As filed with the Securities and Exchange Commission on May 2, 2024
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, 2024
Date of reporting period: February 29, 2024
Item 1. Reports to Stockholders.
(a)
Abbey Capital Futures Strategy Fund
of
THE RBB FUND, INC.
Semi-Annual Report
February 29, 2024
(Unaudited)
Abbey Capital Futures Strategy Fund
Semi-Annual Investment Adviser’s Report
February 29, 2024 (Unaudited)
Dear Shareholder,
The Abbey Capital Futures Strategy Fund (the “Fund”) Class I Shares returned +1.77% net of fees for the 6-month fiscal period ended February 29, 2024.
Positive performance was driven by trading in equities and agricultural commodities. Major currencies was the sector which detracted most from Fund performance during the 6-month period. The Fund’s core allocation to Diversified Trendfollowing (“Trendfollowing”) strategies generated positive performance in aggregate, while the performance of the Fund’s non-Trendfollowing allocation was also modestly positive 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 and a multi-adviser fund 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 29, 2024 (unless otherwise noted)
|
2024 |
1 Year |
Sep. 1, 2023 to |
5 Years |
Annualized |
Class I Shares |
3.78% |
-0.81% |
1.77% |
7.72% |
4.92% |
Class A Shares* |
3.62% |
-1.17% |
1.52% |
7.43% |
4.64% |
Class A Shares (max load)* |
-2.30% |
-6.82% |
-4.35% |
6.16% |
4.01% |
Class C Shares** |
3.49% |
-1.83% |
1.21% |
6.65% |
3.88% |
ICE BofA 3-Month U.S. Treasury Bill Index*** |
0.84% |
5.22% |
2.69% |
1.97% |
1.38% |
Barclay CTA Index*** |
2.09% |
1.59% |
1.45% |
4.93% |
2.64% |
S&P 500® Total Return Index*** |
7.11% |
30.45% |
13.93% |
14.76% |
12.47% |
Barclay CTA numbers are based on the estimates available on the BarclayHedge website as of March 11, 2024
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 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, and the table above is shown for illustrative purposes only. |
1
Abbey Capital Futures Strategy Fund
Semi-Annual Investment Adviser’s Report (Continued)
February 29, 2024 (Unaudited)
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, 2024, 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 1.86%, 2.11% and 2.86% 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, 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 prospectus for further information on expenses and fees.
Performance Analysis
Performance for the Fund’s Class I Shares over the 6-month period ended February 29, 2024 was positive. Trendfollowing managers led gains at the trading style level, while the non-Trendfollowing trading styles were modestly positive in aggregate.
Uncertainty was a very prominent theme in markets over this 6-month period. Much of this uncertainty related to expectations of central bank monetary policy. September and October saw global yields rise alongside some hawkish rhetoric from central banks. In October, the 10-year US Treasury yield hit 5% for the first time since 2007. However, in November an unexpectedly sharp slowdown in US inflation and a weaker-than-expected US payroll report prompted a significant repricing in interest rate expectations and a fall in yields. This more dovish outlook for US monetary policy was then acknowledged by the US Federal Reserve at its December meeting. In the first two months of 2024, trends in fixed income markets corrected again, with yields partially recovering from the declines in late 2023 as central banks attempted to temper market expectations for the timing of when interest rates may be cut.
This theme of uncertainty also influenced price moves in commodity markets. Global demand uncertainty, OPEC+ policy and the outbreak of conflict in the Middle East led to choppy price action in crude oil and distillate markets for much of the period. The moves in US Treasury yields saw the US Dollar fluctuate, leading to choppy price moves in metals. In addition, an unclear picture of the economic health of China impacted base metals markets. In contrast, shifts in the supply outlook led to some notable price trends in several agricultural commodity markets.
Despite this uncertain backdrop, equity markets rallied over the period. September and October were challenging months for global stocks, which fell in both months. Stock markets then rebounded in November when yields fell sharply as more dovish interest rate expectations set in. Equity markets rose each month from November to February. In February, some key global equity indices broke to new highs. Having exceeded previous peaks in January, both the S&P 500® Index and DAX 40 Index rallied to new record highs in February. The rally in Japanese equity markets also continued, with the Nikkei 225 rising to an all-time high, surpassing its previous record high set 34 years earlier.
September and October were positive months of performance for the Fund. Gains related to long US Dollar and short bond positions. The US Dollar rallied alongside higher US Treasury yields, which rose due to the more hawkish outlook for interest rates. Long positions in the US Dollar proved profitable, particularly against the Japanese Yen, which fell when policy changes from the Bank of Japan proved less significant than expected. Short positions in bonds, most notably US Treasuries, also contributed positively to returns.
2
Abbey Capital Futures Strategy Fund
Semi-Annual Investment Adviser’s Report (Continued)
February 29, 2024 (Unaudited)
In contrast, November and December were challenging months for Fund performance. The reversal of price trends in currency and bond markets led to losses for the Fund’s Trendfollowing managers in particular. Long US Dollar exposures and short bond positions led to losses during the final two months of 2023. The downward price trends in equity markets also reversed. The Fund initially saw losses from short equity positions held in November. However, these losses were more than offset by gains from long positions in December.
January and February marked a return to positive performance for the Fund. Gains were concentrated in equities and agricultural commodities. Equity markets rallied in the first two months of 2024, with many global indices reaching all-time highs. Long positions in Japanese and US indices led gains in the sector. Within agricultural commodities, trends in certain markets at the end of 2023 continued and accelerated in some cases during the first two months of 2024. Gains in the sector stemmed from long exposures to cocoa, and short positions in soybeans, corn and wheat.
The Fund’s best-performing sector over the period was equities. As mentioned above, gains in the sector were concentrated in December, January and February. The Fund transitioned from short to long positioning in the sector following the sharp change in rate expectations in November and held long positions consistently for the remainder of the period. Long positions in the NASDAQ 100 Index and Nikkei 225 Index led gains, with other long positions in US, Japanese and European indices contributing further. Trading in the FTSE 100 Index contract detracted from Fund performance.
Performance in agricultural commodities was also positive for the period. Gains were concentrated in January and February when price uptrends in cocoa markets accelerated. Further gains were realised from short wheat, soybean and corn exposures.
Energy was a sector which contributed modestly to Fund performance during the period. The sector included one of the Fund’s best-performing contracts, the performance of which was mostly offset by multiple detracting contracts. Short natural gas positions produced positive performance, as US prices consistently fell over the period due to mild weather along with excess supply levels. In contrast, price trends in crude oil and distillate markets were very choppy over the period. Losses were realised in crude oil, gasoline and heating oil contracts.
Losses in currencies negatively impacted Fund performance during the period. The reversal of uptrends in the US Dollar in November and December was the primary driver of losses in the sector. Predominantly long US Dollar positions against several currencies, in particular the British Pound and Euro, led to losses in the sector. Partially offsetting gains arose from long US Dollar positions against the Japanese Yen, with the Japanese currency weakening as the Bank of Japan remained committed to its dovish monetary policy stance.
Metals was another sector that detracted from Fund performance during the period. Losses were concentrated in base metals, with smaller losses recorded in precious metals. Metals markets traded in a broad range over the 6-month period, with a lack of clear trends and several price reversals leading to a difficult trading environment in the sector for the Fund’s Trendfollowing managers.
Smaller losses were realised in fixed income. The Fund posted gains from short positions in September and October as global yields rose. These gains unwound in November and December, however, with the Fund recording losses from its short positions as trends in fixed income markets reversed sharply on a more dovish outlook for global monetary policy.
3
Abbey Capital Futures Strategy Fund
Semi-Annual Investment Adviser’s Report (Concluded)
February 29, 2024 (Unaudited)
Appendix
Index Descriptions
DAX 40 Index
The DAX 40 Index is a total return index of 40 selected German blue chip stocks traded on the Frankfurt Stock Exchange. The equities use free float shares in the index calculation. The index starts in December 1987.
FTSE 100 Index
The FTSE 100 Index is a capitalization-weighted index of the 100 most highly capitalized companies traded on the London Stock Exchange. The index starts in December 1983.
NASDAQ 100 Index
The NASDAQ-100 Index is a modified capitalization-weighted index of the 100 largest and most active non-financial domestic and international issues listed on the NASDAQ. The index starts in February 1985.
Nikkei 225 Index
The Nikkei-225 Stock Average is a price-weighted average of 225 top-rated Japanese companies listed in the First Section of the Tokyo Stock Exchange. The index starts in January 1970.
S&P 500 Index
The S&P 500 Index is an index of 500 US stocks chosen for market size, liquidity and industry grouping, among other factors. It is a capitalization-weighted index of 500 stocks. The index is designed to measure performance of the broad domestic economy through changes in its aggregate market value. The index starts in March 1957.
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 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 Distributors, 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 Futures Strategy Fund
Performance Data
February 29, 2024 (Unaudited)
Average Annual Total Returns for the Periods Ended February 29, 2024 |
|||||
Six |
One |
Three |
Five |
Since |
|
Class A Shares (without sales charge) (Pro forma July 1, 2014 to August 29, 2014) |
1.52% |
-1.17% |
5.20% |
7.43% |
4.64%* |
Class A Shares (with sales charge) (Pro forma July 1, 2014 to August 29, 2014) |
-4.35% |
-6.82% |
3.15% |
6.16% |
4.01%* |
S&P 500® Total Return Index |
13.93% |
30.45% |
11.91% |
14.76% |
12.47%** |
ICE BofA 3-Month U.S. Treasury Bill Index*** |
2.69% |
5.22% |
2.43% |
1.97% |
1.38%** |
Barclay CTA Index*** |
1.45% |
1.59% |
3.90% |
4.93% |
2.64%** |
† |
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 2.11% for Class A 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, 2024 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 29, 2024 (Unaudited)
Average Annual Total Returns for the Periods Ended February 29, 2024 |
|||||
Six |
One |
Three |
Five |
Since |
|
Class I Shares |
1.77% |
-0.81% |
5.48% |
7.72% |
4.92% |
S&P 500® Total Return Index |
13.93% |
30.45% |
11.91% |
14.76% |
12.47%* |
ICE BofA 3-Month U.S. Treasury Bill Index** |
2.69% |
5.22% |
2.43% |
1.97% |
1.38%* |
Barclay CTA Index** |
1.45% |
1.59% |
3.90% |
4.93% |
2.64%* |
† |
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 1.86% for Class I 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, 2024 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 29, 2024 (Unaudited)
Average Annual Total Returns for the Periods Ended February 29, 2024 |
|||||
Six |
One |
Three |
Five |
Since |
|
Class C Shares (without sales charge) (Pro forma July 1, 2014 to October 6, 2015) |
1.21% |
-1.83% |
4.41% |
6.65% |
3.88%* |
Class C Shares (with sales charge) (Pro forma July 1, 2014 to August 29, 2014) |
0.21% |
-2.81% |
4.41% |
6.65% |
3.88%* |
S&P 500® Total Return Index |
13.93% |
30.45% |
11.91% |
14.76% |
12.47%** |
ICE BofA 3-Month U.S. Treasury Bill Index*** |
2.69% |
5.22% |
2.43% |
1.97% |
1.38%** |
Barclay CTA Index*** |
1.45% |
1.59% |
3.90% |
4.93% |
2.64%** |
† |
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 2.86% 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, 2024 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 29, 2024 (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 2024. 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 29, 2024 (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, 2023 through February 29, 2024, 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 |
Ending |
Expenses Paid |
Annualized |
Actual Six- |
|
Actual |
|||||
Class A Shares |
$ 1,000.00 |
$ 1,015.20 |
$ 10.22 |
2.04% |
1.52% |
Class I Shares |
1,000.00 |
1,017.70 |
8.98 |
1.79% |
1.77% |
Class C Shares |
1,000.00 |
1,012.10 |
13.96 |
2.79% |
1.21% |
Hypothetical (5% return before expenses) |
|||||
Class A Shares |
$ 1,000.00 |
$ 1,014.72 |
$ 10.22 |
2.04% |
N/A |
Class I Shares |
1,000.00 |
1,015.96 |
8.97 |
1.79% |
N/A |
Class C Shares |
1,000.00 |
1,010.99 |
13.95 |
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, 2023 through February 29, 2024, multiplied by the average account value over the period, multiplied by the number of days (182) in the most recent fiscal half-year, then divided by 366 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 29, 2024 (Unaudited)
The following table presents a consolidated summary of the portfolio holdings of the Fund:
|
% of Net |
Value |
||||||
SHORT-TERM INVESTMENTS |
78.8 | % | $ | 2,141,325,130 | ||||
MONEY MARKET DEPOSIT ACCOUNT |
4.1 | 112,902,472 | ||||||
OTHER ASSETS IN EXCESS OF LIABILITIES |
||||||||
(including futures and forward foreign currency contracts) |
17.1 | 466,374,151 | ||||||
NET ASSETS |
100.0 | % | $ | 2,720,601,753 |
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
as of February 29, 2024 (Unaudited)
Par |
Value |
|||||||
SHORT-TERM INVESTMENTS — 78.8% |
||||||||
U.S. Treasury Bills — 78.8% |
||||||||
5.41%, 03/07/2024(a) |
9,300,000 | $ | 9,291,858 | |||||
5.41%, 03/14/2024(a) |
53,028,000 | 52,927,114 | ||||||
5.42%, 03/21/2024(a) |
122,656,000 | 122,296,073 | ||||||
5.44%, 03/28/2024(a) |
105,561,000 | 105,143,433 | ||||||
5.45%, 04/04/2024(a) |
92,404,000 | 91,943,081 | ||||||
5.46%, 04/11/2024(a) |
137,994,000 | 137,164,431 | ||||||
5.43%, 04/18/2024(a) |
199,753,000 | 198,348,802 | ||||||
5.44%, 04/25/2024(a) |
8,944,000 | 8,871,842 | ||||||
5.41%, 05/02/2024(a) |
132,391,000 | 131,190,545 | ||||||
5.36%, 05/09/2024(a) |
39,300,000 | 38,904,544 | ||||||
5.30%, 05/16/2024(a) |
33,509,000 | 33,138,917 | ||||||
5.32%, 05/23/2024(a) |
178,566,000 | 176,410,783 | ||||||
5.27%, 05/30/2024(a) |
104,526,000 | 103,156,709 | ||||||
5.27%, 06/06/2024(a) |
43,374,000 | 42,764,529 | ||||||
5.21%, 06/13/2024(a) |
78,413,000 | 77,231,664 | ||||||
5.18%, 06/20/2024(a) |
8,087,000 | 7,957,463 | ||||||
5.15%, 06/27/2024(a) |
25,027,000 | 24,600,880 | ||||||
5.15%, 07/05/2024(a) |
15,937,000 | 15,649,345 | ||||||
5.09%, 07/11/2024(a) |
36,448,000 | 35,760,475 | ||||||
5.10%, 07/18/2024(a) |
98,297,000 | 96,350,362 | ||||||
5.09%, 07/25/2024(a) |
41,368,000 | 40,508,094 | ||||||
5.14%, 08/01/2024(a) |
24,209,000 | 23,681,698 | ||||||
5.18%, 08/08/2024(a) |
93,531,000 | 91,401,403 | ||||||
5.21%, 08/15/2024(a) |
175,607,000 | 171,432,065 | ||||||
5.22%, 08/22/2024(a) |
204,233,000 | 199,188,457 | ||||||
5.20%,08/29/2024(a) |
108,806,000 | 106,010,563 | ||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $2,141,668,686) |
2,141,325,130 | |||||||
TOTAL INVESTMENTS — 78.8% (Cost $2,141,668,686) |
2,141,325,130 | |||||||
Money Market Deposit Account — 4.1%(b) |
112,902,472 | |||||||
Other Assets in Excess of Liabilities — 17.1% |
466,374,151 | |||||||
TOTAL NET ASSETS — 100.0% |
$ | 2,720,601,753 |
Percentages are stated as a percent of net assets.
(a) |
The rate shown is the effective yield. |
(b) |
The U.S. Bank Money Market Deposit Account (the “MMDA”) is a short-term vehicle in which the Fund holds cash balances. The MMDA will bear interest at a variable rate that is determined based on market conditions and is subject to change daily. The rate as of February 29, 2024 was 5.20%. |
The accompanying notes are an integral part of the consolidated financial statements.
11
Abbey Capital Futures Strategy Fund
Consolidated Schedule of Open Futures Contracts
as of February 29, 2024 (Unaudited)
Description |
Contracts |
Expiration |
Notional |
Value/ |
||||||||||||
10 Year Japanese Government Bonds |
4 | 03/12/2024 | $ | 390,181 | $ | 587 | ||||||||||
10 Year U.S. Ultra Treasury Notes |
19 | 06/18/2024 | 2,169,266 | (209 | ) | |||||||||||
3 Month Euribor |
10 | 12/16/2024 | 2,620,536 | (9,322 | ) | |||||||||||
3 Month Euribor |
17 | 03/17/2025 | 4,465,477 | (23,305 | ) | |||||||||||
3 Month Euribor |
291 | 06/16/2025 | 76,568,188 | (333,008 | ) | |||||||||||
3 Month Euribor |
33 | 09/15/2025 | 8,692,353 | (43,002 | ) | |||||||||||
3 Month Euribor |
71 | 12/15/2025 | 18,713,239 | (73,873 | ) | |||||||||||
3 Month Euribor |
39 | 03/16/2026 | 10,281,211 | (41,381 | ) | |||||||||||
3 Month Euribor |
52 | 06/15/2026 | 13,709,686 | (31,357 | ) | |||||||||||
3 Month Euribor |
125 | 09/14/2026 | 32,957,665 | 25,493 | ||||||||||||
3 Month Euribor |
73 | 12/14/2026 | 19,248,263 | (22,035 | ) | |||||||||||
3 Month Euribor |
6 | 03/15/2027 | 1,581,968 | (1,500 | ) | |||||||||||
3 Month Euribor |
2 | 06/14/2027 | 527,296 | 122 | ||||||||||||
3 Month Swiss Average Overnight Rate |
3 | 09/17/2024 | 836,928 | (382 | ) | |||||||||||
3 Month Swiss Average Overnight Rate |
32 | 12/17/2024 | 8,943,066 | 16,990 | ||||||||||||
3 Month Swiss Average Overnight Rate |
2 | 03/18/2025 | 559,620 | (565 | ) | |||||||||||
3-Month Secured Overnight Financing Rate |
41 | 06/18/2024 | 9,705,213 | (513 | ) | |||||||||||
3-Month Secured Overnight Financing Rate |
315 | 12/17/2024 | 74,958,188 | (455,288 | ) | |||||||||||
3-Month Secured Overnight Financing Rate |
102 | 09/16/2025 | 24,485,100 | (145,388 | ) | |||||||||||
Arabica Coffee |
312 | 05/20/2024 | 21,568,950 | (430,764 | ) | |||||||||||
Arabica Coffee |
37 | 07/19/2024 | 2,534,963 | (3,919 | ) | |||||||||||
ASX SPI 200 Index |
1134 | 03/21/2024 | 141,154,790 | 2,669,259 | ||||||||||||
Austrailian Government 10 Year Bonds |
69 | 03/15/2024 | 5,158,480 | (38,403 | ) | |||||||||||
Austrailian Government 3 Year Bonds |
1632 | 03/15/2024 | 112,948,143 | (244,931 | ) | |||||||||||
Australian 90 Day Bank Bills |
347 | 06/13/2024 | 223,200,202 | (18,684 | ) | |||||||||||
Australian 90 Day Bank Bills |
465 | 09/12/2024 | 299,181,437 | (21,467 | ) | |||||||||||
Australian 90 Day Bank Bills |
120 | 12/12/2024 | 77,230,733 | 1,583 | ||||||||||||
BIST 30 Index |
622 | 04/30/2024 | 2,045,153 | (34,049 | ) | |||||||||||
Brazilian Real/US Dollar Cross Currency Rate |
4 | 03/28/2024 | 80,240 | (475 | ) | |||||||||||
Brent Crude Oil |
207 | 03/28/2024 | 16,955,370 | 7,728 | ||||||||||||
Brent Crude Oil |
20 | 03/28/2024 | 1,638,200 | (8,820 | ) | |||||||||||
Brent Crude Oil |
41 | 04/30/2024 | 3,328,380 | (11,060 | ) | |||||||||||
Brent Crude Oil |
33 | 05/31/2024 | 2,657,490 | 1,380 | ||||||||||||
Brent Crude Oil |
20 | 10/31/2024 | 1,554,000 | (9,000 | ) | |||||||||||
British Pound/US Dollar Cross Currency Rate |
796 | 03/18/2024 | 62,754,650 | (489,438 | ) | |||||||||||
CAC40 10 Euro Index |
1521 | 03/15/2024 | 130,541,924 | 2,867,462 | ||||||||||||
Canadian Dollar/US Dollar Cross Currency Rate |
219 | 03/19/2024 | 16,133,730 | (401,750 | ) | |||||||||||
Copper |
31 | 05/29/2024 | 2,981,425 | (1,425 | ) | |||||||||||
Corn No. 2 Yellow |
66 | 05/14/2024 | 1,417,350 | 32,175 | ||||||||||||
Cotton No.2 |
665 | 05/08/2024 | 33,107,025 | 2,841,593 | ||||||||||||
Cotton No.2 |
53 | 07/09/2024 | 2,590,905 | 137,560 | ||||||||||||
Crude Oil |
287 | 03/20/2024 | 22,460,620 | 171,964 | ||||||||||||
Crude Oil |
25 | 04/22/2024 | 1,936,250 | 3,460 | ||||||||||||
Crude Oil |
83 | 05/21/2024 | 6,375,230 | 28,840 | ||||||||||||
Crude Oil |
21 | 06/20/2024 | 1,599,780 | 50 | ||||||||||||
Crude Oil |
1 | 11/20/2024 | 73,130 | (850 | ) | |||||||||||
Crude Palm Oil |
12 | 04/15/2024 | 254,009 | 8,197 | ||||||||||||
Crude Palm Oil |
110 | 05/15/2024 | 2,300,601 | 71,784 | ||||||||||||
Crude Palm Oil |
39 | 06/14/2024 | 802,107 | 24,323 | ||||||||||||
Crude Palm Oil |
11 | 07/15/2024 | 222,237 | 7,212 | ||||||||||||
DAX Index |
7 | 03/15/2024 | 671,372 | 18,774 |
The accompanying notes are an integral part of the consolidated financial statements.
12
Abbey Capital Futures Strategy Fund
Consolidated Schedule of Open Futures Contracts (Continued)
as of February 29, 2024 (Unaudited)
Description |
Contracts |
Expiration |
Notional |
Value/ |
||||||||||||
Dollar Index |
255 | 03/18/2024 | $ | 26,544,990 | $ | 30,135 | ||||||||||
Dow Jones Industrial Average Index |
523 | 03/15/2024 | 102,097,445 | 3,827,070 | ||||||||||||
Dow Jones U.S. Micro-Cap Total Stock Index |
5 | 03/15/2024 | 97,608 | 4,990 | ||||||||||||
E-mini Energy Select Sector |
4 | 03/15/2024 | 360,440 | 530 | ||||||||||||
E-mini Materials Sector |
5 | 03/15/2024 | 464,800 | 1,770 | ||||||||||||
Emini S&P 500 ESG Index |
26 | 03/15/2024 | 5,851,040 | 433,290 | ||||||||||||
Euro STOXX 50 Dividend Index |
16 | 12/20/2024 | 275,993 | 15,207 | ||||||||||||
EURO STOXX 50 Index |
9 | 03/15/2024 | 416,130 | 3,426 | ||||||||||||
Euro STOXX 50 Quanto Index |
2598 | 03/15/2024 | 137,419,610 | 5,885,277 | ||||||||||||
Euro STOXX Banks Index |
638 | 03/15/2024 | 4,225,223 | 9,763 | ||||||||||||
Euro/Japanese Yen Cross Currency Rate |
235 | 03/18/2024 | 31,677,270 | 1,185,228 | ||||||||||||
Euro/US Dollar Cross Currency Rate |
272 | 03/18/2024 | 36,750,600 | (90,744 | ) | |||||||||||
Euro-BOBL |
344 | 06/06/2024 | 43,782,629 | 87,642 | ||||||||||||
Euro-BTP Italian Government Bonds |
517 | 03/07/2024 | 65,834,746 | (254,702 | ) | |||||||||||
Euro-Bund |
254 | 06/06/2024 | 36,308,461 | 83,676 | ||||||||||||
Feeder Cattle |
61 | 04/25/2024 | 7,738,613 | (75,338 | ) | |||||||||||
Feeder Cattle |
17 | 05/23/2024 | 2,177,063 | (11,425 | ) | |||||||||||
Feeder Cattle |
1 | 08/29/2024 | 133,325 | (1,963 | ) | |||||||||||
Financial Select Sector Index |
7 | 03/15/2024 | 870,450 | 15,813 | ||||||||||||
French Government Bonds |
52 | 03/07/2024 | 7,176,387 | (36,701 | ) | |||||||||||
Frozen Concentrated Orange Juice |
18 | 05/10/2024 | 967,005 | (24,180 | ) | |||||||||||
FTSE 100 Index |
658 | 03/15/2024 | 63,345,582 | 128,396 | ||||||||||||
FTSE Bursa Malaysia KLCI Index |
73 | 03/29/2024 | 1,184,106 | 1,096 | ||||||||||||
FTSE MIB Index |
24 | 03/15/2024 | 846,397 | 12,494 | ||||||||||||
FTSE/MIB Index |
289 | 03/15/2024 | 50,960,129 | 2,764,784 | ||||||||||||
German Stock Index |
425 | 03/15/2024 | 203,809,282 | 7,379,219 | ||||||||||||
Gold |
512 | 04/26/2024 | 105,200,640 | 308,378 | ||||||||||||
Gold |
22 | 06/26/2024 | 4,564,120 | 22,600 | ||||||||||||
Hang Seng Index |
28 | 03/27/2024 | 2,941,797 | (26,643 | ) | |||||||||||
IBEX 35 Composite Index |
10 | 03/15/2024 | 108,375 | (825 | ) | |||||||||||
IBEX 35 Index |
45 | 03/15/2024 | 4,876,881 | (22,059 | ) | |||||||||||
ICE 3 Month SONIA Rate |
73 | 09/17/2024 | 21,880,649 | (78,405 | ) | |||||||||||
ICE 3 Month SONIA Rate |
281 | 12/17/2024 | 84,451,638 | (232,580 | ) | |||||||||||
ICE 3 Month SONIA Rate |
15 | 03/18/2025 | 4,520,639 | (19,897 | ) | |||||||||||
ICE 3 Month SONIA Rate |
16 | 06/17/2025 | 4,832,870 | (29,270 | ) | |||||||||||
ICE 3 Month SONIA Rate |
50 | 09/16/2025 | 15,130,333 | (52,733 | ) | |||||||||||
ICE 3 Month SONIA Rate |
14 | 12/16/2025 | 4,242,237 | (23,589 | ) | |||||||||||
ICE 3 Month SONIA Rate |
15 | 03/17/2026 | 4,549,751 | (23,100 | ) | |||||||||||
ICE 3 Month SONIA Rate |
14 | 06/16/2026 | 4,249,085 | (20,339 | ) | |||||||||||
ICE 3 Month SONIA Rate |
13 | 09/15/2026 | 3,947,630 | (17,152 | ) | |||||||||||
ICE 3 Month SONIA Rate |
66 | 12/15/2026 | 20,049,104 | (43,628 | ) | |||||||||||
Industrial Select Sector Index |
3 | 03/15/2024 | 366,330 | 19,120 | ||||||||||||
Japanese 10 Year Government Bonds |
314 | 03/13/2024 | 306,334,311 | (643,410 | ) | |||||||||||
Japanese Yen/US Dollar Cross Currency Rate |
84 | 03/18/2024 | 7,020,300 | (9,667 | ) | |||||||||||
JPNK400 Index |
5 | 03/07/2024 | 80,810 | 1,514 | ||||||||||||
Lean Hogs |
200 | 04/12/2024 | 6,930,000 | 34,670 | ||||||||||||
Lean Hogs |
322 | 06/14/2024 | 12,905,760 | 104,200 | ||||||||||||
Lean Hogs |
4 | 07/15/2024 | 162,360 | 30 | ||||||||||||
Light Sweet Crude Oil |
31 | 03/19/2024 | 1,213,030 | 6,130 | ||||||||||||
Live Cattle |
247 | 04/30/2024 | 18,312,580 | (57,750 | ) | |||||||||||
Live Cattle |
151 | 06/28/2024 | 10,945,990 | (74,280 | ) |
The accompanying notes are an integral part of the consolidated financial statements.
13
Abbey Capital Futures Strategy Fund
Consolidated Schedule of Open Futures Contracts (Continued)
as of February 29, 2024 (Unaudited)
Description |
Contracts |
Expiration |
Notional |
Value/ |
||||||||||||
Live Cattle |
83 | 08/30/2024 | $ | 5,999,240 | $ | (16,110 | ) | |||||||||
Live Cattle |
12 | 10/31/2024 | 884,280 | 2,040 | ||||||||||||
LME Aluminum Forward |
5 | 03/01/2024 | 268,200 | (8,050 | ) | |||||||||||
LME Aluminum Forward |
20 | 03/05/2024 | 1,094,695 | (27,488 | ) | |||||||||||
LME Aluminum Forward |
1 | 03/07/2024 | 54,820 | (1,343 | ) | |||||||||||
LME Aluminum Forward |
7 | 03/12/2024 | 384,080 | (5,857 | ) | |||||||||||
LME Aluminum Forward |
1 | 03/13/2024 | 54,879 | (946 | ) | |||||||||||
LME Aluminum Forward |
123 | 03/18/2024 | 6,756,452 | (151,155 | ) | |||||||||||
LME Aluminum Forward |
1 | 03/19/2024 | 54,934 | (1,333 | ) | |||||||||||
LME Aluminum Forward |
1 | 03/20/2024 | 54,937 | (3,013 | ) | |||||||||||
LME Aluminum Forward |
1 | 03/26/2024 | 55,012 | (4,513 | ) | |||||||||||
LME Aluminum Forward |
3 | 03/27/2024 | 165,223 | (10,883 | ) | |||||||||||
LME Aluminum Forward |
15 | 03/28/2024 | 826,301 | (36,636 | ) | |||||||||||
LME Aluminum Forward |
7 | 04/02/2024 | 385,665 | (15,985 | ) | |||||||||||
LME Aluminum Forward |
1 | 04/03/2024 | 55,103 | (1,343 | ) | |||||||||||
LME Aluminum Forward |
1 | 04/04/2024 | 55,128 | (1,349 | ) | |||||||||||
LME Aluminum Forward |
15 | 04/09/2024 | 827,355 | (20,246 | ) | |||||||||||
LME Aluminum Forward |
11 | 04/10/2024 | 606,845 | (14,839 | ) | |||||||||||
LME Aluminum Forward |
1 | 04/12/2024 | 55,211 | (1,350 | ) | |||||||||||
LME Aluminum Forward |
110 | 04/15/2024 | 6,073,843 | (88,564 | ) | |||||||||||
LME Aluminum Forward |
5 | 04/17/2024 | 276,096 | (6,385 | ) | |||||||||||
LME Aluminum Forward |
1 | 04/18/2024 | 55,223 | (1,292 | ) | |||||||||||
LME Aluminum Forward |
10 | 04/19/2024 | 552,450 | (3,725 | ) | |||||||||||
LME Aluminum Forward |
23 | 04/22/2024 | 1,271,135 | (19,940 | ) | |||||||||||
LME Aluminum Forward |
1 | 04/23/2024 | 55,279 | 1,161 | ||||||||||||
LME Aluminum Forward |
1 | 04/25/2024 | 55,329 | 1,179 | ||||||||||||
LME Aluminum Forward |
1 | 04/26/2024 | 55,342 | (1,208 | ) | |||||||||||
LME Aluminum Forward |
4 | 05/13/2024 | 222,171 | (3,188 | ) | |||||||||||
LME Aluminum Forward |
1 | 05/16/2024 | 55,538 | 1,158 | ||||||||||||
LME Aluminum Forward |
28 | 05/21/2024 | 1,556,625 | 11,763 | ||||||||||||
LME Aluminum Forward |
1 | 05/23/2024 | 55,688 | 938 | ||||||||||||
LME Aluminum Forward |
1 | 05/29/2024 | 55,700 | 513 | ||||||||||||
LME Copper Forward |
1 | 03/01/2024 | 208,869 | (4,206 | ) | |||||||||||
LME Copper Forward |
2 | 03/05/2024 | 420,335 | 6,010 | ||||||||||||
LME Copper Forward |
9 | 03/08/2024 | 1,893,364 | (20,554 | ) | |||||||||||
LME Copper Forward |
7 | 03/11/2024 | 1,472,840 | (23,147 | ) | |||||||||||
LME Copper Forward |
14 | 03/18/2024 | 2,949,450 | (39,613 | ) | |||||||||||
LME Copper Forward |
11 | 03/19/2024 | 2,317,975 | (47,288 | ) | |||||||||||
LME Copper Forward |
2 | 03/27/2024 | 422,513 | 3,939 | ||||||||||||
LME Copper Forward |
1 | 04/08/2024 | 211,422 | 1,760 | ||||||||||||
LME Copper Forward |
35 | 04/15/2024 | 7,403,375 | 44,793 | ||||||||||||
LME Copper Forward |
1 | 04/16/2024 | 211,544 | (3,606 | ) | |||||||||||
LME Copper Forward |
2 | 04/25/2024 | 423,794 | (3,623 | ) | |||||||||||
LME Copper Forward |
1 | 05/02/2024 | 212,106 | 1,069 | ||||||||||||
LME Copper Forward |
7 | 05/10/2024 | 1,484,963 | 7,613 | ||||||||||||
LME Copper Forward |
25 | 05/13/2024 | 5,304,063 | 8,489 | ||||||||||||
LME Copper Forward |
2 | 05/14/2024 | 424,263 | 3,263 | ||||||||||||
LME Copper Forward |
1 | 05/16/2024 | 212,150 | 975 | ||||||||||||
LME Copper Forward |
1 | 05/17/2024 | 212,169 | (1,981 | ) | |||||||||||
LME Copper Forward |
13 | 05/21/2024 | 2,758,925 | (19,863 | ) | |||||||||||
LME Copper Forward |
9 | 05/23/2024 | 1,911,038 | 6,050 |
The accompanying notes are an integral part of the consolidated financial statements.
14
Abbey Capital Futures Strategy Fund
Consolidated Schedule of Open Futures Contracts (Continued)
as of February 29, 2024 (Unaudited)
Description |
Contracts |
Expiration |
Notional |
Value/ |
||||||||||||
LME Copper Forward |
2 | 05/29/2024 | $ | 424,675 | $ | 1,063 | ||||||||||
LME Lead Forward |
5 | 03/01/2024 | 261,043 | 3,203 | ||||||||||||
LME Lead Forward |
6 | 03/01/2024 | 308,775 | 3,320 | ||||||||||||
LME Lead Forward |
10 | 03/05/2024 | 515,075 | (34,804 | ) | |||||||||||
LME Lead Forward |
4 | 03/07/2024 | 206,390 | (2,374 | ) | |||||||||||
LME Lead Forward |
1 | 03/12/2024 | 51,665 | (3,473 | ) | |||||||||||
LME Lead Forward |
67 | 03/18/2024 | 3,470,600 | (17,068 | ) | |||||||||||
LME Lead Forward |
1 | 03/19/2024 | 51,728 | (23 | ) | |||||||||||
LME Lead Forward |
4 | 03/27/2024 | 204,996 | (13,104 | ) | |||||||||||
LME Lead Forward |
1 | 04/02/2024 | 51,292 | 129 | ||||||||||||
LME Lead Forward |
3 | 04/03/2024 | 153,939 | (1,949 | ) | |||||||||||
LME Lead Forward |
5 | 04/12/2024 | 257,695 | (5,243 | ) | |||||||||||
LME Lead Forward |
40 | 04/15/2024 | 2,062,350 | (85,448 | ) | |||||||||||
LME Lead Forward |
3 | 04/19/2024 | 153,720 | (7,968 | ) | |||||||||||
LME Lead Forward |
4 | 04/22/2024 | 204,976 | (11,074 | ) | |||||||||||
LME Lead Forward |
8 | 04/25/2024 | 410,106 | (14,432 | ) | |||||||||||
LME Lead Forward |
4 | 04/26/2024 | 205,069 | (11,694 | ) | |||||||||||
LME Lead Forward |
3 | 04/30/2024 | 153,821 | (6,955 | ) | |||||||||||
LME Lead Forward |
1 | 05/02/2024 | 51,309 | (853 | ) | |||||||||||
LME Lead Forward |
7 | 05/09/2024 | 359,527 | (5,917 | ) | |||||||||||
LME Lead Forward |
5 | 05/13/2024 | 256,961 | (4,258 | ) | |||||||||||
LME Lead Forward |
2 | 05/23/2024 | 102,908 | (2,130 | ) | |||||||||||
LME Nickel Forward |
5 | 03/05/2024 | 530,400 | 35,722 | ||||||||||||
LME Nickel Forward |
1 | 03/06/2024 | 106,101 | 9,389 | ||||||||||||
LME Nickel Forward |
2 | 03/11/2024 | 212,403 | 12,462 | ||||||||||||
LME Nickel Forward |
2 | 03/14/2024 | 212,568 | 14,058 | ||||||||||||
LME Nickel Forward |
27 | 03/18/2024 | 2,870,559 | 262,359 | ||||||||||||
LME Nickel Forward |
3 | 03/19/2024 | 319,005 | 22,813 | ||||||||||||
LME Nickel Forward |
2 | 03/26/2024 | 212,899 | 18,745 | ||||||||||||
LME Nickel Forward |
6 | 03/27/2024 | 639,186 | 53,019 | ||||||||||||
LME Nickel Forward |
2 | 04/03/2024 | 213,160 | 20,980 | ||||||||||||
LME Nickel Forward |
1 | 04/08/2024 | 106,662 | 9,342 | ||||||||||||
LME Nickel Forward |
1 | 04/09/2024 | 106,678 | 8,128 | ||||||||||||
LME Nickel Forward |
2 | 04/10/2024 | 213,389 | 17,579 | ||||||||||||
LME Nickel Forward |
27 | 04/15/2024 | 2,882,952 | 271,548 | ||||||||||||
LME Nickel Forward |
1 | 04/17/2024 | 106,812 | 9,702 | ||||||||||||
LME Nickel Forward |
1 | 04/19/2024 | 106,884 | 9,324 | ||||||||||||
LME Nickel Forward |
3 | 04/24/2024 | 320,814 | 19,254 | ||||||||||||
LME Nickel Forward |
2 | 04/26/2024 | 214,020 | 13,778 | ||||||||||||
LME Nickel Forward |
2 | 05/07/2024 | 214,328 | 23,168 | ||||||||||||
LME Nickel Forward |
2 | 05/13/2024 | 214,464 | 15,042 | ||||||||||||
LME Nickel Forward |
7 | 05/16/2024 | 750,711 | 63,081 | ||||||||||||
LME Nickel Forward |
1 | 05/17/2024 | 107,247 | 6,897 | ||||||||||||
LME Nickel Forward |
3 | 05/21/2024 | 321,845 | 7,595 | ||||||||||||
LME Nickel Forward |
1 | 05/29/2024 | 107,376 | 1,026 | ||||||||||||
LME Tin Forward |
1 | 03/06/2024 | 131,907 | 8,382 | ||||||||||||
LME Tin Forward |
1 | 03/11/2024 | 132,012 | 8,562 | ||||||||||||
LME Tin Forward |
1 | 04/22/2024 | 132,652 | 202 | ||||||||||||
LME Tin Forward |
1 | 04/25/2024 | 132,725 | (616 | ) | |||||||||||
LME Tin Forward |
1 | 05/14/2024 | 132,870 | (2,430 | ) | |||||||||||
LME Tin Forward |
2 | 05/23/2024 | 265,510 | 2,560 |
The accompanying notes are an integral part of the consolidated financial statements.
15
Abbey Capital Futures Strategy Fund
Consolidated Schedule of Open Futures Contracts (Continued)
as of February 29, 2024 (Unaudited)
Description |
Contracts |
Expiration |
Notional |
Value/ |
||||||||||||
LME Zinc Forward |
5 | 03/01/2024 | $ | 296,156 | $ | (9,155 | ) | |||||||||
LME Zinc Forward |
1 | 03/04/2024 | 59,544 | (973 | ) | |||||||||||
LME Zinc Forward |
1 | 03/04/2024 | 59,586 | (1,865 | ) | |||||||||||
LME Zinc Forward |
9 | 03/05/2024 | 536,456 | (58,374 | ) | |||||||||||
LME Zinc Forward |
1 | 03/06/2024 | 59,627 | (3,854 | ) | |||||||||||
LME Zinc Forward |
5 | 03/07/2024 | 298,448 | (19,100 | ) | |||||||||||
LME Zinc Forward |
1 | 03/08/2024 | 59,711 | (1,552 | ) | |||||||||||
LME Zinc Forward |
1 | 03/13/2024 | 59,756 | (3,319 | ) | |||||||||||
LME Zinc Forward |
6 | 03/14/2024 | 358,808 | (21,868 | ) | |||||||||||
LME Zinc Forward |
58 | 03/18/2024 | 3,470,213 | (245,614 | ) | |||||||||||
LME Zinc Forward |
1 | 03/20/2024 | 59,850 | (5,100 | ) | |||||||||||
LME Zinc Forward |
5 | 03/25/2024 | 299,485 | (27,965 | ) | |||||||||||
LME Zinc Forward |
6 | 03/26/2024 | 359,438 | (34,284 | ) | |||||||||||
LME Zinc Forward |
4 | 03/27/2024 | 240,021 | (13,289 | ) | |||||||||||
LME Zinc Forward |
1 | 04/02/2024 | 60,041 | (3,017 | ) | |||||||||||
LME Zinc Forward |
1 | 04/04/2024 | 60,103 | (2,974 | ) | |||||||||||
LME Zinc Forward |
5 | 04/05/2024 | 300,594 | (14,830 | ) | |||||||||||
LME Zinc Forward |
1 | 04/09/2024 | 60,150 | (2,949 | ) | |||||||||||
LME Zinc Forward |
1 | 04/11/2024 | 60,213 | (4,375 | ) | |||||||||||
LME Zinc Forward |
60 | 04/15/2024 | 3,614,625 | 119,212 | ||||||||||||
LME Zinc Forward |
6 | 04/16/2024 | 361,482 | (17,283 | ) | |||||||||||
LME Zinc Forward |
1 | 04/17/2024 | 60,250 | (2,865 | ) | |||||||||||
LME Zinc Forward |
11 | 04/25/2024 | 663,817 | (45,752 | ) | |||||||||||
LME Zinc Forward |
12 | 04/26/2024 | 724,350 | (43,313 | ) | |||||||||||
LME Zinc Forward |
1 | 04/30/2024 | 60,363 | 70 | ||||||||||||
LME Zinc Forward |
4 | 05/03/2024 | 241,775 | 300 | ||||||||||||
LME Zinc Forward |
6 | 05/07/2024 | 362,768 | 450 | ||||||||||||
LME Zinc Forward |
1 | 05/09/2024 | 60,531 | 2,306 | ||||||||||||
LME Zinc Forward |
2 | 05/10/2024 | 121,075 | 156 | ||||||||||||
LME Zinc Forward |
1 | 05/13/2024 | 60,544 | 584 | ||||||||||||
LME Zinc Forward |
1 | 05/17/2024 | 60,556 | 256 | ||||||||||||
LME Zinc Forward |
5 | 05/23/2024 | 303,219 | 31 | ||||||||||||
London Cocoa |
163 | 05/15/2024 | 10,621,131 | 2,192,287 | ||||||||||||
London Cocoa |
59 | 07/16/2024 | 3,572,621 | 695,102 | ||||||||||||
London Metals - Aluminum |
3389 | 03/18/2024 | 186,159,465 | (5,494,825 | ) | |||||||||||
London Metals - Aluminum |
503 | 06/17/2024 | 28,130,527 | (162,307 | ) | |||||||||||
London Metals - Copper |
795 | 03/18/2024 | 167,486,625 | (272,414 | ) | |||||||||||
London Metals - Copper |
262 | 06/17/2024 | 55,737,225 | 175,170 | ||||||||||||
London Metals - Lead |
990 | 03/18/2024 | 51,282,000 | (2,663,139 | ) | |||||||||||
London Metals - Lead |
226 | 06/17/2024 | 11,665,386 | (73,307 | ) | |||||||||||
London Metals - Nickel |
97 | 03/18/2024 | 10,312,749 | 914,432 | ||||||||||||
London Metals - Nickel |
30 | 06/17/2024 | 3,233,340 | 77,358 | ||||||||||||
London Metals - Tin |
1 | 03/18/2024 | 132,140 | 9,096 | ||||||||||||
London Metals - Tin |
1 | 06/17/2024 | 133,005 | (3,869 | ) | |||||||||||
London Metals - Zinc |
732 | 03/18/2024 | 43,796,475 | (1,605,195 | ) | |||||||||||
London Metals - Zinc |
30 | 06/17/2024 | 1,824,563 | 9,511 | ||||||||||||
Long Gilt |
1247 | 06/26/2024 | 154,403,219 | 221,017 | ||||||||||||
Low Sulphur Gas Oil |
272 | 04/11/2024 | 21,930,000 | (637,712 | ) | |||||||||||
Low Sulphur Gas Oil |
66 | 05/10/2024 | 5,214,000 | (73,400 | ) | |||||||||||
Low Sulphur Gas Oil |
48 | 06/12/2024 | 3,741,600 | 17,825 | ||||||||||||
Low Sulphur Gas Oil |
21 | 07/11/2024 | 1,622,250 | (20,000 | ) |
The accompanying notes are an integral part of the consolidated financial statements.
16
Abbey Capital Futures Strategy Fund
Consolidated Schedule of Open Futures Contracts (Continued)
as of February 29, 2024 (Unaudited)
Description |
Contracts |
Expiration |
Notional |
Value/ |
||||||||||||
Lumber |
4 | 05/15/2024 | $ | 64,955 | $ | 481 | ||||||||||
Mexican Peso/US Dollar Cross Currency Rate |
1417 | 03/18/2024 | 41,440,165 | 654,939 | ||||||||||||
Micro Gold |
29 | 04/26/2024 | 595,863 | 2,696 | ||||||||||||
MSCI China A 50 Index |
2 | 03/15/2024 | 92,160 | (150 | ) | |||||||||||
MSCI EAFE Index |
136 | 03/15/2024 | 15,557,720 | 357,620 | ||||||||||||
MSCI Emerging Markets ESG Index |
3 | 03/15/2024 | 45,300 | (140 | ) | |||||||||||
MSCI Emerging Markets Index |
178 | 03/15/2024 | 9,049,520 | (3,010 | ) | |||||||||||
MSCI Singapore Index |
24 | 03/27/2024 | 502,100 | (2,025 | ) | |||||||||||
Nasdaq 100 Index |
392 | 03/15/2024 | 141,768,760 | 7,374,769 | ||||||||||||
NASDAQ 100 Micro Index |
2 | 03/15/2024 | 72,331 | 1,265 | ||||||||||||
New Zealand Dollar/US Dollar Cross Currency Rate |
443 | 03/18/2024 | 26,943,260 | (477,275 | ) | |||||||||||
Nifty 50 Index |
713 | 03/28/2024 | 31,645,792 | (153,197 | ) | |||||||||||
Nikkei 225 Index |
424 | 03/07/2024 | 55,510,005 | 5,458,127 | ||||||||||||
Nikkei 225 Index |
60 | 03/07/2024 | 7,864,194 | 419,057 | ||||||||||||
Nikkei 225 Index |
233 | 03/07/2024 | 6,101,641 | 684,725 | ||||||||||||
Nikkei 225 Index |
184 | 03/07/2024 | 48,184,632 | 6,026,588 | ||||||||||||
Nikkei 225 Index |
25 | 03/07/2024 | 4,913,125 | 481,150 | ||||||||||||
NY Harbor ULSD |
311 | 03/28/2024 | 34,612,994 | (1,105,648 | ) | |||||||||||
NY Harbor ULSD |
52 | 04/30/2024 | 5,668,354 | (113,749 | ) | |||||||||||
NY Harbor ULSD |
42 | 05/31/2024 | 4,510,019 | (61,127 | ) | |||||||||||
NY Harbor ULSD |
19 | 06/28/2024 | 2,027,638 | (28,568 | ) | |||||||||||
NY Harbor ULSD |
2 | 11/29/2024 | 210,311 | (63 | ) | |||||||||||
NYSE FANG+ Index |
2 | 03/15/2024 | 99,258 | (2,407 | ) | |||||||||||
OMXS30 ESG Index |
13 | 03/15/2024 | 295,016 | 9,818 | ||||||||||||
OMXS30 Index |
3193 | 03/15/2024 | 75,679,127 | 2,538,385 | ||||||||||||
Platinum |
101 | 04/26/2024 | 4,464,200 | (465,345 | ) | |||||||||||
Reformulated Gasoline Blendstock |
322 | 03/28/2024 | 34,905,444 | 509,779 | ||||||||||||
Reformulated Gasoline Blendstock |
66 | 04/30/2024 | 7,127,089 | 98,272 | ||||||||||||
Reformulated Gasoline Blendstock |
44 | 05/31/2024 | 4,691,333 | 60,350 | ||||||||||||
Reformulated Gasoline Blendstock |
21 | 06/28/2024 | 2,200,943 | 16,926 | ||||||||||||
Robusta Coffee |
218 | 05/24/2024 | 6,747,100 | 136,170 | ||||||||||||
Robusta Coffee |
67 | 07/25/2024 | 2,027,420 | 109,970 | ||||||||||||
Rough Rice |
29 | 05/14/2024 | 1,060,530 | (16,640 | ) | |||||||||||
Russell 2000 Index |
4 | 03/15/2024 | 41,146 | 1,328 | ||||||||||||
Russell 2000 Index |
254 | 03/15/2024 | 26,127,710 | 492,538 | ||||||||||||
S&P 500 Index |
794 | 03/15/2024 | 202,618,875 | 8,880,175 | ||||||||||||
S&P Mid Cap 400 Index |
84 | 03/15/2024 | 24,297,840 | 758,590 | ||||||||||||
S&P/Toronto Stock Exchange 60 Index |
322 | 03/14/2024 | 61,242,044 | 1,142,469 | ||||||||||||
SGX FTSE Taiwan Index |
636 | 03/28/2024 | 41,123,760 | 59,445 | ||||||||||||
SGX Technically Specified Rubber 20 |
9 | 03/28/2024 | 73,035 | 1,305 | ||||||||||||
SGX TSI Iron Ore |
137 | 03/28/2024 | 1,595,913 | (210,317 | ) | |||||||||||
SGX TSI Iron Ore |
364 | 04/30/2024 | 4,188,912 | (83,993 | ) | |||||||||||
SGX TSI Iron Ore |
51 | 05/31/2024 | 580,023 | (34,047 | ) | |||||||||||
SGX TSI Iron Ore |
34 | 06/28/2024 | 382,024 | (16,181 | ) | |||||||||||
Short-term Euro-BTP |
198 | 03/07/2024 | 22,549,025 | (91,511 | ) | |||||||||||
Silver |
84 | 05/29/2024 | 9,611,700 | (83,825 | ) | |||||||||||
Soybean Meal |
273 | 05/14/2024 | 8,987,160 | (73,350 | ) | |||||||||||
Soybeans |
90 | 05/14/2024 | 5,133,375 | (63,733 | ) | |||||||||||
STOXX 600 Bank Spread Index |
20 | 03/15/2024 | 187,735 | 3,087 | ||||||||||||
STOXX Euro ESG-X Index |
131 | 03/15/2024 | 2,613,657 | 84,335 |
The accompanying notes are an integral part of the consolidated financial statements.
17
Abbey Capital Futures Strategy Fund
Consolidated Schedule of Open Futures Contracts (Continued)
as of February 29, 2024 (Unaudited)
Description |
Contracts |
Expiration |
Notional |
Value/ |
||||||||||||
STOXX Europe 600 Index |
280 | 03/15/2024 | $ | 7,488,435 | $ | 41,908 | ||||||||||
STOXX Europe 600 Index |
1 | 03/15/2024 | 19,941 | 870 | ||||||||||||
Sugar #11 |
19 | 06/28/2024 | 458,158 | (22,344 | ) | |||||||||||
Swiss Federal Bond Futures |
1 | 03/07/2024 | 169,333 | 645 | ||||||||||||
Technology Select Sector Index |
3 | 03/15/2024 | 626,790 | 39,140 | ||||||||||||
Tokyo Price Index |
103 | 03/07/2024 | 1,841,936 | 45,426 | ||||||||||||
TOPIX Index |
378 | 03/07/2024 | 67,597,252 | 5,781,526 | ||||||||||||
Turkish Dollar |
234 | 04/30/2024 | 250,078 | 85 | ||||||||||||
U.S. Treasury 10 Year Notes |
1021 | 06/18/2024 | 112,756,688 | 260,734 | ||||||||||||
U.S. Treasury 5 Year Note |
77 | 06/28/2024 | 8,231,781 | 1,203 | ||||||||||||
U.S. Treasury Long Bonds |
68 | 06/18/2024 | 8,109,000 | (1,743 | ) | |||||||||||
U.S. Treasury Ultra Bonds |
25 | 06/18/2024 | 3,196,875 | 6,133 | ||||||||||||
US Cocoa |
290 | 05/15/2024 | 17,542,100 | 2,833,207 | ||||||||||||
US Cocoa |
94 | 07/16/2024 | 5,386,200 | 968,560 | ||||||||||||
US Dollar/Chinese Renminbi Cross Currency Rate |
3 | 03/18/2024 | 299,900 | 2,187 | ||||||||||||
US Dollar/Norwegian Krone Cross Currency Rate |
8 | 03/18/2024 | 799,834 | (14,741 | ) | |||||||||||
US Dollar/Swedish Krona Cross Currency Rate |
4 | 03/18/2024 | 400,189 | (1,802 | ) | |||||||||||
Wheat |
276 | 05/14/2024 | 7,952,250 | (228,800 | ) | |||||||||||
White Sugar |
1 | 04/15/2024 | 30,755 | (210 | ) | |||||||||||
WTI Light Sweet Crude Oil IPE |
23 | 03/19/2024 | 1,799,980 | 24,800 | ||||||||||||
WTI Light Sweet Crude Oil IPE |
16 | 04/19/2024 | 1,239,200 | 4,400 | ||||||||||||
WTI Light Sweet Crude Oil IPE |
8 | 05/20/2024 | 614,480 | 1,050 | ||||||||||||
WTI Light Sweet Crude Oil IPE |
5 | 06/18/2024 | 380,900 | (2,130 | ) | |||||||||||
XAV Health Care Select Sector Index |
5 | 03/15/2024 | 731,900 | (1,420 | ) | |||||||||||
$ | 62,611,218 |
Description |
Contracts |
Expiration |
Notional |
Value / |
||||||||||||
1 Month Secured Overnight Financing Rate |
(42) | 07/31/2024 | $ | 16,600,078 | $ | 7,959 | ||||||||||
10 Year U.S. Ultra Treasury Notes |
(170) | 06/18/2024 | 19,409,219 | (64,922 | ) | |||||||||||
3 Month Canadian Bankers’ Acceptances |
(40) | 06/17/2024 | 6,995,911 | (5,121 | ) | |||||||||||
3 Month Canadian Bankers’ Acceptances |
(45) | 09/18/2024 | 7,891,123 | 5,112 | ||||||||||||
3 Month Canadian Bankers’ Acceptances |
(19) | 12/18/2024 | 3,341,607 | 1,778 | ||||||||||||
3 Month Canadian Bankers’ Acceptances |
(14) | 03/19/2025 | 2,468,298 | 626 | ||||||||||||
3 Month Canadian Bankers’ Acceptances |
(6) | 06/18/2025 | 1,059,831 | 258 | ||||||||||||
3 Month Canadian Bankers’ Acceptances |
(3) | 09/17/2025 | 530,689 | 1 | ||||||||||||
3 Month Euribor |
(73) | 06/17/2024 | 19,003,677 | 21,562 | ||||||||||||
3 Month Euribor |
(54) | 09/16/2024 | 14,107,124 | 44,799 | ||||||||||||
3 Month Euribor |
(85) | 12/16/2024 | 22,274,559 | 12,645 | ||||||||||||
3 Month Euribor |
(262) | 03/17/2025 | 68,820,874 | (12,794 | ) | |||||||||||
3 Month New Zealand Treasury Bill |
(10) | 06/12/2024 | 6,005,430 | (2,248 | ) | |||||||||||
3 Month New Zealand Treasury Bill |
(14) | 09/11/2024 | 8,411,898 | (4,603 | ) | |||||||||||
30 Day Federal Funds Rate |
(1) | 02/28/2025 | 398,469 | 21 | ||||||||||||
3-Month Secured Overnight Financing Rate |
(104) | 09/17/2024 | 24,671,400 | 71,513 | ||||||||||||
3-Month Secured Overnight Financing Rate |
(523) | 12/17/2024 | 124,454,388 | 308,063 | ||||||||||||
3-Month Secured Overnight Financing Rate |
(910) | 03/18/2025 | 217,262,500 | 172,850 | ||||||||||||
3-Month Secured Overnight Financing Rate |
(160) | 06/17/2025 | 38,314,000 | 64,813 | ||||||||||||
3-Month Secured Overnight Financing Rate |
(940) | 09/16/2025 | 225,647,000 | 884,650 |
The accompanying notes are an integral part of the consolidated financial statements.
18
Abbey Capital Futures Strategy Fund
Consolidated Schedule of Open Futures Contracts (Continued)
as of February 29, 2024 (Unaudited)
Description |
Contracts |
Expiration |
Notional |
Value / |
||||||||||||
3-Month Secured Overnight Financing Rate |
(412) | 12/16/2025 | $ | 99,075,700 | $ | 20,763 | ||||||||||
3-Month Secured Overnight Financing Rate |
(156) | 03/17/2026 | 37,551,150 | 18,313 | ||||||||||||
3-Month Secured Overnight Financing Rate |
(142) | 06/16/2026 | 34,197,150 | 7,400 | ||||||||||||
3-Month Secured Overnight Financing Rate |
(124) | 09/15/2026 | 29,865,400 | 1,750 | ||||||||||||
3-Month Secured Overnight Financing Rate |
(468) | 12/15/2026 | 112,723,650 | (33,488 | ) | |||||||||||
3-Month Secured Overnight Financing Rate |
(103) | 03/16/2027 | 24,810,125 | (6,138 | ) | |||||||||||
3-Month Secured Overnight Financing Rate |
(73) | 06/15/2027 | 17,583,875 | (5,200 | ) | |||||||||||
3-Month Secured Overnight Financing Rate |
(21) | 09/14/2027 | 5,057,850 | (538 | ) | |||||||||||
3-Month Secured Overnight Financing Rate |
(17) | 12/14/2027 | 4,094,025 | (838 | ) | |||||||||||
3-Month Secured Overnight Financing Rate |
(15) | 03/14/2028 | 3,611,813 | 150 | ||||||||||||
3-Month Secured Overnight Financing Rate |
(10) | 06/20/2028 | 2,407,625 | 763 | ||||||||||||
Arabica Coffee |
(31) | 05/20/2024 | 2,143,069 | (23,288 | ) | |||||||||||
AUD/USD Cross Currency Rate |
(2379) | 03/18/2024 | 154,563,630 | 1,664,508 | ||||||||||||
Austrailian Government 10 Year Bonds |
(479) | 03/15/2024 | 35,810,318 | (110,980 | ) | |||||||||||
Austrailian Government 3 Year Bonds |
(500) | 03/15/2024 | 34,604,208 | (42,810 | ) | |||||||||||
Australian 90 Day Bank Bills |
(3) | 09/12/2024 | 1,930,203 | (173 | ) | |||||||||||
Australian 90 Day Bank Bills |
(44) | 12/12/2024 | 28,317,935 | (848 | ) | |||||||||||
Australian 90 Day Bank Bills |
(53) | 03/13/2025 | 34,119,403 | (2,358 | ) | |||||||||||
Australian 90 Day Bank Bills |
(10) | 06/12/2025 | 6,439,039 | (818 | ) | |||||||||||
Australian 90 Day Bank Bills |
(8) | 09/11/2025 | 5,152,112 | (708 | ) | |||||||||||
Australian 90 Day Bank Bills |
(5) | 12/11/2025 | 3,220,542 | (362 | ) | |||||||||||
Brent Crude Oil |
(54) | 03/28/2024 | 4,423,140 | 47,370 | ||||||||||||
British Pound/US Dollar Cross Currency Rate |
(92) | 03/18/2024 | 7,253,050 | (17,103 | ) | |||||||||||
Canadian 10 Year Government Bonds |
(479) | 06/19/2024 | 42,307,578 | (13,771 | ) | |||||||||||
Canadian 2-Year Bond Futures |
(106) | 06/19/2024 | 8,054,563 | (3,865 | ) | |||||||||||
Canadian 5 Year Bonds |
(49) | 06/19/2024 | 4,016,689 | (5,622 | ) | |||||||||||
Canadian Canola Oil |
(407) | 05/14/2024 | 3,560,931 | 67,491 | ||||||||||||
Canadian Canola Oil |
(44) | 07/12/2024 | 389,634 | (1,953 | ) | |||||||||||
Canadian Dollar/US Dollar Cross Currency Rate |
(625) | 03/19/2024 | 46,043,750 | 83,781 | ||||||||||||
Class III Milk |
(2) | 04/02/2024 | 67,840 | 1,480 | ||||||||||||
Class III Milk |
(8) | 04/30/2024 | 274,720 | 5,340 | ||||||||||||
Copper |
(309) | 05/29/2024 | 29,718,075 | (20,929 | ) | |||||||||||
Copper |
(13) | 07/29/2024 | 1,256,775 | 11,838 | ||||||||||||
Corn No. 2 Yellow |
(2189) | 05/14/2024 | 47,008,775 | 654,313 | ||||||||||||
Corn No. 2 Yellow |
(1360) | 07/12/2024 | 30,005,000 | 2,520,400 | ||||||||||||
Corn No. 2 Yellow |
(72) | 09/13/2024 | 1,620,900 | (36,888 | ) | |||||||||||
Corn No. 2 Yellow |
(61) | 12/13/2024 | 1,412,913 | (22,788 | ) | |||||||||||
Crude Oil |
(114) | 03/20/2024 | 8,921,640 | (73,003 | ) | |||||||||||
Crude Soybean Oil |
(1088) | 05/14/2024 | 29,513,088 | 1,138,904 | ||||||||||||
Crude Soybean Oil |
(102) | 07/12/2024 | 2,791,944 | 85,656 | ||||||||||||
Crude Soybean Oil |
(41) | 12/13/2024 | 1,108,476 | 52,056 | ||||||||||||
Dow Jones Industrial Average Index |
(23) | 03/15/2024 | 4,489,945 | (10,868 | ) | |||||||||||
E-mini Consumer Staples Select Sector |
(4) | 03/15/2024 | 300,240 | (8,970 | ) | |||||||||||
Euro BUXL 30 Year Bonds |
(44) | 03/07/2024 | 6,332,454 | (21,832 | ) | |||||||||||
Euro BUXL 30 Year Bonds |
(2) | 06/06/2024 | 288,098 | (1,362 | ) | |||||||||||
Euro Half Dollars |
(3) | 03/18/2024 | 202,669 | (688 | ) | |||||||||||
Euro STOXX 50 Quanto Index |
(333) | 03/15/2024 | 17,613,830 | (685,692 | ) | |||||||||||
Euro/Pound Sterling Cross Currency Rate |
(6) | 03/18/2024 | 811,253 | (521 | ) | |||||||||||
Euro/US Dollar Cross Currency Rate |
(1316) | 03/18/2024 | 177,808,050 | 92,390 | ||||||||||||
Euro/US Dollar Cross Currency Rate |
(5) | 03/18/2024 | 67,556 | (496 | ) | |||||||||||
Euro-BOBL |
(1371) | 03/07/2024 | 172,212,204 | 529,464 |
The accompanying notes are an integral part of the consolidated financial statements.
19
Abbey Capital Futures Strategy Fund
Consolidated Schedule of Open Futures Contracts (Continued)
as of February 29, 2024 (Unaudited)
Description |
Contracts |
Expiration |
Notional |
Value / |
||||||||||||
Euro-BOBL |
(10) | 06/06/2024 | $ | 1,272,751 | $ | (2,767 | ) | |||||||||
Euro-Bund |
(1852) | 03/07/2024 | 265,517,920 | 227,191 | ||||||||||||
Euro-Bund |
(12) | 06/06/2024 | 1,715,360 | (5,588 | ) | |||||||||||
Euro-Schatz |
(4404) | 03/07/2024 | 500,497,818 | 2,400,030 | ||||||||||||
Euro-Schatz |
(190) | 06/06/2024 | 21,701,613 | (19,303 | ) | |||||||||||
Eurpoean Rapeseed |
(116) | 04/30/2024 | 2,582,681 | 50,892 | ||||||||||||
Eurpoean Rapeseed |
(22) | 07/31/2024 | 491,305 | 7,471 | ||||||||||||
French Government Bonds |
(715) | 03/07/2024 | 98,675,317 | 3,471,941 | ||||||||||||
FTSE 100 Index |
(492) | 03/15/2024 | 47,364,782 | (49,483 | ) | |||||||||||
FTSE China A50 Index |
(1236) | 03/28/2024 | 14,673,792 | (13,346 | ) | |||||||||||
FTSE/JSE Top 40 Index |
(478) | 03/20/2024 | 16,503,959 | 411,741 | ||||||||||||
German Stock Index |
(85) | 03/15/2024 | 40,761,856 | (970,370 | ) | |||||||||||
Gold |
(164) | 04/26/2024 | 33,697,080 | (229,000 | ) | |||||||||||
Hang Seng China Enterprises Index |
(227) | 03/27/2024 | 8,235,436 | 156,174 | ||||||||||||
Hang Seng China Enterprises Index |
(7) | 03/27/2024 | 50,791 | 695 | ||||||||||||
Hang Seng Index |
(2) | 03/27/2024 | 42,026 | 276 | ||||||||||||
Hang Seng Index |
(393) | 03/27/2024 | 41,290,223 | 569,077 | ||||||||||||
Hang Seng TECH Index |
(131) | 03/27/2024 | 2,871,141 | (21,840 | ) | |||||||||||
Hard Red Winter Wheat |
(452) | 05/14/2024 | 13,271,850 | 281,875 | ||||||||||||
Hard Red Winter Wheat |
(174) | 07/12/2024 | 4,995,975 | 64,713 | ||||||||||||
ICE 3 Month SONIA Rate |
(23) | 12/17/2024 | 6,912,412 | 3,471 | ||||||||||||
ICE 3 Month SONIA Rate |
(1) | 03/18/2025 | 301,376 | (126 | ) | |||||||||||
ICE 3 Month SONIA Rate |
(1) | 06/17/2025 | 302,054 | (142 | ) | |||||||||||
ICE 3 Month SONIA Rate |
(1) | 09/16/2025 | 302,607 | (174 | ) | |||||||||||
ICE 3 Month SONIA Rate |
(16) | 12/16/2025 | 4,848,271 | (5,586 | ) | |||||||||||
ICE 3 Month SONIA Rate |
(1) | 03/17/2026 | 303,317 | (189 | ) | |||||||||||
ICE 3 Month SONIA Rate |
(1) | 06/16/2026 | 303,506 | (174 | ) | |||||||||||
ICE 3 Month SONIA Rate |
(1) | 09/15/2026 | 303,664 | (189 | ) | |||||||||||
ICE 3 Month SONIA Rate |
(1) | 12/15/2026 | 303,774 | (189 | ) | |||||||||||
ICE 3 Month SONIA Rate |
(1) | 03/16/2027 | 303,869 | (174 | ) | |||||||||||
ICE European Climate Exchange Emissions |
(235) | 12/16/2024 | 14,223,337 | 2,889,661 | ||||||||||||
ICE European Climate Exchange Emissions |
(8) | 12/15/2025 | 502,788 | 19,336 | ||||||||||||
ICE Rotterdam Coal |
(2) | 04/26/2024 | 205,700 | 12,700 | ||||||||||||
ICE Rotterdam Coal |
(2) | 05/31/2024 | 201,000 | 17,400 | ||||||||||||
ICE Rotterdam Coal |
(2) | 06/28/2024 | 198,400 | 20,000 | ||||||||||||
Indian Rupee/US Dollar Cross Currency Rate |
(1) | 03/26/2024 | 60,300 | (25 | ) | |||||||||||
Indian Rupee/US Dollar Cross Currency Rate |
(1) | 03/26/2024 | 24,100 | 14 | ||||||||||||
Japanese Yen/US Dollar Cross Currency Rate |
(2281) | 03/18/2024 | 190,634,575 | 7,485,786 | ||||||||||||
Lean Hogs |
(7) | 06/14/2024 | 280,560 | (16,930 | ) | |||||||||||
LME Aluminum Forward |
(5) | 03/01/2024 | 268,200 | 5,475 | ||||||||||||
LME Aluminum Forward |
(20) | 03/05/2024 | 1,094,695 | (21,170 | ) | |||||||||||
LME Aluminum Forward |
(1) | 03/07/2024 | 54,820 | (1,607 | ) | |||||||||||
LME Aluminum Forward |
(7) | 03/12/2024 | 384,080 | 3,496 | ||||||||||||
LME Aluminum Forward |
(1) | 03/13/2024 | 54,879 | 1,309 | ||||||||||||
LME Aluminum Forward |
(123) | 03/18/2024 | 6,756,452 | (79,187 | ) | |||||||||||
LME Aluminum Forward |
(1) | 03/19/2024 | 54,934 | 991 | ||||||||||||
LME Aluminum Forward |
(1) | 03/20/2024 | 54,937 | 1,343 | ||||||||||||
LME Aluminum Forward |
(1) | 03/26/2024 | 55,012 | 1,322 | ||||||||||||
LME Aluminum Forward |
(3) | 03/27/2024 | 165,223 | 3,989 | ||||||||||||
LME Aluminum Forward |
(15) | 03/28/2024 | 826,301 | 19,973 | ||||||||||||
LME Aluminum Forward |
(7) | 04/02/2024 | 385,665 | 9,361 |
The accompanying notes are an integral part of the consolidated financial statements.
20
Abbey Capital Futures Strategy Fund
Consolidated Schedule of Open Futures Contracts (Continued)
as of February 29, 2024 (Unaudited)
Description |
Contracts |
Expiration |
Notional |
Value / |
||||||||||||
LME Aluminum Forward |
(1) | 04/03/2024 | $ | 55,103 | $ | 1,535 | ||||||||||
LME Aluminum Forward |
(1) | 04/04/2024 | 55,128 | 1,173 | ||||||||||||
LME Aluminum Forward |
(15) | 04/09/2024 | 827,355 | 11,833 | ||||||||||||
LME Aluminum Forward |
(11) | 04/10/2024 | 606,845 | 8,067 | ||||||||||||
LME Aluminum Forward |
(1) | 04/12/2024 | 55,211 | (48 | ) | |||||||||||
LME Aluminum Forward |
(110) | 04/15/2024 | 6,073,843 | (40,878 | ) | |||||||||||
LME Aluminum Forward |
(5) | 04/17/2024 | 276,096 | (5,171 | ) | |||||||||||
LME Aluminum Forward |
(1) | 04/18/2024 | 55,223 | (1,261 | ) | |||||||||||
LME Aluminum Forward |
(10) | 04/19/2024 | 552,450 | 12,763 | ||||||||||||
LME Aluminum Forward |
(23) | 04/22/2024 | 1,271,135 | 25,116 | ||||||||||||
LME Aluminum Forward |
(1) | 04/23/2024 | 55,279 | 433 | ||||||||||||
LME Aluminum Forward |
(1) | 04/25/2024 | 55,329 | 1,583 | ||||||||||||
LME Aluminum Forward |
(1) | 04/26/2024 | 55,342 | (1,157 | ) | |||||||||||
LME Aluminum Forward |
(28) | 05/02/2024 | 1,552,019 | 9,819 | ||||||||||||
LME Aluminum Forward |
(133) | 05/13/2024 | 7,387,186 | 65,881 | ||||||||||||
LME Aluminum Forward |
(2) | 05/16/2024 | 111,076 | (1,701 | ) | |||||||||||
LME Aluminum Forward |
(13) | 05/23/2024 | 723,938 | (13,213 | ) | |||||||||||
LME Copper Forward |
(1) | 03/01/2024 | 208,869 | 172 | ||||||||||||
LME Copper Forward |
(2) | 03/05/2024 | 420,335 | 6,803 | ||||||||||||
LME Copper Forward |
(9) | 03/08/2024 | 1,893,364 | 9,611 | ||||||||||||
LME Copper Forward |
(7) | 03/11/2024 | 1,472,840 | (21,915 | ) | |||||||||||
LME Copper Forward |
(14) | 03/18/2024 | 2,949,450 | (27,220 | ) | |||||||||||
LME Copper Forward |
(11) | 03/19/2024 | 2,317,975 | 22,806 | ||||||||||||
LME Copper Forward |
(2) | 03/27/2024 | 422,513 | 6,690 | ||||||||||||
LME Copper Forward |
(1) | 04/08/2024 | 211,422 | (1,038 | ) | |||||||||||
LME Copper Forward |
(35) | 04/15/2024 | 7,403,375 | (191,022 | ) | |||||||||||
LME Copper Forward |
(1) | 04/16/2024 | 211,544 | (4,556 | ) | |||||||||||
LME Copper Forward |
(2) | 04/25/2024 | 423,794 | (2,138 | ) | |||||||||||
LME Copper Forward |
(1) | 05/02/2024 | 212,106 | (2,731 | ) | |||||||||||
LME Copper Forward |
(11) | 05/10/2024 | 2,333,513 | (69,675 | ) | |||||||||||
LME Copper Forward |
(35) | 05/13/2024 | 7,425,688 | (202,900 | ) | |||||||||||
LME Copper Forward |
(12) | 05/14/2024 | 2,545,575 | (13,200 | ) | |||||||||||
LME Copper Forward |
(1) | 05/23/2024 | 212,338 | (1,300 | ) | |||||||||||
LME Lead Forward |
(6) | 03/01/2024 | 308,775 | 1,188 | ||||||||||||
LME Lead Forward |
(5) | 03/01/2024 | 261,043 | 4,320 | ||||||||||||
LME Lead Forward |
(10) | 03/05/2024 | 515,075 | (3,614 | ) | |||||||||||
LME Lead Forward |
(4) | 03/07/2024 | 206,390 | (2,828 | ) | |||||||||||
LME Lead Forward |
(1) | 03/12/2024 | 51,665 | (128 | ) | |||||||||||
LME Lead Forward |
(67) | 03/18/2024 | 3,470,600 | (13,663 | ) | |||||||||||
LME Lead Forward |
(1) | 03/19/2024 | 51,728 | 3,279 | ||||||||||||
LME Lead Forward |
(4) | 03/27/2024 | 204,996 | 2,475 | ||||||||||||
LME Lead Forward |
(1) | 04/02/2024 | 51,292 | 3,190 | ||||||||||||
LME Lead Forward |
(3) | 04/03/2024 | 153,939 | 9,524 | ||||||||||||
LME Lead Forward |
(5) | 04/12/2024 | 257,695 | 4,243 | ||||||||||||
LME Lead Forward |
(40) | 04/15/2024 | 2,062,350 | 15,385 | ||||||||||||
LME Lead Forward |
(3) | 04/19/2024 | 153,720 | 6,968 | ||||||||||||
LME Lead Forward |
(4) | 04/22/2024 | 204,976 | 3,574 | ||||||||||||
LME Lead Forward |
(8) | 04/25/2024 | 410,106 | 23,225 | ||||||||||||
LME Lead Forward |
(4) | 04/26/2024 | 205,069 | 3,531 | ||||||||||||
LME Lead Forward |
(3) | 04/30/2024 | 153,821 | 2,555 | ||||||||||||
LME Lead Forward |
(4) | 05/02/2024 | 205,237 | 6,638 |
The accompanying notes are an integral part of the consolidated financial statements.
21
Abbey Capital Futures Strategy Fund
Consolidated Schedule of Open Futures Contracts (Continued)
as of February 29, 2024 (Unaudited)
Description |
Contracts |
Expiration |
Notional |
Value / |
||||||||||||
LME Lead Forward |
(3) | 05/07/2024 | $ | 153,971 | $ | (1,433 | ) | |||||||||
LME Lead Forward |
(7) | 05/09/2024 | 359,527 | (5,452 | ) | |||||||||||
LME Lead Forward |
(32) | 05/13/2024 | 1,644,552 | (15,086 | ) | |||||||||||
LME Lead Forward |
(3) | 05/21/2024 | 154,177 | 2,473 | ||||||||||||
LME Lead Forward |
(21) | 05/23/2024 | 1,080,529 | 11,846 | ||||||||||||
LME Nickel Forward |
(5) | 03/05/2024 | 530,400 | (43,438 | ) | |||||||||||
LME Nickel Forward |
(1) | 03/06/2024 | 106,101 | (4,791 | ) | |||||||||||
LME Nickel Forward |
(2) | 03/11/2024 | 212,403 | (14,541 | ) | |||||||||||
LME Nickel Forward |
(2) | 03/14/2024 | 212,568 | (6,792 | ) | |||||||||||
LME Nickel Forward |
(27) | 03/18/2024 | 2,870,559 | (218,847 | ) | |||||||||||
LME Nickel Forward |
(3) | 03/19/2024 | 319,005 | (15,111 | ) | |||||||||||
LME Nickel Forward |
(2) | 03/26/2024 | 212,899 | (12,091 | ) | |||||||||||
LME Nickel Forward |
(6) | 03/27/2024 | 639,186 | (41,247 | ) | |||||||||||
LME Nickel Forward |
(2) | 04/03/2024 | 213,160 | (18,766 | ) | |||||||||||
LME Nickel Forward |
(1) | 04/08/2024 | 106,662 | (9,582 | ) | |||||||||||
LME Nickel Forward |
(1) | 04/09/2024 | 106,678 | (9,364 | ) | |||||||||||
LME Nickel Forward |
(2) | 04/10/2024 | 213,389 | (18,671 | ) | |||||||||||
LME Nickel Forward |
(1) | 04/12/2024 | 106,760 | (9,830 | ) | |||||||||||
LME Nickel Forward |
(28) | 04/15/2024 | 2,989,728 | (271,917 | ) | |||||||||||
LME Nickel Forward |
(1) | 04/17/2024 | 106,812 | (9,369 | ) | |||||||||||
LME Nickel Forward |
(2) | 04/18/2024 | 213,732 | (18,738 | ) | |||||||||||
LME Nickel Forward |
(1) | 04/19/2024 | 106,884 | (9,393 | ) | |||||||||||
LME Nickel Forward |
(1) | 04/24/2024 | 106,938 | (9,369 | ) | |||||||||||
LME Nickel Forward |
(6) | 04/25/2024 | 641,952 | (37,682 | ) | |||||||||||
LME Nickel Forward |
(2) | 04/26/2024 | 214,020 | (18,684 | ) | |||||||||||
LME Nickel Forward |
(2) | 05/02/2024 | 214,272 | (22,062 | ) | |||||||||||
LME Nickel Forward |
(1) | 05/03/2024 | 107,150 | (10,490 | ) | |||||||||||
LME Nickel Forward |
(26) | 05/13/2024 | 2,788,032 | (263,796 | ) | |||||||||||
LME Nickel Forward |
(1) | 05/21/2024 | 107,282 | (3,242 | ) | |||||||||||
LME Nickel Forward |
(2) | 05/23/2024 | 214,713 | (8,091 | ) | |||||||||||
LME Tin Forward |
(1) | 03/06/2024 | 131,907 | (8,032 | ) | |||||||||||
LME Tin Forward |
(1) | 03/11/2024 | 132,012 | 1,019 | ||||||||||||
LME Tin Forward |
(1) | 05/02/2024 | 132,841 | (6,666 | ) | |||||||||||
LME Tin Forward |
(1) | 05/16/2024 | 132,880 | (880 | ) | |||||||||||
LME Zinc Forward |
(5) | 03/01/2024 | 296,156 | 16,664 | ||||||||||||
LME Zinc Forward |
(1) | 03/04/2024 | 59,586 | 3,877 | ||||||||||||
LME Zinc Forward |
(1) | 03/04/2024 | 59,544 | 2,244 | ||||||||||||
LME Zinc Forward |
(9) | 03/05/2024 | 536,456 | 23,756 | ||||||||||||
LME Zinc Forward |
(1) | 03/06/2024 | 59,627 | 473 | ||||||||||||
LME Zinc Forward |
(5) | 03/07/2024 | 298,448 | (48 | ) | |||||||||||
LME Zinc Forward |
(1) | 03/08/2024 | 59,711 | 4,205 | ||||||||||||
LME Zinc Forward |
(1) | 03/13/2024 | 59,756 | 3,763 | ||||||||||||
LME Zinc Forward |
(6) | 03/14/2024 | 358,808 | 25,939 | ||||||||||||
LME Zinc Forward |
(58) | 03/18/2024 | 3,470,213 | 82,477 | ||||||||||||
LME Zinc Forward |
(1) | 03/20/2024 | 59,850 | 6,200 | ||||||||||||
LME Zinc Forward |
(5) | 03/25/2024 | 299,485 | 24,741 | ||||||||||||
LME Zinc Forward |
(6) | 03/26/2024 | 359,438 | 36,863 | ||||||||||||
LME Zinc Forward |
(4) | 03/27/2024 | 240,021 | 20,036 | ||||||||||||
LME Zinc Forward |
(1) | 04/02/2024 | 60,041 | 3,747 | ||||||||||||
LME Zinc Forward |
(1) | 04/04/2024 | 60,103 | 2,709 | ||||||||||||
LME Zinc Forward |
(5) | 04/05/2024 | 300,594 | 11,045 |
The accompanying notes are an integral part of the consolidated financial statements.
22
Abbey Capital Futures Strategy Fund
Consolidated Schedule of Open Futures Contracts (Continued)
as of February 29, 2024 (Unaudited)
Description |
Contracts |
Expiration |
Notional |
Value / |
||||||||||||
LME Zinc Forward |
(1) | 04/09/2024 | $ | 60,150 | $ | 2,888 | ||||||||||
LME Zinc Forward |
(1) | 04/11/2024 | 60,213 | 2,915 | ||||||||||||
LME Zinc Forward |
(60) | 04/15/2024 | 3,614,625 | 49,692 | ||||||||||||
LME Zinc Forward |
(6) | 04/16/2024 | 361,482 | 6,581 | ||||||||||||
LME Zinc Forward |
(1) | 04/17/2024 | 60,250 | 1,450 | ||||||||||||
LME Zinc Forward |
(11) | 04/25/2024 | 663,817 | 3,003 | ||||||||||||
LME Zinc Forward |
(12) | 04/26/2024 | 724,350 | 34,388 | ||||||||||||
LME Zinc Forward |
(6) | 04/30/2024 | 362,175 | 5,250 | ||||||||||||
LME Zinc Forward |
(6) | 05/02/2024 | 362,582 | 1,069 | ||||||||||||
LME Zinc Forward |
(5) | 05/03/2024 | 302,219 | (9,056 | ) | |||||||||||
LME Zinc Forward |
(8) | 05/07/2024 | 483,690 | (21,203 | ) | |||||||||||
LME Zinc Forward |
(3) | 05/09/2024 | 181,594 | (5,775 | ) | |||||||||||
LME Zinc Forward |
(4) | 05/10/2024 | 242,150 | (11,000 | ) | |||||||||||
LME Zinc Forward |
(61) | 05/13/2024 | 3,693,169 | (151,823 | ) | |||||||||||
LME Zinc Forward |
(11) | 05/21/2024 | 666,394 | (9,419 | ) | |||||||||||
LME Zinc Forward |
(2) | 05/23/2024 | 121,288 | (188 | ) | |||||||||||
London Metals - Aluminum |
(3389) | 03/18/2024 | 186,159,465 | 2,347,350 | ||||||||||||
London Metals - Aluminum |
(999) | 06/17/2024 | 55,869,575 | 50,432 | ||||||||||||
London Metals - Copper |
(795) | 03/18/2024 | 167,486,625 | (1,148,778 | ) | |||||||||||
London Metals - Copper |
(268) | 06/17/2024 | 57,013,650 | (1,000,901 | ) | |||||||||||
London Metals - Lead |
(990) | 03/18/2024 | 51,282,000 | (199,034 | ) | |||||||||||
London Metals - Lead |
(398) | 06/17/2024 | 20,543,467 | (404,984 | ) | |||||||||||
London Metals - Nickel |
(97) | 03/18/2024 | 10,312,749 | (56,645 | ) | |||||||||||
London Metals - Nickel |
(123) | 06/17/2024 | 13,256,694 | (1,236,467 | ) | |||||||||||
London Metals - Tin |
(1) | 03/18/2024 | 132,140 | (14,294 | ) | |||||||||||
London Metals - Tin |
(1) | 06/17/2024 | 133,005 | (2,334 | ) | |||||||||||
London Metals - Zinc |
(732) | 03/18/2024 | 43,796,475 | 1,829,139 | ||||||||||||
London Metals - Zinc |
(10) | 05/13/2024 | 605,438 | (4,968 | ) | |||||||||||
London Metals - Zinc |
(375) | 06/17/2024 | 22,807,031 | (752,170 | ) | |||||||||||
Long Gilt |
(291) | 06/26/2024 | 36,031,545 | (21,030 | ) | |||||||||||
Maize |
(11) | 06/05/2024 | 103,878 | 1,324 | ||||||||||||
Milling Wheat No. 2 |
(6) | 03/11/2024 | 61,849 | 8,160 | ||||||||||||
Milling Wheat No. 2 |
(582) | 05/10/2024 | 6,164,455 | 472,310 | ||||||||||||
Milling Wheat No. 2 |
(97) | 09/10/2024 | 1,074,586 | 7,295 | ||||||||||||
Milling Wheat No. 2 |
(32) | 12/10/2024 | 364,014 | 1,864 | ||||||||||||
MSCI Emerging Markets Index |
(3) | 03/15/2024 | 152,520 | (60 | ) | |||||||||||
MSCI Singapore Index |
(78) | 03/27/2024 | 1,631,823 | 11,211 | ||||||||||||
Nasdaq 100 Index |
(17) | 03/15/2024 | 6,148,135 | (11,800 | ) | |||||||||||
Natural Gas |
(28) | 03/25/2024 | 130,200 | (8,588 | ) | |||||||||||
Natural Gas |
(684) | 03/26/2024 | 12,722,400 | (475,585 | ) | |||||||||||
Natural Gas |
(170) | 03/27/2024 | 3,289,391 | 109,275 | ||||||||||||
Natural Gas |
(576) | 04/26/2024 | 11,566,080 | (4,770 | ) | |||||||||||
Natural Gas |
(5) | 04/29/2024 | 100,679 | (7,523 | ) | |||||||||||
Natural Gas |
(159) | 05/29/2024 | 3,575,910 | (10,930 | ) | |||||||||||
Natural Gas |
(86) | 06/26/2024 | 2,156,020 | (154,200 | ) | |||||||||||
Natural Gas |
(37) | 09/26/2024 | 976,800 | (52,500 | ) | |||||||||||
New Zealand Dollar/US Dollar Cross Currency Rate |
(26) | 03/18/2024 | 1,581,320 | 16,505 | ||||||||||||
Nikkei 225 Index |
(24) | 03/07/2024 | 3,145,678 | (23,173 | ) | |||||||||||
Nikkei 225 Index |
(84) | 03/07/2024 | 10,997,265 | (51,061 | ) | |||||||||||
NY Harbor ULSD |
(5) | 03/28/2024 | 556,479 | (2,474 | ) | |||||||||||
Oats |
(1) | 05/14/2024 | 18,550 | (825 | ) |
The accompanying notes are an integral part of the consolidated financial statements.
23
Abbey Capital Futures Strategy Fund
Consolidated Schedule of Open Futures Contracts (Concluded)
as of February 29, 2024 (Unaudited)
Description |
Contracts |
Expiration |
Notional |
Value / |
||||||||||||
Palladium |
(76) | 06/26/2024 | $ | 7,195,680 | $ | 254,430 | ||||||||||
Phelix DE Base Yearly |
(5) | 12/27/2024 | 3,528,654 | 1,186,317 | ||||||||||||
Phelix DE Baseload Quarterly |
(2) | 03/26/2024 | 263,003 | 168,160 | ||||||||||||
Platinum |
(326) | 04/26/2024 | 14,409,200 | 237,150 | ||||||||||||
Red Spring Wheat |
(108) | 05/14/2024 | 3,558,600 | 73,463 | ||||||||||||
Red Spring Wheat |
(14) | 07/12/2024 | 463,925 | 2,950 | ||||||||||||
S&P Real Estate Select Sector Stock Index |
(1) | 03/15/2024 | 47,900 | (525 | ) | |||||||||||
Short-term Euro-BTP |
(19) | 03/07/2024 | 2,163,795 | 32 | ||||||||||||
Silver |
(372) | 05/29/2024 | 42,566,100 | (281,970 | ) | |||||||||||
Silver |
(5) | 07/29/2024 | 577,550 | (3,025 | ) | |||||||||||
South African Rand/US Dollar Cross Currency Rate |
(3) | 03/18/2024 | 78,038 | 1,825 | ||||||||||||
Soybean Meal |
(622) | 05/14/2024 | 20,476,240 | 860,514 | ||||||||||||
Soybean Meal |
(93) | 07/12/2024 | 3,080,160 | 113,760 | ||||||||||||
Soybeans |
(1180) | 05/14/2024 | 67,304,250 | 2,363,757 | ||||||||||||
Soybeans |
(485) | 07/12/2024 | 27,917,813 | 1,053,125 | ||||||||||||
Soybeans |
(79) | 11/14/2024 | 4,476,338 | 21,350 | ||||||||||||
STOXX 600 Utilities Index |
(9) | 03/15/2024 | 174,068 | (438 | ) | |||||||||||
Sugar #11 |
(1037) | 04/30/2024 | 25,191,634 | 802,250 | ||||||||||||
Sugar #11 |
(11) | 06/28/2024 | 265,250 | 4,245 | ||||||||||||
Sugar #11 |
(3) | 09/30/2024 | 72,610 | 1,154 | ||||||||||||
Sugar #11 |
(2) | 02/28/2025 | 48,922 | 594 | ||||||||||||
Swiss Franc/US Dollar Cross Currency Rate |
(166) | 03/18/2024 | 23,496,263 | 177,898 | ||||||||||||
Three-Month CORRA Futures |
(130) | 09/17/2024 | 22,810,946 | (6,724 | ) | |||||||||||
U.S. Treasury 10 Year Notes |
(1442) | 06/18/2024 | 159,250,875 | (339,883 | ) | |||||||||||
U.S. Treasury 2 Year Notes |
(2357) | 06/28/2024 | 482,595,751 | (293,835 | ) | |||||||||||
U.S. Treasury 5 Year Note |
(2557) | 06/28/2024 | 273,359,281 | (377,430 | ) | |||||||||||
U.S. Treasury Long Bonds |
(377) | 06/18/2024 | 44,957,250 | (175,398 | ) | |||||||||||
U.S. Treasury Ultra Bonds |
(135) | 06/18/2024 | 17,263,125 | (185,266 | ) | |||||||||||
UK Natural Gas |
(80) | 03/27/2024 | 1,865,590 | (66,934 | ) | |||||||||||
UK Natural Gas |
(10) | 04/29/2024 | 240,502 | (15,731 | ) | |||||||||||
US 3 Year Notes |
(9) | 06/28/2024 | 1,878,188 | (1,992 | ) | |||||||||||
Wheat |
(527) | 05/14/2024 | 15,184,188 | 346,428 | ||||||||||||
Wheat |
(602) | 07/12/2024 | 17,435,425 | 1,251,875 | ||||||||||||
Wheat |
(26) | 09/13/2024 | 762,775 | 4,000 | ||||||||||||
Wheat |
(3) | 12/13/2024 | 90,113 | 6,075 | ||||||||||||
White Sugar |
(25) | 04/15/2024 | 768,875 | 13,290 | ||||||||||||
White Sugar |
(13) | 07/16/2024 | 390,520 | 6,420 | ||||||||||||
White Sugar |
(3) | 09/13/2024 | 89,085 | 965 | ||||||||||||
$ | 29,161,356 | |||||||||||||||
Total Unrealized Appreciation (Depreciation) on Futures Contracts |
$ | 91,772,574 |
The accompanying notes are an integral part of the consolidated financial statements.
24
Abbey Capital Futures Strategy Fund
Schedule of Forward Currency Contracts
as of February 29, 2024 (Unaudited)
Settlement |
Currency Purchased |
|
Currency Sold |
|
Counterparty |
Value/ |
|||||||||||||||||
03/27/2024 | AUD |
15,000,000 | CAD |
13,291,512 | Bank of America Securities, Inc. | $ | (39,153 | ) | |||||||||||||||
03/27/2024 | AUD |
4,136,960 | EUR |
2,500,000 | Bank of America Securities, Inc. | (13,676 | ) | ||||||||||||||||
03/27/2024 | AUD |
4,834,314 | GBP |
2,500,000 | Bank of America Securities, Inc. | (11,224 | ) | ||||||||||||||||
03/01/2024 | AUD |
1,600,000 | JPY |
157,105,273 | Bank of America Securities, Inc. | (8,056 | ) | ||||||||||||||||
03/04/2024 | AUD |
1,400,000 | JPY |
136,648,302 | Bank of America Securities, Inc. | (1,925 | ) | ||||||||||||||||
03/27/2024 | AUD |
28,200,000 | JPY |
2,760,242,624 | Bank of America Securities, Inc. | (146,062 | ) | ||||||||||||||||
03/01/2024 | AUD |
6,400,000 | NZD |
6,820,344 | Bank of America Securities, Inc. | 7,562 | |||||||||||||||||
03/27/2024 | AUD |
31,800,000 | NZD |
33,833,083 | Bank of America Securities, Inc. | 88,468 | |||||||||||||||||
03/01/2024 | AUD |
17,154,872 | USD |
11,191,816 | Bank of America Securities, Inc. | (40,802 | ) | ||||||||||||||||
03/04/2024 | AUD |
15,254,872 | USD |
9,931,383 | Bank of America Securities, Inc. | (14,509 | ) | ||||||||||||||||
03/20/2024 | AUD |
11,700,000 | USD |
7,668,650 | Bank of America Securities, Inc. | (58,750 | ) | ||||||||||||||||
03/22/2024 | AUD |
51,472,000 | USD |
34,856,684 | Bank of America Securities, Inc. | (1,376,102 | ) | ||||||||||||||||
03/27/2024 | AUD |
2,300,000 | USD |
1,507,991 | Bank of America Securities, Inc. | (11,680 | ) | ||||||||||||||||
04/18/2024 | AUD |
142,670,000 | USD |
93,873,196 | Bank of America Securities, Inc. | (990,836 | ) | ||||||||||||||||
03/04/2024 | BRL |
36,211,351 | USD |
7,289,360 | Bank of America Securities, Inc. | (8,418 | ) | ||||||||||||||||
03/20/2024 | BRL |
89,231,518 | USD |
17,800,000 | Bank of America Securities, Inc. | 111,150 | |||||||||||||||||
04/02/2024 | BRL |
16,424,474 | USD |
3,300,000 | Bank of America Securities, Inc. | (7,526 | ) | ||||||||||||||||
03/27/2024 | CAD |
38,355,034 | AUD |
43,400,000 | Bank of America Securities, Inc. | 38,284 | |||||||||||||||||
03/27/2024 | CAD |
20,600,000 | JPY |
2,282,477,668 | Bank of America Securities, Inc. | (106,289 | ) | ||||||||||||||||
03/01/2024 | CAD |
175,850,506 | USD |
129,497,737 | Bank of America Securities, Inc. | 77,534 | |||||||||||||||||
03/20/2024 | CAD |
21,942,227 | USD |
16,280,226 | Bank of America Securities, Inc. | (107,472 | ) | ||||||||||||||||
03/22/2024 | CAD |
46,243,000 | USD |
34,574,220 | Bank of America Securities, Inc. | (489,273 | ) | ||||||||||||||||
03/27/2024 | CAD |
200,000 | USD |
148,025 | Bank of America Securities, Inc. | (597 | ) | ||||||||||||||||
03/20/2024 | CHF |
34,830,837 | EUR |
37,300,000 | Bank of America Securities, Inc. | (874,618 | ) | ||||||||||||||||
03/27/2024 | CHF |
25,400,080 | EUR |
26,750,000 | Bank of America Securities, Inc. | (136,107 | ) | ||||||||||||||||
03/27/2024 | CHF |
4,433,836 | GBP |
4,000,000 | Bank of America Securities, Inc. | (21,329 | ) | ||||||||||||||||
03/27/2024 | CHF |
13,000,000 | JPY |
2,210,581,225 | Bank of America Securities, Inc. | (65,488 | ) | ||||||||||||||||
03/01/2024 | CHF |
40,282,258 | USD |
45,729,044 | Bank of America Securities, Inc. | (174,175 | ) | ||||||||||||||||
03/04/2024 | CHF |
40,282,258 | USD |
45,894,305 | Bank of America Securities, Inc. | (325,212 | ) | ||||||||||||||||
03/20/2024 | CHF |
2,813,565 | USD |
3,250,000 | Bank of America Securities, Inc. | (61,475 | ) | ||||||||||||||||
03/22/2024 | CHF |
53,811,000 | USD |
63,631,628 | Bank of America Securities, Inc. | (2,635,445 | ) | ||||||||||||||||
03/27/2024 | CHF |
16,250,000 | USD |
18,459,423 | Bank of America Securities, Inc. | (29,153 | ) | ||||||||||||||||
03/06/2024 | CLP |
96,130,726 | USD |
100,000 | Bank of America Securities, Inc. | (523 | ) | ||||||||||||||||
03/08/2024 | CLP |
96,762,856 | USD |
100,000 | Bank of America Securities, Inc. | 121 | |||||||||||||||||
03/11/2024 | CLP |
784,689,928 | USD |
800,000 | Bank of America Securities, Inc. | 11,791 | |||||||||||||||||
03/12/2024 | CLP |
491,289,280 | USD |
500,000 | Bank of America Securities, Inc. | 8,230 | |||||||||||||||||
03/27/2024 | CLP |
296,084,568 | USD |
300,000 | Bank of America Securities, Inc. | 6,051 | |||||||||||||||||
03/01/2024 | CNH |
1,500,000 | USD |
207,864 | Bank of America Securities, Inc. | 298 | |||||||||||||||||
03/20/2024 | CNH |
33,239,276 | USD |
4,637,764 | Bank of America Securities, Inc. | (18,908 | ) | ||||||||||||||||
03/27/2024 | CNH |
6,475,239 | USD |
900,000 | Bank of America Securities, Inc. | 234 | |||||||||||||||||
03/01/2024 | COP |
797,276,000 | USD |
200,000 | Bank of America Securities, Inc. | 3,095 | |||||||||||||||||
03/05/2024 | COP |
781,560,713 | USD |
200,000 | Bank of America Securities, Inc. | (1,037 | ) | ||||||||||||||||
03/07/2024 | COP |
800,950,000 | USD |
200,000 | Bank of America Securities, Inc. | 3,833 | |||||||||||||||||
03/08/2024 | COP |
397,426,000 | USD |
100,000 | Bank of America Securities, Inc. | 1,122 | |||||||||||||||||
03/11/2024 | COP |
1,179,788,200 | USD |
300,000 | Bank of America Securities, Inc. | 26 | |||||||||||||||||
03/20/2024 | COP |
19,489,748,760 | USD |
4,850,000 | Bank of America Securities, Inc. | 98,319 | |||||||||||||||||
03/21/2024 | COP |
395,374,000 | USD |
100,000 | Bank of America Securities, Inc. | 365 | |||||||||||||||||
03/26/2024 | COP |
1,184,017,070 | USD |
300,000 | Bank of America Securities, Inc. | 290 | |||||||||||||||||
03/27/2024 | EUR |
13,750,000 | AUD |
22,664,321 | Bank of America Securities, Inc. | 133,093 | |||||||||||||||||
03/27/2024 | EUR |
15,750,000 | CAD |
22,937,194 | Bank of America Securities, Inc. | 133,948 | |||||||||||||||||
03/20/2024 | EUR |
26,100,000 | CHF |
24,686,140 | Bank of America Securities, Inc. | 256,275 |
The accompanying notes are an integral part of the consolidated financial statements.
25
Abbey Capital Futures Strategy Fund
Schedule of Forward Currency Contracts (Continued)
as of February 29, 2024 (Unaudited)
Settlement |
Currency Purchased |
|
Currency Sold |
|
Counterparty |
Value/ |
|||||||||||||||||
03/27/2024 | EUR |
1,250,000 | CHF |
1,190,189 | Bank of America Securities, Inc. | $ | 2,652 | ||||||||||||||||
03/20/2024 | EUR |
5,400,000 | CZK |
134,984,464 | Bank of America Securities, Inc. | 85,301 | |||||||||||||||||
03/20/2024 | EUR |
11,900,000 | GBP |
10,186,601 | Bank of America Securities, Inc. | 12,072 | |||||||||||||||||
03/27/2024 | EUR |
3,400,000 | GBP |
2,910,019 | Bank of America Securities, Inc. | 4,942 | |||||||||||||||||
03/20/2024 | EUR |
1,350,000 | HUF |
531,575,786 | Bank of America Securities, Inc. | (578 | ) | ||||||||||||||||
03/27/2024 | EUR |
900,000 | HUF |
351,639,909 | Bank of America Securities, Inc. | 8,034 | |||||||||||||||||
03/21/2024 | EUR |
64,050,000 | JPY |
10,236,205,475 | Bank of America Securities, Inc. | 776,494 | |||||||||||||||||
03/27/2024 | EUR |
9,300,000 | JPY |
1,502,669,114 | Bank of America Securities, Inc. | (4,256 | ) | ||||||||||||||||
03/01/2024 | EUR |
523,690 | NOK |
6,000,000 | Bank of America Securities, Inc. | 1,110 | |||||||||||||||||
03/04/2024 | EUR |
608,074 | NOK |
7,000,000 | Bank of America Securities, Inc. | (1,810 | ) | ||||||||||||||||
03/20/2024 | EUR |
19,574,249 | NOK |
226,308,005 | Bank of America Securities, Inc. | (144,517 | ) | ||||||||||||||||
03/27/2024 | EUR |
11,750,000 | NOK |
133,230,391 | Bank of America Securities, Inc. | 161,346 | |||||||||||||||||
03/01/2024 | EUR |
332,078 | PLN |
1,432,131 | Bank of America Securities, Inc. | 276 | |||||||||||||||||
03/20/2024 | EUR |
687,863 | PLN |
3,000,000 | Bank of America Securities, Inc. | (7,055 | ) | ||||||||||||||||
03/27/2024 | EUR |
1,000,000 | PLN |
4,317,605 | Bank of America Securities, Inc. | 1,121 | |||||||||||||||||
03/01/2024 | EUR |
267,872 | SEK |
3,000,000 | Bank of America Securities, Inc. | 119 | |||||||||||||||||
03/04/2024 | EUR |
89,229 | SEK |
1,000,000 | Bank of America Securities, Inc. | (27 | ) | ||||||||||||||||
03/20/2024 | EUR |
5,855,632 | SEK |
66,467,476 | Bank of America Securities, Inc. | (83,312 | ) | ||||||||||||||||
03/27/2024 | EUR |
16,625,000 | SEK |
186,581,742 | Bank of America Securities, Inc. | (31,104 | ) | ||||||||||||||||
03/01/2024 | EUR |
34,935,536 | USD |
37,904,209 | Bank of America Securities, Inc. | (144,401 | ) | ||||||||||||||||
03/04/2024 | EUR |
3,400,165 | USD |
3,686,479 | Bank of America Securities, Inc. | (11,011 | ) | ||||||||||||||||
03/20/2024 | EUR |
10,700,000 | USD |
11,600,069 | Bank of America Securities, Inc. | (25,905 | ) | ||||||||||||||||
03/22/2024 | EUR |
39,169,000 | USD |
43,042,338 | Bank of America Securities, Inc. | (669,679 | ) | ||||||||||||||||
03/27/2024 | EUR |
21,125,000 | USD |
22,866,549 | Bank of America Securities, Inc. | (8,803 | ) | ||||||||||||||||
04/18/2024 | EUR |
10,068,000 | USD |
10,934,736 | Bank of America Securities, Inc. | (30,511 | ) | ||||||||||||||||
03/27/2024 | GBP |
13,500,000 | AUD |
25,983,005 | Bank of America Securities, Inc. | 140,167 | |||||||||||||||||
03/27/2024 | GBP |
250,000 | CHF |
278,221 | Bank of America Securities, Inc. | 78 | |||||||||||||||||
03/04/2024 | GBP |
342,519 | EUR |
400,000 | Bank of America Securities, Inc. | (15 | ) | ||||||||||||||||
03/20/2024 | GBP |
48,374,378 | EUR |
56,500,000 | Bank of America Securities, Inc. | (45,417 | ) | ||||||||||||||||
03/27/2024 | GBP |
23,649,544 | EUR |
27,600,000 | Bank of America Securities, Inc. | (5,977 | ) | ||||||||||||||||
03/27/2024 | GBP |
11,625,000 | JPY |
2,192,401,638 | Bank of America Securities, Inc. | (11,190 | ) | ||||||||||||||||
03/01/2024 | GBP |
82,645,198 | USD |
104,547,111 | Bank of America Securities, Inc. | (222,988 | ) | ||||||||||||||||
03/04/2024 | GBP |
82,045,198 | USD |
103,951,786 | Bank of America Securities, Inc. | (383,650 | ) | ||||||||||||||||
03/20/2024 | GBP |
28,650,000 | USD |
36,193,875 | Bank of America Securities, Inc. | (24,527 | ) | ||||||||||||||||
03/22/2024 | GBP |
51,681,000 | USD |
65,722,042 | Bank of America Securities, Inc. | (476,223 | ) | ||||||||||||||||
03/27/2024 | GBP |
14,000,000 | USD |
17,628,941 | Bank of America Securities, Inc. | 46,250 | |||||||||||||||||
03/20/2024 | HUF |
3,061,494,481 | EUR |
7,900,000 | Bank of America Securities, Inc. | (131,848 | ) | ||||||||||||||||
03/01/2024 | HUF |
325,949,003 | USD |
900,000 | Bank of America Securities, Inc. | (2,713 | ) | ||||||||||||||||
03/27/2024 | HUF |
2,499,469,276 | USD |
6,900,000 | Bank of America Securities, Inc. | (35,151 | ) | ||||||||||||||||
04/18/2024 | HUF |
2,642,500,000 | USD |
7,332,717 | Bank of America Securities, Inc. | (86,526 | ) | ||||||||||||||||
03/28/2024 | IDR |
6,257,975,000 | USD |
400,000 | Bank of America Securities, Inc. | (2,081 | ) | ||||||||||||||||
03/20/2024 | ILS |
6,166,017 | USD |
1,700,000 | Bank of America Securities, Inc. | 26,853 | |||||||||||||||||
03/27/2024 | ILS |
5,069,603 | USD |
1,400,000 | Bank of America Securities, Inc. | 20,131 | |||||||||||||||||
03/01/2024 | INR |
386,183,818 | USD |
4,641,571 | Bank of America Securities, Inc. | 15,815 | |||||||||||||||||
03/04/2024 | INR |
349,962,753 | USD |
4,209,985 | Bank of America Securities, Inc. | 10,220 | |||||||||||||||||
03/05/2024 | INR |
95,398,055 | USD |
1,148,444 | Bank of America Securities, Inc. | 1,930 | |||||||||||||||||
03/06/2024 | INR |
431,234,294 | USD |
5,200,000 | Bank of America Securities, Inc. | (32 | ) | ||||||||||||||||
03/11/2024 | INR |
865,119,691 | USD |
10,435,567 | Bank of America Securities, Inc. | (5,404 | ) | ||||||||||||||||
03/13/2024 | INR |
463,144,895 | USD |
5,582,985 | Bank of America Securities, Inc. | 452 | |||||||||||||||||
03/20/2024 | INR |
527,435,027 | USD |
6,350,000 | Bank of America Securities, Inc. | 6,941 | |||||||||||||||||
03/28/2024 | INR |
1,021,948,550 | USD |
12,300,000 | Bank of America Securities, Inc. | 13,673 |
The accompanying notes are an integral part of the consolidated financial statements.
26
Abbey Capital Futures Strategy Fund
Schedule of Forward Currency Contracts (Continued)
as of February 29, 2024 (Unaudited)
Settlement |
Currency Purchased |
|
Currency Sold |
|
Counterparty |
Value/ |
|||||||||||||||||
03/01/2024 | JPY |
156,102,353 | AUD |
1,600,000 | Bank of America Securities, Inc. | $ | 1,366 | ||||||||||||||||
03/04/2024 | JPY |
77,999,295 | AUD |
800,000 | Bank of America Securities, Inc. | 530 | |||||||||||||||||
03/21/2024 | JPY |
95,136,303 | EUR |
600,000 | Bank of America Securities, Inc. | (12,315 | ) | ||||||||||||||||
03/01/2024 | JPY |
36,822,418 | NZD |
400,000 | Bank of America Securities, Inc. | 2,111 | |||||||||||||||||
03/27/2024 | JPY |
36,367,616 | NZD |
400,000 | Bank of America Securities, Inc. | 99 | |||||||||||||||||
03/01/2024 | JPY |
11,206,415,208 | USD |
74,782,252 | Bank of America Securities, Inc. | (21,446 | ) | ||||||||||||||||
03/04/2024 | JPY |
185,455,400 | USD |
1,237,660 | Bank of America Securities, Inc. | 131 | |||||||||||||||||
03/21/2024 | JPY |
330,353,530 | USD |
2,204,707 | Bank of America Securities, Inc. | 6,294 | |||||||||||||||||
03/22/2024 | JPY |
927,302,000 | USD |
6,500,190 | Bank of America Securities, Inc. | (292,889 | ) | ||||||||||||||||
04/17/2024 | JPY |
212,946,022 | USD |
1,422,652 | Bank of America Securities, Inc. | 9,025 | |||||||||||||||||
03/05/2024 | KRW |
266,502,557 | USD |
200,000 | Bank of America Securities, Inc. | 189 | |||||||||||||||||
03/06/2024 | KRW |
17,720,719,509 | USD |
13,300,000 | Bank of America Securities, Inc. | 11,953 | |||||||||||||||||
03/20/2024 | KRW |
19,467,883,544 | USD |
14,600,000 | Bank of America Securities, Inc. | 35,569 | |||||||||||||||||
03/20/2024 | MXN |
355,166,233 | USD |
20,700,000 | Bank of America Securities, Inc. | 69,448 | |||||||||||||||||
03/22/2024 | MXN |
336,465,000 | USD |
19,121,361 | Bank of America Securities, Inc. | 547,968 | |||||||||||||||||
03/27/2024 | MXN |
205,000,000 | USD |
11,955,115 | Bank of America Securities, Inc. | 19,034 | |||||||||||||||||
04/18/2024 | MXN |
420,000 | USD |
24,434 | Bank of America Securities, Inc. | 9 | |||||||||||||||||
03/01/2024 | NOK |
6,000,000 | EUR |
523,761 | Bank of America Securities, Inc. | (1,187 | ) | ||||||||||||||||
03/04/2024 | NOK |
7,000,000 | EUR |
608,051 | Bank of America Securities, Inc. | 1,836 | |||||||||||||||||
03/20/2024 | NOK |
166,431,012 | EUR |
14,692,826 | Bank of America Securities, Inc. | (215,598 | ) | ||||||||||||||||
03/01/2024 | NOK |
8,500,000 | SEK |
8,304,331 | Bank of America Securities, Inc. | (816 | ) | ||||||||||||||||
03/04/2024 | NOK |
8,500,000 | SEK |
8,297,475 | Bank of America Securities, Inc. | (193 | ) | ||||||||||||||||
03/27/2024 | NOK |
16,500,000 | SEK |
16,099,617 | Bank of America Securities, Inc. | (310 | ) | ||||||||||||||||
03/01/2024 | NOK |
4,242,319 | USD |
400,573 | Bank of America Securities, Inc. | (1,147 | ) | ||||||||||||||||
03/04/2024 | NOK |
12,812,946 | USD |
1,210,962 | Bank of America Securities, Inc. | (4,497 | ) | ||||||||||||||||
03/20/2024 | NOK |
126,303,859 | USD |
11,966,300 | Bank of America Securities, Inc. | (68,632 | ) | ||||||||||||||||
03/27/2024 | NOK |
51,653,360 | USD |
4,900,000 | Bank of America Securities, Inc. | (33,429 | ) | ||||||||||||||||
03/01/2024 | NZD |
6,836,024 | AUD |
6,400,000 | Bank of America Securities, Inc. | 1,985 | |||||||||||||||||
03/27/2024 | NZD |
61,355,992 | AUD |
57,600,000 | Bank of America Securities, Inc. | (115,537 | ) | ||||||||||||||||
03/01/2024 | NZD |
400,000 | JPY |
36,513,547 | Bank of America Securities, Inc. | (51 | ) | ||||||||||||||||
03/27/2024 | NZD |
28,400,000 | JPY |
2,611,647,892 | Bank of America Securities, Inc. | (204,968 | ) | ||||||||||||||||
03/01/2024 | NZD |
9,100,000 | USD |
5,556,807 | Bank of America Securities, Inc. | (16,270 | ) | ||||||||||||||||
03/04/2024 | NZD |
2,200,000 | USD |
1,341,002 | Bank of America Securities, Inc. | (1,532 | ) | ||||||||||||||||
03/20/2024 | NZD |
36,850,000 | USD |
22,684,459 | Bank of America Securities, Inc. | (248,057 | ) | ||||||||||||||||
03/22/2024 | NZD |
43,400,000 | USD |
27,234,881 | Bank of America Securities, Inc. | (810,413 | ) | ||||||||||||||||
03/27/2024 | NZD |
4,200,000 | USD |
2,564,814 | Bank of America Securities, Inc. | (7,595 | ) | ||||||||||||||||
03/20/2024 | PEN |
189,419 | USD |
50,000 | Bank of America Securities, Inc. | 66 | |||||||||||||||||
03/20/2024 | PHP |
64,392,105 | USD |
1,150,000 | Bank of America Securities, Inc. | (4,933 | ) | ||||||||||||||||
03/27/2024 | PHP |
33,563,360 | USD |
600,000 | Bank of America Securities, Inc. | (3,220 | ) | ||||||||||||||||
03/01/2024 | PLN |
1,432,170 | EUR |
332,147 | Bank of America Securities, Inc. | (341 | ) | ||||||||||||||||
03/20/2024 | PLN |
99,163,836 | EUR |
22,814,482 | Bank of America Securities, Inc. | 149,460 | |||||||||||||||||
03/27/2024 | PLN |
10,829,727 | EUR |
2,500,000 | Bank of America Securities, Inc. | 6,139 | |||||||||||||||||
03/27/2024 | PLN |
63,832,569 | USD |
15,900,000 | Bank of America Securities, Inc. | 80,342 | |||||||||||||||||
04/18/2024 | PLN |
107,530,000 | USD |
26,922,941 | Bank of America Securities, Inc. | (10,125 | ) | ||||||||||||||||
03/01/2024 | SEK |
3,000,000 | EUR |
267,897 | Bank of America Securities, Inc. | (146 | ) | ||||||||||||||||
03/04/2024 | SEK |
1,000,000 | EUR |
89,234 | Bank of America Securities, Inc. | 23 | |||||||||||||||||
03/20/2024 | SEK |
416,133,187 | EUR |
37,025,209 | Bank of America Securities, Inc. | 126,959 | |||||||||||||||||
03/27/2024 | SEK |
185,894,112 | EUR |
16,625,000 | Bank of America Securities, Inc. | (35,306 | ) | ||||||||||||||||
03/01/2024 | SEK |
8,284,519 | NOK |
8,500,000 | Bank of America Securities, Inc. | (1,096 | ) | ||||||||||||||||
03/27/2024 | SEK |
173,000,527 | NOK |
174,500,000 | Bank of America Securities, Inc. | 267,409 | |||||||||||||||||
03/01/2024 | SEK |
1,210,872 | USD |
117,027 | Bank of America Securities, Inc. | (215 | ) |
The accompanying notes are an integral part of the consolidated financial statements.
27
Abbey Capital Futures Strategy Fund
Schedule of Forward Currency Contracts (Continued)
as of February 29, 2024 (Unaudited)
Settlement |
Currency Purchased |
|
Currency Sold |
|
Counterparty |
Value/ |
|||||||||||||||||
03/04/2024 | SEK |
18,995,194 | USD |
1,837,848 | Bank of America Securities, Inc. | $ | (5,166 | ) | |||||||||||||||
03/20/2024 | SEK |
236,508,213 | USD |
22,730,043 | Bank of America Securities, Inc. | 104,472 | |||||||||||||||||
03/27/2024 | SEK |
54,610,706 | USD |
5,300,000 | Bank of America Securities, Inc. | (25,792 | ) | ||||||||||||||||
04/17/2024 | SEK |
16,208,694 | USD |
1,567,172 | Bank of America Securities, Inc. | (359 | ) | ||||||||||||||||
04/18/2024 | SEK |
36,450,000 | USD |
3,528,277 | Bank of America Securities, Inc. | (4,691 | ) | ||||||||||||||||
03/20/2024 | SGD |
67,089 | USD |
50,000 | Bank of America Securities, Inc. | (95 | ) | ||||||||||||||||
03/27/2024 | SGD |
51,366,385 | USD |
38,200,000 | Bank of America Securities, Inc. | 22,039 | |||||||||||||||||
03/20/2024 | TRY |
9,000,000 | USD |
282,394 | Bank of America Securities, Inc. | (869 | ) | ||||||||||||||||
03/29/2024 | TRY |
26,538,891 | USD |
825,042 | Bank of America Securities, Inc. | (3,660 | ) | ||||||||||||||||
03/05/2024 | TWD |
6,274,678 | USD |
200,000 | Bank of America Securities, Inc. | (1,379 | ) | ||||||||||||||||
03/06/2024 | TWD |
134,847,772 | USD |
4,300,000 | Bank of America Securities, Inc. | (30,984 | ) | ||||||||||||||||
03/01/2024 | USD |
11,165,428 | AUD |
17,154,872 | Bank of America Securities, Inc. | 14,414 | |||||||||||||||||
03/04/2024 | USD |
1,171,134 | AUD |
1,800,000 | Bank of America Securities, Inc. | 991 | |||||||||||||||||
03/20/2024 | USD |
35,678,890 | AUD |
54,750,000 | Bank of America Securities, Inc. | 68,459 | |||||||||||||||||
03/22/2024 | USD |
47,956,488 | AUD |
73,211,000 | Bank of America Securities, Inc. | 335,510 | |||||||||||||||||
03/27/2024 | USD |
10,336,802 | AUD |
15,800,000 | Bank of America Securities, Inc. | 57,794 | |||||||||||||||||
04/18/2024 | USD |
332,734 | AUD |
507,000 | Bank of America Securities, Inc. | 2,662 | |||||||||||||||||
03/04/2024 | USD |
7,278,037 | BRL |
36,205,975 | Bank of America Securities, Inc. | (1,825 | ) | ||||||||||||||||
03/20/2024 | USD |
3,100,000 | BRL |
15,474,835 | Bank of America Securities, Inc. | (6,213 | ) | ||||||||||||||||
04/02/2024 | USD |
300,000 | BRL |
1,496,480 | Bank of America Securities, Inc. | 13 | |||||||||||||||||
03/01/2024 | USD |
3,817,097 | CAD |
5,184,429 | Bank of America Securities, Inc. | (3,044 | ) | ||||||||||||||||
03/20/2024 | USD |
39,400,991 | CAD |
53,334,529 | Bank of America Securities, Inc. | 90,203 | |||||||||||||||||
03/22/2024 | USD |
50,897,762 | CAD |
68,871,000 | Bank of America Securities, Inc. | 134,093 | |||||||||||||||||
03/27/2024 | USD |
8,285,904 | CAD |
11,200,000 | Bank of America Securities, Inc. | 29,936 | |||||||||||||||||
04/18/2024 | USD |
6,419,203 | CAD |
8,685,000 | Bank of America Securities, Inc. | 15,014 | |||||||||||||||||
03/01/2024 | USD |
45,879,565 | CHF |
40,282,258 | Bank of America Securities, Inc. | 324,695 | |||||||||||||||||
03/20/2024 | USD |
8,850,000 | CHF |
7,752,249 | Bank of America Securities, Inc. | 64,618 | |||||||||||||||||
03/22/2024 | USD |
65,719,937 | CHF |
57,490,000 | Bank of America Securities, Inc. | 553,510 | |||||||||||||||||
03/27/2024 | USD |
4,842,550 | CHF |
4,250,000 | Bank of America Securities, Inc. | 22,326 | |||||||||||||||||
04/18/2024 | USD |
151,832,461 | CHF |
132,821,000 | Bank of America Securities, Inc. | 808,434 | |||||||||||||||||
03/06/2024 | USD |
100,000 | CLP |
94,957,000 | Bank of America Securities, Inc. | 1,737 | |||||||||||||||||
03/08/2024 | USD |
100,000 | CLP |
95,063,227 | Bank of America Securities, Inc. | 1,638 | |||||||||||||||||
03/11/2024 | USD |
800,000 | CLP |
758,864,000 | Bank of America Securities, Inc. | 14,926 | |||||||||||||||||
03/12/2024 | USD |
500,000 | CLP |
484,301,016 | Bank of America Securities, Inc. | (1,001 | ) | ||||||||||||||||
03/20/2024 | USD |
7,400,000 | CLP |
7,085,217,480 | Bank of America Securities, Inc. | 73,574 | |||||||||||||||||
03/25/2024 | USD |
100,000 | CLP |
96,841,000 | Bank of America Securities, Inc. | (111 | ) | ||||||||||||||||
03/27/2024 | USD |
700,000 | CLP |
690,410,280 | Bank of America Securities, Inc. | (13,650 | ) | ||||||||||||||||
03/28/2024 | USD |
1,700,000 | CLP |
1,656,509,000 | Bank of America Securities, Inc. | (12,176 | ) | ||||||||||||||||
03/01/2024 | USD |
207,860 | CNH |
1,500,000 | Bank of America Securities, Inc. | (302 | ) | ||||||||||||||||
03/20/2024 | USD |
32,685,058 | CNH |
234,627,182 | Bank of America Securities, Inc. | 81,786 | |||||||||||||||||
03/27/2024 | USD |
18,200,000 | CNH |
130,967,786 | Bank of America Securities, Inc. | (8,079 | ) | ||||||||||||||||
03/01/2024 | USD |
202,060 | COP |
797,276,000 | Bank of America Securities, Inc. | (1,035 | ) | ||||||||||||||||
03/05/2024 | USD |
200,000 | COP |
785,653,687 | Bank of America Securities, Inc. | (5 | ) | ||||||||||||||||
03/07/2024 | USD |
200,000 | COP |
793,416,287 | Bank of America Securities, Inc. | (1,916 | ) | ||||||||||||||||
03/08/2024 | USD |
100,000 | COP |
394,490,644 | Bank of America Securities, Inc. | (375 | ) | ||||||||||||||||
03/11/2024 | USD |
300,000 | COP |
1,192,165,928 | Bank of America Securities, Inc. | (3,174 | ) | ||||||||||||||||
03/20/2024 | USD |
100,000 | COP |
396,124,290 | Bank of America Securities, Inc. | (573 | ) | ||||||||||||||||
03/21/2024 | USD |
200,000 | COP |
787,029,287 | Bank of America Securities, Inc. | 214 | |||||||||||||||||
03/27/2024 | USD |
200,000 | COP |
795,048,012 | Bank of America Securities, Inc. | (1,603 | ) | ||||||||||||||||
03/27/2024 | USD |
200,000 | CZK |
4,681,460 | Bank of America Securities, Inc. | 391 | |||||||||||||||||
03/01/2024 | USD |
37,801,231 | EUR |
34,935,199 | Bank of America Securities, Inc. | 41,787 |
The accompanying notes are an integral part of the consolidated financial statements.
28
Abbey Capital Futures Strategy Fund
Schedule of Forward Currency Contracts (Continued)
as of February 29, 2024 (Unaudited)
Settlement |
Currency Purchased |
|
Currency Sold |
|
Counterparty |
Value/ |
|||||||||||||||||
03/04/2024 | USD |
37,258,024 | EUR |
34,335,199 | Bank of America Securities, Inc. | $ | 142,788 | ||||||||||||||||
03/20/2024 | USD |
45,045,637 | EUR |
41,800,000 | Bank of America Securities, Inc. | (169,321 | ) | ||||||||||||||||
03/22/2024 | USD |
55,760,993 | EUR |
51,564,000 | Bank of America Securities, Inc. | (20,461 | ) | ||||||||||||||||
03/27/2024 | USD |
9,612,190 | EUR |
8,875,000 | Bank of America Securities, Inc. | 9,231 | |||||||||||||||||
04/18/2024 | USD |
30,031,988 | EUR |
27,675,000 | Bank of America Securities, Inc. | 58,366 | |||||||||||||||||
03/01/2024 | USD |
104,708,804 | GBP |
82,645,198 | Bank of America Securities, Inc. | 384,680 | |||||||||||||||||
03/04/2024 | USD |
1,013,081 | GBP |
800,000 | Bank of America Securities, Inc. | 3,216 | |||||||||||||||||
03/20/2024 | USD |
16,426,322 | GBP |
13,050,000 | Bank of America Securities, Inc. | (48,721 | ) | ||||||||||||||||
03/22/2024 | USD |
39,715,969 | GBP |
31,553,000 | Bank of America Securities, Inc. | (118,811 | ) | ||||||||||||||||
03/27/2024 | USD |
3,168,880 | GBP |
2,500,000 | Bank of America Securities, Inc. | 12,596 | |||||||||||||||||
03/01/2024 | USD |
901,564 | HUF |
325,949,004 | Bank of America Securities, Inc. | 4,277 | |||||||||||||||||
03/27/2024 | USD |
1,100,000 | HUF |
396,232,617 | Bank of America Securities, Inc. | 11,738 | |||||||||||||||||
03/20/2024 | USD |
3,600,000 | IDR |
56,576,060,946 | Bank of America Securities, Inc. | 1,857 | |||||||||||||||||
03/28/2024 | USD |
600,000 | IDR |
9,380,305,000 | Bank of America Securities, Inc. | 3,544 | |||||||||||||||||
03/20/2024 | USD |
2,100,000 | ILS |
7,704,468 | Bank of America Securities, Inc. | (57,711 | ) | ||||||||||||||||
03/27/2024 | USD |
3,700,000 | ILS |
13,471,304 | Bank of America Securities, Inc. | (73,671 | ) | ||||||||||||||||
03/01/2024 | USD |
4,646,849 | INR |
386,183,818 | Bank of America Securities, Inc. | (10,537 | ) | ||||||||||||||||
03/04/2024 | USD |
4,211,008 | INR |
349,962,753 | Bank of America Securities, Inc. | (9,197 | ) | ||||||||||||||||
03/05/2024 | USD |
1,148,444 | INR |
95,445,228 | Bank of America Securities, Inc. | (2,499 | ) | ||||||||||||||||
03/06/2024 | USD |
5,200,000 | INR |
431,294,510 | Bank of America Securities, Inc. | (694 | ) | ||||||||||||||||
03/11/2024 | USD |
10,435,567 | INR |
867,408,503 | Bank of America Securities, Inc. | (22,191 | ) | ||||||||||||||||
03/13/2024 | USD |
5,582,985 | INR |
464,038,173 | Bank of America Securities, Inc. | (11,221 | ) | ||||||||||||||||
03/20/2024 | USD |
18,931,448 | INR |
1,573,507,000 | Bank of America Securities, Inc. | (33,335 | ) | ||||||||||||||||
03/26/2024 | USD |
5,200,000 | INR |
431,538,640 | Bank of America Securities, Inc. | (61 | ) | ||||||||||||||||
03/27/2024 | USD |
6,175,903 | INR |
512,508,119 | Bank of America Securities, Inc. | 370 | |||||||||||||||||
03/28/2024 | USD |
10,435,567 | INR |
865,635,500 | Bank of America Securities, Inc. | 5,343 | |||||||||||||||||
04/02/2024 | USD |
5,582,985 | INR |
463,647,364 | Bank of America Securities, Inc. | (2,404 | ) | ||||||||||||||||
03/01/2024 | USD |
74,507,318 | JPY |
11,205,721,158 | Bank of America Securities, Inc. | (248,858 | ) | ||||||||||||||||
03/04/2024 | USD |
75,900,214 | JPY |
11,368,524,897 | Bank of America Securities, Inc. | 22,898 | |||||||||||||||||
03/21/2024 | USD |
75,748,209 | JPY |
11,221,396,992 | Bank of America Securities, Inc. | 645,270 | |||||||||||||||||
03/22/2024 | USD |
46,330,046 | JPY |
6,658,116,000 | Bank of America Securities, Inc. | 1,761,034 | |||||||||||||||||
03/27/2024 | USD |
9,190,461 | JPY |
1,375,000,000 | Bank of America Securities, Inc. | (21,299 | ) | ||||||||||||||||
04/18/2024 | USD |
109,929,364 | JPY |
16,339,200,000 | Bank of America Securities, Inc. | 59,141 | |||||||||||||||||
03/05/2024 | USD |
200,359 | KRW |
266,502,557 | Bank of America Securities, Inc. | 170 | |||||||||||||||||
03/06/2024 | USD |
13,300,000 | KRW |
17,619,582,777 | Bank of America Securities, Inc. | 64,022 | |||||||||||||||||
03/20/2024 | USD |
19,800,000 | KRW |
26,352,034,120 | Bank of America Securities, Inc. | (10,937 | ) | ||||||||||||||||
03/27/2024 | USD |
14,400,000 | KRW |
19,196,178,364 | Bank of America Securities, Inc. | (36,822 | ) | ||||||||||||||||
03/28/2024 | USD |
2,300,000 | KRW |
3,061,089,320 | Bank of America Securities, Inc. | (2,272 | ) | ||||||||||||||||
03/22/2024 | USD |
1,766,115 | MXN |
30,822,000 | Bank of America Securities, Inc. | (35,701 | ) | ||||||||||||||||
03/01/2024 | USD |
400,000 | NOK |
4,242,319 | Bank of America Securities, Inc. | 574 | |||||||||||||||||
03/04/2024 | USD |
1,599,907 | NOK |
16,980,366 | Bank of America Securities, Inc. | 1,039 | |||||||||||||||||
03/20/2024 | USD |
10,046,564 | NOK |
106,314,294 | Bank of America Securities, Inc. | 31,889 | |||||||||||||||||
03/27/2024 | USD |
9,900,000 | NOK |
103,847,822 | Bank of America Securities, Inc. | 115,877 | |||||||||||||||||
03/01/2024 | USD |
5,567,693 | NZD |
9,115,680 | Bank of America Securities, Inc. | 17,608 | |||||||||||||||||
03/04/2024 | USD |
1,341,195 | NZD |
2,200,000 | Bank of America Securities, Inc. | 1,724 | |||||||||||||||||
03/20/2024 | USD |
17,629,039 | NZD |
28,950,000 | Bank of America Securities, Inc. | 2,612 | |||||||||||||||||
03/22/2024 | USD |
14,309,666 | NZD |
23,418,000 | Bank of America Securities, Inc. | 51,413 | |||||||||||||||||
03/27/2024 | USD |
4,749,891 | NZD |
7,700,000 | Bank of America Securities, Inc. | 61,658 | |||||||||||||||||
03/20/2024 | USD |
2,250,000 | PEN |
8,682,587 | Bank of America Securities, Inc. | (44,939 | ) | ||||||||||||||||
03/20/2024 | USD |
1,450,000 | PHP |
81,645,339 | Bank of America Securities, Inc. | (1,876 | ) | ||||||||||||||||
03/01/2024 | USD |
10 | PLN |
39 | Bank of America Securities, Inc. | 1 |
The accompanying notes are an integral part of the consolidated financial statements.
29
Abbey Capital Futures Strategy Fund
Schedule of Forward Currency Contracts (Concluded)
as of February 29, 2024 (Unaudited)
Settlement |
Currency Purchased |
|
Currency Sold |
|
Counterparty |
Value/ |
|||||||||||||||||
03/27/2024 | USD |
3,400,000 | PLN |
13,523,065 | Bank of America Securities, Inc. | $ | 14,531 | ||||||||||||||||
03/01/2024 | USD |
115,190 | SEK |
1,191,059 | Bank of America Securities, Inc. | 289 | |||||||||||||||||
03/20/2024 | USD |
11,802,709 | SEK |
124,041,118 | Bank of America Securities, Inc. | (173,276 | ) | ||||||||||||||||
03/20/2024 | USD |
5,450,000 | SGD |
7,322,841 | Bank of America Securities, Inc. | 2,802 | |||||||||||||||||
03/27/2024 | USD |
6,200,000 | SGD |
8,325,203 | Bank of America Securities, Inc. | 5,166 | |||||||||||||||||
03/20/2024 | USD |
7,550,000 | THB |
268,814,025 | Bank of America Securities, Inc. | 42,487 | |||||||||||||||||
03/20/2024 | USD |
579,673 | TRY |
18,500,000 | Bank of America Securities, Inc. | 983 | |||||||||||||||||
03/29/2024 | USD |
9,725,042 | TRY |
312,169,413 | Bank of America Securities, Inc. | 63,354 | |||||||||||||||||
03/05/2024 | USD |
200,000 | TWD |
6,284,100 | Bank of America Securities, Inc. | 1,081 | |||||||||||||||||
03/06/2024 | USD |
4,300,000 | TWD |
134,906,375 | Bank of America Securities, Inc. | 29,129 | |||||||||||||||||
03/20/2024 | USD |
12,200,000 | TWD |
381,815,202 | Bank of America Securities, Inc. | 88,670 | |||||||||||||||||
03/28/2024 | USD |
1,100,000 | TWD |
34,584,656 | Bank of America Securities, Inc. | 1,708 | |||||||||||||||||
03/01/2024 | USD |
51,949 | ZAR |
1,000,000 | Bank of America Securities, Inc. | (185 | ) | ||||||||||||||||
03/20/2024 | USD |
2,226,906 | ZAR |
42,673,264 | Bank of America Securities, Inc. | 5,852 | |||||||||||||||||
03/27/2024 | USD |
8,600,000 | ZAR |
164,055,544 | Bank of America Securities, Inc. | 66,469 | |||||||||||||||||
03/01/2024 | ZAR |
1,000,000 | USD |
51,958 | Bank of America Securities, Inc. | 175 | |||||||||||||||||
03/20/2024 | ZAR |
19,689,901 | USD |
1,048,659 | Bank of America Securities, Inc. | (23,841 | ) | ||||||||||||||||
03/27/2024 | ZAR |
7,748,489 | USD |
400,000 | Bank of America Securities, Inc. | 3,046 | |||||||||||||||||
04/18/2024 | ZAR |
20,000 | USD |
1,051 | Bank of America Securities, Inc. | (13 | ) | ||||||||||||||||
$ | (3,473,801 | ) |
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 |
SEK |
Swedish Krona |
|
EUR |
Euro |
SGD |
Singapore Dollar |
|
FTSE |
Financial Times Stock Exchange |
THB |
Thai Baht |
|
GBP |
British Pound |
TRY |
Turkish Lira |
|
HUF |
Hungarian Forint |
TSX |
Toronto Stock Exchange |
|
IBEX |
Index of the Bolsa de Madrid |
TWD |
Taiwan Dollar |
|
ICE |
Intercontinental Exchange |
USD |
United States Dollar |
|
ILS |
Israeli New Shekel |
WTI |
West Texas Intermediate |
|
INR |
Indian Rupee |
ZAR |
South African Rand |
|
JPY |
Japanese Yen |
The accompanying notes are an integral part of the consolidated financial statements.
30
Abbey Capital Futures Strategy Fund
Consolidated Statement of Assets And Liabilities
February 29, 2024 (Unaudited)
ASSETS |
||||
Investments, at value (cost $2,141,668,686) |
$ | 2,141,325,130 | ||
Cash equivalents |
112,902,472 | |||
Deposits with broker for forward foreign currency contracts |
61,677,375 | |||
Deposits with broker for futures contracts |
317,877,769 | |||
Receivables for: |
||||
Capital shares sold |
6,019,457 | |||
Interest receivable |
369,496 | |||
Unrealized appreciation on forward foreign currency contracts |
10,319,873 | |||
Unrealized appreciation on futures contracts |
124,380,593 | |||
Prepaid expenses and other assets |
123,006 | |||
Total assets |
2,774,995,171 | |||
LIABILITIES |
||||
Payables for: |
||||
Due to broker |
1,071,658 | |||
Advisory fees |
3,652,761 | |||
Capital shares redeemed |
2,974,886 | |||
Unrealized depreciation on forward foreign currency contracts |
13,793,674 | |||
Unrealized depreciation on futures contracts |
32,608,019 | |||
Other accrued expenses and liabilities |
292,420 | |||
Total liabilities |
54,393,418 | |||
Net assets |
$ | 2,720,601,753 | ||
NET ASSETS CONSIST OF: |
||||
Par value |
$ | 235,935 | ||
Paid-in capital |
3,160,755,796 | |||
Total distributable earnings/(losses) |
(440,389,978 | ) | ||
Net assets |
$ | 2,720,601,753 | ||
CLASS A SHARES: |
||||
Net assets |
$ | 28,957,490 | ||
Shares outstanding ($0.001 par value, 100,000,000 shares authorized) |
2,526,713 | |||
Net asset value and redemption price per share |
$ | 11.46 | ||
Maximum offering price per share (100/94.25 of $11.40) |
$ | 12.16 | ||
CLASS I SHARES: |
||||
Net assets |
$ | 2,682,621,140 | ||
Shares outstanding ($0.001 par value, 500,000,000 shares authorized) |
232,586,634 | |||
Net asset value, offering and redemption price per share |
$ | 11.53 | ||
CLASS C SHARES: |
||||
Net assets |
$ | 9,023,123 | ||
Shares outstanding ($0.001 par value, 100,000,000 shares authorized) |
821,738 | |||
Net asset value, offering and redemption price per share |
$ | 10.98 |
The accompanying notes are an integral part of the consolidated financial statements.
31
Abbey Capital Futures Strategy Fund
Consolidated Statement of Operations
For the Six Months Ended February 29, 2024 (Unaudited)
INVESTMENT INCOME |
||||
Interest |
$ | 65,699,926 | ||
Total investment income |
65,699,926 | |||
EXPENSES |
||||
Advisory fees (Note 2) |
23,514,744 | |||
Administration and accounting services fees (Note 2) |
265,201 | |||
Transfer agent fees (Note 2) |
166,603 | |||
Directors fees |
161,444 | |||
Officers fees |
100,352 | |||
Legal fees |
93,276 | |||
Registration and filing fees |
70,698 | |||
Printing and shareholder reporting fees |
70,098 | |||
Distribution fees (Class A Shares) (Note 2) |
56,677 | |||
Distribution fees (Class C Shares) (Note 2) |
34,734 | |||
Custodian fees (Note 2) |
48,980 | |||
Audit and tax service fees |
35,820 | |||
Other expenses |
82,786 | |||
Total expenses before waivers and/or reimbursements |
24,701,413 | |||
Less: waivers and/or reimbursements (Note 2) |
(813,499 | ) | ||
Net expenses after waivers and/or reimbursements |
23,887,914 | |||
Net investment income/(loss) |
41,812,012 | |||
NET REALIZED AND UNREALIZED GAIN/(LOSS) FROM INVESTMENTS |
||||
Net realized gain/(loss) from: |
||||
Investments |
(877,264 | ) | ||
Futures contracts |
(31,384,366 | ) | ||
Foreign currency transactions |
(5,208,338 | ) | ||
Forward foreign currency contracts |
(29,200,558 | ) | ||
Net change in unrealized appreciation/(depreciation) on: |
||||
Investments |
499,218 | |||
Futures contracts |
77,895,422 | |||
Foreign currency translations |
66,064 | |||
Forward foreign currency contracts |
(5,271,686 | ) | ||
Net realized and unrealized gain/(loss) from investments |
6,518,492 | |||
NET INCREASE/(DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS |
$ | 48,330,504 |
The accompanying notes are an integral part of the consolidated financial statements.
32
Abbey Capital Futures Strategy Fund
Consolidated Statements of Changes in Net Assets
For the |
For the |
|||||||
INCREASE/(DECREASE) IN NET ASSETS FROM OPERATIONS: |
||||||||
Net investment income/(loss) |
$ | 41,812,012 | $ | 55,955,657 | ||||
Net realized gain/(loss) from investments, futures contracts, foreign currency transactions, forward foreign currency contracts and written options |
(66,670,526 | ) | (106,116,882 | ) | ||||
Net change in unrealized appreciation/(depreciation) on investments, futures contracts, foreign currency translations, forward foreign currency contracts and written options |
73,189,018 | (34,763,504 | ) | |||||
Net increase/(decrease) in net assets resulting from operations |
48,330,504 | (84,924,729 | ) | |||||
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS: |
||||||||
Class A |
(304,919 | ) | (17,240,224 | ) | ||||
Class I |
(49,555,318 | ) | (350,326,206 | ) | ||||
Class C |
(82,852 | ) | (1,390,657 | ) | ||||
Net decrease in net assets from dividends and distributions to shareholders |
(49,943,089 | ) | (368,957,087 | ) | ||||
CAPITAL SHARE TRANSACTIONS: |
||||||||
Class A Shares |
||||||||
Proceeds from shares sold |
8,958,795 | 72,909,552 | ||||||
Proceeds from reinvestment of distributions |
244,603 | 15,458,188 | ||||||
Shares redeemed |
(65,587,072 | ) | (96,518,703 | ) | ||||
Total from Class A Shares |
(56,383,674 | ) | (8,150,963 | ) | ||||
Class I Shares |
||||||||
Proceeds from shares sold |
636,045,507 | 1,519,244,144 | ||||||
Proceeds from reinvestment of distributions |
31,007,633 | 220,037,703 | ||||||
Shares redeemed |
(631,607,438 | ) | (1,223,121,986 | ) | ||||
Total from Class I Shares |
35,445,702 | 516,159,861 | ||||||
Class C Shares |
||||||||
Proceeds from shares sold |
1,005,897 | 3,837,664 | ||||||
Proceeds from reinvestment of distributions |
55,448 | 882,158 | ||||||
Shares redeemed |
(1,509,970 | ) | (2,504,539 | ) | ||||
Total from Class C Shares |
(448,625 | ) | 2,215,283 | |||||
Net increase/(decrease) in net assets from capital share transactions |
(21,386,597 | ) | 510,224,181 | |||||
Total increase/(decrease) in net assets |
(22,999,182 | ) | 56,342,365 | |||||
NET ASSETS: |
||||||||
Beginning of period |
2,743,600,935 | 2,687,258,570 | ||||||
End of period |
$ | 2,720,601,753 | $ | 2,743,600,935 |
The accompanying notes are an integral part of the consolidated financial statements.
33
Abbey Capital Futures Strategy Fund
Consolidated Statements of Changes in Net Assets (Concluded)
For the |
For the |
|||||||
SHARE TRANSACTIONS: |
||||||||
Class A Shares |
||||||||
Shares sold |
785,147 | 5,947,542 | ||||||
Shares reinvested |
22,196 | 1,333,752 | ||||||
Shares redeemed |
(5,629,515 | ) | (8,301,217 | ) | ||||
Total Class A Shares |
(4,822,172 | ) | (1,019,923 | ) | ||||
Class I Shares |
||||||||
Shares sold |
56,016,229 | 123,436,456 | ||||||
Shares reinvested |
2,795,999 | 18,742,564 | ||||||
Shares redeemed |
(55,232,155 | ) | (100,137,539 | ) | ||||
Total Class I Shares |
3,580,073 | 42,041,481 | ||||||
Class C Shares |
||||||||
Shares sold |
91,707 | 305,269 | ||||||
Shares reinvested |
5,241 | 78,764 | ||||||
Shares redeemed |
(139,596 | ) | (211,397 | ) | ||||
Total Class C Shares |
(42,648 | ) | 172,636 | |||||
Net increase/(decrease) in shares outstanding |
(1,284,747 | ) | 41,194,194 |
The accompanying notes are an integral part of the consolidated financial statements.
34
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 |
For the |
For the |
For the |
For the |
For the |
|||||||||||||||||||
Per Share Operating Performance |
||||||||||||||||||||||||
Net asset value, beginning of period |
$ | 11.40 | $ | 13.56 | $ | 11.95 | $ | 11.28 | $ | 12.45 | $ | 11.28 | ||||||||||||
Net investment income/(loss)(1) |
0.17 | 0.22 | (0.19 | ) | (0.24 | ) | (0.11 | ) | (0.01 | ) | ||||||||||||||
Net realized and unrealized gain/(loss) from investments |
— | (0.60 | ) | 2.20 | 1.07 | (0.14 | ) | 1.18 | ||||||||||||||||
Net increase/(decrease) in net assets resulting from operations |
0.17 | (0.38 | ) | 2.01 | 0.83 | (0.25 | ) | 1.17 | ||||||||||||||||
Dividends and distributions to shareholders from: |
||||||||||||||||||||||||
Net investment income |
(0.11 | ) | (1.11 | ) | (0.27 | ) | (0.16 | ) | (0.64 | ) | — | |||||||||||||
Net realized capital gains |
— | (0.67 | ) | (0.13 | ) | — | (0.28 | ) | — | |||||||||||||||
Total dividends and distributions to shareholders |
(0.11 | ) | (1.78 | ) | (0.40 | ) | (0.16 | ) | (0.92 | ) | — | |||||||||||||
Net asset value, end of period |
$ | 11.46 | $ | 11.40 | $ | 13.56 | $ | 11.95 | $ | 11.28 | $ | 12.45 | ||||||||||||
Total investment return/(loss)(2) |
1.52 | %(5) | (3.05 | )% | 17.40 | % | 7.42 | % | (1.64 | )% | 10.37 | % | ||||||||||||
Ratios/Supplemental Data |
||||||||||||||||||||||||
Net assets, end of period (000’s omitted) |
$ | 28,957 | $ | 83,783 | $ | 113,480 | $ | 21,395 | $ | 14,469 | $ | 12,434 | ||||||||||||
Ratio of expenses to average net assets with waivers and/or reimbursements (including interest expense)(3) |
2.04 | %(6) | 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 | %(6) | 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) |
2.10 | %(6) | 2.11 | % | 2.10 | % | 2.14 | % | 2.15 | % | 2.14 | % | ||||||||||||
Ratio of net investment income/(loss) to average net assets |
2.90 | %(6) | 1.80 | % | (1.47 | )% | (2.03 | )% | (0.98 | )% | (0.05 | )% | ||||||||||||
Portfolio turnover rate(4) |
0 | %(5) | 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) |
Portfolio turnover rate excludes derivatives and is calculated for the Fund, as a whole, for the entire period. |
(5) |
Not Annualized. |
(6) |
Annualized. |
The accompanying notes are an integral part of the consolidated financial statements.
35
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 |
For the |
For the |
For the |
For the |
For the |
|||||||||||||||||||
Per Share Operating Performance |
||||||||||||||||||||||||
Net asset value, beginning of period |
$ | 11.57 | $ | 13.72 | $ | 12.07 | $ | 11.38 | $ | 12.55 | $ | 11.36 | ||||||||||||
Net investment income/(loss)(1) |
0.18 | 0.25 | (0.15 | ) | (0.21 | ) | (0.09 | ) | 0.02 | |||||||||||||||
Net realized and unrealized gain/(loss) from investments |
0.01 | (0.61 | ) | 2.22 | 1.08 | (0.14 | ) | 1.19 | ||||||||||||||||
Net increase/(decrease) in net assets resulting from operations |
0.19 | (0.36 | ) | 2.07 | 0.87 | (0.23 | ) | 1.21 | ||||||||||||||||
Dividends and distributions to shareholders from: |
||||||||||||||||||||||||
Net investment income |
(0.23 | ) | (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 |
(0.23 | ) | (1.79 | ) | (0.42 | ) | (0.18 | ) | (0.94 | ) | (0.02 | ) | ||||||||||||
Net asset value, end of period |
$ | 11.53 | $ | 11.57 | $ | 13.72 | $ | 12.07 | $ | 11.38 | $ | 12.55 | ||||||||||||
Total investment return/(loss)(2) |
1.77 | %(5) | (2.83 | )% | 17.72 | % | 7.74 | % | (1.39 | )% | 10.63 | % | ||||||||||||
Ratios/Supplemental Data |
||||||||||||||||||||||||
Net assets, end of period (000’s omitted) |
$ | 2,682,621 | $ | 2,650,349 | $ | 2,564,701 | $ | 1,132,714 | $ | 883,997 | $ | 707,564 | ||||||||||||
Ratio of expenses to average net assets with waivers and/or reimbursements (including interest expense)(3) |
1.79 | %(6) | 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 | %(6) | 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) |
1.85 | %(6) | 1.86 | % | 1.85 | % | 1.89 | % | 1.90 | % | 1.89 | % | ||||||||||||
Ratio of net investment income/(loss) to average net assets |
3.15 | %(6) | 2.05 | % | (1.22 | )% | (1.78 | )% | (0.73 | )% | 0.20 | % | ||||||||||||
Portfolio turnover rate(4) |
0 | %(5) | 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) |
Portfolio turnover rate excludes derivatives and is calculated for the Fund, as a whole, for the entire period. |
(5) |
Not Annualized. |
(6) |
Annualized. |
The accompanying notes are an integral part of the consolidated financial statements.
36
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 |
For the |
For the |
For the |
For the |
For the |
|||||||||||||||||||
Per Share Operating Performance |
||||||||||||||||||||||||
Net asset value, beginning of period |
$ | 10.95 | $ | 13.12 | $ | 11.60 | $ | 10.98 | $ | 12.11 | $ | 11.06 | ||||||||||||
Net investment income/(loss)(1) |
0.12 | 0.12 | (0.27 | ) | (0.32 | ) | (0.19 | ) | (0.08 | ) | ||||||||||||||
Net realized and unrealized gain/(loss) from investments |
0.01 | (0.57 | ) | 2.13 | 1.05 | (0.14 | ) | 1.13 | ||||||||||||||||
Net increase/(decrease) in net assets resulting from operations |
0.13 | (0.45 | ) | 1.86 | 0.73 | (0.33 | ) | 1.05 | ||||||||||||||||
Dividends and distributions to shareholders from: |
||||||||||||||||||||||||
Net investment income |
(0.10 | ) | (1.05 | ) | (0.21 | ) | (0.11 | ) | (0.52 | ) | — | |||||||||||||
Net realized capital gains |
— | (0.67 | ) | (0.13 | ) | — | (0.28 | ) | — | |||||||||||||||
Total dividends and distributions to shareholders |
(0.10 | ) | (1.72 | ) | (0.34 | ) | (0.11 | ) | (0.80 | ) | — | |||||||||||||
Net asset value, end of period |
$ | 10.98 | $ | 10.95 | $ | 13.12 | $ | 11.60 | $ | 10.98 | $ | 12.11 | ||||||||||||
Total investment return/(loss)(2) |
1.21 | %(5) | (3.77 | )% | 16.48 | % | 6.72 | % | (2.40 | )% | 9.49 | % | ||||||||||||
Ratios/Supplemental Data |
||||||||||||||||||||||||
Net assets, end of period (000’s omitted) |
$ | 9,023 | $ | 9,469 | $ | 9,078 | $ | 5,524 | $ | 5,151 | $ | 4,487 | ||||||||||||
Ratio of expenses to average net assets with waivers and/or reimbursements (including interest expense)(3) |
2.79 | %(6) | 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 | %(6) | 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) |
2.84 | %(6) | 2.86 | % | 2.85 | % | 2.89 | % | 2.90 | % | 2.89 | % | ||||||||||||
Ratio of net investment income/(loss) to average net assets |
2.15 | %(6) | 1.05 | % | (2.22 | )% | (2.78 | )% | (1.73 | )% | (0.80 | )% | ||||||||||||
Portfolio turnover rate(4) |
0 | %(5) | 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) |
Portfolio turnover rate excludes derivatives and is calculated for the Fund, as a whole, for the entire period. |
(5) |
Not Annualized. |
(6) |
Annualized. |
The accompanying notes are an integral part of the consolidated financial statements.
37
Abbey Capital Futures Strategy Fund
Notes To Consolidated Financial Statements
February 29, 2024 (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 sixty-four 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 92.723 billion shares are currently classified into two hundred and thirty-four 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 29, 2024, and the period covered by these Notes to Consolidated Financial Statements is the six months ended February 29, 2024 (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 $616,696,214, which represented 22.67% of the Fund’s net assets. As of the end of the reporting period, the net assets of the Onshore Subsidiary were $733,230,047, which represented 26.95% 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
38
Abbey Capital Futures Strategy Fund
Notes To Consolidated Financial Statements (Continued)
February 29, 2024 (Unaudited)
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.
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” or “Abbey Capital”) 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 |
$ | 2,141,325,130 | $ | 2,141,325,130 | $ | — | $ | — | ||||||||
Commodity Contracts |
||||||||||||||||
Futures Contracts |
36,110,800 | 36,110,800 | — | — | ||||||||||||
Equity Contracts |
||||||||||||||||
Futures Contracts |
67,890,769 | 67,890,769 | — | — | ||||||||||||
Foreign Currency Contracts |
||||||||||||||||
Forward Foreign Currency Contracts |
10,319,873 | — | 10,319,873 | — | ||||||||||||
Futures Contracts |
11,395,281 | 11,395,281 | — | — | ||||||||||||
Interest Rate Contracts |
||||||||||||||||
Futures Contracts |
8,983,743 | 8,983,743 | — | — | ||||||||||||
Total Assets |
$ | 2,276,025,596 | $ | 2,265,705,723 | $ | 10,319,873 | $ | — |
39
Abbey Capital Futures Strategy Fund
Notes To Consolidated Financial Statements (Continued)
February 29, 2024 (Unaudited)
|
Total |
Level 1 |
Level 2 |
Level 3 |
||||||||||||
Commodity Contracts |
||||||||||||||||
Futures Contracts |
$ | (24,158,812 | ) | $ | (24,158,812 | ) | $ | — | $ | — | ||||||
Equity Contracts |
||||||||||||||||
Futures Contracts |
(2,093,551 | ) | (2,093,551 | ) | — | — | ||||||||||
Foreign Currency Contracts |
||||||||||||||||
Forward Foreign Currency Contracts |
(13,793,674 | ) | — | (13,793,674 | ) | — | ||||||||||
Futures Contracts |
(1,504,725 | ) | (1,504,725 | ) | — | — | ||||||||||
Interest Rate Contracts |
||||||||||||||||
Futures Contracts |
(4,850,931 | ) | (4,850,931 | ) | — | — | ||||||||||
Total Liabilities |
$ | (46,401,693 | ) | $ | (32,608,019 | ) | $ | (13,793,674 | ) | $ | — |
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.
40
Abbey Capital Futures Strategy Fund
Notes To Consolidated Financial Statements (Continued)
February 29, 2024 (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 |
Equity |
Interest |
Foreign |
Commodity |
Total |
||||||||||||||||||
Asset Derivatives |
||||||||||||||||||||||||
Forward Contracts (a) |
Unrealized appreciation on forward foreign currency contracts | $ | — | $ | — | $ | 10,319,873 | $ | — | $ | 10,319,873 | |||||||||||||
Futures Contracts (a) |
Unrealized appreciation on futures contracts | 67,890,769 | 8,983,743 | 11,395,281 | 36,110,800 | 124,380,593 | ||||||||||||||||||
Total Value- Assets |
$ | 67,890,769 | $ | 8,983,743 | $ | 21,715,154 | $ | 36,110,800 | $ | 134,700,466 | ||||||||||||||
Liability Derivatives |
||||||||||||||||||||||||
Forward Contracts (a) |
Unrealized depreciation on forward foreign currency contracts | $ | — | $ | — | $ | (13,793,674 | ) | $ | — | $ | (13,793,674 | ) | |||||||||||
Futures Contracts (a) |
Unrealized depreciation on futures contracts | (2,093,551 | ) | (4,850,931 | ) | (1,504,725 | ) | (24,158,812 | ) | (32,608,019 | ) | |||||||||||||
Total Value- Liabilities |
$ | (2,093,551 | ) | $ | (4,850,931 | ) | $ | (15,298,399 | ) | $ | (24,158,812 | ) | $ | (46,401,693 | ) |
(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 |
Equity |
Interest |
Foreign |
Commodity |
Total |
||||||||||||||||||
Realized Gain/(Loss) |
||||||||||||||||||||||||
Futures Contracts |
Net realized gain/(loss) from futures contracts | $ | 6,987,485 | $ | (23,865,253 | ) | $ | (24,394,163 | ) | $ | 9,887,565 | $ | (31,384,366 | ) | ||||||||||
Forward Contracts |
Net realized gain/(loss) from forward foreign currency contracts | — | — | (29,200,558 | ) | — | (29,200,558 | ) | ||||||||||||||||
Total Realized Gain/(Loss) |
$ | 6,987,485 | $ | (23,865,253 | ) | $ | (53,594,721 | ) | $ | 9,887,565 | $ | (60,584,924 | ) |
41
Abbey Capital Futures Strategy Fund
Notes To Consolidated Financial Statements (Continued)
February 29, 2024 (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 |
Equity |
Interest |
Foreign |
Commodity |
Total |
||||||||||||||||||
Change in Unrealized Appreciation/(Depreciation) |
||||||||||||||||||||||||
Futures Contracts |
Net change in unrealized appreciation/(depreciation) on futures contracts | $ | 62,215,153 | $ | 16,694,198 | $ | (4,018,258 | ) | $ | 3,004,329 | $ | 77,895,422 | ||||||||||||
Forward Contracts |
Net change in unrealized appreciation/(depreciation) on forward foreign currency contracts | — | — | (5,271,686 | ) | — | (5,271,686 | ) | ||||||||||||||||
Total Change in Unrealized Appreciation/(Depreciation) |
$ | 62,215,153 | $ | 16,694,198 | $ | (9,289,944 | ) | $ | 3,004,329 | $ | 72,623,736 |
During the current fiscal period, the Fund’s quarterly average volume of derivatives was as follows:
Long Futures |
Short Futures |
Forward Foreign |
Forward Foreign |
$3,856,417,817 |
$(7,184,944,550) |
$(4,223,721,867) |
$4,224,971,317 |
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.
42
Abbey Capital Futures Strategy Fund
Notes To Consolidated Financial Statements (Continued)
February 29, 2024 (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 |
Gross Amount Not |
|||||||||||||||||||||||||||||||||||
Description |
Gross Amount |
Financial |
Collateral |
Net |
Gross Amount |
Financial |
Collateral |
Net |
||||||||||||||||||||||||||||
Assets |
Liabilities |
|||||||||||||||||||||||||||||||||||
Forward Foreign Currency Contracts |
$ | 10,319,873 | $ | (10,319,873 | ) | $ | — | $ | — | $ | 13,793,674 | $ | (10,319,873 | ) | $ | (3,473,801 | ) | $ | — |
(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 (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.
43
Abbey Capital Futures Strategy Fund
Notes To Consolidated Financial Statements (Continued)
February 29, 2024 (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
44
Abbey Capital Futures Strategy Fund
Notes To Consolidated Financial Statements (Continued)
February 29, 2024 (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 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.
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 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
45
Abbey Capital Futures Strategy Fund
Notes To Consolidated Financial Statements (Continued)
February 29, 2024 (Unaudited)
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.
2. Investment Adviser and Other Services
Abbey Capital Limited 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.
46
Abbey Capital Futures Strategy Fund
Notes To Consolidated Financial Statements (Continued)
February 29, 2024 (Unaudited)
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, 2024 and may not be terminated without the approval of the Board. The Adviser may discontinue these arrangements at any time after December 31, 2024.
Advisory |
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 |
Waivers and/or |
Net |
$23,514,744 |
$(813,499) |
$22,701,245 |
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, |
August 31, |
August 31, |
August 31, |
Total |
$491,544 |
$1,164,300 |
$1,932,271 |
$813,499 |
$4,401,614 |
Aspect Capital Limited, Crabel Capital Management, LLC, Eclipse Capital Management, Inc., Episteme Capital Partners (UK), LLP, Graham Capital Management, LP, P/E Global, LLC, Revolution Capital Management, LLC, R.G. Niederhoffer Capital Management, Inc., 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.
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.
47
Abbey Capital Futures Strategy Fund
Notes To Consolidated Financial Statements (Continued)
February 29, 2024 (Unaudited)
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.
As of August 31, 2023, the federal tax cost and aggregate gross unrealized appreciation and depreciation of investments held by the Fund were as follows(a):
Federal Tax |
Unrealized |
Unrealized |
Net |
$2,946,372,094 |
$46,791,957 |
$(426,952,967) |
$(380,161,010) |
(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. |
48
Abbey Capital Futures Strategy Fund
Notes To Consolidated Financial Statements (Continued)
February 29, 2024 (Unaudited)
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, 2023, primarily attributable to disallowed book income from the Cayman Subsidiary, were reclassified to the following accounts:
Distributable |
Paid-In |
$61,531,137 |
$(61,531,137) |
As of August 31, 2023, the components of distributable earnings/(deficits) on a tax basis were as follows:
Undistributed |
Undistributed |
Net Unrealized |
Capital Loss |
Qualified |
Other |
$31,161,514 |
$— |
$(388,866,834) |
$— |
$81,072,075 |
$— |
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, 2023 was as follows:
Ordinary |
Long-Term |
Total |
$301,432,418 |
$67,524,669 |
$368,957,087 |
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, 2023, any amount of losses elected within the tax return will not be recognized for federal income tax purposes until September 1, 2023. The Fund deferred qualified late-year losses of $81,072,075 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, 2023, 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.
49
Abbey Capital Futures Strategy Fund
Notes To Consolidated Financial Statements (Concluded)
February 29, 2024 (Unaudited)
In October 2022, the SEC adopted a final rule relating to tailored shareholder reports for mutual funds and exchange-traded funds and fee information in investment company advertisements. Beginning in July 2024, the Fund will be required to transmit concise and visually engaging shareholder reports that highlight key information. The Fund will also be required to tag information in a structured data format and that certain more in-depth information be made available online and available for delivery free of charge to investors on request.
In December 2022, the FASB issued an Accounting Standards Update, ASU 2022-06, Reference Rate Reform (Topic 848) – Deferral of the Sunset Date of Topic 848 (“ASU 2022-06”). ASU 2022-06 is an amendment to ASU 2020-04, which provided optional guidance to ease the potential accounting burden due to the discontinuation of the London Inter-Bank Offered Rate and other interbank-offered based reference rates and which was effective as of March 12, 2020 through December 31, 2022. ASU 2022-06 extends the effective period through December 31, 2024. Management is currently evaluating the impact, if any, of applying ASU 2022-06.
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 was the following subsequent event:
Effective April 29, 2024 (subsequent to the end of the reporting period), QMS Capital Management LP (“QMS Capital”) serves as a Trading Adviser to the Fund.
50
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.
Approval of revised trading 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 a revised Trading Advisory Agreement (the “Graham Trading Advisory Agreement”) by and among Abbey Capital, the Onshore Subsidiary, the SPC and Graham Capital Management, LP (“Graham”) at a meeting of the Board held on November 15-16, 2023 (the “Meeting”). At the Meeting, the Board, including all of the Independent Directors, approved the Graham Trading Advisory Agreement for an initial period ending August 16, 2024. The Board’s decision to approve the Graham Trading Advisory Agreement reflects the exercise of its business judgment. In approving the Graham Trading Advisory Agreement, the Board considered information provided by Abbey Capital and Graham, with the assistance and advice of counsel to the Independent Directors and the Company.
In considering the approval of the Graham Trading Advisory Agreement, the Board took into account all 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 Abbey Capital, and discussed the Graham Trading Advisory Agreement with counsel in executive sessions, at which no representatives of Abbey Capital or Graham were present. The Directors considered whether approval of the Graham Trading Advisory Agreement would be in the best interests of the Fund and its shareholders and the overall fairness of the Graham Trading Advisory Agreement. The Directors noted their familiarity with Graham given Graham’s current service as a Trading Adviser of the Fund. Among other things, the Board considered (i) the nature, extent, and quality of services provided to the Fund by Graham; (ii) descriptions of the experience and qualifications of the personnel providing those services; (iii) Graham’s investment philosophies and processes; (iv) Graham’s assets under management and client descriptions; (v) Graham’s trade execution and trade allocation policies; (vi) Graham’s advisory fee arrangements with the Company and other similarly managed clients, as applicable; (vii) Graham’s compliance procedures; (viii) Graham’s financial information and insurance coverage; and (ix) the investment performance of the portion of the Fund’s assets that were managed by Graham.
The Directors concluded that Graham had substantial resources to provide services to the Fund. The Board also considered the fees payable to Graham under the Graham Trading Advisory Agreement and the services provided by Graham. In this regard, the Board noted that the fees for Graham were payable by Abbey Capital.
After reviewing the information regarding Abbey Capital’s and Graham’s costs, profitability and economies of scale, and after considering the services provided by Graham, the Board concluded that the trading advisory fees to be paid by Abbey Capital to Graham were fair and reasonable, that the Graham Trading Advisory Agreement is in the best interests of the Fund and its shareholders and does not involve a conflict of interest from which Abbey Capital derives an inappropriate advantage, and that the Graham Trading Advisory Agreement should be approved for an initial period ending August 16, 2024.
51
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Investment Adviser
Abbey Capital Limited
8 St. Stephen’s Green
Dublin 2, Ireland
Administrator and Transfer Agent
U.S. Bank Global Fund Services
P.O. Box 701
Milwaukee, WI 53201
Principal Underwriter
Quasar Distributors, LLC
3 Canal Plaza, Suite 100
Portland, ME 04101
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-SAR24
Abbey Capital Multi Asset Fund
of
THE RBB FUND, INC.
Semi-Annual Report
February 29, 2024
(Unaudited)
Abbey Capital Multi Asset Fund
Semi-Annual Investment Adviser’s Report (Unaudited)
February 29, 2024
Dear Shareholder,
The Abbey Capital Multi Asset Fund (the “Fund”) Class I Shares returned +6.97% net of fees for the 6-month fiscal period ended February 29, 2024.
Positive performance was driven by the long US equity component of the Fund’s investment strategy. The Fund’s managed futures component had positive returns in aggregate over the 6-month period, with gains concentrated in equities and agricultural commodities.
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 and is a multi-adviser fund 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 29, 2024 (unless otherwise noted)
2024 YTD |
1 Year |
Sep. 1, 2023 to |
5 Years |
Annualized |
|
Class I Shares |
6.07% |
8.38% |
6.97% |
14.56% |
11.84% |
Class A Shares* |
6.09% |
8.11% |
6.79% |
14.26% |
11.55% |
Class A Shares (max load)* |
0.00% |
1.92% |
0.67% |
12.91% |
10.44% |
Class C Shares** |
5.91% |
7.33% |
6.48% |
13.42% |
10.73% |
ICE BofA 3-Month U.S. Treasury Bill Index*** |
0.84% |
5.22% |
2.69% |
1.97% |
1.98% |
Barclay CTA Index*** |
2.09% |
1.59% |
1.45% |
4.93% |
3.84% |
S&P 500® Total Return Index*** |
7.11% |
30.45% |
13.93% |
14.76% |
13.58% |
Barclay CTA numbers are based on the estimates available on the BarclayHedge website as of March 11, 2024
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 February 16, 2022 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% on Class A Shares. |
** |
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. 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 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 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 and the table above is shown for illustrative purposes only. |
1
Abbey Capital Multi Asset Fund
Semi-Annual Investment Adviser’s Report (Unaudited) (Continued)
February 29, 2024
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, 2024, 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 1.91%, 2.16% and 2.91% 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, 2023, as supplemented (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 29, 2024 was positive overall for Fund performance. The Fund’s Long US Equity strategy drove gains for the period, while the Managed Futures strategy was also positive in aggregate.
Uncertainty was a very prominent theme in markets over this 6-month period. Much of this uncertainty related to expectations of central bank monetary policy. September and October saw global yields rise alongside some hawkish rhetoric from central banks. In October, the 10-year US Treasury yield hit 5% for the first time since 2007. However, in November an unexpectedly sharp slowdown in US inflation and a weaker-than-expected US payroll report prompted a significant repricing in interest rate expectations and a fall in yields. This more dovish outlook for US monetary policy was then acknowledged by the US Federal Reserve at its December meeting. In the first two months of 2024, trends in fixed income markets corrected again, with yields partially recovering from the declines in late 2023 as central banks attempted to temper market expectations for the timing of when interest rates may be cut.
This theme of uncertainty also influenced price moves in commodity markets. Global demand uncertainty, OPEC+ policy and the outbreak of conflict in the Middle East led to choppy price action in crude oil and distillate markets for much of the period. The moves in US Treasury yields saw the US Dollar fluctuate, leading to choppy price moves in metals. In addition, an unclear picture of the economic health of China impacted base metals markets. In contrast, shifts in the supply outlook led to some notable price trends in several agricultural commodity markets.
Despite this uncertain backdrop, equity markets rallied over the period. September and October were challenging months for global stocks, which fell in both months. Stock markets then rebounded in November when yields fell sharply as more dovish interest rate expectations set in. Equity markets rose each month from November to February. In February, some key global equity indices broke to new highs. Having exceeded previous peaks in January, both the S&P 500® Index and DAX 40 Index rallied to new record highs in February. The rally in Japanese equity markets also continued, with the Nikkei 225 rising to an all-time high, surpassing its previous record high set 34 years earlier.
September was a flat month for performance of the Fund. Positive performance from the Managed Futures strategy offset losses from the Long Equity strategy. Gains for the Managed Futures strategy related to short bond and long energy positions. Short positions in bonds, most notably US Treasuries, contributed positively to returns. Robust US economic data and the prospect of elevated interest rates for a longer period saw Treasury yields rise during the month. Long exposures to crude oil and distillates also recorded gains within energy, as OPEC+ supply cuts and lower US inventories supported prices. The more hawkish outlook for interest rates was a headwind for US equities, leading to losses for the Long Equity strategy.
Fund performance was negative in both October and November. Losses for the Long Equity strategy drove losses in October, while losses for the Managed Futures strategy drove losses in November. A continuation of the hawkish rate environment from September contributed to October’s challenging backdrop for equities. However, it was the reversal
2
Abbey Capital Multi Asset Fund
Semi-Annual Investment Adviser’s Report (Unaudited) (Continued)
February 29, 2024
of price trends in currency and bond markets in November which led to losses for the Managed Futures strategy. Long US Dollar exposures and short bond positions led to losses in the month. Positively for the Long Equity strategy, the downward price trends in equity markets also reversed in November.
December, January and February marked a return to positive performance for the Fund. Both the Long Equity and Managed Futures strategies contributed positively over this three-month period. Gains for the Managed Futures strategy were concentrated in equities and agricultural commodities. Equity markets rallied over the period, with many global indices reaching all-time highs. Long positions in Japanese and US indices led gains in the sector. Within agricultural commodities, trends in certain markets at the end of 2023 continued and accelerated in some cases during the first two months of 2024. Gains in the sector stemmed from long exposures to cocoa, and short positions in soybeans and corn.
The Long Equity strategy drove the Fund’s positive performance over the half-year period. The period was initially challenging for equities in September and October, when rate expectations were becoming more hawkish, before the environment changed in November. Gains for the strategy were ultimately concentrated in the latter half of the six-month period following the dovish pivot in rate expectations during November. The S&P 500® Index broke its previous all-time high in January before crossing the 5,000 mark in February. The index ultimately rose +13.1% over the half-year period.
The Managed Futures strategy’s best-performing sector over the period was also equities. As mentioned above, gains in the sector were concentrated in December, January and February. The Fund transitioned from short to long positioning in the sector following the sharp change in rate expectations in November and held long positions consistently for the remainder of the period. Long positions in the NASDAQ 100 Index and Nikkei 225 Index led gains, with other long positions in other US, Japanese and European indices contributing further. Trading in the FTSE 100 Index contract detracted from Fund performance.
Performance in agricultural commodities was also positive for the period. Gains were concentrated in January and February when price uptrends in cocoa markets accelerated. Further gains were realised from short corn and wheat exposures.
Energy was a sector which contributed modestly to Fund performance during the period. The sector included one of the Fund’s best-performing contracts, the performance of which was mostly offset by multiple detracting contracts. Short natural gas positions produced positive performance as US prices consistently fell over the period due to mild weather along with excess supply levels. In contrast, price trends in crude oil and distillate markets were very choppy over the period. Losses were realised in crude oil and heating oil contracts.
Losses in currencies negatively impacted Fund performance during the period. The reversal of uptrends in the US Dollar in November and December was the primary driver of losses in the sector. Mixed US Dollar positions against several currencies, in particular the British Pound and Euro, led to losses in the sector. Partially offsetting gains arose from long US Dollar positions against the Japanese Yen, with the Japanese currency weakening as the Bank of Japan remained committed to its dovish monetary policy stance.
Metals was another sector that detracted from Fund performance during the period. Losses were concentrated in base metals, with partially offsetting gains recorded in precious metals. Base metals markets traded in a broad range over the 6-month period, with a lack of clear trends and several price reversals leading to a difficult trading environment in the sector.
Smaller losses were realised in fixed income. The Fund posted gains from short positions in September and October as global yields rose. These gains unwound in November and December however, with the Fund recording losses from its short positions as trends in fixed income markets reversed sharply on a more dovish outlook for global monetary policy.
3
Abbey Capital Multi Asset Fund
Semi-Annual Investment Adviser’s Report (Unaudited) (Concluded)
February 29, 2024
Appendix
Index Descriptions
DAX 40 Index
The DAX 40 Index is a total return index of 40 selected German blue chip stocks traded on the Frankfurt Stock Exchange. The equities use free float shares in the index calculation. The index starts in December 1987.
FTSE 100 Index
The FTSE 100 Index is a capitalization-weighted index of the 100 most highly capitalized companies traded on the London Stock Exchange. The index starts in December 1983.
NASDAQ 100 Index
The NASDAQ-100 Index is a modified capitalization-weighted index of the 100 largest and most active non-financial domestic and international issues listed on the NASDAQ. The index starts in February 1985.
Nikkei 225 Index
The Nikkei-225 Stock Average is a price-weighted average of 225 top-rated Japanese companies listed in the First Section of the Tokyo Stock Exchange. The index starts in January 1970.
S&P 500 Index
The S&P 500 Index is an index of 500 US stocks chosen for market size, liquidity and industry grouping, among other factors. It is a capitalization-weighted index of 500 stocks. The index is designed to measure performance of the broad domestic economy through changes in its aggregate market value. The index starts in March 1957.
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, 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. 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 Distributors, 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 29, 2024 (Unaudited)
Average Annual Total Returns for the Periods Ended February 29, 2024 |
||||||
Six |
One |
Three |
Five |
Since |
||
Class A Shares (without sales charge) (Pro forma April 11, 2018 to February 16, 2022) |
6.79% |
8.11% |
7.72% |
14.26% |
11.55%* |
|
Class A Shares (with sales charge) (Pro forma April 11, 2018 to February 16, 2022) |
0.67% |
1.92% |
5.62% |
12.91% |
10.44%* |
|
S&P 500® Total Return Index |
13.93% |
30.45% |
11.91% |
14.76% |
13.58%** |
|
ICE BofA 3-Month U.S. Treasury Bill Index*** |
2.69% |
5.22% |
2.43% |
1.97% |
1.98%** |
|
Barclay CTA Index*** |
1.45% |
1.59% |
3.90% |
4.93% |
3.84%** |
† |
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 2.16% 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, 2024 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 29, 2024 (Unaudited)
Average Annual Total Returns for the Periods Ended February 29, 2024 |
||||||
Six |
One |
Three |
Five |
Since |
||
Class I Shares |
6.97% |
8.38% |
8.01% |
14.56% |
11.84% |
|
S&P 500® Total Return Index |
13.93% |
30.45% |
11.91% |
14.76% |
13.58%* |
|
ICE BofA 3-Month U.S. Treasury Bill Index** |
2.69% |
5.22% |
2.43% |
1.97% |
1.98%* |
|
Barclay CTA Index** |
1.45% |
1.59% |
3.90% |
4.93% |
3.84%* |
† |
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 1.91% for Class I 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, 2024 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 29, 2024 (Unaudited)
Average Annual Total Returns for the Periods Ended February 29, 2024 |
||||||
Six |
One |
Three |
Five |
Since |
||
Class C Shares (without contingent deferred sales charge) (Pro forma April 11, 2018 to November 8, 2021) |
6.48% |
7.33% |
6.94% |
13.42% |
10.73%* |
|
Class C Shares (with contingent deferred sales charge) (Pro forma April 11, 2018 to November 8, 2021) |
5.48% |
6.33% |
6.94% |
13.42% |
10.73%* |
|
S&P 500® Total Return Index |
13.93% |
30.45% |
11.91% |
14.76% |
13.58%** |
|
ICE BofA 3-Month U.S. Treasury Bill Index*** |
2.69% |
5.22% |
2.43% |
1.97% |
1.98%** |
|
Barclay CTA Index*** |
1.45% |
1.59% |
3.90% |
4.93% |
3.84%** |
† |
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 2.91% 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, 2024 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 29, 2024 (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 2024. 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 29, 2024 (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, 2023 through February 29, 2024, 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 |
Ending |
Expenses Paid |
Annualized |
Actual Six-Month |
||||||||||||||||
Actual |
||||||||||||||||||||
Class A Shares |
$ | 1,000.00 | $ | 1,067.90 | $ | 10.49 | 2.04 | % | 6.79 | % | ||||||||||
Class I Shares |
1,000.00 | 1,069.70 | 9.21 | 1.79 | % | 6.97 | % | |||||||||||||
Class C Shares |
1,000.00 | 1,064.80 | 14.32 | 2.79 | % | 6.48 | % | |||||||||||||
Hypothetical (5% return before expenses) |
||||||||||||||||||||
Class A Shares |
$ | 1,000.00 | $ | 1,014.72 | $ | 10.22 | 2.04 | % | N/A | |||||||||||
Class I Shares |
1,000.00 | 1,015.96 | 8.97 | 1.79 | % | N/A | ||||||||||||||
Class C Shares |
1,000.00 | 1,010.99 | 13.95 | 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, 2023 through February 29, 2024, multiplied by the average account value over the period, multiplied by the number of days (182) in the most recent fiscal half-year, then divided by 366 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 29, 2024 (Unaudited)
The following table presents a consolidated summary of the portfolio holdings of the Fund:
|
% of Net |
Value |
||||||
SHORT-TERM INVESTMENTS |
78.8 | % | $ | 523,473,005 | ||||
MONEY MARKET DEPOSIT ACCOUNT |
3.4 | 22,835,183 | ||||||
OTHER ASSETS IN EXCESS OF LIABILITIES |
||||||||
(including futures and forward foreign currency contracts) |
17.8 | 118,514,609 | ||||||
NET ASSETS |
100.0 | % | $ | 664,822,797 |
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
as of February 29, 2024 (Unaudited)
Par |
Value |
|||||||
SHORT-TERM INVESTMENTS — 78.8% |
||||||||
U.S. Treasury Bills — 78.8% |
||||||||
5.41%,03/07/2024(a) |
11,439,000 | $ | 11,428,985 | |||||
5.41%,03/14/2024(a) |
13,509,000 | 13,483,299 | ||||||
5.42%,03/21/2024(a) |
831,000 | 828,561 | ||||||
5.39%,03/28/2024(a) |
11,023,000 | 10,979,396 | ||||||
5.44%,04/04/2024(a) |
11,968,000 | 11,908,303 | ||||||
5.46%,04/11/2024(a) |
25,394,000 | 25,241,341 | ||||||
5.42%,04/18/2024(a) |
94,319,000 | 93,655,968 | ||||||
5.43%,04/25/2024(a) |
6,057,000 | 6,008,133 | ||||||
5.37%,05/02/2024(a) |
26,848,000 | 26,604,556 | ||||||
5.36%,05/09/2024(a) |
25,171,000 | 24,917,717 | ||||||
5.30%,05/16/2024(a) |
11,729,000 | 11,599,462 | ||||||
5.33%,05/23/2024(a) |
26,393,000 | 26,074,448 | ||||||
5.26%,05/30/2024(a) |
7,876,000 | 7,772,824 | ||||||
5.27%,06/06/2024(a) |
9,735,000 | 9,598,208 | ||||||
5.19%,06/13/2024(a) |
23,533,000 | 23,178,462 | ||||||
5.18%,06/20/2024(a) |
2,223,000 | 2,187,392 | ||||||
5.15%,06/27/2024(a) |
15,458,000 | 15,194,806 | ||||||
5.14%,07/05/2024(a) |
2,993,000 | 2,938,978 | ||||||
5.12%,07/11/2024(a) |
11,819,000 | 11,596,056 | ||||||
5.11%,07/18/2024(a) |
18,344,000 | 17,980,722 | ||||||
5.09%,07/25/2024(a) |
30,301,000 | 29,671,141 | ||||||
5.14%,08/01/2024(a) |
17,204,000 | 16,829,275 | ||||||
5.17%,08/08/2024(a) |
36,518,000 | 35,686,526 | ||||||
5.21%,08/15/2024(a) |
18,550,000 | 18,108,987 | ||||||
5.23%,08/22/2024(a) |
64,139,000 | 62,554,771 | ||||||
5.20%,08/29/2024(a) |
7,641,000 | 7,444,688 | ||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $523,574,129) |
523,473,005 | |||||||
TOTAL INVESTMENTS — 78.8% (Cost $523,574,129) |
523,473,005 | |||||||
MONEY MARKET DEPOSIT ACCOUNT — 3.4%(b) |
22,835,183 | |||||||
OTHER ASSETS IN EXCESS OF LIABILITIES — 17.8% |
118,514,609 | |||||||
TOTAL NET ASSETS — 100.0% |
$ | 664,822,797 |
Percentages are stated as a percent of net assets.
(a) |
The rate shown is the effective yield. |
(b) |
The U.S. Bank Money Market Deposit Account (the “MMDA”) is a short-term vehicle in which the Fund holds cash balances. The MMDA will bear interest at a variable rate that is determined based on market conditions and is subject to change daily. The rate as of February 29, 2024 was 5.20%. |
The accompanying notes are an integral part of the consolidated financial statements.
11
Abbey Capital Multi Asset Fund
Consolidated Schedule of Open Futures Contracts
as of February 29, 2024 (Unaudited)
Description |
Contracts |
Expiration |
Notional |
Value/ |
||||||||||||
10 Year Japanese Government Bonds |
6 | 03/12/2024 | $ | 585,272 | $ | (687 | ) | |||||||||
3 Month Euribor |
4 | 03/17/2025 | 1,050,700 | (5,309 | ) | |||||||||||
3 Month Euribor |
91 | 06/16/2025 | 23,944,004 | (114,133 | ) | |||||||||||
3 Month Euribor |
10 | 09/15/2025 | 2,634,046 | (14,226 | ) | |||||||||||
3 Month Euribor |
26 | 12/15/2025 | 6,852,736 | (27,533 | ) | |||||||||||
3 Month Euribor |
13 | 03/16/2026 | 3,427,070 | (14,496 | ) | |||||||||||
3 Month Euribor |
17 | 06/15/2026 | 4,482,013 | (11,713 | ) | |||||||||||
3 Month Euribor |
29 | 12/14/2026 | 7,646,570 | (10,349 | ) | |||||||||||
3 Month Euribor |
1 | 03/15/2027 | 263,661 | (459 | ) | |||||||||||
3 Month Euribor |
1 | 06/14/2027 | 263,648 | 122 | ||||||||||||
3-Month Secured Overnight Financing Rate |
24 | 06/18/2024 | 5,681,100 | (200 | ) | |||||||||||
3-Month Secured Overnight Financing Rate |
42 | 09/16/2025 | 10,082,100 | (58,919 | ) | |||||||||||
Arabica Coffee |
14 | 05/20/2024 | 967,838 | (7,013 | ) | |||||||||||
Arabica Coffee |
7 | 07/19/2024 | 479,588 | 1,781 | ||||||||||||
ASX SPI 200 Index |
182 | 03/21/2024 | 22,654,473 | 458,624 | ||||||||||||
Austrailian Government 10 Year Bonds |
33 | 03/15/2024 | 2,467,099 | (14,586 | ) | |||||||||||
Austrailian Government 3 Year Bonds |
454 | 03/15/2024 | 31,420,623 | (77,291 | ) | |||||||||||
Australian 90 Day Bank Bills |
29 | 06/13/2024 | 18,653,619 | (94 | ) | |||||||||||
Australian 90 Day Bank Bills |
78 | 09/12/2024 | 50,185,273 | (22,845 | ) | |||||||||||
Brazilian Real/US Dollar Cross Currency Rate |
3 | 03/28/2024 | 60,180 | (315 | ) | |||||||||||
Brent Crude Oil |
42 | 03/28/2024 | 3,440,220 | 3,150 | ||||||||||||
Brent Crude Oil |
5 | 03/28/2024 | 409,550 | (2,540 | ) | |||||||||||
Brent Crude Oil |
10 | 04/30/2024 | 811,800 | (1,770 | ) | |||||||||||
Brent Crude Oil |
8 | 05/31/2024 | 644,240 | 3,600 | ||||||||||||
Brent Crude Oil |
7 | 10/31/2024 | 543,900 | 1 | ||||||||||||
British Pound/US Dollar Cross Currency Rate |
54 | 03/18/2024 | 4,257,225 | (37,575 | ) | |||||||||||
CAC40 10 Euro Index |
530 | 03/15/2024 | 45,487,981 | 746,973 | ||||||||||||
Canadian Dollar/US Dollar Cross Currency Rate |
87 | 03/19/2024 | 6,409,290 | (153,590 | ) | |||||||||||
Copper |
18 | 05/29/2024 | 1,731,150 | 188 | ||||||||||||
Cotton No.2 |
145 | 05/08/2024 | 7,218,825 | 760,870 | ||||||||||||
Cotton No.2 |
11 | 07/09/2024 | 537,735 | 19,695 | ||||||||||||
Crude Oil |
94 | 03/20/2024 | 7,356,440 | 52,250 | ||||||||||||
Crude Oil |
10 | 04/22/2024 | 774,500 | 2,270 | ||||||||||||
Crude Oil |
33 | 05/21/2024 | 2,534,730 | 12,490 | ||||||||||||
Crude Oil |
10 | 06/20/2024 | 761,800 | 1,770 | ||||||||||||
Crude Oil |
2 | 11/20/2024 | 146,260 | (1,400 | ) | |||||||||||
Crude Palm Oil |
4 | 04/15/2024 | 84,670 | 2,639 | ||||||||||||
Crude Palm Oil |
42 | 05/15/2024 | 878,411 | 28,759 | ||||||||||||
Crude Palm Oil |
12 | 06/14/2024 | 246,802 | 8,018 | ||||||||||||
Crude Palm Oil |
5 | 07/15/2024 | 101,017 | 3,156 | ||||||||||||
DAX Index |
2 | 03/15/2024 | 191,821 | 6,971 | ||||||||||||
Dollar Index |
79 | 03/18/2024 | 8,223,742 | (22,615 | ) | |||||||||||
Dow Jones Industrial Average Index |
120 | 03/15/2024 | 23,425,800 | 955,075 | ||||||||||||
Dow Jones U.S. Micro-Cap Total Stock Index |
1 | 03/15/2024 | 19,522 | 191 | ||||||||||||
E-mini Energy Select Sector |
1 | 03/15/2024 | 90,110 | 100 | ||||||||||||
Emini S&P 500 ESG Index |
1 | 03/15/2024 | 225,040 | 17,780 | ||||||||||||
Euro STOXX 50 Dividend Index |
9 | 12/20/2024 | 155,246 | 2,886 | ||||||||||||
EURO STOXX 50 Index |
1 | 03/15/2024 | 46,237 | 389 |
The accompanying notes are an integral part of the consolidated financial statements.
12
Abbey Capital Multi Asset Fund
Consolidated Schedule of Open Futures Contracts (Continued)
as of February 29, 2024 (Unaudited)
Description |
Contracts |
Expiration |
Notional |
Value/ |
||||||||||||
Euro STOXX 50 Quanto Index |
625 | 03/15/2024 | $ | 33,058,990 | $ | 860,277 | ||||||||||
Euro STOXX Banks Index |
265 | 03/15/2024 | 1,754,991 | 3,615 | ||||||||||||
Euro/Japanese Yen Cross Currency Rate |
97 | 03/18/2024 | 13,075,299 | 476,158 | ||||||||||||
Euro/US Dollar Cross Currency Rate |
165 | 03/18/2024 | 22,293,563 | (48,975 | ) | |||||||||||
Euro-BOBL |
204 | 06/06/2024 | 25,964,117 | 52,181 | ||||||||||||
Euro-BTP Italian Government Bonds |
155 | 03/07/2024 | 19,737,690 | (135,921 | ) | |||||||||||
Euro-Bund |
151 | 06/06/2024 | 21,584,951 | 49,922 | ||||||||||||
Feeder Cattle |
14 | 04/25/2024 | 1,776,075 | (17,013 | ) | |||||||||||
Feeder Cattle |
4 | 05/23/2024 | 512,250 | 225 | ||||||||||||
Financial Select Sector Index |
2 | 03/15/2024 | 248,700 | 1,000 | ||||||||||||
Frozen Concentrated Orange Juice |
3 | 05/10/2024 | 161,168 | (2,438 | ) | |||||||||||
FTSE 100 Index |
46 | 03/15/2024 | 4,428,415 | (13,463 | ) | |||||||||||
FTSE Bursa Malaysia KLCI Index |
33 | 03/29/2024 | 535,281 | 379 | ||||||||||||
FTSE MIB Index |
13 | 03/15/2024 | 458,465 | 3,302 | ||||||||||||
FTSE/MIB Index |
90 | 03/15/2024 | 15,869,937 | 818,328 | ||||||||||||
German Stock Index |
137 | 03/15/2024 | 65,698,521 | 2,045,711 | ||||||||||||
Gold |
161 | 04/26/2024 | 33,080,670 | 130,531 | ||||||||||||
Gold |
9 | 06/26/2024 | 1,867,140 | 13,360 | ||||||||||||
Hang Seng Index |
1 | 03/27/2024 | 21,013 | (207 | ) | |||||||||||
Hang Seng Index |
17 | 03/27/2024 | 1,786,091 | (16,176 | ) | |||||||||||
IBEX 35 Composite Index |
3 | 03/15/2024 | 32,513 | (149 | ) | |||||||||||
IBEX 35 Index |
24 | 03/15/2024 | 2,601,003 | (10,676 | ) | |||||||||||
ICE 3 Month SONIA Rate |
30 | 09/17/2024 | 8,992,047 | (31,936 | ) | |||||||||||
ICE 3 Month SONIA Rate |
5 | 12/17/2024 | 1,502,698 | (663 | ) | |||||||||||
ICE 3 Month SONIA Rate |
6 | 03/18/2025 | 1,808,255 | (5,980 | ) | |||||||||||
ICE 3 Month SONIA Rate |
7 | 06/17/2025 | 2,114,381 | (17,183 | ) | |||||||||||
ICE 3 Month SONIA Rate |
11 | 09/16/2025 | 3,328,673 | (18,083 | ) | |||||||||||
ICE 3 Month SONIA Rate |
6 | 12/16/2025 | 1,818,101 | (12,181 | ) | |||||||||||
ICE 3 Month SONIA Rate |
6 | 03/17/2026 | 1,819,900 | (8,410 | ) | |||||||||||
ICE 3 Month SONIA Rate |
6 | 06/16/2026 | 1,821,036 | (8,931 | ) | |||||||||||
ICE 3 Month SONIA Rate |
5 | 09/15/2026 | 1,518,319 | (7,022 | ) | |||||||||||
ICE 3 Month SONIA Rate |
17 | 12/15/2026 | 5,164,163 | (20,086 | ) | |||||||||||
Indian Rupee/US Dollar Cross Currency Rate |
1 | 03/26/2024 | 24,100 | (14 | ) | |||||||||||
Indian Rupee/US Dollar Cross Currency Rate |
1 | 03/26/2024 | 60,300 | 15 | ||||||||||||
Industrial Select Sector Index |
1 | 03/15/2024 | 122,110 | 830 | ||||||||||||
Japanese 10 Year Government Bonds |
97 | 03/13/2024 | 94,631,938 | (381,403 | ) | |||||||||||
JPNK400 Index |
2 | 03/07/2024 | 32,324 | (70 | ) | |||||||||||
Lean Hogs |
36 | 04/12/2024 | 1,247,400 | 11,310 | ||||||||||||
Lean Hogs |
109 | 06/14/2024 | 4,368,720 | 35,980 | ||||||||||||
Light Sweet Crude Oil |
15 | 03/19/2024 | 586,950 | 3,900 | ||||||||||||
Live Cattle |
69 | 04/30/2024 | 5,115,660 | 4,850 | ||||||||||||
Live Cattle |
31 | 06/28/2024 | 2,247,190 | (10,560 | ) | |||||||||||
Live Cattle |
21 | 08/30/2024 | 1,517,880 | (1,700 | ) | |||||||||||
Live Cattle |
5 | 10/31/2024 | 368,450 | (1,920 | ) | |||||||||||
LME Aluminum Forward |
1 | 03/01/2024 | 53,640 | (1,610 | ) | |||||||||||
LME Copper Forward |
1 | 03/05/2024 | 210,168 | 3,005 | ||||||||||||
LME Copper Forward |
1 | 03/08/2024 | 210,374 | 1,074 | ||||||||||||
LME Copper Forward |
2 | 03/11/2024 | 420,812 | (6,613 | ) | |||||||||||
LME Lead Forward |
2 | 03/05/2024 | 103,015 | 1,560 |
The accompanying notes are an integral part of the consolidated financial statements.
13
Abbey Capital Multi Asset Fund
Consolidated Schedule of Open Futures Contracts (Continued)
as of February 29, 2024 (Unaudited)
Description |
Contracts |
Expiration |
Notional |
Value/ |
||||||||||||
LME Lead Forward |
1 | 03/07/2024 | $ | 51,598 | $ | (443 | ) | |||||||||
LME Nickel Forward |
1 | 03/14/2024 | 106,284 | 4,644 | ||||||||||||
LME Nickel Forward |
1 | 03/19/2024 | 106,335 | 5,175 | ||||||||||||
LME Zinc Forward |
1 | 03/01/2024 | 59,565 | (973 | ) | |||||||||||
LME Zinc Forward |
2 | 03/05/2024 | 119,213 | (7,593 | ) | |||||||||||
LME Zinc Forward |
2 | 03/07/2024 | 119,379 | (7,640 | ) | |||||||||||
LME Zinc Forward |
1 | 03/26/2024 | 59,906 | (6,306 | ) | |||||||||||
London Cocoa |
25 | 05/15/2024 | 1,629,008 | 295,797 | ||||||||||||
London Cocoa |
15 | 07/16/2024 | 908,293 | 159,404 | ||||||||||||
London Metals - Aluminum |
1576 | 03/18/2024 | 86,570,468 | (2,600,073 | ) | |||||||||||
London Metals - Aluminum |
292 | 06/17/2024 | 16,330,246 | (90,654 | ) | |||||||||||
London Metals - Copper |
354 | 03/18/2024 | 74,578,950 | (76,688 | ) | |||||||||||
London Metals - Copper |
125 | 06/17/2024 | 26,592,188 | 124,504 | ||||||||||||
London Metals - Lead |
343 | 03/18/2024 | 17,767,400 | (871,686 | ) | |||||||||||
London Metals - Lead |
82 | 06/17/2024 | 4,232,574 | (8,572 | ) | |||||||||||
London Metals - Nickel |
22 | 03/18/2024 | 2,338,974 | 191,300 | ||||||||||||
London Metals - Nickel |
11 | 06/17/2024 | 1,185,558 | 25,958 | ||||||||||||
London Metals - Zinc |
236 | 03/18/2024 | 14,120,175 | (416,017 | ) | |||||||||||
London Metals - Zinc |
11 | 06/17/2024 | 669,006 | 5,804 | ||||||||||||
Long Gilt |
181 | 06/26/2024 | 22,411,373 | 86,506 | ||||||||||||
Low Sulphur Gas Oil |
50 | 04/11/2024 | 4,031,250 | (115,275 | ) | |||||||||||
Low Sulphur Gas Oil |
7 | 05/10/2024 | 553,000 | (17,550 | ) | |||||||||||
Low Sulphur Gas Oil |
9 | 06/12/2024 | 701,550 | 7,700 | ||||||||||||
Low Sulphur Gas Oil |
7 | 07/11/2024 | 540,750 | (7,700 | ) | |||||||||||
Lumber |
1 | 05/15/2024 | 16,239 | 138 | ||||||||||||
Mexican Peso/US Dollar Cross Currency Rate |
295 | 03/18/2024 | 8,627,275 | 224,015 | ||||||||||||
Mexican Stock Exchange Price & Quotation Index |
4 | 03/15/2024 | 130,794 | (4,352 | ) | |||||||||||
Micro Gold |
13 | 04/26/2024 | 267,111 | 1,656 | ||||||||||||
MSCI EAFE Index |
59 | 03/15/2024 | 6,749,305 | 167,410 | ||||||||||||
MSCI Emerging Markets Index |
41 | 03/15/2024 | 2,084,440 | 9,085 | ||||||||||||
Nasdaq 100 Index |
83 | 03/15/2024 | 30,017,365 | 1,925,712 | ||||||||||||
NASDAQ 100 Micro Index |
1 | 03/15/2024 | 36,166 | 1,194 | ||||||||||||
New Zealand Dollar/US Dollar Cross Currency Rate |
163 | 03/18/2024 | 9,913,660 | (166,470 | ) | |||||||||||
Nifty 50 Index |
167 | 03/28/2024 | 7,412,128 | (27,816 | ) | |||||||||||
Nikkei 225 Index |
15 | 03/07/2024 | 3,928,095 | 408,284 | ||||||||||||
Nikkei 225 Index |
160 | 03/07/2024 | 20,947,172 | 1,902,069 | ||||||||||||
Nikkei 225 Index |
26 | 03/07/2024 | 3,407,818 | 207,527 | ||||||||||||
Nikkei 225 Index |
97 | 03/07/2024 | 2,540,168 | 281,037 | ||||||||||||
Nikkei 225 Index |
13 | 03/07/2024 | 2,554,825 | 203,375 | ||||||||||||
NY Harbor ULSD |
90 | 03/28/2024 | 10,016,622 | (318,929 | ) | |||||||||||
NY Harbor ULSD |
8 | 04/30/2024 | 872,054 | (10,219 | ) | |||||||||||
NY Harbor ULSD |
8 | 05/31/2024 | 859,051 | 5,141 | ||||||||||||
NY Harbor ULSD |
7 | 06/28/2024 | 747,025 | 168 | ||||||||||||
NY Harbor ULSD |
1 | 11/29/2024 | 105,155 | (1,877 | ) | |||||||||||
NYSE FANG+ Index |
2 | 03/15/2024 | 99,258 | (1,831 | ) | |||||||||||
Oats |
1 | 05/14/2024 | 18,550 | (38 | ) | |||||||||||
OMXS30 ESG Index |
1 | 03/15/2024 | 22,694 | 813 | ||||||||||||
OMXS30 Index |
1013 | 03/15/2024 | 24,009,695 | 787,933 | ||||||||||||
Reformulated Gasoline Blendstock |
77 | 03/28/2024 | 8,346,954 | 154,505 |
The accompanying notes are an integral part of the consolidated financial statements.
14
Abbey Capital Multi Asset Fund
Consolidated Schedule of Open Futures Contracts (Continued)
as of February 29, 2024 (Unaudited)
Description |
Contracts |
Expiration |
Notional |
Value/ |
||||||||||||
Reformulated Gasoline Blendstock |
12 | 04/30/2024 | $ | 1,295,834 | $ | 11,437 | ||||||||||
Reformulated Gasoline Blendstock |
7 | 05/31/2024 | 746,348 | 14,889 | ||||||||||||
Reformulated Gasoline Blendstock |
2 | 06/28/2024 | 209,614 | 2,041 | ||||||||||||
Robusta Coffee |
50 | 05/24/2024 | 1,547,500 | (13,080 | ) | |||||||||||
Robusta Coffee |
3 | 07/25/2024 | 90,780 | 480 | ||||||||||||
Rough Rice |
7 | 05/14/2024 | 255,990 | (3,300 | ) | |||||||||||
Russell 2000 Index |
45 | 03/15/2024 | 4,628,925 | 78,260 | ||||||||||||
S&P 500 Index |
1476 | 03/15/2024 | 376,656,751 | 27,799,599 | ||||||||||||
S&P 500 Index |
2 | 03/15/2024 | 51,038 | 1,451 | ||||||||||||
S&P Mid Cap 400 Index |
18 | 03/15/2024 | 5,206,680 | 159,330 | ||||||||||||
S&P Real Estate Select Sector Stock Index |
1 | 03/15/2024 | 47,900 | 1,138 | ||||||||||||
S&P/Toronto Stock Exchange 60 Index |
54 | 03/14/2024 | 10,270,405 | 259,099 | ||||||||||||
SGX FTSE Taiwan Index |
100 | 03/28/2024 | 6,466,000 | 13,980 | ||||||||||||
SGX Technically Specified Rubber 20 |
2 | 03/28/2024 | 16,230 | 1,130 | ||||||||||||
SGX TSI Iron Ore |
56 | 03/28/2024 | 652,344 | (86,266 | ) | |||||||||||
SGX TSI Iron Ore |
119 | 04/30/2024 | 1,369,452 | (3,223 | ) | |||||||||||
Short-term Euro-BTP |
48 | 03/07/2024 | 5,466,430 | (2,680 | ) | |||||||||||
STOXX 600 Bank Spread Index |
10 | 03/15/2024 | 93,868 | 1,473 | ||||||||||||
STOXX Euro ESG-X Index |
6 | 03/15/2024 | 119,709 | 4,345 | ||||||||||||
STOXX Europe 600 Index |
119 | 03/15/2024 | 3,182,585 | 16,454 | ||||||||||||
STOXX Europe 600 Index |
2 | 03/15/2024 | 39,882 | 492 | ||||||||||||
Sugar #11 |
8 | 06/28/2024 | 192,909 | (10,046 | ) | |||||||||||
Swiss Franc/US Dollar Cross Currency Rate |
3 | 03/18/2024 | 424,631 | (2,069 | ) | |||||||||||
Technology Select Sector Index |
1 | 03/15/2024 | 208,930 | 1,250 | ||||||||||||
Tokyo Price Index |
39 | 03/07/2024 | 697,432 | 19,220 | ||||||||||||
TOPIX Index |
50 | 03/07/2024 | 8,941,435 | 509,398 | ||||||||||||
U.S. Treasury 5 Year Note |
32 | 06/28/2024 | 3,421,000 | 500 | ||||||||||||
U.S. Treasury Long Bonds |
8 | 06/18/2024 | 954,000 | (1,938 | ) | |||||||||||
US Cocoa |
38 | 05/15/2024 | 2,298,620 | 470,160 | ||||||||||||
US Cocoa |
33 | 07/16/2024 | 1,890,900 | 246,740 | ||||||||||||
White Maize |
5 | 07/24/2024 | 118,665 | 4,354 | ||||||||||||
WTI Light Sweet Crude Oil IPE |
9 | 03/19/2024 | 704,340 | 11,260 | ||||||||||||
WTI Light Sweet Crude Oil IPE |
7 | 04/19/2024 | 542,150 | 5,210 | ||||||||||||
WTI Light Sweet Crude Oil IPE |
3 | 05/20/2024 | 230,430 | 570 | ||||||||||||
XAV Health Care Select Sector Index |
3 | 03/15/2024 | 439,140 | 7,230 | ||||||||||||
$ | 38,175,260 |
Description |
Contracts |
Expiration |
Notional |
Value/ |
||||||||||||
1 Month Secured Overnight Financing Rate |
(17) | 07/31/2024 | $ | 6,719,079 | $ | 2,396 | ||||||||||
10 Year U.S. Ultra Treasury Notes |
(33) | 06/18/2024 | 3,767,672 | (8,375 | ) |
The accompanying notes are an integral part of the consolidated financial statements.
15
Abbey Capital Multi Asset Fund
Consolidated Schedule of Open Futures Contracts (Continued)
as of February 29, 2024 (Unaudited)
Description |
Contracts |
Expiration |
Notional |
Value/ |
||||||||||||
3 Month Canadian Bankers’ Acceptances |
(14) | 06/17/2024 | $ | 2,448,569 | $ | (1,925 | ) | |||||||||
3 Month Canadian Bankers’ Acceptances |
(12) | 09/18/2024 | 2,104,299 | 2,772 | ||||||||||||
3 Month Canadian Bankers’ Acceptances |
(8) | 12/18/2024 | 1,406,993 | 516 | ||||||||||||
3 Month Canadian Bankers’ Acceptances |
(9) | 03/19/2025 | 1,586,763 | 737 | ||||||||||||
3 Month Canadian Bankers’ Acceptances |
(2) | 06/18/2025 | 353,277 | 589 | ||||||||||||
3 Month Canadian Bankers’ Acceptances |
(1) | 09/17/2025 | 176,896 | (184 | ) | |||||||||||
3 Month Euribor |
(30) | 06/17/2024 | 7,809,730 | 8,795 | ||||||||||||
3 Month Euribor |
(22) | 09/16/2024 | 5,747,347 | 17,401 | ||||||||||||
3 Month Euribor |
(37) | 12/16/2024 | 9,695,984 | 7,282 | ||||||||||||
3 Month Euribor |
(106) | 03/17/2025 | 27,843,560 | (5,269 | ) | |||||||||||
3-Month Secured Overnight Financing Rate |
(42) | 09/17/2024 | 9,963,450 | 28,900 | ||||||||||||
3-Month Secured Overnight Financing Rate |
(217) | 12/17/2024 | 51,637,863 | 127,938 | ||||||||||||
3-Month Secured Overnight Financing Rate |
(335) | 03/18/2025 | 79,981,250 | 60,040 | ||||||||||||
3-Month Secured Overnight Financing Rate |
(17) | 06/17/2025 | 4,070,863 | 14,200 | ||||||||||||
3-Month Secured Overnight Financing Rate |
(15) | 09/16/2025 | 3,600,750 | 8,575 | ||||||||||||
3-Month Secured Overnight Financing Rate |
(119) | 12/16/2025 | 28,616,525 | 450 | ||||||||||||
3-Month Secured Overnight Financing Rate |
(11) | 03/17/2026 | 2,647,838 | 1,888 | ||||||||||||
3-Month Secured Overnight Financing Rate |
(10) | 06/16/2026 | 2,408,250 | 775 | ||||||||||||
3-Month Secured Overnight Financing Rate |
(9) | 09/15/2026 | 2,167,650 | 163 | ||||||||||||
3-Month Secured Overnight Financing Rate |
(60) | 12/15/2026 | 14,451,750 | (3,963 | ) | |||||||||||
AUD/USD Cross Currency Rate |
(526) | 03/18/2024 | 34,174,220 | 179,925 | ||||||||||||
Austrailian Government 10 Year Bonds |
(124) | 03/15/2024 | 9,270,312 | (17,433 | ) | |||||||||||
Austrailian Government 3 Year Bonds |
(202) | 03/15/2024 | 13,980,100 | (17,876 | ) | |||||||||||
Australian 90 Day Bank Bills |
(17) | 12/12/2024 | 10,941,020 | (78 | ) | |||||||||||
Australian 90 Day Bank Bills |
(20) | 03/13/2025 | 12,875,247 | (676 | ) | |||||||||||
Australian 90 Day Bank Bills |
(4) | 06/12/2025 | 2,575,615 | (472 | ) | |||||||||||
Australian 90 Day Bank Bills |
(3) | 09/11/2025 | 1,932,042 | (220 | ) | |||||||||||
Australian 90 Day Bank Bills |
(2) | 12/11/2025 | 1,288,217 | (142 | ) | |||||||||||
British Pound/US Dollar Cross Currency Rate |
(9) | 03/18/2024 | 709,538 | 631 | ||||||||||||
Canadian 10 Year Government Bonds |
(81) | 06/19/2024 | 7,154,309 | (3,065 | ) | |||||||||||
Canadian 2-Year Bond Futures |
(43) | 06/19/2024 | 3,267,417 | (1,555 | ) | |||||||||||
Canadian 5 Year Bonds |
(20) | 06/19/2024 | 1,639,465 | (2,387 | ) | |||||||||||
Canadian Canola Oil |
(92) | 05/14/2024 | 804,928 | 29,768 | ||||||||||||
Canadian Canola Oil |
(16) | 07/12/2024 | 141,685 | (479 | ) | |||||||||||
Canadian Dollar/US Dollar Cross Currency Rate |
(232) | 03/19/2024 | 17,091,440 | 26,185 | ||||||||||||
Class III Milk |
(7) | 04/30/2024 | 240,380 | 5,200 | ||||||||||||
Copper |
(119) | 05/29/2024 | 11,444,825 | 13,993 | ||||||||||||
Copper |
(5) | 07/29/2024 | 483,375 | 3,013 | ||||||||||||
Corn No. 2 Yellow |
(536) | 05/14/2024 | 11,510,600 | (45,669 | ) | |||||||||||
Corn No. 2 Yellow |
(509) | 07/12/2024 | 11,229,813 | 942,263 | ||||||||||||
Corn No. 2 Yellow |
(31) | 09/13/2024 | 697,888 | (17,425 | ) | |||||||||||
Corn No. 2 Yellow |
(28) | 12/13/2024 | 648,550 | (6,300 | ) | |||||||||||
Crude Oil |
(47) | 03/20/2024 | 3,678,220 | (30,078 | ) | |||||||||||
Crude Soybean Oil |
(92) | 05/14/2024 | 2,495,592 | 96,180 | ||||||||||||
Crude Soybean Oil |
(20) | 07/12/2024 | 547,440 | 5,964 | ||||||||||||
Crude Soybean Oil |
(19) | 12/13/2024 | 513,684 | 25,470 | ||||||||||||
E-mini Consumer Staples Select Sector |
(1) | 03/15/2024 | 75,060 | (2,040 | ) | |||||||||||
Euro BUXL 30 Year Bonds |
(12) | 03/07/2024 | 1,727,033 | (4,734 | ) | |||||||||||
Euro STOXX 50 Quanto Index |
(196) | 03/15/2024 | 10,367,299 | (400,264 | ) | |||||||||||
Euro/US Dollar Cross Currency Rate |
(1) | 03/18/2024 | 13,511 | (93 | ) |
The accompanying notes are an integral part of the consolidated financial statements.
