
Months
(1)

One
Year

Three
Years

Five
Years

Since
Inception
(2)

 

Class I Shares

2.70%

-1.16%

2.51%

1.26%

4.55%

 

Russell 2000® Index(3)

3.63%

-6.02%

10.08%

6.01%

9.43%

 

 

 

(1)

Not annualized.

 

(2)

Class I Shares of the Fund commenced operations on March 31, 2016.

 

(3)

Benchmark performance is from the inception date of the Class I Shares only and is not the inception date of the benchmark itself.

 

Performance quoted is past performance and does not guarantee future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher. Returns shown do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. Performance data current to the most recent month-end may be obtained by calling 1-855-744-8500.

 

The Fund’s total annual gross and net operating expenses, as stated in the current prospectus dated December 31, 2022, are 1.46% and 1.23%, respectively, of average daily net assets for Class I Shares. These ratios may differ from the actual expenses incurred by the Fund for the period covered by this report. Summit Global Investments, LLC (the “Adviser”) has contractually agreed to waive management fees and/or reimburse expenses through December 31, 2023 to the extent that total annual Fund operating expenses (excluding certain items discussed below) exceed 1.23% of the Fund’s average daily net assets attributable to Class I Shares. In determining the Adviser’s obligation to waive advisory fees and/or reimburse expenses, the following expenses are not taken into account and could cause net total annual Fund operating expenses to exceed 1.23%: acquired fund fees and expenses, brokerage commissions, extraordinary items, interest or taxes. This contractual limitation may not be terminated before December 31, 2023 without the approval of the Board of Directors of The RBB Fund, Inc. If at any time the Fund’s total annual Fund operating expenses for a year are less than 1.23% of the Fund’s average daily net assets attributable to Class I Shares, the Adviser is entitled to reimbursement by the Fund of the advisory fees forgone and other payments remitted by the Adviser to the Fund within three years from the date on which such waiver or reimbursement was made, provided such reimbursement does not cause the Fund to exceed expense limitations that were in effect at the time of the waiver or reimbursement.

 

The Fund’s investments will generally consist of securities, which may include common stocks, preferred stocks, warrants to acquire common stock and securities convertible into common stock. Portfolio composition is subject to change. The Fund evaluates performance as compared to that of the Russell 2000® Index (“Russell 2000®”). The Russell 2000® is a widely recognized, unmanaged index of 2,000 common stocks which are generally representative of the U.S. Small Companies. It is impossible to invest directly in an index.

 

The Fund invests in equity securities and in stocks of small companies which are subject to market, economic and business risks that may cause their price to rise or fall over time. Stocks of small companies may be more volatile, less liquid or not as readily marketable as those of larger companies. Small companies may also have limited product lines, markets or financial resources and may be dependent on relatively small or inexperienced management groups. Although the Fund seeks lower volatility, there is no guarantee the Fund will perform as expected.

 

4

 

 

SGI U.S. SMALL CAP EQUITY FUND - CLASS A SHARES

 

Performance Data (continued)

February 28, 2023 (UNAUDITED)

 

Average Annual Total Returns for the periods ended February 28, 2023

 
 

Six
Months
(1)

One
Year

Three
Years

Five
Years

Since
Inception
(2)

 

Class A Shares (without sales charge)

2.63%

-1.34%

2.28%

1.04%

4.33%

 

Class A Shares (with sales charge)

-2.76%

-6.55%

0.45%

-0.04%

3.52%

 

Russell 2000® Index(3)

3.63%

-6.02%

10.08%

6.01%

9.43%

 

 

 

(1)

Not annualized.

 

(2)

Class A Shares of the Fund commenced operations on March 31, 2016.

 

(3)

Benchmark performance is from the inception date of the Class A Shares only and is not the inception date of the benchmark itself.

 

Class A Shares of the Fund have a 5.25% maximum sales charge.

 

Performance quoted is past performance and does not guarantee future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher. Returns shown do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. Performance data current to the most recent month-end may be obtained by calling 1-855-744-8500.

 

The Fund’s total annual gross and net operating expenses, as stated in the current prospectus dated December 31, 2022, are 1.71% and 1.48%, respectively, of average daily net assets for Class A Shares. These ratios may differ from the actual expenses incurred by the Fund for the period covered by this report. Summit Global Investments, LLC (the “Adviser”) has contractually agreed to waive management fees and/or reimburse expenses through December 31, 2023 to the extent that total annual Fund operating expenses (excluding certain items discussed below) exceed 1.48% of the Fund’s average daily net assets attributable to Class A Shares. In determining the Adviser’s obligation to waive advisory fees and/or reimburse expenses, the following expenses are not taken into account and could cause net total annual Fund operating expenses to exceed 1.48%: acquired fund fees and expenses, brokerage commissions, extraordinary items, interest or taxes. This contractual limitation may not be terminated before December 31, 2023 without the approval of the Board of Directors of The RBB Fund, Inc. If at any time the Fund’s total annual Fund operating expenses for a year are less than 1.48% of the Fund’s average daily net assets attributable to Class A Shares, the Adviser is entitled to reimbursement by the Fund of the advisory fees forgone and other payments remitted by the Adviser to the Fund within three years from the date on which such waiver or reimbursement was made, provided such reimbursement does not cause the Fund to exceed expense limitations that were in effect at the time of the waiver or reimbursement.

 

The Fund’s investments will generally consist of securities, which may include common stocks, preferred stocks, warrants to acquire common stock and securities convertible into common stock. Portfolio composition is subject to change. The Fund evaluates performance as compared to that of the Russell 2000® Index (“Russell 2000®”). The Russell 2000® is a widely recognized, unmanaged index of 2,000 common stocks which are generally representative of the U.S. Small Companies. It is impossible to invest directly in an index.

 

The Fund invests in equity securities and in stocks of small companies which are subject to market, economic and business risks that may cause their price to rise or fall over time. Stocks of small companies may be more volatile, less liquid or not as readily marketable as those of larger companies. Small companies may also have limited product lines, markets or financial resources and may be dependent on relatively small or inexperienced management groups. Although the Fund seeks lower volatility, there is no guarantee the Fund will perform as expected.

 

5

 

 

SGI U.S. SMALL CAP EQUITY FUND - CLASS C SHARES

 

Performance Data (continued)

February 28, 2023 (UNAUDITED)

 

Average Annual Total Returns for the periods ended February 28, 2023

 
 

Six
Months
(1)

One
Year

Three
Years

Five
Years

Since
Inception
(2)

 

Class C Shares

2.25%

-1.48%

1.69%

0.40%

3.62%

 

Russell 2000® Index(3)

3.63%

-6.02%

10.08%

6.01%

9.43%

 

 

 

(1)

Not annualized.

 

(2)

Class C Shares of the Fund commenced operations on March 31, 2016.

 

(3)

Benchmark performance is from the inception date of the Class C Shares only and is not the inception date of the benchmark itself.

 

Performance quoted is past performance and does not guarantee future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher. Returns shown do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. Performance data current to the most recent month-end may be obtained by calling 1-855-744-8500.

 

The Fund’s total annual gross and net operating expenses, as stated in the current prospectus dated December 31, 2022, are 2.46% and 2.23%, respectively, of average daily net assets for Class C Shares. These ratios may differ from the actual expenses incurred by the Fund for the period covered by this report. Summit Global Investments, LLC (the “Adviser”) has contractually agreed to waive management fees and/or reimburse expenses through December 31, 2023 to the extent that total annual Fund operating expenses (excluding certain items discussed below) exceed 2.23% of the Fund’s average daily net assets attributable to Class C Shares. In determining the Adviser’s obligation to waive advisory fees and/or reimburse expenses, the following expenses are not taken into account and could cause net total annual Fund operating expenses to exceed 2.23%: acquired fund fees and expenses, brokerage commissions, extraordinary items, interest or taxes. This contractual limitation may not be terminated before December 31, 2023 without the approval of the Board of Directors of The RBB Fund, Inc. If at any time the Fund’s total annual Fund operating expenses for a year are less than 2.23% of the Fund’s average daily net assets attributable to Class C Shares, the Adviser is entitled to reimbursement by the Fund of the advisory fees forgone and other payments remitted by the Adviser to the Fund within three years from the date on which such waiver or reimbursement was made, provided such reimbursement does not cause the Fund to exceed expense limitations that were in effect at the time of the waiver or reimbursement.

 

The Fund’s investments will generally consist of securities, which may include common stocks, preferred stocks, warrants to acquire common stock and securities convertible into common stock. Portfolio composition is subject to change. The Fund evaluates performance as compared to that of the Russell 2000® Index (“Russell 2000®”). The Russell 2000® is a widely recognized, unmanaged index of 2,000 common stocks which are generally representative of the U.S. Small Companies. It is impossible to invest directly in an index.

 

The Fund invests in equity securities and in stocks of small companies which are subject to market, economic and business risks that may cause their price to rise or fall over time. Stocks of small companies may be more volatile, less liquid or not as readily marketable as those of larger companies. Small companies may also have limited product lines, markets or financial resources and may be dependent on relatively small or inexperienced management groups. Although the Fund seeks lower volatility, there is no guarantee the Fund will perform as expected.

 

6

 

 

SGI GLOBAL EQUITY FUND - CLASS I SHARES

 

Performance Data (continued)

February 28, 2023 (UNAUDITED)

 

Average Annual Total Returns for the periods ended February 28, 2023(2)

 
 

Six
Months
(1)

One
Year

Five
Years

Ten
Years

Since
Inception

 

Class I Shares(3)

2.42%

-5.31%

5.48%

8.83%

13.28%

 

MSCI ACWI Index(4)

3.32%

-8.26%

5.82%

7.93%

10.67%

 

 

 

(1)

Not annualized.

 

(2)

Returns for periods prior to January 3, 2017 were generated under the management of the Fund’s former investment adviser and reflect a previous investment strategy.

 

(3)

The Fund operated as a series of Scotia Institutional Funds prior to the close of business on March 21, 2014 (the “Predecessor Fund”), at which time the Predecessor Fund was reorganized into the Fund. The fiscal year end of the Predecessor Fund was September 30. The performance shown for periods prior to March 21, 2014 represents the performance for the Predecessor Fund. While the Predecessor Fund commenced operations on March 31, 2009, the Predecessor Fund began investing consistent with its investment objective on April 1, 2009.

 

(4)

Benchmark performance is from the inception date of the Predecessor Fund only and is not the inception date of the benchmark itself.

 

Performance quoted is past performance and does not guarantee future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher. Returns shown do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. Performance data current to the most recent month-end may be obtained by calling 1-855-744-8500.

 

The Fund’s total annual gross and net operating expenses, as stated in the current prospectus dated December 31, 2022, are 1.01% and 0.84%, respectively, of average daily net assets for Class I Shares. These ratios may differ from the actual expenses incurred by the Fund for the period covered by this report. Summit Global Investments, LLC (the “Adviser”) has contractually agreed to waive management fees and/or reimburse certain expenses of the Fund through December 31, 2023 to the extent necessary to ensure that the Fund’s total annual operating expenses (excluding taxes, extraordinary expenses, brokerage commissions and interest) do not exceed 0.84% (on an annual basis) of Class I’s average daily net assets (the “Expense Limitation”). The Expense Limitation shall remain in effect until December 31, 2023 unless the Board of Directors of The RBB Fund, Inc. approves its earlier termination. If at any time the Fund’s total annual Fund operating expenses for a year are less than 0.84% of the Fund’s average daily net assets attributable to Class I Shares, the Adviser is entitled to reimbursement by the Fund of the advisory fees forgone and other payments remitted by the Adviser to the Fund within three years from the date on which such waiver or reimbursement was made, provided such reimbursement does not cause the Fund to exceed expense limitations that were in effect at the time of the waiver or reimbursement.

 

International investing is subject to special risks including, but not limited to, currency risk associated with securities denominated in other than the U.S. dollar, which may be affected by fluctuations in currency exchange rates, political, social or economic instability, and differences in taxation, auditing, and other financial practices.

 

The MSCI ACWI Index (the “Index”) captures large and mid cap representation across 23 Developed Markets (DM) and 27 Emerging Markets (EM) countries. With more than 3,000 constituents, the Index covers approximately 85% of the global investable equity opportunity set. It is not possible to invest directly in an index.

 

7

 

 

SGI PRUDENT GROWTH FUND - CLASS I SHARES

 

Performance Data (continued)

February 28, 2023 (UNAUDITED)

 

Average Annual Total Returns for the periods ended February 28, 2023

 
 

Six
Months
(1)

One
Year

Since
Inception

 

Class I Shares

1.47%

-5.48%

1.92%(2)

 

S&P 500® Index(3)

1.26%

-7.69%

9.54%

 

Composite Index(4)

0.07%

-8.16%

3.97%

 

 

 

(1)

Not annualized.

 

(2)

Inception date of the Fund is June 8, 2020.

 

(3)

Benchmark performance is from the inception date of the Fund only and is not the inception date of the benchmark itself.

 

(4)

The Composite Index is comprised of the S&P 500® Index and Bloomberg US Aggregate Bond Index, weighted 60% and 40%, respectively.

 

Performance quoted is past performance and does not guarantee future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher. Returns shown do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. Performance data current to the most recent month-end may be obtained by calling 1-855-744-8500.

 

The Fund’s total annual gross and net operating expenses, as stated in the current prospectus dated December 31, 2022 are 2.11% and 2.20%, respectively, of average daily net assets for Class I Shares. These ratios may differ from the actual expenses incurred by the Fund for the period covered by this report. Summit Global Investments, LLC (the “Adviser”) has contractually agreed to waive management fees and/or reimburse certain expenses of the Fund through December 31, 2023 to the extent necessary to ensure that the Fund’s total annual operating expenses (excluding taxes, extraordinary expenses, brokerage commissions and interest) do not exceed 1.70% (on an annual basis) of Class I’s average daily net assets (the “Expense Limitation”). The Expense Limitation shall remain in effect until December 31, 2023, unless the Board of Directors of The RBB Fund, Inc. approves its earlier termination. If at any time the Fund’s total annual Fund operating expenses for a year are less than 1.70% of the Fund’s average daily net assets attributable to Class I Shares, the Adviser is entitled to reimbursement by the Fund of the advisory fees forgone and other payments remitted by the Adviser to the Fund within three years from the date on which such waiver or reimbursement was made, provided such reimbursement does not cause the Fund to exceed expense limitations that were in effect at the time of the waiver or reimbursement.

 

The S&P 500® Index is a widely recognized, unmanaged index of 500 common stocks which are generally representative of the U.S. stock market as a whole. It is impossible to invest directly in an index.

 

The Bloomberg US Aggregate Bond Index is a broad-based, market capitalization-weighted bond market index representing intermediate term investment grade bonds traded in the United States. It is not possible to invest directly in an index.

 

8

 

 

SGI PEAK GROWTH FUND - CLASS I SHARES

 

Performance Data (continued)

February 28, 2023 (UNAUDITED)

 

Average Annual Total Returns for the periods ended February 28, 2023

 
 

Six
Months
(1)

One
Year

Since
Inception

 

Class I Shares

2.71%

-4.19%

5.13%(2)

 

S&P 500® Index(3)

1.26%

-7.69%

9.54%

 

 

 

(1)

Not annualized.

 

(2)

Inception date of the Fund is June 8, 2020.

 

(3)

Benchmark performance is from the inception date of the Fund only and is not the inception date of the benchmark itself.

 

Performance quoted is past performance and does not guarantee future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher. Returns shown do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. Performance data current to the most recent month-end may be obtained by calling 1-855-744-8500.

 

The Fund’s total annual gross and net operating expenses, as stated in the current prospectus dated December 31, 2022 are 2.35% and 2.47%, respectively, of average daily net assets for Class I Shares. These ratios may differ from the actual expenses incurred by the Fund for the period covered by this report. Summit Global Investments, LLC (the “Adviser”) has contractually agreed to waive management fees and/or reimburse certain expenses of the Fund through December 31, 2023 to the extent necessary to ensure that the Fund’s total annual operating expenses (excluding taxes, extraordinary expenses, brokerage commissions and interest) do not exceed 1.70% (on an annual basis) of Class I’s average daily net assets (the “Expense Limitation”). The Expense Limitation shall remain in effect December 31, 2023, unless the Board of Directors of The RBB Fund, Inc. approves its earlier termination. If at any time the Fund’s total annual Fund operating expenses for a year are less than 1.70% of the Fund’s average daily net assets attributable to Class I Shares, the Adviser is entitled to reimbursement by the Fund of the advisory fees forgone and other payments remitted by the Adviser to the Fund within three years from the date on which such waiver or reimbursement was made, provided such reimbursement does not cause the Fund to exceed expense limitations that were in effect at the time of the waiver or reimbursement.

 

The S&P 500® Index is a widely recognized, unmanaged index of 500 common stocks which are generally representative of the U.S. stock market as a whole. It is impossible to invest directly in an index.

 

9

 

 

SGI SMALL CAP CORE FUND - CLASS I SHARES

 

Performance Data (CONCLUDED)

February 28, 2023 (UNAUDITED)

 

Average Annual Total Returns for the periods ended February 28, 2023

 
 

Six
Months
(1)

One
Year

Five
Years

Ten
Years

Since
Inception
(2)

 

Class I Shares

7.23%

2.22%

7.83%

10.16%

10.65%

 

Russell 2000® Index

3.63%

-6.02%

6.01%

9.06%

8.03%

 

 

 

(1)

Not annualized.

 

(2)

For the period October 1, 1999 (commencement of operations) through February 28, 2023.

 

Performance quoted is past performance and does not guarantee future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher. Returns shown do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. Performance data current to the most recent month-end may be obtained by calling 1-855-744-8500.

 

The Fund’s total annual gross and net operating expenses, as stated in the current prospectus dated December 31, 2022, are 1.33% and 1.23%, respectively, of average daily net assets for Class I Shares. These ratios may differ from the actual expenses incurred by the Fund for the period covered by this report. Summit Global Investments, LLC (the “Adviser”) has contractually agreed to waive management fees and/or reimburse expenses through December 31, 2023 to the extent that total annual Fund operating expenses (excluding certain items discussed below) exceed 1.23% of the Fund’s average daily net assets attributable to Class I Shares. In determining the Adviser’s obligation to waive advisory fees and/or reimburse expenses, the following expenses are not taken into account and could cause net total annual Fund operating expenses to exceed 1.23%: acquired fund fees and expenses, brokerage commissions, extraordinary items, interest or taxes. This contractual limitation may not be terminated before December 31, 2023 without the approval of the Board of Directors of The RBB Fund, Inc. If at any time the Fund’s total annual Fund operating expenses for a year are less than 1.23% of the Fund’s average daily net assets attributable to Class I Shares, the Adviser is entitled to reimbursement by the Fund of the advisory fees forgone and other payments remitted by the Adviser to the Fund within three years from the date on which such waiver or reimbursement was made, provided such reimbursement does not cause the Fund to exceed expense limitations that were in effect at the time of the waiver or reimbursement. The Fund’s investments will generally consist of securities, which may include common stocks, preferred stocks, warrants to acquire common stock and securities convertible into common stock. Portfolio composition is subject to change. The Fund evaluates performance as compared to that of the Russell 2000® Index (“Russell 2000®”). The Russell 2000® is a widely recognized, unmanaged index of 2,000 common stocks which are generally representative of the U.S. Small Companies. It is impossible to invest directly in an index.

 

The Fund invests in equity securities and in stocks of small companies which are subject to market, economic and business risks that may cause their price to rise or fall over time. Stocks of small companies may be more volatile, less liquid or not as readily marketable as those of larger companies. Small companies may also have limited product lines, markets or financial resources and may be dependent on relatively small or inexperienced management groups. Although the Fund seeks lower volatility, there is no guarantee the Fund will perform as expected.

 

10

 

 

SUMMIT GLOBAL INVESTMENTS

 

Fund Expense Examples

February 28, 2023 (UNAUDITED)

 

As a shareholder of the Fund(s), you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments (if applicable); and (2) ongoing costs, including management fees; distribution and/or service (12b-1) fees; and other Fund expenses. These examples are intended to help you understand your ongoing costs (in dollars) of investing in the Fund(s) and to compare these costs with the ongoing costs of investing in other mutual funds.

 

These examples are based on an investment of $1,000 invested at the beginning of the six-month period from September 1, 2022 through February 28, 2023 and held for the entire period.

 

Actual Expenses

 

The first line of the accompanying tables provide information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.

 

Hypothetical Example for Comparison Purposes

 

The second section of the accompanying tables provide information about hypothetical account values and hypothetical expenses based on each Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in each Fund and other funds. To do so, compare these 5% hypothetical examples with the 5% hypothetical examples that appear in the shareholder reports of other funds.

 

The expenses shown in the accompanying tables are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads), redemption fees or exchange fees. Therefore, the second section of the accompanying tables is useful in comparing ongoing costs only and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.

 

 

SGI U.S. Large Cap Equity Fund

 

Beginning
Account Value
SEPTEMBER 1, 2022

Ending
Account Value
FEBRUARY 28, 2023

Expenses
Paid During
Period*

Annualized
Expense
Ratio

Actual
Six-Month
Total
Investment
Return for
the Fund

Actual

         

Class I Shares

$ 1,000.00

$ 1,023.60

$ 4.92

0.98%

2.36%

Class A Shares

1,000.00

1,021.70

6.17

1.23

2.17

Class C Shares

1,000.00

1,018.30

9.91

1.98

1.83

         

Hypothetical (5% return before expenses)

       

Class I Shares

$ 1,000.00

$ 1,019.89

$ 4.91

0.98%

N/A

Class A Shares

1,000.00

1,018.65

6.16

1.23

N/A

Class C Shares

1,000.00

1,014.93

9.89

1.98

N/A

 

 

11

 

 

SUMMIT GLOBAL INVESTMENTS

 

Fund Expense Examples (CONTINUED)

February 28, 2023 (UNAUDITED)

 

 

SGI U.S. Small Cap Equity Fund

 

Beginning
Account Value
SEPTEMBER 1, 2022

Ending
Account Value
FEBRUARY 28, 2023

Expenses
Paid During
Period*

Annualized
Expense
Ratio

Actual
Six-Month
Total
Investment
Return for
the Fund

Actual

         

Class I Shares

$ 1,000.00

$ 1,027.00

$ 6.18

1.23%

2.70%

Class A Shares

1,000.00

1,026.30

7.44

1.48

2.63

Class C Shares

1,000.00

1,022.50

11.18

2.23

2.25

         

Hypothetical (5% return before expenses)

       

Class I Shares

$ 1,000.00

$ 1,018.70

$ 6.16

1.23%

N/A

Class A Shares

1,000.00

1,017.46

7.40

1.48

N/A

Class C Shares

1,000.00

1,013.74

11.13

2.23

N/A

 

 

SGI Global Equity Fund

 

Beginning
Account Value
SEPTEMBER 1, 2022

Ending
Account Value
FEBRUARY 28, 2023

Expenses
Paid During
Period*

Annualized
Expense
Ratio

Actual
Six-Month
Total
Investment
Return for
the Fund

Actual

         

Class I Shares

$ 1,000.00

$ 1,024.20

$ 4.22

0.84%

2.42%

         

Hypothetical (5% return before expenses)

       

Class I Shares

$ 1,000.00

$ 1,020.63

$ 4.21

0.84%

N/A

 

 

SGI Prudent GROWTH Fund

 

Beginning
Account Value
SEPTEMBER 1, 2022

Ending
Account Value
FEBRUARY 28, 2023

Expenses
Paid During
Period*

Annualized
Expense
Ratio

Actual
Six-Month
Total
Investment
Return for
the Fund

Actual

         

Class I Shares

$ 1,000.00

$ 1,014.70

$ 7.79

1.56%

1.47%

         

Hypothetical (5% return before expenses)

       

Class I Shares

$ 1,000.00

$ 1,017.06

$ 7.80

1.56%

N/A

 

 

 

12

 

 

SUMMIT GLOBAL INVESTMENTS

 

Fund Expense Examples (Concluded)

February 28, 2023 (UNAUDITED)

 

 

SGI Peak Growth Fund

 

Beginning
Account Value
SEPTEMBER 1, 2022

Ending
Account Value
FEBRUARY 28, 2023

Expenses
Paid During
Period*

Annualized
Expense
Ratio

Actual
Six-Month
Total
Investment
Return for
the Fund

Actual

         

Class I Shares

$ 1,000.00

$ 1,027.10

$ 8.19

1.63%

2.71%

         

Hypothetical (5% return before expenses)

       

Class I Shares

$ 1,000.00

$ 1,016.71

$ 8.15

1.63%

N/A

 

 

SGI small cap CORE Fund

 

Beginning
Account Value
SEPTEMBER 1, 2022

Ending
Account Value
FEBRUARY 28, 2023

Expenses
Paid During
Period*

Annualized
Expense
Ratio

Actual
Six-Month
Total
Investment
Return for
the Fund

Actual

         

Class L Shares

$ 1,000.00

$ 1,072.30

$ 6.32

1.23%

7.23%

         

Hypothetical (5% return before expenses)

       

Class L Shares

$ 1,000.00

$ 1,018.70

$ 6.16

1.23%

N/A

 

 

*

Expenses are equal to each Fund’s annualized six-month expense ratio for the period September 1, 2022 to February 28, 2023, multiplied by the average account value over the period, multiplied by the number of days (181) in the most recent fiscal half-year, then divided by 365 to reflect the one half year period. Each Fund’s ending account values on the first line in the tables is based on the actual six-month total investment return for each Fund.

 

13

 

 

SGI U.S. LARGE CAP EQUITY FUND

 

Portfolio Holdings Summary Table

February 28, 2023 (Unaudited)

 

The following table presents a summary by sector of the portfolio holdings of the Fund:

 

   

% of Net
Assets

   

Value

 

COMMON STOCKS:

               

Pharmaceuticals

    10.2 %   $ 40,890,251  

Food

    9.5       38,133,643  

Insurance

    9.3       37,092,589  

Software

    9.2       36,889,031  

Biotechnology

    8.6       34,155,410  

Electric

    6.9       27,686,327  

Oil & Gas

    6.3       25,246,595  

Banks

    4.9       19,616,739  

Retail

    4.3       17,169,066  

Computers

    3.9       15,713,579  

REITS

    2.9       11,489,477  

Telecommunications

    2.6       10,338,019  

Distribution/Wholesale

    2.5       10,021,132  

Media

    2.4       9,749,885  

Commercial Services

    2.1       8,400,268  

Electronics

    1.9       7,460,172  

Chemicals

    1.3       5,001,240  

Hand & Machine Tools

    1.2       4,898,996  

Internet

    1.2       4,845,440  

Semiconductors

    0.9       3,744,027  

Water

    0.9       3,663,918  

Diversified Financial Services

    0.9       3,361,406  

Household Products/Wares

    0.7       2,763,605  

Advertising

    0.7       2,590,302  

Environmental Control

    0.6       2,560,896  

Miscellaneous Manufacturing

    0.6       2,537,413  

Aerospace/Defense

    0.6       2,347,473  

Healthcare-Services

    0.4       1,703,230  

Electrical Components & Equipment

    0.3       1,132,480  

Building Materials

    0.2       833,055  

Healthcare-Products

    0.2       814,928  

Apparel

    0.2       809,286  

Engineering & Construction

    0.2       794,512  

Transportation

    0.2       763,288  

SHORT-TERM INVESTMENTS

    1.2       4,604,757  

OTHER ASSETS IN EXCESS OF LIABILITIES

    0.0       19,414  

NET ASSETS

    100 %   $ 399,841,849  

 

 

Portfolio holdings are subject to change at any time.

