UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT
INVESTMENT COMPANIES
Investment Company Act file number 811-05518
The RBB Fund, Inc.
(Exact name of registrant as specified in charter)
Bellevue Park Corporate Center
103 Bellevue Parkway
Wilmington, DE 19809
(Address of principal executive offices) (Zip code)
Salvatore Faia
BNY Mellon Investment Servicing (US) Inc.
103 Bellevue Parkway
Wilmington, DE 19809
(Name and address of agent for service)
Registrant’s telephone number, including area code: 302-791-1851
Date of fiscal year end: August 31
Date of reporting period: February 29, 2016
Item 1. Reports to Stockholders.
The Report to Shareholders is attached herewith.
ABBEY CAPITAL FUTURES STRATEGY FUND
of
THE RBB FUND, INC.
SEMI-ANNUAL REPORT
FEBRUARY 29, 2016
(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.
ABBEY CAPITAL FUTURES STRATEGY FUND
SEMI-ANNUAL INVESTMENT ADVISER’S REPORT
(UNAUDITED)
Dear Shareholder,
The Abbey Capital Futures Strategy Fund (the “Fund”) Class I Shares returned +4.91% net of fees for the six-month period ended February 29, 2016, outperforming the Barclay CTA Index and S&P 500 Total Return Index, which returned +2.69% and -0.92%, respectively.* The period of positive performance coincided with strong trends in energy and bond markets, although returns were dampened by several reversals in major currency and equity markets. The strength of the trends ultimately benefited the Fund’s core allocation to trendfollowing systems, through its investment in Abbey Capital Offshore Fund Limited (the “ACOF”), a wholly owned subsidiary of the Fund. The Fund invests up to 25% of its assets into the ACOF.
*Please note the performance of the referenced indicies is shown for illustrative purposes only.
| YEAR 2015 | 2016 YTD | SEPT. 1, 2015 TO FEB 29, 2016 | SINCE INCEPTION ON JULY 01, 2014 TO DEC 31, 2015 | SINCE INCEPTION ON JULY 1, 2014 | ||||||||||||||||||||
Class I Shares | 4.12 | % | 4.22 | % | 4.91 | % | 15.11 | % | 16.41 | % | |||||||||||||||
Class A Shares (Pro forma July 1, 2014 to Aug 29, 2014) | 3.85 | % | 4.23 | % | 4.81 | % | 14.82 | % | 16.14 | %* | |||||||||||||||
Class A Shares (max Load) (Pro forma July 1, 2014 Aug 29, 2014)** | (2.13 | )% | (1.80 | )% | (1.20 | )% | 10.38 | % | 12.08 | %* | |||||||||||||||
Class C Shares (Pro forma July 1, 2014 to Oct 6, 2015) | 3.12 | % | 4.14 | % | 4.51 | % | 14.00 | % | 15.33 | %*** | |||||||||||||||
BofA Merrill Lynch 3-Month T-Bill Index | 0.05 | % | 0.03 | % | 0.06 | % | 0.07 | % | 0.09 | % | |||||||||||||||
S&P 500 Total Return Index | 1.38 | % | (5.09 | )% | (0.92 | )% | 4.99 | % | 1.26 | % | |||||||||||||||
Barclay CTA Index | (1.48 | )% | 2.80 | % | 2.69 | % | 3.55 | % | 4.91 | % |
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.
* 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 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 Bank of America Merrill Lynch 3-Month T-Bill Index are comprised of publicly traded securities. As a result of these differences these indices may not be directly comparable and the above is shown for illustrative purposes only.
Gross annual expense ratios are 2.71%, 2.46% and 3.46% for Class A Shares, Class I Shares and Class C Shares, respectively, as stated in the current prospectus. The net expense ratio for Class I Shares is 2.03%, for Class A Shares is 2.28% and for Class C Shares is 3.03%. Abbey Capital Limited (“the Investment Adviser”) has contractually agreed to waive and/or reimburse certain fees and expenses until December 31, 2016 and it may not be terminated without the approval
1
ABBEY CAPITAL FUTURES STRATEGY FUND
SEMI-ANNUAL INVESTMENT ADVISER’S REPORT (CONTINUED)
(UNAUDITED)
of the Board of Directors, as stated in the current prospectus. In addition, the Adviser may recoup certain amounts for the first three years if it does not cause the Fund to exceed expense limitations. Please refer to the prospectus for further information on expenses and fees.
Market Commentary
Increased concerns about the outlook for global economic growth were the key drivers of financial and commodity markets throughout the six-month period ended February 29, 2016. Disappointing Chinese data releases raised further the possibility of a hard landing in the Chinese economy. In the Eurozone, the outlook also appeared to deteriorate amid European Central Bank (“ECB”) cuts to growth and inflation forecasts. Providing intermittent periods of support to global equities were rising expectations of greater stimulus from central banks in Europe and Asia. Ultimately, however, the weak economic outlook weighed heavily on industrial commodity prices, with U.S. crude oil falling to levels not seen since 2003. The sharp drop added to rising investor risk aversion, with global equities selling off sharply in early 2016. Perceived safe-haven assets benefited from the heightened market volatility, with core government bonds, gold prices and the Japanese Yen advancing notably over the period.
Central bank policy and commentary, in response to the weak outlook and increasing market turmoil, became a significant focus for market participants. Norway and New Zealand reduced interest rates in September, with the People’s Bank of China following suit in a similar manner in October. The ECB announced further stimulus measures in December, while New Zealand reduced rates for a second time before year-end. At the end of January, the Bank of Japan surprised investors by adopting negative interest rates, and in February, Sweden’s Riksbank also reduced rates. In contrast, the U.S. Federal Reserve raised interest rates as expected in December on improving employment data and rising inflation, although it did acknowledge that recent market volatility may prove harmful to the U.S. economy. This significant amount of central bank activity in a short period created volatile trading conditions in currency markets, with several established trends suffering sharp corrections or reversals.
Agricultural markets also experienced large moves during the six months, with corn and wheat selling off amid reports of strong crop growth, while coffee declined on improved growing conditions in Brazil. Sugar surged over the period, with varying supply disruptions and additional demand from cane-based ethanol producers supporting the rally.
Performance Attribution
Returns for the ACOF over the period were driven by gains in energy and bond markets, with the ACOF’s Diversified Trendfollowing (“Trendfollowing”) trading advisers capturing strong trends in these sectors. The ACOF’s Value and Global Macro trading advisers also contributed positively to performance; the Value trading adviser saw its strongest gains in major currencies, while Global Macro trading advisers fared well in equity markets. These two sectors were the largest detractors for the ACOF’s Trendfollowing trading advisers. Within energy, Trendfollowing trading advisers generated good gains from short positions in natural gas, crude oil and heating oil contracts, while in bonds, profits were derived from long exposure to Japanese, German and U.K. government debt. Further Fund level gains were generated in grains, with Trendfollowing trading advisers the sole driver of profits in the sector. Major currencies were the largest detractor at the Fund level, driven by Trendfollowing trading advisers’ losses from mostly long USD positions against the EUR and AUD. The Value trading adviser did provide some positive diversification through long USD exposure versus the CAD, SEK and GBP. The Fund’s equity losses were incurred from long positions in the Nasdaq and DAX indices, although Global Macro trading advisers did pare these with good gains from mostly short positions in the S&P 500 and Hang Seng indices.
2
ABBEY CAPITAL FUTURES STRATEGY FUND
SEMI-ANNUAL INVESTMENT ADVISER’S REPORT (CONCLUDED)
(UNAUDITED)
Portfolio Allocations
MANAGER | PROGRAM | TRADING STYLE* | ALLOCATION DATE | |||||
Cantab Capital Partners, LLP | CCP Core Macro Fund | Diversified Trendfollowing | July 02, 2014 | |||||
Altis Partners (Jersey) Limited | Altis Emerald | Diversified Trendfollowing | July 10, 2014 | |||||
P/E Global, LLC | P/E Emerald | Global Macro | July 14, 2014 | |||||
Harmonic Capital Partners LLP | Harmonic Emerald | Value | July 17, 2014 | |||||
Revolution Capital Management, LLC | Revolution Emerald | Diversified Trendfollowing | July 02, 2014 | ** | ||||
Eclipse Capital Management, Inc. | Eclipse Emerald | Diversified Trendfollowing | July 14, 2014 | |||||
Graham Capital Management L.P. | Tactical Trend | Diversified Trendfollowing | July 02, 2014 | |||||
Trigon Investment Advisors, LLC | Trigon Emerald | Global Macro | July 02, 2014 | |||||
Conquest Capital LLC | Conquest Emerald Futures Program | Global Macro | October 28, 2015 |
* Trading advisers appointed to the ACOF have been classified in accordance with the trading style that best describes each of their primary trading strategies as determined by the Investment Adviser to the Fund.
** Revolution Capital Management, LLC was terminated as a trading adviser to ACOF as of September 4, 2014 and re-appointed as a trading adviser as of October 21, 2014.
AUD | Australian Dollar | |
CAD | Canadian Dollar | |
EUR | Euro | |
GBP | British Pound Sterling | |
SEK | Swedish Krona | |
USD | US Dollar |
3
ABBEY CAPITAL FUTURES STRATEGY FUND
PERFORMANCE DATA
(UNAUDITED)
AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIODS ENDED FEBRUARY 29, 2016 |
| |||||||||||
Six Months† | One Year | Since Inception†† | ||||||||||
Abbey Capital Futures Strategy Fund, A Shares (without sales charge) (Pro forma July 1, 2014 to Aug 29, 2014) | 4.81% | 1.51% | 16.14% | * | ||||||||
Abbey Capital Futures Strategy Fund, A Shares (with sales charge) (Pro forma July 1, 2014 to Aug 29, 2014) | -1.20% | -4.35% | 12.08% | * | ||||||||
BofA Merrill Lynch 3-Month U.S. Treasury Bill Index | 0.06% | * | 0.07% | 0.05% | ** | |||||||
S&P 500 Total Return Index | -0.92% | * | -6.19% | 1.26% | ** | |||||||
Barclay CTA Index | 2.69% | * | -1.53% | 4.94% | ** | |||||||
Abbey Capital Futures Strategy Fund, I Shares | 4.91% | 1.69% | 16.41% | |||||||||
BofA Merrill Lynch 3-Month U.S. Treasury Bill Index | 0.06% | 0.07% | 0.05% | ** | ||||||||
S&P 500 Total Return Index | -0.92% | -6.19% | 1.26% | ** | ||||||||
Barclay CTA Index | 2.69% | -1.53% | 4.94% | ** | ||||||||
Abbey Capital Futures Strategy Fund, C Shares (Pro forma July 1, 2014 to Oct 6, 2015) | 4.51% | *** | 0.80% | *** | 15.33% | *** | ||||||
BofA Merrill Lynch 3-Month U.S. Treasury Bill Index | 0.06% | 0.07% | 0.05% | ** | ||||||||
S&P 500 Total Return Index | -0.92% | -6.19% | 1.26% | ** | ||||||||
Barclay CTA Index | 2.69% | -1.53% | 4.94% | ** |
† | Not annualized. |
†† | Inception date of Class A Shares, Class I Shares and Class C Shares of the Fund was August 29, 2014, July 1, 2014 and October 6, 2015, respectively. |
* | Class A Share 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 respective Class and is not the inception date of the index itself. The above is shown for illustrative purposes only the Fund is not benchmarked against any of the indices referenced. |
*** | 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 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 Bank of America Merrill Lynch 3-Month T-Bill Index are comprised of publicly traded securities. As a result of these differences these indices may not be directly comparable and the above is shown for illustrative purposes only.
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 their investment. The Fund invests in long and short positions in futures, forwards, spot contracts, swaps, and options, 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 read carefully before investing.
The Fund charges a 5.75% maximum sales charge on purchases (as a percentage of offering price) of Class A Shares. The performance quoted reflects fee waivers in effect and would have been less in their absence. The Fund’s gross annual operating expense ratio, as stated in the current prospectus, is 2.71%, 2.46% and 3.46%, and the Fund’s net
4
ABBEY CAPITAL FUTURES STRATEGY FUND
PERFORMANCE DATA (CONCLUDED)
(UNAUDITED)
operating expense ratio is 2.28%, 2.03% and 3.03% for Class A Shares, Class I Shares and Class C Shares, respectively. The Investment 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 2.24%, 1.99% and 2.99% of the Fund’s average daily net assets attributable to Class A Shares, Class I Shares and Class C Shares, respectively. With interest expense included, the Fund’s net expense ratios are 2.03% for Class I Shares, 2.28% for Class A Shares and 3.03% for Class C Shares, net of the expense limitation. Without the limitation arrangement the expense ratios are 2.46% for Class I Shares, 2.71% for Class A Shares and 3.46% for Class C Shares. This contractual limitation is in effect until December 31, 2016 and may not be terminated without the approval of the Board of Directors.
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 Barclay CTA Index is a leading industry benchmark of representative performance of commodity trading advisors.
The BofA Merrill Lynch 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.
Portfolio composition is subject to change.
5
ABBEY CAPITAL FUTURES STRATEGY FUND
FUND EXPENSE EXAMPLES
(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.
This example is based on an investment of $1,000 invested at the beginning of the six-month period from September 1, 2015 through February 29, 2016, 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 EXAMPLEFOR 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.
CLASS A SHARES | ||||||
BEGINNING ACCOUNT VALUE | ENDING ACCOUNT VALUE | EXPENSES PAID | ||||
SEPTEMBER 1, 2015 | FEBRUARY 29, 2016 | DURING PERIOD | ||||
Actual* | $1,000.00 | $1,048.10 | $11.66 | |||
Hypothetical | 1,000.00 | 1,013.48 | 11.46 | |||
CLASS I SHARES | ||||||
BEGINNING ACCOUNT VALUE | ENDING ACCOUNT VALUE | EXPENSES PAID | ||||
SEPTEMBER 1, 2015 | FEBRUARY 29, 2016 | DURING PERIOD | ||||
Actual** | $1,000.00 | $1,049.10 | $10.39 | |||
Hypothetical | 1,000.00 | 1,014.72 | 10.22 | |||
CLASS C SHARES | ||||||
BEGINNING ACCOUNT VALUE | ENDING ACCOUNT VALUE | EXPENSES PAID | ||||
OCTOBER 6, 2015 | FEBRUARY 29, 2016 | DURING PERIOD | ||||
Actual*** | $1,000.00 | $1,049.60 | $12.34 | |||
Hypothetical | 1,000.00 | 1,009.75 | 15.19 |
6
ABBEY CAPITAL FUTURES STRATEGY FUND
FUND EXPENSE EXAMPLES (CONCLUDED)
(UNAUDITED)
* | Expenses equal to an annualized expense ratio for the period September 1, 2015 to February 29, 2016 of 2.29% for the Class A Shares of the Fund, which includes waived fees or reimbursed expenses (including interest expense), multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (182) then divided by 366 days to reflect the one-half year period. The annualized amount of interest expense was 0.05% for the period September 1, 2015 to February 29, 2016. Without this expense, the annualized expense ratio would have been 2.24%. The Fund’s ending account value on the first line in the table is based on the actual six-month return for the Class A Shares of the Fund of 4.81%. |
** | Expenses equal to an annualized expense ratio for the period September 1, 2015 to February 29, 2016 of 2.04% for the Class I Shares of the Fund, which includes waived fees or reimbursed expenses (including interest expense), multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (182) then divided by 366 days to reflect the one-half year period. The annualized amount of interest expense was 0.05% for the period September 1, 2015 to February 29, 2016. Without this expense, the annualized expense ratio would have been 1.99%. The Fund’s ending account value on the first line in the table is based on the actual six-month return for the Class I Shares of the Fund of 4.91%. |
*** | Expenses equal to an annualized expense ratio for the period October 6, 2015 to February 29, 2016 of 3.04% for the Class C Shares of the Fund, which includes waived fees or reimbursed expenses (including dividend and interest expense), multiplied by the average account value over the period, multiplied by the number of days in the most recent period (145) then divided by 366 days. The annualized amount of interest expense was 0.05% for the period October 6, 2015 to February 29, 2016. Without this expense, the annualized expense ratio would have been 2.99%. The Fund’s ending account value on the first line in the table is based on the actual total return since inception for the C Shares of the Fund of 4.96%. For comparison purposes, the hypothetical expenses are as if Class C had been in existence from September 1, 2015 and are equal to the Class C Shares annualized expense ratio, multiplied by the average account value over the period, multiplied by the number of days in the most recent six-month period (182), then divided by 366. |
7
ABBEY CAPITAL FUTURES STRATEGY FUND
CONSOLIDATED PORTFOLIO HOLDINGS SUMMARY TABLE
FEBRUARY 29, 2016
(UNAUDITED)
The following table presents a consolidated summary of the portfolio holdings of the Fund at February 29, 2016.