16
Abbey Capital Multi Asset Fund
Consolidated Schedule of Open Futures Contracts (Continued)
as of February 29, 2024 (Unaudited)
Description |
Contracts |
Expiration |
Notional |
Value/ |
||||||||||||
Euro/US Dollar Cross Currency Rate |
(193) | 03/18/2024 | $ | 26,076,713 | $ | (45,488 | ) | |||||||||
Euro-BOBL |
(395) | 03/07/2024 | 49,616,208 | 213,231 | ||||||||||||
Euro-Bund |
(147) | 03/07/2024 | 21,075,126 | 87,706 | ||||||||||||
Euro-Schatz |
(1052) | 03/07/2024 | 119,555,790 | 532,635 | ||||||||||||
Eurpoean Rapeseed |
(44) | 04/30/2024 | 979,638 | 18,117 | ||||||||||||
Eurpoean Rapeseed |
(7) | 07/31/2024 | 156,324 | (405 | ) | |||||||||||
French Government Bonds |
(31) | 03/07/2024 | 4,278,231 | (8,852 | ) | |||||||||||
FTSE 100 Index |
(230) | 03/15/2024 | 22,142,073 | (15,186 | ) | |||||||||||
FTSE China A50 Index |
(43) | 03/28/2024 | 510,496 | (813 | ) | |||||||||||
FTSE/JSE Top 40 Index |
(44) | 03/20/2024 | 1,519,193 | 46,664 | ||||||||||||
Gold |
(3) | 04/26/2024 | 616,410 | (13,150 | ) | |||||||||||
Hang Seng China Enterprises Index |
(16) | 03/27/2024 | 580,471 | 9,675 | ||||||||||||
Hang Seng China Enterprises Index |
(3) | 03/27/2024 | 21,768 | 294 | ||||||||||||
Hang Seng Index |
(92) | 03/27/2024 | 9,665,905 | 138,170 | ||||||||||||
Hang Seng TECH Index |
(1) | 03/27/2024 | 21,917 | (19 | ) | |||||||||||
Hard Red Winter Wheat |
(102) | 05/14/2024 | 2,994,975 | 74,938 | ||||||||||||
Hard Red Winter Wheat |
(7) | 07/12/2024 | 200,988 | (1,888 | ) | |||||||||||
ICE 3 Month SONIA Rate |
(9) | 12/17/2024 | 2,704,857 | 1,436 | ||||||||||||
ICE 3 Month SONIA Rate |
(7) | 12/16/2025 | 2,121,118 | (2,509 | ) | |||||||||||
ICE European Climate Exchange Emissions |
(89) | 12/16/2024 | 5,386,710 | 968,884 | ||||||||||||
Japanese Yen/US Dollar Cross Currency Rate |
(529) | 03/18/2024 | 44,211,175 | 1,574,489 | ||||||||||||
Lean Hogs |
(3) | 06/14/2024 | 120,240 | (5,440 | ) | |||||||||||
LME Aluminum Forward |
(1) | 03/01/2024 | 53,640 | 1,073 | ||||||||||||
LME Copper Forward |
(1) | 03/05/2024 | 210,168 | 3,401 | ||||||||||||
LME Copper Forward |
(1) | 03/08/2024 | 210,374 | 3,289 | ||||||||||||
LME Copper Forward |
(2) | 03/11/2024 | 420,812 | (6,187 | ) | |||||||||||
LME Lead Forward |
(2) | 03/05/2024 | 103,015 | (255 | ) | |||||||||||
LME Lead Forward |
(1) | 03/07/2024 | 51,598 | (973 | ) | |||||||||||
LME Nickel Forward |
(1) | 03/14/2024 | 106,284 | (3,396 | ) | |||||||||||
LME Nickel Forward |
(1) | 03/19/2024 | 106,335 | (4,791 | ) | |||||||||||
LME Zinc Forward |
(1) | 03/01/2024 | 59,565 | 1,261 | ||||||||||||
LME Zinc Forward |
(2) | 03/05/2024 | 119,213 | 7,732 | ||||||||||||
LME Zinc Forward |
(2) | 03/07/2024 | 119,379 | (67 | ) | |||||||||||
LME Zinc Forward |
(1) | 03/26/2024 | 59,906 | 6,119 | ||||||||||||
London Metals - Aluminum |
(1576) | 03/18/2024 | 86,570,468 | 1,150,403 | ||||||||||||
London Metals - Aluminum |
(397) | 06/17/2024 | 22,202,424 | 33,139 | ||||||||||||
London Metals - Copper |
(354) | 03/18/2024 | 74,578,950 | (235,846 | ) | |||||||||||
London Metals - Copper |
(117) | 06/17/2024 | 24,890,288 | (393,167 | ) | |||||||||||
London Metals - Lead |
(343) | 03/18/2024 | 17,767,400 | (71,183 | ) | |||||||||||
London Metals - Lead |
(137) | 06/17/2024 | 7,071,495 | (160,005 | ) | |||||||||||
London Metals - Nickel |
(22) | 03/18/2024 | 2,338,974 | (3,526 | ) | |||||||||||
London Metals - Nickel |
(36) | 06/17/2024 | 3,880,008 | (349,894 | ) | |||||||||||
London Metals - Zinc |
(236) | 03/18/2024 | 14,120,175 | 530,159 | ||||||||||||
London Metals - Zinc |
(106) | 06/17/2024 | 6,446,788 | (250,938 | ) | |||||||||||
Long Gilt |
(67) | 06/26/2024 | 8,295,923 | 5,377 | ||||||||||||
Maize |
(1) | 06/05/2024 | 9,444 | 311 | ||||||||||||
Mexican Peso/US Dollar Cross Currency Rate |
(2) | 03/18/2024 | 58,490 | (250 | ) | |||||||||||
Milling Wheat No. 2 |
(218) | 05/10/2024 | 2,309,023 | 175,414 | ||||||||||||
Milling Wheat No. 2 |
(34) | 09/10/2024 | 376,659 | 2,351 | ||||||||||||
Milling Wheat No. 2 |
(14) | 12/10/2024 | 159,256 | (41 | ) |
The accompanying notes are an integral part of the consolidated financial statements.
17
Abbey Capital Multi Asset Fund
Consolidated Schedule of Open Futures Contracts (Concluded)
as of February 29, 2024 (Unaudited)
Description |
Contracts |
Expiration |
Notional |
Value/ |
||||||||||||
MSCI China A 50 Index |
(1) | 03/15/2024 | $ | 46,080 | $ | 115 | ||||||||||
MSCI Singapore Index |
(33) | 03/27/2024 | 690,387 | 4,853 | ||||||||||||
Nasdaq 100 Index |
(10) | 03/15/2024 | 3,616,550 | (10,180 | ) | |||||||||||
Natural Gas |
(11) | 03/25/2024 | 51,150 | (1,925 | ) | |||||||||||
Natural Gas |
(214) | 03/26/2024 | 3,980,400 | (104,347 | ) | |||||||||||
Natural Gas |
(70) | 03/27/2024 | 1,354,455 | 25,369 | ||||||||||||
Natural Gas |
(178) | 04/26/2024 | 3,574,240 | (7,880 | ) | |||||||||||
Natural Gas |
(16) | 05/29/2024 | 359,840 | (20,060 | ) | |||||||||||
Natural Gas |
(16) | 09/26/2024 | 422,400 | (23,120 | ) | |||||||||||
Nikkei 225 Index |
(49) | 03/07/2024 | 6,415,071 | (29,616 | ) | |||||||||||
NY Harbor ULSD |
(3) | 03/28/2024 | 333,887 | (3,234 | ) | |||||||||||
Palladium |
(17) | 06/26/2024 | 1,609,560 | 65,830 | ||||||||||||
Phelix DE Base Yearly |
(2) | 12/27/2024 | 1,411,462 | 291,325 | ||||||||||||
Phelix DE Baseload Quarterly |
(1) | 03/26/2024 | 131,502 | 79,996 | ||||||||||||
Platinum |
(35) | 04/26/2024 | 1,547,000 | 24,675 | ||||||||||||
Red Spring Wheat |
(13) | 05/14/2024 | 428,350 | (3,750 | ) | |||||||||||
SET50 Index |
(212) | 03/28/2024 | 985,373 | 36,129 | ||||||||||||
Short-term Euro-BTP |
(8) | 03/07/2024 | 911,072 | 11 | ||||||||||||
Silver |
(93) | 05/29/2024 | 10,641,525 | (65,361 | ) | |||||||||||
Silver |
(2) | 07/29/2024 | 231,020 | (220 | ) | |||||||||||
South African Rand/US Dollar Cross Currency Rate |
(2) | 03/18/2024 | 52,025 | 1,325 | ||||||||||||
Soybean Meal |
(115) | 05/14/2024 | 3,785,800 | 169,080 | ||||||||||||
Soybean Meal |
(21) | 07/12/2024 | 695,520 | 10,110 | ||||||||||||
Soybeans |
(324) | 05/14/2024 | 18,480,150 | 502,609 | ||||||||||||
Soybeans |
(170) | 07/12/2024 | 9,785,625 | 300,400 | ||||||||||||
Soybeans |
(30) | 11/14/2024 | 1,699,875 | 11,488 | ||||||||||||
STOXX 600 Utilities Index |
(6) | 03/15/2024 | 116,046 | (449 | ) | |||||||||||
Sugar #11 |
(160) | 04/30/2024 | 3,886,848 | 123,191 | ||||||||||||
Sugar #11 |
(1) | 06/28/2024 | 24,114 | 706 | ||||||||||||
Sugar #11 |
(1) | 09/30/2024 | 24,203 | 627 | ||||||||||||
Sugar #11 |
(1) | 02/28/2025 | 24,461 | 571 | ||||||||||||
Swiss Franc/US Dollar Cross Currency Rate |
(27) | 03/18/2024 | 3,821,681 | 5,956 | ||||||||||||
U.S. Treasury 10 Year Notes |
(362) | 06/18/2024 | 39,978,375 | (77,031 | ) | |||||||||||
U.S. Treasury 2 Year Notes |
(448) | 06/28/2024 | 91,727,999 | (51,945 | ) | |||||||||||
U.S. Treasury 5 Year Note |
(833) | 06/28/2024 | 89,052,906 | (120,977 | ) | |||||||||||
U.S. Treasury Long Bonds |
(83) | 06/18/2024 | 9,897,750 | (30,594 | ) | |||||||||||
U.S. Treasury Ultra Bonds |
(26) | 06/18/2024 | 3,324,750 | (34,281 | ) | |||||||||||
UK Natural Gas |
(45) | 03/27/2024 | 1,049,394 | (44,421 | ) | |||||||||||
UK Natural Gas |
(5) | 04/29/2024 | 120,251 | (10,350 | ) | |||||||||||
US 3 Year Notes |
(2) | 06/28/2024 | 417,375 | (500 | ) | |||||||||||
Utilities Select Sector Index |
(1) | 03/15/2024 | 62,580 | (570 | ) | |||||||||||
Wheat |
(45) | 05/14/2024 | 1,296,563 | 31,000 | ||||||||||||
Wheat |
(238) | 07/12/2024 | 6,893,075 | 473,000 | ||||||||||||
Wheat |
(12) | 09/13/2024 | 352,050 | 388 | ||||||||||||
Wheat |
(4) | 12/13/2024 | 120,150 | 4,438 | ||||||||||||
White Sugar |
(10) | 04/15/2024 | 307,550 | 3,300 | ||||||||||||
White Sugar |
(3) | 07/16/2024 | 90,120 | 1,545 | ||||||||||||
Yellow Maize |
(1) | 07/24/2024 | 20,839 | (1,345 | ) | |||||||||||
$ | 6,579,187 | |||||||||||||||
Total Unrealized Appreciation (Depreciation) on Futures Contracts |
$ | 44,754,447 |
The accompanying notes are an integral part of the consolidated financial statements.
18
Abbey Capital Multi Asset Fund
Schedule of Forward currency Contracts
as of February 29, 2024 (Unaudited)
Settlement Date |
Currency Purchased |
|
Currency Sold |
|
Counterparty |
Value/ |
||||||||||||||||||||||||||
03/27/2024 |
AUD |
5,400,000 | CAD |
4,784,176 | SG Americas Securities LLC | $ | (13,529 | ) | ||||||||||||||||||||||||
03/27/2024 |
AUD |
1,242,626 | EUR |
750,000 | SG Americas Securities LLC | (3,103 | ) | |||||||||||||||||||||||||
03/27/2024 |
AUD |
1,936,395 | GBP |
1,000,000 | SG Americas Securities LLC | (2,753 | ) | |||||||||||||||||||||||||
03/01/2024 |
AUD |
800,000 | JPY |
78,548,446 | SG Americas Securities LLC | (4,000 | ) | |||||||||||||||||||||||||
03/04/2024 |
AUD |
600,000 | JPY |
58,536,480 | SG Americas Securities LLC | (644 | ) | |||||||||||||||||||||||||
03/27/2024 |
AUD |
12,000,000 | JPY |
1,176,850,818 | SG Americas Securities LLC | (77,426 | ) | |||||||||||||||||||||||||
03/01/2024 |
AUD |
2,600,000 | NZD |
2,770,994 | SG Americas Securities LLC | 2,933 | ||||||||||||||||||||||||||
03/27/2024 |
AUD |
14,200,000 | NZD |
15,086,395 | SG Americas Securities LLC | 52,570 | ||||||||||||||||||||||||||
03/01/2024 |
AUD |
5,819,299 | USD |
3,799,531 | SG Americas Securities LLC | (16,869 | ) | |||||||||||||||||||||||||
03/04/2024 |
AUD |
5,819,299 | USD |
3,788,364 | SG Americas Securities LLC | (5,359 | ) | |||||||||||||||||||||||||
03/20/2024 |
AUD |
900,000 | USD |
590,571 | SG Americas Securities LLC | (5,194 | ) | |||||||||||||||||||||||||
03/27/2024 |
AUD |
1,000,000 | USD |
655,424 | SG Americas Securities LLC | (4,854 | ) | |||||||||||||||||||||||||
03/04/2024 |
BRL |
497,152 | USD |
100,000 | SG Americas Securities LLC | (39 | ) | |||||||||||||||||||||||||
03/20/2024 |
BRL |
36,094,403 | USD |
7,200,000 | SG Americas Securities LLC | 45,111 | ||||||||||||||||||||||||||
03/27/2024 |
CAD |
15,397,216 | AUD |
17,400,000 | SG Americas Securities LLC | 29,982 | ||||||||||||||||||||||||||
03/27/2024 |
CAD |
183,457 | EUR |
125,000 | SG Americas Securities LLC | (20 | ) | |||||||||||||||||||||||||
03/27/2024 |
CAD |
8,400,000 | JPY |
931,355,140 | SG Americas Securities LLC | (47,603 | ) | |||||||||||||||||||||||||
03/01/2024 |
CAD |
70,662,823 | USD |
52,035,299 | SG Americas Securities LLC | 32,532 | ||||||||||||||||||||||||||
03/20/2024 |
CAD |
1,887,821 | USD |
1,400,000 | SG Americas Securities LLC | (8,561 | ) | |||||||||||||||||||||||||
03/27/2024 |
CAD |
200,000 | USD |
147,913 | SG Americas Securities LLC | (485 | ) | |||||||||||||||||||||||||
03/20/2024 |
CHF |
14,147,080 | EUR |
15,150,000 | SG Americas Securities LLC | (355,273 | ) | |||||||||||||||||||||||||
03/27/2024 |
CHF |
10,567,561 | EUR |
11,125,000 | SG Americas Securities LLC | (52,096 | ) | |||||||||||||||||||||||||
03/27/2024 |
CHF |
1,661,187 | GBP |
1,500,000 | SG Americas Securities LLC | (9,701 | ) | |||||||||||||||||||||||||
03/27/2024 |
CHF |
5,500,000 | JPY |
937,074,633 | SG Americas Securities LLC | (39,958 | ) | |||||||||||||||||||||||||
03/01/2024 |
CHF |
16,678,523 | USD |
18,933,718 | SG Americas Securities LLC | (72,116 | ) | |||||||||||||||||||||||||
03/04/2024 |
CHF |
16,678,523 | USD |
19,002,143 | SG Americas Securities LLC | (134,651 | ) | |||||||||||||||||||||||||
03/20/2024 |
CHF |
1,168,716 | USD |
1,350,000 | SG Americas Securities LLC | (25,530 | ) | |||||||||||||||||||||||||
03/27/2024 |
CHF |
6,625,000 | USD |
7,546,874 | SG Americas Securities LLC | (32,995 | ) | |||||||||||||||||||||||||
03/06/2024 |
CLP |
384,730,064 | USD |
400,000 | SG Americas Securities LLC | (1,877 | ) | |||||||||||||||||||||||||
03/12/2024 |
CLP |
196,515,712 | USD |
200,000 | SG Americas Securities LLC | 3,292 | ||||||||||||||||||||||||||
03/27/2024 |
CLP |
98,668,936 | USD |
100,000 | SG Americas Securities LLC | 1,990 | ||||||||||||||||||||||||||
03/20/2024 |
CNH |
4,679,630 | USD |
650,000 | SG Americas Securities LLC | 271 | ||||||||||||||||||||||||||
03/27/2024 |
CNH |
2,877,900 | USD |
400,000 | SG Americas Securities LLC | 106 | ||||||||||||||||||||||||||
03/07/2024 |
COP |
400,022,000 | USD |
100,000 | SG Americas Securities LLC | 1,801 | ||||||||||||||||||||||||||
03/11/2024 |
COP |
399,141,000 | USD |
100,000 | SG Americas Securities LLC | 1,504 | ||||||||||||||||||||||||||
03/20/2024 |
COP |
8,036,827,230 | USD |
2,000,000 | SG Americas Securities LLC | 40,497 | ||||||||||||||||||||||||||
03/26/2024 |
COP |
394,672,357 | USD |
100,000 | SG Americas Securities LLC | 97 | ||||||||||||||||||||||||||
03/27/2024 |
EUR |
5,750,000 | AUD |
9,476,073 | SG Americas Securities LLC | 56,785 | ||||||||||||||||||||||||||
03/27/2024 |
EUR |
6,750,000 | CAD |
9,838,982 | SG Americas Securities LLC | 50,952 | ||||||||||||||||||||||||||
03/20/2024 |
EUR |
10,600,000 | CHF |
10,025,426 | SG Americas Securities LLC | 104,492 | ||||||||||||||||||||||||||
03/27/2024 |
EUR |
375,000 | CHF |
357,071 | SG Americas Securities LLC | 779 | ||||||||||||||||||||||||||
03/20/2024 |
EUR |
2,200,000 | CZK |
54,993,671 | SG Americas Securities LLC | 34,752 | ||||||||||||||||||||||||||
03/20/2024 |
EUR |
4,900,000 | GBP |
4,194,464 | SG Americas Securities LLC | 4,994 | ||||||||||||||||||||||||||
03/27/2024 |
EUR |
1,500,000 | GBP |
1,283,568 | SG Americas Securities LLC | 2,513 | ||||||||||||||||||||||||||
03/20/2024 |
EUR |
550,000 | HUF |
216,605,107 | SG Americas Securities LLC | (338 | ) | |||||||||||||||||||||||||
03/27/2024 |
EUR |
400,000 | HUF |
156,438,306 | SG Americas Securities LLC | 3,148 | ||||||||||||||||||||||||||
03/21/2024 |
EUR |
26,050,000 | JPY |
4,163,263,074 | SG Americas Securities LLC | 315,408 | ||||||||||||||||||||||||||
03/27/2024 |
EUR |
4,000,000 | JPY |
647,513,990 | SG Americas Securities LLC | (9,901 | ) |
The accompanying notes are an integral part of the consolidated financial statements.
19
Abbey Capital Multi Asset Fund
Schedule of Forward currency Contracts (Continued)
as of February 29, 2024 (Unaudited)
Settlement Date |
Currency Purchased |
|
Currency Sold |
|
Counterparty |
Value/ |
||||||||||||||||||||||||||
03/20/2024 |
EUR |
3,600,000 | NOK |
41,205,691 | SG Americas Securities LLC | $ | 12,586 | |||||||||||||||||||||||||
03/27/2024 |
EUR |
4,750,000 | NOK |
53,824,313 | SG Americas Securities LLC | 68,502 | ||||||||||||||||||||||||||
03/27/2024 |
EUR |
300,000 | PLN |
1,293,575 | SG Americas Securities LLC | 763 | ||||||||||||||||||||||||||
03/20/2024 |
EUR |
400,000 | SEK |
4,534,179 | SG Americas Securities LLC | (5,089 | ) | |||||||||||||||||||||||||
03/27/2024 |
EUR |
6,750,000 | SEK |
75,743,526 | SG Americas Securities LLC | (11,521 | ) | |||||||||||||||||||||||||
03/01/2024 |
EUR |
14,174,791 | USD |
15,379,648 | SG Americas Securities LLC | (58,933 | ) | |||||||||||||||||||||||||
03/20/2024 |
EUR |
1,450,000 | USD |
1,572,167 | SG Americas Securities LLC | (3,706 | ) | |||||||||||||||||||||||||
03/27/2024 |
EUR |
8,625,000 | USD |
9,349,727 | SG Americas Securities LLC | (17,274 | ) | |||||||||||||||||||||||||
03/27/2024 |
GBP |
5,500,000 | AUD |
10,563,278 | SG Americas Securities LLC | 71,672 | ||||||||||||||||||||||||||
03/27/2024 |
GBP |
375,000 | CHF |
417,144 | SG Americas Securities LLC | 330 | ||||||||||||||||||||||||||
03/04/2024 |
GBP |
171,263 | EUR |
200,000 | SG Americas Securities LLC | (3 | ) | |||||||||||||||||||||||||
03/20/2024 |
GBP |
19,692,209 | EUR |
23,000,000 | SG Americas Securities LLC | (18,507 | ) | |||||||||||||||||||||||||
03/27/2024 |
GBP |
9,948,943 | EUR |
11,600,000 | SG Americas Securities LLC | 9,204 | ||||||||||||||||||||||||||
03/27/2024 |
GBP |
4,750,000 | JPY |
896,642,441 | SG Americas Securities LLC | (10,082 | ) | |||||||||||||||||||||||||
03/01/2024 |
GBP |
33,721,680 | USD |
42,658,168 | SG Americas Securities LLC | (90,847 | ) | |||||||||||||||||||||||||
03/04/2024 |
GBP |
33,721,680 | USD |
42,725,908 | SG Americas Securities LLC | (158,011 | ) | |||||||||||||||||||||||||
03/20/2024 |
GBP |
4,100,000 | USD |
5,179,323 | SG Americas Securities LLC | (3,256 | ) | |||||||||||||||||||||||||
03/27/2024 |
GBP |
5,937,500 | USD |
7,489,473 | SG Americas Securities LLC | 6,702 | ||||||||||||||||||||||||||
03/20/2024 |
HUF |
1,240,099,030 | EUR |
3,200,000 | SG Americas Securities LLC | (53,407 | ) | |||||||||||||||||||||||||
03/01/2024 |
HUF |
145,038,488 | USD |
400,466 | SG Americas Securities LLC | (1,198 | ) | |||||||||||||||||||||||||
03/27/2024 |
HUF |
1,047,960,829 | USD |
2,900,000 | SG Americas Securities LLC | (21,752 | ) | |||||||||||||||||||||||||
03/20/2024 |
ILS |
2,538,432 | USD |
700,000 | SG Americas Securities LLC | 10,913 | ||||||||||||||||||||||||||
03/27/2024 |
ILS |
2,174,415 | USD |
600,000 | SG Americas Securities LLC | 9,111 | ||||||||||||||||||||||||||
03/01/2024 |
INR |
153,022,472 | USD |
1,839,113 | SG Americas Securities LLC | 6,342 | ||||||||||||||||||||||||||
03/04/2024 |
INR |
138,656,339 | USD |
1,668,107 | SG Americas Securities LLC | 3,951 | ||||||||||||||||||||||||||
03/05/2024 |
INR |
40,933,129 | USD |
492,780 | SG Americas Securities LLC | 819 | ||||||||||||||||||||||||||
03/06/2024 |
INR |
165,865,844 | USD |
2,000,000 | SG Americas Securities LLC | 66 | ||||||||||||||||||||||||||
03/13/2024 |
INR |
516,135,349 | USD |
6,221,384 | SG Americas Securities LLC | 879 | ||||||||||||||||||||||||||
03/20/2024 |
INR |
211,804,278 | USD |
2,550,000 | SG Americas Securities LLC | 2,783 | ||||||||||||||||||||||||||
03/27/2024 |
INR |
5,630,811 | USD |
67,851 | SG Americas Securities LLC | (2 | ) | |||||||||||||||||||||||||
03/01/2024 |
JPY |
78,066,139 | AUD |
800,000 | SG Americas Securities LLC | 783 | ||||||||||||||||||||||||||
03/04/2024 |
JPY |
38,974,946 | AUD |
400,000 | SG Americas Securities LLC | 100 | ||||||||||||||||||||||||||
03/21/2024 |
JPY |
39,644,758 | EUR |
250,000 | SG Americas Securities LLC | (5,100 | ) | |||||||||||||||||||||||||
03/04/2024 |
JPY |
23,712,095 | GBP |
125,000 | SG Americas Securities LLC | 471 | ||||||||||||||||||||||||||
03/01/2024 |
JPY |
18,396,176 | NZD |
200,000 | SG Americas Securities LLC | 955 | ||||||||||||||||||||||||||
03/27/2024 |
JPY |
18,169,652 | NZD |
200,000 | SG Americas Securities LLC | (45 | ) | |||||||||||||||||||||||||
03/01/2024 |
JPY |
4,608,091,663 | USD |
30,751,327 | SG Americas Securities LLC | (9,592 | ) | |||||||||||||||||||||||||
03/21/2024 |
JPY |
134,879,471 | USD |
900,000 | SG Americas Securities LLC | 2,726 | ||||||||||||||||||||||||||
03/06/2024 |
KRW |
7,051,647,963 | USD |
5,300,000 | SG Americas Securities LLC | (2,743 | ) | |||||||||||||||||||||||||
03/15/2024 |
KRW |
399,350,486 | USD |
300,000 | SG Americas Securities LLC | 142 | ||||||||||||||||||||||||||
03/20/2024 |
KRW |
8,066,139,850 | USD |
6,050,000 | SG Americas Securities LLC | 13,964 | ||||||||||||||||||||||||||
03/20/2024 |
MXN |
144,126,169 | USD |
8,400,000 | SG Americas Securities LLC | 28,225 | ||||||||||||||||||||||||||
03/27/2024 |
MXN |
85,000,000 | USD |
4,953,075 | SG Americas Securities LLC | 11,816 | ||||||||||||||||||||||||||
03/20/2024 |
NOK |
27,764,233 | EUR |
2,450,000 | SG Americas Securities LLC | (34,803 | ) | |||||||||||||||||||||||||
03/01/2024 |
NOK |
3,500,000 | SEK |
3,415,559 | SG Americas Securities LLC | 38 | ||||||||||||||||||||||||||
03/04/2024 |
NOK |
3,500,000 | SEK |
3,416,353 | SG Americas Securities LLC | (55 | ) | |||||||||||||||||||||||||
03/27/2024 |
NOK |
7,000,000 | SEK |
6,826,628 | SG Americas Securities LLC | 208 | ||||||||||||||||||||||||||
03/27/2024 |
NOK |
21,031,462 | USD |
2,000,000 | SG Americas Securities LLC | (18,501 | ) | |||||||||||||||||||||||||
03/01/2024 |
NZD |
2,776,296 | AUD |
2,600,000 | SG Americas Securities LLC | 296 | ||||||||||||||||||||||||||
03/27/2024 |
NZD |
25,970,848 | AUD |
24,400,000 | SG Americas Securities LLC | (61,262 | ) |
The accompanying notes are an integral part of the consolidated financial statements.
20
Abbey Capital Multi Asset Fund
Schedule of Forward currency Contracts (Continued)
as of February 29, 2024 (Unaudited)
Settlement Date |
Currency Purchased |
|
Currency Sold |
|
Counterparty |
Value/ |
||||||||||||||||||||||||||
03/01/2024 |
NZD |
200,000 | JPY |
18,242,492 | SG Americas Securities LLC | $ | 70 | |||||||||||||||||||||||||
03/27/2024 |
NZD |
12,200,000 | JPY |
1,125,856,880 | SG Americas Securities LLC | (114,525 | ) | |||||||||||||||||||||||||
03/01/2024 |
NZD |
700,000 | USD |
432,050 | SG Americas Securities LLC | (5,855 | ) | |||||||||||||||||||||||||
03/04/2024 |
NZD |
800,000 | USD |
487,703 | SG Americas Securities LLC | (623 | ) | |||||||||||||||||||||||||
03/20/2024 |
NZD |
3,900,000 | USD |
2,403,458 | SG Americas Securities LLC | (28,913 | ) | |||||||||||||||||||||||||
03/27/2024 |
NZD |
1,900,000 | USD |
1,161,405 | SG Americas Securities LLC | (4,568 | ) | |||||||||||||||||||||||||
03/20/2024 |
PHP |
25,195,678 | USD |
450,000 | SG Americas Securities LLC | (1,952 | ) | |||||||||||||||||||||||||
03/20/2024 |
PLN |
24,299,525 | EUR |
5,600,000 | SG Americas Securities LLC | 26,410 | ||||||||||||||||||||||||||
03/27/2024 |
PLN |
4,336,197 | EUR |
1,000,000 | SG Americas Securities LLC | 3,534 | ||||||||||||||||||||||||||
03/27/2024 |
PLN |
25,664,192 | USD |
6,400,000 | SG Americas Securities LLC | 24,974 | ||||||||||||||||||||||||||
03/20/2024 |
SEK |
95,754,371 | EUR |
8,500,000 | SG Americas Securities LLC | 50,512 | ||||||||||||||||||||||||||
03/27/2024 |
SEK |
75,388,990 | EUR |
6,750,000 | SG Americas Securities LLC | (22,719 | ) | |||||||||||||||||||||||||
03/01/2024 |
SEK |
3,409,904 | NOK |
3,500,000 | SG Americas Securities LLC | (583 | ) | |||||||||||||||||||||||||
03/27/2024 |
SEK |
73,336,149 | NOK |
74,000,000 | SG Americas Securities LLC | 110,698 | ||||||||||||||||||||||||||
03/01/2024 |
SEK |
5,655 | USD |
547 | SG Americas Securities LLC | (2 | ) | |||||||||||||||||||||||||
03/27/2024 |
SEK |
21,586,972 | USD |
2,100,000 | SG Americas Securities LLC | (15,167 | ) | |||||||||||||||||||||||||
03/20/2024 |
SGD |
67,089 | USD |
50,000 | SG Americas Securities LLC | (95 | ) | |||||||||||||||||||||||||
03/27/2024 |
SGD |
21,512,830 | USD |
16,000,000 | SG Americas Securities LLC | 7,827 | ||||||||||||||||||||||||||
03/05/2024 |
TWD |
47,055,732 | USD |
1,500,000 | SG Americas Securities LLC | (10,480 | ) | |||||||||||||||||||||||||
03/06/2024 |
TWD |
53,316,345 | USD |
1,700,000 | SG Americas Securities LLC | (12,109 | ) | |||||||||||||||||||||||||
03/27/2024 |
TWD |
6,290,400 | USD |
200,000 | SG Americas Securities LLC | (267 | ) | |||||||||||||||||||||||||
03/01/2024 |
USD |
3,788,020 | AUD |
5,819,299 | SG Americas Securities LLC | 5,358 | ||||||||||||||||||||||||||
03/20/2024 |
USD |
5,832,904 | AUD |
8,950,000 | SG Americas Securities LLC | 11,656 | ||||||||||||||||||||||||||
03/27/2024 |
USD |
4,332,825 | AUD |
6,600,000 | SG Americas Securities LLC | 39,062 | ||||||||||||||||||||||||||
03/04/2024 |
USD |
100,000 | BRL |
496,798 | SG Americas Securities LLC | 110 | ||||||||||||||||||||||||||
03/20/2024 |
USD |
1,250,000 | BRL |
6,241,423 | SG Americas Securities LLC | (2,820 | ) | |||||||||||||||||||||||||
03/20/2024 |
USD |
5,600,000 | CAD |
7,577,036 | SG Americas Securities LLC | 15,264 | ||||||||||||||||||||||||||
03/27/2024 |
USD |
3,551,869 | CAD |
4,800,000 | SG Americas Securities LLC | 13,597 | ||||||||||||||||||||||||||
03/01/2024 |
USD |
18,996,040 | CHF |
16,678,523 | SG Americas Securities LLC | 134,437 | ||||||||||||||||||||||||||
03/20/2024 |
USD |
3,600,000 | CHF |
3,153,250 | SG Americas Securities LLC | 26,520 | ||||||||||||||||||||||||||
03/27/2024 |
USD |
1,996,533 | CHF |
1,750,000 | SG Americas Securities LLC | 11,735 | ||||||||||||||||||||||||||
03/06/2024 |
USD |
400,000 | CLP |
379,648,000 | SG Americas Securities LLC | 7,136 | ||||||||||||||||||||||||||
03/12/2024 |
USD |
200,000 | CLP |
192,724,288 | SG Americas Securities LLC | 630 | ||||||||||||||||||||||||||
03/20/2024 |
USD |
3,350,000 | CLP |
3,209,338,580 | SG Americas Securities LLC | 31,403 | ||||||||||||||||||||||||||
03/28/2024 |
USD |
200,000 | CLP |
196,688,000 | SG Americas Securities LLC | (3,298 | ) | |||||||||||||||||||||||||
03/20/2024 |
USD |
8,350,000 | CNH |
60,097,746 | SG Americas Securities LLC | (1,049 | ) | |||||||||||||||||||||||||
03/27/2024 |
USD |
7,500,000 | CNH |
53,979,607 | SG Americas Securities LLC | (4,631 | ) | |||||||||||||||||||||||||
03/07/2024 |
USD |
100,000 | COP |
400,217,644 | SG Americas Securities LLC | (1,851 | ) | |||||||||||||||||||||||||
03/11/2024 |
USD |
100,000 | COP |
397,414,644 | SG Americas Securities LLC | (1,065 | ) | |||||||||||||||||||||||||
03/20/2024 |
USD |
50,000 | COP |
199,785,135 | SG Americas Securities LLC | (724 | ) | |||||||||||||||||||||||||
03/21/2024 |
USD |
100,000 | COP |
393,556,644 | SG Americas Securities LLC | 97 | ||||||||||||||||||||||||||
03/27/2024 |
USD |
200,000 | CZK |
4,678,480 | SG Americas Securities LLC | 518 | ||||||||||||||||||||||||||
03/01/2024 |
USD |
15,338,065 | EUR |
14,174,791 | SG Americas Securities LLC | 17,350 | ||||||||||||||||||||||||||
03/04/2024 |
USD |
15,381,463 | EUR |
14,174,791 | SG Americas Securities LLC | 58,973 | ||||||||||||||||||||||||||
03/20/2024 |
USD |
8,505,802 | EUR |
7,900,000 | SG Americas Securities LLC | (39,609 | ) | |||||||||||||||||||||||||
03/27/2024 |
USD |
3,381,545 | EUR |
3,125,000 | SG Americas Securities LLC | 222 | ||||||||||||||||||||||||||
03/01/2024 |
USD |
42,725,369 | GBP |
33,721,680 | SG Americas Securities LLC | 158,047 | ||||||||||||||||||||||||||
03/20/2024 |
USD |
3,336,438 | GBP |
2,650,000 | SG Americas Securities LLC | (9,069 | ) | |||||||||||||||||||||||||
03/27/2024 |
USD |
1,347,534 | GBP |
1,062,500 | SG Americas Securities LLC | 6,114 | ||||||||||||||||||||||||||
03/01/2024 |
USD |
400,000 | HUF |
145,038,488 | SG Americas Securities LLC | 732 |
The accompanying notes are an integral part of the consolidated financial statements.
21
Abbey Capital Multi Asset Fund
Schedule of Forward currency Contracts (Continued)
as of February 29, 2024 (Unaudited)
Settlement Date |
Currency Purchased |
|
Currency Sold |
|
Counterparty |
Value/ |
||||||||||||||||||||||||||
03/27/2024 |
USD |
300,000 | HUF |
108,068,493 | SG Americas Securities LLC | $ | 3,187 | |||||||||||||||||||||||||
03/20/2024 |
USD |
1,450,000 | IDR |
22,787,580,103 | SG Americas Securities LLC | 748 | ||||||||||||||||||||||||||
03/20/2024 |
USD |
850,000 | ILS |
3,119,156 | SG Americas Securities LLC | (23,550 | ) | |||||||||||||||||||||||||
03/27/2024 |
USD |
1,500,000 | ILS |
5,469,153 | SG Americas Securities LLC | (32,055 | ) | |||||||||||||||||||||||||
03/01/2024 |
USD |
1,841,865 | INR |
153,022,472 | SG Americas Securities LLC | (3,589 | ) | |||||||||||||||||||||||||
03/04/2024 |
USD |
1,668,529 | INR |
138,656,339 | SG Americas Securities LLC | (3,530 | ) | |||||||||||||||||||||||||
03/05/2024 |
USD |
492,780 | INR |
40,943,149 | SG Americas Securities LLC | (940 | ) | |||||||||||||||||||||||||
03/06/2024 |
USD |
2,000,000 | INR |
165,864,216 | SG Americas Securities LLC | (47 | ) | |||||||||||||||||||||||||
03/13/2024 |
USD |
6,221,384 | INR |
517,004,152 | SG Americas Securities LLC | (11,353 | ) | |||||||||||||||||||||||||
03/20/2024 |
USD |
8,578,616 | INR |
712,944,819 | SG Americas Securities LLC | (14,192 | ) | |||||||||||||||||||||||||
03/26/2024 |
USD |
2,000,000 | INR |
165,984,520 | SG Americas Securities LLC | (121 | ) | |||||||||||||||||||||||||
03/27/2024 |
USD |
2,184,966 | INR |
181,280,896 | SG Americas Securities LLC | 599 | ||||||||||||||||||||||||||
04/02/2024 |
USD |
6,221,384 | INR |
516,701,495 | SG Americas Securities LLC | (3,129 | ) | |||||||||||||||||||||||||
03/01/2024 |
USD |
30,637,680 | JPY |
4,607,763,040 | SG Americas Securities LLC | (101,863 | ) | |||||||||||||||||||||||||
03/04/2024 |
USD |
30,763,540 | JPY |
4,607,763,040 | SG Americas Securities LLC | 9,797 | ||||||||||||||||||||||||||
03/21/2024 |
USD |
16,750,000 | JPY |
2,475,554,134 | SG Americas Securities LLC | 181,529 | ||||||||||||||||||||||||||
03/27/2024 |
USD |
3,848,415 | JPY |
575,000,000 | SG Americas Securities LLC | (3,776 | ) | |||||||||||||||||||||||||
03/06/2024 |
USD |
5,300,000 | KRW |
7,019,277,932 | SG Americas Securities LLC | 27,060 | ||||||||||||||||||||||||||
03/15/2024 |
USD |
300,000 | KRW |
397,992,330 | SG Americas Securities LLC | 879 | ||||||||||||||||||||||||||
03/20/2024 |
USD |
8,150,000 | KRW |
10,836,596,442 | SG Americas Securities LLC | 3,262 | ||||||||||||||||||||||||||
03/27/2024 |
USD |
6,100,000 | KRW |
8,129,719,215 | SG Americas Securities LLC | (14,098 | ) | |||||||||||||||||||||||||
03/04/2024 |
USD |
500,000 | NOK |
5,307,786 | SG Americas Securities LLC | 220 | ||||||||||||||||||||||||||
03/27/2024 |
USD |
4,000,000 | NOK |
41,831,156 | SG Americas Securities LLC | 58,837 | ||||||||||||||||||||||||||
03/01/2024 |
USD |
429,491 | NZD |
705,302 | SG Americas Securities LLC | 68 | ||||||||||||||||||||||||||
03/20/2024 |
USD |
2,520,168 | NZD |
4,150,000 | SG Americas Securities LLC | (6,591 | ) | |||||||||||||||||||||||||
03/27/2024 |
USD |
2,100,467 | NZD |
3,400,000 | SG Americas Securities LLC | 30,338 | ||||||||||||||||||||||||||
03/20/2024 |
USD |
900,000 | PEN |
3,474,803 | SG Americas Securities LLC | (18,443 | ) | |||||||||||||||||||||||||
03/20/2024 |
USD |
600,000 | PHP |
33,788,626 | SG Americas Securities LLC | (854 | ) | |||||||||||||||||||||||||
03/27/2024 |
USD |
1,300,000 | PLN |
5,162,252 | SG Americas Securities LLC | 7,642 | ||||||||||||||||||||||||||
03/20/2024 |
USD |
2,250,000 | SGD |
3,023,228 | SG Americas Securities LLC | 1,130 | ||||||||||||||||||||||||||
03/27/2024 |
USD |
2,500,000 | SGD |
3,356,999 | SG Americas Securities LLC | 2,037 | ||||||||||||||||||||||||||
03/20/2024 |
USD |
3,050,000 | THB |
108,586,086 | SG Americas Securities LLC | 17,377 | ||||||||||||||||||||||||||
03/29/2024 |
USD |
3,900,000 | TRY |
125,632,733 | SG Americas Securities LLC | 11,649 | ||||||||||||||||||||||||||
03/05/2024 |
USD |
1,500,000 | TWD |
46,760,398 | SG Americas Securities LLC | 19,829 | ||||||||||||||||||||||||||
03/06/2024 |
USD |
1,700,000 | TWD |
53,275,122 | SG Americas Securities LLC | 13,414 | ||||||||||||||||||||||||||
03/20/2024 |
USD |
5,100,000 | TWD |
159,632,139 | SG Americas Securities LLC | 36,405 | ||||||||||||||||||||||||||
03/20/2024 |
USD |
650,000 | ZAR |
12,455,825 | SG Americas Securities LLC | 1,700 | ||||||||||||||||||||||||||
03/27/2024 |
USD |
3,500,000 | ZAR |
66,670,252 | SG Americas Securities LLC | 32,073 | ||||||||||||||||||||||||||
03/20/2024 |
ZAR |
1,898,051 | USD |
100,000 | SG Americas Securities LLC | (1,209 | ) | |||||||||||||||||||||||||
Total Forward Foreign Currency Contracts |
$ | 241,744 |
The accompanying notes are an integral part of the consolidated financial statements.
22
Abbey Capital Multi Asset Fund
Schedule of Forward currency Contracts (Concluded)
as of February 29, 2024 (Unaudited)
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 |
SEK |
Swedish Krona |
|
EUR |
Euro |
SGD |
Singapore Dollar |
|
FTSE |
Financial Times Stock Exchange |
THB |
Thai Baht |
|
GBP |
British Pound |
TRY |
Turkish Lira |
|
HUF |
Hungarian Forint |
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 |
|
KRW |
Korean Won |
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 29, 2024 (Unaudited)
ASSETS |
||||
Investments, at value (cost $523,574,129) |
$ | 523,473,005 | ||
Cash equivalents |
22,835,183 | |||
Foreign currency deposits with broker for futures contracts |
4,238 | |||
Deposits with broker for forward foreign currency contracts |
5,010,145 | |||
Deposits with broker for futures contracts |
65,165,667 | |||
Receivables for: |
||||
Capital shares sold |
6,654,476 | |||
Interest receivable |
88,364 | |||
Unrealized appreciation on forward foreign currency contracts |
2,262,098 | |||
Unrealized appreciation on futures contracts |
53,801,919 | |||
Prepaid expenses and other assets |
73,010 | |||
Total assets |
$ | 679,368,105 | ||
LIABILITIES |
||||
Payables for: |
||||
Due to broker |
2,268,546 | |||
Advisory fees |
859,987 | |||
Capital shares redeemed |
262,478 | |||
Unrealized depreciation on forward foreign currency contracts |
2,020,354 | |||
Unrealized depreciation on futures contracts |
9,047,472 | |||
Other accrued expenses and liabilities |
86,471 | |||
Total liabilities |
$ | 14,545,308 | ||
Net assets |
$ | 664,822,797 | ||
NET ASSETS CONSIST OF: |
||||
Par value |
$ | 55,982 | ||
Paid-in capital |
649,999,179 | |||
Total distributable earnings/(losses) |
14,767,636 | |||
Net assets |
$ | 664,822,797 | ||
CLASS A SHARES: |
||||
Net assets |
$ | 2,350,972 | ||
Shares outstanding ($0.001 par value, 100,000,000 shares authorized) |
198,614 | |||
Net asset value and redemption price per share |
$ | 11.84 | ||
Maximum offering price per share (100/94.25 of 11.51) |
$ | 12.56 | ||
CLASS I SHARES: |
||||
Net assets |
$ | 655,554,341 | ||
Shares outstanding ($0.001 par value, 100,000,000 shares authorized) |
55,189,439 | |||
Net asset value, offering and redemption price per share |
$ | 11.88 | ||
CLASS C SHARES: |
||||
Net assets |
$ | 6,917,484 | ||
Shares outstanding ($0.001 par value, 100,000,000 shares authorized) |
593,937 | |||
Net asset value, offering and redemption price per share |
$ | 11.65 |
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 29, 2024 (Unaudited)
INVESTMENT INCOME |
||||
Interest |
$ | 14,564,710 | ||
Total investment income |
14,564,710 | |||
EXPENSES |
||||
Advisory fees (Note 2) |
5,097,341 | |||
Administration and accounting services fees (Note 2) |
81,259 | |||
Registration and filing fees |
43,287 | |||
Transfer agent fees (Note 2) |
41,309 | |||
Director fees |
38,186 | |||
Audit and tax service fees |
36,026 | |||
Legal fees |
23,884 | |||
Printing and shareholder reporting fees |
20,939 | |||
Custodian fees (Note 2) |
20,701 | |||
Officer fees |
17,122 | |||
Distribution fees (Class A Shares) (Note 2) |
2,716 | |||
Distribution fees (Class C Shares) (Note 2) |
22,411 | |||
Other expenses |
26,339 | |||
Total expenses before waivers and/or reimbursements |
5,471,520 | |||
Less: waivers and/or reimbursements (Note 2) |
(281,576 | ) | ||
Net expenses after waivers and/or reimbursements |
5,189,944 | |||
Net investment income/(loss) |
9,374,766 | |||
NET REALIZED AND UNREALIZED GAIN/(LOSS) FROM INVESTMENTS |
||||
Net realized gain/(loss) from: |
||||
Investments |
(18,925 | ) | ||
Futures contracts |
7,061,493 | |||
Foreign currency transactions |
(1,763,516 | ) | ||
Forward foreign currency contracts |
(11,769,051 | ) | ||
Net change in unrealized appreciation/(depreciation) on: |
||||
Investments |
52,075 | |||
Futures contracts |
38,688,901 | |||
Foreign currency translations |
(2,709 | ) | ||
Forward foreign currency contracts |
(26,197 | ) | ||
Net realized and unrealized gain/(loss) from investments |
32,222,071 | |||
NET INCREASE/(DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS |
$ | 41,596,837 |
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 |
For the |
|||||||
INCREASE/(DECREASE) IN NET ASSETS FROM OPERATIONS: |
||||||||
Net investment income/(loss) |
$ | 9,374,766 | $ | 9,783,631 | ||||
Net realized gain/(loss) from investments, futures contracts, foreign currency transactions and forward foreign currency contracts |
(6,489,999 | ) | (5,805,613 | ) | ||||
Net change in unrealized appreciation/(depreciation) on investments, futures contracts, foreign currency translations and forward foreign currency contracts |
38,712,070 | (2,284,465 | ) | |||||
Net increase/(decrease) in net assets resulting from operations |
41,596,837 | 1,693,553 | ||||||
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS: |
||||||||
Class A |
$ | (80,502 | ) | $ | (56,337 | ) | ||
Class I |
(21,476,557 | ) | (15,883,994 | ) | ||||
Class C |
(194,878 | ) | (167,553 | ) | ||||
Net decrease in net assets from dividends and distributions to shareholders |
(21,751,937 | ) | (16,107,884 | ) | ||||
CAPITAL SHARE TRANSACTIONS: |
||||||||
Class A Shares |
||||||||
Proceeds from shares sold |
1,705,737 | 3,555,040 | ||||||
Proceeds from reinvestment of distributions |
58,480 | 35,007 | ||||||
Shares redeemed |
(1,138,717 | ) | (2,652,964 | ) | ||||
Total from Class A Shares |
625,500 | 937,083 | ||||||
Class I Shares |
||||||||
Proceeds from shares sold |
266,661,151 | 379,787,638 | ||||||
Proceeds from reinvestment of distributions |
12,529,698 | 10,506,767 | ||||||
Shares redeemed |
(139,983,812 | ) | (221,232,417 | ) | ||||
Total from Class I Shares |
139,207,037 | 169,061,988 | ||||||
Class C Shares |
||||||||
Proceeds from shares sold |
1,826,548 | 5,762,438 | ||||||
Proceeds from reinvestment of distributions |
122,506 | 108,350 | ||||||
Shares redeemed |
(818,405 | ) | (688,103 | ) | ||||
Total from Class C Shares |
1,130,649 | 5,182,685 | ||||||
Net increase/(decrease) in net assets from capital share transactions |
140,963,186 | 175,181,756 | ||||||
Total increase/(decrease) in net assets |
160,808,086 | 160,767,425 | ||||||
NET ASSETS: |
||||||||
Beginning of period |
504,014,711 | 343,247,286 | ||||||
End of period |
$ | 664,822,797 | $ | 504,014,711 |
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 |
For the |
|||||||
SHARE TRANSACTIONS: |
||||||||
Class A Shares |
||||||||
Shares sold |
148,961 | 304,780 | ||||||
Shares reinvested |
5,390 | 3,095 | ||||||
Shares redeemed |
(100,115 | ) | (231,142 | ) | ||||
Total Class A Shares |
54,236 | 76,733 | ||||||
Class I Shares |
||||||||
Shares sold |
23,304,721 | 32,917,512 | ||||||
Shares reinvested |
1,151,627 | 927,341 | ||||||
Shares redeemed |
(12,312,555 | ) | (19,386,275 | ) | ||||
Total Class I Shares |
12,143,793 | 14,458,578 | ||||||
Class C Shares |
||||||||
Shares sold |
163,280 | 491,570 | ||||||
Shares reinvested |
11,460 | 9,673 | ||||||
Shares redeemed |
(73,468 | ) | (61,266 | ) | ||||
Total Class C Shares |
101,272 | 439,977 | ||||||
Net increase/(decrease) in shares outstanding |
12,299,301 | 14,975,288 |
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 |
For the |
For The |
||||||||||
Per Share Operating Performance |
||||||||||||
Net asset value, beginning of period |
$ | 11.51 | $ | 11.94 | $ | 11.21 | ||||||
Net investment income/(loss)(2) |
0.17 | 0.23 | (0.06 | ) | ||||||||
Net realized and unrealized gain/(loss) from investments |
0.57 | (0.21 | ) | 0.79 | ||||||||
Net increase/(decrease) in net assets resulting from operations |
0.74 | 0.02 | 0.73 | |||||||||
Dividends and distributions to shareholders from: |
||||||||||||
Net investment income |
(0.10 | ) | (0.42 | ) | — | |||||||
Net realized capital gains |
(0.31 | ) | (0.03 | ) | — | |||||||
Total dividends and distributions to shareholders |
(0.41 | ) | (0.45 | ) | — | |||||||
Net asset value, end of period |
$ | 11.84 | $ | 11.51 | $ | 11.94 | ||||||
Total investment return/(loss)(3) |
6.79 | %(4) | 0.24 | % | 6.51 | %(4) | ||||||
Ratios/Supplemental Data |
||||||||||||
Net assets, end of period (000’s omitted) |
$ | 2,351 | $ | 1,661 | $ | 808 | ||||||
Ratio of expenses to average net assets with waivers and/or reimbursements (including interest expense)(6) |
2.04 | %(5) | 2.04 | % | 2.04 | %(5) | ||||||
Ratio of expenses to average net assets with waivers and/or reimbursements (excluding interest expense)(6) |
2.04 | %(5) | 2.04 | % | 2.04 | %(5) | ||||||
Ratio of expenses to average net assets without waivers and/or reimbursements (including interest expense)(6) |
2.13 | %(5) | 2.16 | % | 2.23 | %(5) | ||||||
Ratio of net investment income/(loss) to average net assets |
3.01 | %(5) | 1.99 | % | (0.87 | )%(5) | ||||||
Portfolio turnover rate(7) |
0 | %(4) | 0 | % | 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 excludes derivatives and 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 |
For the |
For the |
For the |
For the |
For the |
|||||||||||||||||||
Per Share Operating Performance |
||||||||||||||||||||||||
Net asset value, beginning of period |
$ | 11.54 | $ | 11.96 | $ | 11.98 | $ | 11.07 | $ | 10.94 | $ | 10.65 | ||||||||||||
Net investment income/(loss)(1) |
0.19 | 0.26 | (0.13 | ) | (0.21 | ) | (0.08 | ) | 0.02 | |||||||||||||||
Net realized and unrealized gain/(loss) from investments |
0.57 | (0.23 | ) | 1.29 | 2.21 | 1.38 | 1.09 | |||||||||||||||||
Net increase/(decrease) in net assets resulting from operations |
0.76 | 0.03 | 1.16 | 2.00 | 1.30 | 1.11 | ||||||||||||||||||
Dividends and distributions to shareholders from: |
||||||||||||||||||||||||
Net investment income |
(0.11 | ) | (0.42 | ) | (0.34 | ) | (0.17 | ) | (0.96 | ) | (0.36 | ) | ||||||||||||
Net realized capital gains |
(0.31 | ) | (0.03 | ) | (0.84 | ) | (0.92 | ) | (0.21 | ) | (0.46 | ) | ||||||||||||
Total dividends and distributions to shareholders |
(0.42 | ) | (0.45 | ) | (1.18 | ) | (1.09 | ) | (1.17 | ) | (0.82 | ) | ||||||||||||
Net asset value, end of period |
$ | 11.88 | $ | 11.54 | $ | 11.96 | $ | 11.98 | $ | 11.07 | $ | 10.94 | ||||||||||||
Total investment return/(loss)(2) |
6.97 | %(5) | 0.38 | % | 10.40 | % | 19.72 | % | 13.97 | % | 12.20 | % | ||||||||||||
Ratios/Supplemental Data |
||||||||||||||||||||||||
Net assets, end of period (000’s omitted) |
$ | 655,554 | $ | 496,775 | $ | 341,815 | $ | 94,948 | $ | 37,572 | $ | 28,242 | ||||||||||||
Ratio of expenses to average net assets with waivers and/or reimbursements (including interest expense)(3) |
1.79 | %(6) | 1.79 | % | 1.79 | % | 1.84 | % | 1.79 | % | 1.79 | % | ||||||||||||
Ratio of expenses to average net assets with waivers and/or reimbursements (excluding interest expense)(3) |
1.79 | %(6) | 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) |
1.88 | %(6) | 1.91 | % | 1.98 | % | 2.28 | % | 2.45 | % | 2.27 | % | ||||||||||||
Ratio of net investment income/(loss) to average net assets |
3.26 | %(6) | 2.24 | % | (1.12 | )% | (1.80 | )% | (0.76 | )% | 0.25 | % | ||||||||||||
Portfolio turnover rate(4) |
0 | %(5) | 0 | % | 0 | % | 0 | % | 0 | % | 0 | % |
(1) |
Calculated based on average shares outstanding for the period. |
(2) |
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. |
(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 A Shares. |
(4) |
Portfolio turnover rate excludes derivatives and is calculated for the Fund, as a whole, for the entire period. |
(5) |
Not Annualized |
(6) |
Annualized |
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 |
For the |
For The |
||||||||||
Per Share Operating Performance |
||||||||||||
Net asset value, beginning of period |
$ | 11.32 | $ | 11.85 | $ | 12.51 | ||||||
Net investment income/(loss)(2) |
0.13 | 0.14 | (0.18 | ) | ||||||||
Net realized and unrealized gain/(loss) from investments |
0.57 | (0.22 | ) | 0.70 | ||||||||
Net increase/(decrease) in net assets resulting from operations |
0.70 | (0.08 | ) | 0.52 | ||||||||
Dividends and distributions to shareholders from: |
||||||||||||
Net investment income |
(0.06 | ) | (0.42 | ) | (0.34 | ) | ||||||
Net realized capital gains |
(0.31 | ) | (0.03 | ) | (0.84 | ) | ||||||
Total dividends and distributions to shareholders |
(0.37 | ) | (0.45 | ) | (1.18 | ) | ||||||
Net asset value, end of period |
$ | 11.65 | $ | 11.32 | $ | 11.85 | ||||||
Total investment return/(loss)(3) |
6.48 | %(4) | (0.63 | )% | 4.84 | %(4) | ||||||
Ratios/Supplemental Data |
||||||||||||
Net assets, end of period (000’s omitted) |
$ | 6,917 | $ | 5,578 | $ | 624 | ||||||
Ratio of expenses to average net assets with waivers and/or reimbursements (including interest expense)(6) |
2.79 | %(5) | 2.79 | % | 2.79 | %(5) | ||||||
Ratio of expenses to average net assets with waivers and/or reimbursements (excluding interest expense)(6) |
2.79 | %(5) | 2.79 | % | 2.79 | %(5) | ||||||
Ratio of expenses to average net assets without waivers and/or reimbursements (including interest expense)(6) |
2.88 | %(5) | 2.91 | % | 2.98 | %(5) | ||||||
Ratio of net investment income/(loss) to average net assets |
2.26 | %(5) | 1.24 | % | (1.88 | )%(5) | ||||||
Portfolio turnover rate(7) |
0 | %(4) | 0 | % | 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 each 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 excludes derivatives and 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 29, 2024 (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 sixty-four 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 92.723 billion shares are currently classified into two hundred and thirty-four 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 29, 2024, and the period covered by these Notes to Consolidated Financial Statements is the six months ended February 29, 2024 (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 $149,335,820, which represented 22.46% of the Fund’s net assets. As of the end of the reporting period, the net assets of the Onshore Subsidiary were $97,626,365, which represented 14.68% 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
31
Abbey Capital Multi Asset Fund
Notes To Consolidated Financial Statements (Continued)
February 29, 2024 (Unaudited)
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. 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” or “Abbey Capital”) 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 |
$ | 523,473,005 | $ | 523,473,005 | $ | — | $ | — | ||||||||
Commodity Contracts |
||||||||||||||||
Futures Contracts |
9,074,687 | 9,074,687 | — | — | ||||||||||||
Equity Contracts |
||||||||||||||||
Futures Contracts |
40,925,489 | 40,925,489 | — | — | ||||||||||||
Foreign Currency Contracts |
||||||||||||||||
Forward Foreign Currency Contracts |
2,262,098 | — | 2,262,098 | — | ||||||||||||
Futures Contracts |
2,488,699 | 2,488,699 | — | — | ||||||||||||
Interest Rate Contracts |
||||||||||||||||
Futures Contracts |
1,313,044 | 1,313,044 | — | — | ||||||||||||
Total Assets |
$ | 579,537,022 | $ | 577,274,924 | $ | 2,262,098 | $ | — |
32
Abbey Capital Multi Asset Fund
Notes To Consolidated Financial Statements (Continued)
February 29, 2024 (Unaudited)
|
Total |
Level 1 |
Level 2 |
Level 3 |
||||||||||||
Commodity Contracts |
||||||||||||||||
Futures Contracts |
$ | (6,615,841 | ) | $ | (6,615,841 | ) | $ | — | $ | — | ||||||
Equity Contracts |
||||||||||||||||
Futures Contracts |
(533,877 | ) | (533,877 | ) | — | — | ||||||||||
Foreign Currency Contracts |
||||||||||||||||
Forward Foreign Currency Contracts |
(2,020,354 | ) | — | (2,020,354 | ) | — | ||||||||||
Futures Contracts |
(477,454 | ) | (477,454 | ) | — | — | ||||||||||
Interest Rate Contracts |
||||||||||||||||
Futures Contracts |
(1,420,300 | ) | (1,420,300 | ) | — | — | ||||||||||
Total Liabilities |
$ | (11,067,826 | ) | $ | (9,047,472 | ) | $ | (2,020,354 | ) | $ | — |
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 29, 2024 (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 |
Equity |
Interest |
Foreign |
Commodity |
Total |
||||||||||||||||||
Asset Derivatives |
||||||||||||||||||||||||
Forward Contracts (a) |
Unrealized appreciation on forward foreign currency contracts | $ | — | $ | — | $ | 2,262,098 | $ | — | $ | 2,262,098 | |||||||||||||
Futures Contracts (a) |
Unrealized appreciation on futures contracts | 40,925,489 | 1,313,044 | 2,488,699 | 9,074,687 | 53,801,919 | ||||||||||||||||||
Total Value- Assets |
$ | 40,925,489 | $ | 1,313,044 | $ | 4,750,797 | $ | 9,074,687 | $ | 56,064,017 | ||||||||||||||
Liability Derivatives |
||||||||||||||||||||||||
Forward Contracts (a) |
Unrealized depreciation on forward foreign currency contracts | $ | — | $ | — | $ | (2,020,354 | ) | $ | — | $ | (2,020,354 | ) | |||||||||||
Futures Contracts (a) |
Unrealized depreciation on futures contracts | (533,877 | ) | (1,420,300 | ) | (477,454 | ) | (6,615,841 | ) | (9,047,472 | ) | |||||||||||||
Total Value- Liabilities |
$ | (533,877 | ) | $ | (1,420,300 | ) | $ | (2,497,808 | ) | $ | (6,615,841 | ) | $ | (11,067,826 | ) |
(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 |
Equity |
Interest |
Foreign |
Commodity |
Total |
||||||||||||||||||
Realized Gain/(Loss) |
||||||||||||||||||||||||
Futures Contracts |
Net realized gain/(loss) from Futures Contracts | $ | 20,550,455 | $ | (5,919,127 | ) | $ | (8,640,904 | ) | $ | 1,071,069 | $ | 7,061,493 | |||||||||||
Forward Contracts |
Net realized gain/(loss) from Forward Foreign Currency Contracts | — | — | (11,769,051 | ) | — | (11,769,051 | ) | ||||||||||||||||
Total Realized Gain/(Loss) |
$ | 20,550,455 | $ | (5,919,127 | ) | $ | (20,409,955 | ) | $ | 1,071,069 | $ | (4,707,558 | ) |
34
Abbey Capital Multi Asset Fund
Notes To Consolidated Financial Statements (Continued)
February 29, 2024 (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 |
Equity |
Interest |
Foreign |
Commodity |
Total |
||||||||||||||||||
Change in Unrealized Appreciation/(Depreciation) |
||||||||||||||||||||||||
Futures Contracts |
Net change in unrealized appreciation/(depreciation) on futures contracts | $ | 34,564,765 | $ | 3,177,783 | $ | (488,127 | ) | $ | 1,434,480 | $ | 38,688,901 | ||||||||||||
Forward Contracts |
Net change in unrealized appreciation/(depreciation) on forward foreign currency contracts | — | — | (26,197 | ) | — | (26,197 | ) | ||||||||||||||||
Total Change in Unrealized Appreciation/(Depreciation) |
$ | 34,564,765 | $ | 3,177,783 | $ | (514,324 | ) | $ | 1,434,480 | $ | 38,662,702 |
During the current fiscal period, the Fund’s quarterly average volume of derivatives was as follows:
Long Futures |
Short Futures |
Forward Foreign |
Forward Foreign |
$1,120,205,213 |
$(1,446,567,407) |
$(876,233,775) |
$876,196,432 |
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 29, 2024 (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 |
Gross Amount Not |
|||||||||||||||||||||||||||||||||||
Description |
Gross Amount |
Financial |
Collateral |
Net |
Gross Amount |
Financial |
Collateral |
Net |
||||||||||||||||||||||||||||
Assets |
Liabilities |
|||||||||||||||||||||||||||||||||||
Forward Foreign Currency Contracts |
$ | 2,262,098 | $ | (2,020,354 | ) | $ | — | $ | 241,744 | $ | 2,020,354 | $ | (2,020,354 | ) | $ | — | $ | — |
(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 (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 29, 2024 (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 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.
37
Abbey Capital Multi Asset Fund
Notes To Consolidated Financial Statements (Continued)
February 29, 2024 (Unaudited)
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.
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.
38
Abbey Capital Multi Asset Fund
Notes To Consolidated Financial Statements (Continued)
February 29, 2024 (Unaudited)
2. Investment Adviser and Other Services
Abbey Capital Limited 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, 2024 and may not be terminated without the approval of the Board. The Adviser may discontinue these arrangements at any time after December 31, 2024.
Advisory |
Expense Caps |
||
Class A |
Class I |
Class C |
|
1.77% |
2.04% |
1.79% |
2.79% |
During the current fiscal period, investment advisory fees accrued, waived and/or reimbursed were as follows:
Gross |
Waivers and/or |
Net |
$5,097,341 |
$(281,576) |
$4,815,765 |
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, |
August 31, |
August 31, |
August 31, |
Total |
$134,260 |
$312,567 |
$495,671 |
$281,576 |
$1,224,074 |
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.
39
Abbey Capital Multi Asset Fund
Notes To Consolidated Financial Statements (Continued)
February 29, 2024 (Unaudited)
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.
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.
40
Abbey Capital Multi Asset Fund
Notes To Consolidated Financial Statements (Continued)
February 29, 2024 (Unaudited)
As of August 31, 2023, the federal tax cost and aggregate gross unrealized appreciation and depreciation of investments held by the Fund were as follows(a):
Federal Tax |
Unrealized |
Unrealized |
Net |
$507,755,868 |
$580,444 |
$(41,621,827) |
$(41,041,383) |
(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, 2023, primarily attributable to disallowed book income from the Cayman Subsidiary, were reclassified to the following accounts:
Distributable |
Paid-In |
$21,434,269 |
$(21,434,269) |
As of August 31, 2023, the components of distributable earnings on a tax basis were as follows:
Undistributed |
Undistributed |
Net Unrealized |
Capital Loss |
Qualified |
Other |
$13,459,720 |
$8,291,236 |
$(26,828,220) |
$— |
$— |
$— |
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, 2023 was as follows:
Ordinary |
Long-Term |
Total |
$16,071,575 |
$36,309 |
$16,107,884 |
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, 2023, 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
41
Abbey Capital Multi Asset Fund
Notes To Consolidated Financial Statements (Concluded)
February 29, 2024 (Unaudited)
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 2022, the SEC adopted a final rule relating to tailored shareholder reports for mutual funds and exchange-traded funds and fee information in investment company advertisements. Beginning in July 2024, the Fund will be required to transmit concise and visually engaging shareholder reports that highlight key information. The Fund will also be required to tag information in a structured data format and that certain more in-depth information be made available online and available for delivery free of charge to investors on request.
In December 2022, the FASB issued an Accounting Standards Update, ASU 2022-06, Reference Rate Reform (Topic 848) – Deferral of the Sunset Date of Topic 848 (“ASU 2022-06”). ASU 2022-06 is an amendment to ASU 2020-04, which provided optional guidance to ease the potential accounting burden due to the discontinuation of the London Inter-Bank Offered Rate and other interbank-offered based reference rates and which was effective as of March 12, 2020 through December 31, 2022. ASU 2022-06 extends the effective period through December 31, 2024. Management is currently evaluating the impact, if any, of applying ASU 2022-06.
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 was the following subsequent event:
Effective April 4, 2024 (subsequent to the end of the reporting period), Graham Capital Management L.P. (“GCM”) serves as a Trading Adviser to the Fund.
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.
Approval of New Trading 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 a new Trading Advisory Agreement (the “Graham Trading Advisory Agreement”) by and among Abbey Capital, the Onshore Subsidiary, the SPC and Graham Capital Management, LP (“Graham”) at a meeting of the Board held on November 15-16, 2023 (the “Meeting”). At the Meeting, the Board, including all of the Independent Directors, approved the Graham Trading Advisory Agreement for an initial period ending August 16, 2025. The Board’s decision to approve the Graham Trading Advisory Agreement reflects the exercise of its business judgment. In approving the Graham Trading Advisory Agreement, the Board considered information provided by Abbey Capital and Graham, with the assistance and advice of counsel to the Independent Directors and the Company.
In considering the approval of the proposed Graham Trading Advisory Agreement, the Board took into account all 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 Abbey Capital, and discussed the Graham Trading Advisory Agreement with counsel in executive sessions, at which no representatives of Abbey Capital or Graham were present. The Directors considered whether approval of the Graham Trading Advisory Agreement would be in the best interests of the Fund and its shareholders and the overall fairness of the Graham Trading Advisory Agreement. The Directors noted their familiarity with Graham given Graham’s current service as a Trading Adviser of the Abbey Capital Futures Strategy Fund, another series of the Company. Among other things, the Board considered (i) the nature, extent, and quality of services to be provided to the Fund by Graham; (ii) descriptions of the experience and qualifications of the personnel providing those services; (iii) Graham’s investment philosophies and processes; (iv) Graham’s assets under management and client descriptions; (v) Graham’s trade execution and trade allocation policies; (vi) Graham’s advisory fee arrangements with the Company and other similarly managed clients, as applicable; (vii) Graham’s compliance procedures; and (viii) Graham’s financial information and insurance coverage.
The Directors concluded that Graham had substantial resources to provide services to the Fund. The Board also considered the fees payable to Graham under the proposed Graham Trading Advisory Agreement and the services to be provided by Graham. In this regard, the Board noted that the fees for Graham were payable by Abbey Capital.
After reviewing the information regarding Abbey Capital’s and Graham’s costs, profitability and economies of scale, and after considering the services to be provided by Graham, the Board concluded that the trading advisory fees to be paid by Abbey Capital to Graham were fair and reasonable, that the Graham Trading Advisory Agreement is in the best interests of the Fund and its shareholders and does not involve a conflict of interest from which Abbey Capital derives an inappropriate advantage, and that the Graham Trading Advisory Agreement should be approved for an initial period ending August 16, 2025.
43
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Investment Adviser
Abbey Capital Limited
8 St. Stephen’s Green
Dublin 2, Ireland
Administrator and Transfer Agent
U.S. Bank Global Fund Services
P.O. Box 701
Milwaukee, WI 53201
Principal Underwriter
Quasar Distributors, LLC
3 Canal Plaza, Suite 100
Portland, ME 04101
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-SAR24
ADARA SMALLER COMPANIES FUND
of
The RBB Fund, Inc.
SEMI-ANNUAL REPORT
February 29, 2024
(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 29, 2024 (UNAUDITED)
Average Annual Total Returns for the Periods Ended February 29, 2024 |
||||||
Six |
One |
Three |
Five |
Since |
||
Adara Smaller Companies Fund |
8.41% |
10.43% |
0.58% |
10.46% |
10.72%* |
|
Russell 2000® Index |
8.97% |
10.05% |
-0.94% |
6.89% |
8.24%** |
† |
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, 2023, are 0.82% 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 29, 2024 (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, 2023 through February 29, 2024 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 |
Ending |
Expenses Paid |
Annualized |
Actual Six Month |
||||||||||||||||
Class I Shares |
||||||||||||||||||||
Actual |
$ | 1,000.00 | $ | 1,084.10 | $ | 4.20 | 0.81 | % | 8.41 | % | ||||||||||
Hypothetical (5% return before expenses) |
1,000.00 | 1,020.84 | 4.07 | 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 (182) in the most recent fiscal half-year, then divided by 366 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 29, 2024 (UNAUDITED)
The following table presents a summary by security type of the portfolio holdings of the Fund:
|
Value |
% of Net |
||||||
Common Stocks |
$ | 501,860,311 | 94.3 | % | ||||
Money Market Funds |
40,778,734 | 7.7 | ||||||
Liabilities in Excess of Other Assets |
(10,593,858 | ) | (2.0 | ) | ||||
532,045,187 | 100.0 | % | ||||||
The accompanying notes are an integral part of the financial statements.
3
ADARA SMALLER COMPANIES FUND
Schedule of Investments
as of FEBRUARY 29, 2024 (UNAUDITED)
Shares |
Value |
|||||||
COMMON STOCKS — 94.3% |
||||||||
Aerospace/Defense — 1.2% |
||||||||
AAR Corp.(a) |
22,421 | $ 1,497,275 | ||||||
Aerovironment, Inc.(a) |
11,747 | 1,489,402 | ||||||
Curtiss-Wright Corp. |
2,004 | 473,485 | ||||||
Hexcel Corp. |
14,745 | 1,097,913 | ||||||
Kratos Defense & Security Solutions, Inc.(a) |
59,647 | 1,087,961 | ||||||
Mercury Systems, Inc.(a) |
2,290 | 68,402 | ||||||
Moog, Inc. - Class A |
1,762 | 264,212 | ||||||
National Presto Industries, Inc. |
615 | 47,558 | ||||||
Triumph Group, Inc.(a) |
39,698 | 551,802 | ||||||
6,578,010 | ||||||||
Agriculture — 0.6% |
||||||||
Alico, Inc. |
68,790 | 1,906,170 | ||||||
Darling Ingredients, Inc.(a) |
8,943 | 378,378 | ||||||
Vector Group Ltd. |
9,371 | 104,580 | ||||||
Vital Farms, Inc.(a) |
44,920 | 807,213 | ||||||
3,196,341 | ||||||||
Airlines — 0.2% |
||||||||
Alaska Air Group, Inc.(a) |
5,261 | 196,709 | ||||||
Allegiant Travel Co. |
5,409 | 393,667 | ||||||
SkyWest, Inc.(a) |
8,137 | 522,558 | ||||||
Sun Country Airlines Holdings, Inc.(a) |
4,660 | 69,900 | ||||||
1,182,834 | ||||||||
Apparel — 1.0% |
||||||||
Capri Holdings, Ltd.(a) |
5,836 | 269,215 | ||||||
Crocs, Inc.(a) |
8,873 | 1,084,724 | ||||||
Hanesbrands, Inc.(a) |
26,344 | 142,258 | ||||||
Kontoor Brands, Inc. |
4,168 | 246,370 | ||||||
Lakeland Industries, Inc. |
178,780 | 3,221,616 | ||||||
Skechers USA, Inc. - Class A(a) |
3,666 | 226,595 | ||||||
5,190,778 | ||||||||
Auto Manufacturers — 0.9% |
||||||||
Blue Bird Corp.(a) |
59,842 | 2,025,053 | ||||||
REV Group, Inc. |
69,547 | 1,435,450 | ||||||
Wabash National Corp. |
56,850 | 1,550,868 | ||||||
5,011,371 | ||||||||
Auto Parts & Equipment — 1.6% |
||||||||
Cooper-Standard Holdings, Inc.(a) |
98,370 | 1,383,082 | ||||||
Dorman Products, Inc.(a) |
1,368 | 128,893 | ||||||
Fox Factory Holding Corp.(a) |
664 | 33,592 | ||||||
Gentherm, Inc.(a) |
4,376 | 248,819 | ||||||
Luminar Technologies, Inc.(a) |
36,337 | 86,845 | ||||||
Miller Industries, Inc. |
53,890 | 2,425,589 | ||||||
Motorcar Parts of America, Inc.(a) |
268,650 | 2,415,164 | ||||||
Shyft Group, Inc. |
5,119 | 52,777 | ||||||
Strattec Security Corp.(a) |
66,980 | 1,707,990 | ||||||
8,482,751 |
Shares |
Value |
|||||||
Banks — 8.3% |
||||||||
Ameris Bancorp |
2,245 | $ | 104,011 | |||||
Bancorp, Inc.(a) |
29,949 | 1,336,923 | ||||||
Bankwell Financial Group, Inc. |
43,640 | 1,111,511 | ||||||
Banner Corp. |
1,733 | 75,975 | ||||||
Cadence Bank |
22,282 | 616,766 | ||||||
Cambridge Bancorp |
1,098 | 69,459 | ||||||
Capital Bancorp, Inc. |
62,030 | 1,277,198 | ||||||
Central Pacific Financial Corp. |
3,784 | 70,609 | ||||||
City Holding Co. |
4,208 | 422,820 | ||||||
Civista Bancshares, Inc. |
106,460 | 1,599,029 | ||||||
Colony Bankcorp, Inc. |
164,697 | 1,867,664 | ||||||
Community Bank System, Inc. |
1,997 | 90,464 | ||||||
ConnectOne Bancorp, Inc. |
5,049 | 99,920 | ||||||
Customers Bancorp, Inc.(a) |
40,026 | 2,173,812 | ||||||
Dime Community Bancshares, Inc. |
1,047 | 19,621 | ||||||
Esquire Financial Holdings, Inc. |
35,005 | 1,777,554 | ||||||
Farmers National Bancorp |
113,640 | 1,531,867 | ||||||
First BanCorp |
40,525 | 688,115 | ||||||
First Business Financial Services, Inc. |
57,829 | 2,040,207 | ||||||
First Commonwealth Financial Corp. |
18,699 | 243,648 | ||||||
First Financial Bancorp |
24,036 | 521,581 | ||||||
First Financial Bankshares, Inc. |
13,162 | 407,232 | ||||||
First Hawaiian, Inc. |
13,502 | 283,002 | ||||||
First Interstate BancSystem, Inc. - Class A |
7,996 | 210,455 | ||||||
First Merchants Corp. |
2,329 | 77,323 | ||||||
First Northwest Bancorp |
83,950 | 1,316,336 | ||||||
Five Star Bancorp |
70,610 | 1,675,575 | ||||||
Glacier Bancorp, Inc. |
5,291 | 197,989 | ||||||
Heartland Financial USA, Inc. |
3,173 | 107,882 | ||||||
Heritage Commerce Corp. |
7,938 | 65,806 | ||||||
Hope Bancorp, Inc. |
27,648 | 303,299 | ||||||
Horizon Bancorp, Inc. |
125,947 | 1,516,402 | ||||||
Independent Bank Corp. |
1,193 | 62,239 | ||||||
Kearny Financial Corp. |
6,475 | 41,181 | ||||||
Lakeland Bancorp, Inc. |
5,796 | 67,697 | ||||||
Live Oak Bancshares, Inc. |
10,197 | 405,025 | ||||||
Metropolitan Bank Holding Corp.(a) |
68,996 | 2,705,333 | ||||||
Midland States Bancorp, Inc. |
2,458 | 59,852 | ||||||
NBT Bancorp, Inc. |
1,326 | 45,601 | ||||||
Northeast Bank |
58,560 | 3,126,518 | ||||||
OFG Bancorp |
7,960 | 288,311 | ||||||
Old National Bancorp |
10,450 | 171,694 | ||||||
Orrstown Financial Services, Inc. |
71,086 | 1,915,768 | ||||||
Park National Corp. |
737 | 94,712 | ||||||
Parke Bancorp, Inc. |
115,981 | 2,000,672 | ||||||
Pinnacle Financial Partners, Inc. |
6,397 | 529,160 | ||||||
Preferred Bank |
1,314 | 94,411 | ||||||
Premier Financial Corp. |
6,412 | 124,265 |
The accompanying notes are an integral part of the financial statements.
4
ADARA SMALLER COMPANIES FUND
Schedule of Investments (Continued)
as of FEBRUARY 29, 2024 (UNAUDITED)
Shares |
Value |
|||||||
Banks — (Continued) |
||||||||
S&T Bancorp, Inc. |
8,702 | $ | 271,415 | |||||
Sandy Spring Bancorp, Inc. |
9,705 | 213,316 | ||||||
Seacoast Banking Corp. of Florida |
26,691 | 644,321 | ||||||
Southside Bancshares, Inc. |
4,513 | 129,343 | ||||||
Stellar Bancorp, Inc. |
2,051 | 48,609 | ||||||
Stock Yards Bancorp, Inc. |
1,084 | 49,658 | ||||||
TriCo Bancshares |
3,184 | 106,377 | ||||||
Triumph Bancorp, Inc.(a) |
11,168 | 837,600 | ||||||
UMB Financial Corp. |
3,164 | 258,214 | ||||||
United Community Banks, Inc. |
12,730 | 331,107 | ||||||
Unity Bancorp, Inc. |
72,830 | 1,994,085 | ||||||
USCB Financial Holdings, Inc. |
147,860 | 1,614,631 | ||||||
Veritex Holdings, Inc. |
11,815 | 231,928 | ||||||
Walker & Dunlop, Inc. |
1,925 | 183,607 | ||||||
Washington Trust Bancorp, Inc. |
5,029 | 129,446 | ||||||
WesBanco, Inc. |
6,869 | 199,064 | ||||||
West Bancorporation, Inc. |
68,770 | 1,196,598 | ||||||
44,071,813 | ||||||||
Beverages — 0.4% |
||||||||
Celsius Holdings, Inc.(a) |
11,365 | 927,611 | ||||||
Coca-Cola Consolidated, Inc. |
279 | 234,583 | ||||||
Duckhorn Portfolio, Inc.(a) |
14,133 | 134,405 | ||||||
MGP Ingredients, Inc. |
931 | 79,303 | ||||||
Vita Coco Co., Inc.(a) |
25,056 | 653,962 | ||||||
2,029,864 | ||||||||
Biotechnology — 5.5% |
||||||||
4D Molecular Therapeutics, Inc.(a) |
3,970 | 111,239 | ||||||
ADMA Biologics, Inc.(a) |
167,983 | 900,389 | ||||||
Aerovate Therapeutics, Inc.(a) |
11,565 | 266,920 | ||||||
Allogene Therapeutics, Inc.(a) |
11,239 | 55,183 | ||||||
ANI Pharmaceuticals, Inc.(a) |
5,276 | 357,027 | ||||||
Apogee Therapeutics, Inc.(a) |
32,834 | 1,143,280 | ||||||
Astria Therapeutics, Inc.(a) |
52,401 | 745,142 | ||||||
Autolus Therapeutics PLC - ADR(a) |
48,359 | 290,154 | ||||||
Biohaven Ltd.(a) |
20,750 | 998,905 | ||||||
Biomea Fusion, Inc.(a) |
32,127 | 562,223 | ||||||
Cassava Sciences, Inc.(a) |
2,228 | 51,199 | ||||||
CG oncology, Inc.(a) |
17,169 | 767,626 | ||||||
Crinetics Pharmaceuticals, Inc.(a) |
102,551 | 4,198,438 | ||||||
Cytokinetics, Inc.(a) |
5,803 | 419,209 | ||||||
Day One Biopharmaceuticals, Inc.(a) |
77,140 | 1,290,552 | ||||||
Denali Therapeutics, Inc.(a) |
17,031 | 336,873 | ||||||
Edgewise Therapeutics, Inc.(a) |
49,550 | 809,151 | ||||||
Fate Therapeutics, Inc.(a) |
10,740 | 76,147 | ||||||
Fusion Pharmaceuticals, Inc.(a) |
27,079 | 323,865 | ||||||
Halozyme Therapeutics, Inc.(a) |
21,817 | 868,535 | ||||||
Ideaya Biosciences, Inc.(a) |
36,133 | 1,615,145 |
Shares |
Value |
|||||||
Biotechnology — (Continued) |
||||||||
Immunocore Holdings PLC - ADR(a) |
8,757 | $ | 588,646 | |||||
Intra-Cellular Therapies, Inc.(a) |
5,393 | 374,921 | ||||||
Janux Therapeutics, Inc.(a) |
13,666 | 661,161 | ||||||
Keros Therapeutics, Inc.(a) |
1,506 | 101,655 | ||||||
Kiniksa Pharmaceuticals Ltd. - Class A(a) |
44,566 | 942,125 | ||||||
Larimar Therapeutics, Inc.(a) |
49,676 | 571,274 | ||||||
Ligand Pharmaceuticals, Inc.(a) |
978 | 77,604 | ||||||
Maravai LifeSciences Holdings, Inc. - Class A(a) |
23,936 | 185,025 | ||||||
Myriad Genetics, Inc.(a) |
2,914 | 60,990 | ||||||
Neumora Therapeutics, Inc.(a) |
25,277 | 445,634 | ||||||
Nuvalent, Inc. - Class A(a) |
19,015 | 1,599,542 | ||||||
OmniAb Operations, Inc.(a)(b) |
370 | 0 | ||||||
OmniAb Operations, Inc.(a)(b) |
370 | 0 | ||||||
Praxis Precision Medicines, Inc.(a) |
7,893 | 369,235 | ||||||
Prothena Corp. PLC(a) |
5,422 | 149,593 | ||||||
Roivant Sciences Ltd.(a) |
32,797 | 375,198 | ||||||
Sage Therapeutics, Inc.(a) |
9,390 | 201,697 | ||||||
Structure Therapeutics, Inc. - ADR(a) |
55,790 | 2,263,400 | ||||||
Tarsus Pharmaceuticals, Inc.(a) |
11,528 | 440,600 | ||||||
Theravance Biopharma, Inc.(a) |
6,387 | 60,485 | ||||||
Vera Therapeutics, Inc.(a) |
14,182 | 667,689 | ||||||
Vericel Corp.(a) |
1,632 | 74,550 | ||||||
Xenon Pharmaceuticals, Inc.(a) |
63,492 | 2,996,822 | ||||||
29,395,048 | ||||||||
Building Materials — 3.3% |
||||||||
AAON, Inc. |
6,180 | 518,996 | ||||||
American Woodmark Corp.(a) |
1,043 | 104,550 | ||||||
Apogee Enterprises, Inc. |
7,722 | 441,776 | ||||||
Armstrong World Industries, Inc. |
11,691 | 1,410,051 | ||||||
Aspen Aerogels, Inc.(a) |
75,199 | 1,291,919 | ||||||
AZEK Co., Inc.(a) |
19,230 | 925,155 | ||||||
Boise Cascade Co. |
3,571 | 485,335 | ||||||
Gibraltar Industries, Inc.(a) |
20,782 | 1,609,566 | ||||||
Knife River Corp.(a) |
18,452 | 1,367,109 | ||||||
MDU Resources Group, Inc. |
59,745 | 1,295,271 | ||||||
Modine Manufacturing Co.(a) |
47,184 | 4,232,877 | ||||||
PGT Innovations, Inc.(a) |
6,101 | 254,839 | ||||||
Simpson Manufacturing Co., Inc. |
2,069 | 431,759 | ||||||
SPX Technologies, Inc.(a) |
4,521 | 529,816 | ||||||
Summit Materials, Inc. - Class A(a) |
38,765 | 1,655,653 | ||||||
UFP Industries, Inc. |
8,103 | 928,847 | ||||||
17,483,519 | ||||||||
Chemicals — 0.3% |
||||||||
AdvanSix, Inc. |
3,917 | 109,598 | ||||||
Balchem Corp. |
1,142 | 179,511 | ||||||
Chemours Co. |
9,276 | 182,459 | ||||||
Ingevity Corp.(a) |
1,139 | 52,029 |
The accompanying notes are an integral part of the financial statements.
5
ADARA SMALLER COMPANIES FUND
Schedule of Investments (Continued)
as of FEBRUARY 29, 2024 (UNAUDITED)
Shares |
Value |
|||||||
Chemicals — (Continued) |
||||||||
Innospec, Inc. |
1,121 | $ | 139,307 | |||||
Koppers Holdings, Inc. |
7,974 | 451,488 | ||||||
Perimeter Solutions SA(a) |
31,536 | 191,739 | ||||||
Quaker Chemical Corp. |
568 | 113,884 | ||||||
Rogers Corp.(a) |
1,868 | 209,347 | ||||||
Sensient Technologies Corp. |
1,928 | 128,944 | ||||||
Stepan Co. |
2,701 | 240,929 | ||||||
1,999,235 | ||||||||
Coal — 0.2% |
||||||||
Warrior Met Coal, Inc. |
19,811 | 1,128,633 | ||||||
Commercial Services — 7.4% |
||||||||
Acacia Research Corp.(a) |
320,940 | 1,296,598 | ||||||
Adtalem Global Education, Inc.(a) |
12,123 | 600,089 | ||||||
Alight, Inc. - Class A(a) |
135,913 | 1,224,576 | ||||||
AMN Healthcare Services, Inc.(a) |
3,294 | 185,353 | ||||||
ARC Document Solutions, Inc. |
446,350 | 1,209,608 | ||||||
Arlo Technologies, Inc.(a) |
168,467 | 1,753,741 | ||||||
Barrett Business Services, Inc. |
32,449 | 3,958,454 | ||||||
BGSF, Inc. |
165,900 | 1,697,157 | ||||||
BrightView Holdings, Inc.(a) |
6,056 | 52,748 | ||||||
Brink’s Co. |
4,054 | 335,793 | ||||||
Cleanspark, Inc.(a) |
72,883 | 1,218,604 | ||||||
CoreCivic, Inc.(a) |
175,393 | 2,671,235 | ||||||
CorVel Corp.(a) |
432 | 105,408 | ||||||
CRA International, Inc. |
20,090 | 2,662,729 | ||||||
Cross Country Healthcare, Inc.(a) |
6,965 | 127,251 | ||||||
Deluxe Corp. |
4,893 | 94,973 | ||||||
EVERTEC, Inc. |
35,991 | 1,300,355 | ||||||
FTI Consulting, Inc.(a) |
2,359 | 488,030 | ||||||
GEO Group, Inc.(a) |
148,352 | 1,820,279 | ||||||
Heidrick & Struggles International, Inc. |
2,031 | 69,054 | ||||||
Herc Holdings, Inc. |
5,204 | 825,771 | ||||||
Huron Consulting Group, Inc.(a) |
8,696 | 853,338 | ||||||
Insperity, Inc. |
2,292 | 233,303 | ||||||
Kelly Services, Inc. - Class A |
37,611 | 922,598 | ||||||
Lincoln Educational Services Corp.(a) |
161,840 | 1,628,110 | ||||||
MarketAxess Holdings, Inc. |
1,203 | 256,732 | ||||||
Matthews International Corp. - Class A |
5,499 | 159,141 | ||||||
Medifast, Inc. |
1,970 | 78,977 | ||||||
Mister Car Wash, Inc.(a) |
40,646 | 336,955 | ||||||
Monro Muffler Brake, Inc. |
9,687 | 325,193 | ||||||
Paysafe Ltd.(a) |
4,745 | 68,328 | ||||||
Perdoceo Education Corp. |
10,039 | 178,795 | ||||||
Performant Financial Corp.(a) |
94,404 | 274,716 | ||||||
Progyny, Inc.(a) |
10,066 | 367,610 | ||||||
Remitly Global, Inc.(a) |
26,926 | 555,214 | ||||||
Rent-A-Center, Inc. |
3,409 | 115,088 | ||||||
Repay Holdings Corp.(a) |
80,079 | 695,887 |
Shares |
Value |
|||||||
Commercial Services — (Continued) |
||||||||
Shift4 Payments, Inc. - Class A(a) |
9,155 | $ | 752,724 | |||||
SP Plus Corp.(a) |
18,035 | 927,179 | ||||||
Strategic Education, Inc. |
1,789 | 198,203 | ||||||
Stride, Inc.(a) |
29,446 | 1,759,398 | ||||||
Universal Technical Institute, Inc.(a) |
157,312 | 2,365,972 | ||||||
Viad Corp.(a) |
40,864 | 1,521,367 | ||||||
WillScot Mobile Mini Holdings Corp.(a) |
13,100 | 625,525 | ||||||
38,898,159 | ||||||||
Computers — 1.8% |
||||||||
3D Systems Corp.(a) |
35,092 | 145,281 | ||||||
ASGN, Inc.(a) |
2,386 | 236,978 | ||||||
CACI International, Inc. - Class A(a) |
1,145 | 429,203 | ||||||
Cantaloupe, Inc.(a) |
9,881 | 64,226 | ||||||
ExlService Holdings, Inc.(a) |
31,499 | 980,249 | ||||||
Globant S.A.(a) |
1,851 | 413,088 | ||||||
Grid Dynamics Holdings, Inc.(a) |
59,099 | 797,245 | ||||||
Insight Enterprises, Inc.(a) |
2,176 | 409,088 | ||||||
MAXIMUS, Inc. |
10,626 | 888,971 | ||||||
NCR Atleos Corp.(a) |
23,729 | 516,343 | ||||||
NCR Voyix Corp.(a) |
47,459 | 693,376 | ||||||
One Stop Systems, Inc.(a) |
185,588 | 606,873 | ||||||
Quantum Corp.(a) |
447,440 | 216,024 | ||||||
Rapid7, Inc.(a) |
14,514 | 850,230 | ||||||
Rimini Street, Inc.(a) |
394,110 | 1,272,975 | ||||||
Science Applications International Corp. |
1,681 | 235,273 | ||||||
Thoughtworks Holding, Inc.(a) |
24,590 | 76,721 | ||||||
Varonis Systems, Inc.(a) |
10,707 | 543,916 | ||||||
WNS Holdings Ltd. - ADR(a) |
6,440 | 371,588 | ||||||
9,747,648 | ||||||||
Cosmetics/Personal Care — 0.8% |
||||||||
elf Beauty, Inc.(a) |
13,436 | 2,801,809 | ||||||
Inter Parfums, Inc. |
8,970 | 1,316,078 | ||||||
4,117,887 | ||||||||
Distribution/Wholesale — 1.3% |
||||||||
G-III Apparel Group Ltd.(a) |
19,012 | 632,529 | ||||||
H&E Equipment Services, Inc. |
21,300 | 1,203,237 | ||||||
Hudson Technologies, Inc.(a) |
103,108 | 1,510,532 | ||||||
Manitex International, Inc.(a) |
311,230 | 2,128,813 | ||||||
MRC Global, Inc.(a) |
7,000 | 80,710 | ||||||
Pool Corp. |
2,106 | 838,441 | ||||||
SiteOne Landscape Supply, Inc.(a) |
2,007 | 338,140 | ||||||
WESCO International, Inc. |
371 | 55,461 | ||||||
6,787,863 | ||||||||
Diversified Financial Services — 1.8% |
||||||||
B Riley Financial, Inc. |
2,846 | 52,167 | ||||||
Encore Capital Group, Inc.(a) |
3,458 | 165,984 | ||||||
Enova International, Inc.(a) |
3,612 | 228,459 | ||||||
Evercore, Inc. - Class A |
5,967 | 1,116,306 |
The accompanying notes are an integral part of the financial statements.
6
ADARA SMALLER COMPANIES FUND
Schedule of Investments (Continued)
as of FEBRUARY 29, 2024 (UNAUDITED)
Shares |
Value |
|||||||
Diversified Financial Services — (Continued) |
||||||||
FTAI Aviation Ltd. |
47,040 | $ | 2,647,882 | |||||
Houlihan Lokey, Inc. |
7,333 | 943,464 | ||||||
Interactive Brokers Group, Inc. - Class A |
3,063 | 333,010 | ||||||
PJT Partners, Inc. - Class A |
14,165 | 1,492,991 | ||||||
Radian Group, Inc. |
25,687 | 748,519 | ||||||
Silvercrest Asset Management Group, Inc. - Class A |
89,226 | 1,496,320 | ||||||
Virtus Investment Partners, Inc. |
807 | 187,482 | ||||||
World Acceptance Corp.(a) |
2,155 | 258,083 | ||||||
9,670,667 | ||||||||
Electric — 0.7% |
||||||||
Northwestern Energy Group, Inc. |
25,950 | 1,243,524 | ||||||
PNM Resources, Inc. |
29,577 | 1,079,856 | ||||||
Talen Energy Corp.(a) |
13,605 | 1,017,654 | ||||||
Unitil Corp. |
2,272 | 115,781 | ||||||
3,456,815 | ||||||||
Electrical Components & Equipment — 0.3% |
||||||||
American Superconductor Corp.(a) |
59,074 | 794,545 | ||||||
Encore Wire Corp. |
1,278 | 307,998 | ||||||
Littelfuse, Inc. |
1,079 | 257,061 | ||||||
1,359,604 | ||||||||
Electronics — 3.3% |
||||||||
Applied Optoelectronics, Inc.(a) |
119,806 | 1,914,500 | ||||||
Atkore International Group, Inc. |
17,490 | 2,962,806 | ||||||
Badger Meter, Inc. |
2,217 | 351,816 | ||||||
Benchmark Electronics, Inc. |
4,446 | 136,537 | ||||||
Brady Corp. - Class A |
5,362 | 312,497 | ||||||
Camtek Ltd. (Israel)(a) |
50,417 | 4,012,689 | ||||||
Coherent Corp.(a) |
3,416 | 203,184 | ||||||
Comtech Telecommunications Corp.(a) |
144,150 | 974,454 | ||||||
Enovix Corp.(a) |
61,222 | 596,914 | ||||||
ESCO Technologies, Inc. |
1,920 | 195,629 | ||||||
Itron, Inc.(a) |
4,655 | 431,425 | ||||||
Ituran Location and Control Ltd. |
17,893 | 467,365 | ||||||
Kimball Electronics, Inc.(a) |
119,020 | 2,679,140 | ||||||
Knowles Corp.(a) |
7,352 | 120,132 | ||||||
OSI Systems, Inc.(a) |
1,136 | 149,020 | ||||||
Plexus Corp.(a) |
2,641 | 249,310 | ||||||
Sanmina Corp.(a) |
6,648 | 420,154 | ||||||
SYNNEX Corp. |
830 | 86,237 | ||||||
TTM Technologies, Inc.(a) |
8,548 | 126,938 | ||||||
Vontier Corp. |
33,766 | 1,451,938 | ||||||
17,842,685 | ||||||||
Energy-Alternate Sources — 0.1% |
||||||||
Array Technologies, Inc.(a) |
44,127 | 601,892 | ||||||
REX American Resources Corp.(a) |
2,520 | 110,830 | ||||||
SolarEdge Technologies, Inc.(a) |
1,052 | 70,663 | ||||||
783,385 |
Shares |
Value |
|||||||
Engineering & Construction — 2.8% |
||||||||
Bowman Consulting Group Ltd.(a) |
97,470 | $ | 3,174,598 | |||||
Comfort Systems USA, Inc. |
4,006 | 1,224,754 | ||||||
Construction Partners, Inc. - Class A(a) |
21,631 | 1,040,018 | ||||||
EMCOR Group, Inc. |
4,741 | 1,486,398 | ||||||
Exponent, Inc. |
8,612 | 696,625 | ||||||
Mistras Group, Inc.(a) |
109,200 | 944,580 | ||||||
MYR Group, Inc.(a) |
12,230 | 1,986,886 | ||||||
Shimmick Corp.(a) |
130,980 | 791,119 | ||||||
Sterling Construction Co., Inc.(a) |
23,226 | 2,476,821 | ||||||
TopBuild Corp.(a) |
2,707 | 1,089,243 | ||||||
14,911,042 | ||||||||
Entertainment — 0.4% |
||||||||
Atlanta Braves Holdings, Inc. - Class A(a) |
1,183 | 49,627 | ||||||
Bally’s Corp.(a) |
4,405 | 49,512 | ||||||
Cinemark Holdings, Inc.(a) |
7,468 | 130,018 | ||||||
Genius Sports Ltd.(a) |
118,058 | 839,392 | ||||||
Monarch Casino & Resort, Inc. |
3,215 | 226,175 | ||||||
Scientific Games Corp. - Class A(a) |
6,167 | 619,845 | ||||||
1,914,569 | ||||||||
Environmental Control — 0.4% |
||||||||
CECO Environmental Corp.(a) |
25,329 | 573,702 | ||||||
Montrose Environmental Group, Inc.(a) |
15,472 | 640,232 | ||||||
PureCycle Technologies, Inc.(a) |
15,408 | 89,212 | ||||||
Tetra Tech, Inc. |
3,198 | 567,069 | ||||||
1,870,215 | ||||||||
Food — 0.7% |
||||||||
B&G Foods, Inc. |
8,579 | 99,088 | ||||||
Grocery Outlet Holding Corp.(a) |
15,198 | 391,957 | ||||||
Ingles Markets, Inc. - Class A |
15,607 | 1,201,895 | ||||||
J&J Snack Foods Corp. |
578 | 83,856 | ||||||
John B Sanfilippo & Son, Inc. |
1,789 | 183,140 | ||||||
Nomad Foods Ltd. |
28,389 | 523,209 | ||||||
Real Good Food Co., Inc.(a) |
48,654 | 56,439 | ||||||
SpartanNash Co. |
7,719 | 162,639 | ||||||
Sprouts Farmers Market, Inc.(a) |
12,382 | 773,132 | ||||||
United Natural Foods, Inc.(a) |
8,258 | 128,907 | ||||||
Weis Markets, Inc. |
1,995 | 129,555 | ||||||
Whole Earth Brands, Inc.(a) |
129,719 | 620,057 | ||||||
3,830,665 | ||||||||
Gas — 0.2% |
||||||||
Southwest Gas Holdings, Inc. |
17,560 | 1,196,714 | ||||||
Hand/Machine Tools — 0.5% |
||||||||
Franklin Electric Co., Inc. |
1,896 | 197,108 | ||||||
Hurco Cos., Inc. |
61,880 | 1,598,361 | ||||||
MSA Safety, Inc. |
4,693 | 864,216 | ||||||
2,659,685 |
The accompanying notes are an integral part of the financial statements.
7
ADARA SMALLER COMPANIES FUND
Schedule of Investments (Continued)
as of FEBRUARY 29, 2024 (UNAUDITED)
Shares |
Value |
|||||||
Healthcare-Products — 3.7% |
||||||||
ABIOMED Inc.(a)(b) |
1,453 | $ | 0 | |||||
Albireo Pharma Inc.(a)(b) |
1,908 | 0 | ||||||
Adaptive Biotechnologies Corp.(a) |
101,932 | 418,940 | ||||||
Alphatec Holdings, Inc.(a) |
156,876 | 2,106,845 | ||||||
Avanos Medical, Inc.(a) |
2,367 | 43,955 | ||||||
Brooks Automation, Inc.(a) |
2,595 | 169,064 | ||||||
CryoLife, Inc.(a) |
3,328 | 64,230 | ||||||
Embecta Corp. |
60,468 | 863,483 | ||||||
Envista Holdings Corp.(a) |
40,855 | 843,656 | ||||||
Glaukos Corp.(a) |
2,161 | 191,443 | ||||||
Haemonetics Corp.(a) |
3,260 | 237,915 | ||||||
ICU Medical, Inc.(a) |
1,637 | 178,809 | ||||||
Inari Medical, Inc.(a) |
11,073 | 510,687 | ||||||
Inmode Ltd.(a) |
20,097 | 442,134 | ||||||
Integra LifeSciences Holdings Corp.(a) |
3,088 | 113,978 | ||||||
LeMaitre Vascular, Inc. |
13,355 | 934,850 | ||||||
Masimo Corp.(a) |
2,530 | 325,206 | ||||||
Merit Medical Systems, Inc.(a) |
3,088 | 235,306 | ||||||
Omnicell, Inc.(a) |
2,230 | 58,515 | ||||||
OrthoPediatrics Corp.(a) |
1,874 | 51,460 | ||||||
Patterson Cos., Inc. |
32,899 | 891,234 | ||||||
PROCEPT BioRobotics Corp.(a) |
24,951 | 1,206,131 | ||||||
Pulmonx Corp.(a) |
5,099 | 47,013 | ||||||
Quanterix Corp.(a) |
26,006 | 623,104 | ||||||
Repligen Corp.(a) |
6,998 | 1,357,542 | ||||||
RxSight, Inc.(a) |
32,893 | 1,794,971 | ||||||
SI-BONE, Inc.(a) |
24,153 | 419,054 | ||||||
Stevanato Group SpA |
26,839 | 889,713 | ||||||
Surmodics, Inc.(a) |
2,311 | 73,721 | ||||||
Tandem Diabetes Care, Inc.(a) |
32,317 | 860,602 | ||||||
TransMedics Group, Inc.(a) |
27,288 | 2,226,701 | ||||||
Twist Bioscience Corp.(a) |
17,054 | 670,052 | ||||||
Varex Imaging Corp.(a) |
7,739 | 133,111 | ||||||
West Pharmaceutical Services, Inc. |
2,836 | 1,016,309 | ||||||
19,999,734 | ||||||||
Healthcare-Services — 0.8% |
||||||||
Amedisys, Inc.(a) |
2,182 | 202,970 | ||||||
Chemed Corp. |
621 | 388,827 | ||||||
Enhabit, Inc.(a) |
7,518 | 67,662 | ||||||
Ensign Group, Inc. |
2,982 | 372,511 | ||||||
Fulgent Genetics, Inc.(a) |
1,785 | 40,269 | ||||||
HealthEquity, Inc.(a) |
1,801 | 148,780 | ||||||
MEDNAX, Inc.(a) |
20,571 | 188,225 | ||||||
National HealthCare Corp. |
3,006 | 296,572 | ||||||
RadNet, Inc.(a) |
32,337 | 1,224,279 | ||||||
Surgery Partners, Inc.(a) |
35,009 | 1,086,329 | ||||||
US Physical Therapy, Inc. |
2,284 | 242,721 | ||||||
4,259,145 |
Shares |
Value |
|||||||
Home Builders — 1.9% |
||||||||
Beazer Homes USA, Inc.(a) |
32,660 | $ | 1,023,238 | |||||
Cavco Industries, Inc.(a) |
624 | 232,484 | ||||||
Century Communities, Inc. |
27,030 | 2,332,419 | ||||||
Installed Building Products, Inc. |
13,701 | 3,273,580 | ||||||
LCI Industries |
2,012 | 253,472 | ||||||
LGI Homes, Inc.(a) |
2,657 | 303,137 | ||||||
M/I Homes, Inc.(a) |
5,874 | 745,939 | ||||||
MDC Holdings, Inc. |
4,389 | 275,190 | ||||||
Skyline Corp.(a) |
10,639 | 891,442 | ||||||
Smith Douglas Homes Corp.(a) |
17,591 | 507,324 | ||||||
Winnebago Industries, Inc. |
5,231 | 375,219 | ||||||
10,213,444 | ||||||||
Home Furnishings — 0.8% |
||||||||
Arhaus, Inc.(a) |
80,766 | 1,067,726 | ||||||
Ethan Allen Interiors, Inc. |
3,342 | 111,723 | ||||||
Hamilton Beach Brands Holding Co. - Class A |
130,070 | 2,294,435 | ||||||
Universal Electronics, Inc.(a) |
113,690 | 999,335 | ||||||
4,473,219 | ||||||||
Household Products/Wares — 0.1% |
||||||||
Central Garden & Pet Co.(a) |
1,215 | 53,302 | ||||||
Central Garden & Pet Co. - Class A(a) |
303 | 11,420 | ||||||
Quanex Building Products Corp. |
1,957 | 67,673 | ||||||
WD-40 Co. |
1,574 | 422,446 | ||||||
554,841 | ||||||||
Housewares — 0.4% |
||||||||
Lifetime Brands, Inc. |
204,693 | 1,997,804 | ||||||
Newell Brands, Inc. |
9,194 | 68,955 | ||||||
2,066,759 | ||||||||
Insurance — 3.9% |
||||||||
American Equity Investment Life Holding Co.(a) |
7,985 | 443,487 | ||||||
Axis Capital Holdings Ltd. |
28,540 | 1,785,748 | ||||||
Donegal Group, Inc. - Class A |
2,108 | 29,512 | ||||||
Employers Holdings, Inc. |
3,627 | 165,790 | ||||||
Genworth Financial, Inc. - Class A(a) |
281,044 | 1,728,421 | ||||||
Goosehead Insurance, Inc. - Class A(a) |
17,625 | 1,333,331 | ||||||
HCI Group, Inc. |
22,181 | 2,165,309 | ||||||
Heritage Insurance Holdings, Inc.(a) |
420,893 | 2,929,415 | ||||||
James River Group Holdings Ltd. |
33,394 | 333,606 | ||||||
Mercury General Corp. |
30,566 | 1,488,259 | ||||||
NMI Holdings, Inc. - Class A(a) |
34,518 | 1,038,301 | ||||||
Palomar Holdings, Inc.(a) |
18,341 | 1,396,484 | ||||||
RLI Corp. |
1,478 | 216,453 | ||||||
Safety Insurance Group, Inc. |
1,668 | 137,043 |
The accompanying notes are an integral part of the financial statements.
8
ADARA SMALLER COMPANIES FUND
Schedule of Investments (Continued)
as of FEBRUARY 29, 2024 (UNAUDITED)
Shares |
Value |
|||||||
Insurance — (Continued) |
||||||||
Selective Insurance Group, Inc. |
3,866 | $ | 403,920 | |||||
Skyward Specialty Insurance Group, Inc.(a) |
43,122 | 1,577,834 | ||||||
Stewart Information Services Corp. |
2,200 | 138,556 | ||||||
White Mountains Insurance Group Ltd. |
1,937 | 3,419,657 | ||||||
20,731,126 | ||||||||
Internet — 2.5% |
||||||||
Backblaze, Inc. - Class A(a) |
52,378 | 556,254 | ||||||
Bandwidth, Inc. - Class A(a) |
3,584 | 73,615 | ||||||
Couchbase, Inc.(a) |
71,682 | 2,012,831 | ||||||
DHI Group, Inc.(a) |
489,080 | 1,384,097 | ||||||
ePlus, Inc.(a) |
23,952 | 1,973,405 | ||||||
EverQuote, Inc. - Class A(a) |
88,802 | 1,422,608 | ||||||
Gambling.com Group Ltd.(a) |
62,610 | 573,508 | ||||||
HealthStream, Inc. |
2,700 | 73,656 | ||||||
MediaAlpha, Inc. - Class A(a) |
14,556 | 302,037 | ||||||
Q2 Holdings, Inc.(a) |
22,432 | 1,037,031 | ||||||
QuinStreet, Inc.(a) |
71,739 | 1,049,542 | ||||||
TripAdvisor, Inc.(a) |
56,338 | 1,510,985 | ||||||
Upwork, Inc.(a) |
31,286 | 409,847 | ||||||
Yelp, Inc.(a) |
25,496 | 980,066 | ||||||
13,359,482 | ||||||||
Investment Companies — 0.3% |
||||||||
Cannae Holdings, Inc.(a) |
74,291 | 1,621,030 | ||||||
Iron/Steel — 0.2% |
||||||||
ATI, Inc.(a) |
7,199 | 354,047 | ||||||
Carpenter Technology Corp. |
11,908 | 769,852 | ||||||
1,123,899 | ||||||||
Leisure Time — 0.7% |
||||||||
Callaway Golf Co.(a) |
4,678 | 66,615 | ||||||
Lindblad Expeditions Holdings, Inc.(a) |
86,890 | 805,470 | ||||||
OneSpaWorld Holdings Ltd.(a) |
204,172 | 2,662,403 | ||||||
Vista Outdoor, Inc.(a) |
14,337 | 447,314 | ||||||
3,981,802 | ||||||||
Lodging — 0.1% |
||||||||
Boyd Gaming Corp. |
4,776 | 315,837 | ||||||
Machinery-Construction & Mining — 0.5% |
||||||||
Argan, Inc. |
16,761 | 785,421 | ||||||
Astec Industries, Inc. |
1,849 | 75,069 | ||||||
BWX Technologies, Inc. |
19,525 | 1,968,706 | ||||||
2,829,196 | ||||||||
Machinery-Diversified — 1.4% |
||||||||
Albany International Corp. - Class A |
1,126 | 105,698 | ||||||
Applied Industrial Technologies, Inc. |
7,527 | 1,429,302 | ||||||
Chart Industries, Inc.(a) |
3,219 | 459,866 |
Shares |
Value |
|||||||
Machinery-Diversified — (Continued) |
||||||||
Flowserve Corp. |
22,631 | $ | 957,744 | |||||
Lindsay Corp. |
6,665 | 795,201 | ||||||
Tennant Co. |
2,414 | 273,241 | ||||||
Toro Co. |
5,348 | 493,674 | ||||||
Twin Disc, Inc. |
185,495 | 2,891,867 | ||||||
7,406,593 | ||||||||
Media — 0.3% |
||||||||
AMC Networks, Inc. - Class A(a) |
3,518 | 45,523 | ||||||
Cable One, Inc. |
888 | 404,928 | ||||||
EW Scripps Co. - Class A(a) |
28,653 | 115,472 | ||||||
Gray Television, Inc. |
39,548 | 230,960 | ||||||
Scholastic Corp. |
3,196 | 126,050 | ||||||
Sinclair, Inc. |
29,261 | 434,526 | ||||||
1,357,459 | ||||||||
Metal Fabricate/Hardware — 1.1% |
||||||||
Advanced Drainage Systems, Inc. |
7,253 | 1,183,980 | ||||||
AZZ, Inc. |
1,964 | 142,979 | ||||||
Mueller Industries, Inc. |
11,950 | 613,991 | ||||||
NN, Inc.(a) |
179,350 | 839,358 | ||||||
Northwest Pipe Co.(a) |
102,890 | 3,069,209 | ||||||
Standex International Corp. |
1,485 | 256,905 | ||||||
6,106,422 | ||||||||
Mining — 0.4% |
||||||||
Century Aluminum Co.(a) |
18,637 | 195,129 | ||||||
Compass Minerals International, Inc. |
2,205 | 50,274 | ||||||
Piedmont Lithium, Inc.(a) |
4,156 | 60,511 | ||||||
Uranium Energy Corp.(a) |
320,066 | 2,074,028 | ||||||
2,379,942 | ||||||||
Miscellaneous Manufacturing — 1.3% |
||||||||
Axon Enterprise, Inc.(a) |
5,340 | 1,641,356 | ||||||
Enpro, Inc. |
4,961 | 773,023 | ||||||
Fabrinet(a) |
7,396 | 1,594,356 | ||||||
Federal Signal Corp. |
16,269 | 1,332,594 | ||||||
John Bean Technologies Corp. |
2,493 | 252,990 | ||||||
Materion Corp. |
2,877 | 386,439 | ||||||
Myers Industries, Inc. |
2,441 | 46,940 | ||||||
Park Aerospace Corp. |
58,707 | 893,520 | ||||||
6,921,218 | ||||||||
Office Furnishings — 0.0%(c) |
||||||||
Interface, Inc. |
11,644 | 183,044 | ||||||
Office-Business Equipment — 0.0%(c) |
||||||||
Pitney Bowes, Inc. |
13,705 | 55,231 | ||||||
Oil & Gas — 1.6% |
||||||||
Delek US Holdings, Inc. |
46,236 | 1,179,480 | ||||||
Evolution Petroleum Corp. |
60,009 | 351,653 | ||||||
Helmerich & Payne, Inc. |
4,567 | 175,327 | ||||||
Patterson-UTI Energy, Inc. |
112,890 | 1,306,137 | ||||||
PBF Energy, Inc. - Class A |
5,245 | 244,942 |
The accompanying notes are an integral part of the financial statements.
9
ADARA SMALLER COMPANIES FUND
Schedule of Investments (Continued)
as of FEBRUARY 29, 2024 (UNAUDITED)
Shares |
Value |
|||||||
Oil & Gas — (Continued) |
||||||||
Permian Resources Corp. |
100,054 | $ | 1,556,840 | |||||
Range Resources Corp. |
29,237 | 924,474 | ||||||
SM Energy Co. |
36,792 | 1,610,386 | ||||||
Southwestern Energy Co.(a) |
112,602 | 784,836 | ||||||
Talos Energy, Inc.(a) |
23,929 | 315,624 | ||||||
8,449,699 | ||||||||
Oil & Gas Services — 1.9% |
||||||||
DMC Global, Inc.(a) |
95,660 | 1,595,609 | ||||||
DNOW, Inc.(a) |
71,275 | 1,008,541 | ||||||
Helix Energy Solutions Group, Inc.(a) |
41,891 | 377,019 | ||||||
Natural Gas Services Group, Inc.(a) |
200,570 | 3,355,536 | ||||||
Oceaneering International, Inc.(a) |
35,309 | 697,706 | ||||||
Profire Energy, Inc.(a) |
560,780 | 829,954 | ||||||
TechnipFMC PLC |
39,311 | 852,655 | ||||||
Tidewater, Inc.(a) |
14,420 | 1,009,833 | ||||||
9,726,853 | ||||||||
Packaging & Containers — 0.2% |
||||||||
Clearwater Paper Corp.(a) |
2,737 | 107,537 | ||||||
O-I Glass, Inc.(a) |
6,528 | 110,454 | ||||||
TriMas Corp. |
35,375 | 831,312 | ||||||
1,049,303 | ||||||||
Pharmaceuticals — 2.5% |
||||||||
Amphastar Pharmaceuticals, Inc.(a) |
6,771 | 315,325 | ||||||
Avadel Pharmaceuticals PLC - ADR(a) |
34,030 | 434,903 | ||||||
Centessa Pharmaceuticals PLC - ADR(a) |
38,936 | 409,217 | ||||||
Collegium Pharmaceutical, Inc.(a) |
2,619 | 96,143 | ||||||
Corcept Therapeutics, Inc.(a) |
3,332 | 78,302 | ||||||
Ironwood Pharmaceuticals, Inc.(a) |
51,914 | 489,549 | ||||||
KalVista Pharmaceuticals Inc.(a) |
39,035 | 532,828 | ||||||
Longboard Pharmaceuticals, Inc.(a) |
14,027 | 311,119 | ||||||
Madrigal Pharmaceuticals, Inc.(a) |
334 | 78,891 | ||||||
MERUS NV(a) |
39,153 | 1,898,138 | ||||||
Morphic Holding, Inc.(a) |
4,219 | 155,892 | ||||||
Option Care Health, Inc.(a) |
24,665 | 795,940 | ||||||
Organon & Co. |
24,924 | 433,927 | ||||||
Owens & Minor, Inc.(a) |
3,772 | 91,773 | ||||||
Pacira BioSciences, Inc.(a) |
1,519 | 45,145 | ||||||
PetIQ, Inc.(a) |
31,726 | 577,730 | ||||||
Premier, Inc. - Class A |
7,552 | 157,535 | ||||||
Prestige Brands Holdings, Inc.(a) |
3,474 | 241,721 | ||||||
Protagonist Therapeutics, Inc.(a) |
24,673 | 749,566 | ||||||
Rhythm Pharmaceuticals, Inc.(a) |
51,263 | 2,225,839 | ||||||
Vaxcyte, Inc.(a) |
41,138 | 3,036,807 | ||||||
13,156,290 | ||||||||
Private Equity — 0.2% |
||||||||
Hannon Armstrong Sustainable Infrastructure Capital, Inc. |
2,522 | 63,479 |
Shares |
Value |
|||||||
Private Equity — (Continued) |
||||||||
P10, Inc. - Class A |
86,042 | $ | 797,609 | |||||
861,088 | ||||||||
Real Estate — 0.6% |
||||||||
Kennedy-Wilson Holdings, Inc. |
4,746 | 41,670 | ||||||
Marcus & Millichap, Inc. |
2,121 | 77,820 | ||||||
McGrath RentCorp |
21,953 | 2,732,709 | ||||||
Newmark Group, Inc. - Class A |
36,036 | 388,828 | ||||||
Realogy Holdings Corp.(a) |
7,273 | 45,602 | ||||||
3,286,629 | ||||||||
REITS — 2.3% |
||||||||
Agree Realty Corp. |
1,641 | 90,173 | ||||||
Alexander & Baldwin, Inc. |
4,543 | 73,869 | ||||||
Alpine Income Property Trust, Inc. |
106,224 | 1,658,157 | ||||||
American Assets Trust, Inc. |
14,803 | 319,301 | ||||||
Apollo Commercial Real Estate Finance, Inc. |
44,054 | 493,845 | ||||||
ARMOUR Residential REIT, Inc. |
5,989 | 118,582 | ||||||
CareTrust REIT, Inc. |
7,113 | 160,469 | ||||||
Centerspace |
2,329 | 129,469 | ||||||
Chatham Lodging Trust |
17,141 | 174,838 | ||||||
Community Healthcare Trust, Inc. |
1,573 | 42,691 | ||||||
DiamondRock Hospitality Co. |
13,130 | 123,422 | ||||||
EastGroup Properties, Inc. |
2,590 | 455,037 | ||||||
Getty Realty Corp. |
5,173 | 136,360 | ||||||
Gladstone Commercial Corp. |
10,245 | 126,833 | ||||||
Global Medical REIT, Inc. |
179,420 | 1,605,809 | ||||||
Global Net Lease, Inc. |
10,378 | 74,825 | ||||||
Great Ajax Corp. |
202,600 | 820,530 | ||||||
Highwoods Properties, Inc. |
6,502 | 158,974 | ||||||
Invesco Mortgage Capital, Inc. |
26,126 | 235,918 | ||||||
Kite Realty Group Trust |
7,450 | 159,504 | ||||||
Lexington Realty Trust |
12,112 | 104,890 | ||||||
New York Mortgage Trust, Inc. |
45,897 | 330,917 | ||||||
NexPoint Residential Trust, Inc. |
2,074 | 60,582 | ||||||
Outfront Media, Inc. |
50,443 | 724,866 | ||||||
Paramount Group, Inc. |
10,442 | 46,258 | ||||||
PennyMac Mortgage Investment Trust |
24,404 | 344,829 | ||||||
Piedmont Office Realty Trust, Inc. - Class A |
69,495 | 435,734 | ||||||
PotlatchDeltic Corp. |
1,462 | 66,097 | ||||||
Ready Capital Corp. |
6,588 | 58,172 | ||||||
Redwood Trust, Inc. |
77,920 | 477,650 | ||||||
Regency Centers Corp. |
2,758 | 170,858 | ||||||
Retail Opportunity Investments Corp. |
28,261 | 365,415 | ||||||
Saul Centers, Inc. |
3,903 | 141,250 | ||||||
Tanger, Inc. |
33,410 | 962,542 | ||||||
TPG RE Finance Trust, Inc. |
8,617 | 64,455 | ||||||
Two Harbors Investment Corp. |
22,500 | 285,075 |
The accompanying notes are an integral part of the financial statements.
10
ADARA SMALLER COMPANIES FUND
Schedule of Investments (Continued)
as of FEBRUARY 29, 2024 (UNAUDITED)
Shares |
Value |
|||||||
REITS — (Continued) |
||||||||
Whitestone REIT |
14,111 | $ | 173,848 | |||||
11,972,044 | ||||||||
Retail — 6.9% |
||||||||
Abercrombie & Fitch Co. - Class A(a) |
13,793 | 1,762,194 | ||||||
Advance Auto Parts, Inc. |
27,700 | 1,870,858 | ||||||
Asbury Automotive Group, Inc.(a) |
4,829 | 1,008,440 | ||||||
BJ’s Restaurants, Inc.(a) |
7,047 | 246,786 | ||||||
BJ’s Wholesale Club Holdings, Inc.(a) |
39,625 | 2,894,210 | ||||||
Bloomin’ Brands, Inc. |
20,453 | 555,913 | ||||||
Boot Barn Holdings, Inc.(a) |
14,821 | 1,370,942 | ||||||
Buckle, Inc. |
2,951 | 120,814 | ||||||
Build-A-Bear Workshop, Inc. |
144,120 | 3,450,233 | ||||||
Casey’s General Stores, Inc. |
1,888 | 574,877 | ||||||
Chuy’s Holdings, Inc.(a) |
3,285 | 111,132 | ||||||
Cracker Barrel Old Country Store, Inc. |
5,574 | 368,609 | ||||||
Designer Brands, Inc. - Class A |
5,265 | 55,598 | ||||||
Destination XL Group, Inc.(a) |
493,740 | 1,970,023 | ||||||
Dine Brands Global, Inc. |
1,134 | 55,010 | ||||||
First Watch Restaurant Group, Inc.(a) |
42,826 | 1,072,791 | ||||||
FirstCash Holdings, Inc. |
2,930 | 335,485 | ||||||
Five Below, Inc.(a) |
5,668 | 1,137,454 | ||||||
Foot Locker, Inc. |
18,535 | 638,160 | ||||||
Freshpet, Inc.(a) |
8,817 | 996,586 | ||||||
Group 1 Automotive, Inc. |
2,270 | 614,375 | ||||||
Guess?, Inc. |
12,246 | 310,803 | ||||||
Hibbett Sports, Inc. |
1,413 | 115,795 | ||||||
Kura Sushi USA, Inc. - Class A(a) |
16,929 | 1,608,763 | ||||||
Lithia Motors, Inc. |
382 | 114,241 | ||||||
MSC Industrial Direct Co., Inc. - Class A |
8,736 | 881,812 | ||||||
Murphy USA, Inc. |
5,145 | 2,145,516 | ||||||
National Vision Holdings, Inc.(a) |
23,857 | 558,254 | ||||||
Nu Skin Enterprises, Inc. - Class A |
11,647 | 145,588 | ||||||
ODP Corp.(a) |
1,590 | 89,803 | ||||||
Ollie’s Bargain Outlet Holdings, Inc.(a) |
11,536 | 924,841 | ||||||
PriceSmart, Inc. |
1,079 | 90,787 | ||||||
Red Robin Gourmet Burgers, Inc.(a) |
206,150 | 1,542,002 | ||||||
RH(a) |
2,399 | 658,286 | ||||||
Shoe Carnival, Inc. |
6,304 | 206,582 | ||||||
Signet Jewelers Ltd. |
5,100 | 518,976 | ||||||
Sweetgreen, Inc. - Class A(a) |
66,259 | 844,140 | ||||||
Texas Roadhouse, Inc. |
8,803 | 1,314,904 | ||||||
Tilly’s, Inc. - Class A(a) |
204,870 | 1,575,450 | ||||||
Warby Parker, Inc. - Class A(a) |
80,820 | 1,027,222 | ||||||
Wingstop, Inc. |
1,748 | 613,635 |
Shares |
Value |
|||||||
Retail — (Continued) |
||||||||
Zumiez, Inc.(a) |
3,290 | $ | 57,970 | |||||
36,555,860 | ||||||||
Savings & Loans — 1.1% |
||||||||
Axos Financial, Inc.(a) |
3,461 | 180,387 | ||||||
Banc of California, Inc. |
1,873 | 27,402 | ||||||
Berkshire Hills Bancorp, Inc. |
17,583 | 377,859 | ||||||
Eagle Bancorp Montana, Inc. |
63,570 | 839,760 | ||||||
Flushing Financial Corp. |
4,361 | 55,995 | ||||||
FS Bancorp, Inc. |
86,404 | 2,883,301 | ||||||
Hingham Institution For Savings The |
355 | 59,633 | ||||||
New York Community Bancorp, Inc. |
8,845 | 42,368 | ||||||
Northwest Bancshares, Inc. |
5,826 | 66,766 | ||||||
Pacific Premier Bancorp, Inc. |
8,033 | 183,634 | ||||||
Provident Financial Services, Inc. |
10,750 | 162,110 | ||||||
Riverview Bancorp, Inc. |
242,220 | 1,136,012 | ||||||
6,015,227 | ||||||||
Semiconductors — 2.8% |
||||||||
Advanced Energy Industries, Inc. |
2,466 | 249,559 | ||||||
Amtech Systems, Inc.(a) |
251,750 | 1,210,917 | ||||||
Axcelis Technologies, Inc.(a) |
3,808 | 429,047 | ||||||
AXT, Inc.(a) |
394,730 | 1,693,392 | ||||||
CEVA, Inc.(a) |
2,534 | 57,370 | ||||||
Cirrus Logic, Inc.(a) |
3,525 | 323,665 | ||||||
FormFactor, Inc.(a) |
25,332 | 1,090,036 | ||||||
inTEST Corp.(a) |
127,500 | 1,489,200 | ||||||
Kulicke & Soffa Industries, Inc. |
6,419 | 305,673 | ||||||
Lattice Semiconductor Corp.(a) |
6,939 | 531,597 | ||||||
MKS Instruments, Inc. |
1,371 | 168,304 | ||||||
Monolithic Power Systems, Inc. |
1,952 | 1,405,518 | ||||||
Onto Innovation, Inc.(a) |
7,268 | 1,338,475 | ||||||
Photronics, Inc.(a) |
7,595 | 218,660 | ||||||
Power Integrations, Inc. |
18,645 | 1,332,372 | ||||||
Semtech Corp.(a) |
911 | 19,313 | ||||||
SiTime Corp.(a) |
4,682 | 433,085 | ||||||
SkyWater Technology, Inc.(a) |
90,270 | 1,043,521 | ||||||
Veeco Instruments, Inc.(a) |
48,379 | 1,751,804 | ||||||
15,091,508 | ||||||||
Software — 4.3% |
||||||||
ACI Worldwide, Inc.(a) |
49,949 | 1,643,822 | ||||||
ACV Auctions, Inc. - Class A(a) |
49,279 | 874,702 | ||||||
Agilysys, Inc.(a) |
10,481 | 815,422 | ||||||
Alignment Healthcare, Inc.(a) |
8,930 | 53,580 | ||||||
Alkami Technology, Inc.(a) |
50,027 | 1,248,174 | ||||||
Appfolio, Inc. - Class A(a) |
4,228 | 1,023,556 | ||||||
Asure Software, Inc.(a) |
210,440 | 1,961,301 | ||||||
Blackbaud, Inc.(a) |
799 | 55,275 | ||||||
BlackLine, Inc.(a) |
14,414 | 817,706 | ||||||
BM Technologies, Inc.(a) |
215,920 | 380,019 |
The accompanying notes are an integral part of the financial statements.
11
ADARA SMALLER COMPANIES FUND
Schedule of Investments (Concluded)
as of FEBRUARY 29, 2024 (UNAUDITED)
Shares |
Value |
|||||||
Software — (Continued) |
||||||||
Cogent Communications Holdings, Inc. |
1,297 | $ | 104,940 | |||||
Computer Programs & Systems, Inc.(a) |
23,192 | 205,481 | ||||||
Concentrix Corp. |
830 | 60,133 | ||||||
Confluent, Inc. - Class A(a) |
18,917 | 640,719 | ||||||
Consensus Cloud Solutions, Inc.(a) |
2,281 | 36,314 | ||||||
CSG Systems International, Inc. |
2,939 | 160,352 | ||||||
DoubleVerify Holdings, Inc.(a) |
24,769 | 765,114 | ||||||
Fastly, Inc. - Class A(a) |
48,605 | 691,163 | ||||||
Five9, Inc.(a) |
10,739 | 655,079 | ||||||
Genasys, Inc.(a) |
350,770 | 694,525 | ||||||
Gitlab, Inc. - Class A(a) |
7,850 | 566,142 | ||||||
Global-e Online Ltd.(a) |
19,489 | 660,092 | ||||||
JFrog Ltd.(a) |
20,182 | 903,952 | ||||||
LiveRamp Holdings, Inc.(a) |
24,000 | 839,520 | ||||||
Monday.com Ltd.(a) |
1,732 | 386,253 | ||||||
PDF Solutions, Inc.(a) |
1,842 | 62,610 | ||||||
Privia Health Group, Inc.(a) |
35,714 | 797,136 | ||||||
Procore Technologies, Inc.(a) |
9,746 | 760,480 | ||||||
Progress Software Corp. |
5,306 | 283,128 | ||||||
PROS Holdings, Inc.(a) |
25,483 | 911,017 | ||||||
SilverSun Technologies, Inc. |
14,040 | 211,162 | ||||||
Smartsheet, Inc. - Class A(a) |
8,618 | 363,766 | ||||||
Smith Micro Software, Inc.(a) |
711,330 | 270,874 | ||||||
SPS Commerce, Inc.(a) |
800 | 148,128 | ||||||
Take-Two Interactive Software, Inc.(a) |
3,504 | 514,843 | ||||||
Vertex, Inc. - Class A(a) |
41,417 | 1,390,783 | ||||||
Weave Communications, Inc.(a) |
69,219 | 867,314 | ||||||
22,824,577 | ||||||||
Telecommunications — 0.8% |
||||||||
Aviat Networks, Inc.(a) |
10,017 | 355,503 | ||||||
Calix, Inc.(a) |
22,989 | 801,627 | ||||||
Credo Technology Group Holding Ltd.(a) |
83,421 | 1,796,888 | ||||||
IDT Corp. - Class B(a) |
3,111 | 115,760 | ||||||
InterDigital, Inc. |
869 | 93,000 | ||||||
Iridium Communications, Inc. |
9,628 | 278,731 | ||||||
NetGear, Inc.(a) |
7,443 | 111,571 | ||||||
Telephone & Data Systems, Inc. |
10,347 | 158,309 | ||||||
United States Cellular Corp.(a) |
8,331 | 290,669 | ||||||
Viasat, Inc.(a) |
2,967 | 58,064 | ||||||
Viavi Solutions, Inc.(a) |
23,640 | 225,762 | ||||||
4,285,884 | ||||||||
Textiles — 0.4% |
||||||||
UniFirst Corp. |
12,397 | 2,091,622 | ||||||
Toys/Games/Hobbies — 0.3% |
||||||||
Funko, Inc. - Class A(a) |
7,565 | 53,258 | ||||||
JAKKS Pacific, Inc.(a) |
38,690 | 1,358,406 | ||||||
1,411,664 |
Shares |
Value |
|||||||
Transportation — 1.7% |
||||||||
Air Transport Services Group, Inc.(a) |
105,895 | $ | 1,278,153 | |||||
ArcBest Corp. |
20,880 | 2,982,917 | ||||||
Forward Air Corp. |
6,038 | 224,191 | ||||||
Knight-Swift Transportation Holdings, Inc. |
1,873 | 105,525 | ||||||
Marten Transport Ltd. |
7,327 | 138,114 | ||||||
PAM Transportation Services, Inc.(a) |
41,286 | 764,617 | ||||||
Saia, Inc.(a) |
4,008 | 2,306,203 | ||||||
Scorpio Tankers, Inc. |
4,242 | 284,765 | ||||||
World Kinect Corp. |
20,029 | 487,906 | ||||||
8,572,391 | ||||||||
Trucking & Leasing — 0.2% |
||||||||
Greenbrier Cos., Inc. |
19,968 | 1,033,344 | ||||||
Water — 0.0%(c) |
||||||||
American States Water Co. |
1,758 | 125,539 | ||||||
California Water Service Group |
1,969 | 90,357 | ||||||
215,896 | ||||||||
TOTAL COMMON STOCKS (Cost $344,867,482) |
501,860,311 | |||||||
SHORT-TERM INVESTMENTS — 7.7% |
||||||||
Money Market Funds — 7.7% |
||||||||
First American Treasury Obligations Fund - Class X, 5.23%(d) |
40,778,734 | 40,778,734 | ||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $40,778,734) |
40,778,734 | |||||||
TOTAL INVESTMENTS — 102.0% (Cost $385,646,216) |
542,639,045 | |||||||
Liabilities in Excess of Other Assets — (2.0)% |
(10,593,858 | ) | ||||||
TOTAL NET ASSETS — 100.0% |
$ | 532,045,187 |
Percentages are stated as a percent of net assets.
ADR |
American Depositary Receipt |
PLC |
Public Limited Company |
REIT |
Real Estate Investment Trust |
SA |
Sociedad Anónima |
(a) |
Non-income producing security. |
(b) |
Fair value determined using significant unobservable inputs in accordance with procedures established by and under the supervision of the Adviser, acting as Valuation Designee. These securities represented $0 or 0.0% of net assets as of February 29, 2024. |
(c) |
Represents less than 0.05% of net assets. |
(d) |
The rate shown represents the 7-day effective yield as of February 29, 2024. |
The accompanying notes are an integral part of the financial statements.
12
ADARA SMALLER COMPANIES FUND
STATEMENT of Assets and Liabilities
FEBRUARY 29, 2024 (UNAUDITED)
ASSETS |
||||
Investments, at value (cost $344,867,482) |
$ | 501,860,311 | ||
Short-term investments, at value (cost $40,778,734) |
40,778,734 | |||
Receivables for: |
||||
Investments sold |
1,243,534 | |||
Dividends |
416,910 | |||
Capital shares sold |
74,797 | |||
Prepaid expenses and other assets |
39,724 | |||
Total assets |
544,414,010 | |||
LIABILITIES |
||||
Payables for: |
||||
Investments purchased |
12,009,721 | |||
Sub-advisory fees |
263,371 | |||
Other accrued expenses and liabilities |
95,731 | |||
Total liabilities |
12,368,823 | |||
Net assets |
$ | 532,045,187 | ||
NET ASSETS CONSIST OF: |
||||
Par value |
$ | 32,373 | ||
Paid-in capital |
376,339,813 | |||
Total distributable earnings/(loss) |
155,673,001 | |||
Net assets |
$ | 532,045,187 | ||
CAPITAL SHARES: |
||||
Net Assets |
532,045,187 | |||
Shares outstanding ($0.001 par value, 100,000,000 shares authorized) |
32,372,870 | |||
Net asset value, offering and redemption price per share |
$ | 16.43 |
The accompanying notes are an integral part of the financial statements.
13
ADARA SMALLER COMPANIES FUND
Statement of Operations
FOR THE sIX MONTHS ENDED FEBRUARY 29, 2024 (UNAUDITED)
INVESTMENT INCOME |
||||
Dividends (net of foreign taxes withheld of $4,672) |
$ | 3,182,264 | ||
Total investment income |
3,182,264 | |||
EXPENSES |
||||
Sub-advisory fees (Note 2) |
1,661,268 | |||
Administration and accounting services fees (Note 2) |
74,081 | |||
Transfer agent fees (Note 2) |
30,376 | |||
Officer fees |
24,790 | |||
Custodian fees (Note 2) |
23,135 | |||
Audit fees and tax services |
20,219 | |||
Director fees |
19,300 | |||
Legal fees |
18,941 | |||
Registration and filing fees |
13,533 | |||
Printing and shareholder reporting fees |
2,887 | |||
Other expenses |
55,528 | |||
Total expenses |
1,944,058 | |||
Net investment income/(loss) |
1,238,206 | |||
NET REALIZED AND UNREALIZED GAIN/(LOSS) FROM INVESTMENTS |
||||
Net realized gain/(loss) from investments |
8,021,320 | |||
Net change in unrealized appreciation/(depreciation) on investments |
31,717,682 | |||
Net realized and unrealized gain/(loss) on investments |
39,739,002 | |||
NET INCREASE/(DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS |
$ | 40,977,208 |
The accompanying notes are an integral part of the financial statements.
14
ADARA SMALLER COMPANIES FUND
Statements of Changes in Net Assets
For the |
For the |
|||||||
INCREASE/(DECREASE) IN NET ASSETS FROM OPERATIONS |
||||||||
Net investment income/(loss) |
$ | 1,238,206 | $ | 2,272,289 | ||||
Net realized gain/(loss) from investments |
8,021,320 | (1,023,542 | ) | |||||
Net change in unrealized appreciation/(depreciation) on investments |
31,717,682 | 27,357,651 | ||||||
Net increase/(decrease) in net assets resulting from operations |
40,977,208 | 28,606,398 | ||||||
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS FROM: |
||||||||
Total distributable earnings |
(3,000,495 | ) | (1,462,252 | ) | ||||
Net decrease in net assets from dividends and distributions to shareholders |
(3,000,495 | ) | (1,462,252 | ) | ||||
CAPITAL SHARE TRANSACTIONS: |
||||||||
Proceeds from shares sold |
23,092,931 | 48,697,828 | ||||||
Reinvestment of distributions |
2,676,590 | 1,335,449 | ||||||
Shares redeemed |
(14,141,147 | ) | (36,215,013 | ) | ||||
Net increase/(decrease) in net assets resulting from capital share transactions |
11,628,374 | 13,818,264 | ||||||
Total increase/(decrease) in net assets |
49,605,087 | 40,962,410 | ||||||
NET ASSETS: |
||||||||
Beginning of period |
$ | 482,440,100 | $ | 441,477,690 | ||||
End of period |
$ | 532,045,187 | $ | 482,440,100 | ||||
SHARE TRANSACTIONS: |
||||||||
Shares sold |
1,515,105 | 3,378,762 | ||||||
Shares reinvested |
178,202 | 93,193 | ||||||
Shares redeemed |
(944,988 | ) | (2,526,832 | ) | ||||
Net increase/(decrease) in shares |
748,319 | 945,123 |
The accompanying notes are an integral part of the financial statements.
15
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 |
For the |
For the |
For the |
For the |
For the |
|||||||||||||||||||
Per Share Operating Performance |
||||||||||||||||||||||||
Net asset value, beginning of period |
$ | 15.26 | $ | 14.39 | $ | 21.47 | $ | 13.73 | $ | 12.89 | $ | 16.76 | ||||||||||||
Net investment income/(loss)(1) |
0.04 | 0.07 | 0.02 | (0.03 | ) | (0.01 | ) | (0.01 | ) | |||||||||||||||
Net realized and unrealized gain/(loss) from investments |
1.22 | 0.85 | (2.88 | ) | 7.99 | 1.33 | (1.99 | ) | ||||||||||||||||
Net increase/(decrease) in net assets resulting from operations |
1.26 | 0.92 | (2.86 | ) | 7.96 | 1.32 | (2.00 | ) | ||||||||||||||||
Dividends and distributions to shareholders from: |
||||||||||||||||||||||||
Net investment income |
(0.09 | ) | (0.05 | ) | — | — | — | — | ||||||||||||||||
Net realized capital gains |
— | — | (4.22 | ) | (0.22 | ) | (0.48 | ) | (1.87 | ) | ||||||||||||||
Total dividends and distributions to shareholders |
(0.09 | ) | (0.05 | ) | (4.22 | ) | (0.22 | ) | (0.48 | ) | (1.87 | ) | ||||||||||||
Net asset value, end of period |
$ | 16.43 | $ | 15.26 | $ | 14.39 | $ | 21.47 | $ | 13.73 | $ | 12.89 | ||||||||||||
Total investment return/(loss)(2) |
8.41 | %(3) | 6.40 | % | (16.93 | )% | 58.41 | % | 10.47 | % | (11.16 | )% | ||||||||||||
Ratios/Supplemental Data |
||||||||||||||||||||||||
Net assets, end of period (000’s omitted) |
$ | 532,045 | $ | 482,440 | $ | 441,478 | $ | 536,177 | $ | 361,442 | $ | 291,859 | ||||||||||||
Ratio of expenses to average net assets |
0.81 | %(4) | 0.82 | % | 0.84 | % | 0.84 | % | 0.90 | % | 0.93 | % | ||||||||||||
Ratio of net investment income/(loss) to average net assets |
0.52 | %(4) | 0.50 | % | 0.10 | % | (0.18 | )% | (0.08 | )% | (0.08 | )% | ||||||||||||
Portfolio turnover rate |
29 | %(3) | 56 | % | 56 | % | 75 | % | 101 | % | 80 | % |
(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.
16
ADARA SMALLER COMPANIES FUND
NOTES TO FINANCIAL STATEMENTS
FEBRUARY 29, 2024 (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 sixty-four 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 92.723 billion shares are currently classified into two hundred and thirty-four 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 29, 2024, and the period covered by these Notes to Financial Statements is the six months ended February 29, 2024 (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 Company’s Board of Directors (the “Board”). Relying on prices supplied by pricing services or dealers or using fair valuation may result in values that are higher or lower than the values used by other investment companies and investors to price the same investments.
FAIR VALUE MEASUREMENTS – The inputs and valuation techniques used to measure 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.
17
ADARA SMALLER COMPANIES FUND
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
FEBRUARY 29, 2024 (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 |
$ | 501,860,312 | $ | 501,860,312 | $ | — | $ | — | ** | |||||||
Money Market Funds |
40,778,734 | 40,778,734 | — | — | ||||||||||||
Total Assets* |
$ | 542,639,046 | $ | 542,639,046 | $ | — | $ | — |
* |
Please refer to 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 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.
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
18
ADARA SMALLER COMPANIES FUND
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
FEBRUARY 29, 2024 (UNAUDITED)
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 (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.
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 serve 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 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 $1,661,268, or the rate of 0.69%.
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 Fund paid the Adviser $29,414. This amount is included in Other expenses on the Statement of Operations.
19
ADARA SMALLER COMPANIES FUND
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
FEBRUARY 29, 2024 (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.
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 |
$145,516,958 |
$130,744,845 |
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 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, 2023, the federal tax cost and aggregate gross unrealized appreciation and depreciation of investments held by the Fund were as follows:
FEDERAL |
UNREALIZED |
UNREALIZED |
Net Unrealized |
$360,325,203 |
$148,618,109 |
$(26,222,147) |
$122,395,962 |
20
ADARA SMALLER COMPANIES FUND
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
FEBRUARY 29, 2024 (UNAUDITED)
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, 2023, the components of distributable earnings on a tax basis were as follows:
UNDISTRIBUTED |
UNDISTRIBUTED |
CAPITAL LOSS |
NET UNREALIZED |
QUALIFIED |
$1,351,664 |
$— |
$(6,051,338) |
$122,395,962 |
$— |
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, 2023 was as follows:
ORDINARY |
LONG-TERM |
TOTAL |
|||||||||
$1,462,252 | $— | $1,462,252 |
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, 2023, any amount of losses elected within the tax return will not be recognized for federal income tax purposes until September 1, 2023.
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, 2023, the Fund had short-term capital loss carryforwards of $6,051,338.
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 2022, the SEC adopted a final rule relating to tailored shareholder reports for mutual funds and exchange-traded funds and fee information in investment company advertisements. Beginning in July 2024, the Fund will be required to transmit concise and visually engaging shareholder reports that highlight key information. The Fund will also be required to tag information in a structured data format and that certain more in-depth information be made available online and available for delivery free of charge to investors on request.
21
ADARA SMALLER COMPANIES FUND
NOTES TO FINANCIAL STATEMENTS (CONCLUDED)
FEBRUARY 29, 2024 (UNAUDITED)
In December 2022, the FASB issued an Accounting Standards Update, ASU 2022-06, Reference Rate Reform (Topic 848) – Deferral of the Sunset Date of Topic 848 (“ASU 2022-06”). ASU 2022-06 is an amendment to ASU 2020-04, which provided optional guidance to ease the potential accounting burden due to the discontinuation of the London Inter-Bank Offered Rate and other interbank-offered based reference rates and which was effective as of March 12, 2020 through December 31, 2022. ASU 2022-06 extends the effective period through December 31, 2024. Management is currently evaluating the impact, if any, of applying ASU 2022-06.
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.
22
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 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 filings are available on the SEC’s website at http://www.sec.gov.
23
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[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
3 Canal Plaza, Suite 100
Portland, ME 04101
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-SAR24
AQUARIUS INTERNATIONAL FUND
of
The RBB Fund, Inc.
SEMI-ANNUAL REPORT
February 29, 2024
(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 29, 2024 (UNAUDITED)
Average Annual Total Returns for the Period Ended February 29, 2024 |
||||||
Six |
One |
Three |
Five |
Since |
||
Aquarius International Fund |
7.80% |
12.62% |
0.42% |
4.58% |
2.81%* |
|
MSCI AC WORLD INDEX ex USA Gross Index |
8.04% |
13.09% |
1.81% |
5.95% |
3.94%** |
† |
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, 2023, are 0.71% 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 2,231 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 manager’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 29, 2024 (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, 2023 through February 29, 2024 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 |
Ending |
Expenses Paid |
Annualized |
Actual Six Month |
||||||||||||||||
Actual |
$ | 1,000.00 | $ | 1,078.00 | $ | 3.72 | 0.72 | % | 7.80 | % | ||||||||||
Hypothetical (5% return before expenses) |
1,000.00 | 1,021.28 | 3.62 | 0.72 | % | 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 (182) in the most recent fiscal half-year, then divided by 366 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 29, 2024 (UNAUDITED)
The following table presents a summary by security type of the portfolio holdings of the Fund:
|
Value |
% of Net |
||||||
Common Stocks |
$ | 455,843,702 | 91.1 | % | ||||
Exchange Traded Funds |
2,137,709 | 0.4 | ||||||
Preferred Stocks |
1,521,100 | 0.3 | ||||||
Money Market Funds |
39,004,783 | 7.8 | ||||||
Other Assets in Excess of Liabilities |
1,774,180 | 0.4 | ||||||
$ | 500,281,474 | 100.0 | % |
The accompanying notes are an integral part of the financial statements.
3
AQUARIUS INTERNATIONAL FUND
Portfolio Holdings Summary Table
FEBRUARY 29, 2024 (UNAUDITED)
The following table presents a summary by security type of the portfolio holdings of the Fund:
Value |
% of Net |
|||||||
COMMON STOCKS |
||||||||
United Kingdom |
$ | 80,465,182 | 16.5 | % | ||||
Japan |
57,328,891 | 11.0 | ||||||
France |
35,802,628 | 7.3 | ||||||
Netherlands |
27,470,506 | 5.4 | ||||||
South Korea |
25,692,664 | 5.3 | ||||||
Germany |
25,412,826 | 4.8 | ||||||
Taiwan |
24,469,009 | 5.2 | ||||||
Canada |
21,417,669 | 4.4 | ||||||
India |
19,886,174 | 4.3 | ||||||
China |
17,310,095 | 3.4 | ||||||
Ireland |
15,349,166 | 3.2 | ||||||
Switzerland |
14,804,879 | 2.7 | ||||||
Denmark |
11,425,689 | 2.5 | ||||||
Brazil |
9,257,389 | 2.0 | ||||||
United States |
8,496,499 | 1.7 | ||||||
Italy |
7,645,712 | 1.5 | ||||||
Mexico |
5,422,150 | 1.2 | ||||||
Singapore |
4,892,294 | 0.8 | ||||||
Finland |
4,732,341 | 1.0 | ||||||
Norway |
4,359,030 | 0.9 | ||||||
Bermuda |
3,994,191 | 0.9 | ||||||
Sweden |
3,509,557 | 0.5 | ||||||
Australia |
3,305,630 | 0.3 | ||||||
Spain |
3,209,971 | 0.5 | ||||||
Belgium |
2,707,734 | 0.5 | ||||||
Luxembourg |
2,143,504 | 0.4 | ||||||
Austria |
1,940,845 | 0.4 | ||||||
Indonesia |
1,908,247 | 0.4 | ||||||
United Arab Emirates |
1,870,332 | 0.4 | ||||||
South Africa |
1,360,149 | 0.2 | ||||||
Greece |
1,259,300 | 0.3 | ||||||
Hong Kong |
1,195,114 | 0.0 | ||||||
Turkey |
1,084,092 | 0.2 | ||||||
Jordan |
1,078,104 | 0.2 | ||||||
Macao |
1,061,915 | 0.3 | ||||||
Uruguay |
1,002,049 | 0.2 | ||||||
Kazakhstan |
957,387 | 0.2 | ||||||
Philippines |
915,457 | 0.2 | ||||||
Poland |
895,414 | 0.2 | ||||||
Israel |
573,347 | 0.1 | ||||||
Peru |
503,071 | 0.1 | ||||||
Thailand |
359,652 | 0.1 | ||||||
Argentina |
272,176 | 0.1 | ||||||
Chile |
250,416 | 0.0 | ||||||
Panama |
208,878 | 0.0 | ||||||
New Zealand |
188,727 | 0.0 | ||||||
Portugal |
53,438 | 0.0 | ||||||
Colombia |
53,001 | 0.0 | ||||||
Russia |
20 | 0.0 | ||||||
Cyprus |
0 | — | ||||||
Money Market Funds |
39,004,783 | 7.8 | ||||||
Other Assets in Excess of Liabilities |
1,774,180 | 0.4 | ||||||
$ | 500,281,474 | 100.0 | % |
The accompanying notes are an integral part of the financial statements.
4
AQUARIUS INTERNATIONAL FUND
Schedule of Investments
FEBRUARY 29, 2024 (UNAUDITED)
Shares |
Value |
|||||||
COMMON STOCKS — 91.1% |
||||||||
Advertising — 0.1% |
||||||||
Dentsu Group, Inc. |
1,800 | $ | 49,870 | |||||
Publicis Groupe SA |
2,188 | 231,503 | ||||||
WPP PLC |
3,536 | 31,637 | ||||||
313,010 | ||||||||
Aerospace/Defense — 3.6% |
||||||||
Airbus Group SE |
11,237 | 1,859,266 | ||||||
BAE Systems PLC |
388,968 | 6,105,539 | ||||||
BAE Systems PLC - ADR |
1,742 | 111,209 | ||||||
CAE, Inc.(a) |
1,578 | 29,414 | ||||||
Dassault Aviation SA |
263 | 51,994 | ||||||
Elbit Systems Ltd. |
666 | 148,745 | ||||||
Hanwha Aerospace Co., Ltd. |
1,246 | 175,579 | ||||||
Hindustan Aeronautics Ltd. |
15,220 | 565,092 | ||||||
MTU Aero Engines AG - ADR |
562 | 67,517 | ||||||
Rheinmetall AG |
10,971 | 5,034,124 | ||||||
Safran SA |
580 | 121,621 | ||||||
Thales SA |
23,023 | 3,414,627 | ||||||
17,684,727 | ||||||||
Agriculture — 0.3% |
||||||||
British American Tobacco PLC - ADR |
5,520 | 164,993 | ||||||
Imperial Brands PLC - ADR |
3,146 | 68,268 | ||||||
ITC Ltd. |
123,176 | 602,830 | ||||||
Japan Tobacco, Inc. |
6,900 | 179,238 | ||||||
RLX Technology, Inc. - ADR |
23,295 | 45,425 | ||||||
Wilmar International Ltd. |
16,500 | 40,748 | ||||||
1,101,502 | ||||||||
Airlines — 0.4% |
||||||||
ANA Holdings, Inc.(a) |
1,400 | 30,523 | ||||||
Copa Holdings SA - Class A |
2,143 | 208,878 | ||||||
Japan Airlines Co., Ltd. |
1,500 | 28,014 | ||||||
Ryanair Holdings PLC - ADR |
11,370 | 1,571,903 | ||||||
Singapore Airlines Ltd. |
14,000 | 67,386 | ||||||
1,906,704 | ||||||||
Apparel — 1.3% |
||||||||
Adidas AG |
114 | 23,060 | ||||||
Gildan Activewear, Inc. |
5,757 | 200,516 | ||||||
Hermes International SCA |
276 | 690,647 | ||||||
Kering SA |
1,204 | 554,597 | ||||||
LVMH Moet Hennessy Louis Vuitton SE - ADR |
2,000 | 365,960 | ||||||
LVMH Moet Hennessy Louis Vuitton SE |
4,423 | 4,037,032 | ||||||
Samsonite International SA(a)(b) |
60,300 | 210,328 | ||||||
Shenzhou International Group Holdings Ltd. |
31,000 | 254,277 | ||||||
6,336,417 | ||||||||
Auto Manufacturers — 2.7% |
||||||||
Bayerische Motoren Werke AG - ADR |
3,309 | 130,639 |
Shares |
Value |
|||||||
Auto Manufacturers — (Continued) |
||||||||
BYD Co. Ltd. - Class H |
4,000 | 98,520 | ||||||
Daimler AG |
3,623 | $ | 288,699 | |||||
Daimler Truck Holding AG |
42,526 | 1,737,376 | ||||||
Ferrari NV |
642 | 272,702 | ||||||
Ferrari NV |
141 | 59,511 | ||||||
Geely Automobile Holdings, Ltd. |
31,000 | 33,736 | ||||||
Honda Motor Co., Ltd. |
174,200 | 2,069,941 | ||||||
Honda Motor Co., Ltd. - ADR |
1,291 | 45,947 | ||||||
Hyundai Motor Co. |
529 | 99,594 | ||||||
Iveco Group NV(a) |
89,817 | 1,106,260 | ||||||
Kia Corp.(a) |
14,191 | 1,328,959 | ||||||
Li Auto, Inc. - ADR(a) |
1,693 | 77,675 | ||||||
NIO, Inc. - ADR(a) |
9,048 | 52,026 | ||||||
Nissan Motor Co., Ltd. - ADR |
4,601 | 36,118 | ||||||
Stellantis NV |
51,175 | 1,338,103 | ||||||
Stellantis NV |
2,278 | 59,820 | ||||||
Subaru Corp. |
72,200 | 1,633,583 | ||||||
Suzuki Motor Corp. |
43,600 | 1,919,285 | ||||||
Tata Motors Ltd. |
54,538 | 624,412 | ||||||
Toyota Motor Corp. - ADR |
1,862 | 447,904 | ||||||
Toyota Motor Corp. |
7,100 | 171,014 | ||||||
Volkswagen AG |
702 | 110,483 | ||||||
Volvo AB - Class B |
3,636 | 100,185 | ||||||
XPeng, Inc. - ADR(a) |
6,430 | 60,635 | ||||||
13,903,127 | ||||||||
Auto Parts & Equipment — 0.2% |
||||||||
Aisin Corp. |
1,100 | 41,542 | ||||||
Cie Generale des Etablissements Michelin SCA |
1,852 | 68,536 | ||||||
Denso Corp. |
3,600 | 66,223 | ||||||
Hankook Tire & Technology Co., Ltd. |
14,945 | 608,864 | ||||||
Hyundai Mobis Co., Ltd. |
302 | 55,084 | ||||||
Magna International, Inc. |
3,010 | 165,911 | ||||||
Vitesco Technologies Group AG(a) |
88 | 7,099 | ||||||
Weichai Power Co., Ltd. - Class H |
24,000 | 47,241 | ||||||
1,060,500 | ||||||||
Banks — 10.3% |
||||||||
AIB Group PLC |
229,046 | 1,063,364 | ||||||
ANZ Group Holdings Ltd. |
5,980 | 110,843 | ||||||
Axis Bank Ltd. |
37,392 | 484,040 | ||||||
Banco Bilbao Vizcaya Argentaria SA |
73,459 | 732,702 | ||||||
Banco do Brasil SA |
259,100 | 3,021,469 | ||||||
Banco do Brasil SA - ADR |
11,296 | 131,147 | ||||||
Banco Santander SA |
37,238 | 155,189 | ||||||
Bank Central Asia Tbk PT |
687,000 | 432,306 | ||||||
Bank Mandiri Persero Tbk PT - ADR |
5,112 | 91,377 | ||||||
Bank Mandiri Persero Tbk PT |
2,985,400 | 1,333,500 |
The accompanying notes are an integral part of the financial statements.
5
AQUARIUS INTERNATIONAL FUND
Schedule of Investments (Continued)
FEBRUARY 29, 2024 (UNAUDITED)
Shares |
Value |
|||||||
Banks — (Continued) |
||||||||
Bank Montreal |
867 | $ | 78,464 | |||||
Bank of Nova Scotia, (The) |
2,673 | 129,560 | ||||||
Bank Rakyat Indonesia Persero Tbk PT - ADR |
1,382 | 27,115 | ||||||
Bankinter SA |
200,807 | 1,278,291 | ||||||
Barclays PLC |
126,063 | 263,474 | ||||||
BDO Unibank, Inc. |
181,150 | 493,508 | ||||||
Bendigo & Adelaide Bank Ltd. |
12,614 | 79,519 | ||||||
BNP Paribas SA |
2,636 | 158,213 | ||||||
CaixaBank SA |
65,952 | 298,348 | ||||||
Canadian Imperial Bank of Commerce |
1,139 | 53,897 | ||||||
Chiba Bank Ltd. |
4,900 | 39,906 | ||||||
China Merchants Bank Co., Ltd. - Class H |
303,063 | 1,171,951 | ||||||
Commerzbank AG |
264,094 | 3,057,137 | ||||||
Commonwealth Bank Of Australia |
4,512 | 342,265 | ||||||
Computershare Ltd. |
2,023 | 34,189 | ||||||
Concordia Financial Group Ltd. |
11,723 | 59,434 | ||||||
Credicorp Ltd. |
2,944 | 503,071 | ||||||
DBS Group Holdings Ltd. - ADR |
2,227 | 221,007 | ||||||
DBS Group Holdings Ltd. |
95,200 | 2,360,511 | ||||||
Deutsche Bank AG |
8,776 | 117,862 | ||||||
DNB Bank ASA |
83,210 | 1,666,174 | ||||||
Erste Group Bank AG |
20,482 | 818,936 | ||||||
FinecoBank Banca Fineco SpA |
201,036 | 2,785,062 | ||||||
FirstRand Ltd. |
13,495 | 45,655 | ||||||
Fukuoka Financial Group, Inc. |
3,000 | 77,936 | ||||||
Grupo Financiero Banorte SAB de CV |
135,485 | 1,401,411 | ||||||
Grupo Financiero Banorte SAB de CV, SP ADR - ADR |
666 | 34,466 | ||||||
Grupo Financiero Galicia SA - ADR |
12,366 | 272,176 | ||||||
Hana Financial Group, Inc. |
42,763 | 1,819,475 | ||||||
HDFC Bank Ltd. |
219,902 | 3,713,917 | ||||||
HSBC Holdings PLC - ADR |
9,910 | 388,274 | ||||||
ICICI Bank Ltd. - ADR |
81,678 | 2,091,773 | ||||||
Industrial & Commercial Bank of China Ltd. - Class H |
1,916,000 | 982,166 | ||||||
ING Groep NV |
171,554 | 2,360,903 | ||||||
Intesa Sanpaolo |
14,336 | 45,652 | ||||||
Japan Post Bank Co., Ltd. |
3,700 | 39,452 | ||||||
KBC Group NV |
799 | 56,284 | ||||||
Macquarie Group Ltd. |
1,021 | 129,646 | ||||||
Macquarie Group, Ltd. - ADR |
1,203 | 152,432 | ||||||
Mediobanca Banca di Credito Finanziario SpA |
3,974 | 54,134 | ||||||
Mitsubishi UFJ Financial Group, Inc. - ADR |
53,334 | 547,740 | ||||||
National Australia Bank Ltd. |
7,689 | 170,843 |
Shares |
Value |
|||||||
Banks — (Continued) |
||||||||
National Australia Bank Ltd. - ADR |
11,208 | $ | 125,081 | |||||
National Bank of Greece SA(a) |
109,951 | 863,332 | ||||||
NatWest Group PLC |
713,301 | 2,156,752 | ||||||
Nedbank Group Ltd. - ADR |
2,666 | 30,606 | ||||||
Nordea Bank Abp |
93 | 1,132 | ||||||
Nordea Bank Abp |
11,504 | 140,043 | ||||||
Oversea-Chinese Banking Corp. Ltd. |
9,000 | 86,930 | ||||||
Resona Holdings, Inc. |
426,200 | 2,326,037 | ||||||
Royal Bank Canada |
3,116 | 302,501 | ||||||
Shinhan Financial Group Co., Ltd. - ADR |
9,162 | 298,498 | ||||||
Shizuoka Financial Group, Inc. |
3,900 | 38,175 | ||||||
Societe Generale SA |
2,392 | 58,091 | ||||||
Standard Bank Group Ltd. |
83,401 | 877,580 | ||||||
Sumitomo Mitsui Financial Group, Inc. - ADR |
56,610 | 630,635 | ||||||
Sumitomo Mitsui Financial Group, Inc. |
50,100 | 2,791,300 | ||||||
Sumitomo Mitsui Trust Holdings, Inc. |
1,600 | 32,421 | ||||||
Svenska Handelsbanken AB - Class A |
101,196 | 1,210,286 | ||||||
TCS Group Holding PLC - GDR(a)(c) |
3,732 | 0 | ||||||
Toronto-Dominion Bank, (The) |
5,858 | 351,480 | ||||||
UBS Group AG |
13,717 | 391,645 | ||||||
UniCredit SpA |
2,917 | 97,704 | ||||||
United Overseas Bank Ltd. |
6,000 | 124,852 | ||||||
Woori Financial Group, Inc. - ADR |
4,696 | 159,617 | ||||||
Yapi ve Kredi Bankasi AS |
692,268 | 510,884 | ||||||
51,583,748 | ||||||||
Beverages — 1.4% |
||||||||
Anheuser-Busch InBev SA/NV - ADR |
2,592 | 156,479 | ||||||
Arca Continental SAB de CV |
60,200 | 648,967 | ||||||
Asahi Group Holdings Ltd. |
71,200 | 2,439,131 | ||||||
Carlsberg A/S - Class B |
499 | 69,702 | ||||||
Cia Cervecerias Unidas SA - ADR |
4,167 | 48,462 | ||||||
Coca-Cola Europacific Partners PLC |
23,239 | 1,594,892 | ||||||
Coca-Cola HBC AG |
1,058 | 32,982 | ||||||
Davide Campari-Milano NV |
5,538 | 56,156 | ||||||
Diageo PLC - ADR |
2,046 | 308,537 | ||||||
Endeavour Group Ltd. |
2,137 | 7,650 | ||||||
Fomento Economico Mexicano SAB de CV - ADR |
3,916 | 486,524 | ||||||
Heineken Holding NV |
434 | 33,523 | ||||||
Heineken NV - ADR |
3,534 | 163,165 | ||||||
Kweichow Moutai Co. Ltd. - Class A |
2,500 | 587,545 | ||||||
6,633,715 |
The accompanying notes are an integral part of the financial statements.
6
AQUARIUS INTERNATIONAL FUND
Schedule of Investments (Continued)
FEBRUARY 29, 2024 (UNAUDITED)
Shares |
Value |
|||||||
Biotechnology — 0.5% |
||||||||
Argenx SE - ADR(a) |
245 | $ | 93,102 | |||||
CSL Ltd. - ADR |
3,938 | 365,644 | ||||||
CSL Ltd. |
628 | 116,911 | ||||||
Genmab AS(a) |
6,020 | 1,672,478 | ||||||
2,248,135 | ||||||||
Building Materials — 1.5% |
||||||||
Ambuja Cements Ltd. |
70,612 | 515,703 | ||||||
Cie de Saint-Gobain SA |
15,213 | 1,172,780 | ||||||
CRH PLC |
51,811 | 4,315,380 | ||||||
CRH PLC |
1,441 | 121,491 | ||||||
Daikin Industries Ltd. |
349 | 49,189 | ||||||
Geberit AG |
202 | 117,441 | ||||||
Imerys SA |
22,433 | 710,098 | ||||||
James Hardie Industries PLC(a) |
2,896 | 114,553 | ||||||
Kingspan Group PLC |
554 | 50,098 | ||||||
LafargeHolcim Ltd. |
2,013 | 164,300 | ||||||
Sika AG |
437 | 126,388 | ||||||
Svenska Cellulosa AB SCA - Class B |
4,527 | 64,095 | ||||||
7,521,516 | ||||||||
Chemicals — 1.6% |
||||||||
Air Liquide SA |
14,736 | 2,995,135 | ||||||
Air Liquide SA - ADR |
1,948 | 79,147 | ||||||
Asahi Kasei Corp. |
6,000 | 41,748 | ||||||
BASF SE |
1,905 | 97,035 | ||||||
Brenntag SE |
387 | 35,335 | ||||||
Croda International PLC |
584 | 35,208 | ||||||
EMS-Chemie Holding AG |
143 | 99,791 | ||||||
Givaudan SA |
27 | 113,290 | ||||||
Givaudan SA - ADR |
600 | 50,346 | ||||||
ICL Group Ltd. |
12,592 | 67,493 | ||||||
Kansai Paint Co., Ltd. |
124,600 | 1,808,524 | ||||||
LG Chem Ltd. |
385 | 131,499 | ||||||
Linde PLC |
1,012 | 454,206 | ||||||
Mitsubishi Chemical Group Corp. |
232,600 | 1,334,738 | ||||||
Nippon Sanso Holdings Corp. |
1,500 | 43,505 | ||||||
Novozymes AS |
673 | 37,952 | ||||||
Shin-Etsu Chemical Co., Ltd. - ADR |
6,860 | 145,775 | ||||||
Shin-Etsu Chemical Co., Ltd. |
3,270 | 139,545 | ||||||
Syensqo SA(a) |
373 | 33,303 | ||||||
Symrise AG |
500 | 51,166 | ||||||
7,794,741 | ||||||||
Coal — 1.1% |
||||||||
China Shenhua Energy Co., Ltd. - Class H |
39,000 | 150,060 | ||||||
Peabody Energy Corp. |
55,932 | 1,385,436 | ||||||
Teck Resources Ltd. - Class B |
8,215 | 315,620 | ||||||
Teck Resources Ltd. - Class B |
84,658 | 3,253,078 | ||||||
5,104,194 |
Shares |
Value |
|||||||
Commercial Services — 4.1% |
||||||||
Abu Dhabi Ports Co. PJSC(a) |
206,000 | $ | 324,736 | |||||
Adani Ports & Special Economic Zone Ltd. |
47,921 | 760,787 | ||||||
Adyen NV(a)(b) |
1,247 | 1,973,053 | ||||||
Amadeus IT Group SA - ADR |
1,437 | 88,390 | ||||||
Ashtead Group PLC |
59,295 | 4,264,806 | ||||||
Bidvest Group Ltd. |
3,146 | 38,326 | ||||||
Bureau Veritas SA |
1,739 | 50,529 | ||||||
China Merchants Port Holdings Co., Ltd. |
60,000 | 74,475 | ||||||
Edenred SE |
41,231 | 2,040,261 | ||||||
Experian PLC |
2,543 | 108,906 | ||||||
International Container Terminal Services, Inc. |
65,067 | 333,913 | ||||||
Intertek Group PLC |
1,279 | 74,866 | ||||||
Localiza Rent a Car SA - ADR |
4,006 | 42,504 | ||||||
New Oriental Education & Technology Group, Inc. - ADR(a) |
16,102 | 1,506,019 | ||||||
RB Global, Inc. |
1,064 | 80,768 | ||||||
Recruit Holdings Co., Ltd. |
3,292 | 132,786 | ||||||
RELX PLC |
145,369 | 6,367,798 | ||||||
Rentokil Initial PLC |
311,445 | 1,733,818 | ||||||
Secom Co., Ltd. |
800 | 58,378 | ||||||
TAL Education Group - ADR(a) |
7,594 | 111,860 | ||||||
TravelSky Technology Ltd. - Class H |
51,000 | 60,969 | ||||||
Worldline SA (France)(a)(b) |
2,235 | 25,729 | ||||||
20,253,677 | ||||||||
Computers — 2.2% |
||||||||
Asia Vital Components Co., Ltd. |
67,000 | 1,130,221 | ||||||
AutoStore Holdings Ltd.(a)(b) |
478,274 | 766,029 | ||||||
BayCurrent Consulting, Inc. |
47,300 | 1,062,590 | ||||||
Capgemini SE |
4,971 | 1,209,166 | ||||||
CGI, Inc.(a) |
1,307 | 150,109 | ||||||
Check Point Software Technologies Ltd.(a) |
499 | 80,050 | ||||||
Cognizant Technology Solutions Corp. - Class A |
8,329 | 658,158 | ||||||
CyberArk Software Ltd.(a) |
576 | 151,926 | ||||||
Globant S.A.(a) |
2,174 | 485,172 | ||||||
Infosys Ltd. - ADR |
28,588 | 570,616 | ||||||
Lenovo Group Ltd. |
32,000 | 35,351 | ||||||
Logitech International SA |
444 | 38,992 | ||||||
Nomura Research Institute Ltd. |
66,300 | 1,863,033 | ||||||
NTT Data Group Corp. |
3,100 | 50,490 | ||||||
Persistent Systems Ltd. |
3,328 | 346,322 | ||||||
Teleperformance SE |
10,936 | 1,357,793 | ||||||
Wipro Ltd. - ADR |
112,803 | 698,250 | ||||||
Wistron Corp. |
80,000 | 292,941 | ||||||
Wiwynn Corp. |
8,000 | 590,623 | ||||||
11,537,832 |
The accompanying notes are an integral part of the financial statements.
7
AQUARIUS INTERNATIONAL FUND
Schedule of Investments (Continued)
FEBRUARY 29, 2024 (UNAUDITED)
Shares |
Value |
|||||||
Cosmetics/Personal Care — 0.4% |
||||||||
Beiersdorf AG |
432 | $ | 61,923 | |||||
Colgate-Palmolive India Ltd. |
15,288 | 464,926 | ||||||
Essity AB - Class B |
5,178 | 120,731 | ||||||
Haleon PLC - ADR |
9,632 | 82,450 | ||||||
Kao Corp. |
700 | 26,487 | ||||||
L’Oreal SA - ADR |
3,400 | 325,448 | ||||||
L’Oreal SA |
148 | 70,695 | ||||||
Unicharm Corp. |
3,287 | 109,007 | ||||||
Unilever PLC - ADR |
9,303 | 455,568 | ||||||
1,717,235 | ||||||||
Distribution/Wholesale — 2.9% |
||||||||
Azelis Group NV |
109,827 | 2,262,769 | ||||||
Bunzl PLC |
130,190 | 5,189,302 | ||||||
Ferguson PLC |
13,318 | 2,777,541 | ||||||
IMCD NV |
10,996 | 1,677,545 | ||||||
ITOCHU Corp. |
3,700 | 160,732 | ||||||
ITOCHU Corp. - ADR |
426 | 36,943 | ||||||
Mitsubishi Corp. |
2,400 | 51,479 | ||||||
Mitsui & Co., Ltd. |
3,159 | 138,751 | ||||||
Rexel SA |
54,180 | 1,390,865 | ||||||
Sendas Distribuidora S/A |
101,900 | 291,488 | ||||||
Sendas Distribuidora S/A - ADR |
2,775 | 39,460 | ||||||
Zhongji Innolight Co., Ltd. - Class A |
20,200 | 435,879 | ||||||
14,452,754 | ||||||||
Diversified Financial Services — 2.3% |
||||||||
Allfunds Group PLC |
141,996 | 1,009,464 | ||||||
Banco BTG Pactual SA |
113,400 | 832,861 | ||||||
Deutsche Boerse AG |
21,873 | 4,579,059 | ||||||
Deutsche Boerse AG - ADR |
2,810 | 58,785 | ||||||
Euronext NV(b) |
11,752 | 1,083,074 | ||||||
Futu Holdings Ltd. - ADR(a) |
852 | 45,599 | ||||||
Hong Kong Exchanges & Clearing Ltd. |
1,780 | 54,821 | ||||||
Japan Exchange Group, Inc. |
65,100 | 1,704,422 | ||||||
KB Financial Group, Inc. |
32,344 | 1,542,622 | ||||||
KB Financial Group, Inc. - ADR |
6,431 | 304,507 | ||||||
London Stock Exchange Group PLC |
791 | 88,840 | ||||||
London Stock Exchange Group PLC - ADR |
2,464 | 69,214 | ||||||
Sanlam Ltd. - ADR |
5,156 | 39,650 | ||||||
SBI Holdings, Inc. |
2,600 | 70,003 | ||||||
Singapore Exchange Ltd. |
6,000 | 42,152 | ||||||
11,525,073 | ||||||||
Electric — 1.5% |
||||||||
Algonquin Power & Utilities Corp. |
5,049 | 29,537 | ||||||
Centrais Eletricas Brasileiras SA |
67,100 | 587,974 |
Shares |
Value |
|||||||
Electric — (Continued) |
||||||||
China Resources Power Holdings Co., Ltd. |
14,000 | $ | 30,137 | |||||
CLP Holdings Ltd. |
13,500 | 112,349 | ||||||
Dubai Electricity & Water Authority PJSC |
728,813 | 478,252 | ||||||
E.ON SE |
4,732 | 60,424 | ||||||
Enel SpA |
25,288 | 160,909 | ||||||
Engie SA - ADR |
8,968 | 143,847 | ||||||
Equatorial Energia SA |
61,100 | 419,616 | ||||||
Fortis, Inc. |
5,188 | 200,153 | ||||||
Fortum Oyj |
153,567 | 1,919,301 | ||||||
Iberdrola SA - ADR |
1,618 | 74,234 | ||||||
Iberdrola SA |
11,895 | 136,616 | ||||||
Mercury NZ Ltd. |
7,755 | 31,541 | ||||||
Meridian Energy Ltd. |
15,956 | 58,101 | ||||||
National Grid PLC - ADR |
2,605 | 173,649 | ||||||
National Grid PLC |
5,579 | 73,002 | ||||||
NTPC Ltd. |
110,388 | 446,062 | ||||||
Power Assets Holdings Ltd. |
11,000 | 66,013 | ||||||
Power Grid Corp. of India Ltd. |
99,042 | 338,375 | ||||||
RWE AG |
1,739 | 58,252 | ||||||
SSE PLC |
106,335 | 2,185,452 | ||||||
SSE PLC - ADR |
5,415 | 112,415 | ||||||
Tokyo Electric Power Co. Holdings, Inc.(a) |
7,500 | 40,573 | ||||||
Verbund AG - Class A |
389 | 28,160 | ||||||
7,964,944 | ||||||||
Electrical Components & Equipment — 0.1% |
||||||||
Delta Electronics, Inc. |
40,000 | 372,747 | ||||||
Legrand SA |
942 | 95,407 | ||||||
Schneider Electric SE - ADR |
4,025 | 182,977 | ||||||
Schneider Electric SE |
698 | 158,650 | ||||||
809,781 | ||||||||
Electronics — 0.3% |
||||||||
AAC Technologies Holdings, Inc. |
32,000 | 79,557 | ||||||
ABB Ltd. |
4,533 | 209,163 | ||||||
BYD Electronic International Co., Ltd. |
23,500 | 88,733 | ||||||
Hirose Electric Co., Ltd. |
827 | 88,012 | ||||||
Hon Hai Precision Industry Co., Ltd. |
87,353 | 284,813 | ||||||
Hoya Corp. |
670 | 87,460 | ||||||
Hoya Corp. - ADR |
487 | 63,368 | ||||||
Kyocera Corp. |
4,400 | 64,937 | ||||||
Lotes Co. Ltd. |
8,000 | 259,555 | ||||||
Murata Manufacturing Co., Ltd. |
4,857 | 97,878 | ||||||
Murata Manufacturing Co., Ltd. - ADR |
7,572 | 76,023 | ||||||
NIDEC CORP |
1,000 | 37,949 | ||||||
TDK Corp. |
800 | 41,709 | ||||||
1,479,157 |
The accompanying notes are an integral part of the financial statements.
8
AQUARIUS INTERNATIONAL FUND
Schedule of Investments (Continued)
FEBRUARY 29, 2024 (UNAUDITED)
Shares |
Value |
|||||||
Energy-Alternate Sources — 0.0%(d) |
||||||||
Vestas Wind Systems AS(a) |
2,480 | $ | 69,113 | |||||
Engineering & Construction — 1.0% |
||||||||
Auckland International Airport Ltd. |
13,450 | 66,331 | ||||||
Cellnex Telecom SA(b) |
832 | 30,081 | ||||||
Ferrovial SE |
3,085 | 115,841 | ||||||
GMR Airports Infrastructure Ltd.(a) |
771,856 | 781,205 | ||||||
Grupo Aeroportuario del Pacifico SAB de CV - ADR |
392 | 58,087 | ||||||
Grupo Aeroportuario del Sureste SAB de CV - ADR |
471 | 138,648 | ||||||
Larsen & Toubro Ltd. |
12,922 | 541,772 | ||||||
Samsung C&T Corp. |
3,006 | 353,740 | ||||||
SPIE SA |
68,114 | 2,268,814 | ||||||
Technip Energies NV |
29,315 | 637,521 | ||||||
Vinci SA |
905 | 115,969 | ||||||
Vinci SA - ADR |
1,124 | 35,968 | ||||||
5,143,977 | ||||||||
Entertainment — 0.4% |
||||||||
Aristocrat Leisure Ltd. |
1,159 | 35,214 | ||||||
Evolution AB - ADR |
336 | 43,549 | ||||||
Flutter Entertainment PLC(a) |
244 | 52,835 | ||||||
Genting Singapore Ltd. |
2,333,700 | 1,579,286 | ||||||
Lottery Corp. Ltd. |
8,950 | 29,613 | ||||||
OPAP SA |
21,717 | 395,968 | ||||||
Oriental Land Co., Ltd. |
3,065 | 109,850 | ||||||
2,246,315 | ||||||||
Environmental Control — 0.0%(d) |
||||||||
China Conch Environment Protection Holdings Ltd.(a) |
21,500 | 3,262 | ||||||
Food — 2.0% |
||||||||
Aeon Co., Ltd. |
5,200 | 124,160 | ||||||
Ajinomoto Co., Inc. |
1,500 | 55,172 | ||||||
BIM Birlesik Magazalar AS |
39,663 | 492,261 | ||||||
Chocoladefabriken Lindt & Spruengli AG |
6 | 73,425 | ||||||
Coles Group Ltd. |
4,059 | 44,646 | ||||||
Companhia Brasileira De Distribuicao(a) |
2,775 | 2,120 | ||||||
Danone SA |
3,030 | 193,349 | ||||||
Koninklijke Ahold Delhaize NV - ADR |
4,031 | 119,801 | ||||||
Koninklijke Ahold Delhaize NV |
140,399 | 4,181,349 | ||||||
Nestle SA - ADR |
6,381 | 663,433 | ||||||
Nestle SA |
615 | 63,786 | ||||||
Nisshin Seifun Group, Inc. |
2,700 | 37,335 | ||||||
Nomad Foods Ltd. |
65,321 | 1,203,866 | ||||||
Ocado Group PLC(a) |
4,076 | 26,400 | ||||||
Seven & i Holdings Co., Ltd. |
1,800 | 26,825 |
Shares |
Value |
|||||||
Food — (Continued) |
||||||||
Seven & i Holdings Co., Ltd. - ADR |
1,800 | $ | 40,500 | |||||
Tesco PLC |
719,563 | 2,537,939 | ||||||
9,886,367 | ||||||||
Food Service — 0.9% |
||||||||
Compass Group PLC |
168,883 | 4,633,945 | ||||||
Compass Group PLC - ADR |
7,353 | 201,619 | ||||||
4,835,564 | ||||||||
Forest Products & Paper — 0.0%(d) |
||||||||
Suzano Papel e Celulose SA - ADR |
6,573 | 74,604 | ||||||
UPM-Kymmene Corp. |
1,590 | 53,216 | ||||||
127,820 | ||||||||
Gas — 0.0%(d) |
||||||||
ENN Energy Holdings Ltd. |
4,400 | 35,727 | ||||||
Hand/Machine Tools — 0.0%(d) |
||||||||
Alleima AB |
657 | 4,321 | ||||||
Schindler Holding AG |
651 | 165,563 | ||||||
Techtronic Industries Co., Ltd. |
4,500 | 48,547 | ||||||
218,431 | ||||||||
Healthcare-Products — 0.7% |
||||||||
Alcon, Inc. |
1,673 | 141,452 | ||||||
Asahi Intecc Co., Ltd. |
1,900 | 39,546 | ||||||
China Medical System Holdings Ltd. |
21,000 | 34,521 | ||||||
Cochlear Ltd. |
376 | 85,711 | ||||||
Coloplast AS - Class B |
327 | 43,436 | ||||||
Essilor International Cie Generale d’Opitque SA |
608 | 129,099 | ||||||
EssilorLuxottica SA - ADR |
144 | 15,293 | ||||||
Fisher & Paykel Healthcare Corp. Ltd. |
2,201 | 32,754 | ||||||
FUJIFILM Holdings Corp. |
1,800 | 114,654 | ||||||
Getinge AB - Class B |
1,494 | 29,607 | ||||||
Koninklijke Philips |
1,467 | 29,556 | ||||||
Olympus Corp. |
1,400 | 19,920 | ||||||
Repligen Corp.(a) |
2,095 | 406,409 | ||||||
Sartorius Stedim Biotech |
4,928 | 1,356,426 | ||||||
Smith & Nephew PLC |
59,705 | 787,679 | ||||||
Sonova Holding AG |
143 | 44,108 | ||||||
Terumo Corp. |
162 | 6,312 | ||||||
3,316,483 | ||||||||
Healthcare-Services — 0.6% |
||||||||
Bangkok Dusit Medical, NVDR - NVDR |
452,700 | 359,652 | ||||||
BioMerieux |
307 | 33,558 | ||||||
EUROFINS SCIENTIFI EUR0.01(a) |
31,730 | 1,896,278 | ||||||
Lonza Group AG |
182 | 94,996 |
The accompanying notes are an integral part of the financial statements.
9
AQUARIUS INTERNATIONAL FUND
Schedule of Investments (Continued)
FEBRUARY 29, 2024 (UNAUDITED)
Shares |
Value |
|||||||
Healthcare-Services — (Continued) |
||||||||
Lonza Group AG - ADR |
370 | $ | 19,347 | |||||
Max Healthcare Institute Ltd. |
64,250 | 614,916 | ||||||
Sonic Healthcare Ltd. - ADR |
3,345 | 65,462 | ||||||
3,084,209 | ||||||||
Holding Companies-Diversified — 0.0%(d) |
||||||||
Jardine Matheson Holdings Ltd. - ADR |
1,524 | 62,941 | ||||||
Jardine Matheson Holdings, Ltd. |
1,600 | 67,176 | ||||||
130,117 | ||||||||
Home Builders — 0.2% |
||||||||
Barratt Developments PLC |
132,364 | 780,966 | ||||||
Sekisui House Ltd. |
4,000 | 89,103 | ||||||
870,069 | ||||||||
Home Furnishings — 0.6% |
||||||||
Electrolux AB - Class B(a) |
972 | 8,329 | ||||||
Hoshizaki Corp. |
800 | 27,307 | ||||||
Panasonic Holdings Corp. |
141,500 | 1,337,689 | ||||||
Sony Group Corp. |
15,100 | 1,300,838 | ||||||
Sony Group Corp. - ADR |
4,806 | 412,403 | ||||||
3,086,566 | ||||||||
Household Products/Wares — 0.5% |
||||||||
Henkel AG & Co. KGaA |
889 | 59,978 | ||||||
Reckitt Benckiser Group PLC |
36,242 | 2,289,889 | ||||||
Reckitt Benckiser Group PLC - ADR |
13,425 | 169,021 | ||||||
2,518,888 | ||||||||
Insurance — 6.4% |
||||||||
Admiral Group PLC |
56,942 | 1,921,309 | ||||||
Aegon Ltd. |
14,288 | 85,874 | ||||||
Ageas SA NV |
2,481 | 105,442 | ||||||
AIA Group Ltd. - ADR |
3,113 | 100,425 | ||||||
Allianz SE |
8,165 | 2,242,563 | ||||||
Allianz SE - ADR |
4,740 | 129,686 | ||||||
Aon PLC - Class A |
22,749 | 7,188,458 | ||||||
AXA SA |
77,013 | 2,741,811 | ||||||
Baloise Holding AG |
522 | 84,225 | ||||||
Beazley PLC |
441,074 | 3,640,860 | ||||||
Cathay Financial Holding Co., Ltd. |
24,000 | 34,244 | ||||||
China Pacific Insurance Group Co., Ltd. - Class H |
40,400 | 76,633 | ||||||
Dai-ichi Life Holdings, Inc. |
6,692 | 152,338 | ||||||
Everest Group Ltd. |
7,135 | 2,631,959 | ||||||
Hannover Rueck SE |
421 | 108,074 | ||||||
Hiscox Ltd. |
95,248 | 1,362,232 | ||||||
ICICI Lombard General Insurance Co., Ltd.(b) |
21,172 | 437,394 | ||||||
Japan Post Holdings Co., Ltd. |
175,000 | 1,688,957 | ||||||
Legal & General Group PLC |
36,815 | 112,877 | ||||||
M&G PLC |
12,144 | 34,526 |
Shares |
Value |
|||||||
Insurance — (Continued) |
||||||||
Mandatum Oyj(a) |
2,616 | $ | 11,492 | |||||
Manulife Financial Corp. |
6,860 | 162,856 | ||||||
MS&AD Insurance Group Holdings, Inc. |
900 | 44,975 | ||||||
Muenchener Rueckversicherungs-Gesellschaft AG |
295 | 137,344 | ||||||
New China Life Insurance Co., Ltd. - Class H |
45,800 | 87,983 | ||||||
NN Group NV |
3,039 | 135,624 | ||||||
PICC Property & Casualty Co., Ltd. - Class H |
48,000 | 65,622 | ||||||
Ping An Insurance Group Co. of China Ltd. - Class H |
24,500 | 108,956 | ||||||
Powszechny Zaklad Ubezpieczen SA |
72,767 | 895,414 | ||||||
Sampo Oyj |
55,245 | 2,472,039 | ||||||
Samsung Life Insurance Co., Ltd. |
4,378 | 318,679 | ||||||
Sompo Holdings, Inc. |
600 | 35,176 | ||||||
Sun Life Financial, Inc. |
2,753 | 146,239 | ||||||
Suncorp Group Ltd. |
18,597 | 185,209 | ||||||
Swiss Re AG |
544 | 65,658 | ||||||
T&D Holdings, Inc. |
5,200 | 90,503 | ||||||
Tokio Marine Holdings, Inc. |
4,200 | 122,710 | ||||||
Topdanmark AS |
29,888 | 1,344,570 | ||||||
Zurich Insurance Group AG - ADR |
3,590 | 190,665 | ||||||
Zurich Insurance Group AG |
270 | 143,648 | ||||||
31,645,249 | ||||||||
Internet — 2.2% |
||||||||
Alibaba Group Holding Ltd. |
186,800 | 1,717,380 | ||||||
Auto Trader Group PLC(b) |
5,141 | 48,140 | ||||||
Baidu, Inc., SP ADR - ADR(a) |
653 | 66,168 | ||||||
Bilibili, Inc. - ADR(a) |
4,363 | 42,234 | ||||||
iQIYI, Inc. - ADR(a) |
12,194 | 44,996 | ||||||
JD.com, Inc. - ADR |
5,286 | 119,569 | ||||||
JOYY, Inc. - ADR |
2,046 | 64,449 | ||||||
MercadoLibre, Inc.(a) |
324 | 516,877 | ||||||
MonotaRO Co. Ltd. |
43,200 | 413,204 | ||||||
Naspers Ltd. - ADR |
4,780 | 156,258 | ||||||
NAVER Corp. |
1,223 | 179,575 | ||||||
PDD Holdings, Inc. - ADR(a) |
5,862 | 730,053 | ||||||
Prosus NV |
4,876 | 142,412 | ||||||
Rakuten Group, Inc.(a) |
7,200 | 39,463 | ||||||
SEEK Ltd. |
4,272 | 73,157 | ||||||
Shopify, Inc. - Class A(a) |
2,551 | 194,820 | ||||||
Tencent Holdings Ltd. - ADR |
17,909 | 625,776 | ||||||
Tencent Holdings Ltd. |
113,830 | 3,987,536 | ||||||
Tencent Music Entertainment Group, ADR - ADR(a) |
85,292 | 893,008 |
The accompanying notes are an integral part of the financial statements.
10
AQUARIUS INTERNATIONAL FUND
Schedule of Investments (Continued)
FEBRUARY 29, 2024 (UNAUDITED)
Shares |
Value |
|||||||
Internet — (Continued) |
||||||||
Trip.com Group Ltd. - ADR(a) |
25,254 | $ | 1,123,046 | |||||
Weibo Corp. - ADR |
3,702 | 33,762 | ||||||
Wix.com Ltd.(a) |
389 | 54,530 | ||||||
11,266,413 | ||||||||
Investment Companies — 0.0%(d) |
||||||||
L E Lundbergforetagen AB - Class B |
1,867 | 101,553 | ||||||
Iron/Steel — 0.2% |
||||||||
BlueScope Steel Ltd. |
6,357 | 94,532 | ||||||
Cia Siderurgica Nacional SA - ADR |
41,580 | 140,125 | ||||||
Fortescue Ltd. |
5,658 | 95,496 | ||||||
Nippon Steel Corp. |
8,000 | 198,525 | ||||||
POSCO Holdings, Inc. - ADR |
3,580 | 289,371 | ||||||
Vale SA - ADR |
12,347 | 165,573 | ||||||
983,622 | ||||||||
Leisure Time — 0.0%(d) |
||||||||
Shimano, Inc. |
236 | 32,686 | ||||||
Yamaha Corp. |
1,300 | 28,430 | ||||||
61,116 | ||||||||
Lodging — 0.3% |
||||||||
City Developments Ltd. |
9,500 | 40,042 | ||||||
Galaxy Entertainment Group Ltd. |
10,000 | 54,448 | ||||||
H World Group Ltd. - ADR |
1,879 | 68,696 | ||||||
Indian Hotels Co., Ltd. |
33,098 | 234,268 | ||||||
InterContinental Hotels Group PLC |
1,515 | 160,884 | ||||||
Sands China, Ltd.(a) |
374,000 | 1,061,915 | ||||||
1,620,253 | ||||||||
Machinery-Constr&Mining — 0.3% |
||||||||
EPIROC AB SER’A’NPV(a) |
75,161 | 1,364,334 | ||||||
Machinery-Construction & Mining — 1.7% |
||||||||
Hitachi Ltd. - ADR |
1,830 | 308,190 | ||||||
Hitachi Ltd. |
901 | 76,333 | ||||||
Komatsu Ltd. |
4,400 | 127,724 | ||||||
Mitsubishi Electric Corp. |
155,000 | 2,468,838 | ||||||
Mitsubishi Heavy Industries Ltd. |
39,800 | 3,150,048 | ||||||
Siemens Energy AG(a) |
960 | 14,742 | ||||||
Weir Group, PLC, (The) |
82,999 | 1,925,163 | ||||||
8,071,038 | ||||||||
Machinery-Diversified — 0.7% |
||||||||
Accelleron Industries AG |
226 | 7,627 | ||||||
ANDRITZ AG |
13,991 | 880,337 | ||||||
Atlas Copco AB - Class A |
6,804 | 118,200 | ||||||
Atlas Copco AB - ADR |
6,624 | 114,793 | ||||||
CNH Industrial NV |
6,623 | 77,854 | ||||||
FANUC Corp. |
1,000 | 29,149 |
Shares |
Value |
|||||||
Machinery-Diversified — (Continued) |
||||||||
Haitian International Holdings Ltd. |
31,000 | $ | 78,494 | |||||
Husqvarna AB - Class B |
4,490 | 34,679 | ||||||
IMI PLC |
91,242 | 2,002,751 | ||||||
Keyence Corp. |
500 | 234,328 | ||||||
KION Group AG |
1,235 | 62,400 | ||||||
Kone Oyj - Class B |
658 | 32,217 | ||||||
Kubota Corp. - ADR |
883 | 64,415 | ||||||
Omron Corp. |
500 | 18,591 | ||||||
SMC Corp. - ADR |
2,280 | 68,674 | ||||||
SMC Corp. |
110 | 66,393 | ||||||
Spirax-Sarco Engineering PLC |
358 | 46,710 | ||||||
Sumitomo Heavy Industries Ltd. |
2,000 | 59,602 | ||||||
3,997,214 | ||||||||
Media — 1.7% |
||||||||
Informa PLC |
127,240 | 1,304,590 | ||||||
Pearson PLC - ADR |
15,198 | 185,112 | ||||||
Thomson Reuters Corp. |
1,367 | 215,699 | ||||||
Vivendi SE |
3,398 | 37,971 | ||||||
Wolters Kluwer |
41,138 | 6,496,514 | ||||||
Wolters Kluwer NV - ADR |
667 | 105,286 | ||||||
8,345,172 | ||||||||
Metal Fabricate/Hardware — 0.2% |
||||||||
King Slide Works Co., Ltd. |
20,000 | 859,281 | ||||||
Tenaris SA - ADR |
6,962 | 245,062 | ||||||
1,104,343 | ||||||||
Mining — 2.2% |
||||||||
Agnico Eagle Mines Ltd. |
1,485 | 71,369 | ||||||
Alamos Gold, Inc. - Class A |
45,258 | 534,497 | ||||||
Allied Gold Corp.(a) |
114,096 | 248,848 | ||||||
Antofagasta PLC |
8,790 | 201,954 | ||||||
Barrick Gold Corp. |
6,196 | 90,833 | ||||||
BHP Group Ltd. - ADR |
4,374 | 250,805 | ||||||
Boliden AB |
2,900 | 73,499 | ||||||
Cameco Corp. |
16,923 | 685,890 | ||||||
Capstone Copper Corp.(a) |
154,011 | 807,986 | ||||||
Endeavour Mining PLC |
45,575 | 749,201 | ||||||
Franco-Nevada Corp. |
1,038 | 108,845 | ||||||
Glencore PLC |
329,826 | 1,568,045 | ||||||
Kinross Gold Corp. |
557,678 | 2,728,499 | ||||||
MMC Norilsk Nickel PJSC - ADR(a)(c) |
2,034 | 20 | ||||||
Norsk Hydro ASA |
15,202 | 78,028 | ||||||
Polyus PJSC(a)(c) |
1,719 | 0 | ||||||
Rio Tinto PLC - ADR |
1,210 | 78,081 | ||||||
South32 Ltd. |
44,192 | 84,658 | ||||||
Southern Copper Corp. |
39,123 | 3,163,485 | ||||||
Sumitomo Metal Mining Co., Ltd. |
2,000 | 52,065 |
The accompanying notes are an integral part of the financial statements.
11
AQUARIUS INTERNATIONAL FUND
Schedule of Investments (Continued)
FEBRUARY 29, 2024 (UNAUDITED)
Shares |
Value |
|||||||
Mining — (Continued) |
||||||||
Wheaton Precious Metals Corp. |
2,998 | $ | 123,488 | |||||
Zijin Mining Group Co., Ltd. - Class H |
24,000 | 38,552 | ||||||
11,738,648 | ||||||||
Miscellaneous Manufacturing — 1.2% |
||||||||
Aalberts NV |
30,530 | 1,373,265 | ||||||
Knorr-Bremse AG |
679 | 47,537 | ||||||
Orica Ltd. |
5,536 | 61,693 | ||||||
Siemens AG |
22,149 | 4,384,817 | ||||||
5,867,312 | ||||||||
Office-Business Equipment — 0.0%(d) |
||||||||
Canon, Inc. |
2,700 | 78,961 | ||||||
Oil & Gas — 5.8% |
||||||||
Aker BP ASA |
841 | 20,414 | ||||||
BP PLC |
712,688 | 4,140,792 | ||||||
BP PLC - ADR |
1 | 35 | ||||||
Canadian Natural Resources Ltd. |
4,335 | 302,106 | ||||||
Cenovus Energy, Inc. |
292,210 | 5,092,116 | ||||||
DCC PLC |
452 | 32,125 | ||||||
Equinor ASA |
71,073 | 1,751,152 | ||||||
Equinor ASA - ADR |
3,137 | 77,233 | ||||||
Galp Energia SGPS SA |
3,396 | 53,438 | ||||||
Imperial Oil Ltd. |
2,792 | 174,500 | ||||||
Inpex Corp. |
6,228 | 83,011 | ||||||
MEG Energy Corp.(a) |
71,232 | 1,524,732 | ||||||
Neste Oyj |
756 | 20,724 | ||||||
OMV AG |
4,843 | 213,412 | ||||||
PetroChina Co., Ltd. - Class H |
1,492,000 | 1,170,194 | ||||||
Petroleo Brasileiro SA - ADR |
73,733 | 1,218,069 | ||||||
Reliance Industries Ltd. |
39,260 | 1,381,765 | ||||||
Repsol SA |
7,844 | 124,603 | ||||||
Santos Ltd. |
19,946 | 91,841 | ||||||
Shell PLC |
70,158 | 2,169,988 | ||||||
Shell PLC |
30,804 | 967,839 | ||||||
Shell PLC - ADR |
75,143 | 4,721,235 | ||||||
Suncor Energy, Inc. |
45,906 | 1,577,274 | ||||||
TotalEnergies SE - ADR |
7,259 | 465,084 | ||||||
Ultrapar Participacoes SA - ADR |
10,793 | 63,895 | ||||||
Vista Energy SAB de CV - ADR(a) |
21,519 | 791,899 | ||||||
Woodside Energy Group Ltd. |
7,291 | 143,843 | ||||||
28,373,319 | ||||||||
Pharmaceuticals — 6.8% |
||||||||
Aspen Pharmacare Holdings Ltd. - ADR |
6,986 | 70,838 | ||||||
AstraZeneca PLC - ADR |
9,616 | 616,963 | ||||||
AstraZeneca PLC |
36,829 | 4,642,453 | ||||||
Celltrion, Inc. |
323 | 43,681 | ||||||
Chugai Pharmaceutical Co., Ltd. |
60,200 | 2,404,486 |
Shares |
Value |
|||||||
Pharmaceuticals — (Continued) |
||||||||
Cipla Ltd. |
21,942 | $ | 391,853 | |||||
CVS Group PLC |
20,158 | 374,305 | ||||||
Daiichi Sankyo Co., Ltd. |
3,548 | 116,850 | ||||||
Daiichi Sankyo Co., Ltd. - ADR |
876 | 28,785 | ||||||
Dr Reddy’s Laboratories Ltd. - ADR |
6,965 | 534,773 | ||||||
GSK PLC - ADR |
3,169 | 132,781 | ||||||
Hikma Pharmaceuticals PLC |
43,442 | 1,078,104 | ||||||
Merck KGaA |
587 | 99,876 | ||||||
Novartis AG |
53,676 | 5,415,777 | ||||||
Novartis AG - ADR |
5,833 | 588,958 | ||||||
Novo Nordisk AS - ADR |
12,898 | 1,544,793 | ||||||
Novo Nordisk AS |
42,200 | 5,037,232 | ||||||
Orion Oyj - Class B |
672 | 26,420 | ||||||
Recordati SPA |
53,722 | 3,007,622 | ||||||
Roche Holding AG - ADR |
10,736 | 351,389 | ||||||
Roche Holdings AG |
12,372 | 3,234,799 | ||||||
Sandoz Group AG - ADR(a) |
1,166 | 36,228 | ||||||
Sanofi SA - ADR |
5,762 | 275,712 | ||||||
Sanofi SA |
20,513 | 1,955,190 | ||||||
Sinopharm Group Co., Ltd. - Class H |
36,400 | 101,863 | ||||||
Sun Pharmaceutical Industries Ltd. |
33,292 | 632,916 | ||||||
Suzuken Co., Ltd. |
20,500 | 610,308 | ||||||
UCB SA |
810 | 93,457 | ||||||
33,448,412 | ||||||||
Pipelines — 0.1% |
||||||||
Enbridge, Inc. |
6,937 | 238,772 | ||||||
TC Energy Corp. |
2,100 | 83,055 | ||||||
321,827 | ||||||||
Private Equity — 0.4% |
||||||||
3i Group PLC |
3,463 | 108,195 | ||||||
Antin Infrastructure Partners SA |
14,806 | 245,760 | ||||||
Eurazeo SA |
15,086 | 1,276,285 | ||||||
Macquarie Korea Infrastructure Fund |
49,750 | 475,747 | ||||||
Partners Group Holding AG |
95 | 136,597 | ||||||
2,242,584 | ||||||||
Real Estate — 0.7% |
||||||||
Aldar Properties PJSC |
265,162 | 399,228 | ||||||
Corp. Inmobiliaria Vesta SAB de CV |
192,800 | 676,895 | ||||||
Daito Trust Construction Co., Ltd. |
300 | 35,589 | ||||||
Direcional Engenharia SA |
68,338 | 325,530 | ||||||
DLF Ltd. |
61,864 | 672,071 | ||||||
Emaar Properties PJSC |
302,211 | 668,116 | ||||||
Henderson Land Development Co., Ltd. |
23,000 | 66,178 | ||||||
Hongkong Land Holdings Ltd. |
22,900 | 77,535 | ||||||
Iguatemi SA |
69,400 | 331,566 |
The accompanying notes are an integral part of the financial statements.
12
AQUARIUS INTERNATIONAL FUND
Schedule of Investments (Continued)
FEBRUARY 29, 2024 (UNAUDITED)
Shares |
Value |
|||||||
Real Estate — (Continued) |
||||||||
KE Holdings, Inc. - ADR |
4,582 | $ | 62,269 | |||||
New World Development Co., Ltd. |
23,000 | 28,897 | ||||||
REA Group Ltd. |
633 | 80,055 | ||||||
Sunac Services Holdings Ltd.(b) |
619 | 157 | ||||||
Swire Pacific Ltd. - Class A |
5,000 | 41,420 | ||||||
Swire Properties Ltd. |
22,200 | 45,665 | ||||||
Vonovia SE |
1,074 | 29,974 | ||||||
Wharf Holdings Ltd. |
14,000 | 51,603 | ||||||
3,592,748 | ||||||||
REITS — 0.3% |
||||||||
Ascendas Real Estate Investment Trust |
23,000 | 46,873 | ||||||
CapitaLand Mall Trust |
25,000 | 36,466 | ||||||
Daiwa House REIT Investment Corp. |
18 | 29,353 | ||||||
Fibra Uno Administracion SAB de CV |
542,600 | 977,964 | ||||||
Gecina SA |
296 | 28,591 | ||||||
Goodman Group |
6,677 | 129,985 | ||||||
GPT Group, (The) |
9,864 | 27,898 | ||||||
Japan Retail Fund Investment Corp. |
121 | 71,311 | ||||||
Link |
16,300 | 80,825 | ||||||
Mirvac Group |
19,373 | 27,478 | ||||||
Nippon Building Fund Inc. |
18 | 69,322 | ||||||
Scentre Group |
14,492 | 29,330 | ||||||
Segro PLC |
2,361 | 25,252 | ||||||
Stockland |
11,630 | 33,981 | ||||||
Unibail-Rodamco-Westfield(a) |
938 | 68,590 | ||||||
United Urban Investment Corp. |
51 | 48,180 | ||||||
1,731,399 | ||||||||
Retail — 2.0% |
||||||||
Almacenes Exito SA - ADR(a) |
1,387 | 7,018 | ||||||
ANTA Sports Products Ltd. |
12,561 | 122,458 | ||||||
Associated British Foods PLC |
1,593 | 45,841 | ||||||
Astra International Tbk PT - ADR |
3,615 | 23,949 | ||||||
Cie Financiere Richemont SA - ADR |
12,160 | 193,344 | ||||||
Fast Retailing Co., Ltd. |
441 | 127,736 | ||||||
H & M Hennes & Mauritz AB - Class B |
6,863 | 93,193 | ||||||
Industria de Diseno Textil SA |
3,052 | 135,778 | ||||||
Jardine Cycle & Carriage Ltd. |
4,000 | 75,826 | ||||||
McDonald’s Holdings Co., Japan Ltd. |
2,600 | 120,925 | ||||||
Next PLC |
952 | 100,092 | ||||||
Pan Pacific International Holdings Corp. |
1,500 | 35,362 | ||||||
Raia Drogasil SA |
79,208 | 426,386 |
Shares |
Value |
|||||||
Retail — (Continued) |
||||||||
Restaurant Brands International, Inc. |
3,260 | $ | 253,140 | |||||
Ryohin Keikaku Co., Ltd. |
213,800 | 3,378,302 | ||||||
Shanghai Pharmaceuticals Holding Co., Ltd. - Class H |
39,800 | 64,002 | ||||||
Sundrug Co., Ltd. |
24,100 | 752,389 | ||||||
Tsuruha Holdings, Inc. |
29,200 | 2,203,706 | ||||||
USS Co., Ltd. |
1,700 | 29,592 | ||||||
Wal-Mart de Mexico SAB de CV - ADR |
1,815 | 71,511 | ||||||
WH Smith PLC |
102,977 | 1,613,063 | ||||||
9,873,613 | ||||||||
Semiconductors — 9.3% |
||||||||
ASE Technology Holding Co,. Ltd. - ADR |
6,033 | 58,761 | ||||||
ASM International NV |
3,199 | 1,953,783 | ||||||
ASMedia Technology, Inc. |
8,000 | 597,129 | ||||||
ASML Holding NV |
3,151 | 2,990,307 | ||||||
ASML Holding NV |
1,129 | 1,074,447 | ||||||
eMemory Technology, Inc. |
8,000 | 686,898 | ||||||
Faraday Technology Corp. |
53,000 | 650,695 | ||||||
HPSP Co., Ltd. |
15,986 | 618,809 | ||||||
Infineon Technologies AG |
41,161 | 1,477,911 | ||||||
King Yuan Electronics Co., Ltd. |
147,000 | 413,942 | ||||||
MediaTek, Inc. |
36,000 | 1,299,108 | ||||||
Renesas Electronics Corp. |
187,600 | 3,099,731 | ||||||
Rohm Co., Ltd. |
160 | 2,726 | ||||||
Samsung Electronics Co., Ltd. |
236,269 | 13,040,375 | ||||||
SK Hynix, Inc. |
11,981 | 1,412,374 | ||||||
SUMCO Corp. |
34 | 534 | ||||||
Taiwan Semiconductor Manufacturing Co., Ltd. |
304,122 | 6,664,687 | ||||||
Taiwan Semiconductor Manufacturing Co., Ltd. - ADR |
73,424 | 9,447,466 | ||||||
Tokyo Electron Ltd. |
1,200 | 297,731 | ||||||
Tokyo Electron Ltd. - ADR |
1,572 | 194,928 | ||||||
United Microelectronics Corp. - ADR |
36,418 | 279,690 | ||||||
46,262,032 | ||||||||
Software — 0.6% |
||||||||
Dassault Systemes SE - ADR |
2,450 | 115,101 | ||||||
Dassault Systemes SE |
2,375 | 111,295 | ||||||
HCL Technologies Ltd. |
34,397 | 689,322 | ||||||
Kaspi.KZ JSC - ADR |
9,277 | 957,387 | ||||||
NetEase, Inc. |
20,200 | 438,796 | ||||||
NetEase, Inc. - ADR |
2,660 | 287,067 | ||||||
Nexon Co., Ltd. |
2,300 | 37,354 | ||||||
SAP SE - ADR |
3,821 | 717,851 | ||||||
TeamViewer SE - ADR(a) |
4,442 | 34,337 | ||||||
3,388,510 |
The accompanying notes are an integral part of the financial statements.