 

The accompanying notes are an integral part of the financial statements.
14

 

 

SGI U.S. LARGE CAP EQUITY FUND

 

Portfolio of Investments

February 28, 2023 (Unaudited)

 

   Number
of Shares
   Value 
COMMON STOCKS — 98.8%
Advertising — 0.7%
Omnicom Group, Inc.   28,600   $2,590,302 
Aerospace/Defense — 0.6%
General Dynamics Corp.   10,300    2,347,473 
Apparel — 0.2%
Tapestry, Inc.   18,600    809,286 
Banks — 4.9%
Bank of New York Mellon Corp., (The)   80,300    4,085,664 
Citizens Financial Group, Inc.   186,300    7,779,888 
Fifth Third Bancorp   81,100    2,943,930 
JPMorgan Chase & Co.   23,800    3,411,730 
KeyCorp   76,300    1,395,527 
         19,616,739 
Biotechnology — 8.6%
Gilead Sciences, Inc.   144,500    11,636,585 
Incyte Corp.*   125,600    9,668,688 
Royalty Pharma PLC, Class A, (United Kingdom)   88,800    3,183,480 
Vertex Pharmaceuticals, Inc.*   33,300    9,666,657 
         34,155,410 
Building Materials — 0.2%
Carrier Global Corp.   18,500    833,055 
Chemicals — 1.3%
Eastman Chemical Co.   58,700    5,001,240 
Commercial Services — 2.1%
Automatic Data Processing, Inc.   20,200    4,440,364 
Gartner, Inc.*   2,400    786,744 
S&P Global, Inc.   9,300    3,173,160 
         8,400,268 
Computers — 3.9%
Accenture PLC, Class A, (Ireland)   12,600    3,345,930 
Apple, Inc.   67,200    9,905,952 
Hewlett Packard Enterprise Co.   157,700    2,461,697 
         15,713,579 
Distribution/Wholesale — 2.5%
Copart, Inc.*   73,000    5,143,580 
Fastenal Co.   58,300    3,005,948 
WW Grainger, Inc.   2,800    1,871,604 
         10,021,132 
Diversified Financial Services — 0.9%
Ameriprise Financial, Inc.   3,500    1,200,045 
Interactive Brokers Group, Inc., Class A   25,100    2,161,361 
         3,361,406 
Electric — 6.9%
AES Corp.   71,100   $1,754,748 
Alliant Energy Corp.   67,200    3,445,344 
American Electric Power Co., Inc.   13,400    1,178,798 
CMS Energy Corp.   48,100    2,836,457 
Consolidated Edison, Inc.   9,300    830,955 
DTE Energy Co.   21,700    2,380,707 
Evergy, Inc.   60,400    3,552,124 
Exelon Corp.   22,800    920,892 
PPL Corp.   134,700    3,646,329 
Public Service Enterprise Group, Inc.   14,700    888,321 
WEC Energy Group, Inc.   22,300    1,977,118 
Xcel Energy, Inc.   66,200    4,274,534 
         27,686,327 
Electrical Components & Equipment — 0.3%
AMETEK, Inc.   8,000    1,132,480 
Electronics — 1.9%
Fortive Corp.   70,400    4,692,864 
Keysight Technologies, Inc.*   17,300    2,767,308 
         7,460,172 
Engineering & Construction — 0.2%
AECOM   9,200    794,512 
Environmental Control — 0.6%
Waste Management, Inc.   17,100    2,560,896 
Food — 9.5%
Campbell Soup Co.   21,800    1,144,936 
ConAgra Foods, Inc.   28,400    1,034,044 
Hershey Co., (The)   44,800    10,676,736 
Hormel Foods Corp.   75,500    3,350,690 
Kellogg Co.   24,400    1,608,936 
Kraft Heinz Co., (The)   41,400    1,612,116 
Kroger Co., (The)   115,400    4,978,356 
Lamb Weston Holdings, Inc.   95,900    9,651,376 
Mondelez International, Inc., Class A   50,300    3,278,554 
Sysco Corp.   10,700    797,899 
         38,133,643 
Hand & Machine Tools — 1.2%
Snap-on, Inc.   19,700    4,898,996 
Healthcare-Products — 0.2%
Stryker Corp.   3,100    814,928 
Healthcare-Services — 0.4%
Humana, Inc.   1,700    841,534 
Laboratory Corp. of America Holdings   3,600    861,696 
         1,703,230 

 

 

The accompanying notes are an integral part of the financial statements.
15

 

 

SGI U.S. LARGE CAP EQUITY FUND

 

Portfolio of Investments (CONtinued)

February 28, 2023 (Unaudited)

 

   Number
of Shares
   Value 
Household Products/Wares — 0.7%
Kimberly-Clark Corp.   22,100   $2,763,605 
Insurance — 9.3%
American Financial Group, Inc.   6,000    804,660 
American International Group, Inc.   13,400    818,874 
Aon PLC, Class A   3,900    1,185,795 
Arch Capital Group Ltd., (Bermuda)*   163,500    11,445,000 
Chubb Ltd., (Switzerland)   6,000    1,266,120 
Fidelity National Financial, Inc.   128,600    5,125,996 
Progressive Corp., (The)   84,700    12,156,144 
Prudential Financial, Inc.   42,900    4,290,000 
         37,092,589 
Internet — 1.2%
GoDaddy, Inc., Class A*   64,000    4,845,440 
Media — 2.4%
FactSet Research Systems, Inc.   14,100    5,845,155 
Fox Corp., Class A   111,500    3,904,730 
         9,749,885 
Miscellaneous Manufacturing — 0.6%
Teledyne Technologies, Inc.*   5,900    2,537,413 
Oil & Gas — 6.3%
Chevron Corp.   25,200    4,051,404 
Exxon Mobil Corp.   74,200    8,155,322 
Marathon Petroleum Corp.   42,300    5,228,280 
Valero Energy Corp.   59,300    7,811,589 
         25,246,595 
Pharmaceuticals — 10.2%
AbbVie, Inc.   35,200    5,417,280 
AmerisourceBergen Corp.   5,200    808,912 
Bristol-Myers Squibb Co.   134,900    9,302,704 
McKesson Corp.   15,700    5,492,017 
Merck & Co., Inc.   112,100    11,909,504 
Pfizer, Inc.   196,200    7,959,834 
         40,890,251 
REITS — 2.9%
Camden Property Trust   47,400    5,439,624 
Public Storage   12,600    3,766,770 
Simon Property Group, Inc.   18,700    2,283,083 
         11,489,477 
Retail — 4.3%
AutoZone, Inc.*   900   $2,237,886 
Bath & Body Works, Inc.   18,600    760,182 
Costco Wholesale Corp.   1,700    823,106 
McDonald’s Corp.   17,300    4,565,643 
TJX Cos, Inc., (The)   10,300    788,980 
Wal-Mart Stores, Inc.   14,100    2,004,033 
Yum! Brands, Inc.   47,100    5,989,236 
         17,169,066 
Semiconductors — 0.9%
Broadcom, Inc.   6,300    3,744,027 
Software — 9.2%
Adobe Systems, Inc.*   25,700    8,325,515 
ANSYS, Inc.*   3,100    941,191 
Electronic Arts, Inc.   58,700    6,512,178 
Fiserv, Inc.*   38,100    4,384,929 
Intuit, Inc.   10,000    4,071,800 
Microsoft Corp.   40,900    10,201,278 
Roper Technologies, Inc.   5,700    2,452,140 
         36,889,031 
Telecommunications — 2.6%
Arista Networks, Inc.*   6,200    859,940 
AT&T, Inc.   52,100    985,211 
Cisco Systems, Inc.   175,400    8,492,868 
         10,338,019 
Transportation — 0.2%
Expeditors International of Washington, Inc.   7,300    763,288 
Water — 0.9%
American Water Works Co., Inc.   26,100    3,663,918 
           
TOTAL COMMON STOCKS          
(Cost $349,950,288)        395,217,678 

 

 

 

The accompanying notes are an integral part of the financial statements.
16

 

 

SGI U.S. LARGE CAP EQUITY FUND

 

Portfolio of Investments (CONCLUDED)

February 28, 2023 (Unaudited)

 

   

Number
of Shares

   

Value

 

SHORT-TERM INVESTMENTS — 1.2%

       

U.S. Bank Money Market Deposit Account, 4.25% (a)

    4,604,757     $ 4,604,757  

TOTAL SHORT-TERM INVESTMENTS

               

(Cost $4,604,757)

            4,604,757  

TOTAL INVESTMENTS — 100.0%

       

(Cost $354,556,045)

            399,822,435  

OTHER ASSETS IN EXCESS OF LIABILITIES — 0.0%

            19,414  

NET ASSETS — 100.0%

          $ 399,841,849  

 

 

*

Non-income producing security.

 

(a)

The rate shown is as of February 28, 2023.

 

PLC Public Limited Company

 

REIT Real Estate Investment Trust

 

The accompanying notes are an integral part of the financial statements.
17

 

 

SGI U.S. SMALL CAP EQUITY FUND

 

Portfolio Holdings Summary Table

February 28, 2023 (Unaudited)

 

The following table presents a summary by sector of the portfolio holdings of the Fund:

 

   

% of Net
Assets

   

Value

 

COMMON STOCKS:

               

Banks

    11.7 %   $ 4,328,858  

Food

    9.9       3,641,233  

Pharmaceuticals

    8.4       3,113,300  

Diversified Financial Services

    7.8       2,886,958  

Commercial Services

    6.5       2,406,801  

Transportation

    6.2       2,278,027  

Retail

    4.6       1,715,078  

Chemicals

    4.3       1,586,908  

Water

    4.1       1,516,286  

Software

    3.9       1,449,168  

Electric

    3.4       1,271,464  

REITS

    3.1       1,154,270  

Packaging & Containers

    2.5       935,835  

Building Materials

    2.4       887,813  

Computers

    2.3       839,001  

Distribution/Wholesale

    2.0       728,823  

Machinery-Diversified

    1.9       710,541  

Healthcare-Products

    1.8       676,596  

Electronics

    1.7       640,909  

Oil & Gas

    1.6       572,775  

Insurance

    1.5       565,293  

Savings & Loans

    1.3       463,323  

Engineering & Construction

    1.2       436,663  

Pipelines

    1.2       431,720  

Environmental Control

    0.8       309,428  

Real Estate

    0.8       300,486  

Gas

    0.6       231,101  

Miscellaneous Manufacturing

    0.6       205,674  

Auto Parts & Equipment

    0.5       193,330  

Healthcare-Services

    0.5       167,160  

Biotechnology

    0.3       115,424  

SHORT-TERM INVESTMENTS

    1.0       356,602  

LIABILITIES IN EXCESS OF OTHER ASSETS

    (0.4 )     (130,710 )

NET ASSETS

    100 %   $ 36,986,138  

 

 

Portfolio holdings are subject to change at any time.

 

The accompanying notes are an integral part of the financial statements.
18

 

 

SGI U.S. SMALL CAP EQUITY FUND

 

Portfolio of Investments

February 28, 2023 (Unaudited)

 

   Number
of Shares
   Value 
COMMON STOCKS — 99.4%
Auto Parts & Equipment — 0.5%
Standard Motor Products, Inc.   4,961   $193,330 
Banks — 11.7%
Bank of Marin Bancorp   2,000    58,000 
Bankwell Financial Group, Inc.   2,900    87,522 
BayCom Corp.   3,500    71,855 
BCB Bancorp, Inc.   6,600    114,510 
City Holding Co.   2,300    225,860 
CrossFirst Bankshares, Inc.*   10,900    154,235 
Enterprise Financial Services Corp.   3,400    185,164 
Equity Bancshares, Inc., Class A   6,625    199,147 
Esquire Financial Holdings, Inc.   4,100    188,559 
Farmers National Banc Corp.   8,700    123,975 
First Bancshares, Inc., (The)   6,900    216,039 
First Financial Corp.   9,504    417,701 
Great Southern Bancorp, Inc.   4,500    261,855 
HarborOne Bancorp, Inc.   11,000    150,370 
Independent Bank Corp.   5,300    116,865 
Merchants Bancorp   6,875    207,969 
Old Second Bancorp, Inc.   18,600    308,388 
Origin Bancorp, Inc.   7,500    284,325 
Peapack-Gladstone Financial Corp.   6,135    227,915 
Stellar Bancorp, Inc.   200    5,850 
Unity Bancorp, Inc.   4,200    110,922 
Westamerica BanCorp   11,100    611,832 
         4,328,858 
Biotechnology — 0.3%
Ligand Pharmaceuticals, Inc.*   1,600    115,424 
Building Materials — 2.4%
Apogee Enterprises, Inc.   5,000    228,800 
Eagle Materials, Inc.   3,000    420,960 
Griffon Corp.   3,800    138,586 
Louisiana-Pacific Corp.   1,700    99,467 
         887,813 
Chemicals — 4.3%
AdvanSix, Inc.   3,400    139,910 
American Vanguard Corp.   16,448    343,270 
Balchem Corp.   5,450    708,500 
Hawkins, Inc.   7,600    309,092 
Koppers Holdings, Inc.   2,400    86,136 
         1,586,908 
Commercial Services — 6.5%
Barrett Business Services Inc.   1,900   $182,362 
CorVel Corp.*   3,275    590,417 
Forrester Research, Inc.*   5,400    177,606 
Franklin Covey Co.*   7,900    370,273 
Grand Canyon Education, Inc.*   2,500    283,225 
ICF International, Inc.   5,950    591,965 
Insperity, Inc.   1,700    210,953 
         2,406,801 
Computers — 2.3%
ExlService Holdings, Inc.*   5,100    839,001 
Distribution/Wholesale — 2.0%
Titan Machinery, Inc.*   10,625    486,519 
Veritiv Corp.   1,600    242,304 
         728,823 
Diversified Financial Services — 7.8%
AssetMark Financial Holdings, Inc.*   8,600    269,180 
First Western Financial, Inc.*   2,600    67,262 
Houlihan Lokey, Inc.   7,875    753,638 
International Money Express, Inc.*   22,728    580,700 
Nelnet, Inc., Class A   2,200    206,514 
PJT Partners, Inc., Class A   12,800    1,009,664 
         2,886,958 
Electric — 3.4%
Avangrid, Inc.   5,400    210,762 
Clearway Energy, Inc., Class C   11,700    367,497 
Hawaiian Electric Industries, Inc.   8,900    360,005 
PNM Resources, Inc.   6,800    333,200 
         1,271,464 
Electronics — 1.7%
OSI Systems, Inc.*   6,925    640,909 
Engineering & Construction — 1.2%
NV5 Global, Inc.*   4,150    436,663 
Environmental Control — 0.8%
Heritage-Crystal Clean, Inc.*   8,600    309,428 
Food — 9.9%
Ingles Markets, Inc., Class A   4,200    375,480 
John B Sanfilippo & Son, Inc.   5,200    466,804 
Lancaster Colony Corp.   2,200    422,356 
SpartanNash Co.   7,700    206,052 
Sprouts Farmers Market, Inc.*   30,300    917,787 
Tootsie Roll Industries, Inc.   15,258    671,810 
Weis Markets, Inc.   7,600    580,944 
         3,641,233 
Gas — 0.6%
ONE Gas, Inc.   2,883    231,101 

 

 

The accompanying notes are an integral part of the financial statements.
19

 

 

SGI U.S. SMALL CAP EQUITY FUND

 

Portfolio of Investments (CONCLUDED)

February 28, 2023 (Unaudited)

 

   Number
of Shares
   Value 
Healthcare-Products — 1.8%
Atrion Corp.   300   $170,400 
UFP Technologies, Inc.*   4,300    506,196 
         676,596 
Healthcare-Services — 0.5%
National HealthCare Corp.   3,000    167,160 
Insurance — 1.5%
CNA Financial Corp.   5,000    218,900 
Hanover Insurance Group Inc., (The)   1,500    209,220 
Safety Insurance Group, Inc.   1,700    137,173 
         565,293 
Machinery-Diversified — 1.9%
Alamo Group, Inc.   2,925    533,491 
Tennant Co.   2,500    177,050 
         710,541 
Miscellaneous Manufacturing — 0.6%
Chase Corp.   2,100    205,674 
Oil & Gas — 1.6%
Chord Energy Corp.   2,375    319,723 
Kimbell Royalty Partners LP   16,400    253,052 
         572,775 
Packaging & Containers — 2.5%
Silgan Holdings, Inc.   17,525    935,835 
Pharmaceuticals — 8.4%
Amphastar Pharmaceuticals, Inc.*   14,400    458,784 
Anika Therapeutics, Inc.*   2,500    79,250 
Collegium Pharmaceutical, Inc.*   30,003    795,980 
Ironwood Pharmaceuticals Inc., Class A*   6,400    72,128 
Premier, Inc., Class A   13,500    434,565 
Prestige Brands Holdings, Inc.*   15,382    926,765 
Supernus Pharmaceuticals, Inc.*   9,200    345,828 
         3,113,300 
Pipelines — 1.2%
DT Midstream, Inc.   8,600    431,720 
Real Estate — 0.8%
McGrath RentCorp   1,800    185,112 
RMR Group Inc., Class A, (The)   4,100    115,374 
         300,486 
REITS — 3.1%
CareTrust REIT, Inc.   6,700    131,789 
Rexford Industrial Realty, Inc.   9,700    586,462 
Ryman Hospitality Properties, Inc.   4,700    436,019 
         1,154,270 
Retail — 4.6%
AutoNation, Inc.*   1,500   $204,765 
Murphy USA, Inc.   3,700    943,833 
PC Connection, Inc.   3,600    157,680 
Winmark Corp.   1,400    408,800 
         1,715,078 
Savings & Loans — 1.3%
Hingham Institution For Savings, (The)   225    64,057 
HomeTrust Bancshares, Inc.   7,000    204,890 
Southern Missouri Bancorp, Inc.   4,200    194,376 
         463,323 
Software — 3.9%
CSG Systems International, Inc.   10,700    601,340 
SPS Commerce, Inc.*   2,000    301,280 
Teradata Corp.*   5,800    236,408 
Verra Mobility Corp.*   18,000    310,140 
         1,449,168 
Transportation — 6.2%
Heartland Express, Inc.   26,440    426,477 
Landstar System, Inc.   5,200    940,108 
Werner Enterprises, Inc.   19,622    911,442 
         2,278,027 
Water — 4.1%
American States Water Co.   9,900    884,070 
California Water Service Group   11,045    632,216 
         1,516,286 
TOTAL COMMON STOCKS          
(Cost $32,715,568)        36,760,246 
           
SHORT-TERM INVESTMENTS — 1.0%

U.S. Bank Money Market Deposit Account, 4.25% (a)

   356,602    356,602 
TOTAL SHORT-TERM INVESTMENTS          
(Cost $356,602)        356,602 
TOTAL INVESTMENTS — 100.4%          
(Cost $33,072,170)        37,116,848 
LIABILITIES IN EXCESS OF OTHER ASSETS — (0.4)%        (130,710)
NET ASSETS — 100.0%       $36,986,138 

 

 

*

Non-income producing security.

 

(a)

The rate shown is as of February 28, 2023.

 

REIT Real Estate Investment Trust

 

The accompanying notes are an integral part of the financial statements.
20

 

 

SGI GLOBAL EQUITY FUND

 

Portfolio Holdings Summary Table

February 28, 2023 (Unaudited)

 

The following table presents a summary by sector of the portfolio holdings of the Fund:

 

   

% of Net
Assets

   

Value

 

COMMON STOCKS:

               

Telecommunications

    11.3 %   $ 14,713,800  

Banks

    11.3       14,665,318  

Pharmaceuticals

    8.8       11,459,150  

Food

    8.0       10,419,767  

Diversified Financial Services

    7.0       9,027,678  

Biotechnology

    6.3       8,183,607  

Auto Manufacturers

    3.9       5,008,016  

Semiconductors

    3.7       4,736,608  

Electronics

    3.6       4,661,175  

Insurance

    3.6       4,658,581  

Software

    3.3       4,336,730  

Media

    3.0       3,937,689  

Computers

    2.7       3,501,153  

Internet

    2.6       3,314,010  

Oil & Gas

    2.3       3,008,904  

Electric

    2.2       2,896,524  

Home Furnishings

    2.0       2,567,136  

Mining

    1.8       2,383,536  

REITS

    1.8       2,296,174  

Healthcare-Products

    1.7       2,146,980  

Commercial Services

    1.4       1,810,125  

Machinery-Diversified

    1.4       1,801,086  

Retail

    1.3       1,710,721  

Chemicals

    1.2       1,504,839  

Beverages

    1.0       1,255,916  

Building Materials

    0.5       689,920  

Office/Business Equipment

    0.4       542,890  

Auto Parts & Equipment

    0.2       242,675  

SHORT-TERM INVESTMENTS

    1.7       2,213,673  

LIABILITIES IN EXCESS OF OTHER ASSETS

    0.0       (17,245 )

NET ASSETS

    100 %   $ 129,677,136  

 

 

Portfolio holdings are subject to change at any time.

 

The accompanying notes are an integral part of the financial statements.
21

 

 

SGI GLOBAL EQUITY FUND

 

Portfolio of Investments

February 28, 2023 (Unaudited)

 

   Number
of Shares
   Value 
COMMON STOCKS — 98.3%
Auto Manufacturers — 3.9%
Honda Motor Co., Ltd., (Japan) SP ADR   124,800   $3,241,056 
Toyota Motor Corp., (Japan) SP ADR   13,000    1,766,960 
         5,008,016 
Auto Parts & Equipment — 0.2%
Gentex Corp.   8,500    242,675 
Banks — 11.3%
Bank of Montreal, (Canada)   17,900    1,696,204 
Bank of Nova Scotia, (The), (Canada)   30,400    1,504,192 
Credicorp Ltd., (Bermuda)   20,700    2,637,594 
HSBC Holdings PLC, (United Kingdom) SP ADR   95,900    3,673,929 
Royal Bank of Canada, (Canada)   48,100    4,881,188 
Shinhan Financial Group Co., Ltd., (South Korea) ADR*   9,300    272,211 
         14,665,318 
Beverages — 1.0%
Coca-Cola Co., (The)   3,900    232,089 
PepsiCo, Inc.   5,900    1,023,827 
         1,255,916 
Biotechnology — 6.3%
Incyte Corp.*   55,400    4,264,692 
Vertex Pharmaceuticals, Inc.*   13,500    3,918,915 
         8,183,607 
Building Materials — 0.5%
Johnson Controls International PLC, (Ireland)   11,000    689,920 
Chemicals — 1.2%
Air Products & Chemicals, Inc.   4,300    1,229,714 
Sociedad Quimica y Minera de Chile SA, (Chile) SP ADR   3,100    275,125 
         1,504,839 
Commercial Services — 1.4%
FTI Consulting, Inc.*   1,500    275,565 
H&R Block, Inc.   41,700    1,534,560 
         1,810,125 
Computers — 2.7%
Check Point Software Technologies Ltd., (Israel)*   17,000    2,103,240 
Cognizant Technology Solutions Corp., Class A   14,300    895,609 
Pure Storage, Inc., Class A*   17,600    502,304 
         3,501,153 
Diversified Financial Services — 7.0%
Houlihan Lokey, Inc.   42,700   $4,086,390 
LPL Financial Holdings, Inc.   19,800    4,941,288 
         9,027,678 
Electric — 2.2%
Fortis, Inc., (Canada)   73,200    2,896,524 
Electronics — 3.6%
Garmin Ltd., (Switzerland)   47,500    4,661,175 
Food — 8.0%
Campbell Soup Co.   5,100    267,852 
ConAgra Foods, Inc.   7,200    262,152 
Flowers Foods, Inc.   8,600    239,768 
General Mills, Inc.   30,700    2,440,957 
Hormel Foods Corp.   32,700    1,451,226 
Kellogg Co.   44,100    2,907,954 
Kraft Heinz Co., (The)   16,000    623,040 
Lamb Weston Holdings, Inc.   10,100    1,016,464 
Lancaster Colony Corp.   4,700    902,306 
Tyson Foods, Inc., Class A   5,200    308,048 
         10,419,767 
Healthcare-Products — 1.7%
Medtronic PLC, (Ireland)   23,100    1,912,680 
ResMed, Inc.   1,100    234,300 
         2,146,980 
Home Furnishings — 2.0%
Dolby Laboratories, Inc., Class A   31,200    2,567,136 
Insurance — 3.6%
Chubb Ltd., (Switzerland)   4,020    848,300 
Erie Indemnity Co., Class A   2,100    494,319 
Everest Re Group, Ltd., (Bermuda)   1,200    460,764 
Hanover Insurance Group Inc., (The)   1,900    265,012 
Kinsale Capital Group, Inc.   900    286,830 
Markel Corp.*   200    265,972 
Old Republic International Corp.   67,400    1,777,338 
Reinsurance Group of America, Inc.   1,800    260,046 
         4,658,581 
Internet — 2.6%
Alphabet, Inc., Class C*   36,700    3,314,010 
Machinery-Diversified — 1.4%
Graco, Inc.   25,900    1,801,086 
Media — 3.0%
Comcast Corp., Class A   6,300    234,171 
Thomson Reuters Corp., (Canada)   30,600    3,703,518 
         3,937,689 

 

 

The accompanying notes are an integral part of the financial statements.
22

 

 

SGI GLOBAL EQUITY FUND

 

Portfolio of Investments (CONCLUDED)

February 28, 2023 (Unaudited)

 

   Number
of Shares
   Value 
Mining — 1.8%
Franco-Nevada Corp., (Canada)   1,900   $242,383 
Newmont Corp.   27,800    1,212,358 
Wheaton Precious Metals Corp., (Canada)   22,300    928,795 
         2,383,536 
Office/Business Equipment — 0.4%
Canon, Inc., (Japan) SP ADR   25,286    542,890 
Oil & Gas — 2.3%
Exxon Mobil Corp.   16,700    1,835,497 
HF Sinclair Corp.   7,100    353,012 
Shell PLC, (United Kingdom) ADR   13,500    820,395 
         3,008,904 
Pharmaceuticals — 8.8%
Bristol-Myers Squibb Co.   16,300    1,124,048 
CVS Health Corp.   5,900    492,886 
Dr Reddy’s Laboratories Ltd., (India) ADR   17,200    898,700 
Merck & Co., Inc.   14,600    1,551,104 
Neurocrine Biosciences, Inc.*   27,000    2,783,700 
Novartis AG, (Switzerland) SP ADR   27,300    2,296,476 
Novo Nordisk, (Denmark) SP ADR   16,400    2,312,236 
         11,459,150 
REITS — 1.8%
American Homes 4 Rent, Class A   42,300    1,312,146 
Sun Communities, Inc.   1,800    257,652 
Welltower, Inc.   9,800    726,376 
         2,296,174 
Retail — 1.3%
Costco Wholesale Corp.   1,900    919,942 
Murphy USA, Inc.   3,100    790,779 
         1,710,721 
Semiconductors — 3.7%
Taiwan Semiconductor Manufacturing Co., Ltd., (Taiwan) SP ADR   54,400    4,736,608 
Software — 3.3%
Electronic Arts, Inc.   2,100    232,974 
Microsoft Corp.   15,300    3,816,126 
SS&C Technologies Holdings, Inc.   4,900    287,630 
         4,336,730 
Telecommunications — 11.3%
America Movil SAB de CV, Class L, (Mexico) SP ADR   22,900   $471,282 
AT&T, Inc.   33,300    629,703 
Chunghwa Telecom Co., Ltd., (Taiwan) SP ADR   31,000    1,159,710 
Cisco Systems, Inc.   8,300    401,886 
KT Corp., (South Korea) SP ADR*   95,900    1,109,563 
Nice Ltd., (Isreal) SP ADR*   7,000    1,451,870 
Orange SA, (France) SP ADR   63,300    726,684 
Rogers Communications, Inc., Class B (Canada)   5,500    262,790 
T-Mobile US, Inc.*   33,400    4,748,812 
Verizon Communications, Inc.   63,600    2,468,316 
Vodafone Group PLC, (United Kingdom) SP ADR   107,200    1,283,184 
         14,713,800 
TOTAL COMMON STOCKS          
(Cost $123,774,923)        127,480,708 
           
SHORT-TERM INVESTMENTS — 1.7%

U.S. Bank Money Market Deposit Account, 4.25% (a)

   2,213,673    2,213,673 
TOTAL SHORT-TERM INVESTMENTS          
(Cost $2,213,673)        2,213,673 
TOTAL INVESTMENTS — 100.0%          
(Cost $125,988,596)        129,694,381 
LIABILITIES IN EXCESS OF OTHER ASSETS — 0.0%        (17,245)
NET ASSETS — 100.0%       $129,677,136 

 

 

*

Non-income producing security.

 

(a)

The rate shown is as of February 28, 2023.

 

ADR American Depositary Receipt

 

PLC Public Limited Company

 

REIT Real Estate Investment Trust

 

SP ADR Sponsored ADR

 

The accompanying notes are an integral part of the financial statements.
23

 

 

SGI PRUDENT GROWTH FUND

 

Portfolio Holdings Summary Table

February 28, 2023 (Unaudited)

 

The following table presents a summary by sector of the portfolio holdings of the Fund:

 

   

% of Net
Assets

   

Value

 

EXCHANGE-TRADED FUNDS

    46.3 %   $ 8,447,228  

MUTUAL FUNDS

    48.0       8,750,010  

SHORT-TERM INVESTMENTS

    5.7       1,043,209  

OTHER ASSETS IN EXCESS OF LIABILITIES

    0.0       45  

NET ASSETS

    100 %   $ 18,240,492  

 

 

Portfolio holdings are subject to change at any time.

 

The accompanying notes are an integral part of the financial statements.
24

 

 

SGI PRUDENT GROWTH FUND

 

Portfolio of Investments

February 28, 2023 (Unaudited)

 

   Number
of Shares
   Value 
EXCHANGE-TRADED FUNDS — 46.3%
Exchange-Traded Funds — 46.3%
Invesco Optimum Yield Diversified Commodity Strategy No K-1 ETF   11,516   $163,873 
Invesco QQQ Trust Series 1   1,298    381,041 
iShares 5-10 Year Investment Grade Corporate Bond ETF   2,094    104,428 
iShares Core MSCI EAFE ETF   1,515    98,520 
iShares Core S&P Small-Cap ETF   3,752    384,167 
iShares Core U.S. Aggregate Bond ETF   33,960    3,304,648 
iShares Edge MSCI Min Vol USA ETF   4,562    322,260 
iShares MSCI USA Small-Cap Min Vol Factor ETF   5,503    196,732 
PGIM Ultra Short Bond ETF   23,360    1,155,619 
Schwab US Dividend Equity ETF   1,724    128,524 
SPDR Portfolio Long Term Treasury ETF   3,191    94,230 
SPDR Portfolio S&P 500 ETF   8,741    407,331 
Vanguard S&P 500 ETF   4,685    1,705,855 
         8,447,228 
TOTAL EXCHANGE-TRADED FUNDS          
(Cost $8,622,910)        8,447,228 
MUTUAL FUNDS — 48.0%
Mutual Funds — 48.0%

SGI Global Equity Fund, Class I (a)

   125,691   $4,127,698 

SGI Small Cap Core Fund, Class I (a)

   63,304    1,722,495 

SGI US Large Cap Equity Fund, Class I (a)

   125,063    2,173,590 

SGI US Small Cap Equity Fund, Class I (a)

   62,877    726,227 
         8,750,010 
TOTAL MUTUAL FUNDS          
(Cost $9,067,984)        8,750,010 
           
SHORT-TERM INVESTMENTS — 5.7%

U.S. Bank Money Market Deposit Account, 4.25% (b)

   1,043,209    1,043,209 
TOTAL SHORT-TERM INVESTMENTS          
(Cost $1,043,209)        1,043,209 
TOTAL INVESTMENTS — 100.0%          
(Cost $18,734,103)        18,240,447 
OTHER ASSETS IN EXCESS OF LIABILITIES — 0.0%        45 
NET ASSETS — 100.0%       $18,240,492 

 

 

(a)

Affiliated company. See Note 7.

 

(b)

The rate shown is as of February 28, 2023.

 

ETF Exchange-Traded Funds

 

The accompanying notes are an integral part of the financial statements.
25

 

 

SGI PEAK GROWTH FUND

 

Portfolio Holdings Summary Table

February 28, 2023 (Unaudited)

 

The following table presents a summary by sector of the portfolio holdings of the Fund:

 

   

% of Net
Assets

   

Value

 

EXCHANGE-TRADED FUNDS

    22.7 %   $ 3,330,438  

MUTUAL FUNDS

    74.2       10,894,732  

SHORT-TERM INVESTMENTS

    3.1       455,257  

OTHER ASSETS IN EXCESS OF LIABILITIES

    0.0       799  

NET ASSETS

    100 %   $ 14,681,226  

 

 

Portfolio holdings are subject to change at any time.

 

The accompanying notes are an integral part of the financial statements.
26

 

 

SGI PEAK GROWTH FUND

 

Portfolio of Investments

February 28, 2023 (Unaudited)

 

   Number
of Shares
   Value 
EXCHANGE-TRADED FUNDS — 22.7%
Exchange-Traded Funds — 22.7%
Invesco Optimum Yield Diversified Commodity Strategy No K-1 ETF   5,084   $72,345 
Invesco QQQ Trust Series 1   573    168,210 
iShares 5-10 Year Investment Grade Corporate Bond ETF   925    46,130 
iShares Core MSCI EAFE ETF   7,380    479,921 
iShares Core MSCI Emerging Markets ETF   7,440    352,284 
iShares Core S&P Small-Cap ETF   1,657    169,660 
iShares Core U.S. Aggregate Bond ETF   1,761    171,363 
iShares Edge MSCI Min Vol USA ETF   2,014    142,269 
iShares MSCI USA Small-Cap Min Vol Factor ETF   2,430    86,872 
PGIM Ultra Short Bond ETF   4,517    223,456 
Schwab US Dividend Equity ETF   761    56,733 
SPDR Portfolio Long Term Treasury ETF   1,409    41,608 
SPDR Portfolio S&P 500 ETF   3,861    179,923 
Vanguard S&P 500 ETF   3,130    1,139,664 
         3,330,438 
TOTAL EXCHANGE-TRADED FUNDS          
(Cost $3,316,597)        3,330,438 
MUTUAL FUNDS — 74.2%
Mutual Funds — 74.2%

SGI Global Equity Fund, Class I (a)

   131,798   $4,328,236 

SGI Small Cap Core Fund, Class I (a)

   114,222    3,107,987 

SGI US Large Cap Equity Fund, Class I (a)

   149,167    2,592,524 

SGI US Small Cap Equity Fund, Class I (a)

   74,977    865,985 
         10,894,732 
TOTAL MUTUAL FUNDS          
(Cost $11,089,673)        10,894,732 
           
SHORT-TERM INVESTMENTS — 3.1%

U.S. Bank Money Market Deposit Account, 4.25% (b)

   455,257    455,257 
TOTAL SHORT-TERM INVESTMENTS          
(Cost $455,257)        455,257 
TOTAL INVESTMENTS — 100.0%          
(Cost $14,861,527)        14,680,427 
OTHER ASSETS IN EXCESS OF LIABILITIES — 0.0%        799 
NET ASSETS — 100.0%       $14,681,226 

 

 

(a)

Affiliated company. See Note 7.