% OF NET | ||||||||
SECURITY TYPE | ASSETS | VALUE | ||||||
| ||||||||
SHORT-TERM INVESTMENTS: | ||||||||
U.S. Treasury Obligations | 67.5% | $ | 394,266,368 | |||||
PURCHASED OPTIONS | 0.5 | 2,662,137 | ||||||
OTHER ASSETS IN EXCESS OF LIABILITIES (including futures, forward foreign currency contracts and written options) | 32.0 | 187,218,059 | ||||||
|
|
|
| |||||
NET ASSETS | 100.0% | $ | 584,146,564 | |||||
|
|
|
|
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 financial statements. |
8
ABBEY CAPITAL FUTURES STRATEGY FUND
CONSOLIDATED PORTFOLIO OF INVESTMENTS
FEBRUARY 29, 2016
(UNAUDITED)
MATURITY | PAR | |||||||||||||||
COUPON* | DATE | (000’S) | VALUE | |||||||||||||
SHORT-TERM INVESTMENTS — 67.5% | ||||||||||||||||
U.S. TREASURY OBLIGATIONS—67.5% | ||||||||||||||||
U.S. Treasury Bills | 0.010% | 03/03/16 | $ | 11,000 | $ | 10,999,912 | ||||||||||
U.S. Treasury Bills | 0.050% | 03/31/16 | 24,566 | 24,560,866 | ||||||||||||
U.S. Treasury Bills | 0.060% | 04/14/16 | 13,156 | 13,151,553 | ||||||||||||
U.S. Treasury Bills | 0.225% | 04/28/16 | 14,455 | 14,448,683 | ||||||||||||
U.S. Treasury Bills | 0.320% | 05/12/16 | 19,368 | 19,356,786 | ||||||||||||
U.S. Treasury Bills | 0.360% | 05/26/16 | 20,501 | 20,485,214 | ||||||||||||
U.S. Treasury Bills | 0.430% | 06/16/16 | 24,300 | 24,277,596 | ||||||||||||
U.S. Treasury Bills | 0.440% | 06/30/16 | 44,953 | 44,902,338 | ||||||||||||
U.S. Treasury Bills | 0.400% | 07/14/16 | 25,362 | 25,328,953 | ||||||||||||
U.S. Treasury Bills | 0.390% | 07/28/16 | 23,660 | 23,619,612 | ||||||||||||
U.S. Treasury Bills | 0.335% | 08/11/16 | 69,814 | 69,672,417 | ||||||||||||
U.S. Treasury Bills | 0.350% | 08/18/16 | 72,589 | 72,431,410 | ||||||||||||
U.S. Treasury Bills | 0.425% | 08/25/16 | 31,103 | 31,031,028 | ||||||||||||
|
| |||||||||||||||
394,266,368 | ||||||||||||||||
|
| |||||||||||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $ 394,311,925) | 394,266,368 | |||||||||||||||
|
| |||||||||||||||
TOTAL PURCHASED OPTIONS — 0.5%** | 2,662,137 | |||||||||||||||
|
| |||||||||||||||
TOTAL INVESTMENTS — 68.0% | 396,928,505 | |||||||||||||||
|
| |||||||||||||||
OTHER ASSETSIN EXCESSOF LIABILITIES — 32.0% | 187,218,059 | |||||||||||||||
|
| |||||||||||||||
NET ASSETS — 100.0% | $ | 584,146,564 | ||||||||||||||
|
|
* | Short-term investments reflect the annualized effective yield on the date of purchase for discounted investments. |
** | See page 18 for detail information regarding the Purchased Options. |
The accompanying notes are an integral part of the financial statements.
9
ABBEY CAPITAL FUTURES STRATEGY FUND
CONSOLIDATED PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 29, 2016
(UNAUDITED)
FUTURES CONTRACTS
UNREALIZED | ||||||||||||||
EXPIRATION | NUMBER OF | NOTIONAL | APPRECIATION | |||||||||||
LONG CONTRACTS | DATE | CONTRACTS | COST | (DEPRECIATION) | ||||||||||
10-Year Mini Japanese Government Bond Futures | 03/11/16 | 443 | $ | 59,220,159 | $ | 569,420 | ||||||||
3-Month Euro Euribor | 06/13/16 | 18 | 4,906,308 | 4,705 | ||||||||||
3-Month Euro Euribor | 09/19/16 | 523 | 142,583,819 | 172,411 | ||||||||||
3-Month Euro Euribor | 12/19/16 | 34 | 9,271,137 | 11,232 | ||||||||||
3-Month Euro Euribor | 03/13/17 | 47 | 12,813,425 | 18,086 | ||||||||||
3-Month Euro Euribor | 06/19/17 | 326 | 88,857,303 | 139,803 | ||||||||||
3-Month Euro Euribor | 09/18/17 | 85 | 23,167,290 | 34,009 | ||||||||||
3-Month Euro Euribor | 12/18/17 | 101 | 27,534,798 | 26,938 | ||||||||||
3-Month Euro Euribor | 03/19/18 | 3 | 816,884 | 1,537 | ||||||||||
3-Month Euro Euribor | 06/18/18 | 2 | 544,934 | 462 | ||||||||||
3-Month Euro Euribor | 09/17/18 | 2 | 544,376 | 775 | ||||||||||
3-Month Euro Euribor | 12/17/18 | 1 | 272,154 | 272 | ||||||||||
3-Month Euroyen Futures | 06/13/16 | 6 | 1,330,418 | 100 | ||||||||||
3-Month Euroyen Futures | 09/16/16 | 3 | 665,425 | 233 | ||||||||||
3-Month Euroyen Futures | 12/19/16 | 8 | 1,775,143 | 477 | ||||||||||
5-Year Euro Swapnote Futures | 03/14/16 | 26 | 3,666,105 | 18,766 | ||||||||||
90-DAY Bank Bill | 12/08/16 | 1 | 710,370 | 17 | ||||||||||
90-DAY Eurodollar Futures | 09/19/16 | 616 | 152,819,362 | �� | (28,262 | ) | ||||||||
90-DAY Eurodollar Futures | 12/19/16 | 30 | 7,439,125 | (1,750 | ) | |||||||||
90-DAY Eurodollar Futures | 03/13/17 | 30 | 7,431,750 | 3,000 | ||||||||||
90-DAY Eurodollar Futures | 06/19/17 | 583 | 144,392,362 | 24,025 | ||||||||||
90-DAY Eurodollar Futures | 09/18/17 | 64 | 15,834,850 | 11,550 | ||||||||||
90-DAY Eurodollar Futures | 12/18/17 | 72 | 17,802,250 | 14,150 | ||||||||||
90-DAY Eurodollar Futures | 03/19/18 | 7 | 1,726,112 | 5,162 | ||||||||||
90-DAY Eurodollar Futures | 06/18/18 | 8 | 1,972,462 | 4,837 | ||||||||||
90-DAY Eurodollar Futures | 09/17/18 | 8 | 1,970,425 | 5,575 | ||||||||||
90-DAY Eurodollar Futures | 12/17/18 | 8 | 1,972,088 | 2,512 | ||||||||||
90-DAY Eurodollar Futures | 03/18/19 | 9 | 2,215,988 | 4,087 | ||||||||||
90-DAY Eurodollar Futures | 06/17/19 | 7 | 1,723,862 | 1,637 | ||||||||||
90-DAY Eurodollar Futures | 09/16/19 | 6 | 1,474,975 | 3,050 | ||||||||||
90-DAY Sterling Futures | 03/16/16 | 20 | 3,452,127 | 6,611 | ||||||||||
90-DAY Sterling Futures | 09/21/16 | 824 | 142,386,825 | 156,217 | ||||||||||
90-DAY Sterling Futures | 12/21/16 | 59 | 10,184,820 | 23,592 | ||||||||||
90-DAY Sterling Futures | 03/15/17 | 22 | 3,798,071 | 8,455 | ||||||||||
90-DAY Sterling Futures | 06/21/17 | 450 | 77,636,575 | 216,363 | ||||||||||
90-DAY Sterling Futures | 09/20/17 | 38 | 6,554,484 | 17,781 | ||||||||||
90-DAY Sterling Futures | 12/20/17 | 45 | 7,767,809 | 12,788 | ||||||||||
90-DAY Sterling Futures | 03/21/18 | 3 | 516,793 | 1,757 | ||||||||||
90-DAY Sterling Futures | 06/20/18 | 2 | 343,699 | 1,896 | ||||||||||
90-DAY Sterling Futures | 09/19/18 | 1 | 171,945 | 800 | ||||||||||
Amsterdam Index Futures | 03/18/16 | 5 | 453,320 | 11,303 | ||||||||||
AUD/CAD Futures | 03/14/16 | 22 | 3,224,272 | (90,939 | ) | |||||||||
AUD/USD Currency Futures | 03/14/16 | 66 | 4,756,100 | (48,980 | ) | |||||||||
Australian 3-Year Bond Futures | 03/15/16 | 45 | 3,599,879 | 11,265 | ||||||||||
Cocoa Futures (Intercontinental Exchange) | 05/13/16 | 39 | 1,160,647 | 40,071 | ||||||||||
Cocoa Futures (Intercontinental Exchange) | 07/14/16 | 16 | 485,351 | 6,583 | ||||||||||
Dollar Index | 03/14/16 | 86 | 8,416,425 | 30,409 | ||||||||||
EUR/CHF 3-Month Futures (Intercontinental Exchange) | 09/19/16 | 1 | 252,729 | 376 | ||||||||||
EUR/CHF 3-Month Futures (Intercontinental Exchange) | 12/19/16 | 1 | 252,804 | 351 | ||||||||||
EUR/CHF Futures | 03/14/16 | 74 | 10,130,189 | (66,819 | ) | |||||||||
EUR/GBP Futures | 03/14/16 | 45 | 6,012,299 | 111,652 | ||||||||||
Euro BUXL 30-Year Bond Futures | 03/08/16 | 24 | 4,306,710 | 126,518 | ||||||||||
Euro-Bobl Futures | 03/08/16 | 1,103 | 158,727,840 | 1,255,396 | ||||||||||
Euro-Bund Futures | 03/08/16 | 1,102 | 195,354,499 | 4,344,339 | ||||||||||
Euro-Schatz Futures | 03/08/16 | 320 | 38,933,461 | 36,122 |
The accompanying notes are an integral part of the financial statements.
10
ABBEY CAPITAL FUTURES STRATEGY FUND
CONSOLIDATED PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 29, 2016
(UNAUDITED)
UNREALIZED | ||||||||||||||
EXPIRATION | NUMBER OF | NOTIONAL | APPRECIATION | |||||||||||
LONG CONTRACTS | DATE | CONTRACTS | COST | (DEPRECIATION) | ||||||||||
FTSE 100 Index Futures | 03/18/16 | 162 | $ | 13,437,506 | $ | 223,148 | ||||||||
FTSE 250 Index Futures | 03/18/16 | 4 | 182,315 | 1,887 | ||||||||||
Gold 100 Oz Futures | 04/27/16 | 145 | 17,673,892 | 224,908 | ||||||||||
Gold 100 Oz Futures | 06/28/16 | 19 | 2,327,390 | 19,300 | ||||||||||
Gold 100 Oz Futures | 08/29/16 | 11 | 1,343,140 | 16,240 | ||||||||||
H-Shares Index Futures | 03/30/16 | 9 | 473,049 | (13,969 | ) | |||||||||
JPN 10-Year Bond (Osaka Securities Exchange) | 03/14/16 | 54 | 72,214,359 | 657,266 | ||||||||||
JPY Currency Futures | 03/14/16 | 249 | 27,212,938 | 385,599 | ||||||||||
JPY E-Mini Futures | 03/14/16 | 69 | 3,812,419 | 11,475 | ||||||||||
Lean Hogs Futures | 04/14/16 | 53 | 1,482,550 | 920 | ||||||||||
Lean Hogs Futures | 06/14/16 | 32 | 1,029,250 | 4,350 | ||||||||||
Lean Hogs Futures | 07/15/16 | 27 | 864,320 | 4,270 | ||||||||||
Live Cattle Futures | 04/29/16 | 10 | 550,720 | (2,820 | ) | |||||||||
London Mercantile Exchange Aluminum Forward | 03/16/16 | 221 | 8,366,628 | 320,053 | ||||||||||
London Mercantile Exchange Aluminum Forward | 04/20/16 | 23 | 1,048,005 | (142,093 | ) | |||||||||
London Mercantile Exchange Aluminum Forward | 05/18/16 | 20 | 873,978 | (87,228 | ) | |||||||||
London Mercantile Exchange Aluminum Forward | 06/15/16 | 63 | 2,550,670 | (68,470 | ) | |||||||||
London Mercantile Exchange Lead Forward | 03/16/16 | 2 | 256,260 | (168,648 | ) | |||||||||
London Mercantile Exchange Tin Forward Spot | 03/16/16 | 5 | 467,455 | (68,205 | ) | |||||||||
London Mercantile Exchange Tin Forward Spot | 04/20/16 | 16 | 1,369,805 | (100,205 | ) | |||||||||
London Mercantile Exchange Tin Forward Spot | 05/18/16 | 20 | 1,574,775 | 7,225 | ||||||||||
London Mercantile Exchange Zinc Forward ($) | 03/16/16 | 2 | 266,536 | (178,399 | ) | |||||||||
London Mercantile Exchange Zinc Forward ($) | 04/20/16 | 9 | 450,429 | (54,260 | ) | |||||||||
London Mercantile Exchange Zinc Forward ($) | 05/18/16 | 10 | 436,716 | 3,971 | ||||||||||
London Mercantile Exchange Zinc Forward ($) | 06/15/16 | 11 | 484,481 | 1,031 | ||||||||||
Long Gilt Futures | 06/28/16 | 381 | 64,246,106 | 401,979 | ||||||||||
MSCI Taiwan Index | 03/30/16 | 29 | 888,515 | 2,075 | ||||||||||
NZD Futures | 03/14/16 | 40 | 2,669,290 | (37,290 | ) | |||||||||
Platinum Futures | 04/27/16 | 13 | 615,150 | (7,855 | ) | |||||||||
S&P/TSX 60 IX Futures | 03/17/16 | 9 | 998,403 | 4,566 | ||||||||||
Silver Futures | 05/26/16 | 1 | 114,475 | (39,885 | ) | |||||||||
Silver Futures | 07/27/16 | 6 | 460,425 | (11,985 | ) | |||||||||
Silver Futures | 09/28/16 | 2 | 154,500 | (4,730 | ) | |||||||||
Soybean Oil Futures | 05/13/16 | 102 | 1,926,042 | (36,798 | ) | |||||||||
Soybean Oil Futures | 07/14/16 | 59 | 1,132,464 | (31,170 | ) | |||||||||
Soybean Oil Futures | 08/12/16 | 16 | 302,850 | (3,330 | ) | |||||||||
Swiss Fed BND Futures | 03/08/16 | 8 | 1,323,816 | 9,705 | ||||||||||
U.S. Treasury 10-Year Notes (Chicago Board of Trade) | 06/21/16 | 941 | 122,994,330 | (179,126 | ) | |||||||||
U.S. Treasury 2-Year Notes (Chicago Board of Trade) | 06/30/16 | 6 | 1,313,109 | (1,828 | ) | |||||||||
U.S. Treasury 5-Year Notes (Chicago Board of Trade) | 06/30/16 | 858 | 103,925,524 | (120,930 | ) | |||||||||
USD Long Bond (Chicago Board of Trade) | 06/21/16 | 101 | 16,703,953 | (86,297 | ) | |||||||||
|
|
|
| |||||||||||
$ | 1,906,853,870 | $ | 8,117,170 | |||||||||||
|
|
|
| |||||||||||
UNREALIZED | ||||||||||||||
EXPIRATION | NUMBER OF | NOTIONAL | APPRECIATION | |||||||||||
SHORT CONTRACTS | DATE | CONTRACTS | COST | (DEPRECIATION) | ||||||||||
90-DAY Bank Bill | 03/10/16 | 9 | $ | (6,390,192 | ) | $ | 2,037 | |||||||
90-DAY Bank Bill | 06/09/16 | 8 | (5,680,171 | ) | (557 | ) | ||||||||
AUD/JPY Futures | 03/14/16 | 21 | (3,008,363 | ) | 12,434 | |||||||||
AUD/NZD Futures | 03/14/16 | 18 | (2,536,608 | ) | (34,447 | ) | ||||||||
Australian 10-Year Bond Futures | 03/15/16 | 1,081 | (99,551,621 | ) | (2,169,195 | ) | ||||||||
Brent Crude Futures | 03/31/16 | 66 | (2,247,210 | ) | (166,410 | ) | ||||||||
Brent Crude Futures | 04/29/16 | 5 | (172,790 | ) | (13,360 | ) | ||||||||
Brent Crude Futures | 05/31/16 | 6 | (241,840 | ) | 14,860 | |||||||||
Brent Crude Futures | 06/30/16 | 5 | (189,580 | ) | (2,720 | ) | ||||||||
Brent Crude Futures | 07/29/16 | 5 | (175,140 | ) | (20,310 | ) | ||||||||
Brent Crude Futures | 08/31/16 | 4 | (151,510 | ) | (7,130 | ) |
The accompanying notes are an integral part of the financial statements.