13
AQUARIUS INTERNATIONAL FUND
Schedule of Investments (Continued)
FEBRUARY 29, 2024 (UNAUDITED)
Shares |
Value |
|||||||
Telecommunications — 1.6% |
||||||||
America Movil SAB de CV - ADR |
7,257 | $ | 135,778 | |||||
BCE, Inc. |
5,954 | 220,953 | ||||||
Bharti Airtel Ltd. |
30,904 | 418,409 | ||||||
Chunghwa Telecom Co., Ltd. |
102,000 | 388,586 | ||||||
Chunghwa Telecom Co., Ltd. - ADR |
4,171 | 157,622 | ||||||
Deutsche Telekom AG - ADR |
5,690 | 135,081 | ||||||
Deutsche Telekom AG |
1,461 | 34,727 | ||||||
Elisa OYJ |
1,238 | 55,757 | ||||||
Hikari Tsushin, Inc. |
200 | 36,212 | ||||||
KDDI Corp. |
109,748 | 3,317,879 | ||||||
KT Corp. |
38,531 | 1,130,219 | ||||||
Millicom International Cellular SA, SDR(a) |
116 | 2,164 | ||||||
MTN Group Ltd. |
23,254 | 101,236 | ||||||
Nice Ltd. - ADR(a) |
288 | 70,603 | ||||||
Nippon Telegraph & Telephone Corp. |
75,000 | 91,212 | ||||||
Nippon Telegraph & Telephone Corp. - ADR |
984 | 29,835 | ||||||
Orange SA |
4,154 | 47,617 | ||||||
PLDT, Inc. - ADR |
3,821 | 88,036 | ||||||
Rogers Communications, Inc. - Class B |
813 | 36,000 | ||||||
Singapore Telecommunications Ltd. |
60,600 | 105,766 | ||||||
SK Telecom Co., Ltd. - ADR |
1 | 22 | ||||||
SoftBank Group Corp. |
1,400 | 82,926 | ||||||
Swisscom AG |
251 | 143,466 | ||||||
Telefonaktiebolaget LM Ericsson - Class B |
5,194 | 28,203 | ||||||
Telefonica Brasil SA |
43,000 | 472,117 | ||||||
Telefonica Brasil SA - ADR |
43,411 | 474,482 | ||||||
Telefonica SA |
9,725 | 39,898 | ||||||
Turkcell Iletisim Hizmetleri AS - ADR |
15,018 | 80,947 | ||||||
7,925,753 | ||||||||
Toys/Games/Hobbies — 0.1% |
||||||||
Bandai Namco Holdings, Inc. |
2,400 | 46,215 | ||||||
Nintendo Co., Ltd. |
6,900 | 385,574 | ||||||
Nintendo Co., Ltd. - ADR |
5,760 | 80,122 | ||||||
511,911 | ||||||||
Transportation — 0.6% |
||||||||
AP Moller - Maersk AS - ADR |
6,400 | 45,056 | ||||||
Canadian National Railway Co. |
3,433 | 445,226 | ||||||
Canadian Pacific Kansas City Ltd. |
1,055 | 89,686 | ||||||
Central Japan Railway Co. |
3,500 | 88,025 | ||||||
Deutsche Post AG - ADR |
1,603 | 74,459 | ||||||
DSV AS |
9,318 | 1,495,079 | ||||||
DSV AS - ADR |
826 | 66,278 | ||||||
East Japan Railway Co. |
1,500 | 88,742 |
Shares |
Value |
|||||||
Transportation — (Continued) |
||||||||
Getlink SE |
1,582 | $ | 27,010 | |||||
Indian Railway Catering & Tourism Corp., Ltd. |
29,728 | 332,405 | ||||||
Keisei Electric Railway Co., Ltd. |
1,000 | 46,721 | ||||||
Kintetsu Group Holdings Co., Ltd. |
800 | 24,604 | ||||||
Kuehne + Nagel International AG |
101 | 34,005 | ||||||
Mitsui OSK Lines Ltd. |
9,000 | 308,214 | ||||||
NIPPON EXPRESS HOLDINGS INC |
500 | 26,433 | ||||||
Odakyu Electric Railway Co., Ltd. |
2,200 | 30,931 | ||||||
Tobu Railway Co., Ltd. |
2,100 | 53,684 | ||||||
West Japan Railway Co. |
1,300 | 54,056 | ||||||
3,330,614 | ||||||||
Water — 0.0%(d) |
||||||||
Cia de Saneamento Basico do Estado de Sao Paulo SABESP - ADR |
4,592 | 72,554 | ||||||
Guangdong Investment Ltd. |
30,000 | 17,803 | ||||||
90,357 | ||||||||
TOTAL COMMON STOCKS (Cost $379,310,153) |
455,843,704 | |||||||
EXCHANGE TRADED FUNDS — 0.4% |
||||||||
iShares MSCI Saudi Arabia ETF |
48,060 | 2,137,709 | ||||||
TOTAL EXCHANGE TRADED FUNDS (Cost $1,890,288) |
2,137,709 | |||||||
PREFERRED STOCKS — 0.3% |
||||||||
Auto Manufacturers — 0.0%(d) |
||||||||
Porsche Auto SE, 0.00%, |
851 | 45,494 | ||||||
Banks — 0.0%(d) |
||||||||
Banco Bradesco SA, 0.00%, |
44,550 | 123,849 | ||||||
Bancolombia SA, 0.00%, |
1,414 | 45,983 | ||||||
169,832 | ||||||||
Semiconductors — 0.3% |
||||||||
Samsung Electronics Co. Ltd., 0.00%, |
27,268 | 1,305,774 | ||||||
TOTAL PREFERRED STOCKS (Cost $1,398,946) |
1,521,100 |
The accompanying notes are an integral part of the financial statements.
14
AQUARIUS INTERNATIONAL FUND
Schedule of Investments (Concluded)
FEBRUARY 29, 2024 (UNAUDITED)
Shares |
Value |
|||||||
SHORT-TERM INVESTMENTS — 7.8% |
||||||||
Money Market Funds — 7.8% |
||||||||
First American Treasury Obligations Fund - Class X, 5.23%(e) |
39,004,783 | 39,004,783 | ||||||
TOTAL SHORT-TERM INVESTMENTS |
||||||||
(Cost $39,004,783) |
39,004,783 | |||||||
TOTAL INVESTMENTS — 99.6% |
||||||||
(Cost $421,604,170) |
498,507,296 | |||||||
Other Assets in Excess of Liabilities — 0.4% |
1,774,178 | |||||||
TOTAL NET ASSETS — 100.0% |
$ | 500,281,474 |
Percentages are stated as a percent of net assets.
ADR - American Depositary Receipt
GDR - Global Depositary Receipt
MTN - Medium Term Note
NVDR - Non-Voting Depositary Receipt
PLC - Public Limited Company
SA - Sociedad Anónima
SA/NV - Societe Anonime/Naamloze Vennootschap
SAB de CV - Sociedad Anónima Bursátil de Capital Variable
(a) |
Non-income producing security. |
(b) |
Security is exempt from registration pursuant to Rule 144A under the Securities Act of 1933, as amended. These securities may only be resold in transactions exempt from registration to qualified institutional investors. As of February 29, 2024, the value of these securities total $4,573,985 or 0.9% of the Fund’s net assets. |
(c) |
Fair value determined using significant unobservable inputs in accordance with procedures established by and under the supervision of the Adviser, acting as Valuation Designee. These securities represented $20 or 0.0% of net assets as of February 29, 2024. |
(d) |
Represents less than 0.05% of net assets. |
(e) |
The rate shown represents the 7-day effective yield as of February 29, 2024. |
The accompanying notes are an integral part of the financial statements.
15
AQUARIUS INTERNATIONAL FUND
STATEMENT of Assets and Liabilities
FEBRUARY 29, 2024 (UNAUDITED)
ASSETS |
||||
Investments, at value (cost $382,559,387) |
$ | 459,502,513 | ||
Short-term investments, at value (cost $39,004,783) |
39,004,783 | |||
Foreign currency at value (cost $194,575) |
194,077 | |||
Receivables for: |
||||
Dividends |
1,618,088 | |||
Investments sold |
2,067,949 | |||
Capital shares sold |
41,402 | |||
Prepaid expenses and other assets |
19,016 | |||
Total assets |
$ | 502,447,828 | ||
LIABILITIES |
||||
Payables for: |
||||
Investments purchased |
1,850,937 | |||
Capital shares redeemed |
25,020 | |||
Sub-advisory fees |
188,053 | |||
Other accrued expenses and liabilities |
102,344 | |||
Total liabilities |
2,166,354 | |||
Net assets |
$ | 500,281,474 | ||
NET ASSETS CONSIST OF: |
||||
Par value |
$ | 46,135 | ||
Paid-in capital |
460,244,623 | |||
Total distributable earnings/(loss) |
39,990,716 | |||
Net assets |
$ | 500,281,474 | ||
CAPITAL SHARES: |
||||
Net Assets |
$ | 500,281,474 | ||
Shares outstanding ($0.001 par value, 100,000,000 shares authorized) |
46,135,369 | |||
Net asset value, offering and redemption price per share |
$ | 10.84 |
The accompanying notes are an integral part of the financial statements.
16
AQUARIUS INTERNATIONAL FUND
Statement of Operations
FOR THE Six-Months ENDED FEBRUARY 29, 2024 (UNAUDITED)
INVESTMENT INCOME |
||||
Dividends (net of foreign taxes withheld of $336,166) |
$ | 4,039,482 | ||
Total investment income |
4,039,482 | |||
EXPENSES |
||||
Sub-advisory fees (Note 2) |
1,115,568 | |||
Administration and accounting services fees (Note 2) |
163,582 | |||
Custodian fees (Note 2) |
134,260 | |||
Transfer agent fees (Note 2) |
35,998 | |||
Audit fees |
30,289 | |||
Director fees |
29,893 | |||
Officer fees |
24,436 | |||
Legal fees |
22,348 | |||
Registration and filing fees |
15,024 | |||
Printing and shareholder reporting fees |
3,063 | |||
Other expenses |
79,508 | |||
Total expenses |
1,653,969 | |||
Net investment income/(loss) |
2,385,513 | |||
NET REALIZED AND UNREALIZED GAIN/(LOSS) FROM INVESTMENTS |
||||
Net realized Gain (Loss) on: |
||||
Investments |
86,562 | |||
Foreign Currency Transactions |
(89,225 | ) | ||
Net realized Gain (Loss) |
(2,663 | ) | ||
Net Change in Unrealized Appreciation (Depreciation) on: |
||||
Investments |
32,864,877 | |||
Foreign Currency Transactions |
227,411 | |||
Net Change in Unrealized Appreciation (Depreciation) |
33,092,288 | |||
NET INCREASE/(DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS |
$ | 35,475,138 |
The accompanying notes are an integral part of the financial statements.
17
AQUARIUS INTERNATIONAL FUND
Statements of Changes in Net Assets
For the |
For the |
|||||||
INCREASE/(DECREASE) IN NET ASSETS FROM OPERATIONS |
||||||||
Net investment income/(loss) |
$ | 2,385,513 | $ | 8,640,137 | ||||
Net realized gain/(loss) from investments and foreign currency transactions |
(2,663 | ) | (14,105,508 | ) | ||||
Net change in unrealized appreciation/(depreciation) on investments and foreign currency translation |
33,092,288 | 49,676,775 | ||||||
Net increase/(decrease) in net assets resulting from operations |
35,475,138 | 44,211,404 | ||||||
DIVIDEND AND DISTRIBUTIONS TO SHAREHOLDERS FROM: |
||||||||
Total distributable earnings |
(10,001,068 | ) | (4,179,382 | ) | ||||
Net decrease in net assets from dividends and distributions to shareholders |
(10,001,068 | ) | (4,179,382 | ) | ||||
CAPITAL SHARE TRANSACTIONS: |
||||||||
Proceeds from shares sold |
38,304,269 | 88,275,263 | ||||||
Reinvestment of distributions |
8,459,172 | 3,505,305 | ||||||
Shares redeemed |
(23,552,965 | ) | (35,881,611 | ) | ||||
Net increase/(decrease) in net assets resulting from capital share transactions |
23,210,476 | 55,898,957 | ||||||
Total increase/(decrease) in net assets |
48,684,546 | 95,930,979 | ||||||
NET ASSETS: |
||||||||
Beginning of period |
451,596,928 | 355,665,949 | ||||||
End of period |
$ | 500,281,474 | $ | 451,596,928 | ||||
SHARE TRANSACTIONS: |
||||||||
Shares sold |
3,687,897 | 8,971,636 | ||||||
Shares reinvested |
826,091 | 366,281 | ||||||
Shares redeemed |
(2,296,938 | ) | (3,684,160 | ) | ||||
Net increase/(decrease) in shares |
2,217,050 | 5,653,757 |
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 |
For the |
For the |
For the |
For the |
For the |
|||||||||||||||||||
Per Share Operating Performance |
||||||||||||||||||||||||
Net asset value, beginning of period |
$ | 10.28 | $ | 9.29 | $ | 11.97 | $ | 9.93 | $ | 9.27 | $ | 9.61 | ||||||||||||
Net investment income/(loss)(1) |
0.05 | 0.21 | 0.16 | 0.12 | 0.12 | 0.14 | ||||||||||||||||||
Net realized and unrealized gain/(loss) from investments |
0.74 | 0.89 | (2.69 | ) | 2.00 | 0.67 | (0.35 | ) | ||||||||||||||||
Net increase/(decrease) in net assets resulting from operations |
0.79 | 1.10 | (2.53 | ) | 2.12 | 0.79 | (0.21 | ) | ||||||||||||||||
Dividends and distributions to shareholders from: |
||||||||||||||||||||||||
Net investment income |
(0.23 | ) | (0.11 | ) | (0.15 | ) | (0.08 | ) | (0.13 | ) | (0.13 | ) | ||||||||||||
Total dividends and distributions to shareholders |
(0.23 | ) | (0.11 | ) | (0.15 | ) | (0.08 | ) | (0.13 | ) | (0.13 | ) | ||||||||||||
Net asset value, end of period |
$ | 10.84 | $ | 10.28 | $ | 9.29 | $ | 11.97 | $ | 9.93 | $ | 9.27 | ||||||||||||
Total investment return/(loss)(2) |
7.8 | %(3) | 11.89 | % | (21.38 | )% | 21.46 | % | 8.61 | % | (2.12 | )% | ||||||||||||
Ratios/Supplemental Data |
||||||||||||||||||||||||
Net assets, end of period (000’s) |
$ | 500,281 | $ | 451,597 | $ | 355,666 | $ | 382,824 | $ | 278,956 | $ | 163,375 | ||||||||||||
Ratio of expenses to average net assets |
0.72 | %(4) | 0.70 | % | 0.73 | % | 0.75 | % | 0.75 | % | 0.94 | % | ||||||||||||
Ratio of net investment income/(loss) to average net assets |
1.04 | %(4) | 2.16 | % | 1.48 | % | 1.08 | % | 1.24 | % | 1.56 | % | ||||||||||||
Portfolio turnover rate |
29 | %(3) | 78 | % | 52 | % | 48 | % | 55 | % | 81 | % |
(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.
19
AQUARIUS INTERNATIONAL FUND
NOTES TO FINANCIAL STATEMENTS
FEBRUARY 29, 2024 (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 sixty-four 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 92.723 billion shares are currently classified into two hundred and thirty-four 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 29, 2024, and the period covered by these Notes to Financial Statements is the six months ended February 29, 2024 (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 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 29, 2024 (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 current fiscal period, in valuing the Fund’s investments carried at fair value:
Total |
Level 1 |
Level 2 |
Level 3 |
|||||||||||||
Common Stocks |
$ | 455,843,702 | $ | 110,073,319 | $ | 345,770,363 | $ | 20 | ||||||||
Exchange Traded Funds |
2,137,709 | 2,137,709 | — | — | ||||||||||||
Preferred Stocks |
1,521,100 | 169,832 | 1,351,268 | — | ||||||||||||
Money Market Funds |
39,004,783 | 39,004,783 | — | — | ||||||||||||
Total Assets* |
$ | 498,507,294 | $ | 151,385,643 | $ | 347,121,631 | $ | 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 29, 2024 (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 (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 29, 2024 (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.
INTERNATIONAL 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. Additionally, armed conflict between Israel and Hamas and other militant groups in the Middle East and related events could cause significant impacts on global markets. The price and liquidity of investments may fluctuate widely as a result of these conflicts and related events. How long the armed conflicts 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, Boston Partners Global Investors, Inc., Driehaus Capital Management, LLC, and Mawer Investment Management, Ltd. each served as an investment sub-adviser (“Sub-Adviser”) to the Fund during the current fiscal period.
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 0.90%, payable on a monthly basis in arrears.
23
AQUARIUS INTERNATIONAL FUND
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
FEBRUARY 29, 2024 (UNAUDITED)
During the current fiscal period, collectively, sub-advisory fees accrued were $1,115,568, or the rate of 0.49%.
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 Fund paid the Adviser $66,928. This amount is included in Other expenses on the Statement of Operations.
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 |
$134,534,437 |
$122,166,623 |
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 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.
24
AQUARIUS INTERNATIONAL FUND
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
FEBRUARY 29, 2024 (UNAUDITED)
As of August 31, 2023, 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 |
UNREALIZED |
UNREALIZED |
Net Unrealized |
$411,502,982 |
$62,316,420 |
$(24,686,113) |
$37,630,307 |
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, 2023, primarily attributed to foreign currency. There were no permanent differences between distributable earnings/(loss) and paid in capital.
As of August 31, 2023, the components of distributable earnings on a tax basis were as follows:
UNDISTRIBUTED |
UNDISTRIBUTED |
CAPITAL LOSS |
NET UNREALIZED |
QUALIFIED |
$8,154,256 |
$— |
$(31,267,917) |
$37,630,307 |
$— |
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 year ended August 31, 2023 was as follows:
| LONG-TERM | TOTAL |
$4,179,382 | $— | $4,179,382 |
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, 2023, any amount of losses elected within the tax return will not be recognized for federal income tax purposes until September 1, 2023.
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, 2023, the Fund had short-term capital loss carryforwards of $24,233,237 and long-term carryforwards of $7,034,680.
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
25
AQUARIUS INTERNATIONAL FUND
NOTES TO FINANCIAL STATEMENTS (CONCLUDED)
FEBRUARY 29, 2024 (UNAUDITED)
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 2022, the SEC adopted a final rule relating to tailored shareholder reports for mutual funds and exchange-traded funds and fee information in investment company advertisements. Beginning in July 2024, the Fund will be required to transmit concise and visually engaging shareholder reports that highlight key information. The Fund will also be required to tag information in a structured data format and that certain more in-depth information be made available online and available for delivery free of charge to investors on request.
In December 2022, the FASB issued an Accounting Standards Update, ASU 2022-06, Reference Rate Reform (Topic 848) – Deferral of the Sunset Date of Topic 848 (“ASU 2022-06”). ASU 2022-06 is an amendment to ASU 2020-04, which provided optional guidance to ease the potential accounting burden due to the discontinuation of the London Inter-Bank Offered Rate and other interbank-offered based reference rates and which was effective as of March 12, 2020 through December 31, 2022. ASU 2022-06 extends the effective period through December 31, 2024. Management is currently evaluating the impact, if any, of applying ASU 2022-06.
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.
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 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 filings are available on the SEC’s 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
3 Canal Plaza, Suite 100
Portland, ME 04101
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-SAR24
Boston Partners Investment Funds of The RBB Fund, Inc. |
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Semi-Annual Report February 29, 2024 (Unaudited) |
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Boston Partners All-Cap Value Fund |
BOSTON PARTNERS INVESTMENT FUNDS
Table of Contents
BOSTON PARTNERS INVESTMENT FUNDS
Overview
For the six-month period ended February 29, 2024, the S&P 500® Index gained +13.93% on a total return basis, its best return for a like period since 2014 as evidence that a “soft-landing” for the economy was unfolding, with continued gains in employment and moderating inflation pressures. Over the six-month period, the U.S. was able to add an average of 248,166 jobs per month, have GDP grow by 3.4% but see headline CPI drop from 3.7% to 3.1%.
Fed Fund futures went from pricing in a 50% chance of an eighth hike by the Federal Reserve Board (“Fed”) last August to three 25 basis point cuts by the Fed by the end of 2024.
While there was a moderate increase in interest rates for Treasury securities with maturities ranging from seven to thirty years in length over the period, that moderate increase was offset by rates falling for maturities ranging from 3-months to 5-years as the Fed pivoted from “just” fighting inflation to a more balanced approach of reducing inflation but seeking to maintain maximum employment. The shift helped lift the Bloomberg U.S. Aggregate Bond Index to a gain of +2.35% for the six-month period and led to a recovery in earnings expectations for the S&P 500® Index.
Results
Ten of the eleven sectors that comprise the S&P 500® Index posted positive results over the six-month period, led by Information Technology at +20.58% and Communication Services at +19.15. Five of the so-called “Magnificent Seven” stocks reside in those two sectors: Apple, Microsoft and NVIDIA in “tech”; Alphabet (Google) and Meta Platforms (Facebook) in Communication Services. Collectively, those five stocks produced an average return of +25.5% and were responsible for 34.9% of the overall index return over the period (despite a loss for Apple).
Energy was the only laggard for the period, falling by -1.88% as West Texas Intermediate (WTI) crude oil and natural gas prices dropped by -9.30% and -35.02%, respectively, and the average price of a gallon of gas fell from $3.82 to $3.33. The combination of production/supply and demand imbalances continued to plague the sector.
“Risk on” was more of the trading mantra over the six-month period as low-quality stocks (those rated “B” or lower by Standard & Poor’s) beat high-quality stocks (“B+” or higher) by +2.34%, and the highest-beta quintile of the S&P 500® Index beat the lowest-beta quintile by +12.70%. Only small-capitalization stocks broke the trend as the Russell 1000® Index of large-cap stocks outperformed the Russell 2000® Index of small-cap stocks, +14.03% to +8.97%.
In terms of style, value lagged growth over the period with the Russell 1000® Value Index trailing the Russell 1000® Growth Index +9.24 to +18.19%, the Russell Midcap® Value Index underperforming the Russell Midcap® Growth Index by 707 basis points (+9.46% to +16.53%), and the Russell 2000® Value Index advancing by +7.68% compared to the +10.19% return of the Russell 2000® Growth Index.
The Russell 1000® Growth Index was also aided by the overall return of the “Magnificent Seven” stocks, which produced an average gain of +19.88% for the period (+32.72% excluding losses for Apple and Tesla) and were responsible for 49% of that benchmark’s return.
Evidence of a “thin” market remains with the S&P 500® Equal Weight Index underperforming the cap-weighted S&P 500® Index, +9.68% to +13.93% over the six-month period. The largest 50 stocks in the S&P 500® Index gained +15.36% to the +10.15% return posted by the next 450 stocks and only 38% of the stocks in the S&P 500® Index beat the return of the overall index during the period, about 12% less than average.
Returns for developed market international stocks lagged the S&P 500® Index over the six-month period, with the MSCI EAFE Index of non-U.S. stocks gaining +9.89% in local currency terms and +9.34% in U.S. dollar terms. There was a slight gain for 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), which gained +0.52% over the period.
Emerging market stocks trailed both the S&P 500® Index and the MSCI EAFE Index, with the MSCI Emerging Markets Index (“EM Index”) returning +5.31% in local currencies and just +5.07% in U.S. dollar terms. The EM Index was negatively affected by the return of Chinese stocks, as the MSCI China Index fell by -9.72% in dollar terms and -10.59% in yuan. China is sinking deeper into its worst deflation in years as demand falters, with Chinese consumers worried about the economic outlook and curtailing domestic spending. Consumer prices fell for a fourth straight month in January. Chinese officials have taken some steps to revive growth, such as trimming interest rates and extending tax breaks for private business owners. While the country continues to issue sovereign debt to fund infrastructure projects, economists want to see China offer more consumer-oriented stimulus to increase domestic confidence and demand.
Semi-Annual Report 2024 | 1
BOSTON PARTNERS INVESTMENT FUNDS
GENERAL MARKET COMMENTARY (concluded)
Looking Ahead
In February, the minutes of the January 30-31 meeting of the Federal Open Market Committee were released, and while officials at the meeting signaled “that the policy rate was likely at its peak for this tightening cycle,” it was also stressed that “most participants noted the risks of moving too quickly to ease the stance of policy”. In fact, only two of the twelve participants at the meeting pointed to the risks “associated with maintaining an overly restrictive stance for too long,” all of which led to a significant repricing of interest rates in both the futures and cash markets.
Whereas in January, there was a 100% probability of rate cuts beginning in March, with upwards of seven cuts totaling 175 basis points by the end of the year, there is currently close to a 0% chance of a cut in March, and just the aforementioned three cuts of 25 basis points priced in for the remainder of the year, now forecasted to begin in either June or July.
Helping to offset this potential headwind for the stock market were Q4 earnings, which came in better than consensus estimates with 492 of the companies in the S&P 500® Index reporting Earnings Per Share (“EPS”) growth of 3.96% and 73% of the company’s beating expectations by an average of 4.1%, meaning that consensus estimates for EPS growth entering the quarter were essentially flat. For Q1 2024, analysts are projecting both earnings and revenue growth of 3.6%. For the calendar year earnings for the S&P 500® Index are projected to grow by 11% with revenue growing by 5%.
The U.S. economy seems to be on a steady if not accelerating path as the Atlanta Fed’s GDPNow Model was projecting Q1 2024 growth of 3.0% on February 29th and the Citi Economic Surprise Index logging a reading of +40.6, signaling that economic releases were surpassing consensus expectations when reported.
At the March 19-20 Federal Open Market Committee meeting, the Fed will release a new Summary of Economic Projections and an updated “dot plot” of the Fed’s intentions on rate hikes. Given the economy’s strength and a surprise uptick in Jerome Powells favored “Supercore PCE” inflation statistic in January, reports in the media have been toying with the notion of “no cuts” in 2024. With Powell scheduled to appear at the March Semi-Annual Monetary Policy Report to Congress to report on the status of the economy and the Fed’s current policy, and a “rinse & repeat” the next day to the Senate Banking Committee, his commentary will be scrutinized for any hints that bypassing rate cuts this year has come under consideration.
On a positive note, since WWII, when the S&P 500® Index produced gains in January and February, it has gone on to produce a positive return for the rest of the year 88% of the time with an average gain of +14.79%.
Boston Partners Global Investors, Inc. (“Boston Partners”) is an investment adviser registered with the SEC 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 2024
BOSTON PARTNERS INVESTMENT FUNDS
DEFINITIONS (unaudited)
Past Performance is not a guarantee of future results.
Opinions expressed herein are as of February 29, 2024 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 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 6 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 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. A “factor” means any characteristic that helps explain the risk and returns of a group of securities.
ROE: Return on Equity: measures a company’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 2024 | 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 lower 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 2024
BOSTON PARTNERS INVESTMENT FUNDS
AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIODS ENDED FEBRUARY 29, 2024 (unaudited)
AVERAGE ANNUAL | |||||||||||||
SIX MONTH | 1 YEAR | 5 YEAR | 10 YEAR | SINCE INCEPTION |
|||||||||
Boston Partners All-Cap Value Fund | |||||||||||||
Institutional Class | 10.49% | 14.38% | 11.22% | 9.82% | N/A | ||||||||
Investor Class | 10.39% | 14.08% | 10.94% | 9.55% | N/A | ||||||||
Russell 3000® Value Index | 9.18% | 13.51% | 9.20% | 8.58% | N/A | ||||||||
Russell 3000® Index(1) | 13.76% | 28.60% | 13.94% | 12.03% | 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 | 7.02% | 7.14% | 7.79% | 6.88% | N/A | ||||||||
Investor Class | 6.90% | 6.90% | 7.52% | 6.61% | N/A | ||||||||
Russell 2000® Value Index | 7.70% | 5.61% | 6.62% | 6.55% | N/A | ||||||||
Russell 2000® Index(1) | 8.97% | 10.05% | 6.89% | 7.13% | 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) | 6.10% | 14.53% | N/A | N/A | 11.09% | ||||||||
Russell 2000® Value Index | 7.70% | 5.61% | N/A | N/A | –1.61% | (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 | |||||||||||||
Institutional Class | 8.68% | 8.79% | 11.21% | 5.54% | N/A | ||||||||
Russell 2000® Value Index | 7.70% | 5.61% | 6.62% | 6.55% | N/A | ||||||||
Boston Partners Global Sustainability Fund | |||||||||||||
Institutional Class(1) | 9.97% | 13.48% | N/A | N/A | 5.19% | ||||||||
MSCI World Index – Net Return | 7.90% | 12.51% | N/A | N/A | –0.50% | (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 | 9.64% | 11.10% | 9.11% | 7.08% | N/A | ||||||||
MSCI World Index – Net Return | 12.46% | 24.96% | 11.66% | 9.06% | N/A | ||||||||
Boston Partners Emerging Markets Fund | |||||||||||||
Institutional Class(1) | 6.19% | 15.00% | 4.48% | N/A | 2.17% | ||||||||
MSCI Emerging Markets Index – Net Return | 4.93% | 8.73% | 1.89% | N/A | 0.85% | (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 | 10.79% | 14.21% | 10.48% | 6.90% | N/A | ||||||||
Investor Class | 10.62% | 13.92% | 10.20% | 6.64% | N/A | ||||||||
S&P 500® Index | 13.93% | 30.45% | 14.76% | 12.70% | N/A | ||||||||
Boston Partners Long/Short Research Fund | |||||||||||||
Institutional Class | 8.88% | 11.23% | 7.34% | 5.13% | N/A | ||||||||
Investor Class | 8.76% | 10.96% | 7.07% | 4.87% | N/A | ||||||||
S&P 500® Index | 13.93% | 30.45% | 14.76% | 12.70% | N/A | ||||||||
Boston Partners Global Long/Short Fund | |||||||||||||
Institutional Class | 7.53% | 10.92% | 8.77% | 5.38% | N/A | ||||||||
MSCI World Index – Net Return | 12.46% | 24.96% | 11.66% | 9.06% | N/A | ||||||||
Investor Class(1) | 7.36% | 10.64% | 8.49% | N/A | 5.30% | ||||||||
MSCI World Index – Net Return | 12.46% | 24.96% | 11.66% | N/A | 9.39% | (2) |
(1) | Inception date of the class was April 11, 2014. |
(2) | Index performance is from inception date of the Class only and is not the inception date of the index itself. |
Semi-Annual Report 2024 | 5
BOSTON PARTNERS INVESTMENT FUNDS
AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIODS ENDED FEBRUARY 29, 2024 (concluded) (unaudited)
AVERAGE ANNUAL | |||||||||||||
SIX MONTH | 1 YEAR | 5 YEAR | 10 YEAR | SINCE INCEPTION |
|||||||||
Boston Partners Emerging Markets Dynamic Equity Fund | |||||||||||||
Institutional Class(1) | 3.48% | 10.67% | 3.87% | N/A | 3.35% | ||||||||
MSCI Emerging Markets Index – Net Return | 4.93% | 8.73% | 1.89% | N/A | 2.79% | (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, 2023:
INSTITUTIONAL CLASS | INVESTOR CLASS | |||||
Boston Partners All-Cap Value Fund | 0.84% | 1.09 | % | |||
Boston Partners Small Cap Value Fund II | 1.04% | 1.29 | % | |||
WPG Partners Select Small Cap Value Fund | 1.16% | N/A | ||||
WPG Partners Small Cap Value Diversified Fund | 1.32% | N/A | ||||
Boston Partners Global Sustainability Fund | 1.36% | N/A | ||||
Boston Partners Global Equity Fund | 1.11% | 1.36 | % | |||
Boston Partners Emerging Markets Fund | 1.54% | N/A | ||||
Boston Partners Long/Short Equity Fund | 2.67% | (1) | 2.92 | %(1) | ||
Boston Partners Long/Short Research Fund | 1.88% | (1) | 2.13 | %(1) | ||
Boston Partners Global Long/Short Fund | 2.39% | (1) | 2.64 | %(1) | ||
Boston Partners Emerging Markets Dynamic Equity Fund | 1.70% | (1) | N/A |
1 | Includes interest and/or dividend expense on short sales. |
6 | Semi-Annual Report 2024
BOSTON PARTNERS INVESTMENT FUNDS
FEBRUARY 29, 2024 (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, 2023 through February 29, 2024, 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, 2023 | ENDING ACCOUNT VALUE FEBRUARY 29, 2024 | 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 | $ | 1,104.90 | $ | 4.19 | 0.80% | 10.49% | ||||||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,020.89 | 4.02 | 0.80% | N/A | |||||||||||||||
Investor | ||||||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,103.90 | $ | 5.49 | 1.05% | 10.39% | ||||||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,019.64 | 5.27 | 1.05% | N/A | |||||||||||||||
Boston Partners Small Cap Value Fund II | ||||||||||||||||||||
Institutional | ||||||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,070.20 | $ | 5.10 | 0.99% | 7.02% | ||||||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,019.94 | 4.97 | 0.99% | N/A | |||||||||||||||
Investor | ||||||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,069.00 | $ | 6.38 | 1.24% | 6.90% | ||||||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,018.70 | 6.22 | 1.24% | N/A | |||||||||||||||
WPG Partners Select Small Cap Value Fund | ||||||||||||||||||||
Institutional | ||||||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,061.00 | $ | 5.64 | 1.10% | 6.10% | ||||||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,019.39 | 5.52 | 1.10% | N/A | |||||||||||||||
WPG Partners Small Cap Value Diversified Fund | ||||||||||||||||||||
Institutional | ||||||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,086.80 | $ | 5.71 | 1.10% | 8.68% | ||||||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,019.39 | 5.52 | 1.10% | N/A | |||||||||||||||
Boston Partners Global Sustainability Fund | ||||||||||||||||||||
Institutional | ||||||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,099.70 | $ | 4.70 | 0.90% | 9.97% | ||||||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,020.39 | 4.52 | 0.90% | N/A |
Semi-Annual Report 2024 | 7
BOSTON PARTNERS INVESTMENT FUNDS
FUND EXPENSE EXAMPLES (concluded)
FEBRUARY 29, 2024 (unaudited)
BEGINNING ACCOUNT VALUE SEPTEMBER 1, 2023 | ENDING ACCOUNT VALUE FEBRUARY 29, 2024 | 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 | $ | 1,096.40 | $ | 4.95 | 0.95% | 9.64% | ||||||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,020.14 | 4.77 | 0.95% | N/A | |||||||||||||||
Boston Partners Emerging Markets Fund | ||||||||||||||||||||
Institutional | ||||||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,061.90 | $ | 5.13 | 1.00% | 6.19% | ||||||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,019.89 | 5.02 | 1.00% | N/A | |||||||||||||||
Boston Partners Long/Short Equity Fund | ||||||||||||||||||||
Institutional | ||||||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,107.90 | $ | 10.74 | 2.05% | (1) | 10.79% | |||||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,014.67 | 10.27 | 2.05% | (1) | N/A | ||||||||||||||
Investor | ||||||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,106.20 | $ | 12.04 | 2.30% | (1) | 10.62% | |||||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,013.43 | 11.51 | 2.30% | (1) | N/A | ||||||||||||||
Boston Partners Long/Short Research Fund | ||||||||||||||||||||
Institutional | ||||||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,088.80 | $ | 9.71 | 1.87% | (1) | 8.88% | |||||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,015.56 | 9.37 | 1.87% | (1) | N/A | ||||||||||||||
Investor | ||||||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,087.60 | $ | 11.00 | 2.12% | (1) | 8.76% | |||||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,014.32 | 10.62 | 2.12% | (1) | N/A | ||||||||||||||
Boston Partners Global Long/Short Fund | ||||||||||||||||||||
Institutional | ||||||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,075.30 | $ | 9.29 | 1.80% | (1) | 7.53% | |||||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,015.91 | 9.02 | 1.80% | (1) | N/A | ||||||||||||||
Investor | ||||||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,073.60 | $ | 10.57 | 2.05% | (1) | 7.36% | |||||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,014.67 | 10.27 | 2.05% | (1) | N/A | ||||||||||||||
Boston Partners Emerging Markets Dynamic Equity Fund | ||||||||||||||||||||
Institutional | ||||||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,034.80 | $ | 7.08 | 1.40% | (1) | 3.48% | |||||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,017.90 | 7.02 | 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 (182) in the most recent fiscal half-year, then divided by 366 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 0.09% of average net assets for the six-month period ended February 29, 2024 for both the Institutional Class and Investor Class of the Boston Partners Long/Short Equity Fund, 0.47% of average net assets for the Institutional Class and Investor Class of the Boston Partners Long/Short Research Fund, 0.00% 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 2024
BOSTON PARTNERS INVESTMENT FUNDS | February 29, 2024 (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 | ||||||||
Financials | 24.0 | % | $ | 349,444,588 | ||||
Health Care | 21.6 | 314,468,902 | ||||||
Industrials | 15.6 | 226,083,437 | ||||||
Information Technology | 14.6 | 210,136,491 | ||||||
Consumer Discretionary | 7.8 | 112,864,865 | ||||||
Communication Services | 4.9 | 71,155,187 | ||||||
Energy | 4.7 | 67,863,489 | ||||||
Materials | 2.9 | 41,578,078 | ||||||
Consumer Staples | 2.8 | 39,924,959 | ||||||
SHORT-TERM INVESTMENTS | 5.5 | 78,959,693 | ||||||
LIABILITIES IN EXCESS OF OTHER ASSETS | (4.4 | ) | (64,509,157 | ) | ||||
NET ASSETS | 100.0 | % | $ | 1,447,970,532 |
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 | 26.0 | % | $ | 149,094,935 | ||||
Industrials | 24.0 | 137,954,824 | ||||||
Consumer Discretionary | 12.0 | 69,088,703 | ||||||
Information Technology | 8.6 | 49,231,587 | ||||||
Energy | 7.9 | 45,163,745 | ||||||
Health Care | 7.7 | 44,297,468 | ||||||
Communication Services | 3.6 | 20,715,287 | ||||||
Materials | 2.7 | 15,395,675 | ||||||
Consumer Staples | 1.7 | 9,703,601 | ||||||
Utilities | 0.8 | 4,334,714 | ||||||
Real Estate | 0.6 | 3,318,859 | ||||||
SHORT-TERM INVESTMENTS | 20.9 | 119,895,037 | ||||||
LIABILITIES IN EXCESS OF OTHER ASSETS | (16.5 | ) | (94,815,175 | ) | ||||
NET ASSETS | 100.0 | % | $ | 573,379,260 |
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 | ||||||||
Financials | 22.1 | % | $ | 21,182,943 | ||||
Industrials | 14.4 | 13,708,896 | ||||||
Health Care | 11.1 | 10,539,039 | ||||||
Materials | 10.1 | 9,642,837 | ||||||
Information Technology | 9.8 | 9,284,339 | ||||||
Consumer Staples | 7.5 | 7,098,768 | ||||||
Real Estate | 6.2 | 5,883,633 | ||||||
Consumer Discretionary | 5.2 | 4,923,698 | ||||||
Energy | 5.2 | 4,936,558 | ||||||
Communication Services | 3.4 | 3,201,862 | ||||||
SHORT-TERM INVESTMENTS | 3.8 | 3,617,474 | ||||||
OTHER ASSETS IN EXCESS OF LIABILITIES | 1.2 | 1,070,461 | ||||||
NET ASSETS | 100.0 | % | $ | 95,090,508 |
Portfolio holdings are subject to change at any time.
WPG PARTNERS
SMALL CAP VALUE DIVERSIFIED FUND
SECURITY TYPE/SECTOR CLASSIFICATION | % OF NET ASSETS | VALUE | ||||||
COMMON STOCK | ||||||||
Industrials | 22.7 | % | $ | 6,861,834 | ||||
Financials | 18.4 | 5,552,776 | ||||||
Energy | 11.0 | 3,350,873 | ||||||
Materials | 10.9 | 3,352,312 | ||||||
Consumer Discretionary | 6.7 | 2,048,085 | ||||||
Information Technology | 6.2 | 1,905,973 | ||||||
Health Care | 6.1 | 1,855,261 | ||||||
Real Estate | 5.5 | 1,681,169 | ||||||
Utilities | 4.0 | 1,231,771 | ||||||
Consumer Staples | 3.4 | 1,036,255 | ||||||
Communication Services | 0.2 | 57,937 | ||||||
SHORT-TERM INVESTMENTS | 19.3 | 5,893,127 | ||||||
LIABILITIES IN EXCESS OF OTHER ASSETS | (14.4 | ) | (4,385,008 | ) | ||||
NET ASSETS | 100.0 | % | $ | 30,442,365 |
Portfolio holdings are subject to change at any time.
The accompanying notes are an integral part of the financial statements.
Semi-Annual Report 2024 | 9
BOSTON PARTNERS INVESTMENT FUNDS | February 29, 2024 (unaudited) |
Portfolio Holdings Summary Tables (continued) |
BOSTON PARTNERS
GLOBAL SUSTAINABILITY FUND
SECURITY TYPE/SECTOR CLASSIFICATION | % OF NET ASSETS | VALUE | ||||||
COMMON STOCK | ||||||||
Financials | 22.9 | % | $ | 2,369,778 | ||||
Industrials | 22.2 | 2,301,592 | ||||||
Health Care | 15.5 | 1,598,804 | ||||||
Information Technology | 10.2 | 1,055,944 | ||||||
Consumer Staples | 8.3 | 863,950 | ||||||
Communication Services | 7.6 | 778,278 | ||||||
Consumer Discretionary | 5.8 | 595,834 | ||||||
Energy | 3.9 | 405,442 | ||||||
Utilities | 0.7 | 73,376 | ||||||
Materials | 0.7 | 71,122 | ||||||
SHORT-TERM INVESTMENTS | 1.0 | 103,238 | ||||||
OTHER ASSETS IN EXCESS OF LIABILITIES | 1.2 | 118,962 | ||||||
NET ASSETS | 100.0 | % | $ | 10,336,320 |
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 | 23.7 | % | $ | 51,905,036 | ||||
Industrials | 21.8 | 47,327,141 | ||||||
Consumer Staples | 9.2 | 20,185,515 | ||||||
Health Care | 8.7 | 19,089,549 | ||||||
Energy | 8.4 | 18,293,995 | ||||||
Consumer Discretionary | 7.3 | 16,052,468 | ||||||
Information Technology | 6.8 | 14,822,555 | ||||||
Materials | 5.6 | 12,122,114 | ||||||
Utilities | 2.7 | 5,814,419 | ||||||
Communication Services | 2.6 | 5,777,832 | ||||||
SHORT-TERM INVESTMENTS | 7.6 | 16,505,190 | ||||||
LIABILITIES IN EXCESS OF OTHER ASSETS | (4.4 | ) | (9,603,872 | ) | ||||
NET ASSETS | 100.0 | % | $ | 218,291,942 |
Portfolio holdings are subject to change at any time.
BOSTON PARTNERS
EMERGING MARKETS FUND
SECURITY TYPE/SECTOR CLASSIFICATION | % OF NET ASSETS | VALUE | ||||||
COMMON STOCK | ||||||||
Information Technology | 23.3 | % | $ | 5,561,869 | ||||
Industrials | 18.9 | 4,486,016 | ||||||
Consumer Discretionary | 17.1 | 4,070,820 | ||||||
Materials | 13.5 | 3,224,750 | ||||||
Financials | 5.9 | 1,389,056 | ||||||
Consumer Staples | 5.0 | 1,181,694 | ||||||
Health Care | 3.1 | 736,120 | ||||||
Communication Services | 2.6 | 628,415 | ||||||
Real Estate | 2.3 | 554,159 | ||||||
Utilities | 0.9 | 206,492 | ||||||
Energy | 0.2 | 45,820 | ||||||
PREFERRED STOCKS | 2.9 | 682,464 | ||||||
SHORT-TERM INVESTMENTS | 2.1 | 501,146 | ||||||
OTHER ASSETS IN EXCESS OF LIABILITIES | 2.2 | 526,420 | ||||||
NET ASSETS | 100.0 | % | $ | 23,795,241 |
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 | ||||||||
Financials | 19.7 | % | $ | 11,887,076 | ||||
Health Care | 17.3 | 10,429,157 | ||||||
Information Technology | 14.5 | 8,607,368 | ||||||
Industrials | 13.3 | 8,109,622 | ||||||
Consumer Discretionary | 10.6 | 6,411,799 | ||||||
Energy | 6.1 | 3,657,972 | ||||||
Communication Services | 5.8 | 3,524,329 | ||||||
Consumer Staples | 5.7 | 3,452,854 | ||||||
Materials | 3.5 | 2,078,281 | ||||||
Real Estate | 2.4 | 1,454,370 | ||||||
SHORT-TERM INVESTMENTS | 15.5 | 9,343,826 | ||||||
SHORT POSITIONS: | ||||||||
COMMON STOCK | ||||||||
Consumer Discretionary | (5.4 | ) | (3,257,763 | ) | ||||
Information Technology | (5.4 | ) | (3,201,491 | ) | ||||
Industrials | (2.6 | ) | (1,619,321 | ) | ||||
Communication Services | (2.5 | ) | (1,479,528 | ) | ||||
Health Care | (1.8 | ) | (1,102,337 | ) | ||||
Financials | (1.5 | ) | (881,528 | ) | ||||
Consumer Staples | (1.2 | ) | (695,041 | ) | ||||
Energy | (0.2 | ) | (101,484 | ) | ||||
RIGHTS | 0.0 | — | ||||||
OPTIONS WRITTEN | (0.2 | ) | (92,510 | ) | ||||
OTHER ASSETS IN EXCESS OF LIABILITIES | 6.4 | 3,896,720 | ||||||
NET ASSETS | 100.0 | % | $ | 60,422,371 |
Portfolio holdings are subject to change at any time.
The accompanying notes are an integral part of the financial statements.
10 | Semi-Annual Report 2024
BOSTON PARTNERS INVESTMENT FUNDS | February 29, 2024 (unaudited) |
Portfolio Holdings Summary Tables (concluded) |
BOSTON PARTNERS
LONG/SHORT RESEARCH FUND
SECURITY TYPE/SECTOR CLASSIFICATION | % OF NET ASSETS | VALUE | ||||||
LONG POSITIONS: | ||||||||
COMMON STOCK | ||||||||
Financials | 18.9 | % | $ | 105,138,345 | ||||
Industrials | 18.6 | 103,252,373 | ||||||
Health Care | 12.7 | 69,769,118 | ||||||
Information Technology | 12.3 | 68,427,989 | ||||||
Consumer Discretionary | 8.8 | 48,953,319 | ||||||
Energy | 8.0 | 44,752,643 | ||||||
Communication Services | 6.1 | 33,877,525 | ||||||
Consumer Staples | 3.9 | 21,615,646 | ||||||
Utilities | 3.5 | 19,272,796 | ||||||
Real Estate | 2.2 | 12,389,835 | ||||||
Materials | 1.9 | 10,983,671 | ||||||
CORPORATE BONDS | 0.1 | 786,241 | ||||||
WARRANTS | 0.0 | 1,573 | ||||||
SHORT-TERM INVESTMENTS | 0.1 | 453,682 | ||||||
SHORT POSITIONS: | ||||||||
COMMON STOCK | ||||||||
Consumer Discretionary | (5.7 | ) | (31,365,949 | ) | ||||
Industrials | (5.2 | ) | (29,246,531 | ) | ||||
Financials | (3.2 | ) | (18,633,786 | ) | ||||
Information Technology | (2.4 | ) | (13,013,780 | ) | ||||
Consumer Staples | (2.2 | ) | (12,428,948 | ) | ||||
Energy | (2.0 | ) | (11,872,554 | ) | ||||
Real Estate | (2.1 | ) | (11,608,530 | ) | ||||
Health Care | (2.1 | ) | (11,229,955 | ) | ||||
Communication Services | (1.6 | ) | (9,352,253 | ) | ||||
Materials | (1.2 | ) | (6,684,034 | ) | ||||
WARRANTS | 0.0 | (31,405 | ) | |||||
OPTIONS WRITTEN | 0.0 | (144,096 | ) | |||||
OTHER ASSETS IN EXCESS OF LIABILITIES | 30.6 | 169,602,635 | ||||||
NET ASSETS | 100.0 | % | $ | 553,665,570 |
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 | ||||||||
Financials | 11.7 | % | $ | 19,222,536 | ||||
Information Technology | 11.1 | 18,068,679 | ||||||
Energy | 11.1 | 18,035,877 | ||||||
Industrials | 9.9 | 16,205,372 | ||||||
Health Care | 9.5 | 15,554,802 | ||||||
Consumer Discretionary | 8.6 | 14,239,743 | ||||||
Materials | 6.8 | 11,250,904 | ||||||
Consumer Staples | 3.0 | 4,987,803 | ||||||
Communication Services | 2.6 | 4,189,365 | ||||||
CORPORATE BONDS | 0.8 | 1,235,521 | ||||||
WARRANTS | 0.0 | 2,472 | ||||||
SHORT-TERM INVESTMENTS | 23.3 | 38,197,444 | ||||||
SHORT POSITIONS: | ||||||||
COMMON STOCK | ||||||||
Industrials | (0.5 | ) | (823,298 | ) | ||||
OPTIONS WRITTEN | (1.7 | ) | (2,714,552 | ) | ||||
OTHER ASSETS IN EXCESS OF LIABILITIES | 3.8 | 6,142,884 | ||||||
NET ASSETS | 100.0 | % | $ | 163,795,552 |
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 | ||||||||
Consumer Discretionary | 17.7 | % | $ | 10,920,886 | ||||
Industrials | 14.0 | 8,596,900 | ||||||
Materials | 13.6 | 8,370,250 | ||||||
Information Technology | 13.0 | 7,995,365 | ||||||
Consumer Staples | 3.8 | 2,322,404 | ||||||
Health Care | 3.1 | 1,875,561 | ||||||
Financials | 2.6 | 1,595,306 | ||||||
Communication Services | 2.0 | 1,238,847 | ||||||
Utilities | 0.9 | 540,254 | ||||||
Energy | 0.1 | 74,748 | ||||||
PREFERRED STOCKS | 2.1 | 1,302,745 | ||||||
SHORT-TERM INVESTMENTS | 21.7 | 13,276,380 | ||||||
SHORT POSITIONS: | ||||||||
COMMON STOCK | ||||||||
Consumer Discretionary | (0.3 | ) | (183,973 | ) | ||||
OTHER ASSETS IN EXCESS OF LIABILITIES | 5.7 | 3,503,468 | ||||||
NET ASSETS | 100.0 | % | $ | 61,429,141 |
Portfolio holdings are subject to change at any time.
The accompanying notes are an integral part of the financial statements.
Semi-Annual Report 2024 | 11
BOSTON PARTNERS INVESTMENT FUNDS | February 29, 2024 (unaudited) |
BOSTON PARTNERS ALL-CAP VALUE FUND | Portfolio Of Investments |
NUMBER OF SHARES | VALUE | |||||||
COMMON STOCKS—98.9% | ||||||||
Communication Services—4.9% | ||||||||
Alphabet, Inc. - Class A(a) | 198,099 | $ | 27,428,788 | |||||
Electronic Arts, Inc. | 18,734 | 2,613,018 | ||||||
Interpublic Group of Cos., Inc.(b) | 202,238 | 6,350,273 | ||||||
Match Group, Inc.(a) | 341,651 | 12,313,102 | ||||||
Omnicom Group, Inc. | 69,357 | 6,130,465 | ||||||
Take-Two Interactive Software, Inc.(a) | 89,550 | 13,157,582 | ||||||
TEGNA, Inc. | 225,693 | 3,161,959 | ||||||
71,155,187 | ||||||||
Consumer Discretionary—7.8% | ||||||||
AutoZone, Inc.(a) | 5,745 | 17,269,585 | ||||||
Booking Holdings, Inc.(a) | 7,462 | 25,884,410 | ||||||
Harley-Davidson, Inc. | 348,509 | 12,640,421 | ||||||
LKQ Corp. | 144,907 | 7,577,187 | ||||||
NVR, Inc.(a) | 2,517 | 19,193,560 | ||||||
Tempur Sealy International, Inc.(b) | 323,896 | 17,642,615 | ||||||
Whirlpool Corp.(b) | 41,914 | 4,501,144 | ||||||
Wyndham Hotels & Resorts, Inc. | 106,544 | 8,155,943 | ||||||
112,864,865 | ||||||||
Consumer Staples—2.8% | ||||||||
Coca-Cola Europacific Partners PLC | 63,015 | 4,324,719 | ||||||
J M Smucker Co. | 55,076 | 6,618,483 | ||||||
Kenvue, Inc. | 401,945 | 7,636,955 | ||||||
Keurig Dr Pepper, Inc. | 248,847 | 7,443,014 | ||||||
Philip Morris International, Inc. | 154,533 | 13,901,788 | ||||||
39,924,959 | ||||||||
Energy—4.7% | ||||||||
BP PLC - ADR | 124,259 | 4,347,822 | ||||||
Canadian Natural Resources Ltd. | 118,113 | 8,231,295 | ||||||
Chord Energy Corp.(b) | 62,443 | 10,143,865 | ||||||
ConocoPhillips | 61,377 | 6,907,368 | ||||||
Halliburton Co. | 251,779 | 8,829,890 | ||||||
Phillips 66 | 44,289 | 6,311,625 | ||||||
Pioneer Natural Resources Co. | 27,514 | 6,471,018 | ||||||
Schlumberger Ltd. | 229,204 | 11,077,429 | ||||||
Shell PLC - ADR | 88,225 | 5,543,177 | ||||||
67,863,489 | ||||||||
Financials—24.0% | ||||||||
Aflac, Inc. | 89,664 | 7,239,471 | ||||||
Allstate Corp. | 52,660 | 8,400,323 | ||||||
American International Group, Inc. | 332,769 | 24,255,532 | ||||||
Aon PLC - Class A | 41,372 | 13,073,138 | ||||||
Bank of America Corp. | 651,890 | 22,503,243 | ||||||
BRP Group, Inc. - Class A(a)(b) | 123,089 | 3,424,336 | ||||||
Charles Schwab Corp. | 107,202 | 7,158,950 | ||||||
Chubb Ltd. | 71,253 | 17,932,244 | ||||||
Citigroup, Inc. | 244,042 | 13,541,891 | ||||||
Discover Financial Services | 107,805 | 13,012,064 | ||||||
Fidelity National Information Services, Inc. | 84,407 | 5,840,120 | ||||||
FleetCor Technologies, Inc.(a) | 84,046 | 23,471,526 | ||||||
Global Payments, Inc. | 114,993 | 14,914,592 | ||||||
Globe Life, Inc. | 76,748 | 9,741,624 | ||||||
Goldman Sachs Group, Inc. | 41,231 | 16,040,921 | ||||||
JPMorgan Chase & Co. | 155,520 | 28,936,050 | ||||||
Loews Corp. | 187,236 | 14,067,041 | ||||||
Markel Group, Inc.(a)(b) | 12,107 | 18,069,455 | ||||||
Renaissance Holdings Ltd. | 75,409 | 16,953,451 | ||||||
Synchrony Financial | 145,808 | 6,021,870 |
NUMBER OF SHARES | VALUE | |||||||
Financials—(continued) | ||||||||
Travelers Cos., Inc. | 59,630 | $ | 13,175,845 | |||||
Visa, Inc. - Class A(b) | 79,360 | 22,430,310 | ||||||
Wells Fargo & Co. | 239,450 | 13,311,026 | ||||||
White Mountains Insurance Group Ltd. | 9,023 | 15,929,565 | ||||||
349,444,588 | ||||||||
Health Care—21.6% | ||||||||
AbbVie, Inc. | 161,892 | 28,501,087 | ||||||
Amgen, Inc. | 60,546 | 16,579,311 | ||||||
AMN Healthcare Services, Inc.(a) | 201,201 | 11,321,580 | ||||||
Avantor, Inc.(a)(b) | 521,846 | 12,858,285 | ||||||
Bristol-Myers Squibb Co. | 495,892 | 25,166,519 | ||||||
Cencora, Inc. | 67,397 | 15,878,733 | ||||||
Centene Corp.(a) | 178,283 | 13,982,736 | ||||||
Cigna Group, (The) | 26,541 | 8,921,492 | ||||||
Elevance Health, Inc. | 41,474 | 20,788,843 | ||||||
Humana, Inc. | 29,481 | 10,327,784 | ||||||
Johnson & Johnson | 196,124 | 31,650,491 | ||||||
McKesson Corp. | 38,606 | 20,129,554 | ||||||
Medtronic PLC | 203,423 | 16,957,341 | ||||||
Merck & Co., Inc. | 177,759 | 22,602,057 | ||||||
Pfizer, Inc. | 449,410 | 11,936,330 | ||||||
Sanofi SA - ADR | 433,372 | 20,736,850 | ||||||
UnitedHealth Group, Inc. | 39,249 | 19,373,306 | ||||||
Zimmer Biomet Holdings, Inc. | 54,331 | 6,756,603 | ||||||
314,468,902 | ||||||||
Industrials—15.6% | ||||||||
Acuity Brands, Inc. | 63,854 | 16,042,679 | ||||||
Advanced Drainage Systems, Inc. | 32,609 | 5,323,093 | ||||||
Allegion PLC | 183,190 | 23,424,505 | ||||||
Allison Transmission Holdings, Inc. | 115,856 | 8,727,432 | ||||||
AMETEK, Inc. | 49,446 | 8,909,180 | ||||||
Boeing Co.(a) | 62,215 | 12,674,440 | ||||||
Curtiss-Wright Corp. | 30,429 | 7,189,460 | ||||||
EnerSys | 39,397 | 3,619,796 | ||||||
Expeditors International of Washington, Inc. | 115,848 | 13,855,421 | ||||||
Howmet Aerospace, Inc. | 277,647 | 18,477,408 | ||||||
Huron Consulting Group, Inc.(a) | 85,755 | 8,415,138 | ||||||
Landstar System, Inc. | 59,668 | 11,348,854 | ||||||
Leidos Holdings, Inc. | 34,052 | 4,353,889 | ||||||
Masco Corp. | 96,440 | 7,402,734 | ||||||
Middleby Corp.(a)(b) | 64,254 | 9,776,889 | ||||||
Resideo Technologies, Inc.(a) | 138,518 | 3,093,107 | ||||||
Robert Half, Inc.(b) | 123,107 | 9,897,803 | ||||||
Science Applications International Corp. | 95,233 | 13,328,811 | ||||||
Sensata Technologies Holding PLC | 91,988 | 3,166,227 | ||||||
SS&C Technologies Holdings, Inc. | 181,639 | 11,581,303 | ||||||
Textron, Inc. | 114,618 | 10,209,025 | ||||||
Westinghouse Air Brake Technologies Corp. | 108,049 | 15,266,243 | ||||||
226,083,437 | ||||||||
Information Technology—14.6% | ||||||||
Analog Devices, Inc. | 77,611 | 14,887,342 | ||||||
Applied Materials, Inc. | 47,933 | 9,664,251 | ||||||
Arrow Electronics, Inc.(a) | 53,640 | 6,302,700 | ||||||
Belden, Inc. | 45,621 | 3,885,997 | ||||||
CDW Corp. | 36,316 | 8,941,362 |
The accompanying notes are an integral part of the financial statements.
12 | Semi-Annual Report 2024
BOSTON PARTNERS INVESTMENT FUNDS | February 29, 2024 (unaudited) |
BOSTON PARTNERS ALL-CAP VALUE FUND | Portfolio Of Investments (continued) |
NUMBER OF SHARES | VALUE | |||||||
Information Technology—(continued) | ||||||||
Check Point Software Technologies Ltd.(a) | 160,215 | $ | 25,701,691 | |||||
Cisco Systems, Inc. | 346,823 | 16,775,828 | ||||||
Cognizant Technology Solutions Corp. - Class A | 206,479 | 16,315,971 | ||||||
Flex Ltd.(a) | 439,430 | 12,369,955 | ||||||
Gen Digital, Inc. | 140,775 | 3,025,255 | ||||||
Hewlett Packard Enterprise Co. | 247,326 | 3,766,775 | ||||||
Jabil, Inc. | 88,099 | 12,694,185 | ||||||
KLA Corp. | 13,866 | 9,460,772 | ||||||
Lam Research Corp. | 10,597 | 9,942,635 | ||||||
Microchip Technology, Inc. | 187,604 | 15,785,001 | ||||||
Nice Ltd. - ADR(a)(b) | 37,211 | 9,122,277 | ||||||
Oracle Corp. | 115,559 | 12,905,629 | ||||||
QUALCOMM, Inc. | 81,021 | 12,784,304 | ||||||
TE Connectivity Ltd. | 40,433 | 5,804,561 | ||||||
210,136,491 | ||||||||
Materials—2.9% | ||||||||
Corteva, Inc. | 154,132 | 8,249,145 | ||||||
CRH PLC | 338,068 | 28,502,513 | ||||||
FMC Corp. | 85,590 | 4,826,420 | ||||||
41,578,078 | ||||||||
TOTAL COMMON STOCKS (Cost $863,229,225) | 1,433,519,996 | |||||||
SHORT-TERM INVESTMENTS—5.5% | ||||||||
Tri-State Deposit, 5.45%(c) | 11,502,207 | 11,502,207 |
NUMBER OF UNITS | VALUE | |||||||
INVESTMENTS PURCHASED WITH PROCEEDS FROM SECURITIES LENDING—4.7% | ||||||||
Mount Vernon Liquid Assets Portfolio, LLC, 5.44%(c) | 67,457,486 | $ | 67,457,486 | |||||
TOTAL SHORT-TERM INVESTMENTS (Cost $78,959,693) | 78,959,693 | |||||||
TOTAL INVESTMENTS—104.4% (Cost $942,188,918) | 1,512,479,689 | |||||||
Money Market Deposit Account—0.1%(d) | 993,475 | |||||||
LIABILITIES IN EXCESS OF OTHER ASSETS—(4.5)% | (65,502,632 | ) | ||||||
TOTAL NET ASSETS—100.0% | $ | 1,447,970,532 |
ADR | American Depositary Receipt |
PLC | Public Limited Company |
SA | Sociedad Anónima |
(a) | Non-income producing security. |
(b) | All or a portion of this security is on loan as of February 29, 2024. The total market value of these securities was $66,056,324 which represented 4.6% of net assets. |
(c) | The rate shown represents the 7-day effective yield as of February 29, 2024. |
(d) | The U.S. Bank Money Market Deposit Account (the “MMDA”) is a short-term vehicle in which the Fund holds cash balances. The MMDA will bear interest at a variable rate that is determined based on market conditions and is subject to change daily. The rate as of February 29, 2024 was 5.20%.
Percentages are stated as a percent of net assets.
The Global Industry Classification Standard (GICS®) was developed by and/or is the exclusive property of MSCI, Inc. and Standard & Poor’s Financial Services LLC (“S&P”). GICS is a service mark of MSCI, Inc. and S&P and has been licensed for use by U.S. Bank Global Fund Services. |
The accompanying notes are an integral part of the financial statements.
Semi-Annual Report 2024 | 13
BOSTON PARTNERS INVESTMENT FUNDS | February 29, 2024 (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 29, 2024 is as follows (see Notes to Portfolio of Investments):
TOTAL | LEVEL 1 | LEVEL 2 | LEVEL 3 | |||||||||||||
Assets: | ||||||||||||||||
Common Stocks | $ | 1,433,519,996 | $ | 1,433,519,996 | $ | — | $ | — | ||||||||
Short-Term Investments | 11,502,207 | — | 11,502,207 | — | ||||||||||||
Investments Purchased with Proceeds from Securities Lending(a) | 67,457,486 | — | — | — | ||||||||||||
Total Assets | $ | 1,512,479,689 | $ | 1,433,519,996 | $ | 11,502,207 | $ | — |
Refer to the Portfolio of Investments for industry classifications.
(a) | 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 listed in the Portfolio of Investments. |
The accompanying notes are an integral part of the financial statements.
14 | Semi-Annual Report 2024
BOSTON PARTNERS INVESTMENT FUNDS | February 29, 2024 (unaudited) |
BOSTON PARTNERS SMALL CAP VALUE FUND II | Portfolio Of Investments |
NUMBER OF SHARES | VALUE | |||||||
COMMON STOCKS—95.6% | ||||||||
Communication Services—4.0% | ||||||||
Boyd Gaming Corp. | 38,732 | $ | 2,561,347 | |||||
Bumble, Inc. - Class A(a)(b) | 120,744 | 1,382,519 | ||||||
Cars.com, Inc.(a) | 170,558 | 3,128,034 | ||||||
Entravision Communications Corp. - Class A | 433,273 | 1,668,101 | ||||||
Nexstar Media Group, Inc. - Class A | 18,911 | 3,142,441 | ||||||
Stagwell, Inc.(a)(b) | 316,961 | 1,692,572 | ||||||
TEGNA, Inc. | 323,912 | 4,538,006 | ||||||
TripAdvisor, Inc.(a) | 96,828 | 2,596,927 | ||||||
Vivid Seats, Inc. - Class A(a) | 426,360 | 2,566,687 | ||||||
23,276,634 | ||||||||
Consumer Discretionary—11.6% | ||||||||
Beazer Homes USA, Inc.(a) | 61,731 | 1,934,032 | ||||||
Bloomin’ Brands, Inc.(b) | 80,587 | 2,190,355 | ||||||
Bowlero Corp.(b) | 378,335 | 4,710,271 | ||||||
Brinker International, Inc.(a) | 53,280 | 2,468,995 | ||||||
Build-A-Bear Workshop, Inc.(b) | 55,764 | 1,334,990 | ||||||
Caleres, Inc. | 122,116 | 4,714,899 | ||||||
Carriage Services, Inc. | 113,865 | 2,826,129 | ||||||
Chegg, Inc.(a) | 222,892 | 1,992,654 | ||||||
Dave & Buster’s Entertainment, Inc.(a)(b) | 32,405 | 2,000,685 | ||||||
Frontdoor, Inc.(a) | 94,993 | 2,978,980 | ||||||
Group 1 Automotive, Inc.(b) | 13,498 | 3,653,234 | ||||||
Guess?, Inc. | 88,656 | 2,250,089 | ||||||
Hibbett, Inc.(b) | 32,739 | 2,682,961 | ||||||
J Jill, Inc.(a)(b) | 111,792 | 2,793,682 | ||||||
Laureate Education, Inc. | 248,915 | 3,337,950 | ||||||
LCI Industries(b) | 15,860 | 1,998,043 | ||||||
Movado Group, Inc. | 100,296 | 2,879,498 | ||||||
Perdoceo Education Corp. | 121,313 | 2,160,585 | ||||||
Phinia, Inc. | 73,940 | 2,530,227 | ||||||
Solo Brands, Inc. - Class A(a)(b) | 552,758 | 1,492,447 | ||||||
Steven Madden Ltd.(b) | 106,529 | 4,561,572 | ||||||
Thor Industries, Inc.(b) | 16,797 | 2,153,039 | ||||||
Topgolf Callaway Brands Corp.(a) | 139,617 | 1,988,146 | ||||||
United Homes Group, Inc.(a)(b) | 237,832 | 1,660,067 | ||||||
Universal Technical Institute, Inc.(a) | 215,015 | 3,233,826 | ||||||
66,527,356 | ||||||||
Consumer Staples—1.7% | ||||||||
Nature’s Sunshine | ||||||||
Products, Inc.(a) | 132,889 | 2,358,779 | ||||||
Nomad Foods Ltd. | 174,143 | 3,209,455 | ||||||
Simply Good Foods Co.(a)(b) | 65,741 | 2,332,491 | ||||||
Vector Group Ltd. | 161,548 | 1,802,876 | ||||||
9,703,601 | ||||||||
Energy—7.9% | ||||||||
Archrock, Inc. | 135,334 | 2,472,552 | ||||||
ChampionX Corp.(b) | 80,996 | 2,515,736 | ||||||
Expro Group Holdings NV(a)(b) | 203,898 | 3,647,735 | ||||||
Kosmos Energy Ltd.(a) | 307,079 | 1,885,465 | ||||||
Noble Corp. PLC(b) | 53,374 | 2,231,567 | ||||||
Par Pacific Holdings, Inc.(a) | 110,140 | 3,978,257 | ||||||
Patterson-UTI Energy, Inc. | 127,974 | 1,480,659 | ||||||
ProPetro Holding Corp.(a) | 234,166 | 1,732,828 | ||||||
Select Water Solutions, Inc. | 250,629 | 2,140,372 | ||||||
Tidewater, Inc.(a)(b) | 48,111 | 3,369,213 | ||||||
US Silica Holdings, Inc.(a) | 286,384 | 3,293,416 | ||||||
Vermilion Energy, Inc. | 138,431 | 1,535,200 |
NUMBER OF SHARES | VALUE | |||||||
Energy—(continued) | ||||||||
Viper Energy, Inc.(b) | 177,362 | $ | 6,409,863 | |||||
Weatherford International PLC(a) | 53,801 | 5,520,521 | ||||||
World Kinect Corp. | 121,115 | 2,950,361 | ||||||
45,163,745 | ||||||||
Financials—26.0%(c) | ||||||||
AllianceBernstein Holding LP | 45,893 | 1,458,021 | ||||||
AMERISAFE, Inc. | 34,779 | 1,834,940 | ||||||
Assured Guaranty Ltd.(b) | 59,565 | 5,456,154 | ||||||
Axis Capital Holdings Ltd. | 97,014 | 6,070,166 | ||||||
Bar Harbor Bankshares | 65,386 | 1,649,035 | ||||||
Berkshire Hills Bancorp, Inc. | 26,919 | 578,489 | ||||||
BGC Group, Inc. - Class A | 736,405 | 5,118,015 | ||||||
BRP Group, Inc. - Class A(a)(b) | 130,875 | 3,640,943 | ||||||
Byline Bancorp, Inc. | 72,190 | 1,504,440 | ||||||
Cass Information Systems, Inc.(b) | 50,685 | 2,449,099 | ||||||
Diamond Hill Investment Group, Inc. | 13,293 | 1,923,231 | ||||||
Dime Community Bancshares, Inc. | 76,399 | 1,431,717 | ||||||
Employers Holdings, Inc. | 38,726 | 1,770,165 | ||||||
Enact Holdings, Inc. | 61,845 | 1,714,343 | ||||||
Essent Group Ltd. | 58,601 | 3,139,256 | ||||||
Evercore, Inc. - Class A | 42,065 | 7,869,520 | ||||||
EZCORP, Inc. - Class A(a) | 230,550 | 2,418,470 | ||||||
Federal Agricultural Mortgage Corp. - Class C | 54,504 | 9,749,130 | ||||||
First Merchants Corp. | 74,229 | 2,464,403 | ||||||
First Mid Bancshares, Inc. | 36,576 | 1,108,253 | ||||||
FirstCash Holdings, Inc. | 55,915 | 6,402,268 | ||||||
Global Indemnity Group LLC - Class A | 65,337 | 1,957,960 | ||||||
Hancock Whitney Corp. | 43,602 | 1,901,047 | ||||||
Heritage Commerce Corp. | 194,058 | 1,608,741 | ||||||
Heritage Financial Corp. | 49,323 | 905,077 | ||||||
Hope Bancorp, Inc. | 225,970 | 2,478,891 | ||||||
International Money Express, Inc.(a) | 121,818 | 2,399,815 | ||||||
Merchants Bancorp(b) | 80,441 | 3,447,701 | ||||||
NCR Atleos Corp.(a) | 58,824 | 1,280,010 | ||||||
OceanFirst Financial Corp. | 208,768 | 3,173,274 | ||||||
Old National Bancorp(b) | 208,415 | 3,424,258 | ||||||
Peapack-Gladstone Financial Corp. | 114,645 | 2,777,848 | ||||||
PennyMac Financial Services, Inc.(b) | 32,808 | 2,786,383 | ||||||
Preferred Bank(b) | 74,564 | 5,357,423 | ||||||
Primis Financial Corp. | 174,043 | 2,149,431 | ||||||
Redwood Trust, Inc.(b) | 275,731 | 1,690,231 | ||||||
S&T Bancorp, Inc. | 66,240 | 2,066,026 | ||||||
Silvercrest Asset Management Group, Inc. - Class A | 194,183 | 3,256,449 | ||||||
SLM Corp. | 490,223 | 10,211,346 | ||||||
SouthState Corp.(b) | 24,527 | 2,061,249 | ||||||
Stewart Information Services Corp.(b) | 66,295 | 4,175,259 | ||||||
StoneX Group, Inc.(a) | 51,020 | 3,533,645 | ||||||
Walker & Dunlop, Inc.(b) | 25,956 | 2,475,683 | ||||||
Western Alliance Bancorp | 95,698 | 5,524,646 | ||||||
White Mountains Insurance Group Ltd. | 1,982 | 3,499,102 | ||||||
Wintrust Financial Corp. | 54,005 | 5,203,382 | ||||||
149,094,935 | ||||||||
Health Care—7.7% | ||||||||
Addus HomeCare Corp.(a) | 20,639 | 1,904,567 | ||||||
Amedisys, Inc.(a) | 17,779 | 1,653,803 | ||||||
AMN Healthcare Services, Inc.(a)(b) | 47,194 | 2,655,606 |
The accompanying notes are an integral part of the financial statements.
Semi-Annual Report 2024 | 15
BOSTON PARTNERS INVESTMENT FUNDS | February 29, 2024 (unaudited) |
BOSTON PARTNERS SMALL CAP VALUE FUND II | Portfolio Of Investments (continued) |
NUMBER OF SHARES | VALUE | |||||||
Health Care—(continued) | ||||||||
Biote Corp.(a)(b) | 563,458 | $ | 3,352,575 | |||||
Catalyst Pharmaceuticals, Inc.(a) | 149,219 | 2,391,981 | ||||||
Cross Country Healthcare, Inc.(a) | 107,547 | 1,964,884 | ||||||
Fortrea Holdings, Inc.(a)(b) | 106,172 | 3,985,697 | ||||||
Haemonetics Corp.(a) | 41,500 | 3,028,670 | ||||||
Halozyme Therapeutics, Inc.(a) | 47,107 | 1,875,330 | ||||||
Inmode Ltd.(a) | 91,470 | 2,012,339 | ||||||
Integra LifeSciences Holdings Corp.(a) | 57,698 | 2,129,633 | ||||||
Lantheus Holdings, Inc.(a)(b) | 66,637 | 4,356,726 | ||||||
Organon & Co. | 110,908 | 1,930,908 | ||||||
Pediatrix Medical Group, Inc.(a) | 249,056 | 2,278,862 | ||||||
Perrigo Co. PLC | 63,156 | 1,658,477 | ||||||
PetIQ, Inc.(a) | 127,251 | 2,317,241 | ||||||
Quipt Home Medical Corp.(a) | 246,661 | 1,058,176 | ||||||
R1 RCM, Inc.(a)(b) | 266,334 | 3,741,993 | ||||||
44,297,468 | ||||||||
Industrials—24.0% | ||||||||
AAR Corp.(a) | 36,112 | 2,411,559 | ||||||
Acuity Brands, Inc. | 15,722 | 3,949,995 | ||||||
Alight, Inc. - Class A(a)(b) | 287,259 | 2,588,204 | ||||||
Allison Transmission Holdings, Inc. | 65,961 | 4,968,842 | ||||||
Array Technologies, Inc.(a)(b) | 130,570 | 1,780,975 | ||||||
Asure Software, Inc.(a)(b) | 195,392 | 1,821,053 | ||||||
Atkore, Inc.(b) | 25,455 | 4,312,077 | ||||||
Beacon Roofing Supply, Inc.(a) | 60,846 | 5,226,063 | ||||||
Blue Bird Corp.(a) | 73,175 | 2,476,242 | ||||||
Brady Corp. - Class A | 45,973 | 2,679,306 | ||||||
Brink’s Co.(b) | 101,667 | 8,421,079 | ||||||
CBIZ, Inc.(a) | 57,574 | 4,348,564 | ||||||
Chart Industries, Inc.(a)(b) | 17,986 | 2,569,480 | ||||||
Civeo Corp. | 104,355 | 2,443,994 | ||||||
Concentrix Corp.(b) | 30,368 | 2,200,162 | ||||||
CoreCivic, Inc.(a) | 257,579 | 3,922,928 | ||||||
CRA International, Inc. | 39,929 | 5,292,190 | ||||||
DNOW, Inc.(a) | 138,802 | 1,964,048 | ||||||
Dun & Bradstreet Holdings, Inc. | 194,430 | 2,049,292 | ||||||
DXP Enterprises, Inc.(a) | 66,035 | 2,345,563 | ||||||
Encore Wire Corp. | 7,955 | 1,917,155 | ||||||
EnerSys | 36,133 | 3,319,900 | ||||||
Granite Construction, Inc.(b) | 69,521 | 3,582,417 | ||||||
Griffon Corp. | 38,449 | 2,745,259 | ||||||
Heidrick & Struggles International, Inc. | 77,399 | 2,631,566 | ||||||
Huron Consulting Group, Inc.(a) | 36,560 | 3,587,633 | ||||||
IBEX Holdings Ltd.(a) | 187,039 | 2,985,143 | ||||||
ICF International, Inc. | 30,485 | 4,720,602 | ||||||
Janus International Group, Inc.(a) | 372,595 | 5,346,739 | ||||||
Kelly Services, Inc. - Class A | 55,197 | 1,353,982 | ||||||
Legalzoom.com, Inc.(a)(b) | 326,508 | 4,048,699 | ||||||
Leonardo DRS, Inc.(a) | 97,068 | 2,204,414 | ||||||
Liquidity Services, Inc.(a) | 110,862 | 1,987,756 | ||||||
LSI Industries, Inc. | 183,424 | 2,646,808 | ||||||
Primoris Services Corp. | 81,683 | 3,227,295 | ||||||
Science Applications International Corp. | 35,041 | 4,904,338 | ||||||
Sensata Technologies Holding PLC | 47,561 | 1,637,050 |
NUMBER OF SHARES | VALUE | |||||||
Industrials—(continued) | ||||||||
Sterling Check Corp.(a)(b) | 239,616 | $ | 3,754,783 | |||||
Universal Logistics Holdings, Inc. | 54,412 | 1,840,758 | ||||||
V2X, Inc.(a) | 63,459 | 2,443,172 | ||||||
Valmont Industries, Inc. | 9,103 | 1,929,199 | ||||||
Vestis Corp. | 96,149 | 1,803,755 | ||||||
Viad Corp.(a) | 116,722 | 4,345,560 | ||||||
Wabash National Corp.(b) | 44,693 | 1,219,225 | ||||||
137,954,824 | ||||||||
Information Technology—8.6% | ||||||||
Adeia, Inc. | 325,374 | 3,689,741 | ||||||
Avnet, Inc. | 89,339 | 4,162,304 | ||||||
Axcelis Technologies, Inc.(a)(b) | 20,371 | 2,295,201 | ||||||
Bel Fuse, Inc. - Class B(b) | 36,632 | 1,903,765 | ||||||
Belden, Inc. | 29,995 | 2,554,974 | ||||||
Benchmark Electronics, Inc. | 103,521 | 3,179,130 | ||||||
Clearfield, Inc.(a)(b) | 91,841 | 2,770,843 | ||||||
CompoSecure, Inc.(a)(b) | 303,501 | 1,468,945 | ||||||
Extreme Networks, Inc.(a) | 182,347 | 2,304,866 | ||||||
Hackett Group, Inc. | 94,881 | 2,345,458 | ||||||
Insight Enterprises, Inc.(a)(b) | 11,808 | 2,219,904 | ||||||
InterDigital, Inc. | 58,342 | 6,243,762 | ||||||
LiveRamp Holdings, Inc.(a) | 62,933 | 2,201,396 | ||||||
NCR Voyix Corp.(a) | 117,648 | 1,718,837 | ||||||
OSI Systems, Inc.(a) | 28,791 | 3,776,803 | ||||||
Photronics, Inc.(a) | 132,590 | 3,817,266 | ||||||
Ultra Clean Holdings, Inc.(a)(b) | 59,685 | 2,578,392 | ||||||
49,231,587 | ||||||||
Materials—2.7% | ||||||||
Ashland, Inc. | 36,390 | 3,407,560 | ||||||
Ecovyst, Inc.(a) | 290,097 | 2,799,436 | ||||||
Eldorado Gold Corp.(a)(b) | 215,515 | 2,239,201 | ||||||
Methanex Corp.(b) | 37,096 | 1,663,385 | ||||||
Myers Industries, Inc. | 83,648 | 1,608,551 | ||||||
Orion SA | 140,618 | 3,169,529 | ||||||
Piedmont Lithium, Inc.(a)(b) | 34,891 | 508,013 | ||||||
15,395,675 | ||||||||
Real Estate—0.6% | ||||||||
BRT Apartments Corp. | 101,686 | 1,574,099 | ||||||
Cousins Properties, Inc. | 76,491 | 1,744,760 | ||||||
3,318,859 | ||||||||
Utilities—0.8% | ||||||||
New Jersey Resources Corp. | 49,787 | 2,071,637 | ||||||
Portland General Electric Co. | 27,252 | 1,094,713 | ||||||
Pure Cycle Corp.(a) | 117,188 | 1,168,364 | ||||||
4,334,714 | ||||||||
TOTAL COMMON STOCKS (Cost $438,472,674) | 548,299,398 | |||||||
SHORT-TERM INVESTMENTS—20.9% | ||||||||
Tri-State Deposit, 5.45%(d) | 19,061,852 | 19,061,852 |
The accompanying notes are an integral part of the financial statements.
16 | Semi-Annual Report 2024
BOSTON PARTNERS INVESTMENT FUNDS | February 29, 2024 (unaudited) |
BOSTON PARTNERS SMALL CAP VALUE FUND II | Portfolio Of Investments (continued) |
NUMBER OF UNITS | VALUE | |||||||
INVESTMENTS PURCHASED WITH PROCEEDS FROM SECURITIES LENDING—17.6% | ||||||||
Mount Vernon Liquid Assets Portfolio, LLC, 5.44%(d) | 100,833,185 | $ | 100,833,185 | |||||
TOTAL SHORT-TERM INVESTMENTS (Cost $558,367,711) | 119,895,037 | |||||||
TOTAL INVESTMENTS—116.5% (Cost $558,451,169) | 668,194,435 | |||||||
Money Market Deposit Account—1.0%(e) | 5,693,845 | |||||||
LIABILITIES IN EXCESS OF OTHER ASSETS—(17.5)% | (100,509,020 | ) | ||||||
TOTAL NET ASSETS—100.0% | $ | 573,379,260 |
PLC | Public Limited Company |
SA | Sociedad Anónima |
(a) | Non-income producing security. |
(b) | All or a portion of this security is on loan as of February 29, 2024. The total market value of these securities was $99,853,478 which represented 17.4% of net assets. |
(c) | To the extent that the Fund invests more heavily in a particular industry or sector of the economy, its performance will be especially sensitive to developments that significantly affect those industries or sectors. |
(d) | The rate shown represents the 7-day effective yield as of February 29, 2024. |
(e) | The U.S. Bank Money Market Deposit Account (the “MMDA”) is a short-term vehicle in which the Fund holds cash balances. The MMDA will bear interest at a variable rate that is determined based on market conditions and is subject to change daily. The rate as of February 29, 2024 was 5.20%.
Percentages are stated as a percent of net assets.
The Global Industry Classification Standard (GICS®) was developed by and/or is the exclusive property of MSCI, Inc. and Standard & Poor’s Financial Services LLC (“S&P”). GICS is a service mark of MSCI, Inc. and S&P and has been licensed for use by U.S. Bank Global Fund Services. |
The accompanying notes are an integral part of the financial statements.
Semi-Annual Report 2024 | 17
BOSTON PARTNERS INVESTMENT FUNDS | February 29, 2024 (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 29, 2024 is as follows (see Notes to Portfolio of Investments):
TOTAL | LEVEL 1 | LEVEL 2 | LEVEL 3 | |||||||||||||
Assets: | ||||||||||||||||
Common Stocks | $ | 548,299,398 | $ | 548,299,398 | $ | — | $ | — | ||||||||
Short-Term Investments | 19,061,852 | — | 19,061,852 | — | ||||||||||||
Investments Purchased with Proceeds from Securities Lending(a) | 100,833,185 | — | — | — | ||||||||||||
Total Assets | $ | 668,194,435 | $ | 548,299,398 | $ | 19,061,852 | $ | — |
Refer to the Portfolio of Investments for industry classifications.
(a) | 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 listed in the Portfolio of Investments. |
The accompanying notes are an integral part of the financial statements.
18 | Semi-Annual Report 2024
BOSTON PARTNERS INVESTMENT FUNDS | February 29, 2024 (unaudited) |
WPG PARTNERS SELECT SMALL CAP VALUE FUND | Portfolio Of Investments |
NUMBER OF SHARES | VALUE | |||||||
COMMON STOCKS—95.0% | ||||||||
Communication Services—3.4% | ||||||||
Cars.com, Inc.(a) | 136,071 | $ | 2,495,543 | |||||
Ooma, Inc.(a) | 69,247 | 706,319 | ||||||
3,201,862 | ||||||||
Consumer Discretionary—5.2% | ||||||||
Beyond, Inc.(a) | 13,449 | 450,945 | ||||||
Gildan Activewear, Inc. | 76,628 | 2,668,953 | ||||||
PlayAGS, Inc.(a) | 194,375 | 1,803,800 | ||||||
4,923,698 | ||||||||
Consumer Staples—7.5% | ||||||||
Adecoagro SA | 173,092 | 1,737,844 | ||||||
Nomad Foods Ltd. | 213,692 | 3,938,343 | ||||||
TreeHouse Foods, Inc.(a) | 39,748 | 1,422,581 | ||||||
7,098,768 | ||||||||
Energy—5.2% | ||||||||
International Seaways, Inc. | 39,447 | 2,087,930 | ||||||
Kosmos Energy Ltd.(a) | 463,946 | 2,848,628 | ||||||
4,936,558 | ||||||||
Financials—22.1% | ||||||||
Axis Capital Holdings Ltd. | 23,552 | 1,473,649 | ||||||
BGC Group, Inc. - Class A | 449,532 | 3,124,247 | ||||||
EZCORP, Inc. - Class A(a) | 137,547 | 1,442,868 | ||||||
Federal Agricultural Mortgage Corp. - Class C | 5,049 | 903,115 | ||||||
Fidelis Insurance Holdings Ltd.(a) | 142,172 | 2,126,893 | ||||||
FirstCash Holdings, Inc. | 12,262 | 1,403,999 | ||||||
Kemper Corp. | 58,427 | 3,349,620 | ||||||
National Bank Holdings Corp. - Class A | 38,338 | 1,297,358 | ||||||
Pagseguro Digital Ltd. - Class A(a) | 99,093 | 1,379,375 | ||||||
Perella Weinberg Partners | 129,049 | 1,762,809 | ||||||
Popular, Inc. | 21,515 | 1,800,375 | ||||||
Webster Financial Corp. | 23,481 | 1,118,635 | ||||||
21,182,943 | ||||||||
Health Care—11.1% | ||||||||
Enovis Corp.(a) | 69,705 | 4,169,056 | ||||||
Halozyme Therapeutics, Inc.(a) | 34,338 | 1,366,996 | ||||||
Innoviva, Inc.(a) | 122,264 | 1,868,194 | ||||||
Pennant Group, Inc.(a) | 25,399 | 473,691 | ||||||
Tenet Healthcare Corp.(a) | 28,614 | 2,661,102 | ||||||
10,539,039 | ||||||||
Industrials—14.4% | ||||||||
Air Lease Corp. | 70,329 | 2,820,193 | ||||||
Arcosa, Inc. | 50,063 | 4,155,229 | ||||||
Clarivate PLC(a) | 229,740 | 1,649,533 | ||||||
Frontier Group Holdings, Inc.(a) | 225,164 | 1,562,638 | ||||||
Janus International Group, Inc.(a) | 177,848 | 2,552,119 | ||||||
KBR, Inc. | 16,145 | 969,184 | ||||||
13,708,896 | ||||||||
Information Technology—9.8% | ||||||||
8x8, Inc.(a) | 946,440 | 2,678,425 | ||||||
LiveRamp Holdings, Inc.(a) | 91,939 | 3,216,026 | ||||||
SmartRent, Inc.(a) | 324,954 | 942,367 | ||||||
Tower Semiconductor Ltd.(a) | 74,438 | 2,447,521 | ||||||
9,284,339 |
NUMBER OF SHARES | VALUE | |||||||
Materials—10.1% | ||||||||
Ashland, Inc. | 10,215 | $ | 956,533 | |||||
Ecovyst, Inc.(a) | 51,759 | 499,474 | ||||||
ERO Copper Corp.(a) | 157,659 | 2,689,663 | ||||||
Rayonier Advanced Materials, Inc.(a) | 534,143 | 1,810,745 | ||||||
Tronox Holdings PLC | 250,777 | 3,686,422 | ||||||
9,642,837 | ||||||||
Real Estate—6.2% | ||||||||
Brixmor Property Group, Inc. | 117,850 | 2,664,589 | ||||||
Equity Commonwealth(a) | 170,953 | 3,219,044 | ||||||
5,883,633 | ||||||||
TOTAL COMMON STOCKS (Cost $80,934,523) | 90,402,573 | |||||||
SHORT-TERM INVESTMENTS—3.8% | ||||||||
Tri-State Deposit, 5.45%(b) | 3,617,474 | 3,617,474 | ||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $3,617,474) | 3,617,474 | |||||||
TOTAL INVESTMENTS—98.8% (Cost $84,551,997) | 94,020,047 | |||||||
Money Market Deposit Account—0.9%(c) | 815,913 | |||||||
OTHER ASSETS IN EXCESS OF LIABILITIES—0.3% | 254,548 | |||||||
TOTAL NET ASSETS—100.0% | $ | 95,090,508 |
PLC | Public Limited Company |
SA | Sociedad Anónima |
(a) | Non-income producing security. |
(b) | The rate shown represents the 7-day effective yield as of February 29, 2024. |
(c) | The U.S. Bank Money Market Deposit Account (the “MMDA”) is a short-term vehicle in which the Fund holds cash balances. The MMDA will bear interest at a variable rate that is determined based on market conditions and is subject to change daily. The rate as of February 29, 2024 was 5.20%. |
Percentages are stated as a percent of net assets. | |
The Global Industry Classification Standard (GICS®) was developed by and/or is the exclusive property of MSCI, Inc. and Standard & Poor’s Financial Services LLC (“S&P”). GICS is a service mark of MSCI, Inc. and S&P and has been licensed for use by U.S. Bank Global Fund Services. |
The accompanying notes are an integral part of the financial statements.
Semi-Annual Report 2024 | 19
BOSTON PARTNERS INVESTMENT FUNDS | February 29, 2024 (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 29, 2024 is as follows (see Notes to Portfolio of Investments):
TOTAL | LEVEL 1 | LEVEL 2 | LEVEL 3 | |||||||||||||
Assets: | ||||||||||||||||
Common Stocks | $ | 90,402,573 | $ | 90,402,573 | $ | — | $ | — | ||||||||
Short-Term Investments | 3,617,474 | — | 3,617,474 | — | ||||||||||||
Total Assets | $ | 94,020,047 | $ | 90,402,573 | $ | 3,617,474 | $ | — |
Refer to the Portfolio of Investments for industry classifications.
The accompanying notes are an integral part of the financial statements.
20 | Semi-Annual Report 2024
BOSTON PARTNERS INVESTMENT FUNDS | February 29, 2024 (unaudited) |
WPG PARTNERS SMALL CAP VALUE DIVERSIFIED FUND | Portfolio Of Investments |
NUMBER OF SHARES | VALUE | |||||||
COMMON STOCKS—95.1% | ||||||||
Communication Services—0.2% | ||||||||
Bumble, Inc. - Class A(a) | 5,060 | $ | 57,937 | |||||
Consumer Discretionary—6.7% | ||||||||
ADT, Inc.(b) | 25,107 | 182,277 | ||||||
Bowlero Corp.(b) | 15,306 | 190,560 | ||||||
Frontdoor, Inc.(a) | 3,980 | 124,813 | ||||||
Gentherm, Inc.(a) | 2,773 | 157,673 | ||||||
Gildan Activewear, Inc. | 17,768 | 618,859 | ||||||
Goodyear Tire & Rubber Co.(a) | 12,621 | 149,937 | ||||||
Savers Value Village, Inc.(a) | 8,589 | 173,841 | ||||||
Stride, Inc.(a) | 4,541 | 271,325 | ||||||
Wayfair, Inc. - Class A(a) | 3,000 | 178,800 | ||||||
2,048,085 | ||||||||
Consumer Staples—3.4% | ||||||||
Dole PLC | 5,737 | 67,754 | ||||||
Nomad Foods Ltd. | 36,102 | 665,360 | ||||||
TreeHouse Foods, Inc.(a)(b) | 8,470 | 303,141 | ||||||
1,036,255 | ||||||||
Energy—11.0% | ||||||||
Antero Resources Corp.(a) | 6,515 | 167,436 | ||||||
Atlas Energy Solutions, Inc.(b) | 10,338 | 194,975 | ||||||
Chord Energy Corp.(b) | 448 | 72,778 | ||||||
DHT Holdings, Inc. | 39,219 | 424,350 | ||||||
Kodiak Gas Services, Inc.(b) | 22,795 | 581,272 | ||||||
Kosmos Energy Ltd.(a) | 90,943 | 558,389 | ||||||
Scorpio Tankers, Inc. | 9,004 | 604,438 | ||||||
SM Energy Co.(b) | 7,820 | 342,281 | ||||||
Tidewater, Inc.(a) | 3,656 | 256,030 | ||||||
Valaris Ltd.(a) | 2,362 | 148,924 | ||||||
3,350,873 | ||||||||
Financials—18.4% | ||||||||
AGNC Investment Corp.(b) | 30,954 | 295,920 | ||||||
Axis Capital Holdings Ltd. | 4,651 | 291,013 | ||||||
BGC Group, Inc. - Class A(b) | 62,294 | 432,943 | ||||||
Essent Group Ltd. | 6,986 | 374,240 | ||||||
Fidelis Insurance Holdings Ltd.(a) | 26,950 | 403,173 | ||||||
First American Financial Corp.(b) | 2,583 | 150,873 | ||||||
First BanCorp | 23,234 | 394,513 | ||||||
First Commonwealth Financial Corp. | 24,968 | 325,333 | ||||||
FirstCash Holdings, Inc. | 2,629 | 301,021 | ||||||
Hanover Insurance Group, Inc.(b) | 3,276 | 430,696 | ||||||
Kemper Corp. | 10,844 | 621,686 | ||||||
National Bank Holdings Corp. - Class A | 10,565 | 357,520 | ||||||
Pagseguro Digital Ltd. - Class A(a) | 27,147 | 377,886 | ||||||
Popular, Inc. | 4,806 | 402,167 | ||||||
Webster Financial Corp. | 8,266 | 393,792 | ||||||
5,552,776 | ||||||||
Health Care—6.1% | ||||||||
Enovis Corp.(a) | 9,778 | 584,822 | ||||||
Halozyme Therapeutics, Inc.(a) | 5,327 | 212,068 | ||||||
Pacira BioSciences, Inc.(a) | 4,497 | 133,651 | ||||||
Phreesia, Inc.(a) | 6,090 | 150,728 | ||||||
Teleflex, Inc.(b) | 613 | 136,570 | ||||||
Tenet Healthcare Corp.(a) | 6,854 | 637,422 | ||||||
1,855,261 |
NUMBER OF SHARES | VALUE | |||||||
Industrials—22.7% | ||||||||
ABM Industries, Inc. | 5,652 | $ | 233,484 | |||||
Air Lease Corp. | 11,045 | 442,905 | ||||||
Allison Transmission Holdings, Inc. | 4,400 | 331,452 | ||||||
Arcosa, Inc. | 7,636 | 633,787 | ||||||
Clarivate PLC(a)(b) | 38,550 | 276,789 | ||||||
Driven Brands Holdings, Inc.(a) | 21,402 | 295,134 | ||||||
Fluor Corp.(a) | 7,645 | 281,336 | ||||||
Frontier Group Holdings, Inc.(a)(b) | 47,107 | 326,923 | ||||||
Generac Holdings, Inc.(a) | 1,554 | 174,841 | ||||||
Hillman Solutions Corp.(a) | 23,281 | 226,757 | ||||||
ICF International, Inc. | 1,989 | 307,997 | ||||||
Janus International Group, Inc.(a) | 34,566 | 496,021 | ||||||
KBR, Inc. | 6,402 | 384,312 | ||||||
Knight-Swift Transportation Holdings, Inc. | 7,773 | 437,931 | ||||||
Leonardo DRS, Inc.(a) | 12,928 | 293,595 | ||||||
Masonite International Corp.(a) | 1,616 | 210,468 | ||||||
MasTec, Inc.(a) | 2,124 | 160,277 | ||||||
Moog, Inc. - Class A | 1,447 | 216,978 | ||||||
RXO, Inc.(a) | 7,580 | 163,122 | ||||||
Star Bulk Carriers Corp.(b) | 21,181 | 505,590 | ||||||
Stericycle, Inc.(a)(b) | 3,532 | 192,105 | ||||||
Sun Country Airlines Holdings, Inc.(a) | 18,002 | 270,030 | ||||||
6,861,834 | ||||||||
Information Technology—6.2% | ||||||||
Harmonic, Inc.(a)(b) | 31,910 | 418,978 | ||||||
LiveRamp Holdings, Inc.(a)(b) | 18,452 | 645,451 | ||||||
Mirion Technologies, Inc.(a) | 16,037 | 156,842 | ||||||
Silicon Motion Technology Corp. - ADR | 3,584 | 253,711 | ||||||
Tower Semiconductor Ltd.(a)(b) | 13,108 | 430,991 | ||||||
1,905,973 | ||||||||
Materials—10.9% | ||||||||
Ashland, Inc. | 1,647 | 154,225 | ||||||
Axalta Coating Systems Ltd.(a) | 12,440 | 407,161 | ||||||
Capstone Copper Corp.(a) | 55,392 | 290,602 | ||||||
Commercial Metals Co. | 5,833 | 314,982 | ||||||
Constellium SE(a) | 15,107 | 292,925 | ||||||
ERO Copper Corp.(a)(b) | 28,950 | 493,887 | ||||||
Huntsman Corp. | 6,118 | 156,621 | ||||||
Stelco Holdings, Inc. | 9,684 | 287,919 | ||||||
Summit Materials, Inc. - Class A(a) | 4,944 | 211,158 | ||||||
Tronox Holdings PLC | 39,879 | 586,221 | ||||||
Warrior Met Coal, Inc.(b) | 2,749 | 156,611 | ||||||
3,352,312 | ||||||||
Real Estate—5.5% | ||||||||
Brixmor Property Group, Inc.(b) | 26,128 | 590,753 | ||||||
DigitalBridge Group, Inc.(b) | 8,919 | 163,842 | ||||||
Equity Commonwealth(a) | 26,620 | 501,255 | ||||||
Getty Realty Corp.(b) | 16,135 | 425,319 | ||||||
1,681,169 | ||||||||
Utilities—4.0% | ||||||||
ALLETE, Inc. | 7,625 | 431,880 | ||||||
Portland General Electric Co.(b) | 10,215 | 410,337 | ||||||
Spire, Inc.(b) | 6,567 | 389,554 | ||||||
1,231,771 | ||||||||
TOTAL COMMON STOCKS (Cost $23,530,652) | 28,934,246 |
The accompanying notes are an integral part of the financial statements.
Semi-Annual Report 2024 | 21
BOSTON PARTNERS INVESTMENT FUNDS | February 29, 2024 (unaudited) |
WPG PARTNERS SMALL CAP VALUE DIVERSIFIED FUND | Portfolio Of Investments (continued) |
NUMBER OF SHARES | VALUE | |||||||
SHORT-TERM INVESTMENTS—19.3% | ||||||||
Tri-State Deposit, 5.45%(c) | 378,024 | $ | 378,024 | |||||
NUMBER OF UNITS | ||||||||
INVESTMENTS PURCHASED WITH PROCEEDS FROM SECURITIES LENDING—18.1% | ||||||||
Mount Vernon Liquid Assets Portfolio, LLC, 5.44%(c) | 5,515,103 | 5,515,103 | ||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $5,893,127) | 5,893,127 | |||||||
TOTAL INVESTMENTS—114.4% (Cost $29,423,779) | 34,827,373 | |||||||
Money Market Deposit Account—2.3%(d) | 702,606 | |||||||
LIABILITIES IN EXCESS OF OTHER ASSETS—(16.7)% | (5,087,614 | ) | ||||||
TOTAL NET ASSETS—100.0% | $ | 30,442,365 |
ADR | American Depositary Receipt |
PLC | Public Limited Company |
(a) | Non-income producing security. |
(b) | All or a portion of this security is on loan as of February 29, 2024. The total market value of these securities was $5,256,442 which represented 17.3% of net assets. |
(c) | The rate shown represents the 7-day effective yield as of February 29, 2024. |
(d) | The U.S. Bank Money Market Deposit Account (the “MMDA”) is a short-term vehicle in which the Fund holds cash balances. The MMDA will bear interest at a variable rate that is determined based on market conditions and is subject to change daily. The rate as of February 29, 2024 was 5.20%. Percentages are stated as a percent of net assets. The Global Industry Classification Standard (GICS®) was developed by and/or is the exclusive property of MSCI, Inc. and Standard & Poor’s Financial Services LLC (“S&P”). GICS is a service mark of MSCI, Inc. and S&P and has been licensed for use by U.S. Bank Global Fund Services. |
The accompanying notes are an integral part of the financial statements.
22 | Semi-Annual Report 2024
BOSTON PARTNERS INVESTMENT FUNDS | February 29, 2024 (unaudited) |
WPG PARTNERS SMALL CAP VALUE DIVERSIFIED FUND | Portfolio Of Investments (concluded) |
A summary of the inputs used to value the Fund’s investments carried at fair value as of February 29, 2024 is as follows (see Notes to Portfolio of Investments):
TOTAL | LEVEL 1 | LEVEL 2 | LEVEL 3 | |||||||||||||
Assets: | ||||||||||||||||
Common Stocks | $ | 28,934,246 | $ | 28,934,246 | $ | — | $ | — | ||||||||
Short-Term Investments | 378,024 | — | 378,024 | — | ||||||||||||
Investments Purchased with Proceeds from Securities Lending(a) | 5,515,103 | — | — | — | ||||||||||||
Total Assets | $ | 34,827,373 | $ | 28,934,246 | $ | 378,024 | $ | — |
Refer to the Portfolio of Investments for industry classifications.
(a) | 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 listed in the Portfolio of Investments. |
The accompanying notes are an integral part of the financial statements.
Semi-Annual Report 2024 | 23
BOSTON PARTNERS INVESTMENT FUNDS | February 29, 2024 (unaudited) |
BOSTON PARTNERS GLOBAL SUSTAINABILITY FUND | Portfolio Of Investments |
NUMBER OF SHARES | VALUE | |||||||
COMMON STOCKS—97.8% | ||||||||
Austria—1.0% | ||||||||
ANDRITZ AG | 1,671 | $ | 105,142 | |||||
Belgium—0.8% | ||||||||
Azelis Group NV | 3,876 | 79,857 | ||||||
Bermuda—1.7% | ||||||||
Everest Group Ltd. | 303 | 111,771 | ||||||
Renaissance Holdings Ltd. | 258 | 58,004 | ||||||
169,775 | ||||||||
Finland—1.6% | ||||||||
Nordea Bank Abp | 13,113 | 159,631 | ||||||
France—12.3% | ||||||||
Airbus Group SE | 1,282 | 212,119 | ||||||
Alten SA | 891 | 130,886 | ||||||
Capgemini SE | 142 | 34,541 | ||||||
Cie de Saint-Gobain SA | 2,493 | 192,187 | ||||||
Eiffage SA | 642 | 69,913 | ||||||
Rexel SA | 7,474 | 191,866 | ||||||
Sanofi SA | 1,805 | 172,043 | ||||||
SPIE SA | 5,415 | 180,369 | ||||||
Teleperformance SE | 154 | 19,120 | ||||||
TotalEnergies SE | 904 | 57,620 | ||||||
1,260,664 | ||||||||
Germany—9.3% | ||||||||
Allianz SE | 374 | 102,721 | ||||||
Brenntag SE | 584 | 53,322 | ||||||
Commerzbank AG | 12,649 | 146,424 | ||||||
Deutsche Telekom AG | 7,046 | 167,476 | ||||||
Infineon Technologies AG | 1,963 | 70,483 | ||||||
Rheinmetall AG | 507 | 232,642 | ||||||
Siemens AG | 1,000 | 197,969 | ||||||
971,037 | ||||||||
Greece—1.3% | ||||||||
Hellenic Telecommunications Organization SA | 8,586 | 129,545 | ||||||
Ireland—1.8% | ||||||||
AIB Group PLC | 11,404 | 52,944 | ||||||
ICON PLC(a) | 282 | 90,415 | ||||||
Ryanair Holdings PLC - ADR | 304 | 42,028 | ||||||
185,387 | ||||||||
Italy—0.8% | ||||||||
Iveco Group NV(a) | 6,532 | 80,453 | ||||||
Japan—9.3% | ||||||||
Asahi Group Holdings Ltd. | 2,500 | 85,644 | ||||||
Hitachi Ltd. | 1,400 | 118,609 | ||||||
Kansai Paint Co Ltd. | 4,900 | 71,122 | ||||||
Mitsubishi Heavy Industries Ltd. | 2,700 | 213,697 | ||||||
Mitsubishi UFJ Financial Group, Inc. | 5,500 | 56,500 | ||||||
Panasonic Holdings Corp. | 10,000 | 94,536 | ||||||
Renesas Electronics Corp. | 7,700 | 127,228 | ||||||
Sumitomo Mitsui Financial Group, Inc. | 2,700 | 150,429 | ||||||
Takeda Pharmaceutical Co. Ltd. | 2,200 | 64,342 | ||||||
982,107 | ||||||||
Netherlands—3.7% | ||||||||
Aalberts NV | 1,129 | 50,783 | ||||||
Heineken NV | 650 | 60,054 | ||||||
ING Groep NV | 11,484 | 158,041 | ||||||
Stellantis NV | 4,275 | 111,782 | ||||||
380,660 | ||||||||
Singapore—1.0% | ||||||||
United Overseas Bank Ltd. | 5,100 | 106,124 |
NUMBER OF SHARES | VALUE | |||||||
South Korea—2.6% | ||||||||
Hana Financial Group, Inc. | 1,503 | $ | 63,950 | |||||
KT Corp. | 1,398 | 41,007 | ||||||
Samsung Electronics Co. Ltd. | 2,921 | 161,219 | ||||||
266,176 | ||||||||
Spain—1.2% | ||||||||
Bankinter SA | 20,185 | 128,493 | ||||||
Switzerland—0.5% | ||||||||
STMicroelectronics NV | 1,155 | 52,445 | ||||||
United Kingdom—9.4% | ||||||||
Hikma Pharmaceuticals PLC | 1,628 | 40,402 | ||||||
Informa PLC | 19,002 | 194,828 | ||||||
Melrose Industries PLC | 22,636 | 181,790 | ||||||
NatWest Group PLC | 31,223 | 94,407 | ||||||
Nomad Foods Ltd. | 6,963 | 128,328 | ||||||
Reckitt Benckiser Group PLC | 506 | 31,971 | ||||||
Smith & Nephew PLC | 3,191 | 42,098 | ||||||
Tesco PLC | 41,032 | 144,722 | ||||||
WH Smith PLC | 7,069 | 110,731 | ||||||
969,277 | ||||||||
United States—39.5%(b) | ||||||||
Abbott Laboratories | 1,267 | 150,317 | ||||||
AbbVie, Inc. | 643 | 113,200 | ||||||
Advanced Micro Devices, Inc.(a) | 423 | 81,440 | ||||||
Alphabet, Inc. - Class A(a) | 1,336 | 184,983 | ||||||
American Express Co. | 704 | 154,472 | ||||||
American Water Works Co., Inc. | 619 | 73,376 | ||||||
Amgen, Inc. | 381 | 104,329 | ||||||
AutoZone, Inc.(a) | 10 | 30,060 | ||||||
Bank of America Corp. | 2,406 | 83,055 | ||||||
Booking Holdings, Inc.(a) | 29 | 100,596 | ||||||
Brinker International, Inc.(a) | 1,242 | 57,554 | ||||||
Cencora, Inc. | 741 | 174,580 | ||||||
Chubb Ltd. | 632 | 159,054 | ||||||
Cigna Group, (The) | 95 | 31,933 | ||||||
Cisco Systems, Inc. | 1,315 | 63,607 | ||||||
Dell Technologies, Inc. - Class C | 2,355 | 222,924 | ||||||
Discover Financial Services | 669 | 80,748 | ||||||
Elevance Health, Inc. | 238 | 119,298 | ||||||
Expedia Group, Inc.(a) | 662 | 90,575 | ||||||
Halliburton Co. | 4,502 | 157,885 | ||||||
Henry Schein, Inc.(a) | 1,184 | 90,540 | ||||||
Humana, Inc. | 96 | 33,631 | ||||||
Huntington Bancshares, Inc. | 7,638 | 99,600 | ||||||
J M Smucker Co. | 844 | 101,423 | ||||||
Johnson & Johnson | 567 | 91,502 | ||||||
JPMorgan Chase & Co. | 1,481 | 275,555 | ||||||
Keurig Dr Pepper, Inc. | 3,169 | 94,785 | ||||||
Match Group, Inc.(a) | 1,677 | 60,439 | ||||||
Microchip Technology, Inc. | 562 | 47,287 | ||||||
Morgan Stanley | 1,486 | 127,855 | ||||||
NOV, Inc. | 2,385 | 40,307 | ||||||
Schlumberger Ltd. | 3,096 | 149,630 | ||||||
Target Corp. | 272 | 41,594 | ||||||
TE Connectivity Ltd. | 445 | 63,884 | ||||||
United Rentals, Inc. | 115 | 79,726 | ||||||
UnitedHealth Group, Inc. | 229 | 113,034 | ||||||
US Foods Holding Corp.(a) | 3,454 | 175,429 | ||||||
Zimmer Biomet Holdings, Inc. | 1,344 | 167,140 | ||||||
4,087,347 | ||||||||
TOTAL COMMON STOCKS (Cost $8,082,586) | 10,114,120 |
The accompanying notes are an integral part of the financial statements.
24 | Semi-Annual Report 2024
BOSTON PARTNERS INVESTMENT FUNDS | February 29, 2024 (unaudited) |
BOSTON PARTNERS GLOBAL SUSTAINABILITY FUND | Portfolio Of Investments (continued) |
NUMBER OF SHARES | VALUE | |||||||
SHORT-TERM INVESTMENTS—1.0% | ||||||||
Tri-State Deposit(c) | 103,238 | $ | 103,238 | |||||
TOTAL SHORT-TERM INVESTMENTS (Cost $103,238) | 103,238 | |||||||
TOTAL INVESTMENTS—98.8% (Cost $8,185,824) | 10,217,358 | |||||||
Money Market Deposit Account—1.3%(d) | 133,143 | |||||||
LIABILITIES IN EXCESS OF OTHER ASSETS—(0.1)% | (14,181 | ) | ||||||
TOTAL NET ASSETS—100.0% | $ | 10,336,320 |
ADR | American Depositary Receipt |
PLC | Public Limited Company |
SA | Sociedad Anónima |
(a) | Non-income producing security. |
(b) | To the extent that the Fund invests a significant portion of its assets in the securities of companies of a single country or region, it is more likely to be impacted by events or conditions affecting the country or region. |
(c) | The rate shown represents the 7-day effective yield as of February 29, 2024. |
(d) | The U.S. Bank Money Market Deposit Account (the “MMDA”) is a short-term vehicle in which the Fund holds cash balances. The MMDA will bear interest at a variable rate that is determined based on market conditions and is subject to change daily. The rate as of February 29, 2024 was 5.20%.
Percentages are stated as a percent of net assets. |
The accompanying notes are an integral part of the financial statements.
Semi-Annual Report 2024 | 25
BOSTON PARTNERS INVESTMENT FUNDS | February 29, 2024 (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 29, 2024 is as follows (see Notes to Portfolio of Investments):
TOTAL | LEVEL 1 | LEVEL 2 | LEVEL 3 | |||||||||||||
Assets: | ||||||||||||||||
Common Stocks: | ||||||||||||||||
Austria | $ | 105,142 | $ | — | $ | 105,142 | $ | — | ||||||||
Belgium | 79,857 | — | 79,857 | — | ||||||||||||
Bermuda | 169,775 | 169,775 | — | — | ||||||||||||
Finland | 159,631 | — | 159,631 | — | ||||||||||||
France | 1,260,664 | — | 1,260,664 | — | ||||||||||||
Germany | 971,037 | — | 971,037 | — | ||||||||||||
Greece | 129,545 | 129,545 | — | — | ||||||||||||
Ireland | 185,387 | 132,443 | 52,944 | — | ||||||||||||
Italy | 80,453 | — | 80,453 | — | ||||||||||||
Japan | 982,107 | — | 982,107 | — | ||||||||||||
Netherlands | 380,660 | — | 380,660 | — | ||||||||||||
Singapore | 106,124 | — | 106,124 | — | ||||||||||||
South Korea | 266,176 | — | 266,176 | — | ||||||||||||
Spain | 128,493 | — | 128,493 | — | ||||||||||||
Switzerland | 52,445 | — | 52,445 | — | ||||||||||||
United Kingdom | 969,277 | 128,328 | 840,949 | — | ||||||||||||
United States | 4,087,347 | 4,087,347 | — | — | ||||||||||||
Common Stocks - Total | $ | 10,114,120 | $ | 4,647,438 | $ | 5,466,682 | $ | — | ||||||||
Short-Term Investments | 103,238 | — | 103,238 | — | ||||||||||||
Total Assets | $ | 10,217,358 | $ | 4,647,438 | $ | 5,569,920 | $ | — |
Refer to the Portfolio of Investments for industry classifications.
The accompanying notes are an integral part of the financial statements.
26 | Semi-Annual Report 2024
BOSTON PARTNERS INVESTMENT FUNDS | February 29, 2024 (unaudited) |
BOSTON PARTNERS GLOBAL EQUITY FUND | Portfolio Of Investments |
NUMBER OF SHARES | VALUE | |||||||
COMMON STOCKS—96.8% | ||||||||
Bermuda—2.6% | ||||||||
Everest Group Ltd. | 8,358 | $ | 3,083,100 | |||||
RenaissanceRe Holdings Ltd. | 12,348 | 2,776,077 | ||||||
5,859,177 | ||||||||
Canada—2.1% | ||||||||
Cenovus Energy, Inc. | 178,927 | 3,118,022 | ||||||
Teck Resources Ltd. - Class B | 39,884 | 1,532,343 | ||||||
4,650,365 | ||||||||
Finland—1.7% | ||||||||
Fortum Oyj | 79,988 | 999,701 | ||||||
Nordea Bank Abp | 211,548 | 2,575,269 | ||||||
3,574,970 | ||||||||
France—9.9% | ||||||||
Airbus Group SE | 19,873 | 3,288,172 | ||||||
Capgemini SE | 7,332 | 1,783,465 | ||||||
Cie de Saint-Gobain SA | 39,509 | 3,045,777 | ||||||
Eiffage SA | 25,076 | 2,730,730 | ||||||
Rexel SA | 130,888 | 3,360,050 | ||||||
Sanofi SA | 27,831 | 2,652,703 | ||||||
Teleperformance SE | 3,330 | 413,446 | ||||||
TotalEnergies SE | 68,268 | 4,351,349 | ||||||
21,625,692 | ||||||||
Germany—8.3% | ||||||||
Brenntag SE | 25,525 | 2,330,547 | ||||||
Commerzbank AG | 234,971 | 2,720,011 | ||||||
Daimler Truck Holding AG | 24,905 | 1,017,480 | ||||||
Deutsche Telekom AG | 122,731 | 2,917,194 | ||||||
Infineon Technologies AG | 26,547 | 953,187 | ||||||
Rheinmetall AG | 7,732 | 3,547,885 | ||||||
Siemens AG | 23,999 | 4,751,060 | ||||||
18,237,364 | ||||||||
Greece—0.4% | ||||||||
Hellenic Telecommunications Organization SA | 57,380 | 865,748 | ||||||
Ireland—4.7% | ||||||||
AIB Group PLC | 243,446 | 1,130,217 | ||||||
CRH PLC | 67,287 | 5,604,390 | ||||||
Ryanair Holdings PLC - ADR(a) | 24,983 | 3,453,900 | ||||||
10,188,507 | ||||||||
Italy—0.6% | ||||||||
Enel SpA | 190,400 | 1,211,526 | ||||||
Japan—9.4% | ||||||||
Asahi Group Holdings Ltd. | 37,600 | 1,288,081 | ||||||
Fuji Electric Co. Ltd. | 20,900 | 1,272,758 | ||||||
Hitachi Ltd. | 14,300 | 1,211,504 | ||||||
Kansai Paint Co. Ltd. | 87,300 | 1,267,128 | ||||||
Mitsubishi Chemical Group Corp. | 207,600 | 1,191,279 | ||||||
Mitsubishi Heavy Industries Ltd. | 45,000 | 3,561,611 | ||||||
Mitsubishi UFJ Financial Group, Inc. | 248,500 | 2,552,794 | ||||||
Panasonic Holdings Corp. | 84,200 | 795,996 | ||||||
Renesas Electronics Corp. | 113,200 | 1,870,413 | ||||||
Ryohin Keikaku Co. Ltd. | 86,200 | 1,362,065 | ||||||
Subaru Corp. | 63,000 | 1,425,425 | ||||||
Sumitomo Mitsui Financial Group, Inc. | 43,700 | 2,434,726 | ||||||
20,233,780 | ||||||||
Luxembourg—0.5% | ||||||||
Tenaris SA | 58,623 | 1,041,233 |
NUMBER OF SHARES | VALUE | |||||||
Netherlands—4.3% | ||||||||
Aalberts NV | 35,331 | $ | 1,589,218 | |||||
Heineken NV | 13,593 | 1,255,876 | ||||||
ING Groep NV | 210,713 | 2,899,804 | ||||||
Koninklijke Ahold NV | 38,025 | 1,132,457 | ||||||
Stellantis NV | 102,653 | 2,684,138 | ||||||
9,561,493 | ||||||||
Singapore—1.1% | ||||||||
United Overseas Bank Ltd. | 111,400 | 2,318,079 | ||||||
South Korea—2.6% | ||||||||
Hana Financial Group, Inc. | 32,490 | 1,382,381 | ||||||
KT Corp. | 29,620 | 868,835 | ||||||
Samsung Electronics Co. Ltd. | 63,373 | 3,497,741 | ||||||
5,748,957 | ||||||||
Spain—1.5% | ||||||||
Banco Bilbao Vizcaya Argentaria SA | 206,259 | 2,057,289 | ||||||
Bankinter SA | 193,546 | 1,232,069 | ||||||
3,289,358 | ||||||||
Sweden—1.7% | ||||||||
Loomis AB | 30,946 | 837,448 | ||||||
Svenska Handelsbanken AB - Class A | 234,842 | 2,808,669 | ||||||
3,646,117 | ||||||||
Switzerland—1.7% | ||||||||
Glencore PLC | 531,529 | 2,526,974 | ||||||
STMicroelectronics NV | 23,983 | 1,089,004 | ||||||
3,615,978 | ||||||||
United Kingdom—15.2% | ||||||||
Barratt Developments PLC | 156,205 | 921,632 | ||||||
Beazley PLC | 210,514 | 1,737,695 | ||||||
BP PLC | 467,884 | 2,718,456 | ||||||
Coca-Cola Europacific Partners PLC | 39,762 | 2,728,866 | ||||||
Hikma Pharmaceuticals PLC | 54,074 | 1,341,959 | ||||||
IMI PLC | 120,638 | 2,647,988 | ||||||
Inchcape PLC | 166,876 | 1,440,465 | ||||||
Informa PLC | 109,827 | 1,126,055 | ||||||
JD Sports Fashion PLC | 1,259,001 | 1,881,317 | ||||||
NatWest Group PLC | 667,304 | 2,017,675 | ||||||
Nomad Foods Ltd. | 84,904 | 1,564,781 | ||||||
Reckitt Benckiser Group PLC | 41,268 | 2,607,449 | ||||||
Shell PLC | 139,280 | 4,307,934 | ||||||
SSE PLC | 105,038 | 2,158,796 | ||||||
Tesco PLC | 837,530 | 2,954,014 | ||||||
WH Smith PLC | 83,973 | 1,315,379 | ||||||
33,470,461 | ||||||||
United States—28.5(b)% | ||||||||
Amgen, Inc. | 2,857 | 782,332 | ||||||
AutoZone, Inc.(c) | 225 | 676,355 | ||||||
Bank of America Corp. | 46,033 | 1,589,059 | ||||||
Brinker International, Inc.(c) | 23,137 | 1,072,169 | ||||||
Centene Corp.(c) | 14,743 | 1,156,293 | ||||||
Chubb Ltd. | 11,335 | 2,852,679 | ||||||
Cigna Group, (The) | 6,885 | 2,314,324 | ||||||
Cisco Systems, Inc. | 32,485 | 1,571,299 | ||||||
Dell Technologies, Inc. - Class C | 14,768 | 1,397,939 | ||||||
Elevance Health, Inc. | 2,260 | 1,132,825 | ||||||
Expedia Group, Inc.(c) | 11,299 | 1,545,928 | ||||||
Fifth Third Bancorp | 60,470 | 2,076,540 | ||||||
FleetCor Technologies, Inc.(c) | 3,706 | 1,034,975 | ||||||
Gen Digital, Inc.(a) | 74,869 | 1,608,935 |
The accompanying notes are an integral part of the financial statements.
Semi-Annual Report 2024 | 27
BOSTON PARTNERS INVESTMENT FUNDS | February 29, 2024 (unaudited) |
BOSTON PARTNERS GLOBAL EQUITY FUND | Portfolio Of Investments (continued) |
NUMBER OF SHARES | VALUE | |||||||
United States—(continued) | ||||||||
Global Payments, Inc. | 8,625 | $ | 1,118,663 | |||||
Goldman Sachs Group, Inc. | 6,328 | 2,461,908 | ||||||
HCA Healthcare, Inc.(a) | 3,374 | 1,051,676 | ||||||
Henry Schein, Inc.(c) | 21,105 | 1,613,899 | ||||||
Huntington Bancshares, Inc. | 161,668 | 2,108,151 | ||||||
J M Smucker Co. | 11,560 | 1,389,165 | ||||||
Jacobs Solutions, Inc. | 8,397 | 1,231,420 | ||||||
Johnson & Johnson | 9,907 | 1,598,792 | ||||||
JPMorgan Chase & Co. | 20,845 | 3,878,420 | ||||||
Kellanova(a) | 33,115 | 1,826,292 | ||||||
LKQ Corp. | 17,816 | 931,599 | ||||||
McKesson Corp. | 5,028 | 2,621,649 | ||||||
PayPal Holdings, Inc.(c) | 17,547 | 1,058,786 | ||||||
Phillips 66 | 5,762 | 821,143 | ||||||
Schlumberger Ltd. | 40,055 | 1,935,858 | ||||||
Science Applications International Corp. | 6,222 | 870,831 | ||||||
Southern Co.(a) | 21,478 | 1,444,396 | ||||||
TE Connectivity Ltd.(a) | 7,318 | 1,050,572 | ||||||
Textron, Inc. | 35,801 | 3,188,795 | ||||||
United Rentals, Inc. | 2,295 | 1,591,055 | ||||||
US Foods Holding Corp.(a)(c) | 67,701 | 3,438,534 | ||||||
WillScot Mobile Mini Holdings Corp.(a)(c) | 29,015 | 1,385,466 | ||||||
Zimmer Biomet Holdings, Inc. | 22,701 | 2,823,097 | ||||||
62,251,819 | ||||||||
TOTAL COMMON STOCKS (Cost $164,967,605) | 211,390,624 |
NUMBER OF SHARES | VALUE | |||||||
SHORT-TERM INVESTMENTS—7.6% | ||||||||
Tri-State Deposit, 5.45%(d) | 5,023,099 | $ | 5,023,099 | |||||
NUMBER OF UNITS | ||||||||
INVESTMENTS PURCHASED WITH PROCEEDS FROM SECURITIES LENDING—5.3% | ||||||||
Mount Vernon Liquid Assets Portfolio, LLC, 5.44%(d) | 11,482,091 | 11,482,091 | ||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $16,505,190) | 16,505,190 | |||||||
TOTAL INVESTMENTS—104.4% (Cost $181,472,795) | 227,895,814 | |||||||
Money Market Deposit Account—0.8%(e) | 1,721,400 | |||||||
LIABILITIES IN EXCESS OF OTHER ASSETS—(5.2)% | (11,325,272 | ) | ||||||
TOTAL NET ASSETS—100.0% | $ | 218,291,942 |
ADR | American Depositary Receipt |
PLC | Public Limited Company |
SA | Sociedad Anónima |
(a) | All or a portion of this security is on loan as of February 29, 2024. The total market value of these securities was $11,231,378 which represented 5.1% of net assets. |
(b) | To the extent that the Fund invests a significant portion of its assets in the securities of companies of a single country or region, it is more likely to be impacted by events or conditions affecting the country or region. |
(c) | Non-income producing security. |
(d) | The rate shown represents the 7-day effective yield as of February 29, 2024. |
(e) | The U.S. Bank Money Market Deposit Account (the “MMDA”) is a short-term vehicle in which the Fund holds cash balances. The MMDA will bear interest at a variable rate that is determined based on market conditions and is subject to change daily. The rate as of February 29, 2024 was 5.20%.
Percentages are stated as a percent of net assets. |
The accompanying notes are an integral part of the financial statements.
28 | Semi-Annual Report 2024
BOSTON PARTNERS INVESTMENT FUNDS | February 29, 2024 (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 29, 2024 is as follows (see Notes to Portfolio of Investments):
TOTAL | LEVEL 1 | LEVEL 2 | LEVEL 3 | |||||||||||||
Assets: | ||||||||||||||||
Common Stocks: | ||||||||||||||||
Bermuda | $ | 5,859,177 | $ | 5,859,177 | $ | — | $ | — | ||||||||
Canada | 4,650,365 | 4,650,365 | — | — | ||||||||||||
Finland | 3,574,970 | — | 3,574,970 | — | ||||||||||||
France | 21,625,692 | — | 21,625,692 | — | ||||||||||||
Germany | 18,237,364 | — | 18,237,364 | — | ||||||||||||
Greece | 865,748 | 865,748 | — | — | ||||||||||||
Ireland | 10,188,507 | 3,453,900 | 6,734,607 | — | ||||||||||||
Italy | 1,211,526 | — | 1,211,526 | — | ||||||||||||
Japan | 20,233,780 | — | 20,233,780 | — | ||||||||||||
Luxembourg | 1,041,233 | — | 1,041,233 | — | ||||||||||||
Netherlands | 9,561,493 | — | 9,561,493 | — | ||||||||||||
Singapore | 2,318,079 | — | 2,318,079 | — | ||||||||||||
South Korea | 5,748,957 | — | 5,748,957 | — | ||||||||||||
Spain | 3,289,358 | — | 3,289,358 | — | ||||||||||||
Sweden | 3,646,117 | — | 3,646,117 | — | ||||||||||||
Switzerland | 3,615,978 | — | 3,615,978 | — | ||||||||||||
United Kingdom | 33,470,461 | 4,293,647 | 29,176,814 | — | ||||||||||||
United States | 62,251,819 | 62,251,819 | — | — | ||||||||||||
Common Stocks - Total | $ | 211,390,624 | $ | 81,374,656 | $ | 130,015,968 | $ | — | ||||||||
Short-Term Investments | 5,023,099 | — | 5,023,099 | — | ||||||||||||
Investments Purchased with Proceeds from Securities Lending(a) | 11,482,091 | — | — | — | ||||||||||||
Total Assets | $ | 227,895,814 | $ | 81,374,656 | $ | 135,039,067 | $ | — |
Refer to the Portfolio of Investments for industry classifications.
(a) | 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 listed in the Portfolio of Investments. |
The accompanying notes are an integral part of the financial statements.
Semi-Annual Report 2024 | 29
BOSTON PARTNERS INVESTMENT FUNDS | February 29, 2024 (unaudited) |
BOSTON PARTNERS EMERGING MARKETS FUND | Portfolio Of Investments |
NUMBER OF SHARES | VALUE | |||||||
COMMON STOCKS—92.8% | ||||||||
Brazil—9.2% | ||||||||
Cia Siderurgica Nacional SA | 36,700 | $ | 124,620 | |||||
Cielo SA | 275,400 | 294,730 | ||||||
Eletromidia SA(a) | 57,276 | 186,653 | ||||||
Marfrig Global Foods SA(a) | 102,200 | 201,065 | ||||||
Minerva SA | 148,900 | 204,280 | ||||||
Sendas Distribuidora SA | 104,700 | 299,498 | ||||||
TIM SA | 19,400 | 70,714 | ||||||
TIM SA - ADR | 4,614 | 85,313 | ||||||
Vale SA - ADR | 30,611 | 410,494 | ||||||
Vibra Energia SA | 56,900 | 293,594 | ||||||
2,170,961 | ||||||||
Cayman Islands—2.2% | ||||||||
StoneCo Ltd. - Class A(a) | 29,937 | 515,215 | ||||||
China—41.8%(b) | ||||||||
Alibaba Group Holding Ltd. | 5,600 | 51,485 | ||||||
Anhui Conch Cement Co., Ltd. - Class H | 39,000 | 84,863 | ||||||
Beijing New Building Materials PLC - Class A | 139,500 | 544,127 | ||||||
Beijing Roborock Technology Co., Ltd. - Class A | 9,078 | 411,326 | ||||||
BOE Technology Group Co., Ltd. - Class A | 1,704,690 | 944,766 | ||||||
COSCO SHIPPING Holdings Co., Ltd. - Class A | 210,300 | 306,975 | ||||||
Daqo New Energy Corp. - ADR(a) | 12,017 | 255,722 | ||||||
GoerTek, Inc. - Class A | 132,600 | 306,954 | ||||||
Gree Electric Appliances, Inc. of Zhuhai - Class A | 133,900 | 725,951 | ||||||
Guangdong Tapai Group Co., Ltd. - Class A | 117,100 | 118,386 | ||||||
Guizhou Tyre Co., Ltd. - Class A | 247,300 | 198,645 | ||||||
Hang Zhou Great Star Industrial Co., Ltd. - Class A | 97,400 | 293,908 | ||||||
Hello Group, Inc. - ADR | 12,425 | 81,881 | ||||||
Henan Shuanghui Investment & Development Co., Ltd. - Class A | 71,600 | 290,377 | ||||||
Huaxin Cement Co., Ltd. - Class A | 72,900 | 137,352 | ||||||
Hubei Xingfa Chemicals Group Co., Ltd. - Class A | 94,300 | 241,278 | ||||||
JD.com, Inc. - Class A | 305 | 3,440 | ||||||
JD.com, Inc. - ADR | 2,211 | 50,013 | ||||||
Kuaishou Technology(a) | 36,100 | 203,854 | ||||||
LB Group Co., Ltd. - Class A | 80,100 | 208,801 | ||||||
Longfor Group Holdings Ltd. | 169,500 | 212,300 | ||||||
Midea Group Co., Ltd. - Class A | 91,000 | 790,451 | ||||||
Satellite Chemical Co., Ltd. - Class A(a) | 162,200 | 373,045 | ||||||
Shandong Pharmaceutical Glass Co., Ltd. - Class A | 12,200 | 44,616 | ||||||
Shandong Sun Paper Industry JSC Ltd. - Class A | 157,700 | 311,739 | ||||||
Sunny Optical Technology Group Co., Ltd. | 14,200 | 91,390 | ||||||
Suofeiya Home Collection Co., Ltd. - Class A | 71,500 | 162,715 | ||||||
Tangshan Sanyou Chemical Industries Co., Ltd. - Class A | 150,000 | 108,856 | ||||||
Triangle Tyre Co., Ltd. - Class A | 86,200 | 194,101 |
NUMBER OF SHARES | VALUE | |||||||
China—(continued) | ||||||||
Vipshop Holdings Ltd. - ADR(a) | 16,997 | $ | 327,192 | |||||
Wangsu Science & Technology Co., Ltd. - Class A | 184,800 | 263,248 | ||||||
Weichai Power Co., Ltd. - Class A | 462,400 | 1,085,402 | ||||||
Weichai Power Co., Ltd. - Class H | 69,000 | 135,817 | ||||||
Wingtech Technology Co., Ltd. - Class A(a) | 28,700 | 152,047 | ||||||
Xiamen Xiangyu Co., Ltd. - Class A | 123,400 | 117,183 | ||||||
Xinfengming Group Co., Ltd. - Class A(a) | 81,900 | 156,028 | ||||||
9,986,234 | ||||||||
Cyprus—0.0%(c) | ||||||||
Fix Price Group PLC - GDR(d) | 5,934 | 0 | ||||||
Greece—0.9% | ||||||||
Star Bulk Carriers Corp. | 8,895 | 212,324 | ||||||
Hong Kong—5.5% | ||||||||
China Resources Land Ltd. | 76,000 | 232,131 | ||||||
Futu Holdings Ltd. - ADR(a) | 4,457 | 238,539 | ||||||
Orient Overseas International Ltd. | 10,000 | 154,853 | ||||||
Techtronic Industries Co., Ltd. | 41,500 | 447,711 | ||||||
WH Group Ltd. | 189,500 | 113,881 | ||||||
Yuexiu Property Co., Ltd. | 165,000 | 109,728 | ||||||
1,296,843 | ||||||||
Hungary—0.1% | ||||||||
Richter Gedeon Nyrt | 1,253 | 33,358 | ||||||
India—2.9% | ||||||||
Bajaj Auto Ltd. | 3,973 | 378,663 | ||||||
Power Grid Corp. of India Ltd. | 60,440 | 206,492 | ||||||
Zydus Lifesciences Ltd. | 7,413 | 84,146 | ||||||
669,301 | ||||||||
Israel—1.5% | ||||||||
Monday.com Ltd.(a) | 651 | 145,180 | ||||||
Teva Pharmaceutical Industries Ltd. - ADR(a) | 15,805 | 207,836 | ||||||
353,016 | ||||||||
Malaysia—0.9% | ||||||||
Petronas Chemicals Group Bhd | 75,800 | 111,879 | ||||||
Top Glove Corp. Bhd(a) | 676,700 | 114,850 | ||||||
226,729 | ||||||||
Mexico—0.7% | ||||||||
Coca-Cola Femsa SAB de CV - ADR | 748 | 72,593 | ||||||
Grupo Financiero Banorte SAB de CV | 9,100 | 94,127 | ||||||
166,720 | ||||||||
Russia—0.0%(c) | ||||||||
HeadHunter Group PLC - ADR(a)(d) | 3,106 | 0 | ||||||
Magnit PJSC(d) | 2,995 | 0 | ||||||
Sberbank of Russia PJSC - ADR(a)(d) | 9,522 | 0 | ||||||
0 | ||||||||
Saudi Arabia—1.1% | ||||||||
Saudi Basic Industries Corp. | 12,611 | 264,945 | ||||||
Singapore—1.0% | ||||||||
DBS Group Holdings Ltd. | 1,556 | 38,581 | ||||||
Singapore Airlines Ltd. | 34,200 | 164,613 | ||||||
United Overseas Bank Ltd. | 1,700 | 35,375 | ||||||
238,569 |
The accompanying notes are an integral part of the financial statements.
30 | Semi-Annual Report 2024
BOSTON PARTNERS INVESTMENT FUNDS | February 29, 2024 (unaudited) |
BOSTON PARTNERS EMERGING MARKETS FUND | Portfolio Of Investments (continued) |
NUMBER OF SHARES | VALUE | |||||||
South Africa—0.7% | ||||||||
Aspen Pharmacare Holdings Ltd. | 2,489 | $ | 25,434 | |||||
Life Healthcare Group Holdings Ltd. | 28,783 | 26,337 | ||||||
Sappi Ltd. | 26,422 | 63,603 | ||||||
Thungela Resources Ltd. | 5,047 | 27,630 | ||||||
Thungela Resources Ltd. | 3,370 | 18,190 | ||||||
161,194 | ||||||||
South Korea—10.8% | ||||||||
Classys, Inc. | 2,851 | 68,945 | ||||||
Hana Financial Group, Inc. | 4,054 | 172,489 | ||||||
Hankook Tire & Technology Co., Ltd. | 2,708 | 110,325 | ||||||
HK inno N Corp.(a) | 2,227 | 64,063 | ||||||
Kumho Petrochemical Co., Ltd.(a) | 717 | 79,628 | ||||||
Samsung Electronics Co., Ltd. | 13,347 | 736,660 | ||||||
Samsung Electronics Co., Ltd. - GDR | 81 | 110,162 | ||||||
SK Hynix, Inc. | 8,803 | 1,037,737 | ||||||
SK Square Co., Ltd.(a) | 3,493 | 183,287 | ||||||
2,563,296 | ||||||||
Taiwan—11.3% | ||||||||
Eva Airways Corp. | 292,000 | 290,527 | ||||||
Evergreen Marine Corp. Taiwan Ltd. | 111,000 | 581,497 | ||||||
Formosa Chemicals & Fibre Corp. | 29,000 | 52,522 | ||||||
Genius Electronic Optical Co., Ltd. | 17,000 | 228,050 | ||||||
Hiwin Technologies Corp. | 17,000 | 129,174 | ||||||
Largan Precision Co., Ltd. | 2,000 | 164,139 | ||||||
Taiwan Semiconductor Manufacturing Co., Ltd. - ADR | 2,367 | 304,561 | ||||||
Taiwan Semiconductor Manufacturing Co., Ltd. | 15,000 | 328,718 | ||||||
Walsin Technology Corp. | 74,000 | 262,846 | ||||||
Yageo Corp. | 13,000 | 229,689 | ||||||
Yang Ming Marine Transport Corp. | 84,000 | 132,526 | ||||||
2,704,249 | ||||||||
Thailand—0.5% | ||||||||
Indorama Ventures PCL(d) | 167,900 | 109,078 | ||||||
United Kingdom—0.3% | ||||||||
Hikma Pharmaceuticals PLC | 2,681 | 66,535 | ||||||
United States—1.1% | ||||||||
Mosaic Co. | 8,589 | 267,633 | ||||||
Uruguay—0.3% | ||||||||
Arcos Dorados Holdings, Inc. - Class A | 6,662 | 79,011 | ||||||
TOTAL COMMON STOCKS (Cost $20,166,523) | 22,085,211 | |||||||
PREFERRED STOCKS—2.9% | ||||||||
Brazil—1.0% | ||||||||
Braskem SA | 15,900 | 66,976 | ||||||
Braskem SA | 7,906 | 66,964 | ||||||
Usinas Siderurgicas de Minas Gerais S/A Usiminas | 48,900 | 108,206 | ||||||
242,146 | ||||||||
South Korea—1.9% | ||||||||
Samsung Electronics Co., Ltd. | 9,195 | 440,318 | ||||||
TOTAL PREFERRED STOCKS (Cost $581,175) | 682,464 |
NUMBER OF SHARES | VALUE | |||||||
SHORT-TERM INVESTMENTS—2.1% | ||||||||
Tri-State Deposit, 5.45%(e) | 501,146 | $ | 501,146 | |||||
TOTAL SHORT-TERM INVESTMENTS (Cost $501,146) | 501,146 | |||||||
TOTAL INVESTMENTS—97.8% (Cost $21,248,844) | 23,268,821 | |||||||
Money Market Deposit Account—4.4%(f) | 1,045,556 | |||||||
LIABILITIES IN EXCESS OF OTHER ASSETS—(2.2)% | (519,136 | ) | ||||||
TOTAL NET ASSETS—100.0% | $ | 23,795,241 |
ADR | American Depositary Receipt |
GDR | Global Depositary Receipt |
PLC | Public Limited Company |
SA | Sociedad Anónima |
SAB de CV | Sociedad Anónima Bursátil de Capital Variable |
(a) | Non-income producing security. |
(b) | To the extent that the Fund invests a significant portion of its assets in the securities of companies of a single country or region, it is more likely to be impacted by events or conditions affecting the country or region. |
(c) | Represents less than 0.05% of net assets. |
(d) | Fair value determined using significant unobservable inputs in accordance with procedures established by and under the supervision of the Adviser, acting as valuation designee. These securities represented $109,078 or 0.5% of net assets as of February 29, 2024. |
(e) | The rate shown represents the 7-day effective yield as of February 29, 2024. |
(f) | The U.S. Bank Money Market Deposit Account (the “MMDA”) is a short-term vehicle in which the Fund holds cash balances. The MMDA will bear interest at a variable rate that is determined based on market conditions and is subject to change daily. The rate as of February 29, 2024 was 5.20%. |
Percentages are stated as a percent of net assets. |
The accompanying notes are an integral part of the financial statements.
Semi-Annual Report 2024 | 31
BOSTON PARTNERS INVESTMENT FUNDS | February 29, 2024 (unaudited) |
BOSTON PARTNERS EMERGING MARKETS FUND | Portfolio Of Investments (continued) |
Contracts For Difference held by the Fund at February 29, 2024, are as follows:
REFERENCE ENTITY | COUNTERPARTY | MATURITY DATE | FINANCING RATE | PAYMENT FREQUENCY | NOTIONAL AMOUNT | UPFRONT PAYMENTS (RECEIPTS) | VALUE/ UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||||
Long | |||||||||||||||||||||||
Russia | |||||||||||||||||||||||
Detsky Mir PJSC | Goldman Sachs | 9/18/2025 | 5.33 | % | Monthly | $66,307 | $ | 0 | $ | (6,113 | ) | ||||||||||||
Total Long | (6,113 | ) | |||||||||||||||||||||
Net unrealized gain/(loss) on Contracts For Difference | $ | (6,113 | ) |
The accompanying notes are an integral part of the financial statements.
32 | Semi-Annual Report 2024
BOSTON PARTNERS INVESTMENT FUNDS | February 29, 2024 (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 29, 2024 is as follows (see Notes to Portfolio of Investments):
TOTAL | LEVEL 1 | LEVEL 2 | LEVEL 3 | |||||||||||||
Assets: | ||||||||||||||||
Common Stocks: | ||||||||||||||||
Brazil | $ | 2,170,961 | $ | 2,170,961 | $ | — | $ | — | ||||||||
Cayman Islands | 515,215 | 515,215 | — | — | ||||||||||||
China | 9,986,234 | 1,021,783 | 8,964,451 | — | ||||||||||||
Cyprus | — | — | — | — | ^ | |||||||||||
Greece | 212,324 | 212,324 | — | — | ||||||||||||
Hong Kong | 1,296,843 | 238,539 | 1,058,304 | — | ||||||||||||
Hungary | 33,358 | 33,358 | — | — | ||||||||||||
India | 669,301 | — | 669,301 | — | ||||||||||||
Israel | 353,016 | 353,016 | — | — | ||||||||||||
Malaysia | 226,729 | — | 226,729 | — | ||||||||||||
Mexico | 166,720 | 166,720 | — | — | ||||||||||||
Russia | — | — | — | — | ^ | |||||||||||
Saudi Arabia | 264,945 | — | 264,945 | — | ||||||||||||
Singapore | 238,569 | — | 238,569 | — | ||||||||||||
South Africa | 161,194 | 161,194 | — | — | ||||||||||||
South Korea | 2,563,296 | — | 2,563,296 | — | ||||||||||||
Taiwan | 2,704,249 | 595,088 | 2,109,161 | — | ||||||||||||
Thailand | 109,078 | — | — | 109,078 | ||||||||||||
United Kingdom | 66,535 | — | 66,535 | — | ||||||||||||
United States | 267,633 | 267,633 | — | — | ||||||||||||
Uruguay | 79,011 | 79,011 | — | — | ||||||||||||
Common Stocks - Total | $ | 22,085,211 | $ | 5,814,842 | $ | 16,161,291 | $ | 109,078 | ||||||||
Preferred Stocks: | ||||||||||||||||
Brazil | 242,146 | 242,146 | — | — | ||||||||||||
South Korea | 440,318 | — | 440,318 | — | ||||||||||||
Preferred Stocks - Total | 682,464 | 242,146 | 440,318 | — | ||||||||||||
Short-Term Investments | 501,146 | — | 501,146 | — | ||||||||||||
Total Assets | $ | 23,268,821 | $ | 6,056,988 | $ | 17,102,755 | $ | 109,078 | ||||||||
Other Financial Instruments*: | ||||||||||||||||
Liabilities | ||||||||||||||||
Contracts For Difference | $ | (6,113 | ) | $ | — | $ | — | $ | (6,113 | ) | ||||||
Total Liabilities | $ | (6,113 | ) | $ | — | $ | — | $ | (6,113 | ) |
^ | Value equals 0 as of the end of the reporting period. |
* | The fair value of the Fund’s investment represents the net unrealized appreciation (depreciation) as of February 29, 2024. |
Refer to the Portfolio of Investments for industry classifications.
The accompanying notes are an integral part of the financial statements.
Semi-Annual Report 2024 | 33
BOSTON PARTNERS INVESTMENT FUNDS | February 29, 2024 (unaudited) |
BOSTON PARTNERS LONG/SHORT EQUITY FUND | Portfolio Of Investments |
NUMBER OF SHARES | VALUE | |||||||
COMMON STOCKS—98.9% | ||||||||
Communication Services—5.8% | ||||||||
Alphabet, Inc. - Class A(a)(b) | 7,836 | $ | 1,084,972 | |||||
Baidu, Inc. - Class A(a) | 54,898 | 694,646 | ||||||
Entravision Communications Corp. - Class A(b) | 140,739 | 541,845 | ||||||
Nexstar Media Group, Inc. - Class A(c) | 2,269 | 377,040 | ||||||
SurgePays, Inc.(a)(c) | 22,102 | 171,512 | ||||||
Vivid Seats, Inc. - Class A(a) | 60,757 | 365,757 | ||||||
ZoomInfo Technologies, Inc.(a) | 17,217 | 288,557 | ||||||
3,524,329 | ||||||||
Consumer Discretionary—10.6% | ||||||||
Alibaba Group Holding Ltd. | 31,704 | 291,477 | ||||||
Arcos Dorados Holdings, Inc. - Class A(c) | 91,925 | 1,090,230 | ||||||
Bowlero Corp.(c) | 17,697 | 220,328 | ||||||
BYD Co., Ltd. - ADR | 3,209 | 158,460 | ||||||
Carriage Services, Inc.(b) | 9,467 | 234,971 | ||||||
Cavco Industries, Inc.(a)(c) | 1,707 | 635,978 | ||||||
JD.com, Inc. - Class A | 41,636 | 469,899 | ||||||
Las Vegas Sands Corp.(b)(c) | 5,877 | 320,414 | ||||||
Monarch Casino & Resort, Inc. | 4,504 | 316,856 | ||||||
Perdoceo Education Corp.(b) | 19,854 | 353,600 | ||||||
Phinia, Inc.(c) | 9,054 | 309,828 | ||||||
Pinstripes Holdings, Inc.(a)(c) | 67,473 | 232,107 | ||||||
Potbelly Corp.(a)(b) | 26,706 | 370,679 | ||||||
Stellantis NV | 33,922 | 890,792 | ||||||
Stride, Inc.(a)(b) | 8,639 | 516,180 | ||||||
6,411,799 | ||||||||
Consumer Staples—5.7% | ||||||||
British American Tobacco PLC - ADR(c) | 25,814 | 771,580 | ||||||
Coca-Cola Europacific Partners PLC | 6,630 | 455,017 | ||||||
J M Smucker Co. | 3,856 | 463,375 | ||||||
Kenvue, Inc.(b) | 21,929 | 416,651 | ||||||
Molson Coors Brewing Co. - Class B(c) | 6,464 | 403,483 | ||||||
Turning Point Brands, Inc. | 15,046 | 380,664 | ||||||
Vector Group Ltd.(b) | 50,366 | 562,084 | ||||||
3,452,854 | ||||||||
Energy—6.1% | ||||||||
BP PLC - ADR | 21,073 | 737,344 | ||||||
Canadian Natural Resources Ltd. | 23,402 | 1,630,886 | ||||||
Marathon Petroleum Corp.(b) | 4,189 | 708,905 | ||||||
Schlumberger Ltd. | 6,228 | 300,999 | ||||||
VAALCO Energy, Inc.(c) | 62,744 | 279,838 | ||||||
3,657,972 | ||||||||
Financials—19.7% | ||||||||
American International Group, Inc.(b) | 5,328 | 388,358 | ||||||
Bank of America Corp.(b) | 22,082 | 762,271 | ||||||
BGC Group, Inc. - Class A(c) | 207,581 | 1,442,688 | ||||||
Charles Schwab Corp.(b) | 4,762 | 318,006 | ||||||
Citigroup, Inc.(b) | 11,393 | 632,198 | ||||||
Crawford & Co. - Class A(b) | 27,255 | 319,156 | ||||||
Fairfax Financial Holdings Ltd. | 1,586 | 1,688,725 | ||||||
Fidelis Insurance Holdings Ltd.(a) | 29,516 | 441,559 | ||||||
Greenlight Capital Re Ltd. - Class A(a) | 30,388 | 383,800 |
NUMBER OF SHARES | VALUE | |||||||
Financials—(continued) | ||||||||
I3 Verticals, Inc. - Class A(a)(c) | 16,583 | $ | 353,384 | |||||
Intercorp Financial Services, Inc. | 11,859 | 323,751 | ||||||
International General Insurance Holdings Ltd. | 19,594 | 240,027 | ||||||
Jefferies Financial Group, Inc.(b) | 13,798 | 577,032 | ||||||
KB Financial Group, Inc. - ADR | 12,039 | 570,047 | ||||||
PayPal Holdings, Inc.(a) | 5,795 | 349,670 | ||||||
Shift4 Payments, Inc. - Class A(a)(c) | 9,141 | 751,573 | ||||||
Stifel Financial Corp.(b) | 13,334 | 1,011,517 | ||||||
Wells Fargo & Co.(b) | 13,304 | 739,569 | ||||||
Willis Towers Watson PLC | 2,178 | 593,745 | ||||||
11,887,076 | ||||||||
Health Care—17.3% | ||||||||
Amgen, Inc.(b) | 2,746 | 751,937 | ||||||
Biote Corp.(a)(c) | 43,761 | 260,378 | ||||||
Bristol-Myers Squibb Co.(c) | 12,509 | 634,832 | ||||||
Catalyst Pharmaceuticals, Inc.(a)(b) | 55,746 | 893,608 | ||||||
Centene Corp.(a)(b) | 7,828 | 613,950 | ||||||
Cigna Group, (The)(b) | 3,031 | 1,018,840 | ||||||
CVS Health Corp.(b) | 4,055 | 301,570 | ||||||
Elevance Health, Inc.(b) | 1,054 | 528,318 | ||||||
HCA Healthcare, Inc.(b) | 1,635 | 509,630 | ||||||
Jazz Pharmaceuticals PLC(a) | 3,958 | 470,606 | ||||||
Johnson & Johnson(b) | 5,337 | 861,285 | ||||||
Lantheus Holdings, Inc.(a)(c) | 12,508 | 817,773 | ||||||
Medtronic PLC(b) | 7,982 | 665,380 | ||||||
Novartis AG - ADR | 6,152 | 621,167 | ||||||
PetIQ, Inc.(a) | 22,444 | 408,705 | ||||||
Quipt Home Medical Corp.(a) | 81,822 | 351,016 | ||||||
UnitedHealth Group, Inc. | 1,459 | 720,162 | ||||||
10,429,157 | ||||||||
Industrials—13.3% | ||||||||
Alaska Air Group, Inc.(a)(c) | 6,754 | 252,532 | ||||||
Barrett Business Services, Inc.(b) | 7,183 | 876,254 | ||||||
Brady Corp. - Class A | 6,361 | 370,719 | ||||||
Builders FirstSource, Inc.(a)(b)(c)(d) | 2,573 | 502,198 | ||||||
CACI International, Inc. - Class A(a) | 1,598 | 599,010 | ||||||
CoreCivic, Inc.(a) | 40,221 | 612,566 | ||||||
Euroseas Ltd. | 13,769 | 535,614 | ||||||
Galliford Try Holdings PLC | 163,676 | 498,697 | ||||||
Heidrick & Struggles International, Inc.(b) | 7,110 | 241,740 | ||||||
Lyft, Inc. - Class A(a) | 19,696 | 312,772 | ||||||
Quanta Services, Inc.(b) | 1,543 | 372,650 | ||||||
RCM Technologies, Inc.(a) | 10,050 | 277,380 | ||||||
Ryanair Holdings PLC - ADR(c) | 4,788 | 661,942 | ||||||
Sterling Infrastructure, Inc.(a)(b) | 9,067 | 966,906 | ||||||
Textron, Inc. | 8,912 | 793,792 | ||||||
V2X, Inc.(a) | 6,100 | 234,850 | ||||||
8,109,622 | ||||||||
Information Technology—14.5% | ||||||||
Adeia, Inc. | 30,843 | 349,760 | ||||||
AudioCodes Ltd. | 21,896 | 297,786 | ||||||
Check Point Software Technologies Ltd.(a) | 6,978 | 1,119,411 | ||||||
Cognizant Technology Solutions Corp. - Class A(b) | 8,364 | 660,923 | ||||||
DocuSign, Inc.(a) | 6,266 | 333,790 | ||||||
Dropbox, Inc. - Class A(a)(b) | 9,067 | 217,155 |
The accompanying notes are an integral part of the financial statements.
34 | Semi-Annual Report 2024
BOSTON PARTNERS INVESTMENT FUNDS | February 29, 2024 (unaudited) |
BOSTON PARTNERS LONG/SHORT EQUITY FUND | Portfolio Of Investments (continued) |
NUMBER OF SHARES | VALUE | |||||||
Information Technology—(continued) | ||||||||
Extreme Networks, Inc.(a) | 25,644 | $ | 324,140 | |||||
Hackett Group, Inc.(b) | 22,615 | 559,043 | ||||||
InterDigital, Inc.(c) | 7,085 | 758,237 | ||||||
Nano Dimension Ltd. - ADR(a)(c) | 92,902 | 264,771 | ||||||
Open Text Corp.(b) | 23,510 | 904,900 | ||||||
Oracle Corp.(b) | 2,356 | 263,118 | ||||||
Photronics, Inc.(a)(b) | 27,930 | 804,106 | ||||||
Pure Storage, Inc. - Class A(a)(c) | 6,897 | 363,127 | ||||||
QUALCOMM, Inc.(b) | 4,089 | 645,203 | ||||||
Rimini Street, Inc.(a) | 64,671 | 208,887 | ||||||
Telefonaktiebolaget LM Ericsson - ADR(b)(c) | 97,980 | 533,011 | ||||||
8,607,368 | ||||||||
Materials—3.5% | ||||||||
Berry Global Group, Inc.(b) | 3,986 | 232,025 | ||||||
Dundee Precious Metals, Inc. | 43,413 | 293,653 | ||||||
Ecovyst, Inc.(a) | 76,242 | 735,735 | ||||||
Ferroglobe PLC(a) | 48,626 | 221,248 | ||||||
Rio Tinto PLC - ADR(b) | 3,331 | 214,949 | ||||||
Ternium SA - ADR(b) | 9,390 | 380,671 | ||||||
2,078,281 | ||||||||
Real Estate—2.4% | ||||||||
Newmark Group, Inc. - Class A(b) | 90,917 | 980,994 | ||||||
Simon Property Group, Inc.(c) | 2,054 | 304,280 | ||||||
Star Holdings(a) | 13,692 | 169,096 | ||||||
1,454,370 | ||||||||
TOTAL COMMON STOCKS (Cost $41,688,792) | 59,612,828 | |||||||
SHORT-TERM INVESTMENTS—15.5% | ||||||||
BlackRock Liquidity Funds Treasury Trust Fund Portfolio - Class Institutional, 5.22%(b)(e) | 638 | 638 | ||||||
Federated Hermes U.S. Treasury Cash Reserves - Class Institutional, 5.18%(b)(e) | 638 | 638 | ||||||
Fidelity Treasury Portfolio - Class I, 5.20%(b)(e) | 638 | 638 | ||||||
Goldman Sachs Financial Square Funds - Treasury Instruments Fund - Class Institutional, 5.17%(b)(e) | 638 | 638 | ||||||
MSILF Prime Portfolio - Class Institutional, 5.40%(e) | 55 | 55 |
NUMBER OF UNITS | VALUE | |||||||
INVESTMENTS PURCHASED WITH PROCEEDS FROM SECURITIES LENDING—15.5% | ||||||||
Mount Vernon Liquid Assets Portfolio, LLC, 5.44%(e) | 9,341,219 | $ | 9,341,219 | |||||
TOTAL SHORT-TERM INVESTMENTS (Cost $9,343,826) | 9,343,826 | |||||||
TOTAL INVESTMENTS—114.4% (Cost $51,032,618) | 68,956,654 | |||||||
Money Market Deposit Account—0.0%(b)(f) | 334 | |||||||
LIABILITIES IN EXCESS OF OTHER ASSETS—(14.4)% | (8,534,617 | ) | ||||||
TOTAL NET ASSETS—100.0% | $ | 60,422,371 |
ADR | American Depositary Receipt |
PLC | Public Limited Company |
SA | Sociedad Anónima |
(a) | Non-income producing security. |
(b) | Security position is either entirely or partially held in a segregated account as collateral for securities sold short. |
(c) | All or a portion of this security is on loan as of February 29, 2024. The total market value of these securities was $9,082,288 which represented 15.0% of net assets. |
(d) | Held in connection with written option contracts. See Schedule of Options Written for further information. |
(e) | The rate shown represents the 7-day effective yield as of February 29, 2024. |
(f) | The U.S. Bank Money Market Deposit Account (the “MMDA”) is a short-term vehicle in which the Fund holds cash balances. The MMDA will bear interest at a variable rate that is determined based on market conditions and is subject to change daily. The rate as of February 29, 2024 was 5.20%.
Percentages are stated as a percent of net assets. |
The Global Industry Classification Standard (GICS®) was developed by and/or is the exclusive property of MSCI, Inc. and Standard & Poor’s Financial Services LLC (“S&P”). GICS is a service mark of MSCI, Inc. and S&P and has been licensed for use by U.S. Bank Global Fund Services. |
The accompanying notes are an integral part of the financial statements.
Semi-Annual Report 2024 | 35
BOSTON PARTNERS INVESTMENT FUNDS | February 29, 2024 (unaudited) |
BOSTON PARTNERS LONG/SHORT EQUITY FUND | Portfolio Of Securities Sold Short |
NUMBER OF SHARES | VALUE | |||||||
COMMON STOCKS—(20.6)% | ||||||||
Communication Services—(2.5)% | ||||||||
Clear Channel Outdoor Holdings, Inc. | (177,786 | ) | $ | (305,792 | ) | |||
CTC Communications Group, Inc.(a) | (98,900 | ) | 0 | |||||
Lions Gate Entertainment Corp. - Class A | (32,284 | ) | (313,478 | ) | ||||
PSQ Holdings, Inc. | (19,704 | ) | (92,215 | ) | ||||
QuinStreet, Inc. | (19,210 | ) | (281,042 | ) | ||||
Rumble, Inc. | (47,640 | ) | (311,089 | ) | ||||
Snap, Inc. - Class A | (15,963 | ) | (175,912 | ) | ||||
(1,479,528 | ) | |||||||
Consumer Discretionary—(5.4)% | ||||||||
Birkenstock Holding PLC | (5,287 | ) | (264,403 | ) | ||||
Brunswick Corp. | (4,970 | ) | (434,378 | ) | ||||
Dutch Bros, Inc. - Class A | (6,984 | ) | (203,444 | ) | ||||
Floor & Decor Holdings, Inc. - Class A | (3,507 | ) | (424,768 | ) | ||||
Goodyear Tire & Rubber Co. | (17,757 | ) | (210,953 | ) | ||||
Krispy Kreme, Inc. | (23,579 | ) | (305,112 | ) | ||||
LGI Homes, Inc. | (2,013 | ) | (229,663 | ) | ||||
Peloton Interactive, Inc. - Class A | (23,498 | ) | (106,211 | ) | ||||
Portillo’s, Inc. - Class A | (12,224 | ) | (177,615 | ) | ||||
Qsound Labs, Inc.(a) | (4,440 | ) | 0 | |||||
Tesla, Inc. | (2,429 | ) | (490,367 | ) | ||||
Warby Parker, Inc. - Class A | (17,493 | ) | (222,336 | ) | ||||
Workhorse Group, Inc. | (77,319 | ) | (25,871 | ) | ||||
YETI Holdings, Inc. | (3,963 | ) | (162,642 | ) | ||||
(3,257,763 | ) | |||||||
Consumer Staples—(1.2)% | ||||||||
Amish Naturals, Inc.(a) | (25,959 | ) | 0 | |||||
Duckhorn Portfolio, Inc. | (10,951 | ) | (104,144 | ) | ||||
Utz Brands, Inc. | (13,116 | ) | (232,022 | ) | ||||
Westrock Coffee Co. | (35,462 | ) | (358,875 | ) | ||||
(695,041 | ) | |||||||
Energy—(0.2)% | ||||||||
Beard Co. | (9,710 | ) | 0 | |||||
OPAL Fuels, Inc. - Class A | (21,231 | ) | (101,484 | ) | ||||
(101,484 | ) | |||||||
Financials—(1.5)% | ||||||||
Affirm Holdings, Inc. | (4,181 | ) | (156,871 | ) | ||||
Credit Acceptance Corp. | (577 | ) | (319,427 | ) | ||||
P10, Inc. - Class A | (17,203 | ) | (159,472 | ) | ||||
Upstart Holdings, Inc. | (9,544 | ) | (245,758 | ) | ||||
(881,528 | ) | |||||||
Health Care—(1.8)% | ||||||||
10X Genomics, Inc. - Class A | (2,709 | ) | (126,348 | ) | ||||
BodyTel Scientific, Inc.(a) | (4,840 | ) | 0 | |||||
CareView Communications, Inc. | (165,489 | ) | (9,259 | ) | ||||
Establishment Labs Holdings, Inc. | (5,527 | ) | (252,473 | ) | ||||
LifeStance Health Group, Inc. | (37,744 | ) | (315,162 | ) | ||||
PROCEPT BioRobotics Corp. | (8,256 | ) | (399,095 | ) | ||||
(1,102,337 | ) | |||||||
Industrials—(2.6)% | ||||||||
Ameresco, Inc. - Class A | (5,730 | ) | (120,101 | ) | ||||
Applied Energetics, Inc. | (54,756 | ) | (103,489 | ) | ||||
Corporate Resource Services, Inc.(a) | (218,896 | ) | (22 | ) | ||||
Custom Truck One Source, Inc. | (28,940 | ) | (185,795 | ) | ||||
DynaMotive Energy Systems Corp.(a) | (72,185 | ) | (7 | ) |
NUMBER OF SHARES | VALUE | |||||||
Industrials—(continued) | ||||||||
Ener1, Inc.(a) | (102,820 | ) | $ | (10 | ) | |||
Fiverr International Ltd. | (8,416 | ) | (198,618 | ) | ||||
Hayward Holdings, Inc. | (22,052 | ) | (326,149 | ) | ||||
Li-Cycle Holdings Corp. | (54,149 | ) | (19,494 | ) | ||||
MillerKnoll, Inc. | (11,878 | ) | (362,873 | ) | ||||
Omega Flex, Inc. | (3,309 | ) | (230,472 | ) | ||||
Sunrun, Inc. | (6,004 | ) | (72,288 | ) | ||||
Valence Technology, Inc.(a) | (27,585 | ) | (3 | ) | ||||
(1,619,321 | ) | |||||||
Information Technology—(5.4)% | ||||||||
ANTs software, Inc.(a) | (10,334 | ) | (1 | ) | ||||
C3.ai, Inc. - Class A | (4,028 | ) | (148,915 | ) | ||||
Consygen, Inc.(a) | (200 | ) | 0 | |||||
Entegris, Inc. | (2,239 | ) | (300,832 | ) | ||||
Envestnet, Inc. | (8,118 | ) | (418,321 | ) | ||||
HashiCorp, Inc. - Class A | (6,090 | ) | (158,766 | ) | ||||
Impinj, Inc. | (3,856 | ) | (421,152 | ) | ||||
Interliant, Inc.(a) | (600 | ) | 0 | |||||
IonQ, Inc. | (16,516 | ) | (171,106 | ) | ||||
LG Display Co., Ltd. - ADR | (50,654 | ) | (211,734 | ) | ||||
Lightwave Logic, Inc. | (54,237 | ) | (228,338 | ) | ||||
MicroVision, Inc. | (85,226 | ) | (201,133 | ) | ||||
nCino, Inc. | (5,853 | ) | (174,654 | ) | ||||
Nestor, Inc.(a) | (15,200 | ) | (2 | ) | ||||
Netlist, Inc. | (39,991 | ) | (63,986 | ) | ||||
Novanta, Inc. | (1,248 | ) | (215,829 | ) | ||||
Snowflake, Inc. - Class A | (817 | ) | (153,825 | ) | ||||
Sprout Social, Inc. - Class A | (5,384 | ) | (332,839 | ) | ||||
Tiger Telematics, Inc.(a) | (6,510 | ) | 0 | |||||
Uni-Pixel, Inc. | (19,665 | ) | 0 | |||||
Worldgate Communications, Inc.(a) | (582,655 | ) | (58 | ) | ||||
XRiver Corp.(a) | (34,156 | ) | 0 | |||||
(3,201,491 | ) | |||||||
TOTAL COMMON STOCKS (Proceeds $18,217,665) | (12,338,493 | ) | ||||||
CONTRACTS | ||||||||
RIGHTS—0.0%(b) | ||||||||
Information Technology—0.0%(b) | ||||||||
LG Display Co., Ltd., Expires 03/04/2024, Exercise Price $4.18(a)(c) | (16,103 | ) | 0 | |||||
TOTAL RIGHTS (Proceeds $0) | 0 | |||||||
TOTAL SECURITIES SOLD SHORT—(20.6)% (Proceeds $18,217,665) |
$ | (12,338,493 | ) |
(a) | Fair value determined using significant unobservable inputs in accordance with procedures established by and under the supervision of the Adviser, acting as valuation designee. These securities represented $(103) or 0.0% of net assets as of February 29, 2024. |
(b) | Represents less than 0.05% of net assets. |
(c) | Non-income producing security. |
(d) | The rate shown represents the 7-day effective yield as of February 29, 2024. |
Percentages are stated as a percent of net assets. |
The accompanying notes are an integral part of the financial statements.
36 | Semi-Annual Report 2024
BOSTON PARTNERS INVESTMENT FUNDS | February 29, 2024 (unaudited) |
BOSTON PARTNERS LONG/SHORT EQUITY FUND | Portfolio Of Options Written |
NOTIONAL AMOUNT | CONTRACTS | VALUE | ||||||||||
OPTIONS WRITTEN—(0.2)% (a)(b) | ||||||||||||
Call Options—(0.2)% | ||||||||||||
Builders FirstSource, Inc., Expiration: | $ | (429,396 | ) | (22 | ) | $ | (92,510 | ) | ||||
TOTAL OPTIONS WRITTEN (Premiums received $57,353) | $ | (92,510 | ) |
(a) | Exchange-traded. |
(b) | 100 shares per contract. |
Percentages are stated as a percent of net assets. |
The accompanying notes are an integral part of the financial statements.
Semi-Annual Report 2024 | 37
BOSTON PARTNERS INVESTMENT FUNDS | February 29, 2024 (unaudited) |
BOSTON PARTNERS LONG/SHORT EQUITY FUND | Portfolio Of Investments (continued) |
Contracts For Difference held by the Fund at February 29, 2024, are as follows:
REFERENCE ENTITY | COUNTERPARTY | MATURITY DATE | FINANCING RATE | PAYMENT FREQUENCY | NOTIONAL AMOUNT | UPFRONT PAYMENTS (RECEIPTS) | VALUE/ UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||||
Short | |||||||||||||||||||||||
United States | |||||||||||||||||||||||
Azek Co., Inc. | JPMorgan | 08/31/26 | 5.06 | % | Termination | $ | (210,433 | ) | $ | 0 | $ | (70,159 | ) | ||||||||||
Azek Co., Inc. | JPMorgan | 09/28/26 | 5.06 | Termination | (120,660 | ) | 0 | (45,995 | ) | ||||||||||||||
Confluent, Inc. | JPMorgan | 08/31/26 | 5.06 | Termination | (237,937 | ) | 0 | (14,472 | ) | ||||||||||||||
Confluent, Inc. | JPMorgan | 09/28/26 | 5.06 | Termination | (65,674 | ) | 0 | (9,942 | ) | ||||||||||||||
Freshpet, Inc. | JPMorgan | 08/31/26 | 4.95 | Termination | (145,809 | ) | 0 | (52,374 | ) | ||||||||||||||
Freshpet, Inc. | JPMorgan | 09/28/26 | 4.95 | Termination | (110,317 | ) | 0 | (47,350 | ) | ||||||||||||||
Glaukos Corp. | JPMorgan | 08/31/26 | 5.06 | Termination | (305,458 | ) | 0 | (50,306 | ) | ||||||||||||||
Navitas Semiconductor Corp. | JPMorgan | 08/31/26 | 5.06 | Termination | (183,697 | ) | 0 | 67,615 | |||||||||||||||
Navitas Semiconductor Corp. | JPMorgan | 09/28/26 | 5.06 | Termination | (50,710 | ) | 0 | 6,216 | |||||||||||||||
Nerdy, Inc. | JPMorgan | 08/31/26 | 4.62 | Termination | (155,426 | ) | 0 | 96,365 | |||||||||||||||
Nerdy, Inc. | JPMorgan | 09/28/26 | 4.62 | Termination | (42,908 | ) | 0 | 5,824 | |||||||||||||||
WW International, Inc. | JPMorgan | 08/31/26 | 5.06 | Termination | (124,800 | ) | 0 | 284,339 | |||||||||||||||
169,761 | |||||||||||||||||||||||
Total Short | 169,761 | ||||||||||||||||||||||
Net unrealized gain/(loss) on Contracts For Difference | $ | 169,761 |
The accompanying notes are an integral part of the financial statements.
38 | Semi-Annual Report 2024
BOSTON PARTNERS INVESTMENT FUNDS | February 29, 2024 (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 29, 2024 is as follows (see Notes to Portfolio of Investments):
TOTAL | LEVEL 1 | LEVEL 2 | LEVEL 3 | |||||||||||||
Assets: | ||||||||||||||||
Common Stocks: | ||||||||||||||||
Communication Services | $ | 3,524,329 | $ | 2,829,683 | $ | 694,646 | $ | — | ||||||||
Consumer Discretionary | 6,411,799 | 5,650,423 | 761,376 | — | ||||||||||||
Consumer Staples | 3,452,854 | 3,452,854 | — | — | ||||||||||||
Energy | 3,657,972 | 3,657,972 | — | — | ||||||||||||
Financials | 11,887,076 | 11,887,076 | — | — | ||||||||||||
Health Care | 10,429,157 | 10,429,157 | — | — | ||||||||||||
Industrials | 8,109,622 | 7,610,925 | 498,697 | — | ||||||||||||
Information Technology | 8,607,368 | 8,607,368 | — | — | ||||||||||||
Materials | 2,078,281 | 2,078,281 | — | — | ||||||||||||
Real Estate | 1,454,370 | 1,454,370 | — | — | ||||||||||||
Common Stocks - Total | $ | 59,612,828 | $ | 57,658,109 | $ | 1,954,719 | $ | — | ||||||||
Rights | — | — | — | — | ||||||||||||
Investments Purchased with Proceeds from Securities Lending(a) | 9,341,219 | — | — | — | ||||||||||||
Short-Term Investments | 2,607 | 2,607 | — | — | ||||||||||||
Total Assets | $ | 68,956,654 | $ | 57,660,716 | $ | 1,954,719 | $ | — |
TOTAL | LEVEL 1 | LEVEL 2 | LEVEL 3 | |||||||||||||
Liabilities: | ||||||||||||||||
Common Stocks | ||||||||||||||||
Communication Services | (1,479,528 | ) | (1,479,528 | ) | — | — | ^ | |||||||||
Consumer Discretionary | (3,257,763 | ) | (3,257,763 | ) | — | — | ^ | |||||||||
Consumer Staples | (695,041 | ) | (695,041 | ) | — | — | ^ | |||||||||
Energy | (101,484 | ) | (101,484 | ) | — | ^ | — | |||||||||
Financials | (881,528 | ) | (881,528 | ) | — | — | ||||||||||
Health Care | (1,102,337 | ) | (1,102,337 | ) | — | — | ^ | |||||||||
Industrials | (1,619,321 | ) | (1,619,279 | ) | — | (42 | ) | |||||||||
Information Technology | (3,201,491 | ) | (3,201,430 | ) | — | (61 | ) | |||||||||
Common Stocks - Total | (12,338,493 | ) | (12,338,390 | ) | — | ^ | (103 | ) | ||||||||
Options Written | (92,510 | ) | — | (92,510 | ) | — | ||||||||||
Total Liabilities | $ | (12,431,003 | ) | $ | (12,338,390 | ) | $ | (92,510 | ) | $ | (103 | ) | ||||
Other Financial Instruments*: | ||||||||||||||||
Assets | ||||||||||||||||
Contracts For Difference | $ | 460,359 | $ | 460,359 | $ | — | $ | — | ||||||||
Total Assets | $ | 460,359 | $ | 460,359 | $ | — | $ | — | ||||||||
Liabilities | ||||||||||||||||
Contracts For Difference | $ | (290,598 | ) | $ | (290,598 | ) | $ | — | $ | — | ||||||
Total Liabilities | $ | (290,598 | ) | $ | (290,598 | ) | $ | — | $ | — |
^ | Value equals 0 as of the end of the reporting period. |
* | The fair value of the Fund’s investment represents the net unrealized appreciation (depreciation) as of February 29, 2024. |
Refer to the Portfolio of Investments for industry classifications.
(a) | 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 listed in the Portfolio of Investments. |
The accompanying notes are an integral part of the financial statements.
Semi-Annual Report 2024 | 39
BOSTON PARTNERS INVESTMENT FUNDS | February 29, 2024 (unaudited) |
BOSTON PARTNERS LONG/SHORT RESEARCH FUND | Portfolio Of Investments |
NUMBER OF SHARES | VALUE | |||||||
COMMON STOCKS—96.9% | ||||||||
Communication Services—6.1% | ||||||||
Alphabet, Inc. - Class A(a) | 41,011 | $ | 5,678,384 | |||||
Cars.com, Inc.(a) | 146,548 | 2,687,690 | ||||||
Deutsche Telekom AG | 85,949 | 2,042,922 | ||||||
Informa PLC | 282,596 | 2,897,454 | ||||||
Live Nation Entertainment, Inc.(a) | 32,937 | 3,194,230 | ||||||
Match Group, Inc.(a) | 51,807 | 1,867,124 | ||||||
Nexstar Media Group, Inc. - Class A(b) | 8,514 | 1,414,771 | ||||||
Omnicom Group, Inc. | 23,115 | 2,043,135 | ||||||
Take-Two Interactive Software, Inc.(a)(b) | 22,687 | 3,333,401 | ||||||
TEGNA, Inc. | 160,598 | 2,249,978 | ||||||
T-Mobile US, Inc.(b) | 25,618 | 4,183,419 | ||||||
Vivid Seats, Inc. - Class A(a) | 180,527 | 1,086,773 | ||||||
Warner Bros Discovery, Inc.(a) | 136,319 | 1,198,244 | ||||||
33,877,525 | ||||||||
Consumer Discretionary—8.8% | ||||||||
AutoZone, Inc.(a) | 988 | 2,969,948 | ||||||
Booking Holdings, Inc.(a) | 1,589 | 5,511,970 | ||||||
Boyd Gaming Corp. | 49,446 | 3,269,864 | ||||||
Capri Holdings Ltd.(a) | 29,160 | 1,345,151 | ||||||
Crocs, Inc.(a) | 10,192 | 1,245,972 | ||||||
eBay, Inc. | 18,510 | 875,153 | ||||||
Entain PLC | 148,663 | 1,715,452 | ||||||
Flutter Entertainment PLC(a) | 15,359 | 3,325,782 | ||||||
Frontdoor, Inc.(a) | 94,301 | 2,957,279 | ||||||
Genting Singapore Ltd. | 2,962,000 | 2,004,474 | ||||||
Lennar Corp. - Class A | 8,723 | 1,382,683 | ||||||
LKQ Corp.(b) | 22,319 | 1,167,061 | ||||||
MGM Resorts International(a) | 81,844 | 3,542,207 | ||||||
Restaurant Brands International, Inc. | 53,204 | 4,131,290 | ||||||
Ross Stores, Inc.(c) | 23,334 | 3,475,832 | ||||||
Tempur Sealy International, Inc.(b) | 38,130 | 2,076,941 | ||||||
TJX Cos., Inc.(b) | 31,304 | 3,103,479 | ||||||
Wyndham Hotels & Resorts, Inc. | 34,995 | 2,678,867 | ||||||
Wynn Macau Ltd.(a) | 2,577,300 | 2,173,914 | ||||||
48,953,319 | ||||||||
Consumer Staples—3.9% | ||||||||
Albertsons Cos., Inc. - Class A | 117,848 | 2,389,957 | ||||||
Constellation Brands, Inc. - Class A | 7,405 | 1,840,291 | ||||||
J M Smucker Co. | 11,941 | 1,434,950 | ||||||
Nomad Foods Ltd. | 109,354 | 2,015,394 | ||||||
Philip Morris International, Inc. | 42,518 | 3,824,919 | ||||||
Simply Good Foods Co.(a) | 44,744 | 1,587,517 | ||||||
Target Corp. | 15,511 | 2,371,942 | ||||||
US Foods Holding Corp.(a)(b) | 64,910 | 3,296,779 | ||||||
Walmart, Inc. | 48,693 | 2,853,897 | ||||||
21,615,646 | ||||||||
Energy—8.0% | ||||||||
BP PLC - ADR | 91,844 | 3,213,622 | ||||||
Canadian Natural Resources Ltd. | 20,024 | 1,395,473 | ||||||
Cenovus Energy, Inc. | 161,883 | 2,821,621 | ||||||
Diamondback Energy, Inc. | 15,961 | 2,913,202 | ||||||
Kosmos Energy Ltd.(a)(b) | 193,121 | 1,185,763 | ||||||
Marathon Petroleum Corp.(b) | 25,439 | 4,305,042 | ||||||
MEG Energy Corp.(a) | 93,122 | 1,993,290 | ||||||
Noble Corp. PLC | 54,094 | 2,261,670 | ||||||
NOV, Inc. | 133,495 | 2,256,066 |
NUMBER OF SHARES | VALUE | |||||||
Energy—(continued) | ||||||||
Peabody Energy Corp. | 80,055 | $ | 1,982,962 | |||||
Phillips 66 | 35,152 | 5,009,511 | ||||||
Schlumberger Ltd. | 98,520 | 4,761,472 | ||||||
Shell PLC - ADR | 51,124 | 3,212,121 | ||||||
Technip Energies NV | 75,727 | 1,646,855 | ||||||
Tidewater, Inc.(a) | 37,945 | 2,657,288 | ||||||
Weatherford International PLC(a) | 30,569 | 3,136,685 | ||||||
44,752,643 | ||||||||
Financials—18.9% | ||||||||
AIB Group PLC | 210,998 | 979,575 | ||||||
American Express Co. | 11,888 | 2,608,465 | ||||||
Ameriprise Financial, Inc.(b) | 12,677 | 5,164,103 | ||||||
Aon PLC - Class A | 11,556 | 3,651,580 | ||||||
Arthur J Gallagher & Co. | 10,332 | 2,520,285 | ||||||
Bank of America Corp.(b) | 198,319 | 6,845,972 | ||||||
Bankinter SA | 111,595 | 710,388 | ||||||
Beazley PLC | 229,950 | 1,898,130 | ||||||
Berkshire Hathaway, Inc. - Class B(a)(b) | 7,371 | 3,017,687 | ||||||
BRP Group, Inc. - Class A(a) | 45,213 | 1,257,826 | ||||||
Charles Schwab Corp. | 19,148 | 1,278,703 | ||||||
Chubb Ltd. | 11,466 | 2,885,648 | ||||||
Commerzbank AG | 64,713 | 749,114 | ||||||
DBS Group Holdings Ltd. | 37,000 | 917,425 | ||||||
Discover Financial Services | 29,358 | 3,543,511 | ||||||
East West Bancorp, Inc.(b) | 40,539 | 2,953,672 | ||||||
Evercore, Inc. - Class A | 7,923 | 1,482,235 | ||||||
Everest Group Ltd. | 6,805 | 2,510,228 | ||||||
Fifth Third Bancorp(b) | 66,324 | 2,277,566 | ||||||
Fiserv, Inc.(a) | 7,460 | 1,113,554 | ||||||
FleetCor Technologies, Inc.(a)(b) | 7,580 | 2,116,867 | ||||||
Global Payments, Inc. | 13,561 | 1,758,862 | ||||||
Goldman Sachs Group, Inc.(b) | 2,972 | 1,156,257 | ||||||
Hana Financial Group, Inc. | 34,814 | 1,481,262 | ||||||
Huntington Bancshares, Inc.(b) | 285,834 | 3,727,275 | ||||||
ING Groep NV | 176,951 | 2,435,176 | ||||||
JPMorgan Chase & Co.(b) | 50,846 | 9,460,406 | ||||||
Markel Group, Inc.(a)(b) | 1,657 | 2,473,039 | ||||||
Morgan Stanley | 31,281 | 2,691,417 | ||||||
NatWest Group PLC | 391,931 | 1,185,051 | ||||||
Nordea Bank Abp | 219,206 | 2,668,493 | ||||||
Progressive Corp. | 20,506 | 3,887,117 | ||||||
Renaissance Holdings Ltd. | 11,180 | 2,513,488 | ||||||
SLM Corp.(b) | 58,925 | 1,227,408 | ||||||
Sumitomo Mitsui Financial Group, Inc. | 20,600 | 1,147,720 | ||||||
Synchrony Financial(b) | 12,632 | 521,702 | ||||||
Travelers Cos., Inc. | 9,058 | 2,001,456 | ||||||
United Overseas Bank Ltd. | 87,000 | 1,810,349 | ||||||
W R Berkley Corp.(b) | 15,544 | 1,299,478 | ||||||
Wells Fargo & Co. | 168,338 | 9,357,908 | ||||||
White Mountains Insurance Group Ltd. | 1,049 | 1,851,947 | ||||||
105,138,345 | ||||||||
Health Care—12.7% | ||||||||
Abbott Laboratories(b) | 45,989 | 5,456,135 | ||||||
AbbVie, Inc.(b) | 39,526 | 6,958,552 | ||||||
Amgen, Inc. | 15,882 | 4,348,968 | ||||||
AMN Healthcare Services, Inc.(a) | 30,437 | 1,712,690 | ||||||
AstraZeneca PLC | 9,923 | 1,250,837 | ||||||
Avantor, Inc.(a)(b) | 96,194 | 2,370,220 | ||||||
Boston Scientific Corp.(a)(b) | 19,913 | 1,318,440 | ||||||
Bristol-Myers Squibb Co. | 55,954 | 2,839,666 |
The accompanying notes are an integral part of the financial statements.
40 | Semi-Annual Report 2024
BOSTON PARTNERS INVESTMENT FUNDS | February 29, 2024 (unaudited) |
BOSTON PARTNERS LONG/SHORT RESEARCH FUND | Portfolio Of Investments (continued) |
NUMBER OF SHARES | VALUE | |||||||
Health Care—(continued) | ||||||||
Cencora, Inc. | 10,816 | $ | 2,548,250 | |||||
Centene Corp.(a)(b) | 25,504 | 2,000,279 | ||||||
Cigna Group, (The)(b) | 8,872 | 2,982,234 | ||||||
CVS Health Corp.(b) | 20,216 | 1,503,464 | ||||||
Elevance Health, Inc.(b) | 6,341 | 3,178,426 | ||||||
Fortrea Holdings, Inc.(a) | 69,562 | 2,611,357 | ||||||
HCA Healthcare, Inc. | 7,012 | 2,185,640 | ||||||
Henry Schein, Inc.(a) | 11,081 | 847,364 | ||||||
Humana, Inc. | 3,708 | 1,298,987 | ||||||
ICON PLC(a) | 5,123 | 1,642,537 | ||||||
IQVIA Holdings, Inc.(a) | 2,593 | 640,886 | ||||||
Johnson & Johnson | 14,802 | 2,388,747 | ||||||
McKesson Corp. | 3,526 | 1,838,492 | ||||||
Medtronic PLC | 10,049 | 837,685 | ||||||
Merck & Co., Inc. | 2,664 | 338,728 | ||||||
Molina Healthcare, Inc.(a)(b) | 4,388 | 1,728,477 | ||||||
Novo Nordisk AS | 6,840 | 816,461 | ||||||
Pfizer, Inc. | 3,582 | 95,138 | ||||||
R1 RCM, Inc.(a) | 39,047 | 548,610 | ||||||
Sanofi SA | 19,255 | 1,835,285 | ||||||
Stryker Corp. | 1,453 | 507,199 | ||||||
Thermo Fisher Scientific, Inc. | 681 | 388,293 | ||||||
UnitedHealth Group, Inc. | 17,320 | 8,549,153 | ||||||
Zimmer Biomet Holdings, Inc.(b) | 17,706 | 2,201,918 | ||||||
69,769,118 | ||||||||
Industrials—18.6% | ||||||||
AAR Corp.(a) | 28,339 | 1,892,478 | ||||||
Acuity Brands, Inc. | 7,841 | 1,969,973 | ||||||
Advanced Drainage Systems, Inc. | 16,365 | 2,671,423 | ||||||
Airbus Group SE | 19,927 | 3,297,106 | ||||||
Allegion PLC | 18,065 | 2,309,972 | ||||||
Allison Transmission Holdings, Inc.(b) | 35,537 | 2,677,002 | ||||||
AMETEK, Inc.(b) | 17,100 | 3,081,078 | ||||||
ANDRITZ AG | 24,658 | 1,551,522 | ||||||
Atkore, Inc. | 14,800 | 2,507,120 | ||||||
Beacon Roofing Supply, Inc.(a)(b) | 29,029 | 2,493,301 | ||||||
Boeing Co.(a) | 11,711 | 2,385,765 | ||||||
Brink’s Co. | 28,409 | 2,353,117 | ||||||
Builders FirstSource, Inc.(a) | 15,003 | 2,928,286 | ||||||
BWX Technologies, Inc.(b) | 18,273 | 1,842,467 | ||||||
Carlisle Cos., Inc. | 3,342 | 1,169,700 | ||||||
Clean Harbors, Inc.(a) | 14,090 | 2,565,789 | ||||||
Concentrix Corp. | 17,207 | 1,246,647 | ||||||
Curtiss-Wright Corp. | 10,009 | 2,364,826 | ||||||
Dover Corp.(b) | 14,498 | 2,397,679 | ||||||
Eaton Corp. PLC(b) | 8,130 | 2,349,570 | ||||||
Eiffage SA | 13,486 | 1,468,601 | ||||||
Ferguson PLC | 10,488 | 2,217,688 | ||||||
Fortive Corp.(b) | 21,998 | 1,872,690 | ||||||
FTI Consulting, Inc.(a)(b) | 8,206 | 1,697,657 | ||||||
General Dynamics Corp. | 10,713 | 2,927,327 | ||||||
Howmet Aerospace, Inc.(b) | 54,169 | 3,604,947 | ||||||
Huron Consulting Group, Inc.(a) | 18,170 | 1,783,022 | ||||||
Jacobs Solutions, Inc. | 22,133 | 3,245,804 | ||||||
Leidos Holdings, Inc.(b) | 16,184 | 2,069,286 | ||||||
Masco Corp. | 28,095 | 2,156,572 | ||||||
NEXTracker, Inc. - Class A(a) | 25,914 | 1,457,403 | ||||||
Norfolk Southern Corp. | 4,089 | 1,036,071 | ||||||
nVent Electric PLC | 38,629 | 2,600,503 | ||||||
Otis Worldwide Corp. | 31,803 | 3,030,826 | ||||||
Parker-Hannifin Corp.(b) | 2,853 | 1,527,639 |
NUMBER OF SHARES | VALUE | |||||||
Industrials—(continued) | ||||||||
RTX Corp. | 15,729 | $ | 1,410,419 | |||||
Ryanair Holdings PLC - ADR | 4,399 | 608,162 | ||||||
Science Applications International Corp.(b) | 13,724 | 1,920,811 | ||||||
Sensata Technologies Holding PLC | 16,297 | 560,943 | ||||||
Siemens AG | 11,496 | 2,275,853 | ||||||
SS&C Technologies Holdings, Inc.(b) | 48,972 | 3,122,455 | ||||||
Textron, Inc. | 46,008 | 4,097,934 | ||||||
TriNet Group, Inc.(a) | 17,522 | 2,242,991 | ||||||
Valmont Industries, Inc.(b) | 5,025 | 1,064,948 | ||||||
WESCO International, Inc. | 14,292 | 2,136,511 | ||||||
Westinghouse Air Brake Technologies Corp. | 20,322 | 2,871,295 | ||||||
WillScot Mobile Mini Holdings Corp.(a) | 45,847 | 2,189,194 | ||||||
103,252,373 | ||||||||
Information Technology—12.3% | ||||||||
Adeia, Inc. | 275,900 | 3,128,706 | ||||||
Advanced Micro Devices, Inc.(a) | 15,219 | 2,930,114 | ||||||
Applied Materials, Inc. | 12,304 | 2,480,732 | ||||||
Arrow Electronics, Inc.(a)(b) | 8,349 | 981,008 | ||||||
Broadcom, Inc. | 4,269 | 5,551,791 | ||||||
Capgemini SE | 12,368 | 3,008,442 | ||||||
CDW Corp. | 9,114 | 2,243,958 | ||||||
Celestica, Inc.(a) | 79,021 | 3,360,763 | ||||||
Check Point Software Technologies Ltd.(a) | 26,872 | 4,310,806 | ||||||
Cognizant Technology Solutions Corp. - Class A(b) | 23,316 | 1,842,430 | ||||||
Dell Technologies, Inc. - Class C | 47,450 | 4,491,616 | ||||||
Flex Ltd.(a) | 148,777 | 4,188,073 | ||||||
Gen Digital, Inc.(b) | 138,767 | 2,982,103 | ||||||
Jabil, Inc.(b) | 13,188 | 1,900,259 | ||||||
Lam Research Corp. | 2,878 | 2,700,284 | ||||||
Microchip Technology, Inc.(b) | 32,112 | 2,701,904 | ||||||
Micron Technology, Inc. | 20,424 | 1,850,619 | ||||||
NetApp, Inc. | 10,380 | 925,066 | ||||||
Nice Ltd. - ADR(a) | 15,295 | 3,749,569 | ||||||
NXP Semiconductors NV | 7,100 | 1,773,083 | ||||||
Oracle Corp.(b) | 33,617 | 3,754,347 | ||||||
QUALCOMM, Inc. | 6,444 | 1,016,799 | ||||||
Samsung Electronics Co., Ltd. | 54,696 | 3,018,832 | ||||||
Teradyne, Inc. | 10,116 | 1,047,916 | ||||||
Zebra Technologies Corp. - Class A(a) | 8,905 | 2,488,769 | ||||||
68,427,989 | ||||||||
Materials—1.9% | ||||||||
CRH PLC | 32,676 | 2,754,913 | ||||||
DuPont de Nemours, Inc.(b) | 18,883 | 1,306,515 | ||||||
FMC Corp. | 44,582 | 2,513,979 | ||||||
Hudbay Minerals, Inc. | 188,673 | 1,110,782 | ||||||
PPG Industries, Inc. | 10,110 | 1,431,576 | ||||||
Teck Resources Ltd. - Class B | 48,566 | 1,865,906 | ||||||
10,983,671 | ||||||||
Real Estate—2.2% | ||||||||
Americold Realty Trust, Inc.(b) | 56,661 | 1,433,523 | ||||||
Equity LifeStyle Properties, Inc. | 9,820 | 661,082 | ||||||
Essex Property Trust, Inc. | 10,595 | 2,451,684 | ||||||
Host Hotels & Resorts, Inc.(b) | 34,472 | 714,949 | ||||||
Kimco Realty Corp. | 91,104 | 1,800,215 |
The accompanying notes are an integral part of the financial statements.
Semi-Annual Report 2024 | 41
BOSTON PARTNERS INVESTMENT FUNDS | February 29, 2024 (unaudited) |
BOSTON PARTNERS LONG/SHORT RESEARCH FUND | Portfolio Of Investments (continued) |
NUMBER OF SHARES | VALUE | |||||||
Real Estate—(continued) | ||||||||
Lamar Advertising Co. - Class A(b) | 16,478 | $ | 1,821,643 | |||||
Regency Centers Corp.(b) | 26,073 | 1,615,222 | ||||||
VICI Properties, Inc. | 63,198 | 1,891,517 | ||||||
12,389,835 | ||||||||
Utilities—3.5% | ||||||||
American Electric Power Co., Inc. | 31,193 | 2,657,332 | ||||||
CenterPoint Energy, Inc.(b) | 80,401 | 2,211,028 | ||||||
FirstEnergy Corp. | 59,769 | 2,188,143 | ||||||
New Jersey Resources Corp. | 14,811 | 616,286 | ||||||
NiSource, Inc. | 103,832 | 2,705,862 | ||||||
OGE Energy Corp. | 69,679 | 2,293,136 | ||||||
PPL Corp. | 103,097 | 2,718,667 | ||||||
Southern Co. | 34,713 | 2,334,449 | ||||||
SSE PLC | 75,314 | 1,547,893 | ||||||
19,272,796 | ||||||||
TOTAL COMMON STOCKS (Cost $382,729,955) | 538,433,260 | |||||||
PAR | ||||||||
CORPORATE BONDS—0.1% | ||||||||
Andrada Mining Ltd., 12.00%, 07/31/2026 (e) | GBP 700,000 | 786,241 | ||||||
TOTAL CORPORATE BONDS (Cost $915,463) | 786,241 | |||||||
CONTRACTS | ||||||||
WARRANTS—0.0%(d) | ||||||||
Andrada Mining Ltd., Expires 07/17/2025, Exercise Price $0.10(a)(e) | 1,400,000 | 1,573 | ||||||
TOTAL WARRANTS (Cost $18,309) | 1,573 | |||||||
NUMBER OF SHARES | ||||||||
SHORT-TERM INVESTMENTS—0.1% | ||||||||
BlackRock Liquidity Funds Treasury Trust Fund Portfolio - Class Institutional, 5.22%(b)(f) | 113,421 | 113,421 | ||||||
Federated Hermes U.S. Treasury Cash Reserves - Class Institutional, 5.18%(b)(f) | 113,421 | 113,421 | ||||||
Fidelity Treasury Portfolio - Class I, 5.20%(b)(f) | 45,919 | 45,919 | ||||||
Goldman Sachs Financial Square Funds - Treasury Instruments Fund - Class Institutional, 5.17%(b)(f) | 113,421 | 113,421 | ||||||
MSILF Treasury Securities Portfolio - Class Institutional, 5.17%(b)(f) | 67,500 | 67,500 | ||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $453,682) | 453,682 | |||||||
TOTAL INVESTMENTS—97.1% (Cost $384,117,409) | 539,674,756 | |||||||
Money Market Deposit Account—0.6%(g) | 3,287,560 | |||||||
OTHER ASSETS IN EXCESS OF LIABILITIES—2.3% | 10,703,254 | |||||||
TOTAL NET ASSETS—100.0% | $ | 553,665,570 |
ADR | American Depositary Receipt |
PLC | Public Limited Company |
SA | Sociedad Anónima |
(a) | Non-income producing security. |
(b) | Security position is either entirely or partially held in a segregated account as collateral for securities sold short. |
(c) | Held in connection with written option contracts. See Schedule of Options Written for further information. |
(d) | Represents less than 0.05% of net assets. |
(e) | Fair value determined using significant unobservable inputs in accordance with procedures established by and under the supervision of the Adviser, acting as valuation designee. These securities represented $787,814 or 0.1% of net assets as of February 29, 2024. |
(f) | The rate shown represents the 7-day effective yield as of February 29, 2024. |
(g) | The U.S. Bank Money Market Deposit Account (the “MMDA”) is a short-term vehicle in which the Fund holds cash balances. The MMDA will bear interest at a variable rate that is determined based on market conditions and is subject to change daily. The rate as of February 29, 2024 was 5.20%. |
Percentages are stated as a percent of net assets. | |
Par amount is in USD unless otherwise indicated. | |
The Global Industry Classification Standard (GICS®) was developed by and/or is the exclusive property of MSCI, Inc. and Standard & Poor’s Financial Services LLC (“S&P”). GICS is a service mark of MSCI, Inc. and S&P and has been licensed for use by U.S. Bank Global Fund Services. |
The accompanying notes are an integral part of the financial statements.
42 | Semi-Annual Report 2024
BOSTON PARTNERS INVESTMENT FUNDS | February 29, 2024 (unaudited) |
BOSTON PARTNERS LONG/SHORT RESEARCH FUND | Portfolio Of Securities Sold Short |
NUMBER OF SHARES | VALUE | |||||||
COMMON STOCKS—(27.7)% | ||||||||
Communication Services—(1.6)% | ||||||||
Angi, Inc. | (220,684 | ) | $ | (633,363 | ) | |||
Clear Channel Outdoor Holdings, Inc. | (698,475 | ) | (1,201,377 | ) | ||||
Dentsu Group, Inc. | (48,800 | ) | (1,352,038 | ) | ||||
Fox Corp. - Class A | (29,638 | ) | (882,916 | ) | ||||
Liberty Global Ltd. - Class C | (58,839 | ) | (1,091,463 | ) | ||||
Lions Gate Entertainment Corp. - Class A | (139,020 | ) | (1,349,885 | ) | ||||
Paramount Global - Class B | (60,333 | ) | (666,076 | ) | ||||
Roblox Corp. - Class A | (27,034 | ) | (1,078,657 | ) | ||||
Rumble, Inc. | (54,657 | ) | (356,910 | ) | ||||
Trade Desk, Inc. - Class A | (8,657 | ) | (739,568 | ) | ||||
(9,352,253 | ) | |||||||
Consumer Discretionary—(5.7)% | ||||||||
Accor SA | (36,145 | ) | (1,570,061 | ) | ||||
Acushnet Holdings Corp. | (18,743 | ) | (1,207,424 | ) | ||||
B&M European Value Retail SA | (122,031 | ) | (811,666 | ) | ||||
Cheesecake Factory, Inc. | (19,745 | ) | (698,578 | ) | ||||
Choice Hotels International, Inc. | (16,929 | ) | (1,895,032 | ) | ||||
Dick’s Sporting Goods, Inc. | (11,581 | ) | (2,060,144 | ) | ||||
Five Below, Inc. | (6,675 | ) | (1,339,539 | ) | ||||
Hyatt Hotels Corp. - Class A | (7,843 | ) | (1,204,606 | ) | ||||
KB Home | (27,096 | ) | (1,799,987 | ) | ||||
Krispy Kreme, Inc. | (65,718 | ) | (850,391 | ) | ||||
LGI Homes, Inc. | (15,562 | ) | (1,775,469 | ) | ||||
Life Time Group Holdings, Inc. | (39,906 | ) | (548,308 | ) | ||||
Marriott Vacations Worldwide Corp. | (9,608 | ) | (895,370 | ) | ||||
Mobileye Global, Inc. - Class A | (31,128 | ) | (792,830 | ) | ||||
NIKE, Inc. - Class B | (9,294 | ) | (965,925 | ) | ||||
Nokian Renkaat Oyj | (340,209 | ) | (3,107,027 | ) | ||||
Playa Hotels & Resorts NV | (151,390 | ) | (1,391,274 | ) | ||||
Portillo’s, Inc. - Class A | (25,727 | ) | (373,813 | ) | ||||
QuantumScape Corp. | (404,442 | ) | (2,535,851 | ) | ||||
Rakuten Group, Inc. | (137,900 | ) | (755,827 | ) | ||||
Sabre Corp. | (398,199 | ) | (1,055,227 | ) | ||||
SJM Holdings Ltd. | (4,236,000 | ) | (1,292,706 | ) | ||||
Soho House & Co., Inc. | (161,981 | ) | (942,729 | ) | ||||
Tractor Supply Co. | (5,883 | ) | (1,496,165 | ) | ||||
(31,365,949 | ) | |||||||
Consumer Staples—(2.2)% | ||||||||
Davide Campari-Milano NV | (86,443 | ) | (876,542 | ) | ||||
Duckhorn Portfolio, Inc. | (101,897 | ) | (969,040 | ) | ||||
Freshpet, Inc. | (19,543 | ) | (2,208,945 | ) | ||||
Hormel Foods Corp. | (43,474 | ) | (1,535,502 | ) | ||||
Kimberly-Clark Corp. | (15,181 | ) | (1,839,482 | ) | ||||
McCormick & Co., Inc. | (18,562 | ) | (1,278,179 | ) | ||||
Sprouts Farmers Market, Inc. | (19,810 | ) | (1,236,936 | ) | ||||
Treasury Wine Estates Ltd. | (152,559 | ) | (1,224,800 | ) | ||||
TreeHouse Foods, Inc. | (35,192 | ) | (1,259,522 | ) | ||||
(12,428,948 | ) | |||||||
Energy—(2.0)% | ||||||||
Antero Resources Corp. | (73,846 | ) | (1,897,842 | ) | ||||
CVR Energy, Inc. | (52,045 | ) | (1,726,853 | ) | ||||
Matador Resources Co. | (35,861 | ) | (2,264,622 | ) | ||||
Occidental Petroleum Corp. | (67,740 | ) | (4,105,721 | ) | ||||
Permian Resources Corp. | (120,663 | ) | (1,877,516 | ) | ||||
(11,872,554 | ) | |||||||
Financials—(3.2)% | ||||||||
AJ Bell PLC | (346,166 | ) | (1,327,509 | ) | ||||
Aozora Bank Ltd. | (129,600 | ) | (2,380,571 | ) | ||||
Ashmore Group PLC | (509,651 | ) | (1,332,993 | ) | ||||
Avanza Bank Holding AB | (58,880 | ) | (1,295,933 | ) |
NUMBER OF SHARES | VALUE | |||||||
Financials—(continued) | ||||||||
Cincinnati Financial Corp. | (12,627 | ) | $ | (1,439,478 | ) | |||
Erie Indemnity Co. - Class A | (2,738 | ) | (1,114,037 | ) | ||||
Hang Seng Bank Ltd. | (235,900 | ) | (2,687,886 | ) | ||||
Moelis & Co. - Class A | (23,969 | ) | (1,295,285 | ) | ||||
T Rowe Price Group, Inc. | (27,196 | ) | (3,082,667 | ) | ||||
Texas Capital Bancshares, Inc. | (18,913 | ) | (1,109,247 | ) | ||||
Trupanion, Inc. | (8,076 | ) | (216,033 | ) | ||||
United Bankshares, Inc. | (38,978 | ) | (1,352,147 | ) | ||||
(18,633,786 | ) | |||||||
Health Care—(2.1)% | ||||||||
agilon health, Inc. | (99,578 | ) | (610,413 | ) | ||||
Ambu AS - Class B | (21,027 | ) | (367,919 | ) | ||||
Ascendis Pharma AS - ADR | (5,155 | ) | (761,703 | ) | ||||
Cassava Sciences, Inc. | (12,417 | ) | (285,343 | ) | ||||
Corcept Therapeutics, Inc. | (21,986 | ) | (516,671 | ) | ||||
Doximity, Inc. - Class A | (21,008 | ) | (593,056 | ) | ||||
GoodRx Holdings, Inc. - Class A | (118,464 | ) | (922,835 | ) | ||||
Guardant Health, Inc. | (19,963 | ) | (379,297 | ) | ||||
Insulet Corp. | (3,329 | ) | (545,956 | ) | ||||
Intra-Cellular Therapies, Inc. | (9,680 | ) | (672,954 | ) | ||||
Madrigal Pharmaceuticals, Inc. | (2,813 | ) | (664,431 | ) | ||||
MoonLake Immunotherapeutics | (6,323 | ) | (305,022 | ) | ||||
Neogen Corp. | (35,596 | ) | (611,895 | ) | ||||
Oxford Nanopore Technologies PLC | (112,995 | ) | (189,704 | ) | ||||
Recursion Pharmaceuticals, Inc. - Class A | (65,617 | ) | (883,205 | ) | ||||
Revance Therapeutics, Inc. | (45,449 | ) | (324,506 | ) | ||||
Rhythm Pharmaceuticals, Inc. | (13,993 | ) | (607,576 | ) | ||||
Tandem Diabetes Care, Inc. | (25,751 | ) | (685,749 | ) | ||||
TG Therapeutics, Inc. | (35,676 | ) | (614,341 | ) | ||||
Twist Bioscience Corp. | (17,495 | ) | (687,379 | ) | ||||
(11,229,955 | ) | |||||||
Industrials—(5.2)% | ||||||||
Atlas Arteria Ltd. | (369,950 | ) | (1,299,999 | ) | ||||
Exponent, Inc. | (15,935 | ) | (1,288,982 | ) | ||||
Furukawa Electric Co., Ltd. | (135,100 | ) | (2,677,691 | ) | ||||
Generac Holdings, Inc. | (14,987 | ) | (1,686,187 | ) | ||||
Hayward Holdings, Inc. | (113,681 | ) | (1,681,342 | ) | ||||
Husqvarna AB - Class B | (357,851 | ) | (2,763,891 | ) | ||||
Kornit Digital Ltd. | (74,318 | ) | (1,336,981 | ) | ||||
ManpowerGroup, Inc. | (13,626 | ) | (983,252 | ) | ||||
Montrose Environmental Group, Inc. | (46,518 | ) | (1,924,915 | ) | ||||
Nidec Corp. | (34,700 | ) | (1,316,821 | ) | ||||
NV5 Global, Inc. | (8,812 | ) | (896,269 | ) | ||||
Oshkosh Corp. | (13,020 | ) | (1,443,397 | ) | ||||
Proto Labs, Inc. | (59,818 | ) | (2,179,170 | ) | ||||
Regal Rexnord Corp. | (21,176 | ) | (3,631,471 | ) | ||||
SiteOne Landscape Supply, Inc. | (14,403 | ) | (2,426,617 | ) | ||||
Terex Corp. | (29,809 | ) | (1,709,546 | ) | ||||
(29,246,531 | ) | |||||||
Information Technology—(2.4)% | ||||||||
Amdocs Ltd. | (17,704 | ) | (1,614,605 | ) | ||||
Cognex Corp. | (58,626 | ) | (2,312,796 | ) | ||||
Entegris, Inc. | (28,595 | ) | (3,842,024 | ) | ||||
GCL Technology Holdings Ltd. | (10,247,000 | ) | (1,425,348 | ) | ||||
Jamf Holding Corp. | (140,883 | ) | (2,534,485 | ) | ||||
Palantir Technologies, Inc. - Class A | (51,217 | ) | (1,284,522 | ) | ||||
(13,013,780 | ) | |||||||
Materials—(1.2)% | ||||||||
Albemarle Corp. | (7,836 | ) | (1,080,193 | ) | ||||
Ganfeng Lithium Group Co., Ltd. - Class H | (267,400 | ) | (885,848 | ) | ||||
Lynas Rare Earths Ltd. | (174,181 | ) | (662,744 | ) |
The accompanying notes are an integral part of the financial statements.