 

(b)

The rate shown is as of February 28, 2023.

 

ETF Exchange-Traded Funds

 

The accompanying notes are an integral part of the financial statements.
27

 

 

SGI SMALL CAP CORE FUND

 

Portfolio Holdings Summary Table

February 28, 2023 (Unaudited)

 

The following table presents a summary by sector of the portfolio holdings of the Fund:

 

   

% of Net
Assets

   

Value

 

COMMON STOCKS:

               

Commercial Services

    7.2 %   $ 7,035,854  

Banks

    6.7       6,501,603  

Retail

    6.4       6,172,844  

Software

    6.0       5,824,568  

Building Materials

    5.8       5,660,074  

Diversified Financial Services

    5.7       5,542,206  

Transportation

    4.7       4,536,944  

Home Builders

    4.2       4,113,229  

Chemicals

    3.8       3,703,650  

Distribution/Wholesale

    3.5       3,408,395  

REITS

    3.2       3,068,522  

Oil & Gas

    2.7       2,646,613  

Oil & Gas Services

    2.6       2,534,109  

Insurance

    2.4       2,367,038  

Engineering & Construction

    2.4       2,313,927  

Food

    2.4       2,300,623  

Metal Fabricate/Hardware

    2.4       2,297,951  

Pharmaceuticals

    2.2       2,124,667  

Electric

    2.2       2,115,816  

Semiconductors

    2.1       2,063,010  

Telecommunications

    1.9       1,873,787  

Healthcare-Products

    1.7       1,643,020  

Savings & Loans

    1.3       1,290,996  

Cosmetics/Personal Care

    1.1       1,082,790  

Leisure Time

    1.1       1,080,640  

Healthcare-Services

    1.0       955,348  

Coal

    1.0       939,344  

Agriculture

    1.0       928,570  

Entertainment

    0.9       917,320  

Electronics

    0.9       885,098  

Hand/Machine Tools

    0.9       841,016  

Computers

    0.8       769,110  

Pipelines

    0.8       753,390  

Machinery-Construction & Mining

    0.7       698,678  

Iron/Steel

    0.7       686,286  

Electrical Components & Equipment

    0.7       644,088  

Auto Parts & Equipment

    0.6       628,646  

Apparel

    0.6       609,070  

Real Estate

    0.4       412,440  

Biotechnology

    0.4       375,128  

Miscellaneous Manufacturing

    0.4       372,172  

Machinery-Diversified

    0.4       346,127  

 

The accompanying notes are an integral part of the financial statements.
28

 

 

SGI SMALL CAP CORE FUND

 

Portfolio Holdings Summary Table (CONCLUDED)

February 28, 2023 (Unaudited)

 

   

% of Net
Assets

   

Value

 

Water

    0.3 %   $ 285,760  

Internet

    0.3       265,433  

Packaging & Containers

    0.3       256,320  

SHORT-TERM INVESTMENTS

    1.2       1,193,211  

LIABILITIES IN EXCESS OF OTHER ASSETS

    0.0       (37,506 )

NET ASSETS

    100 %   $ 97,027,925  

 

 

Portfolio holdings are subject to change at any time.

 

The accompanying notes are an integral part of the financial statements.
29

 

 

SGI SMALL CAP CORE FUND

 

Portfolio of Investments

February 28, 2023 (Unaudited)

 

   Number
of Shares
   Value 
COMMON STOCKS — 98.8%        
Agriculture — 1.0%        
Andersons Inc., (The)   20,350   $928,570 
Apparel — 0.6%          
Urban Outfitters, Inc.*   22,600    609,070 
Auto Parts & Equipment — 0.6%          
Allison Transmission Holdings, Inc.   10,100    479,750 
Dana, Inc.   9,400    148,896 
         628,646 
Banks — 6.7%          
BCB Bancorp, Inc.   10,100    175,235 
Capital Bancorp, Inc.   8,200    166,542 
Carter Bankshares, Inc.*   10,800    187,596 
Civista Bancshares, Inc.   9,100    194,103 
Coastal Financial Corp.*   10,900    503,035 
ConnectOne Bancorp, Inc.   15,600    378,300 
Customers Bancorp, Inc.*   10,400    320,320 
First Bancorp Southern Pines   18,000    746,820 
HarborOne Bancorp, Inc.   12,600    172,242 
Independent Bank Corp.   5,600    123,480 
Merchants Bancorp   17,100    517,275 
Metropolitan Bank Holding Corp.*   12,100    675,301 
Peapack-Gladstone Financial Corp.   13,300    494,095 
Peoples Financial Services Corp.   900    44,595 
QCR Holdings, Inc.   6,500    347,685 
Red River Bancshares, Inc.   2,800    141,708 
SmartFinancial, Inc.   5,800    158,340 
South Plains Financial, Inc.   11,800    310,222 
Southern First Bancshares, Inc.*   2,400    96,600 
TriCo Bancshares   8,700    439,437 
Westamerica BanCorp   5,600    308,672 
         6,501,603 
Biotechnology — 0.4%          
Ligand Pharmaceuticals, Inc.*   5,200    375,128 
Building Materials — 5.8%          
Apogee Enterprises, Inc.   13,000    594,880 
Boise Cascade Co.   2,300    158,953 
Eagle Materials, Inc.   4,200    589,344 
Griffon Corp.   21,500    784,105 
Louisiana-Pacific Corp.   15,400    901,054 
PGT Innovations, Inc.*   44,250    935,888 
Simpson Manufacturing Co., Inc.   7,000    755,020 
UFP Industries, Inc.   11,000    940,830 
         5,660,074 
Chemicals — 3.8%          
AdvanSix, Inc.   23,000   $946,450 
Avient Corp.   7,000    305,410 
AZZ, Inc.   16,300    662,595 
Chemours Co., (The)   3,900    133,302 
Ecovyst, Inc.*   30,400    305,216 
Ingevity Corp.*   5,600    462,336 
Koppers Holdings, Inc.   10,900    391,201 
Livent Corp.*   21,200    497,140 
         3,703,650 
Coal — 1.0%          
Alpha Metallurgical Resources, Inc.   5,600    939,344 
Commercial Services — 7.2%          
ABM Industries, Inc.   1,000    48,410 
AMN Healthcare Services, Inc.*   8,100    729,081 
ASGN, Inc.*   7,100    630,480 
Avis Budget Group, Inc.*   3,500    768,810 
CorVel Corp.*   4,900    883,372 
Franklin Covey Co.*   10,200    478,074 
Grand Canyon Education, Inc.*   1,600    181,264 
Herc Holdings, Inc.   6,300    904,617 
Information Services Group, Inc.   33,200    174,964 
Insperity, Inc.   6,800    843,812 
National Research Corp.   10,200    460,632 
Triton International Ltd., (Bermuda)   700    48,258 
WillScot Mobile Mini Holdings Corp.*   17,200    884,080 
         7,035,854 
Computers — 0.8%          
Mitek Systems, Inc.*   82,700    769,110 
Cosmetics/Personal Care — 1.1%          
Edgewell Personal Care Co.   1,200    51,240 
elf Beauty, Inc.*   13,800    1,031,550 
         1,082,790 
Distribution/Wholesale — 3.5%          
H&E Equipment Services, Inc.   19,500    1,082,250 
Titan Machinery, Inc.*   22,300    1,021,117 
Veritiv Corp.   4,900    742,056 
WESCO International, Inc.*   3,400    562,972 
         3,408,395 

 

 

The accompanying notes are an integral part of the financial statements.
30

 

 

SGI SMALL CAP CORE FUND

 

Portfolio of Investments (CONtinued)

February 28, 2023 (Unaudited)

 

   Number
of Shares
   Value 
Diversified Financial Services — 5.7%    
Air Lease Corp.   9,800   $424,144 
Amerant Bancorp, Inc.   10,400    295,360 
AssetMark Financial Holdings, Inc.*   31,900    998,470 
Brightsphere Investment Group, Inc.   26,800    671,876 
Enova International, Inc.*   19,600    955,500 
Evercore, Inc., Class A   3,200    419,776 
Nelnet, Inc., Class A   3,300    309,771 
PJT Partners, Inc., Class A   12,898    1,017,394 
Radian Group, Inc.   12,500    266,875 
StepStone Group, Inc., Class A   6,400    183,040 
         5,542,206 
Electric — 2.2%          
Clearway Energy, Inc.   30,100    945,441 
Hawaiian Electric Industries, Inc.   22,800    922,260 
Otter Tail Corp.   3,500    248,115 
         2,115,816 
Electrical Components & Equipment — 0.7%          
Insteel Industries, Inc.   21,650    644,088 
Electronics — 0.9%          
Avnet, Inc.   3,200    143,072 
Knowles Corp.*   43,700    742,026 
         885,098 
Engineering & Construction — 2.4%          
Comfort Systems USA, Inc.   7,700    1,119,888 
MYR Group, Inc.*   9,900    1,194,039 
         2,313,927 
Entertainment — 0.9%          
SeaWorld Entertainment, Inc.*   14,200    917,320 
Food — 2.4%          
Chefs’ Warehouse Inc., (The)*   26,300    856,065 
Hostess Brands, Inc.*   8,400    207,480 
Ingles Markets, Inc., Class A   7,500    670,500 
Tootsie Roll Industries, Inc.   12,868    566,578 
         2,300,623 
Hand/Machine Tools — 0.9%          
Franklin Electric Co., Inc.   8,800    841,016 
Healthcare-Products — 1.7%          
iRadimed Corp.   7,500    284,700 
Merit Medical Systems, Inc.*   6,000    423,480 
QuidelOrtho Corp.*   2,000    173,880 
Shockwave Medical, Inc.*   4,000    760,960 
         1,643,020 
Healthcare-Services — 1.0%          
National HealthCare Corp.   3,700   $206,164 
Tenet Healthcare Corp.*   12,800    749,184 
         955,348 
Home Builders — 4.2%          
Century Communities, Inc.   11,700    699,777 
Hovnanian Enterprises, Inc.*   9,300    633,423 
Meritage Homes Corp.   8,900    972,147 
Toll Brothers, Inc.   12,900    773,226 
Tri Pointe Homes, Inc.*   43,400    1,034,656 
         4,113,229 
Insurance — 2.4%          
CNO Financial Group, Inc.   7,000    179,340 
Jackson Financial, Inc., Class A   19,700    893,986 
Nmi Holdings, Inc., Class A*   42,700    996,618 
Primerica, Inc.   600    115,164 
Tiptree, Inc.   11,300    181,930 
         2,367,038 
Internet — 0.3%          
ePlus, Inc.*   4,900    265,433 
Iron/Steel — 0.7%          
Carpenter Technology Corp.   14,200    686,286 
Leisure Time — 1.1%          
MasterCraft Boat Holdings, Inc.*   32,000    1,080,640 
Machinery-Construction & Mining — 0.7%          
Terex Corp.   11,800    698,678 
Machinery-Diversified — 0.4%          
Lindsay Corp.   2,300    346,127 
Metal Fabricate/Hardware — 2.4%          
Mueller Industries, Inc.   13,100    969,007 
Olympic Steel, Inc.   14,500    761,250 
Ryerson Holding Corp.   15,800    567,694 
         2,297,951 
Miscellaneous Manufacturing — 0.4%          
Chase Corp.   3,800    372,172 
Oil & Gas — 2.7%          
Berry Corp.   37,800    356,454 
Delek US Holdings, Inc.   18,900    475,713 
Murphy Oil Corp.   22,000    858,440 
Northern Oil and Gas, Inc.   18,900    586,656 
Ranger Oil Corp., Class A   8,900    369,350 
         2,646,613 
Oil & Gas Services — 2.6%          
Liberty Energy, Inc.   69,400    1,058,350 
ProPetro Holding Corp.*   100,300    883,643 
Select Energy Services, Inc., Class A   79,800    592,116 
         2,534,109 

 

 

The accompanying notes are an integral part of the financial statements.
31

 

 

SGI SMALL CAP CORE FUND

 

Portfolio of Investments (CONtinued)

February 28, 2023 (Unaudited)

 

   Number
of Shares
   Value 
Packaging & Containers — 0.3%    
Silgan Holdings, Inc.   4,800   $256,320 
Pharmaceuticals — 2.2%          
Amphastar Pharmaceuticals, Inc.*   7,400    235,764 
Collegium Pharmaceutical, Inc.*   32,700    867,531 
PetIQ, Inc.*   34,600    322,472 
Prestige Brands Holdings, Inc.*   11,600    698,900 
         2,124,667 
Pipelines — 0.8%          
Golar LNG Ltd., (Bermuda)*   33,000    753,390 
Real Estate — 0.4%          
Marcus & Millichap, Inc.   12,000    412,440 
REITS — 3.2%          
Apple Hospitality REIT, Inc.   21,200    350,012 
Brandywine Realty Trust   53,300    313,937 
CareTrust REIT, Inc.   18,600    365,862 
Community Healthcare Trust, Inc.   8,800    340,912 
Ryman Hospitality Properties, Inc.   9,600    890,592 
Terreno Realty Corp.   4,800    298,608 
UMH Properties, Inc.   29,900    508,599 
         3,068,522 
Retail — 6.4%          
Arko Corp.   81,500    653,630 
GMS, Inc.*   16,300    989,573 
Group 1 Automotive, Inc.   4,400    972,708 
Haverty Furniture Cos., Inc.   14,600    551,004 
Macy’s, Inc.   26,200    536,052 
Noodles & Co.*   27,800    162,352 
Patrick Industries, Inc.   9,300    677,505 
Sportsman’s Warehouse Holdings, Inc.*   22,500    202,275 
Winmark Corp.   3,000    876,000 
World Fuel Services Corp.   20,100    551,745 
         6,172,844 
Savings & Loans — 1.3%          
Brookline Bancorp, Inc.   31,900    413,424 
Home Bancorp, Inc.   5,700    225,435 
HomeTrust Bancshares, Inc.   13,900    406,853 
Southern Missouri Bancorp, Inc.   5,300    245,284 
         1,290,996 
Semiconductors — 2.1%          
Allegro MicroSystems, Inc.*   23,300    1,017,744 
Diodes, Inc.*   11,400    1,045,266 
         2,063,010 
Software — 6.0%          
CSG Systems International, Inc.   2,900   $162,980 
Digi International, Inc.*   21,690    723,795 
DigitalOcean Holdings, Inc.*   25,200    805,896 
Doximity, Inc.*   5,100    171,513 
eGain Corp.*   33,200    259,292 
Evolent Health, Inc., Class A*   16,200    567,162 
Smartsheet, Inc.*   2,600    114,452 
Teradata Corp.*   25,200    1,027,152 
Verint Systems, Inc.*   4,900    183,162 
Verra Mobility Corp.*   56,600    975,218 
Zeta Global Holdings Corp., Class A*   78,600    833,946 
         5,824,568 
Telecommunications — 1.9%          
Aviat Networks, Inc.*   15,300    543,609 
Extreme Networks, Inc.*   44,700    836,784 
Viavi Solutions, Inc.*   45,100    493,394 
         1,873,787 
Transportation — 4.7%          
ArcBest Corp.   2,000    192,400 
Daseke, Inc.*   38,300    312,145 
Hub Group, Inc., Class A*   10,400    953,992 
Landstar System, Inc.   4,200    759,318 
Radiant Logistics, Inc.*   53,000    301,040 
Saia, Inc.*   2,000    541,740 
Schneider National, Inc., Class B   34,900    979,294 
Werner Enterprises, Inc.   10,700    497,015 
         4,536,944 
Water — 0.3%          
American States Water Co.   3,200    285,760 
           
TOTAL COMMON STOCKS          
(Cost $89,376,300)        95,872,220 

 

 

 

The accompanying notes are an integral part of the financial statements.
32

 

 

SGI SMALL CAP CORE FUND

 

Portfolio of Investments (CONCLUDED)

February 28, 2023 (Unaudited)

 

   Number
of Shares
   Value 
SHORT-TERM INVESTMENTS — 1.2%    

U.S. Bank Money Market Deposit Account, 4.25% (a)

   1,193,211   $1,193,211 
TOTAL SHORT-TERM INVESTMENTS          
(Cost $1,193,211)        1,193,211 
TOTAL INVESTMENTS — 100.0%          
(Cost $90,569,511)        97,065,431 
LIABILITIES IN EXCESS OF OTHER ASSETS — 0.0%        (37,506)
NET ASSETS — 100.0%       $97,027,925 
           

 

 

*

Non-income producing security.

 

(a)

The rate shown is as of February 28, 2023.

 

ETF Exchange-Traded Funds

 

REIT Real Estate Investment Trust

 

The accompanying notes are an integral part of the financial statements.
33

 

 

SUMMIT GLOBAL INVESTMENTS

 

Statements of Assets and Liabilities

February 28, 2023 (Unaudited)

 

   

SGI U.S.
Large Cap
Equity Fund

   

SGI U.S.
Small Cap
Equity Fund

   

SGI Global
Equity Fund

 

ASSETS

                       

Investments, at fair value:

                       

Unaffiliated investments (cost $349,950,288, $32,715,568, and $123,774,923, respectively)

  $ 395,217,678     $ 36,760,246     $ 127,480,708  

Affiliated mutual funds (cost $0, $0, and $0, respectively)(see Note 7)

                 

Short-term investments, at value (cost $4,604,757, $356,602, and $2,213,673, respectively)

    4,604,757       356,602       2,213,673  

Receivables for:

                       

Capital shares sold

    179,308       26,712       110,207  

Dividends

    785,651       39,413       174,138  

Prepaid expenses and other assets

    65,481       40,339       19,438  

Total assets

  $ 400,852,875     $ 37,223,312     $ 129,998,164  
                         

LIABILITIES

                       

Payables for:

                       

Capital shares redeemed

  $ 503,589     $ 167,529     $ 187,344  

Advisory fees

    233,252       20,680       55,950  

Due to custodian

    2,059       185       873  

Other accrued expenses and liabilities

    272,126       48,780       76,861  

Total liabilities

    1,011,026       237,174       321,028  

Net assets

  $ 399,841,849     $ 36,986,138     $ 129,677,136  
                         

NET ASSETS CONSIST OF:

                       

Par value

  $ 23,007     $ 3,208     $ 3,949  

Paid-in capital

    353,207,507       35,538,152       128,187,096  

Total distributable earnings/(loss)

    46,611,335       1,444,778       1,486,091  

Net assets

  $ 399,841,849     $ 36,986,138     $ 129,677,136  
                         

 

 

The accompanying notes are an integral part of the financial statements.
34

 

 

SUMMIT GLOBAL INVESTMENTS

 

Statements of Assets and Liabilities (Continued)

February 28, 2023 (Unaudited)

 

   

SGI U.S.
Large Cap
Equity Fund

   

SGI U.S.
Small Cap
Equity Fund

   

SGI Global
Equity Fund

 

CLASS I SHARES:

                       

Net assets applicable to Class I Shares

  $ 367,951,387     $ 29,589,925     $ 129,677,136  

Shares outstanding ($0.001 par value, 100,000,000 shares authorized)

    21,170,757       2,561,195       3,949,315  

Net asset value, offering and redemption price per share

  $ 17.38     $ 11.55     $ 32.84  
                         

CLASS A SHARES:

                       

Net assets applicable to Class A Shares

  $ 29,621,319     $ 7,157,758     $  

Shares outstanding ($0.001 par value, 100,000,000 shares authorized)

    1,700,185       624,799        

Net asset value and redemption price per share

  $ 17.42     $ 11.46     $  

Maximum offering price per share (100/94.75 of $17.42 and $11.46, respectively)

  $ 18.39     $ 12.09     $  
                         

CLASS C SHARES:

                       

Net assets applicable to Class C Shares

  $ 2,269,143     $ 238,455     $  

Shares outstanding ($0.001 par value, 100,000,000 shares authorized)

    135,808       21,608        

Net asset value, offering and redemption price per share

  $ 16.71     $ 11.04     $  

 

 

The accompanying notes are an integral part of the financial statements.
35

 

 

SUMMIT GLOBAL INVESTMENTS

 

Statements of Assets and Liabilities (Concluded)

February 28, 2023 (Unaudited)

 

   

SGI prudent
growth
Fund

   

SGI PEAK
GROWTH
FUND

   

SGI SMALL
CAP core
FUND

 

ASSETS

                       

Investments, at fair value:

                       

Unaffiliated investments (cost $8,622,910, $3,316,597, and $89,376,300, respectively)

  $ 8,447,228     $ 3,330,438     $ 95,872,220  

Affiliated mutual funds (cost $9,067,984, $11,089,673, and $0, respectively)(see Note 7)

    8,750,010       10,894,732        

Short-term investments, at value (cost $1,043,209, $455,257, and $1,193,211, respectively)

    1,043,209       455,257       1,193,211  

Receivables for:

                       

Capital shares sold

    27,442       32,783       42,938  

Dividends

    4,482       1,084       90,799  

Prepaid expenses and other assets

    10,274       11,460       21,331  

Total assets

  $ 18,282,645     $ 14,725,754     $ 97,220,499  
                         

LIABILITIES

                       

Payables for:

                       

Capital shares redeemed

  $     $     $ 44,525  

Advisory fees

    10,668       8,480       71,958  

Due to custodian

    356             353  

Other accrued expenses and liabilities

    31,129       36,048       75,738  

Total liabilities

    42,153       44,528       192,574  

Net assets

  $ 18,240,492     $ 14,681,226     $ 97,027,925  
                         

NET ASSETS CONSIST OF:

                       

Par value

  $ 1,836     $ 1,431     $ 3,566  

Paid-in capital

    19,021,581       15,352,364       102,379,130  

Total distributable earnings/(loss)

    (782,925 )     (672,569 )     (5,354,771 )

Net assets

  $ 18,240,492     $ 14,681,226     $ 97,027,925  
                         

CLASS I SHARES:

                       

Net assets applicable to Class I Shares

  $ 18,240,492     $ 14,681,226     $ 97,027,925  

Shares outstanding ($0.001 par value, 100,000,000 shares authorized)

    1,836,292       1,430,990       3,566,276  

Net asset value, offering and redemption price per share

  $ 9.93     $ 10.26     $ 27.21  

 

 

The accompanying notes are an integral part of the financial statements.
36

 

 

SUMMIT GLOBAL INVESTMENTS

 

Statements of Operations

FOR THE SIX MONTHS ENDED February 28, 2023 (Unaudited)

 

   

SGI U.S.
Large Cap
Equity Fund

   

SGI U.S.
Small Cap
Equity Fund

   

SGI Global
Equity Fund

 

INVESTMENT INCOME

                       

Dividends

                       

Dividends from unaffiliated investments

  $ 4,395,357     $ 288,831     $ 1,042,530 (1) 

Dividends from affiliated investments (see Note 7)

                 

Interest

    92,896       9,396       43,126  

Total investment income

    4,488,253       298,227       1,085,520  
                         

EXPENSES

                       

Advisory fees (Note 2)

    1,426,332       170,282       429,545  

Transfer agent fees (Note 2)

    250,822       21,972       75,712  

Administration and accounting fees (Note 2)

    95,309       15,861       33,123  

Officer fees

    55,779       4,112       13,805  

Director fees

    51,448       3,707       13,829  

Legal fees

    51,144       3,992       14,131  

Distribution fees - Class A Shares

    36,011       8,270        

Distribution fees - Class C Shares

    11,588       1,171        

Registration and filing fees

    28,564       21,945       12,328  

Printing and shareholder reporting fees

    25,136       4,198       9,115  

Audit and tax service fees

    18,385       17,341       16,122  

Custodian fees (Note 2)

    2,513       773       2,454  

Other expenses

    34,683       2,769       9,280  

Total expenses before waivers and/or reimbursements

    2,087,714       276,393       629,444  

(Waivers and/or reimbursements) net of amounts recouped (Note 2)

    (31,464 )     (46,479 )     (113,989 )

Net expenses after waivers and/or reimbursements net of amounts recouped

    2,056,250       229,914       515,455  

Net investment income/(loss)

    2,432,003       68,313       570,065  
                         

NET REALIZED AND UNREALIZED GAIN/(LOSS) FROM INVESTMENTS

                       

Net realized gain/(loss) from investments

                       

Unaffiliated investments

    4,480,347       (2,312,057 )     (1,623,553 )

Affiliated mutual funds (see Note 7)

                 

Distributions from unaffiliated investments

                 

Distributions from affiliated mutual funds (see Note 7)

                 

Net change in unrealized appreciation/ (depreciation) on investments

                       

Unaffiliated investments

    2,520,207       3,192,240       4,223,721  

Affiliated mutual funds (see Note 7)

                 

Net realized and unrealized gain/(loss) on investments

    7,000,554       880,183       2,600,168  

NET INCREASE/(DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS

  $ 9,432,557     $ 948,496     $ 3,170,233  

 

 

(1)

Net of foreign withholding taxes of $62,530.

 

The accompanying notes are an integral part of the financial statements.
37

 

 

SUMMIT GLOBAL INVESTMENTS

 

Statements of Operations (Concluded)

FOR THE SIX MONTHS ENDED February 28, 2023 (Unaudited)

 

   

SGI prudent
growth
Fund

   

SGI PEAK
GROWTH
FUND

   

SGI SMALL
CAP core
FUND

 

INVESTMENT INCOME

                       

Dividends

                       

Dividends from unaffiliated investments

  $ 115,077     $ 40,371     $ 571,122  

Dividends from affiliated investments (see Note 7)

    58,063       64,759        

Interest

    29,704       6,170       25,769  

Total investment income

    202,844       111,300       596,891  
                         

EXPENSES

                       

Advisory fees (Note 2)

    62,736       50,034       428,824  

Transfer agent fees (Note 2)

    6,824       6,733       27,754  

Administration and accounting fees (Note 2)

    9,489       9,551       29,612  

Officer fees

    913       928       10,289  

Director fees

    1,124       1,141       9,278  

Legal fees

    1,350       1,378       8,103  

Distribution fees - Class A Shares

                 

Distribution fees - Class C Shares

                 

Registration and filing fees

    10,821       11,829       14,919  

Printing and shareholder reporting fees

    1,677       1,936       10,073  

Audit and tax service fees

    15,966       15,966       14,190  

Custodian fees (Note 2)

    5             2,433  

Other expenses

    1,970       1,813       8,483  

Total expenses before waivers and/or reimbursements

    112,875       101,309       563,958  

(Waivers and/or reimbursements) net of amounts recouped (Note 2)

    17,720       7,713       (8,745 )

Net expenses after waivers and/or reimbursements net of amounts recouped

    130,595       109,022       555,213  

Net investment income/(loss)

    72,249       2,278       41,678  
                         

NET REALIZED AND UNREALIZED GAIN/(LOSS) FROM INVESTMENTS

                       

Net realized gain/(loss) from investments

                       

Unaffiliated investments

    (190,163 )     (38,776 )     (1,564,502 )

Affiliated mutual funds (see Note 7)

    (12,360 )     (14,550 )      

Distributions from unaffiliated investments

                 

Distributions from affiliated mutual funds (see Note 7)

    182,199       211,725        

Net change in unrealized appreciation/ (depreciation) on investments

                       

Unaffiliated investments

    157,599       89,474       8,223,111  

Affiliated mutual funds (see Note 7)

    56,006       132,967        

Net realized and unrealized gain/(loss) on investments

    193,281       380,840       6,658,609  

NET INCREASE/(DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS

  $ 265,530     $ 383,118     $ 6,700,287  

 

 

The accompanying notes are an integral part of the financial statements.
38

 

 

SGI U.S. LARGE CAP EQUITY FUND

 

Statements of Changes in Net Assets

 

   

FOR THE SIX
MONTHS ENDED
FEBRUARY 28, 2023
(UNAUDITED)

   

FOR THE
Year ENDED
AUGUST 31, 2022

 

INCREASE/(DECREASE) IN NET ASSETS FROM OPERATIONS:

               

Net investment income/(loss)

  $ 2,432,003     $ 4,060,570  

Net realized gain/(loss) from investments

             

Unaffiliated investments

    4,480,347       32,998,168  

Affiliated mutual funds (see Note 7)

           

Distributions from unaffiliated investments

           

Distributions from affiliated mutual funds (see Note 7)

           

Net change in unrealized appreciation/(depreciation) on investments

               

Unaffiliated investments

    2,520,207       (93,076,221 )

Affiliated mutual funds (see Note 7)

           

Net increase/(decrease) in net assets resulting from operations

    9,432,557       (56,017,483 )
                 

DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS:

               

Total distributable earnings

    (20,724,250 )     (74,965,550 )

Net decrease in net assets from dividends and distributions to shareholders

    (20,724,250 )     (74,965,550 )
                 

INCREASE/(DECREASE) IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS:

Class I Shares

               

Proceeds from shares sold

    25,588,950       144,457,973  

Reinvestment of distributions

    19,066,017       69,783,969  

Shares redeemed

    (57,751,220 )     (206,070,941 )

Total from Class I Shares

    (13,096,253 )     8,171,001  

Class A Shares

               

Proceeds from shares sold

    2,997,299       7,552,247  

Reinvestment of distributions

    1,381,238       4,175,944  

Shares redeemed

    (2,314,152 )     (5,400,063 )

Total from Class A Shares

    2,064,385       6,328,128  

Class C Shares

               

Proceeds from shares sold

    42,198       509,725  

Reinvestment of distributions

    96,321       407,056  

Shares redeemed

    (352,642 )     (552,201 )

Total from Class C Shares

    (214,123 )     364,580  

Net increase/(decrease) in net assets from capital share transactions

    (11,245,991 )     14,863,709  

Total increase/(decrease) in net assets

    (22,537,684 )     (116,119,324 )
                 

NET ASSETS:

               

Beginning of period

    422,379,533       538,498,857  

End of period

  $ 399,841,849     $ 422,379,533  

 

 

The accompanying notes are an integral part of the financial statements.
39

 

 

SGI U.S. LARGE CAP EQUITY FUND

 

Statements of Changes in Net Assets (Concluded)

 

   

FOR THE SIX
MONTHS ENDED
FEBRUARY 28, 2023
(UNAUDITED)

   

FOR THE
Year ENDED
AUGUST 31, 2022

 

SHARES TRANSACTIONS:

               

Class I Shares

               

Shares sold

    1,453,454       7,157,690  

Shares reinvested

    1,069,285       3,438,245  

Shares redeemed

    (3,282,340 )     (10,476,212 )

Total Class I Shares

    (759,601 )     119,723  

Class A Shares

               

Shares sold

    169,778       384,694  

Shares reinvested

    77,361       205,477  

Shares redeemed

    (129,339 )     (273,529 )

Total Class A Shares

    117,800       316,642  

Class C Shares

               

Shares sold

    2,462       27,067  

Shares reinvested

    5,649       20,811  

Shares redeemed

    (21,048 )     (28,539 )

Total Class C Shares

    (12,937 )     19,339  

Net increase/(decrease) in shares outstanding

    (654,738 )     455,704  

 

 

The accompanying notes are an integral part of the financial statements.
40

 

 

SGI U.S. SMALL CAP EQUITY FUND

 

Statements of Changes in Net Assets

 

   

FOR THE SIX
MONTHS ENDED
FEBRUARY 28, 2023
(UNAUDITED)

   

FOR THE
Year ENDED
AUGUST 31, 2022

 

INCREASE/(DECREASE) IN NET ASSETS FROM OPERATIONS:

               

Net investment income/(loss)

  $ 68,313     $ (48,407 )

Net realized gain/(loss) from investments

             

Unaffiliated investments

    (2,312,057 )     2,417,101  

Affiliated mutual funds (see Note 7)

           

Distributions from unaffiliated investments

           

Distributions from affiliated mutual funds (see Note 7)

           

Net change in unrealized appreciation/(depreciation) on investments

               

Unaffiliated investments

    3,192,240       (4,546,103 )

Affiliated mutual funds (see Note 7)

           

Net increase/(decrease) in net assets resulting from operations

    948,496       (2,177,409 )
                 

DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS:

               

Total distributable earnings

    (108,687 )      

Net decrease in net assets from dividends and distributions to shareholders

    (108,687 )      
                 

INCREASE/(DECREASE) IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS:

Class I Shares

               

Proceeds from shares sold

    3,885,553       12,569,490  

Reinvestment of distributions

    87,609        

Shares redeemed

    (4,233,060 )     (9,477,086 )

Total from Class I Shares.