11
ABBEY CAPITAL FUTURES STRATEGY FUND
CONSOLIDATED PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 29, 2016
(UNAUDITED)
UNREALIZED | ||||||||||||||
EXPIRATION | NUMBER OF | NOTIONAL | APPRECIATION | |||||||||||
SHORT CONTRACTS | DATE | CONTRACTS | COST | (DEPRECIATION) | ||||||||||
CAC40 10 Euro Futures | 03/18/16 | 104 | $ | (4,732,371 | ) | $ | (191,914 | ) | ||||||
CAD Currency Futures | 03/15/16 | 12 | (897,420 | ) | 9,180 | |||||||||
CAD/JPY Futures | 03/14/16 | 21 | (3,064,662 | ) | (44,876 | ) | ||||||||
Canadian 10-Year Bond Futures | 06/21/16 | 197 | (20,658,167 | ) | 45,240 | |||||||||
Canola Futures (Winnipeg Commodity Exchange) | 05/13/16 | 57 | (394,241 | ) | 15,336 | |||||||||
Canola Futures (Winnipeg Commodity Exchange) | 07/14/16 | 14 | (95,030 | ) | 973 | |||||||||
Canola Futures (Winnipeg Commodity Exchange) | 11/14/16 | 21 | (146,189 | ) | 2,930 | |||||||||
Cattle Feeder Futures | 03/24/16 | 3 | (229,312 | ) | (7,912 | ) | ||||||||
Cattle Feeder Futures | 04/28/16 | 3 | (228,262 | ) | (10,350 | ) | ||||||||
Cattle Feeder Futures | 05/26/16 | 16 | (1,222,462 | ) | (41,938 | ) | ||||||||
CHF Currency Futures | 03/14/16 | 26 | (3,239,988 | ) | (16,512 | ) | ||||||||
CHF/JPY Futures | 03/14/16 | 23 | (5,953,550 | ) | 191,056 | |||||||||
Cocoa Futures | 05/13/16 | 19 | (539,190 | ) | (22,260 | ) | ||||||||
Cocoa Futures | 07/14/16 | 20 | (564,990 | ) | (25,610 | ) | ||||||||
Cocoa Futures | 09/15/16 | 9 | (255,240 | ) | (9,270 | ) | ||||||||
Cocoa Futures (Intercontinental Exchange) | 03/14/16 | 4 | (112,016 | ) | (11,302 | ) | ||||||||
Coffee ‘C’ Futures | 05/18/16 | 89 | (3,907,931 | ) | 68,138 | |||||||||
Coffee ‘C’ Futures | 07/19/16 | 49 | (2,192,662 | ) | 42,788 | |||||||||
Coffee ‘C’ Futures | 09/20/16 | 29 | (1,305,469 | ) | 13,519 | |||||||||
Coffee Robusta Futures | 05/31/16 | 86 | (1,300,290 | ) | 85,110 | |||||||||
Coffee Robusta Futures | 07/29/16 | 82 | (1,205,480 | ) | 23,860 | |||||||||
Coffee Robusta Futures | 09/30/16 | 10 | (143,240 | ) | (3,460 | ) | ||||||||
Copper Futures | 05/26/16 | 21 | (1,080,075 | ) | (39,488 | ) | ||||||||
Copper Futures | 07/27/16 | 15 | (770,275 | ) | (31,100 | ) | ||||||||
Copper Futures | 09/28/16 | 1 | (53,725 | ) | 225 | |||||||||
Corn Futures | 05/13/16 | 334 | (6,141,275 | ) | 179,375 | |||||||||
Corn Futures | 07/14/16 | 64 | (1,187,112 | ) | 29,512 | |||||||||
Corn Futures | 09/14/16 | 89 | (1,662,375 | ) | 28,112 | |||||||||
Corn Futures | 12/14/16 | 101 | (1,927,925 | ) | 30,387 | |||||||||
Cotton No.2 Futures | 05/06/16 | 68 | (2,042,820 | ) | 121,820 | |||||||||
Cotton No.2 Futures | 07/07/16 | 87 | (2,597,080 | ) | 149,770 | |||||||||
Dax Index Futures | 03/18/16 | 22 | (5,633,308 | ) | (29,195 | ) | ||||||||
DJIA Mini e-CBOT | 03/18/16 | 22 | (1,754,050 | ) | (60,620 | ) | ||||||||
E-Mini Crude Oil | 03/18/16 | 8 | (171,512 | ) | 36,512 | |||||||||
E-Mini Crude Oil | 04/19/16 | 12 | (214,462 | ) | 982 | |||||||||
E-Mini Crude Oil | 05/19/16 | 11 | (192,775 | ) | (10,010 | ) | ||||||||
E-Mini Natural Gas | 03/28/16 | 80 | (413,950 | ) | 71,750 | |||||||||
E-Mini Natural Gas | 04/26/16 | 103 | (535,738 | ) | 70,178 | |||||||||
E-Mini Natural Gas | 05/25/16 | 59 | (297,600 | ) | 17,940 | |||||||||
EUR/AUD Futures | 03/14/16 | 6 | (820,206 | ) | 3,212 | |||||||||
EUR/CHF 3-Month Futures (Intercontinental Exchange) | 06/13/16 | 1 | (252,354 | ) | (626 | ) | ||||||||
EUR/JPY Futures | 03/14/16 | 41 | (5,762,921 | ) | 183,168 | |||||||||
Euro E-Mini Futures | 03/14/16 | 29 | (1,986,862 | ) | 13,956 | |||||||||
Euro Foreign Exchange Currency Future | 03/14/16 | 280 | (38,118,631 | ) | 21,131 | |||||||||
Euro STOXX 50 | 03/18/16 | 154 | (4,874,451 | ) | (40,871 | ) | ||||||||
Fed Fund 30-Day Futures | 03/31/16 | 1,016 | (421,737,236 | ) | — | |||||||||
Fed Fund 30-Day Futures | 01/31/17 | 791 | (328,062,535 | ) | 282,169 | |||||||||
FTSE/JSE TOP 40 | 03/17/16 | 48 | (1,301,569 | ) | (23,876 | ) | ||||||||
FTSE/MIB Index Futures | 03/18/16 | 12 | (1,187,612 | ) | 39,620 | |||||||||
Gasoline RBOB Futures | 03/31/16 | 66 | (3,449,750 | ) | (211,231 | ) | ||||||||
Gasoline RBOB Futures | 04/29/16 | 13 | (776,059 | ) | 39,942 | |||||||||
Gasoline RBOB Futures | 05/31/16 | 13 | (705,865 | ) | (34,894 | ) | ||||||||
Gasoline RBOB Futures | 06/30/16 | 8 | (428,270 | ) | (25,733 | ) | ||||||||
GBP Currency Futures | 03/14/16 | 141 | (12,545,081 | ) | 281,606 | |||||||||
GBP/AUD Futures | 03/14/16 | 28 | (5,084,562 | ) | 210,217 | |||||||||
GBP/CAD Futures | 03/14/16 | 22 | (4,005,497 | ) | 184,257 | |||||||||
GBP/CHF Futures | 03/14/16 | 25 | (4,391,963 | ) | 45,443 | |||||||||
GBP/JPY Futures | 03/14/16 | 13 | (2,325,363 | ) | 63,578 |
The accompanying notes are an integral part of the financial statements.
12
ABBEY CAPITAL FUTURES STRATEGY FUND
CONSOLIDATED PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 29, 2016
(UNAUDITED)
UNREALIZED | ||||||||||||||
EXPIRATION | NUMBER OF | NOTIONAL | APPRECIATION | |||||||||||
SHORT CONTRACTS | DATE | CONTRACTS | COST | (DEPRECIATION) | ||||||||||
GBP/NZD Futures | 03/14/16 | 31 | $ | (5,526,519 | ) | $ | 126,674 | |||||||
Hang Seng Index Futures | 03/30/16 | 84 | (10,420,883 | ) | 130,463 | |||||||||
IBEX 35 Index Futures | 03/18/16 | 6 | (536,857 | ) | (13,211 | ) | ||||||||
Kansas City Hard Red Winter Wheat Futures | 05/13/16 | 86 | (2,017,788 | ) | 50,538 | |||||||||
Kansas City Hard Red Winter Wheat Futures | 07/14/16 | 178 | (4,232,938 | ) | 74,412 | |||||||||
Kansas City Hard Red Winter Wheat Futures | 09/14/16 | 11 | (264,700 | ) | 288 | |||||||||
Live Cattle Futures | 06/30/16 | 4 | (192,350 | ) | (9,530 | ) | ||||||||
Live Cattle Futures | 08/31/16 | 29 | (1,372,200 | ) | (33,140 | ) | ||||||||
London Mercantile Exchange Aluminum Forward | 03/16/16 | 221 | (8,248,240 | ) | (438,441 | ) | ||||||||
London Mercantile Exchange Copper Forward | 03/16/16 | 5 | (745,229 | ) | 157,041 | |||||||||
London Mercantile Exchange Copper Forward | 04/20/16 | 9 | (1,014,312 | ) | (43,412 | ) | ||||||||
London Mercantile Exchange Copper Forward | 05/18/16 | 8 | (896,235 | ) | (43,465 | ) | ||||||||
London Mercantile Exchange Copper Forward | 06/15/16 | 38 | (4,333,254 | ) | (127,233 | ) | ||||||||
London Mercantile Exchange Lead Forward | 04/20/16 | 7 | (110,571 | ) | (196,072 | ) | ||||||||
London Mercantile Exchange Lead Forward | 05/18/16 | 5 | (114,069 | ) | (105,088 | ) | ||||||||
London Mercantile Exchange Nickel Forward | 03/16/16 | 20 | (1,043,024 | ) | 23,504 | |||||||||
London Mercantile Exchange Nickel Forward | 04/20/16 | 28 | (1,418,150 | ) | (10,690 | ) | ||||||||
London Mercantile Exchange Nickel Forward | 05/18/16 | 26 | (1,268,559 | ) | (59,937 | ) | ||||||||
Low Sulphur Gasoil G Futures | 03/10/16 | 1 | (30,050 | ) | (2,400 | ) | ||||||||
Low Sulphur Gasoil G Futures | 04/12/16 | 52 | (1,613,725 | ) | (102,275 | ) | ||||||||
Low Sulphur Gasoil G Futures | 05/12/16 | 8 | (257,150 | ) | (11,450 | ) | ||||||||
Low Sulphur Gasoil G Futures | 06/10/16 | 8 | (259,375 | ) | (13,825 | ) | ||||||||
Mill Wheat Euro | 03/10/16 | 3 | (28,597 | ) | 4,569 | |||||||||
Mill Wheat Euro | 05/10/16 | 79 | (760,356 | ) | 96,466 | |||||||||
Mill Wheat Euro | 09/12/16 | 33 | (305,932 | ) | 14,700 | |||||||||
Mini HSI Index Futures | 03/30/16 | 53 | (1,308,050 | ) | 9,497 | |||||||||
MSCI Singapore Exchange ETS | 03/30/16 | 57 | (1,206,152 | ) | (14,523 | ) | ||||||||
MXN Futures | 03/14/16 | 52 | (1,473,850 | ) | 38,130 | |||||||||
Nasdaq 100 E-Mini | 03/18/16 | 42 | (3,427,180 | ) | (101,870 | ) | ||||||||
Natural Gas Futures | 03/29/16 | 394 | (7,984,930 | ) | 1,243,590 | |||||||||
Natural Gas Futures | 04/27/16 | 54 | (1,167,410 | ) | 191,090 | |||||||||
Natural Gas Futures | 05/26/16 | 56 | (1,265,290 | ) | 203,530 | |||||||||
Natural Gas Futures | 06/28/16 | 57 | (1,324,860 | ) | 193,410 | |||||||||
Natural Gas Futures | 07/27/16 | 55 | (1,268,540 | ) | 149,840 | |||||||||
Natural Gas Futures | 08/29/16 | 57 | (1,302,750 | ) | 131,970 | |||||||||
Natural Gas Futures | 09/28/16 | 70 | (1,626,500 | ) | 161,400 | |||||||||
Natural Gas Futures | 10/27/16 | 61 | (1,473,750 | ) | 112,230 | |||||||||
Natural Gas Futures | 11/28/16 | 39 | (958,000 | ) | (1,010 | ) | ||||||||
New York Harbor Ultra-Low Sulfur Diesel Futures | 03/31/16 | 75 | (3,316,790 | ) | (128,365 | ) | ||||||||
New York Harbor Ultra-Low Sulfur Diesel Futures | 04/29/16 | 6 | (283,408 | ) | 2,831 | |||||||||
New York Harbor Ultra-Low Sulfur Diesel Futures | 05/31/16 | 4 | (185,422 | ) | (5,158 | ) | ||||||||
New York Harbor Ultra-Low Sulfur Diesel Futures | 06/30/16 | 3 | (141,889 | ) | (3,868 | ) | ||||||||
Nikkei 225 (Chicago Mercantile Exchange) | 03/10/16 | 15 | (1,246,950 | ) | 46,575 | |||||||||
Nikkei 225 (Osaka Securities Exchange) | 03/10/16 | 69 | (10,160,968 | ) | 412,665 | |||||||||
Nikkei 225 (Singapore Exchange) | 03/10/16 | 47 | (3,422,886 | ) | 95,517 | |||||||||
Nikkei 225 Mini | 03/10/16 | 8 | (109,929 | ) | (3,095 | ) | ||||||||
NZD/JPY Futures | 03/14/16 | 18 | (2,387,601 | ) | 18,252 | |||||||||
Palladium Futures | 06/28/16 | 10 | (499,105 | ) | 3,455 | |||||||||
Rapeseed Euro | 04/29/16 | 10 | (192,700 | ) | 2,461 | |||||||||
Rapeseed Euro | 07/29/16 | 8 | (150,233 | ) | 544 | |||||||||
Rapeseed Euro | 10/31/16 | 3 | (56,881 | ) | 218 | |||||||||
Red Wheat Futures (Minneapolis Grain Exchange) | 05/13/16 | 52 | (1,317,138 | ) | 46,388 | |||||||||
Red Wheat Futures (Minneapolis Grain Exchange) | 07/14/16 | 55 | (1,388,088 | ) | 22,025 | |||||||||
Red Wheat Futures (Minneapolis Grain Exchange) | 09/14/16 | 5 | (127,575 | ) | 950 | |||||||||
Russell 2000 Mini | 03/18/16 | 57 | (5,734,150 | ) | (146,540 | ) | ||||||||
S&P 500 E-Mini Futures | 03/18/16 | 138 | (13,164,850 | ) | (148,700 | ) | ||||||||
S&P Mid 400 E-Mini | 03/18/16 | 7 | (927,780 | ) | (5,110 | ) | ||||||||
S&P/TSX 60 IX Futures | 03/17/16 | 9 | (999,630 | ) | (3,341 | ) | ||||||||
SGX CNX Nifty | 03/31/16 | 189 | (2,701,740 | ) | 52,905 |
The accompanying notes are an integral part of the financial statements.