Semi-Annual Report 2024 | 43
BOSTON PARTNERS INVESTMENT FUNDS | February 29, 2024 (unaudited) |
BOSTON PARTNERS LONG/SHORT RESEARCH FUND | Portfolio Of Securities Sold Short (concluded) |
NUMBER OF SHARES | VALUE | |||||||
Materials—(continued) | ||||||||
MP Materials Corp. | (79,194 | ) | $ | (1,204,541 | ) | |||
Sumitomo Chemical Co., Ltd. | (485,800 | ) | (982,216 | ) | ||||
Symrise AG | (18,259 | ) | (1,868,492 | ) | ||||
(6,684,034 | ) | |||||||
Real Estate—(2.1)% | ||||||||
Camden Property Trust | (8,107 | ) | (765,949 | ) | ||||
CBRE Group, Inc. - Class A | (18,230 | ) | (1,675,155 | ) | ||||
Digital Realty Trust, Inc. | (5,844 | ) | (857,958 | ) | ||||
Howard Hughes Holdings, Inc. | (11,839 | ) | (904,500 | ) | ||||
Mid-America Apartment Communities, Inc. | (9,137 | ) | (1,148,338 | ) | ||||
Nomura Real Estate Master Fund, Inc. | (896 | ) | (890,523 | ) | ||||
Sagax AB - Class B | (56,348 | ) | (1,332,786 | ) | ||||
Segro PLC | (142,587 | ) | (1,525,048 | ) | ||||
SL Green Realty Corp. | (32,839 | ) | (1,592,035 | ) | ||||
Unibail-Rodamco-Westfield | (12,530 | ) | (916,238 | ) | ||||
(11,608,530 | ) | |||||||
TOTAL COMMON STOCKS (Proceeds $159,716,863) | (155,436,320 | ) | ||||||
CONTRACTS | ||||||||
WARRANTS—(0.0)%(a) | ||||||||
Health Care—(0.0)%(a) | ||||||||
Cassava Sciences, Inc., Expires 11/15/2024, Exercise Price $33.00(b) | (5,870 | ) | (31,405 | ) | ||||
TOTAL WARRANTS (Proceeds $0) | (31,405 | ) | ||||||
TOTAL SECURITIES SOLD SHORT—(27.7)% (Proceeds $159,716,863) | $ | (155,467,725 | ) |
(a) | Represents less than 0.05% of net assets. |
(b) | Non-income producing security. |
Percentages are stated as a percent of net assets. |
The accompanying notes are an integral part of the financial statements.
44 | Semi-Annual Report 2024
BOSTON PARTNERS INVESTMENT FUNDS | February 29, 2024 (unaudited) |
BOSTON PARTNERS LONG/SHORT RESEARCH FUND | Portfolio Of Options Written |
NOTIONAL AMOUNT | CONTRACTS | VALUE | ||||||||||
OPTIONS WRITTEN—0.0%(a)(b)(c) | ||||||||||||
Call Options—0.0%(b) | ||||||||||||
Ross Stores, Inc., Expiration: 03/15/2024; Exercise Price: $135.00 | $ | (1,430,016 | ) | (96 | ) | $ | (144,096 | ) | ||||
TOTAL OPTIONS WRITTEN (Premiums received $110,397) | $ | (144,096 | ) |
(a) | Exchange-traded. |
(b) | Represents less than 0.05% of net assets. |
(c) | 100 shares per contract. |
Percentages are stated as a percent of net assets. |
The accompanying notes are an integral part of the financial statements.
Semi-Annual Report 2024 | 45
BOSTON PARTNERS INVESTMENT FUNDS | February 29, 2024 (unaudited) |
BOSTON PARTNERS LONG/SHORT RESEARCH FUND | Portfolio Of Investments (continued) |
Contracts For Difference held by the Fund at February 29, 2024, are as follows:
REFERENCE ENTITY | COUNTERPARTY | MATURITY DATE | FINANCING RATE | PAYMENT FREQUENCY | NOTIONAL AMOUNT | UPFRONT PAYMENTS (RECEIPTS) | VALUE/ UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||||
Short | |||||||||||||||||||||||
Australia | |||||||||||||||||||||||
Commonwealth Bank of Australia | Morgan Stanley | 08/12/2025 | 4.32 | % | Termination | $ | (3,634,644 | ) | $ | 0 | $ | (311,291 | ) | ||||||||||
China | |||||||||||||||||||||||
Shenzhen Dynanonic Co., Ltd. | Bank of America | 20/10/2026 | 5.33 | Termination | (433,465 | ) | 0 | 327,168 | |||||||||||||||
Shenzhen Goodix Technology | Morgan Stanley | 03/08/2026 | 5.33 | Termination | (866,792 | ) | 0 | (134,630 | ) | ||||||||||||||
192,538 | |||||||||||||||||||||||
Germany | |||||||||||||||||||||||
Deutsche Bank AG | Morgan Stanley | 08/12/2025 | 3.99 | Termination | (1,007,128 | ) | 0 | (186,566 | ) | ||||||||||||||
Deutsche Bank AG | Goldman Sachs | 06/10/2026 | 3.91 | Termination | (154,024 | ) | 0 | (30,874 | ) | ||||||||||||||
(217,440 | ) | ||||||||||||||||||||||
Japan | |||||||||||||||||||||||
Nippon Shinyaku Co., Ltd. | Morgan Stanley | 08/12/2025 | -0.01 | Termination | (337,260 | ) | 0 | 210,699 | |||||||||||||||
South Korea | |||||||||||||||||||||||
EcoPro BM Co., Ltd. | Morgan Stanley | 20/10/2026 | 5.33 | Termination | (1,588,673 | ) | 0 | (140,751 | ) | ||||||||||||||
EcoPro Co., Ltd. | Bank of America | 23/10/2026 | 5.33 | Termination | (1,055,371 | ) | 0 | 271,601 | |||||||||||||||
EcoPro Co., Ltd. | Goldman Sachs | 30/10/2026 | 5.33 | Termination | (547,642 | ) | 0 | 21,788 | |||||||||||||||
Kakaobank Corp. | Goldman Sachs | 08/12/2025 | 5.33 | Termination | (574,961 | ) | 0 | (4,535 | ) | ||||||||||||||
Kakaobank Corp. | JPMorgan | 12/10/2026 | 3.31 | Termination | (58,712 | ) | 0 | (12,609 | ) | ||||||||||||||
Netmarble Corp. | Goldman Sachs | 10/03/2026 | 5.33 | Termination | (218,239 | ) | 0 | (7,596 | ) | ||||||||||||||
Netmarble Corp. | Morgan Stanley | 16/03/2026 | 5.33 | Termination | (1,169,548 | ) | 0 | (109,080 | ) | ||||||||||||||
Posco Future M Co., Ltd. | Bank of America | 23/10/2026 | 5.33 | Termination | (2,090,400 | ) | 0 | (166,125 | ) | ||||||||||||||
(147,307 | ) | ||||||||||||||||||||||
Switzerland | |||||||||||||||||||||||
Vat Group AG | Morgan Stanley | 08/12/2025 | 1.69 | Termination | (3,144,939 | ) | 0 | (1,026,221 | ) | ||||||||||||||
Taiwan | |||||||||||||||||||||||
Acer, Inc. | Goldman Sachs | 08/12/2025 | 5.33 | Termination | (1,186,974 | ) | 0 | (534,685 | ) | ||||||||||||||
Compal Electronics | Goldman Sachs | 08/12/2025 | 5.33 | Termination | (915,690 | ) | 0 | (346,620 | ) | ||||||||||||||
Pan Jit International, Inc. | Goldman Sachs | 08/12/2025 | 5.33 | Termination | (1,677,977 | ) | 0 | 70,040 | |||||||||||||||
SDI Corporation | Goldman Sachs | 08/12/2025 | 5.33 | Termination | (370,000 | ) | 0 | 38,237 | |||||||||||||||
(773,028 | ) | ||||||||||||||||||||||
United States | |||||||||||||||||||||||
Bank of Hawaii Corp. | Morgan Stanley | 08/12/2025 | 5.33 | Termination | (2,324,457 | ) | 0 | 668,648 | |||||||||||||||
Bank of Hawaii Corp. | Goldman Sachs | 02/03/2026 | 5.33 | Termination | (843,558 | ) | 0 | 53,607 | |||||||||||||||
BlackLine, Inc. | Morgan Stanley | 08/12/2025 | 5.33 | Termination | (1,147,024 | ) | 0 | 114,844 | |||||||||||||||
Ceridian HCM Holding, Inc. | Morgan Stanley | 08/12/2025 | 5.33 | Termination | (671,859 | ) | 0 | (67,513 | ) | ||||||||||||||
Commerce Bancshares, Inc. | Morgan Stanley | 08/12/2025 | 5.33 | Termination | (2,752,929 | ) | 0 | 662,412 | |||||||||||||||
Commerce Bancshares, Inc. | Goldman Sachs | 06/10/2026 | 5.33 | Termination | (300,039 | ) | 0 | (47,401 | ) | ||||||||||||||
Community Bank System, Inc. | Morgan Stanley | 08/12/2025 | 5.33 | Termination | (2,509,937 | ) | 0 | 944,689 | |||||||||||||||
Community Bank System, Inc. | Goldman Sachs | 06/10/2026 | 5.33 | Termination | (273,521 | ) | 0 | (20,362 | ) | ||||||||||||||
Credit Acceptance Corp. | Morgan Stanley | 08/12/2025 | 5.33 | Termination | (1,867,846 | ) | 0 | (323,398 | ) | ||||||||||||||
Credit Acceptance Corp. | Goldman Sachs | 02/03/2026 | 5.33 | Termination | (678,160 | ) | 0 | (140,651 | ) | ||||||||||||||
Cullen/Frost Bankers, Inc. | Morgan Stanley | 08/12/2025 | 5.33 | Termination | (1,038,115 | ) | 0 | 285,001 | |||||||||||||||
Cullen/Frost Bankers, Inc. | Goldman Sachs | 06/04/2026 | 5.33 | Termination | (506,091 | ) | 0 | (30,569 | ) | ||||||||||||||
CVB Financial Corp. | Morgan Stanley | 08/12/2025 | 5.33 | Termination | (451,456 | ) | 0 | 279,839 | |||||||||||||||
CVB Financial Corp. | Goldman Sachs | 06/10/2026 | 5.33 | Termination | (46,107 | ) | 0 | (4,167 | ) | ||||||||||||||
Definitive Healthcare Corp. | Morgan Stanley | 08/12/2025 | 5.33 | Termination | (491,565 | ) | 0 | 109,983 | |||||||||||||||
Figs, Inc. | Morgan Stanley | 08/12/2025 | 5.33 | Termination | (421,083 | ) | 0 | 190,816 | |||||||||||||||
First Financial Bankshares, Inc. | Morgan Stanley | 08/12/2025 | 5.33 | Termination | (2,334,485 | ) | 0 | 348,588 | |||||||||||||||
First Financial Bankshares, Inc. | Goldman Sachs | 02/03/2026 | 5.33 | Termination | (1,502,694 | ) | 0 | 19,031 | |||||||||||||||
Floor & Decor Holdings, Inc. | Morgan Stanley | 08/12/2025 | 5.33 | Termination | (2,436,329 | ) | 0 | (987,243 | ) | ||||||||||||||
Floor & Decor Holdings, Inc. | Goldman Sachs | 13/04/2026 | 5.33 | Termination | (328,356 | ) | 0 | (62,680 | ) | ||||||||||||||
Glacier Bancorp, Inc. | Morgan Stanley | 08/12/2025 | 5.33 | Termination | (2,069,812 | ) | 0 | 962,999 | |||||||||||||||
Glacier Bancorp, Inc. | Goldman Sachs | 02/03/2026 | 5.33 | Termination | (1,524,753 | ) | 0 | (57,733 | ) | ||||||||||||||
Kinsale Capital Group, Inc. | Morgan Stanley | 08/12/2025 | 5.33 | Termination | (1,051,459 | ) | 0 | (459,568 | ) | ||||||||||||||
Kinsale Capital Group, Inc. | Goldman Sachs | 21/09/2026 | 5.33 | Termination | (180,147 | ) | 0 | (34,710 | ) |
The accompanying notes are an integral part of the financial statements.
46 | Semi-Annual Report 2024
BOSTON PARTNERS INVESTMENT FUNDS | February 29, 2024 (unaudited) |
BOSTON PARTNERS LONG/SHORT RESEARCH FUND | Portfolio Of Investments (continued) |
REFERENCE ENTITY |
|
COUNTERPARTY |
|
MATURITY DATE |
|
FINANCING RATE |
|
PAYMENT FREQUENCY |
|
|
NOTIONAL AMOUNT |
|
|
UPFRONT PAYMENTS (RECEIPTS) |
|
|
VALUE/ UNREALIZED APPRECIATION (DEPRECIATION) |
|
|||||
United States—(continued) | |||||||||||||||||||||||
Lowe’s Cos., Inc. | Morgan Stanley | 08/12/2025 | 5.33 | Termination | $ | (1,304,913 | ) | $ | 0 | $ | (210,157 | ) | |||||||||||
Moody’s Corp. | Goldman Sachs | 02/03/2026 | 5.33 | Termination | (694,339 | ) | 0 | (163,151 | ) | ||||||||||||||
Myriad Genetics, Inc. | Morgan Stanley | 08/12/2025 | 5.33 | Termination | (556,822 | ) | 0 | (37,778 | ) | ||||||||||||||
National Beverage Corp. | Morgan Stanley | 08/12/2025 | 5.33 | Termination | (1,542,984 | ) | 0 | (84,125 | ) | ||||||||||||||
National Beverage Corp. | Goldman Sachs | 15/12/2025 | 5.33 | Termination | (133,390 | ) | 0 | (5,139 | ) | ||||||||||||||
Novanta, Inc. | Morgan Stanley | 08/12/2025 | 5.33 | Termination | (1,205,219 | ) | 0 | (166,420 | ) | ||||||||||||||
Novanta, Inc. | Goldman Sachs | 31/08/2026 | 5.33 | Termination | (1,834,029 | ) | 0 | (370,809 | ) | ||||||||||||||
RLI Corp. | Morgan Stanley | 08/12/2025 | 5.33 | Termination | (1,955,693 | ) | 0 | (243,043 | ) | ||||||||||||||
WD-40 Co. | Morgan Stanley | 08/12/2025 | 5.33 | Termination | (701,303 | ) | 0 | (263,991 | ) | ||||||||||||||
WD-40 Co. | Goldman Sachs | 15/12/2025 | 5.33 | Termination | (179,016 | ) | 0 | (67,751 | ) | ||||||||||||||
Wolfspeed, Inc. | Morgan Stanley | 08/12/2025 | 5.33 | Termination | (247,841 | ) | 0 | 521,494 | |||||||||||||||
Wolfspeed, Inc. | Goldman Sachs | 31/08/2026 | 5.33 | Termination | (980,538 | ) | 0 | 555,926 | |||||||||||||||
1,869,518 | |||||||||||||||||||||||
Total Short | (202,532 | ) | |||||||||||||||||||||
Net unrealized gain/(loss) on Contracts For Difference | $ | (202,532 | ) |
The accompanying notes are an integral part of the financial statements.
Semi-Annual Report 2024 | 47
BOSTON PARTNERS INVESTMENT FUNDS | February 29, 2024 (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 29, 2024 is as follows (see Notes to Portfolio of Investments):
TOTAL | LEVEL 1 | LEVEL 2 | LEVEL 3 | |||||||||||||
Assets: | ||||||||||||||||
Common Stocks: | ||||||||||||||||
Communication Services | $ | 33,877,525 | $ | 28,937,149 | $ | 4,940,376 | $ | — | ||||||||
Consumer Discretionary | 48,953,319 | 39,733,697 | 9,219,622 | — | ||||||||||||
Consumer Staples | 21,615,646 | 21,615,646 | — | — | ||||||||||||
Energy | 44,752,643 | 43,105,788 | 1,646,855 | — | ||||||||||||
Financials | 105,138,345 | 89,155,662 | 15,982,683 | — | ||||||||||||
Health Care | 69,769,118 | 65,866,535 | 3,902,583 | — | ||||||||||||
Industrials | 103,252,373 | 94,659,291 | 8,593,082 | — | ||||||||||||
Information Technology | 68,427,989 | 62,400,715 | 6,027,274 | — | ||||||||||||
Materials | 10,983,671 | 10,983,671 | — | — | ||||||||||||
Real Estate | 12,389,835 | 12,389,835 | — | — | ||||||||||||
Utilities | 19,272,796 | 17,724,903 | 1,547,893 | — | ||||||||||||
Common Stocks - Total | $ | 538,433,260 | $ | 486,572,892 | $ | 51,860,368 | $ | — | ||||||||
Corporate Bonds | 786,241 | — | — | 786,241 | ||||||||||||
Warrants | 1,573 | — | — | 1,573 | ||||||||||||
Short-Term Investments | 453,682 | 453,682 | — | — | ||||||||||||
Total Assets | $ | 539,674,756 | $ | 487,026,574 | $ | 51,860,368 | $ | 787,814 | ||||||||
TOTAL | LEVEL 1 | LEVEL 2 | LEVEL 3 | |||||||||||||
Liabilities: | ||||||||||||||||
Common Stocks: | ||||||||||||||||
Communication Services | $ | (9,352,253 | ) | $ | (8,000,215 | ) | $ | (1,352,038 | ) | $ | — | |||||
Consumer Discretionary | (31,365,949 | ) | (23,828,662 | ) | (7,537,287 | ) | — | |||||||||
Consumer Staples | (12,428,948 | ) | (10,327,606 | ) | (2,101,342 | ) | — | |||||||||
Energy | (11,872,554 | ) | (11,872,554 | ) | — | — | ||||||||||
Financials | (18,633,786 | ) | (12,269,395 | ) | (6,364,391 | ) | — | |||||||||
Health Care | (11,229,955 | ) | (10,862,036 | ) | (367,919 | ) | — | |||||||||
Industrials | (29,246,531 | ) | (21,188,129 | ) | (8,058,402 | ) | — | |||||||||
Information Technology | (13,013,780 | ) | (11,588,432 | ) | (1,425,348 | ) | — | |||||||||
Materials | (6,684,034 | ) | (2,284,734 | ) | (4,399,300 | ) | — | |||||||||
Real Estate | (11,608,530 | ) | (6,943,935 | ) | (4,664,595 | ) | — | |||||||||
Common Stocks - Total | (155,436,320 | ) | (119,165,698 | ) | (36,270,622 | ) | — | |||||||||
Warrants | (31,405 | ) | (31,405 | ) | — | — | ||||||||||
Options Written | (144,096 | ) | (144,096 | ) | — | — | ||||||||||
Total Liabilities | $ | (155,611,821 | ) | $ | (119,341,199 | ) | $ | (36,270,622 | ) | $ | — | |||||
Other Financial Instruments*: | ||||||||||||||||
Assets | ||||||||||||||||
Contracts For Difference | $ | 6,657,410 | $ | 6,657,410 | $ | — | $ | — | ||||||||
Total Assets | $ | 6,657,410 | $ | 6,657,410 | $ | — | $ | — | ||||||||
Liabilities | ||||||||||||||||
Contracts For Difference | $ | (6,859,942 | ) | $ | (6,859,942 | ) | $ | — | $ | — | ||||||
Total Liabilities | $ | (6,859,942 | ) | $ | (6,859,942 | ) | $ | — | $ | — |
* | The fair value of the Fund’s investment represents the net unrealized appreciation (depreciation) as of February 29, 2024. |
Refer to the Portfolio of Investments for industry classifications.
The accompanying notes are an integral part of the financial statements.
48 | Semi-Annual Report 2024
BOSTON PARTNERS INVESTMENT FUNDS | February 29, 2024 (unaudited) |
BOSTON PARTNERS GLOBAL LONG/SHORT FUND | Portfolio Of Investments |
NUMBER OF SHARES | VALUE | |||||||
COMMON STOCKS—74.3% | ||||||||
Bermuda—2.5% | ||||||||
Everest Group Ltd.(a)(b) | 7,597 | $ | 2,802,381 | |||||
Teekay Tankers Ltd. - Class A | 23,607 | 1,294,136 | ||||||
4,096,517 | ||||||||
Canada—9.4% | ||||||||
Allied Gold Corp.(c) | 124,876 | 272,360 | ||||||
Capstone Copper Corp.(c) | 155,241 | 814,439 | ||||||
Cenovus Energy, Inc. | 81,508 | 1,420,376 | ||||||
Cenovus Energy, Inc. | 270,441 | 4,713,788 | ||||||
Hudbay Minerals, Inc. | 220,221 | 1,296,515 | ||||||
Kinross Gold Corp. | 495,865 | 2,426,072 | ||||||
MEG Energy Corp.(c) | 47,395 | 1,014,497 | ||||||
Teck Resources Ltd. - Class B | 90,412 | 3,473,629 | ||||||
15,431,676 | ||||||||
China—0.9% | ||||||||
Alibaba Group Holding Ltd. - ADR | 20,882 | 1,545,894 | ||||||
France—3.8% | ||||||||
Eurazeo SE | 9,750 | 824,856 | ||||||
Imerys SA | 34,081 | 1,078,806 | ||||||
Rexel SA | 38,922 | 999,174 | ||||||
SPIE SA | 76,368 | 2,543,746 | ||||||
Technip Energies NV | 36,382 | 791,209 | ||||||
6,237,791 | ||||||||
Germany—1.6% | ||||||||
Infineon Technologies AG | 34,424 | 1,236,015 | ||||||
Siemens AG | 6,604 | 1,307,388 | ||||||
2,543,403 | ||||||||
Greece—0.5% | ||||||||
Okeanis Eco Tankers Corp.(d) | 26,798 | 792,236 | ||||||
Ireland—2.2% | ||||||||
ICON PLC(c) | 6,526 | 2,092,366 | ||||||
Perrigo Co., PLC | 27,086 | 711,278 | ||||||
Ryanair Holdings PLC - ADR | 5,861 | 810,283 | ||||||
3,613,927 | ||||||||
Israel—1.3% | ||||||||
Check Point Software Technologies Ltd.(c) | 13,137 | 2,107,438 | ||||||
Italy—0.7% | ||||||||
Iveco Group NV(c) | 96,503 | 1,188,610 | ||||||
Japan—8.9% | ||||||||
Honda Motor Co., Ltd. | 162,800 | 1,934,481 | ||||||
Japan Post Holdings Co., Ltd. | 188,200 | 1,816,353 | ||||||
Kansai Paint Co., Ltd. | 65,400 | 949,257 | ||||||
Mitsubishi Heavy Industries Ltd. | 12,100 | 957,678 | ||||||
Renesas Electronics Corp. | 143,100 | 2,364,454 | ||||||
Ryohin Keikaku Co., Ltd. | 212,700 | 3,360,920 | ||||||
Sumitomo Mitsui Financial Group, Inc. | 43,900 | 2,445,868 | ||||||
Suzuken Co., Ltd. | 20,800 | 619,240 | ||||||
14,448,251 | ||||||||
Luxembourg—0.6% | ||||||||
Tenaris SA - ADR | 30,162 | 1,061,702 | ||||||
Monaco—0.6% | ||||||||
Scorpio Tankers, Inc. | 13,783 | 925,253 | ||||||
Netherlands—0.5% | ||||||||
Euronext NV(d) | 9,083 | 837,096 |
NUMBER OF SHARES | VALUE | |||||||
South Korea—4.2% | ||||||||
Hana Financial Group, Inc. | 47,448 | $ | 2,018,812 | |||||
Hankook Tire & Technology Co., Ltd. | 15,242 | 620,964 | ||||||
Hyundai Marine & Fire Insurance Co., Ltd.(c) | 55,787 | 1,319,459 | ||||||
KB Financial Group, Inc. | 35,113 | 1,674,688 | ||||||
KT Corp. - ADR(c) | 66,348 | 950,103 | ||||||
Samsung C&T Corp. | 2,994 | 352,328 | ||||||
6,936,354 | ||||||||
United Kingdom—5.0% | ||||||||
Barratt Developments PLC | 147,621 | 870,985 | ||||||
Endeavour Mining PLC | 57,171 | 939,826 | ||||||
Hikma Pharmaceuticals PLC | 46,993 | 1,166,229 | ||||||
IMI PLC | 97,799 | 2,146,675 | ||||||
Nomad Foods Ltd. | 69,046 | 1,272,518 | ||||||
Tesco PLC | 519,699 | 1,833,008 | ||||||
8,229,241 | ||||||||
United States—31.6%(d) | ||||||||
Advanced Micro Devices, Inc.(b)(c) | 26,016 | 5,008,861 | ||||||
AGCO Corp.(a) | 9,774 | 1,072,208 | ||||||
Alphabet, Inc. - Class C(a)(c) | 23,174 | 3,239,262 | ||||||
Amgen, Inc. | 8,505 | 2,328,924 | ||||||
Applied Materials, Inc.(a)(b) | 7,642 | 1,540,780 | ||||||
Booking Holdings, Inc.(a)(b)(c) | 981 | 3,402,923 | ||||||
Bristol-Myers Squibb Co. | 29,679 | 1,506,209 | ||||||
Centene Corp.(a)(c) | 37,140 | 2,912,890 | ||||||
Cisco Systems, Inc. | 32,976 | 1,595,049 | ||||||
Elevance Health, Inc. | 2,349 | 1,177,436 | ||||||
Expedia Group, Inc.(a)(b)(c) | 9,731 | 1,331,395 | ||||||
Global Payments, Inc. | 11,370 | 1,474,689 | ||||||
Jacobs Solutions, Inc. | 12,179 | 1,786,050 | ||||||
JPMorgan Chase & Co.(a)(b) | 15,338 | 2,853,788 | ||||||
Lennar Corp. - Class A(a)(b) | 7,395 | 1,172,181 | ||||||
Oracle Corp.(a)(b) | 21,177 | 2,365,048 | ||||||
Patterson-UTI Energy, Inc. | 185,986 | 2,151,858 | ||||||
PayPal Holdings, Inc.(c) | 19,134 | 1,154,546 | ||||||
Peabody Energy Corp. | 73,534 | 1,821,437 | ||||||
QUALCOMM, Inc. | 11,731 | 1,851,034 | ||||||
Schlumberger Ltd. | 42,404 | 2,049,385 | ||||||
Textron, Inc. | 22,309 | 1,987,062 | ||||||
Upwork, Inc.(c) | 80,471 | 1,054,170 | ||||||
US Foods Holding Corp.(a)(c) | 37,060 | 1,882,277 | ||||||
Zimmer Biomet Holdings, Inc. | 24,447 | 3,040,230 | ||||||
51,759,692 | ||||||||
TOTAL COMMON STOCKS (Cost $103,508,825) | 121,755,081 | |||||||
PAR | ||||||||
CORPORATE BONDS—0.8% | ||||||||
United Kingdom—0.8% | ||||||||
Andrada Mining Ltd., 12.00%, 07/31/2026 (g) | GBP | 1,100,000 | 1,235,521 | |||||
TOTAL CORPORATE BONDS (Cost $1,438,585) | 1,235,521 | |||||||
CONTRACTS | ||||||||
WARRANTS—0.0%(e) | ||||||||
United Kingdom—0.0%(e) | ||||||||
Andrada Mining Ltd., Expires 07/17/2025, Exercise Price $0.10(c)(f) | 2,200,000 | 2,472 | ||||||
TOTAL WARRANTS (Cost $28,772) | 2,472 |
The accompanying notes are an integral part of the financial statements.
Semi-Annual Report 2024 | 49
BOSTON PARTNERS INVESTMENT FUNDS | February 29, 2024 (unaudited) |
BOSTON PARTNERS GLOBAL LONG/SHORT FUND | Portfolio Of Investments (continued) |
NUMBER OF SHARES | VALUE | |||||||
SHORT-TERM INVESTMENTS—23.3% | ||||||||
BlackRock Liquidity Funds Treasury Trust Fund Portfolio - Class Institutional, 5.22%(a)(g) | 958,315 | $ | 958,315 | |||||
Federated Hermes U.S. Treasury Cash Reserves - Class Institutional, 5.18%(a)(g) | 958,315 | 958,315 | ||||||
Fidelity Treasury Portfolio - Class I, 5.20%(a)(g) | 958,315 | 958,315 | ||||||
Goldman Sachs Financial Square Funds - Treasury Instruments Fund - Class Institutional, 5.17%(a)(g) | 958,315 | 958,315 | ||||||
MSILF Prime Portfolio - Class Institutional, 5.40%(g) | 53,298 | 53,328 | ||||||
Tri-State Deposit, 5.45%(g) | 34,310,856 | 34,310,856 | ||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $38,197,444) | 38,197,444 | |||||||
TOTAL INVESTMENTS—98.4% (Cost $143,173,626) | 161,190,518 | |||||||
Money Market Deposit Account—1.1%(h) | 1,726,569 | |||||||
OTHER ASSETS IN EXCESS OF LIABILITIES—0.5% | 878,465 | |||||||
TOTAL NET ASSETS—100.0% | $ | 163,795,552 |
ADR | American Depositary Receipt |
PLC | Public Limited Company |
SA | Sociedad Anónima |
(a) | Security position is either entirely or partially held in a segregated account as collateral for securities sold short. |
(b) | Held in connection with written option contracts. See Schedule of Options Written for further information. |
(c) | Non-income producing security. |
(d) | To the extent that the Fund invests a significant portion of its assets in the securities of companies of a single country or region, it is more likely to be impacted by events or conditions affecting the country or region. |
(e) | Represents less than 0.05% of net assets. |
(f) | Fair value determined using significant unobservable inputs in accordance with procedures established by and under the supervision of the Adviser, acting as valuation designee. These securities represented $1,237,993 or 0.8% of net assets as of February 29, 2024. |
(g) | The rate shown represents the 7-day effective yield as of February 29, 2024. |
(h) | The U.S. Bank Money Market Deposit Account (the “MMDA”) is a short-term vehicle in which the Fund holds cash balances. The MMDA will bear interest at a variable rate that is determined based on market conditions and is subject to change daily. The rate as of February 29, 2024 was 5.20%. |
Percentages are stated as a percent of net assets. | |
Par amount is in USD unless otherwise indicated. |
The accompanying notes are an integral part of the financial statements.
50 | Semi-Annual Report 2024
BOSTON PARTNERS INVESTMENT FUNDS | February 29, 2024 (unaudited) |
BOSTON PARTNERS GLOBAL LONG/SHORT FUND | Portfolio Of Securities Sold Short |
NUMBER OF SHARES | VALUE | |||||||
COMMON STOCKS—(0.5)% | ||||||||
United States—(0.5)% | ||||||||
Exponent, Inc. | (10,178 | ) | $ | (823,298 | ) | |||
TOTAL COMMON STOCKS (Proceeds $785,783) | (823,298 | ) | ||||||
TOTAL SECURITIES SOLD SHORT—(0.5)% (Proceeds $785,783) | $ | (823,298 | ) |
Percentages are stated as a percent of net assets.
The accompanying notes are an integral part of the financial statements.
Semi-Annual Report 2024 | 51
BOSTON PARTNERS INVESTMENT FUNDS | February 29, 2024 (unaudited) |
BOSTON PARTNERS GLOBAL LONG/SHORT FUND | Portfolio Of Options Written |
NOTIONAL AMOUNT | NUMBER OF CONTRACTS | VALUE | ||||||||||
OPTIONS WRITTEN—(1.7)%(a)(b) | ||||||||||||
Call Options—(1.7)% | ||||||||||||
Advanced Micro Devices, Inc. | ||||||||||||
Expiration: 04/19/2024; Exercise Price: $160.00 | $ | (2,695,420 | ) | (140 | ) | $ | (496,160 | ) | ||||
Expiration: 04/19/2024; Exercise Price: $145.00 | (1,790,529 | ) | (93 | ) | (462,675 | ) | ||||||
Applied Materials, Inc., | ||||||||||||
Expiration: 06/21/2024; Exercise Price: $140.00 | (1,209,720 | ) | (60 | ) | (387,750 | ) | ||||||
Booking Holdings, Inc., | ||||||||||||
Expiration: 06/21/2024; Exercise Price: $3,000.00 | (3,121,947 | ) | (9 | ) | (496,368 | ) | ||||||
Everest Group Ltd., | ||||||||||||
Expiration: 04/19/2024; Exercise Price: $400.00 | (1,364,856 | ) | (37 | ) | (8,973 | ) | ||||||
Expedia Group, Inc., | ||||||||||||
Expiration: 03/15/2024; Exercise Price: $135.00 | (1,012,468 | ) | (74 | ) | (32,190 | ) | ||||||
JPMorgan Chase & Co., | ||||||||||||
Expiration: 04/19/2024; Exercise Price: $155.00 | (2,623,446 | ) | (141 | ) | (442,035 | ) | ||||||
Lennar Corp., | ||||||||||||
Expiration: 06/21/2024; Exercise Price: $115.00 | (919,358 | ) | (58 | ) | (263,320 | ) | ||||||
Oracle Corp., | ||||||||||||
Expiration: 06/21/2024; Exercise Price: $110.00 | (1,530,016 | ) | (137 | ) | (125,081 | ) | ||||||
Total Call Options | (2,714,552 | ) | ||||||||||
TOTAL OPTIONS WRITTEN (Premiums received $1,604,875) | $ | (2,714,552 | ) |
(a) | Exchange-traded. |
(b) | 100 shares per contract. |
Percentages are stated as a percent of net assets. |
The accompanying notes are an integral part of the financial statements.
52 | Semi-Annual Report 2024
BOSTON PARTNERS INVESTMENT FUNDS | February 29, 2024 (unaudited) |
BOSTON PARTNERS GLOBAL LONG/SHORT FUND | Portfolio Of Investments (continued) |
Contracts For Difference held by the Fund at February 29, 2024, are as follows:
REFERENCE ENTITY | COUNTERPARTY | MATURITY DATE | FINANCING RATE | PAYMENT FREQUENCY | NOTIONAL AMOUNT | UPFRONT PAYMENTS (RECEIPTS) | VALUE/ UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||||
Long | |||||||||||||||||||||||
Bermuda | |||||||||||||||||||||||
Hiscox Ltd. | Morgan Stanley | 12/07/2026 | 5.19 | % | Termination | $ | 2,336,466 | $0 | $ | 171,068 | |||||||||||||
France | |||||||||||||||||||||||
Kering | Morgan Stanley | 07/10/2026 | 3.99 | Termination | 481,445 | 0 | (42,365 | ) | |||||||||||||||
Germany | |||||||||||||||||||||||
Commerzbank AG | Morgan Stanley | 07/10/2026 | 3.99 | Termination | 1,632,870 | 0 | 14,895 | ||||||||||||||||
Ireland | |||||||||||||||||||||||
CRH PLC | Goldman Sachs | 12/08/2025 | 5.19 | Termination | 1,485,830 | 0 | 393,299 | ||||||||||||||||
Japan | |||||||||||||||||||||||
Mitsubishi Chemical Group Co. | Morgan Stanley | 12/14/2026 | -0.01 | Termination | 1,333,103 | 0 | (127,942 | ) | |||||||||||||||
Mitsubishi Electric Corp. | Goldman Sachs | 01/25/2027 | -0.01 | Termination | 2,594,043 | 0 | 233,987 | ||||||||||||||||
Resona Holdings, Inc. | Goldman Sachs | 11/09/2026 | -0.01 | Termination | 2,405,219 | 0 | (13,166 | ) | |||||||||||||||
92,879 | |||||||||||||||||||||||
Netherlands | |||||||||||||||||||||||
Aalberts NV | Morgan Stanley | 07/10/2026 | 3.99 | Termination | 918,684 | 0 | 114,316 | ||||||||||||||||
South Korea | |||||||||||||||||||||||
Samsung Electronics Co., Ltd. | Goldman Sachs | 01/19/2027 | 5.33 | Termination | 4,693,664 | 0 | 173,133 | ||||||||||||||||
United Kingdom | |||||||||||||||||||||||
Adriatic Metals PLC | Goldman Sachs | 04/17/2026 | 5.19 | Termination | 668,097 | 0 | (87,706 | ) | |||||||||||||||
Beazley PLC | Goldman Sachs | 06/08/2026 | 5.19 | Termination | 2,682,484 | 0 | 335,487 | ||||||||||||||||
Beazley PLC | Morgan Stanley | 11/10/2026 | 5.19 | Termination | 440,968 | 0 | 51,379 | ||||||||||||||||
BP PLC | Goldman Sachs | 06/22/2026 | 5.19 | Termination | 2,725,696 | 0 | (148,600 | ) | |||||||||||||||
CVS Group PLC | Morgan Stanley | 01/19/2026 | 5.19 | Termination | 450,491 | 0 | (126,334 | ) | |||||||||||||||
SSE PLC | Goldman Sachs | 04/06/2026 | 5.19 | Termination | 900,940 | 0 | (60,059 | ) | |||||||||||||||
WH Smith PLC | Goldman Sachs | 12/08/2025 | 5.19 | Termination | 1,184,373 | 0 | (172,994 | ) | |||||||||||||||
(208,827 | ) | ||||||||||||||||||||||
Total Long | 708,398 | ||||||||||||||||||||||
Short | |||||||||||||||||||||||
Australia | |||||||||||||||||||||||
Atlas Arteria | Goldman Sachs | 10/20/2026 | 4.32 | Termination | (626,346 | ) | 0 | 6,157 | |||||||||||||||
Atlas Arteria | Morgan Stanley | 02/09/2027 | 4.32 | Termination | (74,451 | ) | 0 | 1,222 | |||||||||||||||
Commonwealth Bank of Australia | Morgan Stanley | 06/29/2026 | 4.32 | Termination | (1,360,409 | ) | 0 | (189,291 | ) | ||||||||||||||
Commonwealth Bank of Australia | Goldman Sachs | 12/21/2026 | 4.32 | Termination | (41,314 | ) | 0 | (2,476 | ) | ||||||||||||||
Fortescue Ltd. | Goldman Sachs | 01/15/2027 | 4.32 | Termination | (660,461 | ) | 0 | 29,490 | |||||||||||||||
Fortescue Ltd. | Morgan Stanley | 02/09/2027 | 4.32 | Termination | (78,508 | ) | 0 | 7,543 | |||||||||||||||
IGO Ltd. | Goldman Sachs | 07/21/2026 | 4.32 | Termination | (303,178 | ) | 0 | 225,494 | |||||||||||||||
IGO Ltd. | Morgan Stanley | 10/26/2026 | 4.32 | Termination | (46,046 | ) | 0 | (1,522 | ) | ||||||||||||||
Treasury Wine Estates Ltd. | Morgan Stanley | 10/30/2026 | 4.32 | Termination | (456,444 | ) | 0 | (13,627 | ) | ||||||||||||||
Treasury Wine Estates Ltd. | Goldman Sachs | 12/14/2026 | 4.32 | Termination | (387,255 | ) | 0 | (58,816 | ) | ||||||||||||||
Wesfarmers Ltd. | Goldman Sachs | 07/13/2026 | 4.32 | Termination | (636,919 | ) | 0 | (180,657 | ) | ||||||||||||||
Wesfarmers Ltd. | Morgan Stanley | 10/26/2026 | 4.32 | Termination | (96,768 | ) | 0 | (14,979 | ) | ||||||||||||||
Wisetech Global Ltd. | Goldman Sachs | 08/28/2026 | 4.32 | Termination | (348,698 | ) | 0 | (93,752 | ) | ||||||||||||||
Wisetech Global Ltd. | Morgan Stanley | 02/09/2027 | 4.32 | Termination | (41,515 | ) | 0 | (9,211 | ) | ||||||||||||||
(294,425 | ) | ||||||||||||||||||||||
Belgium | |||||||||||||||||||||||
Melexis NV | Goldman Sachs | 01/08/2027 | 3.91 | Termination | (590,613 | ) | 0 | 35,952 | |||||||||||||||
Bermuda | |||||||||||||||||||||||
Liberty Global Ltd. | Goldman Sachs | 10/19/2026 | 5.33 | Termination | (638,027 | ) | 0 | (13,996 | ) | ||||||||||||||
Finland | |||||||||||||||||||||||
Nokian Renkaat Oyj | Goldman Sachs | 06/29/2026 | 3.91 | Termination | (582,991 | ) | 0 | (18,122 | ) | ||||||||||||||
Nokian Renkaat Oyj | Morgan Stanley | 02/09/2027 | 3.99 | Termination | (69,303 | ) | 0 | 2,374 | |||||||||||||||
Valmet Oyj | Goldman Sachs | 06/29/2026 | 3.91 | Termination | (541,405 | ) | 0 | (1,554 | ) | ||||||||||||||
Valmet Oyj | Morgan Stanley | 02/08/2027 | 3.99 | Termination | (318,626 | ) | 0 | 18,295 | |||||||||||||||
993 |
The accompanying notes are an integral part of the financial statements.
Semi-Annual Report 2024 | 53
BOSTON PARTNERS INVESTMENT FUNDS | February 29, 2024 (unaudited) |
BOSTON PARTNERS GLOBAL LONG/SHORT FUND | Portfolio Of Investments (continued) |
REFERENCE ENTITY | COUNTERPARTY | MATURITY DATE | FINANCING RATE | PAYMENT FREQUENCY | NOTIONAL AMOUNT | UPFRONT PAYMENTS (RECEIPTS) | VALUE/ UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||||
France | |||||||||||||||||||||||
Sartorius Stedim Biotech | Goldman Sachs | 06/29/2026 | 3.91 | Termination | $ | (551,344 | ) | $0 | $ | (58,097 | ) | ||||||||||||
Sartorius Stedim Biotech | Morgan Stanley | 02/09/2027 | 3.99 | Termination | (65,414 | ) | 0 | (663 | ) | ||||||||||||||
Unibail-Rodamco-Westfield | Goldman Sachs | 01/11/2027 | 3.91 | Termination | (411,729 | ) | 0 | (12,889 | ) | ||||||||||||||
Unibail-Rodamco-Westfield | Morgan Stanley | 02/09/2027 | 3.99 | Termination | (48,937 | ) | 0 | (1,506 | ) | ||||||||||||||
(73,155 | ) | ||||||||||||||||||||||
Italy | |||||||||||||||||||||||
Davide Campari-Milano NV | Goldman Sachs | 12/11/2026 | 3.91 | Termination | (505,167 | ) | 0 | 30,178 | |||||||||||||||
Japan | |||||||||||||||||||||||
Aozora Bank Ltd. | Morgan Stanley | 06/29/2026 | -0.01 | Termination | (691,158 | ) | 0 | (97,561 | ) | ||||||||||||||
Aozora Bank Ltd. | Goldman Sachs | 08/25/2026 | -0.01 | Termination | (100,832 | ) | 0 | 1,800 | |||||||||||||||
Fujitsu Ltd. | Goldman Sachs | 01/22/2027 | -0.01 | Termination | (561,539 | ) | 0 | (87,304 | ) | ||||||||||||||
Fujitsu Ltd. | Morgan Stanley | 02/09/2027 | -0.01 | Termination | (62,393 | ) | 0 | 181 | |||||||||||||||
Furukawa Electric Co., Ltd. | Goldman Sachs | 08/10/2026 | -0.01 | Termination | (660,448 | ) | 0 | (139,978 | ) | ||||||||||||||
Furukawa Electric Co., Ltd. | Morgan Stanley | 02/09/2027 | -0.01 | Termination | (79,096 | ) | 0 | (6,092 | ) | ||||||||||||||
Lasertec Corp. | Goldman Sachs | 06/29/2026 | -0.01 | Termination | (772,779 | ) | 0 | (335,142 | ) | ||||||||||||||
Lasertec Corp. | Morgan Stanley | 02/09/2027 | -0.01 | Termination | (79,943 | ) | 0 | (1,304 | ) | ||||||||||||||
Minebea Mitsumi, Inc. | Goldman Sachs | 08/21/2026 | -0.01 | Termination | (860,869 | ) | 0 | (181,472 | ) | ||||||||||||||
Minebea Mitsumi, Inc. | Morgan Stanley | 02/09/2027 | -0.01 | Termination | (103,222 | ) | 0 | (8,416 | ) | ||||||||||||||
Mitsui Chemicals, Inc. | Goldman Sachs | 08/24/2026 | -0.01 | Termination | (564,429 | ) | 0 | (25,513 | ) | ||||||||||||||
Mitsui Chemicals, Inc. | Morgan Stanley | 02/09/2027 | -0.01 | Termination | (66,403 | ) | 0 | 2,589 | |||||||||||||||
Murata Manufacturing Co., Ltd. | Goldman Sachs | 06/29/2026 | -0.01 | Termination | (727,924 | ) | 0 | (81,879 | ) | ||||||||||||||
Murata Manufacturing Co., Ltd. | Morgan Stanley | 02/09/2027 | -0.01 | Termination | (86,706 | ) | 0 | 662 | |||||||||||||||
Nomura Real Estate Master Fund, Inc. | Goldman Sachs | 06/29/2026 | -0.01 | Termination | (769,727 | ) | 0 | 85,978 | |||||||||||||||
Nomura Real Estate Master Fund, Inc. | Morgan Stanley | 02/09/2027 | -0.01 | Termination | (91,374 | ) | 0 | 5,520 | |||||||||||||||
Sharp Corp. | Goldman Sachs | 06/29/2026 | -0.01 | Termination | (343,237 | ) | 0 | 5,478 | |||||||||||||||
Sumitomo Chemical Co., Ltd. | Goldman Sachs | 10/27/2026 | -0.01 | Termination | (341,856 | ) | 0 | 103,730 | |||||||||||||||
Sumitomo Chemical Co., Ltd. | Morgan Stanley | 02/09/2027 | -0.01 | Termination | (40,934 | ) | 0 | (389 | ) | ||||||||||||||
Trend Micro, Inc. | Morgan Stanley | 03/01/2027 | -0.01 | Termination | (678,603 | ) | 0 | (27,691 | ) | ||||||||||||||
Unicharm Corp. | Goldman Sachs | 12/21/2026 | -0.01 | Termination | (633,949 | ) | 0 | (19,639 | ) | ||||||||||||||
Unicharm Corp. | Morgan Stanley | 02/09/2027 | -0.01 | Termination | (76,339 | ) | 0 | 4,885 | |||||||||||||||
(801,557 | ) | ||||||||||||||||||||||
Luxembourg | |||||||||||||||||||||||
B&M European Value Retail SA | Goldman Sachs | 08/03/2026 | 5.19 | Termination | (683,036 | ) | 0 | 36,301 | |||||||||||||||
B&M European Value Retail SA | Morgan Stanley | 02/09/2027 | 5.19 | Termination | (81,193 | ) | 0 | (3,157 | ) | ||||||||||||||
33,144 | |||||||||||||||||||||||
Netherlands | |||||||||||||||||||||||
Koninklijke Philips NV | Goldman Sachs | 10/09/2026 | 3.91 | Termination | (550,837 | ) | 0 | 2,136 | |||||||||||||||
Koninklijke Philips NV | Morgan Stanley | 02/09/2027 | 3.99 | Termination | (65,490 | ) | 0 | 3,193 | |||||||||||||||
5,329 | |||||||||||||||||||||||
New Zealand | |||||||||||||||||||||||
Xero Ltd. | Goldman Sachs | 06/29/2026 | 4.32 | Termination | (361,459 | ) | 0 | (42,388 | ) | ||||||||||||||
Xero Ltd. | Morgan Stanley | 11/30/2026 | 4.32 | Termination | (321,821 | ) | 0 | (63,623 | ) | ||||||||||||||
(106,011 | ) | ||||||||||||||||||||||
South Korea | |||||||||||||||||||||||
SK Bioscience Co., Ltd. | Morgan Stanley | 10/26/2026 | 5.33 | Termination | (549,999 | ) | 0 | (37,309 | ) | ||||||||||||||
Sweden | |||||||||||||||||||||||
Avanza Bank Holding AB | Goldman Sachs | 06/29/2026 | 3.99 | Termination | (589,682 | ) | 0 | (73,469 | ) | ||||||||||||||
Boliden AB | Goldman Sachs | 11/02/2026 | 3.99 | Termination | (727,622 | ) | 0 | 67,258 | |||||||||||||||
Boliden AB | Morgan Stanley | 02/09/2027 | 4.01 | Termination | (86,502 | ) | 0 | 3,004 | |||||||||||||||
Fastighets AB Balder, Class B | Goldman Sachs | 06/29/2026 | 3.99 | Termination | (842,374 | ) | 0 | (272,440 | ) | ||||||||||||||
Husqvarna AB | Goldman Sachs | 01/11/2027 | 3.99 | Termination | (566,602 | ) | 0 | (3,571 | ) | ||||||||||||||
Husqvarna AB | Morgan Stanley | 02/09/2027 | 4.01 | Termination | (67,354 | ) | 0 | 1,103 | |||||||||||||||
Mips AB | Goldman Sachs | 07/21/2026 | 3.99 | Termination | (459,565 | ) | 0 | 196,038 | |||||||||||||||
Mips AB | Morgan Stanley | 02/09/2027 | 4.01 | Termination | (54,642 | ) | 0 | 251 | |||||||||||||||
Sagax AB, Class B | Goldman Sachs | 06/29/2026 | 3.99 | Termination | (809,845 | ) | 0 | (103,825 | ) | ||||||||||||||
Sagax AB, Class B | Morgan Stanley | 02/09/2027 | 4.01 | Termination | (96,269 | ) | 0 | 2,115 | |||||||||||||||
(183,536 | ) |
The accompanying notes are an integral part of the financial statements.
54 | Semi-Annual Report 2024
BOSTON PARTNERS INVESTMENT FUNDS | February 29, 2024 (unaudited) |
BOSTON PARTNERS GLOBAL LONG/SHORT FUND | Portfolio Of Investments (continued) |
REFERENCE ENTITY | COUNTERPARTY | MATURITY DATE | FINANCING RATE | PAYMENT FREQUENCY | NOTIONAL AMOUNT | UPFRONT PAYMENTS (RECEIPTS) | VALUE/ UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||||
Switzerland | |||||||||||||||||||||||
Adecco Group AG | Morgan Stanley | 01/29/2027 | 1.69 | Termination | $ | (928,307 | ) | $0 | $ | 40,226 | |||||||||||||
Belimo Holding AG | Morgan Stanley | 10/20/2026 | 1.69 | Termination | (901,498 | ) | 0 | (49,350 | ) | ||||||||||||||
Belimo Holding AG | Goldman Sachs | 12/21/2026 | 1.69 | Termination | (27,045 | ) | 0 | 2,926 | |||||||||||||||
Chocoladefabriken Lindt | Morgan Stanley | 02/22/2027 | 1.69 | Termination | (720,529 | ) | 0 | 36,410 | |||||||||||||||
Comet Holding AG | Morgan Stanley | 06/26/2026 | 1.69 | Termination | (299,073 | ) | 0 | (76,205 | ) | ||||||||||||||
Comet Holding AG | Goldman Sachs | 10/23/2026 | 1.69 | Termination | (277,837 | ) | 0 | (107,603 | ) | ||||||||||||||
Kardex Holding AG | Morgan Stanley | 06/26/2026 | 1.69 | Termination | (670,973 | ) | 0 | (121,504 | ) | ||||||||||||||
Kardex Holding AG | Goldman Sachs | 12/21/2026 | 1.69 | Termination | (20,461 | ) | 0 | (1,337 | ) | ||||||||||||||
Sika AG | Goldman Sachs | 10/19/2026 | 1.69 | Termination | (487,107 | ) | 0 | (49,061 | ) | ||||||||||||||
Sika AG | Morgan Stanley | 10/20/2026 | 1.69 | Termination | (362,008 | ) | 0 | (45,495 | ) | ||||||||||||||
(370,993 | ) | ||||||||||||||||||||||
Taiwan | |||||||||||||||||||||||
Acer, Inc. | Goldman Sachs | 01/11/2027 | 5.33 | Termination | (441,366 | ) | 0 | 46,689 | |||||||||||||||
Advantech Co., Ltd. | Goldman Sachs | 12/08/2025 | 5.33 | Termination | (265,133 | ) | 0 | (124,613 | ) | ||||||||||||||
Advantech Co., Ltd. | HSBC | 12/22/2025 | 0.00 | Termination | (13,560 | ) | 0 | (2,994 | ) | ||||||||||||||
Advantech Co., Ltd. | Morgan Stanley | 01/19/2026 | 5.33 | Termination | (273,893 | ) | 0 | (26,583 | ) | ||||||||||||||
Advantech Co., Ltd. | Goldman Sachs | 12/31/2030 | 5.33 | Termination | (148,057 | ) | 0 | (18,559 | ) | ||||||||||||||
Nan Ya Plastics Corp. | Goldman Sachs | 12/08/2025 | 5.33 | Termination | (54,772 | ) | 0 | 4,030 | |||||||||||||||
Nan Ya Plastics Corp. | Morgan Stanley | 01/19/2026 | 5.33 | Termination | (84,990 | ) | 0 | 20,778 | |||||||||||||||
Unimicron Technology Corp. | Goldman Sachs | 11/02/2026 | 5.33 | Termination | (732,549 | ) | 0 | (134,122 | ) | ||||||||||||||
(235,374 | ) | ||||||||||||||||||||||
United Kingdom | |||||||||||||||||||||||
abrdn PLC | Goldman Sachs | 02/23/2026 | 5.19 | Termination | (587,945 | ) | 0 | 95,532 | |||||||||||||||
abrdn PLC | Morgan Stanley | 02/09/2027 | 5.19 | Termination | (69,888 | ) | 0 | 2,292 | |||||||||||||||
AJ Bell PLC | Goldman Sachs | 11/13/2026 | 5.19 | Termination | (857,263 | ) | 0 | (91,471 | ) | ||||||||||||||
AJ Bell PLC | Morgan Stanley | 02/09/2027 | 5.19 | Termination | (101,897 | ) | 0 | 4,342 | |||||||||||||||
Antofagasta PLC | Goldman Sachs | 01/19/2027 | 5.19 | Termination | (821,706 | ) | 0 | (104,169 | ) | ||||||||||||||
Antofagasta PLC | Morgan Stanley | 02/08/2027 | 5.19 | Termination | (597,834 | ) | 0 | (28,689 | ) | ||||||||||||||
Howden Joinery Group PLC | Morgan Stanley | 02/22/2027 | 5.19 | Termination | (756,389 | ) | 0 | (25,070 | ) | ||||||||||||||
Ocado Group PLC | Goldman Sachs | 01/11/2027 | 5.19 | Termination | (286,609 | ) | 0 | 114,327 | |||||||||||||||
Ocado Group PLC | Morgan Stanley | 02/09/2027 | 5.19 | Termination | (34,072 | ) | 0 | 944 | |||||||||||||||
Segro PLC | Goldman Sachs | 03/24/2026 | 5.19 | Termination | (857,982 | ) | 0 | (131,438 | ) | ||||||||||||||
Segro PLC | Morgan Stanley | 02/09/2027 | 5.19 | Termination | (108,679 | ) | 0 | 1,993 | |||||||||||||||
Segro PLC | Goldman Sachs | 12/31/2030 | 5.19 | Termination | (56,314 | ) | 0 | (3,721 | ) | ||||||||||||||
Severn Trent PLC | Goldman Sachs | 08/17/2026 | 5.19 | Termination | (764,801 | ) | 0 | (41,880 | ) | ||||||||||||||
Severn Trent PLC | Morgan Stanley | 02/09/2027 | 5.19 | Termination | (90,918 | ) | 0 | 1,346 | |||||||||||||||
Soho House & Co., Inc. | Morgan Stanley | 02/09/2027 | 5.33 | Termination | (490,818 | ) | 0 | (76,022 | ) | ||||||||||||||
Spectris PLC | Goldman Sachs | 01/25/2027 | 5.19 | Termination | (865,101 | ) | 0 | 5,974 | |||||||||||||||
Spectris PLC | Morgan Stanley | 02/09/2027 | 5.19 | Termination | (73,887 | ) | 0 | 2,727 | |||||||||||||||
(272,983 | ) | ||||||||||||||||||||||
United States | |||||||||||||||||||||||
Acushnet Holdings Corp. | Goldman Sachs | 06/29/2026 | 5.33 | Termination | (634,537 | ) | 0 | (105,912 | ) | ||||||||||||||
Adient PLC | HSBC | 01/25/2027 | 5.31 | Termination | (449,196 | ) | 0 | 8,206 | |||||||||||||||
Adient PLC | Goldman Sachs | 02/08/2027 | 5.33 | Termination | (53,422 | ) | 0 | 2,894 | |||||||||||||||
Ameresco, Inc., Class A | Goldman Sachs | 06/29/2026 | 5.33 | Termination | (155,670 | ) | 0 | 154,447 | |||||||||||||||
Antero Resources Corp. | Morgan Stanley | 02/09/2027 | 5.33 | Termination | (539,237 | ) | 0 | (90,455 | ) | ||||||||||||||
Avangrid, Inc. | HSBC | 01/25/2027 | 5.31 | Termination | (220,681 | ) | 0 | (1,205 | ) | ||||||||||||||
Avangrid, Inc. | Goldman Sachs | 02/08/2027 | 5.33 | Termination | (26,274 | ) | 0 | (610 | ) | ||||||||||||||
Bank of Hawaii Corp. | Goldman Sachs | 07/21/2026 | 5.33 | Termination | (949,651 | ) | 0 | (8,254 | ) | ||||||||||||||
Bank of Hawaii Corp. | Morgan Stanley | 02/08/2027 | 5.33 | Termination | (357,521 | ) | 0 | 2,469 | |||||||||||||||
Blackline, Inc. | Goldman Sachs | 06/29/2026 | 5.33 | Termination | (350,308 | ) | 0 | (13,846 | ) | ||||||||||||||
Block, Inc., Class A | Morgan Stanley | 02/22/2027 | 5.33 | Termination | (287,681 | ) | 0 | (46,163 | ) | ||||||||||||||
Cassava Sciences, Inc. | Morgan Stanley | 06/29/2026 | 5.33 | Termination | (428,692 | ) | 0 | 3,154 | |||||||||||||||
Cassava Sciences, Inc. | Goldman Sachs | 10/26/2026 | 5.33 | Termination | (11,283 | ) | 0 | (4,413 | ) | ||||||||||||||
Ceridian HCM Holding, Inc. | Goldman Sachs | 06/29/2026 | 5.33 | Termination | (909,391 | ) | 0 | (52,905 | ) | ||||||||||||||
Cincinnati Financial Corp. | HSBC | 08/28/2026 | 5.31 | Termination | (416,214 | ) | 0 | (36,437 | ) | ||||||||||||||
Cincinnati Financial Corp. | Goldman Sachs | 10/26/2026 | 5.33 | Termination | (94,506 | ) | 0 | (5,310 | ) | ||||||||||||||
Credit Acceptance Corp. | HSBC | 10/13/2026 | 5.31 | Termination | (1,264,976 | ) | 0 | (268,396 | ) | ||||||||||||||
Credit Acceptance Corp. | Goldman Sachs | 10/26/2026 | 5.33 | Termination | (242,477 | ) | 0 | (14,879 | ) |
The accompanying notes are an integral part of the financial statements.
Semi-Annual Report 2024 | 55
BOSTON PARTNERS INVESTMENT FUNDS | February 29, 2024 (unaudited) |
BOSTON PARTNERS GLOBAL LONG/SHORT FUND | Portfolio Of Investments (continued) |
REFERENCE ENTITY | COUNTERPARTY | MATURITY DATE | FINANCING RATE | PAYMENT FREQUENCY | NOTIONAL AMOUNT | UPFRONT PAYMENTS (RECEIPTS) | VALUE/ UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||||
United States—(continued) | |||||||||||||||||||||||
CVR Energy, Inc. | Goldman Sachs | 10/12/2026 | 5.33 | Termination | $ | (478,721 | ) | $0 | $ | (30,167 | ) | ||||||||||||
Dick’s Sporting Goods, Inc. | Goldman Sachs | 09/07/2026 | 5.33 | Termination | (688,079 | ) | 0 | (231,453 | ) | ||||||||||||||
Digital Realty Trust, Inc. | HSBC | 10/13/2026 | 5.31 | Termination | (633,045 | ) | 0 | (96,546 | ) | ||||||||||||||
Digital Realty Trust, Inc. | Goldman Sachs | 10/26/2026 | 5.33 | Termination | (121,559 | ) | 0 | (7,716 | ) | ||||||||||||||
Doximity, Inc., Class A | Goldman Sachs | 06/29/2026 | 5.33 | Termination | (493,178 | ) | 0 | (28,980 | ) | ||||||||||||||
Entegris, Inc. | Goldman Sachs | 06/29/2026 | 5.33 | Termination | (856,679 | ) | 0 | (185,305 | ) | ||||||||||||||
Five Below, Inc. | HSBC | 09/07/2026 | 5.31 | Termination | (357,411 | ) | 0 | (51,150 | ) | ||||||||||||||
Five Below, Inc. | Goldman Sachs | 10/26/2026 | 5.33 | Termination | (68,833 | ) | 0 | (6,660 | ) | ||||||||||||||
Floor & Décor Holdings, Inc. | Goldman Sachs | 01/18/2027 | 5.33 | Termination | (716,909 | ) | 0 | (106,711 | ) | ||||||||||||||
Glacier Bancorp, Inc. | Goldman Sachs | 06/29/2026 | 5.33 | Termination | (1,141,834 | ) | 0 | (56,426 | ) | ||||||||||||||
Greif, Inc., Class A | Goldman Sachs | 06/29/2026 | 5.33 | Termination | (864,086 | ) | 0 | 28,720 | |||||||||||||||
Howard Hughes Holdings, Inc. | Goldman Sachs | 08/17/2026 | 5.33 | Termination | (1,196,730 | ) | 0 | (18,854 | ) | ||||||||||||||
LGI Homes, Inc. | Goldman Sachs | 06/29/2026 | 5.33 | Termination | (891,043 | ) | 0 | 29,021 | |||||||||||||||
LGI Homes, Inc. | Morgan Stanley | 02/08/2027 | 5.33 | Termination | (307,244 | ) | 0 | 6,750 | |||||||||||||||
Lions Gate Entertainment | Morgan Stanley | 10/12/2026 | 5.33 | Termination | (352,541 | ) | 0 | (68,635 | ) | ||||||||||||||
Lions Gate Entertainment | Goldman Sachs | 02/08/2027 | 5.33 | Termination | (41,908 | ) | 0 | 3,858 | |||||||||||||||
Lowe’s Cos., Inc. | HSBC | 08/28/2026 | 5.31 | Termination | (537,175 | ) | 0 | (39,506 | ) | ||||||||||||||
Lowe’s Cos., Inc. | Goldman Sachs | 10/26/2026 | 5.33 | Termination | (103,247 | ) | 0 | (11,313 | ) | ||||||||||||||
Marriott Vacations Worldwide Corp. | HSBC | 01/25/2027 | 5.31 | Termination | (6,803 | ) | 0 | (602 | ) | ||||||||||||||
Marriott Vacations Worldwide Corp. | Goldman Sachs | 02/08/2027 | 5.33 | Termination | (349,835 | ) | 0 | (39,128 | ) | ||||||||||||||
Matador Resources Co. | Goldman Sachs | 06/29/2026 | 5.33 | Termination | (962,153 | ) | 0 | (107,755 | ) | ||||||||||||||
National Beverage Corp. | Goldman Sachs | 06/29/2026 | 5.33 | Termination | (602,412 | ) | 0 | (41,945 | ) | ||||||||||||||
Novanta, Inc. | Morgan Stanley | 08/10/2026 | 5.33 | Termination | (596,816 | ) | 0 | (72,312 | ) | ||||||||||||||
Novanta, Inc. | Goldman Sachs | 08/24/2026 | 5.33 | Termination | (197,152 | ) | 0 | (21,136 | ) | ||||||||||||||
Occidental Petroleum Corp. | Goldman Sachs | 12/14/2026 | 5.33 | Termination | (768,111 | ) | 0 | (44,708 | ) | ||||||||||||||
On Semiconductor Corp. | Goldman Sachs | 01/11/2027 | 5.33 | Termination | (1,122,558 | ) | 0 | (46,818 | ) | ||||||||||||||
Paramount Global, Class B | Goldman Sachs | 06/29/2026 | 5.33 | Termination | (398,820 | ) | 0 | 103,780 | |||||||||||||||
Portillo’s, Inc., Class A | Morgan Stanley | 06/29/2026 | 5.33 | Termination | (170,480 | ) | 0 | 63,401 | |||||||||||||||
Portillo’s, Inc., Class A | Goldman Sachs | 10/26/2026 | 5.33 | Termination | (32,809 | ) | 0 | (747 | ) | ||||||||||||||
RH | Goldman Sachs | 12/14/2026 | 5.33 | Termination | (811,675 | ) | 0 | (70,804 | ) | ||||||||||||||
Rumble, Inc. | Morgan Stanley | 06/29/2026 | 5.33 | Termination | (144,195 | ) | 0 | 34,435 | |||||||||||||||
Rumble, Inc. | Goldman Sachs | 08/31/2026 | 5.33 | Termination | (118,128 | ) | 0 | 14,123 | |||||||||||||||
Selective Insurance Group | Goldman Sachs | 06/29/2026 | 5.33 | Termination | (451,772 | ) | 0 | (30,901 | ) | ||||||||||||||
Siteone Landscape Supply, Inc. | Goldman Sachs | 11/03/2026 | 5.33 | Termination | (811,737 | ) | 0 | (187,654 | ) | ||||||||||||||
Summit Materials, Inc. | HSBC | 01/25/2027 | 5.31 | Termination | (707,619 | ) | 0 | (114,319 | ) | ||||||||||||||
Summit Materials, Inc. | Goldman Sachs | 02/08/2027 | 5.33 | Termination | (84,139 | ) | 0 | (12,683 | ) | ||||||||||||||
Synaptics, Inc. | Goldman Sachs | 10/30/2026 | 5.33 | Termination | (502,902 | ) | 0 | (89,601 | ) | ||||||||||||||
T Rowe Price Group, Inc. | HSBC | 10/13/2026 | 5.31 | Termination | (865,314 | ) | 0 | (70,233 | ) | ||||||||||||||
T Rowe Price Group, Inc. | Goldman Sachs | 10/26/2026 | 5.33 | Termination | (166,398 | ) | 0 | (10,501 | ) | ||||||||||||||
Tesla, Inc. | HSBC | 08/28/2026 | 5.31 | Termination | (981,944 | ) | 0 | 136,970 | |||||||||||||||
Tesla, Inc. | Goldman Sachs | 10/26/2026 | 5.33 | Termination | (563,649 | ) | 0 | (7,834 | ) | ||||||||||||||
Texas Capital Bancshares, Inc. | Goldman Sachs | 06/29/2026 | 5.33 | Termination | (896,113 | ) | 0 | (101,272 | ) | ||||||||||||||
Treehouse Foods, Inc. | Goldman Sachs | 11/23/2026 | 5.33 | Termination | (782,656 | ) | 0 | 83,903 | |||||||||||||||
Trupanion, Inc. | Goldman Sachs | 06/29/2026 | 5.33 | Termination | (226,011 | ) | 0 | (26,218 | ) | ||||||||||||||
Trupanion, Inc. | Morgan Stanley | 02/08/2027 | 5.33 | Termination | (26,884 | ) | 0 | 1,817 | |||||||||||||||
(2,007,430 | ) | ||||||||||||||||||||||
Total Short | (4,291,173 | ) | |||||||||||||||||||||
Net unrealized gain/(loss) on Contracts For Difference | $ | (3,582,775 | ) |
The accompanying notes are an integral part of the financial statements.
56 | Semi-Annual Report 2024
BOSTON PARTNERS INVESTMENT FUNDS | February 29, 2024 (unaudited) |
BOSTON PARTNERS GLOBAL LONG/SHORT FUND | Portfolio Of Investments (concluded) |
A summary of the inputs used to value the Fund’s investments carried at fair value as of February 29, 2024 is as follows (see Notes to Portfolio of Investments):
TOTAL | LEVEL 1 | LEVEL 2 | LEVEL 3 | |||||||||||||
Assets: | ||||||||||||||||
Common Stocks: | ||||||||||||||||
Bermuda | $ | 4,096,517 | $ | 4,096,517 | $ | — | $ | — | ||||||||
Canada | 15,431,676 | 15,431,676 | — | — | ||||||||||||
China | 1,545,894 | 1,545,894 | — | — | ||||||||||||
France | 6,237,791 | — | 6,237,791 | — | ||||||||||||
Germany | 2,543,403 | — | 2,543,403 | — | ||||||||||||
Greece | 792,236 | 792,236 | — | — | ||||||||||||
Ireland | 3,613,927 | 3,613,927 | — | — | ||||||||||||
Israel | 2,107,438 | 2,107,438 | — | — | ||||||||||||
Italy | 1,188,610 | — | 1,188,610 | — | ||||||||||||
Japan | 14,448,251 | — | 14,448,251 | — | ||||||||||||
Luxembourg | 1,061,702 | 1,061,702 | — | — | ||||||||||||
Monaco | 925,253 | 925,253 | — | — | ||||||||||||
Netherlands | 837,096 | — | 837,096 | — | ||||||||||||
South Korea | 6,936,354 | 1,302,431 | 5,633,923 | — | ||||||||||||
United Kingdom | 8,229,241 | 2,212,344 | 6,016,897 | — | ||||||||||||
United States | 51,759,692 | 51,759,692 | — | — | ||||||||||||
Common Stocks - Total | $ | 121,755,081 | $ | 84,849,110 | $ | 36,905,971 | $ | — | ||||||||
Corporate Bonds | 1,235,521 | — | — | 1,235,521 | ||||||||||||
Warrants | 2,472 | — | — | 2,472 | ||||||||||||
Short-Term Investments | 38,197,444 | 3,886,588 | 34,310,856 | — | ||||||||||||
Total Assets | $ | 161,190,518 | $ | 88,735,698 | $ | 71,216,827 | $ | 1,237,993 | ||||||||
Liabilities: | ||||||||||||||||
Common Stocks | $ | (823,298 | ) | $ | (823,298 | ) | $ | — | $ | — | ||||||
Options Written | (2,714,552 | ) | (2,317,829 | ) | (396,723 | ) | — | |||||||||
Total Liabilities | $ | (3,537,850 | ) | $ | (3,141,127 | ) | $ | (396,723 | ) | $ | — | |||||
Other Financial Instruments*: | ||||||||||||||||
Assets | ||||||||||||||||
Contracts For Difference | $ | 3,424,975 | $ | 3,424,975 | $ | — | $ | — | ||||||||
Total Assets | $ | 3,424,975 | $ | 3,424,975 | $ | — | $ | — | ||||||||
Liabilities | ||||||||||||||||
Contracts For Difference | $ | (7,007,750 | ) | $ | (7,007,750 | ) | $ | — | $ | — | ||||||
Total Liabilities | $ | (7,007,750 | ) | $ | (7,007,750 | ) | $ | — | $ | — |
* | The fair value of the Fund’s investment represents the net unrealized appreciation (depreciation) as of February 29, 2024. |
Refer to the Portfolio of Investments for industry classifications.
The accompanying notes are an integral part of the financial statements.
Semi-Annual Report 2024 | 57
BOSTON PARTNERS INVESTMENT FUNDS | February 29, 2024 (unaudited) |
BOSTON PARTNERS EMERGING MARKETS DYNAMIC EQUITY FUND | Portfolio Of Investments |
NUMBER OF SHARES | VALUE | |||||||
COMMON STOCKS—70.8% | ||||||||
Brazil—6.7% | ||||||||
Cia Siderurgica Nacional SA | 97,700 | $ | 331,753 | |||||
Cielo SA | 728,800 | 779,951 | ||||||
Eletromidia SA(a) | 151,278 | 492,990 | ||||||
Marfrig Global Foods SA(a) | 268,600 | 528,436 | ||||||
Minerva SA | 391,500 | 537,111 | ||||||
Sendas Distribuidora SA | 41,300 | 118,140 | ||||||
TIM SA | 52,800 | 192,460 | ||||||
Vibra Energia SA | 209,300 | 1,079,951 | ||||||
4,060,792 | ||||||||
China—36.0%(b) | ||||||||
Anhui Conch Cement Co., Ltd. - Class H | 103,500 | 225,214 | ||||||
Beijing New Building Materials PLC - Class A(c) | 233,000 | 908,828 | ||||||
Beijing Roborock Technology Co., Ltd. - Class A(c) | 24,481 | 1,109,239 | ||||||
BOE Technology Group Co., Ltd. - Class A(c) | 3,800,180 | 2,106,120 | ||||||
COSCO SHIPPING Holdings Co., Ltd. - Class A(c) | 550,600 | 803,712 | ||||||
GoerTek, Inc. - Class A(c) | 127,900 | 296,074 | ||||||
Gree Electric Appliances, Inc. of Zhuhai - Class A(c) | 232,800 | 1,262,147 | ||||||
Guangdong Tapai Group Co., Ltd. - Class A(c) | 305,000 | 308,349 | ||||||
Guizhou Tyre Co., Ltd. - Class A(c) | 644,400 | 517,617 | ||||||
Hang Zhou Great Star Industrial Co., Ltd. - Class A(c) | 257,500 | 777,016 | ||||||
Henan Shuanghui Investment & Development Co., Ltd. - Class A(c) | 189,900 | 770,146 | ||||||
Huaxin Cement Co., Ltd. - Class A(c) | 194,500 | 366,461 | ||||||
Hubei Xingfa Chemicals Group Co., Ltd. - Class A(c) | 245,500 | 628,141 | ||||||
Kuaishou Technology(a) | 98,000 | 553,397 | ||||||
LB Group Co., Ltd. - Class A(c) | 210,200 | 547,940 | ||||||
Midea Group Co., Ltd. - Class A(c) | 240,600 | 2,089,920 | ||||||
Satellite Chemical Co., Ltd. - Class A(a)(c) | 357,700 | 822,677 | ||||||
Shandong Pharmaceutical Glass Co., Ltd. - Class A(c) | 121,200 | 443,230 | ||||||
Shandong Sun Paper Industry JSC Ltd. - Class A(c) | 549,200 | 1,085,652 | ||||||
Suofeiya Home Collection Co., Ltd. - Class A(c) | 335,100 | 762,600 | ||||||
Triangle Tyre Co., Ltd. - Class A | 223,200 | 502,591 | ||||||
Wangsu Science & Technology Co. Ltd. - Class A(c) | 498,700 | 710,400 | ||||||
Weichai Power Co., Ltd. - Class H | 395,000 | 777,503 | ||||||
Weichai Power Co., Ltd. - Class A(c) | 983,700 | 2,309,060 | ||||||
Wingtech Technology Co., Ltd. - Class A(a)(c) | 129,300 | 685,006 | ||||||
Xiamen Xiangyu Co., Ltd. - Class A(c) | 330,900 | 314,230 | ||||||
Xinfengming Group Co., Ltd. - Class A(a)(c) | 216,800 | 413,028 | ||||||
22,096,298 |
NUMBER OF SHARES | VALUE | |||||||
Cyprus—0.0%(d) | ||||||||
Fix Price Group PLC - GDR(e) | 21,704 | $ | 0 | |||||
Hong Kong—1.0% | ||||||||
Lee & Man Paper Manufacturing Ltd. | 560,000 | 159,673 | ||||||
Orient Overseas International Ltd. | 28,000 | 433,590 | ||||||
593,263 | ||||||||
Hungary—0.1% | ||||||||
Richter Gedeon Nyrt | 2,410 | 64,160 | ||||||
India—3.6% | ||||||||
Bajaj Auto Ltd. | 14,728 | 1,403,712 | ||||||
Power Grid Corp. of India Ltd. | 158,132 | 540,254 | ||||||
Zydus Lifesciences Ltd. | 19,425 | 220,497 | ||||||
2,164,463 | ||||||||
Malaysia—1.2% | ||||||||
Hartalega Holdings Bhd(a) | 620,400 | 328,325 | ||||||
Petronas Chemicals Group Bhd | 310,700 | 458,587 | ||||||
786,912 | ||||||||
Mexico—0.4% | ||||||||
Grupo Financiero Banorte SAB de CV | 24,900 | 257,557 | ||||||
Singapore—0.1% | ||||||||
United Overseas Bank Ltd. | 4,400 | 91,558 | ||||||
South Africa—1.3% | ||||||||
Life Healthcare Group Holdings Ltd. | 94,465 | 86,437 | ||||||
Sappi Ltd. | 288,474 | 694,413 | ||||||
Thungela Resources Ltd. | 13,654 | 74,748 | ||||||
855,598 | ||||||||
South Korea—10.1% | ||||||||
Amorepacific Corp. | 4,099 | 368,571 | ||||||
Classys, Inc. | 8,327 | 201,372 | ||||||
Hana Financial Group, Inc. | 10,958 | 466,240 | ||||||
Hankook Tire & Technology Co., Ltd. | 34,759 | 1,416,093 | ||||||
Hanwha Chemical Corp. | 12,040 | 251,410 | ||||||
HK inno N Corp.(a) | 15,156 | 435,982 | ||||||
Kumho Petrochemical Co., Ltd.(a) | 9,597 | 1,065,814 | ||||||
SK Hynix, Inc. | 13,102 | 1,544,522 | ||||||
SK Square Co., Ltd.(a) | 9,145 | 479,863 | ||||||
6,229,867 | ||||||||
Taiwan—8.7% | ||||||||
Evergreen Marine Corp. Taiwan Ltd. | 291,000 | 1,524,466 | ||||||
Formosa Chemicals & Fibre Corp. | 77,000 | 139,456 | ||||||
Genius Electronic Optical Co., Ltd. | 46,000 | 617,077 | ||||||
Hiwin Technologies Corp. | 23,000 | 174,765 | ||||||
Largan Precision Co., Ltd., Class C | 6,000 | 492,417 | ||||||
Taiwan Semiconductor Manufacturing Co., Ltd. | 39,000 | 854,666 | ||||||
Walsin Technology Corp. | 194,000 | 689,083 | ||||||
Yang Ming Marine Transport Corp. | 552,000 | 870,883 | ||||||
5,362,813 |
The accompanying notes are an integral part of the financial statements.
58 | Semi-Annual Report 2024
BOSTON PARTNERS INVESTMENT FUNDS | February 29, 2024 (unaudited) |
BOSTON PARTNERS EMERGING MARKETS DYNAMIC EQUITY FUND | Portfolio Of Investments (continued) |
NUMBER OF SHARES | VALUE | |||||||
Thailand—1.6% | ||||||||
Bumrungrad Hospital PCL(e) | 15,300 | $ | 95,558 | |||||
Indorama Ventures PCL(e) | 1,107,900 | 719,757 | ||||||
SCG Packaging PCL(e) | 194,600 | 151,925 | ||||||
967,240 | ||||||||
TOTAL COMMON STOCKS (Cost $38,241,216) | 43,530,521 | |||||||
PREFERRED STOCKS—2.1% | ||||||||
Brazil—0.8% | ||||||||
Braskem SA | 42,400 | 178,604 | ||||||
Usinas Siderurgicas de Minas Gerais S/A Usiminas | 129,500 | 286,556 | ||||||
465,160 | ||||||||
South Korea—1.3% | ||||||||
Samsung Electronics Co. Ltd. | 17,491 | 837,585 | ||||||
TOTAL PREFERRED STOCKS (Cost $708,397) | 1,302,745 | |||||||
SHORT-TERM INVESTMENTS—21.7% | ||||||||
BlackRock Liquidity Funds Treasury Trust Fund Portfolio - Class Institutional, 5.22%(c)(f) | 2,306,521 | 2,306,521 | ||||||
Federated Hermes U.S. Treasury Cash Reserves - Class Institutional, 5.18%(c)(f) | 2,306,521 | 2,306,521 | ||||||
Fidelity Treasury Portfolio - Class I, 5.20%(c)(f) | 2,306,521 | 2,306,521 | ||||||
Goldman Sachs Financial Square Funds - Treasury Instruments Fund - Class Institutional, 5.17%(c)(f) | 2,306,521 | 2,306,521 | ||||||
Tri-State Deposit, 5.45%(f) | 4,050,296 | 4,050,296 | ||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $13,276,380) | 13,276,380 | |||||||
TOTAL INVESTMENTS—94.6% (Cost $52,225,993) | 58,109,646 | |||||||
Money Market Deposit Account—0.2%(g) | 138,200 | |||||||
OTHER ASSETS IN EXCESS OF LIABILITIES—5.2% | 3,181,295 | |||||||
TOTAL NET ASSETS—100.0% | $ | 61,429,141 |
GDR | Global Depositary Receipt |
PLC | Public Limited Company |
SA | Sociedad Anónima |
SAB de CV | Sociedad Anónima Bursátil de Capital Variable |
(a) | Non-income producing security. |
(b) | To the extent that the Fund invests a significant portion of its assets in the securities of companies of a single country or region, it is more likely to be impacted by events or conditions affecting the country or region. |
(c) | Security position is either entirely or partially held in a segregated account as collateral for securities sold short. |
(d) | Represents less than 0.05% of net assets. |
(e) | Fair value determined using significant unobservable inputs in accordance with procedures established by and under the supervision of the Adviser, acting as valuation designee. These securities represented $967,240 or 1.6% of net assets as of February 29, 2024. |
(f) | The rate shown represents the 7-day effective yield as of February 29, 2024. |
(g) | The U.S. Bank Money Market Deposit Account (the “MMDA”) is a short-term vehicle in which the Fund holds cash balances. The MMDA will bear interest at a variable rate that is determined based on market conditions and is subject to change daily. The rate as of February 29, 2024 was 5.20%.
Percentages are stated as a percent of net assets. |
The accompanying notes are an integral part of the financial statements.
Semi-Annual Report 2024 | 59
BOSTON PARTNERS INVESTMENT FUNDS | February 29, 2024 (unaudited) |
BOSTON PARTNERS EMERGING MARKETS DYNAMIC EQUITY FUND | Portfolio Of Securities Sold Short |
NUMBER OF SHARES | VALUE | |||||||
COMMON STOCKS—(0.3)% | ||||||||
South Korea—(0.3)% | ||||||||
Hyundai Motor Co. - GDR | (3,189 | ) | $ | (183,973 | ) | |||
TOTAL COMMON STOCKS (Proceeds $181,696) | (183,973 | ) | ||||||
TOTAL SECURITIES SOLD SHORT—(0.3)% (Proceeds $181,696) |
$ | (183,973 | ) |
Percentages are stated as a percent of net assets.
The accompanying notes are an integral part of the financial statements.
60 | Semi-Annual Report 2024
BOSTON PARTNERS INVESTMENT FUNDS | February 29, 2024 (unaudited) |
BOSTON PARTNERS EMERGING MARKETS DYNAMIC EQUITY FUND | Portfolio Of Investments (continued) |
Contracts For Difference held by the Fund at February 29, 2024, are as follows:
REFERENCE ENTITY | COUNTERPARTY | MATURITY DATE | FINANCING RATE | PAYMENT FREQUENCY | NOTIONAL AMOUNT | UPFRONT PAYMENTS (RECEIPTS) | VALUE/ UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||||||||
Long | ||||||||||||||||||||||
Brazil | ||||||||||||||||||||||
Banco do Brasil SA | Morgan Stanley | 12/08/2025 | 5.33 | % | Termination | $ | 117,780 | $ | 0 | $ | 16,472 | |||||||||||
Braskem SA | Goldman Sachs | 02/08/2027 | 5.33 | Termination | 179,013 | 0 | 27,101 | |||||||||||||||
Gerdau SA | Morgan Stanley | 09/28/2026 | 5.33 | Termination | 264,427 | 0 | (37,781 | ) | ||||||||||||||
Sendas Distribuidora SA | Goldman Sachs | 12/08/2025 | 5.33 | Termination | 115,280 | 0 | (39,648 | ) | ||||||||||||||
TIM SA | Goldman Sachs | 08/24/2026 | 5.33 | Termination | 231,920 | 0 | 44,630 | |||||||||||||||
Vale SA | Goldman Sachs | 09/28/2026 | 5.33 | Termination | 756,820 | 0 | (13,105 | ) | ||||||||||||||
(2,331 | ) | |||||||||||||||||||||
Cayman Islands | ||||||||||||||||||||||
StoneCo Ltd., Class A | Goldman Sachs | 08/28/2026 | 5.33 | Termination | 1,385,285 | 0 | 463,005 | |||||||||||||||
China | ||||||||||||||||||||||
Alibaba Group Holding Ltd. | Goldman Sachs | 12/08/2025 | 4.53 | Termination | 146,182 | 0 | (39,842 | ) | ||||||||||||||
Chervon Holdings Ltd. | Goldman Sachs | 01/19/2027 | 4.56 | Termination | 205,021 | 0 | (90,890 | ) | ||||||||||||||
Daqo New Energy Corp. | Morgan Stanley | 12/07/2026 | 5.33 | Termination | 978,391 | 0 | (112,764 | ) | ||||||||||||||
Greentown China Holdings | Goldman Sachs | 12/14/2026 | 4.57 | Termination | 395,661 | 0 | (76,980 | ) | ||||||||||||||
Hello Group, Inc. | Morgan Stanley | 11/02/2026 | 5.33 | Termination | 222,261 | 0 | (23,723 | ) | ||||||||||||||
JD.com, Inc. | Goldman Sachs | 12/08/2025 | 4.53 | Termination | 11,988 | 0 | (18,224 | ) | ||||||||||||||
JD.com, Inc. | Goldman Sachs | 12/08/2025 | 5.33 | Termination | 133,639 | 0 | (53,930 | ) | ||||||||||||||
Longfor Group Holdings Ltd. | Goldman Sachs | 12/14/2026 | 4.54 | Termination | 292,759 | 0 | (69,987 | ) | ||||||||||||||
Netease Inc. | Goldman Sachs | 12/07/2026 | 5.33 | Termination | 376,533 | 0 | 20,806 | |||||||||||||||
Sunny Optical Technology | Goldman Sachs | 12/08/2026 | 4.52 | Termination | 242,013 | 0 | (76,936 | ) | ||||||||||||||
Vipshop Holdings Ltd. | Goldman Sachs | 06/26/2026 | 5.33 | Termination | 600,773 | 0 | 13,054 | |||||||||||||||
(529,416 | ) | |||||||||||||||||||||
Greece | ||||||||||||||||||||||
Star Bulk Carriers Corp. | Goldman Sachs | 12/11/2026 | 5.33 | Termination | 556,171 | 0 | 91,144 | |||||||||||||||
Hong Kong | ||||||||||||||||||||||
China Resources Land Ltd. | Goldman Sachs | 12/14/2026 | 4.54 | Termination | 332,435 | 0 | (23,133 | ) | ||||||||||||||
Futu Holdings Ltd. | Morgan Stanley | 10/30/2026 | 5.33 | Termination | 617,674 | 0 | (39,358 | ) | ||||||||||||||
Orient Overseas International Ltd. | Goldman Sachs | 12/08/2026 | 4.52 | Termination | 373,051 | 0 | 86,797 | |||||||||||||||
Techtronic Industries Co., Ltd. | Goldman Sachs | 01/19/2027 | 4.56 | Termination | 1,201,514 | 0 | 5,862 | |||||||||||||||
Yuexiu Property Co., Ltd. | Goldman Sachs | 12/14/2026 | 4.54 | Termination | 580,480 | 0 | (78,043 | ) | ||||||||||||||
(47,875 | ) | |||||||||||||||||||||
Israel | ||||||||||||||||||||||
Monday.com Ltd. | Goldman Sachs | 03/17/2026 | 5.33 | Termination | 375,995 | 0 | 110,417 | |||||||||||||||
Teva Pharmaceuticals Industries Ltd. | Morgan Stanley | 10/19/2026 | 5.33 | Termination | 532,864 | 0 | 161,169 | |||||||||||||||
271,586 | ||||||||||||||||||||||
Mexico | ||||||||||||||||||||||
Alpek SAB de CV | Morgan Stanley | 11/23/2026 | 5.33 | Termination | 260,022 | 0 | (60,252 | ) | ||||||||||||||
Coca-Cola Femsa SAB de CV | Goldman Sachs | 02/09/2026 | 5.33 | Termination | 212,831 | 0 | 49,919 | |||||||||||||||
(10,333 | ) | |||||||||||||||||||||
Portugal | ||||||||||||||||||||||
Jeronimo Martins SGPS SA | Goldman Sachs | 12/08/2025 | 3.91 | Termination | 203,977 | 0 | (26,500 | ) | ||||||||||||||
Russia | ||||||||||||||||||||||
Detsky Mir PJSC | Goldman Sachs | 09/18/2025 | 5.33 | Monthly | 177,855 | 0 | (16,396 | ) | ||||||||||||||
Headhunter Group PLC | Morgan Stanley | 09/23/2026 | 5.33 | Monthly | 0 | 0 | (116,107 | ) | ||||||||||||||
Sberbank PJSC | Goldman Sachs | 09/16/2025 | 5.33 | Monthly | 0 | 0 | (1,057 | ) | ||||||||||||||
(133,560 | ) | |||||||||||||||||||||
Singapore | ||||||||||||||||||||||
DBS Group Holdings Ltd. | Goldman Sachs | 12/08/2025 | 3.78 | Termination | 105,300 | 0 | (1,547 | ) | ||||||||||||||
South Africa | ||||||||||||||||||||||
Aspen Pharmacare Holdings Ltd. | Morgan Stanley | 12/09/2025 | 8.22 | Termination | 70,477 | 0 | 662 | |||||||||||||||
Thungela Resources Ltd. | Goldman Sachs | 08/24/2026 | 5.19 | Termination | 203,312 | 0 | (137,093 | ) | ||||||||||||||
(136,431 | ) |
The accompanying notes are an integral part of the financial statements.
Semi-Annual Report 2024 | 61
BOSTON PARTNERS INVESTMENT FUNDS | February 29, 2024 (unaudited) |
BOSTON PARTNERS EMERGING MARKETS DYNAMIC EQUITY FUND | Portfolio Of Investments (continued) |
REFERENCE ENTITY | COUNTERPARTY | MATURITY DATE | FINANCING RATE | PAYMENT FREQUENCY | NOTIONAL AMOUNT | UPFRONT PAYMENTS (RECEIPTS) | VALUE/ UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||||||||
South Korea | ||||||||||||||||||||||
Samsung Electronics Co., Ltd. | Goldman Sachs | 03/30/2026 | 5.33 | Termination | $ | 1,642,880 | $ | 0 | $ | 173,157 | ||||||||||||
SK Hynix, Inc. | Goldman Sachs | 12/08/2025 | 5.33 | Termination | 633,668 | 0 | 284,236 | |||||||||||||||
457,393 | ||||||||||||||||||||||
Taiwan | ||||||||||||||||||||||
Hiwin Technologies Corp. | Goldman Sachs | 07/13/2026 | 5.33 | Termination | 561,856 | 0 | 55,043 | |||||||||||||||
Taiwan Semiconductor Manufacturing Company Ltd. | Morgan Stanley | 10/27/2026 | 5.33 | Termination | 797,239 | 0 | 253,881 | |||||||||||||||
308,924 | ||||||||||||||||||||||
United Kingdom | ||||||||||||||||||||||
Hikma Pharmaceuticals PLC | Morgan Stanley | 12/07/2026 | 5.19 | Termination | 167,178 | 0 | 18,910 | |||||||||||||||
United States | ||||||||||||||||||||||
Mosaic Co. | Goldman Sachs | 11/10/2026 | 5.33 | Termination | 716,929 | 0 | (47,064 | ) | ||||||||||||||
Uruguay | ||||||||||||||||||||||
Arcos Dorados Holdings, Inc. | Goldman Sachs | 03/17/2026 | 5.33 | Termination | 198,525 | 0 | 53,070 | |||||||||||||||
Total Long | 728,975 | |||||||||||||||||||||
Short | ||||||||||||||||||||||
Australia | ||||||||||||||||||||||
IGO Ltd. | Goldman Sachs | 04/17/2026 | 4.32 | Termination | (246,970 | ) | 0 | 148,091 | ||||||||||||||
Brazil | ||||||||||||||||||||||
B3 SA - Brasil Bolsa Balcao | Bank of America | 12/08/2025 | 5.33 | Termination | (110,463 | ) | 0 | (10,848 | ) | |||||||||||||
B3 SA - Brasil Bolsa Balcao | Morgan Stanley | 12/14/2026 | 5.33 | Termination | (113,560 | ) | 0 | 10,143 | ||||||||||||||
Banco Bradesco SA | Goldman Sachs | 12/14/2026 | 5.33 | Termination | (259,594 | ) | 0 | 46,538 | ||||||||||||||
Banco Santander Brasil | JPMorgan | 07/24/2026 | 1.06 | Termination | (291,243 | ) | 0 | 21,543 | ||||||||||||||
Localiza Rent a Car SA | JPMorgan | 05/18/2026 | 5.04 | Termination | (539,642 | ) | 0 | 81,328 | ||||||||||||||
Localiza Rent a Car SA | JPMorgan | 11/29/2030 | 5.04 | Termination | (1,935 | ) | 0 | (1,935 | ) | |||||||||||||
Santos Brasil Participacoes | Goldman Sachs | 12/14/2026 | 5.33 | Termination | (365,412 | ) | 0 | (54,877 | ) | |||||||||||||
SLC Agricola SA | Goldman Sachs | 02/09/2027 | 5.33 | Termination | (303,888 | ) | 0 | (835 | ) | |||||||||||||
Vamos Locacao de Caminhoes Maquinas E Equipamentos SA | Bank of America | 08/25/2026 | 5.33 | Termination | (219,080 | ) | 0 | 95,279 | ||||||||||||||
Vamos Locacao de Caminhoes Maquinas E Equipamentos SA | JPMorgan | 10/19/2026 | 4.45 | Termination | (420,457 | ) | 0 | (6,343 | ) | |||||||||||||
WEG SA | JPMorgan | 05/25/2026 | 5.17 | Termination | (469,655 | ) | 0 | 16,706 | ||||||||||||||
WEG SA | Goldman Sachs | 11/09/2026 | 5.33 | Termination | (132,486 | ) | 0 | (10,510 | ) | |||||||||||||
186,189 | ||||||||||||||||||||||
Canada | ||||||||||||||||||||||
Canadian Solar, Inc. | Goldman Sachs | 11/10/2026 | 5.33 | Termination | (368,927 | ) | 0 | (472 | ) | |||||||||||||
Chile | ||||||||||||||||||||||
Sociedad Quimica y Minera de Chile SA | Goldman Sachs | 03/31/2026 | 5.33 | Termination | (347,742 | ) | 0 | 213,296 | ||||||||||||||
Sociedad Quimica y Minera de Chile SA | Morgan Stanley | 11/09/2026 | 5.33 | Termination | (118,731 | ) | 0 | 1,318 | ||||||||||||||
214,614 | ||||||||||||||||||||||
China | ||||||||||||||||||||||
China Coal Energy Co. | Goldman Sachs | 07/28/2026 | 4.77 | Termination | (206,137 | ) | 0 | (66,858 | ) | |||||||||||||
China Resources Microelectronics Ltd. | JPMorgan | 12/22/2025 | -5.43 | Termination | (108,202 | ) | 0 | 21,915 | ||||||||||||||
China Resources Microelectronics Ltd. | JPMorgan | 12/29/2025 | -5.43 | Termination | (42,295 | ) | 0 | 13,332 | ||||||||||||||
China Resources Microelectronics Ltd. | HSBC | 07/21/2026 | 5.31 | Termination | (25,228 | ) | 0 | 6,789 | ||||||||||||||
China Shenhua Energy Co. | Goldman Sachs | 07/28/2026 | 4.77 | Termination | (197,043 | ) | 0 | (44,774 | ) | |||||||||||||
Ganfeng Lithium Group Co., Ltd. | HSBC | 04/20/2026 | 4.58 | Termination | (457,603 | ) | 0 | 254,148 | ||||||||||||||
Ginlong Technologies Co., Ltd. | JPMorgan | 11/13/2026 | -6.09 | Termination | (261,670 | ) | 0 | 12,483 | ||||||||||||||
Ginlong Technologies Co., Ltd. | Bank of America | 11/16/2026 | 5.33 | Termination | (96,881 | ) | 0 | 4,284 | ||||||||||||||
Guanghui Energy Co., Ltd. | Goldman Sachs | 09/11/2026 | 5.33 | Termination | (111,727 | ) | 0 | (6,197 | ) | |||||||||||||
Guanghui Energy Co., Ltd. | Bank of America | 09/14/2026 | 5.33 | Termination | (284,158 | ) | 0 | (15,839 | ) |
The accompanying notes are an integral part of the financial statements.
62 | Semi-Annual Report 2024
BOSTON PARTNERS INVESTMENT FUNDS | February 29, 2024 (unaudited) |
BOSTON PARTNERS EMERGING MARKETS DYNAMIC EQUITY FUND | Portfolio Of Investments (continued) |
REFERENCE ENTITY | COUNTERPARTY | MATURITY DATE | FINANCING RATE | PAYMENT FREQUENCY | NOTIONAL AMOUNT | UPFRONT PAYMENTS (RECEIPTS) | VALUE/ UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||||||||
China—(continued) | ||||||||||||||||||||||
Henan Shenhuo Coal & Power Co., Ltd. | Goldman Sachs | 09/11/2026 | 5.33 | Termination | $ | (412,337 | ) | $ | 0 | $ | (42,271 | ) | ||||||||||
Hoymiles Power Electronics, Inc. | Goldman Sachs | 11/16/2026 | 5.33 | Termination | (101,341 | ) | 0 | 1,239 | ||||||||||||||
JinkoSolar Holding Co., Ltd. | Morgan Stanley | 11/09/2026 | 5.33 | Termination | (241,684 | ) | 0 | 63,373 | ||||||||||||||
Jiumaojiu International Holdings Ltd. | Goldman Sachs | 10/19/2026 | 4.77 | Termination | (19,455 | ) | 0 | 17,091 | ||||||||||||||
Jiumaojiu International Holdings Ltd. | JPMorgan | 11/10/2026 | 4.27 | Termination | (147,299 | ) | 0 | 95,330 | ||||||||||||||
Pingdingshan Tianan Coal Mining Co., Ltd. | Morgan Stanley | 07/31/2026 | 5.33 | Termination | (93,743 | ) | 0 | (40,119 | ) | |||||||||||||
Pingdingshan Tianan Coal Mining Co., Ltd. | Goldman Sachs | 10/16/2026 | 5.33 | Termination | (89,919 | ) | 0 | (26,577 | ) | |||||||||||||
Shaanxi Coal Industry Co., Ltd. | Morgan Stanley | 07/31/2026 | 5.33 | Termination | (499,985 | ) | 0 | (163,871 | ) | |||||||||||||
Shanxi Coking Coal Energy | Goldman Sachs | 09/11/2026 | 5.33 | Termination | (363,108 | ) | 0 | (69,191 | ) | |||||||||||||
Shanxi Coking Coal Energy | Morgan Stanley | 09/14/2026 | 5.33 | Termination | (95,069 | ) | 0 | (18,107 | ) | |||||||||||||
Shenzhen Inovance Technology Co., Ltd. | JPMorgan | 11/10/2026 | 0.26 | Termination | (457,824 | ) | 0 | (3,146 | ) | |||||||||||||
TCL Zhonghuan Renewable Energy Technology Co., Ltd. | Goldman Sachs | 11/10/2026 | 5.33 | Termination | (271,406 | ) | 0 | 92,137 | ||||||||||||||
Tianqi Lithium Corp. | Morgan Stanley | 04/24/2026 | 3.73 | Termination | (205,109 | ) | 0 | 88,201 | ||||||||||||||
Unigroup Guoxin Microelectronics Co., Ltd. | JPMorgan | 11/16/2026 | -5.69 | Termination | (401,081 | ) | 0 | 28,731 | ||||||||||||||
Yankuang Energy Group Co., Ltd. | HSBC | 04/13/2026 | 4.58 | Termination | (351,001 | ) | 0 | (135,242 | ) | |||||||||||||
Yankuang Energy Group Co., Ltd. | Goldman Sachs | 10/16/2026 | 5.33 | Termination | (232,779 | ) | 0 | (54,666 | ) | |||||||||||||
Zhejiang Juhua Co., Ltd. | JPMorgan | 12/04/2026 | -5.58 | Termination | (237,773 | ) | 0 | (52,907 | ) | |||||||||||||
(40,712 | ) | |||||||||||||||||||||
Hong Kong | ||||||||||||||||||||||
Budweiser Brewing Co., APAC Ltd. | Goldman Sachs | 02/22/2027 | 4.77 | Termination | (448,120 | ) | 0 | 20,925 | ||||||||||||||
India | ||||||||||||||||||||||
Axis Bank Ltd. | Morgan Stanley | 02/16/2027 | 5.33 | Termination | (305,918 | ) | 0 | 4,701 | ||||||||||||||
Dr. Reddy’s Laboratories | Goldman Sachs | 10/19/2026 | 5.33 | Termination | (397,874 | ) | 0 | (43,659 | ) | |||||||||||||
Infosys Ltd. | Goldman Sachs | 07/14/2026 | 5.33 | Termination | (524,649 | ) | 0 | (96,768 | ) | |||||||||||||
Wipro Ltd. | Goldman Sachs | 07/14/2026 | 5.33 | Termination | (539,397 | ) | 0 | (124,256 | ) | |||||||||||||
(259,982 | ) | |||||||||||||||||||||
Indonesia | ||||||||||||||||||||||
AKR Corporindo Tbk PT | Bank of America | 02/22/2027 | 5.33 | Termination | (36,488 | ) | 0 | (1,733 | ) | |||||||||||||
Kalbe Farma Tbk PT | JPMorgan | 09/21/2026 | 3.41 | Termination | (422,718 | ) | 0 | 69,826 | ||||||||||||||
Mitra Adiperkasa Tbk PT | Morgan Stanley | 02/23/2027 | 5.33 | Termination | (14,111 | ) | 0 | 124 | ||||||||||||||
Sumber Alfaria Trijaya Tbk PT | JPMorgan | 02/22/2027 | 4.81 | Termination | (451,952 | ) | 0 | 2,137 | ||||||||||||||
Unilever Indonesia Tbk PT | Bank of America | 08/31/2026 | 5.33 | Termination | (439,267 | ) | 0 | 35,727 | ||||||||||||||
106,081 | ||||||||||||||||||||||
Ireland | ||||||||||||||||||||||
Arcadium Lithium PLC | Goldman Sachs | 12/31/2030 | 4.32 | Termination | (269,738 | ) | 0 | 124,142 | ||||||||||||||
Israel | ||||||||||||||||||||||
Camtek Ltd. | Morgan Stanley | 02/16/2026 | 5.33 | Termination | (753,160 | ) | 0 | (353,016 | ) | |||||||||||||
Nova Ltd. | Morgan Stanley | 02/16/2026 | 5.33 | Termination | (225,658 | ) | 0 | (108,371 | ) | |||||||||||||
Nova Ltd. | Goldman Sachs | 10/19/2026 | 5.33 | Termination | (628,930 | ) | 0 | (270,745 | ) | |||||||||||||
(732,132 | ) | |||||||||||||||||||||
Japan | ||||||||||||||||||||||
Ibiden Co., Ltd. | Goldman Sachs | 02/23/2026 | -0.01 | Termination | (285,394 | ) | 0 | (94,441 | ) | |||||||||||||
Lasertec Corp. | Goldman Sachs | 12/08/2025 | -0.01 | Termination | (426,361 | ) | 0 | (138,581 | ) | |||||||||||||
Lasertec Corp. | HSBC | 08/07/2026 | -0.01 | Termination | (186,533 | ) | 0 | (87,163 | ) | |||||||||||||
Tokyo Electron Ltd. | Goldman Sachs | 05/11/2026 | -0.01 | Termination | (319,711 | ) | 0 | (183,963 | ) | |||||||||||||
(504,148 | ) | |||||||||||||||||||||
Mexico | ||||||||||||||||||||||
Becle SAB de CV | Goldman Sachs | 09/08/2026 | 5.33 | Termination | (268,671 | ) | 0 | 37,194 | ||||||||||||||
Becle SAB de CV | Morgan Stanley | 11/09/2026 | 5.33 | Termination | (440,387 | ) | 0 | (76,858 | ) | |||||||||||||
GCC SAB de CV | Morgan Stanley | 02/09/2027 | 5.33 | Termination | (162,354 | ) | 0 | 18,933 |
The accompanying notes are an integral part of the financial statements.
Semi-Annual Report 2024 | 63
BOSTON PARTNERS INVESTMENT FUNDS | February 29, 2024 (unaudited) |
BOSTON PARTNERS EMERGING MARKETS DYNAMIC EQUITY FUND | Portfolio Of Investments (continued) |
REFERENCE ENTITY | COUNTERPARTY | MATURITY DATE | FINANCING RATE | PAYMENT FREQUENCY | NOTIONAL AMOUNT | UPFRONT PAYMENTS (RECEIPTS) | VALUE/ UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||||||||
Mexico—(continued) | ||||||||||||||||||||||
Gentera SAB de CV | Goldman Sachs | 12/15/2026 | 5.33 | Termination | $ | (402,242 | ) | $ | 0 | $ | (90,007 | ) | ||||||||||
Grupo Aeroportuario Del Pacifico SAB de CV | Morgan Stanley | 12/14/2026 | 5.33 | Termination | (312,363 | ) | 0 | (6,272 | ) | |||||||||||||
Grupo Bimbo SAB de CV | Bank of America | 02/08/2027 | 5.33 | Termination | (269,856 | ) | 0 | 38,652 | ||||||||||||||
Grupo Bimbo SAB de CV | Morgan Stanley | 02/15/2027 | 5.33 | Termination | (136,392 | ) | 0 | 11,319 | ||||||||||||||
Wal-Mart de Mexico SAB de CV | Morgan Stanley | 02/16/2027 | 5.33 | Termination | (294,780 | ) | 0 | 8,783 | ||||||||||||||
(58,256 | ) | |||||||||||||||||||||
Philippines | ||||||||||||||||||||||
International Container Terminal Services, Inc. | HSBC | 12/14/2026 | 5.31 | Termination | (380,072 | ) | 0 | (79,311 | ) | |||||||||||||
Russia | ||||||||||||||||||||||
Ozon Holdings PLC | Goldman Sachs | 09/16/2025 | 5.33 | Monthly | 0 | 0 | 314,151 | |||||||||||||||
VK Co., Ltd. | Morgan Stanley | 09/23/2026 | 5.33 | Monthly | 0 | 0 | 140,169 | |||||||||||||||
454,320 | ||||||||||||||||||||||
Saudi Arabia | ||||||||||||||||||||||
Al Rajhi Bank | Goldman Sachs | 07/27/2026 | 5.33 | Termination | (311,024 | ) | 0 | (67,585 | ) | |||||||||||||
Leejam Sports Co. | HSBC | 02/22/2027 | 5.31 | Termination | (222,447 | ) | 0 | (2,974 | ) | |||||||||||||
Leejam Sports Co. | Morgan Stanley | 03/01/2027 | 5.33 | Termination | (78,687 | ) | 0 | 102 | ||||||||||||||
Lumi Rental Company | Morgan Stanley | 11/13/2026 | 5.33 | Termination | (549,452 | ) | 0 | (95,497 | ) | |||||||||||||
United International Transportation Company | Goldman Sachs | 11/09/2026 | 5.33 | Termination | (400,342 | ) | 0 | (85,456 | ) | |||||||||||||
United International Transportation Company | Morgan Stanley | 12/17/2026 | 5.33 | Termination | (154,355 | ) | 0 | (27,509 | ) | |||||||||||||
(278,919 | ) | |||||||||||||||||||||
Singapore | ||||||||||||||||||||||
Hafnia Ltd. | Morgan Stanley | 02/15/2027 | 4.58 | Termination | (242,191 | ) | 0 | (3,784 | ) | |||||||||||||
South Korea | ||||||||||||||||||||||
Amorepacific Corp. | Goldman Sachs | 12/08/2025 | 5.33 | Termination | (368,159 | ) | 0 | 14,427 | ||||||||||||||
Caregen Co., Ltd. | JPMorgan | 11/09/2026 | -2.94 | Termination | (157,543 | ) | 0 | 28,752 | ||||||||||||||
Chunbo Co., Ltd. | Morgan Stanley | 12/08/2025 | 5.33 | Termination | (123,691 | ) | 0 | 200,615 | ||||||||||||||
Chunbo Co., Ltd. | Goldman Sachs | 12/12/2025 | 5.33 | Termination | (44,553 | ) | 0 | 73,161 | ||||||||||||||
Chunbo Co., Ltd. | JPMorgan | 08/07/2026 | -2.94 | Termination | (29,634 | ) | 0 | 30,658 | ||||||||||||||
EcoPro BM Co., Ltd. | Goldman Sachs | 05/04/2026 | 5.33 | Termination | (338,028 | ) | 0 | (31,917 | ) | |||||||||||||
EcoPro BM Co., Ltd. | JPMorgan | 10/19/2026 | 0.81 | Termination | (165,112 | ) | 0 | (12,546 | ) | |||||||||||||
EcoPro Co., Ltd. | Goldman Sachs | 11/09/2026 | 5.33 | Termination | (116,490 | ) | 0 | 7,703 | ||||||||||||||
Hansol Chemical Co., Ltd. | Morgan Stanley | 12/08/2025 | 5.33 | Termination | (209,358 | ) | 0 | 44,465 | ||||||||||||||
Hansol Chemical Co., Ltd. | Goldman Sachs | 12/12/2025 | 5.33 | Termination | (123,031 | ) | 0 | 23,238 | ||||||||||||||
Hansol Chemical Co., Ltd. | JPMorgan | 08/07/2026 | 4.31 | Termination | (54,354 | ) | 0 | 9,951 | ||||||||||||||
Hanwha Solutions Corporation | Morgan Stanley | 10/20/2026 | 5.33 | Termination | (87,589 | ) | 0 | 10,663 | ||||||||||||||
Hanwha Solutions Corporation | Goldman Sachs | 11/09/2026 | 5.33 | Termination | (163,320 | ) | 0 | 19,904 | ||||||||||||||
Hyundai Motor Co. | Morgan Stanley | 12/08/2025 | 5.33 | Termination | (197,902 | ) | 0 | (66,691 | ) | |||||||||||||
Hyundai Motor Co. | Goldman Sachs | 04/14/2026 | 5.33 | Termination | (1,693 | ) | 0 | (373 | ) | |||||||||||||
Kakao Games Corp. | Goldman Sachs | 10/19/2026 | 5.33 | Termination | (278,843 | ) | 0 | 10,852 | ||||||||||||||
Kia Corp. | Morgan Stanley | 12/08/2025 | 5.33 | Termination | (152,586 | ) | 0 | (72,032 | ) | |||||||||||||
Kum Yang Co., Ltd. | Goldman Sachs | 11/09/2026 | 5.33 | Termination | (128,850 | ) | 0 | (4,535 | ) | |||||||||||||
LG Energy Solution Ltd. | Goldman Sachs | 10/19/2026 | 5.33 | Termination | (372,373 | ) | 0 | 40,913 | ||||||||||||||
LG H&H Co., Ltd. | Goldman Sachs | 12/08/2025 | 5.33 | Termination | (178,713 | ) | 0 | 156,698 | ||||||||||||||
Posco Future M Co., Ltd. | Goldman Sachs | 10/19/2026 | 5.33 | Termination | (136,884 | ) | 0 | 4,921 | ||||||||||||||
Posco Future M Co., Ltd. | Bank of America | 11/09/2026 | 5.33 | Termination | (218,539 | ) | 0 | (34,959 | ) | |||||||||||||
SK Biopharmaceuticals Co., Ltd. | Goldman Sachs | 12/08/2025 | 5.33 | Termination | (77,136 | ) | 0 | (17,602 | ) | |||||||||||||
SK Bioscience Co., Ltd. | Goldman Sachs | 02/13/2026 | 5.33 | Termination | (107,344 | ) | 0 | 30,483 | ||||||||||||||
466,749 | ||||||||||||||||||||||
Taiwan | ||||||||||||||||||||||
Acer, Inc. | JPMorgan | 11/16/2026 | 2.06 | Termination | (281,389 | ) | 0 | (79,343 | ) | |||||||||||||
Advantech Co., Ltd. | Goldman Sachs | 10/13/2026 | 5.33 | Termination | (555,213 | ) | 0 | (76,584 | ) | |||||||||||||
Advantech Co., Ltd. | Morgan Stanley | 11/09/2026 | 5.33 | Termination | (111,043 | ) | 0 | (14,792 | ) | |||||||||||||
Aerospace Industrial Development Corp. | JPMorgan | 02/22/2027 | -2.19 | Termination | (453,941 | ) | 0 | (1,534 | ) | |||||||||||||
Bora Pharmaceutical Co., Ltd. | Morgan Stanley | 12/11/2026 | 5.33 | Termination | (338,632 | ) | 0 | (22,870 | ) |
The accompanying notes are an integral part of the financial statements.
64 | Semi-Annual Report 2024
BOSTON PARTNERS INVESTMENT FUNDS | February 29, 2024 (unaudited) |
BOSTON PARTNERS EMERGING MARKETS DYNAMIC EQUITY FUND | Portfolio Of Investments (continued) |
REFERENCE ENTITY | COUNTERPARTY | MATURITY DATE | FINANCING RATE | PAYMENT FREQUENCY | NOTIONAL AMOUNT | UPFRONT PAYMENTS (RECEIPTS) | VALUE/ UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||||||||
Taiwan—(continued) | ||||||||||||||||||||||
Compal Electronics, Inc. | JPMorgan | 11/13/2026 | 3.56 | Termination | $ | (457,268 | ) | $ | 0 | $ | (96,020 | ) | ||||||||||
E Ink Holdings, Inc. | Goldman Sachs | 10/05/2026 | 5.33 | Termination | (801,594 | ) | 0 | (225,718 | ) | |||||||||||||
Elan Microelectronics Corp. | Goldman Sachs | 02/22/2027 | 5.33 | Termination | (498,901 | ) | 0 | (40,680 | ) | |||||||||||||
Elite Material Co., Ltd. | JPMorgan | 11/13/2026 | 0.31 | Termination | (532,435 | ) | 0 | (104,989 | ) | |||||||||||||
Elite Material Co., Ltd. | Goldman Sachs | 02/22/2027 | 5.33 | Termination | (62,639 | ) | 0 | 5,397 | ||||||||||||||
Faraday Technology Corp. | Goldman Sachs | 12/08/2025 | 5.33 | Termination | (636,644 | ) | 0 | (332,649 | ) | |||||||||||||
Global Unichip Corp. | Goldman Sachs | 11/13/2026 | 5.33 | Termination | (301,808 | ) | 0 | (1,606 | ) | |||||||||||||
Global Unichip Corp. | Bank of America | 02/22/2027 | 5.33 | Termination | (301,808 | ) | 0 | (15,639 | ) | |||||||||||||
Great Tree Pharmacy Co., Ltd. | Goldman Sachs | 10/19/2026 | 5.33 | Termination | (261,377 | ) | 0 | 27,850 | ||||||||||||||
Great Tree Pharmacy Co., Ltd. | JPMorgan | 11/10/2026 | 1.56 | Termination | (212,974 | ) | 0 | 23,106 | ||||||||||||||
Lotus Pharmaceutical Co., Ltd. | Bank of America | 11/09/2026 | 5.33 | Termination | (283,918 | ) | 0 | (40,817 | ) | |||||||||||||
Lotus Pharmaceutical Co., Ltd. | JPMorgan | 11/10/2026 | 0.06 | Termination | (329,711 | ) | 0 | (59,028 | ) | |||||||||||||
Makalot Industrial Co., Ltd. | Goldman Sachs | 02/22/2027 | 5.33 | Termination | (458,359 | ) | 0 | (8,203 | ) | |||||||||||||
Novatek Microelectronics Corp. | Goldman Sachs | 11/13/2026 | 5.33 | Termination | (323,226 | ) | 0 | (71,561 | ) | |||||||||||||
Nuvoton Technology Corp. | Morgan Stanley | 12/08/2025 | 5.33 | Termination | (142,837 | ) | 0 | (3,473 | ) | |||||||||||||
Nuvoton Technology Corp. | Goldman Sachs | 02/22/2027 | 5.33 | Termination | (363,214 | ) | 0 | (406 | ) | |||||||||||||
Parade Technologies Ltd. | Goldman Sachs | 11/13/2026 | 5.33 | Termination | (64,221 | ) | 0 | 2,398 | ||||||||||||||
Realtek Semiconductor Corp. | Goldman Sachs | 11/13/2026 | 5.33 | Termination | (648,033 | ) | 0 | (191,502 | ) | |||||||||||||
Taiwan Semiconductor Manufacturing Company Ltd. | Bank of America | 02/22/2027 | 5.33 | Termination | (435,312 | ) | 0 | 16,025 | ||||||||||||||
Unimicron Technology Corp. | Goldman Sachs | 12/08/2025 | 5.33 | Termination | (198,754 | ) | 0 | (7,936 | ) | |||||||||||||
United Microelectronics Corp. | Morgan Stanley | 11/10/2026 | 5.33 | Termination | (474,862 | ) | 0 | (14,761 | ) | |||||||||||||
United Microelectronics Corp. | Goldman Sachs | 01/29/2027 | 5.33 | Termination | (164,705 | ) | 0 | 13,796 | ||||||||||||||
Wafer Works Corp. | JPMorgan | 11/10/2026 | 1.31 | Termination | (107,025 | ) | 0 | 4,460 | ||||||||||||||
Yulon Motor Co., Ltd | Morgan Stanley | 12/14/2026 | 5.33 | Termination | (333,264 | ) | 0 | 33,310 | ||||||||||||||
Yulon Motor Co., Ltd | Goldman Sachs | 02/01/2027 | 5.33 | Termination | (176,697 | ) | 0 | (994 | ) | |||||||||||||
Yulon Motor Co., Ltd | Bank of America | 02/22/2027 | 5.33 | Termination | (91,703 | ) | 0 | (625 | ) | |||||||||||||
(1,285,388 | ) | |||||||||||||||||||||
Thailand | ||||||||||||||||||||||
Central Plaza Hotel PCL | Morgan Stanley | 09/14/2026 | 5.33 | Termination | (449,603 | ) | 0 | 25,705 | ||||||||||||||
Central Retail Corp., PCL | HSBC | 02/22/2027 | 5.31 | Termination | (400,645 | ) | 0 | (9,945 | ) | |||||||||||||
Com7 PCL | Morgan Stanley | 12/08/2025 | 5.33 | Termination | (260,590 | ) | 0 | 153,769 | ||||||||||||||
Com7 PCL | Goldman Sachs | 09/11/2026 | 5.33 | Termination | (18,181 | ) | 0 | 10,527 | ||||||||||||||
Delta Electronics | Morgan Stanley | 02/19/2027 | 5.33 | Termination | (271,769 | ) | 0 | 26,842 | ||||||||||||||
Muangthai Capital PCL | Morgan Stanley | 12/08/2025 | 5.33 | Termination | (162,386 | ) | 0 | (12,446 | ) | |||||||||||||
Muangthai Capital PCL | JPMorgan | 08/07/2026 | -9.69 | Termination | (28,957 | ) | 0 | (6,059 | ) | |||||||||||||
Muangthai Capital PCL | Goldman Sachs | 08/24/2026 | 5.33 | Termination | (61,230 | ) | 0 | (6,288 | ) | |||||||||||||
182,105 | ||||||||||||||||||||||
United States | ||||||||||||||||||||||
Albemarle Corp. | Goldman Sachs | 04/14/2026 | 5.33 | Termination | (496,949 | ) | 0 | 135,671 | ||||||||||||||
Alpha & Omega Semiconductor Ltd. | Goldman Sachs | 12/08/2025 | 5.33 | Termination | (497,984 | ) | 0 | 170,065 | ||||||||||||||
Diodes, Inc. | Goldman Sachs | 05/22/2026 | 5.33 | Termination | (545,200 | ) | 0 | 89,861 | ||||||||||||||
Legend Biotech Corp. | Goldman Sachs | 12/07/2026 | 5.33 | Termination | (360,726 | ) | 0 | (23,001 | ) | |||||||||||||
Monolithic Power Systems, Inc. | Goldman Sachs | 02/16/2026 | 5.33 | Termination | (493,947 | ) | 0 | (174,854 | ) | |||||||||||||
On Semiconductor Corp. | Goldman Sachs | 02/22/2027 | 5.33 | Termination | (455,132 | ) | 0 | (8,805 | ) | |||||||||||||
Samsonite International SA | Goldman Sachs | 02/01/2027 | 4.77 | Termination | (569,042 | ) | 0 | (100,011 | ) | |||||||||||||
Synaptics, Inc. | Goldman Sachs | 12/08/2025 | 5.33 | Termination | (221,621 | ) | 0 | (28,336 | ) | |||||||||||||
Tecnoglass, Inc. | Morgan Stanley | 12/14/2026 | 5.33 | Termination | (610,124 | ) | 0 | (60,905 | ) | |||||||||||||
Vishay Intertechnology, Inc. | Goldman Sachs | 12/04/2026 | 5.33 | Termination | (390,543 | ) | 0 | 8,929 | ||||||||||||||
8,614 | ||||||||||||||||||||||
Total Short | (1,331,274 | ) | ||||||||||||||||||||
Net unrealized gain/(loss) on Contracts For Difference | $ | (602,299 | ) |
The accompanying notes are an integral part of the financial statements.
Semi-Annual Report 2024 | 65
BOSTON PARTNERS INVESTMENT FUNDS | February 29, 2024 (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 29, 2024 is as follows (see Notes to Portfolio of Investments):
TOTAL | LEVEL 1 | LEVEL 2 | LEVEL 3 | |||||||||||||
Assets: | ||||||||||||||||
Common Stocks: | ||||||||||||||||
Brazil | $ | 4,060,792 | $ | 4,060,792 | $ | — | $ | — | ||||||||
China | 22,096,298 | 803,712 | 21,292,586 | — | ||||||||||||
Cyprus | — | — | — | — | ^ | |||||||||||
Hong Kong | 593,263 | — | 593,263 | — | ||||||||||||
Hungary | 64,160 | 64,160 | — | — | ||||||||||||
India | 2,164,463 | — | 2,164,463 | — | ||||||||||||
Malaysia | 786,912 | — | 786,912 | — | ||||||||||||
Mexico | 257,557 | 257,557 | — | — | ||||||||||||
Singapore | 91,558 | — | 91,558 | — | ||||||||||||
South Africa | 855,598 | 855,598 | — | — | ||||||||||||
South Korea | 6,229,867 | — | 6,229,867 | — | ||||||||||||
Taiwan | 5,362,813 | — | 5,362,813 | — | ||||||||||||
Thailand | 967,240 | — | — | 967,240 | ||||||||||||
Common Stocks - Total | $ | 43,530,521 | $ | 6,041,819 | $ | 36,521,462 | $ | 967,240 | ||||||||
Preferred Stocks: | ||||||||||||||||
Brazil | 465,160 | 465,160 | — | — | ||||||||||||
South Korea | 837,585 | — | 837,585 | — | ||||||||||||
Preferred Stocks - Total | 1,302,745 | 465,160 | 837,585 | — | ||||||||||||
Short-Term Investments | 13,276,380 | 9,226,084 | 4,050,296 | — | ||||||||||||
Total Assets | $ | 58,109,646 | $ | 15,733,063 | $ | 41,409,343 | $ | 967,240 | ||||||||
TOTAL | LEVEL 1 | LEVEL 2 | LEVEL 3 | |||||||||||||
Liabilities: | ||||||||||||||||
Common Stocks | $ | (183,973 | ) | $ | (183,973 | ) | $ | — | $ | — | ||||||
Total Liabilities | $ | (183,973 | ) | $ | (183,973 | ) | $ | — | $ | — | ||||||
Other Financial Instruments*: | ||||||||||||||||
Assets | ||||||||||||||||
Contracts For Difference | $ | 5,544,630 | $ | 5,090,310 | $ | — | $ | 454,320 | ||||||||
Total Assets | $ | 5,544,630 | $ | 5,090,310 | $ | — | $ | 454,320 | ||||||||
Liabilities | ||||||||||||||||
Contracts For Difference | $ | (6,146,929 | ) | $ | (6,003,424 | ) | $ | — | $ | (143,505 | ) | |||||
Total Liabilities | $ | (6,146,929 | ) | $ | (6,003,424 | ) | $ | — | $ | (143,505 | ) |
^ | Value equals 0 as of the end of the reporting period. |
* | The fair value of the Fund’s investment represents the net unrealized appreciation (depreciation) as of February 29, 2024. |
Refer to the Portfolio of Investments for industry classifications.
The accompanying notes are an integral part of the financial statements.
66 | Semi-Annual Report 2024
BOSTON PARTNERS INVESTMENT FUNDS | February 29, 2024 (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 †^ | $ | 1,433,519,996 | $ | 548,299,398 | $ | 90,402,573 | $ | 28,934,246 | |||||||||
Investments purchased with proceeds from securities lending collateral, at value * | 67,457,486 | 100,833,185 | — | 5,515,103 | |||||||||||||
Short-term investments, at value ** | 11,502,207 | 19,061,852 | 3,617,474 | 378,024 | |||||||||||||
Cash and cash equivalents | 993,475 | 5,693,845 | 815,913 | 702,606 | |||||||||||||
Foreign currency, at value # | — | — | — | 35,167 | |||||||||||||
Receivables | |||||||||||||||||
Investments sold | — | 3,633,446 | 1,136,351 | 550,453 | |||||||||||||
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 | 1,256,514 | 1,213,125 | 175,739 | — | |||||||||||||
Dividends and interest | 2,429,616 | 536,982 | 56,942 | 31,808 | |||||||||||||
Due from advisor | — | — | — | — | |||||||||||||
Unrealized appreciation on contracts for difference ◊ | — | — | — | — | |||||||||||||
Prepaid expenses and other assets | 169,836 | 52,170 | 3,087 | 11,034 | |||||||||||||
Total assets | 1,517,329,130 | 679,324,003 | 96,208,079 | 36,158,441 | |||||||||||||
LIABILITIES | |||||||||||||||||
Securities sold short, at fair value ‡ | — | — | — | — | |||||||||||||
Options written, at value +◊ | — | — | — | — | |||||||||||||
Due to custodian | — | — | — | — | |||||||||||||
Payables | |||||||||||||||||
Securities lending collateral | 67,457,486 | 100,833,185 | — | 5,515,103 | |||||||||||||
Investments purchased | — | 4,135,865 | 987,994 | 152,534 | |||||||||||||
Capital shares redeemed | 678,261 | 298,745 | 11,470 | — | |||||||||||||
Investment advisory fees | 866,051 | 404,644 | 70,874 | 15,655 | |||||||||||||
Custodian fees | 36,580 | 7,484 | — | 3,869 | |||||||||||||
Distribution and service fees | 60,104 | 84,900 | — | — | |||||||||||||
Dividends on securities sold short | — | — | — | — | |||||||||||||
Administration and accounting fees | 69,137 | 35,311 | 8,491 | 5,887 | |||||||||||||
Transfer agent fees | 169,452 | 85,512 | 16,994 | 3,606 | |||||||||||||
Loans Payable | — | — | — | — | |||||||||||||
Unrealized depreciation on contracts for difference ◊ | — | — | — | — | |||||||||||||
Other accrued expenses and liabilities | 21,527 | 59,097 | 21,748 | 19,422 | |||||||||||||
Total liabilities | 69,358,598 | 105,944,743 | 1,117,571 | 5,716,076 | |||||||||||||
Net Assets | $ | 1,447,970,532 | $ | 573,379,260 | $ | 95,090,508 | $ | 30,442,365 | |||||||||
NET ASSETS CONSIST OF: | |||||||||||||||||
Par value | $ | 45,972 | $ | 22,210 | $ | 8,758 | $ | 1,604 | |||||||||
Paid-in Capital | 809,071,411 | 420,848,649 | 85,063,040 | 24,774,120 | |||||||||||||
Total Distributable earnings/(loss) | 638,853,149 | 152,508,401 | 10,018,710 | 5,666,641 | |||||||||||||
Net Assets | $ | 1,447,970,532 | $ | 573,379,260 | $ | 95,090,508 | $ | 30,442,365 | |||||||||
INSTITUTIONAL CLASS | |||||||||||||||||
Net assets | $ | 1,216,449,582 | $ | 515,763,727 | $ | 95,090,508 | $ | 30,442,365 | |||||||||
Shares outstanding | 38,582,055 | 19,851,825 | 8,757,785 | 1,604,132 | |||||||||||||
Net asset value, offering and redemption price per share | $ | 31.53 | $ | 25.98 | $ | 10.86 | $ | 18.98 | |||||||||
INVESTOR CLASS | |||||||||||||||||
Net assets | $ | 231,520,950 | $ | 57,615,533 | $ | — | $ | — | |||||||||
Shares outstanding | 7,390,119 | 2,357,715 | — | — | |||||||||||||
Net asset value, offering and redemption price per share | $ | 31.33 | $ | 24.44 | $ | — | $ | — | |||||||||
† | Investments in securities, at cost | $ | 863,229,225 | $ | 438,472,675 | $ | 80,934,523 | $ | 23,530,651 | ||||||||
^ | Includes market value of securities on loan | $ | 66,056,324 | $ | 99,853,478 | $ | — | $ | 5,256,442 | ||||||||
* | Investments purchased with proceeds from securities lending collateral, at cost | $ | 67,457,486 | $ | 100,833,185 | $ | — | $ | 5,515,103 | ||||||||
** | Short-term investments, at cost | $ | 11,502,207 | $ | 19,061,852 | $ | 3,617,474 | $ | 378,024 | ||||||||
Purchased options, at cost | $ | — | $ | — | $ | — | $ | — | |||||||||
# | Foreign currency, at cost | $ | — | $ | — | $ | — | $ | 35,337 | ||||||||
‡ | Proceeds received, securities sold short | $ | — | $ | — | $ | — | $ | — | ||||||||
+ | Premiums received, options written | $ | — | $ | — | $ | — | $ | — | ||||||||
◊ | Primary risk exposure is equity contracts |
The accompanying notes are an integral part of the financial statements.
Semi-Annual Report 2024 | 67
BOSTON PARTNERS INVESTMENT FUNDS | February 29, 2024 (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 †^ | $ | 10,114,120 | $ | 211,390,624 | $ | 22,767,675 | $ | 59,612,828 | |||||||||
Investments purchased with proceeds from securities lending collateral, at value * | — | 11,482,091 | — | 9,341,219 | |||||||||||||
Short-term investments, at value ** | 103,238 | 5,023,099 | 501,146 | 2,607 | |||||||||||||
Cash and cash equivalents | 133,143 | 1,721,400 | 1,045,556 | 334 | |||||||||||||
Foreign currency, at value # | — | — | 41,797 | — | |||||||||||||
Receivables | |||||||||||||||||
Investments sold | 30,906 | 468,902 | 234,586 | 929,268 | |||||||||||||
Foreign currency deposits with brokers for securities sold short # | — | — | — | 2,906,149 | |||||||||||||
Deposits with brokers for contracts for difference | — | — | 50,000 | — | |||||||||||||
Deposits with brokers for securities sold short | — | — | — | 10,113,588 | |||||||||||||
Capital shares sold | — | — | — | 4,150 | |||||||||||||
Dividends and interest | 44,539 | 796,446 | 30,196 | 117,470 | |||||||||||||
Due from advisor | 252 | — | — | — | |||||||||||||
Unrealized appreciation on contracts for difference ◊ | — | — | — | 460,359 | |||||||||||||
Prepaid expenses and other assets | 1,093 | 32,243 | 11,506 | 70,571 | |||||||||||||
Total assets | 10,427,291 | 230,914,805 | 24,682,462 | 83,558,541 | |||||||||||||
LIABILITIES | |||||||||||||||||
Securities sold short, at fair value ‡ | — | — | — | 12,338,493 | |||||||||||||
Options written, at value +◊ | — | — | — | 92,510 | |||||||||||||
Due to custodian | — | — | — | — | |||||||||||||
Payables | |||||||||||||||||
Securities lending collateral | — | 11,482,091 | — | 9,341,219 | |||||||||||||
Investments purchased | 56,694 | 903,355 | 840,209 | 140,841 | |||||||||||||
Capital shares redeemed | — | — | — | 82,650 | |||||||||||||
Investment advisory fees | — | 173,566 | 11,094 | 78,223 | |||||||||||||
Custodian fees | 5,413 | 14,507 | 8,036 | 2,164 | |||||||||||||
Distribution and service fees | — | — | — | 6,924 | |||||||||||||
Dividends on securities sold short | — | — | — | 4,685 | |||||||||||||
Administration and accounting fees | 10,225 | 14,383 | 6,290 | 9,339 | |||||||||||||
Transfer agent fees | 681 | 21,007 | 741 | 13,943 | |||||||||||||
Loans Payable | — | — | — | 707,000 | |||||||||||||
Unrealized depreciation on contracts for difference ◊ | — | — | 6,113 | 290,598 | |||||||||||||
Other accrued expenses and liabilities | 17,958 | 13,954 | 14,738 | 27,583 | |||||||||||||
Total liabilities | 90,971 | 12,622,863 | 887,221 | 23,136,170 | |||||||||||||
Net Assets | $ | 10,336,320 | $ | 218,291,942 | $ | 23,795,241 | $ | 60,422,371 | |||||||||
NET ASSETS CONSIST OF: | |||||||||||||||||
Par value | $ | 954 | $ | 9,563 | $ | 2,452 | $ | 4,765 | |||||||||
Paid-in Capital | 9,169,803 | 183,515,018 | 25,303,611 | 32,149,397 | |||||||||||||
Total Distributable earnings/(loss) | 1,165,563 | 34,767,361 | (1,510,822 | ) | 28,268,209 | ||||||||||||
Net Assets | $ | 10,336,320 | $ | 218,291,942 | $ | 23,795,241 | $ | 60,422,371 | |||||||||
INSTITUTIONAL CLASS | |||||||||||||||||
Net assets | $ | 10,336,320 | $ | 218,291,942 | $ | 23,795,241 | $ | 45,823,824 | |||||||||
Shares outstanding | 954,066 | 9,563,147 | 2,452,403 | 3,397,625 | |||||||||||||
Net asset value, offering and redemption price per share | $ | 10.83 | $ | 22.83 | $ | 9.70 | $ | 13.49 | |||||||||
INVESTOR CLASS | |||||||||||||||||
Net assets | $ | — | $ | — | $ | — | $ | 14,598,547 | |||||||||
Shares outstanding | — | — | — | 1,366,969 | |||||||||||||
Net asset value, offering and redemption price per share | $ | — | $ | — | $ | — | $ | 10.68 | |||||||||
† | Investments in securities, at cost | $ | 8,082,586 | $ | 164,967,606 | $ | 20,747,698 | $ | 41,688,792 | ||||||||
^ | Includes market value of securities on loan | $ | — | $ | 11,231,378 | $ | — | $ | 9,082,288 | ||||||||
* | Investments purchased with proceeds from securities lending collateral, at cost | $ | — | $ | 11,482,091 | $ | — | $ | 9,341,219 | ||||||||
** | Short-term investments, at cost | $ | 103,238 | $ | 5,023,099 | $ | 501,146 | $ | 2,607 | ||||||||
Purchased options, at cost | $ | — | $ | — | $ | — | $ | — | |||||||||
# | Foreign currency, at cost | $ | — | $ | — | $ | 42,546 | $ | 3,210,048 | ||||||||
‡ | Proceeds received, securities sold short | $ | — | $ | — | $ | — | $ | 18,217,665 | ||||||||
+ | Premiums received, options written | $ | — | $ | — | $ | — | $ | 57,353 | ||||||||
◊ | Primary risk exposure is equity contracts |
The accompanying notes are an integral part of the financial statements.
68 | Semi-Annual Report 2024
BOSTON PARTNERS INVESTMENT FUNDS | February 29, 2024 (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 †^ | $ | 539,221,074 | $ | 122,993,074 | $ | 44,833,266 | |||||||
Investments purchased with proceeds from securities lending collateral, at value * | — | — | — | ||||||||||
Short-term investments, at value ** | 453,682 | 38,197,444 | 13,276,380 | ||||||||||
Cash and cash equivalents | 3,287,560 | 1,726,569 | 138,200 | ||||||||||
Foreign currency, at value # | — | — | — | ||||||||||
Receivables | |||||||||||||
Investments sold | 5,118,143 | 4,268,866 | 93,805 | ||||||||||
Foreign currency deposits with brokers for securities sold short # | 48,630,563 | 89,456 | 64,329 | ||||||||||
Deposits with brokers for contracts for difference | 1,761,258 | 4,499,222 | 2,417,694 | ||||||||||
Deposits with brokers for securities sold short | 111,550,045 | 731,901 | 1,674,051 | ||||||||||
Capital shares sold | 484,840 | 499,147 | 5,621 | ||||||||||
Dividends and interest | 1,549,037 | 805,626 | 135,859 | ||||||||||
Due from advisor | — | — | — | ||||||||||
Unrealized appreciation on contracts for difference ◊ | 6,657,410 | 3,424,975 | 5,544,630 | ||||||||||
Prepaid expenses and other assets | 2,338,428 | 888,711 | 336,545 | ||||||||||
Total assets | 721,052,040 | 178,124,991 | 68,520,380 | ||||||||||
LIABILITIES | |||||||||||||
Securities sold short, at fair value ‡ | 155,467,725 | 823,298 | 183,973 | ||||||||||
Options written, at value +◊ | 144,096 | 2,714,552 | — | ||||||||||
Due to custodian | — | 5,223 | — | ||||||||||
Payables | |||||||||||||
Securities lending collateral | — | — | — | ||||||||||
Investments purchased | 2,228,108 | 2,513,937 | 54,634 | ||||||||||
Capital shares redeemed | 728,392 | 109,060 | 1,336 | ||||||||||
Investment advisory fees | 494,576 | 150,335 | 84,288 | ||||||||||
Custodian fees | 5,145 | 7,316 | 12,503 | ||||||||||
Distribution and service fees | 3,500 | 9,469 | — | ||||||||||
Dividends on securities sold short | 137,311 | — | 10,134 | ||||||||||
Administration and accounting fees | 44,541 | 17,419 | 7,485 | ||||||||||
Transfer agent fees | 75,764 | 50,114 | 3,107 | ||||||||||
Loans Payable | — | — | — | ||||||||||
Unrealized depreciation on contracts for difference ◊ | 6,859,942 | 7,007,750 | 6,146,929 | ||||||||||
Other accrued expenses and liabilities | 1,197,370 | 920,966 | 586,850 | ||||||||||
Total liabilities | 167,386,470 | 14,329,439 | 7,091,239 | ||||||||||
Net Assets | $ | 553,665,570 | $ | 163,795,552 | $ | 61,429,141 | |||||||
NET ASSETS CONSIST OF: | |||||||||||||
Par value | $ | 40,040 | $ | 10,497 | $ | 6,884 | |||||||
Paid-in Capital | 347,273,976 | 143,276,915 | 72,702,319 | ||||||||||
Total Distributable earnings/(loss) | 206,351,554 | 20,508,140 | (11,280,062 | ) | |||||||||
Net Assets | $ | 553,665,570 | $ | 163,795,552 | $ | 61,429,141 | |||||||
INSTITUTIONAL CLASS | |||||||||||||
Net assets | $ | 547,061,489 | $ | 152,407,421 | $ | 61,429,141 | |||||||
Shares outstanding | 39,542,104 | 9,754,472 | 6,883,624 | ||||||||||
Net asset value, offering and redemption price per share | $ | 13.83 | $ | 15.62 | $ | 8.92 | |||||||
INVESTOR CLASS | |||||||||||||
Net assets | $ | 6,604,081 | $ | 11,388,131 | $ | — | |||||||
Shares outstanding | 497,705 | 742,152 | — | ||||||||||
Net asset value, offering and redemption price per share | $ | 13.27 | $ | 15.34 | $ | — | |||||||
† | Investments in securities, at cost | $ | 383,663,729 | $ | 104,976,182 | $ | 38,949,614 | ||||||
^ | Includes market value of securities on loan | $ | — | $ | — | $ | — | ||||||
* | Investments purchased with proceeds from securities lending collateral, at cost | $ | — | $ | — | $ | — | ||||||
** | Short-term investments, at cost | $ | 453,682 | $ | 38,197,444 | $ | 13,276,380 | ||||||
Purchased options, at cost | $ | — | $ | — | $ | — | |||||||
# | Foreign currency, at cost | $ | 48,255,172 | $ | 98,034 | $ | 63,191 | ||||||
‡ | Proceeds received, securities sold short | $ | 159,716,867 | $ | 785,783 | $ | 181,696 | ||||||
+ | Premiums received, options written | $ | 110,397 | $ | 1,604,875 | $ | — | ||||||
◊ | Primary risk exposure is equity contracts |
The accompanying notes are an integral part of the financial statements.
Semi-Annual Report 2024 | 69
BOSTON PARTNERS INVESTMENT FUNDS | For the Six Months Ended February 29, 2024 (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 Fund | ||||||||||||||
Investment Income | |||||||||||||||||
Dividends † | $ | 11,455,576 | $ | 4,274,956 | $ | 458,802 | $ | 253,267 | |||||||||
Interest | 828,862 | 265,132 | 140,039 | 25,744 | |||||||||||||
Income from securities loaned (Note 8) | 55,576 | 322,953 | — | 7,654 | |||||||||||||
Prime broker interest income | — | — | — | — | |||||||||||||
Total investment income | 12,340,014 | 4,863,041 | 598,841 | 286,665 | |||||||||||||
Expenses | |||||||||||||||||
Advisory fees (Note 2) | 4,766,767 | 2,384,350 | 420,115 | 113,696 | |||||||||||||
Transfer agent fees (Note 2) | 435,721 | 204,104 | 33,272 | 5,500 | |||||||||||||
Distribution fees (Investor Class) (Note 2) | 278,446 | 71,622 | — | — | |||||||||||||
Administration and accounting fees (Note 2) | 154,173 | 71,578 | 23,164 | 12,098 | |||||||||||||
Legal fees | 82,170 | 40,103 | 4,269 | 1,831 | |||||||||||||
Officer’s fees | 77,760 | 38,702 | 3,252 | 1,802 | |||||||||||||
Custodian fees (Note 2) | 71,802 | 19,428 | 935 | 10,229 | |||||||||||||
Director’s fees | 66,787 | 37,753 | 3,082 | 1,687 | |||||||||||||
Registration fees | 29,581 | 21,141 | 8,526 | 11,791 | |||||||||||||
Audit and tax service fees | 22,487 | 20,926 | 27,668 | 19,492 | |||||||||||||
Printing and shareholder reporting fees | 9,032 | 25,233 | 3,798 | 6,585 | |||||||||||||
Other expenses | 76,016 | 32,038 | 12,757 | 573 | |||||||||||||
Dividend expense on securities sold short | — | — | — | — | |||||||||||||
Prime broker interest expense | — | — | — | — | |||||||||||||
Total expenses before waivers and/or reimbursements | 6,070,742 | 2,966,978 | 540,838 | 185,284 | |||||||||||||
Less: waivers and/or reimbursements net of amounts recouped (Note 2) | (310,112 | ) | (106,631 | ) | (17,921 | ) | (28,953 | ) | |||||||||
Net expenses after waivers and/or reimbursements net of amounts recouped | 5,760,630 | 2,860,347 | 522,917 | 156,331 | |||||||||||||
Net investment income/(loss) | 6,579,384 | 2,002,694 | 75,924 | 130,334 | |||||||||||||
Net realized gain/(loss) from: | |||||||||||||||||
Investment securities | 76,524,509 | 63,745,244 | 1,013,119 | 450,677 | |||||||||||||
Short-term investments | — | — | — | — | |||||||||||||
Securities sold short | — | — | — | — | |||||||||||||
Options written ** | — | — | — | — | |||||||||||||
Contracts for difference ** | — | — | — | — | |||||||||||||
Foreign currency transactions | — | — | — | 237 | |||||||||||||
Net change in unrealized appreciation/(depreciation) on: | |||||||||||||||||
Investment securities | 54,043,833 | (27,699,027 | ) | 2,607,861 | 1,771,592 | ||||||||||||
Short-term investments | — | — | — | — | |||||||||||||
Securities sold short | — | — | — | — | |||||||||||||
Options written ** | (731,254 | ) | — | — | — | ||||||||||||
Contracts for difference ** | — | — | — | — | |||||||||||||
Foreign currency translation | (66 | ) | — | — | (202 | ) | |||||||||||
Net realized and unrealized gain/(loss) | 129,837,022 | 36,046,217 | 3,620,980 | 2,222,304 | |||||||||||||
Net increase/(decrease) in net assets resulting from operations | $ | 136,416,406 | $ | 38,048,911 | $ | 3,696,904 | $ | 2,352,638 | |||||||||
† | Net of foreign withholding taxes of | $ | (25,178 | ) | $ | (14,751 | ) | $ | (7,698 | ) | $ | (4,734 | ) |
** | Primary risk exposure is equity contracts |
The accompanying notes are an integral part of the financial statements.
70 | Semi-Annual Report 2024
BOSTON PARTNERS INVESTMENT FUNDS | For the Six Months Ended February 29, 2024 (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 † | $ | 123,277 | $ | 1,720,334 | $ | 170,865 | $ | 541,523 | |||||||||
Interest | 17,808 | 149,872 | 26,480 | 42,158 | |||||||||||||
Income from securities loaned (Note 8) | — | 8,161 | — | 30,665 | |||||||||||||
Prime broker interest income | — | — | — | 125,255 | |||||||||||||
Total investment income | 141,085 | 1,878,367 | 197,345 | 739,601 | |||||||||||||
Expenses | |||||||||||||||||
Advisory fees (Note 2) | 77,720 | 944,241 | 86,052 | 703,187 | |||||||||||||
Transfer agent fees (Note 2) | 425 | 72,798 | 414 | 27,617 | |||||||||||||
Distribution fees (Investor Class) (Note 2) | — | — | — | 15,400 | |||||||||||||
Administration and accounting fees (Note 2) | 9,489 | 42,553 | 11,476 | 20,331 | |||||||||||||
Legal fees | 678 | 12,264 | 1,328 | 4,079 | |||||||||||||
Officer’s fees | 602 | 11,812 | 1,278 | 4,120 | |||||||||||||
Custodian fees (Note 2) | 14,050 | 30,899 | 4,199 | 8,974 | |||||||||||||
Director’s fees | 689 | 12,186 | 1,111 | 3,911 | |||||||||||||
Registration fees | 6,436 | 9,853 | 10,276 | 16,866 | |||||||||||||
Audit and tax service fees | 17,576 | 23,824 | 21,956 | 25,691 | |||||||||||||
Printing and shareholder reporting fees | — | 240 | 440 | 65 | |||||||||||||
Other expenses | 1,301 | 6,120 | 547 | 15,275 | |||||||||||||
Dividend expense on securities sold short | — | — | — | 16,380 | |||||||||||||
Prime broker interest expense | — | — | — | — | |||||||||||||
Total expenses before waivers and/or reimbursements | 128,966 | 1,166,790 | 139,077 | 861,896 | |||||||||||||
Less: waivers and/or reimbursements net of amounts recouped (Note 2) | (40,431 | ) | (169,031 | ) | (24,269 | ) | (203,711 | ) | |||||||||
Net expenses after waivers and/or reimbursements net of amounts recouped | 88,535 | 997,759 | 114,808 | 658,185 | |||||||||||||
Net investment income/(loss) | 52,550 | 880,608 | 82,537 | 81,416 | |||||||||||||
Net realized gain/(loss) from: | |||||||||||||||||
Investment securities | 1,909,299 | 3,679,640 | 826,444 | 4,917,180 | |||||||||||||
Short-term investments | — | — | — | — | |||||||||||||
Securities sold short | — | — | — | 1,753,856 | |||||||||||||
Options written ** | — | — | — | (104,282 | ) | ||||||||||||
Contracts for difference ** | — | — | (108,352 | ) | 121,766 | ||||||||||||
Foreign currency transactions | 26,025 | 47,240 | (99,131 | ) | (8,543 | ) | |||||||||||
Net change in unrealized appreciation/(depreciation) on: | |||||||||||||||||
Investment securities | (52,065 | ) | 15,079,249 | 599,388 | 988,754 | ||||||||||||
Short-term investments | — | — | — | — | |||||||||||||
Securities sold short | — | — | — | (1,762,062 | ) | ||||||||||||
Options written ** | — | — | — | (86,109 | ) | ||||||||||||
Contracts for difference ** | — | — | 129,747 | 169,761 | |||||||||||||
Foreign currency translation | (333 | ) | (1,788 | ) | (873 | ) | (26,856 | ) | |||||||||
Net realized and unrealized gain/(loss) | 1,882,926 | 18,804,341 | 1,347,223 | 5,963,465 | |||||||||||||
Net increase/(decrease) in net assets resulting from operations | $ | 1,935,476 | $ | 19,684,949 | $ | 1,429,760 | $ | 6,044,881 | |||||||||
† | Net of foreign withholding taxes of | $ | (9,555 | ) | $ | (94,994 | ) | $ | (23,650 | ) | $ | (14,526 | ) |
** | Primary risk exposure is equity contracts |
The accompanying notes are an integral part of the financial statements.
Semi-Annual Report 2024 | 71
BOSTON PARTNERS INVESTMENT FUNDS | For the Six Months Ended February 29, 2024 (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 † | $ | 4,929,877 | $ | 875,147 | $ | 322,380 | |||||||
Interest | 287,739 | 1,110,235 | 464,794 | ||||||||||
Income from securities loaned (Note 8) | — | — | — | ||||||||||
Prime broker interest income | 3,249,950 | — | 25,091 | ||||||||||
Total investment income | 8,467,566 | 1,985,382 | 812,265 | ||||||||||
Expenses | |||||||||||||
Advisory fees (Note 2) | 3,927,808 | 1,164,966 | 376,857 | ||||||||||
Transfer agent fees (Note 2) | 163,930 | 97,360 | 7,509 | ||||||||||
Distribution fees (Investor Class) (Note 2) | 8,646 | 11,672 | — | ||||||||||
Administration and accounting fees (Note 2) | 98,333 | 38,616 | 18,199 | ||||||||||
Legal fees | 40,764 | 9,550 | 5,934 | ||||||||||
Officer’s fees | 45,084 | 10,218 | 3,485 | ||||||||||
Custodian fees (Note 2) | 19,509 | 8,775 | 12,592 | ||||||||||
Director’s fees | 42,558 | 8,459 | 3,847 | ||||||||||
Registration fees | 21,535 | 19,201 | 10,972 | ||||||||||
Audit and tax service fees | 30,779 | 25,838 | 30,894 | ||||||||||
Printing and shareholder reporting fees | — | 8,680 | 373 | ||||||||||
Other expenses | 62,156 | 3,487 | 1,389 | ||||||||||
Dividend expense on securities sold short | 1,456,209 | 1,603 | 10,134 | ||||||||||
Prime broker interest expense | — | 2,108 | — | ||||||||||
Total expenses before waivers and/or reimbursements | 5,917,311 | 1,410,533 | 482,185 | ||||||||||
Less: waivers and/or reimbursements net of amounts recouped (Note 2) | — | — | (49,755 | ) | |||||||||
Net expenses after waivers and/or reimbursements net of amounts recouped | 5,917,311 | 1,410,533 | 432,430 | ||||||||||
Net investment income/(loss) | 2,550,255 | 574,849 | 379,835 | ||||||||||
Net realized gain/(loss) from: | |||||||||||||
Investment securities | 51,130,336 | 7,255,261 | 2,129,333 | ||||||||||
Short-term investments | — | — | — | ||||||||||
Securities sold short | 538,359 | — | 21,532 | ||||||||||
Options written ** | 422,721 | 193,063 | — | ||||||||||
Contracts for difference ** | (553,451 | ) | 3,037,262 | 496,770 | |||||||||
Foreign currency transactions | (805,057 | ) | (42,792 | ) | (189,919 | ) | |||||||
Net change in unrealized appreciation/(depreciation) on: | |||||||||||||
Investment securities | 7,365,222 | 2,454,962 | 2,245,728 | ||||||||||
Short-term investments | — | — | — | ||||||||||
Securities sold short | (5,915,299 | ) | (37,515 | ) | 2,598 | ||||||||
Options written ** | (292,444 | ) | (598,616 | ) | — | ||||||||
Contracts for difference ** | (4,313,645 | ) | (1,564,826 | ) | (2,928,781 | ) | |||||||
Foreign currency translation | 945,491 | 31,970 | (51,793 | ) | |||||||||
Net realized and unrealized gain/(loss) | 48,522,233 | 10,728,769 | 1,725,468 | ||||||||||
Net increase/(decrease) in net assets resulting from operations | $ | 51,072,488 | $ | 11,303,618 | $ | 2,105,303 | |||||||
† | Net of foreign withholding taxes of | $ | (99,728 | ) | $ | (81,461 | ) | $ | (50,969 | ) |
** | Primary risk exposure is equity contracts |
The accompanying notes are an integral part of the financial statements.
72 | Semi-Annual Report 2024
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 29, 2024 | For the Year Ended August 31, 2023 | For the Six Months Ended February 29, 2024 | For the Year Ended August 31, 2023 | |||||||||||||
Increase/(decrease) in net assets from operations: | ||||||||||||||||
Net investment income/(loss) | $ | 6,579,384 | $ | 18,074,085 | $ | 2,002,694 | $ | 6,160,708 | ||||||||
Net realized gain/(loss) from investments and foreign currencies | 76,524,509 | 124,443,037 | 63,745,244 | 73,771,623 | ||||||||||||
Net change in unrealized appreciation/(depreciation) on investments and foreign currency translation | 53,312,513 | 13,885,190 | (27,699,027 | ) | (33,832,805 | ) | ||||||||||
Net increase/(decrease) in net assets resulting from operations | 136,416,406 | 156,402,312 | 38,048,911 | 46,099,526 | ||||||||||||
Dividends and distributions to shareholders: | ||||||||||||||||
Institutional Class | (113,490,263 | ) | (96,713,599 | ) | (60,315,331 | ) | (46,030,717 | ) | ||||||||
Investor Class | (23,113,027 | ) | (18,398,789 | ) | (7,258,207 | ) | (5,861,952 | ) | ||||||||
Net decrease in net assets from dividends and distributions to shareholders | (136,603,290 | ) | (115,112,388 | ) | (67,573,538 | ) | (51,892,669 | ) | ||||||||
Capital transactions: | ||||||||||||||||
Institutional Class | ||||||||||||||||
Proceeds from shares sold | 156,194,285 | 227,017,126 | 36,539,915 | 87,714,164 | ||||||||||||
Reinvestment of distributions | 89,167,313 | 75,831,183 | 58,874,148 | 43,911,312 | ||||||||||||
Shares redeemed | (193,901,831 | ) | (373,447,509 | ) | (87,202,797 | ) | (282,284,621 | ) | ||||||||
Investor Class | ||||||||||||||||
Proceeds from shares sold | 5,827,990 | 16,752,630 | 1,393,396 | 5,373,916 | ||||||||||||
Reinvestment of distributions | 22,007,650 | 17,605,766 | 7,055,068 | 5,743,917 | ||||||||||||
Shares redeemed | (24,166,757 | ) | (43,086,278 | ) | (8,429,376 | ) | (31,265,355 | ) | ||||||||
Net increase/(decrease) in net assets from capital transactions | 55,128,650 | (79,327,082 | ) | 8,230,354 | (170,806,667 | ) | ||||||||||
Total increase/(decrease) in net assets | 54,941,766 | (38,037,158 | ) | (21,294,273 | ) | (176,599,810 | ) | |||||||||
Net assets: | ||||||||||||||||
Beginning of period | 1,393,028,766 | 1,431,065,924 | 594,673,533 | 771,273,343 | ||||||||||||
End of period | $ | 1,447,970,532 | $ | 1,393,028,766 | $ | 573,379,260 | $ | 594,673,533 | ||||||||
Share transactions: | ||||||||||||||||
Institutional Class | ||||||||||||||||
Shares sold | 5,118,721 | 7,348,008 | 1,416,540 | 3,339,693 | ||||||||||||
Shares reinvested | 2,986,179 | 2,498,556 | 2,307,885 | 1,711,942 | ||||||||||||
Shares redeemed | (6,190,573 | ) | (12,182,535 | ) | (3,330,307 | ) | (10,620,746 | ) | ||||||||
Net increase/(decrease) | 1,914,327 | (2,335,971 | ) | 394,118 | (5,569,111 | ) | ||||||||||
Investor Class | ||||||||||||||||
Shares sold | 190,024 | 546,307 | 57,505 | 214,612 | ||||||||||||
Shares reinvested | 741,248 | 583,165 | 293,839 | 236,278 | ||||||||||||
Shares redeemed | (791,351 | ) | (1,414,790 | ) | (346,318 | ) | (1,272,538 | ) | ||||||||
Net increase/(decrease) | 139,921 | (285,318 | ) | 5,026 | (821,648 | ) |
The accompanying notes are an integral part of the financial statements.
Semi-Annual Report 2024 | 73
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 29, 2024 | For the Year Ended August 31, 2023 | For the Six Months Ended February 29, 2024 | For the Year Ended August 31, 2023 | |||||||||||||
Increase/(decrease) in net assets from operations: | ||||||||||||||||
Net investment income/(loss) | $ | 75,924 | $ | 529,691 | $ | 130,334 | $ | 323,469 | ||||||||
Net realized gain/(loss) from investments and foreign currencies | 1,013,119 | 13,714,809 | 450,914 | 1,888,510 | ||||||||||||
Net change in unrealized appreciation/(depreciation) on investments and foreign currency translation | 2,607,861 | 7,711,422 | 1,771,390 | 885,261 | ||||||||||||
Net increase/(decrease) in net assets resulting from operations | 3,696,904 | 21,955,922 | 2,352,638 | 3,097,240 | ||||||||||||
Dividends and distributions to shareholders: | ||||||||||||||||
Institutional Class | (14,373,145 | ) | (111,741 | ) | (2,113,959 | ) | (4,669,593 | ) | ||||||||
Net decrease in net assets from dividends and distributions to shareholders | (14,373,145 | ) | (111,741 | ) | (2,113,959 | ) | (4,669,593 | ) | ||||||||
Capital transactions: | ||||||||||||||||
Institutional Class | ||||||||||||||||
Proceeds from shares sold | 45,275,683 | 74,949,673 | 477,465 | 1,560,898 | ||||||||||||
Reinvestment of distributions | 14,245,244 | 111,438 | 1,990,247 | 4,416,593 | ||||||||||||
Shares redeemed | (61,083,544 | ) | (7,420,975 | ) | (1,527,441 | ) | (7,405,913 | ) | ||||||||
Net increase/(decrease) in net assets from capital transactions | (1,562,617 | ) | 67,640,136 | 940,271 | (1,428,422 | ) | ||||||||||
Total increase/(decrease) in net assets | (12,238,858 | ) | 89,484,317 | 1,178,950 | (3,000,775 | ) | ||||||||||
Net assets: | ||||||||||||||||
Beginning of period | 107,329,366 | 17,845,049 | 29,263,415 | 32,264,190 | ||||||||||||
End of period | $ | 95,090,508 | $ | 107,329,366 | $ | 30,442,365 | $ | 29,263,415 | ||||||||
Share transactions: | ||||||||||||||||
Institutional Class | ||||||||||||||||
Shares sold | 4,236,344 | 7,856,153 | 25,916 | 83,597 | ||||||||||||
Shares reinvested | 1,428,811 | 11,155 | 109,055 | 253,245 | ||||||||||||
Shares redeemed | (5,990,818 | ) | (682,918 | ) | (86,170 | ) | (400,952 | ) | ||||||||
Net increase/(decrease) | (325,663 | ) | 7,184,390 | 48,801 | (64,110 | ) |
The accompanying notes are an integral part of the financial statements.
74 | Semi-Annual Report 2024
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 29, 2024 | For the Year Ended August 31, 2023 | For the Six Months Ended February 29, 2024 | For the Year Ended August 31, 2023 | |||||||||||||
Increase/(decrease) in net assets from operations: | ||||||||||||||||
Net investment income/(loss) | $ | 52,550 | $ | 404,279 | $ | 880,608 | $ | 4,257,210 | ||||||||
Net realized gain/(loss) from investments and foreign currencies | 1,935,324 | (1,521,647 | ) | 3,726,880 | 8,115,011 | |||||||||||
Net change in unrealized appreciation/(depreciation) on investments and foreign currency translation | (52,398 | ) | 4,623,906 | 15,077,461 | 14,265,482 | |||||||||||
Net increase/(decrease) in net assets resulting from operations | 1,935,476 | 3,506,538 | 19,684,949 | 26,637,703 | ||||||||||||
Dividends and distributions to shareholders: | ||||||||||||||||
Institutional Class | (383,298 | ) | (313,835 | ) | (4,137,287 | ) | (2,771,850 | ) | ||||||||
Net decrease in net assets from dividends and distributions to shareholders | (383,298 | ) | (313,835 | ) | (4,137,287 | ) | (2,771,850 | ) | ||||||||
Capital transactions: | ||||||||||||||||
Institutional Class | ||||||||||||||||
Proceeds from shares sold | 1,000,119 | 600,673 | 8,018,681 | 27,113,250 | ||||||||||||
Reinvestment of distributions | 383,298 | 313,835 | 3,944,599 | 2,760,443 | ||||||||||||
Shares redeemed | (16,496,305 | ) | (2,850,030 | ) | (21,382,809 | ) | (12,982,701 | ) | ||||||||
Net increase/(decrease) in net assets from capital transactions | (15,112,888 | ) | (1,935,522 | ) | (9,419,529 | ) | 16,890,992 | |||||||||
Total increase/(decrease) in net assets | (13,560,710 | ) | 1,257,181 | 6,128,133 | 40,756,845 | |||||||||||
Net assets: | ||||||||||||||||
Beginning of period | 23,897,030 | 22,639,849 | 212,163,809 | 171,406,964 | ||||||||||||
End of period | $ | 10,336,320 | $ | 23,897,030 | $ | 218,291,942 | $ | 212,163,809 | ||||||||
Share transactions: | ||||||||||||||||
Institutional Class | ||||||||||||||||
Shares sold | 95,210 | 64,724 | 375,509 | 1,317,841 | ||||||||||||
Shares reinvested | 36,785 | 33,673 | 178,005 | 136,453 | ||||||||||||
Shares redeemed | (1,568,090 | ) | (335,011 | ) | (984,730 | ) | (633,039 | ) | ||||||||
Net increase/(decrease) | (1,436,095 | ) | (236,614 | ) | (431,216 | ) | 821,255 |
The accompanying notes are an integral part of the financial statements.
Semi-Annual Report 2024 | 75
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 29, 2024 | For the Year Ended August 31, 2023 | For the Six Months Ended February 29, 2024 | For the Year Ended August 31, 2023 | |||||||||||||
Increase/(decrease) in net assets from operations: | ||||||||||||||||
Net investment income/(loss) | $ | 82,537 | $ | 436,265 | $ | 81,416 | $ | 308,147 | ||||||||
Net realized gain/(loss) from investments and foreign currencies | 618,961 | (714,894 | ) | 6,679,977 | 11,945,536 | |||||||||||
Net change in unrealized appreciation/(depreciation) on investments and foreign currency translation | 728,262 | 2,626,168 | (716,512 | ) | (2,920,874 | ) | ||||||||||
Net increase/(decrease) in net assets resulting from operations | 1,429,760 | 2,347,539 | 6,044,881 | 9,332,809 | ||||||||||||
Dividends and distributions to shareholders: | ||||||||||||||||
Institutional Class | (349,092 | ) | (651,962 | ) | (9,339,469 | ) | (6,481,806 | ) | ||||||||
Investor Class | — | — | (2,682,662 | ) | (1,588,742 | ) | ||||||||||
Net decrease in net assets from dividends and distributions to shareholders | (349,092 | ) | (651,962 | ) | (12,022,131 | ) | (8,070,548 | ) | ||||||||
Capital transactions: | ||||||||||||||||
Institutional Class | ||||||||||||||||
Proceeds from shares sold | 192,383 | 319,143 | 2,391,620 | 10,379,630 | ||||||||||||
Reinvestment of distributions | 349,092 | 651,962 | 9,007,247 | 6,315,049 | ||||||||||||
Shares redeemed | (1,197,573 | ) | (800,026 | ) | (17,318,945 | ) | (16,446,258 | ) | ||||||||
Investor Class | ||||||||||||||||
Proceeds from shares sold | — | — | 3,037,301 | 1,769,405 | ||||||||||||
Reinvestment of distributions | — | — | 2,626,901 | 1,538,484 | ||||||||||||
Shares redeemed | — | — | (1,395,793 | ) | (3,220,281 | ) | ||||||||||
Net increase/(decrease) in net assets from capital transactions | (656,098 | ) | 171,079 | (1,651,669 | ) | 336,029 | ||||||||||
Total increase/(decrease) in net assets | 424,570 | 1,866,656 | (7,628,919 | ) | 1,598,290 | |||||||||||
Net assets: | ||||||||||||||||
Beginning of period | 23,370,671 | 21,504,015 | 68,051,290 | 66,453,000 | ||||||||||||
End of period | $ | 23,795,241 | $ | 23,370,671 | $ | 60,422,371 | $ | 68,051,290 | ||||||||
Share transactions: | ||||||||||||||||
Institutional Class | ||||||||||||||||
Shares sold | 20,586 | 38,499 | 168,982 | 716,103 | ||||||||||||
Shares reinvested | 37,336 | 78,079 | 701,499 | 453,016 | ||||||||||||
Shares redeemed | (125,532 | ) | (95,241 | ) | (1,228,522 | ) | (1,129,589 | ) | ||||||||
Net increase/(decrease) | (67,610 | ) | 21,337 | (358,041 | ) | 39,530 | ||||||||||
Investor Class | ||||||||||||||||
Shares sold | — | — | 287,234 | 143,479 | ||||||||||||
Shares reinvested | — | — | 258,299 | 132,628 | ||||||||||||
Shares redeemed | — | — | (122,214 | ) | (267,020 | ) | ||||||||||
Net increase/(decrease) | — | — | 423,319 | 9,087 |
The accompanying notes are an integral part of the financial statements.
76 | Semi-Annual Report 2024
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 29, 2024 | For the Year Ended August 31, 2023 | For the Six Months Ended February 29, 2024 | For the Year Ended August 31, 2023 | |||||||||||||
Increase/(decrease) in net assets from operations: | ||||||||||||||||
Net investment income/(loss) | $ | 2,550,255 | $ | 8,419,000 | $ | 574,849 | $ | 2,054,587 | ||||||||
Net realized gain/(loss) from investments and foreign currencies | 50,732,908 | 72,632,937 | 10,442,794 | 13,070,954 | ||||||||||||
Net change in unrealized appreciation/(depreciation) on investments and foreign currency translation | (2,210,675 | ) | (25,356,255 | ) | 285,975 | (1,128,440 | ) | |||||||||
Net increase/(decrease) in net assets resulting from operations | 51,072,488 | 55,695,682 | 11,303,618 | 13,997,101 | ||||||||||||
Dividends and distributions to shareholders: | ||||||||||||||||
Institutional Class | (66,527,383 | ) | (144,215,120 | ) | (2,188,902 | ) | (2,998,432 | ) | ||||||||
Investor Class | (732,348 | ) | (2,234,372 | ) | (124,802 | ) | (245,884 | ) | ||||||||
Net decrease in net assets from dividends and distributions to shareholders | (67,259,731 | ) | (146,449,492 | ) | (2,313,704 | ) | (3,244,316 | ) | ||||||||
Capital transactions: | ||||||||||||||||
Institutional Class | ||||||||||||||||
Proceeds from shares sold | 69,913,198 | 307,344,480 | 23,299,517 | 96,861,537 | ||||||||||||
Reinvestment of distributions | 32,190,432 | 71,158,668 | 2,120,859 | 2,776,329 | ||||||||||||
Shares redeemed | (227,965,650 | ) | (402,250,403 | ) | (26,659,154 | ) | (79,750,344 | ) | ||||||||
Investor Class | ||||||||||||||||
Proceeds from shares sold | 55,145 | 1,843,386 | 3,966,710 | 11,778,290 | ||||||||||||
Reinvestment of distributions | 731,513 | 2,215,329 | 109,781 | 223,590 | ||||||||||||
Shares redeemed | (1,498,537 | ) | (7,033,192 | ) | (2,331,603 | ) | (9,580,249 | ) | ||||||||
Net increase/(decrease) in net assets from capital transactions | (126,573,899 | ) | (26,721,732 | ) | 506,110 | 22,309,153 | ||||||||||
Total increase/(decrease) in net assets | (142,761,142 | ) | (117,475,542 | ) | 9,496,024 | 33,061,938 | ||||||||||
Net assets: | ||||||||||||||||
Beginning of period | 696,426,712 | 813,902,254 | 154,299,528 | 121,237,590 | ||||||||||||
End of period | $ | 553,665,570 | $ | 696,426,712 | $ | 163,795,552 | $ | 154,299,528 | ||||||||
Share transactions: | ||||||||||||||||
Institutional Class | ||||||||||||||||
Shares sold | 5,105,094 | 21,262,036 | 1,523,714 | 6,785,859 | ||||||||||||
Shares reinvested | 2,455,410 | 5,086,395 | 139,164 | 194,557 | ||||||||||||
Shares redeemed | (16,705,700 | ) | (27,847,305 | ) | (1,755,866 | ) | (5,564,380 | ) | ||||||||
Net increase/(decrease) | (9,145,196 | ) | (1,498,874 | ) | (92,988 | ) | 1,416,036 | |||||||||
Investor Class | ||||||||||||||||
Shares sold | 4,237 | 125,654 | 262,184 | 825,447 | ||||||||||||
Shares reinvested | 58,149 | 164,220 | 7,329 | 15,925 | ||||||||||||
Shares redeemed | (114,217 | ) | (514,853 | ) | (156,421 | ) | (670,848 | ) | ||||||||
Net increase/(decrease) | (51,831 | ) | (224,979 | ) | 113,092 | 170,524 |
The accompanying notes are an integral part of the financial statements.
Semi-Annual Report 2024 | 77
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 29, 2024 | For the Year Ended August 31, 2023 | |||||||
Increase/(decrease) in net assets from operations: | ||||||||
Net investment income/(loss) | $ | 379,835 | $ | 904,310 | ||||
Net realized gain/(loss) from investments and foreign currencies | 2,457,716 | (2,511,765 | ) | |||||
Net change in unrealized appreciation/(depreciation) on investments and foreign currency translation | (732,248 | ) | 4,575,484 | |||||
Net increase/(decrease) in net assets resulting from operations | 2,105,303 | 2,968,029 | ||||||
Dividends and distributions to shareholders: | ||||||||
Institutional Class | — | (11,778,440 | ) | |||||
Net decrease in net assets from dividends and distributions to shareholders | — | (11,778,440 | ) | |||||
Capital transactions: | ||||||||
Institutional Class | ||||||||
Proceeds from shares sold | 582,402 | 6,194,044 | ||||||
Reinvestment of distributions | — | 11,469,531 | ||||||
Shares redeemed | (3,083,292 | ) | (7,644,051 | ) | ||||
Net increase/(decrease) in net assets from capital transactions | (2,500,890 | ) | 10,019,524 | |||||
Total increase/(decrease) in net assets | (395,587 | ) | 1,209,113 | |||||
Net assets: | ||||||||
Beginning of period | 61,824,728 | 60,615,615 | ||||||
End of period | $ | 61,429,141 | $ | 61,824,728 | ||||
Share transactions: | ||||||||
Institutional Class | ||||||||
Shares sold | 67,112 | 727,968 | ||||||
Shares reinvested | — | 1,402,143 | ||||||
Shares redeemed | (356,022 | ) | (882,460 | ) | ||||
Net increase/(decrease) | (288,910 | ) | 1,247,651 |
The accompanying notes are an integral part of the financial statements.
78 | Semi-Annual Report 2024
(THIS PAGE INTENTIONALLY LEFT BLANK.)
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 | ||||||||||||||||||||||||||||
9/1/23 through 2/29/24† | $ | 31.76 | $ | 0.15 | $ | 3.00 | $ | 3.15 | $ | (0.52 | ) | $ | (2.86 | ) | $ | (3.38 | ) | |||||||||||
8/31/23 | 30.78 | 0.41 | 3.16 | 3.57 | (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 | ) | ||||||||||||||||
Investor Class | ||||||||||||||||||||||||||||
9/1/23 through 2/29/24† | $ | 31.53 | $ | 0.12 | $ | 2.98 | $ | 3.10 | $ | (0.44 | ) | $ | (2.86 | ) | $ | (3.30 | ) | |||||||||||
8/31/23 | 30.58 | 0.33 | 3.13 | 3.46 | (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 | ) | ||||||||||||||||
Boston Partners Small Cap Value Fund II | ||||||||||||||||||||||||||||
Institutional Class | ||||||||||||||||||||||||||||
9/1/23 through 2/29/24† | $ | 27.43 | $ | 0.10 | $ | 1.76 | $ | 1.86 | $ | (0.25 | ) | $ | (3.06 | ) | $ | (3.31 | ) | |||||||||||
8/31/23 | 27.51 | 0.24 | 1.60 | 1.84 | (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 | ) | ||||||||||||||||
Investor Class | ||||||||||||||||||||||||||||
9/1/23 through 2/29/24† | $ | 25.95 | $ | 0.06 | $ | 1.67 | $ | 1.73 | $ | (0.18 | ) | $ | (3.06 | ) | $ | (3.24 | ) | |||||||||||
8/31/23 | 26.12 | 0.17 | 1.51 | 1.68 | (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 | ) | ||||||||||||||||
WPG Partners Select Small Cap Value Fund | ||||||||||||||||||||||||||||
Institutional Class | ||||||||||||||||||||||||||||
9/1/23 through 2/29/24† | $ | 11.82 | $ | 0.01 | $ | 0.58 | $ | 0.59 | $ | (0.06 | ) | $ | (1.49 | ) | $ | (1.55 | ) | |||||||||||
8/31/23 | 9.40 | 0.07 | 2.37 | 2.44 | — | (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 | ||||||||||||||||||||||||||||
9/1/23 through 2/29/24† | $ | 18.81 | $ | 0.08 | $ | 1.49 | $ | 1.57 | $ | (0.21 | ) | $ | (1.19 | ) | $ | (1.40 | ) | |||||||||||
8/31/23 | 19.92 | 0.20 | 1.80 | 2.00 | (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 | ) |
† | unaudited. |
* | Calculated based on average shares outstanding for the period. |
** | Commencement of operations. |
The accompanying notes are an integral part of the financial statements.
80 | Semi-Annual Report 2024
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 | ||||||||||||||||||||||||
$ | 31.53 | 10.49 | % | $ | 1,216,450 | 0.80 | %3 | N/A | 0.85 | %3 | 1.01 | %3 | 15 | %4 | |||||||||||||||||
31.76 | 12.00 | 1,164,397 | 0.80 | N/A | 0.84 | 1.35 | 33 | ||||||||||||||||||||||||
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 | |||||||||||||||||||||||
$ | 31.33 | 10.39 | % | $ | 231,521 | 1.05 | %3 | N/A | 1.10 | %3 | 0.76 | %3 | 15 | %4 | |||||||||||||||||
31.53 | 11.68 | 228,631 | 1.05 | N/A | 1.09 | 1.10 | 33 | ||||||||||||||||||||||||
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 | |||||||||||||||||||||||
$ | 25.98 | 7.02 | % | $ | 515,764 | 0.99 | %3 | N/A | 1.03 | %3 | 0.74 | %3 | 32 | %4 | |||||||||||||||||
27.43 | 7.17 | 533,633 | 0.99 | N/A | 1.04 | 0.91 | 65 | ||||||||||||||||||||||||
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 | |||||||||||||||||||||||
$ | 24.44 | 6.90 | % | $ | 57,616 | 1.24 | %3 | N/A | 1.28 | %3 | 0.49 | %3 | 32 | %4 | |||||||||||||||||
25.95 | 6.90 | 61,041 | 1.24 | N/A | 1.29 | 0.66 | 65 | ||||||||||||||||||||||||
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 | |||||||||||||||||||||||
$ | 10.86 | 6.10 | % | $ | 95,091 | 1.10 | %3 | N/A | 1.16 | %3 | 0.16 | %3 | 102 | %4 | |||||||||||||||||
11.82 | 25.94 | 107,329 | 1.10 | N/A | 1.16 | 0.65 | 118 | ||||||||||||||||||||||||
9.40 | (6.00 | ) | 17,845 | 1.10 | 3 | N/A | 2.93 | 3 | (0.22 | )3 | 70 | 4 | |||||||||||||||||||
$ | 18.98 | 8.68 | % | $ | 30,442 | 1.10 | %3 | N/A | 1.30 | %3 | 0.92 | %3 | 41 | %4 | |||||||||||||||||
18.81 | 11.35 | 29,263 | 1.10 | N/A | 1.32 | 1.06 | 90 | ||||||||||||||||||||||||
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 |
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 2024 | 81
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 | ||||||||||||||||||||||||||||
9/1/23 through 2/29/24† | $ | 10.00 | $ | 0.03 | $ | 0.96 | $ | 0.99 | $ | (0.16 | ) | $ | — | $ | (0.16 | ) | ||||||||||||
8/31/23 | 8.62 | 0.17 | 1.35 | 1.52 | (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 | ||||||||||||||||||||||||||||
9/1/23 through 2/29/24† | $ | 21.23 | $ | 0.09 | $ | 1.94 | $ | 2.03 | $ | (0.43 | ) | $ | — | $ | (0.43 | ) | ||||||||||||
8/31/23 | 18.69 | 0.45 | 2.39 | 2.84 | (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 | ) | ||||||||||||||||
Boston Partners Emerging Markets Fund | ||||||||||||||||||||||||||||
Institutional Class | ||||||||||||||||||||||||||||
9/1/23 through 2/29/24† | $ | 9.27 | $ | 0.03 | $ | 0.54 | $ | 0.57 | $ | (0.14 | ) | $ | — | $ | (0.14 | ) | ||||||||||||
8/31/23 | 8.61 | 0.18 | 0.75 | 0.93 | (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 | — | — | — | ||||||||||||||||||||
Boston Partners Long/Short Equity Fund | ||||||||||||||||||||||||||||
Institutional Class | ||||||||||||||||||||||||||||
9/1/23 through 2/29/24† | $ | 14.99 | $ | 0.02 | $ | 1.45 | $ | 1.47 | $ | (0.27 | ) | $ | (2.70 | ) | $ | (2.97 | ) | |||||||||||
8/31/23 | 14.73 | 0.07 | 1.96 | 2.03 | — | (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 | ) | ||||||||||||||||
Investor Class | ||||||||||||||||||||||||||||
9/1/23 through 2/29/24† | $ | 12.45 | $ | — | $ | 1.18 | $ | 1.18 | $ | (0.25 | ) | $ | (2.70 | ) | $ | (2.95 | ) | |||||||||||
8/31/23 | 12.54 | 0.03 | 1.65 | 1.68 | — | (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 | ) |
† | unaudited. |
* | Calculated based on average shares outstanding. |
** | Commencement of operations. |
The accompanying notes are an integral part of the financial statements.
82 | Semi-Annual Report 2024
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 | ||||||||||||||||||||||||
$ | 10.83 | 9.97 | % | $ | 10,336 | 0.90 | %3 | N/A | 1.33 | %3 | 0.54 | %3 | 39 | %4 | |||||||||||||||||
10.00 | 17.71 | 23,897 | 0.90 | N/A | 1.36 | 1.80 | 77 | ||||||||||||||||||||||||
8.62 | (13.80 | ) | 22,640 | 0.90 | 3 | N/A | 1.73 | 3 | 1.75 | 3 | 55 | 4 | |||||||||||||||||||
$ | 22.83 | 9.64 | % | $ | 218,292 | 0.95 | %3 | N/A | 1.11 | %3 | 0.84 | %3 | 21 | %4 | |||||||||||||||||
21.23 | 15.28 | 212,164 | 0.95 | N/A | 1.11 | 2.20 | 51 | ||||||||||||||||||||||||
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 | |||||||||||||||||||||||
$ | 9.70 | 6.19 | % | $ | 23,795 | 1.00 | %3 | N/A | 1.21 | %3 | 0.72 | %3 | 99 | %4 | |||||||||||||||||
9.27 | 11.16 | 23,371 | 1.00 | N/A | 1.54 | 2.06 | 153 | ||||||||||||||||||||||||
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 | ||||||||||||||||||||||||
$ | 13.49 | 10.79 | % | $ | 45,824 | 2.05 | %3 | 1.96 | %3 | 2.71 | %3 | 0.31 | %3 | 18 | %4 | ||||||||||||||||
14.99 | 14.69 | 56,303 | 2.02 | 1.96 | 2.67 | 0.50 | 44 | ||||||||||||||||||||||||
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 | ||||||||||||||||||||||
$ | 10.68 | 10.62 | % | $ | 14,599 | 2.30 | %3 | 2.21 | %3 | 2.96 | %3 | 0.06 | %3 | 18 | %4 | ||||||||||||||||
12.45 | 14.44 | 11,748 | 2.27 | 2.21 | 2.92 | 0.25 | 44 | ||||||||||||||||||||||||
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 |
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 2024 | 83
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 | ||||||||||||||||||||||||||||
9/1/23 through 2/29/24† | $ | 14.15 | $ | 0.06 | $ | 1.12 | $ | 1.18 | $ | (0.34 | ) | $ | (1.16 | ) | $ | (1.50 | ) | |||||||||||
8/31/23 | 15.98 | 0.16 | 0.95 | 1.11 | (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 | ) | ||||||||||||||||
Investor Class | ||||||||||||||||||||||||||||
9/1/23 through 2/29/24† | $ | 13.62 | $ | 0.04 | $ | 1.08 | $ | 1.12 | $ | (0.31 | ) | $ | (1.16 | ) | $ | (1.47 | ) | |||||||||||
8/31/23 | 15.48 | 0.12 | 0.92 | 1.04 | (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 | ) | |||||||||||||||||
Boston Partners Global Long/Short Fund | ||||||||||||||||||||||||||||
Institutional Class | ||||||||||||||||||||||||||||
9/1/23 through 2/29/24† | $ | 14.74 | $ | 0.06 | $ | 1.04 | $ | 1.10 | $ | (0.22 | ) | $ | — | $ | (0.22 | ) | ||||||||||||
8/31/23 | 13.65 | 0.19 | 1.22 | 1.41 | (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 | ) | |||||||||||||||||
Investor Class | ||||||||||||||||||||||||||||
9/1/23 through 2/29/24† | $ | 14.48 | $ | 0.04 | $ | 1.02 | $ | 1.06 | $ | (0.20 | ) | $ | — | $ | (0.20 | ) | ||||||||||||
8/31/23 | 13.43 | 0.15 | 1.20 | 1.35 | (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 | ) | — | — | — | |||||||||||||||||||
Boston Partners Emerging Markets Dynamic Equity Fund | ||||||||||||||||||||||||||||
Institutional Class | ||||||||||||||||||||||||||||
9/1/23 through 2/29/24† | $ | 8.62 | $ | 0.05 | $ | 0.25 | $ | 0.30 | $ | — | $ | — | $ | — | ||||||||||||||
8/31/23 | 10.23 | 0.13 | 0.27 | 0.40 | (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 | ) |
† | unaudited. |
* | Calculated based on average shares outstanding, unless otherwise noted. |
The accompanying notes are an integral part of the financial statements.
84 | Semi-Annual Report 2024
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 | ||||||||||||||||||||||||
$ | 13.83 | 8.88 | % | $ | 547,061 | 1.88 | %3 | 1.40 | %3 | 1.88 | %3 | 0.81 | %3 | 28 | %4 | ||||||||||||||||
14.15 | 7.16 | 688,944 | 1.88 | 1.40 | 1.88 | 1.12 | 54 | ||||||||||||||||||||||||
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 | |||||||||||||||||||||||
$ | 13.27 | 8.79 | % | $ | 6,604 | 2.13 | %3 | 1.65 | %3 | 2.13 | %3 | 0.56 | %3 | 28 | %4 | ||||||||||||||||
13.62 | 6.92 | 7,483 | 2.13 | 1.65 | 2.13 | 0.87 | 54 | ||||||||||||||||||||||||
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 | |||||||||||||||||||||||
$ | 15.62 | 7.53 | % | $ | 152,407 | 1.80 | %3 | 1.80 | %3 | 1.80 | %3 | 0.75 | %3 | 94 | %4 | ||||||||||||||||
14.74 | 10.38 | 145,192 | 2.39 | 1.80 | 2.39 | 1.34 | 172 | ||||||||||||||||||||||||
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 | |||||||||||||||||||||||
$ | 15.34 | 7.36 | % | $ | 11,388 | 2.05 | %3 | 2.05 | %3 | 2.05 | %3 | 0.50 | %3 | 94 | %4 | ||||||||||||||||
14.48 | 10.16 | 9,108 | 2.64 | 2.05 | 2.64 | 1.09 | 172 | ||||||||||||||||||||||||
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 | |||||||||||||||||||||||
$ | 8.92 | 3.48 | % | $ | 61,429 | 1.43 | %3 | 1.40 | %3 | 1.60 | %3 | 1.26 | %3 | 90 | %4 | ||||||||||||||||
8.62 | 4.98 | 61,825 | 1.42 | 1.40 | 1.67 | 1.52 | 132 | ||||||||||||||||||||||||
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 |
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.
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BOSTON PARTNERS INVESTMENT FUNDS
February 29, 2024
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 sixty-four 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 (“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 92.723 billion shares are currently classified into two hundred and thirty-four 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 29, 2024, and the period covered by these Notes to Financial Statements is the six months ended February 29, 2024 (the “current fiscal period” or the “reporting 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 received in a sale could be significant. The Funds may use fair value pricing more frequently for securities traded primarily in non-U.S.
86 | Semi-Annual Report 2024
BOSTON PARTNERS INVESTMENT FUNDS
NOTES TO FINANCIAL STATEMENTS (continued)
February 29, 2024
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 2/29/2024 |
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 | 314,151 | 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 2024 | 87
BOSTON PARTNERS INVESTMENT FUNDS
NOTES TO FINANCIAL STATEMENTS (continued)
February 29, 2024
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 (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. Each of 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. Each of 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.
88 | Semi-Annual Report 2024
BOSTON PARTNERS INVESTMENT FUNDS
NOTES TO FINANCIAL STATEMENTS (continued)
February 29, 2024
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.
Most LIBOR settings are no longer published as of December 31, 2021. Overnight and 12-month U.S. dollar LIBOR settings permanently ceased after publication on June 30, 2023. 1-, 3- and 6-month U.S. dollar LIBOR settings will continue to be published using a synthetic methodology until September 2024. 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 the transition away from 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 transition away from LIBOR 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 transition away from LIBOR, all of the aforementioned risks may adversely affect the Funds’ performance or NAV.
INTERNATIONAL 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. Additionally, armed conflict between Israel and Hamas and other militant groups in the Middle East and related events could cause significant impacts on global markets. The price and liquidity of investments may fluctuate widely as a result of these conflicts and related events. How long the armed conflicts and related events will last cannot be predicted. These tensions and any related events could have a significant impact on a Fund’s performance and the value of a Fund’s investments, even beyond any direct exposure that the Funds may have to issuers located in these countries.
Semi-Annual Report 2024 | 89
BOSTON PARTNERS INVESTMENT FUNDS
NOTES TO FINANCIAL STATEMENTS (continued)
February 29, 2024
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 | $ | — | $ | 4,079,726 | ||||
BP Long/Short Equity Fund | 9,504 | 195,465 | ||||||
BP Long/Short Research Fund | — | 309,570 | ||||||
BP Global Long/Short Fund | — | 2,170,104 |
SHORT SALES — When the 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 $195,974, $3,352,067, $(7,120) and $25,303, respectively, on borrowed securities. Such amounts are included in prime broker interest income on the Statements of Operations.
90 | Semi-Annual Report 2024
BOSTON PARTNERS INVESTMENT FUNDS
NOTES TO FINANCIAL STATEMENTS (continued)
February 29, 2024
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 $12,338,493, $155,467,725, $823,298 and $183,973, respectively, for which securities of $23,860,881, $134,610,775, $24,345,009 and $29,285,252 and deposits of $13,019,737, $160,180,608, $821,357 and $1,738,380, 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 overnight 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 UTILIZED | AVERAGE DAILY BORROWINGS | WEIGHTED AVERAGE INTEREST RATE | DAYS UTILIZED | AVERAGE DAILY BORROWINGS | WEIGHTED AVERAGE INTEREST RATE | |||||||||||||||
182 | USD 2,424,315 | 5.77 | % | 46 | AUD 39,599 | 4.67 | % | |||||||||||||
120 | CHF 13,787 | 2.14 | % | |||||||||||||||||
116 | DKK 388,852 | 4.15 | % | |||||||||||||||||
121 | EUR 416,100 | 4.34 | % | |||||||||||||||||
117 | GBP 399,733 | 5.55 | % | |||||||||||||||||
31 | HKD 849,921 | 5.67 | % | |||||||||||||||||
107 | JPY 55,683,082 | 0.42 | % | |||||||||||||||||
120 | SEK 2,804,901 | 4.43 | % | |||||||||||||||||
133 | THB 28,042,508 | 2.81 | % | |||||||||||||||||
123 | USD 3,653,657 | 5.77 | % | |||||||||||||||||
BP GLOBAL LONG/SHORT FUND | BP EMERGING MARKETS DYNAMIC EQUITY FUND | |||||||||||||||||||
DAYS UTILIZED | AVERAGE DAILY BORROWINGS | WEIGHTED AVERAGE INTEREST RATE | DAYS UTILIZED | AVERAGE DAILY BORROWINGS | WEIGHTED AVERAGE INTEREST RATE | |||||||||||||||
11 | CHF 465 | 2.18 | % | 9 | USD 146,873 | 5.77 | % | |||||||||||||
15 | JPY 12,950,062 | 0.42 | % | |||||||||||||||||
165 | USD 348,326 | 5.77 | % |
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 $70,719, $102,117, $9,228 and $212, 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 a 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 a 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 CFDs.
Semi-Annual Report 2024 | 91
BOSTON PARTNERS INVESTMENT FUNDS
NOTES TO FINANCIAL STATEMENTS (continued)
February 29, 2024
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 Equity Fund, BP Long/Short Research Fund, BP Global Long/Short Fund and BP Emerging Markets Dynamic Equity Fund had cash deposits for CFDs of $50,000, $0, $1,761,258, $4,499,222 and $2,417,694, 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 | $ | 784,128 | $ | — | ||||
BP Long/Short Equity Fund | — | 832,028 | ||||||
BP Long/Short Research Fund | 1,579,604 | 76,202,520 | ||||||
BP Global Long/Short Fund | 21,642,793 | 45,632,067 | ||||||
BP Emerging Markets Dynamic Equity Fund | 22,731,346 | 37,789,201 |
The following is a summary of CFDs 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 | $ | — | $ | — | $ | — | $ | — | $ | 6,113 | $ | — | $ | 50,000 | $ | — | ||||||||||||||||
Total | $ | — | $ | — | $ | — | $ | — | $ | 6,113 | $ | — | $ | 50,000 | $ | — | ||||||||||||||||
BP Long/Short Equity Fund | ||||||||||||||||||||||||||||||||
JPMorgan | $ | 460,359 | $ | 290,598 | $ | — | $ | 169,761 | $ | 290,598 | $ | 290,598 | $ | — | $ | — | ||||||||||||||||
Total | $ | 460,359 | $ | 290,598 | $ | — | $ | 169,761 | $ | 290,598 | $ | 290,598 | $ | — | $ | — | ||||||||||||||||
BP Long/Short Research Fund | ||||||||||||||||||||||||||||||||
Bank of America | $ | 598,769 | $ | 166,125 | $ | — | $ | 432,644 | $ | 166,125 | $ | 166,125 | $ | 711,258 | $ | — | ||||||||||||||||
Goldman Sachs | 758,629 | 758,629 | — | — | 1,929,433 | 758,629 | 1,050,000 | 120,804 | ||||||||||||||||||||||||
JPMorgan | — | — | — | — | 12,609 | — | — | 12,609 | ||||||||||||||||||||||||
Morgan Stanley | 5,300,012 | 4,751,775 | — | 548,237 | 4,751,775 | 4,751,775 | — | — | ||||||||||||||||||||||||
Total | $ | 6,657,410 | $ | 5,676,529 | $ | — | $ | 980,881 | $ | 6,859,942 | $ | 5,676,529 | $ | 1,761,258 | $ | 133,413 | ||||||||||||||||
BP Global Long/Short Fund | ||||||||||||||||||||||||||||||||
Goldman Sachs | $ | 2,652,120 | $ | 2,652,120 | $ | — | $ | — | $ | 4,826,897 | $ | 2,652,120 | $ | 2,940,000 | $ | — | ||||||||||||||||
HSBC | 145,176 | 145,176 | — | — | 681,388 | 145,176 | 1,380,000 | — | ||||||||||||||||||||||||
Morgan Stanley | 627,679 | 627,679 | — | — | 1,499,465 | 627,679 | 179,222 | 692,564 | ||||||||||||||||||||||||
Total | $ | 3,424,975 | $ | 3,424,975 | $ | — | $ | — | $ | 7,007,750 | $ | 3,424,975 | $ | 4,499,222 | $ | 692,564 | ||||||||||||||||
BP Emerging Markets Dynamic Equity Fund | ||||||||||||||||||||||||||||||||
Bank of America | $ | 189,967 | $ | 120,460 | $ | — | $ | 69,507 | $ | 120,460 | $ | 120,460 | $ | 2,081,757 | $ | — | ||||||||||||||||
Goldman Sachs | 3,339,839 | 3,339,839 | — | — | 3,736,625 | 3,339,839 | 5,937 | 390,849 | ||||||||||||||||||||||||
HSBC | 260,937 | 260,937 | — | — | 314,635 | 260,937 | 330,000 | — | ||||||||||||||||||||||||
JPMorgan | 460,258 | 423,850 | — | 36,408 | 423,850 | 423,850 | — | — | ||||||||||||||||||||||||
Morgan Stanley | 1,293,629 | 1,293,629 | — | — | 1,551,359 | 1,293,629 | — | 257,730 | ||||||||||||||||||||||||
Total | $ | 5,544,630 | $ | 5,438,715 | $ | — | $ | 105,915 | $ | 6,146,929 | $ | 5,438,715 | $ | 2,417,694 | $ | 648,579 |
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. |
92 | Semi-Annual Report 2024
BOSTON PARTNERS INVESTMENT FUNDS
NOTES TO FINANCIAL STATEMENTS (continued)
February 29, 2024
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.
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, 2024 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 | $ | 4,766,767 | $ | (310,112 | ) | $ | — | $ | 4,456,655 | |||||||
BP Small Cap Value Fund II | 2,384,350 | (107,249 | ) | 618 | 2,277,719 | |||||||||||
WPG Select Small Cap Value Fund | 420,115 | (29,445 | ) | 11,524 | 402,194 | |||||||||||
WPG Small Cap Value Diversified Fund | 113,696 | (28,953 | ) | — | 84,743 | |||||||||||
BP Global Sustainability Fund | 77,720 | (40,431 | ) | — | 37,289 | |||||||||||
BP Global Equity Fund | 944,241 | (169,031 | ) | — | 775,210 | |||||||||||
BP Emerging Markets Fund | 86,052 | (24,269 | ) | — | 61,783 | |||||||||||
BP Long/Short Equity Fund | 703,187 | (203,711 | ) | — | 499,476 | |||||||||||
BP Long/Short Research Fund | 3,927,808 | — | — | 3,927,808 | ||||||||||||
BP Global Long/Short Fund | 1,164,966 | — | — | 1,164,966 | ||||||||||||
BP Emerging Markets Dynamic Equity Fund | 376,857 | (49,755 | ) | — | 327,102 |
As of the end of the reporting period, the Funds had amounts available for recoupment as follows:
EXPIRATION | ||||||||||||||||||||
FUND | August 31, 2024 | August 31, 2025 | August 31, 2026 | August 31, 2027 | TOTAL | |||||||||||||||
BP All-Cap Value Fund | $ | 479,510 | $ | 1,054,852 | $ | 581,154 | $ | 310,112 | $ | 2,425,628 | ||||||||||
BP Small Cap Value Fund II | 138,705 | 274,029 | 313,733 | 107,249 | 833,716 | |||||||||||||||
WPG Select Small Cap Value Fund | — | 96,528 | 52,965 | 29,445 | 178,938 | |||||||||||||||
WPG Small Cap Value Diversified Fund | 43,934 | 49,003 | 64,117 | 28,953 | 186,007 | |||||||||||||||
BP Global Sustainability Fund | — | 125,165 | 102,575 | 40,431 | 268,171 | |||||||||||||||
BP Global Equity Fund | 140,758 | 327,392 | 312,531 | 169,031 | 949,712 | |||||||||||||||
BP Emerging Markets Fund | 123,547 | 170,692 | 117,642 | 24,269 | 436,150 | |||||||||||||||
BP Long/Short Equity Fund | 366,046 | 404,556 | 440,825 | 203,711 | 1,415,138 | |||||||||||||||
BP Emerging Markets Dynamic Equity Fund | 168,395 | 194,970 | 150,185 | 49,755 | 563,305 |
* | 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. |
Semi-Annual Report 2024 | 93
BOSTON PARTNERS INVESTMENT FUNDS
NOTES TO FINANCIAL STATEMENTS (continued)
February 29, 2024
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 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. 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 | $203,352,298 | $250,532,927 | ||||||
BP Small Cap Value Fund II | 179,757,793 | 262,879,065 | ||||||
WPG Select Small Cap Value Fund | 92,797,898 | 106,613,546 | ||||||
WPG Small Cap Value Diversified Fund | 11,494,705 | 13,109,260 | ||||||
BP Global Sustainability Fund | 7,449,839 | 22,306,317 | ||||||
BP Global Equity Fund | 43,135,170 | 57,191,049 | ||||||
BP Emerging Markets Fund | 21,977,303 | 22,896,344 | ||||||
BP Long/Short Equity Fund | 10,730,665 | 20,947,244 | ||||||
BP Long/Short Research Fund | 171,021,796 | 362,797,151 | ||||||
BP Global Long/Short Fund | 110,940,016 | 109,395,851 | ||||||
BP Emerging Markets Dynamic Equity Fund | 39,146,002 | 35,728,831 |
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
94 | Semi-Annual Report 2024
BOSTON PARTNERS INVESTMENT FUNDS
NOTES TO FINANCIAL STATEMENTS (continued)
February 29, 2024
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.
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, 2023, 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 | $957,263,853 | $528,392,107 | $(15,134,032 | ) | $513,258,075 | |||||||||||
BP Small Cap Value Fund II | 550,308,265 | 166,174,717 | (34,638,557 | ) | 131,536,160 | |||||||||||
WPG Select Small Cap Value Fund | 101,019,021 | 9,308,736 | (2,986,803 | ) | 6,321,933 | |||||||||||
WPG Small Cap Value Diversified Fund | 32,899,498 | 4,820,599 | (1,506,497 | ) | 3,314,102 | |||||||||||
BP Global Sustainability Fund | 21,867,581 | 2,801,482 | (890,404 | ) | 1,911,078 | |||||||||||
BP Global Equity Fund | 196,214,341 | 39,136,296 | (10,883,527 | ) | 28,252,769 | |||||||||||
BP Emerging Markets Fund | 22,140,818 | 2,727,662 | (1,381,960 | ) | 1,345,702 | |||||||||||
BP Long/Short Equity Fund | 61,725,904 | 26,356,810 | (2,788,050 | ) | 23,568,760 | |||||||||||
BP Long/Short Research Fund | 539,453,439 | 199,571,025 | (43,357,958 | ) | 156,213,067 | |||||||||||
BP Global Long/Short Fund | 142,353,446 | 20,814,447 | (9,159,839 | ) | 11,654,608 | |||||||||||
BP Emerging Markets Dynamic Equity Fund | 55,503,413 | 11,735,336 | (5,827,481 | ) | 5,907,855 |
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, 2023 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 | $(13,651,496 | ) | $13,651,496 | |||||
BP Small Cap Value Fund II | (11,704,308 | ) | 11,704,308 | |||||
WPG Select Small Cap Value Fund | — | — | ||||||
WPG Small Cap Value Diversified Fund | (109,773 | ) | 109,773 | |||||
BP Global Sustainability Fund | — | — | ||||||
BP Global Equity Fund | — | — | ||||||
BP Emerging Markets Fund | — | — | ||||||
BP Long/Short Equity Fund | — | — | ||||||
BP Long/Short Research Fund | 40 | (40 | ) | |||||
BP Global Long/Short Fund | — | — | ||||||
BP Emerging Markets Dynamic Equity Fund | — | — |
Semi-Annual Report 2024 | 95
BOSTON PARTNERS INVESTMENT FUNDS
NOTES TO FINANCIAL STATEMENTS (continued)
February 29, 2024
As of August 31, 2023, 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 | $15,911,785 | $109,868,566 | $ | — | $ | — | $ | — | $ | 513,259,682 | ||||||||||||||
BP Small Cap Value Fund II | 3,248,736 | 47,248,132 | — | — | — | 131,536,160 | ||||||||||||||||||
WPG Select Small Cap Value Fund | 13,481,013 | 892,005 | — | — | — | 6,321,933 | ||||||||||||||||||
WPG Small Cap Value Diversified Fund | 471,974 | 1,641,968 | — | — | — | 3,314,020 | ||||||||||||||||||
BP Global Sustainability Fund | 344,985 | — | (2,642,578 | ) | — | — | 1,910,978 | |||||||||||||||||
BP Global Equity Fund | 3,604,107 | — | (12,623,653 | ) | — | — | 28,239,245 | |||||||||||||||||
BP Emerging Markets Fund | 346,887 | — | (4,283,521 | ) | — | — | 1,345,144 | |||||||||||||||||
BP Long/Short Equity Fund | 5,479,165 | 5,474,652 | — | — | — | 23,291,642 | ||||||||||||||||||
BP Long/Short Research Fund | 25,433,223 | 41,490,067 | — | — | (23,139 | ) | 155,638,646 | |||||||||||||||||
BP Global Long/Short Fund | 2,313,704 | — | (141,607 | ) | — | (2,156,788 | ) | 11,502,917 | ||||||||||||||||
BP Emerging Markets Dynamic Equity Fund | — | — | (15,769,248 | ) | (3,516,024 | ) | — | 5,899,907 |
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, 2023 was as follows:
2023 | 2022 | ||||||||||||||||||||||
FUND | ORDINARY INCOME | LONG-TERM GAINS | TOTAL | ORDINARY INCOME | LONG-TERM GAINS | TOTAL | |||||||||||||||||
BP All-Cap Value Fund | $ | 24,105,403 | $ | 91,006,985 | $ | 115,112,388 | $ | 42,230,699 | $ | 61,493,948 | $ | 103,724,647 | |||||||||||
BP Small Cap Value Fund II | 6,797,983 | 45,094,686 | 51,892,669 | 17,060,225 | 42,632,065 | 59,692,290 | |||||||||||||||||
WPG Select Small Cap Value Fund | 111,741 | — | 111,741 | — | — | — | |||||||||||||||||
WPG Small Cap Value Diversified Fund | 1,862,975 | 2,806,618 | 4,669,593 | 417,759 | — | 417,759 | |||||||||||||||||
BP Global Sustainability Fund | 313,835 | — | 313,835 | — | — | — | |||||||||||||||||
BP Global Equity Fund | 2,771,850 | — | 2,771,850 | 3,282,335 | — | 3,282,335 | |||||||||||||||||
BP Emerging Markets Fund | 651,962 | — | 651,962 | 926,742 | 303,862 | 1,230,604 | |||||||||||||||||
BP Long/Short Equity Fund | 3,983,135 | 4,087,413 | 8,070,548 | — | 2,791,078 | 2,791,078 | |||||||||||||||||
BP Long/Short Research Fund | 59,860,157 | 86,589,335 | 146,449,492 | — | 87,734,542 | 87,734,542 | |||||||||||||||||
BP Global Long/Short Fund | 3,244,316 | — | 3,244,316 | — | — | — | |||||||||||||||||
BP Emerging Markets Dynamic Equity Fund | 11,778,440 | — | 11,778,440 | 36,249 | — | 36,249 |
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, 2023, any amount of losses elected within the tax return will not be recognized for federal income tax purposes until September 1, 2023.
96 | Semi-Annual Report 2024
BOSTON PARTNERS INVESTMENT FUNDS
NOTES TO FINANCIAL STATEMENTS (continued)
February 29, 2024
For the fiscal year ended August 31, 2023, the Funds deferred to September 1, 2023, 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 | — | — | ||||||
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 | 3,516,024 | — |
Accumulated capital losses represent net capital loss carryforwards as of August 31, 2023 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 current fiscal period, the BP Global Equity Fund had utilized $7,152,860, and BP Global Long/Short Fund had utilized $9,016,955 of carry forward capital losses.
As of August 31, 2023, the BP Global Sustainability Fund had short-term post-enactment capital losses of $2,382,304 and long-term post-enactment capital losses of $260,274. The BP Global Equity Fund had short-term post-enactment capital losses of $12,623,653. The BP Emerging Markets Fund had short-term post-enactment capital losses of $4,191,007 and long-term post-enactment capital losses of $92,514. The BP Global Long/Short Fund had short-term post-enactment capital losses of $141,607. The BP Emerging Markets Dynamic Equity Fund had short-term post-enactment capital losses of $15,769,248. 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 | $ | 66,056,324 | $ | 67,457,486 | $ | 55,576 | ||||||
BP Small Cap Value Fund II | 99,853,478 | 100,833,185 | 322,953 | |||||||||
WPG Small Cap Value Diversified Fund | 5,361,539 | 5,515,103 | 7,654 | |||||||||
BP Global Equity Fund | 11,231,378 | 11,482,091 | 8,161 | |||||||||
BP Long/Short Equity Fund | 9,082,288 | 9,341,219 | 30,665 |
Semi-Annual Report 2024 | 97
BOSTON PARTNERS INVESTMENT FUNDS
NOTES TO FINANCIAL STATEMENTS (continued)
February 29, 2024
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 | $ | 66,056,324 | — | $ | 66,056,324 | $ | (66,056,324 | ) | — | — | ||||||||||||||
BP Small Cap Value Fund II | 99,853,478 | — | 99,853,478 | (99,853,478 | ) | — | — | |||||||||||||||||
WPG Small Cap Value Diversified Fund | 5,361,539 | — | 5,361,539 | (5,361,539 | ) | — | — | |||||||||||||||||
BP Global Equity Fund | 11,231,378 | — | 11,231,378 | (11,231,378 | ) | — | — | |||||||||||||||||
BP Long/Short Equity Fund | 9,082,288 | — | 9,082,288 | (9,082,288 | ) | — | — |
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 12, 2023. The LoC will mature, unless renewed, on September 10, 2024. 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 8.50% at February 29, 2024.