    (259,898 )     3,092,404  

Class A Shares

               

Proceeds from shares sold

    1,257,774       2,241,080  

Reinvestment of distributions

    20,340        

Shares redeemed

    (396,757 )     (1,363,685 )

Total from Class A Shares

    881,357       877,395  

Class C Shares

               

Proceeds from shares sold

          165,617  

Reinvestment of distributions

    737        

Shares redeemed

    (4,970 )     (33,126 )

Total from Class C Shares

    (4,233 )     132,491  

Net increase/(decrease) in net assets from capital share transactions

    617,226       4,102,290  

Total increase/(decrease) in net assets

    1,457,035       1,924,881  
                 

NET ASSETS:

               

Beginning of period

    35,529,103       33,604,222  

End of period

  $ 36,986,138     $ 35,529,103  

 

 

The accompanying notes are an integral part of the financial statements.
41

 

 

SGI U.S. SMALL CAP EQUITY FUND

 

Statements of Changes in Net Assets (Concluded)

 

   

FOR THE SIX
MONTHS ENDED
FEBRUARY 28, 2023
(UNAUDITED)

   

FOR THE
Year ENDED
AUGUST 31, 2022

 

SHARES TRANSACTIONS:

               

Class I Shares

               

Shares sold

    341,488       1,059,075  

Shares reinvested

    7,559        

Shares redeemed

    (375,620 )     (815,874 )

Total Class I Shares

    (26,573 )     243,201  

Class A Shares

               

Shares sold

    112,156       193,899  

Shares reinvested

    1,769        

Shares redeemed

    (34,922 )     (118,388 )

Total Class A Shares

    79,003       75,511  

Class C Shares

               

Shares sold

          14,668  

Shares reinvested

    67        

Shares redeemed

    (476 )     (2,925 )

Total Class C Shares

    (409 )     11,743  

Net increase/(decrease) in shares outstanding

    52,021       330,455  

 

 

The accompanying notes are an integral part of the financial statements.
42

 

 

SGI GLOBAL EQUITY FUND

 

Statements of Changes in Net Assets

 

   

FOR THE SIX
MONTHS ENDED
FEBRUARY 28, 2023
(UNAUDITED)

   

FOR THE
Year ENDED
AUGUST 31, 2022

 

INCREASE/(DECREASE) IN NET ASSETS FROM OPERATIONS:

               

Net investment income/(loss)

  $ 570,065     $ 1,488,039  

Net realized gain/(loss) from investments

               

Unaffiliated investments

    (1,623,553 )     3,693,438  

Affiliated mutual funds (see Note 7)

           

Distributions from unaffiliated investments

           

Distributions from affiliated mutual funds (see Note 7)

           

Net change in unrealized appreciation/(depreciation) on investments

               

Unaffiliated investments

    4,223,721       (17,031,168 )

Affiliated mutual funds (see Note 7)

           

Net increase/(decrease) in net assets resulting from operations

    3,170,233       (11,849,691 )
                 

DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS:

               

Total distributable earnings

    (4,229,443 )     (5,564,301 )

Net decrease in net assets from dividends and distributions to shareholders

    (4,229,443 )     (5,564,301 )
                 

INCREASE/(DECREASE) IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS:

Class I Shares

               

Proceeds from shares sold

    16,624,845       44,280,649  

Reinvestment of distributions

    4,221,767       5,546,851  

Shares redeemed

    (8,370,321 )     (26,188,347 )

Net increase/(decrease) in net assets from capital share transactions

    12,476,291       23,639,153  

Total increase/(decrease) in net assets

    11,417,081       6,225,161  
                 

NET ASSETS:

               

Beginning of period

    118,260,055       112,034,894  

End of period

  $ 129,677,136     $ 118,260,055  
 

SHARES TRANSACTIONS:

               

Class I Shares

               

Shares sold

    511,147       1,230,209  

Shares reinvested

    128,236       147,482  

Shares redeemed

    (256,404 )     (734,082 )

Net increase/(decrease) in shares outstanding

    382,979       643,609  

 

 

The accompanying notes are an integral part of the financial statements.
43

 

 

SGI PRUDENT GROWTH FUND

 

Statements of Changes in Net Assets

 

   

FOR THE SIX
MONTHS ENDED
FEBRUARY 28, 2023
(UNAUDITED)

   

FOR THE
Year ENDED
AUGUST 31, 2022

 

INCREASE/(DECREASE) IN NET ASSETS FROM OPERATIONS:

               

Net investment income/(loss)

  $ 72,249     $ 28,331  

Net realized gain/(loss) from investments

               

Unaffiliated investments

    (190,163 )     (361,608 )

Affiliated mutual funds (see Note 7)

    (12,360 )     (50,151 )

Distributions from unaffiliated investments

          408  

Distributions from affiliated mutual funds (see Note 7)

    182,199       586,054  

Net change in unrealized appreciation/(depreciation) on investments

               

Unaffiliated investments

    157,599       (551,350 )

Affiliated mutual funds (see Note 7)

    56,006       (1,160,252 )

Net increase/(decrease) in net assets resulting from operations

    265,530       (1,508,568 )
                 

DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS:

               

Total distributable earnings

    (23,212 )     (711,629 )

Net decrease in net assets from dividends and distributions to shareholders

    (23,212 )     (711,629 )
                 

INCREASE/(DECREASE) IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS:

Class I Shares

               

Proceeds from shares sold

    3,090,603       8,772,783  

Reinvestment of distributions

    23,212       711,630  

Shares redeemed

    (642,473 )     (2,544,827 )

Net increase/(decrease) in net assets from capital share transactions

    2,471,342       6,939,586  

Total increase/(decrease) in net assets

    2,713,660       4,719,389  
                 

NET ASSETS:

               

Beginning of period

    15,526,832       10,807,443  

End of period

  $ 18,240,492     $ 15,526,832  
 

SHARES TRANSACTIONS:

               

Class I Shares

               

Shares sold

    313,543       842,898  

Shares reinvested

    2,400       63,117  

Shares redeemed

    (64,598 )     (245,918 )

Net increase/(decrease) in shares outstanding

    251,345       660,097  

 

 

The accompanying notes are an integral part of the financial statements.
44

 

 

SGI PEAK GROWTH FUND

 

Statements of Changes in Net Assets

 

   

FOR THE SIX
MONTHS ENDED
FEBRUARY 28, 2023
(UNAUDITED)

   

FOR THE
Year ENDED
AUGUST 31, 2022

 

INCREASE/(DECREASE) IN NET ASSETS FROM OPERATIONS:

               

Net investment income/(loss)

  $ 2,278     $ (38,703 )

Net realized gain/(loss) from investments

               

Unaffiliated investments

    (38,776 )     (258,784 )

Affiliated mutual funds (see Note 7)

    (14,550 )     (568,114 )

Distributions from unaffiliated investments

           

Distributions from affiliated mutual funds (see Note 7)

    211,725       1,078,082  

Net change in unrealized appreciation/(depreciation) on investments

               

Unaffiliated investments

    89,474       (271,683 )

Affiliated mutual funds (see Note 7)

    132,967       (1,508,086 )

Net increase/(decrease) in net assets resulting from operations

    383,118       (1,567,288 )
                 

DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS:

               

Total distributable earnings

    (1,109 )     (1,403,072 )

Net decrease in net assets from dividends and distributions to shareholders

    (1,109 )     (1,403,072 )
                 

INCREASE/(DECREASE) IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS:

Class I Shares

               

Proceeds from shares sold

    2,026,053       10,556,163  

Reinvestment of distributions

    1,109       1,403,072  

Shares redeemed

    (716,183 )     (6,940,249 )

Net increase/(decrease) in net assets from capital share transactions

    1,310,979       5,018,986  

Total increase/(decrease) in net assets

    1,692,988       2,048,626  
                 

NET ASSETS:

               

Beginning of period

    12,988,238       10,939,612  

End of period

  $ 14,681,226     $ 12,988,238  
 

SHARES TRANSACTIONS:

               

Class I Shares

               

Shares sold

    202,329       947,764  

Shares reinvested

    113       119,437  

Shares redeemed

    (71,100 )     (633,856 )

Net increase/(decrease) in shares outstanding

    131,342       433,345  

 

 

The accompanying notes are an integral part of the financial statements.
45

 

 

SGI SMALL CAP CORE FUND

 

Statements of Changes in Net Assets

 

   

FOR THE SIX
MONTHS ENDED
FEBRUARY 28, 2023
(UNAUDITED)

   

FOR THE
Year ENDED
AUGUST 31, 2022

 

INCREASE/(DECREASE) IN NET ASSETS FROM OPERATIONS:

               

Net investment income/(loss)

  $ 41,678     $ (317,054 )

Net realized gain/(loss) from investments

               

Unaffiliated investments

    (1,564,502 )     (7,094,288 )

Affiliated mutual funds (see Note 7)

           

Distributions from unaffiliated investments

           

Distributions from affiliated mutual funds (see Note 7)

           

Net change in unrealized appreciation/(depreciation) on investments

               

Unaffiliated investments

    8,223,111       (2,150,230 )

Affiliated mutual funds (see Note 7)

           

Net increase/(decrease) in net assets resulting from operations

    6,700,287       (9,561,572 )
                 

DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS:

               

Total distributable earnings

    (554,990 )     (24,978,857 )

Net decrease in net assets from dividends and distributions to shareholders

    (554,990 )     (24,978,857 )
                 

INCREASE/(DECREASE) IN NET ASSETS DERIVED FROM CAPITAL SHARE TRANSACTIONS:

Proceeds from shares sold

    6,972,960       27,264,934  

Reinvestment of distributions

    548,527       24,457,949  

Distributions for shares redeemed

    (6,474,681 )     (24,755,295 )

Net increase/(decrease) in net assets from capital share transactions

    1,046,806       26,967,588  

Total increase/(decrease) in net assets

    7,192,103       (7,572,841 )
                 

NET ASSETS:

               

Beginning of period

    89,835,822       97,408,663  

End of period

  $ 97,027,925     $ 89,835,822  
                 

SHARES TRANSACTIONS:

               

Shares sold

    277,054       990,971  

Shares reinvested

    21,544       884,875  

Shares redeemed

    (251,327 )     (877,969 )

Net increase/(decrease) in shares outstanding

    47,271       997,877  

 

 

The accompanying notes are an integral part of the financial statements.
46

 

 

SGI U.S. LARGE CAP EQUITY FUND

 

Financial Highlights

 

Contained below is per share operating performance data for Class I Shares outstanding, total investment return/(loss), ratios to average net assets and other supplemental data for the respective periods. This information has been derived from information provided in the financial statements.

 

 

   

Class I Shares

 
   

FOR THE
SIX MONTHS
ENDED
FEBRUARY 28,
2023
(UNAUDITED)

   

For the
Year
Ended
August 31,
2022

   

For the
Year
Ended
August 31,
2021

   

For the
Year
Ended
August 31,
2020

   

For the
Year
Ended
August 31,
2019

   

For the
Year
Ended
August 31,
2018

 

Per Share Operating Performance

                                               

Net asset value, beginning of period

  $ 17.85     $ 23.21     $ 19.55     $ 18.24     $ 17.97     $ 15.43  

Net investment income/(loss)(1)

    0.11       0.17       0.03       0.14       0.18       0.16  

Net realized and unrealized gain/(loss) on investments(2)

    0.33       (2.27 )     3.76       1.66       0.75       3.52  

Net increase/(decrease) in net assets resulting from operations

    0.44       (2.10 )     3.79       1.80       0.93       3.68  

Dividends and distributions to shareholders from:

                                               

Net investment income

    (0.20 )     (0.04 )     (0.08 )     (0.18 )     (0.11 )     (0.18 )

Net realized capital gains

    (0.71 )     (3.22 )     (0.05 )     (0.31 )     (0.55 )     (0.96 )

Total dividends and distributions to shareholders

    (0.91 )     (3.26 )     (0.13 )     (0.49 )     (0.66 )     (1.14 )

Net asset value, end of period

  $ 17.38     $ 17.85     $ 23.21     $ 19.55     $ 18.24     $ 17.97  

Total investment return/(loss)(3)

    2.36 %(4)     (10.71 )%     19.46 %     10.10 %     5.83 %     24.98 %
                                                 

Ratios/Supplemental Data

                                               

Net assets, end of period (000’s omitted)

  $ 367,951     $ 391,548     $ 506,159     $ 556,511     $ 497,097     $ 437,424  

Ratio of expenses to average net assets with waivers and/or reimbursements net of amounts recouped

    0.98 %(5)     0.92 %     0.87 %     0.85 %     0.93 %     0.98 %

Ratio of expenses to average net assets without waivers and/or reimbursements net of amounts recouped

    0.99 %(5)     0.96 %     0.87 %     0.85 %     0.86 %     0.94 %

Ratio of net investment income/(loss) to average net assets

    1.22 %(5)     0.85 %     0.15 %     0.76 %     1.07 %     0.87 %

Portfolio turnover rate(6)

    29 %(4)     133 %     91 %     129 %     104 %     85 %

 

 

(1)

The selected per share data is calculated based on average shares outstanding method for the period.

(2)

The amount shown may not correlate with the change in the aggregate gains and losses due to the timing of sales and purchases of the Fund’s shares in relation to fluctuating market values for the Fund’s portfolio.

(3)

Total investment return/(loss) is calculated assuming a purchase of shares on the first day and a sale of shares on the last day of each period reported and includes reinvestments of dividends and distributions, if any.

(4)

Not annualized.

(5)

Annualized.

(6)

Portfolio turnover rate is calculated for the Fund, as a whole, for the entire period.

 

The accompanying notes are an integral part of the financial statements.
47

 

 

SGI U.S. LARGE CAP EQUITY FUND

 

Financial Highlights (continued)

 

Contained below is per share operating performance data for Class A Shares outstanding, total investment return/(loss), ratios to average net assets and other supplemental data for the respective periods. This information has been derived from information provided in the financial statements.

 

 

   

Class a Shares

 
   

FOR THE
SIX MONTHS
ENDED
FEBRUARY 28,
2023
(UNAUDITED)

   

For the
Year
Ended
August 31,
2022

   

For the
Year
Ended
August 31,
2021

   

For the
Year
Ended
August 31,
2020

   

For the
Year
Ended
August 31,
2019

   

For the
Year
Ended
August 31,
2018

 

Per Share Operating Performance

                                               

Net asset value, beginning of period

  $ 17.88     $ 23.25     $ 19.59     $ 18.29     $ 17.99     $ 15.40  

Net investment income/(loss)(1)

    0.09       0.12       (0.02 )     0.08       0.14       0.10  

Net realized and unrealized gain/(loss) on investments(2)

    0.31       (2.27 )     3.77       1.67       0.76       3.55  

Net increase/(decrease) in net assets resulting from operations

    0.40       (2.15 )     3.75       1.75       0.90       3.65  

Dividends and distributions to shareholders from:

                                               

Net investment income

    (0.15 )           (0.04 )     (0.14 )     (0.05 )     (0.10 )

Net realized capital gains

    (0.71 )     (3.22 )     (0.05 )     (0.31 )     (0.55 )     (0.96 )

Total dividends and distributions to shareholders

    (0.86 )     (3.22 )     (0.09 )     (0.45 )     (0.60 )     (1.06 )

Net asset value, end of period

  $ 17.42     $ 17.88     $ 23.25     $ 19.59     $ 18.29     $ 17.99  

Total investment return/(loss)(3)

    2.17 %(4)     (10.89 )%     19.20 %     9.78 %     5.61 %     24.68 %
                                                 

Ratios/Supplemental Data

                                               

Net assets, end of period (000’s omitted)

  $ 29,621     $ 28,285     $ 29,423     $ 23,424     $ 14,751     $ 9,530  

Ratio of expenses to average net assets with waivers and/or reimbursements net of amounts recouped

    1.23 %(5)     1.17 %     1.12 %     1.10 %     1.18 %     1.23 %

Ratio of expenses to average net assets without waivers and/or reimbursements net of amounts recouped

    1.24 %(5)     1.21 %     1.12 %     1.10 %     1.11 %     1.27 %

Ratio of net investment income/(loss) to average net assets

    0.97 %(5)     0.64 %     (0.09 )%     0.47 %     0.84 %     0.62 %

Portfolio turnover rate(6)

    29 %(4)     133 %     91 %     129 %     104 %     85 %

 

 

(1)

The selected per share data is calculated based on the average shares outstanding method for the period.

(2)

The amount shown may not correlate with the change in the aggregate gains and losses due to the timing of sales and purchases of the Fund’s shares in relation to fluctuating market values for the Fund’s portfolio.

(3)

Total investment return/(loss) is calculated assuming a purchase of shares on the first day and a sale of shares on the last day of each period reported and includes reinvestments of dividends and distributions, if any. Total investment return does not reflect any applicable sales charge.

(4)

Not annualized.

(5)

Annualized.

(6)

Portfolio turnover rate is calculated for the Fund, as a whole, for the entire period.

 

The accompanying notes are an integral part of the financial statements.
48

 

 

SGI U.S. LARGE CAP EQUITY FUND

 

Financial Highlights (CONCLUDED)

 

Contained below is per share operating performance data for Class C Shares outstanding, total investment return/(loss), ratios to average net assets and other supplemental data for the respective periods. This information has been derived from information provided in the financial statements.

 

 

   

Class c Shares

 
   

FOR THE
SIX MONTHS
ENDED
FEBRUARY 28,
2023
(UNAUDITED)

   

For the
Year
Ended
August 31,
2022

   

For the
Year
Ended
August 31,
2021

   

For the
Year
Ended
August 31,
2020

   

For the
Year
Ended
August 31,
2019

   

For the
Year
Ended
August 31,
2018

 

Per Share Operating Performance

                                               

Net asset value, beginning of period

  $ 17.12     $ 22.54     $ 19.11     $ 17.79     $ 17.59     $ 15.15  

Net investment income/(loss)(1)

    0.02       (0.03 )     (0.17 )     (0.05 )     0.01       (0.02 )

Net realized and unrealized gain/(loss) on investments(2)

    0.30       (2.17 )     3.65       1.71       0.74       3.48  

Net increase/(decrease) in net assets resulting from operations

    0.32       (2.20 )     3.48       1.66       0.75       3.46  

Dividends and distributions to shareholders from:

                                               

Net investment income

    (0.02 )           0.00       (0.03 )           (0.06 )

Net realized capital gains

    (0.71 )     (3.22 )     (0.05 )     (0.31 )     (0.55 )     (0.96 )

Total dividends and distributions to shareholders

    (0.73 )     (3.22 )     (0.05 )     (0.34 )     (0.55 )     (1.02 )

Net asset value, end of period

  $ 16.71     $ 17.12     $ 22.54     $ 19.11     $ 17.79     $ 17.59  

Total investment return/(loss)(3)

    1.83 %(4)     (11.54 )%     18.25 %     9.47 %     4.78 %     23.80 %
                                                 

Ratios/Supplemental Data

                                               

Net assets, end of period (000’s omitted)

  $ 2,269     $ 2,546     $ 2,917     $ 2,915     $ 2,350     $ 1,916  

Ratio of expenses to average net assets with waivers and/or reimbursements net of amounts recouped

    1.98 %(5)     1.92 %     1.87 %     1.85 %     1.93 %     1.98 %

Ratio of expenses to average net assets without waivers and/or reimbursements net of amounts recouped

    1.99 %(5)     1.96 %     1.87 %     1.85 %     1.86 %     2.00 %

Ratio of net investment income/(loss) to average net assets

    0.22 %(5)     (0.15 )%     (0.84 )%     (0.26 )%     0.07 %     (0.11 )%

Portfolio turnover rate(6)

    29 %(4)     133 %     91 %     129 %     104 %     85 %

 

 

(1)

The selected per share data is calculated based on the average shares outstanding method for the period.

(2)

The amount shown may not correlate with the change in the aggregate gains and losses due to the timing of sales and purchases of the Fund’s shares in relation to fluctuating market values for the Fund’s portfolio.

(3)

Total investment return/(loss) is calculated assuming a purchase of shares on the first day and a sale of shares on the last day of each period reported and includes reinvestments of dividends and distributions, if any.

(4)

Not annualized.

(5)

Annualized.

(6)

Portfolio turnover rate is calculated for the Fund, as a whole, for the entire period.

 

 

The accompanying notes are an integral part of the financial statements.
49

 

 

SGI U.S. SMALL CAP EQUITY FUND

 

Financial Highlights

 

Contained below is per share operating performance data for Class I Shares outstanding, total investment return/(loss), ratios to average net assets and other supplemental data for the respective periods. This information has been derived from information provided in the financial statements.

 

 

   

Class i Shares

 
   

FOR THE
SIX MONTHS
ENDED
FEBRUARY 28,
2023
(UNAUDITED)

   

For the
Year
Ended
August 31,
2022

   

For the
Year
Ended
August 31,
2021

   

For the
Year
Ended
August 31,
2020

   

For the
Year
Ended
August 31,
2019

   

For the
Year
Ended
August 31,
2018

 

Per Share Operating Performance

                                               

Net asset value, beginning of period

  $ 11.28     $ 11.91     $ 10.03     $ 11.49     $ 13.82     $ 12.39  

Net investment income/(loss)(1)

    0.02       (0.01 )     (0.02 )     0.07       0.14       (0.01 )

Net realized and unrealized gain/(loss) on investments(2)

    0.28       (0.62 )     1.92       (1.40 )     (1.89 )     2.61  

Net increase/(decrease) in net assets resulting from operations

    0.30       (0.63 )     1.90       (1.33 )     (1.75 )     2.60  

Dividends and distributions to shareholders from:

                                               

Net investment income

                (0.02 )     (0.13 )     (0.04 )     (0.05 )

Net realized capital gains

    (0.03 )                       (0.54 )     (1.12 )

Total dividends and distributions to shareholders

    (0.03 )           (0.02 )     (0.13 )     (0.58 )     (1.17 )

Net asset value, end of period

  $ 11.55     $ 11.28     $ 11.91     $ 10.03     $ 11.49     $ 13.82  

Total investment return/(loss)(3)

    2.70 %(4)     (5.29 )%     19.02 %     (11.75 )%     (12.43 )%     22.26 %
                                                 

Ratios/Supplemental Data

                                               

Net assets, end of period (000’s omitted)

  $ 29,590     $ 29,180     $ 27,913     $ 42,830     $ 33,707     $ 31,559  

Ratio of expenses to average net assets with waivers and reimbursements

    1.23 %(5)     1.23 %     1.23 %     1.23 %     1.23 %     1.23 %

Ratio of expenses to average net assets without waivers and reimbursements

    1.49 %(5)     1.46 %     1.40 %     1.36 %     1.40 %     1.60 %

Ratio of net investment income/(loss) to average net assets

    0.43 %(5)     (0.09 )%     (0.22 )%     0.68 %     1.19 %     (0.05 )%

Portfolio turnover rate(6)

    31 %(4)     123 %     135 %     151 %     145 %     122 %

 

 

(1)

The selected per share data is calculated based on the average shares outstanding method for the period.

(2)

The amount shown may not correlate with the change in the aggregate gains and losses due to the timing of sales and purchases of the Fund’s shares in relation to fluctuating market values for the Fund’s portfolio.

(3)

Total investment return/(loss) is calculated assuming a purchase of shares on the first day and a sale of shares on the last day of each period reported and includes reinvestments of dividends and distributions, if any.

(4)

Not annualized.

(5)

Annualized.

(6)

Portfolio turnover rate is calculated for the Fund, as a whole, for the entire period.

 

The accompanying notes are an integral part of the financial statements.
50

 

 

SGI U.S. SMALL CAP EQUITY FUND

 

Financial Highlights (continued)

 

Contained below is per share operating performance data for Class A Shares outstanding, total investment return/(loss), ratios to average net assets and other supplemental data for the respective periods. This information has been derived from information provided in the financial statements.

 

 

   

Class A Shares

 
   

FOR THE
SIX MONTHS
ENDED
FEBRUARY 28,
2023
(UNAUDITED)

   

For the
Year
Ended
August 31,
2022

   

For the
Year
Ended
August 31,
2021

   

For the
Year
Ended
August 31,
2020

   

For the
Year
Ended
August 31,
2019

   

For the
Year
Ended
August 31,
2018

 

Per Share Operating Performance

                                               

Net asset value, beginning of period

  $ 11.20     $ 11.85     $ 10.00     $ 11.46     $ 13.80     $ 12.38  

Net investment income/(loss)(1)

    0.01       (0.04 )     (0.05 )     0.03       0.11       (0.03 )

Net realized and unrealized gain/(loss) on investments(2)

    0.28       (0.61 )     1.92       (1.38 )     (1.88 )     2.59  

Net increase/(decrease) in net assets resulting from operations

    0.29       (0.65 )     1.87       (1.35 )     (1.77 )     2.56  

Dividends and distributions to shareholders from:

                                               

Net investment income

                (0.02 )     (0.11 )     (0.03 )     (0.02 )

Net realized capital gains

    (0.03 )                       (0.54 )     (1.12 )

Total dividends and distributions to shareholders

    (0.03 )           (0.02 )     (0.11 )     (0.57 )     (1.14 )

Net asset value, end of period

  $ 11.46     $ 11.20     $ 11.85     $ 10.00     $ 11.46     $ 13.80  

Total investment return/(loss)(3)

    2.63 %(4)     (5.49 )%     18.69 %     (11.95 )%     (12.61 )%     21.90 %
                                                 

Ratios/Supplemental Data

                                               

Net assets, end of period (000’s omitted)

  $ 7,158     $ 6,111     $ 5,573     $ 6,905     $ 3,892     $ 3,560  

Ratio of expenses to average net assets with waivers and reimbursements

    1.48 %(5)     1.48 %     1.48 %     1.48 %     1.48 %     1.48 %

Ratio of expenses to average net assets without waivers and reimbursements

    1.74 %(5)     1.71 %     1.65 %     1.61 %     1.65 %     1.86 %

Ratio of net investment income/(loss) to average net assets

    0.18 %(5)     (0.34 )%     (0.48 )%     0.32 %     0.94 %     (0.23 )%

Portfolio turnover rate(6)

    31 %(4)     123 %     135 %     151 %     145 %     122 %

 

 

(1)

The selected per share data is calculated based on the average shares outstanding method for the period.

(2)

The amount shown may not correlate with the change in the aggregate gains and losses due to the timing of sales and purchases of the Fund’s shares in relation to fluctuating market values for the Fund’s portfolio.

(3)

Total investment return/(loss) is calculated assuming a purchase of shares on the first day and a sale of shares on the last day of each period reported and includes reinvestments of dividends and distributions, if any. Total investment return does not reflect any applicable sales charge.

(4)

Not annualized.

(5)

Annualized.

(6)

Portfolio turnover rate is calculated for the Fund, as a whole, for the entire period.

 

 

The accompanying notes are an integral part of the financial statements.
51

 

 

SGI U.S. SMALL CAP EQUITY FUND

 

Financial Highlights (CONCLUDED)

 

Contained below is per share operating performance data for Class C Shares outstanding, total investment return/(loss), ratios to average net assets and other supplemental data for the respective periods. This information has been derived from information provided in the financial statements.

 

 

   

Class C Shares

 
   

FOR THE
SIX MONTHS
ENDED
FEBRUARY 28,
2023
(UNAUDITED)

   

For the
Year
Ended
August 31,
2022

   

For the
Year
Ended
August 31,
2021

   

For the
Year
Ended
August 31,
2020

   

For the
Year
Ended
August 31,
2019

   

For the
Year
Ended
August 31,
2018

 

Per Share Operating Performance

                                               

Net asset value, beginning of period

  $ 10.83     $ 11.48     $ 9.75     $ 11.22     $ 13.59     $ 12.27  

Net investment income/(loss)(1)

    (0.03 )     (0.12 )     (0.14 )     (0.03 )     0.01       (0.12 )

Net realized and unrealized gain/(loss) on investments(2)

    0.27       (0.53 )     1.87       (1.37 )     (1.84 )     2.56  

Net increase/(decrease) in net assets resulting from operations

    0.24       (0.65 )     1.73       (1.40 )     (1.83 )     2.44  

Dividends and distributions to shareholders from:

                                               

Net realized capital gains

                      (0.07 )     (0.54 )     (1.12 )

Total dividends and distributions to shareholders

    (0.03 )                 (0.07 )     (0.54 )     (1.12 )

Net asset value, end of period

  $ 11.04     $ 10.83     $ 11.48     $ 9.75     $ 11.22     $ 13.59  

Total investment return/(loss)(3)

    2.25 %(4)     (5.66 )%     17.74 %     (12.57 )%     (13.30 )%     21.05 %
                                                 

Ratios/Supplemental Data

                                               

Net assets, end of period (000’s omitted)

  $ 238     $ 238     $ 118     $ 102     $ 114     $ 200  

Ratio of expenses to average net assets with waivers and reimbursements

    2.23 %(5)     2.23 %     2.23 %     2.23 %     2.23 %     2.23 %

Ratio of expenses to average net assets without waivers and reimbursements

    2.49 %(5)     2.46 %     2.40 %     2.36 %     2.40 %     2.61 %

Ratio of net investment income/(loss) to average net assets

    (0.57 )%(5)     (1.06 )%     (1.26 )%     (0.29 )%     0.09 %     (0.95 )%

Portfolio turnover rate(6)

    31 %(4)     123 %     135 %     151 %     145 %     122 %

 

 

(1)

The selected per share data is calculated based on the average shares outstanding method for the period.