13
ABBEY CAPITAL FUTURES STRATEGY FUND
CONSOLIDATED PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 29, 2016
(UNAUDITED)
UNREALIZED | ||||||||||||||
EXPIRATION | NUMBER OF | NOTIONAL | APPRECIATION | |||||||||||
SHORT CONTRACTS | DATE | CONTRACTS | COST | (DEPRECIATION) | ||||||||||
Soybean Futures | 05/13/16 | 150 | $ | (6,546,062 | ) | $ | 88,562 | |||||||
Soybean Futures | 07/14/16 | 62 | (2,720,925 | ) | 31,675 | |||||||||
Soybean Futures | 08/12/16 | 32 | (1,407,888 | ) | 16,288 | |||||||||
Soybean Futures | 09/14/16 | 10 | (439,200 | ) | 4,075 | |||||||||
Soybean Meal Futures | 05/13/16 | 125 | (3,400,030 | ) | 118,780 | |||||||||
Soybean Meal Futures | 07/14/16 | 80 | (2,177,330 | ) | 55,730 | |||||||||
Soybean Meal Futures | 08/12/16 | 17 | (454,160 | ) | 1,450 | |||||||||
SPI 200 Futures | 03/17/16 | 66 | (5,749,599 | ) | 9,546 | |||||||||
Sugar No. 11 (World) | 04/29/16 | 154 | (2,293,850 | ) | (182,963 | ) | ||||||||
Sugar No. 11 (World) | 06/30/16 | 79 | (1,156,848 | ) | (99,568 | ) | ||||||||
Sugar No. 11 (World) | 09/30/16 | 11 | (168,605 | ) | (7,694 | ) | ||||||||
Topix Index Futures | 03/10/16 | 17 | (1,914,904 | ) | (27,005 | ) | ||||||||
Wheat Futures (Chicago Board of Trade) | 05/13/16 | 141 | (3,285,950 | ) | 90,538 | |||||||||
Wheat Futures (Chicago Board of Trade) | 07/14/16 | 143 | (3,391,975 | ) | 101,188 | |||||||||
Wheat Futures (Chicago Board of Trade) | 09/14/16 | 32 | (758,275 | ) | 6,275 | |||||||||
White Sugar (Intercontinental Exchange) | 04/15/16 | 12 | (228,945 | ) | (15,195 | ) | ||||||||
White Sugar (Intercontinental Exchange) | 07/15/16 | 2 | (37,360 | ) | (3,000 | ) | ||||||||
White Sugar (Intercontinental Exchange) | 09/15/16 | 1 | (18,520 | ) | (1,480 | ) | ||||||||
WTI Crude Futures | 03/21/16 | 104 | (3,314,440 | ) | (195,560 | ) | ||||||||
WTI Crude Futures | 04/20/16 | 8 | (289,260 | ) | 4,620 | |||||||||
WTI Crude Futures | 05/20/16 | 6 | (219,970 | ) | (1,250 | ) | ||||||||
WTI Crude Futures | 06/21/16 | 7 | (273,400 | ) | 8,870 | |||||||||
WTI Crude Futures | 07/20/16 | 7 | (292,260 | ) | 22,760 | |||||||||
WTI Crude Futures | 08/22/16 | 8 | (311,760 | ) | (1,040 | ) | ||||||||
WTI Crude Futures | 09/20/16 | 7 | (272,570 | ) | (4,840 | ) | ||||||||
WTI Crude Futures | 10/20/16 | 5 | (194,000 | ) | (6,550 | ) | ||||||||
|
|
|
| |||||||||||
$ | (1,199,858,155 | ) | $ | 1,385,737 | ||||||||||
|
|
|
| |||||||||||
Total Futures Contracts | $ | 706,995,715 | $ | 9,502,907 | ||||||||||
|
|
|
|
Forward foreign currency contracts outstanding as of February 29, 2016 were as follows:
UNREALIZED | ||||||||||||||||||||
APPRECIATION | ||||||||||||||||||||
CURRENCY PURCHASED | CURRENCY SOLD | EXPIRATION | COUNTERPARTY | (DEPRECIATION) | ||||||||||||||||
| ||||||||||||||||||||
AUD | 153,282 | USD | 110,648 | 03/01/16 | BOA | $ | (1,243 | ) | ||||||||||||
AUD | 239,235 | USD | 171,161 | 03/02/16 | BOA | (407 | ) | |||||||||||||
AUD | 9,045,000 | USD | 6,491,265 | 03/04/16 | BOA | (36,036 | ) | |||||||||||||
AUD | 9,730,607 | USD | 7,000,104 | 03/16/16 | BOA | (59,731 | ) | |||||||||||||
AUD | 9,000,000 | USD | 6,428,746 | 03/17/16 | BOA | (9,799 | ) | |||||||||||||
AUD | 10,591,000 | USD | 7,568,177 | 03/18/16 | BOA | (14,880 | ) | |||||||||||||
AUD | 2,868,000 | USD | 2,054,607 | 03/30/16 | BOA | (10,430 | ) | |||||||||||||
BRL | 6,014,758 | USD | 1,496,173 | 03/16/16 | BOA | (4,269 | ) | |||||||||||||
CAD | 55,046 | USD | 40,655 | 03/01/16 | BOA | 29 | ||||||||||||||
CAD | 566,180 | USD | 415,000 | 03/04/16 | BOA | 3,463 | ||||||||||||||
CAD | 11,922,120 | USD | 8,570,155 | 03/16/16 | BOA | 241,525 | ||||||||||||||
CAD | 11,346,345 | USD | 8,250,000 | 03/17/16 | BOA | 136,126 | ||||||||||||||
CAD | 11,382,458 | USD | 8,149,569 | 03/18/16 | BOA | 263,253 | ||||||||||||||
CHF | 770,272 | USD | 780,000 | 03/04/16 | BOA | (8,486 | ) | |||||||||||||
CHF | 2,161,931 | USD | 2,172,859 | 03/18/16 | BOA | (5,757 | ) | |||||||||||||
CLP | 161,300,045 | USD | 227,511 | 03/16/16 | BOA | 3,595 | ||||||||||||||
CZK | 36,959,707 | USD | 1,508,378 | 03/16/16 | BOA | (22,423 | ) | |||||||||||||
DKK | 2,646,685 | USD | 390,000 | 03/04/16 | BOA | (3,980 | ) | |||||||||||||
EUR | 90,175,000 | JPY | 575,600,325 | 03/04/16 | BOA | (1,353,282 | ) |
The accompanying notes are an integral part of the financial statements.
14
ABBEY CAPITAL FUTURES STRATEGY FUND
CONSOLIDATED PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 29, 2016
(UNAUDITED)
UNREALIZED | ||||||||||||||||||||
APPRECIATION | ||||||||||||||||||||
CURRENCY PURCHASED | CURRENCY SOLD | EXPIRATION | COUNTERPARTY | (DEPRECIATION) | ||||||||||||||||
| ||||||||||||||||||||
EUR | 4,630,000 | JPY | 584,864,550 | 03/04/16 | BOA | $ | 150,334 | |||||||||||||
EUR | 15,751,000 | JPY | 38,706,900 | 03/18/16 | BOA | (277,989 | ) | |||||||||||||
EUR | 860,000 | JPY | 105,528,020 | 03/18/16 | BOA | 430 | ||||||||||||||
EUR | 109,646 | USD | 120,014 | 03/01/16 | BOA | (735 | ) | |||||||||||||
EUR | 519,211 | USD | 564,204 | 03/02/16 | BOA | 622 | ||||||||||||||
EUR | 6,857,700 | USD | 7,547,111 | 03/16/16 | BOA | (83,553 | ) | |||||||||||||
EUR | 1,200,000 | USD | 1,341,855 | 03/17/16 | BOA | (35,796 | ) | |||||||||||||
GBP | 11,750,000 | JPY | 467,988,585 | 03/04/16 | BOA | (149,676 | ) | |||||||||||||
GBP | 2,970,000 | JPY | 482,163,300 | 03/04/16 | BOA | 142,706 | ||||||||||||||
GBP | 785,000 | JPY | 123,602,960 | 03/18/16 | BOA | 4,196 | ||||||||||||||
GBP | 34,801 | USD | 48,279 | 03/01/16 | BOA | 158 | ||||||||||||||
GBP | 9,769 | USD | 13,578 | 03/02/16 | BOA | 19 | ||||||||||||||
GBP | 4,791,872 | USD | 7,064,830 | 03/16/16 | BOA | (394,890 | ) | |||||||||||||
GBP | 4,300,000 | USD | 6,059,081 | 03/17/16 | BOA | (73,766 | ) | |||||||||||||
GBP | 4,854,000 | USD | 7,001,126 | 03/18/16 | BOA | (244,651 | ) | |||||||||||||
HUF | 404,354,929 | USD | 1,416,474 | 03/16/16 | BOA | 1,722 | ||||||||||||||
INR | 226,997,606 | USD | 3,325,633 | 03/16/16 | BOA | (18,115 | ) | |||||||||||||
JPY | 240,333,303 | EUR | 815,000 | 03/30/16 | BOA | (18,008 | ) | |||||||||||||
JPY | 19,034,090 | USD | 168,488 | 03/01/16 | BOA | 322 | ||||||||||||||
JPY | 9,796,492 | USD | 86,725 | 03/02/16 | BOA | 158 | ||||||||||||||
JPY | 1,579,882,378 | USD | 13,238,715 | 03/16/16 | BOA | 780,306 | ||||||||||||||
JPY | 299,735,138 | USD | 2,650,000 | 03/17/16 | BOA | 9,788 | ||||||||||||||
KRW | 3,904,452,268 | USD | 3,294,892 | 03/04/16 | BOA | (137,916 | ) | |||||||||||||
KRW | 1,645,957,184 | USD | 1,364,720 | 03/16/16 | BOA | (34,320 | ) | |||||||||||||
MXN | 36,577,215 | USD | 2,011,472 | 03/16/16 | BOA | 3,420 | ||||||||||||||
MXN | 30,354,000 | USD | 1,664,698 | 03/18/16 | BOA | 7,073 | ||||||||||||||
MYR | 2,416,810 | USD | 574,455 | 03/16/16 | BOA | (405 | ) | |||||||||||||
NOK | 343,689 | USD | 39,901 | 03/01/16 | BOA | (408 | ) | |||||||||||||
NOK | 2,033,250 | USD | 233,670 | 03/02/16 | BOA | (30 | ) | |||||||||||||
NOK | 3,659,066 | USD | 425,000 | 03/04/16 | BOA | (4,545 | ) | |||||||||||||
NOK | 25,535,400 | USD | 2,918,375 | 03/16/16 | BOA | 15,588 | ||||||||||||||
NOK | 37,922,588 | USD | 4,400,000 | 03/17/16 | BOA | (42,807 | ) | |||||||||||||
NOK | 1,740,696 | USD | 200,000 | 03/18/16 | BOA | (1 | ) | |||||||||||||
NZD | 63,298 | USD | 42,574 | 03/01/16 | BOA | (867 | ) | |||||||||||||
NZD | 82,461 | USD | 54,406 | 03/02/16 | BOA | (72 | ) | |||||||||||||
NZD | 595,000 | USD | 395,180 | 03/04/16 | BOA | (3,184 | ) | |||||||||||||
NZD | 15,004,949 | USD | 9,943,808 | 03/16/16 | BOA | (65,870 | ) | |||||||||||||
NZD | 29,100,000 | USD | 19,187,463 | 03/17/16 | BOA | (31,808 | ) | |||||||||||||
NZD | 11,891,000 | USD | 7,912,746 | 03/18/16 | BOA | (85,758 | ) | |||||||||||||
NZD | 1,418,000 | USD | 956,404 | 03/30/16 | BOA | (23,752 | ) | |||||||||||||
PLN | 9,063,552 | USD | 2,277,267 | 03/16/16 | BOA | (8,644 | ) | |||||||||||||
SEK | 786,575 | USD | 92,564 | 03/01/16 | BOA | (695 | ) | |||||||||||||
SEK | 3,486,360 | USD | 406,009 | 03/02/16 | BOA | 1,188 | ||||||||||||||
SEK | 3,926,977 | USD | 460,000 | 03/04/16 | BOA | (1,302 | ) | |||||||||||||
SEK | 49,362,802 | USD | 5,825,061 | 03/16/16 | BOA | (56,233 | ) | |||||||||||||
SEK | 110,016,773 | USD | 13,000,000 | 03/17/16 | BOA | (142,251 | ) | |||||||||||||
SGD | 1,278,287 | USD | 905,095 | 03/16/16 | BOA | 3,814 | ||||||||||||||
SGD | 1,609,000 | USD | 1,142,874 | 03/30/16 | BOA | 862 | ||||||||||||||
TRY | 10,913,008 | USD | 3,648,576 | 03/16/16 | BOA | 16,571 |
The accompanying notes are an integral part of the financial statements.