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 | 6 | $24,318,500 | $40,166,000 | $ 34,451 | 8.50 | % | ||||||||||||||
BP Small Cap Value Fund II | 7 | 2,345,571 | 4,264,000 | 3,877 | 8.50 | % | ||||||||||||||
WPG Select Small Cap Value Fund | 2 | 20,000,000 | 20,000,000 | 9,444 | 8.50 | % | ||||||||||||||
BP Global Sustainability Fund | 1 | 4,667,000 | 4,667,000 | 1,102 | 8.50 | % | ||||||||||||||
BP Global Equity Fund | 3 | 1,497,000 | 1,497,000 | 1,060 | 8.50 | % | ||||||||||||||
BP Emerging Markets Fund | 3 | 100,000 | 121,000 | 71 | 8.50 | % | ||||||||||||||
BP Long/Short Equity Fund | 63 | 914,857 | 2,883,000 | 13,608 | 8.50 | % | ||||||||||||||
BP Long/Short Research Fund | 32 | 6,938,000 | 18,722,000 | 52,420 | 8.50 | % | ||||||||||||||
BP Emerging Markets Dynamic Equity Fund | 8 | 69,875 | 95,000 | 132 | 8.50 | % |
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.
In October 2022, the SEC adopted a final rule relating to tailored shareholder reports for mutual funds and exchange-traded funds and fee information in investment company advertisements. Beginning in July 2024, the Funds will be required to transmit concise and visually engaging shareholder reports that highlight key information. The Funds will also be required to tag information in a structured data format and that certain more in-depth information be made available online and available for delivery free of charge to investors on request.
98 | Semi-Annual Report 2024
BOSTON PARTNERS INVESTMENT FUNDS
NOTES TO FINANCIAL STATEMENTS (concluded)
February 29, 2024
In December 2022, the FASB issued an Accounting Standards Update, ASU 2022-06, Reference Rate Reform (Topic 848) - Deferral of the Sunset Date of Topic 848 (“ASU 2022-06”). ASU 2022-06 is an amendment to ASU 2020-04, which provided optional guidance to ease the potential accounting burden due to the discontinuation of the London Inter-Bank Offered Rate and other interbank-offered based reference rates and which was effective as of March 12, 2020 through December 31, 2022. ASU 2022-06 extends the effective period through December 31, 2024. Management is currently evaluating the impact, if any, of applying ASU 2022-06.
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 2024 | 99
BOSTON PARTNERS INVESTMENT FUNDS
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 Form N-PORT filings are available on the SEC’s website at http://www.sec.gov.
100 | Semi-Annual Report 2024
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
3 Canal Plaza, Suite 100
Portland, ME 04101
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-SAR24 |
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 29, 2024
(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.
Campbell Systematic Macro Fund
Performance Data
February 29, 2024 (Unaudited)
Average annual total returns for the periods ended February 29, 2024 |
||||||
SIX |
ONE |
FIVE |
TEN |
SINCE |
||
Class A Shares (without sales charge) |
-0.22% |
-3.91% |
10.67% |
5.56% |
4.78% |
|
Class A Shares (with sales charge) |
-3.72% |
-7.25% |
9.87% |
5.18% |
4.44% |
|
BarclayHedge BTOP50 Index (3)(4) |
4.06% |
2.17% |
8.19% |
4.08% |
3.50% |
|
S&P 500® Total Return Index (3)(5) |
13.92% |
30.44% |
14.77% |
12.71% |
13.80% |
(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, 2023, is 2.12% 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, 2024 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 29, 2024 (Unaudited)
Average annual total returns for the periods Ended February 29, 2024 |
||||||
SIX |
ONE |
FIVE |
TEN |
SINCE |
||
Class C Shares (without contingent deferred sales charge) (Pro forma March 8, 2013 to February 11, 2014)* |
-0.62% |
-4.67% |
9.82% |
4.77% |
4.87% |
|
Class C Shares (with contingent deferred sales charge) (Pro forma March 8, 2013 to February 11, 2014)* |
-1.60% |
-5.61% |
9.82% |
4.77% |
4.87% |
|
BarclayHedge BTOP50 Index (3)(4) |
4.06% |
2.17% |
8.19% |
4.08% |
4.02% |
|
S&P 500® Total Return Index (3)(5) |
13.92% |
30.44% |
14.77% |
12.71% |
13.09% |
* |
Class C Shares performance prior to its inception on February 11, 2014 is the performance of Class I shares, adjusted for the Class C Shares expense ratio. |
(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 Fund only and is not the inception date of the benchmark itself. The above is shown for illustrative purposes only. |
(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, 2023, is 2.87% 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, 2024 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.
2
Campbell Systematic Macro Fund
Performance Data (Continued)
February 29, 2024 (Unaudited)
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
Performance Data (Concluded)
February 29, 2024 (Unaudited)
Average annual total returns for the periods ended February 29, 2024 |
||||||
SIX |
ONE |
FIVE |
TEN |
SINCE |
||
Class I Shares |
-0.06% |
-3.61% |
10.93% |
5.83% |
5.05% |
|
BarclayHedge BTOP50 Index (3)(4) |
4.06% |
2.17% |
8.19% |
4.08% |
3.50% |
|
S&P 500® Total Return Index (3)(5) |
13.92% |
30.44% |
14.77% |
12.71% |
13.80% |
(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, 2023, is 1.87% 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, 2024 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.
Standard & Poor’s 500 Composite Stock Index (S&P 500 Index)
The 500 stocks in the S&P 500 are chosen by Standard & Poor’s based on industry representation, liquidity and stability. The stocks in the S&P 500 are not the 500 largest companies; rather the Index is designed to capture the returns of many different sectors of the U.S. economy. This index includes dividends reinvested.
4
Campbell Systematic Macro Fund
Fund Expense Example
February 29, 2024 (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, 2023 through February 29, 2024, 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 |
Ending |
Expenses |
Annualized |
Actual |
|
Actual |
|||||
Class A Shares |
$1,000.00 |
$997.80 |
$9.93 |
2.00% |
-0.22% |
Class C Shares |
1,000.00 |
993.80 |
13.63 |
2.75% |
-0.62% |
Class I Shares |
1,000.00 |
999.40 |
8.70 |
1.75% |
-0.06% |
Hypothetical (5% return before expenses) |
|||||
Class A Shares |
$1,000.00 |
$1,014.92 |
$10.02 |
2.00% |
N/A |
Class C Shares |
1,000.00 |
1,011.19 |
13.75 |
2.75% |
N/A |
Class I Shares |
1,000.00 |
1,016.16 |
8.77 |
1.75% |
N/A |
* |
Expenses are equal to the Fund’s annualized six-month expense ratio for the period September 1, 2023 to February 29, 2024, multiplied by the average account value over the period, multiplied by the number of days (182) in the most recent fiscal half-year, then divided by 366 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. |
5
Campbell Systematic Macro Fund
Consolidated Portfolio Holdings Summary Table
February 29, 2024 (Unaudited)
The following table presents a consolidated summary of the portfolio holdings of the Fund:
SECURITY TYPE/CLASSIFICATION |
% OF NET |
Value |
||||||
SHORT-TERM INVESTMENTS |
||||||||
U.S. Treasury Bills |
73.6 | % | $ | 710,811,661 | ||||
Money Market Deposit Accounts |
8.0 | 77,721,006 | ||||||
OTHER ASSETS IN EXCESS OF LIABILITIES |
18.4 | 178,015,032 | ||||||
NET ASSETS |
100.0 | % | $ | 966,547,699 |
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.
6
Campbell Systematic Macro Fund
Consolidated Portfolio of Investments
February 29, 2024 (Unaudited)
PAR |
Value |
|||||||
SHORT-TERM INVESTMENTS — 73.6% |
||||||||
U.S. Treasury Bills — 73.6% |
||||||||
5.41%, 03/07/2024(a) |
100,000,000 | $ | 99,912,450 | |||||
5.44%, 04/11/2024(a) |
110,000,000 | 109,338,721 | ||||||
5.31%, 05/16/2024(a) |
125,000,000 | 123,619,465 | ||||||
5.29%, 05/23/2024(a) |
100,000,000 | 98,793,042 | ||||||
5.14%, 07/05/2024(a) |
135,000,000 | 132,563,318 | ||||||
5.12%, 08/08/2024(a) |
150,000,000 | 146,584,665 | ||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $710,997,603) |
710,811,661 | |||||||
TOTAL INVESTMENTS — 73.6% (Cost $710,997,603) |
$ | 710,811,661 | ||||||
Money Market Deposit Account — 8.0%(b) |
77,721,006 | |||||||
Other Assets in Excess of Liabilities — 18.4% |
178,015,032 | |||||||
TOTAL NET ASSETS — 100.0% |
$ | 966,547,699 |
Percentages are stated as a percent of net assets.
(a) |
The rate shown is the effective yield. |
(b) |
The U.S. Bank Money Market Deposit Account (the “MMDA”) is a short-term vehicle in which the Fund holds cash balances. The MMDA will bear interest at a variable rate that is determined based on market conditions and is subject to change daily. The rate as of February 29, 2024 was 5.20%. |
The accompanying notes are an integral part of the consolidated financial statements.
7
Campbell Systematic Macro Fund
Consolidated Portfolio of Investments (Continued)
February 29, 2024 (Unaudited)
Futures contracts outstanding as of February 29, 2024 were as follows:
Description |
Contracts |
Expiration |
Notional |
Value / Unrealized |
||||||||||||
3 Month Canadian Bankers’ Acceptances |
14 | 03/19/2025 | $ | 2,468,298 | $ | (2,790 | ) | |||||||||
Arabica Coffee |
408 | 05/20/2024 | 28,205,550 | (413,620 | ) | |||||||||||
ASX SPI 200 Index |
567 | 03/21/2024 | 70,577,396 | 1,237,783 | ||||||||||||
Austrailian Government 10 Year Bonds |
662 | 03/15/2024 | 49,491,509 | 108,012 | ||||||||||||
Brent Crude Oil |
223 | 04/30/2024 | 18,103,140 | (140,674 | ) | |||||||||||
CAC40 10 Euro Index |
412 | 03/15/2024 | 35,360,469 | 366,044 | ||||||||||||
Canadian 10 Year Government Bonds |
1241 | 06/19/2024 | 109,611,075 | 95,469 | ||||||||||||
Cotton No.2 |
504 | 05/08/2024 | 25,091,640 | 1,298,618 | ||||||||||||
Crude Oil |
140 | 03/20/2024 | 10,956,400 | (127,439 | ) | |||||||||||
Dow Jones Industrial Average Index |
204 | 03/15/2024 | 39,823,860 | 987,831 | ||||||||||||
Euro STOXX 50 Quanto Index |
962 | 03/15/2024 | 50,884,398 | 126,222 | ||||||||||||
Feeder Cattle |
218 | 04/25/2024 | 27,656,025 | 52,529 | ||||||||||||
FTSE 100 Index |
468 | 03/15/2024 | 45,054,304 | (146,309 | ) | |||||||||||
FTSE China A50 Index |
2076 | 03/28/2024 | 24,646,272 | (4,727 | ) | |||||||||||
FTSE/JSE Top 40 Index |
34 | 03/20/2024 | 1,173,922 | (12,936 | ) | |||||||||||
FTSE/MIB Index |
204 | 03/15/2024 | 35,971,856 | 1,703,411 | ||||||||||||
Hang Seng Index |
170 | 03/27/2024 | 17,860,911 | (268,696 | ) | |||||||||||
IBEX 35 Index |
333 | 03/15/2024 | 36,088,916 | 50,924 | ||||||||||||
Live Cattle |
76 | 04/30/2024 | 5,634,640 | (16,400 | ) | |||||||||||
London Metals - Aluminum |
2867 | 03/18/2024 | 157,485,744 | (2,906,699 | ) | |||||||||||
London Metals - Aluminum |
246 | 06/17/2024 | 13,757,673 | 87,690 | ||||||||||||
London Metals - Copper |
1795 | 03/18/2024 | 378,161,625 | 694,690 | ||||||||||||
London Metals - Copper |
197 | 06/17/2024 | 41,909,288 | 185,177 | ||||||||||||
London Metals - Zinc |
1397 | 03/18/2024 | 83,584,256 | (1,918,146 | ) | |||||||||||
London Metals - Zinc |
140 | 06/17/2024 | 8,514,625 | 101,561 | ||||||||||||
Low Sulphur Gas Oil |
407 | 04/11/2024 | 32,814,375 | (359,450 | ) | |||||||||||
MSCI Singapore Index |
482 | 03/27/2024 | 10,083,832 | (16,364 | ) | |||||||||||
Nasdaq 100 Index |
87 | 03/15/2024 | 31,463,985 | 147,619 | ||||||||||||
Nifty 50 Index |
957 | 03/28/2024 | 42,475,488 | (327,956 | ) | |||||||||||
Nikkei 225 Index |
181 | 03/07/2024 | 47,399,013 | 792,867 | ||||||||||||
NY Harbor ULSD |
353 | 03/28/2024 | 39,287,417 | (1,412,415 | ) | |||||||||||
OMXS30 Index |
1515 | 03/15/2024 | 35,907,885 | 1,220,641 | ||||||||||||
Palladium |
9 | 06/26/2024 | 852,120 | (29,822 | ) | |||||||||||
Russell 2000 Index |
32 | 03/15/2024 | 3,291,680 | 67,898 | ||||||||||||
S&P Mid Cap 400 Index |
29 | 03/15/2024 | 8,388,540 | 255,795 | ||||||||||||
S&P/Toronto Stock Exchange 60 Index |
248 | 03/14/2024 | 47,167,785 | 259,004 | ||||||||||||
SGX FTSE Taiwan Index |
819 | 03/28/2024 | 52,956,540 | 100,182 | ||||||||||||
Silver |
260 | 05/29/2024 | 29,750,500 | (98,277 | ) | |||||||||||
Sugar #11 |
665 | 04/30/2024 | 16,154,712 | (830,540 | ) | |||||||||||
TOPIX Index |
317 | 03/07/2024 | 56,688,701 | 3,128,563 | ||||||||||||
U.S. Treasury Long Bonds |
454 | 06/18/2024 | 54,139,500 | (53,875 | ) | |||||||||||
$ | 3,981,395 |
The accompanying notes are an integral part of the consolidated financial statements.
8
Campbell Systematic Macro Fund
Consolidated Portfolio of Investments (Continued)
February 29, 2024 (Unaudited)
Description |
Contracts |
Expiration |
Notional |
Value / Unrealized |
||||||||||||
3 Month Euribor |
(1834) | 03/17/2025 | $ | 481,746,113 | $ | 1,900,597 | ||||||||||
3-Month Secured Overnight Financing Rate |
(1605) | 09/16/2025 | 385,280,250 | (115,727 | ) | |||||||||||
Austrailian Government 3 Year Bonds |
(901) | 03/15/2024 | 62,356,781 | 19,336 | ||||||||||||
Australian 90 Day Bank Bills |
(718) | 03/13/2025 | 462,222,349 | (31,820 | ) | |||||||||||
Copper |
(181) | 05/29/2024 | 17,407,675 | 40,065 | ||||||||||||
Corn No. 2 Yellow |
(1402) | 05/14/2024 | 30,107,950 | 805,066 | ||||||||||||
Crude Soybean Oil |
(1691) | 05/14/2024 | 45,870,066 | 1,666,540 | ||||||||||||
Euro BUXL 30 Year Bonds |
(92) | 06/06/2024 | 13,252,518 | (167,129 | ) | |||||||||||
Euro-BOBL |
(698) | 06/06/2024 | 88,838,010 | (167,653 | ) | |||||||||||
Euro-BTP |
(22) | 06/06/2024 | 2,793,156 | (16,593 | ) | |||||||||||
Euro-Bund |
(1743) | 06/06/2024 | 249,156,089 | (813,038 | ) | |||||||||||
Euro-SCHATZ |
(1388) | 06/06/2024 | 158,535,991 | (86,215 | ) | |||||||||||
French Government Bonds |
(126) | 06/06/2024 | 17,353,530 | (53,164 | ) | |||||||||||
German Stock Index |
(25) | 03/15/2024 | 11,988,781 | (14,430 | ) | |||||||||||
Gold |
(11) | 04/26/2024 | 2,260,170 | (1,297 | ) | |||||||||||
Hang Seng China Enterprises Index |
(32) | 03/27/2024 | 1,160,943 | 21,208 | ||||||||||||
Hard Red Winter Wheat |
(52) | 05/14/2024 | 1,526,850 | (30,982 | ) | |||||||||||
ICE 3 Month SONIA Rate |
(755) | 06/17/2025 | 228,051,076 | 654,127 | ||||||||||||
Japanese 10 Year Government Bonds |
(22) | 03/13/2024 | 21,462,914 | (6,492 | ) | |||||||||||
London Metals - Aluminum |
(2867) | 03/18/2024 | 157,485,744 | 3,118,012 | ||||||||||||
London Metals - Aluminum |
(1527) | 06/17/2024 | 85,398,239 | 170,570 | ||||||||||||
London Metals - Copper |
(1795) | 03/18/2024 | 378,161,625 | (2,526,442 | ) | |||||||||||
London Metals - Copper |
(354) | 06/17/2024 | 75,309,075 | (1,287,385 | ) | |||||||||||
London Metals - Zinc |
(1397) | 03/18/2024 | 83,584,256 | 4,722,142 | ||||||||||||
London Metals - Zinc |
(501) | 06/17/2024 | 30,470,194 | (1,255,554 | ) | |||||||||||
Long Gilt |
(409) | 06/26/2024 | 50,642,275 | (495,155 | ) | |||||||||||
MSCI EAFE Index |
(62) | 03/15/2024 | 7,092,490 | (183,603 | ) | |||||||||||
MSCI Emerging Markets Index |
(159) | 03/15/2024 | 8,083,560 | (158,185 | ) | |||||||||||
Natural Gas |
(444) | 03/26/2024 | 8,258,400 | (380,694 | ) | |||||||||||
Platinum |
(234) | 04/26/2024 | 10,342,800 | 273,442 | ||||||||||||
Reformulated Gasoline Blendstock |
(173) | 03/28/2024 | 18,753,546 | (120,303 | ) | |||||||||||
S&P 500 Index |
(23) | 03/15/2024 | 5,869,313 | (8,989 | ) | |||||||||||
Soybean Meal |
(362) | 05/14/2024 | 11,917,040 | 325,137 | ||||||||||||
Soybeans |
(372) | 05/14/2024 | 21,217,950 | 59,902 | ||||||||||||
U.S. Treasury 10 Year Notes |
(848) | 06/18/2024 | 93,651,000 | (228,224 | ) | |||||||||||
U.S. Treasury 2 Year Notes |
(693) | 06/28/2024 | 141,891,750 | (77,784 | ) | |||||||||||
U.S. Treasury 5 Year Note |
(1112) | 06/28/2024 | 118,879,750 | (124,714 | ) | |||||||||||
U.S. Treasury Ultra Bonds |
(243) | 06/18/2024 | 31,073,625 | (448,571 | ) | |||||||||||
US Cocoa |
(23) | 05/15/2024 | 1,391,270 | 11,691 | ||||||||||||
Wheat |
(1357) | 05/14/2024 | 39,098,563 | 500,127 | ||||||||||||
$ | 5,487,819 | |||||||||||||||
Total Futures Contracts |
$ | 9,469,214 |
The accompanying notes are an integral part of the consolidated financial statements.
9
Campbell Systematic Macro Fund
Consolidated Portfolio of Investments (Continued)
February 29, 2024 (Unaudited)
Forward foreign currency contracts outstanding as of February 29, 2024 were as follows:
Settlement |
Currency Purchased |
|
Currency Sold |
|
Counterparty |
Value / |
|||||||||||||||||
03/20/2024 | AUD |
1,426,100,000 | USD |
943,268,444 | UBS | $ | (15,706,154 | ) | |||||||||||||||
03/20/2024 | BRL |
566,950,000 | USD |
113,992,652 | UBS | (190,639 | ) | ||||||||||||||||
03/20/2024 | CAD |
2,169,500,000 | USD |
1,614,839,032 | UBS | (15,785,725 | ) | ||||||||||||||||
03/20/2024 | CHF |
45,550,000 | USD |
52,696,278 | UBS | (1,075,883 | ) | ||||||||||||||||
03/20/2024 | CLP |
50,980,000,000 | USD |
56,400,732 | UBS | (3,685,176 | ) | ||||||||||||||||
03/20/2024 | CNH |
23,600,000 | USD |
3,318,477 | UBS | (39,074 | ) | ||||||||||||||||
03/20/2024 | COP |
425,520,000,000 | USD |
106,020,027 | UBS | 2,016,693 | |||||||||||||||||
03/20/2024 | CZK |
896,000,000 | USD |
39,613,549 | UBS | (1,407,254 | ) | ||||||||||||||||
03/20/2024 | EUR |
1,301,500,000 | USD |
1,415,628,058 | UBS | (7,798,684 | ) | ||||||||||||||||
03/20/2024 | GBP |
1,694,400,000 | USD |
2,149,399,218 | UBS | (10,294,743 | ) | ||||||||||||||||
03/20/2024 | HUF |
40,395,000,000 | USD |
114,256,719 | UBS | (3,243,665 | ) | ||||||||||||||||
03/20/2024 | IDR |
1,289,225,000,000 | USD |
82,805,303 | UBS | (812,753 | ) | ||||||||||||||||
03/20/2024 | INR |
12,269,000,000 | USD |
146,913,617 | UBS | 959,204 | |||||||||||||||||
03/21/2024 | JPY |
90,055,500,000 | USD |
621,325,599 | UBS | (18,599,148 | ) | ||||||||||||||||
03/20/2024 | KRW |
96,225,000,000 | USD |
73,116,150 | UBS | (776,104 | ) | ||||||||||||||||
03/20/2024 | MXN |
4,889,400,000 | USD |
280,690,544 | UBS | 5,232,302 | |||||||||||||||||
03/20/2024 | NOK |
1,932,900,000 | USD |
184,909,359 | UBS | (2,832,567 | ) | ||||||||||||||||
03/20/2024 | NZD |
1,025,600,000 | USD |
631,052,002 | UBS | (6,607,667 | ) | ||||||||||||||||
03/20/2024 | PHP |
6,458,250,000 | USD |
115,996,498 | UBS | (1,151,252 | ) | ||||||||||||||||
03/20/2024 | PLN |
709,350,000 | USD |
177,200,882 | UBS | 400,370 | |||||||||||||||||
03/20/2024 | SEK |
2,572,350,000 | USD |
248,081,182 | UBS | 275,367 | |||||||||||||||||
03/20/2024 | SGD |
251,124,000 | USD |
188,839,641 | UBS | (2,037,541 | ) | ||||||||||||||||
03/20/2024 | TWD |
2,249,550,000 | USD |
72,836,157 | UBS | (1,479,537 | ) | ||||||||||||||||
03/20/2024 | USD |
1,250,273,150 | AUD |
1,891,000,000 | UBS | 20,331,147 | |||||||||||||||||
03/20/2024 | USD |
126,582,401 | BRL |
628,100,000 | UBS | 505,950 | |||||||||||||||||
03/20/2024 | USD |
1,976,837,395 | CAD |
2,670,800,000 | UBS | 8,295,532 | |||||||||||||||||
03/20/2024 | USD |
96,252,625 | CHF |
83,200,000 | UBS | 1,964,659 | |||||||||||||||||
03/20/2024 | USD |
92,879,129 | CLP |
85,310,000,000 | UBS | 4,664,847 | |||||||||||||||||
03/20/2024 | USD |
56,242,862 | CNH |
399,700,000 | UBS | 701,437 | |||||||||||||||||
03/20/2024 | USD |
81,814,634 | COP |
327,180,000,000 | UBS | (1,254,208 | ) | ||||||||||||||||
03/20/2024 | USD |
92,726,128 | CZK |
2,092,400,000 | UBS | 3,504,197 | |||||||||||||||||
03/20/2024 | USD |
1,235,537,136 | EUR |
1,133,250,000 | UBS | 9,703,376 | |||||||||||||||||
03/20/2024 | USD |
1,923,129,518 | GBP |
1,518,800,000 | UBS | 5,712,216 | |||||||||||||||||
03/20/2024 | USD |
125,130,893 | HUF |
44,463,000,000 | UBS | 2,938,210 | |||||||||||||||||
03/20/2024 | USD |
108,307,917 | IDR |
1,684,025,000,000 | UBS | 1,206,749 | |||||||||||||||||
03/20/2024 | USD |
42,047,354 | INR |
3,506,000,000 | UBS | (208,911 | ) | ||||||||||||||||
03/21/2024 | USD |
581,216,924 | JPY |
84,741,000,000 | UBS | 14,059,536 | |||||||||||||||||
03/20/2024 | USD |
83,130,842 | KRW |
110,190,000,000 | UBS | 292,185 | |||||||||||||||||
03/20/2024 | USD |
242,605,315 | MXN |
4,185,000,000 | UBS | (2,125,553 | ) | ||||||||||||||||
03/20/2024 | USD |
440,657,701 | NOK |
4,732,950,000 | UBS | (5,180,342 | ) | ||||||||||||||||
03/20/2024 | USD |
625,848,187 | NZD |
1,016,750,000 | UBS | 6,792,241 | |||||||||||||||||
03/20/2024 | USD |
75,873,922 | PHP |
4,257,750,000 | UBS | 159,549 | |||||||||||||||||
03/20/2024 | USD |
127,260,390 | PLN |
509,850,000 | UBS | (391,683 | ) | ||||||||||||||||
03/20/2024 | USD |
174,875,624 | SEK |
1,794,900,000 | UBS | 1,580,711 | |||||||||||||||||
03/20/2024 | USD |
242,543,459 | SGD |
323,340,000 | UBS | 2,022,477 | |||||||||||||||||
03/20/2024 | USD |
152,612,392 | TWD |
4,728,150,000 | UBS | 2,633,596 |
The accompanying notes are an integral part of the consolidated financial statements.
10
Campbell Systematic Macro Fund
Consolidated Portfolio of Investments (Concluded)
February 29, 2024 (Unaudited)
Settlement |
Currency Purchased |
|
Currency Sold |
|
Counterparty |
Value / |
|||||||||||||||||
03/20/2024 | USD |
307,021,097 | ZAR |
5,833,200,000 | UBS | $ | 3,415,206 | ||||||||||||||||
03/20/2024 | ZAR |
5,048,600,000 | USD |
266,969,050 | UBS | (4,199,953 | ) | ||||||||||||||||
$ | (7,516,459 | ) |
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 29, 2024 (Unaudited)
ASSETS |
||||
Investments, at value (cost $710,997,603) |
$ | 710,811,661 | ||
Cash equivalents |
77,721,006 | |||
Deposits with brokers: |
||||
Futures contracts |
157,824,382 | |||
Forward foreign currency contracts |
8,963,797 | |||
Unrealized appreciation on forward foreign currency contracts |
99,367,760 | |||
Unrealized appreciation on futures contracts |
27,356,493 | |||
Receivable for capital shares sold |
10,795,616 | |||
Interest receivable |
465,420 | |||
Prepaid expenses and other assets |
140,416 | |||
Total assets |
1,093,446,551 | |||
LIABILITIES |
||||
Unrealized depreciation on forward foreign currency contracts |
$ | 106,884,219 | ||
Unrealized depreciation on futures contracts |
17,887,279 | |||
Payable for: |
||||
Advisory fees |
1,099,946 | |||
Capital shares redeemed |
838,791 | |||
Other accrued expenses and liabilities |
188,617 | |||
Total liabilities |
126,898,852 | |||
Net assets |
$ | 966,547,699 | ||
NET ASSETS CONSIST OF: |
||||
Par value |
$ | 104,115 | ||
Paid-in capital |
1,044,069,219 | |||
Total distributable earnings/(loss) |
(77,625,635 | ) | ||
Net assets |
$ | 966,547,699 | ||
CAPITAL SHARES: |
||||
Class A Shares: |
||||
Net assets applicable to Class A Shares |
$ | 55,827,846 | ||
Shares outstanding ($0.001 par value, 100,000,000 shares authorized) |
6,077,109 | |||
Net asset value, offering and redemption price per share |
$ | 9.19 | ||
Maximum offering price per share (100/96.5 of $9.19) |
$ | 9.52 | ||
Class C Shares: |
||||
Net assets applicable to Class C Shares |
$ | 17,850,477 | ||
Shares outstanding ($0.001 par value, 100,000,000 shares authorized) |
2,077,776 | |||
Net asset value, offering and redemption price per share |
$ | 8.59 | ||
Class I Shares: |
||||
Net assets applicable to Class I Shares |
$ | 892,869,376 | ||
Shares outstanding ($0.001 par value, 300,000,000 shares authorized) |
95,959,719 | |||
Net asset value, offering and redemption price per share |
$ | 9.30 |
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 29, 2024 (Unaudited)
INVESTMENT INCOME |
||||
Interest |
$ | 21,608,543 | ||
Total investment income |
21,608,543 | |||
EXPENSES |
||||
Advisory fees (Note 2) |
7,485,327 | |||
Transfer agent fees (Note 2) |
581,921 | |||
Distribution fees - Class A Shares |
72,774 | |||
Distribution fees - Class C Shares |
90,655 | |||
Administration and accounting fees (Note 2) |
88,863 | |||
Printing and shareholder reporting fees |
61,049 | |||
Registration and filing fees |
58,812 | |||
Director fees |
55,410 | |||
Officer fees |
41,527 | |||
Audit and tax service fees |
35,959 | |||
Legal fees |
33,333 | |||
Custodian fees (Note 2) |
14,896 | |||
Other expenses |
23,110 | |||
Total expenses before waivers and/or reimbursements |
8,643,636 | |||
Less: waivers and reimbursements (Note 2) |
(492,817 | ) | ||
Net expenses after waivers and/or reimbursements |
8,150,819 | |||
Net investment income/(loss) |
13,457,724 | |||
NET REALIZED AND UNREALIZED GAIN/(LOSS) FROM INVESTMENTS |
||||
Net realized gain/(loss) from: |
||||
Investments |
(1,111 | ) | ||
Futures contracts |
(8,306,870 | ) | ||
Foreign currency transactions |
(6,278,995 | ) | ||
Forward foreign currency contracts |
(20,740,769 | ) | ||
Net change in unrealized appreciation/(depreciation) on: |
||||
Investments |
88,001 | |||
Futures contracts |
16,365,311 | |||
Foreign currency translations |
(1,694,066 | ) | ||
Forward foreign currency contracts |
17,776 | |||
Net realized and unrealized gain/(loss) on investments |
(20,550,723 | ) | ||
NET INCREASE/(DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS |
$ | (7,092,999 | ) |
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 |
For the |
|||||||
INCREASE/(DECREASE) IN NET ASSETS FROM OPERATIONS: |
||||||||
Net investment income/(loss) |
$ | 13,457,724 | $ | 15,272,844 | ||||
Net realized gain/(loss) from investments, futures contracts, foreign currency transactions and forward foreign currency contracts |
(35,327,745 | ) | 16,880,850 | |||||
Net change in unrealized appreciation/(depreciation) on investments, future contracts, foreign currency translation and forward foreign currency contracts |
14,777,022 | (31,214,109 | ) | |||||
Net increase/(decrease) in net assets resulting from operations |
(7,092,999 | ) | 939,585 | |||||
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS: |
||||||||
Class A Shares |
(826,673 | ) | (9,548,573 | ) | ||||
Class C Shares |
(98,765 | ) | (2,517,507 | ) | ||||
Class I Shares |
(15,129,015 | ) | (88,730,836 | ) | ||||
Net decrease in net assets from dividends and distributions to shareholders |
(16,054,453 | ) | (100,796,916 | ) | ||||
CAPITAL SHARE TRANSACTIONS: |
||||||||
Class A Shares |
||||||||
Proceeds from shares sold |
5,157,382 | 34,402,233 | ||||||
Proceeds from reinvestment of distributions |
798,910 | 9,286,917 | ||||||
Shares redeemed |
(10,784,961 | ) | (38,161,798 | ) | ||||
Total from Class A Shares |
(4,828,669 | ) | 5,527,352 | |||||
Class C Shares |
||||||||
Proceeds from shares sold |
981,841 | 6,816,942 | ||||||
Proceeds from reinvestment of distributions |
92,450 | 2,388,732 | ||||||
Shares redeemed |
(1,553,050 | ) | (3,668,971 | ) | ||||
Total from Class C Shares |
(478,759 | ) | 5,536,703 | |||||
Class I Shares |
||||||||
Proceeds from shares sold |
378,217,108 | 703,679,347 | ||||||
Proceeds from reinvestment of distributions |
13,897,692 | 85,541,786 | ||||||
Shares redeemed |
(260,544,438 | ) | (473,269,758 | ) | ||||
Total from Class I Shares |
131,570,362 | 315,951,375 | ||||||
Net increase/(decrease) in net assets from capital share transactions |
126,262,934 | 327,015,430 | ||||||
Total increase/(decrease) in net assets |
103,115,482 | 227,158,099 |
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 |
For the |
|||||||
Net Assets: |
||||||||
Beginning of period |
$ | 863,432,217 | $ | 636,274,118 | ||||
End of period |
$ | 966,547,699 | $ | 863,432,217 | ||||
SHARE TRANSACTIONS: |
||||||||
Class A Shares |
||||||||
Shares sold |
562,244 | 3,439,596 | ||||||
Shares reinvested |
87,312 | 979,633 | ||||||
Shares redeemed |
(1,171,883 | ) | (3,977,081 | ) | ||||
Total from Class A Shares |
(522,327 | ) | 442,148 | |||||
Class C Shares |
||||||||
Shares sold |
113,671 | 704,756 | ||||||
Shares reinvested |
10,775 | 269,001 | ||||||
Shares redeemed |
(181,607 | ) | (401,028 | ) | ||||
Total from Class C Shares |
(57,161 | ) | 572,729 | |||||
Class I Shares |
||||||||
Shares sold |
40,274,987 | 70,564,733 | ||||||
Shares reinvested |
1,500,829 | 8,901,331 | ||||||
Shares redeemed |
(28,169,340 | ) | (48,628,923 | ) | ||||
Total from Class I Shares |
13,606,476 | 30,837,141 | ||||||
Net increase/(decrease) in shares outstanding |
13,026,988 | 31,852,018 |
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 |
For the |
For the |
For the |
For the |
For the |
For the |
||||||||||||||||||||||
Per Share Operating Performance |
||||||||||||||||||||||||||||
Net asset value, beginning of period |
$ | 9.37 | $ | 10.65 | $ | 8.76 | $ | 7.55 | $ | 9.81 | $ | 9.49 | $ | 9.36 | ||||||||||||||
Net investment income/(loss)(3) |
0.13 | 0.16 | (0.11 | ) | (0.16 | ) | (0.07 | ) | — | (4) | (0.03 | ) | ||||||||||||||||
Net realized and unrealized gain/(loss) on investments, futures, forward currency and swap contracts (5) |
(0.18 | ) | (0.05 | ) | 2.57 | 1.37 | (0.76 | ) | 1.45 | 0.16 | ||||||||||||||||||
Net increase/(decrease) in net assets resulting from operations |
(0.05 | ) | 0.11 | 2.46 | 1.21 | (0.83 | ) | 1.45 | 0.13 | |||||||||||||||||||
Dividends and distributions to shareholders from: |
||||||||||||||||||||||||||||
Net investment income |
(0.13 | ) | (0.20 | ) | (0.48 | ) | — | (0.79 | ) | (1.13 | ) | — | ||||||||||||||||
Net realized capital gain |
— | (1.19 | ) | (0.09 | ) | — | (0.64 | ) | — | — | ||||||||||||||||||
Total dividends and distributions to shareholders |
(0.13 | ) | (1.39 | ) | (0.57 | ) | — | (1.43 | ) | (1.13 | ) | — | ||||||||||||||||
Net asset value, end of period |
$ | 9.19 | $ | 9.37 | $ | 10.65 | $ | 8.76 | $ | 7.55 | $ | 9.81 | $ | 9.49 | ||||||||||||||
Total investment return (6) |
(0.22 | )%(7) | 0.93 | % | 30.09 | % | 16.03 | % | (8.86 | )%(7) | 17.73 | % | 1.39 | % |
The accompanying notes are an integral part of the consolidated financial statements.
16
Campbell Systematic Macro Fund
Consolidated Financial Highlights (Continued)
Class A |
||||||||||||||||||||||||||||
For the |
For the |
For the |
For the |
For the |
For the |
For the |
||||||||||||||||||||||
Ratios/Supplemental Data |
||||||||||||||||||||||||||||
Net assets, end of period (000’s omitted) |
$ | 55,828 | $ | 61,813 | $ | 65,549 | $ | 12,613 | $ | 10,365 | $ | 12,895 | $ | 14,744 | ||||||||||||||
Ratio of expenses to average net assets with waivers and reimbursements and/or recoupments (10) |
2.00 | %(8) | 2.00 | % | 2.00 | % | 2.03 | % | 2.15 | %(8) | 2.12 | % | 1.58 | % | ||||||||||||||
Ratio of expenses to average net assets without waivers and reimbursements and/or recoupments (9)(11) |
2.10 | %(8) | 2.12 | % | 2.16 | % | 2.36 | % | 2.51 | %(8) | 2.54 | % | 1.96 | % | ||||||||||||||
Ratio of net investment income/(loss) to average net assets |
2.74 | %(8) | 1.71 | % | (1.32 | )% | (1.93 | )% | (0.93 | )%(8) | (0.03 | )% | (0.32 | )% | ||||||||||||||
Portfolio turnover rate (12) |
0 | %(7) | 0 | % | 0 | % | 0 | % | 0 | %(7) | 15 | % | 122 | % |
(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. |
(10) Ratio of net expenses to average net assets excluding interest expense |
2.00% |
2.00% |
2.00% |
2.00% |
2.12% |
2.07% |
1.58% |
(11) Ratio of gross expenses to average net assets excluding interest expense(9) |
2.10% |
2.12% |
2.16% |
2.33% |
2.48% |
2.49% |
1.96% |
(12) |
Portfolio turnover excludes derivatives and 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 |
For the |
For the |
For the |
For the |
For the |
For the |
||||||||||||||||||||||
Per Share Operating Performance |
||||||||||||||||||||||||||||
Net asset value, beginning of period |
$ | 8.72 | $ | 10.02 | $ | 8.38 | $ | 7.28 | $ | 9.51 | $ | 9.20 | $ | 9.15 | ||||||||||||||
Net investment income/(loss)(3) |
0.09 | 0.09 | (0.20 | ) | (0.21 | ) | (0.12 | ) | (0.07 | ) | (0.10 | ) | ||||||||||||||||
Net realized and unrealized gain/(loss) on investments, futures, forward currency and swap contracts (4) |
(0.17 | ) | (0.05 | ) | 2.45 | 1.31 | (0.74 | ) | 1.42 | 0.15 | ||||||||||||||||||
Net increase/(decrease) in net assets resulting from operations |
(0.08 | ) | 0.04 | 2.25 | 1.10 | (0.86 | ) | 1.35 | 0.05 | |||||||||||||||||||
Dividends and distributions to shareholders from: |
||||||||||||||||||||||||||||
Net investment income |
(0.05 | ) | (0.15 | ) | (0.52 | ) | — | (0.73 | ) | (1.04 | ) | — | ||||||||||||||||
Net realized capital gain |
— | (1.19 | ) | (0.09 | ) | — | (0.64 | ) | — | — | ||||||||||||||||||
Total dividends and distributions to shareholders |
(0.05 | ) | (1.34 | ) | (0.61 | ) | — | (1.37 | ) | (1.04 | ) | — | ||||||||||||||||
Net asset value, end of period |
$ | 8.59 | $ | 8.72 | $ | 10.02 | $ | 8.38 | $ | 7.28 | $ | 9.51 | $ | 9.20 | ||||||||||||||
Total investment return (5) |
(0.62 | )%(6) | 0.22 | % | 29.13 | % | 15.11 | % | (9.49 | )%(6) | 16.88 | % | 0.55 | % |
The accompanying notes are an integral part of the consolidated financial statements.
18
Campbell Systematic Macro Fund
Consolidated Financial Highlights (Continued)
Class C |
||||||||||||||||||||||||||||
For the |
For the |
For the |
For the |
For the |
For the |
For the |
||||||||||||||||||||||
Ratios/Supplemental Data |
||||||||||||||||||||||||||||
Net assets, end of period (000’s omitted) |
$ | 17,850 | $ | 18,610 | $ | 15,654 | $ | 9,079 | $ | 9,087 | $ | 13,237 | $ | 15,676 | ||||||||||||||
Ratio of expenses to average net assets with waivers and reimbursements and/or recoupments (9) |
2.75 | %(7) | 2.75 | % | 2.75 | % | 2.78 | % | 2.88 | %(7) | 2.87 | % | 2.35 | % | ||||||||||||||
Ratio of expenses to average net assets without waivers and reimbursements and/or recoupments (8)(10) |
2.85 | %(7) | 2.87 | % | 2.91 | % | 3.11 | % | 3.27 | %(7) | 3.29 | % | 2.74 | % | ||||||||||||||
Ratio of net investment income/(loss) to average net assets |
1.99 | %(7) | 0.96 | % | (2.07 | )% | (2.67 | )% | (1.65 | )%(7) | (0.78 | )% | (1.05 | )% | ||||||||||||||
Portfolio turnover rate (11) |
0 | %(6) | 0 | % | 0 | % | 0 | % | 0 | %(6) | 15 | % | 122 | % |
(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% |
2.75% |
2.85% |
2.82% |
2.35% |
(10) Ratio of gross expenses to average net assets excluding interest expense(8) |
2.85% |
2.87% |
2.91% |
3.08% |
3.24% |
3.24% |
2.74% |
(11) |
Portfolio turnover excludes derivatives and 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 |
For the |
For the |
For the |
For the |
For the |
For the |
||||||||||||||||||||||
Per Share Operating Performance |
||||||||||||||||||||||||||||
Net asset value, beginning of period |
$ | 9.51 | $ | 10.77 | $ | 8.90 | $ | 7.65 | $ | 9.93 | $ | 9.59 | $ | 9.44 | ||||||||||||||
Net investment income/(loss)(3) |
0.14 | 0.20 | (0.09 | ) | (0.14 | ) | (0.07 | ) | 0.02 | (0.01 | ) | |||||||||||||||||
Net realized and unrealized gain/(loss) on investments, futures, forward currency and swap contracts (4) |
(0.19 | ) | (0.05 | ) | 2.59 | 1.39 | (0.77 | ) | 1.48 | 0.16 | ||||||||||||||||||
Net increase/(decrease) in net assets resulting from operations |
(0.05 | ) | 0.15 | 2.50 | 1.25 | (0.84 | ) | 1.50 | 0.15 | |||||||||||||||||||
Dividends and distributions to shareholders from: |
||||||||||||||||||||||||||||
Net investment income |
(0.16 | ) | (0.22 | ) | (0.54 | ) | — | (0.80 | ) | (1.16 | ) | — | ||||||||||||||||
Net realized capital gain |
— | (1.19 | ) | (0.09 | ) | — | (0.64 | ) | — | — | ||||||||||||||||||
Total dividends and distributions to shareholders |
(0.16 | ) | (1.41 | ) | (0.63 | ) | — | (1.44 | ) | (1.16 | ) | — | ||||||||||||||||
Net asset value, end of period |
$ | 9.30 | $ | 9.51 | $ | 10.77 | $ | 8.90 | $ | 7.65 | $ | 9.93 | $ | 9.59 | ||||||||||||||
Total investment return (5) |
(0.06 | )%(6) | 1.25 | % | 30.35 | % | 16.34 | % | (8.75 | )%(6) | 18.17 | % | 1.59 | % |
The accompanying notes are an integral part of the consolidated financial statements.
20
Campbell Systematic Macro Fund
Consolidated Financial Highlights (Concluded)
Class I |
||||||||||||||||||||||||||||
For the |
For the |
For the |
For the |
For the |
For the |
For the |
||||||||||||||||||||||
Ratios/Supplemental Data |
||||||||||||||||||||||||||||
Net assets, end of period (000’s omitted) |
$ | 892,869 | $ | 783,009 | $ | 555,072 | $ | 119,324 | $ | 115,431 | $ | 51,067 | $ | 89,456 | ||||||||||||||
Ratio of expenses to average net assets with waivers and reimbursements and/or recoupments (9) |
1.75 | %(7) | 1.75 | % | 1.75 | % | 1.78 | % | 1.88 | %(7) | 1.84 | % | 1.30 | % | ||||||||||||||
Ratio of expenses to average net assets without waivers and reimbursements and/or recoupments (8)(10) |
1.85 | %(7) | 1.87 | % | 1.91 | % | 2.11 | % | 2.24 | %(7) | 2.28 | % | 1.64 | % | ||||||||||||||
Ratio of net investment income/(loss) to average net assets |
2.99 | %(7) | 1.96 | % | (1.07 | )% | (1.68 | )% | (0.91 | )%(7) | 0.23 | % | (0.10 | )% | ||||||||||||||
Portfolio turnover rate (11) |
0 | %(6) | 0 | % | 0 | % | 0 | % | 0 | %(6) | 15 | % | 122 | % |
(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% |
1.75% |
1.85% |
1.80% |
1.30% |
(10) Ratio of gross expenses to average net assets excluding interest expense(8) |
1.85% |
1.87% |
1.91% |
2.08% |
2.21% |
2.24% |
1.64% |
(11) |
Portfolio turnover excludes derivatives and 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 29, 2024 (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 sixty-four 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, 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 92.723 billion shares are currently classified into two hundred and thirty-four classes of common stock. Each class represents an interest in an active or inactive RBB investment portfolio.
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 29, 2024, and the period covered by these Notes to Consolidated Financial Statements is the six months ended February 29, 2024 (the “current fiscal period”).
CONSOLIDATION OF SUBSIDIARY — The Campbell Systematic Macro Program is achieved by the Fund investing up to 25% of its total assets in the Campbell Systematic Macro Offshore Limited Fund (the “Subsidiary”), a wholly-owned and controlled subsidiary of the Fund 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 $41,196,157, which represented 4.26% of the Fund’s net assets.
22
Campbell Systematic Macro Fund
Notes To Consolidated Financial Statements (Continued)
February 29, 2024 (Unaudited)
PORTFOLIO VALUATION — The Fund’s net asset value (“NAV”) is calculated once daily at the close of regular trading hours on the New York Stock Exchange (“NYSE”) (generally 4:00 p.m. Eastern time) on each day the NYSE is open. Securities held by the Fund are valued using the closing price or the last 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 the Valuation Designee (as defined below) 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.
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.
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:
|
LEVEL 1 |
LEVEL 2 |
LEVEL 3 |
Total |
||||||||||||
Assets: |
||||||||||||||||
U.S. Treasury Bills |
$ | 710,811,661 | $ | — | $ | — | $ | 710,811,661 | ||||||||
Other Financial Instruments*: |
||||||||||||||||
Commodity Contracts |
||||||||||||||||
Futures Contracts |
$ | 14,112,959 | — | — | $ | 14,112,959 | ||||||||||
Equity Contracts |
||||||||||||||||
Futures Contracts |
10,465,992 | — | — | 10,465,992 | ||||||||||||
Interest Rate Contracts |
||||||||||||||||
Futures Contracts |
2,777,542 | — | — | 2,777,542 | ||||||||||||
Foreign Exchange Contracts |
||||||||||||||||
Forward Foreign Currency Contracts |
— | 99,367,760 | — | 99,367,760 | ||||||||||||
Total Assets |
$ | 738,168,154 | $ | 99,367,760 | $ | — | $ | 837,535,914 |
23
Campbell Systematic Macro Fund
Notes To Consolidated Financial Statements (Continued)
February 29, 2024 (Unaudited)
|
LEVEL 1 |
LEVEL 2 |
LEVEL 3 |
Total |
||||||||||||
Commodity Contracts |
||||||||||||||||
Futures Contracts |
$ | (13,856,140 | ) | — | — | $ | (13,856,140 | ) | ||||||||
Equity Contracts |
||||||||||||||||
Futures Contracts |
(1,142,195 | ) | — | — | (1,142,195 | ) | ||||||||||
Interest Rate Contracts |
||||||||||||||||
Futures Contracts |
(2,888,944 | ) | — | — | (2,888,944 | ) | ||||||||||
Foreign Exchange Contracts |
||||||||||||||||
Forward Foreign Currency Contracts |
— | (106,884,219 | ) | — | (106,884,219 | ) | ||||||||||
Total Liabilities |
$ | (17,887,279 | ) | $ | (106,884,219 | ) | $ | — | $ | (124,771,498 | ) |
* |
The fair value of the Fund’s investment represents the net unrealized appreciation (depreciation) as of February 29, 2024. |
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.
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.
24
Campbell Systematic Macro Fund
Notes To Consolidated Financial Statements (Continued)
February 29, 2024 (Unaudited)
The following table lists the fair values of the Fund’s derivative holdings as of the end of the current fiscal period, grouped by contract type and risk exposure category.
Derivative Type |
CONSOLIDATED |
Commodity |
Equity |
Interest |
Foreign |
Total |
||||||||||||||||||
Asset Derivatives |
||||||||||||||||||||||||
Futures Contracts (a) |
Unrealized appreciation on futures contracts | $ | 14,112,959 | $ | 10,465,992 | $ | 2,777,542 | $ | — | $ | 27,356,493 | |||||||||||||
Forward Contracts (a) |
Unrealized appreciation on forward foreign currency contracts | — | — | — | 99,367,760 | 99,367,760 | ||||||||||||||||||
Total Value - Assets |
$ | 14,112,959 | $ | 10,465,992 | $ | 2,777,542 | $ | 99,367,760 | $ | 126,724,253 | ||||||||||||||
Liability Derivatives |
||||||||||||||||||||||||
Futures Contracts (a) |
Unrealized depreciation on futures contracts | $ | (13,856,140 | ) | $ | (1,142,195 | ) | $ | (2,888,944 | ) | $ | — | $ | (17,887,279 | ) | |||||||||
Forward Contracts (a) |
Unrealized depreciation on forward foreign currency contracts | — | — | — | (106,884,219 | ) | (106,884,219 | ) | ||||||||||||||||
Total Value - Liabilities |
$ | (13,856,140 | ) | $ | (1,142,195 | ) | $ | (2,888,944 | ) | $ | (106,884,219 | ) | $ | (124,771,498 | ) |
(a) |
This amount represents the cumulative appreciation/(depreciation) of forward and futures contracts as reported in 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 |
Commodity |
Equity |
Interest |
Foreign |
Total |
||||||||||||||||||
Realized Gain (Loss) |
||||||||||||||||||||||||
Futures Contracts |
Net realized gain/(loss) from futures contracts | $ | (22,995,166 | ) | $ | 36,414,018 | $ | (21,725,722 | ) | $ | — | $ | (8,306,870 | ) | ||||||||||
Forward Contracts |
Net realized gain/(loss) from forward foreign currency contracts | — | — | — | (20,740,769 | ) | (20,740,769 | ) | ||||||||||||||||
Total Realized Gain/(Loss) |
|
$ | (22,995,166 | ) | $ | 36,414,018 | $ | (21,725,722 | ) | $ | (20,740,769 | ) | $ | (29,047,639 | ) |
25
Campbell Systematic Macro Fund
Notes To Consolidated Financial Statements (Continued)
February 29, 2024 (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 |
Commodity |
Equity |
Interest |
Foreign |
Total |
||||||||||||||||||
Change in Unrealized Appreciation/(Depreciation) |
||||||||||||||||||||||||
Futures Contracts |
Net change in unrealized appreciation/(depreciation) on futures contracts | $ | 2,193,310 | $ | 9,276,776 | $ | 4,895,225 | $ | — | $ | 16,365,311 | |||||||||||||
Forward Contracts |
Net change in unrealized appreciation/(depreciation) on forward foreign currency contracts | — | — | — | 17,776 | 17,776 | ||||||||||||||||||
Total Change in Unrealized Appreciation/(Depreciation) |
$ | 2,193,310 | $ | 9,276,776 | $ | 4,895,225 | $ | 17,776 | $ | 16,383,087 |
During the current fiscal period, the Fund’s quarterly average volume of derivatives was as follows:
Long Futures |
Short Futures |
Forward Foreign |
Forward Foreign |
||||||||||||
$1,830,027,893 | $(3,964,229,095) | $(16,638,087,311) | $16,626,455,716 |
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 29, 2024 (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 |
Gross Amount Not |
||||||||||||||||||||||||||||||||
Description |
Gross Amount |
Financial |
Collateral |
Net |
Gross Amount |
Financial |
Collateral |
Net |
|||||||||||||||||||||||||
Assets |
Liabilities |
||||||||||||||||||||||||||||||||
Forward Foreign Currency Contracts |
$ | 99,367,760 | $ | (99,367,760 | ) | $ | — | $ | — | $ | 106,884,219 | $ | (99,367,760 | ) | $ | (7,516,459 | ) | $ | — |
(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 (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 29, 2024 (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 29, 2024 (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.
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.
29
Campbell Systematic Macro Fund
Notes To Consolidated Financial Statements (Continued)
February 29, 2024 (Unaudited)
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, 2024 and may not be terminated without the approval of the Board. The Adviser may discontinue this arrangement at any time after December 31, 2024.
Expense Cap |
|||
Advisory Fee |
Class A |
Class C |
Class I |
1.64% |
2.00% |
2.75% |
1.75% |
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.
During the current fiscal period, investment advisory fees accrued, waived and/or reimbursed by the Adviser were as follows:
Gross |
Waivers and/or |
Net |
$7,485,327 |
$(492,817) |
$6,992,510 |
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 current fiscal period, the Fund had amounts available for recoupment as follows:
Expiration |
||||
August 31, |
August 31, |
August 31, |
August 31, |
Total |
$233,686 |
$392,091 |
$951,565 |
$492,817 |
$2,070,159 |
30
Campbell Systematic Macro Fund
Notes To Consolidated Financial Statements (Continued)
February 29, 2024 (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 (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.
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.
31
Campbell Systematic Macro Fund
Notes To Consolidated Financial Statements (Continued)
February 29, 2024 (Unaudited)
As of August 31, 2023, the federal tax cost and aggregate gross unrealized appreciation and depreciation of investments held by the Fund were as follows(a):
Federal Tax |
Unrealized |
Unrealized |
Net |
$792,314,979 |
$19,584,658 |
$(35,001,121) |
$(15,416,463) |
(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, 2023, primarily attributable to investments in wholly-owned controlled foreign corporation were reclassified among the following accounts:
Distributable |
PAID-IN |
$7,277,275 |
$(7,277,275) |
As of August 31, 2023, the components of distributable earnings on a tax basis were as follows:
Undistributed |
Undistributed |
Capital |
Qualified |
Other |
Unrealized |
$2,078,038 |
$— |
$— |
$(27,553,221) |
$(32,082) |
$(28,970,918) |
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, 2023 was as follows:
Ordinary |
Long-Term |
Total |
$51,700,811 |
$49,096,105 |
$100,796,916 |
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, 2023, any amount of losses elected within the tax return will not be recognized for federal income tax purposes until September 1, 2023. For the fiscal year ended August 31, 2023, the Fund deferred Post October losses of $27,553,221.
32
Campbell Systematic Macro Fund
Notes To Consolidated Financial Statements (Concluded)
February 29, 2024 (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 2022, the SEC adopted a final rule relating to tailored shareholder reports for mutual funds and exchange-traded funds and fee information in investment company advertisements. Beginning in July 2024, the Fund will be required to transmit concise and visually engaging shareholder reports that highlight key information. The Fund will also be required to tag information in a structured data format and that certain more in-depth information be made available online and available for delivery free of charge to investors on request.
In December 2022, the FASB issued an Accounting Standards Update, ASU 2022-06, Reference Rate Reform (Topic 848) – Deferral of the Sunset Date of Topic 848 (“ASU 2022-06”). ASU 2022-06 is an amendment to ASU 2020-04, which provided optional guidance to ease the potential accounting burden due to the discontinuation of the London Inter-Bank Offered Rate and other interbank-offered based reference rates and which was effective as of March 12, 2020 through December 31, 2022. ASU 2022-06 extends the effective period through December 31, 2024. Management is currently evaluating the impact, if any, of applying ASU 2022-06.
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’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 Forms N-PORT filings 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
3 Canal Plaza, Suite 100
Portland, ME 04101
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-SAR24
Semi-Annual Report
February 29, 2024
(Unaudited)
US Treasury 3 Month Bill ETF | (Nasdaq: TBIL)
US Treasury 6 Month Bill ETF | (Nasdaq: XBIL)
US Treasury 12 Month Bill ETF | (Nasdaq: OBIL)
US Treasury 2 Year Note ETF | (Nasdaq: UTWO)
US Treasury 3 Year Note ETF | (Nasdaq: UTRE)
US Treasury 5 Year Note ETF | (Nasdaq: UFIV)
US Treasury 7 Year Note ETF | (Nasdaq: USVN)
US Treasury 10 Year Note ETF | (Nasdaq: UTEN)
US Treasury 20 Year Bond ETF | (Nasdaq: UTWY)
US Treasury 30 Year Bond ETF | (Nasdaq: UTHY)
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 |
3 |
Fund Expense Examples |
13 |
Schedules of Investments |
17 |
Financial Statements |
36 |
Notes to Financial Statements |
62 |
Notice to Shareholders |
74 |
US Benchmark Series
Letter to Shareholders
February 29, 2024 (Unaudited)
F/m Investments LLC |
Dear Shareholder:
It has been more than 18 months since the listing of the first three ETFs (TBIL, UTWO, and UTEN) of the ten US Benchmark series ETFs (listed below, collectively, the “Funds”). Each of the ten Funds has successfully performed through a significant rise in interest rates and a significant rally. Through the ebbs and flows of this cycle, the Funds continue to grow as investors utilize the benefits of precision, liquidity, and flexibility, all represented in the Funds:
● |
TBIL – US Treasury 3 Month Bill ETF |
● |
XBIL – US Treasury 6 Month Bill ETF |
● |
OBIL – US Treasury 12 Month Bill ETF |
● |
UTWO – US Treasury 2 Year Note ETF |
● |
UTRE – US Treasury 3 Year Note ETF |
● |
UFIV – US Treasury 5 Year Note ETF |
● |
USVN – US Treasury 7 Year Note ETF |
● |
UTEN – US Treasury 10 Year Note ETF |
● |
UTWY – US Treasury 20 Year Bond ETF |
● |
UTHY – US Treasury 30 Year Bond ETF |
From the 3 Month US Treasury that averaged a 5.41% yield to maturity since August 31, 2022 to the 21.44% performance (price and dividends) of UTHY from October 19, 2023 through December 27, 2023 when the 30-Year US Treasury Bond rate rallied from 5.11% to 3.95%, shareholders were able to select and own the point on the US Treasury curve that was appropriate for their portfolios.
That is the power of the point. A single bond, refreshed with each new US Treasury issue, consistently delivers monthly income and principal movement in line with its underlying US Treasury security.
On January 10, 2024, we launched the next step in convenience, flexibility, and functionality, offering the first three ETFs (listed below) in the new US Credit Series. The three ETFs will be joined over time by seven additional ETFs, each designed to align with their counterpart US Benchmark Series ETF, providing access to the specific point on the US Credit curve.
● |
ZTWO – F/m 2-Year Investment Grade Corporate Bond ETF |
● |
ZTRE – F/m 3-Year Investment Grade Corporate Bond ETF |
● |
ZTEN – F/m 10-Year Investment Grade Corporate Bond ETF |
We continue to be excited by the many applications investors are finding for our funds. Adding the US Credit Series, investors are combining the different funds in even more ways to balance income with potential total return or capital preservation, manage interest rate risk, and create portfolios that are easy to implement, quick to adjust, and liquid to buy and sell.
1 |
US Benchmark Series
Letter to Shareholders (Concluded)
February 29, 2024 (Unaudited)
As the Fed and the markets watch the economic indicators for clues on the “Landing,” we expect volatile markets. Higher rates seem to be taking hold, restricting economic growth. However, inflation is proving difficult to completely roll back to 2%. This may cause rates to stay high or go higher, perhaps for an extended period.
While this may be confounding those expecting lower rates, many investors are enjoying the higher returns and lower volatility brought on by this current period of the rate cycle.
Be well. Do good work. Keep in touch.
Alexander Morris |
Peter Baden |
Marcin Zdunek |
Past performance is not a guarantee of future results.
Must be preceded or accompanied by a current prospectus.
Investments involve risk. Principal loss is possible. As with all ETFs, Fund shares may be bought and sold in the secondary market at market prices higher or lower than the Fund shares’ net asset value. Interest rate risk is the risk of losses attributable to changes in interest rates. In general, if prevailing interest rates rise, the values of debt instruments tend to fall, and if interest rates fall, the values of debt instruments tend to rise.
Investors should consider the investment objectives, charges and expenses carefully before investing. For a prospectus or other information, please visit www.fminvest.com or call 1-800-617-0004. Please read a fund’s prospectus or summary prospectus carefully before investing.
2 |
US Treasury 3 Month Bill ETF
Performance Data
(Unaudited)
AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIODS ENDED February 29, 2024 |
||||
SIX |
One |
Since |
Inception |
|
US Treasury 3 Month Bill ETF (at NAV) |
2.63% |
5.25% |
4.66% |
8/8/2022 |
US Treasury 3 Month Bill ETF (at Market Price) |
2.58% |
5.24% |
4.68% |
8/8/2022 |
ICE BofA US 3-Month Treasury Bill Index* |
2.70% |
5.25% |
4.58%(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 . |
3 |
US Treasury 6 Month Bill ETF
Performance Data
(Unaudited)
AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIODS ENDED February 29, 2024 |
|||
SIX |
Since |
Inception |
|
US Treasury 6 Month Bill ETF (at NAV) |
2.64% |
5.05% |
3/6/2023 |
US Treasury 6 Month Bill ETF (at Market Price) |
2.59% |
5.08% |
3/6/2023 |
ICE BofA US 6-Month Treasury Bill Index* |
2.75% |
5.25%(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 6-Month Treasury Bill Index is a single security index comprised of the most recently issued 6-Month Treasury bill . |
4 |
US Treasury 12 Month Bill ETF
Performance Data
(Unaudited)
AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIODS ENDED February 29, 2024 |
||||
SIX |
One |
Since |
Inception |
|
US Treasury 12 Month Bill ETF (at NAV) |
2.70% |
4.74% |
4.46% |
11/14/2022 |
US Treasury 12 Month Bill ETF (at Market Price) |
2.70% |
4.75% |
4.51% |
11/14/2022 |
ICE BofA US 1-Year Treasury Bill Index* |
2.71% |
4.84% |
4.58%(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 1-Year Treasury Bill Index is a single security index comprised of the most recently issued US 12-Month Treasury bill . |
5 |
US Treasury 2 Year Note ETF
Performance Data
(Unaudited)
AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIODS ENDED February 29, 2024 |
||||
SIX |
One |
Since |
Inception |
|
US Treasury 2 Year Note ETF (at NAV) |
2.24% |
3.63% |
1.55% |
8/8/2022 |
US Treasury 2 Year Note ETF (at Market Price) |
2.23% |
3.63% |
1.58% |
8/8/2022 |
ICE BofA Current 2-Year US Treasury Index* |
2.25% |
3.66% |
1.54%(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. |
6 |
US Treasury 3 Year Note ETF
Performance Data
(Unaudited)
AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIODS ENDED February 29, 2024 |
|||
SIX |
Since |
Inception |
|
US Treasury 3 Year Note ETF (at NAV) |
2.09% |
1.43% |
3/27/2023 |
US Treasury 3 Year Note ETF (at Market Price) |
2.09% |
1.46% |
3/27/2023 |
ICE BofA Current 3-Year US Treasury Index* |
2.16% |
1.50%(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 3-Year US Treasury Index is a single security index comprised of the most recently issued 3-year US Treasury note. |
7 |
US Treasury 5 Year Note ETF
Performance Data
(Unaudited)
AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIODS ENDED February 29, 2024 |
|||
SIX |
Since |
Inception |
|
US Treasury 5 Year Note ETF (at NAV) |
1.78% |
0.07% |
3/27/2023 |
US Treasury 5 Year Note ETF (at Market Price) |
1.76% |
0.11% |
3/27/2023 |
ICE BofA Current 5-Year US Treasury Index* |
1.85% |
0.17%(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 5-Year US Treasury Index is a single security index comprised of the most recently issued 5-year US Treasury note. |
8 |
US Treasury 7 Year Note ETF
Performance Data
(Unaudited)
AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIODS ENDED February 29, 2024 |
|||
SIX |
Since |
Inception |
|
US Treasury 7 Year Note ETF (at NAV) |
1.32% |
-1.30% |
3/27/2023 |
US Treasury 7 Year Note ETF (at Market Price) |
1.34% |
-1.23% |
3/27/2023 |
ICE BofA Current 7-Year US Treasury Index* |
1.21% |
-1.29%(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 7-Year US Treasury Index* is a single security index comprised of the most recently issued 7-year US Treasury note. |
9 |
US Treasury 10 Year Note ETF
Performance Data
(Unaudited)
AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIODS ENDED February 29, 2024 |
||||
SIX |
One |
Since |
Inception |
|
US Treasury 10 Year Note ETF (at NAV) |
0.57% |
0.68% |
-4.67% |
8/8/2022 |
US Treasury 10 Year Note ETF (at Market Price) |
0.58% |
0.71% |
-4.63% |
8/8/2022 |
ICE BofA Current 10-Year US Treasury Index* |
0.58% |
0.69% |
-4.56%(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. |
10 |
US Treasury 20 Year BOND ETF
Performance Data
(Unaudited)
AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIODS ENDED February 29, 2024 |
|||
SIX |
Since |
Inception |
|
US Treasury 20 Year Bond ETF (at NAV) |
0.04% |
-5.06% |
3/27/2023 |
US Treasury 20 Year Bond ETF (at Market Price) |
0.01% |
-5.03% |
3/27/2023 |
ICE BofA Current 20-Year US Treasury Index* |
0.06% |
-5.03%(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 20-Year US Treasury Index is a single security index comprised of the most recently issued 20-year US Treasury note. |
11 |
US Treasury 30 Year BOND ETF
Performance Data
(Unaudited)
AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIODS ENDED February 29, 2024 |
|||
SIX |
Since |
Inception |
|
US Treasury 30 Year Bond ETF (at NAV) |
-0.78% |
-6.90% |
3/27/2023 |
US Treasury 30 Year Bond ETF (at Market Price) |
-0.78% |
-6.85% |
3/27/2023 |
ICE BofA Current 30-Year US Treasury Index* |
-0.91% |
-6.98%(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 30-Year US Treasury Index is a single security index comprised of the most recently issued 30-year US Treasury note. |
12 |
US Benchmark Series
Fund Expense Examples
February 29, 2024 (UNAUDITED)
As a shareholder of the Fund(s), you incur two types of costs: (1) transaction costs and (2) ongoing costs, including management 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, 2023 through February 29, 2024, 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.
13 |
US Benchmark Series
Fund Expense Examples (Continued)
February 29, 2024 (Unaudited)
|
Beginning |
Ending |
Expenses |
Annualized |
ACTUAL |
|||||||||||||||
US Treasury 3 Month Bill ETF |
||||||||||||||||||||
Actual |
$ | 1,000.00 | $ | 1,026.30 | $ | 0.76 | 0.15 | % | 2.63 | % | ||||||||||
Hypothetical (5% return before expenses) |
1,000.00 | 1,024.12 | 0.75 | 0.15 | % | N/A | ||||||||||||||
US Treasury 6 Month Bill ETF |
||||||||||||||||||||
Actual |
$ | 1,000.00 | $ | 1,026.40 | $ | 0.76 | 0.15 | % | 2.64 | % | ||||||||||
Hypothetical (5% return before expenses) |
1,000.00 | 1,024.12 | 0.75 | 0.15 | % | N/A | ||||||||||||||
US Treasury 12 Month Bill ETF |
||||||||||||||||||||
Actual |
$ | 1,000.00 | $ | 1,027.00 | $ | 0.76 | 0.15 | % | 2.70 | % | ||||||||||
Hypothetical (5% return before expenses) |
1,000.00 | 1,024.12 | 0.75 | 0.15 | % | N/A | ||||||||||||||
US Treasury 2 Year Note ETF |
||||||||||||||||||||
Actual |
$ | 1,000.00 | $ | 1,022.40 | $ | 0.75 | 0.15 | % | 2.24 | % | ||||||||||
Hypothetical (5% return before expenses) |
1,000.00 | 1,024.12 | 0.75 | 0.15 | % | N/A | ||||||||||||||
US Treasury 3 Year Note ETF |
||||||||||||||||||||
Actual |
$ | 1,000.00 | $ | 1,020.90 | $ | 0.75 | 0.15 | % | 2.09 | % | ||||||||||
Hypothetical (5% return before expenses) |
1,000.00 | 1,024.12 | 0.75 | 0.15 | % | N/A | ||||||||||||||
US Treasury 5 Year Note ETF |
||||||||||||||||||||
Actual |
$ | 1,000.00 | $ | 1,017.80 | $ | 0.75 | 0.15 | % | 1.78 | % | ||||||||||
Hypothetical (5% return before expenses) |
1,000.00 | 1,024.12 | 0.75 | 0.15 | % | N/A | ||||||||||||||
US Treasury 7 Year Note ETF |
||||||||||||||||||||
Actual |
$ | 1,000.00 | $ | 1,013.20 | $ | 0.75 | 0.15 | % | 1.32 | % | ||||||||||
Hypothetical (5% return before expenses) |
1,000.00 | 1,024.12 | 0.75 | 0.15 | % | N/A | ||||||||||||||
US Treasury 10 Year Note ETF |
||||||||||||||||||||
Actual |
$ | 1,000.00 | $ | 1,005.70 | $ | 0.75 | 0.15 | % | 0.57 | % | ||||||||||
Hypothetical (5% return before expenses) |
1,000.00 | 1,024.12 | 0.75 | 0.15 | % | N/A | ||||||||||||||
US Treasury 20 Year Bond ETF |
||||||||||||||||||||
Actual |
$ | 1,000.00 | $ | 1,000.40 | $ | 0.75 | 0.15 | % | 0.04 | % | ||||||||||
Hypothetical (5% return before expenses) |
1,000.00 | 1,024.12 | 0.75 | 0.15 | % | N/A |
14 |
US Benchmark Series
Fund Expense Examples (Concluded)
February 29, 2024 (Unaudited)
|
Beginning |
Ending |
Expenses |
Annualized |
ACTUAL |
|||||||||||||||
US Treasury 30 Year Bond ETF |
||||||||||||||||||||
Actual |
$ | 1,000.00 | $ | 992.20 | $ | 0.74 | 0.15 | % | -0.78 | % | ||||||||||
Hypothetical (5% return before expenses) |
1,000.00 | 1,024.12 | 0.75 | 0.15 | % | N/A |
* |
Expenses are equal to each Fund’s annualized expense ratio for the period September 1, 2023 through February 29, 2024, multiplied by the average account value over the period, multiplied by the number of days (182) in the most recent fiscal half-year, then divided by 366 to reflect the one-half year period. 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. |
15 |
US Treasury 3 Month Bill ETF
PORTFOLIO HOLDINGS SUMMARY TABLE
FEBRUARY 29, 2024 (UNAUDITED)
SECURITY TYPE/CLASSIFICATION |
% OF NET |
VALUE |
||||||
SHORT-TERM INVESTMENTS |
||||||||
U.S. Treasury Obligations |
100.0 | % | $ | 2,974,244,232 | ||||
Money Market Deposit Accounts |
0.0 | 32,347 | ||||||
LIABILITIES IN EXCESS OF OTHER ASSETS |
0.0 | (320,130 | ) | |||||
NET ASSETS |
100.0 | % | $ | 2,973,956,449 |
The accompanying notes are an integral part of these financial statements.
16 |
US Treasury 3 Month Bill ETF
Schedule of Investments
February 29, 2024 (UNAUDITED)
SHORT-TERM INVESTMENTS — 100.0% |
Par |
Value |
||||||
U.S. Treasury Bills — 100.0% |
||||||||
5.26%, 03/05/2024(a) |
12,855,000 | $ | 12,847,472 | |||||
5.31%, 05/30/2024(a) |
3,000,649,000 | 2,961,396,760 | ||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $2,974,222,558) |
2,974,244,232 | |||||||
TOTAL INVESTMENTS — 100.0% (Cost $2,974,222,558) |
$ | 2,974,244,232 | ||||||
Money Market Deposit Account — 0.0%(b)(c) |
32,347 | |||||||
Liabilities in Excess of Other Assets — 0.0%(c) |
(320,130 | ) | ||||||
TOTAL NET ASSETS — 100.0% |
$ | 2,973,956,449 |
Percentages are stated as a percent of net assets.
(a) |
The rate shown is the effective yield. |
(b) |
The U.S. Bank Money Market Deposit Account (the “MMDA”) is a short-term vehicle in which the Fund holds cash balances. The MMDA will bear interest at a variable rate that is determined based on market conditions and is subject to change daily. The MMDA interest rate as of February 29, 2024 was 5.20%. |
(c) |
Represents less than 0.05% of net assets. |
The accompanying notes are an integral part of these financial statements.
17 |
US Treasury 6 Month Bill ETF
PORTFOLIO HOLDINGS SUMMARY TABLE
FEBRUARY 29, 2024 (UNAUDITED)
SECURITY TYPE/CLASSIFICATION |
% OF NET |
VALUE |
||||||
SHORT-TERM INVESTMENTS |
||||||||
U.S. Treasury Obligations |
100.0 | % | $ | 507,082,010 | ||||
Money Market Deposit Accounts |
0.0 | 5,555 | ||||||
LIABILITIES IN EXCESS OF OTHER ASSETS |
0.0 | (60,088 | ) | |||||
NET ASSETS |
100.0 | % | $ | 507,027,477 |
The accompanying notes are an integral part of these financial statements.
18 |
US Treasury 6 Month Bill ETF
Schedule of Investments
February 29, 2024 (UNAUDITED)
SHORT-TERM INVESTMENTS — 100.0% |
Par |
Value |
||||||
U.S. Treasury Bills — 100.0% |
||||||||
5.26%, 03/05/2024(a) |
2,075,000 | $ | 2,073,785 | |||||
5.23%, 08/29/2024(a) |
518,325,000 | 505,008,225 | ||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $507,108,332) |
507,082,010 | |||||||
TOTAL INVESTMENTS — 100.0% (Cost $507,108,332) |
$ | 507,082,010 | ||||||
Money Market Deposit Account — 0.0%(b)(c) |
5,555 | |||||||
Liabilities in Excess of Other Assets — 0.0%(c) |
(60,088 | ) | ||||||
TOTAL NET ASSETS — 100.0% |
$ | 507,027,477 |
Percentages are stated as a percent of net assets.
(a) |
The rate shown is the effective yield. |
(b) |
The U.S. Bank Money Market Deposit Account (the “MMDA”) is a short-term vehicle in which the Fund holds cash balances. The MMDA will bear interest at a variable rate that is determined based on market conditions and is subject to change daily. The MMDA interest rate as of February 29, 2024 was 5.20%. |
(c) |
Represents less than 0.05% of net assets. |
The accompanying notes are an integral part of these financial statements.
19 |
US Treasury 12 Month Bill ETF
PORTFOLIO HOLDINGS SUMMARY TABLE
FEBRUARY 29, 2024 (UNAUDITED)
SECURITY TYPE/CLASSIFICATION |
% OF NET |
VALUE |
||||||
SHORT-TERM INVESTMENTS |
||||||||
U.S. Treasury Obligations |
100.0 | % | $ | 237,872,128 | ||||
Money Market Deposit Accounts |
0.0 | 3,346 | ||||||
LIABILITIES IN EXCESS OF OTHER ASSETS |
0.0 | (28,245 | ) | |||||
NET ASSETS |
100.0 | % | $ | 237,847,229 |
The accompanying notes are an integral part of these financial statements.
20 |
US Treasury 12 Month Bill ETF
Schedule of Investments
February 29, 2024 (UNAUDITED)
SHORT-TERM INVESTMENTS — 100.0% |
Par |
Value |
||||||
U.S. Treasury Bills — 100.0% |
||||||||
5.26%, 03/05/2024(a) |
1,000,000 | $ | 999,414 | |||||
4.97%, 02/20/2025(a) |
248,557,000 | 236,872,714 | ||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $237,932,860) |
237,872,128 | |||||||
TOTAL INVESTMENTS — 100.0% (Cost $237,932,860) |
$ | 237,872,128 | ||||||
Money Market Deposit Account — 0.0%(b)(c) |
3,346 | |||||||
Liabilities in Excess of Other Assets — 0.0%(c) |
(28,245 | ) | ||||||
TOTAL NET ASSETS — 100.0% |
$ | 237,847,229 |
Percentages are stated as a percent of net assets.
(a) |
The rate shown is the effective yield. |
(b) |
The U.S. Bank Money Market Deposit Account (the “MMDA”) is a short-term vehicle in which the Fund holds cash balances. The MMDA will bear interest at a variable rate that is determined based on market conditions and is subject to change daily. The MMDA interest rate as of February 29, 2024 was 5.20%. |
(c) |
Represents less than 0.05% of net assets. |
The accompanying notes are an integral part of these financial statements.
21 |
US Treasury 2 Year Note ETF
PORTFOLIO HOLDINGS SUMMARY TABLE
FEBRUARY 29, 2024 (UNAUDITED)
SECURITY TYPE/CLASSIFICATION |
% OF NET |
VALUE |
||||||
U.S. GOVERNMENT NOTES/BONDS |
||||||||
U.S. Treasury Obligations |
99.7 | % | $ | 356,590,141 | ||||
SHORT-TERM INVESTMENTS |
||||||||
U.S. Treasury Obligations |
0.3 | 1,234,277 | ||||||
Money Market Deposit Accounts |
0.0 | 39,946 | ||||||
OTHER ASSETS IN EXCESS OF LIABILITIES |
0.0 | 2,995 | ||||||
NET ASSETS |
100.0 | % | $ | 357,867,359 |
The accompanying notes are an integral part of these financial statements.
22 |
US Treasury 2 Year Note ETF
Schedule of Investments
February 29, 2024 (UNAUDITED)
U.S. TREASURY OBLIGATIONS — 99.7% |
Par |
Value |
||||||
United States Treasury Note/Bond, 4.63%, 02/28/2026 |
356,618,000 | $ | 356,590,141 | |||||
TOTAL U.S. TREASURY OBLIGATIONS (Cost $356,427,434) |
356,590,141 |
SHORT-TERM INVESTMENTS — 0.3% |
|
|
||||||
U.S. Treasury Bills — 0.3% |
||||||||
5.26%, 03/05/2024(a) |
1,235,000 | $ | 1,234,277 | |||||
TOTAL SHORT-TERM INVESTMENTS (Cost $1,234,279) |
1,234,277 | |||||||
TOTAL INVESTMENTS — 100.0% (Cost $357,661,713) |
$ | 357,824,418 | ||||||
Money Market Deposit Account — 0.0%(b)(c) |
39,946 | |||||||
Other Assets in Excess of Liabilities — 0.0%(c) |
2,995 | |||||||
TOTAL NET ASSETS — 100.0% |
$ | 357,867,359 |
Percentages are stated as a percent of net assets.
(a) |
The rate shown is the effective yield. |
(b) |
The U.S. Bank Money Market Deposit Account (the “MMDA”) is a short-term vehicle in which the Fund holds cash balances. The MMDA will bear interest at a variable rate that is determined based on market conditions and is subject to change daily. The MMDA interest rate as of February 29, 2024 was 5.20%. |
(c) |
Represents less than 0.05% of net assets. |
The accompanying notes are an integral part of these financial statements.
23 |
US Treasury 3 Year Note ETF
PORTFOLIO HOLDINGS SUMMARY TABLE
FEBRUARY 29, 2024 (UNAUDITED)
SECURITY TYPE/CLASSIFICATION |
% OF NET |
VALUE |
||||||
U.S. GOVERNMENT NOTES/BONDS |
||||||||
U.S. Treasury Obligations |
99.8 | % | $ | 6,353,451 | ||||
SHORT-TERM INVESTMENTS |
||||||||
Money Market Deposit Accounts |
0.0 | 2,412 | ||||||
OTHER ASSETS IN EXCESS OF LIABILITIES |
0.2 | 10,140 | ||||||
NET ASSETS |
100.0 | % | $ | 6,366,003 |
The accompanying notes are an integral part of these financial statements.
24 |
US Treasury 3 Year Note ETF
Schedule of Investments
February 29, 2024 (UNAUDITED)
U.S. TREASURY OBLIGATIONS — 99.8% |
Par |
Value |
||||||
United States Treasury Note/Bond, 4.13%, 02/15/2027 |
6,406,000 | $ | 6,353,451 | |||||
TOTAL U.S. TREASURY OBLIGATIONS (Cost $6,359,036) |
6,353,451 | |||||||
TOTAL INVESTMENTS — 99.8% (Cost $6,359,036) |
$ | 6,353,451 | ||||||
Money Market Deposit Account — 0.0%(a)(b) |
2,412 | |||||||
Other Assets in Excess of Liabilities — 0.2% |
10,140 | |||||||
TOTAL NET ASSETS — 100.0% |
$ | 6,366,003 |
Percentages are stated as a percent of net assets.
(a) |
The U.S. Bank Money Market Deposit Account (the “MMDA”) is a short-term vehicle in which the Fund holds cash balances. The MMDA will bear interest at a variable rate that is determined based on market conditions and is subject to change daily. The MMDA interest rate as of February 29, 2024 was 5.20%. |
(b) |
Represents less than 0.05% of net assets. |
The accompanying notes are an integral part of these financial statements.
25 |
US Treasury 5 Year Note ETF
PORTFOLIO HOLDINGS SUMMARY TABLE
FEBRUARY 29, 2024 (UNAUDITED)
SECURITY TYPE/CLASSIFICATION |
% OF NET |
VALUE |
||||||
U.S. GOVERNMENT NOTES/BONDS |
||||||||
U.S. Treasury Obligations |
99.7 | % | $ | 17,847,789 | ||||
SHORT-TERM INVESTMENTS |
||||||||
U.S. Treasury Obligations |
0.3 | 60,964 | ||||||
Money Market Deposit Accounts |
0.0 | 2,275 | ||||||
OTHER ASSETS IN EXCESS OF LIABILITIES |
0.0 | 28 | ||||||
NET ASSETS |
100.0 | % | $ | 17,911,056 |
The accompanying notes are an integral part of these financial statements.
26 |
US Treasury 5 Year Note ETF
Schedule of Investments
February 29, 2024 (UNAUDITED)
U.S. TREASURY OBLIGATIONS — 99.7% |
Par |
Value |
||||||
United States Treasury Note/Bond, 4.25%, 02/28/2029 |
17,845,000 | $ | 17,847,789 | |||||
TOTAL U.S. TREASURY OBLIGATIONS (Cost $17,829,888) |
17,847,789 |
SHORT-TERM INVESTMENTS — 0.3% |
|
|
||||||
U.S. Treasury Bills — 0.3% |
||||||||
5.26%, 03/05/2024(a) |
61,000 | $ | 60,964 | |||||
TOTAL SHORT-TERM INVESTMENTS (Cost $60,964) |
60,964 | |||||||
TOTAL INVESTMENTS — 100.0% (Cost $17,890,852) |
$ | 17,908,753 | ||||||
Money Market Deposit Account — 0.0%(b)(c) |
2,275 | |||||||
Other Assets in Excess of Liabilities — 0.0%(c) |
28 | |||||||
TOTAL NET ASSETS — 100.0% |
$ | 17,911,056 |
Percentages are stated as a percent of net assets.
(a) |
The rate shown is the effective yield. |
(b) |
The U.S. Bank Money Market Deposit Account (the “MMDA”) is a short-term vehicle in which the Fund holds cash balances. The MMDA will bear interest at a variable rate that is determined based on market conditions and is subject to change daily. The MMDA interest rate as of February 29, 2024 was 5.20%. |
(c) |
Represents less than 0.05% of net assets. |
The accompanying notes are an integral part of these financial statements.
27 |
US Treasury 7 Year Note ETF
PORTFOLIO HOLDINGS SUMMARY TABLE
FEBRUARY 29, 2024 (UNAUDITED)
SECURITY TYPE/CLASSIFICATION |
% OF NET |
VALUE |
||||||
U.S. GOVERNMENT NOTES/BONDS |
||||||||
U.S. Treasury Obligations |
99.7 | % | $ | 5,235,448 | ||||
SHORT-TERM INVESTMENTS |
||||||||
U.S. Treasury Obligations |
0.3 | 17,989 | ||||||
Money Market Deposit Accounts |
0.0 | 1,369 | ||||||
OTHER ASSETS IN EXCESS OF LIABILITIES |
0.0 | 2 | ||||||
NET ASSETS |
100.0 | % | $ | 5,254,808 |
The accompanying notes are an integral part of these financial statements.
28 |
US Treasury 7 Year Note ETF
Schedule of Investments
February 29, 2024 (UNAUDITED)
U.S. TREASURY OBLIGATIONS — 99.7% |
Par |
Value |
||||||
United States Treasury Note/Bond, 4.25%, 02/28/2031 |
5,242,000 | $ | 5,235,448 | |||||
TOTAL U.S. TREASURY OBLIGATIONS (Cost $5,229,780) |
5,235,448 |
SHORT-TERM INVESTMENTS — 0.3% |
|
|
||||||
U.S. Treasury Bills — 0.3% |
||||||||
5.26%, 03/05/2024(a) |
18,000 | $ | 17,989 | |||||
TOTAL SHORT-TERM INVESTMENTS (Cost $17,989) |
17,989 | |||||||
TOTAL INVESTMENTS — 100.0% (Cost $5,247,769) |
$ | 5,253,437 | ||||||
Money Market Deposit Account — 0.0%(b)(c) |
1,369 | |||||||
Other Assets in Excess of Liabilities — 0.0%(c) |
2 | |||||||
TOTAL NET ASSETS — 100.0% |
$ | 5,254,808 |
Percentages are stated as a percent of net assets.
(a) |
The rate shown is the effective yield. |
(b) |
The U.S. Bank Money Market Deposit Account (the “MMDA”) is a short-term vehicle in which the Fund holds cash balances. The MMDA will bear interest at a variable rate that is determined based on market conditions and is subject to change daily. The MMDA interest rate as of February 29, 2024 was 5.20%. |
(c) |
Represents less than 0.05% of net assets. |
The accompanying notes are an integral part of these financial statements.
29 |
US Treasury 10 Year Note ETF
PORTFOLIO HOLDINGS SUMMARY TABLE
FEBRUARY 29, 2024 (UNAUDITED)
SECURITY TYPE/CLASSIFICATION |
% OF NET |
VALUE |
||||||
U.S. GOVERNMENT NOTES/BONDS |
||||||||
U.S. Treasury Obligations |
99.5 | % | $ | 101,316,738 | ||||
SHORT-TERM INVESTMENTS |
||||||||
U.S. Treasury Obligations |
0.3 | 349,795 | ||||||
Money Market Deposit Accounts |
0.0 | 21,706 | ||||||
OTHER ASSETS IN EXCESS OF LIABILITIES |
0.2 | 158,899 | ||||||
NET ASSETS |
100.0 | % | $ | 101,847,138 |
The accompanying notes are an integral part of these financial statements.
30 |
US Treasury 10 Year Note ETF
Schedule of Investments
February 29, 2024 (UNAUDITED)
U.S. TREASURY OBLIGATIONS — 99.5% |
Par |
Value |
||||||
United States Treasury Note/Bond, 4.00%, 02/15/2034 |
103,335,000 | $ | 101,316,738 | |||||
TOTAL U.S. TREASURY OBLIGATIONS (Cost $101,130,912) |
101,316,738 |
SHORT-TERM INVESTMENTS — 0.3% |
|
|
||||||
U.S. Treasury Bills — 0.3% |
||||||||
5.25%, 03/05/2024(a) |
350,000 | $ | 349,795 | |||||
TOTAL SHORT-TERM INVESTMENTS (Cost $349,796) |
349,795 | |||||||
TOTAL INVESTMENTS — 99.8% (Cost $101,480,708) |
$ | 101,666,533 | ||||||
Money Market Deposit Account — 0.0%(b)(c) |
21,706 | |||||||
Other Assets in Excess of Liabilities — 0.2% |
158,899 | |||||||
TOTAL NET ASSETS — 100.0% |
$ | 101,847,138 |
Percentages are stated as a percent of net assets.
(a) |
The rate shown is the effective yield. |
(b) |
The U.S. Bank Money Market Deposit Account (the “MMDA”) is a short-term vehicle in which the Fund holds cash balances. The MMDA will bear interest at a variable rate that is determined based on market conditions and is subject to change daily. The MMDA interest rate as of February 29, 2024 was 5.20%. |
(c) |
Represents less than 0.05% of net assets. |
The accompanying notes are an integral part of these financial statements.
31 |
US Treasury 20 Year Bond ETF
PORTFOLIO HOLDINGS SUMMARY TABLE
FEBRUARY 29, 2024 (UNAUDITED)
SECURITY TYPE/CLASSIFICATION |
% OF NET |
VALUE |
||||||
U.S. GOVERNMENT NOTES/BONDS |
||||||||
U.S. Treasury Obligations |
99.4 | % | $ | 11,865,291 | ||||
SHORT-TERM INVESTMENTS |
||||||||
U.S. Treasury Obligations |
0.4 | 45,973 | ||||||
Money Market Deposit Accounts |
0.0 | 958 | ||||||
OTHER ASSETS IN EXCESS OF LIABILITIES |
0.2 | 20,592 | ||||||
NET ASSETS |
100.0 | % | $ | 11,932,814 |
The accompanying notes are an integral part of these financial statements.
32 |
US Treasury 20 Year Bond ETF
Schedule of Investments
February 29, 2024 (UNAUDITED)
U.S. TREASURY OBLIGATIONS — 99.4% |
Par |
Value |
||||||
United States Treasury Note/Bond, 4.50%, 02/15/2044 |
11,869,000 | $ | 11,865,291 | |||||
TOTAL U.S. TREASURY OBLIGATIONS (Cost $11,817,221) |
11,865,291 |
SHORT-TERM INVESTMENTS — 0.4% |
|
|
||||||
U.S. Treasury Bills — 0.4% |
||||||||
5.26%, 03/05/2024(a) |
46,000 | $ | 45,973 | |||||
TOTAL SHORT-TERM INVESTMENTS (Cost $45,973) |
45,973 | |||||||
TOTAL INVESTMENTS — 99.8% (Cost $11,863,194) |
$ | 11,911,264 | ||||||
Money Market Deposit Account — 0.0%(b)(c) |
958 | |||||||
Other Assets in Excess of Liabilities — 0.2% |
20,592 | |||||||
TOTAL NET ASSETS — 100.0% |
$ | 11,932,814 |
Percentages are stated as a percent of net assets.
(a) |
The rate shown is the effective yield. |
(b) |
The U.S. Bank Money Market Deposit Account (the “MMDA”) is a short-term vehicle in which the Fund holds cash balances. The MMDA will bear interest at a variable rate that is determined based on market conditions and is subject to change daily. The MMDA interest rate as of February 29, 2024 was 5.20%. |
(c) |
Represents less than 0.05% of net assets. |
The accompanying notes are an integral part of these financial statements.
33 |
US Treasury 30 Year Bond ETF
PORTFOLIO HOLDINGS SUMMARY TABLE
FEBRUARY 29, 2024 (UNAUDITED)
SECURITY TYPE/CLASSIFICATION |
% OF NET |
VALUE |
||||||
U.S. GOVERNMENT NOTES/BONDS |
||||||||
U.S. Treasury Obligations |
99.8 | % | $ | 12,142,969 | ||||
SHORT-TERM INVESTMENTS |
||||||||
Money Market Deposit Accounts |
0.0 | 2,238 | ||||||
OTHER ASSETS IN EXCESS OF LIABILITIES |
0.2 | 20,238 | ||||||
NET ASSETS |
100.0 | % | $ | 12,165,445 |
The accompanying notes are an integral part of these financial statements.
34 |
US Treasury 30 Year Bond ETF
Schedule of Investments
February 29, 2024 (UNAUDITED)
U.S. TREASURY OBLIGATIONS — 99.8% |
Par |
Value |
||||||
United States Treasury Note/Bond, 4.25%, 02/15/2054 |
12,375,000 | $ | 12,142,969 | |||||
TOTAL U.S. TREASURY OBLIGATIONS (Cost $11,984,569) |
12,142,969 | |||||||
TOTAL INVESTMENTS — 99.8% (Cost $11,984,569) |
$ | 12,142,969 | ||||||
Money Market Deposit Account — 0.0%(a)(b) |
2,238 | |||||||
Other Assets in Excess of Liabilities — 0.2% |
20,238 | |||||||
TOTAL NET ASSETS — 100.0% |
$ | 12,165,445 |
Percentages are stated as a percent of net assets.
(a) |
The U.S. Bank Money Market Deposit Account (the “MMDA”) is a short-term vehicle in which the Fund holds cash balances. The MMDA will bear interest at a variable rate that is determined based on market conditions and is subject to change daily. The MMDA interest rate as of February 29, 2024 was 5.20%. |
(b) |
Represents less than 0.05% of net assets. |
The accompanying notes are an integral part of these financial statements.
35 |
US Benchmark Series
Statements of Assets and Liabilities
February 29, 2024 (UNAUDITED)
|
US Treasury |
US Treasury |
US Treasury |
US Treasury |
||||||||||||
ASSETS |
||||||||||||||||
Investments in securities of unaffiliated issuers, at value (cost $—, $—, $—, and $356,427,434, respectively) |
$ | — | $ | — | $ | — | $ | 356,590,141 | ||||||||
Short-term investments, at value (cost $2,974,222,558, $507,108,332, $237,932,860, and $1,234,279, respectively) |
2,974,244,231 | 507,082,010 | 237,872,128 | 1,234,278 | ||||||||||||
Cash equivalents |
32,347 | 5,555 | 3,346 | 39,946 | ||||||||||||
Receivables for: |
||||||||||||||||
Capital shares sold |
8,505,593 | — | — | — | ||||||||||||
Interest |
4,808 | 374 | 76 | 45,855 | ||||||||||||
Prepaid expenses and other assets |
— | — | — | — | ||||||||||||
Total assets |
2,982,786,979 | 507,087,939 | 237,875,550 | 357,910,220 | ||||||||||||
LIABILITIES |
||||||||||||||||
Payables for: |
||||||||||||||||
Investments purchased |
8,489,475 | — | — | — | ||||||||||||
Advisory fees |
341,055 | 60,462 | 28,321 | 42,861 | ||||||||||||
Total liabilities |
8,830,530 | 60,462 | 28,321 | 42,861 | ||||||||||||
Net assets |
$ | 2,973,956,449 | $ | 507,027,477 | $ | 237,847,229 | $ | 357,867,359 | ||||||||
NET ASSETS CONSIST OF: |
||||||||||||||||
Par value |
$ | 59,440 | $ | 10,120 | $ | 4,760 | $ | 7,440 | ||||||||
Paid-in capital |
2,967,601,164 | 506,305,833 | 238,124,295 | 367,672,883 | ||||||||||||
Total distributable earnings/(losses) |
6,295,845 | 711,524 | 837,100 | (9,812,964 | ) | |||||||||||
Net assets |
$ | 2,973,956,449 | $ | 507,027,477 | $ | 237,847,229 | $ | 357,867,359 | ||||||||
Shares outstanding ($0.001 par value, 100,000,000 shares authorized) |
59,440,000 | 10,120,000 | 4,760,000 | 7,440,000 | ||||||||||||
Net asset value and redemption price per share |
$ | 50.03 | $ | 50.10 | $ | 49.97 | $ | 48.10 |
The accompanying notes are an integral part of these financial statements.
36 |
US Benchmark Series
Statements of Assets and Liabilities (CONTINUED)
February 29, 2024 (UNAUDITED)
|
US Treasury |
US Treasury |
US Treasury |
US Treasury |
||||||||||||
ASSETS |
||||||||||||||||
Investments in securities of unaffiliated issuers, at value (cost $6,359,036, $17,829,888, $5,229,780, and $101,130,912, respectively) |
$ | 6,353,451 | $ | 17,847,789 | $ | 5,235,448 | $ | 101,316,738 | ||||||||
Short-term investments, at value (cost $—, $60,964, $17,989, and $349,796, respectively) |
— | 60,965 | 17,990 | 349,796 | ||||||||||||
Cash equivalents |
2,412 | 2,275 | 1,369 | 21,706 | ||||||||||||
Receivables for: |
||||||||||||||||
Capital shares sold |
— | — | — | — | ||||||||||||
Interest |
10,898 | 2,096 | 628 | 170,434 | ||||||||||||
Prepaid expenses and other assets |
— | — | — | — | ||||||||||||
Total assets |
2,412 | 63,242 | 19,360 | 371,505 | ||||||||||||
LIABILITIES |
||||||||||||||||
Payables for: |
||||||||||||||||
Investments purchased |
— | — | — | — | ||||||||||||
Advisory fees |
758 | 2,069 | 627 | 11,536 | ||||||||||||
Total liabilities |
758 | 2,069 | 627 | 11,536 | ||||||||||||
Net assets |
$ | 6,366,003 | $ | 17,911,056 | $ | 5,254,808 | $ | 101,847,138 | ||||||||
NET ASSETS CONSIST OF: |
||||||||||||||||
Par value |
$ | 130 | $ | 370 | $ | 110 | $ | 2,320 | ||||||||
Paid-in capital |
6,447,511 | 17,988,171 | 5,266,270 | 102,891,764 | ||||||||||||
Total distributable earnings/(losses) |
(81,638 | ) | (77,485 | ) | (11,572 | ) | (1,046,946 | ) | ||||||||
Net assets |
$ | 6,366,003 | $ | 17,911,056 | $ | 5,254,808 | $ | 101,847,138 | ||||||||
Shares outstanding ($0.001 par value, 100,000,000 shares authorized) |
130,000 | 370,000 | 110,000 | 2,320,000 | ||||||||||||
Net asset value and redemption price per share |
$ | 48.97 | $ | 48.41 | $ | 47.77 | $ | 43.90 |
The accompanying notes are an integral part of these financial statements.
37 |
US Benchmark Series
Statements of Assets and Liabilities (Concluded)
February 29, 2024 (UNAUDITED)
|
US Treasury |
US Treasury |
||||||
ASSETS |
||||||||
Investments in securities of unaffiliated issuers, at value (cost $11,817,221, $11,984,569, respectively) |
$ | 11,865,290 | $ | 12,142,969 | ||||
Short-term investments, at value (cost $45,973, $—, respectively) |
45,973 | — | ||||||
Cash equivalents |
958 | 2,238 | ||||||
Receivables for: |
||||||||
Capital shares sold |
— | — | ||||||
Interest |
22,017 | 21,682 | ||||||
Prepaid expenses and other assets |
— | — | ||||||
Total assets |
46,931 | 2,238 | ||||||
LIABILITIES |
||||||||
Payables for: |
||||||||
Investments purchased |
— | — | ||||||
Advisory fees |
1,424 | 1,444 | ||||||
Total liabilities |
1,424 | 1,444 | ||||||
Net assets |
$ | 11,932,814 | $ | 12,165,445 | ||||
NET ASSETS CONSIST OF: |
||||||||
Par value |
$ | 260 | $ | 270 | ||||
Paid-in capital |
10,973,367 | 12,356,060 | ||||||
Total distributable earnings/(losses) |
959,187 | (190,884 | ) | |||||
Net assets |
$ | 11,932,814 | $ | 12,165,445 | ||||
Shares outstanding ($0.001 par value, 100,000,000 shares authorized) |
260,000 | 270,000 | ||||||
Net asset value and redemption price per share |
$ | 45.90 | $ | 45.06 |
The accompanying notes are an integral part of these financial statements.
38 |
US Benchmark Series
Statements of Operations
FOR THE Six Months ENDED February 29, 2024 (UNAUDITED)
|
US Treasury |
US Treasury |
US Treasury |
US Treasury |
||||||||||||
INVESTMENT INCOME |
||||||||||||||||
Interest income |
$ | 69,484,206 | $ | 13,290,653 | $ | 4,967,755 | $ | 8,074,874 | ||||||||
Total investment income |
69,484,206 | 13,290,653 | 4,967,755 | 8,074,874 | ||||||||||||
EXPENSES |
||||||||||||||||
Advisory fees (Note 3) |
1,927,767 | 373,659 | 144,588 | 259,044 | ||||||||||||
Total expenses |
1,927,767 | 373,659 | 144,588 | 259,044 | ||||||||||||
Net investment income/(loss) |
67,556,439 | 12,916,994 | 4,823,167 | 7,815,830 | ||||||||||||
NET REALIZED AND UNREALIZED GAIN/(LOSS) FROM INVESTMENTS |
||||||||||||||||
Net realized gain/(loss) from investments |
(6,445,639,679 | ) | (1,420,870,001 | ) | (251,315,002 | ) | (37,830,828 | ) | ||||||||
Net realized gain from redemption in-kind |
6,445,360,879 | 1,421,044,554 | 251,618,299 | 38,004,753 | ||||||||||||
Net change in unrealized appreciation/ (depreciation) on investments |
31,554 | (46,616 | ) | 3,977 | (51,388 | ) | ||||||||||
Net realized and unrealized gain/(loss) |
(247,246 | ) | 127,937 | 307,274 | 122,537 | |||||||||||
NET INCREASE/(DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS |
$ | 67,309,193 | $ | 13,044,931 | $ | 5,130,441 | $ | 7,938,367 |
The accompanying notes are an integral part of these financial statements.
39 |
US Benchmark Series
Statements of Operations (CONTINUED)
FOR THE Six Months ENDED February 29, 2024 (UNAUDITED)
|
US Treasury |
US Treasury |
US Treasury |
US Treasury |
||||||||||||
INVESTMENT INCOME |
||||||||||||||||
Interest income |
$ | 102,206 | $ | 199,839 | $ | 73,327 | $ | 2,004,638 | ||||||||
Total investment income |
102,206 | 199,839 | 73,327 | 2,004,638 | ||||||||||||
EXPENSES |
||||||||||||||||
Advisory fees (Note 3) |
3,644 | 7,128 | 2,583 | 69,750 | ||||||||||||
Total expenses |
3,644 | 7,128 | 2,583 | 69,750 | ||||||||||||
Net investment income/(loss) |
98,562 | 192,711 | 70,744 | 1,934,888 | ||||||||||||
NET REALIZED AND UNREALIZED GAIN/(LOSS) FROM INVESTMENTS |
||||||||||||||||
Net realized gain/(loss) from investments |
(18,236,072 | ) | (9,821,884 | ) | (5,297,478 | ) | (49,583,715 | ) | ||||||||
Net realized gain from redemption in-kind |
18,200,437 | 9,776,153 | 5,325,506 | 50,971,576 | ||||||||||||
Net change in unrealized appreciation/ (depreciation) on investments |
(9,800 | ) | 10,787 | 4,239 | (218,867 | ) | ||||||||||
Net realized and unrealized gain/(loss) |
(45,435 | ) | (34,944 | ) | 32,267 | 1,168,994 | ||||||||||
NET INCREASE/(DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS |
$ | 53,127 | $ | 157,767 | $ | 103,011 | $ | 3,103,882 |
The accompanying notes are an integral part of these financial statements.
40 |
US Benchmark Series
Statements of Operations (Concluded)
FOR THE Six Months ENDED February 29, 2024 (UNAUDITED)
|
US Treasury |
US Treasury |
||||||
INVESTMENT INCOME |
||||||||
Interest income |
$ | 165,893 | $ | 143,183 | ||||
Total investment income |
165,893 | 143,183 | ||||||
EXPENSES |
||||||||
Advisory fees (Note 3) |
5,587 | 4,876 | ||||||
Total expenses |
5,587 | 4,876 | ||||||
Net investment income/(loss) |
160,306 | 138,307 | ||||||
NET REALIZED AND UNREALIZED GAIN/(LOSS) FROM INVESTMENTS |
||||||||
Net realized gain/(loss) from investments |
(40,062,599 | ) | (128,561 | ) | ||||
Net realized gain from redemption in-kind |
41,085,356 | — | ||||||
Net change in unrealized appreciation/ (depreciation) on investments |
42,225 | 119,707 | ||||||
Net realized and unrealized gain/(loss) |
1,064,982 | (8,854 | ) | |||||
NET INCREASE/(DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS |
$ | 1,225,288 | $ | 129,453 |
The accompanying notes are an integral part of these financial statements.
41 |
US Treasury 3 Month Bill ETF
Statements of Changes in Net Assets
|
FOR THE SIX |
FOR THE |
||||||
INCREASE/(DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS |
||||||||
Net investment income/(loss) |
$ | 67,556,439 | $ | 28,135,880 | ||||
Net realized gain/(loss) from investments |
(278,800 | ) | (193,513 | ) | ||||
Net change in unrealized appreciation/(depreciation) on investments |
31,554 | (10,665 | ) | |||||
NET INCREASE/(DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS |
67,309,193 | 27,931,702 | ||||||
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS FROM: |
||||||||
Total distributable earnings |
(64,978,398 | ) | (23,559,224 | ) | ||||
Net decrease in net assets from dividends and distributions to shareholders |
(64,978,398 | ) | (23,559,224 | ) | ||||
CAPITAL SHARE TRANSACTIONS: |
||||||||
Proceeds from shares sold |
7,640,647,761 | 2,413,134,681 | ||||||
Shares redeemed |
(6,445,605,416 | ) | (679,767,752 | ) | ||||
Net increase/(decrease) in net assets from capital share transactions |
1,195,042,345 | 1,733,366,929 | ||||||
TOTAL INCREASE/(DECREASE) IN NET ASSETS |
1,197,373,140 | 1,737,739,407 | ||||||
NET ASSETS: |
||||||||
Beginning of period |
$ | 1,776,583,309 | $ | 38,843,902 | ||||
End of period |
$ | 2,973,956,449 | $ | 1,776,583,309 | ||||
SHARE TRANSACTIONS: |
||||||||
Shares sold |
153,050,000 | 48,300,000 | ||||||
Shares redeemed |
(129,100,000 | ) | (13,590,000 | ) | ||||
Net increase/(decrease) in shares |
23,950,000 | 34,710,000 |
The accompanying notes are an integral part of these financial statements.
42 |
US Treasury 6 Month Bill ETF
Statement of Changes in Net Assets
|
FOR THE SIX |
FOR THE |
||||||
INCREASE/(DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS |
||||||||
Net investment income/(loss) |
$ | 12,916,994 | $ | 3,466,353 | ||||
Net realized gain/(loss) from investments |
174,553 | (273,097 | ) | |||||
Net change in unrealized appreciation/(depreciation) on investments |
(46,616 | ) | 20,294 | |||||
NET INCREASE/(DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS |
13,044,931 | 3,213,550 | ||||||
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS FROM: |
||||||||
Total distributable earnings |
(12,819,853 | ) | (2,720,580 | ) | ||||
Net decrease in net assets from dividends and distributions to shareholders |
(12,819,853 | ) | (2,720,580 | ) | ||||
CAPITAL SHARE TRANSACTIONS: |
||||||||
Proceeds from shares sold |
1,616,499,233 | 353,006,880 | ||||||
Shares redeemed |
(1,421,015,244 | ) | (42,181,440 | ) | ||||
Net increase/(decrease) in net assets from capital share transactions |
195,483,989 | 310,825,440 | ||||||
TOTAL INCREASE/(DECREASE) IN NET ASSETS |
195,709,067 | 311,318,410 | ||||||
NET ASSETS: |
||||||||
Beginning of period |
$ | 311,318,410 | $ | — | ||||
End of period |
$ | 507,027,477 | $ | 311,318,410 | ||||
SHARE TRANSACTIONS: |
||||||||
Shares sold |
32,320,000 | 7,050,000 | ||||||
Shares redeemed |
(28,410,000 | ) | (840,000 | ) | ||||
Net increase/(decrease) in shares |
3,910,000 | 6,210,000 |
(1) |
Inception date of the Fund was March 6, 2023. |
The accompanying notes are an integral part of these financial statements.
43 |
US Treasury 12 Month Bill ETF
Statement of Changes in Net Assets
|
FOR THE SIX |
For the |
||||||
INCREASE/(DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS |
||||||||
Net investment income/(loss) |
$ | 4,823,167 | $ | 2,560,805 | ||||
Net realized gain/(loss) from investments |
303,297 | (559,463 | ) | |||||
Net change in unrealized appreciation/(depreciation) on investments |
3,977 | (64,709 | ) | |||||
NET INCREASE/(DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS |
5,130,441 | 1,936,633 | ||||||
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS FROM: |
||||||||
Total distributable earnings |
(4,729,600 | ) | (2,206,389 | ) | ||||
Net decrease in net assets from dividends and distributions to shareholders |
(4,729,600 | ) | (2,206,389 | ) | ||||
CAPITAL SHARE TRANSACTIONS: |
||||||||
Proceeds from shares sold |
362,804,185 | 208,609,456 | ||||||
Shares redeemed |
(251,639,690 | ) | (82,057,807 | ) | ||||
Net increase/(decrease) in net assets from capital share transactions |
111,164,495 | 126,551,649 | ||||||
TOTAL INCREASE/(DECREASE) IN NET ASSETS |
111,565,336 | 126,281,893 | ||||||
NET ASSETS: |
||||||||
Beginning of period |
$ | 126,281,893 | $ | — | ||||
End of period |
$ | 237,847,229 | $ | 126,281,893 | ||||
SHARE TRANSACTIONS: |
||||||||
Shares sold |
7,270,000 | 4,160,000 | ||||||
Shares redeemed |
(5,040,000 | ) | (1,630,000 | ) | ||||
Net increase/(decrease) in shares |
2,230,000 | 2,530,000 |
(1) |
Inception date of the Fund was November 14, 2022. |
The accompanying notes are an integral part of these financial statements.
44 |
US Treasury 2 Year Note ETF
Statements of Changes in Net Assets
|
FOR THE SIX |
FOR THE |
||||||
INCREASE/(DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS |
||||||||
Net investment income/(loss) |
$ | 7,815,830 | $ | 9,978,594 | ||||
Net realized gain/(loss) from investments |
173,925 | (6,349,565 | ) | |||||
Net change in unrealized appreciation/(depreciation) on investments |
(51,388 | ) | 219,991 | |||||
NET INCREASE/(DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS |
7,938,367 | 3,849,020 | ||||||
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS FROM: |
||||||||
Total distributable earnings |
(8,040,033 | ) | (9,134,861 | ) | ||||
Net decrease in net assets from dividends and distributions to shareholders |
(8,040,033 | ) | (9,134,861 | ) | ||||
CAPITAL SHARE TRANSACTIONS: |
||||||||
Proceeds from shares sold |
94,568,867 | 949,817,059 | ||||||
Shares redeemed |
(41,942,117 | ) | (657,095,514 | ) | ||||
Net increase/(decrease) in net assets from capital share transactions |
52,626,750 | 292,721,545 | ||||||
TOTAL INCREASE/(DECREASE) IN NET ASSETS |
52,525,084 | 287,435,704 | ||||||
NET ASSETS: |
||||||||
Beginning of period |
$ | 305,342,275 | $ | 17,906,571 | ||||
End of period |
$ | 357,867,359 | $ | 305,342,275 | ||||
SHARE TRANSACTIONS: |
||||||||
Shares sold |
1,970,000 | 19,390,000 | ||||||
Shares redeemed |
(870,000 | ) | (13,410,000 | ) | ||||
Net increase/(decrease) in shares |
1,100,000 | 5,980,000 |
The accompanying notes are an integral part of these financial statements.
45 |
US Treasury 3 Year Note ETF
Statement of Changes in Net Assets
|
FOR THE SIX |
For the |
||||||
INCREASE/(DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS |
||||||||
Net investment income/(loss) |
$ | 98,562 | $ | 23,851 | ||||
Net realized gain/(loss) from investments |
(35,635 | ) | (39,008 | ) | ||||
Net change in unrealized appreciation/(depreciation) on investments |
(9,800 | ) | 4,215 | |||||
NET INCREASE/(DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS |
53,127 | (10,942 | ) | |||||
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS FROM: |
||||||||
Total distributable earnings |
(96,038 | ) | (19,629 | ) | ||||
Net decrease in net assets from dividends and distributions to shareholders |
(96,038 | ) | (19,629 | ) | ||||
CAPITAL SHARE TRANSACTIONS: |
||||||||
Proceeds from shares sold |
26,172,777 | 3,006,457 | ||||||
Shares redeemed |
(21,234,427 | ) | (1,505,322 | ) | ||||
Net increase/(decrease) in net assets from capital share transactions |
4,938,350 | 1,501,135 | ||||||
TOTAL INCREASE/(DECREASE) IN NET ASSETS |
4,895,439 | 1,470,564 | ||||||
NET ASSETS: |
||||||||
Beginning of period |
$ | 1,470,564 | $ | — | ||||
End of period |
$ | 6,366,003 | $ | 1,470,564 | ||||
SHARE TRANSACTIONS: |
||||||||
Shares sold |
530,000 | 60,000 | ||||||
Shares redeemed |
(430,000 | ) | (30,000 | ) | ||||
Net increase/(decrease) in shares |
100,000 | 30,000 |
(1) |
Inception date of the Fund was March 27, 2023. |
The accompanying notes are an integral part of these financial statements.
46 |
US Treasury 5 Year Note ETF
Statement of Changes in Net Assets
|
FOR THE SIX |
For the |
||||||
INCREASE/(DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS |
||||||||
Net investment income/(loss) |
$ | 192,711 | $ | 28,549 | ||||
Net realized gain/(loss) from investments |
(45,731 | ) | (64,395 | ) | ||||
Net change in unrealized appreciation/(depreciation) on investments |
10,787 | 7,114 | ||||||
NET INCREASE/(DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS |
157,767 | (28,732 | ) | |||||
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS FROM: |
||||||||
Total distributable earnings |
(175,823 | ) | (19,503 | ) | ||||
Net decrease in net assets from dividends and distributions to shareholders |
(175,823 | ) | (19,503 | ) | ||||
CAPITAL SHARE TRANSACTIONS: |
||||||||
Proceeds from shares sold |
23,374,370 | 5,428,657 | ||||||
Shares redeemed |
(9,817,120 | ) | (1,008,560 | ) | ||||
Net increase/(decrease) in net assets from capital share transactions |
13,557,250 | 4,420,097 | ||||||
TOTAL INCREASE/(DECREASE) IN NET ASSETS |
13,539,194 | 4,371,862 | ||||||
NET ASSETS: |
||||||||
Beginning of period |
$ | 4,371,862 | $ | — | ||||
End of period |
$ | 17,911,056 | $ | 4,371,862 | ||||
SHARE TRANSACTIONS: |
||||||||
Shares sold |
480,000 | 110,000 | ||||||
Shares redeemed |
(200,000 | ) | (20,000 | ) | ||||
Net increase/(decrease) in shares |
280,000 | 90,000 |
(1) |
Inception date of the Fund was March 27, 2023. |
The accompanying notes are an integral part of these financial statements.
47 |
US Treasury 7 Year Note ETF
Statement of Changes in Net Assets
|
FOR THE SIX |
For the |
||||||
INCREASE/(DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS |
||||||||
Net investment income/(loss) |
$ | 70,744 | $ | 15,045 | ||||
Net realized gain/(loss) from investments |
28,028 | (47,170 | ) | |||||
Net change in unrealized appreciation/(depreciation) on investments |
4,239 | 1,429 | ||||||
NET INCREASE/(DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS |
103,011 | (30,696 | ) | |||||
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS FROM: |
||||||||
Total distributable earnings |
(60,119 | ) | (11,541 | ) | ||||
Net decrease in net assets from dividends and distributions to shareholders |
(60,119 | ) | (11,541 | ) | ||||
CAPITAL SHARE TRANSACTIONS: |
||||||||
Proceeds from shares sold |
9,592,715 | 2,014,762 | ||||||
Shares redeemed |
(5,343,614 | ) | (1,009,710 | ) | ||||
Net increase/(decrease) in net assets from capital share transactions |
4,249,101 | 1,005,052 | ||||||
TOTAL INCREASE/(DECREASE) IN NET ASSETS |
4,291,993 | 962,815 | ||||||
NET ASSETS: |
||||||||
Beginning of period |
$ | 962,815 | $ | — | ||||
End of period |
$ | 5,254,808 | $ | 962,815 | ||||
SHARE TRANSACTIONS: |
||||||||
Shares sold |
200,000 | 40,000 | ||||||
Shares redeemed |
(110,000 | ) | (20,000 | ) | ||||
Net increase/(decrease) in shares |
90,000 | 20,000 |
(1) |
Inception date of the Fund was March 27, 2023. |
The accompanying notes are an integral part of these financial statements.
48 |
US Treasury 10 Year Note ETF
Statements of Changes in Net Assets
|
FOR THE SIX |
FOR THE |
||||||
INCREASE/(DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS |
||||||||
Net investment income/(loss) |
$ | 1,934,888 | $ | 753,933 | ||||
Net realized gain/(loss) from investments |
1,387,861 | (3,708,055 | ) | |||||
Net change in unrealized appreciation/(depreciation) on investments |
(218,867 | ) | 906,748 | |||||
NET INCREASE/(DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS |
3,103,882 | (2,047,374 | ) | |||||
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS FROM: |
||||||||
Total distributable earnings |
(1,760,623 | ) | (679,725 | ) | ||||
Net decrease in net assets from dividends and distributions to shareholders |
(1,760,623 | ) | (679,725 | ) | ||||
CAPITAL SHARE TRANSACTIONS: |
||||||||
Proceeds from shares sold |
98,341,818 | 82,290,461 | ||||||
Shares redeemed |
(53,931,483 | ) | (43,803,707 | ) | ||||
Net increase/(decrease) in net assets from capital share transactions |
44,410,335 | 38,486,754 | ||||||
TOTAL INCREASE/(DECREASE) IN NET ASSETS |
45,753,594 | 35,759,655 | ||||||
NET ASSETS: |
||||||||
Beginning of period |
$ | 56,093,544 | $ | 20,333,889 | ||||
End of period |
$ | 101,847,138 | $ | 56,093,544 | ||||
SHARE TRANSACTIONS: |
||||||||
Shares sold |
2,280,000 | 1,790,000 | ||||||
Shares redeemed |
(1,220,000 | ) | (950,000 | ) | ||||
Net increase/(decrease) in shares |
1,060,000 | 840,000 |
The accompanying notes are an integral part of these financial statements.
49 |
US Treasury 20 Year Bond ETF
Statement of Changes in Net Assets
|
FOR THE SIX |
For the |
||||||
INCREASE/(DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS |
||||||||
Net investment income/(loss) |
$ | 160,306 | $ | 20,666 | ||||
Net realized gain/(loss) from investments |
1,022,757 | (110,655 | ) | |||||
Net change in unrealized appreciation/(depreciation) on investments |
42,225 | 5,844 | ||||||
NET INCREASE/(DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS |
1,225,288 | (84,145 | ) | |||||
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS FROM: |
||||||||
Total distributable earnings |
(166,779 | ) | (15,177 | ) | ||||
Net decrease in net assets from dividends and distributions to shareholders |
(166,779 | ) | (15,177 | ) | ||||
CAPITAL SHARE TRANSACTIONS: |
||||||||
Proceeds from shares sold |
50,272,165 | 1,973,766 | ||||||
Shares redeemed |
(41,272,304 | ) | — | |||||
Net increase/(decrease) in net assets from capital share transactions |
8,999,861 | 1,973,766 | ||||||
TOTAL INCREASE/(DECREASE) IN NET ASSETS |
10,058,370 | 1,874,444 | ||||||
NET ASSETS: |
||||||||
Beginning of period |
$ | 1,874,444 | $ | — | ||||
End of period |
$ | 11,932,814 | $ | 1,874,444 | ||||
SHARE TRANSACTIONS: |
||||||||
Shares sold |
1,110,000 | 40,000 | ||||||
Shares redeemed |
(890,000 | ) | — | |||||
Net increase/(decrease) in shares |
220,000 | 40,000 |
(1) |
Inception date of the Fund was March 27, 2023. |
The accompanying notes are an integral part of these financial statements.
50 |
US Treasury 30 Year Bond ETF
Statement of Changes in Net Assets
|
FOR THE SIX |
For the |
||||||
INCREASE/(DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS |
||||||||
Net investment income/(loss) |
$ | 138,307 | $ | 35,783 | ||||
Net realized gain/(loss) from investments |
(128,561 | ) | (241,154 | ) | ||||
Net change in unrealized appreciation/(depreciation) on investments |
119,707 | 38,693 | ||||||
NET INCREASE/(DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS |
129,453 | (166,678 | ) | |||||
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS FROM: |
||||||||
Total distributable earnings |
(123,705 | ) | (29,955 | ) | ||||
Net decrease in net assets from dividends and distributions to shareholders |
(123,705 | ) | (29,955 | ) | ||||
CAPITAL SHARE TRANSACTIONS: |
||||||||
Proceeds from shares sold |
9,377,630 | 2,978,700 | ||||||
Shares redeemed |
— | — | ||||||
Net increase/(decrease) in net assets from capital share transactions |
9,377,630 | 2,978,700 | ||||||
TOTAL INCREASE/(DECREASE) IN NET ASSETS |
9,383,378 | 2,782,067 | ||||||
NET ASSETS: |
||||||||
Beginning of period |
$ | 2,782,067 | $ | — | ||||
End of period |
$ | 12,165,445 | $ | 2,782,067 | ||||
SHARE TRANSACTIONS: |
||||||||
Shares sold |
210,000 | 60,000 | ||||||
Shares redeemed |
— | — | ||||||
Net increase/(decrease) in shares |
210,000 | 60,000 |
(1) |
Inception date of the Fund was March 27, 2023. |
The accompanying notes are an integral part of these financial statements.
51 |
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 |
FOR THE |
FOR THE |
|||||||||
|
(unaudited) |
2023 |
2022(1) |
|||||||||
PER SHARE OPERATING PERFORMANCE |
||||||||||||
Net asset value, beginning of period |
$ | 50.06 | $ | 49.80 | $ | 49.75 | ||||||
Net investment income/(loss)(2) |
1.31 | 2.49 | 0.09 | |||||||||
Net realized and unrealized gain/(loss) from investments |
(0.02 | ) | (0.29 | ) | (0.04 | ) | ||||||
Net increase/(decrease) in net assets resulting from operations |
1.29 | 2.20 | 0.05 | |||||||||
Dividends and distributions to shareholders from: |
||||||||||||
Net investment income |
(1.32 | ) | (1.94 | ) | — | |||||||
Total dividends and distributions to shareholders |
(1.32 | ) | (1.94 | ) | — | |||||||
Net asset value, end of period |
$ | 50.03 | $ | 50.06 | $ | 49.80 | ||||||
Market value, end of period |
$ | 50.05 | $ | 50.10 | $ | 49.81 | ||||||
Total investment return/(loss) on net asset value(3) |
2.63 | %(5) | 4.50 | % | 0.10 | %(5) | ||||||
Total investment return/(loss) on market price(4) |
2.58 | %(5) | 4.56 | % | 0.12 | %(5) | ||||||
RATIOS/SUPPLEMENTAL DATA |
||||||||||||
Net assets, end of period (000’s omitted) |
$ | 2,973,956 | $ | 1,776,583 | $ | 38,844 | ||||||
Ratio of expenses to average net assets |
0.15 | %(6) | 0.15 | % | 0.15 | %(6) | ||||||
Ratio of net investment income/(loss) to average net assets |
5.24 | %(6) | 4.98 | % | 2.61 | %(6) | ||||||
Portfolio turnover rate |
0 | %(5) | 0 | % | 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.
52 |
US Treasury 6 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 |
FOR THE |
||||||
|
(unaudited) |
2023(1) |
||||||
PER SHARE OPERATING PERFORMANCE |
||||||||
Net asset value, beginning of period |
$ | 50.13 | $ | 50.00 | ||||
Net investment income/(loss)(2) |
1.29 | 1.28 | ||||||
Net realized and unrealized gain/(loss) from investments |
0.02 | (0.12 | ) | |||||
Net increase/(decrease) in net assets resulting from operations |
1.31 | 1.16 | ||||||
Dividends and distributions to shareholders from: |
||||||||
Net investment income |
(1.34 | ) | (1.03 | ) | ||||
Total dividends and distributions to shareholders |
(1.34 | ) | (1.03 | ) | ||||
Net asset value, end of period |
$ | 50.10 | $ | 50.13 | ||||
Market value, end of period |
$ | 50.12 | $ | 50.17 | ||||
Total investment return/(loss) on net asset value(3) |
2.64 | %(5) | 2.35 | %(5) | ||||
Total investment return/(loss) on market price(4) |
2.59 | %(5) | 2.42 | %(5) | ||||
RATIOS/SUPPLEMENTAL DATA |
||||||||
Net assets, end of period (000’s omitted) |
$ | 507,027 | $ | 311,318 | ||||
Ratio of expenses to average net assets |
0.15 | %(6) | 0.15 | %(6) | ||||
Ratio of net investment income/(loss) to average net assets |
5.17 | %(6) | 5.26 | %(6) | ||||
Portfolio turnover rate |
0 | %(5) | 0 | %(5) |
(1) |
Inception date of the Fund was March 6, 2023. |
(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.
53 |
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 respective periods. This information has been derived from information provided in the financial statements.
|
SIX |
FOR THE |
||||||
|
(unaudited) |
2023(1) |
||||||
PER SHARE OPERATING PERFORMANCE |
||||||||
Net asset value, beginning of period |
$ | 49.91 | $ | 50.07 | ||||
Net investment income/(loss)(2) |
1.24 | 1.96 | ||||||
Net realized and unrealized gain/(loss) from investments |
21.22 | (0.48 | ) | |||||
Net increase/(decrease) in net assets resulting from operations |
22.46 | 1.48 | ||||||
Dividends and distributions to shareholders from: |
||||||||
Net investment income |
(1.28 | ) | (1.64 | ) | ||||
Total dividends and distributions to shareholders |
(1.28 | ) | (1.64 | ) | ||||
Net asset value, end of period |
$ | 49.97 | $ | 49.91 | ||||
Market value, end of period |
$ | 50.00 | $ | 49.94 | ||||
Total investment return/(loss) on net asset value(3) |
2.70 | %(5) | 3.01 | %(5) | ||||
Total investment return/(loss) on market price(4) |
2.70 | %(5) | 3.08 | %(5) | ||||
RATIOS/SUPPLEMENTAL DATA |
||||||||
Net assets, end of period (000’s omitted) |
$ | 237,847 | $ | 126,282 | ||||
Ratio of expenses to average net assets |
0.15 | %(6) | 0.15 | %(6) | ||||
Ratio of net investment income/(loss) to average net assets |
4.99 | %(6) | 4.93 | %(6) | ||||
Portfolio turnover rate |
0 | %(5) | 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.
54 |
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 |
FOR THE |
FOR THE |
|||||||||
|
(unaudited) |
2023 |
2022(1) |
|||||||||
PER SHARE OPERATING PERFORMANCE |
||||||||||||
Net asset value, beginning of period |
$ | 48.16 | $ | 49.74 | $ | 49.84 | ||||||
Net investment income/(loss)(2) |
1.08 | 2.02 | 0.11 | |||||||||
Net realized and unrealized gain/(loss) from investments |
(0.01 | ) | (1.84 | ) | (0.21 | ) | ||||||
Net increase/(decrease) in net assets resulting from operations |
1.07 | 0.18 | (0.10 | ) | ||||||||
Dividends and distributions to shareholders from: |
||||||||||||
Net investment income |
(1.13 | ) | (1.76 | ) | — | |||||||
Total dividends and distributions to shareholders |
(1.13 | ) | (1.76 | ) | — | |||||||
Net asset value, end of period |
$ | 48.10 | $ | 48.16 | $ | 49.74 | ||||||
Market value, end of period |
$ | 48.12 | $ | 48.19 | $ | 49.74 | ||||||
Total investment return/(loss) on net asset value(3) |
2.24 | %(5) | 0.38 | % | (0.20 | )%(5) | ||||||
Total investment return/(loss) on market price(4) |
2.23 | %(5) | 0.44 | % | (0.20 | )%(5) | ||||||
RATIOS/SUPPLEMENTAL DATA |
||||||||||||
Net assets, end of period (000’s omitted) |
$ | 357,867 | $ | 305,342 | $ | 17,907 | ||||||
Ratio of expenses to average net assets |
0.15 | %(6) | 0.15 | % | 0.15 | %(6) | ||||||
Ratio of net investment income/(loss) to average net assets |
4.51 | %(6) | 4.15 | % | 3.54 | %(6) | ||||||
Portfolio turnover rate |
611 | %(5) | 1048 | % | 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.
55 |
US Treasury 3 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 |
FOR THE |
||||||
|
(unaudited) |
2023(1) |
||||||
PER SHARE OPERATING PERFORMANCE |
||||||||
Net asset value, beginning of period |
$ | 49.02 | $ | 50.00 | ||||
Net investment income/(loss)(2) |
0.99 | 0.82 | ||||||
Net realized and unrealized gain/(loss) from investments |
0.03 | (1.15 | ) | |||||
Net increase/(decrease) in net assets resulting from operations |
1.02 | (0.33 | ) | |||||
Dividends and distributions to shareholders from: |
||||||||
Net investment income |
(1.07 | ) | (0.65 | ) | ||||
Total dividends and distributions to shareholders |
(1.07 | ) | (0.65 | ) | ||||
Net asset value, end of period |
$ | 48.97 | $ | 49.02 | ||||
Market value, end of period |
$ | 48.99 | $ | 49.04 | ||||
Total investment return/(loss) on net asset value(3) |
2.09 | %(5) | (0.66 | )%(5) | ||||
Total investment return/(loss) on market price(4) |
2.09 | %(5) | (0.62 | )%(5) | ||||
RATIOS/SUPPLEMENTAL DATA |
||||||||
Net assets, end of period (000’s omitted) |
$ | 6,366 | $ | 1,471 | ||||
Ratio of expenses to average net assets |
0.15 | %(6) | 0.15 | %(6) | ||||
Ratio of net investment income/(loss) to average net assets |
4.05 | %(6) | 3.86 | %(6) | ||||
Portfolio turnover rate |
354 | %(5) | 422 | %(5) |
(1) |
Inception date of the Fund was March 27, 2023. |
(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.
56 |
US Treasury 5 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 |
FOR THE |
||||||
|
(unaudited) |
2023(1) |
||||||
PER SHARE OPERATING PERFORMANCE |
||||||||
Net asset value, beginning of period |
$ | 48.58 | $ | 50.00 | ||||
Net investment income/(loss)(2) |
0.98 | 0.79 | ||||||
Net realized and unrealized gain/(loss) from investments |
(0.13 | ) | (1.63 | ) | ||||
Net increase/(decrease) in net assets resulting from operations |
0.85 | (0.84 | ) | |||||
Dividends and distributions to shareholders from: |
||||||||
Net investment income |
(1.02 | ) | (0.58 | ) | ||||
Total dividends and distributions to shareholders |
(1.02 | ) | (0.58 | ) | ||||
Net asset value, end of period |
$ | 48.41 | $ | 48.58 | ||||
Market value, end of period |
$ | 48.43 | $ | 48.61 | ||||
Total investment return/(loss) on net asset value(3) |
1.78 | %(5) | (1.69 | )%(5) | ||||
Total investment return/(loss) on market price(4) |
1.76 | %(5) | (1.62 | )%(5) | ||||
RATIOS/SUPPLEMENTAL DATA |
||||||||
Net assets, end of period (000’s omitted) |
$ | 17,911 | $ | 4,372 | ||||
Ratio of expenses to average net assets |
0.15 | %(6) | 0.15 | %(6) | ||||
Ratio of net investment income/(loss) to average net assets |
4.04 | %(6) | 3.77 | %(6) | ||||
Portfolio turnover rate |
531 | %(5) | 548 | %(5) |
(1) |
Inception date of the Fund was March 27, 2023. |
(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.
57 |
US Treasury 7 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 |
FOR THE |
||||||
|
(unaudited) |
2023(1) |
||||||
PER SHARE OPERATING PERFORMANCE |
||||||||
Net asset value, beginning of period |
$ | 48.14 | $ | 50.00 | ||||
Net investment income/(loss)(2) |
0.98 | 0.75 | ||||||
Net realized and unrealized gain/(loss) from investments |
(0.36 | ) | (2.03 | ) | ||||
Net increase/(decrease) in net assets resulting from operations |
0.62 | (1.28 | ) | |||||
Dividends and distributions to shareholders from: |
||||||||
Net investment income |
(0.99 | ) | (0.58 | ) | ||||
Total dividends and distributions to shareholders |
(0.99 | ) | (0.58 | ) | ||||
Net asset value, end of period |
$ | 47.77 | $ | 48.14 | ||||
Market value, end of period |
$ | 47.80 | $ | 48.16 | ||||
Total investment return/(loss) on net asset value(3) |
1.32 | %(5) | (2.58 | )%(5) | ||||
Total investment return/(loss) on market price(4) |
1.34 | %(5) | (2.55 | )%(5) | ||||
RATIOS/SUPPLEMENTAL DATA |
||||||||
Net assets, end of period (000’s omitted) |
$ | 5,255 | $ | 963 | ||||
Ratio of expenses to average net assets |
0.15 | %(6) | 0.15 | %(6) | ||||
Ratio of net investment income/(loss) to average net assets |
4.10 | %(6) | 3.55 | %(6) | ||||
Portfolio turnover rate |
564 | %(5) | 497 | %(5) |
(1) |
Inception date of the Fund was March 27, 2023. |
(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.
58 |
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 |
FOR THE |
FOR THE |
|||||||||
|
(unaudited) |
2023 |
2022(1) |
|||||||||
PER SHARE OPERATING PERFORMANCE |
||||||||||||
Net asset value, beginning of period |
$ | 44.52 | $ | 48.41 | $ | 49.91 | ||||||
Net investment income/(loss)(2) |
0.91 | 1.55 | 0.09 | |||||||||
Net realized and unrealized gain/(loss) from investments |
(0.66 | ) | (3.88 | ) | (1.59 | ) | ||||||
Net increase/(decrease) in net assets resulting from operations |
0.25 | (2.33 | ) | (1.50 | ) | |||||||
Dividends and distributions to shareholders from: |
||||||||||||
Net investment income |
(0.87 | ) | (1.56 | ) | — | |||||||
Total dividends and distributions to shareholders |
(0.87 | ) | (1.56 | ) | — | |||||||
Net asset value, end of period |
$ | 43.90 | $ | 44.52 | $ | 48.41 | ||||||
Market value, end of period |
$ | 43.93 | $ | 44.55 | $ | 48.26 | ||||||
Total investment return/(loss) on net asset value(3) |
0.57 | %(5) | (4.87 | )% | (3.00 | )%(5) | ||||||
Total investment return/(loss) on market price(4) |
0.58 | %(5) | (4.49 | )% | (3.31 | )%(5) | ||||||
RATIOS/SUPPLEMENTAL DATA |
||||||||||||
Net assets, end of period (000’s omitted) |
$ | 101,847 | $ | 56,094 | $ | 20,334 | ||||||
Ratio of expenses to average net assets |
0.63 | %(6) | 0.15 | % | 0.15 | %(6) | ||||||
Ratio of net investment income/(loss) to average net assets |
17.51 | %(6) | 3.40 | % | 2.77 | %(6) | ||||||
Portfolio turnover rate |
239 | %(5) | 289 | % | 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.
59 |
US Treasury 20 Year Bond 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 |
FOR THE |
||||||
|
(unaudited) |
2023(1) |
||||||
PER SHARE OPERATING PERFORMANCE |
||||||||
Net asset value, beginning of period |
$ | 46.86 | $ | 50.00 | ||||
Net investment income/(loss)(2) |
0.98 | 0.81 | ||||||
Net realized and unrealized gain/(loss) from investments |
(0.97 | ) | (3.34 | ) | ||||
Net increase/(decrease) in net assets resulting from operations |
0.01 | (2.53 | ) | |||||
Dividends and distributions to shareholders from: |
||||||||
Net investment income |
(0.97 | ) | (0.61 | ) | ||||
Total dividends and distributions to shareholders |
(0.97 | ) | (0.61 | ) | ||||
Net asset value, end of period |
$ | 45.90 | $ | 46.86 | ||||
Market value, end of period |
$ | 45.90 | $ | 46.89 | ||||
Total investment return/(loss) on net asset value(3) |
0.04 | %(5) | (5.10 | )%(5) | ||||
Total investment return/(loss) on market price(4) |
0.01 | %(5) | (5.04 | )%(5) | ||||
RATIOS/SUPPLEMENTAL DATA |
||||||||
Net assets, end of period (000’s omitted) |
$ | 11,933 | $ | 1,874 | ||||
Ratio of expenses to average net assets |
0.15 | %(6) | 0.15 | %(6) | ||||
Ratio of net investment income/(loss) to average net assets |
4.29 | %(6) | 3.87 | %(6) | ||||
Portfolio turnover rate |
382 | %(5) | 219 | %(5) |
(1) |
Inception date of the Fund was March 27, 2023. |
(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.
60 |
US Treasury 30 Year Bond 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 |
FOR THE |
||||||
|
(unaudited) |
2023(1) |
||||||
PER SHARE OPERATING PERFORMANCE |
||||||||
Net asset value, beginning of period |
$ | 46.37 | $ | 50.00 | ||||
Net investment income/(loss)(2) |
0.95 | 0.77 | ||||||
Net realized and unrealized gain/(loss) from investments |
(1.33 | ) | (3.83 | ) | ||||
Net increase/(decrease) in net assets resulting from operations |
(0.38 | ) | (3.06 | ) | ||||
Dividends and distributions to shareholders from: |
||||||||
Net investment income |
(0.93 | ) | (0.57 | ) | ||||
Total dividends and distributions to shareholders |
(0.93 | ) | (0.57 | ) | ||||
Net asset value, end of period |
$ | 45.06 | $ | 46.37 | ||||
Market value, end of period |
$ | 45.07 | $ | 46.38 | ||||
Total investment return/(loss) on net asset value(3) |
(0.78 | )%(5) | (6.17 | )%(5) | ||||
Total investment return/(loss) on market price(4) |
(0.78 | )%(5) | (6.12 | )%(5) | ||||
RATIOS/SUPPLEMENTAL DATA |
||||||||
Net assets, end of period (000’s omitted) |
$ | 12,165 | $ | 2,782 | ||||
Ratio of expenses to average net assets |
0.15 | %(6) | 0.15 | %(6) | ||||
Ratio of net investment income/(loss) to average net assets |
4.24 | %(6) | 3.72 | %(6) | ||||
Portfolio turnover rate |
253 | %(5) | 180 | %(5) |
(1) |
Inception date of the Fund was March 27, 2023. |
(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 |
US Benchmark Series
Notes to Financial Statements
February 29, 2024 (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 sixty-four separate investment portfolios, including the US Treasury 3 Month Bill ETF, the US Treasury 6 Month Bill ETF, the US Treasury 12 Month Bill ETF, the US Treasury 2 Year Note ETF, the US Treasury 3 Year Note ETF, the US Treasury 5 Year Note ETF, the US Treasury 7 Year Note ETF, the US Treasury 10 Year Note ETF, the US Treasury 20 Year Bond ETF, and the US Treasury 30 Year Bond ETF (each a “Fund” and together the “Funds” or “US Benchmark Series”).
RBB has authorized capital of one hundred billion shares of common stock of which 92.723 billion shares are currently classified into two hundred and thirty-four classes of common stock. Each class represents an interest in an active or inactive RBB investment portfolio.
The investment objective of the US Treasury 3 Month Bill ETF, the US Treasury 6 Month Bill ETF, the US Treasury 12 Month Bill ETF, the US Treasury 2 Year Note ETF, the US Treasury 3 Year Note ETF, the US Treasury 5 Year Note ETF, the US Treasury 7 Year Note ETF, the US Treasury 10 Year Note ETF, the US Treasury 20 Year Bond ETF, and the US Treasury 30 Year Bond 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 US 3-Month Treasury Bill Index, the ICE BofA US 6-Month Treasury Bill Index, the ICE BofA US 12-Month Treasury Bill Index, the ICE BofA Current 2-Year US Treasury Index, the ICE BofA Current 3-Year US Treasury Index, the ICE BofA Current 5-Year US Treasury Index, the ICE BofA Current 7-Year US Treasury Index, the ICE BofA Current 10-Year US Treasury Index, the ICE BofA Current 20-Year US Treasury Index, the ICE BofA Current 30-Year US Treasury 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 29, 2024, and the period covered by these Notes to Financial Statements is the six months ended February 29, 2024 (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.
62 |
US Benchmark Series
Notes to Financial Statements (continued)
February 29, 2024 (Unaudited)
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 current fiscal period, in valuing the Funds’ investments carried at fair value:
US TREASURY 3 MONTH BILL ETF |
TOTAL |
LEVEL 1 |
LEVEL 2 |
LEVEL 3 |
||||||||||||
Short-Term Investments |
$ | 2,974,244,232 | $ | — | $ | 2,974,244,232 | $ | — | ||||||||
Total Investments* |
$ | 2,974,244,232 | $ | — | $ | 2,974,244,232 | $ | — |
US TREASURY 6 MONTH BILL ETF |
TOTAL |
LEVEL 1 |
LEVEL 2 |
LEVEL 3 |
||||||||||||
Short-Term Investments |
$ | 507,082,010 | $ | — | $ | 507,082,010 | $ | — | ||||||||
Total Investments* |
$ | 507,082,010 | $ | — | $ | 507,082,010 | $ | — |
US TREASURY 12 MONTH BILL ETF |
TOTAL |
LEVEL 1 |
LEVEL 2 |
LEVEL 3 |
||||||||||||
Short-Term Investments |
$ | 237,872,128 | $ | — | $ | 237,872,128 | $ | — | ||||||||
Total Investments* |
$ | 237,872,128 | $ | — | $ | 237,872,128 | $ | — |
US TREASURY 2 YEAR NOTE ETF |
TOTAL |
LEVEL 1 |
LEVEL 2 |
LEVEL 3 |
||||||||||||
U.S. Government Notes/Bonds |
$ | 356,590,141 | $ | — | $ | 356,590,141 | $ | — | ||||||||
Short-Term Investments |
$ | 1,234,277 | $ | — | $ | 1,234,277 | $ | — | ||||||||
Total Investments* |
$ | 357,824,418 | $ | — | $ | 357,824,418 | $ | — |
US TREASURY 3 YEAR NOTE ETF |
TOTAL |
LEVEL 1 |
LEVEL 2 |
LEVEL 3 |
||||||||||||
U.S. Government Notes/Bonds |
$ | 6,353,451 | $ | — | $ | 6,353,451 | $ | — | ||||||||
Total Investments* |
$ | 6,353,451 | $ | — | $ | 6,353,451 | $ | — |
US TREASURY 5 YEAR NOTE ETF |
TOTAL |
LEVEL 1 |
LEVEL 2 |
LEVEL 3 |
||||||||||||
U.S. Government Notes/Bonds |
$ | 17,847,789 | $ | — | $ | 17,847,789 | $ | — | ||||||||
Short-Term Investments |
$ | 60,964 | $ | — | $ | 60,964 | $ | — | ||||||||
Total Investments* |
$ | 17,908,753 | $ | — | $ | 17,908,753 | $ | — |
63 |
US Benchmark Series
Notes to Financial Statements (continued)
February 29, 2024 (Unaudited)
US TREASURY 7 YEAR NOTE ETF |
TOTAL |
LEVEL 1 |
LEVEL 2 |
LEVEL 3 |
||||||||||||
U.S. Government Notes/Bonds |
$ | 5,235,448 | $ | — | $ | 5,235,448 | $ | — | ||||||||
Short-Term Investments |
$ | 17,989 | $ | — | $ | 17,989 | $ | — | ||||||||
Total Investments* |
$ | 5,253,437 | $ | — | $ | 5,253,437 | $ | — |
US TREASURY 10 YEAR NOTE ETF |
TOTAL |
LEVEL 1 |
LEVEL 2 |
LEVEL 3 |
||||||||||||
U.S. Government Notes/Bonds |
$ | 101,316,738 | $ | — | $ | 101,316,738 | $ | — | ||||||||
Short-Term Investments |
$ | 349,795 | $ | — | $ | 349,795 | $ | — | ||||||||
Total Investments* |
$ | 101,666,533 | $ | — | $ | 101,666,533 | $ | — |
US TREASURY 20 YEAR BOND ETF |
TOTAL |
LEVEL 1 |
LEVEL 2 |
LEVEL 3 |
||||||||||||
U.S. Government Notes/Bonds |
$ | 11,865,291 | $ | — | $ | 11,865,291 | $ | — | ||||||||
Short-Term Investments |
$ | 45,973 | $ | — | $ | 45,973 | $ | — | ||||||||
Total Investments* |
$ | 11,911,264 | $ | — | $ | 11,911,264 | $ | — |
US TREASURY 30 YEAR BOND ETF |
TOTAL |
LEVEL 1 |
LEVEL 2 |
LEVEL 3 |
||||||||||||
U.S. Government Notes/Bonds |
$ | 12,142,969 | $ | — | $ | 12,142,969 | $ | — | ||||||||
Total Investments* |
$ | 12,142,969 | $ | — | $ | 12,142,969 | $ | — |
* |
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 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.
64 |
US Benchmark Series
Notes to Financial Statements (continued)
February 29, 2024 (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. 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 (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.
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.
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
65 |
US Benchmark Series
Notes to Financial Statements (continued)
February 29, 2024 (Unaudited)
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, 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.
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
66 |
US Benchmark Series
Notes to Financial Statements (continued)
February 29, 2024 (Unaudited)
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.
Reverse Repurchase Agreement - Reverse repurchase agreements are a form of secured borrowing and subject a Fund to the risks associated with leverage, including exposure to potential gains and losses in excess of the amount invested, resulting in an increase in the speculative character of the Fund’s outstanding shares. If the securities held by a Fund decline in value while these transactions are outstanding, the NAV of a Fund’s outstanding shares will decline in value by proportionately more than the decline in value of the securities. In addition, reverse repurchase agreements involve the risk that the investment return earned by a Fund (from the investment of the proceeds) will be less than the interest expense of the transaction, that the market value of the securities sold by a Fund will decline below the price the Fund is obligated to pay to repurchase the securities, and that the other party may fail to return the securities in a timely manner or at all.
When a Fund enters into a reverse repurchase agreement, it is subject to the risk that the buyer under the agreement may file for bankruptcy, become insolvent or otherwise default on its obligations to the Fund. In the event of a default by the counterparty, there may be delays, costs and risks of loss involved in a Fund’s exercising its rights under the agreement, or those rights may be limited by other contractual agreements or obligations or by applicable law. Such an insolvency may result in a loss equal to the amount by which the value of the securities or other assets sold by the Fund exceeds the repurchase price payable by the Fund; if the value of the purchased securities or other assets increases during such a delay, that loss may also be increased. A Fund could lose money if it is unable to recover the securities or if the value of investments made by the Fund using the proceeds of the transaction is less than the value of securities. When a Fund enters into a reverse repurchase agreement, it must identify on its books cash or liquid assets that have a value equal to or greater than the repurchase price.
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 (the “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. 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.
67 |
US Benchmark Series
Notes to Financial Statements (continued)
February 29, 2024 (Unaudited)
During the current fiscal period, investment advisory fees accrued were as follows:
FUND |
ADVISORY FEES |
|||
US Treasury 3 Month Bill ETF |
$ | 1,927,767 | ||
US Treasury 6 Month Bill ETF |
373,659 | |||
US Treasury 12 Month Bill ETF |
144,588 | |||
US Treasury 2 Year Note ETF |
259,044 | |||
US Treasury 3 Year Note ETF |
3,644 | |||
US Treasury 5 Year Note ETF |
7,128 | |||
US Treasury 7 Year Note ETF |
2,583 | |||
US Treasury 10 Year Note ETF |
69,750 | |||
US Treasury 20 Year Bond ETF |
5,587 | |||
US Treasury 30 Year Bond ETF |
4,876 |
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 current fiscal 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 |
U.S. GOVERNMENT |
||||||
US Treasury 3 Month Bill ETF |
$ | — | $ | — | ||||
US Treasury 6 Month Bill ETF |
— | — | ||||||
US Treasury 12 Month Bill ETF |
— | — | ||||||
US Treasury 2 Year Note ETF |
2,112,655,580 | 2,111,350,793 |
68 |
US Benchmark Series
Notes to Financial Statements (continued)
February 29, 2024 (Unaudited)
FUND |
U.S. GOVERNMENT |
U.S. GOVERNMENT |
||||||
US Treasury 3 Year Note ETF |
$ | 30,398,955 | $ | 16,667,583 | ||||
US Treasury 5 Year Note ETF |
68,738,258 | 51,897,296 | ||||||
US Treasury 7 Year Note ETF |
24,768,085 | 18,114,735 | ||||||
US Treasury 10 Year Note ETF |
226,447,035 | 215,202,023 | ||||||
US Treasury 20 Year Bond ETF |
37,562,870 | 31,085,373 | ||||||
US Treasury 30 Year Bond ETF |
20,130,445 | 16,848,330 |
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 |
U.S. GOVERNMENT |
||||||
US Treasury 3 Month Bill ETF |
$ | — | $ | — | ||||
US Treasury 6 Month Bill ETF |
— | — | ||||||
US Treasury 12 Month Bill ETF |
— | — | ||||||
US Treasury 2 Year Note ETF |
84,888,094 | 41,921,518 | ||||||
US Treasury 3 Year Note ETF |
9,378,892 | 18,272,897 | ||||||
US Treasury 5 Year Note ETF |
6,303,091 | 9,816,200 | ||||||
US Treasury 7 Year Note ETF |
2,859,102 | 5,340,960 | ||||||
US Treasury 10 Year Note ETF |
85,015,108 | 53,860,935 | ||||||
US Treasury 20 Year Bond ETF |
43,538,062 | 41,228,804 | ||||||
US Treasury 30 Year Bond ETF |
5,966,735 | — |
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, 2023, the federal tax cost, aggregate gross unrealized appreciation and depreciation of securities held by each Fund were as follows:
FUND |
FEDERAL |
UNREALIZED |
UNREALIZED |
NET UNREALIZED |
||||||||||||
US Treasury 3 Month Bill ETF |
$ | 1,776,763,356 | $ | 771 | $ | (10,652 | ) | $ | (9,881 | ) | ||||||
US Treasury 6 Month Bill ETF |
311,325,736 | 20,339 | (45 | ) | 20,294 | |||||||||||
US Treasury 12 Month Bill ETF |
126,361,430 | 782 | (65,491 | ) | (64,709 | ) |
69 |
US Benchmark Series
Notes to Financial Statements (continued)
February 29, 2024 (Unaudited)
FUND |
FEDERAL |
UNREALIZED |
UNREALIZED |
NET UNREALIZED |
||||||||||||
US Treasury 2 Year Note ETF |
$ | 305,125,206 | $ | 214,095 | $ | — | $ | 214,095 | ||||||||
US Treasury 3 Year Note ETF |
1,463,554 | 4,215 | — | 4,215 | ||||||||||||
US Treasury 5 Year Note ETF |
4,364,690 | 7,114 | — | 7,114 | ||||||||||||
US Treasury 7 Year Note ETF |
961,396 | 1,430 | — | 1,430 | ||||||||||||
US Treasury 10 Year Note ETF |
55,413,927 | 404,987 | (294 | ) | 404,693 | |||||||||||
US Treasury 20 Year Bond ETF |
1,865,056 | 5,843 | — | 5,843 | ||||||||||||
US Treasury 30 Year Bond ETF |
2,738,359 | 38,693 | — | 38,693 |
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, 2023, there were permanent differences related to redemptions in-kind between distributable earnings/(loss) and paid-in capital, respectively for the following funds:
FUND |
Distributable |
Paid-In-Capital |
||||||
US Treasury 3 Month Bill ETF |
$ | (443,251 | ) | $ | 443,251 | |||
US Treasury 6 Month Bill ETF |
(6,525 | ) | 6,525 | |||||
US Treasury 12 Month Bill ETF |
(412,912 | ) | 412,912 | |||||
US Treasury 2 Year Note ETF |
(4,395,918 | ) | 4,395,918 | |||||
US Treasury 3 Year Note ETF |
(8,155 | ) | 8,155 | |||||
US Treasury 5 Year Note ETF |
(11,194 | ) | 11,194 | |||||
US Treasury 7 Year Note ETF |
(12,227 | ) | 12,227 | |||||
US Treasury 10 Year Note ETF |
943,757 | (943,757 | ) | |||||
US Treasury 20 Year Bond ETF |
— | — | ||||||
US Treasury 30 Year Bond ETF |
— | — |
70 |
US Benchmark Series
Notes to Financial Statements (continued)
February 29, 2024 (Unaudited)
As of August 31, 2023, the components of distributable earnings on a tax basis were as follows:
FUND |
UNDISTRIBUTED |
UNDISTRIBUTED |
Net UNREALIZED |
Capital |
Qualified late- |
|||||||||||||||
US Treasury 3 Month Bill ETF |
$ | 4,630,894 | $ | — | $ | (9,881 | ) | $ | (655,964 | ) | $ | — | ||||||||
US Treasury 6 Month Bill ETF |
745,773 | — | 20,294 | (279,622 | ) | — | ||||||||||||||
US Treasury 12 Month Bill ETF |
354,416 | — | (64,709 | ) | (972,375 | ) | — | |||||||||||||
US Treasury 2 Year Note ETF |
861,380 | — | 214,095 | (10,786,774 | ) | — | ||||||||||||||
US Treasury 3 Year Note ETF |
4,222 | — | 4,215 | (47,163 | ) | — | ||||||||||||||
US Treasury 5 Year Note ETF |
9,046 | — | 7,114 | (75,589 | ) | — | ||||||||||||||
US Treasury 7 Year Note ETF |
3,503 | — | 1,430 | (59,397 | ) | — | ||||||||||||||
US Treasury 10 Year Note ETF |
107,251 | — | 404,693 | (2,902,147 | ) | — | ||||||||||||||
US Treasury 20 Year Bond ETF |
5,490 | — | 5,843 | (110,655 | ) | — | ||||||||||||||
US Treasury 30 Year Bond ETF |
5,828 | — | 38,693 | (241,154 | ) | — |
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.
The tax character of dividends and distributions paid during the fiscal year ended August 31, 2023 was as follows:
FUND |
Ordinary |
Long-Term |
||||||
US Treasury 3 Month Bill ETF |
$ | 23,559,224 | $ | — | ||||
US Treasury 6 Month Bill ETF |
2,720,580 | — | ||||||
US Treasury 12 Month Bill ETF |
2,206,389 | — | ||||||
US Treasury 2 Year Note ETF |
9,134,861 | — | ||||||
US Treasury 3 Year Note ETF |
19,629 | — | ||||||
US Treasury 5 Year Note ETF |
19,503 | — | ||||||
US Treasury 7 Year Note ETF |
11,541 | — | ||||||
US Treasury 10 Year Note ETF |
679,725 | — | ||||||
US Treasury 20 Year Bond ETF |
15,177 | — | ||||||
US Treasury 30 Year Bond ETF |
29,955 | — |
The Funds are permitted to carry forward capital losses for an unlimited period. Additionally, capital losses that are carried forward will retain their character as either short-term or long-term capital losses. As of August 31, 2023, the US Treasury 3 Month Bill ETF had unexpiring short-term losses of $655,964, the US Treasury 6 Month Bill ETF had unexpiring short-term losses of $279,622, the US Treasury 12 Month Bill ETF had unexpiring short-term losses of $972,375, the US Treasury 2 Year Note ETF had unexpiring short-term losses of $10,786,774, the US Treasury 3 Year Note ETF had unexpiring short-term losses of $47,163, the US Treasury 5 Year Note ETF had unexpiring short-term losses of $75,589, the US Treasury 7 Year Note ETF had unexpiring short-term losses of $59,397, the US Treasury 10 Year Note ETF had unexpiring short-term losses of $2,902,147, the US Treasury 20 Year Bond ETF had unexpiring short-term losses of $110,655, and the US Treasury 30 Year Bond ETF had unexpiring short-term losses of $241,154.
71 |
US Benchmark Series
Notes to Financial Statements (continued)
February 29, 2024 (Unaudited)
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.
In October 2022, the SEC adopted a final rule relating to tailored shareholder reports for mutual funds and exchange-traded funds and fee information in investment company advertisements. Beginning in July 2024, the Funds will be required to transmit concise and visually engaging shareholder reports that highlight key information. The Funds will also be required to tag information in a structured data format and that certain more in-depth information be made available online and available for delivery free of charge to investors on request.
In December 2022, the FASB issued an Accounting Standards Update, ASU 2022-06, Reference Rate Reform (Topic 848) – Deferral of the Sunset Date of Topic 848 (“ASU 2022-06”). ASU 2022-06 is an amendment to ASU 2020-04, which provided optional guidance to ease the potential accounting burden due to the discontinuation of the London Inter-Bank Offered Rate and other interbank-offered based reference rates and which was effective as of March 12, 2020 through December 31, 2022. ASU 2022-06 extends the effective period through December 31, 2024. Management is currently evaluating the impact, if any, of applying ASU 2022-06.
72 |
US Benchmark Series
Notes to Financial Statements (CONCLUDED)
February 29, 2024 (Unaudited)
8. SUBSEQUENT EVENTS
In preparing these financial statements, management has evaluated events and transactions for potential recognition or disclosure through the date the financial statements were available to be issued.
Subsequent to February 29, 2024, the Funds paid the following distributions:
Fund |
Record Date |
Ex-Date |
Pay Date |
Distribution |
US Treasury 3 Month Bill ETF |
3/4/2024 |
3/1/2024 |
3/5/2024 |
$0.21934168 |
US Treasury 6 Month Bill ETF |
3/4/2024 |
3/1/2024 |
3/5/2024 |
$0.21130933 |
US Treasury 12 Month Bill ETF |
3/4/2024 |
3/1/2024 |
3/5/2024 |
$0.19627258 |
US Treasury 2 Year Note ETF |
3/4/2024 |
3/1/2024 |
3/5/2024 |
$0.16444417 |
US Treasury 3 Year Note ETF |
3/4/2024 |
3/1/2024 |
3/5/2024 |
$0.15960723 |
US Treasury 5 Year Note ETF |
3/4/2024 |
3/1/2024 |
3/5/2024 |
$0.15537959 |
US Treasury 7 Year Note ETF |
3/4/2024 |
3/1/2024 |
3/5/2024 |
$0.15314982 |
US Treasury 10 Year Note ETF |
3/4/2024 |
3/1/2024 |
3/5/2024 |
$0.15030703 |
US Treasury 20 Year Bond ETF |
3/4/2024 |
3/1/2024 |
3/5/2024 |
$0.17637165 |
US Treasury 30 Year Bond ETF |
3/4/2024 |
3/1/2024 |
3/5/2024 |
$0.16366619 |
US Treasury 3 Month Bill ETF |
4/2/2024 |
4/1/2024 |
4/3/2024 |
$0.21856517 |
US Treasury 6 Month Bill ETF |
4/2/2024 |
4/1/2024 |
4/3/2024 |
$0.21534683 |
US Treasury 12 Month Bill ETF |
4/2/2024 |
4/1/2024 |
4/3/2024 |
$0.20147963 |
US Treasury 2 Year Note ETF |
4/2/2024 |
4/1/2024 |
4/3/2024 |
$0.17933563 |
US Treasury 3 Year Note ETF |
4/2/2024 |
4/1/2024 |
4/3/2024 |
$0.16459823 |
US Treasury 5 Year Note ETF |
4/2/2024 |
4/1/2024 |
4/3/2024 |
$0.16570627 |
US Treasury 7 Year Note ETF |
4/2/2024 |
4/1/2024 |
4/3/2024 |
$0.16381209 |
US Treasury 10 Year Note ETF |
4/2/2024 |
4/1/2024 |
4/3/2024 |
$0.14132709 |
US Treasury 20 Year Bond ETF |
4/2/2024 |
4/1/2024 |
4/3/2024 |
$0.16747500 |
US Treasury 30 Year Bond ETF |
4/2/2024 |
4/1/2024 |
4/3/2024 |
$0.15426250 |
73 |
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 filings 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.
74 |
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
Principal Underwriter
Quasar Distributors, LLC
3 Canal Plaza, Suite 100
Portland, ME 04101
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
Legal Counsel
Faegre Drinker Biddle & Reath LLP
One Logan Square, Suite 2000
Philadelphia, Pennsylvania 19103-6996
75 |
(This Page Intentionally Left Blank.)
(This Page Intentionally Left Blank.)
F/m Corporate Bond ETFs
Semi-Annual Report
February 29, 2024
(Unaudited)
F/m 2-Year Investment Grade Corporate Bond ETF | (NYSE: ZTWO)
F/m 3-Year Investment Grade Corporate Bond ETF | (NYSE: ZTRE)
F/m 10-Year Investment Grade Corporate Bond ETF | (NYSE: ZTEN)
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 |
5 |
Schedules of Investments |
8 |
Financial Statements |
41 |
Notes to Financial Statements |
49 |
Notice to Shareholders |
57 |
F/m Corporate Bond ETFs
Letter to Shareholders
February 29, 2024 (Unaudited)
F/m Investments LLC |
Dear Shareholder:
As we were talking with investors about the US Benchmark Series, they would ask: What’s Next? The F/m Corporate Bond ETFs are Next.
The listing of F/m 2-Year Investment Grade Corporate Bond ETF (ZTWO), F/m 3-Year Investment Grade Corporate Bond ETF (ZTRE) and F/m 10-Year Investment Grade Corporate Bond ETF (ZTEN) (together, the “Funds”) represents the first three ETFs of ten US Credit Series ETFs. We believe these Funds bring similar benefits as the US Benchmark Series: liquidity, flexibility, consistent exposure, tax-efficiency, and increased cash flow frequency. But they also bring comparatively increased yields. US corporate bonds typically yield higher than US Treasuries and have traditionally provided good capital preservation.
Each Credit Series ETF buys investment grade corporate bonds that have maturities plus or minus six months of the ETF’s target maturity, closely aligning with its sibling US Benchmark Series ETF. Monthly rebalancing stays evergreen on the target maturity.
The US Benchmark Series ETFs enable investors to use the 10 ETFs in concert to closely manage their portfolios’ interest rate risk (duration). the US Credit Series ETFs enable investors easily and precisely to target attractive parts of the US corporate credit curve, all while precisely controlling their duration.
Looking forward, we believe the markets will continue to be volatile. Uncertainty over inflation, economic growth and the Fed’s monetary policies will cause fixed income markets to swing. Fortunately, the US Credit Series ETFs are expected to offer attractive yields that will help mitigate this volatility, and the flexibility to quickly move between ETFs within the US Credit Series will enable your portfolio to be positioned to take advantage of the opportunities the market presents.
Until our Annual Report,
Justin Hennessy |
Marcin Zdunek |
John Han |
Past performance is not a guarantee of future results.
Must be preceded or accompanied by a current prospectus.
Investments involve risk. Principal loss is possible. As with all ETFs, Fund shares may be bought and sold in the secondary market at market prices higher or lower than the Fund shares’ net asset value. Interest rate risk is the risk of losses attributable to changes in interest rates. In general, if prevailing interest rates rise, the values of debt instruments tend to fall, and if interest rates fall, the values of debt instruments tend to rise.
Investors should consider the investment objectives, charges and expenses carefully before investing. For a prospectus or other information, please visit www.ustreasuryetf.com or call 1-800-617-0004. Please read a fund’s prospectus or summary prospectus carefully before investing.
1 |
F/m 2-Year Investment Grade Corporate Bond ETF
Performance Data
(Unaudited)
AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED February 29, 2024 |
||
Since |
Inception |
|
F/m 2-Year Investment Grade Corporate Bond ETF (at NAV) |
0.16% |
1/10/2024 |
F/m 2-Year Investment Grade Corporate Bond ETF (at Market Price) |
0.24% |
1/10/2024 |
ICE 2-Year US Target Maturity Corporate Index* |
0.31%(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.fminvest.com/etfs/us-credit-series. 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 2-Year US Target Maturity Corporate Index incorporates investment grade, US dollar denominated, fixed-rate, taxable 2-year maturity corporate bonds. |
2 |
F/m 3-Year Investment Grade Corporate Bond ETF
Performance Data
(Unaudited)
AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED February 29, 2024 |
||
Since |
Inception |
|
F/m 3-Year Investment Grade Corporate Bond ETF (at NAV) |
0.00% |
1/10/2024 |
F/m 3-Year Investment Grade Corporate Bond ETF (at Market Price) |
0.05% |
1/10/2024 |
ICE 3-Year US Target Maturity Corporate Index* |
0.14%(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.fminvest.com/etfs/us-credit-series. 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 3-Year US Target Maturity Corporate Index incorporates investment grade, US dollar denominated, fixed-rate, taxable 3-year maturity corporate bonds. |
3 |
F/m 10-Year Investment Grade Corporate Bond ETF
Performance Data
(Unaudited)
AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED February 29, 2024 |
||
Since |
Inception |
|
F/m 10-Year Investment Grade Corporate Bond ETF (at NAV) |
-0.81% |
1/10/2024 |
F/m 10-Year Investment Grade Corporate Bond ETF (at Market Price) |
-0.62% |
1/10/2024 |
ICE 10-Year US Target Maturity Corporate Index* |
-0.64%(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.fminvest.com/etfs/us-credit-series. 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 10-Year US Target Maturity Corporate Index incorporates investment grade, US dollar denominated, fixed-rate, taxable 10-year maturity corporate bonds. |
4 |
F/m Corporate Bond ETFs
Fund Expense Examples
FEBRUARY 29, 2024 (UNAUDITED)
As a shareholder of the Fund(s), you incur two types of costs: (1) transaction costs and (2) ongoing costs, including management 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, 2023 through February 29, 2024, and held for the entire period. The actual values and expenses are based on the 50-day period from each Fund’s inception on January 10, 2024 through February 29, 2024.
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.
5 |
F/m Corporate Bond ETFs
Fund Expense Examples (CONCLUDED)
FEBRUARY 29, 2024 (UNAUDITED)
|
Beginning |
Ending |
Expenses |
Annualized |
ACTUAL SINCE INCEPTION TOTAL INVESTMENT RETURN FOR THE FUNDS |
|||||||||||||||
F/m 2-Year Investment Grade Corporate Bond ETF |
||||||||||||||||||||
Actual |
$ | 1,000.00 | $ | 1,001.60 | $ | 0.21 | 0.15 | % | 0.16 | % | ||||||||||
Hypothetical (5% return before expenses) |
1,000.00 | 1,024.12 | 0.75 | 0.15 | % | N/A | ||||||||||||||
F/m 3-Year Investment Grade Corporate Bond ETF |
||||||||||||||||||||
Actual |
$ | 1,000.00 | $ | 1,000.00 | $ | 0.20 | 0.15 | % | 0.00 | % | ||||||||||
Hypothetical (5% return before expenses) |
1,000.00 | 1,024.12 | 0.75 | 0.15 | % | N/A | ||||||||||||||
F/m 10-Year Investment Grade Corporate Bond ETF |
||||||||||||||||||||
Actual |
$ | 1,000.00 | $ | 991.90 | $ | 0.20 | 0.15 | % | -0.81 | % | ||||||||||
Hypothetical (5% return before expenses) |
1,000.00 | 1,024.12 | 0.75 | 0.15 | % | N/A |
Expenses are equal to each Fund’s annualized expense ratio for the period September 1, 2023 through February 29, 2024, multiplied by the average account value over the period, multiplied by the number of days (182) in the most recent fiscal half-year, then divided by 366 to reflect the one-half year period. The actual dollar amounts shown are expenses paid by each Fund during the period from the inception of the Fund on January 10, 2024 multiplied by 50 days, which is the number of days from the inception of the Fund through February 29, 2024. Each Fund’s ending account value is based on the actual since inception total investment return for the Fund.
6 |
F/m 2-Year Investment Grade Corporate Bond ETF
PORTFOLIO HOLDINGS SUMMARY TABLE
FEBRUARY 29, 2024 (UNAUDITED)
SECURITY TYPE/CLASSIFICATION |
% OF NET |
VALUE |
||||||
CORPORATE BONDS |
||||||||
Financials |
30.0 | % | $ | 2,998,304 | ||||
Industrials |
9.0 | 901,351 | ||||||
Health Care |
8.7 | 875,250 | ||||||
Consumer Discretionary |
8.3 | 840,769 | ||||||
Consumer Staples |
8.0 | 802,897 | ||||||
Utilities |
8.0 | 799,187 | ||||||
Technology |
7.9 | 794,769 | ||||||
Energy |
7.5 | 750,393 | ||||||
Materials |
6.7 | 672,803 | ||||||
Communications |
3.4 | 335,096 | ||||||
Transportation and Warehousing |
0.3 | 25,801 | ||||||
SHORT-TERM INVESTMENTS |
||||||||
U.S. Treasury Obligations |
0.6 | 58,965 | ||||||
Money Market Deposit Accounts |
0.1 | 12,841 | ||||||
OTHER ASSETS IN EXCESS OF OTHER LIABILITIES |
1.5 | 146,976 | ||||||
NET ASSETS |
100.0 | % | $ | 10,015,402 |
The accompanying notes are an integral part of these financial statements.
7 |
F/m 2-Year Investment Grade Corporate Bond ETF
Schedule of Investments
FEBRUARY 29, 2024 (UNAUDITED)
|
Par |
Value |
||||||
CORPORATE BONDS — 97.8% |
||||||||
Communications — 3.4% |
||||||||
Alphabet, Inc., 2.00%, 08/15/2026 |
27,000 | $ | 25,370 | |||||
AT&T, Inc., 1.70%, 03/25/2026 |
27,000 | 25,110 | ||||||
Booking Holdings, Inc., 3.60%, 06/01/2026 |
27,000 | 26,167 | ||||||
Comcast Corp., 3.95%, 10/15/2025 |
28,000 | 27,511 | ||||||
Expedia Group, Inc., 5.00%, 02/15/2026 |
27,000 | 26,814 | ||||||
Omnicom Group, Inc. / Omnicom Capital, Inc., 3.60%, 04/15/2026 |
26,000 | 25,193 | ||||||
Paramount Global, 4.00%, 01/15/2026 |
26,000 | 24,936 | ||||||
Rogers Communications, Inc., 3.63%, 12/15/2025 |
26,000 | 25,199 | ||||||
Sprint LLC, 7.63%, 03/01/2026 |
26,000 | 26,864 | ||||||
T-Mobile USA, Inc., 2.25%, 02/15/2026 |
27,000 | 25,437 | ||||||
Verizon Communications, Inc., 1.45%, 03/20/2026 |
27,000 | 25,035 | ||||||
Walt Disney Co., 1.75%, 01/13/2026 |
27,000 | 25,467 | ||||||
Warnermedia Holdings, Inc., 6.41%, 03/15/2026 |
26,000 | 25,993 | ||||||
335,096 | ||||||||
Consumer Discretionary — 8.3% |
||||||||
Amazon.com, Inc., 1.00%, 05/12/2026 |
27,000 | 24,853 | ||||||
American Honda Finance Corp., 5.80%, 10/03/2025 |
26,000 | 26,246 | ||||||
AutoNation, Inc., 4.50%, 10/01/2025 |
28,000 | 27,507 | ||||||
AutoZone, Inc., 5.05%, 07/15/2026 |
27,000 | 26,942 | ||||||
Block Financial LLC, 5.25%, 10/01/2025 |
26,000 | 25,843 | ||||||
BMW US Capital LLC, 2.80%, 04/11/2026 (a) |
26,000 | 24,871 | ||||||
BorgWarner, Inc., 5.00%, 10/01/2025 (a) |
26,000 | 25,720 | ||||||
Delta Air Lines, Inc. / SkyMiles IP Ltd., 4.50%, 10/20/2025 (a) |
27,750 | 27,405 | ||||||
DR Horton, Inc., 2.60%, 10/15/2025 |
28,000 | 26,791 | ||||||
eBay, Inc., 1.40%, 05/10/2026 |
27,000 | 24,901 | ||||||
ERAC USA Finance LLC, 3.80%, 11/01/2025 (a) |
27,000 | 26,293 | ||||||
General Motors Co., 6.13%, 10/01/2025 |
26,000 | 26,211 | ||||||
GXO Logistics, Inc., 1.65%, 07/15/2026 |
29,000 | 26,462 | ||||||
Home Depot, Inc., 3.00%, 04/01/2026 |
27,000 | 26,004 | ||||||
Hyatt Hotels Corp., 4.85%, 03/15/2026 |
28,000 | 27,677 | ||||||
Hyundai Capital America, 5.50%, 03/30/2026 (a) |
26,000 | 26,020 | ||||||
Las Vegas Sands Corp., 3.50%, 08/18/2026 |
27,000 | 25,387 | ||||||
Lennar Corp., 5.25%, 06/01/2026 |
26,000 | 25,955 | ||||||
Lowe’s Cos., Inc., 2.50%, 04/15/2026 |
28,000 | 26,580 | ||||||
Magna International, Inc., 4.15%, 10/01/2025 |
28,000 | 27,486 |
The accompanying notes are an integral part of these financial statements.
8 |
F/m 2-Year Investment Grade Corporate Bond ETF
Schedule of Investments (Continued)
FEBRUARY 29, 2024 (UNAUDITED)
|
Par |
Value |
||||||
CORPORATE BONDS — 97.8% (continued) |
||||||||
Consumer Discretionary — 8.3% (continued) |
||||||||
Marriott International, Inc., 3.13%, 06/15/2026 |
28,000 | $ | 26,733 | |||||
Mattel, Inc., 3.38%, 04/01/2026 (a) |
29,000 | 27,522 | ||||||
McDonald’s Corp., 3.70%, 01/30/2026 |
28,000 | 27,350 | ||||||
O’Reilly Automotive, Inc., 3.55%, 03/15/2026 |
26,000 | 25,162 | ||||||
PulteGroup, Inc., 5.50%, 03/01/2026 |
26,000 | 26,052 | ||||||
Ralph Lauren Corp., 3.75%, 09/15/2025 |
28,000 | 27,360 | ||||||
Ross Stores, Inc., 0.88%, 04/15/2026 |
27,000 | 24,693 | ||||||
Stanley Black & Decker, Inc., 3.40%, 03/01/2026 |
26,000 | 25,076 | ||||||
Starbucks Corp., 4.75%, 02/15/2026 |
26,000 | 25,828 | ||||||
Tapestry, Inc., 7.05%, 11/27/2025 |
25,000 | 25,467 | ||||||
Toll Brothers Finance Corp., 4.88%, 11/15/2025 |
28,000 | 27,654 | ||||||
Toyota Motor Credit Corp., 4.45%, 05/18/2026 |
27,000 | 26,718 | ||||||
840,769 | ||||||||
Consumer Staples — 8.0% |
||||||||
7-Eleven, Inc., 0.95%, 02/10/2026 (a) |
27,000 | 24,882 | ||||||
Altria Group, Inc., 4.40%, 02/14/2026 |
27,000 | 26,581 | ||||||
Anheuser-Busch Cos. LLC / Anheuser-Busch InBev Worldwide, Inc., 3.65%, 02/01/2026 |
28,000 | 27,286 | ||||||
Archer-Daniels-Midland Co., 2.50%, 08/11/2026 |
27,000 | 25,410 | ||||||
BAT International Finance PLC, 1.67%, 03/25/2026 |
27,000 | 25,015 | ||||||
Bunge Ltd. Finance Corp., 3.25%, 08/15/2026 |
27,000 | 25,756 | ||||||
Cargill, Inc., 4.88%, 10/10/2025 (a) |
26,000 | 25,897 | ||||||
Coca-Cola Consolidated, Inc., 3.80%, 11/25/2025 |
27,000 | 26,407 | ||||||
Colgate-Palmolive Co., 4.80%, 03/02/2026 |
26,000 | 26,062 | ||||||
Conagra Brands, Inc., 4.60%, 11/01/2025 |
28,000 | 27,588 | ||||||
Constellation Brands, Inc., 5.00%, 02/02/2026 |
27,000 | 26,828 | ||||||
Dollar General Corp., 4.15%, 11/01/2025 |
26,000 | 25,474 | ||||||
General Mills, Inc., 5.24%, 11/18/2025 |
28,000 | 27,970 | ||||||
Hershey Co., 2.30%, 08/15/2026 |
27,000 | 25,480 | ||||||
Kellanova, 3.25%, 04/01/2026 |
26,000 | 24,994 | ||||||
Kenvue, Inc., 5.35%, 03/22/2026 |
25,000 | 25,162 | ||||||
Keurig Dr Pepper, Inc., 3.40%, 11/15/2025 |
27,000 | 26,159 | ||||||
Kimberly-Clark Corp., 2.75%, 02/15/2026 |
26,000 | 24,971 | ||||||
Kraft Heinz Foods Co., 3.00%, 06/01/2026 |
26,000 | 24,799 | ||||||
Kroger Co., 3.50%, 02/01/2026 |
26,000 | 25,213 | ||||||
Mars, Inc., 0.88%, 07/16/2026 (a) |
29,000 | 26,299 | ||||||
McCormick & Co., Inc., 0.90%, 02/15/2026 |
27,000 | 24,827 | ||||||
Mead Johnson Nutrition Co., 4.13%, 11/15/2025 |
28,000 | 27,480 |
The accompanying notes are an integral part of these financial statements.
9 |
F/m 2-Year Investment Grade Corporate Bond ETF
Schedule of Investments (Continued)
FEBRUARY 29, 2024 (UNAUDITED)
|
Par |
Value |
||||||
CORPORATE BONDS — 97.8% (continued) |
||||||||
Consumer Staples — 8.0% (continued) |
||||||||
Molson Coors Beverage Co., 3.00%, 07/15/2026 |
28,000 | $ | 26,668 | |||||
PepsiCo, Inc., 5.25%, 11/10/2025 |
26,000 | 26,107 | ||||||
Philip Morris International, Inc., 4.88%, 02/13/2026 |
26,000 | 25,874 | ||||||
Procter & Gamble Co., 1.00%, 04/23/2026 |
27,000 | 24,992 | ||||||
Sysco Corp., 3.30%, 07/15/2026 |
26,000 | 24,950 | ||||||
Target Corp., 2.50%, 04/15/2026 |
26,000 | 24,827 | ||||||
Tyson Foods, Inc., 4.00%, 03/01/2026 |
28,000 | 27,337 | ||||||
Walmart, Inc., 3.90%, 09/09/2025 |
26,000 | 25,602 | ||||||
802,897 | ||||||||
Energy — 7.5% |
||||||||
Boardwalk Pipelines LP, 5.95%, 06/01/2026 |
26,000 | 26,205 | ||||||
BP Capital Markets America, Inc., 3.41%, 02/11/2026 |
26,000 | 25,213 | ||||||
Chevron Corp., 2.95%, 05/16/2026 |
26,000 | 24,977 | ||||||
Colonial Pipeline Co., 3.75%, 10/01/2025 (a) |
26,000 | 25,349 | ||||||
Colorado Interstate Gas Co. LLC / Colorado Interstate Issuing Corp., 4.15%, 08/15/2026 (a) |
26,000 | 25,112 | ||||||
Columbia Pipelines Holding Co. LLC, 6.06%, 08/15/2026 (a) |
25,000 | 25,300 | ||||||
Devon Energy Corp., 5.85%, 12/15/2025 |
26,000 | 26,150 | ||||||
Energy Transfer LP, 4.75%, 01/15/2026 |
27,000 | 26,688 | ||||||
Enterprise Products Operating LLC, 3.70%, 02/15/2026 |
27,000 | 26,333 | ||||||
EOG Resources, Inc., 4.15%, 01/15/2026 |
27,000 | 26,587 | ||||||
EQT Corp., 3.13%, 05/15/2026 (a) |
27,000 | 25,534 | ||||||
Equinor ASA, 1.75%, 01/22/2026 |
27,000 | 25,426 | ||||||
Exxon Mobil Corp., 3.04%, 03/01/2026 |
25,000 | 24,121 | ||||||
Gray Oak Pipeline LLC, 2.60%, 10/15/2025 (a) |
26,000 | 24,735 | ||||||
Gulfstream Natural Gas System LLC, 4.60%, 09/15/2025 (a) |
28,000 | 27,508 | ||||||
Halliburton Co., 3.80%, 11/15/2025 |
26,000 | 25,400 | ||||||
HF Sinclair Corp., 5.88%, 04/01/2026 |
26,000 | 26,080 | ||||||
MPLX LP, 1.75%, 03/01/2026 |
27,000 | 25,189 | ||||||
Occidental Petroleum Corp., 5.55%, 03/15/2026 |
26,000 | 26,029 | ||||||
Ovintiv, Inc., 5.38%, 01/01/2026 |
28,000 | 27,864 | ||||||
Phillips 66, 1.30%, 02/15/2026 |
27,000 | 24,984 | ||||||
Pioneer Natural Resources Co., 5.10%, 03/29/2026 |
26,000 | 25,972 | ||||||
Plains All American Pipeline LP / PAA Finance Corp., 4.65%, 10/15/2025 |
28,000 | 27,633 | ||||||
Sabine Pass Liquefaction LLC, 5.88%, 06/30/2026 |
26,000 | 26,211 | ||||||
Schlumberger Holdings Corp., 4.00%, 12/21/2025 (a) |
27,000 | 26,436 | ||||||
Shell International Finance BV, 2.88%, 05/10/2026 |
26,000 | 24,883 | ||||||
TransCanada PipeLines Ltd., 6.20%, 03/09/2026 |
26,000 | 25,999 |
The accompanying notes are an integral part of these financial statements.
10 |
F/m 2-Year Investment Grade Corporate Bond ETF
Schedule of Investments (Continued)
FEBRUARY 29, 2024 (UNAUDITED)
|
Par |
Value |
||||||
CORPORATE BONDS — 97.8% (continued) |
||||||||
Energy — 7.5% (continued) |
||||||||
Western Midstream Operating LP, 4.65%, 07/01/2026 |
27,000 | $ | 26,415 | |||||
Williams Cos., Inc., 5.40%, 03/02/2026 |
26,000 | 26,060 | ||||||
750,393 | ||||||||
Financials — 30.0%(b) |
||||||||
Aflac, Inc., 1.13%, 03/15/2026 |
27,000 | 24,921 | ||||||
Air Lease Corp., 2.88%, 01/15/2026 |
26,000 | 24,794 | ||||||
Aircastle Ltd., 4.25%, 06/15/2026 |
26,000 | 25,206 | ||||||
Alexandria Real Estate Equities, Inc., 3.80%, 04/15/2026 |
26,000 | 25,253 | ||||||
Allied World Assurance Co. Holdings Ltd., 4.35%, 10/29/2025 |
27,000 | 26,187 | ||||||
Allstate Corp., 0.75%, 12/15/2025 |
27,000 | 24,912 | ||||||
American Express Co., 6.34% to 10/30/2025 then SOFR + 1.33%, 10/30/2026 |
25,000 | 25,380 | ||||||
American Tower Corp., 1.60%, 04/15/2026 |
27,000 | 25,003 | ||||||
Aon Global Ltd., 3.88%, 12/15/2025 |
27,000 | 26,328 | ||||||
Apollo Management Holdings LP, 4.40%, 05/27/2026 (a) |
27,000 | 26,326 | ||||||
Ares Capital Corp., 3.88%, 01/15/2026 |
28,000 | 26,863 | ||||||
Ares Finance Co. III LLC, 4.13% to 06/30/2026 then 5 yr. CMT Rate + 3.24%, 06/30/2051 (a) |
28,000 | 25,295 | ||||||
Athene Global Funding, 1.45%, 01/08/2026 (a) |
27,000 | 24,922 | ||||||
AvalonBay Communities, Inc., 2.95%, 05/11/2026 |
26,000 | 24,828 | ||||||
Aviation Capital Group LLC, 1.95%, 01/30/2026 (a) |
27,000 | 25,095 | ||||||
Avolon Holdings Funding Ltd., 4.25%, 04/15/2026 (a) |
26,000 | 25,070 | ||||||
Bain Capital Specialty Finance, Inc., 2.95%, 03/10/2026 |
27,000 | 25,269 | ||||||
Bank of Montreal, 5.30%, 06/05/2026 |
26,000 | 26,066 | ||||||
Bank of New York Mellon Corp., 4.95% to 04/26/2026 then SOFR + 1.03%, 04/26/2027 |
28,000 | 27,848 | ||||||
Bank of Nova Scotia, 4.75%, 02/02/2026 |
28,000 | 27,777 | ||||||
BankUnited, Inc., 4.88%, 11/17/2025 |
26,000 | 25,275 | ||||||
Berkshire Hathaway, Inc., 3.13%, 03/15/2026 |
26,000 | 25,120 | ||||||
BlackRock TCP Capital Corp., 2.85%, 02/09/2026 |
28,000 | 26,187 | ||||||
Blackstone Private Credit Fund, 7.05%, 09/29/2025 |
26,000 | 26,342 | ||||||
Blackstone Secured Lending Fund, 3.63%, 01/15/2026 |
28,000 | 26,677 | ||||||
Blue Owl Capital Corp., 3.40%, 07/15/2026 |
27,000 | 25,146 | ||||||
Blue Owl Technology Finance Corp., 4.75%, 12/15/2025 (a) |
26,000 | 24,777 | ||||||
Boston Properties LP, 3.65%, 02/01/2026 |
28,000 | 26,925 | ||||||
Brighthouse Financial Global Funding, 1.55%, 05/24/2026 (a) |
27,000 | 24,621 | ||||||
Brixmor Operating Partnership LP, 4.13%, 06/15/2026 |
26,000 | 25,054 | ||||||
Brookfield Finance, Inc., 4.25%, 06/02/2026 |
27,000 | 26,513 | ||||||
Canadian Imperial Bank of Commerce, 1.25%, 06/22/2026 |
28,000 | 25,663 | ||||||
Capital One Financial Corp., 3.75%, 07/28/2026 |
27,000 | 25,934 |
The accompanying notes are an integral part of these financial statements.
11 |
F/m 2-Year Investment Grade Corporate Bond ETF
Schedule of Investments (Continued)
FEBRUARY 29, 2024 (UNAUDITED)
|
Par |
Value |
||||||
CORPORATE BONDS — 97.8% (continued) |
||||||||
Financials — 30.0%(b) (continued) |
||||||||
CBRE Services, Inc., 4.88%, 03/01/2026 |
28,000 | $ | 27,688 | |||||
Charles Schwab Corp., 0.90%, 03/11/2026 |
29,000 | 26,599 | ||||||
Chubb INA Holdings, Inc., 3.35%, 05/03/2026 |
26,000 | 25,067 | ||||||
CNA Financial Corp., 4.50%, 03/01/2026 |
28,000 | 27,552 | ||||||
Commonwealth Bank of Australia, 1.13%, 06/15/2026 (a) |
29,000 | 26,553 | ||||||
COPT Defense Properties LP, 2.25%, 03/15/2026 |
27,000 | 25,250 | ||||||
Corebridge Global Funding, 5.75%, 07/02/2026 (a) |
26,000 | 26,020 | ||||||
Crown Castle, Inc., 1.05%, 07/15/2026 |
28,000 | 25,315 | ||||||
CubeSmart LP, 4.00%, 11/15/2025 |
27,000 | 26,273 | ||||||
Enstar Finance LLC, 5.75% to 09/01/2025 then 5 yr. CMT Rate + 5.47%, 09/01/2040 |
26,000 | 24,870 | ||||||
Equinix, Inc., 1.45%, 05/15/2026 |
27,000 | 24,844 | ||||||
Equitable Financial Life Global Funding, 1.30%, 07/12/2026 (a) |
28,000 | 25,340 | ||||||
Essex Portfolio LP, 3.38%, 04/15/2026 |
26,000 | 25,001 | ||||||
Extra Space Storage LP, 3.50%, 07/01/2026 |
28,000 | 26,812 | ||||||
F&G Global Funding, 1.75%, 06/30/2026 (a) |
28,000 | 25,279 | ||||||
Federal Realty OP LP, 1.25%, 02/15/2026 |
27,000 | 24,877 | ||||||
Fidelity National Information Services, Inc., 1.15%, 03/01/2026 |
27,000 | 24,968 | ||||||
Fiserv, Inc., 3.20%, 07/01/2026 |
28,000 | 26,754 | ||||||
FS KKR Capital Corp., 3.40%, 01/15/2026 |
28,000 | 26,472 | ||||||
GA Global Funding Trust, 1.63%, 01/15/2026 (a) |
27,000 | 24,861 | ||||||
Global Payments, Inc., 1.20%, 03/01/2026 |
27,000 | 24,854 | ||||||
GLP Capital LP / GLP Financing II, Inc., 5.38%, 04/15/2026 |
26,000 | 25,716 | ||||||
Goldman Sachs BDC, Inc., 2.88%, 01/15/2026 |
28,000 | 26,684 | ||||||
Goldman Sachs Group, Inc., 1.43% to 03/09/2026 then SOFR + 0.80%, 03/09/2027 |
29,000 | 26,803 | ||||||
Golub Capital BDC, Inc., 2.50%, 08/24/2026 |
28,000 | 25,552 | ||||||
Guardian Life Global Funding, 0.88%, 12/10/2025 (a) |
27,000 | 24,964 | ||||||
Hanover Insurance Group, Inc., 4.50%, 04/15/2026 |
28,000 | 27,446 | ||||||
Healthcare Realty Holdings LP, 3.50%, 08/01/2026 |
27,000 | 25,681 | ||||||
Healthpeak OP LLC, 3.25%, 07/15/2026 |
28,000 | 26,749 | ||||||
Host Hotels & Resorts LP, 4.50%, 02/01/2026 |
28,000 | 27,384 | ||||||
Invesco Finance PLC, 3.75%, 01/15/2026 |
26,000 | 25,269 | ||||||
Jackson National Life Global Funding, 3.05%, 04/29/2026 (a) |
27,000 | 25,345 | ||||||
JPMorgan Chase & Co., 1.58% to 04/22/2026 then SOFR + 0.89%, 04/22/2027 |
27,000 | 24,968 | ||||||
Kilroy Realty LP, 4.38%, 10/01/2025 |
27,000 | 26,311 | ||||||
Legg Mason, Inc., 4.75%, 03/15/2026 |
26,000 | 25,840 | ||||||
Loews Corp., 3.75%, 04/01/2026 |
26,000 | 25,297 | ||||||
Macquarie Group Ltd., 1.34% to 01/12/2026 then SOFR + 1.07%, 01/12/2027 (a) |
27,000 | 24,915 | ||||||
Main Street Capital Corp., 3.00%, 07/14/2026 |
29,000 | 26,828 |
The accompanying notes are an integral part of these financial statements.
12 |
F/m 2-Year Investment Grade Corporate Bond ETF
Schedule of Investments (Continued)
FEBRUARY 29, 2024 (UNAUDITED)
|
Par |
Value |
||||||
CORPORATE BONDS — 97.8% (continued) |
||||||||
Financials — 30.0%(b) (continued) |
||||||||
Manulife Financial Corp., 4.15%, 03/04/2026 |
28,000 | $ | 27,448 | |||||
Marsh & McLennan Cos., Inc., 3.75%, 03/14/2026 |
26,000 | 25,352 | ||||||
MetLife, Inc., 3.60%, 11/13/2025 |
27,000 | 26,353 | ||||||
Mid-America Apartments LP, 4.00%, 11/15/2025 |
27,000 | 26,418 | ||||||
Morgan Stanley, 1.59% to 05/04/2026 then SOFR + 0.88%, 05/04/2027 |
27,000 | 24,892 | ||||||
Mutual of Omaha Cos. Global Funding, 5.80%, 07/27/2026 (a) |
25,000 | 25,190 | ||||||
Nasdaq, Inc., 3.85%, 06/30/2026 |
27,000 | 26,220 | ||||||
New York Life Global Funding, 0.85%, 01/15/2026 (a) |
27,000 | 25,003 | ||||||
NNN REIT, Inc., 4.00%, 11/15/2025 |
27,000 | 26,339 | ||||||
Northern Trust Corp., 3.95%, 10/30/2025 |
28,000 | 27,453 | ||||||
Northwestern Mutual Global Funding, 0.80%, 01/14/2026 (a) |
27,000 | 24,951 | ||||||
Old Republic International Corp., 3.88%, 08/26/2026 |
26,000 | 25,106 | ||||||
Omega Healthcare Investors, Inc., 5.25%, 01/15/2026 |
28,000 | 27,750 | ||||||
Pacific Life Global Funding II, 1.38%, 04/14/2026 (a) |
27,000 | 24,928 | ||||||
Penske Truck Leasing Co. Lp / PTL Finance Corp., 1.70%, 06/15/2026 (a) |
27,000 | 24,853 | ||||||
PNC Financial Services Group, Inc., 4.76% to 01/26/2026 then SOFR + 1.09%, 01/26/2027 |
27,000 | 26,675 | ||||||
Principal Life Global Funding II, 3.00%, 04/18/2026 (a) |
27,000 | 25,660 | ||||||
Prologis LP, 3.25%, 06/30/2026 |
26,000 | 24,975 | ||||||
Prospect Capital Corp., 3.71%, 01/22/2026 |
28,000 | 26,344 | ||||||
Prudential Financial, Inc., 1.50%, 03/10/2026 |
27,000 | 25,159 | ||||||
Public Storage Operating Co., 0.88%, 02/15/2026 |
27,000 | 24,920 | ||||||
Realty Income Corp., 4.88%, 06/01/2026 |
28,000 | 27,784 | ||||||
Reliance Standard Life Global Funding II, 5.24%, 02/02/2026 (a) |
28,000 | 27,528 | ||||||
Royal Bank of Canada, 1.20%, 04/27/2026 |
27,000 | 24,852 | ||||||
Sabra Health Care LP, 5.13%, 08/15/2026 |
26,000 | 25,529 | ||||||
Santander Holdings USA, Inc., 5.81% to 09/09/2025 then SOFR + 2.33%, 09/09/2026 |
26,000 | 25,966 | ||||||
Scentre Group Trust 1 / Scentre Group Trust 2, 3.63%, 01/28/2026 (a) |
26,000 | 25,134 | ||||||
Simon Property Group LP, 3.50%, 09/01/2025 |
28,000 | 27,319 | ||||||
SITE Centers Corp., 4.25%, 02/01/2026 |
26,000 | 25,374 | ||||||
Sixth Street Specialty Lending, Inc., 2.50%, 08/01/2026 |
28,000 | 25,681 | ||||||
Skandinaviska Enskilda Banken AB, 1.40%, 11/19/2025 (a) |
27,000 | 25,324 | ||||||
State Street Corp., 5.27%, 08/03/2026 |
25,000 | 25,091 | ||||||
Sumitomo Mitsui Financial Group, Inc., 2.63%, 07/14/2026 |
27,000 | 25,510 | ||||||
Synchrony Financial, 3.70%, 08/04/2026 |
27,000 | 25,484 | ||||||
Toronto-Dominion Bank, 5.53%, 07/17/2026 |
25,000 | 25,218 | ||||||
Trinity Acquisition PLC, 4.40%, 03/15/2026 |
28,000 | 27,437 | ||||||
Truist Financial Corp., 6.05% to 06/08/2026 then SOFR + 2.05%, 06/08/2027 |
25,000 | 25,253 | ||||||
US Bancorp, 5.73% to 10/21/2025 then SOFR + 1.43%, 10/21/2026 |
26,000 | 26,115 |
The accompanying notes are an integral part of these financial statements.
13 |
F/m 2-Year Investment Grade Corporate Bond ETF
Schedule of Investments (Continued)
FEBRUARY 29, 2024 (UNAUDITED)
|
Par |
Value |
||||||
CORPORATE BONDS — 97.8% (continued) |
||||||||
Financials — 30.0%(b) (continued) |
||||||||
Ventas Realty LP, 4.13%, 01/15/2026 |
27,000 | $ | 26,274 | |||||
Visa, Inc., 3.15%, 12/14/2025 |
27,000 | 26,177 | ||||||
Voya Financial, Inc., 3.65%, 06/15/2026 |
27,000 | 25,911 | ||||||
Welltower OP LLC, 4.25%, 04/01/2026 |
28,000 | 27,441 | ||||||
Western Union Co., 1.35%, 03/15/2026 |
27,000 | 24,870 | ||||||
Westpac Banking Corp., 2.85%, 05/13/2026 |
28,000 | 26,746 | ||||||
Weyerhaeuser Co., 4.75%, 05/15/2026 |
28,000 | 27,719 | ||||||
2,998,304 | ||||||||
Health Care — 8.7% |
||||||||
Abbott Laboratories, 3.88%, 09/15/2025 |
28,000 | 27,564 | ||||||
AbbVie, Inc., 3.20%, 05/14/2026 |
26,000 | 25,030 | ||||||
Amgen, Inc., 5.51%, 03/02/2026 |
26,000 | 25,966 | ||||||
AstraZeneca PLC, 3.38%, 11/16/2025 |
27,000 | 26,259 | ||||||
Baxter International, Inc., 2.60%, 08/15/2026 |
27,000 | 25,329 | ||||||
Biogen, Inc., 4.05%, 09/15/2025 |
27,000 | 26,464 | ||||||
Bristol-Myers Squibb Co., 3.20%, 06/15/2026 |
26,000 | 25,020 | ||||||
Cardinal Health, Inc., 3.75%, 09/15/2025 |
27,000 | 26,337 | ||||||
Cigna Group, 4.13%, 11/15/2025 |
26,000 | 25,559 | ||||||
CommonSpirit Health, 1.55%, 10/01/2025 |
27,000 | 25,361 | ||||||
CVS Health Corp., 2.88%, 06/01/2026 |
27,000 | 25,657 | ||||||
Danaher Corp., 3.35%, 09/15/2025 |
27,000 | 26,332 | ||||||
Elevance Health, Inc., 1.50%, 03/15/2026 |
27,000 | 25,083 | ||||||
Eli Lilly & Co., 5.00%, 02/27/2026 |
26,000 | 25,990 | ||||||
Gilead Sciences, Inc., 3.65%, 03/01/2026 |
27,000 | 26,217 | ||||||
HCA, Inc., 5.88%, 02/15/2026 |
26,000 | 26,108 | ||||||
Highmark, Inc., 1.45%, 05/10/2026 (a) |
29,000 | 26,456 | ||||||
Humana, Inc., 5.70%, 03/13/2026 |
26,000 | 25,805 | ||||||
Illumina, Inc., 5.80%, 12/12/2025 |
26,000 | 26,003 | ||||||
Johnson & Johnson, 2.45%, 03/01/2026 |
26,000 | 24,880 | ||||||
Laboratory Corp. of America Holdings, 1.55%, 06/01/2026 |
27,000 | 24,896 | ||||||
McKesson Corp., 5.25%, 02/15/2026 |
26,000 | 26,000 | ||||||
Merck & Co., Inc., 0.75%, 02/24/2026 |
27,000 | 24,960 | ||||||
Novartis Capital Corp., 3.00%, 11/20/2025 |
26,000 | 25,193 | ||||||
PeaceHealth Obligated Group, 1.38%, 11/15/2025 |
27,000 | 25,097 | ||||||
Pfizer Investment Enterprises Pte Ltd., 4.45%, 05/19/2026 |
27,000 | 26,661 | ||||||
Quest Diagnostics, Inc., 3.45%, 06/01/2026 |
26,000 | 25,018 | ||||||
Royalty Pharma PLC, 1.20%, 09/02/2025 |
27,000 | 25,279 |
The accompanying notes are an integral part of these financial statements.
14 |
F/m 2-Year Investment Grade Corporate Bond ETF
Schedule of Investments (Continued)
FEBRUARY 29, 2024 (UNAUDITED)
|
Par |
Value |
||||||
CORPORATE BONDS — 97.8% (continued) |
||||||||
Health Care — 8.7% (continued) |
||||||||
Stryker Corp., 3.50%, 03/15/2026 |
27,000 | $ | 26,174 | |||||
Thermo Fisher Scientific, Inc., 4.95%, 08/10/2026 |
25,000 | 25,021 | ||||||
UnitedHealth Group, Inc., 1.15%, 05/15/2026 |
27,000 | 24,866 | ||||||
Utah Acquisition Sub, Inc., 3.95%, 06/15/2026 |
26,000 | 25,095 | ||||||
Zimmer Biomet Holdings, Inc., 3.05%, 01/15/2026 |
28,000 | 26,900 | ||||||
Zoetis, Inc., 4.50%, 11/13/2025 |
27,000 | 26,670 | ||||||
875,250 | ||||||||
Industrials — 9.0% |
||||||||
Amphenol Corp., 4.75%, 03/30/2026 |
26,000 | 25,821 | ||||||
BAE Systems Holdings, Inc., 3.85%, 12/15/2025 (a) |
27,000 | 26,334 | ||||||
Boeing Co., 2.20%, 02/04/2026 |
28,000 | 26,267 | ||||||
Burlington Northern Santa Fe LLC, 3.65%, 09/01/2025 |
28,000 | 27,417 | ||||||
Canadian National Railway Co., 2.75%, 03/01/2026 |
26,000 | 24,946 | ||||||
Carrier Global Corp., 5.80%, 11/30/2025 |
26,000 | 26,183 | ||||||
Caterpillar Financial Services Corp., 4.35%, 05/15/2026 |
28,000 | 27,673 | ||||||
CNH Industrial Capital LLC, 1.45%, 07/15/2026 |
28,000 | 25,611 | ||||||
CSX Corp., 3.35%, 11/01/2025 |
26,000 | 25,239 | ||||||
Cummins, Inc., 0.75%, 09/01/2025 |
27,000 | 25,326 | ||||||
Dover Corp., 3.15%, 11/15/2025 |
26,000 | 25,051 | ||||||
Element Fleet Management Corp., 6.27%, 06/26/2026 (a) |
25,000 | 25,223 | ||||||
FedEx Corp., 3.25%, 04/01/2026 |
26,000 | 25,066 | ||||||
Fortive Corp., 3.15%, 06/15/2026 |
28,000 | 26,732 | ||||||
General Dynamics Corp., 1.15%, 06/01/2026 |
27,000 | 24,872 | ||||||
Hubbell, Inc., 3.35%, 03/01/2026 |
25,000 | 24,139 | ||||||
JB Hunt Transport Services, Inc., 3.88%, 03/01/2026 |
28,000 | 27,340 | ||||||
John Deere Capital Corp., 4.80%, 01/09/2026 |
26,000 | 25,935 | ||||||
Johnson Controls International PLC, 3.90%, 02/14/2026 |
28,000 | 27,285 | ||||||
Lockheed Martin Corp., 3.55%, 01/15/2026 |
27,000 | 26,312 | ||||||
Norfolk Southern Corp., 2.90%, 06/15/2026 |
26,000 | 24,781 | ||||||
PACCAR Financial Corp., 4.45%, 03/30/2026 |
25,000 | 24,779 | ||||||
Regal Rexnord Corp., 6.05%, 02/15/2026 (a) |
26,000 | 26,108 | ||||||
Republic Services, Inc., 2.90%, 07/01/2026 |
27,000 | 25,793 | ||||||
RTX Corp., 5.00%, 02/27/2026 |
25,000 | 24,939 | ||||||
Ryder System, Inc., 3.35%, 09/01/2025 |
26,000 | 25,208 | ||||||
Sydney Airport Finance Co. Pty Ltd., 3.63%, 04/28/2026 (a) |
27,000 | 25,976 | ||||||
Textron, Inc., 4.00%, 03/15/2026 |
28,000 | 27,244 |
The accompanying notes are an integral part of these financial statements.
15 |
F/m 2-Year Investment Grade Corporate Bond ETF
Schedule of Investments (Continued)
FEBRUARY 29, 2024 (UNAUDITED)
|
Par |
Value |
||||||
CORPORATE BONDS — 97.8% (continued) |
||||||||
Industrials — 9.0% (continued) |
||||||||
Trane Technologies Financing Ltd., 3.50%, 03/21/2026 |
26,000 | $ | 25,133 | |||||
Transurban Finance Co. Pty Ltd., 4.13%, 02/02/2026 (a) |
28,000 | 27,300 | ||||||
Triton Container International Ltd., 2.05%, 04/15/2026 (a) |
27,000 | 24,748 | ||||||
Tyco Electronics Group SA, 4.50%, 02/13/2026 |
26,000 | 25,711 | ||||||
Union Pacific Corp., 2.75%, 03/01/2026 |
26,000 | 24,904 | ||||||
Vontier Corp., 1.80%, 04/01/2026 |
27,000 | 24,885 | ||||||
Waste Management, Inc., 0.75%, 11/15/2025 |
27,000 | 25,070 | ||||||
901,351 | ||||||||
Materials — 6.7% |
||||||||
Air Products and Chemicals, Inc., 1.50%, 10/15/2025 |
26,000 | 24,578 | ||||||
Amcor Finance USA, Inc., 3.63%, 04/28/2026 |
26,000 | 25,030 | ||||||
ArcelorMittal SA, 4.55%, 03/11/2026 |
28,000 | 27,584 | ||||||
Berry Global, Inc., 1.57%, 01/15/2026 |
27,000 | 25,142 | ||||||
BHP Billiton Finance USA Ltd., 4.88%, 02/27/2026 |
26,000 | 25,888 | ||||||
Brambles USA, Inc., 4.13%, 10/23/2025 (a) |
28,000 | 27,354 | ||||||
Celanese US Holdings LLC, 1.40%, 08/05/2026 |
28,000 | 25,395 | ||||||
DuPont de Nemours, Inc., 4.49%, 11/15/2025 |
27,000 | 26,682 | ||||||
EIDP, Inc., 4.50%, 05/15/2026 |
28,000 | 27,568 | ||||||
FMC Corp., 5.15%, 05/18/2026 |
28,000 | 27,614 | ||||||
Georgia-Pacific LLC, 1.75%, 09/30/2025 (a) |
27,000 | 25,561 | ||||||
Glencore Funding LLC, 1.63%, 09/01/2025 (a) |
26,000 | 24,559 | ||||||
Graphic Packaging International LLC, 1.51%, 04/15/2026 (a) |
29,000 | 26,509 | ||||||
International Flavors & Fragrances, Inc., 1.23%, 10/01/2025 (a) |
27,000 | 25,162 | ||||||
Linde, Inc., 3.20%, 01/30/2026 |
26,000 | 25,201 | ||||||
LYB International Finance III LLC, 1.25%, 10/01/2025 |
27,000 | 25,230 | ||||||
Nutrien Ltd., 5.95%, 11/07/2025 |
25,000 | 25,202 | ||||||
Owens Corning, 3.40%, 08/15/2026 |
27,000 | 25,792 | ||||||
PPG Industries, Inc., 1.20%, 03/15/2026 |
27,000 | 24,952 | ||||||
Sherwin-Williams Co., 3.95%, 01/15/2026 |
26,000 | 25,437 | ||||||
Silgan Holdings, Inc., 1.40%, 04/01/2026 (a) |
29,000 | 26,472 | ||||||
Vale Overseas Ltd., 6.25%, 08/10/2026 |
25,000 | 25,340 | ||||||
Vulcan Materials Co., 5.80%, 03/01/2026 |
26,000 | 26,000 | ||||||
Westlake Corp., 3.60%, 08/15/2026 |
27,000 | 25,977 | ||||||
WRKCo, Inc., 4.65%, 03/15/2026 |
28,000 | 27,636 | ||||||
Yara International ASA, 3.80%, 06/06/2026 (a) |
26,000 | 24,938 | ||||||
672,803 |
The accompanying notes are an integral part of these financial statements.