(2)

The amount shown may not correlate with the change in the aggregate gains and losses due to the timing of sales and purchases of the Fund’s shares in relation to fluctuating market values for the Fund’s portfolio.

(3)

Total investment return/(loss) is calculated assuming a purchase of shares on the first day and a sale of shares on the last day of each period reported and includes reinvestments of dividends and distributions, if any.

(4)

Not annualized.

(5)

Annualized.

(6)

Portfolio turnover rate is calculated for the Fund, as a whole, for the entire period.

 

The accompanying notes are an integral part of the financial statements.
52

 

 

SGI GLOBAL EQUITY FUND

 

Financial Highlights

 

Contained below is per share operating performance data for Class I shares outstanding, total investment return/(loss), ratios to average net assets and other supplemental data for the respective periods. This information has been derived from information provided in the financial statements.

 

 

   

Class I Shares

 
   

FOR THE
SIX MONTHS
ENDED
FEBRUARY 28,
2023
(UNAUDITED)

   

For the
Year
Ended
August 31,
2022

   

For the
Year
Ended
August 31,
2021

   

For the
Year
Ended
August 31,
2020

   

For the
Year
Ended
August 31,
2019

   

For the
Year
Ended
August 31,
2018

 

Per Share Operating Performance

                                               

Net asset value, beginning of period

  $ 33.16     $ 38.33     $ 32.93     $ 32.62     $ 30.30     $ 27.20  

Net investment income/(loss)(1)

    0.15       0.45       0.38       0.41       0.53       0.35  

Net realized and unrealized gain/(loss) on investments(2)

    0.65       (3.77 )     5.24       1.06       2.20       2.75  

Net increase/(decrease) in net assets resulting from operations

    0.80       (3.32 )     5.62       1.47       2.73       3.10  

Dividends and distributions to shareholders from:

                                               

Net investment income

    (0.31 )     (0.58 )     (0.22 )     (0.85 )     (0.41 )      

Net realized capital gains

    (0.81 )     (1.27 )           (0.31 )            

Total dividends and distributions to shareholders

    (1.12 )     (1.85 )     (0.22 )     (1.16 )     (0.41 )     0.00  

Redemption fees added to paid-in capital(1)

                              (3)      (3) 

Net asset value, end of period

  $ 32.84     $ 33.16     $ 38.33     $ 32.93     $ 32.62     $ 30.30  

Total investment return/(loss)(4)

    2.42 %(5)     (9.20 )%     17.15 %     4.53 %     9.18 %     11.36 %
                                                 

Ratios/Supplemental Data

                                               

Net assets, end of period (000’s omitted)

  $ 129,677     $ 118,260     $ 112,035     $ 58,262     $ 21,520     $ 19,530  

Ratio of expenses to average net assets with waivers and reimbursements

    0.84 %(6)     0.84 %     0.97 %     0.84 %     0.84 %     0.84 %

Ratio of expenses to average net assets without waivers and reimbursements

    1.03 %(6)     1.01 %     1.10 %     0.98 %     1.11 %     1.25 %

Ratio of net investment income/(loss) to average net assets

    0.93 %(6)     1.24 %     1.26 %     1.32 %     1.75 %     1.19 %

Portfolio turnover rate(7)

    34 %(5)     87 %     88 %     122 %     74 %     44 %

 

 

(1)

The selected per share data is calculated based on the average shares outstanding method for the period.

(2)

The amount shown may not correlate with the change in the aggregate gains and losses due to the timing of sales and purchases of the Fund’s shares in relation to fluctuating market values for the Fund’s portfolio.

(3)

Amount represents less than $0.005 per share.

(4)

Total investment return/(loss) is calculated assuming a purchase of shares on the first day and a sale of shares on the last day of each period reported and includes reinvestments of dividends and distributions, if any.

(5)

Not annualized.

(6)

Annualized.

(7)

Portfolio turnover rate is calculated for the Fund, as a whole, for the entire period.

 

The accompanying notes are an integral part of the financial statements.
53

 

 

SGI PRUDENT GROWTH FUND

 

Financial Highlights

 

Contained below is per share operating performance data for Class I shares outstanding, total investment return/(loss), ratios to average net assets and other supplemental data for the respective periods. This information has been derived from information provided in the financial statements.

 

 

 

 

CLASS I SHARES

 
   

FOR THE
SIX MONTHS
ENDED
FEBRUARY 28,
2023
(UNAUDITED)

   

For the
Year
Ended
August 31,
2022

   

For the
Year
Ended
August 31,
2021

   

FOR THE
PERIOD
ENDED
AUGUST 31,
2020
(1)

 

Per Share Operating Performance

                               

Net asset value, beginning of period

  $ 9.80     $ 11.69     $ 10.60     $ 10.00  

Net investment income/(loss)(2)

    0.04       0.02       (0.07 )     (0.03 )

Net realized and unrealized gain/(loss) on investments(3)

    0.35       (1.26 )     1.16       0.63  

Net increase/(decrease) in net assets resulting from operations

    0.39       (1.24 )     1.09       0.60  

Dividends and distributions to shareholders from:

                               

Net investment income

    (0.01 )     (0.40 )     (4)       

Net realized capital gains

    (0.25 )     (0.25 )     (4)       

Total dividends and distributions to shareholders

    (0.26 )     (0.65 )            

Net asset value, end of period

  $ 9.93     $ 9.80     $ 11.69     $ 10.60  

Total investment return/(loss)(5)

    1.47 %(6)     (11.26 )%     10.34 %     6.00 %(6)
                                 

Ratios/Supplemental Data

                               

Net assets, end of period (000’s omitted)

  $ 18,240     $ 15,527     $ 10,807     $ 6,408  

Ratio of expenses to average net assets with waivers and reimbursements

    1.56 %(7)     1.70 %     1.70 %     1.70 %(7)

Ratio of expenses to average net assets without waivers and reimbursements

    1.35 %(7)     1.61 %     1.75 %     3.97 %(7)

Ratio of net investment income/(loss) to average net assets

    0.86 %(7)     0.23 %     (0.67 )%     (1.08 )%(7)

Portfolio turnover rate(8)

    22 %(6)     67 %     170 %     6 %(6)

 

 

(1)

The Fund commenced investment operations on June 8, 2020.

(2)

The selected per share data is calculated based on the average shares outstanding method for the period.

(3)

The amount shown may not correlate with the change in the aggregate gains and losses due to the timing of sales and purchases of the Fund’s shares in relation to fluctuating market values for the Fund’s portfolio.

(4)

Amount represents less than $0.005 per share.

(5)

Total investment return/(loss) is calculated assuming a purchase of shares on the first day and a sale of shares on the last day of each period reported and includes reinvestments of dividends and distributions, if any.

(6)

Not annualized.

(7)

Annualized.

(8)

Portfolio turnover rate is calculated for the Fund, as a whole, for the entire period.

 

The accompanying notes are an integral part of the financial statements.
54

 

 

SGI PEAK GROWTH FUND

 

Financial Highlights

 

Contained below is per share operating performance data for Class I shares outstanding, total investment return/(loss), ratios to average net assets and other supplemental data for the respective periods. This information has been derived from information provided in the financial statements.

 

 

   

CLASS I SHARES

 
   

FOR THE
SIX MONTHS
ENDED
FEBRUARY 28,
2023
(UNAUDITED)

   

For the
Year
Ended
August 31,
2022

   

For the
Year
Ended
August 31,
2021

   

FOR THE
PERIOD
ENDED
AUGUST 31,
2020
(1)

 

Per Share Operating Performance

                               

Net asset value, beginning of period

  $ 9.99     $ 12.63     $ 10.94     $ 10.00  

Net investment income/(loss)(2)

    (4)      (0.03 )     (0.14 )     (0.04 )

Net realized and unrealized gain/(loss) on investments(3)

    0.86       (1.27 )     1.83       0.98  

Net increase/(decrease) in net assets resulting from operations

    0.86       (1.30 )     1.69       0.94  

Dividends and distributions to shareholders from:

                               

Net investment income

          (0.75 )            

Net realized capital gains

    (0.59 )     (0.59 )            

Total dividends and distributions to shareholders

    (0.59 )     (1.34 )            

Net asset value, end of period

  $ 10.26     $ 9.99     $ 12.63     $ 10.94  

Total investment return/(loss)(5)

    2.71 %(7)     (11.64 )%     15.45 %     9.40 %(7)
                                 

Ratios/Supplemental Data

                               

Net assets, end of period (000’s omitted)

  $ 14,681     $ 12,988     $ 10,940     $ 7,327  

Ratio of expenses to average net assets with waivers and reimbursements

    1.63 %(6)     1.70 %     1.70 %     1.70 %(6)

Ratio of expenses to average net assets without waivers and reimbursements

    1.52 %(6)     1.58 %     1.74 %     3.52 %(6)

Ratio of net investment income/(loss) to average net assets

    0.03 %(6)     (0.29 )%     (1.17 )%     (1.58 )%(6)

Portfolio turnover rate(8)

    6 %(7)     88 %     178 %     5 %(7)

 

 

(1)

The Fund commenced investment operations on June 8, 2020.

(2)

The selected per share data is calculated based on the average shares outstanding method for the period.

(3)

The amount shown may not correlate with the change in the aggregate gains and losses due to the timing of sales and purchases of the Fund’s shares in relation to fluctuating market values for the Fund’s portfolio.

(4)

Amount represents less than $0.005 per share.

(5)

Total investment return/(loss) is calculated assuming a purchase of shares on the first day and a sale of shares on the last day of each period reported and includes reinvestments of dividends and distributions, if any.

(6)

Annualized.

(7)

Not annualized.

(8)

Portfolio turnover rate is calculated for the Fund, as a whole, for the entire period.

 

The accompanying notes are an integral part of the financial statements.
55

 

 

SGI SMALL CAP CORE FUND

 

Financial Highlights

 

Contained below is per share operating performance data for shares outstanding, total investment return/(loss), ratios to average net assets and other supplemental data for the respective periods. This information has been derived from information provided in the financial statements.

 

 

   

FOR THE
SIX MONTHS
ENDED
FEBRUARY 28,
2023
(UNAUDITED)

   

For the
Year
Ended
August 31,
2022

   

FOR THE
YEAR
ENDED
AUGUST 31,
2021
(1)

   

FOR THE
YEAR
ENDED
AUGUST 31,
2020

   

FOR THE
YEAR
ENDED
AUGUST 31,
2019

   

FOR THE
YEAR
ENDED
AUGUST 31,
2018

 

Per Share Operating Performance

                                               

Net asset value, beginning of period

  $ 25.53     $ 38.64     $ 28.16     $ 25.67     $ 35.14     $ 32.04  

Net investment income/(loss)(2)

    0.01       (0.10 )     (0.15 )     (0.10 )     (0.15 )     (0.19 )

Net realized and unrealized gain/(loss) from investments(3)

    1.82       (2.97 )     12.33       2.68       (5.55 )     6.63  

Net increase/(decrease) in net assets resulting from operations

    1.83       (3.07 )     12.18       2.58       (5.70 )     6.44  

Dividends and distributions to shareholders from:

                                               

Net investment income

                (0.07 )                  

Net realized capital gains

    (0.15 )     (10.04 )     (1.63 )     (0.09 )     (3.77 )     (3.34 )

Total dividends and distributions to shareholders

    (0.15 )     (10.04 )     (1.70 )     (0.09 )     (3.77 )     (3.34 )

Net asset value, end of period

  $ 27.21     $ 25.53     $ 38.64     $ 28.16     $ 25.67     $ 35.14  

Total investment return(4)

    7.23 %(6)     (9.93 )%     44.61 %     10.04 %     (16.02 )%     21.77 %
                                                 

Ratios/Supplemental Data

                                               

Net assets, end of period (000’s omitted)

  $ 97,028     $ 89,836     $ 97,409     $ 57,109     $ 69,302     $ 96,579  

Ratio of expenses to average net assets with waivers and reimbursements

    1.23 %(7)     1.23 %     1.07 %     1.25 %     1.25 %     1.25 %

Ratio of expenses to average net assets without waiver and reimbursements(5)

    1.25 %(7)     1.33 %     1.12 %     1.38 %     1.37 %     1.29 %

Ratio of net investment income/(loss) to average net assets

    0.09 %(7)     (0.34 )%     (0.37 )%     (0.38 )%     (0.53 )%     (0.57 )%

Portfolio turnover rate(6)

    46 %(6)     270 %     314 %     302 %     344 %     349 %

 

 

(1)

Effective as of the close of business on March 15, 2021, the Adviser took over management of the SGI Small Cap Core Fund from its predecessor investment manager.

(2)

Calculated based on average shares outstanding for the period.

(3)

The amount shown may not correlate with the change in the aggregate gains and losses due to the timing of sales and purchases of the Fund’s shares in relation to fluctuating market values for the Fund’s portfolio.

(4)

Total investment return is calculated assuming a purchase of shares on the first day and a sale of shares on the last day of each period reported and includes reinvestments of dividends and distributions, if any.

(5)

During the current fiscal period, certain fees were waived and/or reimbursed. If such fee waivers and/or reimbursements had not occurred, the ratios would have been as indicated (See Note 2).

(6)

Not annualized.

(7)

Annualized.

(8)

Portfolio turnover rate is calculated for the Fund, as a whole, for the entire period.

 

The accompanying notes are an integral part of the financial statements.
56

 

 

SUMMIT GLOBAL INVESTMENTS

 

 

Notes to Financial Statements

FEBRUARY 28, 2023 (UNAUDITED)

 

1. Organization and Significant Accounting Policies

 

The RBB Fund, Inc. (“RBB” or the “Company”) was incorporated under the laws of the State of Maryland on February 29, 1988 and is registered under the Investment Company Act of 1940, as amended, (the “1940 Act”) as an open-end management investment company. RBB is a “series fund,” which is a mutual fund complex divided into separate portfolios. Each portfolio is treated as a separate entity for certain matters under the 1940 Act, and for other purposes, and a shareholder of one portfolio is not deemed to be a shareholder of any other portfolio. Currently, RBB has forty-eight separate investment portfolios, including the SGI U.S. Large Cap Equity Fund, the SGI U.S. Small Cap Equity Fund, the SGI Global Equity Fund, the SGI Prudent Growth Fund, the SGI Peak Growth Fund and the SGI Small Cap Core Fund (each, a “Fund” and collectively, the “Funds”). The SGI Small Cap Core Fund, the SGI U.S. Large Cap Equity Fund and the SGI U.S. Small Cap Equity Fund commenced investment operations on October 1, 1999, February 29, 2012 and March 31, 2016, respectively. The SGI Prudent Growth Fund and the SGI Peak Growth Fund commenced investment operations on June 8, 2020.

 

Effective as of the close of business on March 15, 2021, Summit Global Investments, LLC (“Summit” or the “Adviser”) took over management of the SGI Small Cap Core Fund from its predecessor investment manager.

 

As of the end of the reporting period, the SGI U.S. Large Cap Equity Fund, the SGI U.S. Small Cap Equity Fund and the SGI Global Equity Fund all offer three classes of shares: Class I Shares, Class A Shares and Class C Shares; the SGI Prudent Growth Fund, the SGI Peak Growth Fund and the SGI Small Cap Core Fund, all offer one class of shares; Class I Shares. As of the end of the reporting period, Class A Shares and Class C Shares of the SGI Global Equity Fund were not yet operational.

 

RBB has authorized capital of one hundred billion shares of common stock of which 90.623 billion shares are currently classified into two hundred and thirteen classes of common stock. Each class represents an interest in an active or inactive investment portfolio of the Company.

 

The investment objective of the SGI U.S. Large Cap Equity Fund is to outperform the S&P 500® Index over a market cycle while reducing overall volatility. The investment objective of the SGI U.S. Small Cap Equity Fund is to outperform the Russell 2000® Index over a market cycle while reducing overall volatility. The investment objective of each of the SGI Global Equity Fund, the SGI Prudent Growth Fund, the SGI Peak Growth Fund and the SGI Small Cap Core Fund is to seek long-term capital appreciation.

 

The Funds are investment companies and follow accounting and reporting guidance in the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946 “Financial Services - Investment Companies.”

 

The end of the reporting period for the Funds is February 28, 2023, and the period covered by these Notes to Financial Statements is the six months ended February 28, 2023 (the “current fiscal period”).

 

Portfolio Valuation — Each Fund’s net asset value (“NAV”) is calculated once daily at the close of regular trading hours on the New York Stock Exchange (“NYSE”) (generally 4:00 p.m. Eastern time) on each day the NYSE is open. Securities held by the Funds are valued using the closing price or the last sale price on a national securities exchange or the National Association of Securities Dealers Automatic Quotation System (“NASDAQ”) market system where they are primarily traded. Equity securities traded in the over-the-counter (“OTC”) market are valued at their closing prices. If there were no transactions on that day, securities traded principally on an exchange or on NASDAQ will be valued at the mean of the last bid and ask prices prior to the market close. Fixed income securities are valued using an independent pricing service, which considers such factors as security prices, yields, maturities and ratings, and are deemed representative of market values at the close of the market. Investments in Exchange-Traded Funds (“ETFs”) are valued at their last reported sale price. Investments in other open-end investment companies, if any, are valued 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 by the Valuation Designee (as

 

57

 

 

SUMMIT GLOBAL INVESTMENTS

 

 

Notes to Financial Statements (Continued)

FEBRUARY 28, 2023 (UNAUDITED)

 

defined below) 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.

 

The Board has adopted a pricing and valuation policy for use by each Fund and its Valuation Designee (as defined below) in calculating the Fund’s NAV. Pursuant to Rule 2a-5 under the 1940 Act, the Board has designated Summit as its “Valuation Designee” to perform all of the fair value determinations as well as to perform all of the responsibilities that may be performed by the Valuation Designee in accordance with Rule 2a-5. The Valuation Designee is authorized to make all necessary determinations of the fair values of portfolio securities and other assets for which market quotations are not readily available or if it is deemed that the prices obtained from brokers and dealers or independent pricing services are unreliable.

 

Fair Value Measurements — The inputs and valuation techniques used to measure the fair value of the Funds’ investments are summarized into three levels as described in the hierarchy below:

 

 

● Level 1 —

Prices are determined using quoted prices in active markets for identical securities.

 

 

● Level 2 —

Prices are determined using other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).

 

 

● Level 3 —

Prices are determined using significant unobservable inputs (including the Funds’ own assumptions in determining the fair value of investments).

 

The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

 

The following is a summary of the inputs used, as of the end of the reporting period, in valuing each Funds’ investments carried at fair value:

 

   

Total

   

Level 1

   

Level 2

   

Level 3

 

SGI U.S. Large Cap Equity Fund

                               

Common Stocks

  $ 395,217,678     $ 395,217,678     $     $  

Short-Term Investments

    4,604,757       4,604,757              

Total Investments*

  $ 399,822,435     $ 399,822,435     $     $  
                                 

SGI U.S. Small Cap Equity Fund

                               

Common Stocks

  $ 36,760,246     $ 36,760,246     $     $  

Short-Term Investments

    356,602       356,602              

Total Investments*

  $ 37,116,848     $ 37,116,848     $     $  
                                 

SGI Global Equity Fund

                               

Common Stocks

  $ 127,480,708     $ 127,480,708     $     $  

Short-Term Investments

    2,213,673       2,213,673              

Total Investments*

  $ 129,694,381     $ 129,694,381     $     $  
                                 

SGI PRUDENT GROWTH Fund

                               

Exchange-Traded Funds

  $ 8,447,228     $ 8,447,228     $     $  

Mutual Funds

    8,750,010       8,750,010              

Short-Term Investments

    1,043,209       1,043,209              

Total Investments*

  $ 18,240,447     $ 18,240,447     $     $  
                                 

 

58

 

 

SUMMIT GLOBAL INVESTMENTS

 

 

Notes to Financial Statements (Continued)

FEBRUARY 28, 2023 (UNAUDITED)

 

   

Total

   

Level 1

   

Level 2

   

Level 3

 

SGI PEAK GROWTH FUND

                               

Exchange-Traded Funds

  $ 3,330,438     $ 3,330,438     $     $  

Mutual Funds

    10,894,732       10,894,732              

Short-Term Investments

    455,257       455,257              

Total Investments*

  $ 14,680,427     $ 14,680,427     $     $  
                                 

SGI SMALL CAP core Fund

                               

Common Stocks

  $ 95,872,220     $ 95,872,220     $     $  

Short-Term Investments

    1,193,211       1,193,211              

Total Investments*

  $ 97,065,431     $ 97,065,431     $     $  

 

 

*

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 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 are disclosed if a Fund had an amount of total Level 3 transfers during the reporting period that was meaningful in relation to its net assets as of the end of the reporting period.

 

During the current fiscal period, the Funds had no Level 3 purchases, sales, or transfers.

 

Use of Estimates — The preparation of financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates and those differences could be significant.

 

Investment Transactions, Investment Income and Expenses — The Funds record security transactions based on trade date for financial reporting purposes. The cost of investments sold is determined by use of the specific identification method for both financial reporting and income tax purposes in determining realized gains and losses on investments. Interest income (including amortization of premiums and accretion of discounts) is accrued when earned. Dividend income is recorded on the ex-dividend date. Distributions received on securities that represent a return of capital or capital gain are recorded as a reduction of cost of investments and/or as a realized gain. The Funds’ investment income, expenses (other than class specific expenses) and unrealized and realized gains and losses are allocated daily to each class of shares based upon the relative proportion of net assets of each class at the beginning of the day. Certain expenses are shared with The RBB Fund Trust (formerly, PENN Capital Funds Trust) (the “Trust”),

 

59

 

 

SUMMIT GLOBAL INVESTMENTS

 

 

Notes to Financial Statements (Continued)

FEBRUARY 28, 2023 (UNAUDITED)

 

a series trust of affiliated funds. Expenses incurred on behalf of a specific class, fund or fund family of the Company or Trust are charged directly to the class, fund or fund family (in proportion to net assets). Expenses incurred for all funds (such as director or professional fees) are charged to all funds in proportion to their average net assets of RBB, or in such other manner as the Board deems fair or equitable. Expenses and fees, including investment advisory and administration fees, are accrued daily and taken into account for the purpose of determining the NAV of the Funds.

 

Dividends and Distributions to Shareholders — Dividends from net investment income and distributions from net realized capital gains, if any, are declared and paid at least annually to shareholders and recorded on the ex-dividend date. Income dividends and capital gain distributions are determined in accordance with U.S. federal income tax regulations, which may differ from U.S. GAAP.

 

U.S. tax status — No provision is made for U.S. income taxes as it is each Fund’s intention to continue to qualify for and elect the tax treatment applicable to regulated investment companies under Subchapter M of the Internal Revenue Code of 1986, as amended, and make the requisite distributions to its shareholders which will be sufficient to relieve it from U.S. income and excise taxes.

 

CORONAVIRUS (COVID-19) PANDEMIC — The global outbreak of COVID-19 (commonly referred to as “coronavirus”) has disrupted economic markets and the prolonged economic impact is uncertain. Although vaccines for COVID-19 are available, the ultimate economic fallout from the pandemic, and the long-term impact on economies, markets, industries and individual issuers are not known. The operational and financial performance of the issuers of securities in which the Funds invest depends on future developments, including the duration and spread of the outbreak and the pace of recovery which may vary from market to market, and such uncertainty may in turn adversely affect the value and liquidity of the Funds’ investments, impair the Funds’ ability to satisfy redemption requests, and negatively impact the Funds’ performance.

 

UKRAINE-RUSSIA CONFLICT RISK — In February 2022, Russia commenced a military attack on Ukraine. The outbreak of hostilities between the two countries and the threat of wider-spread hostilities could have a severe adverse effect on the region and global economies, including significant negative impacts on the markets for certain securities and commodities, such as oil and natural gas. In addition, sanctions imposed on Russia by the United States and other countries, and any sanctions imposed in the future, could have a significant adverse impact on the Russian economy and related markets. The price and liquidity of investments may fluctuate widely as a result of the conflict and related events. How long the armed conflict and related events will last cannot be predicted. These tensions and any related events could have a significant impact on Fund performance and the value of Fund investments, even beyond any direct exposure the Funds may have to issuers located in these countries.

 

Cash and Cash Equivalents — Cash and cash equivalents are valued at cost plus accrued interest, which approximates market value.

 

Other — In the normal course of business, the Funds may enter into contracts that provide general indemnifications. Each Fund’s maximum exposure under these arrangements is dependent on claims that may be made against the Funds in the future, and, therefore, cannot be estimated; however, the Funds expect the risk of material loss from such claims to be remote.

 

2. Investment Adviser and Other Services

 

Summit Global Investments, LLC serves as the investment adviser to each Fund. Each Fund compensates the Adviser for its services at an annual rate based on each Fund’s average daily net assets (the “Advisory Fee”), payable on a monthly basis in arrears, as shown in the following table.

 

60

 

 

SUMMIT GLOBAL INVESTMENTS

 

 

Notes to Financial Statements (Continued)

FEBRUARY 28, 2023 (UNAUDITED)

 

The Adviser has contractually agreed to waive advisory fees and/or reimburse expenses to the extent that total annual Fund operating expenses (excluding certain items discussed below) exceed the rates (“Expense Caps”) shown in the following table of each Fund’s average daily net assets. In determining the Adviser’s obligation to waive advisory fees and/or reimburse expenses, the following expenses are not taken into account and could cause total annual Fund operating expenses to exceed the Expense Caps as applicable: acquired fund fees and expenses, brokerage commissions, extraordinary expenses, interest and taxes. This contractual limitation is in effect until December 31, 2023 for each Fund and may not be terminated without the approval of the Board. The Adviser may discontinue these arrangements at any time after a Funds’ respective contractual limitation expiration date.

 

FUND

 

ADVISORY FEE

   

EXPENSE CAPS

 
           

CLASS I

   

CLASS A

   

CLASS C

 

SGI U.S. Large Cap Equity Fund

    0.70 %     0.98 %     1.23 %     1.98 %

SGI U.S. Small Cap Equity Fund

    0.95       1.23       1.48       2.23  

SGI Global Equity Fund

    0.70       0.84       1.09       1.84  

SGI Prudent Growth Fund

    0.75       1.70              

SGI Peak Growth Fund

    0.75       1.70              

SGI Small Cap Core Fund

    0.95       1.23              

 

If at any time a Fund’s total annual Fund operating expenses for a year are less than the relevant share class’s Expense Cap, the Adviser is entitled to recoup from the Fund the advisory fees forgone and other payments remitted by the Adviser to the Fund within three years from the date on which such waiver or reimbursement was made, provided such recoupment does not cause the Fund to exceed the relevant share class’s Expense Cap that was in effect at the time of the waiver or reimbursement.

 

During the current fiscal period, investment advisory fees accrued, waived and/or reimbursed and recoupments were as follows:

 

FUND

 

Gross
Advisory Fees

   

Waivers AND/OR
Reimbursements

   

RECOUPMENTS

   

Net
Advisory Fees

 

SGI U.S. Large Cap Equity Fund

  $ 1,426,332     $ (87,307 )     55,843     $ 1,394,868  

SGI U.S. Small Cap Equity Fund

    170,282       (46,479 )           123,803  

SGI Global Equity Fund

    429,545       (113,989 )           315,556  

SGI Prudent Growth Fund

    62,736             17,720       80,456  

SGI Peak Growth Fund

    50,034             7,713       57,747  

SGI Small Cap Core Fund

    428,824       (9,804 )     1,059       420,079  

 

As of the end of the reporting period, the Funds had amounts available for recoupment by the Adviser as follows:

 

   

EXPIRATION

 

FUND

 

August 31,
2023

   

August 31,
2024

   

August 31,
2025

   

August 31,
2026

   

TOTAL

 

SGI U.S. Large Cap Equity Fund

  $     $     $ 127,847     $ 87,307     $ 215,154  

SGI U.S. Small Cap Equity Fund

    44,254       75,377       81,169       46,479       247,279  

SGI Global Equity Fund

    29,454       97,962       209,841       113,989       451,246  

SGI Prudent Growth Fund

                             

SGI Peak Growth Fund

                             

SGI Small Cap Core Fund

    50,295       38,737       88,935       9,804       187,771  

 

61

 

 

SUMMIT GLOBAL INVESTMENTS

 

 

Notes to Financial Statements (Continued)

FEBRUARY 28, 2023 (UNAUDITED)

 

U.S. Bancorp Fund Services, LLC, doing business as U.S. Bank Global Fund Services (“Fund Services”), serves as administrator for the Funds. For providing administrative and accounting services, Fund Services is entitled to receive a monthly fee, subject to certain minimum and out of pocket expenses.

 

Fund Services serves as the Funds’ transfer and dividend disbursing agent. For providing transfer agent services, Fund Services is entitled to receive a monthly fee, subject to certain minimum and out of pocket expenses.

 

U.S. Bank, N.A. (the “Custodian”) provides certain custodial services to the Funds. The Custodian is entitled to receive a monthly fee, subject to certain minimum and out of pocket expenses.

 

Quasar Distributors, LLC (the “Distributor”), a wholly-owned broker-dealer subsidiary of Foreside Financial Group, LLC, serves as the principal underwriter and distributor of the Funds’ shares pursuant to a Distribution Agreement with RBB.

 

For compensation amounts paid to Fund Services and the Custodian, please refer to the Statements of Operations.

 

The Board has adopted a Plan of Distribution (the “Plan”) for the Class A Shares and Class C Shares of the Funds pursuant to Rule 12b-1 under the 1940 Act. Under the Plan, the Distributor is entitled to receive from each Fund a distribution fee with respect to the Shares, which is accrued daily and paid monthly, of up to 0.25% on an annualized basis of the average daily net assets of the Class A Shares and up to 1.00% on an annualized basis of the average daily net assets of the Class C Shares. The actual amount of such compensation under the Plan is agreed upon by the Board and by the Distributor. Because these fees are paid out of each Fund’s assets on an ongoing basis, over time these fees will increase the cost of your investment and may cost you more than paying other types of sales charges. Amounts paid to the Distributor under the Plan may be used by the Distributor to cover expenses that are related to (i) the sale of the Shares, (ii) ongoing servicing and/or maintenance of the accounts of shareholders, and (iii) sub-transfer agency services, subaccounting services or administrative services related to the sale of the Shares, all as set forth in each Fund’s 12b-1 Plan.

 

3. DIRECTOR AND OFFICER Compensation

 

The Directors of the Company receive an annual retainer and meeting fees for meetings attended. An employee of Vigilant Compliance, LLC serves as Chief Compliance Officer of the Company. Vigilant Compliance, LLC is compensated for the services provided to the Company. Employees of RBB serve as President, Chief Financial Officer, Chief Operating Officer, Secretary and Director of Marketing & Business Development of the Company. They are compensated for services provided. Certain employees of Fund Services serve as officers of the Company. They are not compensated by the Funds or the Company. For Director and Officer compensation amounts, please refer to the Statements of Operations.