15
ABBEY CAPITAL FUTURES STRATEGY FUND
CONSOLIDATED PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 29, 2016
(UNAUDITED)
UNREALIZED | ||||||||||||||||||||
APPRECIATION | ||||||||||||||||||||
CURRENCY PURCHASED | CURRENCY SOLD | EXPIRATION | COUNTERPARTY | (DEPRECIATION) | ||||||||||||||||
| ||||||||||||||||||||
TWD | 148,723,384 | USD | 4,522,637 | 03/04/16 | BOA | $ | (47,281 | ) | ||||||||||||
TWD | 24,559,215 | USD | 735,277 | 03/16/16 | BOA | 3,804 | ||||||||||||||
USD | 109,286 | AUD | 153,282 | 03/01/16 | BOA | (119 | ) | |||||||||||||
USD | 170,616 | AUD | 239,235 | 03/02/16 | BOA | (138 | ) | |||||||||||||
USD | 6,462,294 | AUD | 9,045,000 | 03/04/16 | BOA | 7,066 | ||||||||||||||
USD | 5,617,284 | AUD | 7,914,521 | 03/16/16 | BOA | (27,763 | ) | |||||||||||||
USD | 4,455,617 | AUD | 6,200,000 | 03/17/16 | BOA | 33,676 | ||||||||||||||
USD | 6,149,027 | AUD | 8,748,000 | 03/18/16 | BOA | (89,878 | ) | |||||||||||||
USD | 2,339,857 | AUD | 3,286,000 | 03/30/16 | BOA | (2,250 | ) | |||||||||||||
USD | 2,711,164 | BRL | 10,885,232 | 03/16/16 | BOA | 11,186 | ||||||||||||||
USD | 40,709 | CAD | 55,046 | 03/01/16 | BOA | 25 | ||||||||||||||
USD | 415,000 | CAD | 569,169 | 03/04/16 | BOA | (5,672 | ) | |||||||||||||
USD | 10,569,926 | CAD | 14,508,154 | 03/16/16 | BOA | (153,100 | ) | |||||||||||||
USD | 4,400,000 | CAD | 5,995,698 | 03/17/16 | BOA | (31,443 | ) | |||||||||||||
USD | 10,555,759 | CAD | 14,579,000 | 03/18/16 | BOA | (219,640 | ) | |||||||||||||
USD | 780,000 | CHF | 775,256 | 03/04/16 | BOA | 3,494 | ||||||||||||||
USD | 15,004,273 | CHF | 14,796,617 | 03/18/16 | BOA | 172,267 | ||||||||||||||
USD | 256,573 | CLP | 182,341,830 | 03/16/16 | BOA | (4,682 | ) | |||||||||||||
USD | 1,640,362 | CZK | 40,507,211 | 03/16/16 | BOA | 11,781 | ||||||||||||||
USD | 390,000 | DKK | 2,594,832 | 03/04/16 | BOA | 11,542 | ||||||||||||||
USD | 170,000 | DKK | 1,165,758 | 03/18/16 | BOA | (115 | ) | |||||||||||||
USD | 120,948 | EUR | 109,646 | 03/01/16 | BOA | 1,669 | ||||||||||||||
USD | 567,881 | EUR | 519,211 | 03/02/16 | BOA | 3,055 | ||||||||||||||
USD | 94,762,662 | EUR | 85,545,000 | 03/04/16 | BOA | 1,696,077 | ||||||||||||||
USD | 6,222,083 | EUR | 5,672,766 | 03/16/16 | BOA | 48,144 | ||||||||||||||
USD | 5,975,537 | EUR | 5,400,000 | 03/17/16 | BOA | 98,273 | ||||||||||||||
USD | 42,729,457 | EUR | 39,107,000 | 03/18/16 | BOA | 164,715 | ||||||||||||||
USD | 48,713 | GBP | 34,801 | 03/01/16 | BOA | 275 | ||||||||||||||
USD | 13,561 | GBP | 9,769 | 03/02/16 | BOA | (36 | ) | |||||||||||||
USD | 12,421,979 | GBP | 8,780,000 | 03/04/16 | BOA | 201,464 | ||||||||||||||
USD | 9,334,744 | GBP | 6,307,116 | 03/16/16 | BOA | 555,692 | ||||||||||||||
USD | 6,882,793 | GBP | 4,750,000 | 03/17/16 | BOA | 271,107 | ||||||||||||||
USD | 23,840,162 | GBP | 16,228,000 | 03/18/16 | BOA | 1,251,767 | ||||||||||||||
USD | 4,413,441 | GBP | 3,165,000 | 03/30/16 | BOA | 7,731 | ||||||||||||||
USD | 1,560,141 | HUF | 447,914,473 | 03/16/16 | BOA | (10,832 | ) | |||||||||||||
USD | 7,458,608 | INR | 507,367,679 | 03/16/16 | BOA | 65,896 | ||||||||||||||
USD | 167,252 | JPY | 19,034,089 | 03/01/16 | BOA | (1,557 | ) | |||||||||||||
USD | 86,673 | JPY | 9,796,492 | 03/02/16 | BOA | (210 | ) | |||||||||||||
USD | 3,555,000 | JPY | 402,381,720 | 03/04/16 | BOA | 13,906 | ||||||||||||||
USD | 3,555,000 | JPY | 400,410,215 | 03/04/16 | BOA | 3,580 | ||||||||||||||
USD | 10,551,403 | JPY | 1,265,390,545 | 03/16/16 | BOA | (676,988 | ) | |||||||||||||
USD | 6,200,000 | JPY | 704,862,725 | 03/17/16 | BOA | (54,806 | ) | |||||||||||||
USD | 19,124,371 | JPY | 2,218,790,220 | 03/18/16 | BOA | 565,453 | ||||||||||||||
USD | 13,673,733 | JPY | 1,623,638,995 | 03/18/16 | BOA | (734,644 | ) | |||||||||||||
USD | 3,215,000 | KRW | 3,904,452,268 | 03/04/16 | BOA | 58,024 | ||||||||||||||
USD | 2,545,884 | KRW | 3,048,143,213 | 03/16/16 | BOA | 82,119 | ||||||||||||||
USD | 3,085,392 | MXN | 54,325,766 | 03/16/16 | BOA | 92,804 | ||||||||||||||
USD | 6,454,772 | MXN | 115,544,000 | 03/18/16 | BOA | 91,093 | ||||||||||||||
USD | 806,273 | MYR | 3,469,536 | 03/16/16 | BOA | (17,825 | ) |
The accompanying notes are an integral part of the financial statements.
16
ABBEY CAPITAL FUTURES STRATEGY FUND
CONSOLIDATED PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 29, 2016
(UNAUDITED)
UNREALIZED | ||||||||||||||||||||||||
APPRECIATION | ||||||||||||||||||||||||
CURRENCY PURCHASED | CURRENCY SOLD | EXPIRATION | COUNTERPARTY | (DEPRECIATION) | ||||||||||||||||||||
| ||||||||||||||||||||||||
USD | 39,580 | NOK | 343,689 | 03/01/16 | BOA | $ | 86 | |||||||||||||||||
USD | 233,534 | NOK | 2,033,250 | 03/02/16 | BOA | (106 | ) | |||||||||||||||||
USD | 425,000 | NOK | 3,692,430 | 03/04/16 | BOA | 711 | ||||||||||||||||||
USD | 2,386,485 | NOK | 20,879,362 | 03/16/16 | BOA | (12,509 | ) | |||||||||||||||||
USD | 4,900,000 | NOK | 42,124,639 | 03/17/16 | BOA | 60,004 | ||||||||||||||||||
USD | 42,130 | NZD | 63,298 | 03/01/16 | BOA | 423 | ||||||||||||||||||
USD | 54,399 | NZD | 82,461 | 03/02/16 | BOA | 66 | ||||||||||||||||||
USD | 393,265 | NZD | 595,000 | 03/04/16 | BOA | 1,269 | ||||||||||||||||||
USD | 6,168,003 | NZD | 9,351,657 | 03/16/16 | BOA | 11,695 | ||||||||||||||||||
USD | 16,466,062 | NZD | 24,900,000 | 03/17/16 | BOA | 75,140 | ||||||||||||||||||
USD | 6,523,039 | NZD | 10,064,000 | 03/18/16 | BOA | (101,367 | ) | |||||||||||||||||
USD | 2,787,055 | PLN | 11,124,961 | 03/16/16 | BOA | 2,459 | ||||||||||||||||||
USD | 92,367 | SEK | 786,575 | 03/01/16 | BOA | 497 | ||||||||||||||||||
USD | 407,549 | SEK | 3,486,360 | 03/02/16 | BOA | 352 | ||||||||||||||||||
USD | 460,000 | SEK | 3,882,270 | 03/04/16 | BOA | 6,524 | ||||||||||||||||||
USD | 11,545,563 | SEK | 97,960,157 | 03/16/16 | BOA | 97,361 | ||||||||||||||||||
USD | 14,850,000 | SEK | 125,908,198 | 03/17/16 | BOA | 135,007 | ||||||||||||||||||
USD | 220,000 | SEK | 1,886,062 | 03/18/16 | BOA | (435 | ) | |||||||||||||||||
USD | 1,007,736 | SGD | 1,426,285 | 03/16/16 | BOA | (6,405 | ) | |||||||||||||||||
USD | 1,139,035 | SGD | 1,609,000 | 03/30/16 | BOA | (4,701 | ) | |||||||||||||||||
USD | 5,719,486 | TRY | 17,171,159 | 03/16/16 | BOA | (47,468 | ) | |||||||||||||||||
USD | 4,448,000 | TWD | 148,723,384 | 03/04/16 | BOA | (27,356 | ) | |||||||||||||||||
USD | 813,838 | TWD | 27,060,212 | 03/16/16 | BOA | (507 | ) | |||||||||||||||||
USD | 4,907,934 | ZAR | 75,670,840 | 03/16/16 | BOA | 153,198 | ||||||||||||||||||
ZAR | 52,568,005 | USD | 3,340,942 | 03/16/16 | BOA | (37,860 | ) | |||||||||||||||||
|
| |||||||||||||||||||||||
Total Forward Foreign Currency Contracts |
| $ | 2,073,282 | |||||||||||||||||||||
|
|
The accompanying notes are an integral part of the financial statements.
17
ABBEY CAPITAL FUTURES STRATEGY FUND
CONSOLIDATED PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 29, 2016
(UNAUDITED)
NUMBER | ||||||||
OF | ||||||||
CONTRACTS | VALUE | |||||||
PURCHASED OPTIONS — 0.5% |
| |||||||
CALL OPTIONS PURCHASED—0.3% |
| |||||||
USD CNH Currency Futures | 44,978,000 | $ | 868,930 | |||||
USD CNH Currency Futures | 22,639,000 | 437,363 | ||||||
USD CNH Currency Futures | 10,343,000 | 107,820 | ||||||
|
| |||||||
TOTAL CALL OPTIONS PURCHASED (Cost $ 1,469,922) |
| 1,414,113 | ||||||
|
| |||||||
PUT OPTIONS PURCHASED—0.2% |
| |||||||
CAD Foreign Exchange Currency Futures | 507 | 40,560 | ||||||
EUR Foreign Exchange Currency Futures | 304 | 254,600 | ||||||
Eurodollar 1-Year MIDCV | 1,821 | 546,300 | ||||||
Gold 100-oz Futures | 294 | 82,320 | ||||||
IMM Eurodollar Futures | 2,434 | 91,275 | ||||||
U.S. 10-Year Treasury Bond Futures | 710 | 232,969 | ||||||
|
| |||||||
TOTAL PUT OPTIONS PURCHASED (Cost $ 1,711,734) |
| 1,248,024 | ||||||
|
| |||||||
TOTAL PURCHASED OPTIONS — 0.5% |
| 2,662,137 | ||||||
|
|
NUMBER | ||||||||
OF | ||||||||
CONTRACTS | VALUE | |||||||
WRITTEN OPTIONS — (0.2)% | ||||||||
CALL OPTIONS WRITTEN—(0.2)% |
| |||||||
USD CNH Currency Futures | 44,978,000 | $ | (468,873 | ) | ||||
USD CNH Currency Futures | 22,639,000 | (236,000 | ) | |||||
USD CNH Currency Futures | 10,343,000 | (199,817 | ) | |||||
|
| |||||||
TOTAL CALL OPTIONS WRITTEN |
| (904,690 | ) | |||||
|
| |||||||
TOTAL WRITTEN OPTIONS — (0.2)% |
| (904,690 | ) | |||||
|
|
The accompanying notes are an integral part of the financial statements. |
18 |
ABBEY CAPITAL FUTURES STRATEGY FUND
CONSOLIDATED PORTFOLIO OF INVESTMENTS (CONCLUDED)
FEBRUARY 29, 2016
(UNAUDITED)
AUD | Australian Dollar | |
BOA | Bank of America | |
BRL | Brazilian Real | |
CAD | Canadian Dollar | |
CHF | Swiss Franc | |
CLP | Chilean Peso | |
CNH | Chinese Renminbi | |
CZK | Czech Koruna | |
DAX | Deutscher Aktienindex | |
DKK | Danish Krone | |
EUR | Euro | |
FTSE | Financial Times Stock Exchange | |
GBP | British Pound | |
HUF | Hungarian Forint | |
IBEX | Index of the Bolsa de Madrid | |
IMM | International Monetary Market |
INR | Indian Rupee | |
JPY | Japanese Yen | |
KRW | Korean Won | |
MXN | Mexican Peso | |
MYR | Malaysian Ringgit | |
NOK | Norwegian Krone | |
NZD | New Zealand Dollar | |
PLN | Polish Zloty | |
RBOB | Reformulated Blendstock for Oxygenate Blending | |
SEK | Swedish Krona | |
SGD | Singapore Dollar | |
TRY | Turkish Lira | |
TSX | Toronto Stock Exchange | |
TWD | Taiwan Dollar | |
USD | United States Dollar | |
ZAR | South African Rand |
The accompanying notes are an integral part of the financial statements. |
19 |
ABBEY CAPITAL FUTURES STRATEGY FUND
CONSOLIDATED STATEMENT OF ASSETS AND LIABILITIES
FEBRUARY 29, 2016
(UNAUDITED)
ASSETS | ||||
Investments, at value (cost $397,493,581) | $ | 396,928,505 | ||
Cash | 118,269,259 | |||
Deposits with broker for forward foreign currency contracts and futures contracts | 41,344,862 | |||
Foreign currency, at value (cost $1,371,492) | 1,365,036 | |||
Receivables for: | ||||
Capital shares sold | 17,207,719 | |||
Variation margin | 9,502,907 | |||
Prepaid expenses and other assets | 91,688 | |||
Unrealized appreciation on forward foreign currency contracts | 7,859,745 | |||
|
| |||
Total assets | 592,569,721 | |||
|
| |||
LIABILITIES | ||||
Options written, at value (premiums received $969,462) | 904,690 | |||
Payables for: | ||||
Capital shares redeemed | 875,604 | |||
Advisory fees | 691,628 | |||
Administration and accounting services fees | 57,527 | |||
Unrealized depreciation on forward foreign currency contracts | 5,786,463 | |||
Other accrued expenses and liabilities | 107,245 | |||
|
| |||
Total liabilities | 8,423,157 | |||
|
| |||
Net Assets | $ | 584,146,564 | ||
|
| |||
NET ASSETS CONSIST OF | ||||
Capital stock, $0.001 par value | $ | 46,393 | ||
Paid-in capital | 571,623,150 | |||
Accumulated net investment loss | (6,503,220 | ) | ||
Accumulated net realized gain from investments, futures transactions, foreign currency translations, forward foreign currency contracts and written options | 7,911,151 | |||
Net unrealized depreciation on investments, futures transactions, foreign currency translations, forward foreign currency contracts and written options | 11,069,090 | |||
|
| |||
Net assets | $ | 584,146,564 | ||
|
| |||
CLASS A SHARES | ||||
Net assets | $ | 24,658,213 | ||
|
| |||
Shares outstanding ($0.001 par value, 100,000,000 shares authorized) | 1,960,372 | |||
|
| |||
Net asset value and redemption price per share | $ | 12.58 | ||
|
| |||
Maximum offering price per share (100/94.25 of $12.58) | $ | 13.35 | ||
|
| |||
CLASS I SHARES | ||||
Net assets | $ | 555,255,952 | ||
|
| |||
Shares outstanding ($0.001 par value, 100,000,000 shares authorized) | 44,096,250 | |||
|
| |||
Net asset value, offering and redemption price per share | $ | 12.59 | ||
|
| |||
CLASS C SHARES | ||||
Net assets | $ | 4,232,399 | ||
|
| |||
Shares outstanding ($0.001 par value, 100,000,000 shares authorized) | 336,823 | |||
|
| |||
Net asset value, offering and redemption price per share | $ | 12.57 | ||
|
|
The accompanying notes are an integral part of the financial statements. |
20
ABBEY CAPITAL FUTURES STRATEGY FUND
CONSOLIDATED STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED
FEBRUARY 29, 2016
(UNAUDITED)
INVESTMENT INCOME | ||||
Interest | $ | 234,412 | ||
|
| |||
Total investment income | 234,412 | |||
|
| |||
EXPENSES | ||||
Advisory fees (Note 2) | 3,098,105 | |||
Administration and accounting services fees (Note 2) | 139,139 | |||
Interest expense | 82,008 | |||
Registration and filing fees | 45,107 | |||
Transfer agent fees (Note 2) | 40,275 | |||
Legal fees | 32,847 | |||
Audit and tax service fees | 27,474 | |||
Custodian fees (Note 2) | 19,362 | |||
Distribution fees (Class A Shares) (Note 2) | 16,905 | |||
Directors’ and officers’ fees | 12,260 | |||
Printing and shareholder reporting fees | 9,740 | |||
Distribution fees (Class C Shares) (Note 2) | 5,305 | |||
Insurance fees | 3,089 | |||
Other expenses | 9,864 | |||
|
| |||
Total expenses before waivers and reimbursements | 3,541,480 | |||
Less: waivers and reimbursements (Note 2) | (307,103 | ) | ||
|
| |||
Net expenses after waivers and reimbursements | 3,234,377 | |||
|
| |||
Net investment loss | (2,999,965 | ) | ||
|
| |||
NET REALIZED AND UNREALIZED GAIN/(LOSS) FROM INVESTMENTS | ||||
Net realized gain/(loss) from: | ||||
Investments | 1,926,970 | |||
Futures | 11,138,598 | |||
Foreign currency transactions | 1,013,588 | |||
Forward foreign currency contracts | (1,152,387 | ) | ||
Written options | (5,015,618 | ) | ||
Net change in unrealized appreciation/(depreciation) on: | ||||
Investments | 539,781 | |||
Futures | 10,278,780 | |||
Foreign currency translation | (3,330 | ) | ||
Forward foreign currency contracts | 1,874,539 | |||
Written options | (138,370 | ) | ||
|
| |||
Net realized and unrealized gain on investments | 20,462,551 | |||
|
| |||
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | 17,462,586 | ||
|
|
The accompanying notes are an integral part of the financial statements. |
21
ABBEY CAPITAL FUTURES STRATEGY FUND