16 |
F/m 2-Year Investment Grade Corporate Bond ETF
Schedule of Investments (Continued)
FEBRUARY 29, 2024 (UNAUDITED)
|
Par |
Value |
||||||
CORPORATE BONDS — 97.8% (continued) |
||||||||
Technology — 7.9% |
||||||||
Apple, Inc., 3.25%, 02/23/2026 |
27,000 | $ | 26,195 | |||||
Applied Materials, Inc., 3.90%, 10/01/2025 |
27,000 | 26,532 | ||||||
Arrow Electronics, Inc., 6.13%, 03/01/2026 |
26,000 | 25,976 | ||||||
Automatic Data Processing, Inc., 3.38%, 09/15/2025 |
27,000 | 26,384 | ||||||
Avnet, Inc., 4.63%, 04/15/2026 |
28,000 | 27,398 | ||||||
Broadcom, Inc., 3.15%, 11/15/2025 |
26,000 | 25,085 | ||||||
Broadridge Financial Solutions, Inc., 3.40%, 06/27/2026 |
28,000 | 26,768 | ||||||
Cisco Systems, Inc., 4.90%, 02/26/2026 |
26,000 | 26,004 | ||||||
Concentrix Corp., 6.65%, 08/02/2026 |
25,000 | 25,360 | ||||||
Dell International LLC / EMC Corp., 6.02%, 06/15/2026 |
25,000 | 25,274 | ||||||
Electronic Arts, Inc., 4.80%, 03/01/2026 |
26,000 | 25,877 | ||||||
Equifax, Inc., 2.60%, 12/15/2025 |
26,000 | 24,779 | ||||||
Flex Ltd., 3.75%, 02/01/2026 |
26,000 | 25,134 | ||||||
Fortinet, Inc., 1.00%, 03/15/2026 |
29,000 | 26,609 | ||||||
Genpact Luxembourg SARL/Genpact USA, Inc., 1.75%, 04/10/2026 |
27,000 | 24,457 | ||||||
Hewlett Packard Enterprise Co., 4.90%, 10/15/2025 |
26,000 | 25,822 | ||||||
HP, Inc., 1.45%, 06/17/2026 |
27,000 | 24,809 | ||||||
Intel Corp., 4.88%, 02/10/2026 |
26,000 | 25,910 | ||||||
Jabil, Inc., 1.70%, 04/15/2026 |
27,000 | 24,992 | ||||||
Juniper Networks, Inc., 1.20%, 12/10/2025 |
27,000 | 25,010 | ||||||
Lam Research Corp., 3.75%, 03/15/2026 |
26,000 | 25,367 | ||||||
Marvell Technology, Inc., 1.65%, 04/15/2026 |
27,000 | 25,041 | ||||||
Microchip Technology, Inc., 4.25%, 09/01/2025 |
27,000 | 26,496 | ||||||
Micron Technology, Inc., 4.98%, 02/06/2026 |
27,000 | 26,859 | ||||||
NXP BV / NXP Funding LLC / NXP USA, Inc., 3.88%, 06/18/2026 |
26,000 | 25,175 | ||||||
Oracle Corp., 2.65%, 07/15/2026 |
27,000 | 25,431 | ||||||
Roper Technologies, Inc., 1.00%, 09/15/2025 |
27,000 | 25,294 | ||||||
Skyworks Solutions, Inc., 1.80%, 06/01/2026 |
27,000 | 24,891 | ||||||
Take-Two Interactive Software, Inc., 5.00%, 03/28/2026 |
26,000 | 25,858 | ||||||
Teledyne Technologies, Inc., 1.60%, 04/01/2026 |
27,000 | 25,031 | ||||||
Thomson Reuters Corp., 3.35%, 05/15/2026 |
26,000 | 24,951 | ||||||
794,769 | ||||||||
Transportation and Warehousing — 0.3% |
||||||||
Magellan Midstream Partners LP SR GLBL NT 5% 26, 5.00%, 03/01/2026 |
26,000 | 25,801 |
The accompanying notes are an integral part of these financial statements.
17 |
F/m 2-Year Investment Grade Corporate Bond ETF
Schedule of Investments (Continued)
FEBRUARY 29, 2024 (UNAUDITED)
|
Par |
Value |
||||||
CORPORATE BONDS — 97.8% (continued) |
||||||||
Utilities — 8.0% |
||||||||
AES Corp., 1.38%, 01/15/2026 |
27,000 | $ | 24,942 | |||||
Ameren Corp., 3.65%, 02/15/2026 |
26,000 | 25,139 | ||||||
Black Hills Corp., 3.95%, 01/15/2026 |
27,000 | 26,200 | ||||||
CenterPoint Energy, Inc., 1.45%, 06/01/2026 |
27,000 | 24,870 | ||||||
Cleco Corporate Holdings LLC, 3.74%, 05/01/2026 |
26,000 | 24,978 | ||||||
CMS Energy Corp., 3.00%, 05/15/2026 |
28,000 | 26,601 | ||||||
Duke Energy Corp., 0.90%, 09/15/2025 |
27,000 | 25,258 | ||||||
Electricite de France SA, 3.63%, 10/13/2025 (a) |
27,000 | 26,312 | ||||||
Emera US Finance LP, 3.55%, 06/15/2026 |
28,000 | 26,852 | ||||||
Entergy Corp., 0.90%, 09/15/2025 |
27,000 | 25,236 | ||||||
Evergy Kansas Central, Inc., 2.55%, 07/01/2026 |
27,000 | 25,434 | ||||||
Eversource Energy, 4.75%, 05/15/2026 |
28,000 | 27,646 | ||||||
Exelon Corp., 3.40%, 04/15/2026 |
26,000 | 25,033 | ||||||
ITC Holdings Corp., 3.25%, 06/30/2026 |
26,000 | 24,829 | ||||||
Jersey Central Power & Light Co., 4.30%, 01/15/2026 (a) |
27,000 | 26,354 | ||||||
National Fuel Gas Co., 5.50%, 01/15/2026 |
26,000 | 25,907 | ||||||
National Rural Utilities Cooperative Finance Corp., 4.45%, 03/13/2026 |
28,000 | 27,652 | ||||||
NextEra Energy Capital Holdings, Inc., 5.75%, 09/01/2025 |
26,000 | 26,139 | ||||||
NRG Energy, Inc., 2.00%, 12/02/2025 (a) |
27,000 | 25,297 | ||||||
Oncor Electric Delivery Co. LLC, 0.55%, 10/01/2025 |
27,000 | 25,104 | ||||||
Pacific Gas and Electric Co., 2.95%, 03/01/2026 |
26,000 | 24,674 | ||||||
PPL Capital Funding, Inc., 3.10%, 05/15/2026 |
28,000 | 26,693 | ||||||
Public Service Electric and Gas Co., 0.95%, 03/15/2026 |
28,000 | 25,903 | ||||||
Sempra, 5.40%, 08/01/2026 |
25,000 | 25,063 | ||||||
Sierra Pacific Power Co., 2.60%, 05/01/2026 |
28,000 | 26,526 | ||||||
Southern California Edison Co., 4.90%, 06/01/2026 |
25,000 | 24,826 | ||||||
Southern Co., 3.25%, 07/01/2026 |
27,000 | 25,820 | ||||||
Southwestern Electric Power Co., 1.65%, 03/15/2026 |
27,000 | 25,120 | ||||||
Spire, Inc., 5.30%, 03/01/2026 |
26,000 | 25,944 | ||||||
Virginia Electric and Power Co., 3.15%, 01/15/2026 |
26,000 | 25,108 | ||||||
WEC Energy Group, Inc., 4.75%, 01/09/2026 |
28,000 | 27,727 | ||||||
799,187 | ||||||||
TOTAL CORPORATE BONDS (Cost $9,840,382) |
9,796,620 |
The accompanying notes are an integral part of these financial statements.
18 |
F/m 2-Year Investment Grade Corporate Bond ETF
Schedule of Investments (Concluded)
FEBRUARY 29, 2024 (UNAUDITED)
|
Par |
Value |
||||||
SHORT-TERM INVESTMENTS — 0.6% |
||||||||
U.S. Treasury Bills — 0.6% |
||||||||
5.26%, 03/05/2024(c) |
59,000 | $ | 58,965 | |||||
TOTAL SHORT-TERM INVESTMENTS (Cost $58,966) |
58,965 | |||||||
TOTAL INVESTMENTS — 98.4% (Cost $9,899,348) |
$ | 9,855,585 | ||||||
Money Market Deposit Account — 0.1%(d) |
12,841 | |||||||
Other Assets in Excess of Liabilities — 1.5% |
146,976 | |||||||
TOTAL NET ASSETS — 100.0% |
$ | 10,015,402 |
Percentages are stated as a percent of net assets.
PLC - Public Limited Company
SA - Sociedad Anónima
SOFR - Secured Overnight Financing Rate
(a) |
Security is exempt from registration pursuant to Rule 144A under the Securities Act of 1933, as amended. These securities may only be resold in transactions exempt from registration to qualified institutional investors. As of February 29, 2024, the value of these securities total $1,463,500 or 14.6% of the Fund’s net assets. |
(b) |
To the extent that the Fund invests more heavily in a particular industry or sector of the economy, its performance will be especially sensitive to developments that significantly affect those industries or sectors. |
(c) |
The rate shown is the effective yield. |
(d) |
The U.S. Bank Money Market Deposit Account (the “MMDA”) is a short-term vehicle in which the Fund holds cash balances. The MMDA will bear interest at a variable rate that is determined based on market conditions and is subject to change daily. The MMDA interest rate as of February 29, 2024 was 5.20%. |
The accompanying notes are an integral part of these financial statements.
19 |
F/m 3-Year Investment Grade Corporate Bond ETF
PORTFOLIO HOLDINGS SUMMARY TABLE
FEBRUARY 29, 2024 (UNAUDITED)
SECURITY TYPE/CLASSIFICATION |
% OF NET |
VALUE |
||||||
CORPORATE BONDS |
||||||||
Financials |
31.9 | % | $ | 5,118,839 | ||||
Consumer Discretionary |
8.9 | 1,414,295 | ||||||
Energy |
8.7 | 1,398,074 | ||||||
Industrials |
8.3 | 1,328,362 | ||||||
Utilities |
8.0 | 1,277,410 | ||||||
Technology |
7.7 | 1,231,322 | ||||||
Consumer Staples |
7.5 | 1,195,803 | ||||||
Health Care |
7.2 | 1,152,255 | ||||||
Materials |
6.2 | 997,459 | ||||||
Communications |
4.0 | 639,526 | ||||||
SHORT-TERM INVESTMENTS |
||||||||
U.S. Treasury Obligations |
0.2 | 24,985 | ||||||
Money Market Deposit Accounts |
0.0 | 180 | ||||||
OTHER ASSETS IN EXCESS OF OTHER LIABILITIES |
1.4 | 220,359 | ||||||
NET ASSETS |
100.0 | % | $ | 15,998,869 |
The accompanying notes are an integral part of these financial statements.
20 |
F/m 3-Year Investment Grade Corporate Bond ETF
Schedule of Investments
FEBRUARY 29, 2024 (UNAUDITED)
|
Par |
Value |
||||||
CORPORATE BONDS — 98.4% |
||||||||
Communications — 4.0% |
||||||||
Alphabet, Inc., 0.80%, 08/15/2027 |
45,000 | $ | 39,764 | |||||
AT&T, Inc., 2.30%, 06/01/2027 |
43,000 | 39,374 | ||||||
Charter Communications Operating LLC / Charter Communications Operating Capital, 6.15%, 11/10/2026 |
44,000 | 44,384 | ||||||
Comcast Corp., 2.35%, 01/15/2027 |
43,000 | 40,089 | ||||||
Cox Communications, Inc., 3.50%, 08/15/2027 (a) |
42,000 | 39,624 | ||||||
Expedia Group, Inc., 4.63%, 08/01/2027 |
41,000 | 40,127 | ||||||
Meta Platforms, Inc., 3.50%, 08/15/2027 |
42,000 | 40,256 | ||||||
Netflix, Inc., 4.38%, 11/15/2026 |
41,000 | 40,339 | ||||||
Paramount Global, 2.90%, 01/15/2027 |
44,000 | 39,644 | ||||||
Rogers Communications, Inc., 3.20%, 03/15/2027 |
42,000 | 39,546 | ||||||
TELUS Corp., 2.80%, 02/16/2027 |
43,000 | 40,277 | ||||||
T-Mobile USA, Inc., 3.75%, 04/15/2027 |
40,000 | 38,342 | ||||||
TWDC Enterprises 18 Corp., 2.95%, 06/15/2027 |
42,000 | 39,835 | ||||||
VeriSign, Inc., 4.75%, 07/15/2027 |
41,000 | 40,211 | ||||||
Verizon Communications, Inc., 4.13%, 03/16/2027 |
41,000 | 39,864 | ||||||
Warnermedia Holdings, Inc., 3.76%, 03/15/2027 |
40,000 | 37,850 | ||||||
639,526 | ||||||||
Consumer Discretionary — 8.9% |
||||||||
Amazon.com, Inc., 3.15%, 08/22/2027 |
42,000 | 39,874 | ||||||
AutoZone, Inc., 3.75%, 06/01/2027 |
40,000 | 38,422 | ||||||
BMW US Capital LLC, 3.45%, 04/01/2027 (a) |
40,000 | 38,369 | ||||||
BorgWarner, Inc., 2.65%, 07/01/2027 |
43,000 | 39,705 | ||||||
Cintas Corp. No 2, 3.70%, 04/01/2027 |
45,000 | 43,632 | ||||||
Darden Restaurants, Inc., 3.85%, 05/01/2027 |
40,000 | 38,411 | ||||||
DR Horton, Inc., 1.30%, 10/15/2026 |
44,000 | 39,809 | ||||||
eBay, Inc., 3.60%, 06/05/2027 |
42,000 | 40,157 | ||||||
ERAC USA Finance LLC, 3.30%, 12/01/2026 (a) |
42,000 | 39,981 | ||||||
General Motors Financial Co., Inc., 5.00%, 04/09/2027 |
41,000 | 40,605 | ||||||
Harley-Davidson Financial Services, Inc., 3.05%, 02/14/2027 (a) |
43,000 | 40,294 | ||||||
Hasbro, Inc., 3.55%, 11/19/2026 |
42,000 | 39,876 | ||||||
Home Depot, Inc., 2.13%, 09/15/2026 |
40,000 | 37,396 | ||||||
Honda Motor Co. Ltd., 2.53%, 03/10/2027 |
43,000 | 40,160 | ||||||
Hyatt Hotels Corp., 5.75%, 01/30/2027 |
40,000 | 40,507 | ||||||
Hyundai Capital America, 5.25%, 01/08/2027 (a) |
40,000 | 39,857 | ||||||
Leland Stanford Junior University, 1.29%, 06/01/2027 |
45,000 | 40,388 | ||||||
Lennar Corp., 5.00%, 06/15/2027 |
40,000 | 39,669 |
The accompanying notes are an integral part of these financial statements.
21 |
F/m 3-Year Investment Grade Corporate Bond ETF
Schedule of Investments (continued)
FEBRUARY 29, 2024 (UNAUDITED)
|
Par |
Value |
||||||
CORPORATE BONDS — 98.4% (continued) |
||||||||
Consumer Discretionary — 8.9% (continued) |
||||||||
Lowe’s Cos., Inc., 3.10%, 05/03/2027 |
42,000 | $ | 39,708 | |||||
Marriott International, Inc., 5.45%, 09/15/2026 |
40,000 | 40,178 | ||||||
McDonald’s Corp., 3.50%, 07/01/2027 |
42,000 | 40,223 | ||||||
Meritage Homes Corp., 5.13%, 06/06/2027 |
45,000 | 44,321 | ||||||
Mileage Plus Holdings LLC / Mileage Plus Intellectual Property Assets Ltd., 6.50%, 06/20/2027 (a) |
49,600 | 49,613 | ||||||
NIKE, Inc., 2.75%, 03/27/2027 |
42,000 | 39,607 | ||||||
Nissan Motor Acceptance Co. LLC, 1.85%, 09/16/2026 (a) |
45,000 | 40,508 | ||||||
O’Reilly Automotive, Inc., 5.75%, 11/20/2026 |
44,000 | 44,622 | ||||||
PulteGroup, Inc., 5.00%, 01/15/2027 |
41,000 | 40,817 | ||||||
Snap-on, Inc., 3.25%, 03/01/2027 |
40,000 | 38,239 | ||||||
Southwest Airlines Co., 5.13%, 06/15/2027 |
41,000 | 40,834 | ||||||
Starbucks Corp., 4.85%, 02/08/2027 |
40,000 | 39,790 | ||||||
Tapestry, Inc., 7.00%, 11/27/2026 |
39,000 | 40,055 | ||||||
TJX Cos., Inc., 2.25%, 09/15/2026 |
42,000 | 39,465 | ||||||
Toll Brothers Finance Corp., 4.88%, 03/15/2027 |
41,000 | 40,317 | ||||||
Toyota Motor Credit Corp., 3.05%, 03/22/2027 |
42,000 | 39,845 | ||||||
VF Corp., 2.80%, 04/23/2027 |
43,000 | 39,041 | ||||||
1,414,295 | ||||||||
Consumer Staples — 7.5% |
||||||||
Alimentation Couche-Tard, Inc., 3.55%, 07/26/2027 (a) |
42,000 | 40,021 | ||||||
Altria Group, Inc., 2.63%, 09/16/2026 |
42,000 | 39,448 | ||||||
BAT Capital Corp., 3.56%, 08/15/2027 |
42,000 | 39,705 | ||||||
Cargill, Inc., 3.63%, 04/22/2027 (a) |
40,000 | 38,493 | ||||||
Church & Dwight Co., Inc., 3.15%, 08/01/2027 |
42,000 | 39,585 | ||||||
Coca-Cola Co., 1.45%, 06/01/2027 |
44,000 | 39,823 | ||||||
Colgate-Palmolive Co., 3.10%, 08/15/2027 |
42,000 | 40,112 | ||||||
Conagra Brands, Inc., 5.30%, 10/01/2026 |
40,000 | 40,009 | ||||||
Conopco, Inc., 7.25%, 12/15/2026 |
40,000 | 42,325 | ||||||
Constellation Brands, Inc., 4.35%, 05/09/2027 |
40,000 | 39,120 | ||||||
Costco Wholesale Corp., 1.38%, 06/20/2027 |
45,000 | 40,482 | ||||||
Dollar General Corp., 3.88%, 04/15/2027 |
40,000 | 38,482 | ||||||
Estee Lauder Cos., Inc., 3.15%, 03/15/2027 |
42,000 | 40,039 | ||||||
Flowers Foods, Inc., 3.50%, 10/01/2026 |
40,000 | 38,317 | ||||||
General Mills, Inc., 3.20%, 02/10/2027 |
42,000 | 39,920 | ||||||
Ingredion, Inc., 3.20%, 10/01/2026 |
40,000 | 38,158 | ||||||
JBS USA LUX SA / JBS USA Food Co. / JBS USA Finance, Inc., 2.50%, 01/15/2027 |
43,000 | 39,450 |
The accompanying notes are an integral part of these financial statements.
22 |
F/m 3-Year Investment Grade Corporate Bond ETF
Schedule of Investments (continued)
FEBRUARY 29, 2024 (UNAUDITED)
|
Par |
Value |
||||||
CORPORATE BONDS — 98.4% (continued) |
||||||||
Consumer Staples — 7.5% (continued) |
||||||||
Keurig Dr Pepper, Inc., 3.43%, 06/15/2027 |
40,000 | $ | 38,082 | |||||
Kraft Heinz Foods Co., 3.88%, 05/15/2027 |
48,000 | 46,361 | ||||||
Kroger Co., 2.65%, 10/15/2026 |
42,000 | 39,475 | ||||||
McCormick & Co., Inc., 3.40%, 08/15/2027 |
42,000 | 39,786 | ||||||
Mondelez International, Inc., 2.63%, 03/17/2027 |
43,000 | 40,113 | ||||||
PepsiCo, Inc., 2.38%, 10/06/2026 |
42,000 | 39,573 | ||||||
Philip Morris International, Inc., 4.75%, 02/12/2027 |
40,000 | 39,503 | ||||||
Procter & Gamble Co., 1.90%, 02/01/2027 |
43,000 | 39,835 | ||||||
Smithfield Foods, Inc., 4.25%, 02/01/2027 (a) |
42,000 | 40,187 | ||||||
Sysco Corp., 3.25%, 07/15/2027 |
42,000 | 39,632 | ||||||
Target Corp., 1.95%, 01/15/2027 |
43,000 | 39,763 | ||||||
Tyson Foods, Inc., 3.55%, 06/02/2027 |
42,000 | 39,807 | ||||||
Walmart, Inc., 1.05%, 09/17/2026 |
44,000 | 40,197 | ||||||
1,195,803 | ||||||||
Energy — 8.7% |
||||||||
Baker Hughes Holdings LLC / Baker Hughes Co.-Obligor, Inc., 2.06%, 12/15/2026 |
43,000 | 39,658 | ||||||
Boardwalk Pipelines LP, 4.45%, 07/15/2027 |
41,000 | 39,960 | ||||||
BP Capital Markets America, Inc., 3.02%, 01/16/2027 |
42,000 | 39,904 | ||||||
Canadian Natural Resources Ltd., 3.85%, 06/01/2027 |
40,000 | 38,337 | ||||||
Cenovus Energy, Inc., 4.25%, 04/15/2027 |
40,000 | 38,746 | ||||||
Cheniere Corpus Christi Holdings LLC, 5.13%, 06/30/2027 |
40,000 | 39,818 | ||||||
Chevron Corp., 2.00%, 05/11/2027 |
43,000 | 39,557 | ||||||
Continental Resources, Inc., 2.27%, 11/15/2026 (a) |
44,000 | 40,380 | ||||||
Coterra Energy, Inc., 3.90%, 05/15/2027 |
40,000 | 38,468 | ||||||
DCP Midstream Operating LP, 5.63%, 07/15/2027 |
40,000 | 40,135 | ||||||
Diamondback Energy, Inc., 3.25%, 12/01/2026 |
40,000 | 38,234 | ||||||
Enbridge, Inc., 5.90%, 11/15/2026 |
44,000 | 44,823 | ||||||
Energy Transfer LP, 6.05%, 12/01/2026 |
40,000 | 40,708 | ||||||
Enterprise Products Operating LLC, 4.60%, 01/11/2027 |
40,000 | 39,710 | ||||||
Equinor ASA, 3.00%, 04/06/2027 |
42,000 | 39,734 | ||||||
Exxon Mobil Corp., 3.29%, 03/19/2027 |
40,000 | 38,534 | ||||||
Hess Corp., 4.30%, 04/01/2027 |
41,000 | 39,999 | ||||||
HF Sinclair Corp., 6.38%, 04/15/2027 (a) |
45,000 | 45,078 | ||||||
Kinder Morgan, Inc., 1.75%, 11/15/2026 |
44,000 | 40,185 | ||||||
Marathon Oil Corp., 4.40%, 07/15/2027 |
41,000 | 39,830 | ||||||
Marathon Petroleum Corp., 5.13%, 12/15/2026 |
41,000 | 40,955 | ||||||
MPLX LP, 4.13%, 03/01/2027 |
41,000 | 39,755 |
The accompanying notes are an integral part of these financial statements.
23 |
F/m 3-Year Investment Grade Corporate Bond ETF
Schedule of Investments (continued)
FEBRUARY 29, 2024 (UNAUDITED)
|
Par |
Value |
||||||
CORPORATE BONDS — 98.4% (continued) |
||||||||
Energy — 8.7% (continued) |
||||||||
NGPL PipeCo LLC, 4.88%, 08/15/2027 (a) |
41,000 | $ | 40,022 | |||||
Occidental Petroleum Corp., 8.50%, 07/15/2027 |
37,000 | 40,135 | ||||||
ONEOK, Inc., 5.55%, 11/01/2026 |
44,000 | 44,327 | ||||||
Phillips 66 Co., 3.55%, 10/01/2026 |
40,000 | 38,384 | ||||||
Plains All American Pipeline LP / PAA Finance Corp., 4.50%, 12/15/2026 |
41,000 | 40,213 | ||||||
Sabine Pass Liquefaction LLC, 5.00%, 03/15/2027 |
40,000 | 39,702 | ||||||
Shell International Finance BV, 2.50%, 09/12/2026 |
42,000 | 39,664 | ||||||
Targa Resources Corp., 5.20%, 07/01/2027 |
40,000 | 39,802 | ||||||
TC PipeLines LP, 3.90%, 05/25/2027 |
40,000 | 38,155 | ||||||
Transcanada Trust, 5.30% to 03/15/2027 then 3 mo. LIBOR US + 3.21%, 03/15/2077 |
44,000 | 40,459 | ||||||
Valero Energy Corp., 3.40%, 09/15/2026 |
40,000 | 38,216 | ||||||
Williams Cos., Inc., 3.75%, 06/15/2027 |
40,000 | 38,280 | ||||||
Woodside Finance Ltd., 3.70%, 09/15/2026 (a) |
40,000 | 38,207 | ||||||
1,398,074 | ||||||||
Financials — 31.9%(b) |
||||||||
Aflac, Inc., 2.88%, 10/15/2026 |
42,000 | 39,674 | ||||||
Air Lease Corp., 2.20%, 01/15/2027 |
44,000 | 40,339 | ||||||
Alexandria Real Estate Equities, Inc., 3.95%, 01/15/2027 |
40,000 | 38,586 | ||||||
Allstate Corp., 3.28%, 12/15/2026 |
42,000 | 40,022 | ||||||
Ally Financial, Inc., 4.75%, 06/09/2027 |
40,000 | 38,853 | ||||||
American Equity Investment Life Holding Co., 5.00%, 06/15/2027 |
40,000 | 38,475 | ||||||
American Express Credit Corp., 3.30%, 05/03/2027 |
42,000 | 39,875 | ||||||
American Tower Corp., 3.38%, 10/15/2026 |
40,000 | 38,152 | ||||||
Ameriprise Financial, Inc., 2.88%, 09/15/2026 |
42,000 | 39,861 | ||||||
Andrew W Mellon Foundation, 0.95%, 08/01/2027 |
45,000 | 39,404 | ||||||
Aon Corp. / Aon Global Holdings PLC, 2.85%, 05/28/2027 |
43,000 | 40,063 | ||||||
Arch Capital Finance LLC, 4.01%, 12/15/2026 |
40,000 | 38,573 | ||||||
Ares Capital Corp., 7.00%, 01/15/2027 |
39,000 | 39,777 | ||||||
Athene Global Funding, 2.95%, 11/12/2026 (a) |
43,000 | 39,848 | ||||||
AvalonBay Communities, Inc., 3.35%, 05/15/2027 |
42,000 | 39,826 | ||||||
Aviation Capital Group LLC, 1.95%, 09/20/2026 (a) |
44,000 | 40,037 | ||||||
Avolon Holdings Funding Ltd., 3.25%, 02/15/2027 (a) |
43,000 | 39,731 | ||||||
Bain Capital Specialty Finance, Inc., 2.55%, 10/13/2026 |
44,000 | 40,066 | ||||||
Bank of America Corp., 4.95% to 07/22/2027 then SOFR + 2.04%, 07/22/2028 |
40,000 | 39,603 | ||||||
Bank of Montreal, 1.25%, 09/15/2026 |
44,000 | 40,025 | ||||||
Bank of New York Mellon Corp., 2.05%, 01/26/2027 |
43,000 | 39,733 | ||||||
Bank of Nova Scotia/The, 5.35%, 12/07/2026 |
39,000 | 39,142 |
The accompanying notes are an integral part of these financial statements.
24 |
F/m 3-Year Investment Grade Corporate Bond ETF
Schedule of Investments (continued)
FEBRUARY 29, 2024 (UNAUDITED)
|
Par |
Value |
||||||
CORPORATE BONDS — 98.4% (continued) |
||||||||
Financials — 31.9%(b) (continued) |
||||||||
Barings BDC, Inc., 3.30%, 11/23/2026 |
43,000 | $ | 39,264 | |||||
Berkshire Hathaway Finance Corp., 2.30%, 03/15/2027 |
42,000 | 39,352 | ||||||
BlackRock, Inc., 3.20%, 03/15/2027 |
40,000 | 38,268 | ||||||
Blackstone Private Credit Fund, 2.63%, 12/15/2026 |
45,000 | 40,649 | ||||||
Blackstone Secured Lending Fund, 2.75%, 09/16/2026 |
43,000 | 39,457 | ||||||
Blue Owl Capital Corp., 2.63%, 01/15/2027 |
45,000 | 40,791 | ||||||
Blue Owl Capital Corp. II, 8.45%, 11/15/2026 (a) |
38,000 | 38,987 | ||||||
Blue Owl Capital Corp. III, 3.13%, 04/13/2027 |
44,000 | 39,837 | ||||||
Blue Owl Credit Income Corp., 4.70%, 02/08/2027 |
42,000 | 39,548 | ||||||
Blue Owl Technology Finance Corp., 2.50%, 01/15/2027 |
46,000 | 40,472 | ||||||
Boston Properties LP, 2.75%, 10/01/2026 |
43,000 | 39,801 | ||||||
Brighthouse Financial, Inc., 3.70%, 06/22/2027 |
43,000 | 40,538 | ||||||
Brixmor Operating Partnership LP, 3.90%, 03/15/2027 |
40,000 | 38,148 | ||||||
Camden Property Trust, 5.85%, 11/03/2026 |
39,000 | 39,828 | ||||||
Canadian Imperial Bank of Commerce, 3.45%, 04/07/2027 |
40,000 | 38,142 | ||||||
Cantor Fitzgerald LP, 4.50%, 04/14/2027 (a) |
40,000 | 37,895 | ||||||
Capital One Financial Corp., 4.93% to 05/10/2027 then SOFR + 2.06%, 05/10/2028 |
41,000 | 40,115 | ||||||
Cboe Global Markets, Inc., 3.65%, 01/12/2027 |
40,000 | 38,735 | ||||||
Charles Schwab Corp., 2.45%, 03/03/2027 |
43,000 | 39,858 | ||||||
Citadel LP, 4.88%, 01/15/2027 (a) |
41,000 | 39,808 | ||||||
CNA Financial Corp., 3.45%, 08/15/2027 |
42,000 | 39,778 | ||||||
Commonwealth Bank of Australia, 2.55%, 03/14/2027 (a) |
43,000 | 40,080 | ||||||
Corebridge Financial, Inc., 3.65%, 04/05/2027 |
42,000 | 39,853 | ||||||
Crown Castle, Inc., 2.90%, 03/15/2027 |
43,000 | 40,033 | ||||||
CubeSmart LP, 3.13%, 09/01/2026 |
42,000 | 39,709 | ||||||
Digital Realty Trust LP, 3.70%, 08/15/2027 |
42,000 | 40,068 | ||||||
Discover Financial Services, 4.10%, 02/09/2027 |
42,000 | 40,282 | ||||||
Eaton Vance Corp., 3.50%, 04/06/2027 |
40,000 | 38,100 | ||||||
Enstar Finance LLC, 5.50% to 01/15/2027 then 5 yr. CMT Rate + 4.01%, 01/15/2042 |
47,000 | 42,329 | ||||||
EPR Properties, 4.50%, 06/01/2027 |
42,000 | 39,701 | ||||||
Equinix, Inc., 2.90%, 11/18/2026 |
42,000 | 39,541 | ||||||
Equitable Financial Life Global Funding, 1.40%, 08/27/2027 (a) |
46,000 | 39,807 | ||||||
ERP Operating LP, 2.85%, 11/01/2026 |
42,000 | 39,635 | ||||||
Essex Portfolio LP, 3.63%, 05/01/2027 |
42,000 | 39,837 | ||||||
F&G Global Funding, 2.30%, 04/11/2027 (a) |
44,000 | 39,396 | ||||||
Federal Realty OP LP, 3.25%, 07/15/2027 |
43,000 | 40,064 | ||||||
Fidelity National Information Services, Inc., 4.70%, 07/15/2027 |
40,000 | 39,703 | ||||||
Fiserv, Inc., 2.25%, 06/01/2027 |
44,000 | 40,249 |
The accompanying notes are an integral part of these financial statements.
25 |
F/m 3-Year Investment Grade Corporate Bond ETF
Schedule of Investments (continued)
FEBRUARY 29, 2024 (UNAUDITED)
|
Par |
Value |
||||||
CORPORATE BONDS — 98.4% (continued) |
||||||||
Financials — 31.9%(b) (continued) |
||||||||
FS KKR Capital Corp., 3.25%, 07/15/2027 |
44,000 | $ | 39,941 | |||||
GAIF Bond Issuer Pty Ltd., 3.40%, 09/30/2026 (a) |
41,000 | 39,030 | ||||||
GATX Corp., 3.25%, 09/15/2026 |
40,000 | 38,041 | ||||||
Global Payments, Inc., 2.15%, 01/15/2027 |
44,000 | 40,381 | ||||||
Goldman Sachs Group, Inc., 1.95% to 10/21/2026 then SOFR + 0.91%, 10/21/2027 |
44,000 | 40,280 | ||||||
Golub Capital BDC, Inc., 2.05%, 02/15/2027 |
46,000 | 40,561 | ||||||
Guardian Life Global Funding, 1.40%, 07/06/2027 (a) |
45,000 | 39,936 | ||||||
Healthcare Realty Holdings LP, 3.75%, 07/01/2027 |
42,000 | 39,415 | ||||||
Healthpeak OP LLC, 1.35%, 02/01/2027 |
45,000 | 40,475 | ||||||
Hercules Capital, Inc., 3.38%, 01/20/2027 |
43,000 | 39,007 | ||||||
Highwoods Realty LP, 3.88%, 03/01/2027 |
43,000 | 40,369 | ||||||
Jackson Financial, Inc., 5.17%, 06/08/2027 |
41,000 | 40,733 | ||||||
Jefferies Financial Group, Inc., 4.85%, 01/15/2027 |
41,000 | 40,717 | ||||||
KeyCorp, 2.25%, 04/06/2027 |
45,000 | 40,195 | ||||||
Kimco Realty OP LLC, 2.80%, 10/01/2026 |
42,000 | 39,372 | ||||||
Kite Realty Group LP, 4.00%, 10/01/2026 |
41,000 | 38,827 | ||||||
Lazard Group LLC, 3.63%, 03/01/2027 |
40,000 | 37,891 | ||||||
Lincoln National Corp., 3.63%, 12/12/2026 |
40,000 | 38,180 | ||||||
M&T Bank Corp., 0.00% to 08/16/2027 then SOFR + 1.78%, 08/16/2028 |
42,000 | 40,057 | ||||||
Macquarie Group Ltd., 1.63% to 09/23/2026 then SOFR + 0.91%, 09/23/2027 (a) |
45,000 | 40,647 | ||||||
Manulife Financial Corp., 2.48%, 05/19/2027 |
43,000 | 39,886 | ||||||
Mastercard, Inc., 3.30%, 03/26/2027 |
40,000 | 38,372 | ||||||
Mercury General Corp., 4.40%, 03/15/2027 |
40,000 | 38,170 | ||||||
Mid-America Apartments LP, 3.60%, 06/01/2027 |
40,000 | 38,220 | ||||||
Morgan Stanley Direct Lending Fund, 4.50%, 02/11/2027 |
42,000 | 40,156 | ||||||
New York Life Global Funding, 5.45%, 09/18/2026 (a) |
40,000 | 40,364 | ||||||
NNN REIT, Inc., 3.60%, 12/15/2026 |
42,000 | 39,976 | ||||||
Northern Trust Corp., 4.00%, 05/10/2027 |
48,000 | 46,635 | ||||||
Northwestern Mutual Global Funding, 1.75%, 01/11/2027 (a) |
44,000 | 40,215 | ||||||
Oaktree Specialty Lending Corp., 2.70%, 01/15/2027 |
45,000 | 40,064 | ||||||
Omega Healthcare Investors, Inc., 4.50%, 04/01/2027 |
40,000 | 38,466 | ||||||
ORIX Corp., 3.70%, 07/18/2027 |
42,000 | 40,158 | ||||||
PayPal Holdings, Inc., 2.65%, 10/01/2026 |
40,000 | 37,698 | ||||||
Penske Truck Leasing Co. Lp / PTL Finance Corp., 4.40%, 07/01/2027 (a) |
41,000 | 39,784 | ||||||
Physicians Realty LP, 4.30%, 03/15/2027 |
40,000 | 38,931 | ||||||
PNC Financial Services Group, Inc., 6.62% to 10/20/2026 then SOFR + 1.73%, 10/20/2027 |
39,000 | 40,062 | ||||||
Principal Financial Group, Inc., 3.10%, 11/15/2026 |
42,000 | 39,822 | ||||||
Progressive Corp., 2.50%, 03/15/2027 |
42,000 | 39,093 |
The accompanying notes are an integral part of these financial statements.
26 |
F/m 3-Year Investment Grade Corporate Bond ETF
Schedule of Investments (continued)
FEBRUARY 29, 2024 (UNAUDITED)
|
Par |
Value |
||||||
CORPORATE BONDS — 98.4% (continued) |
||||||||
Financials — 31.9%(b) (continued) |
||||||||
Prologis LP, 2.13%, 04/15/2027 |
43,000 | $ | 39,489 | |||||
Prospect Capital Corp., 3.36%, 11/15/2026 |
44,000 | 39,647 | ||||||
Public Storage Operating Co., 1.50%, 11/09/2026 |
44,000 | 40,165 | ||||||
Radian Group, Inc., 4.88%, 03/15/2027 |
40,000 | 38,803 | ||||||
Realty Income Corp., 4.13%, 10/15/2026 |
41,000 | 39,915 | ||||||
Regency Centers LP, 3.60%, 02/01/2027 |
42,000 | 40,110 | ||||||
Reinsurance Group of America, Inc., 3.95%, 09/15/2026 |
40,000 | 38,906 | ||||||
Reliance Standard Life Global Funding II, 1.51%, 09/28/2026 (a) |
45,000 | 40,126 | ||||||
RenaissanceRe Finance, Inc., 3.45%, 07/01/2027 |
43,000 | 40,654 | ||||||
Royal Bank of Canada, 4.88%, 01/19/2027 |
40,000 | 39,816 | ||||||
Sammons Financial Group, Inc., 4.45%, 05/12/2027 (a) |
42,000 | 39,769 | ||||||
Santander Holdings USA, Inc., 4.40%, 07/13/2027 |
42,000 | 40,266 | ||||||
SBL Holdings, Inc., 5.13%, 11/13/2026 (a) |
43,000 | 40,325 | ||||||
Scentre Group Trust 1 / Scentre Group Trust 2, 3.75%, 03/23/2027 (a) |
40,000 | 38,044 | ||||||
Simon Property Group LP, 3.38%, 06/15/2027 |
42,000 | 39,853 | ||||||
SiriusPoint Ltd., 4.60%, 11/01/2026 (a) |
42,000 | 39,710 | ||||||
SITE Centers Corp., 4.70%, 06/01/2027 |
41,000 | 40,321 | ||||||
State Street Corp., 2.20% to 02/07/2027 then SOFR + 0.73%, 02/07/2028 |
43,000 | 39,639 | ||||||
Tanger Properties LP, 3.13%, 09/01/2026 |
43,000 | 40,134 | ||||||
Toronto-Dominion Bank, 4.11%, 06/08/2027 |
41,000 | 39,839 | ||||||
Truist Financial Corp., 4.12% to 06/06/2027 then SOFR + 1.37%, 06/06/2028 |
40,000 | 38,512 | ||||||
UDR, Inc., 3.50%, 07/01/2027 |
42,000 | 39,434 | ||||||
US Bancorp, 4.55% to 07/22/2027 then SOFR + 1.66%, 07/22/2028 |
41,000 | 40,029 | ||||||
Ventas Realty LP, 3.25%, 10/15/2026 |
42,000 | 39,650 | ||||||
VICI Properties LP / VICI Note Co., Inc., 4.25%, 12/01/2026 (a) |
40,000 | 38,265 | ||||||
Visa, Inc., 1.90%, 04/15/2027 |
43,000 | 39,619 | ||||||
WEA Finance LLC, 2.88%, 01/15/2027 (a) |
45,000 | 40,881 | ||||||
Welltower OP LLC, 2.70%, 02/15/2027 |
43,000 | 40,186 | ||||||
Westpac Banking Corp., 4.04%, 08/26/2027 |
40,000 | 39,147 | ||||||
Willis North America, Inc., 4.65%, 06/15/2027 |
41,000 | 40,239 | ||||||
WP Carey, Inc., 4.25%, 10/01/2026 |
41,000 | 39,896 | ||||||
5,118,839 | ||||||||
Health Care — 7.2% |
||||||||
Abbott Laboratories, 3.75%, 11/30/2026 |
42,000 | 40,892 | ||||||
AbbVie, Inc., 2.95%, 11/21/2026 |
42,000 | 39,823 | ||||||
Agilent Technologies, Inc., 3.05%, 09/22/2026 |
40,000 | 38,046 | ||||||
Amgen, Inc., 2.20%, 02/21/2027 |
43,000 | 39,653 |
The accompanying notes are an integral part of these financial statements.
27 |
F/m 3-Year Investment Grade Corporate Bond ETF
Schedule of Investments (continued)
FEBRUARY 29, 2024 (UNAUDITED)
|
Par |
Value |
||||||
CORPORATE BONDS — 98.4% (continued) |
||||||||
Health Care — 7.2% (continued) |
||||||||
Astrazeneca Finance LLC, 4.80%, 02/26/2027 |
40,000 | $ | 39,938 | |||||
Baxter International, Inc., 1.92%, 02/01/2027 |
44,000 | 40,024 | ||||||
Becton Dickinson & Co., 3.70%, 06/06/2027 |
42,000 | 40,265 | ||||||
Bio-Rad Laboratories, Inc., 3.30%, 03/15/2027 |
42,000 | 39,605 | ||||||
Bristol-Myers Squibb Co., 4.90%, 02/22/2027 |
40,000 | 39,955 | ||||||
Cardinal Health, Inc., 3.41%, 06/15/2027 |
42,000 | 39,824 | ||||||
Cigna Group, 3.40%, 03/01/2027 |
40,000 | 38,084 | ||||||
CSL Finance PLC, 3.85%, 04/27/2027 (a) |
40,000 | 38,521 | ||||||
CVS Health Corp., 1.30%, 08/21/2027 |
45,000 | 39,564 | ||||||
Eli Lilly & Co., 4.50%, 02/09/2027 |
40,000 | 39,844 | ||||||
Gilead Sciences, Inc., 2.95%, 03/01/2027 |
42,000 | 39,681 | ||||||
HCA, Inc., 5.38%, 09/01/2026 |
40,000 | 39,885 | ||||||
Humana, Inc., 1.35%, 02/03/2027 |
45,000 | 40,350 | ||||||
Johnson & Johnson, 2.95%, 03/03/2027 |
40,000 | 38,261 | ||||||
Kaiser Foundation Hospitals, 3.15%, 05/01/2027 |
42,000 | 39,931 | ||||||
Merck & Co., Inc., 1.70%, 06/10/2027 |
44,000 | 39,858 | ||||||
Novartis Capital Corp., 2.00%, 02/14/2027 |
43,000 | 39,854 | ||||||
Pfizer, Inc., 3.00%, 12/15/2026 |
42,000 | 40,060 | ||||||
Providence St Joseph Health Obligated Group, 2.75%, 10/01/2026 |
42,000 | 39,322 | ||||||
Shire Acquisitions Investments Ireland DAC, 3.20%, 09/23/2026 |
40,000 | 38,102 | ||||||
SSM Health Care Corp., 3.82%, 06/01/2027 |
40,000 | 38,494 | ||||||
Thermo Fisher Scientific, Inc., 5.00%, 12/05/2026 |
45,000 | 45,111 | ||||||
UnitedHealth Group, Inc., 3.45%, 01/15/2027 |
40,000 | 38,600 | ||||||
Universal Health Services, Inc., 1.65%, 09/01/2026 |
44,000 | 40,004 | ||||||
Viatris, Inc., 2.30%, 06/22/2027 |
45,000 | 40,704 | ||||||
1,152,255 | ||||||||
Industrials — 8.3% |
||||||||
3M Co., 2.25%, 09/19/2026 |
43,000 | 40,064 | ||||||
Boeing Co., 5.04%, 05/01/2027 |
41,000 | 40,614 | ||||||
Burlington Northern Santa Fe LLC, 3.25%, 06/15/2027 |
42,000 | 40,075 | ||||||
Canadian Pacific Railway Co., 1.75%, 12/02/2026 |
43,000 | 39,433 | ||||||
Carrier Global Corp., 2.49%, 02/15/2027 |
43,000 | 39,935 | ||||||
Caterpillar Financial Services Corp., 3.60%, 08/12/2027 |
41,000 | 39,484 | ||||||
CSX Corp., 3.25%, 06/01/2027 |
42,000 | 39,871 | ||||||
Emerson Electric Co., 0.88%, 10/15/2026 |
45,000 | 40,703 | ||||||
General Dynamics Corp., 3.50%, 04/01/2027 |
40,000 | 38,490 | ||||||
Hexcel Corp., 4.20%, 02/15/2027 |
41,000 | 39,073 |
The accompanying notes are an integral part of these financial statements.
28 |
F/m 3-Year Investment Grade Corporate Bond ETF
Schedule of Investments (continued)
FEBRUARY 29, 2024 (UNAUDITED)
|
Par |
Value |
||||||
CORPORATE BONDS — 98.4% (continued) |
||||||||
Industrials — 8.3% (continued) |
||||||||
Honeywell International, Inc., 2.50%, 11/01/2026 |
42,000 | $ | 39,585 | |||||
Howmet Aerospace, Inc., 5.90%, 02/01/2027 |
44,000 | 44,421 | ||||||
Hubbell, Inc., 3.15%, 08/15/2027 |
43,000 | 40,344 | ||||||
Illinois Tool Works, Inc., 2.65%, 11/15/2026 |
42,000 | 39,920 | ||||||
John Deere Capital Corp., 4.50%, 01/08/2027 |
40,000 | 39,691 | ||||||
Keysight Technologies, Inc., 4.60%, 04/06/2027 |
41,000 | 40,357 | ||||||
L3Harris Technologies, Inc., 5.40%, 01/15/2027 |
41,000 | 41,255 | ||||||
Lennox International, Inc., 1.70%, 08/01/2027 |
45,000 | 40,289 | ||||||
Norfolk Southern Corp., 7.80%, 05/15/2027 |
40,000 | 43,286 | ||||||
Northrop Grumman Corp., 3.20%, 02/01/2027 |
42,000 | 40,016 | ||||||
Otis Worldwide Corp., 2.29%, 04/05/2027 |
43,000 | 39,786 | ||||||
PACCAR Financial Corp., 5.20%, 11/09/2026 |
44,000 | 44,376 | ||||||
Parker-Hannifin Corp., 3.25%, 03/01/2027 |
40,000 | 38,035 | ||||||
RTX Corp., 5.75%, 11/08/2026 |
44,000 | 44,628 | ||||||
Ryder System, Inc., 2.85%, 03/01/2027 |
42,000 | 39,353 | ||||||
Textron, Inc., 3.65%, 03/15/2027 |
40,000 | 38,265 | ||||||
Transurban Finance Co. Pty Ltd., 3.38%, 03/22/2027 (a) |
42,000 | 39,567 | ||||||
Tyco Electronics Group SA, 3.13%, 08/15/2027 |
42,000 | 39,657 | ||||||
Union Pacific Corp., 2.15%, 02/05/2027 |
43,000 | 39,906 | ||||||
United Parcel Service, Inc., 2.40%, 11/15/2026 |
42,000 | 39,575 | ||||||
Veralto Corp., 5.50%, 09/18/2026 (a) |
40,000 | 40,172 | ||||||
Westinghouse Air Brake Technologies Corp., 3.45%, 11/15/2026 |
42,000 | 39,938 | ||||||
Xylem, Inc., 3.25%, 11/01/2026 |
40,000 | 38,198 | ||||||
1,328,362 | ||||||||
Materials — 6.2% |
||||||||
Air Products and Chemicals, Inc., 1.85%, 05/15/2027 |
43,000 | 39,311 | ||||||
Albemarle Corp., 4.65%, 06/01/2027 |
41,000 | 40,265 | ||||||
Bayport Polymers LLC, 4.74%, 04/14/2027 (a) |
40,000 | 37,915 | ||||||
Berry Global, Inc., 1.65%, 01/15/2027 |
45,000 | 40,523 | ||||||
BHP Billiton Finance USA Ltd., 5.25%, 09/08/2026 |
40,000 | 40,248 | ||||||
CCL Industries, Inc., 3.25%, 10/01/2026 (a) |
42,000 | 39,585 | ||||||
Celanese US Holdings LLC, 6.17%, 07/15/2027 |
39,000 | 39,593 | ||||||
CF Industries, Inc., 4.50%, 12/01/2026 (a) |
45,000 | 43,855 | ||||||
Chevron Phillips Chemical Co. LLC / Chevron Phillips Chemical Co. LP, 3.40%, 12/01/2026 (a) |
42,000 | 40,018 | ||||||
Ecolab, Inc., 2.70%, 11/01/2026 |
40,000 | 37,966 | ||||||
FMC Corp., 3.20%, 10/01/2026 |
42,000 | 39,350 | ||||||
Georgia-Pacific LLC, 2.10%, 04/30/2027 (a) |
44,000 | 40,241 |
The accompanying notes are an integral part of these financial statements.
29 |
F/m 3-Year Investment Grade Corporate Bond ETF
Schedule of Investments (continued)
FEBRUARY 29, 2024 (UNAUDITED)
|
Par |
Value |
||||||
CORPORATE BONDS — 98.4% (continued) |
||||||||
Materials — 6.2% (continued) |
||||||||
Glencore Funding LLC, 4.00%, 03/27/2027 (a) |
40,000 | $ | 38,487 | |||||
Kinross Gold Corp., 4.50%, 07/15/2027 |
41,000 | 39,846 | ||||||
LYB International Finance II BV, 3.50%, 03/02/2027 |
40,000 | 38,116 | ||||||
Martin Marietta Materials, Inc., 3.45%, 06/01/2027 |
42,000 | 40,109 | ||||||
Nucor Corp., 4.30%, 05/23/2027 |
41,000 | 40,085 | ||||||
Nutrien Ltd., 4.00%, 12/15/2026 |
45,000 | 43,575 | ||||||
RPM International, Inc., 3.75%, 03/15/2027 |
40,000 | 38,163 | ||||||
Sealed Air Corp., 1.57%, 10/15/2026 (a) |
45,000 | 40,498 | ||||||
Sherwin-Williams Co., 3.45%, 06/01/2027 |
42,000 | 40,000 | ||||||
Sonoco Products Co., 2.25%, 02/01/2027 |
44,000 | 40,405 | ||||||
Steel Dynamics, Inc., 5.00%, 12/15/2026 |
41,000 | 40,681 | ||||||
Suzano International Finance BV, 5.50%, 01/17/2027 |
40,000 | 39,889 | ||||||
Vulcan Materials Co., 3.90%, 04/01/2027 |
40,000 | 38,735 | ||||||
997,459 | ||||||||
Technology — 7.7% |
||||||||
Adobe, Inc., 2.15%, 02/01/2027 |
43,000 | 40,025 | ||||||
Analog Devices, Inc., 3.50%, 12/05/2026 |
45,000 | 43,465 | ||||||
Apple, Inc., 3.35%, 02/09/2027 |
40,000 | 38,482 | ||||||
Applied Materials, Inc., 3.30%, 04/01/2027 |
40,000 | 38,286 | ||||||
Autodesk, Inc., 3.50%, 06/15/2027 |
40,000 | 38,285 | ||||||
Broadcom Corp. / Broadcom Cayman Finance Ltd., 3.88%, 01/15/2027 |
40,000 | 38,651 | ||||||
CDW LLC / CDW Finance Corp., 2.67%, 12/01/2026 |
43,000 | 39,826 | ||||||
CGI, Inc., 1.45%, 09/14/2026 |
44,000 | 39,873 | ||||||
Cisco Systems, Inc., 4.80%, 02/26/2027 |
40,000 | 40,033 | ||||||
Dell International LLC / EMC Corp., 4.90%, 10/01/2026 |
41,000 | 40,624 | ||||||
DXC Technology Co., 1.80%, 09/15/2026 |
44,000 | 39,948 | ||||||
FactSet Research Systems, Inc., 2.90%, 03/01/2027 |
40,000 | 37,276 | ||||||
HP, Inc., 3.00%, 06/17/2027 |
43,000 | 40,158 | ||||||
Intel Corp., 3.75%, 08/05/2027 |
41,000 | 39,527 | ||||||
Intuit, Inc., 5.25%, 09/15/2026 |
40,000 | 40,338 | ||||||
Jabil, Inc., 4.25%, 05/15/2027 |
40,000 | 38,605 | ||||||
Kyndryl Holdings, Inc., 2.05%, 10/15/2026 |
44,000 | 40,176 | ||||||
Micron Technology, Inc., 4.19%, 02/15/2027 |
42,000 | 40,829 | ||||||
Microsoft Corp., 3.30%, 02/06/2027 |
45,000 | 43,463 | ||||||
NetApp, Inc., 2.38%, 06/22/2027 |
43,000 | 39,411 | ||||||
Nokia Oyj, 4.38%, 06/12/2027 |
40,000 | 38,333 | ||||||
NVIDIA Corp., 3.20%, 09/16/2026 |
40,000 | 38,558 |
The accompanying notes are an integral part of these financial statements.
30 |
F/m 3-Year Investment Grade Corporate Bond ETF
Schedule of Investments (continued)
FEBRUARY 29, 2024 (UNAUDITED)
|
Par |
Value |
||||||
CORPORATE BONDS — 98.4% (continued) |
||||||||
Technology — 7.7% (continued) |
||||||||
NXP BV / NXP Funding LLC / NXP USA, Inc., 4.40%, 06/01/2027 |
41,000 | $ | 40,023 | |||||
Oracle Corp., 2.80%, 04/01/2027 |
43,000 | 40,108 | ||||||
QUALCOMM, Inc., 3.25%, 05/20/2027 |
42,000 | 40,047 | ||||||
Roper Technologies, Inc., 3.80%, 12/15/2026 |
42,000 | 40,619 | ||||||
S&P Global, Inc., 2.45%, 03/01/2027 |
43,000 | 40,087 | ||||||
Take-Two Interactive Software, Inc., 3.70%, 04/14/2027 |
40,000 | 38,249 | ||||||
Texas Instruments, Inc., 4.60%, 02/08/2027 |
40,000 | 39,866 | ||||||
VMware LLC, 3.90%, 08/21/2027 |
42,000 | 40,036 | ||||||
Workday, Inc., 3.50%, 04/01/2027 |
40,000 | 38,115 | ||||||
1,231,322 | ||||||||
Utilities — 8.0% |
||||||||
AEP Transmission Co. LLC, 3.10%, 12/01/2026 |
40,000 | 38,096 | ||||||
Ameren Corp., 5.70%, 12/01/2026 |
44,000 | 44,500 | ||||||
APA Infrastructure Ltd., 4.25%, 07/15/2027 (a) |
42,000 | 40,987 | ||||||
Atmos Energy Corp., 3.00%, 06/15/2027 |
41,000 | 38,554 | ||||||
Black Hills Corp., 3.15%, 01/15/2027 |
42,000 | 39,745 | ||||||
Boston Gas Co., 3.15%, 08/01/2027 (a) |
43,000 | 39,921 | ||||||
CenterPoint Energy Houston Electric LLC, 3.00%, 02/01/2027 |
42,000 | 39,833 | ||||||
CMS Energy Corp., 3.45%, 08/15/2027 |
42,000 | 39,789 | ||||||
DTE Energy Co., 2.85%, 10/01/2026 |
40,000 | 37,672 | ||||||
Duke Energy Corp., 2.65%, 09/01/2026 |
42,000 | 39,512 | ||||||
Duquesne Light Holdings, Inc., 3.62%, 08/01/2027 (a) |
43,000 | 40,029 | ||||||
Edison International, 5.75%, 06/15/2027 |
40,000 | 40,373 | ||||||
Entergy Corp., 2.95%, 09/01/2026 |
42,000 | 39,858 | ||||||
Evergy Kansas Central, Inc., 3.10%, 04/01/2027 |
42,000 | 39,587 | ||||||
Exelon Corp., 2.75%, 03/15/2027 |
43,000 | 40,000 | ||||||
Fortis, Inc., 3.06%, 10/04/2026 |
42,000 | 39,674 | ||||||
Georgia Power Co., 5.00%, 02/23/2027 |
40,000 | 39,907 | ||||||
MidAmerican Energy Co., 3.10%, 05/01/2027 |
42,000 | 39,721 | ||||||
Monongahela Power Co., 3.55%, 05/15/2027 (a) |
42,000 | 39,830 | ||||||
National Fuel Gas Co., 5.50%, 10/01/2026 |
45,000 | 44,930 | ||||||
National Rural Utilities Cooperative Finance Corp., 4.80%, 02/05/2027 |
40,000 | 39,801 | ||||||
New York State Electric & Gas Corp., 3.25%, 12/01/2026 (a) |
42,000 | 39,565 | ||||||
NextEra Energy Capital Holdings, Inc., 3.55%, 05/01/2027 |
42,000 | 39,969 | ||||||
NiSource, Inc., 3.49%, 05/15/2027 |
42,000 | 39,915 | ||||||
NSTAR Electric Co., 3.20%, 05/15/2027 |
42,000 | 40,034 | ||||||
Pacific Gas and Electric Co., 3.30%, 03/15/2027 |
43,000 | 40,301 |
The accompanying notes are an integral part of these financial statements.
31 |
F/m 3-Year Investment Grade Corporate Bond ETF
Schedule of Investments (Concluded)
FEBRUARY 29, 2024 (UNAUDITED)
|
Par |
Value |
||||||
CORPORATE BONDS — 98.4% (continued) |
||||||||
Utilities — 8.0% (continued) |
||||||||
Public Service Electric and Gas Co., 3.00%, 05/15/2027 |
42,000 | $ | 39,688 | |||||
Sempra, 3.25%, 06/15/2027 |
40,000 | 37,637 | ||||||
Virginia Electric and Power Co., 3.50%, 03/15/2027 |
40,000 | 38,304 | ||||||
Vistra Operations Co. LLC, 3.70%, 01/30/2027 (a) |
42,000 | 39,726 | ||||||
WEC Energy Group, Inc., 5.60%, 09/12/2026 |
40,000 | 40,390 | ||||||
Xcel Energy, Inc., 1.75%, 03/15/2027 |
44,000 | 39,562 | ||||||
1,277,410 | ||||||||
TOTAL CORPORATE BONDS (Cost $15,896,269) |
15,753,345 | |||||||
SHORT-TERM INVESTMENTS — 0.2% |
||||||||
U.S. Treasury Bills — 0.2% |
||||||||
5.26%, 03/05/2024(c) |
25,000 | $ | 24,985 | |||||
TOTAL SHORT-TERM INVESTMENTS (Cost $24,985) |
24,985 | |||||||
TOTAL INVESTMENTS — 98.6% (Cost $15,921,254) |
$ | 15,778,330 | ||||||
Money Market Deposit Account — 0.0%(d)(e) |
180 | |||||||
Other Assets in Excess of Liabilities — 1.4% |
220,359 | |||||||
TOTAL NET ASSETS — 100.0% |
$ | 15,998,869 |
Percentages are stated as a percent of net assets.
LIBOR - London Interbank Offered Rate
PLC - Public Limited Company
SA - Sociedad Anónima
SOFR - Secured Overnight Financing Rate
(a) |
Security is exempt from registration pursuant to Rule 144A under the Securities Act of 1933, as amended. These securities may only be resold in transactions exempt from registration to qualified institutional investors. As of February 29, 2024, the value of these securities total $2,082,236 or 13.0% of the Fund’s net assets. |
(b) |
To the extent that the Fund invests more heavily in a particular industry or sector of the economy, its performance will be especially sensitive to developments that significantly affect those industries or sectors. |
(c) |
The rate shown is the effective yield. |
(d) |
The U.S. Bank Money Market Deposit Account (the “MMDA”) is a short-term vehicle in which the Fund holds cash balances. The MMDA will bear interest at a variable rate that is determined based on market conditions and is subject to change daily. The MMDA interest rate as of February 29, 2024 was 5.20%. |
(e) |
Represents less than 0.05% of net assets. |
The accompanying notes are an integral part of these financial statements.
32 |
F/m 10-Year Investment Grade Corporate Bond ETF
PORTFOLIO HOLDINGS SUMMARY TABLE
FEBRUARY 29, 2024 (UNAUDITED)
SECURITY TYPE/CLASSIFICATION |
% OF NET |
VALUE |
||||||
CORPORATE BONDS |
||||||||
Financials |
29.3 | % | $ | 4,055,722 | ||||
Utilities |
13.9 | 1,934,631 | ||||||
Industrials |
10.3 | 1,441,787 | ||||||
Health Care |
8.8 | 1,218,950 | ||||||
Energy |
8.7 | 1,214,497 | ||||||
Materials |
6.3 | 861,624 | ||||||
Consumer Staples |
5.7 | 789,772 | ||||||
Technology |
5.7 | 788,910 | ||||||
Consumer Discretionary |
5.5 | 764,424 | ||||||
Communications |
4.1 | 569,263 | ||||||
SHORT-TERM INVESTMENTS |
||||||||
Money Market Deposit Accounts |
0.0 | 5,955 | ||||||
OTHER ASSETS IN EXCESS OF OTHER LIABILITIES |
1.7 | 238,155 | ||||||
NET ASSETS |
100.0 | % | $ | 13,883,691 |
The accompanying notes are an integral part of these financial statements.
33 |
F/m 10-Year Investment Grade Corporate Bond ETF
Schedule of Investments
FEBRUARY 29, 2024 (UNAUDITED)
|
Par |
Value |
||||||
CORPORATE BONDS — 98.3% |
||||||||
Communications — 4.1% |
||||||||
AT&T, Inc., 2.55%, 12/01/2033 |
88,000 | $ | 69,408 | |||||
Bell Telephone Co. of Canada or Bell Canada, 5.20%, 02/15/2034 |
73,000 | 72,029 | ||||||
Charter Communications Operating LLC / Charter Communications Operating Capital, 6.65%, 02/01/2034 |
71,000 | 71,244 | ||||||
Comcast Corp., 4.20%, 08/15/2034 |
78,000 | 71,717 | ||||||
Fox Corp., 6.50%, 10/13/2033 |
68,000 | 71,420 | ||||||
Rogers Communications, Inc., 5.30%, 02/15/2034 |
73,000 | 71,648 | ||||||
T-Mobile USA, Inc., 5.15%, 04/15/2034 |
73,000 | 71,881 | ||||||
Verizon Communications, Inc., 6.40%, 09/15/2033 |
65,000 | 69,916 | ||||||
569,263 | ||||||||
Consumer Discretionary — 5.5% |
||||||||
American Honda Finance Corp., 4.90%, 01/10/2034 |
74,000 | 72,118 | ||||||
AutoZone, Inc., 6.55%, 11/01/2033 |
66,000 | 71,299 | ||||||
Darden Restaurants, Inc., 6.30%, 10/10/2033 |
68,000 | 71,030 | ||||||
ERAC USA Finance LLC, 6.70%, 06/01/2034 (a) |
44,000 | 48,473 | ||||||
General Motors Financial Co., Inc., 6.10%, 01/07/2034 |
71,000 | 71,777 | ||||||
Genuine Parts Co., 6.88%, 11/01/2033 |
65,000 | 71,019 | ||||||
Marriott International, Inc., 5.30%, 05/15/2034 |
73,000 | 71,839 | ||||||
Starbucks Corp., 5.00%, 02/15/2034 |
73,000 | 71,841 | ||||||
Tapestry, Inc., 7.85%, 11/27/2033 |
66,000 | 71,395 | ||||||
Toyota Motor Credit Corp., 4.80%, 01/05/2034 |
74,000 | 72,172 | ||||||
Whirlpool Corp., 5.75%, 03/01/2034 |
72,000 | 71,461 | ||||||
764,424 | ||||||||
Consumer Staples — 5.7% |
||||||||
Alimentation Couche-Tard, Inc., 5.27%, 02/12/2034 (a) |
72,000 | 71,329 | ||||||
Altria Group, Inc., 6.88%, 11/01/2033 |
66,000 | 71,305 | ||||||
BAT Capital Corp., 6.00%, 02/20/2034 |
72,000 | 71,228 | ||||||
Estee Lauder Cos., Inc., 5.00%, 02/14/2034 |
73,000 | 71,722 | ||||||
J M Smucker Co., 6.20%, 11/15/2033 |
68,000 | 71,874 | ||||||
JBS USA LUX SA / JBS USA Food Co. / JBS Luxembourg SARL, 6.75%, 03/15/2034 (a) |
69,000 | 71,070 | ||||||
Mars, Inc., 3.60%, 04/01/2034 (a) |
83,000 | 73,126 | ||||||
Philip Morris International, Inc., 5.25%, 02/13/2034 |
73,000 | 71,321 | ||||||
Procter & Gamble Co., 4.55%, 01/29/2034 |
74,000 | 72,960 |
The accompanying notes are an integral part of these financial statements.
34 |
F/m 10-Year Investment Grade Corporate Bond ETF
Schedule of Investments (continued)
FEBRUARY 29, 2024 (UNAUDITED)
|
Par |
Value |
||||||
CORPORATE BONDS — 98.3% (continued) |
||||||||
Consumer Staples — 5.7% (continued) |
||||||||
Sysco Corp., 6.00%, 01/17/2034 |
68,000 | $ | 71,663 | |||||
Tyson Foods, Inc., 4.88%, 08/15/2034 |
76,000 | 72,174 | ||||||
789,772 | ||||||||
Energy — 8.7% |
||||||||
Boardwalk Pipelines LP, 5.63%, 08/01/2034 |
72,000 | 71,422 | ||||||
BP Capital Markets America, Inc., 4.89%, 09/11/2033 |
73,000 | 71,593 | ||||||
Cheniere Energy Partners LP, 5.95%, 06/30/2033 |
72,000 | 72,892 | ||||||
Columbia Pipelines Operating Co. LLC, 6.04%, 11/15/2033 (a) |
69,000 | 70,849 | ||||||
ConocoPhillips Co., 5.05%, 09/15/2033 |
71,000 | 70,780 | ||||||
Enbridge, Inc., 8.50% to 01/15/2034 then 5 yr. CMT Rate + 4.43%, 01/15/2084 |
66,000 | 70,377 | ||||||
Energy Transfer LP, 6.55%, 12/01/2033 |
68,000 | 72,128 | ||||||
Enterprise Products Operating LLC, 4.85%, 01/31/2034 |
73,000 | 71,107 | ||||||
EQT Corp., 5.75%, 02/01/2034 |
74,000 | 72,787 | ||||||
Kinder Morgan, Inc., 5.40%, 02/01/2034 |
73,000 | 71,782 | ||||||
ONEOK, Inc., 6.05%, 09/01/2033 |
68,000 | 70,081 | ||||||
Ovintiv, Inc., 6.50%, 08/15/2034 |
69,000 | 72,315 | ||||||
Patterson-UTI Energy, Inc., 7.15%, 10/01/2033 |
67,000 | 70,987 | ||||||
Santos Finance Ltd., 6.88%, 09/19/2033 (a) |
68,000 | 70,811 | ||||||
Targa Resources Corp., 6.50%, 03/30/2034 |
67,000 | 70,960 | ||||||
TransCanada PipeLines Ltd., 4.63%, 03/01/2034 |
77,000 | 71,375 | ||||||
Williams Cos., Inc., 5.15%, 03/15/2034 |
74,000 | 72,251 | ||||||
1,214,497 | ||||||||
Financials — 29.3%(b) |
||||||||
Alexandria Real Estate Equities, Inc., 2.95%, 03/15/2034 |
86,000 | 69,488 | ||||||
American Homes 4 Rent LP, 5.50%, 02/01/2034 |
74,000 | 72,571 | ||||||
American Tower Corp., 5.90%, 11/15/2033 |
69,000 | 70,765 | ||||||
Apollo Global Management, Inc., 6.38%, 11/15/2033 |
67,000 | 71,931 | ||||||
Arch Capital Group Ltd., 7.35%, 05/01/2034 |
64,000 | 71,944 | ||||||
Arthur J Gallagher & Co., 5.45%, 07/15/2034 |
72,000 | 71,736 | ||||||
Athene Holding Ltd., 5.88%, 01/15/2034 |
73,000 | 72,419 | ||||||
AvalonBay Communities, Inc., 5.30%, 12/07/2033 |
72,000 | 72,201 | ||||||
Bank of America Corp., 5.47% to 01/23/2034 then SOFR + 1.65%, 01/23/2035 |
73,000 | 72,788 | ||||||
Bank of New York Mellon Corp., 6.47% to 10/25/2033 then SOFR + 1.85%, 10/25/2034 |
66,000 | 71,594 | ||||||
Bank of Nova Scotia, 5.65%, 02/01/2034 |
71,000 | 72,071 | ||||||
Boston Properties LP, 2.45%, 10/01/2033 |
90,000 | 66,353 | ||||||
Brixmor Operating Partnership LP, 5.50%, 02/15/2034 |
74,000 | 72,039 |
The accompanying notes are an integral part of these financial statements.
35 |
F/m 10-Year Investment Grade Corporate Bond ETF
Schedule of Investments (continued)
FEBRUARY 29, 2024 (UNAUDITED)
|
Par |
Value |
||||||
CORPORATE BONDS — 98.3% (continued) |
||||||||
Financials — 29.3%(b) (continued) |
||||||||
Brookfield Finance, Inc., 6.35%, 01/05/2034 |
68,000 | $ | 71,453 | |||||
Camden Property Trust, 4.90%, 01/15/2034 |
74,000 | 71,178 | ||||||
Canadian Imperial Bank of Commerce, 6.09%, 10/03/2033 |
68,000 | 70,585 | ||||||
Capital One Financial Corp., 6.05% to 02/01/2034 then SOFR + 2.26%, 02/01/2035 |
71,000 | 71,712 | ||||||
CBRE Services, Inc., 5.95%, 08/15/2034 |
71,000 | 71,651 | ||||||
Citigroup, Inc., 5.83% to 02/13/2034 then SOFR + 2.06%, 02/13/2035 |
73,000 | 71,421 | ||||||
CNA Financial Corp., 5.13%, 02/15/2034 |
74,000 | 71,551 | ||||||
COPT Defense Properties LP, 2.90%, 12/01/2033 |
90,000 | 68,655 | ||||||
Corebridge Financial, Inc., 5.75%, 01/15/2034 |
72,000 | 71,784 | ||||||
Crown Castle, Inc., 5.80%, 03/01/2034 |
71,000 | 71,957 | ||||||
Discover Financial Services, 7.96% to 11/02/2033 then SOFR + 3.37%, 11/02/2034 |
63,000 | 70,565 | ||||||
Extra Space Storage LP, 5.40%, 02/01/2034 |
74,000 | 72,539 | ||||||
Fairfax Financial Holdings Ltd., 6.00%, 12/07/2033 (a) |
72,000 | 72,333 | ||||||
GATX Corp., 6.90%, 05/01/2034 |
66,000 | 71,742 | ||||||
GLP Capital LP / GLP Financing II, Inc., 6.75%, 12/01/2033 |
69,000 | 71,599 | ||||||
Goldman Sachs Group, Inc., 6.56% to 10/24/2033 then SOFR + 1.95%, 10/24/2034 |
66,000 | 71,096 | ||||||
Highwoods Realty LP, 7.65%, 02/01/2034 |
66,000 | 70,882 | ||||||
Huntington Bancshares, Inc., 5.71% to 02/02/2034 then SOFR + 1.87%, 02/02/2035 |
72,000 | 71,040 | ||||||
Invitation Homes Operating Partnership LP, 2.70%, 01/15/2034 |
88,000 | 68,514 | ||||||
JPMorgan Chase & Co., 5.34% to 01/23/2034 then SOFR + 1.62%, 01/23/2035 |
73,000 | 72,608 | ||||||
Kilroy Realty LP, 2.65%, 11/15/2033 |
103,000 | 75,000 | ||||||
Kimco Realty OP LLC, 6.40%, 03/01/2034 |
68,000 | 71,556 | ||||||
Kite Realty Group LP, 5.50%, 03/01/2034 |
74,000 | 72,310 | ||||||
Macquarie Group Ltd., 6.26% to 12/07/2033 then SOFR + 2.30%, 12/07/2034 (a) |
69,000 | 71,394 | ||||||
Marsh & McLennan Cos., Inc., 5.40%, 09/15/2033 |
70,000 | 71,210 | ||||||
MetLife, Inc., 6.38%, 06/15/2034 |
67,000 | 72,284 | ||||||
Mid-America Apartments LP, 5.00%, 03/15/2034 |
74,000 | 72,010 | ||||||
Morgan Stanley, 5.47% to 01/18/2034 then SOFR + 1.73%, 01/18/2035 |
73,000 | 72,913 | ||||||
Nasdaq, Inc., 5.55%, 02/15/2034 |
72,000 | 72,487 | ||||||
New York Life Global Funding, 5.00%, 01/09/2034 (a) |
74,000 | 72,673 | ||||||
NNN REIT, Inc., 5.60%, 10/15/2033 |
71,000 | 70,805 | ||||||
Pacific LifeCorp, 6.60%, 09/15/2033 (a) |
44,000 | 47,370 | ||||||
PNC Financial Services Group, Inc., 6.88% to 10/20/2033 then SOFR + 2.28%, 10/20/2034 |
65,000 | 70,414 | ||||||
Prologis LP, 5.00%, 03/15/2034 |
74,000 | 72,722 | ||||||
Realty Income Corp., 5.13%, 02/15/2034 |
75,000 | 72,563 | ||||||
Regency Centers LP, 5.25%, 01/15/2034 |
74,000 | 72,317 | ||||||
Reinsurance Group of America, Inc., 6.00%, 09/15/2033 |
68,000 | 69,825 | ||||||
Royal Bank of Canada, 5.15%, 02/01/2034 |
74,000 | 72,869 |
The accompanying notes are an integral part of these financial statements.
36 |
F/m 10-Year Investment Grade Corporate Bond ETF
Schedule of Investments (continued)
FEBRUARY 29, 2024 (UNAUDITED)
|
Par |
Value |
||||||
CORPORATE BONDS — 98.3% (continued) |
||||||||
Financials — 29.3%(b) (continued) |
||||||||
Simon Property Group LP, 6.25%, 01/15/2034 |
68,000 | $ | 71,655 | |||||
State Street Corp., 6.12% to 11/21/2033 then SOFR + 1.96%, 11/21/2034 |
69,000 | 71,322 | ||||||
Truist Financial Corp., 5.71% to 01/24/2034 then SOFR + 1.92%, 01/24/2035 |
73,000 | 72,272 | ||||||
US Bancorp, 5.68% to 01/23/2034 then SOFR + 1.86%, 01/23/2035 |
72,000 | 71,833 | ||||||
Wells Fargo & Co., 6.49% to 10/23/2033 then SOFR + 2.06%, 10/23/2034 |
67,000 | 71,255 | ||||||
Westpac Banking Corp., 6.82%, 11/17/2033 |
67,000 | 71,898 | ||||||
4,055,722 | ||||||||
Health Care — 8.8% |
||||||||
Astrazeneca Finance LLC, 5.00%, 02/26/2034 |
72,000 | 72,242 | ||||||
Becton Dickinson & Co., 5.11%, 02/08/2034 |
73,000 | 71,729 | ||||||
Bristol-Myers Squibb Co., 5.20%, 02/22/2034 |
72,000 | 72,586 | ||||||
Cardinal Health, Inc., 5.45%, 02/15/2034 |
72,000 | 72,023 | ||||||
Cencora, Inc., 5.13%, 02/15/2034 |
73,000 | 71,658 | ||||||
Cigna Group, 5.25%, 02/15/2034 |
73,000 | 72,135 | ||||||
Eli Lilly & Co., 4.70%, 02/09/2034 |
73,000 | 72,060 | ||||||
Gilead Sciences, Inc., 5.25%, 10/15/2033 |
70,000 | 70,816 | ||||||
GlaxoSmithKline Capital, Inc., 5.38%, 04/15/2034 |
68,000 | 71,764 | ||||||
HCA, Inc., 5.60%, 04/01/2034 |
72,000 | 71,683 | ||||||
Humana, Inc., 5.95%, 03/15/2034 |
69,000 | 71,336 | ||||||
Johnson & Johnson, 4.38%, 12/05/2033 |
73,000 | 72,114 | ||||||
Merck & Co., Inc., 6.50%, 12/01/2033 |
64,000 | 72,137 | ||||||
Providence St Joseph Health Obligated Group, 5.40%, 10/01/2033 |
71,000 | 70,747 | ||||||
Quest Diagnostics, Inc., 6.40%, 11/30/2033 |
67,000 | 71,571 | ||||||
Thermo Fisher Scientific, Inc., 5.20%, 01/31/2034 |
70,000 | 70,790 | ||||||
Wyeth LLC, 6.50%, 02/01/2034 |
65,000 | 71,559 | ||||||
1,218,950 | ||||||||
Industrials — 10.3% |
||||||||
AP Moller - Maersk AS, 5.88%, 09/14/2033 (a) |
70,000 | 70,506 | ||||||
Boeing Co., 3.60%, 05/01/2034 |
84,000 | 70,605 | ||||||
Canadian National Railway Co., 6.25%, 08/01/2034 |
66,000 | 71,880 | ||||||
Carrier Global Corp., 5.90%, 03/15/2034 |
77,000 | 79,878 | ||||||
CSX Corp., 5.20%, 11/15/2033 |
71,000 | 71,494 | ||||||
Cummins, Inc., 5.15%, 02/20/2034 |
72,000 | 71,898 | ||||||
FedEx Corp., 4.90%, 01/15/2034 |
75,000 | 73,040 | ||||||
Honeywell International, Inc., 4.50%, 01/15/2034 |
75,000 | 72,133 | ||||||
John Deere Capital Corp., 5.15%, 09/08/2033 |
70,000 | 71,200 |
The accompanying notes are an integral part of these financial statements.
37 |
F/m 10-Year Investment Grade Corporate Bond ETF
Schedule of Investments (continued)
FEBRUARY 29, 2024 (UNAUDITED)
|
Par |
Value |
||||||
CORPORATE BONDS — 98.3% (continued) |
||||||||
Industrials — 10.3% (continued) |
||||||||
Lockheed Martin Corp., 4.75%, 02/15/2034 |
74,000 | $ | 72,304 | |||||
Nordson Corp., 5.80%, 09/15/2033 |
69,000 | 71,221 | ||||||
Norfolk Southern Corp., 5.55%, 03/15/2034 |
70,000 | 71,864 | ||||||
Northrop Grumman Corp., 4.90%, 06/01/2034 |
74,000 | 72,033 | ||||||
Republic Services, Inc., 5.00%, 04/01/2034 |
72,000 | 70,888 | ||||||
RTX Corp., 6.10%, 03/15/2034 |
68,000 | 71,796 | ||||||
Ryder System, Inc., 6.60%, 12/01/2033 |
67,000 | 71,738 | ||||||
Textron, Inc., 6.10%, 11/15/2033 |
69,000 | 72,017 | ||||||
Veralto Corp., 5.45%, 09/18/2033 (a) |
71,000 | 71,312 | ||||||
Waste Connections, Inc., 5.00%, 03/01/2034 |
73,000 | 71,476 | ||||||
Waste Management, Inc., 4.88%, 02/15/2034 |
74,000 | 72,504 | ||||||
1,441,787 | ||||||||
Materials — 6.3% |
||||||||
Air Products and Chemicals, Inc., 4.85%, 02/08/2034 |
73,000 | 71,574 | ||||||
Berry Global, Inc., 5.65%, 01/15/2034 (a) |
73,000 | 72,027 | ||||||
BHP Billiton Finance USA Ltd., 5.25%, 09/08/2033 |
71,000 | 71,316 | ||||||
Celanese US Holdings LLC, 6.70%, 11/15/2033 |
68,000 | 71,433 | ||||||
CF Industries, Inc., 5.15%, 03/15/2034 |
74,000 | 71,608 | ||||||
Dow Chemical Co., 5.15%, 02/15/2034 |
73,000 | 71,937 | ||||||
Eastman Chemical Co., 5.63%, 02/20/2034 |
72,000 | 71,471 | ||||||
Glencore Funding LLC, 6.50%, 10/06/2033 (a) |
67,000 | 71,481 | ||||||
Mosaic Co., 5.45%, 11/15/2033 |
73,000 | 72,181 | ||||||
Packaging Corp. of America, 5.70%, 12/01/2033 |
70,000 | 71,639 | ||||||
Rio Tinto Alcan, Inc., 6.13%, 12/15/2033 |
68,000 | 72,306 | ||||||
Vale Overseas Ltd., 8.25%, 01/17/2034 |
62,000 | 72,651 | ||||||
861,624 | ||||||||
Technology — 5.7% |
||||||||
Broadcom, Inc., 3.47%, 04/15/2034 (a) |
85,000 | 71,788 | ||||||
Cisco Systems, Inc., 5.05%, 02/26/2034 |
72,000 | 72,360 | ||||||
Constellation Software, Inc., 5.46%, 02/16/2034 (a) |
72,000 | 71,993 | ||||||
Intel Corp., 5.15%, 02/21/2034 |
72,000 | 71,263 | ||||||
Intuit, Inc., 5.20%, 09/15/2033 |
70,000 | 70,725 | ||||||
KLA Corp., 4.70%, 02/01/2034 |
74,000 | 72,052 | ||||||
Kyndryl Holdings, Inc., 6.35%, 02/20/2034 |
71,000 | 71,664 | ||||||
Marvell Technology, Inc., 5.95%, 09/15/2033 |
69,000 | 71,270 | ||||||
Micron Technology, Inc., 5.88%, 09/15/2033 |
70,000 | 71,370 |
The accompanying notes are an integral part of these financial statements.
38 |
F/m 10-Year Investment Grade Corporate Bond ETF
Schedule of Investments (continued)
FEBRUARY 29, 2024 (UNAUDITED)
|
Par |
Value |
||||||
CORPORATE BONDS — 98.3% (continued) |
||||||||
Technology — 5.7% (continued) |
||||||||
Oracle Corp., 4.30%, 07/08/2034 |
80,000 | $ | 72,604 | |||||
S&P Global, Inc., 5.25%, 09/15/2033 (a) |
71,000 | 71,821 | ||||||
788,910 | ||||||||
Utilities — 13.9% |
||||||||
American Water Capital Corp., 5.15%, 03/01/2034 |
73,000 | 72,393 | ||||||
Atmos Energy Corp., 5.90%, 11/15/2033 |
68,000 | 71,506 | ||||||
Black Hills Corp., 6.15%, 05/15/2034 |
69,000 | 70,910 | ||||||
Consolidated Edison Co. of New York, Inc., 5.50%, 03/15/2034 |
70,000 | 71,489 | ||||||
Constellation Energy Generation LLC, 6.13%, 01/15/2034 |
69,000 | 71,987 | ||||||
DTE Electric Co., 5.20%, 03/01/2034 |
72,000 | 71,641 | ||||||
Duke Energy Corp., 5.75%, 09/15/2033 |
70,000 | 71,313 | ||||||
Entergy Arkansas LLC, 5.30%, 09/15/2033 |
71,000 | 71,196 | ||||||
Essential Utilities, Inc., 5.38%, 01/15/2034 |
73,000 | 71,790 | ||||||
Evergy Kansas Central, Inc., 5.90%, 11/15/2033 |
69,000 | 71,763 | ||||||
Eversource Energy, 5.50%, 01/01/2034 |
73,000 | 72,253 | ||||||
Exelon Corp., 5.45%, 03/15/2034 |
72,000 | 71,650 | ||||||
Georgia Power Co., 5.25%, 03/15/2034 |
72,000 | 71,675 | ||||||
Interstate Power and Light Co., 5.70%, 10/15/2033 |
70,000 | 71,205 | ||||||
Kentucky Power Co., 7.00%, 11/15/2033 (a) |
68,000 | 71,749 | ||||||
Liberty Utilities Co., 5.87%, 01/31/2034 (a) |
72,000 | 72,330 | ||||||
Monongahela Power Co., 5.85%, 02/15/2034 (a) |
71,000 | 72,319 | ||||||
National Grid PLC, 5.42%, 01/11/2034 |
74,000 | 72,190 | ||||||
NextEra Energy Capital Holdings, Inc., 5.25%, 03/15/2034 |
73,000 | 71,602 | ||||||
Oncor Electric Delivery Co. LLC, 5.65%, 11/15/2033 |
69,000 | 71,279 | ||||||
Pacific Gas and Electric Co., 6.95%, 03/15/2034 |
66,000 | 71,329 | ||||||
PacifiCorp, 5.45%, 02/15/2034 |
73,000 | 71,943 | ||||||
PPL Electric Utilities Corp., 4.85%, 02/15/2034 |
74,000 | 72,059 | ||||||
Public Service Enterprise Group, Inc., 6.13%, 10/15/2033 |
68,000 | 70,868 | ||||||
Southern California Edison Co., 5.20%, 06/01/2034 |
74,000 | 72,382 | ||||||
Virginia Electric and Power Co., 5.00%, 01/15/2034 |
73,000 | 70,961 |
The accompanying notes are an integral part of these financial statements.
39 |
F/m 10-Year Investment Grade Corporate Bond ETF
Schedule of Investments (Concluded)
FEBRUARY 29, 2024 (UNAUDITED)
|
Par |
Value |
||||||
CORPORATE BONDS — 98.3% (continued) |
||||||||
Utilities — 13.9% (continued) |
||||||||
Vistra Operations Co. LLC, 6.95%, 10/15/2033 (a) |
68,000 | $ | 70,849 | |||||
1,934,631 | ||||||||
TOTAL CORPORATE BONDS (Cost $13,828,914) |
13,639,580 | |||||||
TOTAL INVESTMENTS — 98.3% (Cost $13,828,914) |
$ | 13,639,580 | ||||||
Money Market Deposit Account — 0.0%(c) |
5,955 | |||||||
Other Assets in Excess of Liabilities — 1.7% |
238,156 | |||||||
TOTAL NET ASSETS — 100.0% |
$ | 13,883,691 |
Percentages are stated as a percent of net assets.
PLC - Public Limited Company
SA - Sociedad Anónima
SOFR - Secured Overnight Financing Rate
(a) |
Security is exempt from registration pursuant to Rule 144A under the Securities Act of 1933, as amended. These securities may only be resold in transactions exempt from registration to qualified institutional investors. As of February 29, 2024, the value of these securities total $1,457,603 or 10.5% of the Fund’s net assets. |
(b) |
To the extent that the Fund invests more heavily in a particular industry or sector of the economy, its performance will be especially sensitive to developments that significantly affect those industries or sectors. |
(c) |
The U.S. Bank Money Market Deposit Account (the “MMDA”) is a short-term vehicle in which the Fund holds cash balances. The MMDA will bear interest at a variable rate that is determined based on market conditions and is subject to change daily. The MMDA interest rate as of February 29, 2024 was 5.20%. |
The accompanying notes are an integral part of these financial statements.
40 |
F/m Corporate Bond ETFs
Statements of Assets and Liabilities
FEBRUARY 29, 2024 (UNAUDITED)
|
F/m 2-Year |
F/m 3-Year |
F/m 10-Year |
|||||||||
ASSETS |
||||||||||||
Investments in securities of unaffiliated issuers, at value (cost $9,840,382, $15,896,269, 13,828,914, respectively) |
$ | 9,796,620 | $ | 15,753,345 | $ | 13,639,580 | ||||||
Short-term investments, at value (cost $58,966, $24,986, and $—, respectively) |
58,966 | 24,986 | — | |||||||||
Cash equivalents |
12,841 | 180 | 5,955 | |||||||||
Receivables for: |
||||||||||||
Investments sold |
945,463 | 1,932,598 | 3,709,954 | |||||||||
Interest |
97,458 | 158,935 | 179,094 | |||||||||
Total assets |
10,911,348 | 17,870,044 | 17,534,583 | |||||||||
LIABILITIES |
||||||||||||
Payables for: |
||||||||||||
Investments purchased |
894,805 | 1,869,271 | 3,649,325 | |||||||||
Advisory fees |
1,141 | 1,904 | 1,567 | |||||||||
Total liabilities |
895,946 | 1,871,175 | 3,650,892 | |||||||||
Net assets |
$ | 10,015,402 | $ | 15,998,869 | $ | 13,883,691 | ||||||
NET ASSETS CONSIST OF: |
||||||||||||
Par value |
$ | 200 | $ | 320 | $ | 280 | ||||||
Paid-in capital |
10,007,036 | 16,059,180 | 14,037,815 | |||||||||
Total distributable earnings/(losses) |
8,166 | (60,631 | ) | (154,404 | ) | |||||||
Net assets |
$ | 10,015,402 | $ | 15,998,869 | $ | 13,883,691 | ||||||
Shares outstanding ($0.001 par value, 100,000,000 shares authorized) |
200,000 | 320,000 | 280,000 | |||||||||
Net asset value and redemption price per share |
$ | 50.08 | $ | 50.00 | $ | 49.58 |
The accompanying notes are an integral part of these financial statements.
41 |
F/m Corporate Bond ETFs
Statements of Operations
FOR THE SIX MONTHS ENDED FEBRUARY 29, 2024 (UNAUDITED)
|
F/m 2-Year |
F/m 3-Year |
F/m 10-Year |
|||||||||
INVESTMENT INCOME |
||||||||||||
Interest income |
$ | 56,665 | $ | 99,687 | $ | 87,177 | ||||||
Total investment income |
56,665 | 99,687 | 87,177 | |||||||||
EXPENSES |
||||||||||||
Advisory fees (Note 3) |
1,659 | 3,013 | 2,427 | |||||||||
Total expenses |
1,659 | 3,013 | 2,427 | |||||||||
Net investment income/(loss) |
55,006 | 96,674 | 84,750 | |||||||||
NET REALIZED AND UNREALIZED GAIN/(LOSS) FROM INVESTMENTS |
||||||||||||
Net realized gain/(loss) from investments |
(3,077 | ) | (14,381 | ) | (49,820 | ) | ||||||
Net change in unrealized appreciation/(depreciation) on investments |
(43,762 | ) | (142,924 | ) | (189,334 | ) | ||||||
Net realized and unrealized gain/(loss) |
(46,839 | ) | (157,305 | ) | (239,154 | ) | ||||||
NET INCREASE/(DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS |
$ | 8,167 | $ | (60,631 | ) | $ | (154,404 | ) |
(1) |
Inception date of the Fund was January 10, 2024. |
The accompanying notes are an integral part of these financial statements.
42 |
F/m 2-Year Investment Grade Corporate Bond ETF
Statements of Changes in Net Assets
|
FOR THE |
|||
INCREASE/(DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS |
||||
Net investment income/(loss) |
$ | 55,006 | ||
Net realized gain/(loss) from investments |
(3,077 | ) | ||
Net change in unrealized appreciation/(depreciation) on investments |
(43,762 | ) | ||
NET INCREASE/(DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS |
8,167 | |||
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS FROM: |
||||
Total distributable earnings |
— | |||
Net decrease in net assets from dividends and distributions to shareholders |
— | |||
CAPITAL SHARE TRANSACTIONS: |
||||
Proceeds from shares sold |
10,007,235 | |||
Net increase/(decrease) in net assets from capital share transactions |
10,007,235 | |||
TOTAL INCREASE/(DECREASE) IN NET ASSETS |
10,015,402 | |||
NET ASSETS: |
||||
Beginning of period |
$ | — | ||
End of period |
$ | 10,015,402 | ||
SHARE TRANSACTIONS: |
||||
Shares sold |
200,000 | |||
Shares redeemed |
— | |||
Net increase/(decrease) in shares |
200,000 |
(1) |
Inception date of the Fund was January 10, 2024. |
The accompanying notes are an integral part of these financial statements.
43 |
F/m 3-Year Investment Grade Corporate Bond ETF
StatementS of Changes in Net Assets
|
FOR THE |
|||
INCREASE/(DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS |
||||
Net investment income/(loss) |
$ | 96,674 | ||
Net realized gain/(loss) from investments |
(14,381 | ) | ||
Net change in unrealized appreciation/(depreciation) on investments |
(142,924 | ) | ||
NET INCREASE/(DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS |
(60,631 | ) | ||
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS FROM: |
||||
Total distributable earnings |
— | |||
Net decrease in net assets from dividends and distributions to shareholders |
— | |||
CAPITAL SHARE TRANSACTIONS: |
||||
Proceeds from shares sold |
16,059,500 | |||
Net increase/(decrease) in net assets from capital share transactions |
16,059,500 | |||
TOTAL INCREASE/(DECREASE) IN NET ASSETS |
15,998,869 | |||
NET ASSETS: |
||||
Beginning of period |
$ | — | ||
End of period |
$ | 15,998,869 | ||
SHARE TRANSACTIONS: |
||||
Shares sold |
320,000 | |||
Shares redeemed |
— | |||
Net increase/(decrease) in shares |
320,000 |
(1) |
Inception date of the Fund was January 10, 2024. |
The accompanying notes are an integral part of these financial statements.
44 |
F/m 10-Year Investment Grade Corporate Bond ETF
StatementS of Changes in Net Assets
|
FOR THE |
|||
INCREASE/(DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS |
||||
Net investment income/(loss) |
$ | 84,750 | ||
Net realized gain/(loss) from investments |
(49,820 | ) | ||
Net change in unrealized appreciation/(depreciation) on investments |
(189,334 | ) | ||
NET INCREASE/(DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS |
(154,404 | ) | ||
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS FROM: |
||||
Total distributable earnings |
(615,913 | ) | ||
Net decrease in net assets from dividends and distributions to shareholders |
(615,913 | ) | ||
CAPITAL SHARE TRANSACTIONS: |
||||
Proceeds from shares sold |
14,038,095 | |||
Net increase/(decrease) in net assets from capital share transactions |
14,038,095 | |||
TOTAL INCREASE/(DECREASE) IN NET ASSETS |
13,883,691 | |||
NET ASSETS: |
||||
Beginning of period |
$ | — | ||
End of period |
$ | 13,883,691 | ||
SHARE TRANSACTIONS: |
||||
Shares sold |
280,000 | |||
Shares redeemed |
— | |||
Net increase/(decrease) in shares |
280,000 |
(1) |
Inception date of the Fund was January 10, 2024. |
The accompanying notes are an integral part of these financial statements.
45 |
F/m 2-Year Investment Grade Corporate Bond 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 |
|||
|
(UNAUDITED) |
|||
PER SHARE OPERATING PERFORMANCE |
||||
Net asset value, beginning of period |
$ | 50.00 | ||
Net investment income/(loss)(2) |
0.34 | |||
Net realized and unrealized gain/(loss) from investments |
(0.26 | ) | ||
Net increase/(decrease) in net assets resulting from operations |
0.08 | |||
Net asset value, end of period |
$ | 50.08 | ||
Market value, end of period |
$ | 50.12 | ||
Total investment return/(loss) on net asset value(3) |
0.16 | %(5) | ||
Total investment return/(loss) on market price(4) |
0.24 | %(5) | ||
RATIOS/SUPPLEMENTAL DATA |
||||
Net assets, end of period (000’s omitted) |
$ | 10,015 | ||
Ratio of expenses to average net assets |
0.15 | %(6) | ||
Ratio of net investment income/(loss) to average net assets |
4.97 | %(6) | ||
Portfolio turnover rate |
48 | %(5) |
(1) |
Inception date of the Fund was January 10, 2024. |
(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.
46 |
F/m 3-Year Investment Grade Corporate Bond 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 |
|||
|
(UNAUDITED) |
|||
PER SHARE OPERATING PERFORMANCE |
||||
Net asset value, beginning of period |
$ | 50.00 | ||
Net investment income/(loss)(2) |
0.33 | |||
Net realized and unrealized gain/(loss) from investments |
(0.33 | ) | ||
Net increase/(decrease) in net assets resulting from operations |
— | |||
Net asset value, end of period |
$ | 50.00 | ||
Market value, end of period |
$ | 50.02 | ||
Total investment return/(loss) on net asset value(3) |
0.00 | %(5) | ||
Total investment return/(loss) on market price(4) |
0.05 | %(5) | ||
RATIOS/SUPPLEMENTAL DATA |
||||
Net assets, end of period (000’s omitted) |
$ | 15,999 | ||
Ratio of expenses to average net assets |
0.15 | %(6) | ||
Ratio of net investment income/(loss) to average net assets |
4.81 | %(6) | ||
Portfolio turnover rate |
30 | %(5) |
(1) |
Inception date of the Fund was January 10, 2024. |
(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.
47 |
F/m 10-Year Investment Grade Corporate Bond 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 |
|||
|
(UNAUDITED) |
|||
PER SHARE OPERATING PERFORMANCE |
||||
Net asset value, beginning of period |
$ | 50.00 | ||
Net investment income/(loss)(2) |
0.36 | |||
Net realized and unrealized gain/(loss) from investments |
(0.78 | ) | ||
Net increase/(decrease) in net assets resulting from operations |
(0.42 | ) | ||
Net asset value, end of period |
$ | 49.58 | ||
Market value, end of period |
$ | 49.69 | ||
Total investment return/(loss) on net asset value(3) |
(0.81 | )%(5) | ||
Total investment return/(loss) on market price(4) |
(0.62 | )%(5) | ||
RATIOS/SUPPLEMENTAL DATA |
||||
Net assets, end of period (000’s omitted) |
$ | 13,884 | ||
Ratio of expenses to average net assets |
0.15 | %(6) | ||
Ratio of net investment income/(loss) to average net assets |
5.24 | %(6) | ||
Portfolio turnover rate |
55 | %(5) |
(1) |
Inception date of the Fund was January 10, 2024. |
(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.
48 |
F/m Corporate Bond ETFs
Notes to Financial Statements
FEBRUARY 29, 2024 (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 sixty-four separate investment portfolios, including the F/m 2-Year Investment Grade Corporate Bond ETF, the F/m 3-Year Investment Grade Corporate Bond ETF, and the F/m 10-Year Investment Grade Corporate Bond ETF (each a “Fund” and together the “Funds” or “F/m Corporate Bond ETFs”). The F/m 2-Year Investment Grade Corporate Bond ETF, the F/m 3-Year Investment Grade Corporate Bond ETF, and the F/m 10-Year Investment Grade Corporate Bond ETF commenced investment operations on January 10, 2024.
RBB has authorized capital of one hundred billion shares of common stock of which 92.723 billion shares are currently classified into two hundred and thirty-four classes of common stock. Each class represents an interest in an active or inactive RBB investment portfolio.
The investment objective of the F/m 2-Year Investment Grade Corporate Bond ETF, the F/m 3-Year Investment Grade Corporate Bond ETF, and the F/m 10-Year Investment Grade Corporate Bond 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 2-Year Target Maturity Index, the ICE 3-Year Target Maturity Index, and the ICE 10-Year Target Maturity 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 29, 2024, and the period covered by these Notes to Financial Statements is the fiscal period since the Funds’ inception from January 10, 2024 through February 29, 2024 (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” or “Directors”). Relying on prices supplied by pricing services or dealers or using fair valuation may result in values that are higher or lower than the values used by other investment companies and investors to price the same investments.
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” or “F/m”) 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 each 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.). |
49 |
F/m Corporate Bond ETFs
Notes to Financial Statements (continued)
FEBRUARY 29, 2024 (UNAUDITED)
● |
Level 3 – Prices are determined using significant unobservable inputs (including each 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 current fiscal period, in valuing each Fund’s investments carried at fair value:
F/M 2-YEAR INVESTMENT GRADE CORPORATE |
TOTAL |
LEVEL 1 |
LEVEL 2 |
LEVEL 3 |
||||||||||||
Corporate Bonds |
$ | 9,796,620 | $ | — | $ | 9,796,620 | $ | — | ||||||||
Short-Term Investments |
$ | 58,965 | $ | — | $ | 58,965 | $ | — | ||||||||
Total Investments* |
$ | 9,855,585 | $ | — | $ | 9,855,585 | $ | — |
F/M 3-YEAR INVESTMENT GRADE CORPORATE |
TOTAL |
LEVEL 1 |
LEVEL 2 |
LEVEL 3 |
||||||||||||
Corporate Bonds |
$ | 15,753,345 | $ | — | $ | 15,753,345 | $ | — | ||||||||
Short-Term Investments |
$ | 24,985 | $ | — | $ | 24,985 | $ | — | ||||||||
Total Investments* |
$ | 15,778,330 | $ | — | $ | 15,778,330 | $ | — |
F/M 10-YEAR INVESTMENT GRADE CORPORATE |
TOTAL |
LEVEL 1 |
LEVEL 2 |
LEVEL 3 |
||||||||||||
Corporate Bonds |
$ | 13,639,581 | $ | — | $ | 13,639,581 | $ | — | ||||||||
Total Investments* |
$ | 13,639,581 | $ | — | $ | 13,639,581 | $ | — |
* |
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 each 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 each Fund to present a reconciliation of the beginning to ending balances for reported market values that presents changes attributable to total realized and unrealized gains or losses, purchase and sales, and transfers in and out of Level 3 during the period. Transfers in and out between levels are based on values at the end of the period. A reconciliation of Level 3 investments is presented only if a Fund had an amount of Level 3 investments at the end of the reporting period that was meaningful in relation to its net assets. The amounts and reasons for Level 3 transfers in and out of each level is disclosed when a Fund had an amount of total Level 3 transfers during the reporting period that was meaningful in relation to its net assets as of the end of the reporting period.
50 |
F/m Corporate Bond ETFs
Notes to Financial Statements (continued)
FEBRUARY 29, 2024 (UNAUDITED)
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. 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 (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.
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.
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 each Fund’s 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
51 |
F/m Corporate Bond ETFs
Notes to Financial Statements (continued)
FEBRUARY 29, 2024 (UNAUDITED)
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, 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.
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.
52 |
F/m Corporate Bond ETFs
Notes to Financial Statements (continued)
FEBRUARY 29, 2024 (UNAUDITED)
CREDIT RISK - The value of your investment in each Fund may change in response to changes in the credit ratings of the Fund’s portfolio securities, including with respect to the underlying funds. Generally, investment risk and price volatility increase as a security’s credit rating declines. The financial condition of an issuer of a fixed income security held by each Fund may cause it to default or become unable to pay interest or principal due on the security.
144A SECURITIES RISK- Rule 144A securities are securities that are exempt from registration in compliance with the 1933 Act, and the rules thereunder, and may have legal restrictions on resale. Under Rule 144A under the 1933 Act these privately placed securities may be resold to qualified institutional buyers (“QIBs”), subject to certain conditions. An insufficient number of QIBs interested in purchasing Rule 144A securities at a particular time could adversely affect the marketability of the securities and a Fund might be unable to dispose of the securities promptly or at a reasonable price. Please refer to the Schedule of Investments for further details regarding each Fund’s investments in Rule 144A securities.
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 (the “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. 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.
During the current fiscal period, investment advisory fees accrued were as follows:
FUND |
ADVISORY FEES |
|||
F/m 2-Year Investment Grade Corporate Bond ETF |
$ | 1,659 | ||
F/m 3-Year Investment Grade Corporate Bond ETF |
3,013 | |||
F/m 10-Year Investment Grade Corporate Bond ETF |
2,427 |
53 |
F/m Corporate Bond ETFs
Notes to Financial Statements (continued)
FEBRUARY 29, 2024 (UNAUDITED)
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 each 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 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 each Fund’s shares pursuant to a Distribution Agreement with RBB.
Under each Fund’s 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 current fiscal 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 of investment securities (excluding in-kind transactions and short-term investments) of the Funds were as follows:
|
F/m 2-Year |
F/m 3-Year |
F/m 10-Year |
|||||||||
Purchases of investment securities |
$ | 4,320,007 | $ | 4,929,270 | $ | 7,396,577 | ||||||
Proceeds from sales of investment securities |
4,266,291 | 4,695,184 | 7,133,432 |
During the current fiscal period, aggregate purchases and sales of in-kind transactions (excluding short-term investments) of the Funds were as follows:
|
F/m 2-Year |
F/m 3-Year |
F/m 10-Year |
|||||||||
In-kind purchases of investment securities |
$ | 9,898,125 | $ | 15,782,824 | $ | 13,787,842 | ||||||
Proceeds from in-kind sales of investment securities |
— | — | — |
There were no purchases or sales of long-term U.S. Government securities during the current fiscal period.
54 |
F/m Corporate Bond ETFs
Notes to Financial Statements (continued)
FEBRUARY 29, 2024 (UNAUDITED)
5. FEDERAL INCOME TAX INFORMATION
The Funds are subject to examination by U.S. taxing authorities for the tax periods since the commencement of operations. The amount and character of tax basis distributions and composition of net assets, including distributable earnings (accumulated deficit) are finalized at fiscal year-end; accordingly, tax basis balances have not been determined for the current fiscal period. 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.
6. SHARE TRANSACTIONS
Shares of the Funds are listed and traded on the NYSE Arca, 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 $500, 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.
In October 2022, the SEC adopted a final rule relating to tailored shareholder reports for mutual funds and exchange-traded funds and fee information in investment company advertisements. Beginning in July 2024, the Funds will be required to transmit concise and visually engaging shareholder reports that highlight key information. The Funds will also be required to tag information in a structured data format and that certain more in-depth information be made available online and available for delivery free of charge to investors on request.
In December 2022, the FASB issued an Accounting Standards Update, ASU 2022-06, Reference Rate Reform (Topic 848) – Deferral of the Sunset Date of Topic 848 (“ASU 2022-06”). ASU 2022-06 is an amendment to ASU 2020-04, which provided optional guidance to ease the potential accounting burden due to the discontinuation of the London Inter-Bank Offered Rate and other interbank-offered based reference rates and which was effective as of March 12, 2020 through December 31, 2022. ASU 2022-06 extends the effective period through December 31, 2024. Management is currently evaluating the impact, if any, of applying ASU 2022-06.
55 |
F/m Corporate Bond ETFs
Notes to Financial Statements (Concluded)
FEBRUARY 29, 2024 (UNAUDITED)
8. SUBSEQUENT EVENTS
In preparing these financial statements, the Funds have evaluated events and transactions for potential recognition or disclosure through the date the financial statements were available to be issued.
Subsequent to the end of the current fiscal period, the Funds paid the following distributions:
Fund |
Record Date |
Ex-Date |
Pay Date |
Distribution |
F/m 2-Year Investment Grade Corporate Bond ETF |
3/4/2024 |
3/1/2024 |
3/5/2024 |
$0.26312100 |
F/m 3-Year Investment Grade Corporate Bond ETF |
3/4/2024 |
3/1/2024 |
3/5/2024 |
$0.29043828 |
F/m 10-Year Investment Grade Corporate Bond ETF |
3/4/2024 |
3/1/2024 |
3/5/2024 |
$0.28812289 |
Fund |
Record Date |
Ex-Date |
Pay Date |
Distribution |
F/m 2-Year Investment Grade Corporate Bond ETF |
4/2/2024 |
4/1/2024 |
4/3/2024 |
$0.19777240 |
F/m 3-Year Investment Grade Corporate Bond ETF |
4/2/2024 |
4/1/2024 |
4/3/2024 |
$0.19133641 |
F/m 10-Year Investment Grade Corporate Bond ETF |
4/2/2024 |
4/1/2024 |
4/3/2024 |
$0.19032931 |
56 |
F/m Corporate Bond 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 (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 filings 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 each Fund’s website at www.fminvest.com/etfs/us-credit-series.
APPROVAL OF NEW 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 a new investment advisory agreement (the “Advisory Agreement”) between F/m and the Company with respect to each Fund, at a meeting of the Board held on November 15-16, 2023 (the “Meeting”). At the Meeting, the Board, including all of the Independent Directors, approved the Advisory Agreement for an initial period ending August 16, 2025. The Board’s decision to approve the Advisory Agreement reflects the exercise of its business judgment. In approving the Advisory Agreement, the Board considered information provided by F/m, with the assistance and advice of counsel to the Independent Directors and the Company.
In considering the approval of the Advisory Agreement between the Company and F/m with respect to each Fund, the Directors took into account all 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 F/m and discussed the Advisory Agreement with counsel in executive sessions, at which no representatives of F/m were present. The Directors considered whether approval of the Advisory Agreement would be in the best interests of each Fund and its shareholders and the overall fairness of the Advisory Agreement. Among other things, the Directors considered (i) the nature, extent, and quality of services to be provided to the Funds by F/m; (ii) descriptions of the experience and qualifications of the personnel providing those services; (iii) F/m’s investment philosophy and process; (iv) F/m’s assets under management and client descriptions; (v) F/m’s soft dollar commission and trade allocation policies, including information on the types of research and services obtained in connection with soft dollar commissions; (vi) F/m’s advisory fee arrangements with the Company, Trust and other similarly managed clients, as applicable; (vii) F/m’s compliance procedures; (viii) F/m’s financial information and insurance coverage; (ix) F/m’s profitability analysis relating to its proposed provision of services to the Fund; and (x) the extent to which economies of scale are relevant to the Funds. The Directors noted that the Funds had not yet commenced operations and, consequently, there was no performance information to review with respect to the Funds.
As part of their review, the Directors considered the nature, extent and quality of the services to be provided by F/m. The Directors concluded that F/m had sufficient resources to provide services to the Funds.
The Board also took into consideration that the advisory fee for each Fund was a “unitary fee,” meaning the Funds would pay no expenses other than the advisory fee and certain other costs such as interest, brokerage and extraordinary expenses. The Board noted that F/m would be responsible for compensating the Funds’ other service providers and paying other expenses of the Funds out of F/m’s own fees and resources.
After reviewing the information regarding F/m’s estimated costs, profitability and economies of scale, and after considering the services to be provided by F/m, the Directors concluded that the investment advisory fees to be paid by the Funds to F/m were fair and reasonable and that the Advisory Agreement should be approved for an initial period ending August 16, 2025.
57 |
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
Principal Underwriter
Quasar Distributors, LLC
3 Canal Plaza, Suite 100
Portland, ME 04101
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
Legal Counsel
Faegre Drinker Biddle & Reath LLP
One Logan Square, Suite 2000
Philadelphia, Pennsylvania 19103-6996
58 |
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Oakhurst Mutual Funds
Semi-Annual Report
February 29, 2024
(Unaudited)
Oakhurst Fixed Income Fund
Oakhurst Short Duration Bond Fund
Oakhurst Short Duration High Yield Credit Fund
Each a series of The RBB Fund, Inc.
Table of Contents |
Performance Data |
1 |
Fund Expense Examples |
4 |
Portfolio Information |
6 |
Schedule of Investments |
9 |
Financial Statements |
25 |
Financial Highlights |
30 |
Notes to Financial Statements |
33 |
Other Information |
43 |
OAKHURST FIXED INCOME FUND
Performance Data
(Unaudited)
AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIODs ENDED February 29, 2024 |
|
||||
six Months† |
1 Year |
5 Year |
10 Year |
Since |
|
Oakhurst Fixed Income Fund - Institutional Shares(a) |
3.00% |
4.40% |
0.82% |
1.79% |
1.83% |
Bloomberg U.S. Aggregate Bond Index(b) |
2.35% |
3.33% |
0.56% |
1.43% |
1.26%(c) |
† |
Not annualized |
(a) |
The Fund commenced operations on October 31, 2012 as a separate series (the “Predecessor Fund”) of F/m Funds Trust. Effective as of the close of business on October 27, 2023, the Predecessor Fund was reorganized as a new series of The RBB Fund, Inc. (the “Reorganization”). The performance shown for periods prior to October 30, 2023 represents the performance of the Predecessor Fund. The returns shown do not reflect the deduction of taxes a shareholder would pay on Fund distributions or the redemption of Fund shares. |
(b) |
The Bloomberg U.S. Aggregate Bond Index covers the U.S. investment grade fixed rate bond market, with index components for U.S. government, agency and corporate securities. The Fund does not invest solely in securities included in the Bloomberg U.S. Aggregate Bond Index and may invest in other types of securities. |
(c) |
Benchmark performance is from inception date of the Fund only and is not the inception date of the benchmark itself. |
The performance of Oakhurst Fixed Income Fund (the “Fund”) quoted reflects fee waivers in effect and would have been less in their absence. F/m Investments, LLC d/b/a Oakhurst Capital Management, 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) to 0.58% of the Fund’s average daily net assets attributable to Institutional Class Shares through October 30, 2024, and to 0.60% of the Fund’s average daily net assets attributable to Institutional Class Shares through October 30, 2025. Without the contractual expense limitation arrangement, the gross expense ratio is 0.78% for the fiscal year ended August 31, 2023 for Institutional Class Shares as stated in the current prospectus. This contractual expense limitation arrangement is in effect until October 30, 2025 and may not be terminated without the approval of the Board of Directors (“Board”) of The RBB Fund, Inc. Please see the Financial Highlights for current figures.
Performance data quoted represents past performance; past performance does not guarantee future results. Must be preceded or accompanied by a prospectus. The performance data quoted reflects fee waivers in effect and would have been less in their absence. The investment returns 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 of the Fund may be lower or higher than the performance quoted. Performance data current to the most recent month end may be obtained by calling 1-800-292-6775.
1 |
OAKHURST SHORT DURATION BOND FUND
Performance Data
(Unaudited)
AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIODs ENDED February 29, 2024 |
|
||||
SIX Months† |
1 Year |
5 Year |
10 Year |
Since |
|
Oakhurst Short Duration Bond Fund - Institutional Class Shares(a) |
3.13% |
5.52% |
1.70% |
1.76% |
1.82% |
ICE BofA U.S. Corp./Govt. 1-3 Years Bond Index(b) |
2.69% |
4.63% |
1.43% |
1.26% |
1.23%(c) |
† |
Not annualized |
(a) |
The Fund commenced operations on April 26, 2013 as a separate series (the “Predecessor Fund”) of F/m Funds Trust. Effective as of the close of business on October 27, 2023, the Predecessor Fund was reorganized as a new series of The RBB Fund, Inc. (the “Reorganization”). The performance shown for periods prior to October 30, 2023 represents the performance of the Predecessor Fund. The returns shown do not reflect the deduction of taxes a shareholder would pay on Fund distributions or the redemption of Fund shares. |
(b) |
The ICE BofA U.S. Corp./Govt. 1-3 Years Bond Index covers the U.S. investment grade debt publicly issued in the U.S. domestic market, including U.S. Treasury, U.S. agency, foreign government, supranational and corporate securities, with a remaining term to final maturity less than 3 years. The Fund does not invest solely in securities included in the ICE BofA U.S. Corp./Govt. 1-3 Years Bond Index and may invest in other types of securities. |
(c) |
Benchmark performance is from inception date of the Fund only and is not the inception date of the benchmark itself. |
The performance of Oakhurst Short Duration Bond Fund (the “Fund”) quoted reflects fee waivers in effect and would have been less in their absence. F/m Investments, LLC d/b/a Oakhurst Capital Management, 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) to 0.60% of the Fund’s average daily net assets attributable to Institutional Class Shares. Without the contractual expense limitation arrangement, the gross expense ratio is 1.03% for the fiscal year ended August 31, 2023 for Institutional Class Shares as stated in the current prospectus. This contractual expense limitation arrangement is in effect until October 30, 2025 and may not be terminated without the approval of the Board of The RBB Fund, Inc. Please see the Financial Highlights for current figures.
Performance data quoted represents past performance; past performance does not guarantee future results. Must be preceded or accompanied by a prospectus. The performance data quoted reflects fee waivers in effect and would have been less in their absence. The investment returns 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 of the Fund may be lower or higher than the performance quoted. Performance data current to the most recent month end may be obtained by calling 1-800-292-6775.
2 |
OAKHURST SHORT DURATION HIGH YIELD CREDIT FUND
Performance Data
(Unaudited)
AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIODs ENDED February 29, 2024 |
||||
SIX Months† |
1 Year |
5 Year |
Since |
|
Oakhurst Short Duration High Yield Credit Fund - Institutional Class Shares(a) |
5.62% |
9.45% |
3.08% |
4.07% |
ICE BofA 1-5 Year U.S. Cash Pay High Yield Constrained Index(b) |
5.59% |
9.99% |
4.12% |
5.45%(c) |
† |
Not annualized |
(a) |
The Fund commenced operations on October 1, 2015 as a separate series (the “Predecessor Fund”) of F/m Funds Trust. Effective as of the close of business on October 27, 2023, the Predecessor Fund was reorganized as a new series of The RBB Fund, Inc. (the “Reorganization”). The performance shown for periods prior to October 30, 2023 represents the performance of the Predecessor Fund. The returns shown do not reflect the deduction of taxes a shareholder would pay on Fund distributions or the redemption of Fund shares. |
(b) |
The ICE BofA 1-5 Year U.S. Cash Pay High Yield Constrained Index covers the performance of U.S. dollar denominated below investment grade corporate debt, currently in a coupon paying period, with a remaining term to final maturity less than 5 years but caps issuer exposure at 2%. The Fund does not invest solely in securities included in the ICE BofA 1-5 Year U.S. Cash Pay High Yield Constrained Index and may invest in other types of securities. |
(c) |
Benchmark performance is from inception date of the Fund only and is not the inception date of the benchmark itself. |
The performance of Oakhurst Short Duration High Yield Credit Fund (the “Fund”) quoted reflects fee waivers in effect and would have been less in their absence. F/m Investments, LLC d/b/a Oakhurst Capital Management, 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) to 0.95% of the Fund’s average daily net assets attributable to Institutional Class Shares. Without the contractual expense limitation arrangement, the gross expense ratio is 1.22% for the fiscal year ended August 31, 2023 for Institutional Class Shares as stated in the current prospectus. This contractual expense limitation arrangement is in effect until October 30, 2025 and may not be terminated without the approval of the Board of The RBB Fund, Inc. Please see the Financial Highlights for current figures.
Performance data quoted represents past performance; past performance does not guarantee future results. Must be preceded or accompanied by a prospectus. The performance data quoted reflects fee waivers in effect and would have been less in their absence. The investment returns 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 of the Fund may be lower or higher than the performance quoted. Performance data current to the most recent month end may be obtained by calling 1-800-292-6775.
3 |
Oakhurst Mutual Funds
Fund Expense Examples
February 29, 2024 (Unaudited)
As a shareholder of the Fund, you incur ongoing costs, including management fees and other operating expenses. The following 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.
A mutual fund’s ongoing costs are expressed as a percentage of its average net assets. This figure is known as the expense ratio. The expenses in the table below are based on an investment of $1,000 made at the beginning of the six-month period from September 1, 2023 through February 29, 2024, and held for the entire period.
The table below illustrates the Fund’s ongoing costs in two ways:
Actual EXPENSES – This section helps you to estimate the actual expenses that you paid over the current fiscal period. The “Ending Account Value” shown is derived from the Fund’s actual return, and the fourth column shows the dollar amount of operating expenses that would have been paid by an investor who started with $1,000 in the Fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period.
To do so, 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 given for the Fund under the heading “Expenses Paid During Period.”
Hypothetical EXAMPLES FOR COMPARISON PURPOSES – This section is intended to help you compare each Fund’s ongoing costs with those of other mutual funds. It assumes that a Fund had an annual return of 5% before expenses during the period shown, but that the expense ratio is unchanged. In this case, because the return used is not the Fund’s actual return, the results do not apply to your investment. The example is useful in making comparisons because the U.S. Securities and Exchange Commission (the “SEC”) requires all mutual funds to calculate expenses based on a 5% return. You can assess a Fund’s ongoing costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds.
Note that expenses shown in the table are meant to highlight and help you compare ongoing costs only. The Funds do not charge transaction fees, such as purchase or redemption fees, nor do they carry a “sales load.” The calculations assume no shares were bought or sold during the period. Your actual costs may have been higher or lower, depending on the amount of your investment and the timing of any purchases or redemptions.
More information about each Fund’s expenses can be found in this report. For additional information on operating expenses and other shareholder costs, please refer to the Funds’ prospectus.
4 |
Oakhurst Mutual Funds
Fund Expense Example (Continued)
February 29, 2024 (Unaudited)
|
Beginning |
Ending |
Expenses |
ANNUALIZED |
Actual |
|||||||||||||||
OAKHURST FIXED INCOME FUND - Institutional Shares |
||||||||||||||||||||
Actual |
$ | 1,000.00 | $ | 1,030.00 | $ | 2.98 | 0.59 | % | 3.00 | % | ||||||||||
Hypothetical (5% return before expenses) |
$ | 1,000.00 | $ | 1,021.93 | $ | 2.97 | 0.59 | % | N/A | |||||||||||
OAKHURST SHORT DURATION BOND FUND - Institutional Shares |
||||||||||||||||||||
Actual |
$ | 1,000.00 | $ | 1,031.30 | $ | 3.03 | 0.60 | % | 3.13 | % | ||||||||||
Hypothetical (5% return before expenses) |
$ | 1,000.00 | $ | 1,021.88 | $ | 3.02 | 0.60 | % | N/A | |||||||||||
OAKHURST SHORT DURATION HIGH YIELD CREDIT FUND - Institutional Shares |
||||||||||||||||||||
Actual |
$ | 1,000.00 | $ | 1,056.20 | $ | 4.86 | 0.95 | % | 5.62 | % | ||||||||||
Hypothetical (5% return before expenses) |
$ | 1,000.00 | $ | 1,020.14 | $ | 4.77 | 0.95 | % | N/A |
* |
Expenses are equal to each Fund’s Institutional Class Shares annualized six-month expense ratio for the period September 1, 2023 through February 29, 2024, multiplied by the average account value over the period, multiplied by the number of days (182) in the most recent fiscal half-year, then divided by 366 to reflect the one-half year period. The Funds’ ending account values on the first line in the table are based on the actual six-month total investment return for each Fund. |
5 |
OAKHURST FIXED INCOME FUND
Portfolio Information
(Unaudited)
Sector Allocation (% of Net Assets)
Top 10 Long-Term Holdings
Security Description |
% of |
|
U.S. Treasury Notes, 3.875%, due 08/15/33 |
4.6% |
|
U.S. Treasury Bonds, 5.250%, due 02/15/29 |
4.3% |
|
U.S. Treasury Notes, 3.875%, due 02/15/33 |
4.0% |
|
U.S. Treasury Notes, 4.125%, due 11/15/32 |
3.8% |
|
U.S. Treasury Bonds, 3.000%, due 05/15/42 |
3.4% |
|
U.S. Treasury Notes, 2.750%, due 08/15/32 |
3.1% |
|
U.S. Treasury Bonds, 2.500%, due 02/15/45 |
2.8% |
|
Invesco Short-Term Investments Trust Treasury Portfolio |
2.7% |
|
Federal Farm Credit Bank, 1.150%, due 08/12/30 |
1.4% |
|
FHLMC SUPER 30Y FIXED 5.500%, due 07/01/53 |
1.3% |
6 |
OAKHURST SHORT DURATION BOND FUND
Portfolio Information
(Unaudited)
Sector Allocation (% of Net Assets)
Top 10 Long-Term Holdings
Security Description |
% of |
|
U.S. Treasury Notes, 4.625%, due 11/15/26 |
5.1% |
|
U.S. Treasury Notes, 4.000%, due 02/15/26 |
2.5% |
|
Structured Asset Mortgage Investments, Inc., Series 2004-AR3-I-A-1, 5.726%(a), due 07/19/34 |
2.4% |
|
JPMorgan Mortgage Trust, 144A, Series 2018-1-A-7, 3.500%(a), due 06/25/48 |
2.2% |
|
FHLMC, Series 4319-PM, 3.000%, due 03/15/43 |
2.0% |
|
Mortgage Investment Trust TR Series 2004-2 M-1, 6.260%, due 12/25/34 |
2.0% |
|
American Airlines, Inc., 144A, 4.000%, due 07/15/25 |
1.8% |
|
FHLMC, Series 4570-PA, 3.000%, due 03/15/43 |
1.7% |
|
FHLMC, Series 4938-PA, 2.250%, due 07/25/49 |
1.7% |
|
MASTR SEASONED SEC 2005-1, 5.822%, due 09/25/32 |
1.6% |
(a) |
Variable rate security. |
7 |
OAKHURST SHORT DURATION HIGH YIELD CREDIT FUND
Portfolio Information
(Unaudited)
Sector Allocation (% of Net Assets)
Top 10 Long-Term Holdings
Security Description |
% of |
|
Heartland Dental, LLC, 144A, 8.500%, due 05/01/26 |
2.2% |
|
White Cap Parent, LLC, 144A, 8.250%, due 03/15/26 |
2.0% |
|
Fly Leasing Ltd., 144A, 7.000%, due 10/15/24 |
2.0% |
|
Prime Healthcare Services Inc., 144A, 7.250%, due 11/01/25 |
2.0% |
|
Burford Capital Global Finance LLC, 144A, 6.250%, due 04/15/28 |
2.0% |
|
Howard Midstream Energy Partners, 144A, 6.750%, due 01/15/27 |
2.0% |
|
Brundrage-Bone Concrete Pumping, 6.000%, due 02/01/26 |
1.9% |
|
Stonex Group Inc., 8.625%, due 06/15/25 |
1.9% |
|
Carnival Corporation, 144A, 7.625%, due 03/01/26 |
1.9% |
|
Energizer Holdings Inc., 144A, 6.500%, due 12/31/27 |
1.9% |
8 |
OAKHURST FIXED INCOME FUND
Schedule of Investments
February 29, 2024 (UNAUDITED)
|
Par |
Value |
||||||
COLLATERALIZED MORTGAGE OBLIGATIONS — 27.1% |
||||||||
ABN Amro Mortgage Corp., Series 2003-12, Class 1A, 5.00%, 12/25/2033 |
89,946 | $ | 85,521 | |||||
Banc of America Mortgage Securities, Inc. |
||||||||
Series 2003-J, Class 2A1, 5.09%, 11/25/2033 (a) |
234,222 | 207,907 | ||||||
Series 2004-A, Class 3A1, 6.37%, 02/25/2034 (a) |
13,754 | 13,645 | ||||||
Bear Stearns Alt-A Trust, Series 2003-6, Class 2A1, 5.68%, 01/25/2034 (a) |
156,107 | 141,147 | ||||||
Countrywide Home Loan Mortgage Pass Through Trust, Series 2003-49, Class A9, 5.25%, 12/19/2033 (a) |
32,615 | 30,162 | ||||||
Credit Suisse Management LLC, Series 2002-AR31, Class 4A2, 6.25%, 11/25/2032 (a) |
36,296 | 35,330 | ||||||
Credit Suisse Mortgage Capital Certificates, Series 2013-IVR1, Class A2, 3.00%, 03/25/2043 (a)(b) |
330,642 | 291,159 | ||||||
Fannie Mae Whole Loan, Series 2004-W3, Class A7, 5.50%, 05/25/2034 |
389,375 | 391,236 | ||||||
Federal Home Loan Mortgage Corp. |
||||||||
Series 2569, Class LD, 5.50%, 02/15/2033 |
28,485 | 28,699 | ||||||
Series 3622, Class WA, 5.50%, 09/15/2039 |
145,170 | 146,438 | ||||||
Series 3793, Class UA, 4.00%, 06/15/2033 |
29,613 | 28,339 | ||||||
Series 3827, Class HA, 3.50%, 11/15/2025 |
33,020 | 32,469 | ||||||
Series 3940, Class PD, 2.50%, 02/15/2041 |
90,924 | 86,569 | ||||||
Series 4077, Class AP, 4.00%, 01/15/2042 |
33,417 | 31,984 | ||||||
Series 4183, Class PA, 3.50%, 01/15/2043 |
27,454 | 26,785 | ||||||
Series 4566, Class CA, 3.00%, 01/15/2043 |
25,764 | 25,564 | ||||||
Series 4753, Class JA, 3.00%, 12/15/2047 |
1,007,918 | 893,019 | ||||||
Series 4760, Class A, 3.00%, 02/15/2048 |
636,173 | 588,399 | ||||||
Series 4960, Class PD, 2.00%, 10/25/2049 |
701,674 | 573,400 | ||||||
Series 5145, Class AB, 1.50%, 09/25/2049 |
1,230,116 | 954,333 | ||||||
Series 5206, Class DV, 3.50%, 06/25/2033 |
1,026,448 | 950,693 | ||||||
Series 5227, Class JQ, 4.00%, 04/25/2047 |
1,043,887 | 990,833 | ||||||
Series 5231, Class LV, 4.50%, 05/25/2052 |
1,079,505 | 1,034,050 | ||||||
Series 5252, Class BA, 4.00%, 02/25/2050 |
1,100,898 | 1,052,876 | ||||||
Federal National Mortgage Association |
||||||||
Series 2005-80, Class BA, 5.00%, 04/25/2029 |
20,370 | 20,203 | ||||||
Series 2009-96, Class DB, 4.00%, 11/25/2029 |
61,093 | 59,751 | ||||||
Series 2013-13, Class MA, 4.00%, 01/25/2043 |
226,350 | 214,866 | ||||||
Series 2014-80, Class KA, 2.00%, 03/25/2044 |
257,976 | 189,067 | ||||||
Series 2016-24, Class HA, 3.00%, 04/25/2044 |
54,612 | 52,191 | ||||||
Series 2016-49, Class LA, 3.50%, 01/25/2043 |
113,073 | 109,482 | ||||||
Series 2016-89, Class CG, 3.00%, 04/25/2046 |
108,474 | 97,729 | ||||||
Series 2017-105, Class N, 3.00%, 01/25/2048 |
1,238,944 | 1,080,191 | ||||||
Series 2017-22, Class EC, 3.00%, 06/25/2044 |
115,380 | 111,949 | ||||||
Series 2018-45, Class AB, 3.00%, 06/25/2048 |
204,835 | 178,477 | ||||||
Series 2019-33, Class N, 3.00%, 03/25/2048 |
262,085 | 240,321 |
The accompanying notes are an integral part of these financial statements.
9 |
OAKHURST FIXED INCOME FUND
Schedule of Investments (Continued)
February 29, 2024 (UNAUDITED)
|
Par |
Value |
||||||
COLLATERALIZED MORTGAGE OBLIGATIONS — 27.1% (continued) |
||||||||
Series 2022-22, Class EV, 4.00%, 07/25/2033 |
736,145 | $ | 697,024 | |||||
Government National Mortgage Association |
||||||||
Series 2017-84, Class JD, 3.00%, 05/20/2047 |
36,187 | 31,738 | ||||||
Series 2018-6, Class JA, 2.75%, 01/20/2048 |
206,343 | 186,276 | ||||||
Series 2019-152, Class HA, 3.50%, 08/20/2049 |
142,215 | 134,351 | ||||||
Series 2019-61, Class KU, 3.50%, 05/20/2049 |
539,823 | 476,403 | ||||||
Series 2019-99, Class JC, 3.00%, 08/20/2049 |
72,143 | 63,941 | ||||||
Series 2020-122, Class DP, 2.50%, 07/20/2050 |
1,165,275 | 979,239 | ||||||
Series 2020-123, Class PB, 2.25%, 08/20/2050 |
573,581 | 460,063 | ||||||
Series 2020-133, Class A, 6.39%, 05/20/2050 (a) |
237,853 | 240,639 | ||||||
Series 2020-133, Class HA, 3.50%, 09/20/2050 |
269,752 | 240,619 | ||||||
Series 2020-134, Class NP, 2.50%, 09/20/2050 |
896,238 | 733,613 | ||||||
Series 2020-183, Class AY, 2.00%, 11/20/2050 |
886,671 | 702,818 | ||||||
Series 2020-5, Class NA, 3.50%, 12/20/2049 |
216,153 | 196,388 | ||||||
Series 2020-78, Class CB, 5.00%, 09/20/2034 |
187,935 | 183,376 | ||||||
Series 2020-84, Class WA, 3.50%, 06/20/2050 |
161,989 | 144,787 | ||||||
Series 2020-95, Class NB, 4.50%, 07/20/2050 |
24,716 | 23,007 | ||||||
Series 2022-20, Class KA, 2.50%, 01/20/2052 |
1,087,685 | 946,379 | ||||||
Series 2022-24, Class BC, 4.00%, 02/20/2052 |
677,785 | 629,590 | ||||||
Series 2022-78, Class LA, 4.50%, 07/20/2050 |
919,607 | 895,848 | ||||||
GS Mortgage-Backed Securities Trust, Series 2021-PJ1, Class A4, 2.50%, 06/25/2051 (a)(b) |
605,606 | 476,808 | ||||||
Harborview Mortgage Loan Trust |
||||||||
Series 2003-1, Class A, 5.62%, 05/19/2033 (a) |
40,607 | 35,974 | ||||||
Series 2004-4, Class 2A, 5.99% (1 mo. Term SOFR + 0.67%), 06/19/2034 (a) |
52,053 | 45,817 | ||||||
Impac CMB Trust, Series 2005-4, Class 2A1, 6.04% (1 mo. Term SOFR + 0.41%), 05/25/2035 (a) |
278,661 | 257,476 | ||||||
Impac Funding Corp., Series 2003-3, Class A1, 5.20%, 08/25/2033 (a) |
21,039 | 20,144 | ||||||
Impac Secured Assets CMN Owner Trust, Series 2006-1, Class 2A1, 6.14% (1 mo. Term SOFR + 0.81%), 05/25/2036 (a) |
81,461 | 71,947 | ||||||
JP Morgan Mortgage Trust |
||||||||
Series 2003-A1, Class 1A1, 4.69%, 10/25/2033 (a) |
61,446 | 55,804 | ||||||
Series 2004-A1, Class 4A1, 5.71%, 02/25/2034 (a) |
51,593 | 50,454 | ||||||
Series 2004-A3, Class SF3, 5.24%, 06/25/2034 (a) |
52,672 | 48,897 | ||||||
Series 2004-A4, Class 2A2, 5.30%, 09/25/2034 (a) |
578,954 | 514,522 | ||||||
Series 2004-A5, Class 2A1, 5.87%, 12/25/2034 (a) |
23,944 | 23,808 | ||||||
Series 2013-3, Class A3, 3.36%, 07/25/2043 (a)(b) |
53,376 | 48,448 | ||||||
Series 2017-2, Class A3, 3.50%, 05/25/2047 (a)(b) |
109,856 | 96,823 | ||||||
Series 2018-1, Class A7, 3.50%, 06/25/2048 (a)(b) |
389,864 | 344,104 | ||||||
Mastr Adjustable Rate Mortgages Trust, Series 2003-3, Class 2A1, 5.82%, 09/25/2033 (a) |
48,049 | 43,885 | ||||||
MASTR Asset Securitization Trust, Series 2004-1, Class 3A7, 5.25%, 01/25/2034 |
37,407 | 35,308 |
The accompanying notes are an integral part of these financial statements.
10 |
OAKHURST FIXED INCOME FUND
Schedule of Investments (Continued)
February 29, 2024 (UNAUDITED)
|
Par |
Value |
||||||
COLLATERALIZED MORTGAGE OBLIGATIONS — 27.1% (continued) |
||||||||
Merrill Lynch Mortgage Investors, Inc. |
||||||||
Series 2004-A3, Class 1A, 4.26%, 05/25/2034 (a) |
110,432 | $ | 97,012 | |||||
Series 2005-A1, Class 1A, 5.83%, 12/25/2034 (a) |
221,963 | 210,929 | ||||||
MortgageIT Trust, Series 2004-1, Class A2, 6.34% (1 mo. Term SOFR + 1.01%), 11/25/2034 (a) |
695,496 | 651,301 | ||||||
Nationstar Mortgage Loan Trust, Series 2013-A, Class A, 3.75%, 12/25/2052 (a)(b) |
33,155 | 30,551 | ||||||
New Residential Mortgage Loan Trust, Series 2017-3A, Class A1, 4.00%, 04/25/2057 (a)(b) |
190,317 | 180,026 | ||||||
RCKT Mortgage Trust, Series 2022-1, Class A5, 2.50%, 01/25/2052 (a)(b) |
1,355,628 | 1,171,813 | ||||||
Rithm Capital Corp., Series 2015-2A, Class A2, 3.75%, 08/25/2055 (a)(b) |
170,430 | 158,600 | ||||||
Sequoia Mortgage Trust |
||||||||
Series 2003-8, Class A1, 6.07% (1 mo. Term SOFR + 0.75%), 01/20/2034 (a) |
166,804 | 155,521 | ||||||
Series 2004-6, Class A2, 5.99% (1 mo. Term SOFR + 0.67%), 07/20/2034 (a) |
71,375 | 62,737 | ||||||
Series 2013-5, Class A1, 2.50%, 05/25/2043 (a)(b) |
158,590 | 134,474 | ||||||
Series 2013-6, Class A2, 3.00%, 05/25/2043 (a) |
191,234 | 166,995 | ||||||
Series 2018-5, Class A7, 3.50%, 05/25/2048 (a)(b) |
720,067 | 636,825 | ||||||
Series 2019-2, Class A1, 4.00%, 06/25/2049 (a)(b) |
538,511 | 493,680 | ||||||
Series 2019-4, Class A1, 3.50%, 11/25/2049 (a)(b) |
529,774 | 465,972 | ||||||
Series 2020-4, Class A2, 2.50%, 11/25/2050 (a)(b) |
546,966 | 442,585 | ||||||
Structured Adjustable Rate Mortgage Loan Trust, Series 2004-1, Class 4A4, 6.91%, 02/25/2034 (a) |
61,267 | 57,348 | ||||||
Structured Asset Mortgage Investments, Inc. |
||||||||
Series 2003-AR4, Class A1, 6.13% (1 mo. Term SOFR + 0.81%), 01/19/2034 (a) |
25,956 | 24,248 | ||||||
Series 2004-AR4, Class 1A1, 6.13% (1 mo. Term SOFR + 0.81%), 12/19/2034 (a) |
34,573 | 31,953 | ||||||
Series 2004-AR6, Class A1A, 6.13% (1 mo. Term SOFR + 0.81%), 02/19/2035 (a) |
928,276 | 840,996 | ||||||
Structured Asset Securities Corp. |
||||||||
Series 2003-34A, Class 5A4, 6.59%, 11/25/2033 (a) |
90,349 | 85,525 | ||||||
Series 2003-9A, Class 2A1, 6.78%, 03/25/2033 (a) |
62,899 | 59,923 | ||||||
Terwin Mortgage Trust, Series 2004-1HE, Class M1, 6.56% (1 mo. Term SOFR + 1.24%), 02/25/2034 (a)(b) |
301,936 | 284,235 | ||||||
WaMu Mortgage Pass Through Certificates |
||||||||
Series 2002-AR2, Class A, 4.38% (Enterprise 11th District COFI Replacement Index + 1.25%), 02/27/2034 (a) |
85,002 | 79,299 | ||||||
Series 2003-AR7, Class A7, 5.58%, 08/25/2033 (a) |
381,545 | 350,248 | ||||||
Series 2003-AR8, Class A, 5.55%, 08/25/2033 (a) |
143,062 | 136,562 | ||||||
Series 2005-AR13, Class A1A3, 7.00% (1 mo. Term SOFR + 1.67%), 10/25/2045 (a) |
127,609 | 122,958 | ||||||
Series 2005-AR2, Class 1A1A, 6.10% (1 mo. Term SOFR + 0.77%), 01/25/2045 (a) |
887,251 | 863,910 | ||||||
Wells Fargo Alternative Loan Trust, Series 2002-1, Class 1A1, 6.25%, 08/25/2032 |
190,072 | 182,906 | ||||||
Wells Fargo Mortgage Backed Securities Trust, Series 2021-RR1, Class A3, 2.50%, 12/25/2050 (a)(b) |
1,035,529 | 912,331 | ||||||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost $33,356,348) |
30,222,565 |
The accompanying notes are an integral part of these financial statements.
11 |
OAKHURST FIXED INCOME FUND
Schedule of Investments (Continued)
February 29, 2024 (UNAUDITED)
|
Par |
Value |
||||||
CORPORATE BONDS — 26.6% |
||||||||
Communications — 2.3% |
||||||||
BellSouth LLC, 6.88%, 10/15/2031 |
895,000 | $ | 947,310 | |||||
Discovery Communications LLC, 5.00%, 09/20/2037 |
1,025,000 | 878,826 | ||||||
Paramount Global, 7.88%, 07/30/2030 |
765,000 | 781,114 | ||||||
2,607,250 | ||||||||
Consumer Discretionary — 2.2% |
||||||||
Fortune Brands Innovations, Inc., 5.88%, 06/01/2033 |
900,000 | 913,960 | ||||||
Genting New York LLC / GENNY Capital, Inc., 3.30%, 02/15/2026 (b) |
825,000 | 769,680 | ||||||
United Airlines 2020-1 Class A Pass Through Trust, Series 2020-1, 5.88%, 10/15/2027 |
781,657 | 789,750 | ||||||
2,473,390 | ||||||||
Energy — 2.2% |
||||||||
Enbridge, Inc., 5.70%, 03/08/2033 |
904,000 | 914,515 | ||||||
Gray Oak Pipeline LLC, 3.45%, 10/15/2027 (b) |
613,000 | 571,150 | ||||||
Phillips 66 Partners LP |
||||||||
3.55%, 10/01/2026 |
565,000 | 528,418 | ||||||
3.75%, 03/01/2028 |
515,000 | 451,403 | ||||||
2,465,486 | ||||||||
Financials — 11.2% |
||||||||
AerCap Ireland Capital DAC / AerCap Global Aviation Trust, 3.30%, 01/30/2032 |
1,075,000 | 909,232 | ||||||
American Homes 4 Rent LP, 2.38%, 07/15/2031 |
928,000 | 747,868 | ||||||
Antares Holdings LP, 7.95%, 08/11/2028 (b) |
800,000 | 827,311 | ||||||
Aviation Capital Group LLC, 6.38%, 07/15/2030 (b) |
900,000 | 917,953 | ||||||
Bank of America Corp., 5.29% to 04/25/2033 then SOFR + 1.91%, 04/25/2034 |
905,000 | 892,102 | ||||||
Blackstone Private Credit Fund, 3.25%, 03/15/2027 |
975,000 | 892,166 | ||||||
Blue Owl Capital Corp., 2.63%, 01/15/2027 |
997,000 | 904,254 | ||||||
Bridge Housing Corp., 3.25%, 07/15/2030 |
1,002,000 | 859,683 | ||||||
Crown Castle, Inc., 5.10%, 05/01/2033 |
919,000 | 888,460 | ||||||
Fairfax Financial Holdings Ltd., 5.63%, 08/16/2032 |
904,000 | 890,347 | ||||||
First American Financial Corp., 4.00%, 05/15/2030 |
1,017,000 | 903,935 | ||||||
First-Citizens Bank & Trust Co., 2.97% to 09/27/2024 then 3 mo. Term SOFR + 1.72%, 09/27/2025 |
460,000 | 451,042 | ||||||
FS KKR Capital Corp., 3.40%, 01/15/2026 |
933,000 | 882,623 | ||||||
Icahn Enterprises LP / Icahn Enterprises Finance Corp., 4.38%, 02/01/2029 |
750,000 | 631,961 | ||||||
Jackson Financial, Inc., 3.13%, 11/23/2031 |
1,100,000 | 909,897 | ||||||
12,508,834 |
The accompanying notes are an integral part of these financial statements.
12 |
OAKHURST FIXED INCOME FUND
Schedule of Investments (Continued)
February 29, 2024 (UNAUDITED)
|
Par |
Value |
||||||
CORPORATE BONDS — 26.6% (continued) |
||||||||
Health Care — 1.4% |
||||||||
Bristol-Myers Squibb Co., 5.88%, 11/15/2036 |
485,000 | $ | 511,740 | |||||
CVS Pass-Through Trust, 6.94%, 01/10/2030 |
300,604 | 306,489 | ||||||
CVS Pass-Through Trust Series 2013, Series 2013, 4.70%, 01/10/2036 (b) |
199,601 | 182,184 | ||||||
CVS Pass-Through Trust Series 2014, 4.16%, 08/11/2036 (b) |
643,054 | 562,075 | ||||||
1,562,488 | ||||||||
Industrials — 1.3% |
||||||||
GE Capital Funding LLC, 4.40%, 05/15/2030 |
580,000 | 539,376 | ||||||
MasTec, Inc., 4.50%, 08/15/2028 (b) |
975,000 | 914,458 | ||||||
1,453,834 | ||||||||
Technology — 3.2% |
||||||||
Hewlett Packard Enterprise Co., 6.20%, 10/15/2035 |
857,000 | 895,397 | ||||||
Leidos, Inc., 5.50%, 07/01/2033 |
950,000 | 919,225 | ||||||
NXP BV / NXP Funding LLC / NXP USA, Inc., 2.50%, 05/11/2031 |
1,067,000 | 882,913 | ||||||
TD SYNNEX Corp., 2.38%, 08/09/2028 |
1,019,000 | 887,839 | ||||||
3,585,374 | ||||||||
Utilities — 2.8% |
||||||||
Berkshire Hathaway Energy Co., 6.50%, 09/15/2037 |
800,000 | 869,116 | ||||||
Elwood Energy LLC, 8.16%, 07/05/2026 |
231,677 | 193,161 | ||||||
National Rural Utilities Cooperative Finance Corp., 8.00%, 03/01/2032 |
755,000 | 878,623 | ||||||
NSG Holdings LLC / NSG Holdings, Inc., 7.75%, 12/15/2025 (b) |
220,315 | 219,850 | ||||||
Potomac Electric Power Co., 7.90%, 12/15/2038 |
780,000 | 986,670 | ||||||
3,147,420 | ||||||||
TOTAL CORPORATE BONDS (Cost $31,557,014) |
29,804,076 | |||||||
U.S. TREASURY OBLIGATIONS — 26.1% |
||||||||
United States Treasury Note/Bond |
||||||||
5.25%, 02/15/2029 |
4,600,000 | 4,803,945 | ||||||
2.75%, 08/15/2032 |
3,835,000 | 3,421,988 | ||||||
4.13%, 11/15/2032 |
4,330,000 | 4,282,218 | ||||||
3.50%, 02/15/2033 |
4,800,000 | 4,525,781 | ||||||
3.88%, 08/15/2033 |
5,348,000 | 5,185,472 | ||||||
3.00%, 05/15/2042 |
4,699,000 | 3,808,209 | ||||||
2.50%, 02/15/2045 |
4,323,000 | 3,132,655 | ||||||
TOTAL U.S. TREASURY OBLIGATIONS (Cost $31,699,244) |
29,160,268 | |||||||
The accompanying notes are an integral part of these financial statements.
13 |
OAKHURST FIXED INCOME FUND
Schedule of Investments (Continued)
February 29, 2024 (UNAUDITED)
|
Par |
Value |
||||||
ASSET-BACKED SECURITIES — 7.7% |
||||||||
Air Canada, Series 2017-1, 3.55%, 01/15/2030 (b) |
898,000 | $ | 790,852 | |||||
Alaska Airlines, Inc., Series A, 4.80%, 08/15/2027 (b) |
1,012,269 | 984,360 | ||||||
American Airlines Group, Inc., Series AA, 3.15%, 02/15/2032 |
1,000,672 | 889,121 | ||||||
Countrywide Asset-Backed Certificates, Series 2004-6, Class 2A3, 6.64% (1 mo. Term SOFR + 1.31%), 11/25/2034 (a) |
148,892 | 145,061 | ||||||
DB Master Finance Parent LLC, Series 2021-1A, Class A2II, 2.49%, 11/20/2051 (b) |
1,058,633 | 934,253 | ||||||
Flagship Credit Auto Trust, Series 2020-4, Class D, 2.18%, 02/16/2027 (b) |
735,000 | 698,376 | ||||||
GLS Auto Receivables Trust, Series 2020-1A, Class C, 2.72%, 11/17/2025 (b) |
90,199 | 90,075 | ||||||
Impac CMB Trust, Series 2007-A, Class M1, 6.24% (1 mo. Term SOFR + 0.91%), 05/25/2037 (a)(b) |
248,525 | 232,089 | ||||||
Jack in the Box, Inc., Series 2022-1A, Class A2I, 3.45%, 02/26/2052 (b) |
854,400 | 792,006 | ||||||
Long Beach Mortgage Loan Trust, Series 2004-4, Class 1A1, 6.00% (1 mo. Term SOFR + 0.67%), 10/25/2034 (a) |
726,683 | 694,308 | ||||||
SBA Depositor LLC |
||||||||
Series 2020-1-2, 1.88%, 01/15/2026 (b) |
1,050,000 | 979,055 | ||||||
Series 2020-1-2, 2.33%, 01/15/2028 (b) |
10,000 | 8,773 | ||||||
Verizon Master Trust, Series 2023-6, Class A, 5.35%, 09/22/2031 (b) |
750,000 | 763,849 | ||||||
World Omni Select Auto Trust, Series 2021-A, Class C, 1.09%, 11/15/2027 |
695,000 | 649,713 | ||||||
TOTAL ASSET-BACKED SECURITIES (Cost $8,859,475) |
8,651,891 | |||||||
MORTGAGE-BACKED SECURITIES — 5.9% |
||||||||
Federal Home Loan Mortgage Corp. |
||||||||
Pool C91859, 3.50%, 12/01/2035 |
204,838 | 194,096 | ||||||
Pool SB8257, 5.50%, 09/01/2038 |
1,032,958 | 1,036,363 | ||||||
Pool SD3386, 5.50%, 07/01/2053 |
1,464,709 | 1,448,899 | ||||||
Federal National Mortgage Association |
||||||||
Pool FM5329, 2.00%, 01/01/2031 |
472,779 | 438,773 | ||||||
Pool FS0862, 2.50%, 12/01/2036 |
869,432 | 797,104 | ||||||
Pool FS4239, 5.00%, 03/01/2053 |
1,297,418 | 1,258,884 | ||||||
Pool FS4522, 5.00%, 05/01/2053 |
996,017 | 966,808 | ||||||
Pool FS5649, 5.50%, 08/01/2053 |
390,127 | 385,974 | ||||||
Pool MA0584, 4.50%, 10/01/2040 |
9,014 | 8,494 | ||||||
Pool MA1201, 3.50%, 10/01/2032 |
83,214 | 79,416 | ||||||
TOTAL MORTGAGE-BACKED SECURITIES (Cost $6,722,461) |
6,614,811 | |||||||
The accompanying notes are an integral part of these financial statements.
14 |
OAKHURST FIXED INCOME FUND
Schedule of Investments (CONCLUDED)
February 29, 2024 (UNAUDITED)
|
Par |
Value |
||||||
U.S. GOVERNMENT AGENCY ISSUES — 3.0% |
||||||||
United States of America |
||||||||
1.15%, 08/12/2030 |
2,000,000 | $ | 1,616,582 | |||||
4.65%, 06/15/2035 |
1,100,000 | 1,098,644 | ||||||
2.40%, 03/24/2036 |
900,000 | 690,574 | ||||||
TOTAL U.S. GOVERNMENT AGENCY ISSUES (Cost $3,882,870) |
3,405,800 | |||||||
CONVERTIBLE BONDS — 0.8% |
||||||||
Financials — 0.8% |
||||||||
PennyMac Corp., 5.50%, 11/01/2024 |
900,000 | 889,875 | ||||||
TOTAL CONVERTIBLE BONDS (Cost $905,410) |
889,875 | |||||||
|
Shares |
Value |
||||||
SHORT-TERM INVESTMENTS — 2.8% |
||||||||
Money Market Funds — 2.8% |
||||||||
Invesco Treasury Portfolio - Class Institutional, 5.24%(c) |
3,173,422 | $ | 3,173,422 | |||||
TOTAL SHORT-TERM INVESTMENTS (Cost $3,173,422) |
3,173,422 | |||||||
TOTAL INVESTMENTS — 100.0% (Cost $120,156,244) |
$ | 111,922,708 | ||||||
Liabilities in Excess of Other Assets — 0.0%(d) |
(2,935 | ) | ||||||
TOTAL NET ASSETS — 100.0% |
$ | 111,919,773 |
Percentages are stated as a percent of net assets.
SOFR - Secured Overnight Financing Rate
(a) |
Coupon rate is variable based on the weighted average coupon of the underlying collateral. To the extent the weighted average coupon of the underlying assets which comprise the collateral increases or decreases, the coupon rate of this security will increase or decrease correspondingly. The rate disclosed is as of February 29, 2024. |
(b) |
Security is exempt from registration pursuant to Rule 144A under the Securities Act of 1933, as amended. These securities may only be resold in transactions exempt from registration to qualified institutional investors. As of February 29, 2024, the value of these securities total $17,406,783 or 15.6% of the Fund’s net assets. |
(c) |
The rate shown represents the 7-day effective yield as of February 29, 2024. |
(d) |
Represents less than 0.05% of net assets. |
The accompanying notes are an integral part of these financial statements.
15 |
OAKHURST SHORT DURATION BOND FUND
Schedule of Investments
February 29, 2024 (UNAUDITED)
|
Par |
Value |
||||||
COLLATERALIZED MORTGAGE OBLIGATIONS — 43.3% |
||||||||
American Home Mortgage Investment Trust, Series 2004-3, Class 4A, 4.48% (6 mo. Term SOFR + 1.93%), 10/25/2034 (a) |
83,654 | $ | 83,103 | |||||
Citigroup Financial Products, Inc., Series 2005-6, Class A1, 7.56% (1 Year CMT Rate + 2.10%), 09/25/2035 (a) |
81,807 | 80,459 | ||||||
Credit Suisse Management LLC, Series 2004-6, Class 2A1, 4.75%, 09/25/2019 |
12,056 | 2 | ||||||
Federal Home Loan Mortgage Corp. |
||||||||
Series 2580, Class PY, 4.00%, 03/15/2033 |
9,379 | 8,840 | ||||||
Series 3597, Class LH, 4.50%, 07/15/2039 |
113,029 | 110,379 | ||||||
Series 3664, Class DA, 4.00%, 11/15/2037 |
272,937 | 266,556 | ||||||
Series 4312, Class GA, 2.50%, 12/15/2041 |
46,135 | 43,913 | ||||||
Series 4319, Class PM, 3.00%, 03/15/2043 |
416,924 | 399,740 | ||||||
Series 4570, Class PA, 3.00%, 03/15/2044 |
360,757 | 339,379 | ||||||
Series 4768, Class E, 3.50%, 09/15/2042 |
194,895 | 191,524 | ||||||
Series 4938, Class BL, 2.25%, 07/25/2049 |
394,564 | 336,128 | ||||||
Series 4960, Class PD, 2.00%, 10/25/2049 |
233,891 | 191,133 | ||||||
Federal National Mortgage Association |
||||||||
Series 2005-109, Class PC, 6.00%, 12/25/2035 |
33,106 | 33,112 | ||||||
Series 2005-80, Class BA, 5.00%, 04/25/2029 |
71,296 | 70,711 | ||||||
Series 2008-17, Class PA, 4.50%, 10/25/2037 |
83,451 | 81,737 | ||||||
Series 2008-49, Class PA, 5.00%, 04/25/2038 |
76,043 | 73,420 | ||||||
Series 2009-94, Class DA, 4.50%, 10/25/2039 |
161,297 | 158,453 | ||||||
Series 2010-112, Class CY, 4.00%, 10/25/2025 |
16,924 | 16,780 | ||||||
Series 2012-136, Class PD, 2.50%, 11/25/2042 |
197,636 | 187,434 | ||||||
Series 2012-41, Class BA, 2.50%, 04/25/2027 |
199,308 | 191,815 | ||||||
Series 2013-82, Class BP, 2.75%, 12/25/2042 |
300,700 | 276,627 | ||||||
Series 2014-80, Class KA, 2.00%, 03/25/2044 |
79,992 | 58,626 | ||||||
Series 2016-72, Class AP, 3.00%, 07/25/2044 |
82,442 | 77,265 | ||||||
Series 2018-14, Class PA, 3.50%, 04/25/2047 |
324,958 | 305,333 | ||||||
Government National Mortgage Association |
||||||||
Series 2011-26, Class PA, 4.00%, 07/20/2040 |
8,170 | 8,131 | ||||||
Series 2018-131, Class PG, 3.00%, 09/20/2048 |
85,167 | 75,841 | ||||||
Series 2019-152, Class HA, 3.50%, 08/20/2049 |
140,615 | 132,839 | ||||||
Series 2019-24, Class PE, 3.25%, 02/20/2049 |
187,790 | 170,752 | ||||||
Series 2019-65, Class EB, 3.00%, 05/20/2049 |
168,531 | 145,721 | ||||||
Series 2020-95, Class NB, 4.50%, 07/20/2050 |
69,296 | 64,505 | ||||||
GSR Mortgage Loan Trust |
||||||||
Series 2003-13, Class 1A1, 5.61%, 10/25/2033 (a) |
72,693 | 70,466 | ||||||
Series 2003-7F, Class 1A4, 5.25%, 06/25/2033 |
149,770 | 146,987 |
The accompanying notes are an integral part of these financial statements.
16 |
OAKHURST SHORT DURATION BOND FUND
Schedule of Investments (Continued)
February 29, 2024 (UNAUDITED)
|
Par |
Value |
||||||
COLLATERALIZED MORTGAGE OBLIGATIONS — 43.3% (continued) |
||||||||
Series 2004-10F, Class 7A1, 5.50%, 09/25/2034 |
17,083 | $ | 16,380 | |||||
Series 2005-5F, Class 8A2, 5.50% (1 mo. Term SOFR + 0.61%), 06/25/2035 (a) |
40,429 | 37,974 | ||||||
Series 2005-AR6, Class 1A1, 5.98%, 09/25/2035 (a) |
6,165 | 6,068 | ||||||
Impac CMB Trust, Series 2005-4, Class 2A1, 6.04% (1 mo. Term SOFR + 0.41%), 05/25/2035 (a) |
166,863 | 154,177 | ||||||
JP Morgan Mortgage Trust |
||||||||
Series 2018-1, Class A7, 3.50%, 06/25/2048 (a)(b) |
493,828 | 435,865 | ||||||
Series 2018-8, Class A3, 4.00%, 01/25/2049 (a)(b) |
88,106 | 80,420 | ||||||
Mastr Adjustable Rate Mortgages Trust |
||||||||
Series 2004-13, Class 2A1, 5.95%, 04/21/2034 (a) |
86,215 | 81,421 | ||||||
Series 2004-6, Class 4A6, 5.59%, 07/25/2034 (a) |
142,570 | 141,507 | ||||||
MASTR Alternative Loans Trust, Series 2003-1, Class 2A1, 6.50%, 01/25/2033 |
224,401 | 222,453 | ||||||
MASTR Asset Securitization Trust, Series 2003-11, Class 7A5, 5.25%, 12/25/2033 |
181,182 | 173,991 | ||||||
Mastr Seasoned Securities Trust, Series 2005-1, Class 1A1, 5.82%, 09/25/2032 (a) |
331,228 | 322,942 | ||||||
MortgageIT Trust |
||||||||
Series 2004-2, Class M1, 6.26% (1 mo. Term SOFR + 0.94%), 12/25/2034 (a) |
421,182 | 396,125 | ||||||
Series 2005-5, Class A1, 5.96% (1 mo. Term SOFR + 0.63%), 12/25/2035 (a) |
321,063 | 309,075 | ||||||
Nationstar Mortgage Loan Trust, Series 2013-A, Class A, 3.75%, 12/25/2052 (a)(b) |
215,506 | 198,581 | ||||||
Structured Adjustable Rate Mortgage Loan Trust, Series 2004-12, Class 3A3, 5.95%, 09/25/2034 (a) |
17,673 | 17,020 | ||||||
Structured Asset Mortgage Investments, Inc. |
||||||||
Series 2004-AR3, Class 1A1, 6.03% (1 mo. Term SOFR + 0.71%), 07/19/2034 (a) |
529,724 | 473,966 | ||||||
Series 2004-AR6, Class A1A, 6.13% (1 mo. Term SOFR + 0.81%), 02/19/2035 (a) |
319,331 | 289,306 | ||||||
Structured Asset Securities Corp., Series 2003-34A, Class 3A4, 5.72%, 11/25/2033 (a) |
42,293 | 41,406 | ||||||
Thornburg Mortgage Securities Trust, Series 2003-4, Class A1, 6.08% (1 mo. Term SOFR + 0.75%), 09/25/2043 (a) |
342,692 | 319,273 | ||||||
WaMu Mortgage Pass Through Certificates |
||||||||
Series 2002-AR2, Class A, 4.38% (Enterprise 11th District COFI Replacement Index + 1.25%), 02/27/2034 (a) |
15,455 | 14,418 | ||||||
Series 2003-AR7, Class A7, 5.58%, 08/25/2033 (a) |
89,982 | 82,601 | ||||||
Series 2003-AR8, Class A, 5.55%, 08/25/2033 (a) |
62,905 | 60,047 | ||||||
Wells Fargo Mortgage Backed Securities Trust |
||||||||
Series 2004-K, Class 2A6, 5.74%, 07/25/2034 (a) |
210,949 | 211,399 | ||||||
Series 2004-K, Class 2A12, 5.74%, 07/25/2034 (a) |
8,754 | 8,772 | ||||||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost $9,192,564) |
8,492,898 |
The accompanying notes are an integral part of these financial statements.
17 |
OAKHURST SHORT DURATION BOND FUND
Schedule of Investments (Continued)
February 29, 2024 (UNAUDITED)
|
Par |
Value |
||||||
CORPORATE BONDS — 32.8% |
||||||||
Communications — 2.2% |
||||||||
Discovery Communications LLC, 3.45%, 03/15/2025 |
250,000 | $ | 244,134 | |||||
TFCF America, Inc., 3.70%, 09/15/2024 |
200,000 | 196,599 | ||||||
440,733 | ||||||||
Consumer Discretionary — 4.0% |
||||||||
Macmillan Bloedel Pembroke LP, 7.70%, 02/15/2026 |
250,000 | 260,219 | ||||||
Southwest Airlines Co., 5.25%, 05/04/2025 |
285,000 | 284,239 | ||||||
United Airlines 2020-1 Class B Pass Through Trust, Series B, 4.88%, 01/15/2026 |
233,520 | 230,261 | ||||||
774,719 | ||||||||
Energy — 2.9% |
||||||||
El Paso Natural Gas Co. LLC, 7.50%, 11/15/2026 |
269,000 | 284,023 | ||||||
Phillips 66 Partners LP, 3.61%, 02/15/2025 |
293,000 | 285,423 | ||||||
569,446 | ||||||||
Financials — 14.6% |
||||||||
Ally Financial, Inc., 5.80%, 05/01/2025 |
285,000 | 284,581 | ||||||
American Tower Corp., 4.00%, 06/01/2025 |
290,000 | 284,445 | ||||||
Antares Holdings LP, 8.50%, 05/18/2025 (b) |
275,000 | 278,833 | ||||||
Ares Capital Corp., 4.25%, 03/01/2025 |
295,000 | 289,336 | ||||||
Aviation Capital Group LLC, 4.13%, 08/01/2025 (b) |
295,000 | 286,766 | ||||||
Blue Owl Capital Corp., 3.75%, 07/22/2025 |
300,000 | 289,079 | ||||||
Fidelity & Guaranty Life Holdings, Inc., 5.50%, 05/01/2025 (b) |
290,000 | 286,401 | ||||||
Goldman Sachs BDC, Inc., 3.75%, 02/10/2025 |
290,000 | 284,170 | ||||||
Goldman Sachs Group, Inc., 3.50%, 01/23/2025 |
290,000 | 285,037 | ||||||
Icahn Enterprises LP / Icahn Enterprises Finance Corp., 4.75%, 09/15/2024 |
290,000 | 288,444 | ||||||
2,857,092 | ||||||||
Health Care — 1.5% |
||||||||
CVS Pass-Through Trust, 6.04%, 12/10/2028 |
287,110 | 288,818 | ||||||
Industrials — 2.2% |
||||||||
GE Capital Funding LLC, 4.05%, 05/15/2027 |
200,000 | 192,035 | ||||||
Ryder System, Inc., 4.63%, 06/01/2025 |
250,000 | 247,698 | ||||||
439,733 | ||||||||
Technology — 2.8% |
||||||||
Leidos, Inc., 3.63%, 05/15/2025 |
295,000 | 288,236 | ||||||
TD SYNNEX Corp., 1.25%, 08/09/2024 |
259,000 | 253,865 | ||||||
542,101 |
The accompanying notes are an integral part of these financial statements.
18 |
OAKHURST SHORT DURATION BOND FUND
Schedule of Investments (Continued)
February 29, 2024 (UNAUDITED)
|
Par |
Value |
||||||
CORPORATE BONDS — 32.8% (continued) |
||||||||
Utilities — 2.6% |
||||||||
Elwood Energy LLC, 8.16%, 07/05/2026 |
210,456 | $ | 175,468 | |||||
NSG Holdings LLC / NSG Holdings, Inc., 7.75%, 12/15/2025 (b) |
70,362 | 70,213 | ||||||
PacifiCorp, 6.71%, 01/15/2026 |
270,000 | 273,734 | ||||||
519,415 | ||||||||
TOTAL CORPORATE BONDS (Cost $6,605,647) |
6,432,057 | |||||||
ASSET-BACKED SECURITIES — 11.8% |
||||||||
Accredited Mortgage Loan Trust, Series 2004-3, Class 2A2, 6.64% (1 mo. Term SOFR + 1.31%), 10/25/2034 (a) |
55,000 | 54,001 | ||||||
ACE Securities Corp., Series 2003-NC1, Class A2A, 6.28% (1 mo. Term SOFR + 0.95%), 07/25/2033 (a) |
234,621 | 210,221 | ||||||
American Airlines Group, Inc., Series 2013-1, 4.00%, 07/15/2025 |
368,438 | 355,841 | ||||||
Argent Securities, Inc. Asset-Backed Pass-Through Certificates, Series 2004-W10, Class A2, 3.49% (1 mo. Term SOFR + 0.89%), 10/25/2034 (a) |
213,720 | 205,083 | ||||||
Carvana Auto Receivables Trust |
||||||||
Series 2021-N1, Class B, 1.09%, 01/10/2028 |
226,782 | 215,604 | ||||||
Series 2021-P2, Class A4, 0.80%, 01/10/2027 |
310,000 | 294,532 | ||||||
Countrywide Asset-Backed Certificates, Series 2004-6, Class 2A3, 6.64% (1 mo. Term SOFR + 1.31%), 11/25/2034 (a) |
152,019 | 148,107 | ||||||
DB Master Finance Parent LLC, Series 2021-1A, Class A2I, 2.05%, 11/20/2051 (b) |
278,588 | 254,017 | ||||||
Delta Air Lines, Inc., Series 2019-1, 3.40%, 04/25/2024 |
146,000 | 145,149 | ||||||
OneMain Holdings, Inc., Series 2006-1, Class A5, 5.75%, 12/25/2035 (a)(b) |
1,001 | 1,056 | ||||||
SBA Depositor LLC, Series 2020-1-2, 1.88%, 01/15/2026 (b) |
250,000 | 233,108 | ||||||
Soundview Home Equity Loan Trust, Series 2003-2, Class A2, 6.74% (1 mo. Term SOFR + 1.41%), 11/25/2033 (a) |
192,495 | 192,353 | ||||||
TOTAL ASSET-BACKED SECURITIES (Cost $2,323,457) |
2,309,072 | |||||||
U.S. TREASURY OBLIGATIONS — 7.6% |
||||||||
United States Treasury Note/Bond |
||||||||
4.00%, 02/15/2026 |
500,000 | 493,984 | ||||||
4.63%, 11/15/2026 |
1,000,000 | 1,003,516 | ||||||
TOTAL U.S. TREASURY OBLIGATIONS (Cost $1,503,423) |
1,497,500 | |||||||
CONVERTIBLE BONDS — 1.5% |
||||||||
Financials — 1.5% |
||||||||
PennyMac Corp., 5.50%, 11/01/2024 |
290,000 | 286,738 | ||||||
TOTAL CONVERTIBLE BONDS (Cost $291,749) |
286,738 | |||||||
The accompanying notes are an integral part of these financial statements.
19 |
OAKHURST SHORT DURATION BOND FUND
Schedule of Investments (CONCLUDED)
February 29, 2024 (UNAUDITED)
|
Par |
Value |
||||||
MORTGAGE-BACKED SECURITIES — 1.1% |
||||||||
Federal Home Loan Mortgage Corp., Pool J12630, 4.00%, 07/01/2025 |
55,743 | $ | 55,150 | |||||
Federal National Mortgage Association |
||||||||
Pool AL0300, 4.50%, 06/01/2026 |
44,772 | 44,632 | ||||||
Pool AL4309, 4.00%, 10/01/2028 |
116,704 | 114,484 | ||||||
TOTAL MORTGAGE-BACKED SECURITIES (Cost $219,895) |
214,266 |
|
Shares |
Value |
||||||
SHORT-TERM INVESTMENTS — 1.6% |
||||||||
Money Market Funds — 1.6% |
||||||||
Invesco Treasury Portfolio - Class Institutional, 5.24% (c) |
316,927 | $ | 316,927 | |||||
TOTAL SHORT-TERM INVESTMENTS (Cost $316,927) |
316,927 | |||||||
TOTAL INVESTMENTS — 99.7% (Cost $20,453,662) |
$ | 19,549,458 | ||||||
Other Assets in Excess of Liabilities — 0.3% |
57,251 | |||||||
TOTAL NET ASSETS — 100.0% |
$ | 19,606,709 |
Percentages are stated as a percent of net assets.
SOFR - Secured Overnight Financing Rate
(a) |
Coupon rate is variable based on the weighted average coupon of the underlying collateral. To the extent the weighted average coupon of the underlying assets which comprise the collateral increases or decreases, the coupon rate of this security will increase or decrease correspondingly. The rate disclosed is as of February 29, 2024. |
(b) |
Security is exempt from registration pursuant to Rule 144A under the Securities Act of 1933, as amended. These securities may only be resold in transactions exempt from registration to qualified institutional investors. As of February 29, 2024, the value of these securities total $2,125,260 or 10.8% of the Fund’s net assets. |
(c) |
The rate shown represents the 7-day effective yield as of February 29, 2024. |
The accompanying notes are an integral part of these financial statements.
20 |
OAKHURST SHORT DURATION HIGH YIELD CREDIT FUND
Schedule of Investments
February 29, 2024 (UNAUDITED)
|
Par |
Value |
||||||
CORPORATE BONDS — 94.5% |
||||||||
Communications — 4.0% |
||||||||
Directv Financing LLC / Directv Financing Co.-Obligor, Inc., 5.88%, 08/15/2027 (a) |
250,000 | $ | 236,140 | |||||
DIRECTV Holdings LLC / DIRECTV Financing Co., Inc. |
||||||||
4.45%, 04/01/2024 |
335,000 | 318,629 | ||||||
3.95%, 01/15/2025 |
438,000 | 371,753 | ||||||
Uber Technologies, Inc., 6.25%, 01/15/2028 (a) |
515,000 | 516,127 | ||||||
1,442,649 | ||||||||
Consumer Discretionary — 16.7% |
||||||||
Caesars Entertainment, Inc., 8.13%, 07/01/2027 (a) |
560,000 | 575,343 | ||||||
Carnival Corp., 7.63%, 03/01/2026 (a) |
695,000 | 704,051 | ||||||
Ford Motor Credit Co. LLC, 4.27%, 01/09/2027 |
325,000 | 311,339 | ||||||
Garda World Security Corp., 4.63%, 02/15/2027 (a) |
515,000 | 492,412 | ||||||
Genting New York LLC / GENNY Capital, Inc., 3.30%, 02/15/2026 (a) |
550,000 | 513,120 | ||||||
MGM Resorts International, 5.50%, 04/15/2027 |
625,000 | 612,710 | ||||||
NCL Corp. Ltd., 3.63%, 12/15/2024 (a) |
512,000 | 504,598 | ||||||
Prime Security Services Borrower LLC / Prime Finance, Inc., 5.75%, 04/15/2026 (a) |
520,000 | 515,949 | ||||||
Rakuten Group, Inc., 11.25%, 02/15/2027 (a) |
500,000 | 532,464 | ||||||
United Airlines 2020-1 Class B Pass Through Trust, Series B, 4.88%, 01/15/2026 |
583,800 | 575,652 | ||||||
White Cap Parent LLC, 8.25% (9.00% PIK), 03/15/2026 (a) |
750,000 | 743,708 | ||||||
6,081,346 | ||||||||
Consumer Staples — 5.4% |
||||||||
B&G Foods, Inc., 5.25%, 09/15/2027 |
750,000 | 698,260 | ||||||
Coty, Inc., 6.50%, 04/15/2026 (a) |
578,000 | 577,907 | ||||||
Energizer Holdings, Inc., 6.50%, 12/31/2027 (a) |
708,000 | 702,562 | ||||||
1,978,729 | ||||||||
Energy — 12.4% |
||||||||
Antero Midstream Partners LP / Antero Midstream Finance Corp., 5.75%, 03/01/2027 (a) |
585,000 | 572,792 | ||||||
Ascent Resources Utica Holdings LLC / ARU Finance Corp., 7.00%, 11/01/2026 (a) |
693,000 | 693,085 | ||||||
Energy Transfer LP, 5.63%, 05/01/2027 (a) |
495,000 | 490,983 | ||||||
Howard Midstream Energy Partners LLC, 6.75%, 01/15/2027 (a) |
723,000 | 720,896 | ||||||
New Fortress Energy, Inc., 6.50%, 09/30/2026 (a) |
685,000 | 663,169 | ||||||
Phillips 66 Partners LP |
||||||||
3.61%, 02/15/2025 |
70,000 | 68,190 | ||||||
3.75%, 03/01/2028 |
55,000 | 48,208 | ||||||
SM Energy Co., 6.63%, 01/15/2027 |
663,000 | 660,888 | ||||||
Sunnova Energy Corp., 5.88%, 09/01/2026 (a) |
730,000 | 594,165 | ||||||
4,512,376 |
The accompanying notes are an integral part of these financial statements.
21 |
OAKHURST SHORT DURATION HIGH YIELD CREDIT FUND
Schedule of Investments (Continued)
February 29, 2024 (UNAUDITED)
|
Par |
Value |
||||||
CORPORATE BONDS — 94.5% (continued) |
||||||||
Financials — 32.3%(b) |
||||||||
Acrisure LLC / Acrisure Finance, Inc., 10.13%, 08/01/2026 (a) |
675,000 | $ | 702,340 | |||||
Ally Financial, Inc., 5.75%, 11/20/2025 |
600,000 | 597,096 | ||||||
Antares Holdings LP, 2.75%, 01/15/2027 (a) |
475,000 | 423,280 | ||||||
BGC Group, Inc., 8.00%, 05/25/2028 |
500,000 | 528,842 | ||||||
Block, Inc., 2.75%, 06/01/2026 |
555,000 | 518,323 | ||||||
Brookfield Property REIT, Inc. / BPR Cumulus LLC / BPR Nimbus LLC / GGSI Sellco LL, 5.75%, 05/15/2026 (a) |
593,000 | 572,493 | ||||||
Burford Capital Global Finance LLC, 6.25%, 04/15/2028 (a) |
750,000 | 721,649 | ||||||
First-Citizens Bank & Trust Co., 2.97% to 09/27/2024 then 3 mo. Term SOFR + 1.72%, 09/27/2025 |
380,000 | 372,600 | ||||||
Fly Leasing Ltd., 7.00%, 10/15/2024 (a) |
750,000 | 736,436 | ||||||
Fortress Transportation and Infrastructure Investors LLC, 9.75%, 08/01/2027 (a) |
375,000 | 389,059 | ||||||
HAT Holdings I LLC / HAT Holdings II LLC, 3.38%, 06/15/2026 (a) |
275,000 | 257,540 | ||||||
HUB International Ltd., 5.63%, 12/01/2029 (a) |
730,000 | 678,369 | ||||||
Jefferson Capital Holdings LLC, 6.00%, 08/15/2026 (a) |
550,000 | 528,479 | ||||||
MBIA, Inc., 7.00%, 12/15/2025 |
675,000 | 662,526 | ||||||
Midcap Financial Issuer Trust, 6.50%, 05/01/2028 (a) |
750,000 | 687,383 | ||||||
Navient Corp., 5.00%, 03/15/2027 |
530,000 | 503,112 | ||||||
New York Community Bancorp, Inc., 8.33% (3 mo. Term SOFR + 3.04%), 11/06/2028 (c) |
543,000 | 452,194 | ||||||
Rithm Capital Corp., 6.25%, 10/15/2025 (a) |
675,000 | 666,887 | ||||||
SBA Communications Corp., 3.88%, 02/15/2027 |
274,000 | 258,798 | ||||||
StoneX Group, Inc., 8.63%, 06/15/2025 (a) |
700,000 | 704,961 | ||||||
United Wholesale Mortgage LLC, 5.50%, 11/15/2025 (a) |
493,000 | 485,026 | ||||||
Uniti Group LP / Uniti Group Finance, Inc. / CSL Capital LLC, 10.50%, 02/15/2028 (a) |
250,000 | 259,393 | ||||||
11,706,786 | ||||||||
Health Care — 5.8% |
||||||||
Heartland Dental LLC / Heartland Dental Finance Corp., 8.50%, 05/01/2026 (a) |
803,000 | 792,465 | ||||||
Prime Healthcare Services, Inc., 7.25%, 11/01/2025 (a) |
736,000 | 733,890 | ||||||
Tenet Healthcare Corp., 4.63%, 06/15/2028 |
620,000 | 590,805 | ||||||
2,117,160 | ||||||||
Industrials — 5.2% |
||||||||
Bombardier, Inc., 7.88%, 04/15/2027 (a) |
602,000 | 603,141 | ||||||
Brundage-Bone Concrete Pumping Holdings, Inc., 6.00%, 02/01/2026 (a) |
720,000 | 708,066 | ||||||
RXO, Inc., 7.50%, 11/15/2027 (a) |
550,000 | 568,460 | ||||||
1,879,667 |
The accompanying notes are an integral part of these financial statements.
22 |
OAKHURST SHORT DURATION HIGH YIELD CREDIT FUND
Schedule of Investments (Continued)
February 29, 2024 (UNAUDITED)
|
Par |
Value |
||||||
CORPORATE BONDS — 94.5% (continued) |
||||||||
Materials — 4.8% |
||||||||
Arsenal AIC Parent LLC, 11.50%, 10/01/2031 (a) |
510,000 | $ | 561,688 | |||||
Clearwater Paper Corp., 4.75%, 08/15/2028 (a) |
725,000 | 672,200 | ||||||
First Quantum Minerals Ltd., 7.50%, 04/01/2025 (a) |
525,000 | 525,000 | ||||||
1,758,888 | ||||||||
Technology — 5.7% |
||||||||
Cloud Software Group, Inc., 6.50%, 03/31/2029 (a) |
533,000 | 496,774 | ||||||
Gen Digital, Inc., 6.75%, 09/30/2027 (a) |
645,000 | 648,938 | ||||||
MicroStrategy, Inc., 6.13%, 06/15/2028 (a) |
250,000 | 241,324 | ||||||
Sabre GLBL, Inc., 11.25%, 12/15/2027 (a) |
710,000 | 666,956 | ||||||
2,053,992 | ||||||||
Utilities — 2.2% |
||||||||
Elwood Energy LLC, 8.16%, 07/05/2026 |
597,026 | 497,771 | ||||||
NSG Holdings LLC / NSG Holdings, Inc., 7.75%, 12/15/2025 (a) |
292,086 | 291,470 | ||||||
789,241 | ||||||||
TOTAL CORPORATE BONDS (Cost $34,471,820) |
34,320,834 | |||||||
ASSET-BACKED SECURITIES — 1.7% |
||||||||
United Airlines, Inc., Series 2016-1B, 3.65%, 01/07/2026 |
656,250 | 623,705 | ||||||
TOTAL ASSET-BACKED SECURITIES (Cost $607,442) |
623,705 | |||||||
CONVERTIBLE BONDS — 1.6% |
||||||||
Financials — 1.6% |
||||||||
PennyMac Corp., 5.50%, 11/01/2024 |
590,000 | 583,363 | ||||||
TOTAL CONVERTIBLE BONDS (Cost $586,113) |
583,363 |
The accompanying notes are an integral part of these financial statements.
23 |
OAKHURST SHORT DURATION HIGH YIELD CREDIT FUND
Schedule of Investments (CONCLUDED)
February 29, 2024 (UNAUDITED)
|
Shares |
Value |
||||||
SHORT-TERM INVESTMENTS — 0.8% |
||||||||
Money Market Funds — 0.8% |
||||||||
Invesco Treasury Portfolio - Class Institutional, 5.24% (d) |
307,048 | $ | 307,048 | |||||
TOTAL SHORT-TERM INVESTMENTS (Cost $307,048) |
307,048 | |||||||
TOTAL INVESTMENTS — 98.6% (Cost $35,972,423) |
$ | 35,834,950 | ||||||
Other Assets in Excess of Liabilities — 1.4% |
518,679 | |||||||
TOTAL NET ASSETS — 100.0% |
$ | 36,353,629 |
Percentages are stated as a percent of net assets.
PIK - Payment In Kind
SOFR - Secured Overnight Financing Rate
(a) |
Security is exempt from registration pursuant to Rule 144A under the Securities Act of 1933, as amended. These securities may only be resold in transactions exempt from registration to qualified institutional investors. As of February 29, 2024, the value of these securities total $25,673,138 or 70.6% of the Fund’s net assets. |
(b) |
To the extent that the Fund invests more heavily in a particular industry or sector of the economy, its performance will be especially sensitive to developments that significantly affect those industries or sectors. |
(c) |
Coupon rate is variable or floats based on components including but not limited to reference rate and spread. These securities may not indicate a reference rate and/or spread in their description. The rate disclosed is as of February 29, 2024. |
(d) |
The rate shown represents the 7-day effective yield as of February 29, 2024. |
The accompanying notes are an integral part of these financial statements.
24 |
Oakhurst Mutual Funds
Statements of Assets and Liabilities
February 29, 2024 (UNAUDITED)
|
Oakhurst |
Oakhurst |
Oakhurst |
|||||||||
ASSETS |
||||||||||||
Investments at value (cost $116,982,822, $20,136,735, and $35,665,375, respectively) |
$ | 108,749,286 | $ | 19,232,531 | $ | 35,527,902 | ||||||
Short-term investments, at value (cost $3,173,422 and $316,927, and $307,048, respectively) |
3,173,422 | 316,927 | 307,048 | |||||||||
Receivable for: |
||||||||||||
Due from Adviser (Note 2) |
— | 28,957 | 7,217 | |||||||||
Dividends and interest |
669,082 | 126,679 | 656,097 | |||||||||
Capital shares sold |
209,711 | — | — | |||||||||
Prepaid and other expenses |
971 | — | 3,786 | |||||||||
Total assets |
112,802,472 | 19,705,094 | 36,502,050 | |||||||||
LIABILITIES |
||||||||||||
Payables for: |
||||||||||||
Investments purchased |
463,238 | — | — | |||||||||
Capital shares redeemed |
244,597 | 55,639 | 108,597 | |||||||||
Dividends |
120,646 | 1,213 | 6,986 | |||||||||
Administration and accounting fees |
21,595 | 15,135 | 8,368 | |||||||||
Professional fees |
9,617 | 9,330 | 9,713 | |||||||||
Advisory fees |
7,203 | — | — | |||||||||
Other accrued expenses and liabilities |
15,803 | 17,068 | 14,757 | |||||||||
Total liabilities |
882,699 | 98,385 | 148,421 | |||||||||
Net assets |
111,919,773 | 19,606,709 | 36,353,629 | |||||||||
NET ASSETS CONSIST OF: |
||||||||||||
Par value |
$ | 12,956 | $ | 2,113 | $ | 4,131 | ||||||
Paid-in capital |
128,207,856 | 25,299,949 | 48,568,514 | |||||||||
Total distributable earnings/(loss) |
(16,301,039 | ) | (5,695,353 | ) | (12,219,016 | ) | ||||||
Net assets |
$ | 111,919,773 | $ | 19,606,709 | $ | 36,353,629 | ||||||
Shares outstanding ($0.001 par value, 100,000,000 shares authorized) |
12,956,283 | 2,113,104 | 4,130,889 | |||||||||
Net asset value, offering and redemption price per share |
$ | 8.64 | $ | 9.28 | $ | 8.80 |
The accompanying notes are an integral part of these financial statements.
25 |
Oakhurst Mutual Funds
Statements of Operations
FOR THE SIX MONTHS ENDED February 29, 2024 (UNAUDITED)
|
Oakhurst |
Oakhurst |
Oakhurst |
|||||||||
INVESTMENT INCOME |
||||||||||||
Interest |
$ | 2,549,858 | $ | 541,823 | $ | 1,413,103 | ||||||
Total investment income |
2,549,858 | 541,823 | 1,413,103 | |||||||||
EXPENSES |
||||||||||||
Advisory fees (Note 2) |
$ | 275,469 | $ | 42,595 | $ | 147,535 | ||||||
Administration and accounting fees (Note 2) |
57,629 | 28,721 | 37,336 | |||||||||
Transfer agent fees (Note 2) |
27,702 | 15,681 | 12,460 | |||||||||
Custodian fees (Note 2) |
8,934 | 5,379 | 2,694 | |||||||||
Audit and tax service fees |
7,355 | 10,772 | 9,064 | |||||||||
Registration and filing fees |
6,885 | 8,030 | 5,470 | |||||||||
Director fees |
5,788 | 5,788 | — | |||||||||
Legal fees |
5,745 | 5,344 | 1,635 | |||||||||
Printing and shareholder reporting fees |
5,130 | 5,879 | 3,774 | |||||||||
Other expenses |
30,982 | 18,498 | 23,187 | |||||||||
Total expenses before waivers and reimbursments |
431,619 | 146,687 | 243,155 | |||||||||
Less: waivers and reimbursemets (Note 2) |
(108,495 | ) | (73,666 | ) | (56,278 | ) | ||||||
Net expenses after waivers and reimbursments |
323,124 | 73,021 | 186,877 | |||||||||
Net investment income/(loss) |
2,226,734 | 468,802 | 1,226,226 | |||||||||
NET REALIZED AND UNREALIZED GAIN/(LOSS) FROM INVESTMENTS |
||||||||||||
Net realized gain/(loss) from investments |
(1,748,943 | ) | (310,503 | ) | (368,682 | ) | ||||||
Net change in unrealized appreciation/(depreciation) on |
||||||||||||
investments |
2,518,106 | 593,393 | 1,254,996 | |||||||||
Net realized and unrealized gain/(loss) from investments |
769,163 | 282,890 | 886,314 | |||||||||
NET INCREASE/(DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS |
$ | 2,995,897 | $ | 751,692 | $ | 2,112,540 |
The accompanying notes are an integral part of these financial statements.
26 |
OAKHURST FIXED INCOME FUND
Statements of Changes in Net Assets
|
Six Months |
Year Ended |
||||||
INCREASE/(DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS |
||||||||
Net investment income/(loss) |
$ | 2,226,734 | $ | 3,756,470 | ||||
Net realized gain/(loss) on investments |
(1,748,943 | ) | (4,450,490 | ) | ||||
Net change in unrealized appreciation/(depreciation) on investments |
2,518,106 | 50,843 | ||||||
NET INCREASE/(DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS |
2,995,897 | (643,177 | ) | |||||
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS FROM: |
||||||||
Total distributable earnings |
(2,239,363 | ) | (3,883,963 | ) | ||||
Net decrease in net assets from dividends and distributions to shareholders |
(2,239,363 | ) | (3,883,963 | ) | ||||
CAPITAL SHARE TRANSACTIONS: |
||||||||
Proceeds from shares sold |
20,919,558 | 35,053,632 | ||||||
Reinvestment of distributions |
1,214,935 | 2,486,866 | ||||||
Shares redeemed |
(26,379,249 | ) | (37,015,263 | ) | ||||
Net increase/(decrease) in net assets from capital share transactions |
(4,244,756 | ) | 525,235 | |||||
Total increase/(decrease) in net assets |
(3,488,222 | ) | (4,001,905 | ) | ||||
NET ASSETS: |
||||||||
Beginning of period |
115,407,995 | 119,409,900 | ||||||
End of period |
$ | 111,919,773 | $ | 115,407,995 | ||||
SHARE TRANSACTIONS: |
||||||||
Shares sold |
2,446,313 | 4,050,926 | ||||||
Shares reinvested |
141,418 | 288,571 | ||||||
Shares redeemed |
(3,106,847 | ) | (4,287,559 | ) | ||||
Net increase/(decrease) in shares outstanding |
(519,116 | ) | 51,938 |
The accompanying notes are an integral part of these financial statements.
27 |
OAKHURST SHORT DURATION BOND FUND
Statements of Changes in Net Assets
|
Six Months |
Year Ended |
||||||
INCREASE/(DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS |
||||||||
Net investment income/(loss) |
$ | 468,802 | $ | 1,336,521 | ||||
Net realized gain/(loss) on investments |
(310,503 | ) | (2,021,832 | ) | ||||
Net change in unrealized appreciation/(depreciation) on investments |
593,393 | 1,307,819 | ||||||
NET INCREASE/(DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS |
751,692 | 622,508 | ||||||
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS FROM: |
||||||||
Total distributable earnings |
(473,070 | ) | (1,417,288 | ) | ||||
Net decrease in net assets from dividends and distributions to shareholders |
(473,070 | ) | (1,417,288 | ) | ||||
CAPITAL SHARE TRANSACTIONS: |
||||||||
Proceeds from shares sold |
1,391,603 | 7,798,441 | ||||||
Reinvestment of distributions |
371,052 | 1,398,059 | ||||||
Shares redeemed |
(9,543,823 | ) | (39,080,692 | ) | ||||
Net increase/(decrease) in net assets from capital share transactions |
(7,781,168 | ) | (29,884,192 | ) | ||||
Total increase/(decrease) in net assets |
(7,502,546 | ) | (30,678,972 | ) | ||||
NET ASSETS: |
||||||||
Beginning of period |
27,109,255 | 57,788,227 | ||||||
End of period |
$ | 19,606,709 | $ | 27,109,255 | ||||
SHARE TRANSACTIONS: |
||||||||
Shares sold |
150,859 | 852,160 | ||||||
Shares reinvested |
40,204 | 152,703 | ||||||
Shares redeemed |
(1,029,746 | ) | (4,257,943 | ) | ||||
Net increase/(decrease) in shares outstanding |
(838,683 | ) | (3,253,080 | ) |
The accompanying notes are an integral part of these financial statements.
28 |
OAKHURST SHORT DURATION HIGH YIELD CREDIT FUND
Statements of Changes in Net Assets
|
Six Months |
Year Ended |
||||||
INCREASE/(DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS |
||||||||
Net investment income/(loss) |
$ | 1,226,226 | $ | 3,341,257 | ||||
Net realized gain/(loss) on investments |
(368,682 | ) | (8,762,831 | ) | ||||
Net change in unrealized appreciation/(depreciation) on investments |
1,254,996 | 7,335,135 | ||||||
NET INCREASE/(DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS |
2,112,540 | 1,913,561 | ||||||
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS FROM: |
||||||||
Total distributable earnings |
(1,235,104 | ) | (3,364,705 | ) | ||||
Net decrease in net assets from dividends and distributions to shareholders |
(1,235,104 | ) | (3,883,963 | ) | ||||
CAPITAL SHARE TRANSACTIONS: |
||||||||
Proceeds from shares sold |
2,294,106 | 10,876,689 | ||||||
Reinvestment of distributions |
976,157 | 3,291,666 | ||||||
Shares redeemed |
(11,573,235 | ) | (35,451,954 | ) | ||||
Net increase/(decrease) in net assets from capital share transactions |
(8,302,972 | ) | (21,283,599 | ) | ||||
Total increase/(decrease) in net assets |
(7,425,536 | ) | (22,734,743 | ) | ||||
NET ASSETS: |
||||||||
Beginning of period |
43,779,165 | 66,513,908 | ||||||
End of period |
$ | 36,353,629 | $ | 43,779,165 | ||||
SHARE TRANSACTIONS: |
||||||||
Shares sold |
264,012 | 1,263,476 | ||||||
Shares reinvested |
112,195 | 384,295 | ||||||
Shares redeemed |
(1,337,695 | ) | (4,118,132 | ) | ||||
Net increase/(decrease) in shares outstanding |
(961,488 | ) | (2,470,361 | ) |
The accompanying notes are an integral part of these financial statements.
29 |
OAKHURST FIXED INCOME FUND
Institutional Shares
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 |
For the |
For the |
For the |
For the |
For the |
||||||||||||||||||
|
2024(1) |
2023 |
2022 |
2021 |
2020 |
2019 |
||||||||||||||||||
PER SHARE OPERATING PERFORMANCE |
||||||||||||||||||||||||
Net asset value, beginning of period |
$ | 8.56 | $ | 8.90 | $ | 10.28 | $ | 10.40 | $ | 10.10 | $ | 9.60 | ||||||||||||
Net investment income/(loss)(3) |
0.17 | 0.27 | 0.19 | 0.15 | 0.22 | 0.28 | ||||||||||||||||||
Net realized and unrealized gain/(loss) from investments |
0.08 | (0.33 | ) | (1.26 | ) | — | (2) | 0.32 | 0.51 | |||||||||||||||
Net increase/(decrease) in net assets resulting from operations |
0.25 | (0.06 | ) | (1.07 | ) | 0.15 | 0.54 | 0.79 | ||||||||||||||||
Dividends and distributions to shareholders from: |
||||||||||||||||||||||||
Net investment income |
(0.17 | ) | (0.28 | ) | (0.22 | ) | (0.21 | ) | (0.24 | ) | (0.29 | ) | ||||||||||||
Net realized gains on investments |
— | — | (0.09 | ) | (0.06 | ) | — | — | ||||||||||||||||
Total distributions |
(0.17 | ) | (0.28 | ) | (0.31 | ) | (0.27 | ) | (0.24 | ) | (0.29 | ) | ||||||||||||
Net asset value, end of period |
$ | 8.64 | $ | 8.56 | $ | 8.90 | $ | 10.28 | $ | 10.40 | $ | 10.10 | ||||||||||||
Total investment return/(loss)(4) |
3.00 | %(5) | (0.62 | )% | (10.59 | )% | 1.42 | % | 5.45 | % | 8.42 | % | ||||||||||||
RATIOS/SUPPLEMENTAL DATA |
||||||||||||||||||||||||
Net assets at end of period (000’s omitted) |
$ | 111,920 | $ | 115,408 | $ | 119,410 | $ | 126,210 | $ | 96,428 | $ | 76,637 | ||||||||||||
Ratio of expenses to average net assets with waivers and/or reimbursements |
0.59 | %(6) | 0.60 | % | 0.60 | % | 0.60 | % | 0.60 | % | 0.60 | % | ||||||||||||
Ratio of expenses to average net assets without waivers and reimbursements |
0.78 | %(6) | 0.78 | % | 0.84 | % | 0.80 | % | 0.87 | % | 0.94 | % | ||||||||||||
Ratio of net investment income/(loss) to average net assets with waviers |
4.05 | %(6) | 3.16 | % | 1.97 | % | 1.45 | % | 2.20 | % | 2.92 | % | ||||||||||||
Portfolio turnover rate |
17 | %(5) | 36 | % | 48 | % | 52 | % | 43 | % | 36 | % |
(1) |
Prior to the close of business on October 27, 2023, the Fund was a series (the “Predecessor Fund”) of F/m Funds Trust, an open-end management investment company organized as an Ohio business trust. The Predecessor Fund was reorganized into the Fund following the close of business on October 27, 2023 (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 October 30, 2023 included herein is that of the Predecessor Fund (Note 1). |
(2) |
Rounds to less than $0.01 per share. |
(3) |
Per share data calculated using average shares outstanding method. |
(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 the period reported and includes reinvestments of dividends and distributions, if any. The returns shown do not reflect the deduction of taxes a shareholder would pay on Fund distributions or the redemption of Fund shares. Had the Adviser not reduced/waived its fees, the total returns would have been lower. |
(5) |
Not annualized. |
(6) |
Annualized. |
The accompanying notes are an integral part of these financial statements.
30 |
OAKHURST SHORT DURATION BOND FUND
Institutional Shares
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 |
For the |
For the |
For the |
For the |
For the |
||||||||||||||||||
|
2024(1) |
2023 |
2022 |
2021 |
2020 |
2019 |
||||||||||||||||||
PER SHARE OPERATING PERFORMANCE |
||||||||||||||||||||||||
Net asset value, beginning of period |
$ | 9.18 | $ | 9.31 | $ | 9.99 | $ | 9.98 | $ | 9.94 | $ | 9.80 | ||||||||||||
Net investment income/(loss)(2) |
0.18 | 0.31 | 0.14 | 0.15 | 0.22 | 0.24 | ||||||||||||||||||
Net realized and unrealized gain/(loss) from investments |
0.10 | (0.11 | ) | (0.60 | ) | 0.07 | 0.07 | 0.18 | ||||||||||||||||
Net increase/(decrease) in net assets resulting from operations |
0.28 | 0.20 | (0.46 | ) | 0.22 | 0.29 | 0.42 | |||||||||||||||||
Dividends and distributions to shareholders from: |
||||||||||||||||||||||||
Net investment income |
(0.18 | ) | (0.33 | ) | (0.22 | ) | (0.21 | ) | (0.25 | ) | (0.28 | ) | ||||||||||||
Net asset value, end of period |
$ | 9.28 | $ | 9.18 | $ | 9.31 | $ | 9.99 | $ | 9.98 | $ | 9.94 | ||||||||||||
Total investment return/(loss)(3) |
3.13 | %(4) | 2.23 | % | (4.65 | )% | 2.26 | % | 2.95 | % | 4.31 | % | ||||||||||||
RATIOS/SUPPLEMENTAL DATA |
||||||||||||||||||||||||
Net assets at end of period (000’s omitted) |
$ | 19,607 | $ | 27,109 | $ | 57,788 | $ | 131,145 | $ | 125,823 | $ | 112,976 | ||||||||||||
Ratio of expenses to average net assets with waivers and/or reimbursements |
0.60 | %(5) | 0.60 | % | 0.60 | % | 0.60 | % | 0.60 | % | 0.60 | % | ||||||||||||
Ratio of expenses to average net assets without waivers and reimbursements |
1.21 | %(5) | 1.03 | % | 0.77 | % | 0.65 | % | 0.68 | % | 0.63 | % | ||||||||||||
Ratio of net investment income/(loss) to average net assets with waviers |
3.86 | %(5) | 3.24 | % | 1.58 | % | 1.51 | % | 2.13 | % | 2.48 | % | ||||||||||||
Portfolio turnover rate |
17 | %(4) | 22 | % | 70 | % | 102 | % | 70 | % | 47 | % |
(1) |
Prior to the close of business on October 27, 2023, the Fund was a diversified series (the “Predecessor Fund”) of F/m Funds Trust, an open-end management investment company organized as an Ohio business trust. The Predecessor Fund was reorganized into the Fund following the close of business on October 27, 2023 (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 October 30, 2023 included herein is that of the Predecessor Fund (Note 1). |
(2) |
Per share data calculated using average shares outstanding method. |
(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. The returns shown do not reflect the deduction of taxes a shareholder would pay on Fund distributions or the redemption of Fund shares. Had the Adviser not reduced/waived its fees, the total returns would have been lower. |
(4) |
Not annualized. |
(5) |
Annualized. |
The accompanying notes are an integral part of these financial statements.
31 |
OAKHURST SHORT DURATION HIGH YIELD CREDIT FUND
Institutional Shares
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 |
For the |
For the |
For the |
For the |
For the |
||||||||||||||||||
|
2024(1) |
2023 |
2022 |
2021 |
2020 |
2019 |
||||||||||||||||||
PER SHARE OPERATING PERFORMANCE |
||||||||||||||||||||||||
Net asset value, beginning of period |
$ | 8.60 | $ | 8.79 | $ | 10.06 | $ | 9.64 | $ | 9.95 | $ | 10.00 | ||||||||||||
Net investment income/(loss)(2) |
0.27 | 0.53 | 0.47 | 0.47 | 0.52 | 0.52 | ||||||||||||||||||
Net realized and unrealized gain/(loss) from investments |
0.07 | (0.19 | ) | (1.26 | ) | 0.42 | (0.31 | ) | (0.05 | ) | ||||||||||||||
Net increase/(decrease) in net assets resulting from operations |
0.34 | 0.34 | (0.79 | ) | 0.89 | 0.21 | 0.47 | |||||||||||||||||
Dividends and distributions to shareholders from: |
||||||||||||||||||||||||
Net investment income |
(0.14 | ) | (0.53 | ) | (0.48 | ) | (0.47 | ) | (0.52 | ) | (0.52 | ) | ||||||||||||
Net asset value, end of period |
$ | 8.80 | $ | 8.60 | $ | 8.79 | $ | 10.06 | $ | 9.64 | $ | 9.95 | ||||||||||||
Total investment return/(loss)(3) |
5.62 | %(4) | 4.05 | % | (8.11 | )% | 9.45 | % | 2.27 | % | 4.87 | % | ||||||||||||
RATIOS/SUPPLEMENTAL DATA |
||||||||||||||||||||||||
Net assets at end of period (000’s omitted) |
$ | 36,354 | $ | 43,779 | $ | 66,514 | $ | 101,433 | $ | 41,894 | $ | 45,830 | ||||||||||||
Ratio of expenses to average net assets with waivers and/or reimbursements |
0.95 | %(4) | 0.95 | % | 0.95 | % | 0.95 | % | 0.95 | % | 0.95 | % | ||||||||||||
Ratio of expenses to average net assets without waivers and reimbursements |
1.24 | %(5) | 1.22 | % | 1.11 | % | 1.18 | % | 1.29 | % | 1.25 | % | ||||||||||||
Ratio of net investment income/(loss) to average net assets with waviers |
6.24 | %(5) | 6.00 | % | 4.84 | % | 4.72 | % | 5.38 | % | 5.29 | % | ||||||||||||
Portfolio turnover rate |
12 | %(4) | 52 | % | 53 | % | 60 | % | 113 | % | 86 | % |
(1) |
Prior to the close of business on October 27, 2023, the Fund was a diversified series (the “Predecessor Fund”) of F/m Funds Trust, an open-end management investment company organized as an Ohio business trust. The Predecessor Fund was reorganized into the Fund following the close of business on October 27, 2023 (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 October 30, 2023 included herein is that of the Predecessor Fund (Note 1). |
(2) |
Per share data calculated using average shares outstanding method. |
(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. The returns shown do not reflect the deduction of taxes a shareholder would pay on Fund distributions or the redemption of Fund shares. Had the Adviser not reduced/waived its fees, the total returns would have been lower. |
(4) |
Not annualized. |
(5) |
Annualized. |
The accompanying notes are an integral part of these financial statements.
32 |
Oakhurst Mutual Funds
Notes to Financial Statements
February 29, 2024 (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 sixty-four separate investment portfolios, including the Oakhurst Fixed Income Fund, Oakhurst Short Duration Bond Fund, and the Oakhurst Short Duration High Yield Credit Fund (each a “Fund” and together the “Funds” or “Oakhurst Mutual Funds”). The Oakhurst Fixed Income Fund, the Oakhurst Short Duration Bond Fund, and the Oakhurst Short Duration High Yield Credit Fund commenced operations on October 31, 2012, April 26, 2013, and October 1, 2015, respectively. Each fund was treated as a separate series (the “Predecessor Funds”) of the F/m Funds Trust, an open end management investment company established as an Ohio business trust. Effective as of the close of business on October 27, 2023, the Predecessor Funds were reorganized into the Funds, as new series of RBB in a tax-free reorganization (the “Reorganization”), whereby the Funds acquired all the assets and liabilities of the Predecessor Funds in exchange for shares of the Funds which were distributed pro rata by the Predecessor Funds to their respective shareholders in complete liquidation and termination of the Predecessor Funds. The Agreement and Plan of Reorganization pursuant to which the Reorganization was accomplished was approved by shareholders of the Predecessor Funds on June 29, 2023 with respect to the Oakhurst Short Duration Bond Fund and Oakhurst Short Duration High Yield Credit Fund, and on July 31, 2023, with respect to the Oakhurst Fixed Income Fund. Unless otherwise indicated, references to the “Funds” in these Notes to Financial Statements refer to the Predecessor Funds and Funds. Each Fund has registered two classes of shares, Institutional shares and Retail shares. As of the date of this report, Retail shares of each Fund are not currently offered. When both share classes of each Fund are offered, each share class of a Fund will represent an ownership interest in the corresponding Fund’s investment portfolio.
The investment objective of Oakhurst Fixed Income Fund is total return.
The investment objective of Oakhurst Short Duration Bond Fund is to seek a high level of income consistent with preservation of capital and liquidity.
The investment objective of Oakhurst Short Duration High Yield Credit Fund is to seek a high level of income and capital appreciation.
RBB has authorized capital of one hundred billion shares of common stock of which 92.723 billion shares are currently classified into two hundred and thirty-four classes of common stock. Each class represents an interest in an active or inactive RBB investment portfolio.
As a tax-free reorganization, any unrealized appreciation or depreciation on the securities held by the Funds on the date of Reorganization was treated as a non-taxable event, thus the cost basis of the securities held reflects their historical cost basis as of the date of Reorganization. As a result of the Reorganization, the Funds are the accounting successors of the Predecessor Funds. The Reorganization was accomplished by a tax-free exchange of the Funds’ shares and value of net assets for the same shares and value of the Predecessor Funds’ shares. For financial reporting purposes, assets received and shares issued by the Funds were recorded at fair value; however, the cost basis of the investments received from the Funds was carried forward to align ongoing reporting of the Funds’ realized and unrealized gains and losses with amounts distributable to shareholders for tax purposes. Immediately prior to the Reorganization, the net assets, fair value of investments, net unrealized depreciation and shares outstanding of the Predecessor Funds were as follows:
Oakhurst Fixed Income Fund: |
||||||||||||
Net Assets |
Fair Value of |
Net Unrealized |
Fund Shares |
|||||||||
$ 106,907,416 |
$ | 106,032,661 | $ | (14,475,288 | ) | 12,935,591 |
33 |
Oakhurst Mutual Funds
Notes to Financial Statements
February 29, 2024 (UNAUDITED)
Oakhurst Short Duration Bond Fund: |
||||||||||||
Net Assets |
Fair Value of |
Net Unrealized |
Fund Shares |
|||||||||
$ 25,997,806 |
$ | 25,801,854 | $ | (1,679,767 | ) | 2,849,158 |
Oakhurst Short Duration High Yield Credit Fund: |
||||||||||||
Net Assets |
Fair Value of |
Net Unrealized |
Fund Shares |
|||||||||
$ 40,532,559 |
$ | 39,809,676 | $ | (1,974,807 | ) | 4,786,327 |
The Funds are investment companies and follow accounting and reporting guidance under 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 29, 2024, and the period covered by these Notes to Financial Statements is the six months ended February 29, 2024 (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 Funds and its Valuation Designee (as defined below) in calculating each Fund’s NAV. Pursuant to Rule 2a-5 under the 1940 Act, the Funds have designated F/m Investments, LLC d/b/a Oakhurst Capital 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). |
34 |
Oakhurst Mutual Funds
Notes to Financial Statements
February 29, 2024 (UNAUDITED)
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 current fiscal period, in valuing the Funds’ investments carried at fair value:
Oakhurst Fixed Income Fund |
Total |
Level 1 |
Level 2 |
Level 3 |
||||||||||||
Collateralized Mortgage Obligations |
$ | 30,222,565 | $ | — | $ | 30,222,565 | $ | — | ||||||||
Corporate Bonds |
29,804,076 | — | 29,804,076 | — | ||||||||||||
U.S. Treasury Obligations |
29,160,268 | — | 29,160,268 | — | ||||||||||||
Asset-Backed Securities |
8,651,891 | — | 8,651,891 | — | ||||||||||||
Mortgage-Backed Securities |
6,614,811 | — | 6,614,811 | — | ||||||||||||
U.S. Government Agency Issues |
3,405,800 | — | 3,405,800 | — | ||||||||||||
Convertible Bonds |
889,875 | — | 889,875 | — | ||||||||||||
Money Market Funds |
3,173,422 | 3,173,422 | — | — | ||||||||||||
Total Investments* |
$ | 111,922,708 | $ | 3,173,422 | $ | 108,749,286 | $ | — |
Oakhurst Short Duration Bond Fund |
Total |
Level 1 |
Level 2 |
Level 3 |
||||||||||||
Collateralized Mortgage Obligations |
$ | 8,492,898 | $ | — | $ | 8,492,898 | $ | — | ||||||||
Corporate Bonds |
6,432,057 | — | 6,432,057 | — | ||||||||||||
Asset-Backed Securities |
2,309,072 | — | 2,309,072 | — | ||||||||||||
U.S. Treasury Obligations |
1,497,500 | — | 1,497,500 | — | ||||||||||||
Convertible Bonds |
286,738 | — | 286,738 | — | ||||||||||||
Mortgage-Backed Securities |
214,266 | — | 214,266 | — | ||||||||||||
Money Market Funds |
316,927 | 316,927 | — | — | ||||||||||||
Total Investments* |
$ | 19,549,458 | $ | 316,927 | $ | 19,232,531 | $ | — |
Oakhurst Short Duration High Yield Credit Fund |
Total |
Level 1 |
Level 2 |
Level 3 |
||||||||||||
Corporate Bonds |
$ | 34,320,834 | $ | — | $ | 34,320,834 | $ | — | ||||||||
Asset-Backed Securities |
623,705 | — | 623,705 | — | ||||||||||||
Convertible Bonds |
583,363 | — | 583,363 | — | ||||||||||||
Money Market Funds |
307,048 | 307,048 | — | — | ||||||||||||
Total Investments* |
$ | 35,834,950 | $ | 307,048 | $ | 35,527,902 | $ | — |
* |
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.