 

4. Purchases and Sales of Investment Securities

 

During the current fiscal period, aggregate purchases and sales of investment securities (excluding short-term investments) of the Funds were as follows:

 

FUND

 

Purchases

   

Sales

 

SGI U.S. Large Cap Equity Fund

  $ 115,920,625     $ 147,961,798  

SGI U.S. Small Cap Equity Fund

    11,632,046       11,214,882  

SGI Global Equity Fund

    49,247,493       41,537,855  

SGI Prudent Growth Fund

    7,429,341       3,363,340  

SGI Peak Growth Fund

    2,450,656       841,917  

SGI Small Cap Core Fund

    42,856,896       41,712,842  

 

There were no purchases or sales of long-term U.S. Government securities during the current fiscal period.

 

62

 

 

SUMMIT GLOBAL INVESTMENTS

 

 

Notes to Financial Statements (continued)

FEBRUARY 28, 2023 (UNAUDITED)

 

5. Federal Income Tax Information

 

The Funds have followed the authoritative guidance on accounting for and disclosure of uncertainty in tax positions, which requires the Funds to determine whether a tax position is more likely than not to be sustained upon examination, including resolution of any related appeals or litigation processes, based on the technical merits of the position. The Funds have determined that there was no effect on the financial statements from following this authoritative guidance. In the normal course of business, the Funds are subject to examination by federal, state and local jurisdictions, where applicable, for tax years for which applicable statutes of limitations have not expired.

 

As of August 31, 2022, the federal tax cost and aggregate gross unrealized appreciation and depreciation of investments held by each Fund were as follows:

 

   

Federal Tax
Cost

   

Unrealized
Appreciation

   

Unrealized
(Depreciation)

   

Net Unrealized
Appreciation/
(Depreciation)

 

SGI U.S. Large Cap Equity Fund

  $ 381,363,652     $ 55,080,122     $ (14,542,874 )   $ 40,537,248  

SGI U.S. Small Cap Equity Fund

    34,929,540       3,815,905       (3,272,759 )     543,146  

SGI Global Equity Fund

    118,253,530       7,506,093       (8,457,004 )     (950,911 )

SGI Prudent Growth Fund

    16,339,656       254,762       (1,103,039 )     (848,277 )

SGI Peak Growth Fund

    13,817,944       403,734       (1,227,087 )     (823,353 )

SGI Small Cap Core Fund

    90,611,134       5,439,564       (7,883,203 )     (2,443,639 )

 

The difference between the book basis and tax basis cost and aggregate gross unrealized appreciation and depreciation of investments is attributable primarily to timing differences related to wash sales and investments in passive foreign investment companies.

 

Distributions to shareholders, if any, from net investment income and realized gains are determined in accordance with federal income tax regulations, which may differ from net investment income and realized gains recognized for financial reporting purposes. Accordingly, the character of distributions and composition of net assets for tax purposes may differ from those reflected in the accompanying financial statements. Any permanent differences resulting from different book and tax treatment are reclassified at year-end and have no impact on net income, NAV or NAV per share of the Funds.

 

Permanent differences as of August 31, 2022, primarily attributable to Net Operating Losses and Deemed Distributions due to Shareholder Redemptions were reclassified among the following accounts:

 

   

Distributable
Earnings/(loss)

   

Paid-in
Capital

 

SGI U.S. Small Cap Equity Fund

  $ 68,004     $ (68,004 )

SGI U.S. Large Cap Equity Fund

    (15,646,968 )     15,646,968  

SGI Global Equity Fund

    (465,660 )     465,660  

SGI Small Cap Core Fund

    (2,855,579 )     2,855,579  

 

63

 

 

SUMMIT GLOBAL INVESTMENTS

 

 

Notes to Financial Statements (continued)

FEBRUARY 28, 2023 (UNAUDITED)

 

As of August 31, 2022, the components of distributable earnings on a tax basis were as follows:

 

FUND

 

Undistributed
Ordinary
Income

   

Undistributed
Long-term
capital gains

   

Capital
Loss Carry
Forward

   

Qualified
Late-
Year Loss
Deferral

   

Other
Temporary
Differences

   

Net
Unrealized
Appreciation/

(Depreciation)

 

SGI U.S. Large Cap Equity Fund

  $ 2,572,173     $ 14,793,607     $     $     $     $ 40,537,248  

SGI U.S. Small Cap Equity Fund

          108,667             (46,844 )           543,146  

SGI Global Equity Fund

    620,241       2,875,971                         (950,911 )

SGI Prudent Growth Fund

                (113,985 )     (52,282 )     (10,699 )     (848,277 )

SGI Peak Growth Fund

                (114,739 )     (103,182 )     (13,304 )     (823,353 )

SGI Small Cap Core Fund

          554,963             (9,611,392 )           (2,443,639 )

 

The differences between the book and tax basis components of distributable earnings relate primarily to wash sales and investments in publicly traded partnerships.

 

The tax character of dividends and distributions paid during the fiscal year ended August 31, 2022 were as follows:

 

FUND

 

Ordinary
Income

   

Long-Term
Gains

   

TOTAL

 

SGI U.S. Large Cap Equity Fund

  $ 22,024,821     $ 52,940,729     $ 74,965,550  

SGI U.S. Small Cap Equity Fund

                 

SGI Global Equity Fund

    2,759,100       2,805,201       5,564,301  

SGI Prudent Growth Fund

    661,801       49,828       711,629  

SGI Peak Growth Fund

    1,309,074       93,998       1,403,072  

SGI Small Cap Core Fund

    23,796,320       1,182,537       24,978,857  

 

Dividends from net investment income and short-term capital gains are treated as ordinary income dividends for federal income tax purposes.

 

Under the Regulated Investment Company Modernization Act of 2010, the Funds are permitted to carry forward capital losses incurred in taxable years beginning after December 22, 2010 for an unlimited period. Additionally, capital losses that are carried forward will retain their character as either short-term or long-term capital losses rather than being considered all short-term as under the previous law. As of August 31, 2022, the SGI Prudent Growth Fund had $113,985 of short-term loss carryovers, and the SGI Peak Growth Fund had $114,739 of short-term loss carryovers. During the fiscal year, the SGI U.S. Small Cap Equity Fund utilized $2,350,826 of carry forward capital losses.

 

64

 

 

SUMMIT GLOBAL INVESTMENTS

 

 

Notes to Financial Statements (continued)

FEBRUARY 28, 2023 (UNAUDITED)

 

Pursuant to federal income tax rules applicable to regulated investment companies, the Fund may elect to treat certain capital losses between November 1 and August 31 and late year ordinary losses ((i) ordinary losses between January 1 and August 31, and (ii) specified ordinary and currency losses between November 1 and August 31) as occurring on the first day of the following tax year. For the fiscal year ended August 31, 2021, any amount of losses elected within the tax return will not be recognized for federal income tax purposes until September 1, 2022.

 

 

Late-year
ordinary loss
deferral

post-october
capital loss
deferral

SGI U.S. Large Cap Equity Fund

$ —

$ —

SGI U.S. Small Cap Equity Fund

46,844

SGI Global Equity Fund

SGI Prudent Growth Fund

52,282

SGI Peak Growth Fund

103,182

SGI Small Cap Core Fund

301,382

9,310,010

 

6. NEW ACCOUNTING PRONOUNCEMENTS AND REGULATORY UPDATES

 

In June 2022, the FASB issued Accounting Standards Update 2022-03, which amends Fair Value Measurement (Topic 820): Fair Value Measurement of Equity Securities Subject to Contractual Sale Restrictions (“ASU 2022-03”). ASU 2022-03 clarifies guidance for fair value measurement of an equity security subject to a contractual sale restriction and establishes new disclosure requirements for such equity securities. ASU 2022-03 is effective for fiscal years beginning after December 15, 2023 and for interim periods within those fiscal years, with early adoption permitted. Management is currently evaluating the impact of these amendments on the financial statements.

 

7. TRANSACTIONS WITH AFFILIATES

 

The following issuers are affiliated with the Funds. Fund of Funds are allowed to invest in other investment companies in excess of the limits imposed, if certain requirement, such as being part of the same group of investment companies, are met. As defined in Section (2)(a)(3) of the Investment Company Act of 1940; such issuers are:

 

   

August 31, 2022

   

Additions

   

Reductions

 

Issuer Name

 

Share
Balance

   

Cost

   

Share
Balance

   

Cost

   

Share
Balance

   

Cost

 

SGI Prudent Growth Fund

                                               

SGI Global Equity Fund

    102,939     $ 3,418,545       22,752     $ 786,376           $ (41,175 )

SGI Small Cap Core Fund

    54,297       1,768,193       10,045       210,505       (1,038 )      

SGI U.S. Large Cap Equity Fund

    101,135       1,861,794       23,928       426,571             (2,885 )

SGI U.S. Small Cap Equity Fund

    53,102       529,357       10,009       110,703       (234 )      
      311,473     $ 7,577,889       66,734     $ 1,534,155       (1,272 )   $ (44,060 )
                                                 

SGI Peak Growth Fund

                                               

SGI Global Equity Fund

    117,522     $ 3,791,859       14,276     $ 468,263           $  

SGI Small Cap Core Fund

    105,973       3,222,151       9,530       233,524       (1,281 )     (50,183 )

SGI U.S. Large Cap Equity Fund

    131,386       2,378,896       17,781       316,065              

SGI U.S. Small Cap Equity Fund

    68,964       660,669       6,013       336,747             (268,318 )
      423,845     $ 10,053,575       47,600     $ 1,354,598       (1,281 )   $ (318,501 )

 

65

 

 

SUMMIT GLOBAL INVESTMENTS

 

 

Notes to Financial Statements (CONCLUDED)

FEBRUARY 28, 2023 (UNAUDITED)

 

   

February 28, 2023

 

Issuer Name

 

Dividend
Income

   

Capital
Gain
Distribution

   

Net Change in
Unrealized
Appreciation/
(Depreciation)

   

Realized
Gain/(Loss)

   

Share
Balance

   

Value

   

Cost

 

SGI Prudent Growth Fund

                                                       

SGI Global Equity Fund

  $ 35,666     $ 92,597     $ (30,966 )   $       125,691     $ 4,127,698     $ 4,163,746  

SGI Small Cap Core Fund

          9,198       125,793       (12,285 )     63,304       1,722,495       1,978,698  

SGI U.S. Large Cap Equity Fund

    22,397       78,450       (55,350 )           125,063       2,173,590       2,285,480  

SGI U.S. Small Cap Equity Fund

          1,953       16,529       (75 )     62,877       726,227       640,060  
    $ 58,063     $ 182,198     $ 56,006     $ (12,360 )     376,935     $ 8,750,010     $ 9,067,984  
                                                         

SGI Peak Growth Fund

                                                       

SGI Global Equity Fund

  $ 37,773     $ 98,067     $ (37,054 )   $       131,798     $ 4,328,236     $ 4,260,122  

SGI Small Cap Core Fund

          16,773       219,155       (14,550 )     114,222       3,107,987       3,405,492  

SGI U.S. Large Cap Equity Fund

    26,986       94,525       (68,779 )           149,167       2,592,524       2,694,961  

SGI U.S. Small Cap Equity Fund

          2,359       19,645             74,977       865,985       729,098  
    $ 64,759     $ 211,724     $ 132,967     $ (14,550 )     470,164     $ 10,894,732     $ 11,089,673  

 

8. SUBSEQUENT EVENTS

 

Management has evaluated the impact of all subsequent events on the Funds through the date the financial statements were issued and has determined that there were no significant events requiring recognition or disclosure in the financial statements.

 

66

 

 

SUMMIT GLOBAL INVESTMENTS

 

 

Other Information (Unaudited)

 

Proxy Voting

 

Policies and procedures that the Funds use to determine how to vote proxies relating to portfolio securities as well as information regarding how the Funds voted proxies relating to portfolio securities for the most recent twelve-month period ended June 30 are available without charge, upon request, by calling (855) 744-8500 and on the Securities and Exchange Commission’s (“SEC”) website at http://www.sec.gov.

 

Quarterly Portfolio Schedules

 

The Company files its complete schedule of portfolio holdings with the SEC for the first and third fiscal quarters of each fiscal year (quarters ended November 30 and May 31) as an exhibit to its report on Form N-PORT. The Company’s Form N-PORT is available on the SEC’s website at http://www.sec.gov.

 

67

 

 

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[THIS PAGE INTENTIONALLY LEFT BLANK]

 

 

Investment Adviser

Summit Global Investments, LLC
620 South Main Street
Bountiful, UT 84010

 

Administrator and Transfer Agent

U.S. Bancorp Fund Services, LLC
P.O. Box 701
Milwaukee, WI 53201

 

Principal Underwriter

Quasar Distributors, LLC
111 E Kilbourn Ave, Suite 2200
Milwaukee, WI 53202

 

Custodian

U.S. Bank, N.A.
1555 North Rivercenter Drive, Suite 302
Milwaukee, WI 53212

 

Independent Registered Public Accounting Firm

Ernst & Young LLP
One Commerce Square
2005 Market Street, Suite 700
Philadelphia, PA 19103

 

Legal Counsel

Faegre Drinker Biddle & Reath LLP
One Logan Square, Suite 2000
Philadelphia, PA 19103-6996

 

SGI-SAR23

 

 

 

 

Semi-Annual Report
February 28, 2023
(Unaudited)

US Treasury 10 Year Note ETF | (Nasdaq: UTEN)

US Treasury 2 Year Note ETF | (Nasdaq: UTWO)

US Treasury 3 Month Bill ETF | (Nasdaq: TBIL)

US Treasury 12 Month Bill ETF | (Nasdaq: OBIL)

Each a series of The RBB Fund, Inc.

 

F/m Investments, LLC d/b/a North Slope Capital, LLC

 

 

 

Table of Contents

 

   

Letter to Shareholders

1

Performance Data

2

Fund Expense Examples

6

Schedules of Investments

8

Financial Statements

12

Notes to Financial Statements

22

Notice to Shareholders

30

 

 

 

 

US Benchmark Series

Letter to Shareholders

February 28, 2023 (Unaudited)

 

F/m Investments LLC
d/b/a North Slope Capital, LLC
3050 K Street NW
Suite 201
Washington, DC 20007

 

US Treasury 3 Month Bill ETF (TBIL)
US Treasury 12 Month Bill ETF (OBIL)
US Treasury 2 Year Note ETF (UTWO)
US Treasury 10 Year Note ETF (UTEN)
The “Funds”

 

March 31, 2023

 

Dear Fellow Shareholder:

 

Over eight months have passed since we launched the first three Funds. Investor interest in the Funds and owning US Treasury securities has not waned. Indeed, rising rates and a continued higher-rate environment have only made the traditional safe haven even more attractive.

 

In August 2022, we launched three of the planned ten US Treasury exchange-traded funds (“ETFs”) to gauge investor interest in a simpler experience to owning on-the-run US Treasury securities. Our solution was the Funds -- the first to own only one US Treasury security. Each Fund aims to provide precise exposure to a single point on the yield curve, in a low cost, tax efficient ETF. Over the subsequent months, the remaining seven US Treasury ETFs were launched. With their listed options market, we believe these products offer investors of all measures a comprehensive US Treasuries toolset. Investors have shared with us how they are using the Funds for strategic and tactical access to US Treasuries, long and short-term exposures, responsive laddered portfolios, structured curve trades, and much more.

 

From the outset, each of the Funds has performed in line with our expectations, delivering monthly income and principal movement in line with its underlying US Treasury security. The high levels of liquidity of the on-the-run US Treasury security each Fund holds has translated into tight spreads and a consistent price experience for investors.

 

As we move through this interest rate cycle, we continue to expect volatile markets. Higher rates are working through our economy and restricting economic growth. We believe to a significant extent, however, the slowing economic growth may not cool inflation enough, which may cause rates to stay high, perhaps for an extended period.

 

That trend should be helpful to income-seeking US Treasury investors.

 

Be well. Do good work. Keep in touch.

 

Respectfully yours,

 

 

 

Alex Morris

 

Peter Baden

 

Marcin Zdunek

 

 

1

 

 

US Treasury 10 Year Note ETF

Performance Data

(Unaudited)

 

AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIODs ENDED February 28, 2023

 

SIX
MONTHS

Since
Inception

Inception
Date

US Treasury 10 Year Note ETF (at NAV)

-4.97%

-7.82%

8/8/2022

US Treasury 10 Year Note ETF (at Market Price)

-4.62%

-7.78%

8/8/2022

ICE BofA Current 10-Year US Treasury Index*

-4.81%

-7.66%(1)

Fund Expense Ratio (2): 0.15%

     

 

The performance data quoted represents past performance and does not guarantee future results. Current performance may be lower or higher. The investment return and principal value of an investment will fluctuate so that shares, when redeemed or sold, may be worth more or less than their original cost. For the most recent month end performance, please call 1-800-617-0004 or visit our website at www.ustreasuryetfs.com. Market price is the price at which shares in the ETF can be bought or sold on the exchanges during trading hours, while the net asset value (NAV) represents the value of each share’s portion of the fund’s underlying assets and cash at the end of the trading day.

 

Not annualized.

 

(1)

Benchmark performance is from inception date of the Fund only and is not the inception date of the benchmark itself.

 

(2)

The expense ratio of the Fund is set forth according to the Prospectus for the Fund and may differ from the expense ratio disclosed in the Financial Highlights table in this report. See the Financial Highlights for most current expense ratio.

 

*

The ICE BofA Current 10-Year US Treasury Index is a single security index comprised of the most recently issued 10-year US Treasury note.

 

 

2

 

 

 

US Treasury 2 Year Note ETF

Performance Data

(Unaudited)

 

AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIODs ENDED February 28, 2023

 

SIX
MONTHS

Since
Inception

Inception
Date

US Treasury 2 Year Note ETF (at NAV)

-0.97%

-1.17%

8/8/2022

US Treasury 2 Year Note ETF (at Market Price)

-0.93%

-1.12%

8/8/2022

ICE BofA Current 2-Year US Treasury Index*

-0.88%

-1.11%(1)

Fund Expense Ratio (2): 0.15%

     

 

The performance data quoted represents past performance and does not guarantee future results. Current performance may be lower or higher. The investment return and principal value of an investment will fluctuate so that shares, when redeemed or sold, may be worth more or less than their original cost. For the most recent month end performance, please call 1-800-617-0004 or visit our website at www.ustreasuryetfs.com. Market price is the price at which shares in the ETF can be bought or sold on the exchanges during trading hours, while the net asset value (NAV) represents the value of each share’s portion of the fund’s underlying assets and cash at the end of the trading day.

 

Not annualized.

 

(1)

Benchmark performance is from inception date of the Fund only and is not the inception date of the benchmark itself.

 

(2)

The expense ratio of the Fund is set forth according to the Prospectus for the Fund and may differ from the expense ratio disclosed in the Financial Highlights table in this report. See the Financial Highlights for most current expense ratio.

 

*

The ICE BofA Current 2-Year US Treasury Index is a single security index comprised of the most recently issued 2-year US Treasury note.

 

 

3

 

 

US Treasury 3 Month Bill ETF

Performance Data

(Unaudited)

 

AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIODs ENDED February 28, 2023

 

SIX
MONTHS

Since
Inception

Inception
Date

US Treasury 3 Month Bill ETF (at NAV)

1.90%

2.00%

8/8/2022

US Treasury 3 Month Bill ETF (at Market Price)

1.92%

2.04%

8/8/2022

ICE BofA US 3-Month Treasury Bill Index*

1.76%

1.88%(1)

Fund Expense Ratio (2): 0.15%

     

 

The performance data quoted represents past performance and does not guarantee future results. Current performance may be lower or higher. The investment return and principal value of an investment will fluctuate so that shares, when redeemed or sold, may be worth more or less than their original cost. For the most recent month end performance, please call 1-800-617-0004 or visit our website at www.ustreasuryetfs.com. Market price is the price at which shares in the ETF can be bought or sold on the exchanges during trading hours, while the net asset value (NAV) represents the value of each share’s portion of the fund’s underlying assets and cash at the end of the trading day.

 

Not annualized.

 

(1)

Benchmark performance is from inception date of the Fund only and is not the inception date of the benchmark itself.

 

(2)

The expense ratio of the Fund is set forth according to the Prospectus for the Fund and may differ from the expense ratio disclosed in the Financial Highlights table in this report. See the Financial Highlights for most current expense ratio.

 

*

The ICE BofA US 3-Month Treasury Bill Index is a single security index comprised of the most recently issued 3-Month Treasury bill .

 

4

 

 

 

US Treasury 12 Month Bill ETF

Performance Data

(Unaudited)

 

AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED February 28, 2023

 

Since
Inception

Inception
Date

US Treasury 12 Month Bill ETF (at NAV)

1.01%

11/14/2022

US Treasury 12 Month Bill ETF (at Market Price)

1.06%

11/14/2022

ICE BofA US 1-Year Treasury Bill Index*

0.91%(1)

Fund Expense Ratio (2): 0.15%

   

 

The performance data quoted represents past performance and does not guarantee future results. Current performance may be lower or higher. The investment return and principal value of an investment will fluctuate so that shares, when redeemed or sold, may be worth more or less than their original cost. For the most recent month end performance, please call 1-800-617-0004 or visit our website at www.ustreasuryetfs.com. Market price is the price at which shares in the ETF can be bought or sold on the exchanges during trading hours, while the net asset value (NAV) represents the value of each share’s portion of the fund’s underlying assets and cash at the end of the trading day.

 

(1)

Benchmark performance is from inception date of the Fund only and is not the inception date of the benchmark itself.

 

(2)

The expense ratio of the Fund is set forth according to the Prospectus for the Fund and may differ from the expense ratio disclosed in the Financial Highlights table in this report. See the Financial Highlights for most current expense ratio.

 

*

The ICE BofA US 1-Year Treasury Bill Index is a single security index comprised of the most recently issued 1-Year Treasury bill .

 

 

5

 

 

US Benchmark Series

Fund Expense Examples

FEBRUARY 28, 2023 (UNAUDITED)

 

As a shareholder of the Fund(s), you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments, (if any) and (2) ongoing costs, including management fees, distribution and/or service (12b-1) fees. These examples are intended to help you understand your ongoing costs (in dollars) of investing in the Fund(s) and to compare these costs with the ongoing costs of investing in other ETFs.

 

These examples are based on an investment of $1,000 invested at the beginning of the six-month period from September 1, 2022 through February 28, 2023, and held for the entire period. For the US Treasury 12 Month Bill ETF, the actual values and expenses are based on the 106-day period from inception on November 14, 2022 through February 28, 2023.

 

ACTUAL EXPENSES

 

The first line of the accompanying table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.

 

HYPOTHETICAL EXAMPLES FOR COMPARISON PURPOSES

 

The second line of the accompanying table provides information about hypothetical account values and hypothetical expenses based on each Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in a Fund and other funds. To do so, compare these 5% hypothetical examples with the 5% hypothetical examples that appear in the shareholder reports of other funds.

 

Please note that the expenses shown in the accompanying table are meant to highlight your ongoing costs only and do not reflect any transactional costs. Therefore, the second line of the accompanying table is useful in comparing ongoing costs only and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.

 

6

 

 

 

US Benchmark Series

Fund Expense Examples (Concluded)

FEBRUARY 28, 2023 (Unaudited)

 

 

Beginning
Account Value
September 1, 2022

Ending
Account Value
February 28,
2023

Expenses
Paid During
Period*

Annualized
Expense
Ratio

Actual
SIX MONTH/ SINCE INCEPTION Total Investment Returns
for the Funds*

US Treasury 10 Year Note ETF

         

Actual

$ 1,000.00

$ 950.30

$ 0.73

0.15%

-4.97%

Hypothetical (5% return before expenses)

1,000.00

1,024.05

0.75

0.15%

N/A

US Treasury 2 Year Note ETF

         

Actual

$ 1,000.00

$ 990.30

$ 0.74

0.15%

-0.97%

Hypothetical (5% return before expenses)

1,000.00

1,024.05

0.75

0.15%

N/A

US Treasury 3 Month Bill ETF

         

Actual

$ 1,000.00

$ 1,019.00

$ 0.75

0.15%

1.90%

Hypothetical (5% return before expenses)

1,000.00

1,024.05

0.75

0.15%

N/A

US Treasury 12 Month Bill ETF

         

Actual

$ 1,000.00

$ 1,010.10

$ 0.44

0.15%

1.01%

Hypothetical (5% return before expenses)

1,000.00

1,024.05

0.75

0.15%

N/A

 

*

Expenses are equal to each Fund’s annualized expense ratio for the period September 1, 2022 through February 28, 2023, multiplied by the average account value over the period, multiplied by the number of days (181) in the most recent fiscal half-year, then divided by 365 to reflect the one-half year period. For the US Treasury 12 Month Bill ETF, the actual dollar amounts shown are expenses paid by the Fund during the period from the inception of the Fund on November 14, 2022 through February 28, 2023 multiplied by 106 days, which is the number of days from the inception of the Fund through February 28, 2023. Each Fund’s ending account value in the first section in the table is based on the actual six-month total investment return for the Fund (with the exception of the US Treasury 12 Month Bill ETF, for which the ending account value is based on the actual since inception total investment return for the Fund).

 

 

7

 

 

US Treasury 10 Year Note ETF

Schedule of Investments

FEBRUARY 28, 2023 (UNAUDITED)

 

 

 

Coupon

   

Maturity
Date

   

Par (000’s)

   

Value

 

 

                               

U.S. GOVERNMENT NOTES/BONDS — 99.8%

                               

U.S. TREASURY NOTE — 99.8%

                               

United States Treasury Note

    3.500 %     02/15/33       9,806     $ 9,482,708  

TOTAL U.S. GOVERNMENT NOTES/BONDS

                               

(Cost $9,594,414)

                            9,482,708  

 

 

 

 

   

 

   

Number of
shares
(0
00’s)

   

 

 
                                 

SHORT-TERM INVESTMENTS — 0.1%

                               

MONEY MARKET DEPOSIT ACCOUNT — 0.1%

                               

U.S. Bank Money Market Deposit Account, 4.25%(a)

                    3       3,357  

TOTAL SHORT-TERM INVESTMENTS

                               

(Cost $3,357)

                            3,357  

TOTAL INVESTMENTS — 99.9%

                               

(Cost $9,597,771)

                            9,486,065  

OTHER ASSETS IN EXCESS OF LIABILITIES — 0.1%

                            12,301  

NET ASSETS — 100.0%

                          $ 9,498,366  

 

(a)

The rate shown is as of February 28, 2023.

 

The accompanying notes are an integral part of these financial statements.

 

8

 

 

 

US Treasury 2 Year Note ETF

Schedule of Investments

FEBRUARY 28, 2023 (UNAUDITED)

 

 

 

Coupon

   

Maturity
Date

   

Par (000’s)

   

Value

 
                                 

U.S. GOVERNMENT NOTES/BONDS — 99.7%

                               

U.S. TREASURY NOTE — 99.7%

                               

United States Treasury Note

    4.625 %     02/28/25       291,413     $ 290,479,569  

TOTAL U.S. GOVERNMENT NOTES/BONDS

                               

(Cost $290,546,568)

                            290,479,569  

 

 

 

 

   

 

   

Number of
shares
(
000’s)

   

 

 
                                 

SHORT-TERM INVESTMENTS — 0.3%

                               

MONEY MARKET DEPOSIT ACCOUNT — 0.3%

                               

U.S. Bank Money Market Deposit Account, 4.25%(a)

                    986       986,117  

TOTAL SHORT-TERM INVESTMENTS

                               

(Cost $986,117)

                            986,117  

TOTAL INVESTMENTS — 100.0%

                               

(Cost $291,532,685)

                            291,465,686  

OTHER ASSETS IN EXCESS OF LIABILITIES — 0.0%

                            18,344  

NET ASSETS — 100.0%

                          $ 291,484,030  

 

(a)

The rate shown is as of February 28, 2023.

 

The accompanying notes are an integral part of these financial statements.

 

 

9

 

 

US Treasury 3 Month Bill ETF

Schedule of Investments

FEBRUARY 28, 2023 (UNAUDITED)

 

 

 

Coupon*

   

Maturity
Date

   

Par (000’s)

   

Value

 
                                 

SHORT-TERM INVESTMENTS — 100.0%

                               

U.S. TREASURY OBLIGATIONS — 99.6%

                               

United States Treasury Bill

    4.534 %     05/25/23       313,767     $ 310,333,212  

TOTAL U.S. TREASURY OBLIGATIONS

                               

(Cost $310,287,357)

                            310,333,212  

 

 

 

 

   

 

   

Number of
shares
(
000’s)

   

 

 
                                 

MONEY MARKET DEPOSIT ACCOUNT — 0.4%

                               

U.S. Bank Money Market Deposit Account, 4.25%(a)

                    1,237       1,236,714  

TOTAL MONEY MARKET DEPOSIT ACCOUNT

                               

(Cost $1,236,714)

                            1,236,714  

TOTAL SHORT-TERM INVESTMENTS — 100.0%

                               

(Cost $311,524,071)

                            311,569,926  

TOTAL INVESTMENTS — 100.0%

                               

(Cost $311,524,071)

                            311,569,926  

LIABILITIES IN EXCESS OF OTHER ASSETS — 0.0%

                            (27,127 )

NET ASSETS — 100.0%

                          $ 311,542,799  

 

*

Short-term investments’ coupon reflects the annualized yield on the date of purchase for discounted investments.

 

(a)

The rate shown is as of February 28, 2023.

 

The accompanying notes are an integral part of these financial statements.

 

10

 

 

 

US Treasury 12 Month Bill ETF

Schedule of Investments

FEBRUARY 28, 2023 (UNAUDITED)

 

 

 

Coupon*

   

Maturity
Date

   

Par (000’s)

   

Value

 
                                 

SHORT-TERM INVESTMENTS — 99.9%

                               

U.S. TREASURY OBLIGATIONS — 99.6%

                               

United States Treasury Bill

    5.081 %     02/22/24       33,007     $ 31,442,134  

TOTAL U.S. TREASURY OBLIGATIONS

                               

(Cost $31,436,206)

                            31,442,134  

 

 

 

 

   

 

   

Number of
shares
(
000’s)

   

 

 
                                 

MONEY MARKET DEPOSIT ACCOUNT — 0.3%

                               

U.S. Bank Money Market Deposit Account, 4.25%(a)

                    103       102,584  

TOTAL MONEY MARKET DEPOSIT ACCOUNT

                               

(Cost $102,584)

                            102,584  

TOTAL SHORT-TERM INVESTMENTS — 99.9%

                               

(Cost $31,538,791)

                            31,544,718  

TOTAL INVESTMENTS — 99.9%

                               

(Cost $31,538,791)

                            31,544,718  

OTHER ASSETS IN EXCESS OF LIABILITIES — 0.1%

                            31,806  

NET ASSETS — 100.0%

                          $ 31,576,524  

 

*

Short-term investments’ coupon reflects the annualized yield on the date of purchase for discounted investments.

 

(a)

The rate shown is as of February 28, 2023.

 

The accompanying notes are an integral part of these financial statements.