CONSOLIDATED STATEMENTS OF CHANGES IN NET ASSETS
FOR THE SIX MONTHS ENDED FEBRUARY 29, 2016 (UNAUDITED) | FOR THE YEAR ENDED AUGUST 31, 2015 | |||||||||||||||
INCREASE/(DECREASE)IN NET ASSETS FROM OPERATIONS: | ||||||||||||||||
Net investment loss | $ | (2,999,965 | ) | $ | (2,036,556 | ) | ||||||||||
Net realized gain from investments, futures transactions, foreign currency transactions, forward foreign currency contracts and written options | 7,911,151 | 5,019,708 | ||||||||||||||
Net change in unrealized appreciation/(depreciation) on investments, futures transactions, foreign currency translation, forward foreign currency contracts and written options | 12,551,400 | (2,287,685 | ) | |||||||||||||
|
|
|
| |||||||||||||
Net increase in net assets resulting from operations | 17,462,586 | 695,467 | ||||||||||||||
|
|
|
| |||||||||||||
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS FROM: | ||||||||||||||||
Net investment income | ||||||||||||||||
Class A Shares | (7,540 | ) | (20,951 | ) | ||||||||||||
Class I Shares | (651,985 | ) | (748,827 | ) | ||||||||||||
Class C Shares | (994 | ) | — | |||||||||||||
|
|
|
| |||||||||||||
Total from net investment income. | (660,519 | ) | (769,778 | ) | ||||||||||||
|
|
|
| |||||||||||||
Net realized gains | ||||||||||||||||
Class A Shares | — | (1,218 | ) | |||||||||||||
Class I Shares | — | (41,776 | ) | |||||||||||||
Class C Shares | — | — | ||||||||||||||
|
|
|
| |||||||||||||
Total from net realized gains | — | (42,994 | ) | |||||||||||||
|
|
|
| |||||||||||||
Net decrease in net assets from dividends and distributions to shareholders | (660,519 | ) | (812,772 | ) | ||||||||||||
|
|
|
| |||||||||||||
CAPITAL SHARE TRANSACTIONS: | ||||||||||||||||
Class A Shares | ||||||||||||||||
Proceeds from shares sold | 14,482,769 | 11,657,560 | ||||||||||||||
Proceeds from reinvestment of distributions | 6,739 | 15,771 | ||||||||||||||
Shares redeemed | (1,647,223 | ) | (1,511,325 | ) | ||||||||||||
|
|
|
| |||||||||||||
Total Class A Shares | 12,842,285 | 10,162,006 | ||||||||||||||
|
|
|
| |||||||||||||
Class I Shares | ||||||||||||||||
Proceeds from shares sold | 372,478,306 | 217,209,911 | ||||||||||||||
Proceeds from reinvestment of distributions | 584,466 | 416,475 | ||||||||||||||
Shares redeemed | (54,172,686 | ) | (20,564,998 | ) | ||||||||||||
|
|
|
| |||||||||||||
Total Class I Shares | 318,890,086 | 197,061,388 | ||||||||||||||
|
|
|
| |||||||||||||
Class C Shares | ||||||||||||||||
Proceeds from shares sold | 4,156,758 | — | ||||||||||||||
Proceeds from reinvestment of distributions | 994 | — | ||||||||||||||
Shares redeemed | (245 | ) | — | |||||||||||||
|
|
|
| |||||||||||||
Total Class C Shares | 4,157,507 | — | ||||||||||||||
|
|
|
| |||||||||||||
Net increase in net assets from capital share transactions | 335,889,878 | 207,223,394 | ||||||||||||||
|
|
|
| |||||||||||||
Total increase in net assets | 352,691,945 | 207,106,089 | ||||||||||||||
|
|
|
| |||||||||||||
NET ASSETS | ||||||||||||||||
Beginning of period | 231,454,619 | 24,348,530 | ||||||||||||||
|
|
|
| |||||||||||||
End of period | $ | 584,146,564 | $ | 231,454,619 | ||||||||||||
|
|
|
| |||||||||||||
Accumulated net investment loss, end of period | $ | (6,503,220 | ) | $ | (2,842,736 | ) | ||||||||||
|
|
|
|
The accompanying notes are an integral part of the financial statements. |
22
ABBEY CAPITAL FUTURES STRATEGY FUND
CONSOLIDATED STATEMENTS OF CHANGES IN NET ASSETS
(CONCLUDED)
FOR THE SIX MONTHS ENDED FEBRUARY 29, 2016 (UNAUDITED) | FOR THE YEAR ENDED AUGUST 31, 2015 | |||||||||||||||
SHARE TRANSACTIONS: | ||||||||||||||||
Class A Shares | ||||||||||||||||
Shares sold | 1,176,230 | 942,331 | ||||||||||||||
Shares reinvested | 557 | 1,381 | ||||||||||||||
Shares redeemed | (133,625 | ) | (123,027 | ) | ||||||||||||
|
|
|
| |||||||||||||
Total Class A Shares | 1,043,162 | 820,685 | ||||||||||||||
|
|
|
| |||||||||||||
Class I Shares | ||||||||||||||||
Shares sold | 30,144,044 | 17,778,992 | ||||||||||||||
Shares reinvested | 48,303 | 36,469 | ||||||||||||||
Shares redeemed | (4,419,457 | ) | (1,745,441 | ) | ||||||||||||
|
|
|
| |||||||||||||
Total Class I Shares | 25,772,890 | 16,070,020 | ||||||||||||||
|
|
|
| |||||||||||||
Class C Shares | ||||||||||||||||
Shares sold | 336,761 | — | ||||||||||||||
Shares reinvested | 82 | — | ||||||||||||||
Shares redeemed | (20 | ) | — | |||||||||||||
|
|
|
| |||||||||||||
Total Class C Shares | 336,823 | — | ||||||||||||||
|
|
|
| |||||||||||||
Net increase in shares | 27,152,875 | 16,890,705 | ||||||||||||||
|
|
|
|
The accompanying notes are an integral part of the financial statements. |
23
ABBEY CAPITAL FUTURES STRATEGY FUND
CONSOLIDATED FINANCIAL HIGHLIGHTS
|
Contained below is per share operating performance data for Class A 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. |
|
CLASS A SHARES | ||||||||||||||||
FOR THE SIX MONTHS ENDED FEBRUARY 29, 2016 (UNAUDITED) | FOR THE YEAR ENDED AUGUST 31, 2015(1) | |||||||||||||||
PER SHARE OPERATING PERFORMANCE | ||||||||||||||||
Net asset value, beginning of period | $ | 12.01 | $ | 10.36 | ||||||||||||
|
|
|
| |||||||||||||
Net investment loss(2) | (0.13 | ) | (0.27 | ) | ||||||||||||
Net realized and unrealized gain from investments | 0.71 | 2.14 | ||||||||||||||
|
|
|
| |||||||||||||
Net increase in net assets resulting from operations | 0.58 | 1.87 | ||||||||||||||
|
|
|
| |||||||||||||
Dividends and distributions to shareholders from: | ||||||||||||||||
Net investment income | (0.01 | ) | (0.21 | ) | ||||||||||||
Net realized gains | — | (0.01 | ) | |||||||||||||
|
|
|
| |||||||||||||
Total dividends and distributions to shareholders | (0.01 | ) | (0.22 | ) | ||||||||||||
|
|
|
| |||||||||||||
Net asset value, end of period | $ | 12.58 | $ | 12.01 | ||||||||||||
|
|
|
| |||||||||||||
Total investment return(3) | 4.81 | %(4) | 18.17 | % | ||||||||||||
|
|
|
| |||||||||||||
RATIOS/SUPPLEMENTAL DATA | ||||||||||||||||
Net assets, end of period (000’s omitted) | $ | 24,658 | $ | 11,013 | ||||||||||||
Ratio of expenses to average net assets with waivers and reimbursements (including interest expense) | 2.29 | %(5) | 2.28 | % | ||||||||||||
Ratio of expenses to average net assets with waivers and reimbursements (excluding interest expense) | 2.24 | %(5) | 2.24 | % | ||||||||||||
Ratio of expenses to average net assets without waivers and reimbursements (including interest expense) | 2.49 | %(5) | 2.71 | % | ||||||||||||
Ratio of net investment loss to average net assets | (2.14 | )%(5) | (2.23 | )% | ||||||||||||
Portfolio turnover rate | 0.00 | %(4) | 0.00 | % |
(1) | Inception date of Class A Shares of the Fund was August 29, 2014. |
(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 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. |
The accompanying notes are an integral part of the financial statements. |
24
ABBEY CAPITAL FUTURES STRATEGY FUND
CONSOLIDATED FINANCIAL HIGHLIGHTS
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 period. This information has been derived from information provided in the financial statements. |
CLASS I SHARES | ||||||||||||||||||||||||
FOR THE SIX MONTHS ENDED FEBRUARY 29, 2016 (UNAUDITED) | FOR THE YEAR ENDED AUGUST 31, 2015 | FOR THE PERIOD ENDED AUGUST 31, 2014(1) | ||||||||||||||||||||||
PER SHARE OPERATING PERFORMANCE | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 12.03 | $ | 10.36 | $ | 10.00 | ||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||
Net investment loss(2) | (0.11 | ) | (0.24 | ) | (0.03 | ) | ||||||||||||||||||
Net realized and unrealized gain from investments | 0.70 | 2.14 | 0.39 | |||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||
Net increase in net assets resulting from operations | 0.59 | 1.90 | 0.36 | |||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||
Dividends and distributions to shareholders from: | ||||||||||||||||||||||||
Net investment income | (0.03 | ) | (0.22 | ) | — | |||||||||||||||||||
Net realized gains | — | (0.01 | ) | — | ||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||
Total dividends and distributions to shareholders | (0.03 | ) | (0.23 | ) | — | |||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||
Net asset value, end of period | $ | 12.59 | $ | 12.03 | $ | 10.36 | ||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||
Total investment return(3) | 4.91 | %(4) | 18.46 | % | 3.60 | %(4) | ||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||
RATIOS/SUPPLEMENTAL DATA | ||||||||||||||||||||||||
Net assets, end of period (000’s omitted) | $ | 555,256 | $ | 220,441 | $ | 24,349 | ||||||||||||||||||
Ratio of expenses to average net assets with waivers and reimbursements (including interest expense) | 2.04 | %(5) | 2.03 | % | 2.01 | %(5) | ||||||||||||||||||
Ratio of expenses to average net assets with waivers and reimbursements (excluding interest expense) | 1.99 | %(5) | 1.99 | % | 1.99 | %(5) | ||||||||||||||||||
Ratio of expenses to average net assets without waivers and reimbursements (including interest expense) | 2.24 | %(5) | 2.46 | % | 4.71 | %(5) | ||||||||||||||||||
Ratio of net investment loss to average net assets | (1.89 | )%(5) | (1.98 | )% | (1.99 | )%(5) | ||||||||||||||||||
Portfolio turnover rate | 0.00 | %(4) | 0.00 | % | 0.00 | %(4) |
(1) | The Class I Shares commenced operations on July 1, 2014. |
(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 each period reported and includes reinvestments of dividends and distributions, if any. Periods less than one year are not annualized. |
(4) | Not annualized. |
(5) | Annualized. |
The accompanying notes are an integral part of the financial statements. |
25
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, 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 PERIOD ENDED FEBRUARY 29, 2016 (UNAUDITED)(1) | ||||||||
PER SHARE OPERATING PERFORMANCE | ||||||||
Net asset value, beginning of period | $ | 11.99 | ||||||
|
| |||||||
Net investment loss(2) | (0.14 | ) | ||||||
Net realized and unrealized gain from investments | 0.73 | |||||||
|
| |||||||
Net increase in net assets resulting from operations | 0.59 | |||||||
|
| |||||||
Dividends and distributions to shareholders from: | ||||||||
Net investment income | (0.01 | ) | ||||||
Net realized gains | — | |||||||
|
| |||||||
Total dividends and distributions to shareholders | (0.01 | ) | ||||||
|
| |||||||
Net asset value, end of period | $ | 12.57 | ||||||
|
| |||||||
Total investment return(3) | 4.96 | %(4) | ||||||
|
| |||||||
RATIOS/SUPPLEMENTAL DATA | ||||||||
Net assets, end of period (000’s omitted) | $ | 4,232 | ||||||
Ratio of expenses to average net assets with waivers and reimbursements | 3.04 | %(5) | ||||||
Ratio of expenses to average net assets with waivers and reimbursements | 2.99 | %(5) | ||||||
Ratio of expenses to average net assets without waivers and reimbursements | 3.24 | %(5) | ||||||
Ratio of net investment loss to average net assets | (2.89 | )%(5) | ||||||
Portfolio turnover rate | 0.00 | %(4) |
(1) | Inception date of Class C Shares of the Fund was October 6, 2015. |
(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 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. |
The accompanying notes are an integral part of the financial statements. |
26
ABBEY CAPITAL FUTURES STRATEGY FUND
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
FEBRUARY 29, 2016
(UNAUDITED)
1. ORGANIZATIONAND 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 twenty-three active 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 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. Class C Shares commenced investment operations on October 6, 2015.
RBB has authorized capital of one hundred billion shares of common stock of which 83.023 billion shares are currently classified into one hundred and fifty-seven 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 Accounting Standards Codification Topic 946.
CONSOLIDATIONOF SUBSIDIARY — The Managed Futures strategy will be achieved by the Fund investing up to 25% of its total assets in Abbey Capital Offshore Fund Limited, a wholly-owned and controlled subsidiary of the Fund organized under the laws of the Cayman Islands (the “Subsidiary”). The consolidated financial statements of the Fund include the Subsidiary. The Fund consolidates the results of subsidiaries in which the Fund holds a controlling economic interest (greater than 50%). All inter-company accounts and transactions have been eliminated. As of February 29, 2016, the net assets of the Subsidiary were $117,749,635, which represented 20.2% 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 having a remaining maturity of greater than 60 days 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. Fixed income securities having a remaining maturity of 60 days or less are valued at amortized cost, provided such amount approximates fair value. Forward exchange contracts are valued by interpolating between spot and forward currency rates as quoted by an independent pricing service. Futures contracts are generally valued using the settlement price determined by the relevant exchange. Options for which the primary market is a national securities exchange are valued at the last sale price on the exchange on which they are traded, or, in the absence of any sale, will be valued at the mean of the last bid and ask prices prior to the market close. Options not traded on a national securities exchange are valued at the last quoted bid price for long option positions and the closing ask price for short option positions. If market quotations are unavailable or deemed unreliable, securities will be valued in accordance with procedures adopted by the Company’s Board of Directors. Relying on prices supplied by pricing services or dealers or using fair valuation may result in values that are higher or lower than the values used by other investment companies and investors to price the same investments.