35 |
Oakhurst Mutual Funds
Notes to Financial Statements
February 29, 2024 (UNAUDITED)
Due to the inherent uncertainty of determining the fair value of investments that do not have a readily available market value, the fair value of the Funds’ investments may fluctuate from period to period. Additionally, the fair value of investments may differ significantly from the values that would have been used had a ready market existed for such investments and may differ materially from the values the Funds may ultimately realize. Further, such investments may be subject to legal and other restrictions on resale or otherwise less liquid than publicly traded securities.
For fair valuations using significant unobservable inputs, U.S. generally accepted accounting principles (“U.S. GAAP”) requires each Fund to present a reconciliation of the beginning to ending balances for reported market values that presents changes attributable to total realized and unrealized gains or losses, purchase and sales, and transfers in and out of Level 3 during the period. Transfers in and out between levels are based on values at the end of the period. A reconciliation of Level 3 investments is presented only if a Fund had an amount of Level 3 investments at the end of the reporting period that was meaningful in relation to its net assets. The amounts and reasons for Level 3 transfers in and out of each level is disclosed when a Fund had an amount of total Level 3 transfers during the reporting period that was meaningful in relation to its net assets as of the end of the reporting period.
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 GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities as of the date of the financial statements and the reported amounts of increase (decrease) in net assets from operations during the reporting period. Actual results could differ from those estimates.
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 (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. 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.
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.
36 |
Oakhurst Mutual Funds
Notes to Financial Statements
February 29, 2024 (UNAUDITED)
2. INVESTMENT ADVISER AND OTHER SERVICES
Effective October 30, 2023, under the terms of an investment advisory agreement between the Company, on behalf of the Funds, and the Adviser (the “Current Advisory Agreement”), the Adviser serves as the investment adviser to the Funds, and the Funds pay the Adviser a fee, which is computed and accrued daily and paid monthly, at the annual rate of 0.50%, 0.35%, and 0.75% of the average daily net assets of the Oakhurst Fixed Income Fund, Oakhurst Short Duration Bond Fund, and the Oakhurst Short Duration High Yield Credit Fund, respectively. Oakhurst Capital Advisors, LLC (the “Sub-Adviser”) serves as the investment sub-adviser to the Funds. Subject to the supervision of the Board, the Adviser manages the overall investment operations of the Funds, primarily in the form of oversight of the Sub-Adviser pursuant to the terms of the Current Advisory Agreement between the Adviser and the Company on behalf of the Funds. The Sub-Adviser is paid a fee equal to the annual rate of 0.475% of the Oakhurst Fixed Income Fund’s average daily net assets, 0.325% of the Oakhurst Short Duration Bond Fund’s average daily net assets, and 0.725% of the Oakhurst Short Duration High Yield Credit Fund’s average daily net assets. Compensation of the Sub-Adviser is paid by the Adviser (not the Funds) at the annual rate of the average value of a Fund’s daily net assets. The Sub-Adviser’s fee is reduced on a pro-rata basis to the extent that the Adviser reduces its advisory fees or reimburses expenses of the Funds.
Under an expense limitation agreement between the Company, on behalf of the Funds, and the Adviser (the “Current Expense Limitation Agreement”), the Adviser has contractually agreed until October 30, 2025 to reduce its investment advisory fees and to pay other operating expenses to the extent necessary to limit annual ordinary operating expenses (excluding interest, taxes, acquired fund fees and expenses, brokerage commissions, dividend expenses on short sales, and other expenditures which are capitalized in accordance with generally accepted accounting principles and other extraordinary expenses) to 0.60% (0.58% until October 30, 2024) of the average daily net assets allocable to the Institutional Class shares of the Oakhurst Fixed Income Fund, 0.60% of the average daily net assets allocable to the Institutional Class shares of the Oakhurst Short Duration Bond Fund, and 0.95% of the average daily net assets allocable to the Institutional Class shares of the Oakhurst Short Duration High Yield Credit Fund. During the period from October 30, 2023 through February 29, 2024, the Adviser reduced advisory fees for the Oakhurst Fixed Income Fund, Oakhurst Short Duration Bond Fund, and the Oakhurst Short Duration High Yield Credit Fund by $64,935, $41,657, and $30,471, respectively.
Prior to October 30, 2023, the Sub-Adviser served as the investment adviser to the Predecessor Funds pursuant to an investment advisory agreement between the F/m Funds Trust, on behalf of the Predecessor Funds, and the Sub-Adviser (the “Prior Advisory Agreement”). The fee structure under the Prior Advisory Agreement was identical to the fee structure under the Current Advisory Agreement. In addition, the Sub-Adviser contractually agreed through October 29, 2023 to limit the amount of the Predecessor Funds’ total annual operating expenses (excluding interest, taxes, acquired fund fees and expenses, brokerage commissions, dividend expenses on short sales, and other expenditures which are capitalized in accordance with generally accepted accounting principles and other extraordinary expenses) pursuant to an expense limitation agreement (the “Prior Expense Limitation Agreement”) to 0.60% of the average daily net assets allocable to the Institutional Class shares of the Oakhurst Fixed Income Fund, 0.60% of the average daily net assets allocable to the Institutional Class shares of the Oakhurst Short Duration Bond Fund, and 0.95% of the average daily net assets allocable to the Institutional Class shares of the Oakhurst Short Duration High Yield Credit Fund. During the period from September 1, 2023 through October 29, 2023, the Sub-Adviser reduced advisory fees to the Predecessor Funds by $43,560, $32,009, and $25,807, for the Oakhurst Fixed Income Fund, the Oakhurst Short Duration Bond Fund, and the Oakhurst Short Duration High Yield Credit Fund, respectively.
Advisory fee reductions and expense reimbursements by the Adviser are subject to repayment by the Funds for a period of three years after such fees and expenses were incurred, provided that the repayments do not cause the Funds’ ordinary operating expenses (excluding interest, taxes, acquired fund fees and expenses, brokerage commissions, dividend expenses on short sales, and other expenditures which are capitalized in accordance with generally accepted accounting principles and other extraordinary expenses) to exceed the expense caps that were in effect when the fees and expenses were paid, waived, or absorbed by the Adviser, as well as the expense cap currently in effect. As of February 29, 2024, the Adviser may in the future recover advisory fee reductions and expense reimbursements totaling $64,935, $41,657, and $30,471 for the Oakhurst Fixed Income Fund, Oakhurst Short Duration Bond Fund, and the Oakhurst Short Duration High Yield Credit Fund, respectively. The Adviser may recover this amount no later than February 28, 2027. The advisory fees and expense waivers and/or reimbursement under the Prior Expense Limitation Agreement is not subject to repayment by the Funds.
37 |
Oakhurst Mutual Funds
Notes to Financial Statements
February 29, 2024 (UNAUDITED)
During the current fiscal period, investment advisory fees accrued, waived and/or reimbursed were as follows:
|
Gross |
Waivers and/or |
Recoupments |
Net |
||||||||||||
Oakhurst Fixed Income Fund |
$ | 275,469 | $ | (108,495 | ) | $ | — | $ | 166,974 | |||||||
Oakhurst Short Duration Bond Fund |
42,595 | (73,666 | ) | — | (31,071 | ) | ||||||||||
Oakhurst Short Duration High Yield Credit Fund |
147,535 | (56,278 | ) | — | 91,257 |
Ultimus Fund Solutions served as administrator for the Funds through October 27, 2023. Effective October 28, 2023, 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.
Ultimus Fund Solutions served as transfer and dividend disbursing agent for the Funds through October 27, 2023. Effective October 28, 2023, 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.
Ultimus Fund Distributors, LLC served as the principal underwriter and distributor of the Funds’ shares pursuant to a distribution agreement with F/m Funds Trust through October 27, 2023. Effective October 28, 2023, 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 the Company.
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. Key Bridge Compliance, LLC provided the Chief Compliance Officer and compliance services to F/m Funds Trust. Additionally, certain trustees of the Predecessor Funds were affiliated with the Adviser and were not paid by the Predecessor Funds for serving in such capacities. Employees of the Company 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 current fiscal period, there were no director and officer fees charged or paid by the Funds.
PRINCIPAL HOLDERS OF FUND SHARES - As of February 29, 2024, the following shareholders owned of record 25% or more of the outstanding shares of each Fund:
NAME OF RECORD OWNER |
% Ownership |
|||
Oakhurst Fixed Income Fund |
||||
Charles Schwab & Company (for the benefit of its customers) |
61 | % | ||
National Financial Services, LLC (for the benefit of its customers) |
39 | % | ||
Oakhurst Short Duration Bond Fund |
||||
Charles Schwab & Company (for the benefit of its customers) |
94 | % | ||
Oakhurst Short Duration High Yield Credit Fund |
||||
Charles Schwab & Company (for the benefit of its customers) |
81 | % |
38 |
Oakhurst Mutual Funds
Notes to Financial Statements
February 29, 2024 (UNAUDITED)
A beneficial owner of 25% or more of a Fund’s outstanding shares may be considered a controlling person. That shareholder’s vote could have a more significant effect on matters presented at a shareholders’ meeting.
3. INVESTMENT TRANSACTIONS
During the current fiscal period ended February 29, 2024, cost of purchases and proceeds from sales and maturities of investment securities, other than short-term investments and U.S. government securities, were as follows:
|
Oakhurst |
Oakhurst |
Oakhurst |
|||||||||
Purchases of investment securities |
$ | 11,448,369 | $ | 754,908 | $ | 4,553,893 | ||||||
Proceeds from sales and maturities of investment securities |
13,381,008 | 7,351,960 | 10,915,126 |
During the fiscal period ended February 29, 2024, cost of purchases and proceeds from sales and maturities of U.S. government long-term securities were as follows:
|
Oakhurst |
Oakhurst |
Oakhurst |
|||||||||
Purchases of U.S. government long-term securities |
$ | 9,915,314 | $ | 2,913,895 | $ | — | ||||||
Proceeds from sales and maturities of U.S. government securities |
9,789,934 | 1,039,119 | — |
4. FEDERAL INCOME TAX INFORMATION
Each Fund has qualified and intends to continue to qualify as a regulated investment company under the Internal Revenue Code of 1986, as amended (the “Code”). Accordingly, the Funds intend to distribute their taxable income and net realized gains, if any, to shareholders in accordance with timing requirements imposed by the Code. Therefore, no federal income tax provision is provided in the Funds’ financial statements.
In order to avoid imposition of the excise tax applicable to regulated investment companies, it is also each Fund’s intention to declare as dividends in each calendar year at least 98% of its net investment income (earned during the calendar year) and 98.2% of its net realized capital gains (earned during the twelve months ended October 31) plus undistributed amounts from prior years.
The following information is computed on a tax basis for each item as of August 31, 2023:
|
Oakhurst |
Oakhurst |
Oakhurst |
|||||||||
Tax cost of investments |
$ | 125,706,107 | $ | 28,816,509 | $ | 44,508,911 | ||||||
Gross unrealized appreciation |
270,159 | 59,830 | 217,309 | |||||||||
Gross unrealized depreciation |
(11,067,212 | ) | (1,558,181 | ) | (1,609,856 | ) | ||||||
Net unrealized depreciation on investments |
(10,797,053 | ) | (1,498,351 | ) | (1,392,547 | ) | ||||||
Undistributed ordinary income |
170,671 | 10,439 | 29,178 |
39 |
Oakhurst Mutual Funds
Notes to Financial Statements
February 29, 2024 (UNAUDITED)
|
Oakhurst |
Oakhurst |
Oakhurst |
|||||||||
Tax cost of investments |
$ | (6,294,048 | ) | $ | (4,484,098 | ) | $ | (11,725,290 | ) | |||
Distributions payable |
(137,143 | ) | (1,965 | ) | (7,793 | ) | ||||||
Accumulated deficit |
$ | (17,057,573 | ) | $ | (5,973,975 | ) | $ | (13,096,452 | ) |
The difference between the federal income tax cost of investments and the financial statement cost of investments for each Fund is due to certain timing differences in the recognition of capital gains and losses under income tax regulations and GAAP. These timing differences are temporary in nature and are due to the tax deferral of losses on wash sales.
The tax character of distributions paid to shareholders during the fiscal year ended August 31, 2023 was as follows:
Year Ended |
Ordinary |
Long-Term |
Total |
|||||||||
Oakhurst Fixed Income Fund: |
||||||||||||
August 31, 2023 |
$ | 4,008,527 | $ | — | $ | 4,008,527 | ||||||
Oakhurst Short Duration Bond Fund: |
||||||||||||
August 31, 2023 |
$ | 1,532,262 | $ | — | $ | 1,532,262 | ||||||
Oakhurst Short Duration High Yield Credit Fund: |
||||||||||||
August 31, 2023 |
$ | 3,601,448 | $ | — | $ | 3,601,448 |
* |
Total Distributions may not tie to the amounts listed on the Statements of Changes in Net Assets due to dividends payable amounts. |
As of August 31, 2023, the Funds had the following capital loss carryforwards (“CLCFs”) for federal income tax purposes:
|
Oakhurst |
Oakhurst |
Oakhurst |
|||||||||
Short-term loss carryforwards |
$ | 812,224 | $ | 2,003,293 | $ | 4,797,340 | ||||||
Long-term loss carryforwards |
5,481,824 | 2,480,805 | 6,927,950 | |||||||||
Total |
$ | 6,294,048 | $ | 4,484,098 | $ | 11,725,290 |
These CLCFs may be carried forward indefinitely and are available to offset net realized capital gains in future years, thereby reducing future taxable capital gain distributions.
The Funds recognize the tax benefits or expenses of uncertain tax positions only when the position is “more likely than not” to be sustained assuming examination by tax authorities. Management has reviewed each Fund’s tax positions taken on Federal income tax returns for the current and all open tax years (generally, three years) and has concluded that no provision for unrecognized tax benefits or expenses is required in these financial statements and does not expect this to change over the next year. Each Fund identifies its major tax jurisdiction as U.S. Federal.
Each Fund recognizes interest and penalties, if any, related to unrecognized tax benefits as income tax expenses on the Statements of Operations. During the fiscal year ended August 31, 2023, the Funds did not incur any interest or penalties.
40 |
Oakhurst Mutual Funds
Notes to Financial Statements
February 29, 2024 (UNAUDITED)
5. Risks Associated with Collateralized Mortgage Obligations
Oakhurst Fixed Income Fund and Oakhurst Short Duration Bond Fund have each adopted a fundamental policy to concentrate its investments in collateralized mortgage obligations (“CMOs”). This means each Fund will invest at least 25% of its total assets in agency and non-agency CMOs. The Funds’ investments in CMOs are subject to prepayment risk, especially when interest rates decline. Prepayment risk is the risk that the principal on CMOs, other asset-backed securities or any fixed-income security with an embedded call option may be prepaid at any time, which could reduce yield and market value. This could reduce the effective maturity of a CMO and cause the Funds to reinvest their assets at a lower prevailing interest rate. CMOs are also subject to extension risk, which is the risk that rising interest rates will increase the effective maturity of CMOs due to the deceleration of prepayments. CMOs may also be subject to risks unique to the housing industry, including mortgage lending practices, defaults, foreclosures and changes in real estate values. The Funds’ investments in CMOs are subject to default risk, prepayment and extension risk and market risk when interest rates rise. As a result of each Fund’s policy to concentrate in CMOs, the Funds will be subject to the risks associated with these securities to a greater degree than a fund that does not concentrate in CMOs. As of the end of the current fiscal period, Oakhurst Fixed Income Fund and Oakhurst Short Duration Bond Fund had 27.1% and 43.3%, respectively, of the value of their net assets invested in CMOs.
6. Risks Associated with Lower Rated Debt Securities
Oakhurst Short Duration High Yield Credit Fund invests primarily in lower-rated debt securities (commonly called “junk” bonds). These securities are often considered to be speculative and involve greater risk of default or price changes than higher-rated securities due to changes in the issuer’s creditworthiness. Prices of lower-rated securities have been found to be less sensitive to interest rate changes and more sensitive to adverse economic changes and individual corporate developments than more highly rated investments. An economic downturn tends to disrupt the market for lower-rated securities and may adversely affect their values. Such an economic downturn may be expected to result in increased defaults by the issuers of such securities. Securities rated below Baa by Moody’s Investors Service, Inc. or BBB by S&P Global Ratings or Fitch Ratings, Inc. are generally considered to be “junk” bonds.
7. Risks Associated with Rule 144A Securities
Rule 144A securities are securities that are exempt from registration in compliance with the Securities Act of 1933, as amended, and the rules thereunder, and may have legal restrictions on resale. Under Rule 144A, these privately placed securities may be resold to qualified institutional buyers (“QIBs”), subject to certain conditions. An insufficient number of QIBs interested in purchasing Rule 144A securities at a particular time could adversely affect the marketability of the securities and a Fund might be unable to dispose of the securities promptly or at a reasonable price. Please refer to the Schedule of Investments for further details regarding each Fund’s investments in 144A securities.
8. Bank Line of Credit
Oakhurst Fixed Income Fund had an uncommitted senior secured line of credit up to $6,000,000 with its custodian bank which expired on December 15, 2023. Oakhurst Short Duration Bond Fund had an uncommitted senior secured line of credit up to $3,000,000, with its custodian bank which expired on December 15, 2023. Oakhurst Short Duration High Yield Credit Fund had an uncommitted senior secured line of credit up to $3,500,000, with its custodian bank which expired on December 15, 2023. All portfolio securities held by each Fund are pledged as collateral for its line of credit. Borrowings under the lines of credit bear interest at a rate per annum equal to the bank’s Prime Rate at the time of borrowing. As of the end of the current fiscal period, the Prime Rate was 8.50%. During the current fiscal period, none of the Funds borrowed under their respective lines of credit.
9. 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.
41 |
Oakhurst Mutual Funds
Notes to Financial Statements
February 29, 2024 (UNAUDITED)
In October 2022, the SEC adopted a final rule relating to tailored shareholder reports for mutual funds and exchange-traded funds and fee information in investment company advertisements. Beginning in July 2024, the Funds will be required to transmit concise and visually engaging shareholder reports that highlight key information. The Funds will also be required to tag information in a structured data format and that certain more in-depth information be made available online and available for delivery free of charge to investors on request.
In December 2022, the FASB issued an Accounting Standards Update, ASU 2022-06, Reference Rate Reform (Topic 848) – Deferral of the Sunset Date of Topic 848 (“ASU 2022-06”). ASU 2022-06 is an amendment to ASU 2020-04, which provided optional guidance to ease the potential accounting burden due to the discontinuation of the London Inter-Bank Offered Rate and other interbank-offered based reference rates and which was effective as of March 12, 2020 through December 31, 2022. ASU 2022-06 extends the effective period through December 31, 2024. Management is currently evaluating the impact, if any, of applying ASU 2022-06.
10. Subsequent Events
In preparing these financial statements, management has evaluated events and transactions for potential recognition or disclosure through the date the financial statements were available to be issued.
Subsequent to the end of the current fiscal period, the Funds paid the following distributions:
Fund |
Record Date |
EX-DATE/ |
Distribution |
|||||||||
Oakhurst Fixed Income Fund |
March 27, 2024 | March 28, 2024 | $ | 0.02598148 | ||||||||
Oakhurst Short Duration Bond Fund |
March 27, 2024 | March 28, 2024 | $ | 0.02874828 | ||||||||
Oakhurst Short Duration High Yield Credit Fund |
March 27, 2024 | March 28, 2024 | $ | 0.04515305 |
42 |
Oakhurst Mutual Funds
Other Information
(Unaudited)
INFORMATION ON PROXY VOTING
A description of the policies and procedures that the Funds use to vote proxies relating to portfolio securities is available without charge upon request by calling toll-free 1-800-292-6775, or on the SEC’s website at www.sec.gov. Information regarding how the Funds voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is also available without charge upon request by calling toll-free 1-800-292-6775, or on the SEC’s website at www.sec.gov.
QUARTERLY SCHEDULE OF INVESTMENTS
The Company files a complete listing of portfolio holdings for the Funds with the SEC as of the end of the first and third quarters of each fiscal year as an exhibit on Form N-PORT. These filings are available upon request by calling 1-800-292-6775. Furthermore, you may obtain a copy of the filings on the SEC’s website at www.sec.gov and the Funds’ website www.fm-funds.com.
43 |
OAKHURST MUTUAL FUNDS
OTHER INFORMATION
(Unaudited)
APPROVAL OF NEW INVESTMENT ADVISORY AND SUB-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 (i) a new investment advisory agreement (the “Oakhurst Funds Advisory Agreement”) between the Company and the Adviser with respect to each Fund, and (ii) a new sub-advisory agreement (the “Oakhurst Funds Sub-Advisory Agreement”) by and among the Company, the Adviser and the Sub-Adviser with respect to each Fund, at a meeting of the Board held on February 8-9, 2023 (the “Meeting”). At the Meeting, the Board, including all of the Independent Directors, approved the Oakhurst Funds Advisory Agreement and Oakhurst Funds Sub-Advisory Agreement for an initial period ending August 16, 2024. The Board’s decision to approve the Oakhurst Funds Advisory Agreement and Oakhurst Funds Sub-Advisory Agreement reflects the exercise of its business judgment. In approving the Oakhurst Funds Advisory Agreement and Oakhurst Funds Sub-Advisory Agreement, the Board considered information provided by the Adviser and the Sub-Adviser, with the assistance and advice of counsel to the Independent Directors and the Company.
In considering the approval of the Oakhurst Funds Advisory Agreement and Oakhurst Funds Sub Advisory Agreement, the Directors took into account all 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 Sub-Adviser, and discussed the Oakhurst Funds Advisory Agreement and Oakhurst Funds Sub-Advisory Agreement with counsel in executive sessions, at which no representatives of the Adviser or Sub-Adviser were present. The Directors considered whether approval of the Oakhurst Funds Advisory Agreement and Oakhurst Funds Sub-Advisory Agreement would be in the best interests of the Funds and their shareholders and the overall fairness of the Oakhurst Funds Advisory Agreement and Oakhurst Funds Sub-Advisory Agreement. Among other things, the Directors considered (i) the nature, extent, and quality of services proposed to be provided to the Funds by the Adviser and Sub-Adviser; (ii) descriptions of the experience and qualifications of the personnel providing those services; (iii) the Adviser’s and Sub-Adviser’s investment philosophy and process; (iv) the Adviser’s and Sub-Adviser’s assets under management and client descriptions; (v) the Adviser’s and Sub-Adviser’s soft dollar commission and trade allocation policies; (vi) the Adviser’s and Sub-Adviser’s advisory fee arrangements and other similarly managed clients, as applicable; (vii) the Adviser’s and Sub- Adviser’s compliance procedures; (viii) the Adviser’s and Sub-Adviser’s financial information, insurance coverage and profitability analysis relating to providing services to the Funds; (ix) the extent to which economies of scale are relevant to the Funds; and (x) a report comparing each of the Predecessor Funds’ advisory fees and total expense ratio to those of its Morningstar peer group and comparing the performance of each of the Predecessor Funds to the performance of its Morningstar peer group.
The Directors evaluated the nature, extent and quality of the services that the Adviser and Sub-Adviser would provide under the Oakhurst Funds Advisory Agreement and Oakhurst Funds Sub-Advisory Agreement, respectively. Based on the information provided and the Directors’ prior experience with affiliates of the Adviser and Sub-Adviser, the Directors concluded that the nature and extent of the services that the Adviser and Sub- Adviser would provide under the Oakhurst Funds Advisory Agreement and Oakhurst Funds Sub-Advisory Agreement, respectively, as well as the quality of those services, was satisfactory.
The Directors examined fee information for the Funds, including a comparison of such information to other similarly situated funds, and the projected total expense ratio of the Funds. In this regard, the Directors noted that the fees payable to the Sub-Adviser under the Oakhurst Funds Sub-Advisory Agreement would be paid directly by the Adviser and not by the Funds. The Directors also noted that the Adviser had contractually agreed to waive its management fee and reimburse expenses for at least two years to limit total annual operating expenses to agreed upon levels for each Fund.
The Directors also reviewed analyses of the estimated profitability of each of the Adviser and Sub-Adviser related to its provision of advisory services to the Funds. Based on the information provided, the Directors concluded that the amount of fees payable under the Oakhurst Funds Advisory Agreement and Oakhurst Funds Sub-Advisory Agreement were reasonable in light of the nature and quality of the services provided.
The Directors reviewed information concerning each Predecessor Fund’s investment performance, both absolutely as well as compared to its benchmark index and Morningstar peer group. The Directors considered each Predecessor Fund’s investment performance in light of its investment objective and strategies. After considering all of the information, the Directors concluded that each Fund and its shareholders were likely to benefit from the Adviser’s and Sub-Adviser’s provision of investment management services to the Funds.
44 |
OAKHURST MUTUAL FUNDS
OTHER INFORMATION
(Unaudited)
In considering the overall fairness of the Oakhurst Funds Advisory Agreement and Oakhurst Funds Sub-Advisory Agreement, the Directors assessed the degree to which economies of scale that would be expected to be realized as each Fund’s assets increased and the extent to which fee levels would reflect those economies of scale for the benefit of the Fund’s shareholders. The Directors noted that each Fund’s advisory 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 Oakhurst Funds Advisory Agreement and Oakhurst Funds Sub-Advisory Agreement were reasonable and appropriate.
In addition to the above factors, the Directors also considered other benefits to be received by the Adviser and Sub-Adviser from their management of the Funds, including, without limitation, the ability to market their advisory services for similar products in the future.
Based on all of the information presented to and considered by the Directors and the conclusions that they reached, the Board determined to approve the Oakhurst Funds Advisory Agreement and Oakhurst Funds Sub-Advisory Agreement for an initial period ending August 16, 2024.
45 |
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Investment Adviser
F/m Investments, LLC d/b/a Oakhurst Capital Management, LLC
3050 K Street, NW
Suite 201
Washington, DC 20007
Sub-Adviser
Oakhurst Capital Advisors, LLC
1875 Century Park E,
Suite 950
Los Angeles, CA 90067
Administrator and Transfer Agent
U.S.Bank Global Fund Services
P.O. Box 701
Milwaukee,Wisconsin 53201-0701
Principal Underwriter
Quasar Distributors, LLC
3 Canal Plaza, Suite 100
Portland, ME 04101
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, OH 44115
Legal Counsel
Faegre Drinker Biddle & Reath LLP
One Logan Square, Suite 2000
Philadelphia, Pennsylvania 19103-6996
49 |
Semi-Annual Report
February 29, 2024
(Unaudited)
F/m Opportunistic Income ETF | (Nasdaq: XFIX)
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 Example |
3 |
Schedule of Investments |
5 |
Financial Statements |
8 |
Notes to Financial Statements |
12 |
Notice to Shareholders |
20 |
F/m Opportunistic Income ETF
Letter to Shareholders
February 29, 2024 (Unaudited)
F/m Investments LLC |
Dear Shareholder:
It’s been less than six months since we listed the F/m Opportunistic Income ETF (the “Fund”). Since the listing, the rate markets have oscillated between “Higher for Longer,” driving Treasury yields to higher and prices lower, to a “Hard Landing” with rallying Treasury yields and prices, to a “Soft Landing” with rates backing up somewhat but supported by easing inflation. Throughout these market shifts, your Fund has been managed using the same strategy. Invest in good credits with a history of supporting bond holders, whose bonds are undervalued.
This strategy, born in the fires of the Great Recession, is similar to a value stock strategy, picking stocks that are undervalued that theoretically, over time, will have that value recognized by the market. However, picking value bonds means combining good yield with potential capital gains, not just if the market recognizes it, but also if the bonds mature, get called, or tendered. Unlike stocks, our focused portfolio of bonds and preferred stocks has multiple possibilities for gain, while paying income backed by a good credit.
From its inception on September 5, 2023 through February 29, 2024, the Fund has owned 35 investments and a market return of 4.90% versus the Bloomberg US Agg Total Return Value Unhedged USD Index return of 3.37% for the same period. Our strongest contribution for the period came from the bonds of a gold mining company that benefited from the rise in the price of gold and the potential of an improved credit profile from an acquisition. Not all of the investments have worked out well. Two investments of $25 par value bonds, one in a financial company and the other in an industrial company, rapidly deteriorated to the point where we felt they were no longer “Good” credits that could support the bonds, and we sold them at a loss. However, these positions were appropriately sized and their impact on the overall portfolio was muted, allowing the rest of the solid performers in the portfolio to drive the outperformance for the period.
Looking forward, we continue to expect volatile markets. By definition, a potential “Soft Landing” would mean inflation cooling, while the economy “flirts” with a recession. But this leaves plenty of potential for a “Hard Landing” with a recession and lower inflation, and potential for a “No Landing” with no recession but resurgent inflation (and other potentials we don’t have room for).
While we believe the US will have a “Soft Landing,” we will be watchful for a “Hard Landing” or “No Landing” and the potential market disruptions that may cause. But we remind shareholders that, just like the Great Recession, market disruptions are potential opportunities to purchase great assets at great prices. We will seek to be proactive and position the Fund appropriately to weather the turmoil and take advantage of any opportunities the markets should present.
Enjoy the markets, take what they give you, and may all your returns be positive.
Peter Baden |
Justin Hennessy |
Marcin Zdunek |
Past performance is not a guarantee of future results.
Must be preceded or accompanied by a current prospectus.
Investments involve risk. Principal loss is possible. As with all ETFs, Fund shares may be bought and sold in the secondary market at market prices higher or lower than the Fund shares’ net asset value. Interest rate risk is the risk of losses attributable to changes in interest rates. In general, if prevailing interest rates rise, the values of debt instruments tend to fall, and if interest rates fall, the values of debt instruments tend to rise.
1 |
F/m Opportunistic Income ETF
Performance Data
(Unaudited)
AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED FEBRUARY 29, 2024 |
||
Since |
Inception |
|
F/m Opportunistic Income ETF (at NAV) |
4.40% |
9/5/2023 |
F/m Opportunistic Income ETF (at Market Price) |
4.90% |
9/5/2023 |
Bloomberg US Agg Total Return Value Unhedged USD Index* |
3.37%(1) |
— |
Fund Expense Ratio(2) : 0.39% |
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.fminvest.com/etfs/xfix. 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 F/m Opportunistic Income ETF (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 Bloomberg US Agg Total Return Value Unhedged USD Index is a broad-based flagship benchmark that measures the investment grade, US dollar-denominated, fixed-rate taxable bond market. |
2 |
F/m Opportunistic Income ETF
Fund Expense Example
February 29, 2024 (Unaudited)
As a shareholder of the Fund, you incur two types of costs: (1) transaction costs and (2) ongoing costs, including management fees. 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 ETFs.
This example is based on an investment of $1,000 invested at the beginning of the six-month period from September 1, 2023 through February 29, 2024, and held for the entire period. The actual values and expenses are based on the 177-day period from the Fund’s inception on September 5, 2023 through February 29, 2024.
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 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 |
Ending |
Expenses |
Annualized |
ACTUAL SINCE INCEPTION TOTAL INVESTMENT RETURN FOR THE FUND |
|||||||||||||||
Actual |
$ | 1,000.00 | $ | 1,044.00 | $ | 1.93 | 0.39 | % | 4.40 | % | ||||||||||
Hypothetical (5% return before expenses) |
1,000.00 | 1,022.92 | 1.96 | 0.39 | % | N/A |
* |
Expenses are equal to the Fund’s annualized expense ratio for the period September 1, 2023 through February 29, 2024, multiplied by the average account value over the period, multiplied by the number of days (182) in the most recent fiscal half-year, then divided by 366 to reflect the one-half year period. The actual dollar amounts shown are expenses paid by the Fund during the period from the Fund’s inception on September 5, 2023 through February 29, 2024 multiplied by 177 days, which is the number of days from the Fund’s inception through February 29, 2024. 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. |
3 |
F/m Opportunistic Income ETF
PORTFOLIO HOLDINGS SUMMARY TABLE
February 29, 2024 (Unaudited)
SECURITY TYPE/CLASSIFICATION |
% OF NET |
VALUE |
||||||
CORPORATE BONDS |
||||||||
Administrative and Support and Waste Management and Remediation Services |
4.5 | % | $ | 1,266,284 | ||||
Communication Services |
4.9 | 1,369,853 | ||||||
Consumer Discretionary |
9.9 | 2,776,989 | ||||||
Energy |
12.7 | 3,570,679 | ||||||
Finance and Insurance |
4.8 | 1,352,735 | ||||||
Financials |
10.0 | 2,815,593 | ||||||
Health Care |
5.2 | 1,455,157 | ||||||
Industrials |
9.4 | 2,641,756 | ||||||
Information Technology |
15.2 | 4,241,635 | ||||||
Manufacturing |
10.0 | 2,797,206 | ||||||
Professional, Scientific, and Technical Services |
4.9 | 1,379,143 | ||||||
Utilities |
4.9 | 1,386,541 | ||||||
EXCHANGE TRADED FUNDS |
1.5 | 426,484 | ||||||
MUNICIPAL BONDS |
0.5 | 146,374 | ||||||
SHORT-TERM INVESTMENTS |
||||||||
Money Market Deposit Accounts |
0.0 | 1,340 | ||||||
OTHER ASSETS IN EXCESS OF OTHER LIABILITIES |
1.6 | 450,200 | ||||||
NET ASSETS |
100.0 | % | $ | 28,077,969 |
The accompanying notes are an integral part of these financial statements.
4 |
F/m Opportunistic Income ETF
Schedule of Investments
February 29, 2024 (Unaudited)
|
Par |
Value |
||||||
CORPORATE BONDS — 96.4% |
||||||||
Administrative and Support and Waste Management and Remediation Services — 4.5% |
||||||||
Enstar Finance LLC, 5.50% to 01/15/2027 then 5 yr. CMT Rate + 4.01%, 01/15/2042 |
1,406,000 | $ | 1,266,284 | |||||
Communication Services — 4.9% |
||||||||
Paramount Global, 4.95%, 01/15/2031 |
1,560,000 | 1,369,853 | ||||||
Consumer Discretionary — 9.9% |
||||||||
Ford Motor Co., 3.25%, 02/12/2032 |
1,753,000 | 1,437,560 | ||||||
VF Corp., 2.95%, 04/23/2030 |
1,625,000 | 1,339,429 | ||||||
2,776,989 | ||||||||
Energy — 12.7% |
||||||||
Cheniere Energy Partners LP, 4.50%, 10/01/2029 |
1,461,000 | 1,368,467 | ||||||
Kinder Morgan, Inc., 5.55%, 06/01/2045 |
1,531,000 | 1,437,392 | ||||||
Phillips 66 Partners LP |
||||||||
3.61%, 02/15/2025 |
65,000 | 63,294 | ||||||
3.75%, 03/01/2028 |
500,000 | 437,797 | ||||||
3.15%, 12/15/2029 |
325,000 | 263,729 | ||||||
3,570,679 | ||||||||
Finance and Insurance — 4.8% |
||||||||
Nationwide Financial Services, Inc., 6.75%, 05/15/2037 |
1,396,000 | 1,352,735 | ||||||
Financials — 10.0% |
||||||||
Bank of America Corp., 5.88% to 03/15/2028 then 3 mo. Term SOFR + 3.19%, Perpetual |
1,446,000 | 1,401,110 | ||||||
JPMorgan Chase & Co., 4.60% to 02/01/2025 then 3 mo. Term SOFR + 3.13%, Perpetual |
1,453,000 | 1,414,483 | ||||||
2,815,593 | ||||||||
Health Care — 5.2% |
||||||||
Viatris, Inc., 3.85%, 06/22/2040 |
1,980,000 | 1,455,157 | ||||||
Industrials — 9.4% |
||||||||
Concentrix Corp., 6.60%, 08/02/2028 |
1,396,000 | 1,403,920 | ||||||
Howmet Aerospace, Inc., 6.88%, 05/01/2025 |
1,225,000 | 1,237,836 | ||||||
2,641,756 |
The accompanying notes are an integral part of these financial statements.
5 |
F/m Opportunistic Income ETF
Schedule of Investments (COntinued)
February 29, 2024 (Unaudited)
|
Par |
Value |
||||||
CORPORATE BONDS — 96.4% (continued) |
||||||||
Information Technology — 15.2% |
||||||||
Autodesk, Inc., 2.40%, 12/15/2031 |
1,697,000 | $ | 1,409,325 | |||||
Kyndryl Holdings, Inc., 6.35%, 02/20/2034 |
1,437,000 | 1,450,439 | ||||||
VeriSign, Inc., 4.75%, 07/15/2027 |
1,409,000 | 1,381,871 | ||||||
4,241,635 | ||||||||
Manufacturing — 10.0% |
||||||||
Celanese US Holdings LLC, 6.33%, 07/15/2029 |
1,373,000 | 1,410,004 | ||||||
Dell, Inc., 6.50%, 04/15/2038 |
1,329,000 | 1,387,202 | ||||||
2,797,206 | ||||||||
Professional, Scientific, and Technical Services — 4.9% |
||||||||
Leidos, Inc., 5.75%, 03/15/2033 |
1,357,000 | 1,379,143 | ||||||
Utilities — 4.9% |
||||||||
Florida Power & Light Co., 3.80%, 12/15/2042 |
1,696,000 | 1,386,541 | ||||||
TOTAL CORPORATE BONDS (Cost $26,368,010) |
27,053,571 |
|
Shares |
|
||||||
EXCHANGE TRADED FUNDS — 1.5%(a) |
||||||||
F/m 2-Year Investment Grade Corporate Bond ETF (b) |
8,210 | 411,477 | ||||||
F/m 3-Year Investment Grade Corporate Bond ETF(b) |
300 | 15,007 | ||||||
TOTAL EXCHANGE TRADED FUNDS (Cost $426,696) |
426,484 |
The accompanying notes are an integral part of these financial statements.
6 |
F/m Opportunistic Income ETF
Schedule of Investments (CONCLUDED)
February 29, 2024 (Unaudited)
|
Par |
Value |
||||||
MUNICIPAL BONDS — 0.5% |
||||||||
New Hampshire Business Finance Authority |
||||||||
3.25%, 04/01/2028 |
130,000 | $ | 112,279 | |||||
3.96%, 10/01/2031 |
40,000 | 34,095 | ||||||
TOTAL MUNICIPAL BONDS (Cost $143,093) |
146,374 | |||||||
TOTAL INVESTMENTS — 98.4% (Cost $26,937,799) |
27,626,429 | |||||||
Money Market Deposit Account — 0.0%(c)(d) |
1,340 | |||||||
Other Assets in Excess of Liabilities — 1.6% |
450,200 | |||||||
TOTAL NET ASSETS — 100.0% |
$ | 28,077,969 |
Percentages are stated as a percent of net assets.
SOFR - Secured Overnight Financing Rate
(a) |
Non-income producing security. |
(b) |
Affiliated company as defined by the Investment Company Act of 1940, as amended. |
(c) |
The U.S. Bank Money Market Deposit Account (the “MMDA”) is a short-term vehicle in which the Fund holds cash balances. The MMDA will bear interest at a variable rate that is determined based on market conditions and is subject to change daily. The MMDA interest rate as of February 29, 2024 was 5.20%. |
(d) |
Represents less than 0.05% of net assets. |
The accompanying notes are an integral part of these financial statements.
7 |
F/m Opportunistic Income ETF
Statements of Assets and Liabilities
February 29, 2024 (Unaudited)
|
|
|||
ASSETS |
||||
Investments in securities of unaffiliated issuers, at value (cost $26,511,103) |
$ | 27,199,945 | ||
Investments in securities of affiliated issuers, at value (cost $426,696) (See Note 8) |
426,484 | |||
Cash equivalents |
1,340 | |||
Receivables for: |
||||
Investments sold |
1,389,297 | |||
Interest |
337,183 | |||
Total assets |
29,354,249 | |||
LIABILITIES |
||||
Payables for: |
||||
Investments purchased |
1,267,564 | |||
Advisory fees |
8,716 | |||
Total liabilities |
1,276,280 | |||
Net assets |
$ | 28,077,969 | ||
NET ASSETS CONSIST OF: |
||||
Par value |
$ | 550 | ||
Paid-in capital |
27,316,968 | |||
Total distributable earnings/(losses) |
760,451 | |||
Net assets |
$ | 28,077,969 | ||
Shares outstanding ($0.001 par value, 100,000,000 shares authorized) |
550,000 | |||
Net asset value and redemption price per share |
$ | 51.05 |
The accompanying notes are an integral part of these financial statements.
8 |
F/m Opportunistic Income ETF
Statement of Operations
FOR THE Period ENDED February 29, 2024(1) (Unaudited)
|
|
|||
INVESTMENT INCOME |
||||
Interest income |
$ | 754,919 | ||
Dividends from unaffiliated investments |
20,783 | |||
Dividends from affiliated investments (See Note 8) |
19,219 | |||
Total investment income |
794,921 | |||
EXPENSES |
||||
Advisory fees (Note 3) |
49,950 | |||
Total expenses |
49,950 | |||
Net investment income/(loss) |
744,971 | |||
NET REALIZED AND UNREALIZED GAIN/(LOSS) FROM INVESTMENTS |
||||
Net realized gain/(loss) from investments in unaffiliated issuers |
(58,225 | ) | ||
Net realized gain/(loss) from investments in affiliated issuers (See Note 8) |
988 | |||
Net change in unrealized appreciation/(depreciation) on investments of unaffiliated issuers |
689,054 | |||
Net change in unrealized appreciation/(depreciation) on investments of affiliated issuers (See Note 8) |
(212 | ) | ||
Net realized and unrealized gain/(loss) |
631,393 | |||
NET INCREASE/(DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS |
$ | 1,376,364 |
(1) |
Inception date of the Fund was September 5, 2023. |
The accompanying notes are an integral part of these financial statements.
9 |
F/m Opportunistic Income ETF
Statements of Changes in Net Assets
|
FOR THE |
|||
INCREASE/(DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS |
||||
Net investment income/(loss) |
$ | 744,971 | ||
Net realized gain/(loss) from investments |
(57,237 | ) | ||
Net change in unrealized appreciation/(depreciation) on investments |
688,630 | |||
NET INCREASE/(DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS |
1,376,364 | |||
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS FROM: |
||||
Total distributable earnings |
(615,913 | ) | ||
Net decrease in net assets from dividends and distributions to shareholders |
(615,913 | ) | ||
CAPITAL SHARE TRANSACTIONS: |
||||
Proceeds from shares sold |
27,317,518 | |||
Shares redeemed |
— | |||
Net increase/(decrease) in net assets from capital share transactions |
27,317,518 | |||
TOTAL INCREASE/(DECREASE) IN NET ASSETS |
28,077,969 | |||
NET ASSETS: |
||||
Beginning of period |
$ | — | ||
End of period |
$ | 28,077,969 | ||
SHARE TRANSACTIONS: |
||||
Shares sold |
550,000 | |||
Shares redeemed |
— | |||
Net increase/(decrease) in shares |
550,000 |
(1) |
Inception date of the Fund was September 5, 2023. |
The accompanying notes are an integral part of these financial statements.
10 |
F/m Opportunistic Income 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 |
|||
|
(UNAUDITED) |
|||
PER SHARE OPERATING PERFORMANCE |
||||
Net asset value, beginning of period |
$ | 50.00 | ||
Net investment income/(loss)(2) |
1.42 | |||
Net realized and unrealized gain/(loss) from investments |
0.75 | |||
Net increase/(decrease) in net assets resulting from operations |
2.17 | |||
Dividends and distributions to shareholders from: |
||||
Net investment income |
(1.12 | ) | ||
Total dividends and distributions to shareholders |
(1.12 | ) | ||
Net asset value, end of period |
$ | 51.05 | ||
Market value, end of period |
$ | 51.31 | ||
Total investment return/(loss) on net asset value(3) |
4.40 | %(5) | ||
Total investment return/(loss) on market price(4) |
4.90 | %(5) | ||
RATIOS/SUPPLEMENTAL DATA |
||||
Net assets, end of period (000’s omitted) |
$ | 28,078 | ||
Ratio of expenses to average net assets |
0.39 | %(6) | ||
Ratio of net investment income/(loss) to average net assets |
5.82 | %(6) | ||
Portfolio turnover rate |
86 | %(5) |
(1) |
Inception date of the Fund was September 5, 2023. |
(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.
11 |
F/m Opportunistic Income ETF
Notes to Financial Statements
February 29, 2024 (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 sixty-four separate investment portfolios, including the F/m Opportunistic Income ETF (the “Fund”). The Fund commenced investment operations on September 5, 2023.
RBB has authorized capital of one hundred billion shares of common stock of which 92.723 billion shares are currently classified into two hundred and thirty-four 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 maximize total return, including both income and appreciation, by identifying undervalued and opportunistic sectors and securities in the U.S. fixed income markets.
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 29, 2024, and the period covered by these Notes to Financial Statements is the fiscal period since the Fund’s inception from September 5, 2023 through February 29, 2024 (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. 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” or “Directors”). Relying on prices supplied by pricing services or dealers or using fair valuation may result in values that are higher or lower than the values used by other investment companies and investors to price the same investments.
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” or “F/m”) 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 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.
12 |
F/m Opportunistic Income ETF
Notes to Financial Statements (continued)
February 29, 2024 (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 |
||||||||||||
Corporate Bonds |
$ | 27,053,571 | $ | — | $ | 27,053,571 | $ | — | ||||||||
Exchange Traded Funds |
426,484 | 426,484 | — | — | ||||||||||||
Municipal Bonds |
146,374 | — | 146,374 | — | ||||||||||||
Total Investments* |
27,626,429 | 426,484 | 27,199,945 | — |
* |
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 Fund’s investments may fluctuate from period to period. Additionally, the fair value of investments may differ significantly from the values that would have been used had a ready market existed for such investments and may differ materially from the values the Fund may ultimately realize. Further, such investments may be subject to legal and other restrictions on resale or otherwise less liquid than publicly traded securities.
For fair valuations using significant unobservable inputs, U.S. generally accepted accounting principles (“U.S. GAAP”) requires the Fund to present a reconciliation of the beginning to ending balances for reported market values that presents changes attributable to total realized and unrealized gains or losses, purchase and sales, and transfers in and out of Level 3 during the period. Transfers in and out between levels are based on values at the end of the period. A reconciliation of Level 3 investments is presented only if 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 in and out of each level is disclosed when 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.
The Fund 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 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 gains 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 (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.
13 |
F/m Opportunistic Income ETF
Notes to Financial Statements (continued)
February 29, 2024 (Unaudited)
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS — The Fund will distribute substantially all of its net investment income and net realized capital gains, if any, to its shareholders. The 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 the Fund at least annually. Brokers may make the DTC book-entry dividend reinvestment service available to their customers who own the 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 the 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 the 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 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.
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, based on experience, the risk of material loss from such claims is considered remote.
2. INVESTMENT POLICIES AND PRACTICES
The sections below describe some of the different types of investments that may be made by the Fund and the investment practices in which the Fund may engage.
Cash Equivalents and Short-Term InvestmentS - The Fund may invest in cash, cash equivalents, and a variety of short-term instruments in such proportions as warranted by prevailing market conditions and the Fund’s principal investment strategies. The Fund 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, the Fund may not be able to achieve its investment objective.
Illiquid Investments - Pursuant to Rule 22e-4 under the 1940 Act, the 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 the 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, 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 the Fund is carrying the investments. To the extent an investment held by the Fund is deemed to be an illiquid investment or a less liquid investment, the 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 - The 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, the 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. The 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
14 |
F/m Opportunistic Income ETF
Notes to Financial Statements (continued)
February 29, 2024 (Unaudited)
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. These regulatory changes may adversely impact the Fund’s investment strategies and operations.
U.S. Government Securities - The 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.
Zero-Coupon and Step Coupon Securities - The 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.
CREDIT RISK - The value of your investment in each Fund may change in response to changes in the credit ratings of the Fund’s portfolio securities, including with respect to the underlying funds. Generally, investment risk and price volatility increase as a security’s credit rating declines. The financial condition of an issuer of a fixed income security held by each Fund may cause it to default or become unable to pay interest or principal due on the security.
Temporary Investments - During periods of adverse market or economic conditions, the 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, the Fund would not be pursuing its stated investment objective with its usual investment strategies. The 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. The 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.
15 |
F/m Opportunistic Income ETF
Notes to Financial Statements (continued)
February 29, 2024 (Unaudited)
3. INVESTMENT ADVISER AND OTHER SERVICES
The Fund pays all of its expenses other than those expressly assumed by the Adviser. Expenses of the 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 the Fund in accordance with the Fund’s respective investment objective and policies and formulates a continuing investment strategy for the Fund pursuant to the terms of the investment advisory agreement (the “Advisory Agreement”) between the Adviser and the Company on behalf of the 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. The Fund compensates the Adviser with a unitary management fee for its services at an annual rate of 0.39% of the Fund’s average daily net assets during the month. From the unitary management fee, the Adviser pays most of the expenses of the 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 the 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.
During the current fiscal period, investment advisory fees accrued were as follows:
ADVISORY FEES |
|||
$49,950 |
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 (“Quasar”), 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.
Under the Fund’s 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 Fund or the Company. As of the end of the current fiscal period, there were no director and officer fees charged or paid by the Fund.
16 |
F/m Opportunistic Income ETF
Notes to Financial Statements (continued)
February 29, 2024 (Unaudited)
4. PURCHASES AND SALES OF INVESTMENT SECURITIES
During the current fiscal period, aggregate purchases and sales of investment securities (excluding in-kind transactions and short-term investments) of the Fund were as follows:
|
|
|||
Purchases of investment securities |
$ | 23,408,996 | ||
Sales of investment securities |
23,538,463 |
During the current fiscal period, aggregate purchases and sales of in-kind transactions (excluding short-term investments) of the Fund were as follows:
|
|
|||
In-kind purchases of investment securities |
$ | 27,339,788 | ||
Proceeds from in-kind sales of investment securities |
— |
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 is subject to examination by U.S. taxing authorities for the tax periods since the commencement of operations. The amount and character of tax basis distributions and composition of net assets, including distributable earnings (accumulated deficit) are finalized at fiscal year-end; accordingly, tax basis balances have not been determined for the current fiscal period. Since the Fund did not have a full fiscal year, the tax cost of investments is the same as noted in the Schedule of Investments.
6. SHARE TRANSACTIONS
Shares of the Fund are listed and traded on the NASDAQ, Inc. (the “Exchange”). Market prices for the shares may be different from their NAV. The 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 the 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 the 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.
The 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 the 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 the Fund for the transaction costs associated with the cash transactions. Variable fees received by the Fund, if any, are displayed in the capital shares transactions section of the Statements of Changes in Net Assets.
17 |
F/m Opportunistic Income ETF
Notes to Financial Statements (continued)
February 29, 2024 (Unaudited)
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.
In October 2022, the SEC adopted a final rule relating to tailored shareholder reports for mutual funds and exchange-traded funds and fee information in investment company advertisements. Beginning in July 2024, the Fund will be required to transmit concise and visually engaging shareholder reports that highlight key information. The Fund will also be required to tag information in a structured data format and that certain more in-depth information be made available online and available for delivery free of charge to investors on request.
In December 2022, the FASB issued an Accounting Standards Update, ASU 2022-06, Reference Rate Reform (Topic 848) – Deferral of the Sunset Date of Topic 848 (“ASU 2022-06”). ASU 2022-06 is an amendment to ASU 2020-04, which provided optional guidance to ease the potential accounting burden due to the discontinuation of the London Inter-Bank Offered Rate and other interbank-offered based reference rates and which was effective as of March 12, 2020 through December 31, 2022. ASU 2022-06 extends the effective period through December 31, 2024. Management is currently evaluating the impact, if any, of applying ASU 2022-06.
8. TRANSACTIONS WITH AFFILIATES
The following issuers are affiliated with the Fund. Fund of funds are allowed to invest in other investment companies in excess of the limits imposed, if certain requirements, such as being part of the same group of investment companies, are met. As defined in Section (2)(a)(3) of the 1940 Act, such affiliated issuers are:
September 5, 2023* |
Additions |
Reductions |
||||||||||||||||||||||
Issuer Name |
Share |
Cost |
Share |
Cost |
Share |
Cost |
||||||||||||||||||
F/m 2-Year Investment Grade Corporate Bond ETF |
— | $ | — | 8,210 | $ | 411,649 | — | $ | — | |||||||||||||||
F/m 3-Year Investment Grade Corporate Bond ETF |
— | — | 300 | 15,047 | — | — | ||||||||||||||||||
U.S. Treasury 3 Month Bill ETF |
1,320 | 65,868 | 308,800 | 15,478,131 | 310,120 | 15,479,286 | ||||||||||||||||||
1,320 | $ | 65,868 | 317,310 | $ | 15,904,827 | 310,120 | $ | 15,479,286 |
* |
Inception date of the Fund was September 5, 2023. |
18 |
F/m Opportunistic Income ETF
Notes to Financial Statements (CONCLUDED)
February 29, 2024 (Unaudited)
February 29, 2024 |
||||||||||||||||||||||||||||
Issuer Name |
Dividend |
Capital Gain |
Net Change |
Realized |
Share |
Value |
Cost |
|||||||||||||||||||||
F/m 2-Year Investment Grade Corporate Bond ETF |
$ | — | $ | — | $ | (172 | ) | $ | (167 | ) | 8,210 | $ | 411,477 | $ | 411,649 | |||||||||||||
F/m 3-Year Investment Grade Corporate Bond ETF |
— | — | (40 | ) | — | 300 | 15,007 | 15,047 | ||||||||||||||||||||
U.S. Treasury 3 Month Bill ETF |
19,219 | — | — | 1,155 | — | — | — | |||||||||||||||||||||
$ | 19,219 | $ | — | $ | (212 | ) | $ | 988 | 8,510 | $ | 426,484 | $ | 426,696 |
9. SUBSEQUENT EVENTS
In preparing these financial statements, the Fund has evaluated events and transactions for potential recognition or disclosure through the date the financial statements were available to be issued.
Subsequent to the end of the current fiscal period, the Fund paid the following distributions:
Record Date |
Ex-Date |
Pay Date |
Distribution |
3/4/2024 |
3/1/2024 |
3/5/2024 |
$0.21938096 |
4/2/2024 |
4/1/2024 |
4/3/2024 |
$0.23129325 |
19 |
F/m Opportunistic Income ETF
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 filings 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 Fund trade on an exchange at a price above (i.e., at a premium) or below (i.e., at a discount) the NAV of the Fund is available, without charge, on the Fund’s website at www.fminvest.com/etfs/xfix.
APPROVAL OF NEW 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 a new investment advisory agreement (the “Advisory Agreement”) between F/m and the Company with respect to the Fund, at a special meeting of the Board commenced on August 14, 2023, and reconvened on August 22, 2023 (the “Meeting”). At the Meeting, the Board, including all of the Independent Directors, approved the Advisory Agreement for an initial period ending August 16, 2025. The Board’s decision to approve the Advisory Agreement reflects the exercise of its business judgment. In approving the Advisory Agreement, the Board considered information provided by F/m, with the assistance and advice of counsel to the Independent Directors and the Company.
In considering the approval of the Advisory Agreement between F/m and the Company with respect to the Fund, the Board took into account all 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 F/m, and discussed the Advisory Agreement with counsel in executive sessions, at which no representatives of F/m were present. Among other things, the Directors considered (i) the nature, extent, and quality of services to be provided to the Fund by F/m; (ii) descriptions of the experience and qualifications of the personnel providing those services; (iii) F/m’s investment philosophies and processes; (iv) F/m’s assets under management and client descriptions, as applicable; (v) F/m’s soft dollar commission and trade allocation policies, as applicable; (vi) F/m’s advisory fee arrangements and other similarly managed clients, as applicable; (vii) F/m’s compliance procedures; (viii) F/m’s financial information and insurance coverage; (ix) F/m’s profitability analysis relating to its proposed provision of services to the Fund; (x) the extent to which economies of scale are relevant to the Fund; and (xi) information on the performance of similarly advised accounts as compared to the performance of unaffiliated mutual funds and ETFs with strategies similar to the Fund.
As part of their review, the Directors considered the nature, extent and quality of the services proposed to be provided by F/m. The Directors concluded that F/m had sufficient 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. After reviewing the information regarding F/m’s estimated costs, profitability and economies of scale, and after considering the services to be provided by F/m, the Directors concluded that the unitary management fee to be paid by the Fund to F/m was fair and reasonable and that the Advisory Agreement should be approved for an initial period ending August 16, 2025.
20 |
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
Principal Underwriter
Quasar Distributors, LLC
3 Canal Plaza, Suite 100
Portland, ME 04101
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
Legal Counsel
Faegre Drinker Biddle & Reath LLP
One Logan Square, Suite 2000
Philadelphia, Pennsylvania 19103-6996
21 |
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 29, 2024
(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 29, 2024 (Unaudited)
Free Market U.S. Equity Fund
Average Annual Total Returns for the Periods Ended February 29, 2024 |
|||||
Six |
1 Year |
5 Years |
10 Years |
Since |
|
Free Market U.S. Equity Fund |
10.12% |
13.36% |
9.98% |
8.48% |
9.06%(2) |
Russell 2500® Index |
9.89% |
12.25% |
8.84% |
8.36% |
8.75% |
Composite Index(3) |
10.08% |
14.97% |
9.58% |
8.91% |
8.25% |
(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, 2023, is 0.78% (included in the ratio is 0.23% 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 $22.61 per share on February 29, 2024.
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 29, 2024 (Unaudited)
Free Market International Equity Fund
Average Annual Total Returns for the Periods Ended February 29, 2024 |
|||||
Six |
1 Year |
5 Years |
10 Years |
Since |
|
Free Market International Equity Fund |
6.01% |
10.29% |
5.66% |
3.65% |
3.54%(2) |
MSCI World (excluding U.S.) Index |
9.07% |
14.01% |
6.88% |
4.41% |
2.89% |
Composite Index(3) |
6.70% |
10.60% |
4.82% |
3.90% |
2.77% |
(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, 2023, is 0.85% (included in the ratio is 0.30% 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 $11.18 per share on February 29, 2024.
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 29, 2024 (Unaudited)
Free Market Fixed Income Fund
Average Annual Total Returns for the Periods Ended February 29, 2024 |
|||||
Six |
1 Year |
5 Years |
10 Years |
Since |
|
Free Market Fixed Income Fund |
2.85% |
5.00% |
0.88% |
0.90% |
1.33%(2) |
FTSE World Government Bond Index 1-5 Years |
2.60% |
4.87% |
1.21% |
1.32% |
1.85% |
Composite Index(3) |
2.52% |
4.26% |
1.20% |
1.27% |
1.86% |
(1) |
Not annualized. |
(2) |
The Fund commenced operations on December 31, 2007. |
(3) |
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, 2023, is 0.66% (included in the ratio is 0.11% 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 $9.87 per share on February 29, 2024.
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 29, 2024 (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, 2023 through February 29, 2024, 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 |
Ending |
Expenses |
Annualized |
Actual |
||||||||||||||||
Actual |
||||||||||||||||||||
Free Market U.S. Equity Fund |
$ | 1,000.00 | $ | 1,101.20 | $ | 2.82 | 0.54 | % | 10.12 | % | ||||||||||
Free Market International Equity Fund |
1,000.00 | 1,060.10 | 2.82 | 0.55 | % | 6.01 | % | |||||||||||||
Free Market Fixed Income Fund |
1,000.00 | 1,028.50 | 2.77 | 0.55 | % | 2.85 | % | |||||||||||||
Hypothetical (5% return before expenses) |
||||||||||||||||||||
Free Market U.S. Equity Fund |
$ | 1,000.00 | $ | 1,022.18 | $ | 2.72 | 0.54 | % | N/A | |||||||||||
Free Market International Equity Fund |
1,000.00 | 1,022.13 | 2.77 | 0.55 | % | N/A | ||||||||||||||
Free Market Fixed Income Fund |
1,000.00 | 1,022.13 | 2.77 | 0.55 | % | N/A |
* |
Expenses are equal to each Fund’s annualized six-month expense ratio for the period September 1, 2023 through February 29, 2024, multiplied by the average account value over the period, multiplied by the number of days (182) in the most recent fiscal half-year, then divided by 366 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, 2023 through February 29, 2024, 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 |
Free Market U.S. Equity Fund |
0.00% - 0.08% |
Free Market International Equity Fund |
0.00% - 0.18% |
Free Market Fixed Income Fund |
0.00% - 0.04% |
4
FREE MARKET FUNDS
FREE MARKET U.S. EQUITY FUND
Portfolio of Investments
February 29, 2024 (Unaudited)
Shares |
Value |
|||||||
OPEN END FUNDS — 99.9% |
||||||||
iShares Core S&P 500 ETF(a) |
620,081 | $ | 316,520,346 | |||||
iShares MSCI USA Value Factor ETF(a) |
3,994,910 | 410,796,595 | ||||||
U.S. Large Cap Value Portfolio III - Class Institutional(b) |
19,006,561 | 568,486,246 | ||||||
U.S. Large Cap Value Series(c) |
2,825,615 | 219,126,479 | ||||||
U.S. Large Company Portfolio - Class Institutional(b) |
8,467,481 | 286,708,911 | ||||||
U.S. Micro Cap Portfolio - Class Institutional(d) |
22,496,116 | 594,347,374 | ||||||
U.S. Small Cap Portfolio - Class Institutional(d) |
13,312,619 | 597,204,084 | ||||||
U.S. Small Cap Value Portfolio - Class Institutional(d) |
21,966,013 | 984,297,062 | ||||||
TOTAL OPEN END FUNDS |
||||||||
(Cost $2,439,752,386) |
3,977,487,097 | |||||||
SHORT-TERM INVESTMENTS — 0.2% |
||||||||
Investments Purchased with Proceeds from Securities Lending — 0.1% |
||||||||
Mount Vernon Liquid Assets Portfolio, LLC, 5.44%(e) |
2,919,000 | 2,919,000 | ||||||
Money Market Funds — 0.1% |
||||||||
Invesco Government & Agency Portfolio - Class Institutional, 5.25%(f) |
4,301,925 | 4,301,925 | ||||||
TOTAL SHORT-TERM INVESTMENTS |
||||||||
(Cost $7,220,925) |
7,220,925 | |||||||
TOTAL INVESTMENTS — 100.1% |
||||||||
(Cost $2,409,784,333) |
3,984,708,022 | |||||||
Liabilities in Excess of Other Assets — (0.1)% |
(3,421,591 | ) | ||||||
TOTAL NET ASSETS — 100.0% |
$ | 3,981,286,431 |
Portfolio Holdings Summary Table
% of |
Value |
|||||||
Open End Funds |
99.9 | % | $ | 3,977,487,097 | ||||
Money Market Funds |
0.1 | 4,301,925 | ||||||
Investments Purchased with Proceeds from Securities Lending |
0.1 | 2,919,000 | ||||||
Liabilities In Excess Of Other Assets |
-0.1 | (3,421,591 | ) | |||||
NET ASSETS |
100.0 | % | $ | 3,981,286,431 |
Percentages are stated as a percent of net assets.
(a) |
All or a portion of this security is on loan as of February 29, 2024. The total market value of these securities was $2,879,240 which represented 0.1% of net assets. |
(b) |
A portfolio of Dimensional Investment Group Inc. |
(c) |
A portfolio of DFA Investment Trust Company. |
(d) |
A portfolio of DFA Investment Dimensions Group Inc |
(e) |
The rate shown is as of February 29, 2024. |
(f) |
The rate shown represents the 7-day effective yield as of February 29, 2024. |
ETF |
Exchange-Traded Fund |
The accompanying notes are an integral part of the financial statements.
5
FREE MARKET FUNDS
FREE MARKET INTERNATIONAL EQUITY FUND
Portfolio of Investments
February 29, 2024 (Unaudited)
Shares |
Value |
|||||||
OPEN END FUNDS — 99.8% |
||||||||
Canadian Small Company Series(a) |
2,108,704 | $ | 36,044,879 | |||||
DFA International Small Cap Value Portfolio - Class Institutional(b) |
55,605,303 | 1,179,388,466 | ||||||
DFA International Value Portfolio III - Class Institutional(c) |
25,703,920 | 448,790,436 | ||||||
DFA International Value Series(a) |
13,331,142 | 441,794,060 | ||||||
Emerging Markets Small Cap Portfolio - Class Institutional(b) |
6,316,637 | 143,766,661 | ||||||
Emerging Markets Value Portfolio - Class Institutional(b) |
4,906,347 | 145,571,315 | ||||||
iShares Core MSCI EAFE ETF(d) |
2,065,457 | 148,299,813 | ||||||
iShares Core MSCI Emerging Markets ETF(d) |
3,086,449 | 155,371,843 | ||||||
iShares MSCI EAFE Small-Cap ETF(d) |
4,124,547 | 252,628,504 | ||||||
TOTAL OPEN END FUNDS |
||||||||
(Cost $2,501,822,323) |
2,951,655,977 |
SHORT-TERM INVESTMENTS — 2.9% |
||||||||
Investments Purchased with Proceeds from Securities Lending — 2.7% |
||||||||
Mount Vernon Liquid Assets Portfolio, LLC, 5.44%(e) |
79,969,713 | 79,969,713 | ||||||
Money Market Funds — 0.2% |
||||||||
Invesco Government & Agency Portfolio - Class Institutional, 5.25%(f) |
4,903,234 | 4,903,234 | ||||||
TOTAL SHORT-TERM INVESTMENTS |
||||||||
(Cost $84,872,947) |
84,872,947 | |||||||
TOTAL INVESTMENTS — 102.7% |
||||||||
(Cost $2,489,975,685) |
3,036,528,924 | |||||||
Liabilities in Excess of Other Assets — (2.7)% |
(79,679,003 | ) | ||||||
TOTAL NET ASSETS — 100.0% |
$ | 2,956,849,921 |
Portfolio Holdings Summary Table
% of |
Value |
|||||||
Open End Funds |
99.8 | % | $ | 2,951,655,977 | ||||
Money Market Funds |
0.2 | 4,903,234 | ||||||
Investments Purchased with Proceeds from Securities Lending |
2.7 | 79,969,713 | ||||||
Liabilities In Excess Of Other Assets |
(2.7 | ) | (79,679,003 | ) | ||||
NET ASSETS |
100.0 | % | $ | 2,956,849,921 |
Percentages are stated as a percent of net assets.
(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. |
(d) |
All or a portion of this security is on loan as of February 29, 2024. The total market value of these securities was $78,336,181 which represented 2.6% of net assets. |
(e) |
The rate shown is as of February 29, 2024. |
(f) |
The rate shown represents the 7-day effective yield as of February 29, 2024. |
ETF |
Exchange-Traded Fund |
Portfolio holdings are subject to change at any time.
The accompanying notes are an integral part of the financial statements.
6
FREE MARKET FUNDS
FREE MARKET FIXED INCOME FUND
Portfolio of Investments
February 29, 2024 (Unaudited)
Shares |
Value |
|||||||
OPEN END FUNDS — 99.4% |
||||||||
DFA One-Year Fixed Income Portfolio - Class Institutional (a) |
39,122,409 | $ | 400,613,470 | |||||
DFA Two-Year Global Fixed Income Portfolio - Class Institutional (a) |
71,285,740 | 695,748,824 | ||||||
iShares 1-3 Year Treasury Bond ETF |
1,342,391 | 109,727,040 | ||||||
iShares 1-5 Year Investment Grade Corporate Bond ETF(b) |
12,954,476 | 661,585,089 | ||||||
iShares 3-7 Year Treasury Bond ETF(b) |
1,425,011 | 164,717,021 | ||||||
iShares 5-10 Year Investment Grade Corporate Bond ETF(b) |
3,223,908 | 164,838,416 | ||||||
iShares Core International Aggregate Bond ETF(b) |
8,389,642 | 415,455,072 | ||||||
iShares TIPS Bond ETF(b) |
1,294,753 | 138,176,040 | ||||||
TOTAL OPEN END FUNDS |
||||||||
(Cost $2,874,056,908) |
2,750,860,972 |
SHORT-TERM INVESTMENTS — 3.6% |
||||||||
Investments Purchased with Proceeds from Securities Lending — 3.1% |
||||||||
Mount Vernon Liquid Assets Portfolio, LLC, 5.44%(c) |
84,572,048 | 84,572,048 | ||||||
Money Market Funds — 0.5% |
||||||||
Invesco Government & Agency Portfolio - Class Institutional, 5.25%(d) |
14,615,729 | 14,615,729 | ||||||
TOTAL SHORT-TERM INVESTMENTS |
||||||||
(Cost $99,187,777) |
99,187,777 | |||||||
TOTAL INVESTMENTS — 103.0% |
||||||||
(Cost $2,977,452,429) |
2,850,048,749 | |||||||
Liabilities in Excess of Other Assets — (3.0)% |
(82,346,782 | ) | ||||||
TOTAL NET ASSETS — 100.0% |
$ | 2,767,701,967 |
Portfolio Holdings Summary Table
% of |
Value |
|||||||
Open End Funds |
99.4 | % | $ | 2,750,860,972 | ||||
Money Market Funds |
0.5 | 14,615,729 | ||||||
Investments Purchased with Proceeds from Securities Lending |
3.1 | 84,572,048 | ||||||
Liabilities In Excess Of Other Assets |
(3.0 | ) | (82,346,782 | ) | ||||
NET ASSETS |
100.0 | % | $ | 2,767,701,967 |
Percentages are stated as a percent of net assets.
(a) |
A portfolio of DFA Investment Dimensions Group Inc. |
(b) |
All or a portion of this security is on loan as of February 29, 2024. The total market value of these securities was $82,938,465 which represented 3.0% of net assets. |
(c) |
The rate shown is as of February 29, 2024. |
(d) |
The rate shown represents the 7-day effective yield as of February 29, 2024. |
ETF |
Exchange-Traded Fund |
Portfolio holdings are subject to change at any time.
The accompanying notes are an integral part of the financial statements.
7
FREE MARKET FUNDS
Statements of Assets and Liabilities
February 29, 2024 (Unaudited)
Free Market |
Free Market |
Free Market |
||||||||||
ASSETS |
||||||||||||
Investments in non-affiliated funds, at value (cost $2,439,752,386, $2,501,822,323 and $2,874,056,908, respectively) |
$ | 3,977,487,097 | $ | 2,951,655,977 | $ | 2,750,860,972 | ||||||
Short-term investments, at value (cost $4,301,925, $4,903,234 and $14,615,729, respectively) |
4,301,925 | 4,903,234 | 14,615,729 | |||||||||
Investments purchased with proceeds from securities lending collateral (cost $2,919,000, $79,969,713 and $84,572,048 respectively) |
2,919,000 | 79,969,713 | 84,572,048 | |||||||||
Receivables for: |
||||||||||||
Cash |
— | — | 1,503,474 | |||||||||
Capital shares sold |
2,677,780 | 2,409,119 | 2,765,821 | |||||||||
Dividends and interest |
1,679 | 19,782 | 19,027 | |||||||||
Prepaid expenses and other assets |
262,121 | 198,833 | 240,812 | |||||||||
Total assets |
3,987,649,602 | 3,039,156,658 | 2,854,577,883 | |||||||||
LIABILITIES |
||||||||||||
Payables for: |
||||||||||||
Securities lending collateral (see Note 6) |
2,919,000 | 79,969,713 | 84,572,048 | |||||||||
Capital shares redeemed |
1,701,503 | 1,015,780 | 1,052,124 | |||||||||
Advisory fees |
1,519,491 | 1,136,517 | 1,081,447 | |||||||||
Administration and accounting fees |
118,520 | 90,992 | 103,183 | |||||||||
Transfer agent fees |
9,158 | 7,347 | 7,606 | |||||||||
Other accrued expenses and liabilities |
95,499 | 86,388 | 59,508 | |||||||||
Total liabilities |
6,363,171 | 82,306,737 | 86,875,916 | |||||||||
Net assets |
$ | 3,981,286,431 | $ | 2,956,849,921 | $ | 2,767,701,967 | ||||||
NET ASSETS CONSIST OF: |
||||||||||||
Par value |
$ | 176,097 | $ | 264,495 | $ | 280,540 | ||||||
Paid-in capital |
2,345,101,500 | 2,462,299,859 | 2,899,934,975 | |||||||||
Total distributable earnings/(loss) |
1,636,008,834 | 494,285,567 | (132,513,548 | ) | ||||||||
Net assets |
$ | 3,981,286,431 | $ | 2,956,849,921 | $ | 2,767,701,967 | ||||||
CAPITAL SHARES: |
||||||||||||
Net assets |
$ | 3,981,286,431 | $ | 2,956,849,921 | $ | 2,767,701,967 | ||||||
Shares outstanding ($0.001 par value, 700,000,000 shares authorized) |
176,097,210 | 264,494,887 | 280,539,896 | |||||||||
Net asset value, offering and redemption price per share |
$ | 22.61 | $ | 11.18 | $ | 9.87 |
The accompanying notes are an integral part of the financial statements.
8
FREE MARKET FUNDS
Statements of Operations
FOR THE Six Months ENDED February 29, 2024 (Unaudited)
Free Market |
Free Market |
Free Market |
||||||||||
INVESTMENT INCOME |
||||||||||||
Dividends from non-affiliated funds |
$ | 29,569,555 | $ | 52,549,699 | $ | 65,889,371 | ||||||
Securities lending income |
18,711 | 132,052 | 92,814 | |||||||||
Total investment income |
29,588,266 | 52,681,751 | 65,982,185 | |||||||||
EXPENSES |
||||||||||||
Advisory fees (Note 2) |
8,987,302 | 6,885,396 | 6,748,892 | |||||||||
Administration and accounting fees (Note 2) |
267,627 | 232,251 | 194,201 | |||||||||
Director fees |
190,073 | 150,973 | 146,453 | |||||||||
Officer fees |
149,061 | 117,894 | 119,208 | |||||||||
Legal fees |
87,823 | 72,885 | 67,365 | |||||||||
Custodian fees (Note 2) |
51,714 | 44,686 | 33,771 | |||||||||
Registration and filing fees |
30,427 | 27,849 | 27,749 | |||||||||
Transfer agent fees (Note 2) |
29,564 | 33,251 | 32,959 | |||||||||
Audit and tax service fees |
19,103 | 20,838 | 20,178 | |||||||||
Printing and shareholder reporting fees |
1,189 | 1,132 | 883 | |||||||||
Other expenses |
102,607 | 137,428 | 74,311 | |||||||||
Total expenses |
9,916,490 | 7,724,583 | 7,465,970 | |||||||||
Net investment income/(loss) |
19,671,776 | 44,957,168 | 58,516,215 | |||||||||
NET REALIZED AND UNREALIZED GAIN/(LOSS) FROM INVESTMENTS |
||||||||||||
Net realized gain/(loss) from: |
||||||||||||
Non-affiliated funds |
25,442,204 | (598,731 | ) | (4,351,430 | ) | |||||||
Capital gain distributions from non-affiliated fund investments |
64,832,047 | 1,394,269 | — | |||||||||
Net change in unrealized appreciation/(depreciation) on: |
||||||||||||
Non-affiliated funds |
254,895,341 | 119,800,075 | 21,507,712 | |||||||||
Net realized and unrealized gain/(loss) on investments |
345,169,592 | 120,595,613 | 17,156,282 | |||||||||
NET INCREASE/(DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS |
$ | 364,841,368 | $ | 165,552,781 | $ | 75,672,497 |
The accompanying notes are an integral part of the financial statements.
9
FREE MARKET U.S. EQUITY FUND
Statements of Changes in Net Assets
For the |
For the |
|||||||
INCREASE/(DECREASE) IN NET ASSETS FROM OPERATIONS: |
||||||||
Net investment income/(loss) |
$ | 19,671,776 | $ | 40,625,266 | ||||
Net realized gain/(loss) from investments |
90,274,251 | 125,519,038 | ||||||
Net change in unrealized appreciation/(depreciation) on investments |
254,895,341 | 167,184,995 | ||||||
Net increase/(decrease) in net assets resulting from operations |
364,841,368 | 333,329,299 | ||||||
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS: |
||||||||
Total distributable earnings |
(155,017,081 | ) | (254,085,784 | ) | ||||
Net decrease in net assets from dividends and distributions to shareholders |
(155,017,081 | ) | (254,085,784 | ) | ||||
CAPITAL SHARE TRANSACTIONS: |
||||||||
Proceeds from shares sold |
229,230,584 | 478,766,781 | ||||||
Reinvestment of distributions |
154,979,410 | 253,858,591 | ||||||
Shares redeemed |
(291,646,653 | ) | (425,824,595 | ) | ||||
Net increase/(decrease) in net assets from capital shares |
92,563,341 | 306,800,777 | ||||||
Total increase/(decrease) in net assets |
302,387,628 | 386,044,292 | ||||||
NET ASSETS: |
||||||||
Beginning of period |
3,678,898,803 | 3,292,854,511 | ||||||
End of period |
$ | 3,981,286,431 | $ | 3,678,898,803 | ||||
SHARE TRANSACTIONS: |
||||||||
Shares sold |
10,783,059 | 23,305,151 | ||||||
Dividends and distributions reinvested |
6,949,749 | 13,098,999 | ||||||
Shares redeemed |
(13,754,520 | ) | (20,585,763 | ) | ||||
Net increase/(decrease) in shares outstanding |
3,978,288 | 15,818,387 |
The accompanying notes are an integral part of the financial statements.
10
FREE MARKET INTERNATIONAL EQUITY FUND
Statements of Changes in Net Assets
For the |
For the |
|||||||
INCREASE/(DECREASE) IN NET ASSETS FROM OPERATIONS: |
||||||||
Net investment income/(loss) |
$ | 44,957,168 | $ | 70,936,748 | ||||
Net realized gain/(loss) from investments |
795,538 | 1,605,191 | ||||||
Net change in unrealized appreciation/(depreciation) on investments |
119,800,075 | 317,867,303 | ||||||
Net increase/(decrease) in net assets resulting from operations |
165,552,781 | 390,409,242 | ||||||
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS: |
||||||||
Total distributable earnings |
(71,432,283 | ) | (86,538,910 | ) | ||||
Net decrease in net assets from dividends and distributions to shareholders |
(71,432,283 | ) | (86,538,910 | ) | ||||
CAPITAL SHARE TRANSACTIONS: |
||||||||
Proceeds from shares sold |
184,619,067 | 387,653,039 | ||||||
Reinvestment of distributions |
71,413,639 | 86,521,788 | ||||||
Shares redeemed |
(218,932,127 | ) | (347,793,059 | ) | ||||
Net increase/(decrease) in net assets from capital shares |
37,100,579 | 126,381,768 | ||||||
Total increase/(decrease) in net assets |
131,221,077 | 430,252,100 | ||||||
NET ASSETS: |
||||||||
Beginning of period |
2,825,628,844 | 2,395,376,745 | ||||||
End of period |
$ | 2,956,849,921 | $ | 2,825,628,845 | ||||
SHARE TRANSACTIONS: |
||||||||
Shares sold |
17,087,929 | 38,443,413 | ||||||
Dividends and distributions reinvested |
6,416,320 | 8,874,030 | ||||||
Shares redeemed |
(20,483,064 | ) | (33,803,982 | ) | ||||
Net increase/(decrease) in shares outstanding |
3,021,185 | 13,513,461 |
The accompanying notes are an integral part of the financial statements.
11
FREE MARKET FIXED INCOME FUND
Statements of Changes in Net Assets
For the |
For the |
|||||||
INCREASE/(DECREASE) IN NET ASSETS FROM OPERATIONS: |
||||||||
Net investment income/(loss) |
$ | 58,516,215 | $ | 46,630,289 | ||||
Net realized gain/(loss) from investments |
(4,351,430 | ) | (4,986,787 | ) | ||||
Net change in unrealized appreciation/(depreciation) on investments |
21,507,712 | 68,242 | ||||||
Net increase/(decrease) in net assets resulting from operations |
75,672,497 | 41,711,744 | ||||||
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS: |
||||||||
Total distributable earnings |
(62,823,239 | ) | (42,935,911 | ) | ||||
Net decrease in net assets from dividends and distributions to shareholders |
(62,823,239 | ) | (42,935,911 | ) | ||||
CAPITAL SHARE TRANSACTIONS: |
||||||||
Proceeds from shares sold |
194,637,564 | 409,425,077 | ||||||
Reinvestment of distributions |
62,810,375 | 42,929,725 | ||||||
Shares redeemed |
(287,950,199 | ) | (414,939,183 | ) | ||||
Net increase/(decrease) in net assets from capital shares |
(30,502,260 | ) | 37,415,619 | |||||
Total increase/(decrease) in net assets |
(17,653,002 | ) | 36,191,452 | |||||
NET ASSETS: |
||||||||
Beginning of period |
2,785,354,969 | 2,749,163,517 | ||||||
End of period |
$ | 2,767,701,967 | $ | 2,785,354,969 | ||||
SHARE TRANSACTIONS: |
||||||||
Shares sold |
19,756,820 | 42,009,136 | ||||||
Dividends and distributions reinvested |
6,366,963 | 4,445,055 | ||||||
Shares redeemed |
(29,272,366 | ) | (42,657,402 | ) | ||||
Net increase/(decrease) in shares outstanding |
(3,148,583 | ) | 3,796,789 |
The accompanying notes are an integral part of the financial statements.
12
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 |
For the |
For the |
For the |
For the |
For the |
|||||||||||||||||||
Per Share Operating Performance |
||||||||||||||||||||||||
Net asset value, beginning of period |
$ | 21.37 | $ | 21.07 | $ | 23.59 | $ | 16.06 | $ | 16.90 | $ | 20.37 | ||||||||||||
Net investment income/(loss)(1) |
0.11 | 0.24 | 0.21 | 0.21 | 0.17 | 0.17 | ||||||||||||||||||
Net realized and unrealized gain/(loss) on investments |
2.04 | 1.68 | (1.69 | ) | 7.62 | — | (2) | (2.73 | ) | |||||||||||||||
Net increase/(decrease) in net assets resulting from operations |
2.15 | 1.92 | (1.48 | ) | 7.83 | 0.17 | (2.56 | ) | ||||||||||||||||
Dividends and distributions to shareholders from: |
||||||||||||||||||||||||
Net investment income |
(0.25 | ) | (0.21 | ) | (0.41 | ) | (0.08 | ) | (0.16 | ) | (0.15 | ) | ||||||||||||
Net realized capital gains |
(0.66 | ) | (1.41 | ) | (0.63 | ) | (0.22 | ) | (0.85 | ) | (0.76 | ) | ||||||||||||
Total dividends and distributions to shareholders |
(0.91 | ) | (1.62 | ) | (1.04 | ) | (0.30 | ) | (1.01 | ) | (0.91 | ) | ||||||||||||
Net asset value, end of period |
$ | 22.61 | $ | 21.37 | $ | 21.07 | $ | 23.59 | $ | 16.06 | $ | 16.90 | ||||||||||||
Total investment return/(loss)(3) |
10.12 | %(5) | 9.92 | % | (6.77 | )% | 49.28 | % | 0.32 | % | (12.09 | )% | ||||||||||||
Ratios/Supplemental Data |
||||||||||||||||||||||||
Net assets, end of period (000’s omitted) |
$ | 3,981,286 | $ | 3,678,899 | $ | 3,292,855 | $ | 3,635,318 | $ | 2,839,337 | $ | 2,899,018 | ||||||||||||
Ratio of expenses to average net assets(4) |
0.54 | %(6) | 0.55 | % | 0.56 | % | 0.55 | % | 0.56 | % | 0.55 | % | ||||||||||||
Ratio of net investment income/(loss) to average net assets(4) |
1.07 | %(6) | 1.18 | % | 0.92 | % | 1.05 | % | 1.05 | % | 0.96 | % | ||||||||||||
Portfolio turnover rate |
2 | %(5) | 2 | % | 7 | % | 5 | % | 14 | % | 7 | % |
(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. |
The accompanying notes are an integral part of the financial statements.
13
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 |
For the |
For the |
For the |
For the |
For the |
|||||||||||||||||||
Per Share Operating Performance |
||||||||||||||||||||||||
Net asset value, beginning of period |
$ | 10.81 | $ | 9.66 | $ | 11.60 | $ | 8.89 | $ | 9.09 | $ | 10.72 | ||||||||||||
Net investment income/(loss)(1) |
0.17 | 0.27 | 0.34 | 0.18 | 0.19 | 0.21 | ||||||||||||||||||
Net realized and unrealized gain/(loss) on investments |
0.48 | 1.22 | (2.13 | ) | 2.84 | (0.13 | ) | (1.47 | ) | |||||||||||||||
Net increase/(decrease) in net assets resulting from operations |
0.65 | 1.49 | (1.79 | ) | 3.02 | 0.06 | (1.26 | ) | ||||||||||||||||
Dividends and distributions to shareholders from: |
||||||||||||||||||||||||
Net investment income |
(0.28 | ) | (0.34 | ) | (0.15 | ) | (0.13 | ) | (0.14 | ) | (0.18 | ) | ||||||||||||
Net realized capital gains |
— | — | — | (0.18 | ) | (0.12 | ) | (0.19 | ) | |||||||||||||||
Total dividends and distributions to shareholders |
(0.28 | ) | (0.34 | ) | (0.15 | ) | (0.31 | ) | (0.26 | ) | (0.37 | ) | ||||||||||||
Net asset value, end of period |
$ | 11.18 | $ | 10.81 | $ | 9.66 | $ | 11.60 | $ | 8.89 | $ | 9.09 | ||||||||||||
Total investment return/(loss)(2) |
6.01 | %(4) | 15.82 | % | (15.63 | )% | 34.43 | % | 0.30 | % | (11.66 | )% | ||||||||||||
Ratios/Supplemental Data |
||||||||||||||||||||||||
Net assets, end of period (000’s omitted) |
$ | 2,956,850 | $ | 2,825,629 | $ | 2,395,377 | $ | 2,682,213 | $ | 2,153,655 | $ | 2,154,908 | ||||||||||||
Ratio of expenses to average net assets(3) |
0.55 | %(5) | 0.55 | % | 0.56 | % | 0.56 | % | 0.58 | % | 0.58 | % | ||||||||||||
Ratio of net investment income/(loss) to average net assets(3) |
3.22 | %(5) | 2.68 | % | 3.08 | % | 1.70 | % | 2.13 | % | 2.22 | % | ||||||||||||
Portfolio turnover rate |
2 | %(4) | 3 | % | 2 | % | 5 | % | 28 | % | 4 | % |
(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. |
The accompanying notes are an integral part of the financial statements.
14
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 |
For the |
For the |
For the |
For the |
For the |
|||||||||||||||||||
Per Share Operating Performance |
||||||||||||||||||||||||
Net asset value, beginning of period |
$ | 9.82 | $ | 9.82 | $ | 10.56 | $ | 10.61 | $ | 10.47 | $ | 10.22 | ||||||||||||
Net investment income/(loss)(1) |
0.21 | 0.17 | 0.05 | 0.03 | 0.15 | 0.27 | ||||||||||||||||||
Net realized and unrealized gain/(loss) on investments |
0.07 | (0.01 | ) | (0.74 | ) | — | (2) | 0.16 | 0.24 | |||||||||||||||
Net increase/(decrease) in net assets resulting from operations |
0.28 | 0.16 | (0.69 | ) | 0.03 | 0.31 | 0.51 | |||||||||||||||||
Dividends and distributions to shareholders from: |
||||||||||||||||||||||||
Net investment income |
(0.23 | ) | (0.16 | ) | (0.05 | ) | (0.05 | ) | (0.17 | ) | (0.26 | ) | ||||||||||||
Net realized capital gains |
— | — | — | (0.03 | ) | — | — | (2) | ||||||||||||||||
Return of capital |
— | — | — | — | (2) | — | — | |||||||||||||||||
Total dividends and distributions to shareholders |
(0.23 | ) | (0.16 | ) | (0.05 | ) | (0.08 | ) | (0.17 | ) | (0.26 | ) | ||||||||||||
Net asset value, end of period |
$ | 9.87 | $ | 9.82 | $ | 9.82 | $ | 10.56 | $ | 10.61 | $ | 10.47 | ||||||||||||
Total investment return/(loss)(3) |
2.85 | %(5) | 1.62 | % | (6.51 | )% | 0.31 | % | 2.98 | % | 5.11 | % | ||||||||||||
Ratios/Supplemental Data |
||||||||||||||||||||||||
Net assets, end of period (000’s omitted) |
$ | 2,767,702 | $ | 2,785,355 | $ | 2,749,164 | $ | 2,820,610 | $ | 2,307,909 | $ | 2,748,593 | ||||||||||||
Ratio of expenses to average net assets(4) |
0.55 | %(6) | 0.55 | % | 0.56 | % | 0.56 | % | 0.56 | % | 0.55 | % | ||||||||||||
Ratio of net investment income/(loss) to average net assets(4) |
4.28 | %(6) | 1.72 | % | 0.51 | % | 0.27 | % | 1.39 | % | 2.62 | % | ||||||||||||
Portfolio turnover rate |
2 | %(5) | 3 | % | 3 | % | 2 | % | 46 | % | 3 | % |
(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. |
The accompanying notes are an integral part of the financial statements.
15
FREE MARKET FUNDS
Notes to Financial Statements
February 29, 2024 (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 sixty-four 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 92.723 billion shares are currently classified into two hundred and thirty-four 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 29, 2024, and the period covered by these Notes to Financial Statements is the six months ended February 29, 2024 (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 Funds’ 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 29, 2024 (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
LEVEL 1 |
LEVEL 2 |
LEVEL 3 |
TOTAL |
|||||||||||||
Open End Funds |
$ | 3,758,360,618 | $ | — | $ | — | $ | 3,758,360,618 | ||||||||
Investments Measured at Net Asset Value* |
— | — | — | 219,126,479 | ||||||||||||
Investments Purchased with Proceeds From Securities Lending Collateral* |
— | — | — | 2,919,000 | ||||||||||||
Short-Term Investments |
4,301,925 | — | — | 4,301,925 | ||||||||||||
Total Investments** |
$ | 3,762,662,543 | $ | — | $ | — | $ | 3,984,708,022 |
* |
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
LEVEL 1 |
LEVEL 2 |
LEVEL 3 |
TOTAL |
|||||||||||||
Open End Funds |
$ | 2,473,817,038 | $ | — | $ | — | $ | 2,473,817,038 | ||||||||
Investments Measured at Net Asset Value* |
— | — | — | 477,838,939 | ||||||||||||
Investments Purchased with Proceeds From Securities Lending Collateral* |
— | — | — | 79,969,713 | ||||||||||||
Short-Term Investments |
4,903,234 | — | — | 4,903,234 | ||||||||||||
Total Investments** |
$ | 2,478,720,272 | $ | — | $ | — | $ | 3,036,528,924 |
* |
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 29, 2024 (Unaudited)
FREE MARKET FIXED INCOME Fund
LEVEL 1 |
LEVEL 2 |
LEVEL 3 |
TOTAL |
|||||||||||||
Open End Funds |
$ | 2,750,860,972 | $ | — | $ | — | $ | 2,750,860,972 | ||||||||
Investments Measured at Net Asset Value* |
— | — | — | — | ||||||||||||
Investments Purchased with Proceeds From Securities Lending Collateral* |
— | — | — | 84,572,048 | ||||||||||||
Short-Term Investments |
14,615,729 | — | — | 14,615,729 | ||||||||||||
Total Investments** |
$ | 2,765,476,701 | $ | — | $ | — | $ | 2,850,048,749 |
* |
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 (the “Trust”), a series trust
18
FREE MARKET FUNDS
Notes to Financial Statements (Continued)
February 29, 2024 (Unaudited)
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. 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.
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.
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 |
19
FREE MARKET FUNDS
Notes to Financial Statements (Continued)
February 29, 2024 (Unaudited)
During the current fiscal period, investment advisory fees accrued were as follows:
FUND |
ADVISORY FEES |
|||
Free Market U.S. Equity Fund |
$ | 8,987,302 | ||
Free Market International Equity Fund |
6,885,396 | |||
Free Market Fixed Income Fund |
6,748,892 |
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.
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 |
$ | 88,301,469 | $ | 67,000,206 | ||||
Free Market International Equity Fund |
73,399,720 | 63,612,305 | ||||||
Free Market Fixed Income Fund |
44,469,129 | 83,761,744 |
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.
20
FREE MARKET FUNDS
Notes to Financial Statements (Continued)
February 29, 2024 (Unaudited)
As of August 31, 2023, the federal tax cost and aggregate gross unrealized appreciation and depreciation of investments held by each Fund were as follows:
FEDERAL |
UNREALIZED |
UNREALIZED |
NET UNREALIZED |
|||||||||||||
Free Market U.S. Equity Fund |
$ | 2,377,603,873 | $ | 1,333,128,902 | $ | (30,330,466 | ) | $ | 1,302,798,436 | |||||||
Free Market International Equity Fund |
2,545,870,875 | 456,829,915 | (46,381,978 | ) | 410,447,937 | |||||||||||
Free Market Fixed Income Fund |
3,091,301,763 | 5,422,593 | (153,353,553 | ) | (147,930,960 | ) |
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, 2023, primarily attributable to equalization, short term dividend reclass, distribution reclass, and dividend reclass were reclassified among the following accounts:
DISTRIBUTABLE |
Paid-In |
|||||||
Free Market U.S. Equity Fund |
$ | (9,126,831 | ) | $ | 9,126,831 | |||
Free Market International Equity Fund |
— | — | ||||||
Free Market Fixed Income Fund |
— | — |
As of August 31, 2023, the components of distributable earnings on a tax basis were as follows:
Undistributed |
Undistributed |
Capital Loss |
NET Unrealized |
|||||||||||||
Free Market U.S. Equity Fund |
$ | 15,326,977 | $ | 108,059,134 | $ | — | $ | 1,302,798,436 | ||||||||
Free Market International Equity Fund |
71,432,281 | — | (81,715,149 | ) | 410,447,937 | |||||||||||
Free Market Fixed Income Fund |
7,665,003 | — | (5,096,849 | ) | (147,930,960 | ) |
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, 2023 was as follows:
Ordinary |
Long-Term |
RETURN OF |
Total |
|||||||||||||||||
Free Market U.S. Equity Fund |
$ | 33,276,666 | $ | 220,809,118 | $ | — | $ | 254,085,784 | ||||||||||||
Free Market International Equity Fund |
86,538,910 | — | — | 86,538,910 | ||||||||||||||||
Free Market Fixed Income Fund |
42,935,911 | — | — | 42,935,911 |
Distributions from net investment income and short-term capital gains are treated as ordinary income for federal income tax purposes.
21
FREE MARKET FUNDS
Notes to Financial Statements (Continued)
February 29, 2024 (Unaudited)
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, 2023, the Free Market International Equity Fund had $15,991,945 of short-term capital loss carryforwards and $65,723,204 of long-term capital loss carryforwards, the Free Market Fixed Income Fund had $3,974,290 of short-term capital loss carryforwards and $1,122,559 of long-term capital loss carryforwards.
6. 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 102% 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 |
Market Value of |
INCOME RECEIVED |
|||||||||||||
Free Market U.S. Equity Fund |
$ | 2,879,240 | $ | 2,919,000 | $ | 18,711 | ||||||||||
Free Market International Equity Fund |
78,336,181 | 79,969,713 | 132,052 | |||||||||||||
Free Market Fixed Income Fund |
82,938,465 | 84,572,048 | 92,814 |
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 AMOUNTS NOT OFFSET IN THE |
||||||||||||||||||||||||
Fund |
GROSS AMOUNTS |
GROSS AMOUNTS |
NET AMOUNTS |
FINANCIAL |
CASH COLLATERAL |
Net |
||||||||||||||||||
Free Market U.S. Equity Fund |
$ | 2,879,240 | $ | — | $ | 2,879,240 | $ | (2,879,240 | ) | $ | — | $ | — | |||||||||||
Free Market International Equity Fund |
78,336,181 | — | 78,336,181 | (78,336,181 | ) | — | — | |||||||||||||||||
Free Market Fixed Income Fund |
82,938,465 | — | 82,938,465 | (82,938,465 | ) | — | — |
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. |
22
FREE MARKET FUNDS
Notes to Financial Statements (Concluded)
February 29, 2024 (Unaudited)
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.
In October 2022, the SEC adopted a final rule relating to tailored shareholder reports for mutual funds and exchange-traded funds and fee information in investment company advertisements. Beginning in July 2024, the Funds will be required to transmit concise and visually engaging shareholder reports that highlight key information. The Funds will also be required to tag information in a structured data format and that certain more in-depth information be made available online and available for delivery free of charge to investors on request.
In December 2022, the FASB issued an Accounting Standards Update, ASU 2022-06, Reference Rate Reform (Topic 848) – Deferral of the Sunset Date of Topic 848 (“ASU 2022-06”). ASU 2022-06 is an amendment to ASU 2020-04, which provided optional guidance to ease the potential accounting burden due to the discontinuation of the London Inter-Bank Offered Rate (LIBOR) and other interbank-offered based reference rates and which was effective as of March 12, 2020 through December 31, 2022. ASU 2022-06 extends the effective period through December 31, 2024. Management is currently evaluating the impact, if any, of applying ASU 2022-06.
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 there were no subsequent events.
23
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 filings are available on the SEC’s website at http://www.sec.gov.
24
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[THIS PAGE INTENTIONALLY LEFT BLANK]
Investment Adviser
Matson Money, Inc.
5955 Deerfield Blvd.
Mason, OH 45040
Administrator and Transfer Agent
U.S. Bank Global Fund Services
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-SAR24
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 29, 2024
(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 29, 2024 (Unaudited)
Matson Money U.S. Equity VI Portfolio
Average Annual Total Returns for the Periods Ended February 29, 2024 |
||||
|
SIX |
1 YEAR |
5 YEARS |
SINCE |
Matson Money U.S. Equity VI Portfolio |
9.75% |
12.90% |
9.96% |
8.44%(2) |
Russell 2500® Index |
9.89% |
12.25% |
8.84% |
8.53%(4) |
Composite Index(2) |
10.08% |
14.97% |
9.58% |
9.32%(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 8.30%. |
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, 2023 is 0.98% (included in the ratio is 0.24% 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 $32.12 per share on February 29, 2024.
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.
1
MATSON MONEY VI PORTFOLIOS
Performance Data (Continued)
February 29, 2024 (Unaudited)
Matson Money International Equity VI Portfolio
Average Annual Total Returns for the Periods Ended February 29, 2024 |
||||
|
SIX |
1 YEAR |
5 YEARS |
SINCE |
Matson Money International Equity VI Portfolio |
5.85% |
9.92% |
5.44% |
3.46%(2) |
MSCI World (excluding U.S.) Index |
9.07% |
14.01% |
6.88% |
4.93%(4) |
Composite Index(2) |
6.70% |
10.60% |
4.82% |
4.37%(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 3.34%. |
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, 2023 is 1.14% (included in the ratio is 0.34% 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 $25.49 per share on February 29, 2024.
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.
2
MATSON MONEY VI PORTFOLIOS
Performance Data (Concluded)
February 29, 2024 (Unaudited)
Matson Money Fixed Income VI Portfolio
Average Annual Total Returns for the Periods Ended February 29, 2024 |
||||
SIX |
1 YEAR |
5 YEARS |
SINCE |
|
Matson Money Fixed Income VI Portfolio |
2.74% |
4.82% |
0.62% |
0.61%(2) |
FTSE World Government Bond Index 1-5 Years |
2.60% |
4.87% |
1.21% |
1.36%(4) |
Composite Index(2) |
2.52% |
4.52% |
1.20% |
1.29%(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 0.60%. |
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, 2023 is 0.86% (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 $23.71 per share on February 29, 2024.
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.
3
MATSON MONEY VI PORTFOLIOS
Fund Expense Examples
February 29, 2024 (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, 2023 through February 29, 2024, 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 |
ENDING |
EXPENSES |
Annualized |
ACTUAL SIX- |
|
Actual |
|||||
Matson Money U.S. Equity VI Portfolio |
$ 1,000.00 |
$ 1,097.50 |
$ 3.86 |
0.74% |
9.75% |
Matson Money International Equity VI Portfolio |
1,000.00 |
1,058.50 |
4.20 |
0.82% |
5.85% |
Matson Money Fixed Income VI Portfolio |
1,000.00 |
1,027.40 |
3.73 |
0.74% |
2.74% |
Hypothetical (5% return before expenses) |
|||||
Matson Money U.S. Equity VI Portfolio |
$ 1,000.00 |
$ 1,021.18 |
$ 3.72 |
0.74% |
N/A |
Matson Money International Equity VI Portfolio |
1,000.00 |
1,020.79 |
4.12 |
0.82% |
N/A |
Matson Money Fixed Income VI Portfolio |
1,000.00 |
1,021.18 |
3.72 |
0.74% |
N/A |
* |
Expenses are equal to each Portfolio’s annualized six-month expense ratio for the period September 1, 2023 through February 29, 2024, multiplied by the average account value over the period, multiplied by the number of days (182) in the most recent fiscal half-year, then divided by 366 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, 2023 through February 29, 2024. 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 |
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% |
4
MATSON MONEY VI PORTFOLIOS
MATSON MONEY U.S. EQUITY VI PORTFOLIO
Portfolio of Investments
February 29, 2024 (Unaudited)
|
Value |
|||||||
OPEN END FUNDS — 99.1% |
||||||||
U.S. Large Cap Value Portfolio III - Class Institutional(a) |
250,085 | $ | 7,480,036 | |||||
U.S. Large Company Portfolio - Class Institutional(a) |
119,007 | 4,029,592 | ||||||
U.S. Micro Cap Portfolio - Class Institutional(b) |
162,668 | 4,297,691 | ||||||
U.S. Small Cap Portfolio - Class Institutional(b) |
96,334 | 4,321,534 | ||||||
U.S. Small Cap Value Portfolio - Class Institutional(b) |
63,980 | 2,866,928 | ||||||
VA U.S. Large Value Portfolio(b) |
33,733 | 1,149,296 | ||||||
VA U.S. Targeted Value Portfolio(b) |
192,408 | 4,302,258 | ||||||
TOTAL OPEN END FUNDS |
||||||||
(Cost $23,260,664) |
28,447,335 | |||||||
SHORT-TERM INVESTMENTS — 0.9% |
||||||||
Money Market Funds — 0.9% |
||||||||
STIT-Government & Agency Portfolio - Class Institutional, 5.25%(c) |
259,000 | 259,000 | ||||||
TOTAL SHORT-TERM INVESTMENTS |
||||||||
(Cost $259,000) |
259,000 | |||||||
TOTAL INVESTMENTS — 100.0% |
||||||||
(Cost $23,519,664) |
28,706,335 | |||||||
Liabilities in Excess of Other Assets — 0.0%(d) |
(5,509 | ) | ||||||
TOTAL NET ASSETS — 100.0% |
$ | 28,700,826 |
PORTFOLIO HOLDINGS SUMMARY TABLE |
||||||||
% of |
Value |
|||||||
Open End Funds |
99.1 | % | $ | 28,447,335 | ||||
Money Market Funds |
0.9 | 259,000 | ||||||
Liabilities In Excess Of Other Assets |
0.0 | (5,509 | ) | |||||
NET ASSETS |
100.0 | % | $ | 28,700,826 |
Percentages are stated as a percent of net assets.
(a) |
A portfolio of Dimensional Investment Group Inc. |
(b) |
A portfolio of DFA Investment Trust Company. |
(c) |
The rate shown represents the 7-day effective yield as of February 29, 2024. |
(d) |
Represents less than 0.05% of net assets. |
Portfolio holdings are subject to change at any time.
The accompanying notes are an integral part of the financial statements.
5
MATSON MONEY VI PORTFOLIOS
MATSON MONEY INTERNATIONAL EQUITY VI PORTFOLIO
Portfolio of Investments
February 29, 2024 (Unaudited)
|
Value |
|||||||
OPEN END FUNDS — 99.1% |
||||||||
DFA International Small Cap Value Portfolio - Class Institutional(a) |
276,730 | $ | 5,869,441 | |||||
DFA International Value Portfolio III - Class Institutional(b) |
361,428 | 6,310,540 | ||||||
Emerging Markets Small Cap Portfolio - Class Institutional(a) |
44,718 | 1,017,785 | ||||||
Emerging Markets Value Portfolio - Class Institutional(a) |
34,034 | 1,009,793 | ||||||
iShares Core MSCI EAFE ETF(c) |
11,672 | 838,050 | ||||||
iShares Core MSCI Emerging Markets ETF(c) |
21,433 | 1,078,937 | ||||||
VA International Small Portfolio(a) |
300,777 | 3,549,169 | ||||||
VA International Value Portfolio(a) |
77,134 | 1,061,362 | ||||||
TOTAL OPEN END FUNDS |
||||||||
(Cost $18,512,446) |
20,735,077 | |||||||
SHORT-TERM INVESTMENTS — 10.2% |
||||||||
Investments Purchased with Proceeds from Securities Lending — 9.3% |
||||||||
Mount Vernon Liquid Assets Portfolio, LLC, 5.44%(d) |
1,939,131 | 1,939,131 | ||||||
Money Market Funds — 0.9% |
||||||||
STIT-Government & Agency Portfolio - Class Institutional, 5.25%(e) |
197,962 | 197,962 | ||||||
TOTAL SHORT-TERM INVESTMENTS |
||||||||
(Cost $2,137,093) |
2,137,093 | |||||||
TOTAL INVESTMENTS — 109.3% |
||||||||
(Cost $20,649,538) |
22,872,170 | |||||||
Liabilities in Excess of Other Assets — (9.3)% |
(1,953,792 | ) | ||||||
TOTAL NET ASSETS — 100.0% |
$ | 20,918,378 |
PORTFOLIO HOLDINGS SUMMARY TABLE |
||||||||
% of |
Value |
|||||||
Open End Funds |
99.1 | % | $ | 20,735,077 | ||||
Money Market Funds |
9.3 | 197,962 | ||||||
Investments Purchased with Proceeds from Securities Lending |
0.9 | 1,939,131 | ||||||
Liabilities In Excess Of Other Assets |
(9.3 | ) | (1,953,792 | ) | ||||
NET ASSETS |
100 | % | $ | 20,918,378 |
Percentages are stated as a percent of net assets.
(a) |
A portfolio of DFA Investment Trust Company |
(b) |
A portfolio of DFA Investment Dimensions Group Inc. |
(c) |
All or a portion of this security is on loan as of February 29, 2024. The total market value of these securities was $1,897,763 which represented 9.1% of net assets. |
(d) |
The rate shown is as of February 29, 2024. |
(e) |
The rate shown represents the 7-day effective yield as of February 29, 2024. |
ETF |
Exchange-Traded Fund |
Portfolio holdings are subject to change at any time.
The accompanying notes are an integral part of the financial statements.
6
MATSON MONEY VI PORTFOLIOS
MATSON MONEY FIXED INCOME VI PORTFOLIO
Portfolio of Investments
February 29, 2024 (Unaudited)
|
Value |
|||||||
OPEN END FUNDS — 98.6% |
||||||||
DFA One-Year Fixed Income Portfolio - Class Institutional(a) |
304,233 | $ | 3,115,346 | |||||
DFA Two-Year Global Fixed Income Portfolio - Class Institutional(a) |
417,604 | 4,075,815 | ||||||
iShares 1-3 Year Treasury Bond ETF |
13,329 | 1,089,512 | ||||||
iShares 1-5 Year Investment Grade Corporate Bond ETF(b) |
127,419 | 6,507,287 | ||||||
iShares 3-7 Year Treasury Bond ETF(b) |
14,115 | 1,631,553 | ||||||
iShares 5-10 Year Investment Grade Corporate Bond ETF |
31,900 | 1,631,047 | ||||||
iShares Core International Aggregate Bond ETF(b) |
82,203 | 4,070,693 | ||||||
iShares TIPS Bond ETF(b) |
12,714 | 1,356,838 | ||||||
VA Global Bond Portfolio(a) |
277,551 | 2,719,998 | ||||||
VA Short-Term Fixed Income Portfolio(a) |
53,810 | 545,097 | ||||||
TOTAL OPEN END FUNDS |
||||||||
(Cost $28,071,603) |
26,743,186 | |||||||
SHORT-TERM INVESTMENTS — 6.6% |
||||||||
Investments Purchased with Proceeds from Securities Lending — 5.0% |
||||||||
Mount Vernon Liquid Assets Portfolio, LLC, 5.44%(c) |
1,368,728 | 1,368,728 | ||||||
Money Market Funds — 1.6% |
||||||||
STIT-Government & Agency Portfolio - Class Institutional, 5.25%(d) |
427,868 | 427,868 | ||||||
TOTAL SHORT-TERM INVESTMENTS |
||||||||
(Cost $1,796,596) |
1,796,596 | |||||||
TOTAL INVESTMENTS — 105.2% |
||||||||
(Cost $29,893,243) |
28,539,782 | |||||||
Liabilities in Excess of Other Assets — (5.2)% |
(1,416,917 | ) | ||||||
TOTAL NET ASSETS — 100.0% |
$ | 27,122,865 |
PORTFOLIO HOLDINGS SUMMARY TABLE |
||||||||
% of |
Value |
|||||||
Open End Funds |
98.6 | % | $ | 26,743,186 | ||||
Money Market Funds |
1.6 | 427,868 | ||||||
Investments Purchased with Proceeds from Securities Lending |
5.0 | 1,368,728 | ||||||
Liabilities In Excess Of Other Assets |
(5.2 | ) | (1,416,917 | ) | ||||
NET ASSETS |
100.0 | % | $ | 27,122,865 |
Percentages are stated as a percent of net assets.
(a) |
A portfolio of DFA Investment Dimensions Group Inc. |
(b) |
All or a portion of this security is on loan as of February 29, 2024. The total market value of these securities was $1,343,178 which represented 5.0% of net assets. |
(c) |
The rate is shown as of February 29, 2024. |
(d) |
The rate shown represents the 7-day effective yield as of February 29, 2024. |
ETF |
Exchange-Traded Fund |
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
Statements of Assets and Liabilities
February 29, 2024 (Unaudited)
MATSON MONEY |
MATSON MONEY |
MATSON MONEY |
||||||||||
ASSETS |
||||||||||||
Investments, at value (cost $23,260,664, $18,512,446 and $28,071,603, respectively) |
$ | 28,447,335 | $ | 20,735,077 | $ | 26,743,186 | ||||||
Short-term investments, at value (cost $259,000, $197,962,and $427,868, respectively) |
259,000 | 197,962 | 427,868 | |||||||||
Investments purchased with proceeds from securities lending collateral (cost $—, $1,939,191 and $1,368,728 respectively) |
— | 1,939,131 | 1,368,728 | |||||||||
Receivables for: |
||||||||||||
Cash |
40,000 | 20,000 | 11,692 | |||||||||
Investments sold |
906 | 730 | 1,545 | |||||||||
Dividends and interest |
— | — | 532 | |||||||||
Prepaid expenses and other assets |
1,195 | 350 | 1,147 | |||||||||
Total assets |
28,748,436 | 22,893,250 | 28,554,698 | |||||||||
LIABILITIES |
||||||||||||
Payables for: |
||||||||||||
Audit fees |
$ | 16,642 | $ | 16,691 | $ | 16,710 | ||||||
Capital shares redeemed |
15,256 | 7,451 | 30,644 | |||||||||
Advisory fees |
11,263 | 8,210 | 10,773 | |||||||||
Administration and accounting fees |
3,105 | 2,790 | 3,142 | |||||||||
Transfer agent fees |
726 | 599 | 752 | |||||||||
Securities lending collateral (see Note 6) |
— | 1,939,131 | 1,368,728 | |||||||||
Other accrued expenses and liabilities |
618 | — | 1,084 | |||||||||
Total liabilities |
47,610 | 1,974,872 | 1,431,833 | |||||||||
Net assets |
$ | 28,700,826 | $ | 20,918,378 | $ | 27,122,865 | ||||||
NET ASSETS CONSIST OF: |
||||||||||||
Par Value |
$ | 894 | $ | 821 | $ | 1,144 | ||||||
Paid-in capital |
22,622,423 | 19,396,483 | 28,841,983 | |||||||||
Total distributable earnings/(loss) |
6,077,509 | 1,521,074 | (1,720,262 | ) | ||||||||
Net assets |
$ | 28,700,826 | $ | 20,918,378 | $ | 27,122,865 | ||||||
CAPITAL SHARES: |
||||||||||||
Net assets |
$ | 28,700,826 | $ | 20,918,378 | $ | 27,122,865 | ||||||
Shares outstanding ($0.001 par value, 100,000,000 shares authorized) |
893,559 | 820,585 | 1,143,950 | |||||||||
Net asset value, offering and redemption price per share |
$ | 32.12 | $ | 25.49 | $ | 23.71 |
The accompanying notes are an integral part of the financial statements.
8
MATSON MONEY VI PORTFOLIOS
Statements of Operations
FOR THE SIX MONTHS ENDED FEBRUARY 29, 2024 (UNAUDITED)
MATSON MONEY |
MATSON MONEY |
MATSON MONEY |
||||||||||
INVESTMENT INCOME |
||||||||||||
Dividends from non-affiliated funds |
$ | 269,526 | $ | 519,221 | $ | 687,172 | ||||||
Securities lending income |
— | 892 | 3,899 | |||||||||
Total investment income |
269,526 | 520,113 | 691,071 | |||||||||
EXPENSES: |
||||||||||||
Advisory fees (Note 2) |
68,101 | 50,231 | 67,799 | |||||||||
Audit and tax services fees |
17,065 | 16,906 | 16,925 | |||||||||
Administration and accounting fees (Note 2) |
8,469 | 8,066 | 8,415 | |||||||||
Director fees |
1,454 | 1,082 | 1,428 | |||||||||
Officer fees |
1,195 | 896 | 1,207 | |||||||||
Custodian fees (Note 2) |
1,006 | 2,103 | 1,561 | |||||||||
Legal fees |
682 | 515 | 676 | |||||||||
Printing and shareholder reporting fees |
157 | 272 | 211 | |||||||||
Other expenses |
3,451 | 3,213 | 3,437 | |||||||||
Total expenses |
101,580 | 83,284 | 101,659 | |||||||||
Net investment income/(loss) |
167,946 | 436,829 | 589,412 | |||||||||
NET REALIZED AND UNREALIZED GAIN/(LOSS) FROM INVESTMENTS |
||||||||||||
Net realized gain/(loss) from: |
||||||||||||
Non-affiliated funds |
429,653 | (15,042 | ) | (91,641 | ) | |||||||
Capital gain distributions from non-affiliated fund investments |
859,417 | 16,616 | — | |||||||||
Net change in unrealized appreciation/(depreciation) on: |
||||||||||||
Non-affiliated funds |
1,212,855 | 730,502 | 243,152 | |||||||||
Net realized and unrealized gain/(loss) on investments |
2,501,925 | 732,076 | 151,511 | |||||||||
NET INCREASE/(DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS |
$ | 2,669,871 | $ | 1,168,905 | $ | 740,923 |
The accompanying notes are an integral part of the financial statements.
9
MATSON MONEY U.S. EQUITY VI PORTFOLIO
Statements of Changes in Net Assets
FOR THE |
FOR THE |
|||||||
INCREASE/(DECREASE) IN NET ASSETS FROM OPERATIONS: |
||||||||
Net investment income/(loss) |
$ | 167,946 | $ | 251,488 | ||||
Net realized gain/(loss) from investments |
1,289,070 | 1,833,022 | ||||||
Net change in unrealized appreciation/(depreciation) on investments |
1,212,855 | 656,457 | ||||||
Net increase/(decrease) in net assets resulting from operations |
2,669,871 | 2,740,967 | ||||||
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS: |
||||||||
Total distributable earnings |
(2,176,502 | ) | (2,775,746 | ) | ||||
Net decrease in net assets from dividends and distributions to shareholders |
(2,176,502 | ) | (2,775,746 | ) | ||||
CAPITAL SHARE TRANSACTIONS: |
||||||||
Proceeds from shares sold |
816,617 | 1,602,156 | ||||||
Reinvestment of distributions |
2,176,501 | 2,775,746 | ||||||
Shares redeemed |
(2,556,522 | ) | (4,389,190 | ) | ||||
Net increase/(decrease) in net assets from capital shares |
436,596 | (11,288 | ) | |||||
Total increase/(decrease) in net assets |
929,965 | (46,067 | ) | |||||
NET ASSETS: |
||||||||
Beginning of period |
27,770,861 | 27,816,928 | ||||||
End of period |
$ | 28,700,826 | $ | 27,770,861 | ||||
SHARE TRANSACTIONS: |
||||||||
Shares sold |
27,079 | 53,564 | ||||||
Dividends and distributions reinvested |
68,790 | 96,851 | ||||||
Shares redeemed |
(81,720 | ) | (142,873 | ) | ||||
Net increase/(decrease) in shares outstanding |
14,149 | 7,542 |
The accompanying notes are an integral part of the financial statements.
10
MATSON MONEY INTERNATIONAL EQUITY VI PORTFOLIO
Statements of Changes in Net Assets
FOR THE |
FOR THE |
|||||||
INCREASE/(DECREASE) IN NET ASSETS FROM OPERATIONS: |
||||||||
Net investment income/(loss) |
$ | 436,829 | $ | 526,970 | ||||
Net realized gain/(loss) from investments |
1,574 | (219,290 | ) | |||||
Net change in unrealized appreciation/(depreciation) on investments |
730,502 | 2,773,306 | ||||||
Net increase/(decrease) in net assets resulting from operations |
1,168,905 | 3,080,986 | ||||||
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS: |
||||||||
Total distributable earnings |
(638,754 | ) | (663,764 | ) | ||||
Net decrease in net assets from dividends and distributions to shareholders |
(638,754 | ) | (663,764 | ) | ||||
CAPITAL SHARE TRANSACTIONS: |
||||||||
Proceeds from shares sold |
507,126 | 1,869,280 | ||||||
Reinvestment of distributions |
638,754 | 663,764 | ||||||
Shares redeemed |
(1,108,975 | ) | (3,699,124 | ) | ||||
Net increase/(decrease) in net assets from capital shares |
36,905 | (1,166,080 | ) | |||||
Total increase/(decrease) in net assets |
567,056 | 1,251,142 | ||||||
NET ASSETS: |
||||||||
Beginning of period |
20,351,322 | 19,100,180 | ||||||
End of period |
$ | 20,918,378 | $ | 20,351,322 | ||||
SHARE TRANSACTIONS: |
||||||||
Shares sold |
20,754 | 84,786 | ||||||
Dividends and distributions reinvested |
25,168 | 29,553 | ||||||
Shares redeemed |
(45,075 | ) | (154,187 | ) | ||||
Net increase/(decrease) in shares outstanding |
847 | (39,848 | ) |
The accompanying notes are an integral part of the financial statements.
11
MATSON MONEY FIXED INCOME VI PORTFOLIO
Statements of Changes in Net Assets
FOR THE |
FOR THE |
|||||||
INCREASE/(DECREASE) IN NET ASSETS FROM OPERATIONS: |
||||||||
Net investment income/(loss) |
$ | 589,412 | $ | 439,628 | ||||
Net realized gain/(loss) from investments |
(91,641 | ) | (193,139 | ) | ||||
Net change in unrealized appreciation/(depreciation) on investments |
243,152 | 127,777 | ||||||
Net increase/(decrease) in net assets resulting from operations |
740,923 | 374,266 | ||||||
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS: |
||||||||
Total distributable earnings |
(721,924 | ) | (338,690 | ) | ||||
Net decrease in net assets from dividends and distributions to shareholders |
(721,924 | ) | (338,690 | ) | ||||
CAPITAL SHARE TRANSACTIONS: |
||||||||
Proceeds from shares sold |
1,647,641 | 2,633,205 | ||||||
Reinvestment of distributions |
721,924 | 338,690 | ||||||
Shares redeemed |
(2,192,715 | ) | (4,379,286 | ) | ||||
Net increase/(decrease) in net assets from capital shares |
176,850 | (1,407,391 | ) | |||||
Total increase/(decrease) in net assets |
195,849 | (1,371,815 | ) | |||||
NET ASSETS: |
||||||||
Beginning of period |
26,927,016 | 28,298,832 | ||||||
End of period |
$ | 27,122,865 | $ | 26,927,017 | ||||
SHARE TRANSACTIONS: |
||||||||
Shares sold |
69,577 | 112,199 | ||||||
Dividends and distributions reinvested |
30,435 | 14,630 | ||||||
Shares redeemed |
(92,377 | ) | (186,124 | ) | ||||
Net increase/(decrease) in shares outstanding |
7,635 | (59,295 | ) |
The accompanying notes are an integral part of the financial statements.
12
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 |
FOR THE |
FOR THE |
FOR THE |
FOR THE |
FOR THE |
|||||||||||||||||||
Per Share Operating Performance |
||||||||||||||||||||||||
Net asset value, beginning of period |
$ | 31.58 | $ | 31.90 | $ | 36.70 | $ | 25.62 | $ | 27.08 | $ | 33.12 | ||||||||||||
Net investment income/(loss)(1) |
0.19 | 0.28 | 0.23 | 0.25 | 0.22 | 0.21 | ||||||||||||||||||
Net realized and unrealized gain/(loss) on investments |
2.85 | 2.62 | (2.37 | ) | 12.06 | (0.04 | ) | (4.34 | ) | |||||||||||||||
Net increase/(decrease) in net assets resulting from operations |
3.04 | 2.90 | (2.14 | ) | 12.31 | 0.18 | (4.13 | ) | ||||||||||||||||
Dividends and distributions to shareholders from: |
||||||||||||||||||||||||
Net investment income |
(0.33 | ) | (0.26 | ) | (0.34 | ) | (0.29 | ) | (0.24 | ) | (0.27 | ) | ||||||||||||
Net realized capital gains |
(2.17 | ) | (2.96 | ) | (2.32 | ) | (0.94 | ) | (1.40 | ) | (1.64 | ) | ||||||||||||
Total dividends and distributions to shareholders |
(2.50 | ) | (3.22 | ) | (2.66 | ) | (1.23 | ) | (1.64 | ) | (1.91 | ) | ||||||||||||
Net asset value, end of period |
$ | 32.12 | $ | 31.58 | $ | 31.90 | $ | 36.70 | $ | 25.62 | $ | 27.08 | ||||||||||||
Total investment return/(loss)(2) |
9.75 | %(4) | 10.14 | % | (6.64 | )% | 49.31 | % | (0.02 | )% | (11.89 | )% | ||||||||||||
Ratios/Supplemental Data |
||||||||||||||||||||||||
Net assets, end of period (000’s omitted) |
$ | 28,701 | $ | 27,771 | $ | 27,817 | $ | 31,796 | $ | 25,070 | $ | 24,839 | ||||||||||||
Ratio of expenses to average net assets with waivers, if any(3) |
0.74 | %(5) | 0.74 | % | 0.73 | % | 0.74 | % | 0.76 | % | 0.76 | % | ||||||||||||
Ratio of expenses to average net assets without waivers, if any(3) |
0.74 | %(5) | 0.74 | % | 0.73 | % | 0.74 | % | 0.76 | % | 0.76 | % | ||||||||||||
Ratio of net investment income/(loss) to average net assets with waivers(3) |
1.23 | %(5) | 0.90 | % | 0.65 | % | 0.77 | % | 0.86 | % | 0.72 | % | ||||||||||||
Portfolio turnover rate |
5 | %(4) | 9 | % | 15 | % | 18 | % | 18 | % | 17 | % |
(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.
13
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 |
FOR THE |
FOR THE |
FOR THE |
FOR THE |
FOR THE |
|||||||||||||||||||
Per Share Operating Performance |
||||||||||||||||||||||||
Net asset value, beginning of period |
$ | 24.83 | $ | 22.22 | $ | 28.00 | $ | 21.35 | $ | 22.27 | $ | 26.16 | ||||||||||||
Net investment income/(loss)(1) |
0.53 | 0.61 | 0.73 | 0.37 | 0.42 | 0.43 | ||||||||||||||||||
Net realized and unrealized gain/(loss) on investments |
0.92 | 2.73 | (4.87 | ) | 6.80 | (0.25 | ) | (3.51 | ) | |||||||||||||||
Net increase/(decrease) in net assets resulting from operations |
1.45 | 3.34 | (4.14 | ) | 7.17 | 0.17 | (3.08 | ) | ||||||||||||||||
Dividends and distributions to shareholders from: |
||||||||||||||||||||||||
Net investment income |
(0.79 | ) | (0.50 | ) | (0.82 | ) | (0.35 | ) | (0.52 | ) | (0.39 | ) | ||||||||||||
Net realized capital gains |
— | (0.23 | ) | (0.82 | ) | (0.17 | ) | (0.57 | ) | (0.42 | ) | |||||||||||||
Total dividends and distributions to shareholders |
(0.79 | ) | (0.73 | ) | (1.64 | ) | (0.52 | ) | (1.09 | ) | (0.81 | ) | ||||||||||||
Net asset value, end of period |
$ | 25.49 | $ | 24.83 | $ | 22.22 | $ | 28.00 | $ | 21.35 | $ | 22.27 | ||||||||||||
Total investment return/(loss)(2) |
5.85 | %(4) | 15.39 | % | (15.66 | )% | 33.96 | % | 0.17 | % | (11.62 | )% | ||||||||||||
Ratios/Supplemental Data |
||||||||||||||||||||||||
Net assets, end of period (000’s omitted) |
$ | 20,918 | $ | 20,351 | $ | 19,100 | $ | 22,780 | $ | 18,559 | $ | 18,228 | ||||||||||||
Ratio of expenses to average net assets with waivers, if any(3) |
0.82 | %(5) | 0.80 | % | 0.80 | % | 0.80 | % | 0.83 | % | 0.86 | % | ||||||||||||
Ratio of expenses to average net assets without waivers, if any(3) |
0.82 | %(5) | 0.80 | % | 0.80 | % | 0.80 | % | 0.83 | % | 0.86 | % | ||||||||||||
Ratio of net investment income/(loss) to average net assets with waivers(3) |
4.35 | %(5) | 2.60 | % | 2.86 | % | 1.48 | % | 1.99 | % | 1.82 | % | ||||||||||||
Portfolio turnover rate |
3 | %(4) | 11 | % | 11 | % | 18 | % | 26 | % | 13 | % |
(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.
14
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 |
FOR THE |
FOR THE |
FOR THE |
FOR THE |
FOR THE |
|||||||||||||||||||
Per Share Operating Performance |
||||||||||||||||||||||||
Net asset value, beginning of period |
$ | 23.70 | $ | 23.67 | $ | 25.55 | $ | 25.66 | $ | 25.38 | $ | 24.74 | ||||||||||||
Net investment income/(loss)(1) |
0.51 | 0.37 | 0.10 | 0.02 | 0.43 | 0.59 | ||||||||||||||||||
Net realized and unrealized gain/(loss) on investments |
0.14 | (0.05 | ) | (1.90 | ) | 0.04 | 0.27 | 0.61 | ||||||||||||||||
Net increase/(decrease) in net assets resulting from operations |
0.65 | 0.32 | (1.80 | ) | 0.06 | 0.70 | 1.20 | |||||||||||||||||
Dividends and distributions to shareholders from: |
||||||||||||||||||||||||
Net investment income |
(0.64 | ) | (0.29 | ) | (0.08 | ) | (0.16 | ) | (0.42 | ) | (0.56 | ) | ||||||||||||
Net realized capital gains |
— | — | — | — | — | — | (2) | |||||||||||||||||
Return of capital |
— | — | — | (0.01 | ) | — | — | |||||||||||||||||
Total dividends and distributions to shareholders |
(0.64 | ) | (0.29 | ) | (0.08 | ) | (0.17 | ) | (0.42 | ) | (0.56 | ) | ||||||||||||
Net asset value, end of period |
$ | 23.71 | $ | 23.70 | $ | 23.67 | $ | 25.55 | $ | 25.66 | $ | 25.38 | ||||||||||||
Total investment return/(loss)(3) |
2.74 | %(6) | 1.36 | % | (7.08 | )% | 0.22 | % | 2.80 | % | 4.98 | % | ||||||||||||
Ratios/Supplemental Data |
||||||||||||||||||||||||
Net assets, end of period (000’s omitted) |
$ | 27,123 | $ | 26,927 | $ | 28,299 | $ | 33,103 | $ | 27,323 | $ | 29,546 | ||||||||||||
Ratio of expenses to average net assets with waivers, if any(4) |
0.74 | %(5) | 0.74 | % | 0.73 | % | 0.73 | % | 0.74 | % | 0.74 | % | ||||||||||||
Ratio of expenses to average net assets without waivers, if any(4) |
0.74 | %(5) | 0.74 | % | 0.73 | % | 0.73 | % | 0.74 | % | 0.74 | % | ||||||||||||
Ratio of net investment income/(loss) to average net assets with waivers(4) |
4.35 | %(5) | 1.59 | % | 0.39 | % | 0.07 | % | 1.69 | % | 2.39 | % | ||||||||||||
Portfolio turnover rate |
6 | %(6) | 8 | % | 7 | % | 8 | % | 46 | % | 19 | % |
(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.
15
MATSON MONEY VI PORTFOLIOS
Notes to Financial Statements
February 29, 2024 (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 sixty-four 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 92.723 billion shares are currently classified into two hundred and thirty-four 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 29, 2024, and the period covered by these Notes to Financial Statements is the six months ended February 29, 2024 (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 Funds’ 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 SEC’s 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.
16
MATSON MONEY VI PORTFOLIOS
Notes to Financial Statements (continued)
February 29, 2024 (Unaudited)
The Board has adopted a pricing and valuation policy for use by each Portfolio and its Valuation Designee (as defined below) in calculating a Portfolio’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
LEVEL 1 |
LEVEL 2 |
LEVEL 3 |
TOTAL |
|||||||||||||
Open End Funds |
$ | 22,995,781 | $ | — | $ | — | $ | 22,995,781 | ||||||||
Investments Measured at Net Asset Value* |
— | — | — | 5,451,554 | ||||||||||||
Investments Purchased with Proceeds From Securities Lending Collateral* |
— | — | — | — | ||||||||||||
Short-Term Investments |
259,000 | — | — | 259,000 | ||||||||||||
Total Investments** |
$ | 23,254,781 | $ | — | $ | — | $ | 28,706,335 |
* |
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
LEVEL 1 |
LEVEL 2 |
LEVEL 3 |
TOTAL |
|||||||||||||
Open End Funds |
$ | 16,124,546 | $ | — | $ | — | $ | 16,124,546 | ||||||||
Investments Measured at Net Asset Value* |
— | — | — | 4,610,531 | ||||||||||||
Investments Purchased with Proceeds From Securities Lending Collateral* |
— | — | — | 1,939,131 | ||||||||||||
Short-Term Investments |
197,962 | — | — | 197,962 | ||||||||||||
Total Investments** |
$ | 16,322,508 | $ | — | $ | — | $ | 22,872,170 |
* |
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
MATSON MONEY VI PORTFOLIOS
Notes to Financial Statements (Continued)
February 29, 2024 (Unaudited)
MATSON MONEY FIXED INCOME VI PORTFOLIO
LEVEL 1 |
LEVEL 2 |
LEVEL 3 |
TOTAL |
|||||||||||||
Open End Funds |
$ | 23,478,091 | $ | — | $ | — | $ | 23,478,091 | ||||||||
Investments Measured at Net Asset Value* |
— | — | — | 3,265,095 | ||||||||||||
Investments Purchased with Proceeds From Securities Lending Collateral* |
— | — | — | 1,368,728 | ||||||||||||
Short-Term Investments |
427,868 | — | — | 427,868 | ||||||||||||
Total Investments** |
$ | 23,905,959 | $ | — | $ | — | $ | 28,539,782 |
* |
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
18
MATSON MONEY VI PORTFOLIOS
Notes to Financial Statements (Continued)
February 29, 2024 (Unaudited)
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 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.
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.
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
19
MATSON MONEY VI PORTFOLIOS
Notes to Financial Statements (Continued)
February 29, 2024 (Unaudited)
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, 2024 and may not be terminated without the approval of the Board. The Adviser may discontinue these arrangements at any time after December 31, 2024.
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 |
$ | 68,101 | ||
Matson Money International Equity VI Portfolio |
50,231 | |||
Matson Money Fixed Income VI Portfolio |
67,799 |
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 Portfolios’ 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 Portfolios or the Company. For Director and Officer compensation amounts, please refer to the Statements of Operations.
20
MATSON MONEY VI PORTFOLIOS
Notes to Financial Statements (CONTINUED)
February 29, 2024 (Unaudited)
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 |
$ | 1,442,935 | $ | 2,173,783 | ||||
Matson Money International Equity VI Portfolio |
626,303 | 787,610 | ||||||
Matson Money Fixed Income VI Portfolio |
1,773,614 | 1,723,153 |
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, 2023, the federal tax cost and aggregate gross unrealized appreciation and depreciation of investments held by each Portfolio were as follows:
FEDERAL TAX |
UNREALIZED |
UNREALIZED |
NET |
|||||||||||||
Matson Money U.S. Equity Portfolio |
$ | 24,092,021 | $ | 4,448,775 | $ | (707,302 | ) | $ | 3,741,473 | |||||||
Matson Money International Equity Portfolio |
19,451,492 | 2,042,864 | (1,091,398 | ) | 951,466 | |||||||||||
Matson Money Fixed Income Portfolio |
28,721,983 | 54,846 | (1,788,800 | ) | (1,733,954 | ) |
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.
As of August 31, 2023, there were no permanent differences between distributable earnings/(loss) and paid in capital.
As of August 31, 2023, the components of distributable earnings on a tax basis were as follows:
Undistributed |
Undistributed |
Capital Loss |
Net |
|||||||||||||
Matson Money U.S. Equity Portfolio |
$ | 57,270 | $ | 1,785,397 | $ | — | $ | 3,741,473 | ||||||||
Matson Money International Equity Portfolio |
175,800 | — | (136,343 | ) | 951,466 | |||||||||||
Matson Money Fixed Income Portfolio |
169,613 | — | (174,920 | ) | (1,733,954 | ) |
21
MATSON MONEY VI PORTFOLIOS
Notes to Financial Statements (CONTINUED)
February 29, 2024 (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. 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, 2023 was as follows:
ORDINARY |
LONG-TERM |
RETURN OF |
TOTAL |
|||||||||||||
Matson Money U.S. Equity Portfolio |
$ | 225,930 | $ | 2,549,816 | — | $ | 2,775,746 | |||||||||
Matson Money International Equity Portfolio |
453,501 | 210,263 | — | 663,764 | ||||||||||||
Matson Money Fixed Income Portfolio |
338,690 | — | — | 338,690 |
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 Portfolios 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, 2023, any amount of losses elected within the tax return will not be recognized for federal income tax purposes until September 1, 2023. The Matson Money Fixed Income Portfolio deferred qualified late-year losses of $174,920, and the Matson Money International Equity Portfolio deferred qualified late-year losses of $136,343 which will be treated as arising on the first business day of the following fiscal year.
The Portfolios 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, 2023, the Portfolios had no unexpiring short-term or long-term losses.
6. SECURITIES LENDING
The Portfolios 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 102% of the current market value of the loaned securities, as marked to market each day that the NAV of the Portfolios is determined. When the collateral falls below specified amounts, the Portfolios’ 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 Portfolios will pay administrative and custodial fees in connection with the loan of securities. Collateral is invested in short-term investments and the Portfolios 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 Portfolios 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:
PORTFOLIO |
MARKET VALUE OF |
MARKET VALUE OF |
INCOME RECEIVED |
|||||||||
Matson Money U.S. Equity Portfolio |
$ | — | $ | — | $ | — | ||||||
Matson Money International Equity Portfolio |
1,897,763 | 1,939,131 | 892 | |||||||||
Matson Money Fixed Income Portfolio |
1,343,178 | 1,368,728 | 3,899 |
Securities lending transactions are entered into by the Portfolios’ securities lending agent on behalf of the Portfolios under a Master Securities Lending Agreement (“MSLA”) which permits the Portfolios’ securities lending agent on behalf of the Portfolios under certain circumstances including an event of default (such as bankruptcy or insolvency), to offset amounts
22
MATSON MONEY VI PORTFOLIOS
Notes to Financial Statements (continued)
February 29, 2024 (Unaudited)
payable on behalf of the Portfolios to the same counterparty against amounts to be received and create one single net payment due to or from the Portfolios. The following table is a summary of the Portfolios’ open securities lending transactions which are subject to a MSLA as of the end of the reporting period:
GROSS AMOUNTS NOT OFFSET IN THE |
||||||||||||||||||||||||
PORTFOLIO |
GROSS AMOUNTS |
GROSS AMOUNTS |
NET AMOUNTS OF |
FINANCIAL |
CASH |
NET |
||||||||||||||||||
Matson Money U.S. Equity Portfolio |
$ | — | $ | — | $ | — | $ | — | $ | — | $ | — | ||||||||||||
Matson Money International Equity Portfolio |
1,897,763 | — | 1,897,763 | (1,897,763 | ) | — | — | |||||||||||||||||
Matson Money Fixed Income Portfolio |
1,343,178 | — | 1,343,178 | (1,343,178 | ) | — | — |
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. |
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.
In October 2022, the SEC adopted rule and form amendments relating to tailored shareholder reports for mutual funds and exchange-traded funds and fee information in investment company advertisements. The rule and form amendments will, among other things, require the Portfolios to transmit concise and visually engaging shareholder reports that highlight key information. The amendments will require that funds tag information in a structured data format and that certain more in-depth information be made available online and available for delivery free of charge to investors on request. The amendments became effective January 24, 2023. There is an 18-month transition period after the effective date of the amendments until the Portfolios are required to comply.
In December 2022, the FASB issued an Accounting Standards Update, ASU 2022-06, Reference Rate Reform (Topic 848) – Deferral of the Sunset Date of Topic 848 (“ASU 2022-06”). ASU 2022-06 is an amendment to ASU 2020-04, which provided optional guidance to ease the potential accounting burden due to the discontinuation of the London Inter-Bank Offered Rate (LIBOR) and other interbank-offered based reference rates and which was effective as of March 12, 2020 through December 31, 2022. ASU 2022-06 extends the effective period through December 31, 2024. Management is currently evaluating the impact, if any, of applying ASU 2022-06.
23
MATSON MONEY VI PORTFOLIOS
Notes to Financial Statements (concluded)
February 29, 2024 (Unaudited)
8. |
Subsequent Events |
Management has evaluated the impact of all subsequent events on the Portfolios through the date the financial statements were issued and has determined there were no subsequent events.
24
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 filings are available on the SEC’s website at http://www.sec.gov.
25
[THIS PAGE INTENTIONALLY LEFT BLANK]
Investment Adviser
Matson Money, Inc.
5955 Deerfield Blvd.
Mason, OH 45040
Administrator and Transfer Agent
U.S. Bank Global Fund Services
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-SAR24
Semi-ANNUAL
report 2024
Motley Fool Asset Management ETFs
Series of The RBB Fund, Inc.
2/29/24
(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 |
46 |
Notes to Financial Statements |
62 |
Notice to Shareholders |
76 |
Motley Fool GLOBAL OPPORTUNITIES ETF
Portfolio Characteristics
(Unaudited)
Average Annual Total Returns for the periods ended February 29, 2024 |
|||||
SIX |
One |
Five |
Since |
Inception |
|
Motley Fool Global Opportunities ETF (at NAV)* |
13.70% |
25.59% |
10.46% |
9.55% |
6/17/2014 |
Motley Fool Global Opportunities ETF (at Market Price) |
13.69% |
25.60% |
N/A |
-1.17% |
6/17/2014 |
FTSE Global All Cap Net Tax Index** |
11.48% |
22.38% |
10.54% |
8.32%(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. |
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.
1 |
Motley Fool GLOBAL OPPORTUNITIES ETF
Portfolio Characteristics (Continued)
(Unaudited)
The following tables show the top ten holdings, sector allocations, and top ten countries in which the Fund was invested in as of February 29, 2024. Portfolio holdings are subject to change without notice.
Top Ten Holdings |
% OF NET |
Amazon.com, Inc. |
6.3% |
ICON PLC |
5.7 |
Axon Enterprise, Inc. |
4.9 |
Mastercard, Inc., Class A |
4.8 |
Watsco, Inc. |
4.4 |
Waste Connections, Inc. |
4.4 |
Canadian National Railway Co. |
3.6 |
International Container Terminal Services, Inc. |
3.6 |
Georgia Capital PLC |
3.5 |
Alphabet, Inc., Class C |
3.4 |
44.6% |
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 |
Industrials |
25.1% |
Financials |
16.1 |
Communication Services |
13.9 |
Consumer Discretionary |
12.5 |
Health Care |
9.6 |
Information Technology |
8.2 |
Real Estate |
7.3 |
Consumer Staples |
3.3 |
Materials |
1.9 |
97.9% |
2 |
Motley Fool GLOBAL OPPORTUNITIES ETF
Portfolio Characteristics (Concluded)
(Unaudited)
Top ten Countries |
% OF Net |
United States* |
48.6% |
Canada |
10.6 |
Ireland |
6.2 |
United Kingdom |
4.8 |
Philippines |
3.6 |
Georgia |
3.5 |
Taiwan |
3.2 |
Spain |
2.9 |
Netherlands |
2.7 |
Argentina |
2.3 |
88.4% |
* |
As of the date of this report, the Fund had a holding of 2.1% 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 29, 2024 |
|||||
SIX |
One |
Five |
Since |
Inception |
|
Motley Fool Mid-Cap Growth ETF (at NAV)* |
9.63% |
19.06% |
7.79% |
8.16% |
6/17/2014 |
Motley Fool Mid-Cap Growth ETF (at Market Price) |
9.88% |
19.24% |
N/A |
-3.80% |
6/17/2014 |
Russell MidCap® Growth Total Return Index** |
16.53% |
25.03% |
11.59% |
11.11%(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 29, 2024.Portfolio holdings are subject to change without notice.
Top ten Holdings |
% OF Net |
Axon Enterprise, Inc. |
8.0% |
Brown & Brown, Inc. |
6.2 |
Fastenal Co. |
5.2 |
Broadridge Financial Solutions, Inc. |
4.7 |
Watsco, Inc. |
4.7 |
Tyler Technologies, Inc. |
4.5 |
Gentex Corp |
4.0 |
Alarm.com Holdings, Inc. |
3.8 |
SBA Communications Corp. |
3.4 |
Cooper Cos, Inc. |
3.4 |
47.9 |
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 |
Industrials |
31.2% |
Health Care |
19.0 |
Financials |
18.3 |
Information Technology |
11.8 |
Real Estate |
7.5 |
Consumer Discretionary |
6.6 |
Materials |
2.2 |
96.6% |
5 |
Motley Fool 100 Index ETF
Portfolio Characteristics
(Unaudited)
AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIODS ENDED February 29, 2024 |
|||||
SIX |
One |
Five |
Since |
Inception |
|
Motley Fool 100 Index ETF (at NAV) |
17.46% |
48.45% |
19.02% |
16.21% |
1/29/2018 |
Motley Fool 100 Index ETF (at Market Price) |
17.62% |
48.71% |
19.05% |
16.23% |
1/29/2018 |
Motley Fool 100 Index* |
17.63% |
49.06% |
19.61% |
16.78%(1) |
— |
S&P 500© Total Return Index** |
13.93% |
30.45% |
14.76% |
11.95%(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 29, 2024. Portfolio holdings are subject to change without notice.
Top TEN Holdings |
% OF Net |
Microsoft Corp. |
12.1% |
Apple, Inc. |
11.1% |
NVIDIA Corp. |
7.7% |
Amazon.com, Inc. |
7.2% |
Alphabet, Inc., Class C |
6.8% |
Meta Platforms, Inc., Class A |
5.0% |
Berkshire Hathaway, Inc., Class B |
3.6% |
Broadcom, Inc. |
2.4% |
Tesla, Inc. |
2.4% |
Visa, Inc., Class A |
2.3% |
60.6% |
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 |
Information Technology |
41.8% |
Communication Services |
14.8% |
Consumer Discretionary |
13.9% |
Financials |
12.0% |
Health Care |
7.9% |
Industrials |
3.6% |
Consumer Staples |
3.5% |
Real Estate |
1.1% |
Materials |
0.6% |
Utilities |
0.4% |
Energy |
0.2% |
99.8% |
7 |
MOTLEY FOOL SMALL-CAP GROWTH ETF
Portfolio Characteristics
(Unaudited)
AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIODS ENDED February 29, 2024 |
|||||
SIX |
One |
FIVE |
Since |
Inception |
|
Motley Fool Small-Cap Growth ETF (at NAV) |
5.80% |
16.19% |
7.47% |
10.42% |
10/29/2018 |
Motley Fool Small-Cap Growth ETF (at Market Price) |
5.81% |
16.34% |
7.43% |
10.42% |
10/29/2018 |
Russell 2000 Growth Total Return® Index* |
10.21% |
14.18% |
6.50% |
7.96%(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 29, 2024. Portfolio holdings are subject to change without notice.
Top TEN Holdings |
% OF Net |
Alarm.com Holdings, Inc. |
5.7% |
Northern Oil & Gas, Inc. |
4.3% |
Goosehead Insurance, Inc., Class A |
4.2% |
Axon Enterprise, Inc. |
3.9% |
Globus Medical, Inc., Class A |
3.7% |
Gentex Corp. |
3.7% |
Leonardo DRS, Inc. |
3.6% |
HealthEquity, Inc. |
3.6% |
Smartsheet, Inc., Class A |
3.4% |
Toast, Inc. - Class A |
3.4% |
39.5% |
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 |
Industrials |
24.4% |
Health Care |
23.9% |
Information Technology |
16.5% |
Financials |
13.6% |
Consumer Discretionary |
8.2% |
Energy |
4.3% |
Real Estate |
2.6% |
Consumer Staples |
2.2% |
95.7% |
9 |
MOTLEY FOOL CAPITAL EFFICIENCY 100 INDEX ETF
Portfolio Characteristics
(Unaudited)
AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIODS ENDED February 29, 2024 |
||||
SIX |
One |
Since |
Inception |
|
Motley Fool Capital Efficiency 100 Index ETF (at NAV) |
20.20% |
49.33% |
6.81% |
12/30/2021 |
Motley Fool Captial Efficiency 100 Index ETF (at Market Price) |
20.44% |
49.97% |
7.00% |
12/30/2021 |
Motley Fool Capital Efficiency 100 Index* |
20.28% |
49.85% |
7.16%(1) |
— |
S&P 500© Total Return Index** |
13.93% |
30.45% |
4.71%(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 29, 2024 Portfolio holdings are subject to change without notice.
Top TEN Holdings |
% OF Net |
NVIDIA, Corp. |
7.1% |
Meta Platforms, Inc., Class A |
6.4% |
Amazon.com, Inc. |
5.2% |
Walmart, Inc. |
5.1% |
Microsoft Corp. |
5.0% |
Visa, Inc., Class A |
4.9% |
Broadcom, Inc. |
4.8% |
Alphabet, Inc., Class C |
4.6% |
Mastercard, Inc., Class A |
4.3% |
Apple, Inc. |
4.2% |
51.6% |
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 |
Information Technology |
33.4% |
Health Care |
14.7% |
Communication Services |
14.0% |
Consumer Discretionary |
11.5% |
Financials |
9.8% |
Consumer Staples |
9.4% |
Industrials |
5.1% |
Materials |
1.6% |
99.5% |
11 |
MOTLEY FOOL NEXT INDEX ETF
Portfolio Characteristics
(Unaudited)
AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIODS ENDED February 29, 2024 |
||||
SIX |
One |
Since |
Inception |
|
Motley Fool Next Index ETF (at NAV) |
9.37% |
13.10% |
-6.51% |
12/30/2021 |
Motley Fool Next Index ETF (at Market Price) |
9.18% |
12.98% |
-6.57% |
12/30/2021 |
Motley Fool Next Index* |
9.72% |
13.81% |
-6.06%(1) |
— |
Russell Midcap® Growth Total Return Index** |
16.53% |
25.03% |
0.83%(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 29, 2024. Portfolio holdings are subject to change without notice.
Top TEN Holdings |
% OF Net |
Cloudflare, Inc. |
1.9% |
MongoDB, Inc. |
1.9% |
Fair Isaac Corp. |
1.8% |
HubSpot, Inc. |
1.8% |
Corning, Inc. |
1.6% |
Tractor Supply Co. |
1.6% |
Ulta Beauty, Inc. |
1.5% |
Splunk, Inc. |
1.5% |
Westinghouse Air Brake Technologies Corp. |
1.5% |
Take-Two Interactive Software, Inc. |
1.4% |
16.5% |
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 |
Information Technology |
32.7% |
Industrials |
16.8% |
Consumer Discretionary |
16.1% |
Health Care |
10.6% |
Financials |
10.2% |
Communication Services |
5.9% |
Consumer Staples |
3.9% |
Real Estate |
1.3% |
Materials |
1.2% |
Energy |
1.1% |
99.8% |
13 |
Motley Fool Asset Management ETFs
Fund Expense Examples
FEBRUARY 29, 2024 (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, 2023 through February 29, 2024, 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 29, 2024 (UNAUDITED)
Beginning
|
Ending Account Value February 29, 2024 |
Expenses Paid During Period(1) |
Annualized Expense
|
Actual Six- | |
Motley Fool Global Opportunities ETF | |||||
Actual | $1,000.00 | $1,137.00 | $4.52 | 0.85% | 13.70% |
Hypothetical (5% return before expenses) | 1,000.00 | 1,020.64 | 4.27 | 0.85% | N/A |
Motley Fool Mid-Cap Growth ETF | |||||
Actual | $1,000.00 | $1,096.30 | $4.43 | 0.85% | 9.63% |
Hypothetical (5% return before expenses) | 1,000.00 | 1,020.64 | 4.27 | 0.85% | N/A |
Motley Fool 100 Index ETF | |||||
Actual | $1,000.00 | $1,174.60 | $2.70 | 0.50% | 17.46% |
Hypothetical (5% return before expenses) | 1,000.00 | 1,022.38 | 2.51 | 0.50% | N/A |
Motley Fool Small-Cap Growth ETF | |||||
Actual | $1,000.00 | $1,058.00 | $4.35 | 0.85% | 5.80% |
Hypothetical (5% return before expenses) | 1,000.00 | 1,020.64 | 4.27 | 0.85% | N/A |
Motley Fool Capital Efficiency 100 Index ETF | |||||
Actual | $1,000.00 | $1,202.00 | $2.74 | 0.50% | 20.20% |
Hypothetical (5% return before expenses) | 1,000.00 | 1,022.38 | 2.51 | 0.50% | N/A |
Motley Fool Next Index ETF | |||||
Actual | $1,000.00 | $1,093.70 | $2.60 | 0.50% | 9.37% |
Hypothetical (5% return before expenses) | 1,000.00 | 1,022.38 | 2.51 | 0.50% | N/A |
(1) |
Expenses are equal to the Fund’s annualized expense ratio for the period September 1, 2023 through February 29, 2024, multiplied by the average account value over the period, multiplied by the number of days (182) in the most recent fiscal half-year, then divided by 366 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 six-month total investment return for the Fund. |
15 |
Motley Fool global opportunities ETF
Schedule of Investments
FEBRUARY 29, 2024 (UNAUDITED)
|
Number of |
Value |
||||||
COMMON STOCKS — 98.0% |
||||||||
Argentina — 2.3% |
||||||||
MercadoLibre, Inc.(a) |
6,309 | $ | 10,064,748 | |||||
Australia — 2.0% |
||||||||
Atlassian Corp. - Class A(a) |
42,411 | 8,796,890 | ||||||
Canada — 10.6% |
||||||||
Brookfield Asset Management Ltd. |
56,028 | 2,283,141 | ||||||
Brookfield Corp. |
222,190 | 9,169,781 | ||||||
Canadian National Railway Co. |
123,718 | 16,044,988 | ||||||
Waste Connections, Inc. |
115,818 | 19,276,748 | ||||||
46,774,658 | ||||||||
China — 1.7% |
||||||||
Yum China Holdings, Inc.(b) |
175,317 | 7,519,346 | ||||||
France — 0.8% |
||||||||
Vivendi SA |
297,030 | 3,316,242 | ||||||
Georgia — 3.5% |
||||||||
Georgia Capital PLC(a) |
1,009,005 | 15,615,251 | ||||||
Germany — 1.9% |
||||||||
Symrise AG |
80,340 | 8,210,789 | ||||||
India — 1.3% |
||||||||
HDFC Bank., Ltd., ADR |
108,854 | 5,823,689 | ||||||
Ireland — 6.1% |
||||||||
ICON PLC(a) |
79,046 | 25,343,729 | ||||||
Kerry Group PLC - Class A |
19,802 | 1,717,512 | ||||||
27,061,241 | ||||||||
Japan — 1.9% |
||||||||
Nintendo Co. Ltd. |
149,004 | 8,348,677 | ||||||
Kenya — 0.1% |
||||||||
Safaricom PLC |
4,000,000 | 360,544 | ||||||
Netherlands — 2.7% |
||||||||
Universal Music Group NV |
395,831 | 11,923,187 | ||||||
Philippines — 3.6% |
||||||||
International Container Terminal Services, Inc. |
3,117,052 | 16,024,691 |
The accompanying notes are an integral part of these financial statements.
16 |
Motley Fool global opportunities ETF
Schedule of Investments (continued)
FEBRUARY 29, 2024 (UNAUDITED)
|
Number of |
Value |
||||||
COMMON STOCKS (continued) |
||||||||
Spain — 2.9% |
||||||||
Cellnex Telecom SA(c) |
361,201 | $ | 12,988,151 | |||||
Taiwan — 3.2% |
||||||||
Taiwan Semiconductor Manufacturing Co. Ltd. - ADR |
108,596 | 13,973,047 | ||||||
United Arab Emirates — 0.0%(d) |
||||||||
NMC Health PLC(a)(e) |
485,482 | — | ||||||
United Kingdom — 4.8% |
||||||||
Aon PLC - Class A |
32,068 | 10,133,167 | ||||||
Rentokil Initial PLC - ADR(b) |
300,020 | 8,568,571 | ||||||
System1 Group PLC(a) |
490,291 | 2,537,482 | ||||||
21,239,220 | ||||||||
United States — 48.6%(f) |
||||||||
Alphabet, Inc. - Class C(a) |
106,502 | 14,886,850 | ||||||
Amazon.com, Inc.(a) |
156,573 | 27,675,843 | ||||||
American Tower Corp. |
67,214 | 13,366,176 | ||||||
Axon Enterprise, Inc.(a) |
70,506 | 21,671,429 | ||||||
Comcast Corp. - Class A |
171,981 | 7,369,386 | ||||||
Costco Wholesale Corp. |
17,255 | 12,835,822 | ||||||
Equinix, Inc. |
14,956 | 13,293,192 | ||||||
Fastenal Co. |
136,854 | 9,991,710 | ||||||
Mastercard, Inc. - Class A |
45,076 | 21,400,282 | ||||||
MSCI, Inc. |
12,340 | 6,922,370 | ||||||
Salesforce, Inc.(a) |
42,950 | 13,263,819 | ||||||
SBA Communications Corp. |
26,480 | 5,540,410 | ||||||
Shockwave Medical, Inc.(a) |
36,240 | 9,453,929 | ||||||
Starbucks Corp. |
104,166 | 9,885,353 | ||||||
Waters Corp.(a)(b) |
23,012 | 7,764,709 | ||||||
Watsco, Inc.(b) |
49,641 | 19,564,511 | ||||||
214,885,791 | ||||||||
TOTAL COMMON STOCKS (Cost $233,455,865) |
$ | 432,926,162 |
The accompanying notes are an integral part of these financial statements.
17 |
Motley Fool global opportunities ETF
Schedule of Investments (continued)
FEBRUARY 29, 2024 (UNAUDITED)
|
Number of |
Value |
||||||
SHORT-TERM INVESTMENTS — 8.2% |
||||||||
Investments Purchased with Proceeds from Securities Lending — 8.2% |
||||||||
Mount Vernon Liquid Assets Portfolio, LLC, 5.44%(g) |
36,421,063 | $ | 36,421,063 | |||||
TOTAL SHORT-TERM INVESTMENTS (Cost $36,421,063) |
36,421,063 | |||||||
TOTAL INVESTMENTS — 106.2% (Cost $269,876,928) |
469,347,225 | |||||||
Money Market Deposit Account — 2.1%(h) |
9,133,884 | |||||||
Liabilities in Excess of Other Assets — (8.3)% |
(36,538,576 | ) | ||||||
TOTAL NET ASSETS — 100.0% |
$ | 441,942,533 |
Percentages are stated as a percent of net assets.
The Global Industry Classification Standard (GICS®) was developed by and/or is the exclusive property of MSCI, Inc. and Standard & Poor’s Financial Services LLC (“S&P”). GICS is a service mark of MSCI, Inc. and S&P and has been licensed for use by U.S. Bank Global Fund Services.
ADR — American Depositary Receipt
PLC — Public Limited Company
SA — Sociedad Anónima
(a) |
Non-income producing security. |
(b) |
All or a portion of this security is on loan as of February 29, 2024. At February 29, 2024, the total market value of these securities was $35,685,808 which represented 8.1% of net assets. |
(c) |
Security is exempt from registration pursuant to Rule 144A under the Securities Act of 1933, as amended. These securities may only be resold in transactions exempt from registration to qualified institutional investors. As of February 29, 2024, the value of these securities total $12,988,151 or 2.9% of the Fund’s net assets. |
(d) |
Represents less than 0.05% of net assets. |
(e) |
Fair value determined using significant unobservable inputs in accordance with procedures established by and under the supervision of the Adviser, acting as Valuation Designee. These securities represented $0 or 0.0% of net assets as of February 29, 2024. |
(f) |
To the extent that the Fund invests a significant portion of its assets in the securities of companies of a single country or region, it is more likely to be impacted by events or conditions affecting the country or region. |
(g) |
The rate shown represents the 7-day effective yield as of February 29, 2024. |
(h) |
The U.S. Bank Money Market Deposit Account (the “MMDA”) is a short-term vehicle in which the Fund holds cash balances. The MMDA will bear interest at a variable rate that is determined based on market conditions and is subject to change daily. The rate as of February 29, 2024 was 5.20%. |
The accompanying notes are an integral part of these financial statements.
18 |
Motley Fool mid-cap growth ETF
Schedule of Investments
FEBRUARY 29, 2024 (UNAUDITED)
|
Number of |
Value |
||||||
COMMON STOCKS — 96.6% |
||||||||
Aerospace & Defense — 8.0% |
||||||||
Axon Enterprise, Inc.(a) |
52,065 | $ | 16,003,219 | |||||
Air Freight & Logistics — 2.8% |
||||||||
GXO Logistics, Inc.(a) |
107,139 | 5,545,515 | ||||||
Automobile Components — 4.0% |
||||||||
Gentex Corp. |
218,418 | 7,978,810 | ||||||
Biotechnology — 4.3% |
||||||||
BioMarin Pharmaceutical, Inc.(a) |
44,271 | 3,819,702 | ||||||
Ultragenyx Pharmaceutical, Inc.(a) |
91,502 | 4,732,483 | ||||||
8,552,185 | ||||||||
Building Products — 2.9% |
||||||||
Trex Co., Inc.(a) |
62,930 | 5,774,457 | ||||||
Capital Markets — 7.1% |
||||||||
Morningstar, Inc. |
14,883 | 4,443,915 | ||||||
MSCI, Inc. |
5,439 | 3,051,116 | ||||||
StoneX Group, Inc.(a) |
94,551 | 6,548,602 | ||||||
14,043,633 | ||||||||
Chemicals — 2.2% |
||||||||
Eastman Chemical Co. |
50,771 | 4,454,648 | ||||||
Financial Services — 3.2% |
||||||||
Toast, Inc. - Class A(a)(b) |
281,200 | 6,467,600 | ||||||
Ground Transportation — 2.9% |
||||||||
RXO, Inc.(a) |
267,019 | 5,746,249 | ||||||
Health Care Equipment & Supplies — 8.4% |
||||||||
Cooper Cos., Inc. |
72,620 | 6,797,232 | ||||||
Globus Medical, Inc. - Class A(a) |
107,000 | 5,776,930 | ||||||
Shockwave Medical, Inc.(a)(b) |
16,170 | 4,218,268 | ||||||
16,792,430 | ||||||||
Health Care Providers & Services — 3.4% |
||||||||
HealthEquity, Inc.(a) |
81,174 | 6,705,784 |
The accompanying notes are an integral part of these financial statements.
19 |
Motley Fool mid-cap growth ETF
Schedule of Investments (Continued)
FEBRUARY 29, 2024 (UNAUDITED)
|
Number of |
Value |
||||||
COMMON STOCKS (continued) |
||||||||
Insurance — 8.0% |
||||||||
Brown & Brown, Inc. |
145,599 | $ | 12,260,892 | |||||
Goosehead Insurance, Inc. - Class A(a) |
47,900 | 3,623,635 | ||||||
15,884,527 | ||||||||
Life Sciences Tools & Services — 2.9% |
||||||||
Waters Corp.(a)(b) |
17,156 | 5,788,777 | ||||||
Office REITs — 2.0% |
||||||||
Alexandria Real Estate Equities, Inc.(b) |
31,544 | 3,934,483 | ||||||
Professional Services — 4.7% |
||||||||
Broadridge Financial Solutions, Inc. |
46,314 | 9,428,604 | ||||||
Real Estate Management & Development — 2.1% |
||||||||
CoStar Group, Inc.(a)(b) |
47,000 | 4,090,410 | ||||||
Software — 11.8% |
||||||||
Alarm.com Holdings, Inc.(a) |
99,696 | 7,545,990 | ||||||
DoubleVerify Holdings, Inc.(a)(b) |
94,000 | 2,903,660 | ||||||
Guidewire Software, Inc.(a) |
33,000 | 3,938,220 | ||||||
Tyler Technologies, Inc.(a) |
20,716 | 9,055,792 | ||||||
23,443,662 | ||||||||
Specialized REITs — 3.4% |
||||||||
SBA Communications Corp. |
32,796 | 6,861,907 | ||||||
Specialty Retail — 2.6% |
||||||||
Tractor Supply Co.(b) |
20,421 | 5,193,469 | ||||||
Trading Companies & Distributors — 9.9% |
||||||||
Fastenal Co. |
140,877 | 10,285,430 | ||||||
Watsco, Inc.(b) |
23,694 | 9,338,279 | ||||||
19,623,709 | ||||||||
TOTAL COMMON STOCKS (Cost $116,927,802) |
$ | 192,314,078 |
The accompanying notes are an integral part of these financial statements.
20 |
Motley Fool mid-cap growth ETF
Schedule of Investments (CONCLUDED)
FEBRUARY 29, 2024 (UNAUDITED)
|
Number of |
Value |
||||||
SHORT-TERM INVESTMENTS — 13.3% |
||||||||
Investments Purchased with Proceeds from Securities Lending — 13.3% |
||||||||
Mount Vernon Liquid Assets Portfolio, LLC, 5.44%(c) |
26,482,994 | $ | 26,482,994 | |||||
TOTAL SHORT-TERM INVESTMENTS (Cost $26,482,994) |
26,482,994 | |||||||
TOTAL INVESTMENTS — 109.9% (Cost $143,410,796) |
218,797,072 | |||||||
Money Market Deposit Account — 3.4%(d) |
6,831,431 | |||||||
Liabilities in Excess of Other Assets — (13.3)% |
(26,563,354 | ) | ||||||
TOTAL NET ASSETS — 100.0% |
$ | 199,065,149 |
Percentages are stated as a percent of net assets.
The Global Industry Classification Standard (GICS®) was developed by and/or is the exclusive property of MSCI, Inc. and Standard & Poor’s Financial Services LLC (“S&P”). GICS is a service mark of MSCI, Inc. and S&P and has been licensed for use by U.S. Bank Global Fund Services.
(a) |
Non-income producing security. |
(b) |
All or a portion of this security is on loan as of February 29, 2024. At February 29, 2024, the total market value of these securities was $25,914,548 which represented 13.0% of net assets. |
(c) |
The rate shown represents the 7-day effective yield as of February 29, 2024. |
(d) |
The U.S. Bank Money Market Deposit Account (the “MMDA”) is a short-term vehicle in which the Fund holds cash balances. The MMDA will bear interest at a variable rate that is determined based on market conditions and is subject to change daily. The rate as of February 29, 2024 was 5.20%. |
The accompanying notes are an integral part of these financial statements.
21 |
Motley Fool 100 Index ETF
Schedule of Investments
FEBRUARY 29, 2024 (UNAUDITED)
|
Number of |
Value |
||||||
COMMON STOCKS — 100.0% |
||||||||
Aerospace & Defense — 0.3% |
||||||||
TransDigm Group, Inc. |
1,641 | $ | 1,932,671 | |||||
Air Freight & Logistics — 0.8% |
||||||||
FedEx Corp. |
7,463 | 1,858,063 | ||||||
United Parcel Service, Inc. - Class B |
25,571 | 3,791,157 | ||||||
5,649,220 | ||||||||
Automobiles — 2.4% |
||||||||
Tesla, Inc.(a) |
87,626 | 17,689,937 | ||||||
Banks — 2.4% |
||||||||
JPMorgan Chase & Co. |
86,303 | 16,057,536 | ||||||
Truist Financial Corp. |
40,166 | 1,405,007 | ||||||
17,462,543 | ||||||||
Beverages — 0.2% |
||||||||
Monster Beverage Corp.(a) |
30,314 | 1,791,557 | ||||||
Biotechnology — 1.6% |
||||||||
Amgen, Inc. |
16,009 | 4,383,745 | ||||||
Biogen, Inc.(a) |
3,499 | 759,248 | ||||||
Gilead Sciences, Inc. |
36,985 | 2,666,619 | ||||||
Moderna, Inc.(a)(b) |
9,722 | 896,757 | ||||||
Vertex Pharmaceuticals, Inc.(a) |
7,649 | 3,218,240 | ||||||
11,924,609 | ||||||||
Broadline Retail — 7.4% |
||||||||
Amazon.com, Inc.(a) |
301,044 | 53,212,537 | ||||||
Coupang, Inc.(a) |
51,942 | 961,966 | ||||||
eBay, Inc. |
15,106 | 714,212 | ||||||
54,888,715 | ||||||||
Capital Markets — 1.5% |
||||||||
Charles Schwab Corp. |
49,899 | 3,332,255 | ||||||
CME Group, Inc. |
10,684 | 2,354,219 | ||||||
Intercontinental Exchange, Inc. |
16,988 | 2,351,479 | ||||||
Moody’s Corp. |
5,432 | 2,061,010 | ||||||
Nasdaq, Inc. |
16,739 | 940,732 | ||||||
11,039,695 |
The accompanying notes are an integral part of these financial statements.
22 |
Motley Fool 100 Index ETF
Schedule of Investments (continued)
FEBRUARY 29, 2024 (UNAUDITED)
|
Number of |
Value |
||||||
COMMON STOCKS (continued) |
||||||||
Chemicals — 0.6% |
||||||||
Ecolab, Inc. |
8,463 | $ | 1,902,821 | |||||
Sherwin-Williams Co. |
7,598 | 2,522,764 | ||||||
4,425,585 | ||||||||
Commercial Services & Supplies — 0.8% |
||||||||
Cintas Corp. |
3,029 | 1,904,060 | ||||||
Copart, Inc.(a) |
28,005 | 1,488,466 | ||||||
Waste Management, Inc. |
11,954 | 2,458,340 | ||||||
5,850,866 | ||||||||
Communications Equipment — 0.3% |
||||||||
Arista Networks, Inc.(a) |
9,234 | 2,562,804 | ||||||
Consumer Staples Distribution & Retail — 3.2% |
||||||||
Costco Wholesale Corp. |
13,191 | 9,812,653 | ||||||
Walmart, Inc. |
239,686 | 14,047,996 | ||||||
23,860,649 | ||||||||
Electric Utilities — 0.4% |
||||||||
NextEra Energy, Inc. |
53,560 | 2,955,976 | ||||||
Entertainment — 2.1% |
||||||||
Electronic Arts, Inc. |
7,817 | 1,090,315 | ||||||
Netflix, Inc.(a) |
12,991 | 7,832,534 | ||||||
ROBLOX Corp. - Class A(a) |
12,802 | 510,800 | ||||||
Walt Disney Co. |
49,316 | 5,502,679 | ||||||
Warner Bros Discovery, Inc.(a)(b) |
64,265 | 564,889 | ||||||
15,501,217 | ||||||||
Financial Services — 8.0% |
||||||||
Berkshire Hathaway, Inc. - Class B(a) |
64,644 | 26,465,254 | ||||||
Block, Inc.(a) |
13,784 | 1,095,414 | ||||||
Mastercard, Inc. - Class A |
27,878 | 13,235,359 | ||||||
PayPal Holdings, Inc.(a) |
27,414 | 1,654,161 | ||||||
Visa, Inc. - Class A(b) |
59,670 | 16,865,129 | ||||||
59,315,317 |
The accompanying notes are an integral part of these financial statements.
23 |
Motley Fool 100 Index ETF
Schedule of Investments (continued)
FEBRUARY 29, 2024 (UNAUDITED)
|
Number of |
Value |
||||||
COMMON STOCKS (continued) |
||||||||
Ground Transportation — 1.5% |
||||||||
Old Dominion Freight Line, Inc.(b) |
3,174 | $ | 1,404,432 | |||||
Uber Technologies, Inc.(a) |
61,081 | 4,855,939 | ||||||
Union Pacific Corp. |
18,093 | 4,590,013 | ||||||
10,850,384 | ||||||||
Health Care Equipment & Supplies — 1.3% |
||||||||
Align Technology, Inc.(a) |
2,008 | 607,259 | ||||||
Becton Dickinson & Co. |
8,594 | 2,024,317 | ||||||
DexCom, Inc.(a) |
11,259 | 1,295,573 | ||||||
IDEXX Laboratories, Inc.(a) |
2,465 | 1,417,942 | ||||||
Intuitive Surgical, Inc.(a) |
10,451 | 4,029,905 | ||||||
ResMed, Inc. |
2,687 | 466,786 | ||||||
9,841,782 | ||||||||
Health Care Providers & Services — 2.8% |
||||||||
CVS Health Corp. |
38,545 | 2,866,592 | ||||||
HCA Healthcare, Inc. |
7,945 | 2,476,456 | ||||||
McKesson Corp. |
3,949 | 2,059,048 | ||||||
UnitedHealth Group, Inc. |
27,445 | 13,546,852 | ||||||
20,948,948 | ||||||||
Health Care Technology — 0.1% |
||||||||
Veeva Systems, Inc. - Class A(a) |
4,257 | 959,996 | ||||||
Hotels, Restaurants & Leisure — 2.1% |
||||||||
Airbnb, Inc. - Class A(a)(b) |
16,643 | 2,620,773 | ||||||
Booking Holdings, Inc.(a) |
1,034 | 3,586,770 | ||||||
Chipotle Mexican Grill, Inc.(a) |
814 | 2,188,659 | ||||||
DoorDash, Inc. - Class A(a) |
11,819 | 1,472,293 | ||||||
Marriott International, Inc. - Class A |
8,736 | 2,182,864 | ||||||
Starbucks Corp. |
33,942 | 3,221,096 | ||||||
15,272,455 | ||||||||
Industrial Conglomerates — 0.1% |
||||||||
3M Co. |
11,085 | 1,021,150 | ||||||
Insurance — 0.2% |
||||||||
Aflac, Inc. |
17,455 | 1,409,317 |
The accompanying notes are an integral part of these financial statements.
24 |
Motley Fool 100 Index ETF
Schedule of Investments (continued)
FEBRUARY 29, 2024 (UNAUDITED)
|
Number of |
Value |
||||||
COMMON STOCKS (continued) |
||||||||
Interactive Media & Services — 11.8% |
||||||||
Alphabet, Inc. - Class C(a) |
362,600 | $ | 50,684,228 | |||||
Meta Platforms, Inc. - Class A |
74,891 | 36,706,326 | ||||||
87,390,554 | ||||||||
IT Services — 0.5% |
||||||||
Cognizant Technology Solutions Corp. - Class A |
14,623 | 1,155,510 | ||||||
Gartner, Inc.(a) |
2,250 | 1,047,510 | ||||||
Snowflake, Inc. - Class A(a) |
9,436 | 1,776,610 | ||||||
3,979,630 | ||||||||
Life Sciences Tools & Services — 0.1% |
||||||||
Illumina, Inc.(a) |
3,363 | 470,248 | ||||||
Machinery — 0.1% |
||||||||
Cummins, Inc.(b) |
4,107 | 1,103,181 | ||||||
Media — 0.2% |
||||||||
Trade Desk, Inc. - Class A(a) |
14,283 | 1,220,197 | ||||||
Oil, Gas & Consumable Fuels — 0.2% |
||||||||
Kinder Morgan, Inc. |
67,068 | 1,166,313 | ||||||
Pharmaceuticals — 1.9% |
||||||||
Bristol-Myers Squibb Co. |
55,698 | 2,826,674 | ||||||
Johnson & Johnson |
71,896 | 11,602,576 | ||||||
14,429,250 | ||||||||
Real Estate Management & Development — 0.1% |
||||||||
CoStar Group, Inc.(a) |
11,869 | 1,032,959 | ||||||
Semiconductors & Semiconductor Equipment — 11.9% |
||||||||
Advanced Micro Devices, Inc.(a) |
47,951 | 9,232,006 | ||||||
Broadcom, Inc. |
13,881 | 18,052,101 | ||||||
Lam Research Corp. |
3,912 | 3,670,434 | ||||||
NVIDIA Corp. |
71,973 | 56,939,280 | ||||||
87,893,821 | ||||||||
Software — 18.1% |
||||||||
Adobe Systems, Inc.(a) |
13,514 | 7,571,624 | ||||||
Autodesk, Inc.(a) |
6,230 | 1,608,399 | ||||||
Crowdstrike Holdings, Inc. - Class A(a) |
7,127 | 2,310,217 |
The accompanying notes are an integral part of these financial statements.
25 |
Motley Fool 100 Index ETF
Schedule of Investments (continued)
FEBRUARY 29, 2024 (UNAUDITED)
|
Number of |
Value |
||||||
COMMON STOCKS (continued) |
||||||||
Software (continued) |
||||||||
Datadog, Inc. - Class A(a) |
9,433 | $ | 1,240,062 | |||||
Fortinet, Inc.(a) |
22,366 | 1,545,714 | ||||||
Intuit, Inc. |
8,321 | 5,515,908 | ||||||
Microsoft Corp. |
216,866 | 89,704,452 | ||||||
Palo Alto Networks, Inc.(a)(b) |
9,359 | 2,906,438 | ||||||
Roper Technologies, Inc. |
3,175 | 1,729,518 | ||||||
Salesforce, Inc.(a) |
28,732 | 8,873,016 | ||||||
ServiceNow, Inc.(a) |
6,071 | 4,682,805 | ||||||
Synopsys, Inc.(a) |
4,511 | 2,588,096 | ||||||
Workday, Inc. - Class A(a) |
7,806 | 2,300,116 | ||||||
Zoom Video Communications, Inc. - Class A(a) |
5,002 | 353,792 | ||||||
Zscaler, Inc.(a) |
4,261 | 1,031,034 | ||||||
133,961,191 | ||||||||
Specialized REITs — 1.0% |
||||||||
American Tower Corp. |
12,383 | 2,462,483 | ||||||
Crown Castle, Inc. |
10,544 | 1,159,207 | ||||||
Digital Realty Trust, Inc. |
8,816 | 1,294,277 | ||||||
Equinix, Inc. |
2,786 | 2,476,253 | ||||||
7,392,220 | ||||||||
Specialty Retail — 1.5% |
||||||||
Home Depot, Inc. |
29,541 | 11,243,600 | ||||||
Technology Hardware, Storage & Peripherals — 11.1% |
||||||||
Apple, Inc. |
453,555 | 81,980,066 | ||||||
Textiles, Apparel & Luxury Goods — 0.6% |
||||||||
NIKE, Inc. - Class B(b) |
40,381 | 4,196,797 | ||||||
Wireless Telecommunication Services — 0.8% |
||||||||
T-Mobile US, Inc.(b) |
34,326 | 5,605,436 | ||||||
TOTAL COMMON STOCKS (Cost $466,339,699) |
$ | 740,220,856 |
The accompanying notes are an integral part of these financial statements.
26 |
Motley Fool 100 Index ETF
Schedule of Investments (Concluded)
FEBRUARY 29, 2024 (UNAUDITED)
|
Contract |
Value |
||||||
RIGHTS — 0.0%(c) |
||||||||
Altaba, Inc. - Escrow Shares, Expires , Exercise Price $0.00(a)(d) |
8,565 | $ | 21,327 | |||||
TOTAL RIGHTS (Cost $2,161) |
21,327 |
|
Number of |
Value |
||||||
SHORT-TERM INVESTMENTS — 4.7% |
||||||||
Investments Purchased with Proceeds from Securities Lending — 4.7% |
||||||||
Mount Vernon Liquid Assets Portfolio, LLC, 5.44%(e) |
35,178,725 | $ | 35,178,725 | |||||
TOTAL SHORT-TERM INVESTMENTS (Cost $35,178,725) |
35,178,725 | |||||||
TOTAL INVESTMENTS — 104.7% (Cost $501,520,585) |
775,420,908 | |||||||
Money Market Deposit Account — 0.0%(f) |
316,122 | |||||||
Liabilities in Excess of Other Assets — (4.7)% |
(34,884,567 | ) | ||||||
TOTAL NET ASSETS — 100.0% |
$ | 740,852,463 |
Percentages are stated as a percent of net assets.
The Global Industry Classification Standard (GICS®) was developed by and/or is the exclusive property of MSCI, Inc. and Standard & Poor’s Financial Services LLC (“S&P”). GICS is a service mark of MSCI, Inc. and S&P and has been licensed for use by U.S. Bank Global Fund Services.
(a) |
Non-income producing security. |
(b) |
All or a portion of this security is on loan as of February 29, 2024. At February 29, 2024, the total market value of these securities was $34,254,570 which represented 4.6% of net assets. |
(c) |
Represents less than 0.05% of net assets. |
(d) |
Fair value determined using significant unobservable inputs in accordance with procedures established by and under the supervision of the Adviser, acting as Valuation Designee. These securities represented $21,327 or 0.0% of net assets as of February 29, 2024. |
(e) |
The rate shown represents the 7-day effective yield as of February 29, 2024. |
(f) |
The U.S. Bank Money Market Deposit Account (the “MMDA”) is a short-term vehicle in which the Fund holds cash balances. The MMDA will bear interest at a variable rate that is determined based on market conditions and is subject to change daily. The rate as of February 29, 2024 was 5.20%. |
The accompanying notes are an integral part of these financial statements.
27 |
MOTLEY FOOL Small-Cap Growth ETF
Schedule of Investments
FEBRUARY 29, 2024 (UNAUDITED)
|
Number of |
Value |
||||||
COMMON STOCKS — 95.9% |
||||||||
Aerospace & Defense — 7.5% |
||||||||
Axon Enterprise, Inc.(a) |
10,879 | $ | 3,343,878 | |||||
Leonardo DRS, Inc.(a) |
136,848 | 3,107,818 | ||||||
6,451,696 | ||||||||
Air Freight & Logistics — 3.3% |
||||||||
GXO Logistics, Inc.(a)(b) |
55,154 | 2,854,771 | ||||||
Automobile Components — 4.9% |
||||||||
Fox Factory Holding Corp.(a) |
20,064 | 1,015,038 | ||||||
Gentex Corp. |
87,072 | 3,180,740 | ||||||
4,195,778 | ||||||||
Banks — 3.1% |
||||||||
Live Oak Bancshares, Inc.(b) |
66,150 | 2,627,478 | ||||||
Biotechnology — 3.4% |
||||||||
Ultragenyx Pharmaceutical, Inc.(a) |
55,628 | 2,877,080 | ||||||
Building Products — 1.9% |
||||||||
Trex Co., Inc.(a)(b) |
17,728 | 1,626,721 | ||||||
Capital Markets — 3.0% |
||||||||
StoneX Group, Inc.(a) |
37,421 | 2,591,779 | ||||||
Electronic Equipment, Instruments & Components — 1.2% |
||||||||
IPG Photonics Corp.(a) |
11,655 | 1,006,409 | ||||||
Financial Services — 3.4% |
||||||||
Toast, Inc. - Class A(a)(b) |
126,096 | 2,900,208 | ||||||
Ground Transportation — 5.2% |
||||||||
Landstar System, Inc. |
8,607 | 1,637,051 | ||||||
RXO, Inc.(a) |
132,320 | 2,847,527 | ||||||
4,484,578 | ||||||||
Health Care Equipment & Supplies — 13.0% |
||||||||
Globus Medical, Inc. - Class A(a)(b) |
59,425 | 3,208,356 | ||||||
Inari Medical, Inc.(a)(b) |
42,920 | 1,979,470 | ||||||
Penumbra, Inc.(a) |
6,967 | 1,636,688 | ||||||
Shockwave Medical, Inc.(a)(b) |
9,435 | 2,461,308 | ||||||
UFP Technologies, Inc.(a)(b) |
8,880 | 1,849,793 | ||||||
11,135,615 |
The accompanying notes are an integral part of these financial statements.
28 |
MOTLEY FOOL Small-Cap Growth ETF
Schedule of Investments (CONTINUED)
FEBRUARY 29, 2024 (UNAUDITED)
|
Number of |
Value |
||||||
COMMON STOCKS (continued) |
||||||||
Health Care Providers & Services — 3.6% |
||||||||
HealthEquity, Inc.(a) |
36,807 | $ | 3,040,626 | |||||
Health Care Technology — 1.9% |
||||||||
Certara, Inc.(a)(b) |
98,566 | 1,663,794 | ||||||
Industrial REITs — 2.6% |
||||||||
STAG Industrial, Inc.(b) |
58,984 | 2,190,666 | ||||||
Insurance — 4.2% |
||||||||
Goosehead Insurance, Inc. - Class A(a)(b) |
46,953 | 3,551,995 | ||||||
Leisure Products — 1.9% |
||||||||
Topgolf Callaway Brands Corp.(a)(b) |
114,932 | 1,636,632 | ||||||
Life Sciences Tools & Services — 2.1% |
||||||||
Mesa Laboratories, Inc.(b) |
16,407 | 1,791,480 | ||||||
Machinery — 3.2% |
||||||||
John Bean Technologies Corp. |
27,258 | 2,766,142 | ||||||
Oil, Gas & Consumable Fuels — 4.3% |
||||||||
Northern Oil & Gas, Inc.(b) |
103,863 | 3,711,025 | ||||||
Personal Care Products — 2.2% |
||||||||
BellRing Brands, Inc.(a) |
33,300 | 1,896,435 | ||||||
Semiconductors & Semiconductor Equipment — 1.1% |
||||||||
Wolfspeed, Inc.(a)(b) |
36,288 | 944,214 | ||||||
Software — 14.3% |
||||||||
Alarm.com Holdings, Inc.(a)(b) |
64,765 | 4,902,063 | ||||||
DoubleVerify Holdings, Inc.(a)(b) |
25,932 | 801,039 | ||||||
LiveRamp Holdings, Inc.(a) |
26,524 | 927,810 | ||||||
Q2 Holdings, Inc.(a)(b) |
57,976 | 2,680,230 | ||||||
Smartsheet, Inc. - Class A(a) |
69,204 | 2,921,101 | ||||||
12,232,243 | ||||||||
Textiles, Apparel & Luxury Goods — 1.4% |
||||||||
Crocs, Inc.(a) |
9,824 | 1,200,984 | ||||||
Trading Companies & Distributors — 3.2% |
||||||||
Watsco, Inc.(b) |
6,861 | 2,704,057 | ||||||
TOTAL COMMON STOCKS (Cost $75,035,733) |
$ | 82,082,406 |
The accompanying notes are an integral part of these financial statements.
29 |
MOTLEY FOOL Small-Cap Growth ETF
Schedule of Investments (Concluded)
FEBRUARY 29, 2024 (UNAUDITED)
|
Number of |
Value |
||||||
SHORT-TERM INVESTMENTS — 34.4% |
||||||||
Investments Purchased with Proceeds from Securities Lending — 34.4% |
||||||||
Mount Vernon Liquid Assets Portfolio, LLC, 5.44%(c) |
29,399,685 | $ | 29,399,685 | |||||
TOTAL SHORT-TERM INVESTMENTS (Cost $29,399,685) |
29,399,685 | |||||||
TOTAL INVESTMENTS — 130.3% (Cost $104,435,418) |
111,482,091 | |||||||
Money Market Deposit Account — 4.1%(d) |
3,505,602 | |||||||
Liabilities in Excess of Other Assets — (34.4)% |
(29,422,390 | ) | ||||||
TOTAL NET ASSETS — 100.0% |
$ | 85,565,303 |
Percentages are stated as a percent of net assets.
The Global Industry Classification Standard (GICS®) was developed by and/or is the exclusive property of MSCI, Inc. and Standard & Poor’s Financial Services LLC (“S&P”). GICS is a service mark of MSCI, Inc. and S&P and has been licensed for use by U.S. Bank Global Fund Services.
(a) |
Non-income producing security. |
(b) |
All or a portion of this security is on loan as of February 29, 2024. At February 29, 2024, the total market value of these securities was $28,330,468 which represented 33.1% of net assets. |
(c) |
The rate shown represents the 7-day effective yield as of February 29, 2024. |
(d) |
The U.S. Bank Money Market Deposit Account (the “MMDA”) is a short-term vehicle in which the Fund holds cash balances. The MMDA will bear interest at a variable rate that is determined based on market conditions and is subject to change daily. The rate as of February 29, 2024 was 5.20%. |
The accompanying notes are an integral part of these financial statements.
30 |
MOTLEY FOOL CAPITAL EFFICIENCY 100 INDEX ETF
Schedule of Investments
FEBRUARY 29, 2024 (UNAUDITED)
|
Number of |
Value |
||||||
COMMON STOCKS — 99.6% |
||||||||
Air Freight & Logistics — 1.1% |
||||||||
GXO Logistics, Inc.(a) |
323 | $ | 16,718 | |||||
United Parcel Service, Inc. - Class B |
2,330 | 345,446 | ||||||
362,164 | ||||||||
Beverages — 0.5% |
||||||||
Boston Beer Co., Inc. - Class A(a) |
24 | 7,395 | ||||||
Monster Beverage Corp.(a) |
2,907 | 171,804 | ||||||
179,199 | ||||||||
Biotechnology — 2.9% |
||||||||
Amgen, Inc. |
1,398 | 382,814 | ||||||
Gilead Sciences, Inc. |
4,082 | 294,312 | ||||||
Neurocrine Biosciences, Inc.(a) |
342 | 44,597 | ||||||
Vertex Pharmaceuticals, Inc.(a) |
627 | 263,804 | ||||||
985,527 | ||||||||
Broadline Retail — 5.5% |
||||||||
Amazon.com, Inc.(a) |
10,051 | 1,776,615 | ||||||
eBay, Inc. |
1,514 | 71,582 | ||||||
Etsy, Inc.(a) |
323 | 23,156 | ||||||
1,871,353 | ||||||||
Capital Markets — 0.4% |
||||||||
Cboe Global Markets, Inc. |
279 | 53,568 | ||||||
Nasdaq, Inc. |
1,455 | 81,771 | ||||||
PJT Partners, Inc. - Class A |
68 | 7,167 | ||||||
142,506 | ||||||||
Chemicals — 1.6% |
||||||||
Balchem Corp. |
77 | 12,104 | ||||||
Ecolab, Inc. |
802 | 180,322 | ||||||
RPM International, Inc. |
436 | 50,293 | ||||||
Sherwin-Williams Co. |
922 | 306,131 | ||||||
548,850 | ||||||||
Commercial Services & Supplies — 1.9% |
||||||||
Cintas Corp. |
369 | 231,957 | ||||||
Copart, Inc.(a) |
2,264 | 120,332 |
The accompanying notes are an integral part of these financial statements.
31 |
MOTLEY FOOL CAPITAL EFFICIENCY 100 INDEX ETF
Schedule of Investments (Continued)
FEBRUARY 29, 2024 (UNAUDITED)
|
Number of |
Value |
||||||
COMMON STOCKS (continued) |
||||||||
Commercial Services & Supplies (continued) |
||||||||
Rollins, Inc. |
1,392 | $ | 61,345 | |||||
Waste Management, Inc. |
1,099 | 226,009 | ||||||
639,643 | ||||||||
Communications Equipment — 0.7% |
||||||||
Arista Networks, Inc.(a) |
824 | 228,693 | ||||||
Ubiquiti, Inc. |
153 | 17,929 | ||||||
246,622 | ||||||||
Consumer Staples Distribution & Retail — 8.8% |
||||||||
Casey’s General Stores, Inc. |
140 | 42,629 | ||||||
Costco Wholesale Corp. |
1,640 | 1,219,980 | ||||||
Walmart, Inc. |
29,976 | 1,756,893 | ||||||
3,019,502 | ||||||||
Distributors — 0.1% |
||||||||
LKQ Corp. |
861 | 45,022 | ||||||
Electronic Equipment, Instruments & Components — 0.1% |
||||||||
Zebra Technologies Corp. - Class A(a) |
129 | 36,053 | ||||||
Entertainment — 2.5% |
||||||||
Electronic Arts, Inc. |
798 | 111,305 | ||||||
Netflix, Inc.(a) |
1,227 | 739,783 | ||||||
851,088 | ||||||||
Financial Services — 9.4% |
||||||||
Jack Henry & Associates, Inc. |
216 | 37,534 | ||||||
Mastercard, Inc. - Class A |
3,140 | 1,490,746 | ||||||
Visa, Inc. - Class A |
5,982 | 1,690,753 | ||||||
3,219,033 | ||||||||
Food Products — 0.0%(b) |
||||||||
Darling Ingredients, Inc.(a) |
381 | 16,120 | ||||||
Ground Transportation — 1.6% |
||||||||
Old Dominion Freight Line, Inc. |
332 | 146,903 | ||||||
RXO, Inc.(a) |
309 | 6,650 | ||||||
Union Pacific Corp. |
1,625 | 412,246 | ||||||
565,799 |
The accompanying notes are an integral part of these financial statements.
32 |
MOTLEY FOOL CAPITAL EFFICIENCY 100 INDEX ETF
Schedule of Investments (Continued)
FEBRUARY 29, 2024 (UNAUDITED)
|
Number of |
Value |
||||||
COMMON STOCKS (continued) |
||||||||
Health Care Equipment & Supplies — 2.5% |
||||||||
Becton Dickinson & Co. |
756 | $ | 178,076 | |||||
IDEXX Laboratories, Inc.(a) |
351 | 201,906 | ||||||
Insulet Corp.(a) |
211 | 34,604 | ||||||
Intuitive Surgical, Inc.(a) |
970 | 374,031 | ||||||
ResMed, Inc. |
436 | 75,742 | ||||||
864,359 | ||||||||
Health Care Providers & Services — 5.5% |
||||||||
HCA Healthcare, Inc. |
920 | 286,764 | ||||||
McKesson Corp. |
365 | 190,315 | ||||||
UnitedHealth Group, Inc. |
2,846 | 1,404,785 | ||||||
1,881,864 | ||||||||
Health Care Technology — 0.3% |
||||||||
Veeva Systems, Inc. - Class A(a) |
433 | 97,646 | ||||||
Household Durables — 0.2% |
||||||||
Dream Finders Homes, Inc. - Class A(a) |
220 | 8,609 | ||||||
Meritage Homes Corp. |
92 | 14,505 | ||||||
NVR, Inc.(a) |
8 | 61,004 | ||||||
84,118 | ||||||||
Industrial Conglomerates — 0.4% |
||||||||
3M Co. |
1,339 | 123,349 | ||||||
Interactive Media & Services — 11.2% |
||||||||
Alphabet, Inc. - Class C(a) |
11,261 | 1,574,063 | ||||||
Meta Platforms, Inc. - Class A |
4,485 | 2,198,233 | ||||||
Pinterest, Inc. - Class A(a) |
1,897 | 69,620 | ||||||
3,841,916 | ||||||||
IT Services — 1.3% |
||||||||
Cognizant Technology Solutions Corp. - Class A |
1,562 | 123,429 | ||||||
EPAM Systems, Inc.(a) |
159 | 48,400 | ||||||
Gartner, Inc.(a) |
264 | 122,908 | ||||||
GoDaddy, Inc. - Class A(a) |
458 | 52,281 | ||||||
MongoDB, Inc.(a) |
199 | 89,068 | ||||||
436,086 |
The accompanying notes are an integral part of these financial statements.
33 |
MOTLEY FOOL CAPITAL EFFICIENCY 100 INDEX ETF
Schedule of Investments (Continued)
FEBRUARY 29, 2024 (UNAUDITED)
|
Number of |
Value |
||||||
COMMON STOCKS (continued) |
||||||||
Machinery — 0.0%(b) |
||||||||
Tennant Co. |
45 | $ | 5,094 | |||||
Media — 0.4% |
||||||||
New York Times Co. - Class A |
487 | 21,564 | ||||||
Trade Desk, Inc. - Class A(a) |
1,297 | 110,803 | ||||||
132,367 | ||||||||
Pharmaceuticals — 3.6% |
||||||||
Johnson & Johnson |
7,624 | 1,230,361 | ||||||
Professional Services — 0.0%(b) |
||||||||
TaskUS, Inc. - Class A(a) |
269 | 3,586 | ||||||
Upwork, Inc.(a) |
341 | 4,467 | ||||||
8,053 | ||||||||
Semiconductors & Semiconductor Equipment — 13.2% |
||||||||
Broadcom, Inc. |
1,264 | 1,643,819 | ||||||
Cirrus Logic, Inc.(a) |
151 | 13,865 | ||||||
Enphase Energy, Inc.(a) |
333 | 42,294 | ||||||
Impinj, Inc.(a) |
77 | 8,410 | ||||||
Lam Research Corp. |
372 | 349,029 | ||||||
NVIDIA Corp. |
3,092 | 2,446,143 | ||||||
Universal Display Corp. |
128 | 22,326 | ||||||
4,525,886 | ||||||||
Software — 13.8% |
||||||||
Adobe Systems, Inc.(a) |
1,683 | 942,952 | ||||||
Alteryx, Inc. - Class A(a) |
186 | 8,935 | ||||||
Appfolio, Inc. - Class A(a) |
94 | 22,756 | ||||||
Autodesk, Inc.(a) |
760 | 196,209 | ||||||
DocuSign, Inc.(a) |
548 | 29,192 | ||||||
Fair Isaac Corp.(a) |
99 | 125,721 | ||||||
Fortinet, Inc.(a) |
2,602 | 179,824 | ||||||
HubSpot, Inc.(a) |
141 | 87,252 | ||||||
Microsoft Corp. |
4,155 | 1,718,675 | ||||||
Nutanix, Inc. - Class A(a) |
933 | 58,928 | ||||||
Palo Alto Networks, Inc.(a) |
933 | 289,743 | ||||||
Pegasystems, Inc. |
278 | 18,081 | ||||||
ServiceNow, Inc.(a) |
657 | 506,771 |
The accompanying notes are an integral part of these financial statements.
34 |
MOTLEY FOOL CAPITAL EFFICIENCY 100 INDEX ETF
Schedule of Investments (Continued)
FEBRUARY 29, 2024 (UNAUDITED)
|
Number of |
Value |
||||||
COMMON STOCKS (continued) |
||||||||
Software (continued) |
||||||||
Synopsys, Inc.(a) |
516 | $ | 296,045 | |||||
Workday, Inc. - Class A(a) |
845 | 248,988 | ||||||
Zuora, Inc. - Class A(a) |
381 | 3,078 | ||||||
4,733,150 | ||||||||
Specialty Retail — 4.5% |
||||||||
Camping World Holdings, Inc. - Class A |
125 | 3,336 | ||||||
Chewy, Inc. - Class A(a) |
1,064 | 18,769 | ||||||
Home Depot, Inc. |
3,607 | 1,372,860 | ||||||
Ulta Beauty, Inc.(a) |
143 | 78,444 | ||||||
Wayfair, Inc. - Class A(a) |
333 | 19,847 | ||||||
Williams-Sonoma, Inc. |
159 | 37,449 | ||||||
Winmark Corp. |
16 | 6,073 | ||||||
1,536,778 | ||||||||
Technology Hardware, Storage & Peripherals — 4.3% |
||||||||
Apple, Inc. |
7,901 | 1,428,105 | ||||||
Pure Storage, Inc. - Class A(a) |
1,041 | 54,809 | ||||||
1,482,914 | ||||||||
Textiles, Apparel & Luxury Goods — 1.2% |
||||||||
NIKE, Inc. - Class B |
3,939 | 409,380 | ||||||
Under Armour, Inc. - Class A(a) |
1,401 | 12,553 | ||||||
421,933 | ||||||||
Trading Companies & Distributors — 0.1% |
||||||||
Watsco, Inc. |
126 | 49,659 | ||||||
TOTAL COMMON STOCKS (Cost $26,825,688) |
34,184,014 |
The accompanying notes are an integral part of these financial statements.
35 |
MOTLEY FOOL CAPITAL EFFICIENCY 100 INDEX ETF
Schedule of Investments (Concluded)
FEBRUARY 29, 2024 (UNAUDITED)
|
Number of |
Value |
||||||
TOTAL INVESTMENTS — 99.6% (Cost $26,825,688) |
$ | 34,184,014 | ||||||
Money Market Deposit Account — 0.3%(c) |
107,575 | |||||||
Other Assets in Excess of Liabilities — 0.1% |
17,362 | |||||||
TOTAL NET ASSETS — 100.0% |
$ | 34,308,951 |
Percentages are stated as a percent of net assets.
The Global Industry Classification Standard (GICS®) was developed by and/or is the exclusive property of MSCI, Inc. and Standard & Poor’s Financial Services LLC (“S&P”). GICS is a service mark of MSCI, Inc. and S&P and has been licensed for use by U.S. Bank Global Fund Services.
(a) |
Non-income producing security. |
(b) |
Represents less than 0.05% of net assets. |
(c) |
The U.S. Bank Money Market Deposit Account (the “MMDA”) is a short-term vehicle in which the Fund holds cash balances. The MMDA will bear interest at a variable rate that is determined based on market conditions and is subject to change daily. The rate as of February 29, 2024 was 5.20%. |
The accompanying notes are an integral part of these financial statements.
36 |
MOTLEY FOOL next index ETF
Schedule of Investments
FEBRUARY 29, 2024 (UNAUDITED)
|
Number of |
Value |
||||||
COMMON STOCKS — 99.8% |
||||||||
Aerospace & Defense — 3.9% |
||||||||
AeroVironment, Inc.(a) |
418 | $ | 52,998 | |||||
Axon Enterprise, Inc.(a) |
1,176 | 361,467 | ||||||
HEICO Corp. |
1,897 | 366,881 | ||||||
Textron, Inc. |
3,077 | 274,068 | ||||||
1,055,414 | ||||||||
Air Freight & Logistics — 0.4% |
||||||||
GXO Logistics, Inc.(a) |
1,870 | 96,791 | ||||||
Automobile Components — 0.5% |
||||||||
BorgWarner, Inc. |
3,693 | 114,963 | ||||||
Phinia, Inc. |
724 | 24,775 | ||||||
139,738 | ||||||||
Banks — 0.5% |
||||||||
Axos Financial, Inc.(a) |
908 | 47,325 | ||||||
Western Alliance Bancorp |
1,706 | 98,487 | ||||||
145,812 | ||||||||
Beverages — 1.3% |
||||||||
Boston Beer Co., Inc. - Class A(a) |
189 | 58,238 | ||||||
Celsius Holdings, Inc.(a) |
3,635 | 296,689 | ||||||
354,927 | ||||||||
Biotechnology — 4.3% |
||||||||
2seventy bio, Inc.(a) |
807 | 4,196 | ||||||
Alnylam Pharmaceuticals, Inc.(a) |
1,969 | 297,497 | ||||||
AnaptysBio, Inc.(a) |
419 | 10,697 | ||||||
BioMarin Pharmaceutical, Inc.(a) |
2,957 | 255,131 | ||||||
Bluebird Bio, Inc.(a) |
1,701 | 2,364 | ||||||
Editas Medicine, Inc.(a) |
1,248 | 12,555 | ||||||
Emergent BioSolutions, Inc.(a) |
784 | 2,532 | ||||||
Exact Sciences Corp.(a) |
2,841 | 163,443 | ||||||
Exelixis, Inc.(a) |
4,886 | 107,003 | ||||||
Ionis Pharmaceuticals, Inc.(a) |
2,245 | 101,496 | ||||||
Neurocrine Biosciences, Inc.(a) |
1,542 | 201,077 | ||||||
1,157,991 |
The accompanying notes are an integral part of these financial statements.
37 |
MOTLEY FOOL next index ETF
Schedule of Investments (Continued)
FEBRUARY 29, 2024 (UNAUDITED)
|
Number of |
Value |
||||||
COMMON STOCKS (continued) |
||||||||
Broadline Retail — 0.5% |
||||||||
Etsy, Inc.(a) |
1,880 | $ | 134,777 | |||||
Building Products — 0.6% |
||||||||
Trex Co., Inc.(a) |
1,706 | 156,543 | ||||||
Capital Markets — 4.7% |
||||||||
Affiliated Managers Group, Inc. |
532 | 83,157 | ||||||
Cboe Global Markets, Inc. |
1,657 | 318,143 | ||||||
FactSet Research Systems, Inc. |
596 | 275,698 | ||||||
Houlihan Lokey, Inc. |
1,062 | 136,637 | ||||||
Interactive Brokers Group, Inc. - Class A |
1,682 | 182,867 | ||||||
Jefferies Financial Group, Inc. |
3,307 | 138,299 | ||||||
MarketAxess Holdings, Inc. |
595 | 126,979 | ||||||
PJT Partners, Inc. - Class A |
378 | 39,841 | ||||||
1,301,621 | ||||||||
Chemicals — 1.2% |
||||||||
Balchem Corp. |
507 | 79,695 | ||||||
RPM International, Inc. |
2,025 | 233,584 | ||||||
313,279 | ||||||||
Commercial Services & Supplies — 1.3% |
||||||||
Healthcare Services Group, Inc.(a) |
1,176 | 15,006 | ||||||
Rollins, Inc. |
7,604 | 335,108 | ||||||
350,114 | ||||||||
Communications Equipment — 0.4% |
||||||||
Ubiquiti, Inc. |
950 | 111,321 | ||||||
Construction & Engineering — 0.3% |
||||||||
MasTec, Inc.(a) |
1,219 | 91,986 | ||||||
Consumer Finance — 0.1% |
||||||||
Upstart Holdings, Inc.(a) |
1,323 | 34,067 | ||||||
Consumer Staples Distribution & Retail — 0.7% |
||||||||
Casey’s General Stores, Inc. |
582 | 177,213 | ||||||
Distributors — 0.8% |
||||||||
LKQ Corp. |
4,205 | 219,879 |
The accompanying notes are an integral part of these financial statements.
38 |
MOTLEY FOOL next index ETF
Schedule of Investments (Continued)
FEBRUARY 29, 2024 (UNAUDITED)
|
Number of |
Value |
||||||
COMMON STOCKS (continued) |
||||||||
Diversified Consumer Services — 0.6% |
||||||||
2U, Inc.(a) |
1,116 | $ | 503 | |||||
Chegg, Inc.(a) |
1,829 | 16,351 | ||||||
Duolingo, Inc.(a) |
657 | 157,023 | ||||||
173,877 | ||||||||
Diversified Telecommunication Services — 0.0%(b) |
||||||||
Bandwidth, Inc. - Class A(a) |
378 | 7,764 | ||||||
Electronic Equipment, Instruments & Components — 3.9% |
||||||||
Cognex Corp. |
2,706 | 106,752 | ||||||
Coherent Corp.(a) |
2,381 | 141,622 | ||||||
Corning, Inc. |
13,392 | 431,757 | ||||||
IPG Photonics Corp.(a) |
739 | 63,813 | ||||||
Littelfuse, Inc. |
392 | 93,390 | ||||||
Zebra Technologies Corp. - Class A(a) |
806 | 225,261 | ||||||
1,062,595 | ||||||||
Energy Equipment & Services — 0.2% |
||||||||
Core Laboratories, Inc. |
743 | 11,123 | ||||||
Oceaneering International, Inc.(a) |
1,575 | 31,122 | ||||||
42,245 | ||||||||
Entertainment — 3.3% |
||||||||
Live Nation Entertainment, Inc.(a) |
3,583 | 347,479 | ||||||
Roku, Inc.(a) |
2,240 | 141,523 | ||||||
Skillz, Inc.(a) |
315 | 2,155 | ||||||
Take-Two Interactive Software, Inc.(a) |
2,669 | 392,156 | ||||||
883,313 | ||||||||
Financial Services — 2.7% |
||||||||
Euronet Worldwide, Inc.(a) |
726 | 79,453 | ||||||
Jack Henry & Associates, Inc. |
1,143 | 198,620 | ||||||
Marqeta, Inc. - Class A(a) |
8,197 | 53,526 | ||||||
Toast, Inc. - Class A(a) |
8,464 | 194,672 | ||||||
Walker & Dunlop, Inc. |
527 | 50,265 | ||||||
WEX, Inc.(a) |
671 | 147,439 | ||||||
723,975 |
The accompanying notes are an integral part of these financial statements.
39 |
MOTLEY FOOL next index ETF
Schedule of Investments (Continued)
FEBRUARY 29, 2024 (UNAUDITED)
|
Number of |
Value |
||||||
COMMON STOCKS (continued) |
||||||||
Food Products — 1.8% |
||||||||
Darling Ingredients, Inc.(a) |
2,508 | $ | 106,113 | |||||
Freshpet, Inc.(a) |
758 | 85,677 | ||||||
McCormick & Co., Inc. |
4,224 | 290,865 | ||||||
482,655 | ||||||||
Ground Transportation — 1.7% |
||||||||
RXO, Inc.(a) |
1,838 | 39,554 | ||||||
U-Haul Holding Co.(a) |
2,980 | 191,852 | ||||||
XPO, Inc.(a) |
1,820 | 218,983 | ||||||
450,389 | ||||||||
Health Care Equipment & Supplies — 2.6% |
||||||||
Globus Medical, Inc. - Class A(a) |
2,166 | 116,942 | ||||||
Inari Medical, Inc.(a) |
905 | 41,739 | ||||||
Insulet Corp.(a) |
1,096 | 179,744 | ||||||
Masimo Corp.(a) |
830 | 106,688 | ||||||
QuidelOrtho Corp.(a) |
1,051 | 47,926 | ||||||
Shockwave Medical, Inc.(a) |
579 | 151,044 | ||||||
STAAR Surgical Co.(a) |
756 | 23,617 | ||||||
TransMedics Group, Inc.(a) |
510 | 41,616 | ||||||
709,316 | ||||||||
Health Care Providers & Services — 1.6% |
||||||||
Fulgent Genetics, Inc.(a) |
452 | 10,197 | ||||||
Guardant Health, Inc.(a) |
1,854 | 35,226 | ||||||
HealthEquity, Inc.(a) |
1,342 | 110,863 | ||||||
Progyny, Inc.(a) |
1,474 | 53,830 | ||||||
Quest Diagnostics, Inc. |
1,766 | 220,556 | ||||||
430,672 | ||||||||
Health Care Technology — 0.6% |
||||||||
Doximity, Inc. - Class A(a) |
2,922 | 82,488 | ||||||
GoodRx Holdings, Inc. - Class A(a) |
6,187 | 48,197 | ||||||
Teladoc, Inc.(a) |
2,611 | 39,374 | ||||||
170,059 |
The accompanying notes are an integral part of these financial statements.