 

 

11

 

 

US Benchmark Series

Statements of Assets and Liabilities

FEBRUARY 28, 2023 (UNAUDITED)

 

 

 

US Treasury
10 Year
Note ETF

   

US Treasury
2 Year
Note ETF

   

US Treasury
3 Month
Bill ETF

   

US Treasury
12 Month
Bill ETF

 

ASSETS

                               

Investments in securities of unaffiliated issuers, at value (cost $9,594,414 and $290,546,568, respectively)

  $ 9,482,708     $ 290,479,569     $     $  

Short-term investments, at value (cost $3,357 and $986,117 and $311,524,071 and $31,538,791, respectively)

    3,357       986,117       311,569,926       31,544,718  

Receivables for:

                               

Capital shares sold

          8,244,966       1,000,138       8,019,328  

Interest

    13,333       40,396       1,572       684  

Investments sold

          1,288       156       1,253  

Total assets

    9,499,398       299,752,336       312,571,792       39,565,983  
                                 

LIABILITIES

                               

Payables for:

                               

Investments purchased

          8,236,645       999,147       7,987,368  

Advisory fees

    1,032       31,661       29,846       2,091  

Total liabilities

    1,032       8,268,306       1,028,993       7,989,459  

Net assets

  $ 9,498,366     $ 291,484,030     $ 311,542,799     $ 31,576,524  
                                 

NET ASSETS CONSIST OF:

                               

Par value

  $ 210     $ 6,010     $ 6,230     $ 630  

Paid-in capital

    11,453,049       294,758,618       310,749,305       31,566,906  

Total distributable earnings/(losses)

    (1,954,893 )     (3,280,598 )     787,264       8,988  

Net assets

  $ 9,498,366     $ 291,484,030     $ 311,542,799     $ 31,576,524  
                                 

Shares outstanding ($0.001 par value, 100,000,000 shares authorized)

    210,000       6,010,000       6,230,000       630,000  

Net asset value and redemption price per share

  $ 45.23     $ 48.50     $ 50.01     $ 50.12  

 

 

The accompanying notes are an integral part of these financial statements.

 

12

 

 

 

US Benchmark Series

Statements of Operations

FOR THE SIX MONTHS ENDED FEBRUARY 28, 2023 (UNAUDITED)

 

 

 

US Treasury
10 Year
Note ETF

   

US Treasury
2 Year
Note ETF

   

US Treasury
3 Month
Bill ETF

   

US Treasury
12 Month
Bill ETF
(1)

 

INVESTMENT INCOME

                               

Interest income

  $ 201,760     $ 3,206,120     $ 3,411,758     $ 160,285  

Total investment income

    201,760       3,206,120       3,411,758       160,285  
                                 

EXPENSES

                               

Advisory fees (Note 3)

    9,009       112,514       118,074       4,974  

Total expenses

    9,009       112,514       118,074       4,974  

Net investment income/(loss)

    192,751       3,093,606       3,293,684       155,311  
                                 

NET REALIZED AND UNREALIZED GAIN/(LOSS) FROM INVESTMENTS

                               

Net realized gain/(loss) from investments

    (484,158 )     (4,537,535 )     (168,707 )     (54,533 )

Net realized gain/(loss) from redemption in-kind

    (1,245,348 )     778,852       36,425        

Net change in unrealized appreciation/(depreciation) on investments

    390,349       (61,103 )     45,071       5,927  

Net realized and unrealized gain/(loss)

    (1,339,157 )     (3,819,786 )     (87,211 )     (48,606 )

NET INCREASE/(DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS

  $ (1,146,406 )   $ (726,180 )   $ 3,206,473     $ 106,705  

 

(1)

Inception date of the Fund was November 14, 2022.

 

The accompanying notes are an integral part of these financial statements.

 

 

13

 

 

US Treasury 10 Year Note ETF

Statements of Changes in Net Assets

 

 

 

FOR THE
SIX MONTHS
ENDED
FEBRUARY 28,
2023
(UNAUDITED)

   

FOR THE
Period ENDED
AUGUST 31,
2022
(1)

 

INCREASE/(DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS

               

Net investment income/(loss)

  $ 192,751     $ 33,043  

Net realized gain/(loss) from investments

    (1,729,506 )     (137,849 )

Net change in unrealized appreciation/(depreciation) on investments

    390,349       (502,055 )

NET INCREASE/(DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS

    (1,146,406 )     (606,861 )
                 

DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS FROM:

               

Total distributable earnings

    (201,626 )      

Net decrease in net assets from dividends and distributions to shareholders

    (201,626 )      
                 

CAPITAL SHARE TRANSACTIONS:

               

Proceeds from shares sold

    5,868,843       20,940,800  

Shares redeemed

    (15,356,334 )     (50 )

Net increase/(decrease) in net assets from capital share transactions

    (9,487,491 )     20,940,750  

TOTAL INCREASE/(DECREASE) IN NET ASSETS

    (10,835,523 )     20,333,889  
                 

NET ASSETS:

               

Beginning of period

  $ 20,333,889     $  

End of period

  $ 9,498,366     $ 20,333,889  
                 

SHARE TRANSACTIONS:

               

Shares sold

    130,000       420,001  

Shares redeemed

    (340,000 )     (1 )

Net increase/(decrease) in shares

    (210,000 )     420,000  

 

(1)

Inception date of the Fund was August 8, 2022.

 

The accompanying notes are an integral part of these financial statements.

 

14

 

 

 

US Treasury 2 Year Note ETF

Statements of Changes in Net Assets

 

 

 

FOR THE
SIX MONTHS
ENDED
FEBRUARY 28,
2023
(UNAUDITED)

   

FOR THE
Period ENDED
AUGUST 31,
2022
(1)

 

INCREASE/(DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS

               

Net investment income/(loss)

  $ 3,093,606     $ 17,647  

Net realized gain/(loss) from investments

    (3,758,683 )     (41,291 )

Net change in unrealized appreciation/(depreciation) on investments

    (61,103 )     (5,896 )

NET INCREASE/(DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS

    (726,180 )     (29,540 )
                 

DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS FROM:

               

Total distributable earnings

    (2,524,878 )      

Net decrease in net assets from dividends and distributions to shareholders

    (2,524,878 )      
                 

CAPITAL SHARE TRANSACTIONS:

               

Proceeds from shares sold

    528,223,641       17,936,161  

Shares redeemed

    (251,395,124 )     (50 )

Net increase/(decrease) in net assets from capital share transactions

    276,828,517       17,936,111  

TOTAL INCREASE/(DECREASE) IN NET ASSETS

    273,577,459       17,906,571  
                 

NET ASSETS:

               

Beginning of period

  $ 17,906,571     $  

End of period

  $ 291,484,030     $ 17,906,571  
                 

SHARE TRANSACTIONS:

               

Shares sold

    10,780,000       360,001  

Shares redeemed

    (5,130,000 )     (1 )

Net increase/(decrease) in shares

    5,650,000       360,000  

 

(1)

Inception date of the Fund was August 8, 2022.

 

The accompanying notes are an integral part of these financial statements.

 

 

15

 

 

US Treasury 3 Month Bill ETF

Statements of Changes in Net Assets

 

 

 

FOR THE
SIX MONTHS
ENDED
FEBRUARY 28,
2023
(UNAUDITED)

   

FOR THE
Period ENDED
AUGUST 31,
2022
(1)

 

INCREASE/(DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS

               

Net investment income/(loss)

  $ 3,293,684     $ 54,238  

Net realized gain/(loss) from investments

    (132,282 )     (19,200 )

Net change in unrealized appreciation/(depreciation) on investments

    45,071       784  

NET INCREASE/(DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS

    3,206,473       35,822  
                 

DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS FROM:

               

Total distributable earnings

    (2,455,031 )      

Net decrease in net assets from dividends and distributions to shareholders

    (2,455,031 )      
                 

CAPITAL SHARE TRANSACTIONS:

               

Proceeds from shares sold

    358,852,311       38,808,130  

Shares redeemed

    (86,904,856 )     (50 )

Net increase/(decrease) in net assets from capital share transactions

    271,947,455       38,808,080  

TOTAL INCREASE/(DECREASE) IN NET ASSETS

    272,698,897       38,843,902  
                 

NET ASSETS:

               

Beginning of period

  $ 38,843,902     $  

End of period

  $ 311,542,799     $ 38,843,902  
                 

SHARE TRANSACTIONS:

               

Shares sold

    7,190,000       780,001  

Shares redeemed

    (1,740,000 )     (1 )

Net increase/(decrease) in shares

    5,450,000       780,000  

 

(1)

Inception date of the Fund was August 8, 2022.

 

The accompanying notes are an integral part of these financial statements.

 

16

 

 

 

US Treasury 12 Month Bill ETF

Statement of Changes in Net Assets

 

 

 

FOR THE
PERIOD ENDED
FEBRUARY 28,
2023
(UNAUDITED)
(1)

 

INCREASE/(DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS

       

Net investment income/(loss)

  $ 155,311  

Net realized gain/(loss) from investments

    (54,533 )

Net change in unrealized appreciation/(depreciation) on investments

    5,927  

NET INCREASE/(DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS

    106,705  
         

DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS FROM:

       

Total distributable earnings

    (97,717 )

Net decrease in net assets from dividends and distributions to shareholders

    (97,717 )
         

CAPITAL SHARE TRANSACTIONS:

       

Proceeds from shares sold

    31,567,536  

Shares redeemed

     

Net increase/(decrease) in net assets from capital share transactions

    31,567,536  

TOTAL INCREASE/(DECREASE) IN NET ASSETS

    31,576,524  
         

NET ASSETS:

       

Beginning of period

  $  

End of period

  $ 31,576,524  
         

SHARE TRANSACTIONS:

       

Shares sold

    630,001  

Shares redeemed

    (1 )

Net increase/(decrease) in shares

    630,000  

 

(1)

Inception date of the Fund was November 14, 2022.

 

The accompanying notes are an integral part of these financial statements.

 

 

17

 

 

US Treasury 10 Year Note ETF

Financial Highlights

 

Contained below is per share operating performance data for shares outstanding, total investment return/(loss), ratios to average net assets and other supplemental data for the respective periods. This information has been derived from information provided in the financial statements.

 

 

 

SIX MONTHS
ENDED
FEBRUARY 28,
2023

   

FOR THE
PERIOD
ENDED
AUGUST 31,

 

 

    (UNAUDITED)       2022 (1)  

PER SHARE OPERATING PERFORMANCE

               

Net asset value, beginning of period

  $ 48.41     $ 49.91  

Net investment income/(loss)(2)

    0.73       0.09  

Net realized and unrealized gain/(loss) from investments

    (3.12 )     (1.59 )

Net increase/(decrease) in net assets resulting from operations

    (2.39 )     (1.50 )

Dividends and distributions to shareholders from:

               

Net investment income

    (0.79 )      

Total dividends and distributions to shareholders

    (0.79 )      

Net asset value, end of period

  $ 45.23     $ 48.41  

Market value, end of period

  $ 45.25     $ 48.26  

Total investment return/(loss) on net asset value(3)

    (4.97 )%(5)     (3.00 )%(5)

Total investment return/(loss) on market price(4)

    (4.62 )%(5)     (3.31 )%(5)

RATIOS/SUPPLEMENTAL DATA

               

Net assets, end of period (000’s omitted)

  $ 9,498     $ 20,334  

Ratio of expenses to average net assets

    0.15 %(6)     0.15 %(6)

Ratio of net investment income/(loss) to average net assets

    3.21 %(6)     2.77 %(6)

Portfolio turnover rate

    522 %(5)     97 %(5)

 

(1)

Inception date of the Fund was August 8, 2022.

 

(2)

Per share data calculated using average shares outstanding method.

 

(3)

Total investment return/(loss) on net asset value is calculated assuming a purchase of shares on the first day and a sale of shares on the last day of each period reported and includes reinvestments of dividends and distributions, if any.

 

(4)

Total investment return/(loss) on market price is calculated assuming an initial investment made at the market price on the first day of the period, reinvestment of dividends and distributions at market price during the period and redemption at market price on the last day of the period.

 

(5)

Not annualized.

 

(6)

Annualized.

 

The accompanying notes are an integral part of these financial statements.

 

18

 

 

 

US Treasury 2 Year Note ETF

Financial Highlights

 

Contained below is per share operating performance data for shares outstanding, total investment return/(loss), ratios to average net assets and other supplemental data for the respective periods. This information has been derived from information provided in the financial statements.

 

 

 

SIX MONTHS
ENDED
FEBRUARY 28,
2023

   

FOR THE
PERIOD
ENDED
AUGUST 31,

 
      (UNAUDITED)       2022 (1)  

PER SHARE OPERATING PERFORMANCE

               

Net asset value, beginning of period

  $ 49.74     $ 49.84  

Net investment income/(loss)(2)

    1.00       0.11  

Net realized and unrealized gain/(loss) from investments

    (1.48 )     (0.21 )

Net increase/(decrease) in net assets resulting from operations

    (0.48 )     (0.10 )

Dividends and distributions to shareholders from:

               

Net investment income

    (0.76 )      

Total dividends and distributions to shareholders

    (0.76 )      

Net asset value, end of period

  $ 48.50     $ 49.74  

Market value, end of period

  $ 48.52     $ 49.74  

Total investment return/(loss) on net asset value(3)

    (0.97 )%(5)     (0.20 )%(5)

Total investment return/(loss) on market price(4)

    (0.93 )%(5)     (0.20 )%(5)

RATIOS/SUPPLEMENTAL DATA

               

Net assets, end of period (000’s omitted)

  $ 291,484     $ 17,907  

Ratio of expenses to average net assets

    0.15 %(6)     0.15 %(6)

Ratio of net investment income/(loss) to average net assets

    4.12 %(6)     3.54 %(6)

Portfolio turnover rate

    144 %(5)     100 %(5)

 

(1)

Inception date of the Fund was August 8, 2022.

 

(2)

Per share data calculated using average shares outstanding method.

 

(3)

Total investment return/(loss) on net asset value is calculated assuming a purchase of shares on the first day and a sale of shares on the last day of each period reported and includes reinvestments of dividends and distributions, if any.

 

(4)

Total investment return/(loss) on market price is calculated assuming an initial investment made at the market price on the first day of the period, reinvestment of dividends and distributions at market price during the period and redemption at market price on the last day of the period.

 

(5)

Not annualized.

 

(6)

Annualized.

 

 

The accompanying notes are an integral part of these financial statements.

 

 

19

 

 

US Treasury 3 Month Bill ETF

Financial Highlights

 

Contained below is per share operating performance data for shares outstanding, total investment return/(loss), ratios to average net assets and other supplemental data for the respective periods. This information has been derived from information provided in the financial statements.

 

 

 

SIX MONTHS
ENDED
FEBRUARY 28,
2023

   

FOR THE
PERIOD
ENDED
AUGUST 31,

 

 

    (UNAUDITED)       2022(1)  

PER SHARE OPERATING PERFORMANCE

               

Net asset value, beginning of period

  $ 49.80     $ 49.75  

Net investment income/(loss)(2)

    1.05       0.09  

Net realized and unrealized gain/(loss) from investments

    (0.11 )     (0.04 )

Net increase/(decrease) in net assets resulting from operations

    0.94       0.05  

Dividends and distributions to shareholders from:

               

Net investment income

    (0.73 )      

Total dividends and distributions to shareholders

    (0.73 )      

Net asset value, end of period

  $ 50.01     $ 49.80  

Market value, end of period

  $ 50.03     $ 49.81  

Total investment return/(loss) on net asset value(3)

    1.90 %(5)     0.10 %(5)

Total investment return/(loss) on market price(4)

    1.92 %(5)     0.12 %(5)

RATIOS/SUPPLEMENTAL DATA

               

Net assets, end of period (000’s omitted)

  $ 311,543     $ 38,844  

Ratio of expenses to average net assets

    0.15 %(6)     0.15 %(6)

Ratio of net investment income/(loss) to average net assets

    4.18 %(6)     2.61 %(6)

Portfolio turnover rate

    0 %(5)     0 %(5)

 

(1)

Inception date of the Fund was August 8, 2022.

 

(2)

Per share data calculated using average shares outstanding method.

 

(3)

Total investment return/(loss) on net asset value is calculated assuming a purchase of shares on the first day and a sale of shares on the last day of each period reported and includes reinvestments of dividends and distributions, if any.

 

(4)

Total investment return/(loss) on market price is calculated assuming an initial investment made at the market price on the first day of the period, reinvestment of dividends and distributions at market price during the period and redemption at market price on the last day of the period.

 

(5)

Not annualized.

 

(6)

Annualized.

 

The accompanying notes are an integral part of these financial statements.

 

20

 

 

 

US Treasury 12 Month Bill ETF

Financial Highlights

 

Contained below is per share operating performance data for shares outstanding, total investment return/(loss), ratios to average net assets and other supplemental data for the period. This information has been derived from information provided in the financial statements.

 

 

 

FOR THE
Period
ENDED
FEBRUARY 28,
2023
(1)

 

 

    (UNAUDITED)  

PER SHARE OPERATING PERFORMANCE

       

Net asset value, beginning of period

  $ 50.07  

Net investment income/(loss)(2)

    0.68  

Net realized and unrealized gain/(loss) from investments

    (0.18 )

Net increase/(decrease) in net assets resulting from operations

    0.50  

Dividends and distributions to shareholders from:

       

Net investment income

    (0.45 )

Total dividends and distributions to shareholders

    (0.45 )

Net asset value, end of period

  $ 50.12  

Market value, end of period

  $ 50.15  

Total investment return/(loss) on net asset value(3)

    1.01 %(5)

Total investment return/(loss) on market price(4)

    1.06 %(5)

RATIOS/SUPPLEMENTAL DATA

       

Net assets, end of period (000’s omitted)

  $ 31,577  

Ratio of expenses to average net assets

    0.15 %(6)

Ratio of net investment income/(loss) to average net assets

    4.68 %(6)

Portfolio turnover rate

    0 %(5)

 

(1)

Inception date of the Fund was November 14, 2022.

 

(2)

Per share data calculated using average shares outstanding method.

 

(3)

Total investment return/(loss) on net asset value is calculated assuming a purchase of shares on the first day and a sale of shares on the last day of each period reported and includes reinvestments of dividends and distributions, if any.

 

(4)

Total investment return/(loss) on market price is calculated assuming an initial investment made at the market price on the first day of the period, reinvestment of dividends and distributions at market price during the period and redemption at market price on the last day of the period.

 

(5)

Not annualized.

 

(6)

Annualized.

 

The accompanying notes are an integral part of these financial statements.

 

 

21

 

 

US Benchmark Series

Notes to Financial Statements

FEBRUARY 28, 2023 (UNAUDITED)

 

1. ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES

 

The RBB Fund, Inc. (“RBB” or the “Company”) was incorporated under the laws of the State of Maryland on February 29, 1988 and is registered under the Investment Company Act of 1940, as amended, (the “1940 Act”), as an open-end management investment company. RBB is a “series fund,” which is a mutual fund divided into separate portfolios. Each portfolio is treated as a separate entity for certain matters under the 1940 Act, and for other purposes, and a shareholder of one portfolio is not deemed to be a shareholder of any other portfolio. Currently, RBB has forty-eight separate investment portfolios, including the US Treasury 10 Year Note ETF, the US Treasury 2 Year Note ETF, US Treasury 3 Month Bill ETF, and the US Treasury 12 Month Bill ETF (each a “Fund” and together the “Funds”). The US Treasury 10 Year Note ETF, the US Treasury 2 Year Note ETF and the US Treasury 3 Month Bill ETF commenced investment operations on August 8, 2022. The US Treasury 12 Month Bill ETF commenced investment operations on November 14, 2022.

 

RBB has authorized capital of one hundred billion shares of common stock of which 90.623 billion shares are currently classified into two hundred and thirteen classes of common stock. Each class represents an interest in an active or inactive RBB investment portfolio.

 

The investment objective of the US Treasury 10 Year Note ETF, the US Treasury 2 Year Note ETF, the US Treasury 3 Month Bill ETF, and the US Treasury 12 Month Bill ETF is to seek investment results that correspond (before fees and expenses) generally to the price and yield of its corresponding benchmark index (“Underlying Index”): the ICE BofA Current 10-Year US Treasury Index, ICE BofA Current 2-Year US Treasury Index, ICE BofA US 3-Month Treasury Bill Index, and ICE BofA US 1-Year Treasury Bill Index, respectively.

 

The Funds are investment companies and follow accounting and reporting guidance in the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946 “Financial Services - Investment Companies”.

 

The end of the reporting period for the Funds is February 28, 2023, and the period covered by these Notes to Financial Statements is the six months ended February 28, 2023 (the “current fiscal period”). For the US Treasury 12 Month Bill ETF, the period covered by these Notes to Financial Statements is the since inception period from November 14, 2022 through February 28, 2023 (the “current fiscal period”).

 

PORTFOLIO VALUATION — Each Fund’s net asset value (“NAV”) is calculated once daily at the close of regular trading hours on the New York Stock Exchange (“NYSE”) (generally 4:00 p.m. Eastern time) on each day the NYSE is open. Securities held by the Funds are valued using the closing price or the last sale price on a national securities exchange or the National Association of Securities Dealers Automatic Quotation System (“NASDAQ”) market system where they are primarily traded. Equity securities traded in the over-the-counter (“OTC”) market are valued at their closing prices. If there were no transactions on that day, securities traded principally on an exchange or on NASDAQ will be valued at the mean of the last bid and ask prices prior to the market close. Fixed income securities are valued using an independent pricing service, which considers such factors as security prices, yields, maturities and ratings, and are deemed representative of market values at the close of the market. 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.

 

The Board has adopted a pricing and valuation policy for use by the Fund and its Valuation Designee (as defined below) in calculating the Fund’s NAV. Pursuant to Rule 2a-5 under the 1940 Act, the Fund has designated F/m Investments, LLC d/b/a North Slope Capital, LLC (the “Adviser”) as its “Valuation Designee” to perform all of the fair value determinations as well as to perform all of the responsibilities that may be performed by the Valuation Designee in accordance with Rule 2a-5. The Valuation Designee is authorized to make all necessary determinations of the fair values of portfolio securities and other assets for which market quotations are not readily available or if it is deemed that the prices obtained from brokers and dealers or independent pricing services are unreliable.

 

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.

 

22

 

 

 

US Benchmark Series

Notes to Financial Statements (continued)

FEBRUARY 28, 2023 (UNAUDITED)

 

 

Level 2 – Prices are determined using other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).

 

 

Level 3 – Prices are determined using significant unobservable inputs (including the Funds’ own assumptions in determining the fair value of investments).

 

The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

 

The following is a summary of the inputs used, as of the end of the reporting period, in valuing the Funds’ investments carried at fair value:

 

US TREASURY 10 YEAR NOTE ETF

 

TOTAL

   

LEVEL 1

   

LEVEL 2

   

LEVEL 3

 

U.S. Government Notes/Bonds

  $ 9,482,708     $     $ 9,482,708     $  

Short-Term Investments

    3,357       3,357              

Total Investments*

  $ 9,486,065     $ 3,357     $ 9,482,708     $  

 

US TREASURY 2 YEAR NOTE ETF

 

TOTAL

   

LEVEL 1

   

LEVEL 2

   

LEVEL 3

 

U.S. Government Notes/Bonds

  $ 290,479,569     $     $ 290,479,569     $  

Short-Term Investments

    986,117       986,117              

Total Investments*

  $ 291,465,686     $ 986,117     $ 290,479,569     $  

 

US TREASURY 3 MONTH BILL ETF

 

TOTAL

   

LEVEL 1

   

LEVEL 2

   

LEVEL 3

 

Short-Term Investments

  $ 311,569,926     $ 1,236,714     $ 310,333,212     $  

Total Investments*

  $ 311,569,926     $ 1,236,714     $ 310,333,212     $  

 

US TREASURY 12 MONTH BILL ETF

 

TOTAL

   

LEVEL 1

   

LEVEL 2

   

LEVEL 3

 

Short-Term Investments

  $ 31,544,718     $ 102,584     $ 31,442,134     $  

Total Investments*

  $ 31,544,718     $ 102,584     $ 31,442,134     $  

 

*

Please refer to the Schedule 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 Funds’ investments may fluctuate from period to period. Additionally, the fair value of investments may differ significantly from the values that would have been used had a ready market existed for such investments and may differ materially from the values the Fund may ultimately realize. Further, such investments may be subject to legal and other restrictions on resale or otherwise less liquid than publicly traded securities.

 

For fair valuations using significant unobservable inputs, U.S. generally accepted accounting principles (“U.S. GAAP”) requires each Fund to present a reconciliation of the beginning to ending balances for reported market values that presents changes attributable to total realized and unrealized gains or losses, purchase and sales, and transfers in and out of Level 3 during the

 

 

23

 

 

US Benchmark Series

Notes to Financial Statements (continued)

FEBRUARY 28, 2023 (UNAUDITED)

 

period. Transfers in and out between levels are based on values at the end of the period. A reconciliation of Level 3 investments is presented only if a Fund had an amount of Level 3 investments at the end of the reporting period that was meaningful in relation to its net assets. The amounts and reasons for Level 3 transfers in and out of each level is disclosed when a Fund had an amount of total Level 3 transfers during the reporting period that was meaningful in relation to its net assets as of the end of the reporting period.

 

The Funds did not have any significant Level 3 transfers during the current fiscal period.

 

USE OF ESTIMATES — The preparation of financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates and those differences could be significant.

 

INVESTMENT TRANSACTIONS, INVESTMENT INCOME AND EXPENSES — The Funds record security transactions based on trade date for financial reporting purposes. The cost of investments sold is determined by use of the specific identification method for both financial reporting and income tax purposes in determining realized gains and losses on investments. Interest income (including amortization of premiums and accretion of discounts) is accrued when earned. Dividend income is recorded on the ex-dividend date. Distributions received on securities that represent a return of capital or capital gains are recorded as a reduction of cost of investments and/or as a realized gain. The Funds’ investment income, expenses (other than class specific expenses) and unrealized and realized gains and losses are allocated daily to each class of shares based upon the relative proportion of net assets of each class at the beginning of the day. Certain expenses are shared with The RBB Fund Trust (formerly, PENN Capital Funds Trust) (the “Trust”), a series trust of affiliated funds. Expenses incurred on behalf of a specific class, fund or fund family of the Company or Trust are charged directly to the class, fund or fund family (in proportion to net assets). Expenses incurred for all funds (such as director or professional fees) are charged to all funds in proportion to their average net assets of RBB and the Trust, or in such other manner as the Board deems fair or equitable. Expenses and fees, including investment advisory and administration fees, are accrued daily and taken into account for the purpose of determining the NAV of the Funds.

 

DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS — Each Fund will distribute substantially all of its net investment income and net realized capital gains, if any, to its shareholders. Each Fund expects to declare and pay distributions, if any, monthly, however it may declare and pay distributions more or less frequently. Net realized capital gains (including net short-term capital gains), if any, will be distributed by each Fund at least annually. Brokers may make the DTC book-entry dividend reinvestment service available to their customers who own a Fund’s Shares. If this service is available and used, dividend distributions of both income and capital gains will automatically be reinvested in additional whole Shares of that Fund purchased on the secondary market. Without this service, investors would receive their distributions in cash. In order to achieve the maximum total return on their investments, investors are encouraged to use the dividend reinvestment service. To determine whether the dividend reinvestment service is available and whether there is a commission or other charge for using this service, consult your broker. Brokers may require a Fund’s shareholders to adhere to specific procedures and timetables.

 

U.S. TAX STATUS — No provision is made for U.S. income taxes as it is each Fund’s intention to continue to qualify for and elect the tax treatment applicable to regulated investment companies under Subchapter M of the Internal Revenue Code of 1986, as amended, and make the requisite distributions to its shareholders which will be sufficient to relieve it from U.S. income and excise taxes.

 

CORONAVIRUS (COVID-19) PANDEMIC — The global outbreak of COVID-19 (commonly referred to as “coronavirus”) has disrupted economic markets and the prolonged economic impact is uncertain. Although vaccines for COVID-19 are available, the ultimate economic fallout from the pandemic, and the long-term impact on economies, markets, industries and individual issuers are not known. The operational and financial performance of the issuers of securities in which the Funds invest depends on future developments, including the duration and spread of the outbreak and the pace of recovery which may vary from market to market, and such uncertainty may in turn adversely affect the value and liquidity of the Funds’ investments, impair the Funds’ ability to satisfy redemption requests, and negatively impact the Funds’ performance.

 

OTHER — In the normal course of business, the Funds may enter into contracts that provide general indemnifications. Each Fund’s maximum exposure under these arrangements is dependent on claims that may be made against the Funds in the future, and, therefore, cannot be estimated; however, based on experience, the risk of material loss from such claims is considered remote.

 

24

 

 

 

US Benchmark Series

Notes to Financial Statements (continued)

FEBRUARY 28, 2023 (UNAUDITED)

 

2. INVESTMENT POLICIES AND PRACTICES

 

The sections below describe some of the different types of investments that may be made by the Funds and the investment practices in which the Funds may engage.

 

Cash Equivalents and Short-Term Investments - The Funds may invest in cash, cash equivalents, and a variety of short-term instruments in such proportions as warranted by prevailing market conditions and the Funds’ principal investment strategies. The Funds may temporarily invest without limit in such instruments for liquidity purposes, or in an attempt to respond to adverse market, economic, political or other conditions. During such periods, a Fund may not be able to achieve its investment objective.

 

Illiquid Investments - Pursuant to Rule 22e-4 under the 1940 Act, a Fund may invest up to 15% of its net assets in illiquid investments. An illiquid investment as defined in Rule 22e-4 is an investment that a Fund reasonably expects cannot be sold or disposed of in current market conditions within 7 calendar days or less without the sale or disposition significantly changing the market value of the investment. These investments may include restricted securities and repurchase agreements maturing in more than 7 days. Restricted securities are securities that may not be sold to the public without an effective registration statement under the Securities Act of 1933, as amended (the “1933 Act”), and thus may be sold only in privately negotiated transactions or pursuant to an exemption from registration. Subject to the adoption of guidelines by the Board of Directors of the Company (“Board”), certain restricted securities that may be sold to institutional investors pursuant to Rule 144A under the 1933 Act and non-exempt commercial paper may be determined to be liquid by the Adviser. Illiquid investments involve the risk that the investments will not be able to be sold at the time the Adviser desires or at prices approximating the value at which a Fund is carrying the investments. To the extent an investment held by a Fund is deemed to be an illiquid investment or a less liquid investment, a Fund will be exposed to a greater liquidity risk.

 

Inflation Protected Securities - Each Fund may invest in inflation protected securities. Inflation protected securities are fixed income securities designed to provide protection against the negative effects of inflation. Two structures are common. The U.S. Treasury and some other issuers use a structure that accrues inflation into the principal value of the bond. Most other issuers pay out the inflation accruals as part of a semiannual coupon.