FAIR VALUE MEASUREMENTS — The inputs and valuation techniques used to measure fair value of the Fund’s investments are summarized into three levels as described in the hierarchy below:
27
ABBEY CAPITAL FUTURES STRATEGY FUND
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
FEBRUARY 29, 2016
(UNAUDITED) (CONTINUED)
• Level 1 – | quoted prices in active markets for identical securities; | |||
• Level 2 – | other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.); and | |||
• Level 3 – | significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments). |
The inputs or methodology 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 February 29, 2016, in valuing the Fund’s investments carried at fair value:
LEVEL 2 | LEVEL 3 | |||||||||||||
TOTAL FAIR | LEVEL 1 | SIGNIFICANT | SIGNIFICANT | |||||||||||
VALUE AT | QUOTED | OBSERVABLE | UNOBSERVABLE | |||||||||||
FEBRUARY 29, 2016
| PRICE
| INPUTS
| INPUTS
| |||||||||||
| ||||||||||||||
Short-Term Investments | $ | 394,266,368 | $ | 394,266,368 | $ | — | $— | |||||||
Commodity Contracts | ||||||||||||||
Futures | 5,131,202 | 5,131,202 | — | — | ||||||||||
Purchased Options | 82,320 | 82,320 | — | — | ||||||||||
Equity Contracts | ||||||||||||||
Futures | 1,039,767 | 1,039,767 | — | — | ||||||||||
Foreign Exchange Contracts | ||||||||||||||
Forward Foreign Currency Contracts | 7,859,745 | — | 7,859,745 | — | ||||||||||
Futures | 1,942,239 | 1,942,239 | — | — | ||||||||||
Purchased Options | 1,709,273 | 840,343 | 868,930 | — | ||||||||||
Interest Rate Contracts | ||||||||||||||
Futures | 8,697,041 | 8,697,041 | — | — | ||||||||||
Purchased Options | 870,544 | 870,544 | — | — | ||||||||||
| ||||||||||||||
Total Assets | $ | 421,598,499 | $ | 412,869,824 | $ | 8,728,675 | $— | |||||||
| ||||||||||||||
LEVEL 2 | LEVEL 3 | |||||||||||||
TOTAL FAIR | LEVEL 1 | SIGNIFICANT | SIGNIFICANT | |||||||||||
VALUE AT | QUOTED | OBSERVABLE | UNOBSERVABLE | |||||||||||
FEBRUARY 29, 2016
| PRICE
| INPUTS
| INPUTS
| |||||||||||
| ||||||||||||||
Commodity Contracts | ||||||||||||||
Futures | $ | (3,555,068 | ) | $ | (3,555,068 | ) | $ | — | $— | |||||
Equity Contracts | ||||||||||||||
Futures | (823,840 | ) | (823,840 | ) | — | — | ||||||||
Foreign Exchange Contracts | ||||||||||||||
Forward Foreign Currency Contracts | (5,786,463 | ) | — | (5,786,463 | ) | — | ||||||||
Futures | (339,863 | ) | (339,863 | ) | — | — | ||||||||
Written Options | (904,690 | ) | (435,817 | ) | (468,873 | ) | — | |||||||
Interest Rate Contracts | ||||||||||||||
Futures | (2,588,571 | ) | (2,588,571 | ) | — | — | ||||||||
| ||||||||||||||
Total Liabilities | $ | (13,998,495 | ) | $ | (7,743,159 | ) | $ | (6,255,336 | ) | $— | ||||
|
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 and Level 2 assets and liabilities on a quarterly basis for changes in listings or delistings on national exchanges.
28
ABBEY CAPITAL FUTURES STRATEGY FUND
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
FEBRUARY 29, 2016
(UNAUDITED) (CONTINUED)
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”) require 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. U.S. GAAP also requires the Fund to disclose amounts and reasons for all transfers in and out of Level 1 and Level 2 fair value measurements. 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 transfers in and out of each level within the three-tier hierarchy are disclosed when the Fund had an amount of total transfers during the reporting period that was meaningful in relation to its net assets as of the end of the reporting period.
For the six months ended February 29, 2016, the Fund had no transfers between Levels 1, 2 and 3.
DISCLOSURESABOUT DERIVATIVE INSTRUMENTSAND 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 options, forward foreign currency contracts and futures contracts.
During the six months ended February 29, 2016, 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 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 six months ended February 29, 2016.
The following table lists the fair values of the Fund’s derivative holdings as of February 29, 2016 grouped by contract type and risk exposure category.
CONSOLIDATED | ||||||||||||||||||||||
STATEMENT | ||||||||||||||||||||||
OF ASSETS AND | INTEREST | FOREIGN | ||||||||||||||||||||
LIABILITIES | EQUITY | RATE | CURRENCY | COMMODITY | ||||||||||||||||||
DERIVATIVE TYPE
| LOCATION
| CONTRACTS
| CONTRACTS
| CONTRACTS
| CONTRACTS
| TOTAL
| ||||||||||||||||
| ||||||||||||||||||||||
Asset Derivatives |
| |||||||||||||||||||||
| ||||||||||||||||||||||
Purchased Options | Investments, at value | $ | — | $ | 870,544 | $ | 1,709,273 | $ | 82,320 | $ | 2,662,137 | |||||||||||
| ||||||||||||||||||||||
Forward Contracts | Unrealized appreciation on forward foreign currency contracts | — | — | 7,859,745 | — | 7,859,745 | ||||||||||||||||
| ||||||||||||||||||||||
Futures Contracts | Payable: Variation Margin | 1,039,767 | 8,697,041 | 1,942,239 | 5,131,202 | 16,810,249 | ||||||||||||||||
| ||||||||||||||||||||||
Total Value - Assets | $ | 1,039,767 | $ | 9,567,585 | $ | 11,511,257 | $ | 5,213,522 | $ | 27,332,131 | ||||||||||||
|
29
ABBEY CAPITAL FUTURES STRATEGY FUND
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
FEBRUARY 29, 2016
(UNAUDITED) (CONTINUED)
CONSOLIDATED | ||||||||||||||||||||||
STATEMENT | ||||||||||||||||||||||
OF ASSETS AND | INTEREST | FOREIGN | ||||||||||||||||||||
LIABILITIES | EQUITY | RATE | CURRENCY | COMMODITY | ||||||||||||||||||
DERIVATIVE TYPE
| LOCATION
| CONTRACTS
| CONTRACTS
| CONTRACTS
| CONTRACTS
| TOTAL
| ||||||||||||||||
| ||||||||||||||||||||||
Liability Derivatives |
| |||||||||||||||||||||
| ||||||||||||||||||||||
Written Options | Options written, at value | $ | — | $ | — | $ | (904,690 | ) | $ | — | $ | (904,690 | ) | |||||||||
| ||||||||||||||||||||||
Forward Contracts | Unrealized depreciation on forward foreign currency contracts | — | — | (5,786,463 | ) | — | (5,786,463 | ) | ||||||||||||||
| ||||||||||||||||||||||
Futures Contracts | Payable: Variation Margin | (823,840 | ) | (2,588,571 | ) | (339,863 | ) | (3,555,068 | ) | (7,307,342 | ) | |||||||||||
| ||||||||||||||||||||||
Total Value - Liabilities | $ | (823,840 | ) | $ | (2,588,571 | ) | $ | (7,031,016 | ) | $ | (3,555,068 | ) | $ | (13,998,495 | ) | |||||||
|
The following table lists the amounts of realized gains or (losses) included in net increase in net assets resulting from operations for the six months ended February 29, 2016, grouped by contract type and risk exposure.
CONSOLIDATED | ||||||||||||||||||||||
STATEMENT | ||||||||||||||||||||||
OF ASSETS AND | INTEREST | FOREIGN | ||||||||||||||||||||
LIABILITIES | EQUITY | RATE | CURRENCY | COMMODITY | ||||||||||||||||||
DERIVATIVE TYPE
| LOCATION
| CONTRACTS
| CONTRACTS
| CONTRACTS
| CONTRACTS
| TOTAL
| ||||||||||||||||
| ||||||||||||||||||||||
Realized Gain (Loss) |
| |||||||||||||||||||||
| ||||||||||||||||||||||
Purchased Options | Net realized gain (loss) from Investments | $ | — | $ | 356,797 | $ | 917,181 | $ | 654,168 | $ | 1,928,146 | |||||||||||
| ||||||||||||||||||||||
Futures Contracts | Net realized gain (loss) from Futures | (2,798,808 | ) | 4,047,316 | (2,920,393 | ) | 12,810,483 | 11,138,598 | ||||||||||||||
| ||||||||||||||||||||||
Forward Contracts | Net realized gain (loss) from Forward Foreign Currency Contracts | — | — | (1,152,387 | ) | — | (1,152,387 | ) | ||||||||||||||
| ||||||||||||||||||||||
Written Options | Net realized gain (loss) from Written Options | — | (1,357,852 | ) | (2,437,206 | ) | (1,220,560 | ) | (5,015,618 | ) | ||||||||||||
| ||||||||||||||||||||||
Total Realized Gain (Loss) | $ | (2,798,808 | ) | $ | 3,046,261 | $ | (5,592,805 | ) | $ | 12,244,091 | $ | 6,898,739 | ||||||||||
|
30
ABBEY CAPITAL FUTURES STRATEGY FUND
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
FEBRUARY 29, 2016
(UNAUDITED) (CONTINUED)
The following table lists the amounts of change in unrealized appreciation (depreciation) included in net increase in net assets resulting from operations for the six months ended February 29, 2016, grouped by contract type and risk exposure.
CONSOLIDATED | ||||||||||||||||||||||
STATEMENT | ||||||||||||||||||||||
OF ASSETS AND | INTEREST | FOREIGN | ||||||||||||||||||||
LIABILITIES | EQUITY | RATE | CURRENCY | COMMODITY | ||||||||||||||||||
DERIVATIVE TYPE
| LOCATION
| CONTRACTS
| CONTRACTS
| CONTRACTS
| CONTRACTS
| TOTAL
| ||||||||||||||||
| ||||||||||||||||||||||
Change in unrealized appreciation (depreciation) | ||||||||||||||||||||||
| ||||||||||||||||||||||
Purchased Options | Net change in unrealized appreciation (depreciation) from Investments | $ | — | $ | 187,523 | $ | 493,913 | $ | (97,678 | ) | $ | 583,758 | ||||||||||
| ||||||||||||||||||||||
Futures Contracts | Net change in unrealized appreciation (depreciation) from Futures | 1,434,461 | 7,024,760 | 1,251,542 | 568,017 | 10,278,780 | ||||||||||||||||
| ||||||||||||||||||||||
Forward Contracts | Net change in unrealized appreciation (depreciation) from Forward Foreign Currency Contracts | — | — | 1,874,539 | — | 1,874,539 | ||||||||||||||||
| ||||||||||||||||||||||
Written Options | Net change in unrealized appreciation (depreciation) from Written Options | — | (39,112 | ) | (66,632 | ) | (32,626 | ) | (138,370 | ) | ||||||||||||
| ||||||||||||||||||||||
Total change in unrealized appreciation (depreciation) | $ | 1,434,461 | $ | 7,173,171 | $ | 3,553,362 | $ | 437,713 | $ | 12,598,707 | ||||||||||||
|
For the six months ended February 29, 2016, the Fund’s average volume of derivatives is as follows:
PURCHASED OPTIONS (COST) | WRITTEN OPTIONS (PROCEEDS) | LONG FUTURES NOTIONAL COST | SHORT FUTURES NOTIONAL COST | FORWARD FOREIGN CURRENCY CONTRACTS — PAYABLE (VALUE AT TRADE DATE) | FORWARD FOREIGN CURRENCY CONTRACTS — RECEIVABLE (VALUE AT TRADE DATE) | |||||
$2,595,433 | $(1,112,099) | $1,357,263,102 | $(708,222,748) | $(543,187,177) | $543,841,957 |
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.
31
ABBEY CAPITAL FUTURES STRATEGY FUND
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
FEBRUARY 29, 2016
(UNAUDITED) (CONTINUED)
The following is a summary of financial and derivative instruments that are subject to enforceable master netting agreements (or similar arrangements) and collateral received and pledged in connection with the master netting agreements (or similar arrangements).
| Gross Amount Not Offset in Statement of Assets and Liabilities
|
|
| Gross Amount Not Offset in Statement of Assets and Liabilities
|
| |||||||||||||||||||||||||||
Description
|
| Gross Amount Presented in the Statement of Assets and Liabilities
|
|
| Financial Instruments
|
|
| Collateral Received
|
|
| Net Amount(1)
|
|
| Gross Amount Presented in the Statement of Assets and Liabilities
|
|
| Financial Instruments
|
|
| Collateral Pledged
|
|
| Net Amount(2)
|
| ||||||||
|
|
| ||||||||||||||||||||||||||||||
Assets | Liabilities | |||||||||||||||||||||||||||||||
|
|
|
| |||||||||||||||||||||||||||||
Forward Foreign Currency Contracts | $7,879,869 | ($5,806,587 | ) | $— | $2,073,282 | $5,806,587 | ($5,806,587 | ) | $— | $— |
(1) | Net amount represents the net amount receivable from the counterparty in the event of default. |
(2) | Net amount represents the net amount payable from the counterparty in the event of default. |
USEOF 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 period. Actual results could differ from those estimates and those differences could be significant.
INVESTMENT TRANSACTIONS, INVESTMENT INCOMEAND 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 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. Expenses incurred on behalf of a specific class, fund or fund family are charged directly to the class, fund or fund family to each class of shares based upon the relative proportion of net assets of each class at the beginning of the day. Expenses incurred for all the RBB funds (such as director or professional fees) are charged to all funds in proportion to their average net assets of RBB, or in such other manner as the Company’s Board of Directors 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.
DIVIDENDSAND DISTRIBUTIONSTO 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 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.
For tax purposes, the Subsidiary is an exempted Cayman 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.
32
ABBEY CAPITAL FUTURES STRATEGY FUND
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
FEBRUARY 29, 2016
(UNAUDITED) (CONTINUED)
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 investment securities 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.
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 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.
33
ABBEY CAPITAL FUTURES STRATEGY FUND
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
FEBRUARY 29, 2016
(UNAUDITED) (CONTINUED)
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 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 February 29, 2016, all of the Fund’s written options are exchange-traded options.
34
ABBEY CAPITAL FUTURES STRATEGY FUND
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
FEBRUARY 29, 2016
(UNAUDITED) (CONTINUED)
The Fund had transactions in options written during the fiscal period ended February 29, 2016 as follows:.
NUMBER OF CONTRACTS | PREMIUMS RECEIVED | |||||||
Options outstanding at | 95,153,327 | $ | 1,131,083 | |||||
Options written | 112,035,036 | 3,181,817 | ||||||
Options closed | (27,862,938 | ) | (2,511,563 | ) | ||||
Options expired | (101,365,425 | ) | (831,875 | ) | ||||
|
|
|
| |||||
Options outstanding at | 77,960,000 | $ | 969,462 | |||||
|
|
|
|
FUTURES CONTRACTS — The Fund may use futures contracts for hedging or speculative purposes consistent with 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 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 — In the normal course of pursuing its investment objectives, the Fund is subject to foreign investment and currency risk. The Fund may enter into forward foreign currency contracts (“forward contracts”) for purposes of hedging, duration management, as a substitute for securities, to increase returns, for currency hedging or risk management, or to otherwise help achieve the Fund’s investment goal. 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.
CASHAND CASH EQUIVALENTS — The Fund considers liquid assets deposited into bank demand deposit accounts to be cash equivalents. These investments represent amounts held with financial institutions that are readily accessible to pay Fund expenses or purchase investments. 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, based on experience, the risk of material loss from such claims is considered remote.
35
ABBEY CAPITAL FUTURES STRATEGY FUND
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
FEBRUARY 29, 2016
(UNAUDITED) (CONTINUED)
2. INVESTMENT ADVISERAND OTHER SERVICES
Abbey Capital Limited (“Abbey Capital” or the “Adviser”) serves as the investment adviser to the Fund. The Fund is managed by the Adviser and one or more Trading Advisers unaffiliated with the Adviser. 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 of Directors. The Fund compensates the Adviser for its services at the annual rate of 1.97% of its average annual net assets, payable on a monthly basis in arrears. The Adviser compensates the Trading Advisers out of the advisory fee that it receives from the Fund.
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 2.24%, 1.99% and 2.99% of the Fund’s average daily net assets attributable to Class A Shares, Class I Shares and Class C Shares, respectively. In determining the Adviser’s obligation to waive advisory fees and/or reimburse expenses, the following expenses are not taken into account and could cause net Total Annual Fund Operating Expenses to exceed 2.24%, 1.99% or 2.99%, as applicable: acquired fund fees and expenses, brokerage commissions, extraordinary items, interest or taxes. With interest expense included, the Fund’s net expense ratios are 2.03% for Class I Shares ,2.28% for Class A Shares and 3.03% for Class C Shares, net of the expense limitation. Without the limitation arrangement the expense ratios are 2.46% for Class I Shares, 2.71% for Class A Shares and 3.46% for Class C Shares. This contractual limitation is in effect until December 31, 2016 and may not be terminated without the approval of the Board of Directors. If at any time during the first three years the Advisory Agreement is in effect, the Fund’s Total Annual Fund Operating Expenses for that year are less than 2.24%, 1.99% or 2.99%, as applicable, the Adviser may recoup any waived amount from the Fund if such reimbursement does not cause the Fund to exceed existing expense limitations. For the six-month period ended February 29, 2016, investment advisory fees accrued and waived were $3,098,105 and $307,103, respectively. At February 29, 2016, the amount of potential recovery by the Adviser was as follows:
EXPIRATION | ||||
AUGUST 31, 2017 | AUGUST 31, 2018 | AUGUST 31, 2019 | ||
$94,261 | $434,343 | $307,103 |
Altis Partners (Jersey) Limited, Cantab Capital Partners LLP, Eclipse Capital Management, Inc., Graham Capital Management, LP, Harmonic Capital Partners LLP, P/E Global, LLC, Revolution Capital Management, LLC, Trigon Investment Advisors, LLC and Conquest Capital, LLC each serves as a Trading Adviser to the Fund.