40 |
MOTLEY FOOL next index ETF
Schedule of Investments (Continued)
FEBRUARY 29, 2024 (UNAUDITED)
|
Number of |
Value |
||||||
COMMON STOCKS (continued) |
||||||||
Hotels, Restaurants & Leisure — 3.5% |
||||||||
Cava Group, Inc.(a) |
1,748 | $ | 102,101 | |||||
Dave & Buster’s Entertainment, Inc.(a) |
632 | 39,020 | ||||||
Hyatt Hotels Corp. - Class A |
1,619 | 248,661 | ||||||
Planet Fitness, Inc. - Class A(a) |
1,341 | 83,209 | ||||||
Sweetgreen, Inc. - Class A(a) |
1,720 | 21,913 | ||||||
Texas Roadhouse, Inc. |
1,048 | 156,540 | ||||||
Vail Resorts, Inc. |
596 | 137,265 | ||||||
Wingstop, Inc. |
462 | 162,185 | ||||||
950,894 | ||||||||
Household Durables — 2.0% |
||||||||
Dream Finders Homes, Inc. - Class A(a) |
1,449 | 56,699 | ||||||
iRobot Corp.(a) |
440 | 5,020 | ||||||
Meritage Homes Corp. |
573 | 90,339 | ||||||
NVR, Inc.(a) |
50 | 381,279 | ||||||
533,337 | ||||||||
Household Products — 0.2% |
||||||||
Spectrum Brands Holdings, Inc. |
557 | 44,794 | ||||||
Industrial REITs — 0.4% |
||||||||
STAG Industrial, Inc. |
2,844 | 105,626 | ||||||
Insurance — 2.0% |
||||||||
Kinsale Capital Group, Inc. |
364 | 187,890 | ||||||
Lemonade, Inc.(a) |
1,081 | 17,555 | ||||||
Markel Group, Inc.(a) |
207 | 308,944 | ||||||
Safety Insurance Group, Inc. |
234 | 19,225 | ||||||
Trupanion, Inc.(a) |
640 | 17,120 | ||||||
550,734 | ||||||||
Interactive Media & Services — 2.1% |
||||||||
Bumble, Inc. - Class A(a) |
2,149 | 24,606 | ||||||
Match Group, Inc.(a) |
4,271 | 153,927 | ||||||
Pinterest, Inc. - Class A(a) |
10,592 | 388,726 | ||||||
567,259 |
The accompanying notes are an integral part of these financial statements.
41 |
MOTLEY FOOL next index ETF
Schedule of Investments (Continued)
FEBRUARY 29, 2024 (UNAUDITED)
|
Number of |
Value |
||||||
COMMON STOCKS (continued) |
||||||||
IT Services — 7.6% |
||||||||
Cloudflare, Inc. - Class A(a) |
5,270 | $ | 519,306 | |||||
DigitalOcean Holdings, Inc.(a) |
1,352 | 51,268 | ||||||
EPAM Systems, Inc.(a) |
907 | 276,091 | ||||||
Fastly, Inc. - Class A(a) |
2,020 | 28,724 | ||||||
GoDaddy, Inc. - Class A(a) |
2,210 | 252,272 | ||||||
MongoDB, Inc.(a) |
1,133 | 507,108 | ||||||
Okta, Inc.(a) |
2,586 | 277,478 | ||||||
Twilio, Inc. - Class A(a) |
2,844 | 169,474 | ||||||
2,081,721 | ||||||||
Leisure Products — 0.4% |
||||||||
Hasbro, Inc. |
2,181 | 109,682 | ||||||
Life Sciences Tools & Services — 0.7% |
||||||||
Mesa Laboratories, Inc. |
83 | 9,063 | ||||||
Repligen Corp.(a) |
876 | 169,935 | ||||||
178,998 | ||||||||
Machinery — 3.5% |
||||||||
Chart Industries, Inc.(a) |
661 | 94,430 | ||||||
Middleby Corp.(a) |
841 | 127,967 | ||||||
Proto Labs, Inc.(a) |
405 | 14,754 | ||||||
RBC Bearings, Inc.(a) |
444 | 121,137 | ||||||
Tennant Co. |
290 | 32,825 | ||||||
Toro Co. |
1,630 | 150,465 | ||||||
Westinghouse Air Brake Technologies Corp. |
2,812 | 397,308 | ||||||
938,886 | ||||||||
Media — 0.5% |
||||||||
Boston Omaha Corp. - Class A(a) |
504 | 8,271 | ||||||
New York Times Co. - Class A |
2,583 | 114,375 | ||||||
PubMatic, Inc. - Class A(a) |
777 | 16,270 | ||||||
138,916 | ||||||||
Oil, Gas & Consumable Fuels — 0.9% |
||||||||
Clean Energy Fuels Corp.(a) |
3,473 | 10,245 | ||||||
EQT Corp. |
6,325 | 234,974 | ||||||
Vitesse Energy, Inc. |
431 | 9,797 | ||||||
255,016 |
The accompanying notes are an integral part of these financial statements.
42 |
MOTLEY FOOL next index ETF
Schedule of Investments (Continued)
FEBRUARY 29, 2024 (UNAUDITED)
|
Number of |
Value |
||||||
COMMON STOCKS (continued) |
||||||||
Passenger Airlines — 0.3% |
||||||||
Alaska Air Group, Inc.(a) |
2,017 | $ | 75,416 | |||||
Hawaiian Holdings, Inc.(a) |
756 | 10,667 | ||||||
86,083 | ||||||||
Pharmaceuticals — 0.9% |
||||||||
Viatris, Inc. |
18,844 | 233,100 | ||||||
Professional Services — 3.7% |
||||||||
Broadridge Financial Solutions, Inc. |
1,847 | 376,011 | ||||||
NV5 Global, Inc.(a) |
252 | 25,631 | ||||||
Paycom Software, Inc. |
907 | 165,428 | ||||||
Robert Half, Inc. |
1,638 | 131,695 | ||||||
SS&C Technologies Holdings, Inc. |
3,885 | 247,708 | ||||||
TaskUS, Inc. - Class A(a) |
1,381 | 18,409 | ||||||
Upwork, Inc.(a) |
2,059 | 26,973 | ||||||
991,855 | ||||||||
Real Estate Management & Development — 0.8% |
||||||||
Redfin Corp.(a) |
1,764 | 12,533 | ||||||
Zillow Group, Inc. - Class C(a) |
3,647 | 204,779 | ||||||
217,312 | ||||||||
Retail REITs — 0.1% |
||||||||
Retail Opportunity Investments Corp. |
1,954 | 25,265 | ||||||
Semiconductors & Semiconductor Equipment — 4.1% |
||||||||
Cirrus Logic, Inc.(a) |
848 | 77,863 | ||||||
Enphase Energy, Inc.(a) |
2,137 | 271,420 | ||||||
First Solar, Inc.(a) |
1,677 | 258,074 | ||||||
Impinj, Inc.(a) |
427 | 46,637 | ||||||
Silicon Laboratories, Inc.(a) |
500 | 68,770 | ||||||
Skyworks Solutions, Inc. |
2,511 | 263,454 | ||||||
Universal Display Corp. |
743 | 129,594 | ||||||
1,115,812 | ||||||||
Software — 15.6% |
||||||||
Alarm.com Holdings, Inc.(a) |
786 | 59,492 | ||||||
Alteryx, Inc. - Class A(a) |
1,131 | 54,333 | ||||||
Appfolio, Inc. - Class A(a) |
561 | 135,812 |
The accompanying notes are an integral part of these financial statements.
43 |
MOTLEY FOOL next index ETF
Schedule of Investments (Continued)
FEBRUARY 29, 2024 (UNAUDITED)
|
Number of |
Value |
||||||
COMMON STOCKS (continued) |
||||||||
Software (continued) |
||||||||
Appian Corp. - Class A(a) |
1,152 | $ | 40,147 | |||||
Asana, Inc. - Class A(a) |
3,463 | 68,221 | ||||||
Blackbaud, Inc.(a) |
825 | 57,074 | ||||||
BlackLine, Inc.(a) |
966 | 54,801 | ||||||
Box, Inc. - Class A(a) |
2,258 | 58,234 | ||||||
Braze, Inc. - Class A(a) |
1,561 | 88,821 | ||||||
Confluent, Inc. - Class A(a) |
4,725 | 160,036 | ||||||
DocuSign, Inc.(a) |
3,205 | 170,730 | ||||||
Fair Isaac Corp.(a) |
387 | 491,454 | ||||||
Five9, Inc.(a) |
1,134 | 69,174 | ||||||
HubSpot, Inc.(a) |
790 | 488,860 | ||||||
LivePerson, Inc.(a) |
1,187 | 1,507 | ||||||
Manhattan Associates, Inc.(a) |
947 | 239,904 | ||||||
Nutanix, Inc. - Class A(a) |
3,735 | 235,903 | ||||||
Pegasystems, Inc. |
1,315 | 85,528 | ||||||
Q2 Holdings, Inc.(a) |
922 | 42,624 | ||||||
Samsara, Inc. - Class A(a) |
8,452 | 292,017 | ||||||
Smartsheet, Inc. - Class A(a) |
2,141 | 90,372 | ||||||
Splunk, Inc.(a) |
2,646 | 413,358 | ||||||
Tyler Technologies, Inc.(a) |
661 | 288,950 | ||||||
UiPath, Inc. - Class A(a) |
8,892 | 211,185 | ||||||
Unity Software, Inc.(a) |
5,971 | 175,070 | ||||||
Varonis Systems, Inc.(a) |
1,711 | 86,919 | ||||||
Workiva, Inc.(a) |
831 | 71,566 | ||||||
Zuora, Inc. - Class A(a) |
2,194 | 17,728 | ||||||
4,249,820 | ||||||||
Specialty Retail — 6.9% |
||||||||
Camping World Holdings, Inc. - Class A |
710 | 18,950 | ||||||
CarMax, Inc.(a) |
2,494 | 197,026 | ||||||
Chewy, Inc. - Class A(a) |
6,778 | 119,564 | ||||||
Designer Brands, Inc. - Class A |
859 | 9,071 | ||||||
Five Below, Inc.(a) |
866 | 173,789 | ||||||
GameStop Corp. - Class A(a) |
4,795 | 68,425 | ||||||
RH(a) |
286 | 78,478 | ||||||
Sleep Number Corp.(a) |
334 | 5,518 | ||||||
Stitch Fix, Inc. - Class A(a) |
1,616 | 5,220 |
The accompanying notes are an integral part of these financial statements.
44 |
MOTLEY FOOL next index ETF
Schedule of Investments (Concluded)
FEBRUARY 29, 2024 (UNAUDITED)
|
Number of |
Value |
||||||
COMMON STOCKS (continued) |
||||||||
Specialty Retail (continued) |
||||||||
Tractor Supply Co. |
1,697 | $ | 431,581 | |||||
Ulta Beauty, Inc.(a) |
762 | 418,003 | ||||||
Wayfair, Inc. - Class A(a) |
1,843 | 109,843 | ||||||
Williams-Sonoma, Inc. |
1,008 | 237,414 | ||||||
Winmark Corp. |
55 | 20,875 | ||||||
1,893,757 | ||||||||
Technology Hardware, Storage & Peripherals — 1.0% |
||||||||
Pure Storage, Inc. - Class A(a) |
4,959 | 261,091 | ||||||
Textiles, Apparel & Luxury Goods — 0.8% |
||||||||
Skechers USA, Inc. - Class A(a) |
2,420 | 149,580 | ||||||
Under Armour, Inc. - Class A(a) |
6,709 | 60,113 | ||||||
209,693 | ||||||||
Trading Companies & Distributors — 1.3% |
||||||||
Watsco, Inc. |
578 | 227,802 | ||||||
WESCO International, Inc. |
803 | 120,040 | ||||||
347,842 | ||||||||
TOTAL COMMON STOCKS (Cost $28,077,473) |
27,065,826 | |||||||
TOTAL INVESTMENTS — 99.8% (Cost $28,077,473) |
27,065,826 | |||||||
Money Market Deposit Account — 0.2%(c)(d) |
53,494 | |||||||
Other Assets in Excess of Liabilities — 0.0%(d) |
6,896 | |||||||
TOTAL NET ASSETS — 100.0% |
$ | 27,126,216 |
Percentages are stated as a percent of net assets.
The Global Industry Classification Standard (GICS®) was developed by and/or is the exclusive property of MSCI, Inc. and Standard & Poor’s Financial Services LLC (“S&P”). GICS is a service mark of MSCI, Inc. and S&P and has been licensed for use by U.S. Bank Global Fund Services.
(a) |
Non-income producing security. |
(b) |
Represents less than 0.05% of net assets. |
(c) |
The U.S. Bank Money Market Deposit Account (the “MMDA”) is a short-term vehicle in which the Fund holds cash balances. The MMDA will bear interest at a variable rate that is determined based on market conditions and is subject to change daily. The rate as of February 29, 2024 was 5.20%. |
(d) |
Represents less than 0.05% of net assets. |
The accompanying notes are an integral part of these financial statements.
45 |
Motley Fool ETFs
Statements of Assets and Liabilities
FEBRUARY 29, 2024 (UNAUDITED)
|
Motley |
Motley Fool |
Motley |
Motley Fool |
||||||||||||
ASSETS |
||||||||||||||||
Investments in securities of unaffiliated issurers, at value (cost $233,455,865, $116,927,802, $466,341,860 and $75,035,733 respectively)^ |
$ | 432,926,162 | $ | 192,314,078 | $ | 740,242,183 | $ | 82,082,406 | ||||||||
Investments purchased with proceeds from securities lending collateral (cost $36,421,063, $26,482,994, $35,178,725 and $29,399,685 respectively) |
36,421,063 | 26,482,994 | 35,178,725 | 29,399,685 | ||||||||||||
Short-term investments, at value (cost $9,133,884, $6,831,431, $316,122 and $3,505,602 respectively) |
9,133,884 | 6,831,431 | 316,122 | 3,505,602 | ||||||||||||
Receivables for: |
||||||||||||||||
Dividends and tax reclaims |
173,399 | 50,189 | 561,315 | 34,860 | ||||||||||||
Capital shares sold |
— | — | 1,209,718 | — | ||||||||||||
Total assets |
478,654,508 | 225,678,692 | 777,508,063 | 115,022,553 | ||||||||||||
LIABILITIES |
||||||||||||||||
Payables for: |
||||||||||||||||
Securities lending collateral (see Note 7) |
36,421,063 | 26,482,994 | 35,178,725 | 29,399,685 | ||||||||||||
Investments purchased |
— | — | 1,191,669 | — | ||||||||||||
Advisory fees |
290,912 | 130,549 | 285,206 | 57,565 | ||||||||||||
Total liabilities |
36,711,975 | 26,613,543 | 36,655,600 | 29,457,250 | ||||||||||||
Net assets |
$ | 441,942,533 | $ | 199,065,149 | $ | 740,852,463 | $ | 85,565,303 | ||||||||
NET ASSETS CONSIST OF: |
||||||||||||||||
Par value |
$ | 14,994 | $ | 7,568 | $ | 15,200 | $ | 2,775 | ||||||||
Paid-in capital |
221,358,401 | 99,712,897 | 474,738,758 | 93,201,501 | ||||||||||||
Total distributable earnings/(losses) |
220,569,138 | 99,344,684 | 266,098,505 | (7,638,973 | ) | |||||||||||
Net assets |
$ | 441,942,533 | $ | 199,065,149 | $ | 740,852,463 | $ | 85,565,303 | ||||||||
Shares outstanding ($0.001 par value, 100,000,000 shares authorized) |
14,993,873 | 7,567,511 | 15,200,000 | 2,775,000 | ||||||||||||
Net asset value, price per share |
$ | 29.47 | $ | 26.31 | $ | 48.74 | $ | 30.83 | ||||||||
^ Includes market value of securities on loan |
$ | 35,685,808 | $ | 25,914,548 | $ | 34,254,570 | $ | 28,330,468 |
The accompanying notes are an integral part of these financial statements.
46 |
Motley Fool ETFs
Statements of Assets and Liabilities (concluded)
FEBRUARY 29, 2024 (UNAUDITED)
|
Motley Fool |
Motley |
||||||
ASSETS |
||||||||
Investments in securities of unaffiliated issurers, at value (cost $26,825,688 and $28,077,473 respectively)^ |
$ | 34,184,014 | $ | 27,065,826 | ||||
Short-term investments, at value (cost $107,575 and $53,494 respectively) |
107,575 | 53,494 | ||||||
Receivables for: |
||||||||
Dividends and tax reclaims |
30,365 | 17,520 | ||||||
Total assets |
34,321,954 | 27,136,840 | ||||||
LIABILITIES |
||||||||
Payables for: |
||||||||
Advisory fees |
13,003 | 10,624 | ||||||
Total liabilities |
13,003 | 10,624 | ||||||
Net assets |
$ | 34,308,951 | $ | 27,126,216 | ||||
NET ASSETS CONSIST OF: |
||||||||
Par value |
$ | 1,500 | $ | 1,575 | ||||
Paid-in capital |
27,671,982 | 30,107,472 | ||||||
Total distributable earnings/(losses) |
6,635,469 | (2,982,831 | ) | |||||
Net assets |
$ | 34,308,951 | $ | 27,126,216 | ||||
Shares outstanding ($0.001 par value, 100,000,000 shares authorized) |
1,500,000 | 1,575,000 | ||||||
Net asset value, price per share |
$ | 22.87 | $ | 17.22 | ||||
^ Includes market value of securities on loan |
$ | 26,825,687 | $ | 28,077,473 |
The accompanying notes are an integral part of these financial statements.
47 |
Motley Fool ETFs
Statements of Operations
FOR THE SIX MONTHS ENDED FEBRUARY 29, 2024 (UNAUDITED)
|
Motley |
Motley Fool |
Motley |
Motley Fool |
||||||||||||
INVESTMENT INCOME |
||||||||||||||||
Dividends |
$ | 2,371,725 | $ | 882,344 | $ | 2,551,934 | $ | 303,640 | ||||||||
Less foreign taxes withheld |
(81,336 | ) | — | — | — | |||||||||||
Securities lending income |
29,888 | 23,526 | 14,449 | 19,673 | ||||||||||||
Total investment income |
2,320,277 | 905,870 | 2,566,383 | 323,313 | ||||||||||||
EXPENSES |
||||||||||||||||
Advisory fees (Note 3) |
1,772,092 | 798,434 | 1,520,555 | 322,685 | ||||||||||||
Total expenses |
1,772,092 | 798,434 | 1,520,555 | 322,685 | ||||||||||||
Net investment income/(loss) |
548,185 | 107,436 | 1,045,828 | 628 | ||||||||||||
NET REALIZED AND UNREALIZED GAIN/(LOSS) FROM INVESTMENTS |
||||||||||||||||
Net realized gain/(loss) from: |
||||||||||||||||
Investments |
27,038,692 | 21,861,015 | (3,275,650 | ) | (10,639,477 | ) | ||||||||||
Foreign currency transactions |
(568,701 | ) | — | — | — | |||||||||||
Redemption in-kind |
16,400,562 | 3,884,333 | 7,507,478 | 1,606,897 | ||||||||||||
Net change in unrealized appreciation/(depreciation) on: |
||||||||||||||||
Investments |
11,426,261 | (8,215,243 | ) | 100,571,975 | 13,810,580 | |||||||||||
Foreign currency transactions |
62,201 | — | — | — | ||||||||||||
Net realized and unrealized gain |
54,359,015 | 17,530,105 | 104,803,803 | 4,778,000 | ||||||||||||
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS |
$ | 54,907,200 | $ | 17,637,541 | $ | 105,849,631 | $ | 4,778,628 |
The accompanying notes are an integral part of these financial statements.
48 |
Motley Fool ETFs
Statements of Operations (CONCLUDED)
FOR THE SIX MONTHS ENDED FEBRUARY 29, 2024 (UNAUDITED)
|
Motley Fool |
Motley |
||||||
INVESTMENT INCOME |
||||||||
Dividends |
$ | 127,741 | $ | 85,705 | ||||
Total investment income |
127,741 | 85,705 | ||||||
EXPENSES |
||||||||
Advisory fees (Note 3) |
61,325 | 65,294 | ||||||
Total expenses |
61,325 | 65,294 | ||||||
Net investment income/(loss) |
66,416 | 20,411 | ||||||
NET REALIZED AND UNREALIZED GAIN/(LOSS) FROM INVESTMENTS |
||||||||
Net realized gain/(loss) from: |
||||||||
Investments |
460,302 | (265,233 | ) | |||||
Redemption in-kind |
— | 64,039 | ||||||
Net change in unrealized appreciation on: |
||||||||
Investments |
4,363,474 | 2,441,545 | ||||||
Net realized and unrealized gain |
4,823,776 | 2,240,351 | ||||||
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS |
$ | 4,890,192 | $ | 2,260,762 |
The accompanying notes are an integral part of these financial statements.
49 |
MOTLEY FOOL Global Opportunities ETF
Statements of Changes in Net Assets
|
FOR THE |
FOR THE |
||||||
OPERATIONS |
||||||||
Net investment income |
$ | 548,185 | $ | 1,883,189 | ||||
Net realized gain from investments and foreign currency transactions |
42,870,553 | 20,808,505 | ||||||
Net change in unrealized appreciation/(depreciation) on investments, foreign currency translation and assets and liabilities denominated in foreign currencies |
11,488,462 | 21,314,343 | ||||||
Net increase/(decrease) in net assets resulting from operations |
54,907,200 | 44,006,037 | ||||||
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS: |
||||||||
Institutional Shares |
(23,006,101 | ) | (2,705,256 | ) | ||||
Total dividends and distributions to shareholders |
(23,006,101 | ) | (2,705,256 | ) | ||||
CAPITAL SHARE TRANSACTIONS: |
||||||||
Proceeds from shares sold |
7,701,448 | 1,935,173 | ||||||
Shares redeemed |
(27,625,998 | ) | (46,922,013 | ) | ||||
Net decrease in net assets from capital share transactions |
(19,924,550 | ) | (44,986,840 | ) | ||||
Total decrease in net assets |
11,976,549 | (3,686,059 | ) | |||||
NET ASSETS: |
||||||||
Beginning of period |
$ | 429,965,984 | $ | 433,652,043 | ||||
End of period |
$ | 441,942,533 | $ | 429,965,984 | ||||
SHARES TRANSACTIONS: |
||||||||
Shares sold |
275,000 | 75,000 | ||||||
Shares redeemed |
(1,000,000 | ) | (1,875,000 | ) | ||||
Net increase/(decrease) in shares outstanding |
(725,000 | ) | (1,800,000 | ) |
The accompanying notes are an integral part of these financial statements.
50 |
MOTLEY FOOL Mid-Cap Growth ETF
Statements of Changes in Net Assets
|
FOR THE |
FOR THE |
||||||
OPERATIONS |
||||||||
Net investment income/(loss) |
$ | 107,436 | $ | 569,856 | ||||
Net realized gain from investments and foreign currency transactions |
25,745,348 | 17,160,148 | ||||||
Net change in unrealized depreciation on investments, foreign currency translation, and assets and liabilities denominated in foreign currencies |
(8,215,243 | ) | (2,432,722 | ) | ||||
Net increase/(decrease) in net assets resulting from operations |
17,637,541 | 15,297,282 | ||||||
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS: |
||||||||
Institutional Shares |
(4,987,801 | ) | — | |||||
Total dividends and distributions to shareholders |
(4,987,801 | ) | — | |||||
CAPITAL SHARE TRANSACTIONS: |
||||||||
Shares redeemed |
(7,930,328 | ) | (29,995,560 | ) | ||||
Net decrease in net assets from capital share transactions |
(7,930,328 | ) | (29,995,560 | ) | ||||
Total decrease in net assets |
4,719,412 | (14,698,278 | ) | |||||
NET ASSETS: |
||||||||
Beginning of period |
$ | 194,345,737 | $ | 209,044,015 | ||||
End of period |
$ | 199,065,149 | $ | 194,345,737 | ||||
SHARES TRANSACTIONS: |
||||||||
Shares redeemed |
(325,000 | ) | (1,325,000 | ) | ||||
Net increase/(decrease) in shares outstanding |
(325,000 | ) | (1,325,000 | ) |
The accompanying notes are an integral part of these financial statements.
51 |
Motley Fool 100 Index ETF
Statements of Changes in Net Assets
|
FOR THE |
FOR THE |
||||||
INCREASE/(DECREASE) IN NET ASSETS FROM OPERATIONS: |
||||||||
Net investment income |
$ | 1,045,828 | $ | 1,549,001 | ||||
Net realized gain from investments |
4,231,828 | 10,767,400 | ||||||
Net change in unrealized appreciation/(depreciation) on investments |
100,571,975 | 78,108,704 | ||||||
Net increase/(decrease) in net assets resulting from operations |
105,849,631 | 90,425,105 | ||||||
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS FROM: |
||||||||
Total distributable earnings |
(846,637 | ) | (1,701,998 | ) | ||||
Net decrease in net assets from dividends and distributions to shareholders |
(846,637 | ) | (1,701,998 | ) | ||||
CAPITAL SHARE TRANSACTIONS: |
||||||||
Proceeds from shares sold |
100,029,528 | 76,561,270 | ||||||
Shares redeemed |
(13,703,023 | ) | (33,030,150 | ) | ||||
Net increase/(decrease) in net assets from capital share transactions |
86,326,505 | 43,531,120 | ||||||
Total increase/(decrease) in net assets |
191,329,499 | 132,254,227 | ||||||
NET ASSETS: |
||||||||
Beginning of period |
549,522,964 | 417,268,737 | ||||||
End of period |
$ | 740,852,463 | $ | 549,522,964 | ||||
SHARES TRANSACTIONS: |
||||||||
Shares sold |
2,300,000 | 1,950,000 | ||||||
Shares redeemed |
(325,000 | ) | (1,000,000 | ) | ||||
Net increase/(decrease) in shares outstanding |
1,975,000 | 950,000 |
The accompanying notes are an integral part of these financial statements.
52 |
Motley Fool Small-Cap Growth ETF
Statements of Changes in Net Assets
|
FOR THE |
FOR THE |
||||||
INCREASE/(DECREASE) IN NET ASSETS FROM OPERATIONS: |
||||||||
Net investment income/(loss) |
$ | 628 | $ | 102,230 | ||||
Net realized gain/(loss) from investments |
(9,032,580 | ) | (3,442,931 | ) | ||||
Net change in unrealized appreciation/(depreciation) on investments |
13,810,580 | 13,349,768 | ||||||
Net increase/(decrease) in net assets resulting from operations |
4,778,628 | 10,009,067 | ||||||
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS FROM: |
||||||||
Total distributable earnings |
(2,037 | ) | (227,522 | ) | ||||
Net decrease in net assets from dividends and distributions to shareholders |
(2,037 | ) | (227,522 | ) | ||||
CAPITAL SHARE TRANSACTIONS: |
||||||||
Proceeds from shares sold |
15,776,198 | 691,953 | ||||||
Shares redeemed |
(7,842,678 | ) | (15,668,161 | ) | ||||
Net decrease in net assets from capital share transactions |
7,933,520 | (14,976,208 | ) | |||||
Total decrease in net assets |
12,710,111 | (5,194,663 | ) | |||||
NET ASSETS: |
||||||||
Beginning of period |
72,855,192 | 78,049,855 | ||||||
End of period |
$ | 85,565,303 | $ | 72,855,192 | ||||
SHARES TRANSACTIONS: |
||||||||
Shares sold |
550,000 | 25,000 | ||||||
Shares redeemed |
(275,000 | ) | (625,000 | ) | ||||
Net decrease in shares outstanding |
275,000 | (600,000 | ) |
The accompanying notes are an integral part of these financial statements.
53 |
MOTLEY FOOL CAPITAL EFFICIENCY 100 INDEX ETF
Statements of Changes in Net Assets
|
FOR THE |
FOR THE |
||||||
INCREASE/(DECREASE) IN NET ASSETS FROM OPERATIONS: |
||||||||
Net investment income |
$ | 66,416 | $ | 107,613 | ||||
Net realized loss from investments |
460,302 | (527,598 | ) | |||||
Net change in unrealized appreciation/(depreciation) on investments |
4,363,474 | 4,912,480 | ||||||
Net increase/(decrease) in net assets resulting from operations |
4,890,192 | 4,492,495 | ||||||
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS FROM: |
||||||||
Total distributable earnings |
(109,818 | ) | (76,457 | ) | ||||
Net decrease in net assets from dividends and distributions to shareholders |
(109,818 | ) | (76,457 | ) | ||||
CAPITAL SHARE TRANSACTIONS: |
||||||||
Proceeds from shares sold |
7,068,105 | 474,105 | ||||||
Shares redeemed |
— | (3,183,860 | ) | |||||
Net increase/(decrease) in net assets from capital share transactions |
7,068,105 | (2,709,755 | ) | |||||
Total increase/(decrease) in net assets |
11,848,479 | 1,706,283 | ||||||
NET ASSETS: |
||||||||
Beginning of period |
22,460,472 | 20,754,189 | ||||||
End of period |
$ | 34,308,951 | $ | 22,460,472 | ||||
SHARES TRANSACTIONS: |
||||||||
Shares sold |
325,000 | 25,000 | ||||||
Shares redeemed |
— | (200,000 | ) | |||||
Net increase/(decrease) in shares outstanding |
325,000 | (175,000 | ) |
The accompanying notes are an integral part of these financial statements.
54 |
MOTLEY FOOL NEXT INDEX ETF
Statements of Changes in Net Assets
|
FOR THE |
FOR THE |
||||||
INCREASE/(DECREASE) IN NET ASSETS FROM OPERATIONS: |
||||||||
Net investment income |
$ | 20,411 | $ | 44,071 | ||||
Net realized loss from investments |
(201,194 | ) | (1,362,880 | ) | ||||
Net change in unrealized appreciation/(depreciation) on investments |
2,441,545 | 2,748,952 | ||||||
Net increase/(decrease) in net assets resulting from operations |
2,260,762 | 1,430,143 | ||||||
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS FROM: |
||||||||
Total distributable earnings |
(46,367 | ) | (64,299 | ) | ||||
Net decrease in net assets from dividends and distributions to shareholders |
(46,367 | ) | (64,299 | ) | ||||
CAPITAL SHARE TRANSACTIONS: |
||||||||
Proceeds from shares sold |
420,680 | — | ||||||
Shares redeemed |
(4,691,410 | ) | (4,861,270 | ) | ||||
Net increase/(decrease) in net assets from capital share transactions |
(4,270,730 | ) | (4,861,270 | ) | ||||
Total increase/(decrease) in net assets |
(2,056,335 | ) | (3,495,426 | ) | ||||
NET ASSETS: |
||||||||
Beginning of period |
29,182,551 | 32,677,977 | ||||||
End of period |
$ | 27,126,216 | $ | 29,182,551 | ||||
SHARES TRANSACTIONS: |
||||||||
Shares sold |
25,000 | — | ||||||
Shares redeemed |
(300,000 | ) | (325,000 | ) | ||||
Net increase/(decrease) in shares outstanding |
(275,000 | ) | (325,000 | ) |
The accompanying notes are an integral part of these financial statements.
55 |
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 |
YEARS ENDED |
||||||||||||||||||||||
|
(UNAUDITED) |
2023 |
2022 |
2021 |
2020 |
2019 |
||||||||||||||||||
PER SHARE OPERATING PERFORMANCE |
||||||||||||||||||||||||
Net asset value, beginning of period |
$ | 27.35 | $ | 24.75 | $ | 37.03 | $ | 30.17 | $ | 25.09 | $ | 25.97 | ||||||||||||
Net investment income/(loss)(1) |
0.04 | 0.11 | 0.30 | (0.05 | ) | — | * | 0.05 | ||||||||||||||||
Net realized and unrealized gain/(loss) from investments |
3.58 | 2.65 | (10.00 | ) | 9.03 | 6.21 | 0.80 | |||||||||||||||||
Net increase/(decrease) in net assets resulting from operations |
3.62 | 2.76 | (9.70 | ) | 8.98 | 6.21 | 0.85 | |||||||||||||||||
Dividends and distributions to shareholders from: |
||||||||||||||||||||||||
Net investment income |
(0.10 | ) | (0.06 | ) | (0.77 | ) | — | (0.04 | ) | — | ||||||||||||||
Net realized capital gains |
(1.40 | ) | (0.10 | ) | (1.81 | ) | (2.12 | ) | (1.09 | ) | (1.73 | ) | ||||||||||||
Total dividends and distributions to shareholders |
(1.50 | ) | (0.16 | ) | (2.58 | ) | (2.12 | ) | (1.13 | ) | (1.73 | ) | ||||||||||||
Net asset value, end of period |
$ | 29.47 | $ | 27.35 | $ | 24.75 | $ | 37.03 | $ | 30.17 | $ | 25.09 | ||||||||||||
Market value, end of period |
$ | 29.44 | $ | 27.32 | $ | 24.74 | $ | — | $ | — | $ | — | ||||||||||||
Total investment return/(loss) on net asset value(2) |
13.70 | %(4) | 11.24 | % | (27.61 | )% | 30.86 | % | 25.64 | % | 4.94 | % | ||||||||||||
Total investment return/(loss) on market value(3) |
13.69 | % | 11.19 | % | (27.65 | )% | — | % | — | % | — | % | ||||||||||||
RATIOS/SUPPLEMENTAL DATA |
||||||||||||||||||||||||
Net assets, end of period (thousands) |
$ | 441,943 | $ | 429,966 | $ | 433,652 | $ | 181,509 | $ | 122,406 | $ | 92,760 | ||||||||||||
Ratio of expenses to average net assets |
0.85 | %(5) | 0.85 | % | 0.87 | % | 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) | 0.85 | % | 0.88 | % | 0.98 | % | 1.00 | % | 0.99 | % | ||||||||||||
Ratio of net investment income/(loss) to average net assets |
0.26 | %(5) | 0.45 | % | 1.08 | % | (0.16 | )% | (0.01 | )% | 0.19 | % | ||||||||||||
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) | 0.45 | % | 1.07 | % | (0.19 | )% | (0.06 | )% | 0.15 | % | ||||||||||||
Portfolio turnover rate |
17 | %(4) | 4 | % | 14 | % | 12 | % | 10 | % | 11 | % |
* |
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.
56 |
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 |
YEARS ENDED |
||||||||||||||||||||||
|
(UNAUDITED) |
2023 |
2022 |
2021 |
2020 |
2019 |
||||||||||||||||||
PER SHARE OPERATING PERFORMANCE |
||||||||||||||||||||||||
Net asset value, beginning of period |
$ | 24.62 | $ | 22.68 | $ | 33.20 | $ | 29.79 | $ | 24.48 | $ | 27.50 | ||||||||||||
Net investment income/(loss)(1) |
0.01 | 0.07 | (0.04 | ) | (0.09 | ) | (0.02 | ) | 0.02 | |||||||||||||||
Net realized and unrealized gain/(loss) from investments |
2.32 | 1.87 | (8.38 | ) | 6.90 | 6.79 | (1.88 | ) | ||||||||||||||||
Net increase/(decrease) in net assets resulting from operations |
2.33 | 1.94 | (8.42 | ) | 6.81 | 6.77 | (1.86 | ) | ||||||||||||||||
Dividends and distributions to shareholders from: |
||||||||||||||||||||||||
Net investment income |
(0.06 | ) | — | — | — | — | — | |||||||||||||||||
Net realized capital gains |
(0.58 | ) | — | (2.10 | ) | (3.40 | ) | (1.46 | ) | (1.16 | ) | |||||||||||||
Total dividends and distributions to shareholders |
(0.64 | ) | — | (2.10 | ) | (3.40 | ) | (1.46 | ) | (1.16 | ) | |||||||||||||
Net asset value, end of period |
$ | 26.31 | $ | 24.62 | $ | 22.68 | $ | 33.20 | $ | 29.79 | $ | 24.48 | ||||||||||||
Market value, end of period |
$ | 26.33 | $ | 24.58 | $ | 22.62 | $ | — | $ | — | $ | — | ||||||||||||
Total investment return/(loss) on net asset value(2) |
9.63 | %(4) | 8.58 | % | (26.66 | )% | 24.38 | % | 28.77 | % | (5.97 | )% | ||||||||||||
Total investment return/(loss) on market value(3) |
9.88 | % | 8.65 | % | (26.84 | )% | — | % | — | % | — | % | ||||||||||||
RATIOS/SUPPLEMENTAL DATA |
||||||||||||||||||||||||
Net assets, end of period (thousands) |
$ | 199,065 | $ | 194,346 | $ | 209,044 | $ | 54,460 | $ | 39,488 | $ | 29,205 | ||||||||||||
Ratio of expenses to average net assets |
0.85 | %(5) | 0.85 | % | 0.90 | % | 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) | 0.85 | % | 0.88 | % | 0.98 | % | 1.00 | % | 0.98 | % | ||||||||||||
Ratio of net investment income/(loss) to average net assets |
0.11 | %(5) | 0.29 | % | (0.17 | )% | (0.30 | )% | (0.06 | )% | 0.10 | % | ||||||||||||
Ratio of net investment income/(loss) to average net assets (before waivers and reimbursement of expenses and/or recapture of previously waived fees) |
0.11 | %(5) | 0.29 | % | (0.15 | )% | (0.33 | )% | (0.11 | )% | 0.07 | % | ||||||||||||
Portfolio turnover rate |
18 | %(4) | 18 | % | 2 | % | 15 | % | 14 | % | 4 | % |
* |
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.
57 |
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 |
YEARS ENDED |
||||||||||||||||||||||
|
(UNAUDITED) |
2023 |
2022 |
2021 |
2020 |
2019 |
||||||||||||||||||
PER SHARE OPERATING PERFORMANCE |
||||||||||||||||||||||||
Net asset value, beginning of period |
$ | 41.55 | $ | 33.99 | $ | 42.16 | $ | 33.67 | $ | 22.46 | $ | 22.10 | ||||||||||||
Net investment income/(loss)(1) |
0.07 | 0.13 | 0.08 | 0.05 | 0.11 | 0.15 | ||||||||||||||||||
Net realized and unrealized gain/(loss) from investments |
7.18 | 7.57 | (8.15 | ) | 8.59 | 11.23 | 0.32 | |||||||||||||||||
Net increase/(decrease) in net assets resulting from operations |
7.25 | 7.70 | (8.07 | ) | 8.64 | 11.34 | 0.47 | |||||||||||||||||
Dividends and distributions to shareholders from: |
||||||||||||||||||||||||
Net investment income |
(0.06 | ) | (0.14 | ) | (0.02 | ) | (0.10 | ) | (0.13 | ) | (0.11 | ) | ||||||||||||
Net realized capital gains |
— | — | (0.08 | ) | (0.05 | ) | — | — | ||||||||||||||||
Total dividends and distributions to shareholders |
(0.06 | ) | (0.14 | ) | (0.10 | ) | (0.15 | ) | (0.13 | ) | (0.11 | ) | ||||||||||||
Net asset value, end of period |
$ | 48.74 | $ | 41.55 | $ | 33.99 | $ | 42.16 | $ | 33.67 | $ | 22.46 | ||||||||||||
Market value, end of period |
$ | 48.78 | $ | 41.53 | $ | 34.00 | $ | 42.20 | $ | 33.66 | $ | 22.42 | ||||||||||||
Total investment return/(loss) on net asset value(2) |
17.46 | %(4) | 22.71 | % | (19.18 | )% | 25.74 | % | 50.67 | % | 2.27 | % | ||||||||||||
Total investment return/(loss) on market price(3) |
17.62 | % | 22.63 | % | (19.24 | )% | 25.91 | % | 50.89 | % | 1.93 | % | ||||||||||||
RATIO/SUPPLEMENTAL DATA |
||||||||||||||||||||||||
Net assets, end of period (000’s omitted) |
$ | 740,852 | $ | 549,523 | $ | 417,269 | $ | 528,011 | $ | 337,547 | $ | 185,871 | ||||||||||||
Ratio of expenses to average net assets |
0.50 | %(5) | 0.50 | % | 0.50 | % | 0.50 | % | 0.50 | % | 0.50 | % | ||||||||||||
Ratio of net investment income/(loss) to average net assets |
0.34 | %(5) | 0.37 | % | 0.20 | % | 0.15 | % | 0.43 | % | 0.69 | % | ||||||||||||
Portfolio turnover rate |
5 | %(4) | 6 | % | 15 | % | 23 | % | 26 | % | 26 | % |
(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.
58 |
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 |
YEARS ENDED |
FOR THE |
|||||||||||||||||||||
|
(UNAUDITED) |
2023 |
2022 |
2021 |
2020 |
2019(1) |
||||||||||||||||||
PER SHARE OPERATING PERFORMANCE |
||||||||||||||||||||||||
Net asset value, beginning of period |
$ | 29.14 | $ | 25.18 | $ | 40.73 | $ | 32.59 | $ | 23.33 | $ | 20.00 | ||||||||||||
Net investment income/(loss)(2) |
— | 0.04 | (0.15 | ) | (0.19 | ) | (0.07 | ) | — | * | ||||||||||||||
Net realized and unrealized gain/(loss) from investments |
1.69 | 4.00 | (14.53 | ) | 10.48 | 9.67 | 3.33 | |||||||||||||||||
Net increase/(decrease) in net assets resulting from operations |
1.69 | 4.04 | (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 |
$ | 30.83 | $ | 29.14 | $ | 25.18 | $ | 40.73 | $ | 32.59 | $ | 23.33 | ||||||||||||
Market value, end of period |
$ | 30.86 | $ | 29.17 | $ | 25.18 | $ | 40.74 | $ | 32.68 | $ | 23.34 | ||||||||||||
Total investment return/(loss) on net asset value(3) |
5.80 | %(5) | 16.13 | % | (36.66 | )% | 32.00 | % | 41.58 | % | 16.65 | %(5) | ||||||||||||
Total investment return/(loss) on market price(4) |
5.81 | % | 16.21 | % | (36.65 | )% | 31.54 | % | 41.88 | % | 16.69 | %(5) | ||||||||||||
RATIO/SUPPLEMENTAL DATA |
||||||||||||||||||||||||
Net assets, end of period (000’s omitted) |
$ | 85,565 | $ | 72,855 | $ | 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 | % | 0.85 | %(6) | ||||||||||||
Ratio of net investment income/(loss) to average net assets |
0.00 | %(6) | 0.15 | % | (0.46 | )% | (0.51 | )% | (0.29 | )% | (0.01 | )%(6) | ||||||||||||
Portfolio turnover rate |
17 | %(5) | 62 | % | 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.
59 |
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 periods. This information has been derived from information provided in the financial statements.
|
For the SIX |
For the |
For the |
|||||||||
|
(UNAUDITED) |
2023 |
2022(1) |
|||||||||
PER SHARE OPERATING PERFORMANCE |
||||||||||||
Net asset value, beginning of period |
$ | 19.12 | $ | 15.37 | $ | 20.00 | ||||||
Net investment income/(loss)(2) |
0.05 | 0.09 | 0.05 | |||||||||
Net realized and unrealized gain/(loss) from investments |
3.79 | 3.72 | (4.68 | ) | ||||||||
Net increase/(decrease) in net assets resulting from operations |
3.84 | 3.81 | (4.63 | ) | ||||||||
Dividends and distributions to shareholders from: |
||||||||||||
Net realized capital gains |
(0.09 | ) | (0.06 | ) | — | |||||||
Total dividends and distributions to shareholders |
(0.09 | ) | (0.06 | ) | — | |||||||
Net asset value, end of period |
$ | 22.87 | $ | 19.12 | $ | 15.37 | ||||||
Market value, end of period |
$ | 22.96 | $ | 19.15 | $ | 15.38 | ||||||
Total investment return/(loss) on net asset value(3) |
20.20 | %(5) | 24.81 | % | (23.13 | )%(5) | ||||||
Total investment return/(loss) on market price(4) |
20.44 | % | 24.99 | % | (23.09 | )%(5) | ||||||
RATIO/SUPPLEMENTAL DATA |
||||||||||||
Net assets, end of period (000’s omitted) |
$ | 34,309 | $ | 22,460 | $ | 20,754 | ||||||
Ratio of expenses to average net assets |
0.50 | %(6) | 0.50 | % | 0.50 | %(6) | ||||||
Ratio of net investment income/(loss) to average net assets |
0.54 | %(6) | 0.53 | % | 0.50 | %(6) | ||||||
Portfolio turnover rate |
16 | %(5) | 25 | % | 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.
60 |
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 periods. This information has been derived from information provided in the financial statements.
|
For the SIX |
For the |
For the |
|||||||||
|
(UNAUDITED) |
2023 |
2022(1) |
|||||||||
PER SHARE OPERATING PERFORMANCE |
||||||||||||
Net asset value, beginning of period |
$ | 15.77 | $ | 15.02 | $ | 20.00 | ||||||
Net investment income/(loss)(2) |
0.01 | 0.02 | 0.03 | |||||||||
Net realized and unrealized gain/(loss) from investments |
1.47 | 0.76 | (5.01 | ) | ||||||||
Net increase/(decrease) in net assets resulting from operations |
1.48 | 0.78 | (4.98 | ) | ||||||||
Dividends and distributions to shareholders from: |
||||||||||||
Net realized capital gains |
(0.03 | ) | (0.03 | ) | — | |||||||
Total dividends and distributions to shareholders |
(0.03 | ) | (0.03 | ) | — | |||||||
Net asset value, end of period |
$ | 17.22 | $ | 15.77 | $ | 15.02 | ||||||
Market value, end of period |
$ | 17.20 | $ | 15.78 | $ | 15.01 | ||||||
Total investment return/(loss) on net asset value(3) |
9.37 | %(5) | 5.21 | % | (24.88 | )%(5) | ||||||
Total investment return/(loss) on market price(4) |
9.18 | % | 5.39 | % | (24.97 | )%(5) | ||||||
RATIO/SUPPLEMENTAL DATA |
||||||||||||
Net assets, end of period (000’s omitted) |
$ | 27,126 | $ | 29,183 | $ | 32,678 | ||||||
Ratio of expenses to average net assets |
0.50 | %(6) | 0.50 | % | 0.50 | %(6) | ||||||
Ratio of net investment income/(loss) to average net assets |
0.16 | %(6) | 0.15 | % | 0.26 | %(6) | ||||||
Portfolio turnover rate |
9 | %(5) | 27 | % | 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.
61 |
Motley Fool Asset Management ETFs
Notes to Financial Statements
FEBRUARY 29, 2024 (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 sixty-four 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 92.723 billion shares are currently classified into two hundred and thirty-four 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 29, 2024, and the period covered by these Notes to Financial Statements is the six months ended February 29, 2024 (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
62 |
Motley Fool Asset Management ETFs
Notes to Financial Statements (continued)
FEBRUARY 29, 2024 (UNAUDITED)
on that day, securities traded principally on an exchange or on NASDAQ will be valued at the mean of the last bid and ask prices prior to the market close. Fixed income securities are valued using an independent pricing service, which considers such factors as security prices, yields, maturities and ratings, and are deemed representative of market values at the close of the market. Foreign securities are valued based on prices from the primary market in which they are traded, and are translated from the local currency into U.S. dollars using current exchange rates. If market quotations are unavailable or deemed unreliable, securities will be valued in accordance with procedures adopted by the Company’s Board of Directors (the “Board”). Relying on prices supplied by pricing services or dealers or using fair valuation may result in values that are higher or lower than the values used by other investment companies and investors to price the same investments. Such procedures use fundamental valuation methods, which may include, but are not limited to, an analysis of the effect of any restrictions on the resale of the security, industry analysis and trends, significant changes in the issuer’s financial position, and any other event which could have a significant impact on the value of the security. Determination of fair value involves subjective judgment as the actual market value of a particular security can be established only by negotiations between the parties in a sales transaction, and the difference between the recorded fair value and the value that would be received in a sale could be significant.
The 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.
63 |
Motley Fool Asset Management ETFs
Notes to Financial Statements (continued)
FEBRUARY 29, 2024 (UNAUDITED)
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
|
LEVEL 1 |
LEVEL 2 |
LEVEL 3 |
Total |
||||||||||||
Assets: |
||||||||||||||||
Common Stocks |
||||||||||||||||
Argentina |
$ | 10,064,748 | $ | — | $ | — | $ | 10,064,748 | ||||||||
Australia |
8,796,890 | — | — | 8,796,890 | ||||||||||||
Canada |
46,774,658 | — | — | 46,774,658 | ||||||||||||
China |
7,519,346 | — | — | 7,519,346 | ||||||||||||
France |
3,316,242 | — | — | 3,316,242 | ||||||||||||
Georgia |
15,615,251 | — | — | 15,615,251 | ||||||||||||
Germany |
8,210,789 | — | — | 8,210,789 | ||||||||||||
India |
5,823,689 | — | — | 5,823,689 | ||||||||||||
Ireland |
27,061,241 | — | — | 27,061,241 | ||||||||||||
Japan |
8,348,677 | — | — | 8,348,677 | ||||||||||||
Kenya |
360,544 | — | — | 360,544 | ||||||||||||
Netherlands |
11,923,187 | — | — | 11,923,187 | ||||||||||||
Philippines |
16,024,691 | — | — | 16,024,691 | ||||||||||||
Spain |
12,988,151 | — | — | 12,988,151 | ||||||||||||
Taiwan |
13,973,047 | — | — | 13,973,047 | ||||||||||||
United Arab Emirates |
— | — | — | — | ||||||||||||
United Kingdom |
21,239,220 | — | — | 21,239,220 | ||||||||||||
United States |
214,885,791 | — | — | 214,885,791 | ||||||||||||
Common Stocks - Total |
$ | 432,926,162 | $ | — | $ | — | $ | 432,926,162 | ||||||||
Investments Purchased with Proceeds from Securities Lending(a) |
— | — | — | 36,421,063 | ||||||||||||
Total Assets |
$ | 432,926,162 | $ | — | $ | — | $ | 469,347,225 |
MID-CAP GROWTH FUND
|
LEVEL 1 |
LEVEL 2 |
LEVEL 3 |
Total |
||||||||||||
Assets: |
||||||||||||||||
Common Stocks |
$ | 192,314,078 | $ | — | $ | — | $ | 192,314,078 | ||||||||
Investments Purchased with Proceeds from Securities Lending(a) |
— | — | — | 26,482,994 | ||||||||||||
Total Assets |
$ | 192,314,078 | $ | — | $ | — | $ | 218,797,072 |
64 |
Motley Fool Asset Management ETFs
Notes to Financial Statements (continued)
FEBRUARY 29, 2024 (UNAUDITED)
FOOL 100 FUND
|
LEVEL 1 |
LEVEL 2 |
LEVEL 3 |
Total |
||||||||||||
Assets: |
||||||||||||||||
Common Stocks |
$ | 740,220,856 | $ | — | $ | — | $ | 740,220,856 | ||||||||
Rights |
— | — | 21,327 | 21,327 | ||||||||||||
Investments Purchased with Proceeds from Securities Lending(a) |
— | — | — | 35,178,725 | ||||||||||||
Total Assets |
$ | 740,220,856 | $ | — | $ | 21,327 | $ | 775,420,908 |
SMALL-CAP GROWTH FUND
|
LEVEL 1 |
LEVEL 2 |
LEVEL 3 |
Total |
||||||||||||
Assets: |
||||||||||||||||
Common Stocks |
$ | 82,082,406 | $ | — | $ | — | $ | 82,082,406 | ||||||||
Investments Purchased with Proceeds from Securities Lending(a) |
— | — | — | 29,399,685 | ||||||||||||
Total Assets |
$ | 82,082,406 | $ | — | $ | — | $ | 111,482,091 |
CAPITAL EFFICIENCY FUND
|
LEVEL 1 |
LEVEL 2 |
LEVEL 3 |
Total |
||||||||||||
Assets: |
||||||||||||||||
Common Stocks |
$ | 34,184,014 | $ | — | $ | — | $ | 34,184,014 | ||||||||
Total Assets |
$ | 34,184,014 | $ | — | $ | — | $ | 34,184,014 |
NEXT FUND
|
LEVEL 1 |
LEVEL 2 |
LEVEL 3 |
Total |
||||||||||||
Assets: |
||||||||||||||||
Common Stocks |
$ | 27,065,826 | $ | — | $ | — | $ | 27,065,826 | ||||||||
Total Assets |
$ | 27,065,826 | $ | — | $ | — | $ | 27,065,826 |
Refer to the Schedule of Investments for industry classifications.
(a) |
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 listed in the Schedule of Investments. |
At the end of each quarter, management evaluates the classification of Levels 1, 2 and 3 assets and liabilities. Various factors are considered, such as changes in liquidity from the prior reporting period; whether or not a broker is willing to execute at the quoted price; the depth and consistency of prices from third party pricing services; and the existence of contemporaneous, observable trades in the market. Additionally, management evaluates the classification of Levels 1, 2 and 3 assets and liabilities on a quarterly basis for changes in listings or delistings on national exchanges.
65 |
Motley Fool Asset Management ETFs
Notes to Financial Statements (continued)
FEBRUARY 29, 2024 (UNAUDITED)
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 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 (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 STATUS — No 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.
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.
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.
66 |
Motley Fool Asset Management ETFs
Notes to Financial Statements (continued)
FEBRUARY 29, 2024 (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.
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 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,
67 |
Motley Fool Asset Management ETFs
Notes to Financial Statements (continued)
FEBRUARY 29, 2024 (UNAUDITED)
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.
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.
68 |
Motley Fool Asset Management ETFs
Notes to Financial Statements (continued)
FEBRUARY 29, 2024 (UNAUDITED)
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% |
69 |
Motley Fool Asset Management ETFs
Notes to Financial Statements (continued)
FEBRUARY 29, 2024 (UNAUDITED)
During the current fiscal period, investment advisory fees accrued were as follows:
FUND |
GROSS ADVISORY |
RECOUPMENT/ |
NET ADVISORY |
|||||||||
Global Opportunities Fund |
$ | 1,772,092 | $ | — | $ | 1,772,092 | ||||||
Mid-Cap Growth Fund |
798,434 | — | 798,434 | |||||||||
Fool 100 Fund |
1,520,555 | — | 1,520,555 | |||||||||
Small-Cap Growth Fund |
322,685 | — | 322,685 | |||||||||
Capital Efficiency Fund |
61,325 | — | 61,325 | |||||||||
Next Fund |
65,294 | — | 65,294 |
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. During the current fiscal period, director and officer fees charged to the Funds were paid by the Adviser out of each Fund’s unitary fee.
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.
70 |
Motley Fool Asset Management ETFs
Notes to Financial Statements (continued)
FEBRUARY 29, 2024 (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 |
$ | 72,035,468 | $ | 88,354,363 | ||||
Mid-Cap Growth Fund |
33,161,292 | 42,985,560 | ||||||
Fool 100 Fund |
33,245,114 | 31,090,737 | ||||||
Small-Cap Growth Fund |
15,037,989 | 12,288,905 | ||||||
Capital Efficiency Fund |
4,176,072 | 4,013,162 | ||||||
Next Fund |
2,414,511 | 2,641,906 |
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 |
$ | 7,428,580 | $ | 29,586,999 | ||||
Mid-Cap Growth Fund |
— | 7,725,826 | ||||||
Fool 100 Fund |
98,509,462 | 13,472,810 | ||||||
Small-Cap Growth Fund |
14,527,952 | 7,276,036 | ||||||
Capital Efficiency Fund |
6,890,592 | — | ||||||
Next Fund |
404,519 | 4,504,135 |
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, 2023, the federal tax cost, aggregate gross unrealized appreciation and depreciation of securities held by the Funds were as follows:
FUND |
FEDERAL |
UNREALIZED |
UNREALIZED |
NET UNREALIZED |
||||||||||||
Global Opportunities Fund |
$ | 279,823,206 | $ | 206,932,202 | $ | (18,950,252 | ) | $ | 187,981,950 | |||||||
Mid-Cap Growth Fund |
135,989,188 | 85,588,354 | (1,986,836 | ) | 83,601,518 | |||||||||||
Fool 100 Fund |
395,327,867 | 191,011,765 | (21,530,729 | ) | 169,481,036 | |||||||||||
Small-Cap Growth Fund |
112,120,856 | 10,100,483 | (16,866,726 | ) | (6,766,243 | ) | ||||||||||
Capital Efficiency Fund |
19,675,861 | 3,538,922 | (766,447 | ) | 2,772,475 | |||||||||||
Next Fund |
32,632,634 | 2,455,806 | (5,923,812 | ) | (3,468,006 | ) |
71 |
Motley Fool Asset Management ETFs
Notes to Financial Statements (continued)
FEBRUARY 29, 2024 (UNAUDITED)
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, 2023, primarily attributable to foreign currency transactions and in-kind redemptions gains, were reclassified among the following accounts:
FUND |
DISTRIBUTABLE |
PAID-IN |
||||||
Global Opportunities Fund |
$ | (19,636,237 | ) | $ | 19,636,237 | |||
Mid-Cap Growth Fund |
(14,039,117 | ) | 14,039,117 | |||||
Fool 100 Fund |
(13,150,419 | ) | 13,150,419 | |||||
Small-Cap Growth Fund |
(734,694 | ) | 734,694 | |||||
Capital Efficiency Fund |
(384,723 | ) | 384,723 | |||||
Next Fund |
(161,997 | ) | 161,997 |
As of August 31, 2023, the components of distributable earnings on a tax basis were as follows:
FUND |
UNDISTRIBUTED |
UNDISTRIBUTED |
CAPITAL Loss |
Post October |
UNREALIZED |
Total |
||||||||||||||||||
Global Opportunities Fund |
$ | 686,089 | $ | — | $ | — | $ | — | $ | 187,981,950 | $ | 188,668,039 | ||||||||||||
Mid-Cap Growth Fund |
486,537 | 2,606,889 | — | — | 83,601,518 | 86,694,944 | ||||||||||||||||||
Fool 100 Fund |
829,826 | — | (9,215,351 | ) | — | 169,481,036 | 161,095,511 | |||||||||||||||||
Small-Cap Growth Fund |
— | — | — | (5,649,321 | ) | (6,766,243 | ) | (12,415,564 | ) | |||||||||||||||
Capital Efficiency Fund |
73,939 | — | (991,319 | ) | — | 2,772,475 | 1,855,095 | |||||||||||||||||
Next Fund |
30,724 | — | (1,759,944 | ) | — | (3,468,006 | ) | (5,197,226 | ) |
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.
The tax character of dividends and distributions paid during the fiscal year ended August 31, 2023 was as follows:
FUND |
Tax |
ORDINARY |
LONG-TERM |
TOTAL |
||||||||||||
Global Opportunities Fund |
2023 | $ | 1,203,987 | $ | 1,501,269 | $ | 2,705,256 | |||||||||
Mid-Cap Growth Fund |
2023 | — | — | — | ||||||||||||
Fool 100 Fund |
2023 | 1,701,998 | — | 1,701,998 | ||||||||||||
Small-Cap Growth Fund |
2023 | — | 227,522 | 227,522 | ||||||||||||
Capital Efficiency Fund |
2023 | 76,457 | — | 76,457 | ||||||||||||
Next Fund |
2023 | 64,299 | — | 64,299 |
72 |
Motley Fool Asset Management ETFs
Notes to Financial Statements (continued)
FEBRUARY 29, 2024 (UNAUDITED)
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, 2023 any amount of losses elected within the tax return will not be recognized for federal income tax purposes until September 1, 2023 The Small-Cap Growth Fund deferred $5,649,321 post October loss 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, 2023, the Fool 100 Fund had $7,834,523 of short-term capital loss carryforwards and $1,380,828 of long-term capital loss carryforwards, the Capital Efficiency Fund had $882,875 of short-term capital loss carryforwards and $108,444 of long-term capital loss carryforwards, and the Next Fund had $1,438,883 of short-term capital loss carryforwards and $322,061 of long-term capital loss carryforwards..
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.
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
73 |
Motley Fool Asset Management ETFs
Notes to Financial Statements (continued)
FEBRUARY 29, 2024 (UNAUDITED)
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 |
MARKET VALUE |
INCOME |
|||||||||
Global Opportunities Fund |
$ | 35,685,808 | $ | 36,421,063 | $ | 29,888 | ||||||
Mid-Cap Growth Fund |
25,914,548 | 26,482,994 | 23,526 | |||||||||
Fool 100 Fund |
34,254,570 | 35,178,725 | 14,449 | |||||||||
Small-Cap Growth Fund |
28,330,468 | 29,399,685 | 19,673 |
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 AMOUNTS NOT OFFSET IN THE |
||||||||||||||||||||||||
FUND |
GROSS |
GROSS |
NET AMOUNTS |
FINANCIAL |
CASH |
NET |
||||||||||||||||||
Global Opportunities Fund |
$ | 35,685,808 | $ | — | $ | 35,685,808 | $ | (35,685,808 | ) | $ | — | $ | — | |||||||||||
Mid-Cap Growth Fund |
25,914,548 | — | 25,914,548 | (25,914,548 | ) | — | — | |||||||||||||||||
Fool 100 Fund |
34,254,570 | — | 34,254,570 | (34,254,570 | ) | — | — | |||||||||||||||||
Small-Cap Growth Fund |
28,330,468 | — | 28,330,468 | (28,330,468 | ) | — | — |
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
74 |
Motley Fool Asset Management ETFs
Notes to Financial Statements (Concluded)
FEBRUARY 29, 2024 (UNAUDITED)
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 2022, the SEC adopted a final rule relating to tailored shareholder reports for mutual funds and exchange-traded funds and fee information in investment company advertisements. Beginning in July 2024, the Funds will be required to transmit concise and visually engaging shareholder reports that highlight key information. The Funds will also be required to tag information in a structured data format and that certain more in-depth information be made available online and available for delivery free of charge to investors on request.
In December 2022, the FASB issued an Accounting Standards Update, ASU 2022-06, Reference Rate Reform (Topic 848) – Deferral of the Sunset Date of Topic 848 (“ASU 2022-06”). ASU 2022-06 is an amendment to ASU 2020-04, which provided optional guidance to ease the potential accounting burden due to the discontinuation of the London Inter-Bank Offered Rate (LIBOR)and other interbank-offered based reference rates and which was effective as of March 12, 2020 through December 31, 2022. ASU 2022-06 extends the effective period through December 31, 2024. Management is currently evaluating the impact, if any, of applying ASU 2022-06.
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.
75 |
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 filings 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.
76 |
Investment Adviser
Motley Fool Asset Management, LLC
2000 Duke Street
Suite 275
Alexandria, VA 22314
Administrator and Transfer Agent
U.S. Bank Global Fund Services
P.O. Box 701
Milwaukee, WI 53201
Principal Underwriter
Quasar Distributors, LLC
3 Canal Plaza, Suite 100
Portland, ME 04101
Custodian
U.S. Bank, N.A.
1555 North Rivercenter Drive, Suite 302
Milwaukee, WI 53212
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
77 |
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Optima Strategic Credit Fund
of
THE RBB FUND, INC.
Semi-Annual Report
February 29, 2024
(Unaudited)
Optima Strategic Credit Fund
Table of Contents
Performance Data |
1 |
Fund Expense Example |
2 |
Portfolio Holdings Summary Table |
3 |
Schedule of Investments |
4 |
Credit Default Swap |
5 |
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 29, 2024 (Unaudited)
Average Annual Total Returns for the Periods Ended February 29, 2024 |
|||
Six Months* |
One Year |
Since |
|
Optima Strategic Credit Fund |
3.54% |
3.70% |
1.16% |
iBoxx USD Liquid High Yield Index(2)(3)(4) |
5.93% |
10.10% |
0.36% |
Markit CDX North America High Yield Index(2)(4) |
8.26% |
14.57% |
7.36% |
Net Expense Ratio(5) 1.61% |
|
|
|
Gross Expense Ratio(6) 1.61% |
|
|
* |
Not annualized. |
(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. Net expense ratio reflects contractual fee waivers through December 31, 2024. |
(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, 2024 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 29, 2024 (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, 2023 through February 29, 2024, 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 |
Ending |
Expenses Paid |
Annualized |
Actual Six-Month |
|
Actual |
$ 1,000.00 |
$ 1,035.40 |
$ 6.33 |
1.25% |
3.54% |
Hypothetical (5% return before expenses) |
$ 1,000.00 |
$ 1,024.86 |
$ 6.29 |
1.25% |
N/A |
* |
Expenses are equal to the Fund’s annualized expense ratio for the period September 1, 2023 to February 29, 2024, multiplied by the average account value over the period, multiplied by the number of days (182) in the most recent fiscal half-year, then divided by 366 days 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 29, 2024 (Unaudited)
The following table presents a summary of the portfolio holdings of the Fund:
|
% of Net |
Value |
||||||
SHORT-TERM INVESTMENTS |
||||||||
Money Market Funds |
28.2% | $ | 5,727,361 | |||||
U.S. Treasury Bills |
58.8 | 11,932,978 | ||||||
Money Market Deposit Accounts |
1.2 | 250,000 | ||||||
OTHER ASSETS IN EXCESS OF LIABILITIES |
11.8 | 2,403,742 | ||||||
NET ASSETS |
100.0% | $ | 20,314,081 |
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
Schedule of Investments
as of February 29, 2024 (Unaudited)
Shares |
Value |
|||||||
SHORT-TERM INVESTMENTS — 87.0% |
||||||||
Money Market Funds — 28.2% |
||||||||
First American Treasury Obligations Fund - Class X, 5.25%(a) |
5,727,361 | $ | 5,727,361 | |||||
PAR |
||||||||
U.S. Treasury Bills — 58.8% |
||||||||
5.47%, 04/04/2024(b) |
5,000,000 | 4,975,060 | ||||||
5.47%, 04/11/2024(b)(c) |
7,000,000 | 6,957,918 | ||||||
11,932,978 | ||||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $17,659,755) |
17,660,339 | |||||||
TOTAL INVESTMENTS — 87.0% (Cost $17,659,755) |
$ | 17,660,339 | ||||||
Money Market Deposit Account — 1.2%(d) |
250,000 | |||||||
Other Assets in Excess of Liabilities — 11.8% |
2,403,742 | |||||||
TOTAL NET ASSETS — 100.0% |
$ | 20,314,081 |
Percentages are stated as a percent of net assets.
(a) |
The rate shown represents the 7-day effective yield as of February 29, 2024. |
(b) |
The rate shown is the effective yield. |
(c) |
All or a portion of security has been pledged as collateral. The total value of assets committed as collateral as of February 29, 2024, is $6,957,887. |
(d) |
The U.S. Bank Money Market Deposit Account (the “MMDA”) is a short-term vehicle in which the Fund holds cash balances. The MMDA will bear interest at a variable rate that is determined based on market conditions and is subject to change daily. The rate as of February 29, 2024, was 5.20%. |
The accompanying notes are an integral part of the financial statements.
4
Optima Strategic Credit Fund
Credit Default Swap
February 29, 2024 (Unaudited)
Reference |
Fixed |
Buy/ Sell |
Payment |
Counter |
Maturity |
Notional |
Upfront |
Unrealized |
Value |
|||||||||||||||||||||||||||
MARKIT CDX.North American High Yield (Series #41) |
5.00% | Sell | Paid | Wells Fargo | 12/20/2028 | $ | 8,910,000 | $ | 464,578 | $ | 181,401 | $ | 645,979 | |||||||||||||||||||||||
MARKIT CDX.North America High Yield (Series #41) |
5.00% | Sell | Paid | J.P. Morgan Securities, Inc. | 12/20/2028 | 9,900,000 | 504,647 | 213,107 | 717,754 | |||||||||||||||||||||||||||
$ | 969,225 | $ | 394,508 | $ | 1,363,733 |
The accompanying notes are an integral part of the financial statements.
5
Optima Strategic Credit Fund
Statement of Assets And Liabilities
February 29, 2024 (Unaudited)
ASSETS |
||||
Short-term investments, at value (cost $17,659,755) |
$ | 17,660,339 | ||
Cash and cash equivalents |
347,173 | |||
Deposit at broker for swap contracts |
2,303,220 | |||
Receivables for: |
||||
Interest |
34,057 | |||
Variation margin on centrally cleared swaps |
199 | |||
Capital shares sold |
20,000 | |||
Prepaid expenses and other assets |
10,072 | |||
Total assets |
20,375,060 | |||
LIABILITIES |
||||
Payables for: |
||||
Broker fees |
16,000 | |||
Audit expenses |
15,632 | |||
Transfer agent fees |
14,995 | |||
Administration and accounting services fees |
8,111 | |||
Advisory fees |
3,692 | |||
Custodian fees |
528 | |||
Printing and shareholder reporting fees |
126 | |||
Other accrued expenses and liabilities |
1,895 | |||
Total liabilities |
60,979 | |||
Net assets |
20,314,081 | |||
NET ASSETS CONSIST OF: |
||||
Par value |
$ | 2,097 | ||
Paid-in capital |
21,685,124 | |||
Total distributable earnings/(losses) |
$ | (1,373,140 | ) | |
Net assets |
$ | 20,314,081 | ||
FOUNDERS CLASS SHARES: |
||||
Net assets |
$ | 20,314,081 | ||
Shares outstanding ($0.001 par value, 100,000,000 shares authorized) |
2,096,713 | |||
Net asset value, offering and redemption price per share |
$ | 9.69 |
The accompanying notes are an integral part of the financial statements.
6
Optima Strategic Credit Fund
Statement of Operations
For the Period Ended February 29, 2024 (Unaudited)
INVESTMENT INCOME |
||||
Interest |
$ | 775,516 | ||
Broker interest income |
58,686 | |||
Total investment income |
834,202 | |||
EXPENSES |
||||
Broker expenses |
116,500 | |||
Advisory fees (Note 2) |
79,005 | |||
Broker interest expense |
46,710 | |||
Transfer agent fees (Note 2) |
33,305 | |||
Administration and accounting services fees (Note 2) |
19,683 | |||
Registration and filing fees |
11,769 | |||
Audit fees and tax services |
11,290 | |||
Officer fees |
9,118 | |||
Director fees |
6,515 | |||
Legal fees |
3,503 | |||
Printing and shareholder reporting fees |
1,641 | |||
Custodian fees (Note 2) |
381 | |||
Other expenses |
4,804 | |||
Total expenses before waivers and/or reimbursements |
344,224 | |||
Waivers and reimbursements (Note 2) |
(12,493 | ) | ||
Net expenses after waivers and/or reimbursements |
331,731 | |||
Net investment income/(loss) |
502,471 | |||
NET REALIZED AND UNREALIZED GAIN/(LOSS) FROM INVESTMENTS |
||||
Net realized gain/(loss) from: |
||||
Short-term investments |
(1,476 | ) | ||
Swap contracts |
23,532 | |||
Net change in unrealized appreciation/(depreciation) from: |
||||
Short-term investments |
14,654 | |||
Swap contracts |
394,508 | |||
Net realized and unrealized gain/(loss) from investments |
431,218 | |||
NET INCREASE/(DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS |
$ | 933,689 |
The accompanying notes are an integral part of the financial statements.
7
Optima Strategic Credit Fund
Statements of Changes in Net Assets
For the |
For the |
|||||||
INCREASE/(DECREASE) IN NET ASSETS FROM OPERATIONS: |
||||||||
Net investment income/(loss) |
$ | 502,471 | $ | 957,345 | ||||
Net realized gain/(loss) from investments and swap contracts |
22,056 | (1,108,197 | ) | |||||
Net change in unrealized appreciation/(depreciation) on investments |
409,162 | 172,530 | ||||||
Net increase/(decrease) in net assets resulting from operations |
933,689 | 21,678 | ||||||
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS: |
||||||||
Total distributable earnings |
(1,538,074 | ) | (606,258 | ) | ||||
Net decrease in net assets from dividends and distributions to shareholders |
(1,538,074 | ) | (606,258 | ) | ||||
CAPITAL SHARE TRANSACTIONS: |
||||||||
Proceeds from shares sold |
1,618,998 | 11,485,654 | ||||||
Proceeds from reinvestment of distributions |
1,538,074 | 606,258 | ||||||
Shares redeemed |
(29,605,757 | ) | (5,242,501 | ) | ||||
Net increase/(decrease) in net assets from capital share transactions |
(26,448,685 | ) | 6,849,411 | |||||
Total increase/(decrease) in net assets |
(27,053,070 | ) | 6,264,831 | |||||
NET ASSETS: |
||||||||
Beginning of period |
47,367,151 | 41,102,320 | ||||||
End of period |
$ | 20,314,081 | $ | 47,367,151 | ||||
SHARE TRANSACTIONS: |
||||||||
Shares sold |
168,585 | 1,162,982 | ||||||
Shares reinvested |
161,444 | 61,989 | ||||||
Shares redeemed |
(3,077,763 | ) | (534,927 | ) | ||||
Net increase/(decrease) in shares outstanding |
(2,747,734 | ) | 690,044 |
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 |
For the |
For the |
||||||||||
Per Share Operating Performance |
||||||||||||
Net asset value, beginning of period |
$ | 9.78 | $ | 9.89 | $ | 10.00 | ||||||
Net investment income/(loss)(2) |
0.15 | 0.19 | — | |||||||||
Net realized and unrealized gain/(loss) from investments |
0.18 | (0.18 | ) | (0.11 | ) | |||||||
Net increase/(decrease) in net assets resulting from operations |
0.33 | 0.01 | (0.11 | ) | ||||||||
Total dividends and distributions to shareholders |
(0.42 | ) | (0.12 | ) | — | |||||||
Net asset value, end of period |
$ | 9.69 | $ | 9.78 | $ | 9.89 | ||||||
Total investment return/(loss)(3) |
3.54 | %(4) | 0.12 | % | (1.10 | )%(4) | ||||||
Ratios/Supplemental Data |
||||||||||||
Net assets, end of period (000’s omitted) |
$ | 20,314 | $ | 47,367 | $ | 41,102 | ||||||
Ratio of expenses to average net assets with waivers and/or reimbursements |
2.47 | %(5) | 1.61 | % | 1.48 | %(5) | ||||||
Ratio of expenses to average net assets without waivers and/or reimbursements |
2.55 | %(5) | 1.61 | % | 1.94 | %(5) | ||||||
Ratio of expenses to average net assets with waivers and/or reimbursements (excluding broker expenses) |
1.07 | %(5) | 1.18 | % | 1.25 | %(5) | ||||||
Ratio of expenses to average net assets without waivers and/or reimbursements (excluding broker expenses) |
1.15 | %(5) | 1.18 | % | 1.71 | %(5) | ||||||
Ratio of net investment income/(loss) to average net assets |
3.18 | %(5) | 1.94 | % | 0.03 | %(5) | ||||||
Portfolio turnover rate |
0 | %(4) | 0 | % | 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 29, 2024 (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 sixty-four 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 92.723 billion shares are currently classified into two hundred and thirty-four 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 29, 2024, and the period covered by these Notes to Financial Statements is the six-months ended February 29, 2024 (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 29, 2024 (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 current fiscal period, in valuing the Fund’s investments carried at fair value:
|
LEVEL 1 |
LEVEL 2 |
LEVEL 3 |
Total |
||||||||||||
Assets: |
||||||||||||||||
Money Market Funds |
$ | 5,727,361 | $ | — | $ | — | $ | 5,727,361 | ||||||||
U.S. Treasury Bills |
— | 11,932,978 | — | 11,932,978 | ||||||||||||
Credit Default Swaps* |
— | 394,508 | — | 394,508 | ||||||||||||
Total Assets |
$ | 5,727,361 | $ | 12,327,486 | $ | — | $ | 18,054,847 |
* |
The fair value of the Fund’s investment represents the net unrealized appreciation (depreciation) as of February 29, 2024. |
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.
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
11
Optima Strategic Credit Fund
Notes To Financial Statements (Continued)
February 29, 2024 (Unaudited)
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 (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 centrally cleared swaps, the daily change in valuation, and upfront payments, if any, are recorded as a receivable or payable for variation margin on the Statement of Assets and Liabilities. 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 quarterly notional value of the credit default swap in the Fund during the current fiscal period was as follows:
Portfolio |
|
|||
Optima Strategic Credit Fund |
$ | 14,355,000 |
For the current fiscal period, the Fund is invested in derivative contracts, which are reflected in the Statement of Assets and Liabilites, as follows:
DERIVATIVE ASSETS |
||||||||||
RISK |
DERIVATIVE TYPE |
STATEMENT OF ASSETS |
FAIR VALUE |
|||||||
Credit | Swap contracts* | Variation margin receivable on swap contracts |
$ | 1,363,733 |
* |
Includes cumulatve appreciation/(depreciation) as reported on the Schedule of Credit Default Swaps. For credit default swap contracts only current day’s variation margin is reported within the Statement of Assets and Liabilities. |
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 |
NET CHANGE |
||||||||||||
Credit | Swap contracts | Swap contracts | $ | 23,532 | $ | 394,508 |
12
Optima Strategic Credit Fund
Notes To Financial Statements (Continued)
February 29, 2024 (Unaudited)
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 Anthony Capital Management, LLC (the “Sub-Adviser”) and on the Sub-Adviser’s 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.
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.
13
Optima Strategic Credit Fund
Notes To Financial Statements (Continued)
February 29, 2024 (Unaudited)
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, 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 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.
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 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
14
Optima Strategic Credit Fund
Notes To Financial Statements (Continued)
February 29, 2024 (Unaudited)
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, 2024 and may not be terminated without the approval of the Board. The Adviser may discontinue these arrangements at any time after December 31, 2024.
Advisory |
Expense Cap |
Founders Class |
|
.50% |
1.25% |
During the current fiscal period, investment advisory fees accrued, waived and/or reimbursed were as follows:
Gross |
Waivers/ |
Net |
$79,005 |
$(12,493) |
$66,512 |
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 current fiscal period, the Fund had amounts available for recoupment as follows:
Expiration |
AUGUST 31, |
$12,493 |
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,
15
Optima Strategic Credit Fund
Notes To Financial Statements (Continued)
February 29, 2024 (Unaudited)
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. 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, 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 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, 2023, the federal tax cost and aggregate gross unrealized appreciation and depreciation of investments held by the Fund were as follows:
Federal Tax |
Unrealized |
Unrealized |
Net |
$44.355,611 |
$0 |
$(14,070) |
$(14,070) |
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, 2023, the components of distributable earnings on a tax basis were as follows:
Undistributed |
Undistributed |
Net Unrealized |
Capital Loss |
Qualified |
Other |
$1,036,396 |
$0 |
$(14,070) |
$(1,791,081) |
$0 |
$0 |
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, 2023 were as follows:
Ordinary |
Long-Term |
Total |
$606,258 |
$0 |
$606,258 |
16
Optima Strategic Credit Fund
Notes To Financial Statements (Concluded)
February 29, 2024 (Unaudited)
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, 2023, the Fund had unexpiring short-term losses of $1,791,081 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.
In October 2022, the SEC adopted a final rule relating to tailored shareholder reports for mutual funds and exchange-traded funds and fee information in investment company advertisements. Beginning in July 2024, the Fund will be required to transmit concise and visually engaging shareholder reports that highlight key information. The Fund will also be required to tag information in a structured data format and that certain more in-depth information be made available online and available for delivery free of charge to investors on request.
In December 2022, the FASB issued an Accounting Standards Update, ASU 2022-06, Reference Rate Reform (Topic 848) – Deferral of the Sunset Date of Topic 848 (“ASU 2022-06”). ASU 2022-06 is an amendment to ASU 2020-04, which provided optional guidance to ease the potential accounting burden due to the discontinuation of the London Inter-Bank Offered Rate and other interbank-offered based reference rates and which was effective as of March 12, 2020 through December 31, 2022. ASU 2022-06 extends the effective period through December 31, 2024. Management is currently evaluating the impact, if any, of applying ASU 2022-06.
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 there were no significant events requiring 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 filings is available on the SEC’s website at http://www.sec.gov.
18
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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
3 Canal Plaza, Suite 100
Portland, ME 04101
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-SAR24
SGI U.S. LARGE 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 29, 2024
(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 29, 2024 (UNAUDITED)
Average Annual Total Returns for the periods ended February 29, 2024 |
||||||
Six |
One |
Five |
Ten |
Since |
||
Class I Shares |
12.14% |
16.14% |
8.71% |
9.85% |
10.68% |
|
S&P 500® Low Volatility Index(3) |
13.93% |
30.45% |
14.76% |
12.70% |
13.77% |
(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, 2023, are 0.97% and 0.98%, 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, 2024 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, 2024 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® Low Volatility Index (“S&P 500® Low Volatility Index”). The S&P 500® Low Volatility Index is designed to measure the performance of the 100 least volatile stocks of the S&P 500® Index. It is impossible to invest directly in an index.
1
SGI U.S. LARGE CAP EQUITY FUND - CLASS A SHARES
Performance Data (continued)
February 29, 2024 (UNAUDITED)
Average Annual Total Returns for the periods ended February 29, 2024 |
||||||
Six |
One |
Three |
Five |
Since |
||
Class A Shares (without sales charge) (Pro forma February 29, 2012 to October 29, 2015) |
12.05% |
15.91% |
8.44% |
9.59%* |
10.41%* |
|
Class A Shares (with sales charge) (Pro forma February 29, 2012 to October 29, 2015) |
6.16% |
9.80% |
7.29% |
9.59%* |
10.41%* |
|
S&P 500® Low Volatility Index (3) |
6.06% |
6.87% |
6.99% |
9.38% |
10.56% |
* |
Class A Shares performance prior to its inception on October 29, 2015 is the performance of Class I Shares, adjusted for the Class A Shares expense ratio. |
(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 Fund 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, 2023, are 1.22% and 1.23%, 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, 2024 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, 2024 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® Low Volatility Index (“S&P 500® Low Volatility Index”). The S&P 500® Low Volatility Index is designed to measure the performance of the 100 least volatile stocks of the S&P 500® Index. It is impossible to invest directly in an index.
2
SGI U.S. LARGE CAP EQUITY FUND - CLASS C SHARES
Performance Data (continued)
February 29, 2024 (UNAUDITED)
Average Annual Total Returns for the periods ended February 29, 2024 |
||||||
Six |
One |
Three |
Five |
Since |
||
Class C Shares (Pro forma February 29, 2012 to December 31, 2015) |
11.58% |
14.99% |
7.73% |
8.76%* |
9.58%* |
|
S&P 500® Low Volatility Index (3) |
6.06% |
6.87% |
6.99% |
9.38% |
10.56% |
* |
Class C Shares performance prior to its inception on December 31, 2015 is the performance of Class I Shares, adjusted for the Class C Shares expense ratio. |
(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 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, 2023, are 1.97% and 1.98%, 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, 2024 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, 2024 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® Low Volatility Index (“S&P 500® Low Volatility Index”). The S&P 500® Low Volatility Index is designed to measure the performance of the 100 least volatile stocks of the S&P 500® Index. It is impossible to invest directly in an index.
3
SGI GLOBAL EQUITY FUND - CLASS I SHARES
Performance Data (continued)
February 29, 2024 (UNAUDITED)
Average Annual Total Returns for the periods ended February 29, 2024(2) |
||||||
Six |
One |
Five |
Ten |
Since |
||
Class I Shares(3) |
9.69% |
13.93% |
6.93% |
5.64% |
13.32% |
|
MSCI ACWI Index(4) |
11.66% |
23.15% |
10.51% |
8.37% |
11.47% |
(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, 2023, are 1.00% 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, 2024 to the extent the total annual Fund operating expenses (excluding certain items discussed below) exceed 0.84% 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 0.84%: acquired fund fees and expenses, short sale dividend expenses, brokerage commissions, extraordinary items, interest or taxes. The contractual limitation may not be terminated before December 31, 2024 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 0.84% 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 Minimum (USD) Volatility Index (the “MSCI ACWI Index”) is designed to reflect the performance of the lowest volatility optimized version of the parent MSCI index. The MSCI ACWI 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.
4
SGI PRUDENT GROWTH FUND - CLASS I SHARES
Performance Data (continued)
February 29, 2024 (UNAUDITED)
Average Annual Total Returns for the periods ended February 29, 2024 |
||||
Six |
One |
Since |
||
Class I Shares |
8.40% |
12.23% |
4.59%(2) |
|
S&P 500® Index(3) |
13.93% |
30.45% |
14.80% |
|
Composite Index(4) |
9.24% |
19.03% |
7.81% |
(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, 2023 are 1.97% and 2.07%, 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, 2024 to the extent that total annual Fund operating expenses (excluding certain items discussed below) exceed 1.70% of the average daily net assets attributable to the Fund’s 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: acquired fund fees and expenses, fund services administrative fee, short sale dividend expenses, brokerage commissions, extraordinary items, interest or taxes. This contractual limitation may not be terminated before December 31, 2024 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 1.70% 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.
5
SGI PEAK GROWTH FUND - CLASS I SHARES
Performance Data (continued)
February 29, 2024 (UNAUDITED)
Average Annual Total Returns for the periods ended February 29, 2024 |
||||
Six |
One |
Since |
||
Class I Shares |
9.96% |
13.71% |
7.37%(2) |
|
S&P 500® Index(3) |
13.93% |
30.45% |
14.80% |
(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, 2023 are 2.32% and 2.37%, 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, 2024 to the extent that total annual Fund operating expenses (excluding certain items discussed below) exceed 1.70% of the average daily net assets attributable to the Fund’s 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: acquired fund fees and expenses, fund services administrative fee, short sale dividend expenses, brokerage commissions, extraordinary items, interest or taxes. This contractual limitation may not be terminated before December 31, 2024 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 1.70% 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.
6
SGI SMALL CAP CORE FUND - CLASS I SHARES
Performance Data (Concluded)
February 29, 2024 (UNAUDITED)
Average Annual Total Returns for the periods ended February 29, 2024 |
||||||
Six |
One |
Five |
Ten |
Since |
||
Class I Shares |
10.11% |
11.28% |
10.40% |
7.71% |
10.68% |
|
Russell 2000® Index |
8.97% |
10.05% |
6.89% |
7.13% |
8.12% |
(1) |
Not annualized. |
(2) |
Inception date of the Fund is October 1, 1999. |
(3) |
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. 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, 2023, are 1.25% 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, 2024 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, 2024 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.
7
SUMMIT GLOBAL INVESTMENTS
Fund Expense Examples
February 29, 2024 (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, 2023 through February 29, 2024 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 Examples 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 |
Ending |
Expenses |
Annualized |
Actual |
|
Actual |
|||||
Class I Shares |
$ 1,000.00 |
$ 1,121.40 |
$ 5.17 |
0.98% |
12.14% |
Class A Shares |
1,000.00 |
1,120.50 |
6.48 |
1.23 |
12.05 |
Class C Shares |
1,000.00 |
1,115.80 |
10.42 |
1.98 |
11.58 |
Hypothetical (5% return before expenses) |
|||||
Class I Shares |
$ 1,000.00 |
$ 1,019.99 |
$ 4.92 |
0.98% |
N/A |
Class A Shares |
1,000.00 |
1,018.75 |
6.17 |
1.23 |
N/A |
Class C Shares |
1,000.00 |
1,015.02 |
9.92 |
1.98 |
N/A |
8
SUMMIT GLOBAL INVESTMENTS
Fund Expense Examples (CONTINUED)
February 29, 2024 (UNAUDITED)
SGI Global Equity Fund |
|||||
Beginning |
Ending |
Expenses |
Annualized |
Actual |
|
Actual |
|||||
Class I Shares |
$ 1,000.00 |
$ 1,096.90 |
$ 4.38 |
0.84% |
9.69% |
Hypothetical (5% return before expenses) |
|||||
Class I Shares |
$ 1,000.00 |
$ 1,020.69 |
$ 4.22 |
0.84% |
N/A |
SGI Prudent GROWTH Fund |
|||||
Beginning |
Ending |
Expenses |
Annualized |
Actual |
|
Actual |
|||||
Class I Shares |
$ 1,000.00 |
$ 1,084.00 |
$ 6.74 |
1.30% |
8.40% |
Hypothetical (5% return before expenses) |
|||||
Class I Shares |
$ 1,000.00 |
$ 1,018.40 |
$ 6.52 |
1.30% |
N/A |
SGI Peak Growth Fund |
|||||
Beginning |
Ending |
Expenses |
Annualized |
Actual |
|
Actual |
|||||
Class I Shares |
$ 1,000.00 |
$ 1,099.60 |
$ 6.84 |
1.31% |
9.96% |
Hypothetical (5% return before expenses) |
|||||
Class I Shares |
$ 1,000.00 |
$ 1,018.35 |
$ 6.57 |
1.31% |
N/A |
9
SUMMIT GLOBAL INVESTMENTS
Fund Expense Examples (Concluded)
February 29, 2024 (UNAUDITED)
SGI small cap CORE Fund |
|||||
Beginning |
Ending |
Expenses |
Annualized |
Actual |
|
Actual |
|||||
Class I Shares |
$ 1,000.00 |
$ 1,101.10 |
$ 6.43 |
1.23% |
10.11% |
Hypothetical (5% return before expenses) |
|||||
Class I Shares |
$ 1,000.00 |
$ 1,018.75 |
$ 6.17 |
1.23% |
N/A |
* |
Expenses are equal to each Fund’s annualized six-month expense ratio for the period September 1, 2023 to February 29, 2024, multiplied by the average account value over the period, multiplied by the number of days (182) in the most recent fiscal half-year, then divided by 366 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. |
10
SGI U.S. LARGE CAP EQUITY FUND
PORTFOLIO HOLDINGS SUMMARY TABLE
as of February 29, 2024 (UNAUDITED)
The following table presents a summary by sector of the portfolio holdings of the Fund:
SECURITY TYPE /CLASSIFICATION |
% of Net |
Value |
||||||
COMMON STOCKS |
||||||||
Biotechnology |
8.6 | % | $ | 12,953,867 | ||||
Software |
8.5 | 12,719,964 | ||||||
Healthcare-Services |
7.8 | 11,693,922 | ||||||
Pharmaceuticals |
7.7 | 11,613,985 | ||||||
Insurance |
6.7 | 10,092,656 | ||||||
Home Builders |
5.7 | 8,546,620 | ||||||
Internet |
4.7 | 6,990,962 | ||||||
Food |
3.7 | 5,495,700 | ||||||
Cosmetics & Personal Care |
3.4 | 5,184,773 | ||||||
Building Materials |
3.4 | 5,120,977 | ||||||
Transportation |
3.2 | 4,862,721 | ||||||
Aerospace/Defense |
3.1 | 4,611,632 | ||||||
Semiconductors |
2.4 | 3,602,129 | ||||||
Commercial Services |
2.3 | 3,428,929 | ||||||
Telecommunications |
2.2 | 3,354,263 | ||||||
Electric |
2.2 | 3,254,783 | ||||||
Computers |
2.1 | 3,150,078 | ||||||
Beverages |
1.8 | 2,746,175 | ||||||
Household Products/Wares |
1.4 | 2,163,837 | ||||||
Retail |
1.3 | 2,022,270 | ||||||
Media |
0.8 | 1,178,463 | ||||||
REITs |
0.6 | 891,067 | ||||||
Banks |
0.5 | 723,473 | ||||||
Shipbuilding |
0.3 | 512,376 | ||||||
Packaging & Containers |
0.2 | 268,161 | ||||||
Gas |
0.2 | 251,062 | ||||||
Chemicals |
0.2 | 261,029 | ||||||
Hand/Machine Tools |
0.2 | 260,499 | ||||||
EXCHANGE TRADED FUNDS |
||||||||
Exchange Traded Funds |
14.3 | 21,469,933 | ||||||
MONEY MARKET DEPOSIT ACCOUNT |
0.3 | 460,259 | ||||||
OTHER ASSETS IN EXCESS OF LIABILITIES |
0.2 | 242,750 | ||||||
NET ASSETS |
100.0 | % | $ | 150,129,315 |
Portfolio holdings are subject to change at any time.
The accompanying notes are an integral part of the financial statements.
11
SGI U.S. LARGE CAP EQUITY FUND
PORTFOLIO of Investments
as of February 29, 2024 (UNAUDITED)
NUMBER OF |
Value |
|||||||
COMMON STOCKS — 85.2% |
||||||||
Aerospace/Defense — 3.1% |
||||||||
General Dynamics Corp. |
7,632 | $ | 2,085,444 | |||||
Lockheed Martin Corp. |
5,899 | 2,526,188 | ||||||
4,611,632 | ||||||||
Banks — 0.5% |
||||||||
Bank of New York Mellon Corp. |
8,044 | 451,188 | ||||||
State Street Corp. |
3,693 | 272,285 | ||||||
723,473 | ||||||||
Beverages — 1.8% |
||||||||
Coca-Cola Co. |
41,647 | 2,499,653 | ||||||
PepsiCo, Inc. |
1,491 | 246,522 | ||||||
2,746,175 | ||||||||
Biotechnology — 8.6% |
||||||||
Gilead Sciences, Inc. |
3,493 | 251,845 | ||||||
Incyte Corp.(a) |
37,467 | 2,186,574 | ||||||
Regeneron Pharmaceuticals, Inc.(a) |
3,609 | 3,486,619 | ||||||
United Therapeutics Corp.(a) |
11,624 | 2,622,840 | ||||||
Vertex Pharmaceuticals, Inc.(a) |
10,472 | 4,405,989 | ||||||
12,953,867 | ||||||||
Building Materials — 3.4% |
||||||||
Builders FirstSource, Inc.(a) |
7,037 | 1,373,482 | ||||||
Owens Corning |
25,020 | 3,747,495 | ||||||
5,120,977 | ||||||||
Chemicals — 0.2% |
||||||||
LyondellBasell Industries NV - Class A |
2,603 | 261,029 | ||||||
Commercial Services — 2.3% |
||||||||
Automatic Data Processing, Inc. |
13,654 | 3,428,929 | ||||||
Computers — 2.1% |
||||||||
Accenture PLC - Class A |
6,931 | 2,597,600 | ||||||
EPAM Systems, Inc.(a) |
951 | 289,485 | ||||||
NetApp, Inc. |
2,951 | 262,993 | ||||||
3,150,078 | ||||||||
Cosmetics & Personal Care — 3.4% |
||||||||
Colgate-Palmolive Co. |
51,626 | 4,466,682 | ||||||
Procter & Gamble Co. |
4,518 | 718,091 | ||||||
5,184,772 | ||||||||
Electric — 2.2% |
||||||||
Consolidated Edison, Inc. |
2,857 | 249,159 | ||||||
DTE Energy Co. |
2,317 | 251,047 | ||||||
Entergy Corp. |
2,507 | 254,636 | ||||||
Evergy, Inc. |
40,484 | 2,005,578 | ||||||
NextEra Energy, Inc. |
4,438 | 244,933 | ||||||
Southern Co. |
3,709 | 249,430 | ||||||
3,254,783 | ||||||||
Food — 3.7% |
||||||||
Hershey Co. |
23,030 | 4,327,798 | ||||||
Performance Food Group Co.(a) |
15,213 | 1,167,902 | ||||||
5,495,700 | ||||||||
Gas — 0.2% |
||||||||
NiSource, Inc. |
9,634 | 251,062 | ||||||
Hand/Machine Tools — 0.2% |
||||||||
Snap-on, Inc. |
945 | 260,499 | ||||||
Healthcare-Services — 7.8% |
||||||||
Centene Corp.(a) |
23,910 | 1,875,261 | ||||||
Elevance Health, Inc. |
9,217 | 4,620,021 | ||||||
HCA Healthcare, Inc. |
1,234 | 384,638 | ||||||
Humana, Inc. |
686 | 240,320 | ||||||
Molina Healthcare, Inc.(a) |
11,007 | 4,335,767 | ||||||
UnitedHealth Group, Inc. |
482 | 237,915 | ||||||
11,693,922 | ||||||||
Home Builders — 5.7% |
||||||||
DR Horton, Inc. |
27,600 | 4,124,544 | ||||||
Lennar Corp. - Class A |
8,366 | 1,326,095 | ||||||
NVR, Inc.(a) |
406 | 3,095,981 | ||||||
8,546,620 | ||||||||
Household Products/Wares — 1.4% |
||||||||
Clorox Co. |
1,647 | 252,501 | ||||||
Kimberly-Clark Corp. |
15,774 | 1,911,336 | ||||||
2,163,837 | ||||||||
Insurance — 6.7% |
||||||||
American International Group, Inc. |
17,413 | 1,269,234 | ||||||
Cincinnati Financial Corp. |
2,255 | 257,070 | ||||||
Everest Group Ltd. |
5,962 | 2,199,263 | ||||||
Hartford Financial Services Group Inc., (The) |
2,689 | 257,714 | ||||||
Loews Corp. |
16,963 | 1,274,430 | ||||||
MetLife, Inc. |
3,652 | 254,691 | ||||||
Progressive Corp. |
9,924 | 1,881,193 | ||||||
Reinsurance Group of America, Inc. |
1,628 | 287,912 | ||||||
RenaissanceRe Holdings Ltd. |
1,114 | 250,449 | ||||||
Travelers Cos, Inc., (The) |
8,627 | 1,906,222 | ||||||
W R Berkley Corp. |
3,044 | 254,478 | ||||||
10,092,656 | ||||||||
Internet — 4.7% |
||||||||
Alphabet, Inc. - Class A(a) |
21,884 | 3,030,058 | ||||||
GoDaddy, Inc. - Class A(a) |
17,434 | 1,990,091 | ||||||
Meta Platforms, Inc. - Class A |
4,021 | 1,970,813 | ||||||
6,990,962 | ||||||||
Media — 0.8% |
||||||||
Fox Corp. - Class A |
39,559 | 1,178,463 |
The accompanying notes are an integral part of the financial statements.
12
SGI U.S. LARGE CAP EQUITY FUND
PORTFOLIO of Investments (Concluded)
as of February 29, 2024
NUMBER OF |
Value |
|||||||
Packaging & Containers — 0.2% |
||||||||
Packaging Corp. of America |
1,480 | $ | 268,161 | |||||
Pharmaceuticals — 7.7% |
||||||||
AbbVie, Inc. |
4,181 | 736,065 | ||||||
Cardinal Health, Inc. |
38,896 | 4,355,575 | ||||||
Eli Lilly & Co. |
826 | 622,540 | ||||||
McKesson Corp. |
6,650 | 3,467,377 | ||||||
Merck & Co., Inc. |
17,189 | 2,185,581 | ||||||
Neurocrine Biosciences, Inc.(a) |
1,893 | 246,847 | ||||||
11,613,984 | ||||||||
REITS — 0.6% |
||||||||
American Homes 4 Rent - Class A |
7,633 | 282,497 | ||||||
Kimco Realty Corp. |
13,488 | 266,523 | ||||||
Weyerhaeuser Co. |
9,949 | 342,047 | ||||||
891,067 | ||||||||
Retail — 1.3% |
||||||||
Costco Wholesale Corp. |
1,037 | 771,414 | ||||||
McDonald’s Corp. |
3,423 | 1,000,474 | ||||||
Wal-Mart Stores, Inc. |
4,272 | 250,382 | ||||||
2,022,270 | ||||||||
Semiconductors — 2.4% |
||||||||
Applied Materials, Inc. |
1,333 | 268,760 | ||||||
KLA-Tencor Corp. |
486 | 331,598 | ||||||
Micron Technology, Inc. |
3,330 | 301,731 | ||||||
Monolithic Power Systems, Inc. |
358 | 257,774 | ||||||
NVIDIA Corp. |
1,419 | 1,122,599 | ||||||
Qorvo, Inc.(a) |
2,260 | 258,883 | ||||||
QUALCOMM, Inc. |
5,095 | 803,940 | ||||||
Skyworks Solutions, Inc. |
2,448 | 256,844 | ||||||
3,602,129 | ||||||||
Shipbuilding — 0.3% |
||||||||
Huntington Ingalls Industries, Inc. |
1,757 | 512,376 | ||||||
Software — 8.5% |
||||||||
Adobe Systems, Inc.(a) |
4,152 | 2,326,283 | ||||||
Atlassian Corp. - Class A(a) |
1,250 | 259,275 | ||||||
Cadence Design Systems, Inc.(a) |
882 | 268,463 | ||||||
DocuSign, Inc.(a) |
5,139 | 273,754 | ||||||
Electronic Arts, Inc. |
4,503 | 628,078 | ||||||
HubSpot, Inc.(a) |
427 | 264,232 | ||||||
Microsoft Corp. |
6,901 | 2,854,530 | ||||||
PTC, Inc.(a) |
4,399 | 805,061 | ||||||
ServiceNow, Inc.(a) |
2,989 | 2,305,535 | ||||||
Synopsys, Inc.(a) |
467 | 267,932 | ||||||
Workday, Inc. - Class A(a) |
847 | 249,577 | ||||||
Zoom Video Communications, Inc. - Class A(a) |
31,348 | 2,217,244 | ||||||
12,719,964 | ||||||||
Telecommunications — 2.2% |
||||||||
Arista Networks, Inc.(a) |
4,196 | 1,164,558 | ||||||
Cisco Systems, Inc. |
5,216 | 252,298 | ||||||
Motorola Solutions, Inc. |
5,864 | 1,937,407 | ||||||
3,354,263 | ||||||||
Transportation — 3.2% |
||||||||
FedEx Corp. |
5,362 | 1,334,977 | ||||||
Union Pacific Corp. |
8,961 | 2,273,316 | ||||||
United Parcel Service, Inc. - Class B |
8,461 | 1,254,428 | ||||||
4,862,721 | ||||||||
TOTAL COMMON STOCKS (Cost $107,954,130) |
127,956,373 | |||||||
EXCHANGE TRADED FUNDS — 14.3% |
||||||||
Invesco S&P 500 Low Volatility ETF |
83,821 | 5,365,382 | ||||||
iShares Core S&P 500 ETF |
10,523 | 5,371,465 | ||||||
iShares Edge MSCI Min Vol USA ETF |
65,863 | 5,360,589 | ||||||
Vanguard S&P 500 ETF |
11,506 | 5,372,497 | ||||||
TOTAL EXCHANGE TRADED FUNDS (Cost $21,411,749) |
21,469,933 | |||||||
TOTAL INVESTMENTS — 99.5% (Cost $129,365,878) |
149,426,306 | |||||||
Money Market Deposit Account — 0.3%(b) |
460,259 | |||||||
Other Assets in Excess of Liabilities — 0.2% |
242,750 | |||||||
TOTAL NET ASSETS — 100.0% |
$ | 150,129,315 |
Percentages are stated as a percent of net assets.
ETF – Exchange Traded Funds
PLC – Public Limited Company
REIT – Real Estate Investment Trust
(a) |
Non-income producing security. |
(b) |
The U.S. Bank Money Market Deposit Account (the “MMDA”) is a short-term vehicle in which the Fund holds cash balances. The MMDA will bear interest at a variable rate that is determined based on market conditions and is subject to change daily. The MMDA interest rate as of February 29, 2024 was 5.20%. |
The accompanying notes are an integral part of the financial statements.
13
SGI GLOBAL EQUITY FUND
Allocation of Portfolio Holdings by Country
as of February 29, 2024 (UNAUDITED)
COUNTRY |
% of Net |
Value |
||||||
United States |
59.3 | % | $ | 94,476,097 | ||||
Japan |
8.0 | 12,736,880 | ||||||
United Kingdom |
5.3 | 8,355,546 | ||||||
Taiwan |
4.4 | 7,094,055 | ||||||
India |
4.3 | 6,734,694 | ||||||
Israel |
4.0 | 6,457,037 | ||||||
Brazil |
3.1 | 4,991,382 | ||||||
Canada |
2.4 | 3,776,322 | ||||||
Bermuda |
2.2 | 3,473,488 | ||||||
Peru |
2.1 | 3,365,994 | ||||||
Mexico |
1.7 | 2,775,048 | ||||||
Denmark |
1.2 | 1,920,632 | ||||||
Ireland |
1.0 | 1,518,814 | ||||||
Indonesia |
0.5 | 761,747 | ||||||
South Korea |
0.2 | 302,994 | ||||||
France |
0.2 | 298,287 | ||||||
OTHER ASSETS IN EXCESS OF LIABILITIES |
0.1 | 210,469 | ||||||
NET ASSETS |
100.0 | % | $ | 159,249,486 |
Portfolio holdings are subject to change at any time.
The accompanying notes are an integral part of the financial statements.
14
SGI GLOBAL EQUITY FUND
PORTFOLIO HOLDINGS SUMMARY TABLE
as of February 29, 2024 (UNAUDITED)
The following table presents a summary by sector of the portfolio holdings of the Fund:
SECURITY TYPE /CLASSIFICATION |
% of Net |
Value |
||||||
COMMON STOCKS |
||||||||
Pharmaceuticals |
13.6 | % | $ | 21,548,638 | ||||
Insurance |
8.3 | 13,151,730 | ||||||
Telecommunications |
7.2 | 11,364,512 | ||||||
Biotechnology |
5.9 | 9,445,854 | ||||||
Auto Manufacturers |
5.4 | 8,601,988 | ||||||
Software |
5.2 | 8,282,705 | ||||||
Banks |
5.2 | 8,223,579 | ||||||
Retail |
4.7 | 7,248,647 | ||||||
Semiconductors |
4.0 | 6,477,360 | ||||||
Beverages |
4.0 | 6,433,567 | ||||||
Healthcare-Services |
4.0 | 6,409,248 | ||||||
Internet |
3.6 | 5,817,100 | ||||||
Mining |
3.5 | 5,518,213 | ||||||
Cosmetics & Personal Care |
3.3 | 5,295,450 | ||||||
Food |
3.2 | 5,211,387 | ||||||
Iron/Steel |
3.2 | 5,127,886 | ||||||
Aerospace/Defense |
2.3 | 3,725,688 | ||||||
Household Products/Wares |
2.2 | 3,463,523 | ||||||
Electric |
1.9 | 3,048,205 | ||||||
Oil & Gas |
1.3 | 2,065,864 | ||||||
Media |
1.1 | 1,835,571 | ||||||
Gas |
1.1 | 1,730,173 | ||||||
Airlines |
1.0 | 1,518,814 | ||||||
Computers |
0.9 | 1,438,326 | ||||||
Building Materials |
0.7 | 1,104,804 | ||||||
REITs |
0.6 | 961,482 | ||||||
Machinery-Diversified |
0.2 | 318,780 | ||||||
Commercial Services |
0.2 | 311,401 | ||||||
MONEY MARKET DEPOSIT ACCOUNT |
2.1 | 3,358,522 | ||||||
OTHER ASSETS IN EXCESS OF LIABILITIES |
0.1 | 210,469 | ||||||
NET ASSETS |
100.0 | % | $ | 159,249,486 |
Portfolio holdings are subject to change at any time.
The accompanying notes are an integral part of the financial statements.
15
SGI GLOBAL EQUITY FUND
PORTFOLIO of Investments
as of February 29, 2024 (UNAUDITED)
NUMBER OF |
Value |
|||||||
COMMON STOCKS — 97.8% |
||||||||
Aerospace/Defense — 2.3% |
||||||||
Lockheed Martin Corp. |
8,700 | $ | 3,725,688 | |||||
Airlines — 1.0% |
||||||||
Ryanair Holdings PLC - ADR |
10,986 | 1,518,814 | ||||||
Auto Manufacturers — 5.4% |
||||||||
Cummins, Inc. |
1,637 | 439,715 | ||||||
Honda Motor Co. Ltd. - ADR |
151,675 | 5,398,113 | ||||||
Toyota Motor Corp. - ADR |
11,491 | 2,764,160 | ||||||
8,601,988 | ||||||||
Banks — 5.2% |
||||||||
Credicorp Ltd. |
19,698 | 3,365,994 | ||||||
First Horizon Corp. |
22,897 | 322,848 | ||||||
HDFC Bank, Ltd. - ADR |
79,098 | 4,231,743 | ||||||
Shinhan Financial Group Co. Ltd. - ADR |
9,300 | 302,994 | ||||||
8,223,579 | ||||||||
Beverages — 4.0% |
||||||||
Coca-Cola Co. |
60,955 | 3,658,519 | ||||||
Coca-Cola Femsa SAB de CV - ADR |
28,594 | 2,775,048 | ||||||
6,433,567 | ||||||||
Biotechnology — 5.9% |
||||||||
Exelixis, Inc.(a) |
45,702 | 1,000,874 | ||||||
United Therapeutics Corp.(a) |
14,527 | 3,277,872 | ||||||
Vertex Pharmaceuticals, Inc.(a) |
12,281 | 5,167,108 | ||||||
9,445,854 | ||||||||
Building Materials — 0.7% |
||||||||
UFP Industries, Inc. |
9,638 | 1,104,804 | ||||||
Commercial Services — 0.2% |
||||||||
Automatic Data Processing, Inc. |
1,240 | 311,401 | ||||||
Computers — 0.9% |
||||||||
Check Point Software Technologies Ltd.(a) |
8,966 | 1,438,326 | ||||||
Cosmetics & Personal Care — 3.3% |
||||||||
Colgate-Palmolive Co. |
57,597 | 4,983,292 | ||||||
Procter & Gamble Co. |
1,964 | 312,158 | ||||||
5,295,450 | ||||||||
Electric — 1.9% |
||||||||
Consolidated Edison, Inc. |
7,028 | 612,912 | ||||||
National Grid PLC - ADR |
16,810 | 1,120,555 | ||||||
Pinnacle West Capital Corp. |
19,241 | 1,314,738 | ||||||
3,048,205 | ||||||||
Food — 3.2% |
||||||||
Flowers Foods, Inc. |
30,920 | 693,226 | ||||||
Hershey Co. |
24,043 | 4,518,161 | ||||||
5,211,387 | ||||||||
Gas — 1.1% |
||||||||
National Fuel Gas Co. |
35,498 | 1,730,173 | ||||||
Healthcare-Services — 4.0% |
||||||||
Centene Corp.(a) |
3,966 | 311,053 | ||||||
Chemed Corp. |
560 | 350,633 | ||||||
Elevance Health, Inc. |
2,148 | 1,076,685 | ||||||
Ensign Group, Inc. |
2,574 | 321,544 | ||||||
Humana, Inc. |
4,080 | 1,429,306 | ||||||
Molina Healthcare, Inc.(a) |
3,269 | 1,287,692 | ||||||
UnitedHealth Group, Inc. |
3,307 | 1,632,335 | ||||||
6,409,248 | ||||||||
Household Products/Wares — 2.2% |
||||||||
Kimberly-Clark Corp. |
28,584 | 3,463,523 | ||||||
Insurance — 8.3% |
||||||||
American International Group, Inc. |
20,890 | 1,522,672 | ||||||
Axis Capital Holdings Ltd. |
21,933 | 1,372,348 | ||||||
Cincinnati Financial Corp. |
11,974 | 1,365,036 | ||||||
CNA Financial Corp. |
11,900 | 523,005 | ||||||
Everest Group Ltd. |
5,696 | 2,101,140 | ||||||
Loews Corp. |
10,346 | 777,295 | ||||||
Markel Group, Inc.(a) |
200 | 298,496 | ||||||
MetLife, Inc. |
29,043 | 2,025,459 | ||||||
Progressive Corp. |
15,024 | 2,847,949 | ||||||
Reinsurance Group of America, Inc. |
1,800 | 318,330 | ||||||
13,151,730 | ||||||||
Internet — 3.6% |
||||||||
Alphabet, Inc. - Class C(a) |
39,265 | 5,488,462 | ||||||
GoDaddy, Inc. - Class A(a) |
2,879 | 328,638 | ||||||
5,817,100 | ||||||||
Iron/Steel — 3.2% |
||||||||
Commercial Metals Co. |
58,694 | 3,169,476 | ||||||
Vale SA - ADR |
146,041 | 1,958,410 | ||||||
5,127,886 | ||||||||
Machinery-Diversified — 0.2% |
||||||||
Nordson Corp. |
1,200 | 318,780 | ||||||
Media — 1.1% |
||||||||
Thomson Reuters Corp. |
11,633 | 1,835,571 | ||||||
Mining — 3.5% |
||||||||
Agnico Eagle Mines Ltd. |
5,897 | 283,410 | ||||||
Rio Tinto PLC - ADR |
81,122 | 5,234,803 | ||||||
5,518,213 | ||||||||
Oil & Gas — 1.3% |
||||||||
Cenovus Energy, Inc. |
62,716 | 1,093,140 | ||||||
PBF Energy, Inc. - Class A |
14,265 | 666,176 | ||||||
Shell PLC - ADR |
4,879 | 306,548 | ||||||
2,065,864 |
The accompanying notes are an integral part of the financial statements.
16
SGI GLOBAL EQUITY FUND
PORTFOLIO of Investments (Concluded)
as of February 29, 2024 (UNAUDITED)
NUMBER OF |
Value |
|||||||
Pharmaceuticals — 13.6% |
||||||||
Bristol-Myers Squibb Co. |
8,927 | $ | 453,045 | |||||
Cardinal Health, Inc. |
18,693 | 2,093,242 | ||||||
CVS Health Corp. |
6,401 | 476,042 | ||||||
Dr Reddy’s Laboratories Ltd. - ADR |
32,599 | 2,502,951 | ||||||
GSK PLC - ADR |
40,421 | 1,693,640 | ||||||
McKesson Corp. |
2,818 | 1,469,333 | ||||||
Merck & Co., Inc. |
20,725 | 2,635,184 | ||||||
Neurocrine Biosciences, Inc.(a) |
28,604 | 3,729,962 | ||||||
Novo Nordisk AS - ADR |
16,036 | 1,920,632 | ||||||
Takeda Pharmaceutical Co. Ltd. - ADR |
313,544 | 4,574,607 | ||||||
21,548,638 | ||||||||
REITs — 0.6% |
||||||||
American Homes 4 Rent - Class A |
17,139 | 634,314 | ||||||
Welltower, Inc. |
3,550 | 327,168 | ||||||
961,482 | ||||||||
Retail — 4.7% |
||||||||
BJ’s Wholesale Club Holdings, Inc.(a) |
10,486 | 765,897 | ||||||
Costco Wholesale Corp. |
1,874 | 1,394,050 | ||||||
McDonald’s Corp. |
10,687 | 3,123,596 | ||||||
Murphy USA, Inc. |
2,239 | 933,685 | ||||||
Wal-Mart Stores, Inc. |
17,598 | 1,031,419 | ||||||
7,248,647 | ||||||||
Semiconductors — 4.0% |
||||||||
Taiwan Semiconductor Manufacturing Co. Ltd. - ADR |
31,499 | 4,052,976 | ||||||
United Microelectronics Corp. - ADR |
315,675 | 2,424,384 | ||||||
6,477,360 | ||||||||
Software — 5.2% |
||||||||
Electronic Arts, Inc. |
20,151 | 2,810,661 | ||||||
Microsoft Corp. |
13,229 | 5,472,044 | ||||||
8,282,705 | ||||||||
Telecommunications — 7.2% |
||||||||
Chunghwa Telecom Co. Ltd. - ADR |
16,319 | 616,695 | ||||||
Cisco Systems, Inc. |
15,569 | 753,073 | ||||||
Motorola Solutions, Inc. |
965 | 318,826 | ||||||
Nice Ltd. - ADR(a) |
20,472 | 5,018,711 | ||||||
Orange SA - ADR |
25,938 | 298,287 | ||||||
Telefonica Brasil SA - ADR |
164,820 | 1,801,483 | ||||||
Telkom Indonesia Persero Tbk PT - ADR |
29,779 | 761,747 | ||||||
TELUS Corp. |
32,351 | 564,201 | ||||||
TIM SA - ADR |
66,603 | 1,231,489 | ||||||
11,364,512 | ||||||||
TOTAL COMMON STOCKS (Cost $139,423,131) |
155,680,495 | |||||||
TOTAL INVESTMENTS — 97.8% (Cost $139,423,131) |
155,680,495 | |||||||
Money Market Deposit Account — 2.1%(b) |
3,358,522 | |||||||
Other Assets in Excess of Liabilities — 0.1% |
210,469 | |||||||
TOTAL NET ASSETS — 100.0% |
$ | 159,249,486 |
Percentages are stated as a percent of net assets.
ADR - American Depositary Receipt
PLC - Public Limited Company
REIT - Real Estate Investment Trust
(a) |
Non-income producing security. |
(b) |
The U.S. Bank Money Market Deposit Account (the “MMDA”) is a short-term vehicle in which the Fund holds cash balances. The MMDA will bear interest at a variable rate that is determined based on market conditions and is subject to change daily. The MMDA interest rate as of February 29, 2024 was 5.20%. |
The accompanying notes are an integral part of the financial statements.
17
SGI PRUDENT GROWTH FUND
PORTFOLIO HOLDINGS SUMMARY TABLE
as of February 29, 2024 (UNAUDITED)
The following table presents a summary by sector of the portfolio holdings of the Fund:
SECURITY TYPE /CLASSIFICATION |
% of Net |
Value |
||||||
OPEN END FUNDS |
48.1 | % | $ | 11,851,206 | ||||
EXCHANGE TRADED FUNDS |
47.2 | 11,643,254 | ||||||
SHORT-TERM INVESTMENTS |
5.2 | 1,145,743 | ||||||
OTHER ASSETS IN EXCESS OF LIABILITIES |
0.1 | 17,611 | ||||||
NET ASSETS |
100.0 | % | $ | 24,657,814 |
Portfolio holdings are subject to change at any time.
The accompanying notes are an integral part of the financial statements.
18
SGI PRUDENT GROWTH FUND
PORTFOLIO of Investments
as of February 29, 2024 (UNAUDITED)
NUMBER OF |
Value |
|||||||
OPEN END FUNDS — 48.1%(a) |
||||||||
SGI Global Equity Fund - Class I(a) |
151,519 | $ | 5,597,121 | |||||
SGI Small Cap Core Fund - Class I(a)(b) |
108,732 | 3,292,402 | ||||||
SGI U.S. Large Cap Equity Fund - Class I(a) |
153,694 | 2,961,683 | ||||||
TOTAL OPEN END FUNDS (Cost $10,843,440) |
11,851,206 | |||||||
EXCHANGE TRADED FUNDS — 47.2% |
||||||||
iShares Core U.S. Aggregate Bond ETF |
40,210 | 3,914,444 | ||||||
PGIM Ultra Short Bond ETF |
17,270 | 857,628 | ||||||
SGI Dynamic Tactical ETF(a) |
158,630 | 4,489,228 | ||||||
SGI U.S. Large Cap Core ETF(a) |
74,080 | 2,381,954 | ||||||
TOTAL EXCHANGE TRADED FUNDS (Cost $10,858,845) |
11,643,254 | |||||||
TOTAL INVESTMENTS — 95.3% (Cost $21,702,285) |
23,494,460 | |||||||
Money Market Deposit Account — 5.2%(c) |
1,145,743 | |||||||
Other Assets in Excess of Liabilities — 0.1% |
17,611 | |||||||
TOTAL NET ASSETS — 100.0% |
$ | 24,657,814 |
Percentages are stated as a percent of net assets.
(a) |
Affiliated company as defined by the Investment Company Act of 1940. See Note 7. |
(b) |
Non-income producing security. |
(c) |
The U.S. Bank Money Market Deposit Account (the “MMDA”) is a short-term vehicle in which the Fund holds cash balances. The MMDA will bear interest at a variable rate that is determined based on market conditions and is subject to change daily. The MMDA interest rate as of February 29, 2024 was 5.20%. |
ETF - Exchange Traded Funds
The accompanying notes are an integral part of the financial statements.
19
SGI PEAK GROWTH FUND
PORTFOLIO HOLDINGS SUMMARY TABLE
as of February 29, 2024 (UNAUDITED)
The following table presents a summary by sector of the portfolio holdings of the Fund:
SECURITY TYPE /CLASSIFICATION |
% of Net |
Value |
||||||
OPEN END FUNDS |
73.7 | % | $ | 17,514,752 | ||||
EXCHANGE TRADED FUNDS |
23.2 | 5,530,116 | ||||||
SHORT-TERM INVESTMENTS |
5.2 | 749,618 | ||||||
OTHER ASSETS IN EXCESS OF LIABILITIES |
0.0 | 6,226 | ||||||
NET ASSETS |
100.0 | % | $ | 23,800,712 |
Portfolio holdings are subject to change at any time.
The accompanying notes are an integral part of the financial statements.
20
SGI PEAK GROWTH FUND
PORTFOLIO of Investments
as of February 29, 2024 (UNAUDITED)
NUMBER OF |
Value |
|||||||
OPEN END FUNDS — 73.7%(a) |
||||||||
SGI Global Equity Fund - Class I(a) |
188,825 | $ | 6,975,189 | |||||
SGI Small Cap Core Fund - Class I(a)(b) |
209,417 | 6,341,152 | ||||||
SGI U.S. Large Cap Equity Fund - Class I |
217,873 | 4,198,412 | ||||||
TOTAL OPEN END FUNDS (Cost $15,966,437) |
17,514,753 | |||||||
EXCHANGE TRADED FUNDS — 23.2% |
||||||||
iShares Core MSCI EAFE ETF |
9,760 | 700,768 | ||||||
iShares Core MSCI Emerging Markets ETF |
11,460 | 576,896 | ||||||
SGI Dynamic Tactical ETF(a) |
83,280 | 2,356,825 | ||||||
SGI U.S. Large Cap Core ETF(a) |
58,955 | 1,895,627 | ||||||
TOTAL EXCHANGE TRADED FUNDS (Cost $4,847,032) |
5,530,116 | |||||||
TOTAL INVESTMENTS — 96.9% (Cost $20,813,469) |
23,044,869 | |||||||
Money Market Deposit Account — 5.2%(c)(d) |
749,618 | |||||||
Other Assets in Excess of Liabilities — 0.0%(d) |
6,225 | |||||||
TOTAL NET ASSETS — 100.0% |
$ | 23,800,712 |
Percentages are stated as a percent of net assets.
(a) |
Affiliated company as defined by the Investment Company Act of 1940. See Note 7. |
(b) |
Non-income producing security. |
(c) |
The U.S. Bank Money Market Deposit Account (the “MMDA”) is a short-term vehicle in which the Fund holds cash balances. The MMDA will bear interest at a variable rate that is determined based on market conditions and is subject to change daily. The MMDA interest rate as of February 29, 2024 was 5.20%. |
(d) |
Represents less than 0.05% of net assets. |
ETF - Exchange Traded Funds
The accompanying notes are an integral part of the financial statements.
21
SGI SMALL CAP CORE FUND
PORTFOLIO HOLDINGS SUMMARY TABLE
as of February 29, 2024 (UNAUDITED)
The following table presents a summary by sector of the portfolio holdings of the Fund:
SECURITY TYPE /CLASSIFICATION |
% of Net |
Value |
||||||
COMMON STOCKS |
||||||||
Home Builders |
9.6 | % | $ | 13,985,475 | ||||
Software |
8.1 | 11,738,633 | ||||||
Commercial Services |
6.6 | 9,523,585 | ||||||
Insurance |
5.4 | 7,908,873 | ||||||
Building Materials |
5.1 | 7,339,202 | ||||||
Transportation |
4.8 | 6,956,657 | ||||||
REITs |
4.7 | 6,874,981 | ||||||
Diversified Financial Services |
4.5 | 6,531,543 | ||||||
Retail |
3.3 | 4,814,483 | ||||||
Banks |
3.1 | 4,503,461 | ||||||
Healthcare-Services |
2.7 | 3,907,449 | ||||||
Engineering & Construction |
2.5 | 3,586,229 | ||||||
Machinery-Diversified |
2.1 | 3,185,409 | ||||||
Healthcare-Products |
2.1 | 3,039,324 | ||||||
Food |
2.1 | 2,977,447 | ||||||
Electric |
2.0 | 2,925,148 | ||||||
Chemicals |
2.0 | 2,856,098 | ||||||
Biotechnology |
1.9 | 2,773,588 | ||||||
Pharmaceuticals |
1.8 | 2,578,368 | ||||||
Machinery-Construction & Mining |
1.8 | 2,540,199 | ||||||
Semiconductors |
1.7 | 2,552,571 | ||||||
Oil & Gas |
1.7 | 2,504,582 | ||||||
Distribution/Wholesale |
1.7 | 2,427,144 | ||||||
Internet |
1.6 | 2,350,455 | ||||||
Agriculture |
1.4 | 1,974,453 | ||||||
Apparel |
1.3 | 1,937,586 | ||||||
Metal Fabricate/Hardware |
1.2 | 1,786,689 | ||||||
Lodging |
1.1 | 1,566,027 | ||||||
Iron/Steel |
1.0 | 1,464,137 | ||||||
Electrical Components & Equipment |
0.9 | 1,291,006 | ||||||
Leisure Time |
0.8 | 1,109,146 | ||||||
Airlines |
0.8 | 1,099,196 | ||||||
Oil & Gas Services |
0.8 | 1,099,745 | ||||||
Household Products/Wares |
0.7 | 944,518 | ||||||
Packaging & Containers |
0.5 | 783,016 | ||||||
Toys/Games/Hobbies |
0.5 | 746,579 | ||||||
Gas |
0.4 | 576,671 | ||||||
Computers |
0.4 | 521,429 | ||||||
Multi-National |
0.3 | 372,113 | ||||||
Real Estate |
0.2 | 334,766 | ||||||
Miscellaneous Manufacturing |
0.2 | 316,718 | ||||||
Auto Parts & Equipment |
0.1 | 230,616 | ||||||
Electronics |
0.1 | 184,158 | ||||||
Auto Manufacturers |
0.1 | 81,322 |
The accompanying notes are an integral part of the financial statements.
22
SGI SMALL CAP CORE FUND
PORTFOLIO HOLDINGS SUMMARY TABLE (Concluded)
as of February 29, 2024 (UNAUDITED)
SECURITY TYPE /CLASSIFICATION |
% of Net |
Value |
||||||
Aerospace/Defense |
0.0 | % | $ | 73,775 | ||||
Private Equity |
0.0 | 59,764 | ||||||
EXCHANGE TRADED FUNDS |
||||||||
Exchange Traded Funds |
2.7 | 3,855,462 | ||||||
MONEY MARKET DEPOSIT ACCOUNT |
2.1 | 3,012,097 | ||||||
LIABILITIES IN EXCESS OF OTHER ASSETS |
(0.5 | ) | (778,404 | ) | ||||
NET ASSETS |
100.0 | % | $ | 145,023,489 |
Portfolio holdings are subject to change at any time.
The accompanying notes are an integral part of the financial statements.
23
SGI SMALL CAP CORE FUND
PORTFOLIO of Investments
as of February 29, 2024 (UNAUDITED)
NUMBER OF |
Value |
|||||||
COMMON STOCKS — 95.7% |
||||||||
Aerospace/Defense — 0.0%(a) |
||||||||
Moog, Inc. - Class A |
492 | $ | 73,775 | |||||
Agriculture — 1.4% |
||||||||
Andersons, Inc. |
10,249 | 566,565 | ||||||
Dole PLC |
53,014 | 626,095 | ||||||
Fresh Del Monte Produce, Inc. |
32,670 | 781,793 | ||||||
1,974,453 | ||||||||
Airlines — 0.8% |
||||||||
Allegiant Travel Co. |
15,103 | 1,099,196 | ||||||
Apparel — 1.3% |
||||||||
Movado Group, Inc. |
17,835 | 512,043 | ||||||
Oxford Industries, Inc. |
14,060 | 1,425,543 | ||||||
1,937,586 | ||||||||
Auto Manufacturers — 0.1% |
||||||||
REV Group, Inc. |
3,940 | 81,322 | ||||||
Auto Parts & Equipment — 0.1% |
||||||||
Adient PLC(b) |
5,055 | 171,567 | ||||||
Visteon Corp.(b) |
522 | 59,049 | ||||||
230,616 | ||||||||
Banks — 3.1% |
||||||||
Bank of NT Butterfield & Son Ltd. |
13,726 | 410,270 | ||||||
Bank7 Corp. |
2,381 | 66,692 | ||||||
Bankwell Financial Group, Inc. |
2,485 | 63,293 | ||||||
Comerica, Inc. |
4,111 | 203,001 | ||||||
Financial Institutions, Inc. |
4,243 | 77,901 | ||||||
First Financial Corp. |
7,260 | 270,290 | ||||||
Hanmi Financial Corp. |
20,163 | 304,663 | ||||||
Heartland Financial USA, Inc. |
20,219 | 687,446 | ||||||
Meta Financial Group, Inc. |
12,909 | 656,293 | ||||||
Popular, Inc. |
813 | 68,032 | ||||||
Preferred Bank |
8,807 | 632,783 | ||||||
Texas Capital Bancshares, Inc.(b) |
4,344 | 254,776 | ||||||
UMB Financial Corp. |
9,901 | 808,021 | ||||||
4,503,461 | ||||||||
Biotechnology — 1.9% |
||||||||
ANI Pharmaceuticals, Inc.(b) |
18,242 | 1,234,436 | ||||||
Ligand Pharmaceuticals, Inc.(b) |
19,397 | 1,539,152 | ||||||
2,773,588 | ||||||||
Building Materials — 5.1% |
||||||||
American Woodmark Corp.(b) |
15,547 | 1,558,431 | ||||||
Apogee Enterprises, Inc. |
10,591 | 605,911 | ||||||
Boise Cascade Co. |
13,129 | 1,784,362 | ||||||
Eagle Materials, Inc. |
7,828 | 1,984,790 | ||||||
MDU Resources Group, Inc. |
3,061 | 66,363 | ||||||
Building Materials — (Continued) |
||||||||
Summit Materials, Inc. - Class A(b) |
1,785 | 76,237 | ||||||
UFP Industries, Inc. |
11,019 | 1,263,108 | ||||||
7,339,202 | ||||||||
Chemicals — 2.0% |
||||||||
Minerals Technologies, Inc. |
21,786 | 1,576,435 | ||||||
Orion Engineered Carbons SA |
56,773 | 1,279,663 | ||||||
2,856,098 | ||||||||
Commercial Services — 6.6% |
||||||||
Barrett Business Services Inc. |
5,743 | 700,589 | ||||||
Heidrick & Struggles International Inc. |
31,876 | 1,083,784 | ||||||
Herc Holdings, Inc. |
10,166 | 1,613,141 | ||||||
Information Services Group, Inc. |
15,427 | 66,799 | ||||||
Insperity, Inc. |
555 | 56,493 | ||||||
John Wiley & Sons, Inc. - Class A |
44,037 | 1,468,634 | ||||||
Korn/Ferry International |
25,836 | 1,644,720 | ||||||
National Research Corp. |
14,702 | 592,785 | ||||||
Perdoceo Education Corp. |
53,651 | 955,524 | ||||||
PROG Holdings, Inc.(b) |
43,444 | 1,341,116 | ||||||
9,523,585 | ||||||||
Computers — 0.4% |
||||||||
Grid Dynamics Holdings, Inc.(b) |
5,163 | 69,649 | ||||||
Rapid7, Inc.(b) |
1,238 | 72,522 | ||||||
TTEC Holdings, Inc. |
21,734 | 379,258 | ||||||
521,429 | ||||||||
Distribution/Wholesale — 1.7% |
||||||||
Global Industrial Co. |
6,556 | 287,481 | ||||||
H&E Equipment Services, Inc. |
10,204 | 576,424 | ||||||
Rush Enterprises, Inc. - Class A |
14,686 | 715,208 | ||||||
Titan Machinery, Inc.(b) |
33,612 | 848,031 | ||||||
2,427,144 | ||||||||
Diversified Financial Services — 4.5% |
||||||||
Affiliated Managers Group, Inc. |
372 | 58,147 | ||||||
Air Lease Corp. |
33,954 | 1,361,555 | ||||||
Diamond Hill Investment Group, Inc. |
2,712 | 392,372 | ||||||
Enact Holdings, Inc. |
37,843 | 1,049,008 | ||||||
Enova International, Inc.(b) |
28,193 | 1,783,207 | ||||||
International Money Express, Inc.(b) |
2,998 | 59,061 | ||||||
Radian Group, Inc. |
2,129 | 62,039 | ||||||
Regional Management Corp. |
11,077 | 259,202 | ||||||
Victory Capital Holdings, Inc. - Class A |
1,841 | 70,750 | ||||||
Virtus Investment Partners, Inc. |
6,182 | 1,436,202 | ||||||
6,531,543 |
The accompanying notes are an integral part of the financial statements.
24
SGI SMALL CAP CORE FUND
PORTFOLIO of Investments (CONtinued)
as of February 29, 2024 (UNAUDITED)
NUMBER OF |
Value |
|||||||
Electric — 2.0% |
||||||||
ALLETE, Inc. |
24,527 | $ | 1,389,209 | |||||
Black Hills Corp. |
17,619 | 916,717 | ||||||
Northwestern Energy Group, Inc. |
12,922 | 619,222 | ||||||
2,925,148 | ||||||||
Electrical Components & Equipment — 0.9% |
||||||||
EnerSys |
14,051 | 1,291,006 | ||||||
Electronics — 0.1% |
||||||||
Avnet, Inc. |
1,324 | 61,685 | ||||||
Kimball Electronics, Inc.(b) |
2,616 | 58,886 | ||||||
TD SYNNEX Corp. |
612 | 63,587 | ||||||
184,158 | ||||||||
Engineering & Construction — 2.5% |
||||||||
EMCOR Group, Inc. |
4,445 | 1,393,596 | ||||||
Frontdoor, Inc.(b) |
45,197 | 1,417,378 | ||||||
MYR Group, Inc.(b) |
373 | 60,598 | ||||||
Primoris Services Corp. |
18,088 | 714,657 | ||||||
3,586,229 | ||||||||
Food — 2.1% |
||||||||
Ingles Markets, Inc. - Class A |
14,082 | 1,084,455 | ||||||
Seaboard Corp. |
251 | 825,185 | ||||||
SpartanNash Co. |
50,679 | 1,067,807 | ||||||
2,977,447 | ||||||||
Gas — 0.4% |
||||||||
Northwest Natural Holding Co. |
15,696 | 576,671 | ||||||
Healthcare-Products — 2.1% |
||||||||
iRadimed Corp. |
7,088 | 297,483 | ||||||
LeMaitre Vascular, Inc. |
19,376 | 1,356,320 | ||||||
Omnicell, Inc.(b) |
21,395 | 561,405 | ||||||
Semler Scientific, Inc.(b) |
7,823 | 369,011 | ||||||
Surmodics, Inc.(b) |
9,893 | 315,587 | ||||||
Utah Medical Products, Inc. |
1,988 | 139,518 | ||||||
3,039,324 | ||||||||
Healthcare-Services — 2.7% |
||||||||
Addus HomeCare Corp.(b) |
12,162 | 1,122,309 | ||||||
Astrana Health, Inc.(b) |
5,419 | 244,072 | ||||||
Medpace Holdings, Inc.(b) |
3,509 | 1,394,898 | ||||||
National HealthCare Corp. |
9,801 | 966,967 | ||||||
Pennant Group, Inc.(b) |
4,687 | 87,412 | ||||||
Viemed Healthcare, Inc.(b) |
10,850 | 91,791 | ||||||
3,907,449 | ||||||||
Home Builders — 9.6% |
||||||||
Beazer Homes USA, Inc.(b) |
49,589 | 1,553,623 | ||||||
Cavco Industries, Inc.(b) |
3,924 | 1,461,965 | ||||||
Century Communities, Inc. |
15,564 | 1,343,018 | ||||||
Dream Finders Homes, Inc. - Class A(b) |
2,477 | 96,925 | ||||||
Home Builders — (Continued) |
||||||||
Forestar Group, Inc.(b) |
30,359 | 1,023,705 | ||||||
Green Brick Partners, Inc.(b) |
27,027 | 1,581,080 | ||||||
KB Home |
23,363 | 1,552,004 | ||||||
M/I Homes, Inc.(b) |
9,981 | 1,267,487 | ||||||
Meritage Homes Corp. |
9,086 | 1,432,499 | ||||||
Toll Brothers, Inc. |
10,493 | 1,202,918 | ||||||
Tri Pointe Homes, Inc.(b) |
41,556 | 1,470,251 | ||||||
13,985,475 | ||||||||
Household Products/Wares — 0.7% |
||||||||
Quanex Building Products Corp. |
27,314 | 944,518 | ||||||
Insurance — 5.4% |
||||||||
Axis Capital Holdings Ltd. |
27,406 | 1,714,793 | ||||||
Brighthouse Financial, Inc.(b) |
23,693 | 1,102,909 | ||||||
Employers Holdings, Inc. |
12,987 | 593,636 | ||||||
Essent Group Ltd. |
26,229 | 1,405,088 | ||||||
Jackson Financial, Inc. - Class A |
16,425 | 904,196 | ||||||
MGIC Investment Corp. |
35,536 | 706,811 | ||||||
NMI Holdings, Inc. - Class A(b) |
49,250 | 1,481,440 | ||||||
7,908,873 | ||||||||
Internet — 1.6% |
||||||||
Cargurus, Inc.(b) |
14,386 | 318,506 | ||||||
F5, Inc.(b) |
5,675 | 1,062,474 | ||||||
HealthStream, Inc. |
12,378 | 337,672 | ||||||
Squarespace, Inc. - Class A(b) |
2,264 | 75,346 | ||||||
Yelp, Inc.(b) |
14,476 | 556,457 | ||||||
2,350,455 | ||||||||
Iron/Steel — 1.0% |
||||||||
Commercial Metals Co. |
24,322 | 1,313,388 | ||||||
Radius Recycling, Inc. - Class A |
7,629 | 150,749 | ||||||
1,464,137 | ||||||||
Leisure Time — 0.8% |
||||||||
Malibu Boats, Inc. - Class A(b) |
23,659 | 1,032,479 | ||||||
MasterCraft Boat Holdings, Inc.(b) |
3,496 | 76,667 | ||||||
1,109,146 | ||||||||
Lodging — 1.1% |
||||||||
Travel + Leisure Co. |
35,042 | 1,566,027 | ||||||
Machinery-Construction & Mining — 1.8% |
||||||||
Argan, Inc. |
7,617 | 356,933 | ||||||
Manitowoc Co., Inc.(b) |
32,713 | 456,019 | ||||||
Oshkosh Corp. |
13,342 | 1,479,094 | ||||||
Terex Corp. |
4,327 | 248,153 | ||||||
2,540,199 | ||||||||
Machinery-Diversified — 2.1% |
||||||||
AGCO Corp. |
12,548 | 1,376,516 | ||||||
Cactus, Inc. - Class A |
20,641 | 947,422 |
The accompanying notes are an integral part of the financial statements.
25
SGI SMALL CAP CORE FUND
PORTFOLIO of Investments (CONtinued)
as of February 29, 2024 (UNAUDITED)
NUMBER OF |
Value |
|||||||
Machinery-Diversified — (Continued) |
||||||||
Columbus McKinnon Corp. |
17,013 | $ | 710,633 | |||||
DXP Enterprises Inc.(b) |
2,160 | 76,723 | ||||||
Gates Industrial Corp. PLC(b) |
5,035 | 74,115 | ||||||
3,185,409 | ||||||||
Metal Fabricate/Hardware — 1.2% |
||||||||
Mueller Industries, Inc. |
14,011 | 719,885 | ||||||
Ryerson Holding Corp. |
33,781 | 1,066,804 | ||||||
1,786,689 | ||||||||
Miscellaneous Manufacturing — 0.2% |
||||||||
Myers Industries, Inc. |
16,470 | 316,718 | ||||||
Multi-National — 0.3% |
||||||||
Banco Latinoamericano de Comercio Exterior SA |
13,304 | 372,113 | ||||||
Oil & Gas — 1.7% |
||||||||
Amplify Energy Corp.(b) |
8,979 | 54,233 | ||||||
Berry Corp. |
55,847 | 393,722 | ||||||
Chord Energy Corp. |
291 | 47,273 | ||||||
Par Pacific Holdings, Inc.(b) |
43,735 | 1,579,708 | ||||||
SM Energy Co. |
9,816 | 429,646 | ||||||
2,504,582 | ||||||||
Oil & Gas Services — 0.8% |
||||||||
DNOW, Inc.(b) |
63,953 | 904,935 | ||||||
Solaris Oilfield Infrastructure, Inc. - Class A |
23,000 | 194,810 | ||||||
1,099,745 | ||||||||
Packaging & Containers — 0.5% |
||||||||
Clearwater Paper Corp.(b) |
1,694 | 66,557 | ||||||
Greif, Inc. - Class A |
4,446 | 286,589 | ||||||
Greif, Inc. - Class B |
847 | 54,225 | ||||||
Karat Packaging, Inc. |
12,695 | 375,645 | ||||||
783,016 | ||||||||
Pharmaceuticals — 1.8% |
||||||||
Catalyst Pharmaceuticals Partners, Inc.(b) |
103,596 | 1,660,644 | ||||||
Harmony Biosciences Holdings, Inc.(b) |
16,173 | 519,153 | ||||||
Ironwood Pharmaceuticals, Inc.(b) |
5,561 | 52,440 | ||||||
Nature’s Sunshine Products, Inc.(b) |
3,913 | 69,456 | ||||||
USANA Health Sciences, Inc.(b) |
5,733 | 276,675 | ||||||
2,578,368 | ||||||||
Private Equity — 0.0%(a) |
||||||||
Patria Investments Ltd. - Class A |
4,011 | 59,764 | ||||||
Real Estate — 0.2% |
||||||||
Newmark Group, Inc. - Class A |
7,558 | 81,551 | ||||||
RMR Group, Inc. - Class A |
10,348 | 253,215 | ||||||
334,766 | ||||||||
REITS — 4.7% |
||||||||
Alexander & Baldwin, Inc. |
35,632 | 579,376 | ||||||
American Assets Trust, Inc. |
46,217 | 996,901 | ||||||
Broadstone Net Lease, Inc. |
46,844 | 698,444 | ||||||
Equity Commonwealth(b) |
80,750 | 1,520,523 | ||||||
Four Corners Property Trust, Inc. |
2,711 | 65,552 | ||||||
Innovative Industrial Properties, Inc. |
14,948 | 1,464,754 | ||||||
Kilroy Realty Corp. |
35,967 | 1,362,790 | ||||||
NexPoint Residential Trust, Inc. |
1,590 | 46,444 | ||||||
Park Hotels & Resorts, Inc. |
4,472 | 74,235 | ||||||
Xenia Hotels & Resorts, Inc. |
4,300 | 65,962 | ||||||
6,874,981 | ||||||||
Retail — 3.3% |
||||||||
American Eagle Outfitters, Inc. |
33,850 | 803,937 | ||||||
AutoNation, Inc.(b) |
480 | 71,904 | ||||||
BlueLinx Holdings, Inc.(b) |
10,302 | 1,306,809 | ||||||
GMS, Inc.(b) |
16,289 | 1,454,771 | ||||||
Group 1 Automotive, Inc. |
180 | 48,717 | ||||||
Haverty Furniture Cos., Inc. |
1,951 | 66,919 | ||||||
PriceSmart, Inc. |
12,615 | 1,061,426 | ||||||
4,814,483 | ||||||||
Semiconductors — 1.7% |
||||||||
ACM Research, Inc. - Class A(b) |
32,802 | 1,014,238 | ||||||
Alpha & Omega Semiconductor Ltd.(b) |
9,046 | 198,107 | ||||||
Axcelis Technologies, Inc.(b) |
10,765 | 1,212,892 | ||||||
IPG Photonics Corp.(b) |
698 | 60,272 | ||||||
Vishay Precision Group, Inc.(b) |
1,941 | 67,062 | ||||||
2,552,571 | ||||||||
Software — 8.1% |
||||||||
Appfolio, Inc. - Class A(b) |
8,430 | 2,040,819 | ||||||
Appian Corp. - Class A(b) |
16,185 | 564,047 | ||||||
BigCommerce Holdings, Inc.(b) |
31,793 | 246,396 | ||||||
Braze, Inc. - Class A(b) |
24,834 | 1,413,054 | ||||||
CommVault Systems, Inc.(b) |
19,844 | 1,899,269 | ||||||
eGain Corp.(b) |
8,115 | 49,745 | ||||||
Freshworks, Inc. - Class A(b) |
53,143 | 1,086,243 | ||||||
Gitlab, Inc. - Class A(b) |
1,147 | 82,722 | ||||||
Health Catalyst, Inc.(b) |
75,072 | 624,599 | ||||||
Olo, Inc. - Class A(b) |
129,900 | 756,018 | ||||||
Sapiens International Corp. NV |
2,536 | 78,033 | ||||||
Smartsheet, Inc. - Class A(b) |
34,402 | 1,452,108 |
The accompanying notes are an integral part of the financial statements.
26
SGI SMALL CAP CORE FUND
PORTFOLIO of Investments (COncluded)
as of February 29, 2024 (UNAUDITED)
NUMBER OF |
Value |
|||||||
Workiva, Inc.(b) |
2,900 | $ | 249,748 | |||||
Zuora, Inc. - Class A(b) |
147,999 | 1,195,832 | ||||||
11,738,633 | ||||||||
Toys/Games/Hobbies — 0.5% |
||||||||
JAKKS Pacific, Inc.(b) |
21,264 | 746,579 | ||||||
Transportation — 4.8% |
||||||||
Ardmore Shipping Corp. |
69,483 | 1,127,709 | ||||||
Covenant Logistics Group, Inc. |
6,562 | 319,438 | ||||||
Forward Air Corp. |
6,036 | 224,117 | ||||||
Hub Group, Inc. - Class A(b) |
29,222 | 1,242,812 | ||||||
Matson, Inc. |
14,340 | 1,592,457 | ||||||
Ryder System, Inc. |
1,806 | 206,065 | ||||||
Schneider National, Inc. - Class B |
2,732 | 64,338 | ||||||
Teekay Corp.(b) |
89,692 | 678,969 | ||||||
Teekay Tankers Ltd. - Class A |
27,376 | 1,500,752 | ||||||
6,956,657 | ||||||||
TOTAL COMMON STOCKS (Cost $128,036,148) |
138,934,334 | |||||||
EXCHANGE TRADED FUNDS — 2.7% |
||||||||
iShares Core S&P Small-Cap ETF |
14,209 | 1,525,336 | ||||||
iShares Russell 2000 ETF |
3,872 | 788,843 | ||||||
Vanguard Russell 2000 ETF |
18,739 | 1,541,283 | ||||||
TOTAL EXCHANGE TRADED FUNDS (Cost $3,790,335) |
3,855,462 | |||||||
TOTAL INVESTMENTS — 98.4% (Cost $131,826,483) |
142,789,796 | |||||||
Money Market Deposit Account — 2.1%(c) |
3,012,097 | |||||||
Liabilities in Excess of Other Assets — (0.5)% |
(778,404 | ) | ||||||
TOTAL NET ASSETS — 100.0% |
$ | 145,023,489 |
Percentages are stated as a percent of net assets.
ETF - Exchange Traded Funds
PLC - Public Limited Company
REIT - Real Estate Investment Trust
(a) |
Represents less than 0.05% of net assets. |
(b) |
Non-income producing security. |
(c) |
The U.S. Bank Money Market Deposit Account (the “MMDA”) is a short-term vehicle in which the Fund holds cash balances. The MMDA will bear interest at a variable rate that is determined based on market conditions and is subject to change daily. The MMDA interest rate as of February 29, 2024 was 5.20%. |
The accompanying notes are an integral part of the financial statements.
27
SUMMIT GLOBAL INVESTMENTS
Statements of Assets and Liabilities
February 29, 2024 (UNAUDITED)
SGI U.S. |
SGI Global |
|||||||
ASSETS |
||||||||
Investments, at fair value: |
||||||||
Unaffiliated investments (cost $129,365,879 and $139,423,131, respectively) |
$ | 149,426,306 | $ | 155,680,495 | ||||
Affiliated investments ($— and $—, respectively) (see Note 7) |
— | — | ||||||
Short-term investments (cost $460,259 and $3,358,522, respectively) |
460,259 | 3,358,522 | ||||||
Receivables for: |
||||||||
Investments sold |
1,831,597 | — | ||||||
Capital shares sold |
50,645 | 46,835 | ||||||
Dividends |
523,198 | 321,457 | ||||||
Prepaid expenses and other assets |
68,516 | 26,286 | ||||||
Total assets |
$ | 152,360,521 | $ | 159,433,595 | ||||
LIABILITIES |
||||||||
Payables for: |
||||||||
Capital shares redeemed |
$ | 1,873,902 | $ | 47,422 | ||||
Advisory fees |
165,411 | 67,640 | ||||||
Due to Custodian |
6,507 | 738 | ||||||
Other accrued expenses and liabilities |
185,386 | 68,309 | ||||||
Total liabilities |
2,231,206 | 184,109 | ||||||
Net assets |
$ | 150,129,315 | $ | 159,249,486 | ||||
NET ASSETS CONSIST OF: |
||||||||
Par value |
$ | 7,791 | $ | 4,311 | ||||
Paid-in capital |
69,366,801 | 140,077,597 | ||||||
Total distributable earnings/(loss) |
80,754,723 | 19,167,578 | ||||||
Net assets |
$ | 150,129,315 | $ | 159,249,486 | ||||
CLASS I SHARES: |
||||||||
Net assets applicable to Class I Shares |
$ | 121,124,064 | $ | 159,249,486 | ||||
Shares outstanding ($0.001 par value, 100,000,000 shares authorized) |
6,285,162 | 4,311,117 | ||||||
Net asset value, offering and redemption price per share |
$ | 19.27 | $ | 36.94 | ||||
CLASS A Shares: |
||||||||
Net assets applicable to Class A Shares |
$ | 26,915,836 | $ | — | ||||
Shares outstanding ($0.001 par value, 100,000,000 shares authorized) |
1,392,583 | — | ||||||
Net asset value and redemption price per share |
$ | 19.33 | $ | — | ||||
Maximum offering price per share (100/94.75 of $19.33) |
$ | 20.40 | — | |||||
CLASS C Shares: |
||||||||
Net assets applicable to Class C Shares |
$ | 2,089,415 | $ | — | ||||
Shares outstanding ($0.001 par value, 100,000,000 shares authorized) |
113,047 | — | ||||||
Net asset value, offering and redemption price per share |
$ | 18.48 | $ | — |
The accompanying notes are an integral part of the financial statements.
28
SUMMIT GLOBAL INVESTMENTS
Statements of Assets and Liabilities (Concluded)
February 29, 2024 (UNAUDITED)
SGI prudent |
SGI PEAK |
SGI SMALL |
||||||||||
ASSETS |
||||||||||||
Investments, at fair value |
||||||||||||
Unaffiliated investments (cost $4,899,609, $1,205,105 and $131,826,483, respectively) |
$ | 4,772,072 | $ | 1,277,665 | $ | 142,789,796 | ||||||
Affiliated investments (cost $16,802,676, $19,608,364 and $—, respectively) (see Note 7) |
18,722,388 | 21,767,204 | — | |||||||||
Short-term investments (cost $1,145,743, $749,618 and $3,012,097, respectively) |
1,145,743 | 749,618 | 3,012,097 | |||||||||
Receivables for: |
||||||||||||
Capital shares sold |
37,099 | 32,845 | 24,845 | |||||||||
Dividends |
7,266 | 2,294 | 132,866 | |||||||||
Prepaid expenses and other assets |
9,794 | 9,080 | 24,119 | |||||||||
Total assets |
$ | 24,694,362 | $ | 23,838,706 | $ | 145,983,723 | ||||||
LIABILITIES |
||||||||||||
Investments Purchased |
$ | — | $ | — | $ | 786,514 | ||||||
Payables for: |
||||||||||||
Capital shares redeemed |
— | — | 24,208 | |||||||||
Advisory fees |
14,416 | 13,466 | 104,461 | |||||||||
Due to Custodian |
357 | — | 553 | |||||||||
Other accrued expenses and liabilities |
21,775 | 24,528 | 44,498 | |||||||||
Total liabilities |
36,548 | 37,994 | 960,234 | |||||||||
Net assets |
$ | 24,657,814 | $ | 23,800,712 | $ | 145,023,489 | ||||||
NET ASSETS CONSIST OF: |
||||||||||||
Par value |
$ | 2,224 | $ | 2,051 | $ | 4,789 | ||||||
Paid-in capital |
22,982,194 | 21,855,227 | 137,309,088 | |||||||||
Total distributable earnings/(loss) |
1,673,396 | 1,943,434 | 7,709,612 | |||||||||
Net assets |
$ | 24,657,814 | $ | 23,800,712 | $ | 145,023,489 | ||||||
CLASS I SHARES: |
||||||||||||
Net assets applicable to Class I Shares |
$ | 24,657,814 | $ | 23,800,712 | $ | 145,023,489 | ||||||
Shares outstanding ($0.001 par value, 100,000,000 shares authorized) |
2,223,890 | 2,051,027 | 4,789,199 | |||||||||
Net asset value, offering and redemption price per share |
$ | 11.09 | $ | 11.60 | $ | 30.28 |
The accompanying notes are an integral part of the financial statements.
29
SUMMIT GLOBAL INVESTMENTS
Statements of Operations
FOR THE SIX mONTHS ENDED February 29, 2024 (UNAUDITED)
SGI U.S. |
SGI Global |
|||||||
INVESTMENT INCOME |
||||||||
Dividends |
||||||||
Dividends from unaffiliated investments |
$ | 3,019,913 | $ | 1,343,039 | (1) | |||
Dividends from affiliated investments (see Note 7) |
— | — | ||||||
Interest |
180,865 | 65,865 | ||||||
Total investment income |
3,200,778 | 1,408,904 | ||||||
EXPENSES |
||||||||
Advisory fees (Note 2) |
1,181,125 | 537,862 | ||||||
Transfer agent fees (Note 2) |
206,198 | 93,704 | ||||||
Administration and accounting fees (Note 2) |
75,355 | 35,908 | ||||||
Legal fees |
47,879 | 20,939 | ||||||
Director fees |
32,669 | 13,652 | ||||||
Officer fees |
32,519 | 11,837 | ||||||
Distribution fees - Class A Shares |
35,243 | — | ||||||
Distribution fees - Class C Shares |
11,248 | — | ||||||
Printing and shareholder reporting fees |
— | — | ||||||
Registration and filing fees |
25,531 | 12,226 | ||||||
Audit and tax service fees |
16,363 | 16,065 | ||||||
Distribution fees - Class C Shares |
— | — | ||||||
Custodian fees (Note 2) |
8,582 | 3,087 | ||||||
Other expenses |
8,455 | 7,876 | ||||||
Total expenses before waivers and/or reimbursements |
1,681,167 | 753,156 | ||||||
(Waivers and/or reimbursements) net of amounts recouped (Note 2) |
18,897 | (107,721 | ) | |||||
Net expenses after waivers and/or reimbursements net of amounts recouped |
1,700,064 | 645,435 | ||||||
Net investment income/(loss) |
1,500,714 | 763,469 | ||||||
NET REALIZED AND UNREALIZED GAIN/(LOSS) FROM INVESTMENTS |
||||||||
Net realized gain/(loss) from investments |
||||||||
Unaffiliated investments |
60,605,936 | 5,166,685 | ||||||
Affiliated investments (see Note 7) |
— | — | ||||||
Distributions from unaffiliated investments |
— | — | ||||||
Distributions from affiliated investments (see Note 7) |
— | — | ||||||
Net change in unrealized appreciation/(depreciation) on investments |
||||||||
Unaffiliated investments |
(24,661,723 | ) | 8,742,561 | |||||
Affiliated mutual fund (see Note 7) |
— | — | ||||||
Net realized and unrealized gain/(loss) on investments |
35,944,213 | 13,909,246 | ||||||
NET INCREASE/(DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS |
$ | 37,444,927 | $ | 14,672,715 |
(1) |
Net of foreign withholding taxes of $58,123. |
The accompanying notes are an integral part of the financial statements.
30
SUMMIT GLOBAL INVESTMENTS
Statements of Operations (Concluded)
FOR THE SIX MONTHS ENDED February 29, 2024 (UNAUDITED)
SGI prudent |
SGI PEAK |
SGI SMALL |
||||||||||
INVESTMENT INCOME |
||||||||||||
Dividends |
||||||||||||
Dividends from unaffiliated investments |
$ | 83,065 | $ | 19,883 | $ | 911,848 | (1) | |||||
Dividends from affiliated investments (see Note 7) |
141,942 | 150,166 | — | |||||||||
Interest |
29,940 | 12,247 | 55,560 | |||||||||
Total investment income |
254,947 | 182,296 | 967,408 | |||||||||
EXPENSES |
||||||||||||
Advisory fees (Note 2) |
83,852 | 78,625 | 545,833 | |||||||||
Audit and tax service fees |
15,539 | 15,539 | 16,191 | |||||||||
Registration and filing fees |
12,796 | 12,916 | 15,100 | |||||||||
Transfer agent fees (Note 2) |
11,031 | 9,928 | 41,112 | |||||||||
Administration and accounting fees (Note 2) |
10,844 | 9,977 | 27,623 | |||||||||
Legal fees |
3,231 | 2,818 | 13,465 | |||||||||
Director fees |
2,283 | 1,849 | 9,032 | |||||||||
Officer fees |
1,999 | 1,596 | 7,951 | |||||||||
Custodian Fees (Note 2) |
1,327 | — | 6,792 | |||||||||
Printing and shareholder reporting fees |
20 | — | — | |||||||||
Other expenses |
2,282 | 4,562 | 5,868 | |||||||||
Total expenses before waivers and/or reimbursements |
145,204 | 137,810 | 688,967 | |||||||||
(Waivers and/or reimbursements) net of amounts recouped (Note 2) |
— | — | 17,743 | |||||||||
Net expenses after waivers and/or reimbursements net of amounts recouped |
145,204 | 137,810 | 706,710 | |||||||||
Net investment income/(loss) |
109,743 | 44,486 | 260,698 | |||||||||
NET REALIZED AND UNREALIZED GAIN/(LOSS) FROM INVESTMENTS |
||||||||||||
Net realized gain/(loss) from investments |
||||||||||||
Unaffiliated investments |
— | — | 2,645,796 | |||||||||
Affiliated investments (see Note 7) |
158,458 | 141,391 | — | |||||||||
Distributions from unaffiliated investments |
— | — | — | |||||||||
Distributions from affiliated investments (see Note 7) |
138,238 | 178,437 | — | |||||||||
Net change in unrealized appreciation/ (depreciation) on investments |
||||||||||||
Unaffiliated investments |
28,758 | 63,976 | 8,935,566 | |||||||||
Affiliated investments (see Note 7) |
1,483,850 | 1,724,829 | — | |||||||||
Net realized and unrealized gain/(loss) on investments |
1,809,304 | 2,108,633 | 11,581,362 | |||||||||
NET INCREASE/(DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS |
$ | 1,919,047 | $ | 2,153,119 | $ | 11,842,060 |
(1) |
Net of foreign withholding taxes of $422. |
The accompanying notes are an integral part of the financial statements.
31
SGI U.S. LARGE CAP EQUITY FUND
Statements of Changes in Net Assets
FOR THE Six |
FOR THE |
|||||||
INCREASE/(DECREASE) IN NET ASSETS FROM OPERATIONS: |
||||||||
Net investment income/(loss) |
$ | 1,500,714 | $ | 3,909,918 | ||||
Net realized gain/(loss) on investments |
||||||||
Unaffiliated investments |
60,605,936 | 17,344,683 | ||||||
Affliliated investments (see Note 7) |
— | — | ||||||
Distributions from unaffiliated investments |
— | — | ||||||
Distributions from affiliated investments (see Note 7) |
— | — | ||||||
Net change in unrealized appreciation/(depreciation) on investments |
||||||||
Unaffiliated investments |
(24,661,723 | ) | 1,974,967 | |||||
Affliliated investments (see Note 7) |
— | — | ||||||
Net increase/(decrease) in net assets resulting from operations |
37,444,927 | 23,229,568 | ||||||
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS: |
||||||||
Distributable earnings |
||||||||
Net investment income |
||||||||
Class I Shares |
(2,850,750 | ) | (19,244,500 | ) | ||||
Class A Shares |
(180,668 | ) | (1,382,773 | ) | ||||
Class C Shares |
(294 | ) | (96,977 | ) | ||||
Total net investment income |
(3,031,712 | ) | (20,724,250 | ) | ||||
Net realized capital gains |
||||||||
Class I Shares |
(11,160,298 | ) | — | |||||
Class A Shares |
(1,012,344 | ) | — | |||||
Class C Shares |
(86,325 | ) | — | |||||
Total Distributable Earnings |
(12,258,967 | ) | — | |||||
Net decrease in net assets from dividends and distributions to shareholders |
(15,290,679 | ) | (20,724,250 | ) | ||||
The accompanying notes are an integral part of the financial statements.
32
SGI U.S. LARGE CAP EQUITY FUND
Statements of Changes in Net Assets (Concluded)
FOR THE Six |
FOR THE |
|||||||
INCREASE/(DECREASE) IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS: |
||||||||
Class I Shares |
||||||||
Proceeds from shares sold |
17,936,096 | 48,850,931 | ||||||
Reinvestment of distributions |
13,978,702 | 19,066,017 | ||||||
Shares redeemed |
(282,212,123 | ) | (110,308,065 | ) | ||||
Total from Class I Shares |
(250,297,325 | ) | (42,391,117 | ) | ||||
Class A Shares |
||||||||
Proceeds from shares sold |
524,626 | 6,201,827 | ||||||
Reinvestment of distributions |
1,192,151 | 1,381,238 | ||||||
Shares redeemed |
(8,007,277 | ) | (4,889,029 | ) | ||||
Total from Class A Shares |
(6,290,500 | ) | 2,694,036 | |||||
Class C Shares |
||||||||
Proceeds from shares sold |
31,074 | 121,554 | ||||||
Reinvestment of distributions |
86,007 | 96,321 | ||||||
Shares redeemed |
(486,455 | ) | (473,379 | ) | ||||
Total from Class C Shares |
(369,374 | ) | (255,504 | ) | ||||
Net increase/(decrease) in net assets from capital share transactions |
(256,957,199 | ) | (39,952,585 | ) | ||||
Total increase/(decrease) in net assets |
(234,802,951 | ) | (37,447,267 | ) | ||||
NET ASSETS: |
||||||||
Beginning of period |
384,932,266 | 422,379,533 | ||||||
End of period |
$ | 150,129,315 | $ | 384,932,266 | ||||
SHARES TRANSACTIONS: |
||||||||
Class I Shares |
||||||||
Shares sold |
980,278 | 2,762,128 | ||||||
Shares reinvested |
766,778 | 1,069,285 | ||||||
Shares redeemed |
(14,984,396 | ) | (6,239,269 | ) | ||||
Total from Class I Shares |
(13,237,340 | ) | (2,407,856 | ) | ||||
Class A Shares |
||||||||
Shares sold |
28,919 | 350,650 | ||||||
Shares reinvested |
65,363 | 77,361 | ||||||
Shares redeemed |
(437,372 | ) | (274,723 | ) | ||||
Total from Class A Shares |
(343,090 | ) | 153,288 | |||||
Class C Shares |
||||||||
Shares sold |
1,774 | 7,199 | ||||||
Shares reinvested |
4,965 | 5,649 | ||||||
Shares redeemed |
(27,132 | ) | (28,153 | ) | ||||
Total from Class C Shares |
(20,393 | ) | (15,305 | ) | ||||
Net increase/(decrease) in shares outstanding |
(13,600,823 | ) | (2,269,873 | ) |
The accompanying notes are an integral part of the financial statements.
33
SGI GLOBAL EQUITY FUND
Statements of Changes in Net Assets
FOR THE Six |
FOR THE |
|||||||
INCREASE/(DECREASE) IN NET ASSETS FROM OPERATIONS: |
||||||||
Net investment income/(loss) |
$ | 763,469 | $ | 1,780,348 | ||||
Net realized gain/(loss) from investments |
||||||||
Unaffiliated investments |
5,166,685 | (1,631,160 | ) | |||||
Affiliated investments (see Note 7) |
— | — | ||||||
Distributions from unaffiliated investments |
— | — | ||||||
Distributions from affiliated investments (see Note 7) |
— | — | ||||||
Net change in unrealized appreciation/(depreciation) on investments |
||||||||
Unaffiliated investments |
8,742,561 | 8,032,739 | ||||||
Affiliated investments (see Note 7) |
— | — | ||||||
Net increase/(decrease) in net assets resulting from operations |
14,672,715 | 8,181,927 | ||||||
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS: |
||||||||
Total distributable earnings |
(2,003,073 | ) | (4,229,443 | ) | ||||
Net decrease in net assets from dividends and distributions to shareholders |
(2,003,073 | ) | (4,229,443 | ) | ||||
INCREASE/(DECREASE) IN NET ASSETS DERIVED FROM CAPITAL SHARE TRANSACTIONS: |
||||||||
Class I Shares |
||||||||
Proceeds from shares sold |
28,764,061 | 42,896,182 | ||||||
Reinvestment of distributions |
2,000,278 | 4,221,767 | ||||||
Shares redeemed |
(34,481,446 | ) | (19,033,537 | ) | ||||
Net increase/(decrease) in net assets from capital share transactions |
(3,717,107 | ) | 28,084,412 | |||||
Total increase/(decrease) in net assets |
8,952,535 | 32,036,896 | ||||||
NET ASSETS: |
||||||||
Beginning of period |
150,296,951 | 118,260,055 | ||||||
End of period |
$ | 159,249,486 | $ | 150,296,951 | ||||
SHARES TRANSACTIONS: |
||||||||
Class I Shares |
||||||||
Shares sold |
825,691 | 1,284,747 | ||||||
Shares reinvested |
56,601 | 128,236 | ||||||
Shares redeemed |
(977,645 | ) | (572,849 | ) | ||||
Net increase/(decrease) in shares outstanding |
(95,353 | ) | 840,134 |
The accompanying notes are an integral part of the financial statements.
34
SGI PRUDENT GROWTH FUND
Statements of Changes in Net Assets
FOR THE Six |
FOR THE |
|||||||
INCREASE/(DECREASE) IN NET ASSETS FROM OPERATIONS: |
||||||||
Net investment income/(loss) |
$ | 109,743 | $ | 47,006 | ||||
Net realized gain/(loss) on investments |
||||||||
Unaffiliated investments |
— | (105,023 | ) | |||||
Affiliated investments (see Note 7) |
158,458 | (193,894 | ) | |||||
Distributions from unaffiliated investments |
— | — | ||||||
Distributions from affiliated investments (see Note 7) |
138,238 | 182,199 | ||||||
Net change in unrealized appreciation/(depreciation) on investments |
||||||||
Unaffiliated investments |
28,758 | 176,986 | ||||||
Affiliated investments (see Note 7) |
1,483,850 | 809,842 | ||||||
Net increase/(decrease) in net assets resulting from operations |
1,919,047 | 917,116 | ||||||
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS: |
||||||||
Total distributable earnings |
(114,358 | ) | (23,212 | ) | ||||
Net decrease in net assets from dividends and distributions to shareholders |
(114,358 | ) | (23,212 | ) | ||||
INCREASE/(DECREASE) IN NET ASSETS DERIVED FROM CAPITAL SHARE TRANSACTIONS: |
||||||||
Class I Shares |
||||||||
Proceeds from shares sold |
4,582,079 | 8,960,109 | ||||||
Reinvestment of distributions |
114,358 | 23,212 | ||||||
Shares redeemed |
(3,060,079 | ) | (4,187,290 | ) | ||||
Net increase/(decrease) in net assets from capital share transactions |
1,636,358 | 4,796,031 | ||||||
Total increase/(decrease) in net assets |
3,441,047 | 5,689,935 | ||||||
NET ASSETS: |
||||||||
Beginning of period |
21,216,767 | 15,526,832 | ||||||
End of period |
$ | 24,657,814 | $ | 21,216,767 | ||||
SHARES TRANSACTIONS: |
||||||||
Class I Shares |
||||||||
Shares sold |
439,227 | 893,341 | ||||||
Shares reinvested |
10,579 | 2,400 | ||||||
Shares redeemed |
(290,503 | ) | (416,101 | ) | ||||
Net increase/(decrease) in shares outstanding |
159,303 | 479,640 |
The accompanying notes are an integral part of the financial statements.
35
SGI PEAK GROWTH FUND
Statements of Changes in Net Assets
FOR THE Six |
FOR THE |
|||||||
INCREASE/(DECREASE) IN NET ASSETS FROM OPERATIONS: |
||||||||
Net investment income/(loss) |
$ | 44,486 | $ | (81,588 | ) | |||
Net realized gain/(loss) on investments |
||||||||
Unaffiliated investments |
— | 37,722 | ||||||
Affiliated investments (see Note 7) |
141,391 | (106,896 | ) | |||||
Distributions from unaffiliated investments |
— | — | ||||||
Distributions from affiliated investments (see Note 7) |
178,437 | 211,725 | ||||||
Net change in unrealized appreciation/(depreciation) on investments |
||||||||
Unaffiliated investments |
63,976 | 84,217 | ||||||
Affiliated investments (see Note 7) |
1,724,829 | 761,919 | ||||||
Net increase/(decrease) in net assets resulting from operations |
2,153,119 | 907,099 | ||||||
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS: |
||||||||
Total distributable earnings |
(131,475 | ) | (1,109 | ) | ||||
Net decrease in net assets from dividends and distributions to shareholders |
(131,475 | ) | (1,109 | ) | ||||
INCREASE/(DECREASE) IN NET ASSETS DERIVED FROM CAPITAL SHARE TRANSACTIONS: |
||||||||
Class I Shares |
||||||||
Proceeds from shares sold |
4,510,718 | 7,812,686 | ||||||
Reinvestment of distributions |
131,475 | 1,109 | ||||||
Shares redeemed |
(2,417,776 | ) | (2,153,372 | ) | ||||
Net increase/(decrease) in net assets from capital share transactions |
2,224,417 | 5,660,423 | ||||||
Total increase/(decrease) in net assets |
4,246,061 | 6,566,413 | ||||||
NET ASSETS: |
||||||||
Beginning of period |
19,554,651 | 12,988,238 | ||||||
End of period |
$ | 23,800,712 | $ | 19,554,651 | ||||
SHARES TRANSACTIONS: |
||||||||
Class I Shares |
||||||||
Shares sold |
416,979 | 752,103 | ||||||
Shares reinvested |
11,676 | 113 | ||||||
Shares redeemed |
(219,814 | ) | (209,678 | ) | ||||
Net increase/(decrease) in shares outstanding |
208,841 | 542,538 |
The accompanying notes are an integral part of the financial statements.
36
SGI SMALL CAP CORE FUND
Statements of Changes in Net Assets
FOR THE Six |
FOR THE |
|||||||
INCREASE/(DECREASE) IN NET ASSETS FROM OPERATIONS: |
||||||||
Net investment income/(loss) |
$ | 260,698 | $ | 226,440 | ||||
Net realized gain/(loss) from investments |
||||||||
Unaffiliated investments |
2,645,796 | 3,864,198 | ||||||
Affiliated investments (see Note 7) |
— | — | ||||||
Distributions from unaffiliated investments |
— | — | ||||||
Distributions from affiliated investments (see Note 7) |
— | — | ||||||
Net change in unrealized appreciation/(depreciation) on investments |
||||||||
Unaffiliated investments |
8,935,566 | 3,754,938 | ||||||
Affiliated investments (see Note 7) |
— | — | ||||||
Net increase/(decrease) in net assets resulting from operations |
11,842,060 | 7,845,576 | ||||||
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS: |
||||||||
Total distributable earnings |
— | (554,990 | ) | |||||
Net decrease in net assets from dividends and distributions to shareholders |
— | (554,990 | ) | |||||
INCREASE/(DECREASE) IN NET ASSETS DERIVED FROM CAPITAL SHARE TRANSACTIONS: |
||||||||
Class I Shares |
||||||||
Proceeds from shares sold |
48,445,065 | 20,090,886 | ||||||
Reinvestment of distributions |
— | 548,528 | ||||||
Shares redeemed |
(18,765,295 | ) | (14,264,163 | ) | ||||
Net increase/(decrease) in net assets from capital share transactions |
29,679,770 | 6,375,251 | ||||||
Total increase/(decrease) in net assets |
41,521,830 | 13,665,837 | ||||||
NET ASSETS: |
||||||||
Beginning of period |
103,501,659 | 89,835,822 | ||||||
End of period |
$ | 145,023,489 | $ | 103,501,659 | ||||
SHARES TRANSACTIONS: |
||||||||
Class I Shares |
||||||||
Shares sold |
1,717,048 | 767,765 | ||||||
Shares reinvested |
— | 21,544 | ||||||
Shares redeemed |
(690,983 | ) | (545,180 | ) | ||||
Net increase/(decrease) in shares outstanding |
1,026,065 | 244,129 |
The accompanying notes are an integral part of the financial statements.
37
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 |
For the |
For the |
For the |
For the |
For the |
|||||||||||||||||||
Per Share Operating Performance |
||||||||||||||||||||||||
Net asset value, beginning of period |
$ | 18.00 | $ | 17.85 | $ | 23.21 | $ | 19.55 | $ | 18.24 | $ | 17.97 | ||||||||||||
Net investment income/(loss) (1) |
0.08 | 0.18 | 0.17 | 0.03 | 0.14 | 0.18 | ||||||||||||||||||
Net realized and unrealized gain/(loss) on investments (2) |
2.05 | 0.88 | (2.27 | ) | 3.76 | 1.66 | 0.75 | |||||||||||||||||
Net increase/(decrease) in net assets resulting from operations |
2.13 | 1.06 | (2.10 | ) | 3.79 | 1.80 | 0.93 | |||||||||||||||||
Dividends and distributions to shareholders from: |
||||||||||||||||||||||||
Net investment income |
(0.17 | ) | (0.20 | ) | (0.04 | ) | (0.08 | ) | (0.18 | ) | (0.11 | ) | ||||||||||||
Net realized capital gain |
(0.69 | ) | (0.71 | ) | (3.22 | ) | (0.05 | ) | (0.31 | ) | (0.55 | ) | ||||||||||||
Total dividends and distributions to shareholders |
(0.86 | ) | (0.91 | ) | (3.26 | ) | (0.13 | ) | (0.49 | ) | (0.66 | ) | ||||||||||||
Net Asset value, end of period |
$ | 19.27 | $ | 18.00 | $ | 17.85 | $ | 23.21 | $ | 19.55 | $ | 18.24 | ||||||||||||
Total investment return/(loss) (3) |
12.14 | %(4) | 6.02 | % | (10.71 | )% | 19.46 | % | 10.10 | % | 5.83 | % | ||||||||||||
Ratios/Supplemental Data |
||||||||||||||||||||||||
Net assets, end of period (000’s omitted) |
$ | 121,124 | $ | 351,360 | $ | 391,548 | $ | 506,159 | $ | 556,511 | $ | 497,097 | ||||||||||||
Ratio of expenses to average net assets with waivers and reimbursements net of amounts recouped |
0.98 | %(5) | 0.98 | % | 0.92 | % | 0.87 | % | 0.85 | % | 0.93 | % | ||||||||||||
Ratio of expenses to average net assets without waivers and/or reimbursements net of amounts recouped |
0.97 | %(5) | 0.97 | % | 0.96 | % | 0.87 | % | 0.85 | % | 0.86 | % | ||||||||||||
Ratio of net investment income/(loss) to average net assets |
0.92 | %(5) | 0.99 | % | 0.85 | % | 0.15 | % | 0.76 | % | 1.07 | % | ||||||||||||
Portfolio turnover rate (6) |
101 | %(4) | 88 | % | 133 | % | 91 | % | 129 | % | 104 | % |
(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.
38
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 |
For the |
For the |
For the |
For the |
For the |
|||||||||||||||||||
Per Share Operating Performance |
||||||||||||||||||||||||
Net asset value, beginning of period |
$ | 18.02 | $ | 17.88 | $ | 23.25 | $ | 19.59 | $ | 18.29 | $ | 17.99 | ||||||||||||
Net investment income/(loss) (1) |
0.06 | 0.13 | 0.12 | (0.02 | ) | 0.08 | 0.14 | |||||||||||||||||
Net realized and unrealized gain/(loss) on investments (2) |
2.06 | 0.87 | (2.27 | ) | 3.77 | 1.67 | 0.76 | |||||||||||||||||
Net increase/(decrease) in net assets resulting from operations |
2.12 | 1.00 | (2.15 | ) | 3.75 | 1.75 | 0.90 | |||||||||||||||||
Dividends and distributions to shareholders from: |
||||||||||||||||||||||||
Net investment income |
(0.12 | ) | (0.15 | ) | — | (0.04 | ) | (0.14 | ) | (0.05 | ) | |||||||||||||
Net realized capital gains |
(0.69 | ) | (0.71 | ) | (3.22 | ) | (0.05 | ) | (0.31 | ) | (0.55 | ) | ||||||||||||
Total dividends and distributions to shareholders |
(0.81 | ) | (0.86 | ) | (3.22 | ) | (0.09 | ) | (0.45 | ) | (0.60 | ) | ||||||||||||
Net Asset value, end of period |
$ | 19.33 | $ | 18.02 | $ | 17.88 | $ | 23.25 | $ | 19.59 | $ | 18.29 | ||||||||||||
Total investment return/(loss) (3) |
12.05 | %(4) | 5.69 | % | (10.89 | )% | 19.20 | % | 9.78 | % | 5.61 | % | ||||||||||||
Ratios/Supplemental Data |
||||||||||||||||||||||||
Net assets, end of period (000’s omitted) |
$ | 26,916 | $ | 31,276 | $ | 28,285 | $ | 29,423 | $ | 23,424 | $ | 14,751 | ||||||||||||
Ratio of expenses to average net assets with waivers and reimbursements net of amounts recouped |
1.23 | %(5) | 1.23 | % | 1.17 | % | 1.12 | % | 1.10 | % | 1.18 | % | ||||||||||||
Ratio of expenses to average net assets without waivers and reimbursements net of amounts recouped |
1.22 | %(5) | 1.22 | % | 1.21 | % | 1.12 | % | 1.10 | % | 1.11 | % | ||||||||||||
Ratio of net investment income/(loss) to average net assets |
0.67 | %(5) | 0.74 | % | 0.64 | % | (0.09 | )% | 0.47 | % | 0.84 | % | ||||||||||||
Portfolio turnover rate (6) |
101 | %(4) | 88 | % | 133 | % | 91 | % | 129 | % | 104 | % |
(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.
39
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 |
For the |
For the |
For the |
For the |
For the |
|||||||||||||||||||
Per Share Operating Performance |
||||||||||||||||||||||||
Net asset value, beginning of period |
$ | 17.22 | $ | 17.12 | $ | 22.54 | $ | 19.11 | $ | 17.79 | $ | 17.59 | ||||||||||||
Net investment income/(loss) (1) |
(0.01 | ) | — | (0.03 | ) | (0.17 | ) | (0.05 | ) | 0.01 | ||||||||||||||
Net realized and unrealized gain/(loss) on investments (2) |
1.96 | 0.83 | (2.17 | ) | 3.65 | 1.71 | 0.74 | |||||||||||||||||
Net increase/(decrease) in net assets resulting from operations |
1.95 | 0.83 | (2.20 | ) | 3.48 | 1.66 | 0.75 | |||||||||||||||||
Dividends and distributions to shareholders from: |
||||||||||||||||||||||||
Net investment income |
— | (0.02 | ) | — | 0.00 | (0.03 | ) | — | ||||||||||||||||
Net realized capital gains |
(0.69 | ) | (0.71 | ) | (3.22 | ) | (0.05 | ) | (0.31 | ) | (0.55 | ) | ||||||||||||
Total dividends and distributions to shareholders |
(0.69 | ) | (0.73 | ) | (3.22 | ) | (0.05 | ) | (0.34 | ) | (0.55 | ) | ||||||||||||
Net Asset value, end of period |
$ | 18.48 | $ | 17.22 | $ | 17.12 | $ | 22.54 | $ | 19.11 | $ | 17.79 | ||||||||||||
Total investment return/(loss) (3) |
11.58 | %(4) | 4.93 | % | (11.54 | )% | 18.25 | % | 9.47 | % | 4.78 | % | ||||||||||||
Ratios/Supplemental Data |
||||||||||||||||||||||||
Net assets, end of period (000’s omitted) |
$ | 2,089 | $ | 2,297 | $ | 2,546 | $ | 2,917 | $ | 2,915 | $ | 2,350 | ||||||||||||
Ratio of expenses to average net assets with waivers and reimbursements net of amounts recouped |
1.98 | %(5) | 1.98 | % | 1.92 | % | 1.87 | % | 1.85 | % | 1.93 | % | ||||||||||||
Ratio of expenses to average net assets without waivers and reimbursements net of amounts recouped |
1.97 | %(5) | 1.97 | % | 1.96 | % | 1.87 | % | 1.85 | % | 1.86 | % | ||||||||||||
Ratio of net investment income/(loss) to average net assets |
(0.08 | )%(5) | (0.01 | )% | (0.15 | )% | (0.84 | )% | (0.26 | )% | 0.07 | % | ||||||||||||
Portfolio turnover rate (6) |
101 | %(4) | 88 | % | 133 | % | 91 | % | 129 | % | 104 | % |
(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.
40
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 |
For the |
For the |
For the |
For the |
For the |
|||||||||||||||||||
Per Share Operating Performance |
||||||||||||||||||||||||
Net asset value, beginning of period |
$ | 34.11 | $ | 33.16 | $ | 38.33 | $ | 32.93 | $ | 32.62 | $ | 30.30 | ||||||||||||
Net investment income/(loss) (1) |
0.17 | 0.45 | 0.45 | 0.38 | 0.41 | 0.53 | ||||||||||||||||||
Net realized and unrealized gain/(loss) on investments (2) |
3.11 | 1.62 | (3.77 | ) | 5.24 | 1.06 | 2.20 | |||||||||||||||||
Net increase/(decrease) in net assets resulting from operations |
3.28 | 2.07 | (3.32 | ) | 5.62 | 1.47 | 2.73 | |||||||||||||||||
Dividends and distributions to shareholders from: |
||||||||||||||||||||||||
Net investment income |
(0.45 | ) | (0.31 | ) | (0.58 | ) | (0.22 | ) | (0.85 | ) | (0.41 | ) | ||||||||||||
Net realized capital gain |
— | (0.81 | ) | (1.27 | ) | — | (0.31 | ) | — | |||||||||||||||
Total dividends and distributions to shareholders |
(0.45 | ) | (1.12 | ) | (1.85 | ) | (0.22 | ) | (1.16 | ) | (0.41 | ) | ||||||||||||
Redemption fees added to paid-in capital (1) |
— | — | — | — | — | — | (3) | |||||||||||||||||
Net Asset value, end of period |
$ | 36.94 | $ | 34.11 | $ | 33.16 | $ | 38.33 | $ | 32.93 | $ | 32.62 | ||||||||||||
Total investment return/(loss) (4) |
9.69 | %(5) | 6.39 | % | (9.20 | )% | 17.15 | % | 4.53 | % | 9.18 | % | ||||||||||||
Ratios/Supplemental Data |
||||||||||||||||||||||||
Net assets, end of period (000’s omitted) |
$ | 159,249 | $ | 150,297 | $ | 118,260 | $ | 112,035 | $ | 58,262 | $ | 21,520 | ||||||||||||
Ratio of expenses to average net assets with waivers and reimbursements |
0.84 | %(6) | 0.84 | % | 0.84 | % | 0.97 | % | 0.84 | % | 0.84 | % | ||||||||||||
Ratio of expenses to average net assets without waivers and reimbursements |
0.98 | %(6) | 1.00 | % | 1.01 | % | 1.10 | % | 0.98 | % | 1.11 | % | ||||||||||||
Ratio of net investment income/(loss) to average net assets |
0.99 | %(6) | 1.37 | % | 1.24 | % | 1.26 | % | 1.32 | % | 1.75 | % | ||||||||||||
Portfolio turnover rate (7) |
48 | %(5) | 96 | % | 87 | % | 88 | % | 122 | % | 74 | % |
(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.
41
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 |
For the |
For the |
For the |
FOR THE |
||||||||||||||||
Per Share Operating Performance |
||||||||||||||||||||
Net asset value, beginning of period |
$ | 10.28 | $ | 9.80 | $ | 11.69 | $ | 10.60 | $ | 10.00 | ||||||||||
Net investment income/(loss) (2) |
0.06 | 0.03 | 0.02 | (0.07 | ) | (0.03 | ) | |||||||||||||
Net realized and unrealized gain/(loss) on investments (3) |
0.80 | 0.46 | (1.26 | ) | 1.16 | 0.63 | ||||||||||||||
Net increase/(decrease) in net assets resulting from operations |
0.86 | 0.49 | (1.24 | ) | 1.09 | 0.60 | ||||||||||||||
Dividends and distributions to shareholders from: |
||||||||||||||||||||
Net investment income |
(0.05 | ) | (0.01 | ) | (0.40 | ) | — | (4) | — | |||||||||||
Net realized capital gains |
— | — | (0.25 | ) | — | (4) | — | |||||||||||||
Total dividends and distributions to shareholders |
(0.05 | ) | (0.01 | ) | (0.65 | ) | — | — | ||||||||||||
Net Asset value, end of period |
$ | 11.09 | $ | 10.28 | $ | 9.80 | $ | 11.69 | $ | 10.60 | ||||||||||
Total investment return/(loss) (5) |
8.40 | %(7) | 5.04 | % | (11.26 | )% | 10.34 | % | 6.00 | %(7) | ||||||||||
Ratios/Supplemental Data |
||||||||||||||||||||
Net assets, end of period (000’s omitted) |
$ | 24,658 | $ | 21,217 | $ | 15,527 | $ | 10,807 | $ | 6,408 | ||||||||||
Ratio of expenses to average net assets with waivers and reimbursements |
1.30 | %(6) | 1.47 | % | 1.70 | % | 1.70 | % | 1.70 | %(6) | ||||||||||
Ratio of expenses to average net assets without waivers and reimbursements |
1.30 | %(6) | 1.37 | % | 1.61 | % | 1.75 | % | 3.97 | %(6) | ||||||||||
Ratio of net investment income/(loss) to average net assets |
1.23 | %(6) | 0.26 | % | 0.23 | % | (0.67 | )% | (1.08 | )%(6) | ||||||||||
Portfolio turnover rate (8) |
8 | %(7) | 61 | % | 67 | % | 170 | % | 6 | %(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.
42
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 |
For the |
For the |
For the |
FOR THE |
||||||||||||||||
Per Share Operating Performance |
||||||||||||||||||||
Net asset value, beginning of period |
$ | 10.61 | $ | 9.99 | $ | 12.63 | $ | 10.94 | $ | 10.00 | ||||||||||
Net investment income/(loss) (2) |
0.03 | (0.06 | ) | (0.03 | ) | (0.14 | ) | (0.04 | ) | |||||||||||
Net realized and unrealized gain/(loss) on investments (3) |
1.03 | 0.68 | (1.27 | ) | 1.83 | 0.98 | ||||||||||||||
Net increase/(decrease) in net assets resulting from operations |
1.06 | 0.62 | (1.30 | ) | 1.69 | 0.94 | ||||||||||||||
Dividends and distributions to shareholders from: |
||||||||||||||||||||
Net investment income |
(0.01 | ) | — | (4) | (0.75 | ) | — | — | ||||||||||||
Net realized capital gain |
(0.06 | ) | — | (0.59 | ) | — | — | |||||||||||||
Total dividends and distributions to shareholders |
(0.07 | ) | — | (1.34 | ) | — | — | |||||||||||||
Net Asset value, end of period |
$ | 11.60 | $ | 10.61 | $ | 9.99 | $ | 12.63 | $ | 10.94 | ||||||||||
Total investment return/(loss) (5) |
9.96 | %(6) | 6.22 | % | (11.64 | )% | 15.45 | % | 9.40 | %(6) | ||||||||||
Ratios/Supplemental Data |
||||||||||||||||||||
Net assets, end of period (000’s omitted) |
$ | 23,801 | $ | 19,555 | $ | 12,988 | $ | 10,940 | $ | 7,327 | ||||||||||
Ratio of expenses to average net assets with waivers and reimbursements |
1.31 | %(7) | 1.53 | % | 1.70 | % | 1.70 | % | 1.70 | %(7) | ||||||||||
Ratio of expenses to average net assets without waivers and reimbursements |
1.31 | %(7) | 1.48 | % | 1.58 | % | 1.74 | % | 3.52 | %(7) | ||||||||||
Ratio of net investment income/(loss) to average net assets |
0.63 | %(7) | (0.55 | )% | (0.29 | )% | (1.17 | )% | (1.58 | )%(7) | ||||||||||
Portfolio turnover rate (8) |
11 | %(6) | 26 | % | 88 | % | 178 | % | 5 | %(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.
43
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 |
For the |
For the |
FOR THE |
FOR THE |
FOR THE |
|||||||||||||||||||
Per Share Operating Performance |
||||||||||||||||||||||||
Net asset value, beginning of period |
$ | 27.50 | $ | 25.53 | $ | 38.64 | $ | 28.16 | $ | 25.67 | $ | 35.14 | ||||||||||||
Net investment income/(loss) (2) |
0.06 | 0.06 | (0.10 | ) | (0.15 | ) | (0.10 | ) | (0.15 | ) | ||||||||||||||
Net realized and unrealized gain/(loss) from investments (3) |
2.72 | 2.06 | (2.97 | ) | 12.33 | 2.68 | (5.55 | ) | ||||||||||||||||
Net increase/(decrease) in net assets resulting from operations |
2.78 | 2.12 | (3.07 | ) | 12.18 | 2.58 | (5.70 | ) | ||||||||||||||||
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 | ) | |||||||||||||
Total dividends and distributions to shareholders |
— | (0.15 | ) | (10.04 | ) | (1.70 | ) | (0.09 | ) | (3.77 | ) | |||||||||||||
Net Asset value, end of period |
$ | 30.28 | $ | 27.50 | $ | 25.53 | $ | 38.64 | $ | 28.16 | $ | 25.67 | ||||||||||||
Total investment return (4) |
10.11 | %(6) | 8.37 | % | (9.93 | )% | 44.61 | % | 10.04 | % | (16.02 | )% | ||||||||||||
Ratios/Supplemental Data |
||||||||||||||||||||||||
Net assets, end of period (000’s omitted) |
$ | 145,023 | $ | 103,502 | $ | 89,836 | $ | 97,409 | $ | 57,109 | $ | 69,302 | ||||||||||||
Ratio of expenses to average net assets with waivers and reimbursements |
1.23 | %(7) | 1.23 | % | 1.23 | % | 1.07 | % | 1.25 | % | 1.25 | % | ||||||||||||
Ratio of expenses to average net assets without waivers and reimbursements (5) |
1.20 | %(7) | 1.25 | % | 1.33 | % | 1.12 | % | 1.38 | % | 1.37 | % | ||||||||||||
Ratio of net investment income/(loss) to average net assets |
0.45 | %(7) | 0.24 | % | (0.34 | )% | (0.37 | )% | (0.38 | )% | (0.53 | )% | ||||||||||||
Portfolio turnover rate (8) |
83 | %(6) | 197 | % | 270 | % | 314 | % | 302 | % | 344 | % |
(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.
44
SUMMIT GLOBAL INVESTMENTS
Notes to Financial Statements
February 29, 2024 (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 sixty-four separate investment portfolios, including the SGI U.S. Large 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 and the SGI U.S. Large Cap Equity Fund commenced investment operations on October 1, 1999 and February 29, 2012, respectively. The SGI Global Equity Fund commenced investment operations on April 1, 2009. 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 and the SGI Global Equity Fund 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 92.723 billion shares are currently classified into two hundred and thirty-four classes of common stock. Each class represents an interest in an active or inactive investment portfolio of the Company.
The investment objective of each of the SGI U.S. Large Cap Equity Fund, the SGI Global Equity Fund, the SGI Prudent Growth Fund and the SGI Small Cap Core Fund is to seek long-term capital appreciation. The investment objective of the SGI Peak Growth Fund is to seek 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 29, 2024, and the period covered by these Notes to Financial Statements is the six-months ended February 29, 2024 (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 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.
45
SUMMIT GLOBAL INVESTMENTS
Notes to Financial Statements (Continued)
February 29, 2024 (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 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 current fiscal period, in valuing each Fund’s investments carried at fair value:
Total |
Level 1 |
Level 2 |
Level 3 |
|||||||||||||
SGI U.S. Large Cap Equity Fund |
||||||||||||||||
Common Stocks |
$ | 127,956,371 | $ | 127,956,371 | $ | — | $ | — | ||||||||
Exchange Traded Funds |
21,469,933 | 21,469,933 | — | — | ||||||||||||
Total Investments* |
$ | 149,426,304 | $ | 149,426,304 | $ | — | $ | — | ||||||||
SGI Global Equity Fund |
||||||||||||||||
Common Stocks |
$ | 155,680,495 | $ | 155,680,495 | — | — | ||||||||||
Total Investments* |
$ | 155,680,495 | $ | 155,680,495 | $ | — | $ | — | ||||||||
SGI PRUDENT GROWTH Fund |
||||||||||||||||
Open End Funds |
$ | 11,851,206 | $ | 11,851,206 | $ | — | $ | — | ||||||||
Exchange Traded Funds |
11,643,254 | 11,643,254 | — | — | ||||||||||||
Total Investments* |
$ | 23,494,460 | $ | 23,494,460 | $ | — | $ | — | ||||||||
SGI PEAK GROWTH FUND |
||||||||||||||||
Open End Funds |
$ | 17,514,752 | $ | 17,514,752 | $ | — | $ | — | ||||||||
Exchange Traded Funds |
5,530,116 | 5,530,116 | — | — | ||||||||||||
Total Investments* |
$ | 23,044,868 | $ | 23,044,868 | $ | — | $ | — | ||||||||
SGI SMALL CAP core Fund |
||||||||||||||||
Common Stocks |
$ | 138,934,334 | $ | 138,934,334 | $ | — | $ | — | ||||||||
Exchange Traded Funds |
3,855,462 | 3,855,462 | — | — | ||||||||||||
Total Investments* |
$ | 142,789,796 | $ | 142,789,796 | $ | — | $ | — |
* |
Please refer to Portfolio of Investments for further details. |
46
SUMMIT GLOBAL INVESTMENTS
Notes to Financial Statements (Continued)
February 29, 2024 (UNAUDITED)
At the end of each quarter, management evaluates the classification of Levels 1, 2 and 3 assets and liabilities. Various factors are considered, such as changes in liquidity from the prior reporting period; whether or not a broker is willing to execute at the quoted price; the depth and consistency of prices from third party pricing services; and the existence of contemporaneous, observable trades in the market. Additionally, management evaluates the classification of 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 (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 — 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.
47
SUMMIT GLOBAL INVESTMENTS
Notes to Financial Statements (Continued)
February 29, 2024 (UNAUDITED)
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.
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, 2024 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 Fund’s 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 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’ 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 |
Waivers AND/OR |
RECOUPMENTS |
Net |
||||||||||||
SGI U.S. Large Cap Equity Fund |
$ | 1,181,125 | $ | (7,986 | ) | $ | 26,883 | $ | 1,200,022 | |||||||
SGI Global Equity Fund |
537,862 | (107,721 | ) | — | 430,141 | |||||||||||
SGI Prudent Growth Fund |
83,852 | — | — | 83,852 | ||||||||||||
SGI Peak Growth Fund |
78,625 | — | — | 78,625 | ||||||||||||
SGI Small Cap Core Fund |
545,833 | (1,681 | ) | 19,424 | 563,576 |
48
SUMMIT GLOBAL INVESTMENTS
Notes to Financial Statements (Continued)
February 29, 2024 (UNAUDITED)
As of the end of the reporting period, the Funds had amounts available for recoupment by the Adviser as follows:
EXPIRATION |
||||||||||||||||
FUND |
August 31, |
August 31, |
August 31, |
August 31, |
||||||||||||
SGI U.S. Large Cap Equity Fund |
$ | — | $ | 40,987 | $ | 87,307 | $ | 7,986 | ||||||||
SGI Global Equity Fund |
— | — | — | 107,721 | ||||||||||||
SGI Prudent Growth Fund |
— | — | — | — | ||||||||||||
SGI Peak Growth Fund |
— | — | — | — | ||||||||||||
SGI Small Cap Core Fund |
14,011 | 88,935 | 21,348 | 1,681 |
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.
49
SUMMIT GLOBAL INVESTMENTS
Notes to Financial Statements (continued)
February 29, 2024 (UNAUDITED)
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 |
$ | 316,551,095 | $ | 582,550,548 | ||||
SGI Global Equity Fund |
72,425,755 | 77,792,232 | ||||||
SGI Prudent Growth Fund |
3,258,326 | 1,617,924 | ||||||
SGI Peak Growth Fund |
4,328,885 | 2,275,673 | ||||||
SGI Small Cap Core Fund |
124,708,799 | 95,429,149 |
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, 2023, the federal tax cost and aggregate gross unrealized appreciation and depreciation of investments held by each Fund were as follows:
Federal Tax |
Unrealized |
Unrealized |
Net Unrealized |
|||||||||||||
SGI U.S. Large Cap Equity Fund |
$ | 340,644,664 | $ | 52,927,000 | $ | (8,517,597 | ) | $ | 44,409,403 | |||||||
SGI Global Equity Fund |
142,346,797 | 12,149,418 | (5,113,105 | ) | 7,036,313 | |||||||||||
SGI Prudent Growth Fund |
21,163,275 | 713,443 | (624,624 | ) | 88,819 | |||||||||||
SGI Peak Growth Fund |
19,522,487 | 848,137 | (915,549 | ) | (67,412 | ) | ||||||||||
SGI Small Cap Core Fund |
101,856,766 | 7,519,025 | (5,725,178 | ) | 1,793,847 |
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.
50
SUMMIT GLOBAL INVESTMENTS
Notes to Financial Statements (continued)
February 29, 2024 (UNAUDITED)
Permanent differences as of August 31, 2023, primarily attributable to Net Operating Losses and Deemed Distributions due to Shareholder Redemptions were reclassified among the following accounts:
Distributable |
Paid-in |
|||||||
SGI U.S. Large Cap Equity Fund |
$ | (1,807,871 | ) | $ | 1,807,871 | |||
SGI Global Equity Fund |
151 | (151 | ) | |||||
SGI Prudent Growth Fund |
46 | (46 | ) | |||||
SGI Peak Growth Fund |
70,378 | (70,378 | ) | |||||
SGI Small Cap Core Fund |
77,034 | (77,034 | ) |
As of August 31, 2023, the components of distributable earnings on a tax basis were as follows:
FUND |
Undistributed |
Undistributed |
Capital |
Qualified |
Other |
Net |
||||||||||||||||||
SGI U.S. Large Cap Equity Fund |
$ | 1,932,135 | $ | 12,258,937 | $ | — | $ | — | $ | — | $ | 44,409,403 | ||||||||||||
SGI Global Equity Fund |
1,169,463 | — | — | (1,707,840 | ) | — | 7,036,313 | |||||||||||||||||
SGI Prudent Growth Fund |
— | — | (180,815 | ) | (29,431 | ) | (9,866 | ) | 88,819 | |||||||||||||||
SGI Peak Growth Fund |
— | 116,992 | — | (115,523 | ) | (12,267 | ) | (67,412 | ) | |||||||||||||||
SGI Small Cap Core Fund |
— | — | (5,926,295 | ) | — | — | 1,793,847 |
The differences between the book and tax basis components of distributable earnings relate primarily to wash sales and investments in passive foreign investment companies.
The tax character of dividends and distributions paid during the fiscal year ended August 31, 2023 was as follows:
2023 |
||||||||||||
FUND |
Ordinary |
Long-Term |
TOTAL |
|||||||||
SGI U.S. Large Cap Equity Fund |
$ | 4,425,439 | $ | 16,298,811 | $ | 20,724,250 | ||||||
SGI Global Equity Fund |
1,176,535 | 3,052,908 | 4,229,443 | |||||||||
SGI Prudent Growth Fund |
23,212 | — | 23,212 | |||||||||
SGI Peak Growth Fund |
— | 1,109 | 1,109 | |||||||||
SGI Small Cap Core Fund |
— | 554,990 | 554,990 |
The tax character of dividends and distributions paid during the fiscal year ended August 31, 2023 was as follows:
FUND |
Ordinary |
Long-Term |
TOTAL |
|||||||||
SGI U.S. Large Cap Equity Fund |
$ | 22,024,821 | $ | 52,940,729 | $ | 74,965,550 | ||||||
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 |
51
SUMMIT GLOBAL INVESTMENTS
Notes to Financial Statements (continued)
February 29, 2024 (UNAUDITED)
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, 2023, the SGI Prudent Growth Fund had $39,299 of short-term loss carryovers, as well as $141,516 of long-term loss carryovers, and the SGI Small Cap Core Fund had $5,926,295 of short-term loss carryovers. During the fiscal year, the SGI Peak Growth Fund utilized $114,721 of carry forward capital losses.
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, 2023, any amount of losses elected within the tax return will not be recognized for federal income tax purposes until September 1, 2023.
Late-year |
post-october |
|||||||
SGI U.S. Large Cap Equity Fund |
$ | — | $ | — | ||||
SGI Global Equity Fund |
— | 1,707,840 | ||||||
SGI Prudent Growth Fund |
29,431 | — | ||||||
SGI Peak Growth Fund |
115,523 | — | ||||||
SGI Small Cap Core Fund |
— | — |
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 2022, the SEC adopted a final rule relating to tailored shareholder reports for mutual funds and exchange-traded funds and fee information in investment company advertisements. Beginning in July 2024, the Funds will be required to transmit concise and visually engaging shareholder reports that highlight key information. The Funds will also be required to tag information in a structured data format and that certain more in-depth information be made available online and available for delivery free of charge to investors on request.
In December 2022, the FASB issued an Accounting Standards Update, ASU 2022-06, Reference Rate Reform (Topic 848) – Deferral of the Sunset Date of Topic 848 (“ASU 2022-06”). ASU 2022-06 is an amendment to ASU 2020-04, which provided optional guidance to ease the potential accounting burden due to the discontinuation of the London Inter-Bank Offered Rate and other interbank-offered based reference rates and which was effective as of March 12, 2020 through December 31, 2022. ASU 2022-06 extends the effective period through December 31, 2024. Management is currently evaluating the impact, if any, of applying ASU 2022-06.
52
SUMMIT GLOBAL INVESTMENTS
Notes to Financial Statements (Continued)
February 29, 2024 (UNAUDITED)
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, 2023 |
Additions |
Reductions |
||||||||||||||||||||||
Issuer Name |
Share |
Cost |
Share |
Cost |
Share |
Cost |
||||||||||||||||||
SGI Prudent Growth Fund |
||||||||||||||||||||||||
SGI Dynamic Tactical ETF |
148,890 | $ | 3,792,279 | 16,240 | $ | 425,091 | (6,500 | ) | $ | (170,013 | ) | |||||||||||||
SGI Global Equity Fund |
141,279 | 4,638,412 | 15,794 | 548,264 | (5,554 | ) | (199,700 | ) | ||||||||||||||||
SGI Small Cap Core Fund |
69,840 | 2,021,405 | 38,892 | 1,094,970 | — | — | ||||||||||||||||||
SGI U.S. Large Cap Core ETF |
72,890 | 1,876,034 | 6,690 | 189,680 | (5,500 | ) | (153,835 | ) | ||||||||||||||||
SGI U.S. Large Cap Equity Fund |
140,420 | 2,510,834 | 18,739 | 339,971 | (5,465 | ) | (110,716 | ) | ||||||||||||||||
SGI U.S. Small Cap Equity Fund |
72,077 | 738,593 | 7,809 | 86,609 | (79,886 | ) | (825,202 | ) | ||||||||||||||||
645,396 | $ | 15,577,557 | 104,164 | $ | 2,684,585 | (102,905 | ) | $ | (1,459,466 | ) | ||||||||||||||
SGI Peak Growth Fund |
||||||||||||||||||||||||
SGI Dynamic Tactical ETF |
75,030 | $ | 1,904,297 | 11,170 | 292,207 | (2,920 | ) | $ | (77,430 | ) | ||||||||||||||
SGI Global Equity Fund |
169,059 | 5,518,092 | 30,277 | 1,055,606 | (10,511 | ) | (382,291 | ) | ||||||||||||||||
SGI Small Cap Core Fund |
149,014 | 4,229,239 | 65,853 | 1,851,326 | (5,450 | ) | (212,104 | ) | ||||||||||||||||
SGI U.S. Large Cap Core ETF |
55,530 | 1,425,836 | 6,370 | 180,643 | (2,945 | ) | (83,626 | ) | ||||||||||||||||
SGI U.S. Large Cap Equity Fund |
192,484 | 3,461,172 | 37,079 | 680,256 | (11,690 | ) | (234,859 | ) | ||||||||||||||||
SGI U.S. Small Cap Equity Fund |
100,486 | 1,018,503 | 11,230 | 125,469 | (111,716 | ) | (1,143,972 | ) | ||||||||||||||||
741,603 | $ | 17,557,139 | 161,979 | $ | 4,185,507 | (145,232 | ) | $ | (2,134,282 | ) |
53
SUMMIT GLOBAL INVESTMENTS
Notes to Financial Statements (CONCLUDED)
February 29, 2024 (UNAUDITED)
February 29, 2024 |
||||||||||||||||||||||||||||
Issuer Name |
Dividend |
Capital |
Net Change in |
Realized |
Share |
Value |
Cost |
|||||||||||||||||||||
SGI Prudent Growth Fund |
||||||||||||||||||||||||||||
SGI Dynamic Tactical ETF |
$ | 38,006 | $ | — | $ | 355,567 | $ | 8,606 | 158,630 | $ | 4,489,228 | $ | 4,047,357 | |||||||||||||||
SGI Global Equity Fund |
— | — | 429,513 | 792 | 151,519 | 5,597,121 | 4,986,976 | |||||||||||||||||||||
SGI Small Cap Core Fund |
— | — | 276,841 | — | 108,732 | 3,292,402 | 3,116,375 | |||||||||||||||||||||
SGI U.S. Large Cap Core ETF |
5,702 | 28,170 | 305,189 | 15,399 | 74,080 | 2,381,954 | 1,911,879 | |||||||||||||||||||||
SGI U.S. Large Cap Equity Fund |
— | 102,169 | 204,872 | (7,760 | ) | 153,694 | 2,961,683 | 2,740,089 | ||||||||||||||||||||
SGI U.S. Small Cap Equity Fund |
— | 7,899 | (88,132 | ) | 141,421 | — | — | — | ||||||||||||||||||||
$ | 43,708 | $ | 138,238 | $ | 1,483,850 | $ | 158,458 | 646,655 | $ | 18,722,388 | $ | 16,802,676 | ||||||||||||||||
SGI Peak Growth Fund |
||||||||||||||||||||||||||||
SGI Dynamic Tactical ETF |
$ | 19,685 | $ | — | $ | 187,516 | $ | 1,880 | 83,280 | $ | 2,356,824 | $ | 2,119,074 | |||||||||||||||
SGI Global Equity Fund |
— | — | 535,277 | (6,957 | ) | 188,825 | 6,975,189 | 6,191,407 | ||||||||||||||||||||
SGI Small Cap Core Fund |
— | — | 604,033 | (50,396 | ) | 209,417 | 6,341,152 | 5,868,461 | ||||||||||||||||||||
SGI U.S. Large Cap Core ETF |
4,405 | 30 | 243,770 | 5,759 | 58,955 | 1,895,627 | 1,522,853 | |||||||||||||||||||||
SGI U.S. Large Cap Equity Fund |
— | 167,361 | 288,309 | (16,695 | ) | 217,873 | 4,198,412 | 3,906,569 | ||||||||||||||||||||
SGI U.S. Small Cap Equity Fund |
68 | 11,046 | (134,076 | ) | 207,800 | — | — | — | ||||||||||||||||||||
$ | 24,158 | $ | 178,437 | $ | 1,724,829 | $ | 141,391 | 758,350 | $ | 21,767,204 | $ | 19,608,364 |
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.
54
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 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 filings are available on the SEC’s website at http://www.sec.gov.
55
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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
3 Canal Plaza, Suite 100
Portland, ME 04101
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-SAR24
(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 | 4/30/2024 |
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 | 4/30/2024 | |
By (Signature and Title)* | /s/ James Shaw | |
James Shaw, CFO/COO | ||
(principal financial officer) | ||
Date | 4/30/2024 |
* | Print the name and title of each signing officer under his or her signature. |
3