 

Other Investment Companies - Each Fund may invest in other investment companies, including open-end funds, closed-end funds, unit investment trusts, and exchange-traded funds (“ETFs”) registered under the 1940 Act that invest primarily in Fund eligible investments. Under the 1940 Act, a Fund’s investment in such securities is generally limited to 3% of the total voting stock of any one investment company; 5% of such Fund’s total assets with respect to any one investment company; and 10% of such Fund’s total assets in the aggregate. A Fund’s investments in other investment companies may include money market mutual funds. Investments in money market funds are not subject to the percentage limitations set forth above. The SEC has adopted revisions to the rules permitting funds to invest in other investment companies in excess of the limits described above. While Rule 12d1-4 permits more types of fund of fund arrangements without reliance on an exemptive order or no-action letters, it imposes new conditions, including limits on control and voting of acquired funds’ shares, evaluations and findings by investment advisers, fund investment agreements, and limits on most three-tier fund structures. Rule 12d1-4 went into effect on January 19, 2021. The rescission of the applicable exemptive orders and the withdrawal of the applicable no-action letters was effective on January 19, 2022. These regulatory changes may adversely impact a Fund’s investment strategies and operations.

 

U.S. Government Securities - Each Fund may invest in U.S. government securities, including bills, notes and bonds differing as to maturity and rates of interest, which are either issued or guaranteed by the U.S. Treasury or by U.S. government agencies or instrumentalities. U.S. government agency securities include securities issued by (a) the Federal Housing Administration, Farmers Home Administration, Export-Import Bank of the United States, Small Business Administration, and the Government National Mortgage Association, whose securities are supported by the full faith and credit of the United States; (b) the Federal Home Loan Banks, Federal Intermediate Credit Banks, and the Tennessee Valley Authority, whose securities are supported by the right of the agency to borrow from the U.S. Treasury; (c) the Federal National Mortgage Association, whose securities are supported by the discretionary authority of the U.S. government to purchase certain obligations of the agency or instrumentality; and (d) the Student Loan Marketing Association, whose securities are supported only by its credit. While the U.S. government provides financial support to such U.S. government-sponsored agencies or instrumentalities, no assurance can be given that it always will do so since it is not so obligated by law. The U.S. government, its agencies and instrumentalities do not guarantee the market value of their securities, and consequently, the value of such securities may fluctuate.

 

 

25

 

 

US Benchmark Series

Notes to Financial Statements (continued)

FEBRUARY 28, 2023 (UNAUDITED)

 

Zero-Coupon and Step Coupon Securities - Each Fund may invest in zero-coupon and step coupon securities. Zero-coupon securities pay no cash income to their holders until they mature. When held to maturity, their entire return comes from the difference between their purchase price and their maturity value. Step coupon securities are debt securities that may not pay interest for a specified period of time and then, after the initial period, may pay interest at a series of different rates. Both zero-coupon and step coupon securities are issued at substantial discounts from their value at maturity. Because interest on these securities is not paid on a current basis, the values of securities of this type are subject to greater fluctuations than are the value of securities that distribute income regularly and may be more speculative than such securities. Accordingly, the values of these securities may be highly volatile as interest rates rise or fall. In addition, while such securities generate income for purposes of generally accepted accounting standards, they do not generate cash flow and thus could cause a Fund to be forced to liquidate securities at an inopportune time in order to distribute cash, as required by the Code.

 

Temporary Investments - During periods of adverse market or economic conditions, a Fund may temporarily invest all or a substantial portion of its assets in high-quality, fixed-income securities, money market instruments, and shares of money market mutual funds, or it may hold cash. At such times, a Fund would not be pursuing its stated investment objective with its usual investment strategies. A Fund may also hold these investments for liquidity purposes. Fixed-income securities will be deemed to be of high quality if they are rated “A” or better by S&P or Moody’s or, if unrated, are determined to be of comparable quality by the Adviser. Money market instruments are high-quality, short-term fixed-income obligations (which generally have remaining maturities of one year or less) and may include U.S. Government Securities, commercial paper, certificates of deposit and banker’s acceptances issued by domestic branches of U.S. banks that are members of the Federal Deposit Insurance Corporation, and repurchase agreements for U.S. Government Securities.

 

In lieu of purchasing money market instruments, the Fund may purchase shares of money market mutual funds that invest primarily in U.S. Government Securities and repurchase agreements involving those securities, subject to certain limitations imposed by the 1940 Act. A Fund, as an investor in a money market fund, will indirectly bear that fund’s fees and expenses, which will be in addition to the fees and expenses of the Fund. Repurchase agreements involve certain risks not associated with direct investments in debt securities.

 

3. INVESTMENT ADVISER AND OTHER SERVICES

 

Each Fund pays all of its expenses other than those expressly assumed by the Adviser. Expenses of each Fund are deducted from the Fund’s total income before dividends are paid. Subject to the supervision of the Board, the Adviser manages the overall investment operations of each Fund in accordance with the Fund’s respective investment objective and policies and formulates a continuing investment strategy for each Fund pursuant to the terms of the Investment Advisory Agreement between the Adviser and the Company on behalf of each Fund. The Adviser is controlled by Diffractive Managers Group, LLC, a Delaware limited liability company, and EQSF Holdings, LLC, a Delaware limited liability company owned by three officers of the Company. Prior to January 31, 2023, the Adviser was controlled by F/m Acceleration, LLC. Diffractive Managers Group, LLC acquired all of the assets and liabilities of F/m Acceleration, LLC on January 31, 2023. The Funds compensate the Adviser with a unitary management fee for its services at an annual rate of 0.15% of each Fund’s average daily net assets during the month. From the unitary management fee, the Adviser pays most of the expenses of each Fund, including transfer agency, custody, fund administration, legal, audit and other services. However, under the Advisory Agreement, the Adviser is not responsible for interest expenses, brokerage commissions and other trading expenses, taxes and other extraordinary costs such as litigation and other expenses not incurred in the ordinary course of business. The Adviser will not be liable for any error of judgment, mistake of law, or for any loss suffered by a Fund in connection with the performance of the Advisory Agreement, except a loss resulting from a breach of fiduciary duty with respect to the receipt of compensation for services or a loss resulting from willful misfeasance, bad faith or gross negligence on the part of the Adviser in the performance of its duties, or from reckless disregard of its obligations and duties under the Advisory Agreement.

 

26

 

 

 

US Benchmark Series

Notes to Financial Statements (continued)

FEBRUARY 28, 2023 (UNAUDITED)

 

During the current fiscal period, investment advisory fees accrued were as follows:

 

FUND

 

ADVISORY FEES

 

US Treasury 10 Year Note ETF

  $ 9,009  

US Treasury 2 Year Note ETF

    112,514  

US Treasury 3 Month Bill ETF

    118,074  

US Treasury 12 Month Bill ETF

    4,974  

 

U.S. Bancorp Fund Services, LLC (“Fund Services”), doing business as U.S. Bank Global Fund Services, serves as administrator for the Funds. For providing administrative and accounting services, Fund Services is entitled to receive a monthly fee, subject to certain minimum and out of pocket expenses.

 

Fund Services serves as the Funds’ transfer and dividend disbursing agent. For providing transfer agent services, Fund Services is entitled to receive a monthly fee, subject to certain minimum and out of pocket expenses.

 

U.S. Bank, N.A. (the “Custodian”) provides certain custodial services to the Funds. The Custodian is entitled to receive a monthly fee, subject to certain minimum and out of pocket expenses.

 

Quasar Distributors, LLC (“Quasar”), a wholly-owned broker-dealer subsidiary of Foreside Financial Group, LLC, serves as the principal underwriter and distributor of the Funds’ shares pursuant to a Distribution Agreement with RBB.

 

Under the Funds’ unitary fee, the Adviser compensates Fund Services and the Custodian for services provided.

 

DIRECTOR AND OFFICER COMPENSATION — The Directors of the Company receive an annual retainer and meeting fees for meetings attended. An employee of Vigilant Compliance, LLC serves as Chief Compliance Officer of the Company. Vigilant Compliance, LLC is compensated for the services provided to the Company. Employees of RBB serve as President, Chief Financial Officer, Chief Operating Officer, Secretary and Director of Marketing & Business Development of the Company. They are compensated by the Company for services provided. Certain employees of Fund Services serve as officers of the Company. They are not compensated by the Funds or the Company. As of the end of the reporting period, there were no director and officer fees charged or paid by the Funds.

 

4. PURCHASES AND SALES OF INVESTMENT SECURITIES

 

During the current fiscal period, aggregate purchases and sales and maturities of investment securities (excluding in-kind transactions and short-term investments) of the Funds were as follows:

 

FUND

 

U.S. GOVERNMENT
PURCHASES

   

U.S. GOVERNMENT
SALES

 

US Treasury 10 Year Note ETF

  $ 17,768,194     $ 17,825,569  

US Treasury 2 Year Note ETF

    1,064,155,366       803,789,828  

US Treasury 3 Month Bill ETF

           

US Treasury 12 Month Bill ETF

           

 

 

27

 

 

US Benchmark Series

Notes to Financial Statements (continued)

FEBRUARY 28, 2023 (UNAUDITED)

 

During the current fiscal period, aggregate purchases and sales of in-kind transactions (excluding short-term investments) of the Funds were as follows:

 

FUND

 

U.S. GOVERNMENT
IN-KIND PURCHASES

   

U.S. GOVERNMENT
IN-KIND SALES

 

US Treasury 10 Year Note ETF

  $ 5,840,102     $ 15,249,878  

US Treasury 2 Year Note ETF

    267,095,384       251,085,821  

US Treasury 3 Month Bill ETF

           

US Treasury 12 Month Bill ETF

           

 

5. FEDERAL INCOME TAX INFORMATION

 

The Funds have followed the authoritative guidance on accounting for and disclosure of uncertainty in tax positions, which requires the Funds to determine whether a tax position is more likely than not to be sustained upon examination, including resolution of any related appeals or litigation processes, based on the technical merits of the position. The Funds have determined that there was no effect on the financial statements from following this authoritative guidance. In the normal course of business, the Funds are subject to examination by federal, state and local jurisdictions, where applicable, for tax years for which applicable statutes of limitations have not expired. Since the Funds did not have a full fiscal year, the tax cost of investments is the same as noted in the Schedule of Investments.

 

As of August 31, 2022, the federal tax cost, aggregate gross unrealized appreciation and depreciation of securities held by each Fund were as follows:

 

FUND

 

FEDERAL
TAX COST

   

UNREALIZED
APPRECIATION

   

UNREALIZED
(DEPRECIATION)

   

NET UNREALIZED
APPRECIATION/
(DEPRECIATION)

 

US Treasury 10 Year Note ETF

  $ 20,811,076     $     $ (502,055 )   $ (502,055 )

US Treasury 2 Year Note ETF

    17,911,610       13       (5,909 )     (5,896 )

US Treasury 3 Month Bill ETF

    38,846,224       784             784  

 

Distributions to shareholders, if any, from net investment income and realized gains are determined in accordance with federal income tax regulations, which may differ from net investment income and realized gains recognized for financial reporting purposes. Accordingly, the character of distributions and composition of net assets for tax purposes may differ from those reflected in the accompanying financial statements. To the extent these differences are permanent, such amounts are reclassified within the capital accounts based on the tax treatment; temporary differences do not require such reclassification.

 

As of August 31, 2022, there were no permanent differences between distributable earnings/(loss) and paid-in capital, respectively.

 

As of August 31, 2022, the components of distributable earnings on a tax basis were as follows:

 

FUND

 

UNDISTRIBUTED
ORDINARY
INCOME

   

UNDISTRIBUTED
LONG-TERM
CAPITAL GAINS

   

Net UNREALIZED
APPRECIATION/
(DEPRECIATION)

   

CAPITAL
LOSS
CARRYOVER

   

QUALIFIED LATE-
YEAR LOSS

 

US Treasury 10 Year Note ETF

  $ 33,043     $     $ (502,055 )   $ (137,849 )   $  

US Treasury 2 Year Note ETF

    17,647             (5,896 )     (41,291 )      

US Treasury 3 Month Bill ETF

    54,238             784       (19,200 )      

 

28

 

 

 

US Benchmark Series

Notes to Financial Statements (concluded)

FEBRUARY 28, 2023 (UNAUDITED)

 

The differences between the book and tax basis components of distributable earnings relate primarily to the timing of recognition of income and gains for federal income tax purposes.

 

Under the Regulated Investment Company Modernization Act of 2010, the Funds are permitted to carry forward capital losses incurred in taxable years beginning after December 22, 2010 for an unlimited period. Additionally, capital losses that are carried forward will retain their character as either short-term or long-term capital losses rather than being considered all short-term as under the previous law. As of August 31, 2022, the US Treasury 10 Year Note ETF had unexpiring short-term losses of $137,849, the US Treasury 2 Year Note ETF had unexpiring short-term losses of $41,291 and the US Treasury 3 Month Bill ETF had unexpiring short-term losses of $19,200.

 

6. SHARE TRANSACTIONS

 

Shares of the Funds are listed and traded on the NASDAQ, Inc. (the “Exchange”). Market prices for the shares may be different from their NAV. Each Fund issues and redeems shares on a continuous basis at NAV only in blocks of 10,000 shares, called “Creation Units.” Creation Units are issued and redeemed principally in-kind for securities included in a specified universe. Once created, shares generally trade in the secondary market at market prices that change throughout the day. Except when aggregated in Creation Units, shares are not redeemable securities of each Fund. Creation Units may only be purchased or redeemed by certain financial institutions (“Authorized Participants”). An Authorized Participant is either (i) a broker-dealer or other participant in the clearing process through the Continuous Net Settlement System of the National Securities Clearing Corporation or (ii) a Depository Trust Company participant and, in each case, must have executed a Participant Agreement with the Distributor. Most retail investors do not qualify as Authorized Participants nor have the resources to buy and sell whole Creation Units. Therefore, they are unable to purchase or redeem shares directly from each Fund. Rather, most retail investors may purchase shares in the secondary market with the assistance of a broker and are subject to customary brokerage commissions or fees.

 

Each Fund currently offers one class of shares, which has no front-end sales load, no deferred sales charge, and no redemption fee. A fixed transaction fee is imposed for the transfer and other transaction costs associated with the purchase or sale of Creation Units. The standard fixed transaction fee for each Fund is $300, payable to the custodian. In addition, a variable fee may be charged on all cash transactions or substitutes for Creation Units of up to a maximum of 2% as a percentage of the value of the Creation Units subject to the transaction. Variable fees are imposed to compensate each Fund for the transaction costs associated with the cash transactions. Variable fees received by each Fund, if any, are displayed in the capital shares transactions section of the Statements of Changes in Net Assets.

 

7. NEW ACCOUNTING PRONOUNCEMENTS AND REGULATORY UPDATES

 

In June 2022, the FASB issued Accounting Standards Update 2022-03, which amends Fair Value Measurement (Topic 820): Fair Value Measurement of Equity Securities Subject to Contractual Sale Restrictions (“ASU 2022-03”). ASU 2022-03 clarifies guidance for fair value measurement of an equity security subject to a contractual sale restriction and establishes new disclosure requirements for such equity securities. ASU 2022-03 is effective for fiscal years beginning after December 15, 2023 and for interim periods within those fiscal years, with early adoption permitted. Management is currently evaluating the impact of these amendments on the financial statements.

 

8. SUBSEQUENT EVENTS

 

Management has evaluated the impact of all subsequent events on the Funds through the date the financial statements were issued and has determined that there was the following subsequent event:

 

Special Meeting of Shareholders to consider Approval of New Investment Advisory Agreement

 

On March 28, 2023, a special meeting of shareholders of the Funds (the “Special Meeting”) was held, at which shareholders were asked to consider the approval of a new investment advisory agreement between the Adviser and the Company on behalf of the Funds (the “New Investment Advisory Agreement”). The Special Meeting was adjourned to April 18, 2023. At the adjourned Special Meeting, shareholders of the US Treasury 10 Year Note ETF and US Treasury 12 Month Bill ETF approved the New Investment Advisory Agreement. As described in the Funds’ definitive proxy statement filed with the SEC on March 9, 2023, the unitary management fees payable to the Adviser under the New Investment Advisory Agreement are the same as the unitary management fees payable under the Funds’ previously existing advisory agreement, and the investment advisory personnel who provided services to the Funds under the previously existing investment advisory agreement are expected to continue to do so under the New Investment Advisory Agreement.

 

The Special Meeting, for shareholders of the Funds was first adjourned until April 18, 2023, and further adjourned until May 5, 2023.

 

 

29

 

 

US Benchmark Series

Notice to Shareholders

(Unaudited)

 

INFORMATION ON PROXY VOTING

 

Policies and procedures that the Funds use to determine how to vote proxies relating to portfolio securities as well as information regarding how the Funds voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 are available (i) without charge, upon request, by calling (800)-617-0004; and (ii) on the SEC’s website at http://www.sec.gov.

 

QUARTERLY SCHEDULE OF INVESTMENTS

 

The Company files a complete schedule of portfolio holdings with the SEC for the first and third fiscal quarters of each fiscal year (quarters ended November 30 and May 31) as an exhibit to its report on Form N-PORT. The Company’s Forms N-PORT are available on the SEC’s website at http://www.sec.gov.

 

FREQUENCY DISTRIBUTIONS OF PREMIUMS AND DISCOUNTS

 

Information regarding how often shares of the Funds trade on an exchange at a price above (i.e., at a premium) or below (i.e., at a discount) the NAV of the Funds is available, without charge, on the Funds’ website at www.ustreasuryetf.com.

 

APPROVAL OF INVESTMENT ADVISORY AGREEMENT

 

As required by the 1940 Act, the Board, including all of the Directors who are not “interested persons” of the Company, as that term is defined in the 1940 Act (the “Independent Directors”), considered the approval of the investment advisory agreement between the Adviser and the Company (the “Investment Advisory Agreement”) on behalf of the US Treasury 12 Month Bill ETF (the “Fund”), at meetings of the Board held on May 11-12, 2022 and July 26, 2022 (collectively, the “Meeting”). At the Meeting, the Board, including all of the Independent Directors, approved the Investment Advisory Agreement for an initial term. The Board’s decision to approve the Investment Advisory Agreement reflects the exercise of its business judgment. In approving the Investment Advisory Agreement, the Board considered information provided by the Adviser with the assistance and advice of counsel to the Independent Directors and the Company.

 

In considering the approval of the Investment Advisory Agreement between the Company and the Adviser with respect to the Fund, the Directors took into account all the materials provided prior to and during the Meeting and at other meetings throughout the past year, the presentations made during the Meeting, and the discussions held during the Meeting. The Directors reviewed these materials with management of the Adviser and discussed the Investment Advisory Agreement with counsel in an executive session, at which no representatives of the Adviser were present. Among other things, the Directors considered (i) the nature, extent, and quality of the Adviser’s services to be provided to the Fund; (ii) descriptions of the experience and qualifications of the Adviser’s personnel providing those services; (iii) the Adviser’s investment philosophies and processes; (iv) the Adviser’s assets under management and client descriptions; (v) the Adviser’s advisory fee arrangement with the Company; (vi) the Adviser’s compliance policies and procedures; (vii) the Adviser’s financial information, insurance coverage and profitability analysis related to providing advisory services to the Fund; (viii) the extent to which economies of scale are relevant to the Fund; and (ix) information comparing the Fund’s proposed management fee to those of peer funds. The Directors noted that the Fund had not yet commenced operations, and consequently there was no performance information to review with respect to the Fund.

 

As part of their review, the Directors considered the nature, extent and quality of the services to be provided by the Adviser. The Directors concluded that the Adviser had substantial resources to provide services to the Fund.

 

The Board also considered the effect of the unitary management fee payable by the Fund under the Advisory Agreement. In this regard, information on the fees to be paid by the Fund and the Fund’s total operating expense ratio was compared to similar information for ETFs advised by other, unaffiliated investment advisory firms.

 

After reviewing the information regarding the Adviser’s estimated costs, profitability and economies of scale, and after considering the services to be provided by the Adviser, the Directors concluded that the unitary management fees to be paid by the Fund to the Adviser was fair and reasonable and that the Investment Advisory Agreement should be approved for an initial period ending August 16, 2023.

 

30

 

 

 

US Benchmark Series

Notice to Shareholders (continued)

(Unaudited)

 

APPROVAL OF NEW AND INTERIM INVESTMENT ADVISORY AGREEMENTS

 

As required by the 1940 Act, the Board, including a majority of the Directors who are not “interested persons” of the Company, as that term is defined in the 1940 Act (the “Independent Directors”, considered the approval of an interim advisory agreement between the Company and the Adviser (the “Interim Advisory Agreement”), at a meeting of the Board held on January 27, 2023 and reconvened on January 30, 2023 (the “January Meeting”) and the approval of a new investment advisory agreement between the Company and the Adviser (the “New Advisory Agreement” and, together with the Interim Advisory Agreement, the “Advisory Agreements”) at a meeting of the Board held on February 8-9, 2023 (collectively with the January Meeting, the “Meeting”). At the Meeting, the Board, including all of the Independent Directors, approved the Advisory Agreements. The Board’s decision to approve the Advisory Agreements reflects the exercise of its business judgment.

 

In considering the approval of the Advisory Agreements, the Board, with the assistance of independent counsel, considered its legal responsibilities with regard to all factors deemed to be relevant to the Funds. The Board evaluated the Advisory Agreements in light of all the materials provided prior to and during the Meeting and at other meetings that preceded the Meeting, the presentations made during the Meeting and the discussions held during the Meeting. The Directors reviewed these materials with management of F/m and discussed the Advisory Agreements with counsel in executive sessions at which no representatives of F/m were present. The Directors considered whether approval of the Advisory Agreements would be in the best interests of each Fund and its shareholders and the overall fairness of the Advisory Agreements. Among other things, the Directors considered information concerning: (i) the nature, extent and quality of the services provided by the Adviser to the Funds; (ii) descriptions of the experience and qualifications of the Adviser’s personnel providing those services; (iii) the Adviser’s investment philosophies and processes; (iv) the Adviser’s assets under management and client descriptions; (v) the Adviser’s management fee arrangement with the Company; (vi) the Adviser’s compliance policies and procedures; (vii) the Adviser’s financial information, insurance coverage and profitability analysis related to its provision of advisory services to the Funds; (viii) the extent to which economies of scale are relevant to the Funds; (ix) information regarding each Fund’s fees relative to other funds with similar investments and structure; and (x) information regarding the performance of each Fund relative to its benchmark index.

 

Nature, Extent and Quality of Services Provided to the Funds. The Directors evaluated the nature, extent and quality of the services that the Adviser would provide under the Advisory Agreements, which are the same services that the Adviser provided under the Funds’ original investment advisory agreement with the Adviser (the “Original Agreement”), on the basis of the functions that the Adviser performs, and the quality and stability of the staff committed to those functions, the Adviser’s compliance record and financial condition and its background and history in providing services to the Funds under the Original Agreement. The Directors also considered the fact that the Adviser had not experienced any significant legal, compliance or regulatory difficulties in connection with the services provided by the Adviser to the Funds. Based on the information provided and the Directors’ prior experience with the Adviser, the Directors concluded that the nature and extent of the services that the Adviser would provide under the Advisory Agreements, as well as the quality of those services, was satisfactory.

 

In this regard, the Directors considered representations by the Adviser that the acquisition of the Adviser’s parent company by Diffractive Managers Group, LLC (the “Acquisition”) would not lead to a reduction in the quality or scope of services provided to the Funds. The Directors took into account that there would be no change (including change to the unitary management fee structure) that would adversely impact the Adviser’s ability to provide the same quality of services as were provided in the past; that the Adviser would be sufficiently capitalized following the Acquisition to continue its operations; that there are no material litigation, or regulatory or administrative proceedings pending against the Adviser or its principal executive officers related to services that the Adviser provides to the Funds alleging violations of securities or related laws, fraudulent conduct, breach of fiduciary duty, or similar violations; that there are no pending regulatory inquiries by the SEC or other regulators involving the Adviser related to services that the Adviser provides to the Funds; that there are no material compliance issues since the approval of the Original Agreement; that the Funds would not bear any expenses related to the Acquisition, including expenses related to the proxy statement; and that there are no planned fee increases for the Funds over the next two years.

 

Costs of Services Provided and Profits Realized by the Adviser. The Directors examined fee information for each Fund, including a comparison of such information to other similarly situated funds, and the total expense ratio of each Fund. In this regard, the Directors noted that the unitary management fees and total expenses of each Fund were not expected to change as a result of the Acquisition or approval of the Advisory Agreements. The Directors also reviewed analyses of the Adviser’s estimated profitability

 

 

31

 

 

US Benchmark Series

Notice to Shareholders (conCLUDED)

(Unaudited)

 

related to its provision of advisory services to the Funds. Based on the information provided, the Directors concluded that the amount of unitary management fees that the Funds currently pay, and would pay under the Advisory Agreements, to the Adviser are reasonable in light of the nature and quality of the services provided.

 

Investment Performance of the Funds. The Directors reviewed information concerning each Fund’s investment performance, both absolutely as well as compared to its benchmark index. The Directors also considered the Adviser’s quarterly portfolio reviews explaining the Funds’ performance and the investment strategies it employs for the Funds. After considering all of the information, the Directors concluded that, although past performance is not a guarantee of future results, the Funds and their shareholders were likely to benefit from the Adviser’s continued provision of investment management services.

 

Economies of Scale and Fee Levels Reflecting Those Economies. In considering the overall fairness of the Advisory Agreements, the Directors assessed the degree to which economies of scale that would be expected to be realized if the Funds’ assets increase, whether the Funds were large enough to generate economies of scale, and the extent to which fee levels would reflect those economies of scale for the benefit of the Funds’ shareholders. The Directors noted that each Fund’s management fee structure did not contain any breakpoint reductions as the Fund’s assets grew in size, but that the feasibility of incorporating breakpoints would continue to be reviewed on a regular basis. The Directors determined that the fee schedules in the Advisory Agreements are reasonable and appropriate.

 

Other Benefits to the Adviser. In addition to the above factors, the Directors also considered other benefits received by the Adviser from its management of the Funds, including, without limitation, the ability to market its advisory services for similar products in the future.

 

The Directors also considered that they would be able to, and intended to, monitor on a regular basis the ability of the Adviser and its affiliates to comply with their undertakings to the Board and to monitor on an ongoing basis the quality of services to, and expenses of, the Funds. In addition, the Directors considered that, under the Interim Advisory Agreement, the Board would have the authority, should the need arise in its view, to terminate the Interim Advisory Agreement without penalty upon 10 days’ notice to the Adviser.

 

No single factor was determinative of the Board’s decision to approve the Advisory Agreements; rather, each Independent Director based their determination on the total mix of information available to them. Based on a consideration of all the factors in their totality, the Independent Directors determined that the Advisory Agreements are fair and reasonable to each Fund. The Board, including all of the Independent Directors, therefore determined that the approval of the Advisory Agreements is in the best interests of each Fund and its shareholders and that (i) the Interim Advisory Agreement should be approved for a term ending upon the earlier of June 30, 2023 or the date upon which shareholder approval of the New Advisory Agreement with respect to a Fund is obtained and (ii) the New Advisory Agreement should be approved, subject to shareholder approval, for an initial term ending August 31, 2024.

 

32

 

 

 

Investment Adviser

F/m Investments, LLC d/b/a North Slope Capital, LLC
3050K Street NW, Suite W-201
Washington, DC 20007

 

Administrator and Transfer Agent

U.S.Bank Global Fund Services
P.O. Box 701
Milwaukee, Wisconsin 53201-0701

 

Custodian

U.S. Bank, N.A.
1555 North River Center Drive, Suite 302
Milwaukee, Wisconsin 53212

 

Independent Registered Public Accounting Firm

Cohen & Company, Ltd.
1350 Euclid Avenue, Suite 800
Cleveland, Ohio 44115

 

Underwriter

Quasar Distributors, LLC
111 East Kilbourn Avenue, Suite 2200
Milwaukee, Wisconsin 53202

 

Legal Counsel

Faegre Drinker Biddle & Reath LLP
One Logan Square, Suite 2000
Philadelphia, Pennsylvania 19103-6996

 

 

33

 

 

 

 

(b) Not applicable

 

Item 2. Code of Ethics.

 

Not applicable for semi-annual reports.

 

Item 3. Audit Committee Financial Expert.

 

Not applicable for semi-annual reports.

 

Item 4. Principal Accountant Fees and Services.

 

Not applicable for semi-annual reports.

 

Item 5. Audit Committee of Listed Registrants.

 

Not applicable to open-end investment companies.

 

Item 6. Investments.

 

(a)The Schedule of Investments is included as part of the report to shareholders filed under Item 1 of this Form.

 

(b)Not applicable.

 

Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.

 

Not applicable to open-end investment companies.

 

Item 8. Portfolio Managers of Closed-End Management Investment Companies.

 

Not applicable to open-end investment companies.

 

Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.

 

Not applicable to open-end investment companies.

 

Item 10. Submission of Matters to a Vote of Security Holders.

 

There have been no material changes to the procedures by which the shareholders may recommend nominees to the registrant’s board of directors, where those changes were implemented after the registrant last provided disclosure in response to the requirements of Item 407(c)(2)(iv) of Regulation S-K (17 CFR 229.407) (as required by Item 22(b)(15) of Schedule 14A (17 CFR 240.14a-101)), or this Item.

1

 

Item 11. Controls and Procedures.

 

(a)The registrant’s principal executive and principal financial officers have reviewed the registrant's disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940 (the “Act”)) as of a date within 90 days of the filing of this report, as required by Rule 30a-3(b) under the Act and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934. Based on their review, such officers have concluded that the disclosure controls and procedures are effective in ensuring that information required to be disclosed in this report is appropriately recorded, processed, summarized and reported and made known to them by others within the Registrant and by the Registrant’s service provider.

 

(b)There were no changes in the registrant's internal control over financial reporting (as defined in Rule 30a-3(d) under the Act) that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting.

 

Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies

 

Not applicable to open-end investment companies.

 

Item 13. Exhibits.

 

(a)(1) Any code of ethics or amendment thereto, that is the subject of the disclosure required by Item 2, to the extent that the registrant intends to satisfy Item 2 requirements through filing an exhibit. Not applicable.

 

(2) A separate certification for each principal executive officer and principal financial officer pursuant to Section 302 of the Sarbanes-Oxley Act of 2002. Furnished herewith.

 

(3) Any written solicitation to purchase securities under Rule 23c-1 under the Act sent or given during the period covered by the report by or on behalf of the registrant to 10 or more persons. Not applicable to open-end investment companies.

 

(4) Change in the registrant’s independent public accountant. There was no change in the registrant’s independent public accountant for the period covered by this report.

 

(b)Certifications pursuant to Section 906 of the Sarbanes-Oxley Act of 2002. Furnished herewith.

2

 

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/ Steven Plump  
  Steven Plump, President  
  (principal executive officer)  
     
Date May 3, 2023  

 

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/ Steven Plump  
  Steven Plump, President  
(principal executive officer)  
   
Date May 3, 2023  
     
By (Signature and Title)* /s/ James Shaw  
  James Shaw, CFO/COO  
  (principal financial officer)  
     
Date 5/3/2023  

 

*Print the name and title of each signing officer under his or her signature.

 

3