BNY Mellon Investment Servicing (US) Inc. (“BNY Mellon”) serves as administrator for the Fund. For providing administrative and accounting services, BNY Mellon is entitled to receive a monthly fee equal to an annual percentage rate of the Fund’s average daily net assets, subject to certain minimum monthly fees.
Included in the administration and accounting services fees, shown on the Statement of Operations, are fees for providing regulatory administration services to RBB. For providing these services, BNY Mellon is entitled to receive compensation as agreed to by the Company and BNY Mellon. This fee is allocated to each portfolio in proportion to its net assets of the Company.
In addition, BNY Mellon serves as the Fund’s transfer and dividend disbursing agent. For providing transfer agent services, BNY Mellon is entitled to receive a monthly fee, subject to certain minimum, and out of pocket expenses.
The Bank of New York Mellon (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.
Foreside Funds Distributors LLC serves as the principal underwriter and distributor of the Fund’s shares pursuant to a Distribution Agreement with RBB.
36
ABBEY CAPITAL FUTURES STRATEGY FUND
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
FEBRUARY 29, 2016
(UNAUDITED) (CONTINUED)
3. DIRECTOR’SAND OFFICER’S COMPENSATION
The Directors of the Company receive an annual retainer and meeting fees for meetings attended. The remuneration paid to the Directors by the Fund during the six months ended February 29, 2016 was $9,033. Certain employees of BNY Mellon serve as an Officer of the Company. They are not compensated by the Fund or the Company. Employees of Vigilant Compliance, LLC serve as President, Chief Compliance Officer and, effective January 1, 2016, Treasurer of the Company. Vigilant Compliance, LLC is compensated for the services provided to the Company. For the six months ended February 29, 2016, the Fund paid $3,921 in officer fees.
4. INVESTMENTIN SECURITIES
For the six months ended February 29, 2016, aggregate purchases and sales of investment securities (excluding short-term investments) of the Fund were as follows:
PURCHASES | SALES | |||||||
Investments in Non-U.S. Government Securities | $— | $— | ||||||
Investments in U.S. Government Securities | — | — |
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 February 29, 2016, federal tax cost, aggregate gross unrealized appreciation and depreciation of securities held by the Fund were as follows:
FEDERAL TAX COST | UNREALIZED APPRECIATION | UNREALIZED DEPRECIATION | NET UNREALIZED DEPRECIATION | |||
$397,493,581 | $173,264 | $(738,340) | $(565,076) |
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, 2015, the components of distributable earnings on a tax basis were as follows:
UNDISTRIBUTED | UNDISTRIBUTED LONG-TERM GAINS | UNREALIZED DEPRECIATION | QUALIFIED LATE-YEAR LOSSES | OTHER TEMPORARY DIFFERENCES | ||||
$660,502 | $— | $(4,985,548) | $— | $— |
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.
37
ABBEY CAPITAL FUTURES STRATEGY FUND
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
FEBRUARY 29, 2016
(UNAUDITED) (CONCLUDED)
Under the Regulated Investment Company Modernization Act of 2010, the Fund is 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 rather than being considered all short-term as under the previous law. As of August 31, 2015, the Fund had no capital loss carryforwards.
6. 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.
38
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 12-month period ended June 30 are available without charge, upon request, by calling (844) 261-6484 and on the Securities and Exchange Commission’s (“SEC”) website at http://www.sec.gov.
QUARTERLY PORTFOLIO SCHEDULES
The Company files its complete schedule of portfolio holdings with the SEC for the first and third fiscal quarters of each fiscal year (quarters ended November 30 and May 31) on Form N-Q. The Company’s Form N-Q is available on the SEC website at http://www.sec.gov and may be reviewed and copied at the SEC Public Reference Room in Washington, D.C. Information on the operation of the SEC Public Reference Room may be obtained by calling (800) SEC-0330.
APPROVALOF ADVISORY AGREEMENTSAND TRADING ADVISORY AGREEMENTS
As required by the 1940 Act, the Board of Directors (the “Board”) of the Company, including all of the Directors who are not “interested persons” of the Company, as that term is defined in the 1940 Act (the “Independent Directors”), considered the approval of the trading advisory agreements among Abbey Capital, Abbey Capital Offshore Fund Limited (“ACOF”) and each of Conquest Capital Group LLC (“Conquest”), Harmonic Capital Partners LLP (“Harmonic”) and Cantab Partners LLP (“Cantab”) (collectively, the “Trading Advisers”) (the “Trading Advisory Agreements”), at meetings of the Board held on September 30, 2015, December 17, 2015, and February 24, 2016, respectively (collectively, the “Meetings”). At the Meetings, the Board, including all of the Independent Directors, approved the Trading Advisory Agreements for initial periods ending August 16, 2016 for Cantab and Harmonic and August 16, 2017 for Conquest. The Board’s decision to approve the Trading Advisory Agreements reflects the exercise of its business judgment to approve the arrangements. In approving the Trading Advisory Agreements, the Board considered information provided by Abbey Capital and each of the Trading Advisers with the assistance and advice of counsel to the Independent Directors and the Company.
In considering the Trading Advisory Agreement between Abbey Capital, ACOF and each Trading Adviser with respect to the Fund, the Directors took into account all materials provided prior to and during the Meetings and at other meetings throughout the past year, the presentations made during the Meetings, and the discussions held during the Meetings. Among other things, the Directors considered (i) the nature, extent, and quality of services to be provided to the Fund by the Trading Advisers; (ii) descriptions of the experience and qualifications of the personnel providing those services; (iii) the Trading Advisers’ investment philosophies and processes; (iv) the Trading Advisers’ assets under management and client descriptions; (v) the Trading Advisers’ soft dollar commissions and trade allocation policies, including information on the types of research and services obtained in connection with soft dollar commissions; (vi) the Trading Advisers’ advisory fee arrangements with the Company and other similarly managed clients, as applicable; (vii) the Trading Advisers’ compliance procedures; and (viii) the Trading Advisers’ financial information and insurance coverage. The Directors concluded that each Trading Adviser had substantial resources to provide services to the Fund.
The Directors considered the nature, extent, and quality of services to be provided by each Trading Adviser. The Directors also considered the fees payable to each Trading Adviser under the proposed Trading Advisory Agreements. In this regard, the Directors noted that the fees for the Trading Advisers were payable by Abbey Capital.
After reviewing the information regarding the Trading Advisers’ costs, profitability and economies of scale, and after considering the services to be provided by the Trading Advisers, the Directors concluded that the trading advisory fees to be paid by Abbey Capital to each Trading Adviser were fair and reasonable and that the Trading Advisory Agreements should be approved for initial periods ending August 16, 2016 for Cantab and Harmonic and August 16, 2017 for Conquest.
39
Investment Adviser
Abbey Capital Limited
1-2 Cavendish Row
Dublin 1, Ireland
Administrator
BNY Mellon Investment Servicing (US) Inc.
301 Bellevue Parkway
Wilmington, DE 19809
Transfer Agent
BNY Mellon Investment Servicing (US) Inc.
4400 Computer Drive
Westborough, MA 01581
Principal Underwriter
Foreside Funds Distributors LLC
400 Berwyn Park
899 Cassatt Road
Berwyn, PA 19312
Custodian
The Bank of New York Mellon
225 Liberty Street
New York, NY 10286
Independent Registered Public Accounting Firm
Ernst & Young LLP
One Commerce Square
2005 Market Street, Suite 700
Philadelphia, PA 19103
Legal Counsel
Drinker Biddle & Reath LLP
One Logan Square, Ste. 2000
Philadelphia, PA 19103-6996
ABB-SAR16
ALTAIR SMALLER COMPANIES FUND
of
The RBB Fund, Inc.
SEMI-ANNUAL REPORT
February 29, 2016
(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.
ALTAIR SMALLER COMPANIES FUND
Performance Data
February 29, 2016
(Unaudited)
Average Annual Total Returns for the periods ended February 29, 2016 | ||||||||||||
Six Months† | One Year | Since Inception* | ||||||||||
Altair Smaller Companies Fund | -11.52% | -12.84% | -4.68% | |||||||||
Russell 2000® Index** | -10.16% | -14.97% | -2.81% |
† | 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. 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, 2015, is 1.15% 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 stock, 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. 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 manager’s ability to select investments for the Fund. The Fund may invest in riskier type investments including small and micro-cap stocks, IPOs, special situations and illiquid securities all of which may be more volatile and less liquid.
1
ALTAIR SMALLER COMPANIES FUND
Fund Expense Examples
(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. 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, 2015 through February 29, 2016 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 the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not your Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare these 5% hypothetical examples with the 5% hypothetical examples that appear in the shareholder reports of other funds.
Please note that the expenses shown in the accompanying table are meant to highlight your ongoing costs only and do not reflect any transactional costs. Therefore, the second line of the accompanying table is useful in comparing ongoing costs only and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
| ||||||
Beginning Account Value | Ending Account Value | Expenses Paid | ||||
September 1, 2015 | February 29, 2016 | During Period* | ||||
Actual | $1,000.00 | $ 884.80 | $5.39 | |||
Hypothetical (5% return before expenses) | 1,000.00 | 1,019.14 | 5.77 |
* | Expenses equal to the Fund’s annualized six-month expense ratio of 1.15% for the Fund, 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 of -11.52%. |
2
ALTAIR SMALLER COMPANIES FUND
Portfolio Holdings Summary Table
February 29, 2016
(Unaudited)
The following table presents a summary by sector of the portfolio holdings of the Fund.
Security Type/Sector | % of Net | |||||
Classification | Assets | Value | ||||
COMMON STOCKS: | ||||||
Commercial Services | 7.7% | $ | 14,525,901 | |||
Retail | 7.0 | 13,250,805 | ||||
Banks | 6.2 | 11,757,187 | ||||
Computers | 5.5 | 10,432,351 | ||||
Software | 5.0 | 9,539,569 | ||||
Internet | 4.1 | 7,815,543 | ||||
Semiconductors | 3.7 | 7,062,123 | ||||
Telecommunications | 3.6 | 6,838,295 | ||||
Healthcare-Products | 3.4 | 6,527,849 | ||||
Diversified Financial Services | 2.7 | 5,149,468 | ||||
Pharmaceuticals | 2.7 | 5,130,857 | ||||
Food | 2.5 | 4,737,673 | ||||
Transportation | 2.4 | 4,512,549 | ||||
Insurance | 2.4 | 4,506,869 | ||||
Biotechnology | 2.3 | 4,353,013 | ||||
Electronics | 2.2 | 4,195,523 | ||||
REITS | 2.1 | 3,915,128 | ||||
Healthcare-Services | 2.1 | 3,905,948 | ||||
Building Materials | 2.0 | 3,705,215 | ||||
Miscellaneous Manufacturing | 1.9 | 3,640,762 | ||||
Oil & Gas | 1.7 | 3,299,606 | ||||
Aerospace/Defense | 1.5 | 2,795,121 | ||||
Chemicals | 1.4 | 2,650,336 | ||||
Entertainment | 1.4 | 2,597,962 | ||||
Electrical Components & Equipment | 1.3 | 2,389,344 | ||||
Auto Parts & Equipment | 1.2 | 2,303,579 | ||||
Home Furnishings | 1.2 | 2,201,298 | ||||
Engineering & Construction | 1.1 | 2,131,081 | ||||
Apparel | 1.1 | 2,078,532 | ||||
Machinery-Diversified | 0.9 | 1,642,648 | ||||
Beverages | 0.8 | 1,478,989 | ||||
Textiles | 0.7 | 1,421,125 |
Security Type/Sector | % of Net | |||||||||
Classification | Assets | Value | ||||||||
Mining | 0.7 | % | $ | 1,408,500 | ||||||
Airlines | 0.7 | 1,384,699 | ||||||||
Savings & Loans | 0.7 | 1,383,631 | ||||||||
Oil & Gas Services | 0.7 | 1,374,900 | ||||||||
Metal Fabricate/Hardware | 0.7 | 1,317,693 | ||||||||
Lodging | 0.6 | 1,226,355 | ||||||||
Leisure Time | 0.6 | 1,188,076 | ||||||||
Gas | 0.6 | 1,083,472 | ||||||||
Housewares | 0.6 | 1,069,109 | ||||||||
Home Builders | 0.6 | 1,045,781 | ||||||||
Media | 0.5 | 1,009,362 | ||||||||
Household Products / Wares | 0.5 | 927,266 | ||||||||
Investment Companies | 0.5 | 925,178 | ||||||||
Environmental Control | 0.3 | 559,421 | ||||||||
Water | 0.3 | 548,236 | ||||||||
Packaging & Containers | 0.3 | 512,402 | ||||||||
Hand / Machine Tools | 0.3 | 480,842 | ||||||||
Real Estate | 0.2 | 459,807 | ||||||||
Office Furnishings | 0.2 | 358,214 | ||||||||
Electric | 0.2 | 332,913 | ||||||||
Distribution/Wholesale | 0.1 | 281,246 | ||||||||
Energy-Alternate Sources | 0.1 | 264,721 | ||||||||
Agriculture | 0.1 | 170,421 | ||||||||
Forest Products & Paper | 0.1 | 152,187 | ||||||||
Trucking & Leasing | 0.0 | 82,000 | ||||||||
Storage / Warehousing | 0.0 | 76,448 | ||||||||
Cosmetics/Personal Care | 0.0 | 57,935 | ||||||||
Iron / Steel | 0.0 | 40,452 | ||||||||
Advertising | 0.0 | 12 | ||||||||
Other Assets in Excess of Liabilities | 4.0 | 7,531,339 | ||||||||
|
|
|
| |||||||
NET ASSETS | 100.0 | % | $ | 189,744,867 | ||||||
|
|
|
|
Portfolio holdings are subject to change at any time.
The accompanying notes are an integral part of the financial statements.
3
ALTAIR SMALLER COMPANIES FUND
Portfolio of Investments
February 29, 2016
(Unaudited)
Number | ||||||||
of Shares | Value | |||||||
COMMON STOCKS - 96.0% | ||||||||
Advertising — 0.0% | ||||||||
Journal Media Group, Inc. | 1 | $ | 12 | |||||
|
| |||||||
Aerospace/Defense — 1.5% | ||||||||
Aerojet Rocketdyne Holdings, Inc.* | 21,240 | 329,857 | ||||||
Aerovironment, Inc.* | 9,215 | 229,269 | ||||||
Cubic Corp. | 15,447 | 542,808 | ||||||
Curtiss-Wright Corp. | 2,004 | 141,462 | ||||||
HEICO Corp. | 7,041 | 404,928 | ||||||
Kaman Corp. | 2,787 | 122,461 | ||||||
KLX, Inc.* | 26,764 | 749,124 | ||||||
Mantech International Corp., Class A | 2,301 | 67,028 | ||||||
National Presto Industries, Inc. | 728 | 59,259 | ||||||
Orbital ATK, Inc. | 1,778 | 148,925 | ||||||
|
| |||||||
2,795,121 | ||||||||
|
| |||||||
Agriculture — 0.1% | ||||||||
Andersons, Inc., (The) | 3,403 | 91,371 | ||||||
Universal Corp. | 1,451 | 79,050 | ||||||
|
| |||||||
170,421 | ||||||||
|
| |||||||
Airlines — 0.7% | ||||||||
Allegiant Travel Co. | 3,018 | 494,590 | ||||||
Controladora Vuela Cia de Aviacion SAB de CV, ADR (Mexico)* | 15,068 | 294,730 | ||||||
Hawaiian Holdings, Inc. | 2,251 | 96,838 | ||||||
SkyWest, Inc. | 27,620 | 498,541 | ||||||
|
| |||||||
1,384,699 | ||||||||
|
| |||||||
Apparel — 1.1% | ||||||||
Cherokee, Inc.* | 17,492 | 297,714 | ||||||
G-III Apparel Group Ltd.* | 3,260 | 171,965 | ||||||
Iconix Brand Group, Inc.* | 6,117 | 53,218 | ||||||
Lakeland Industries, Inc.* | 30,477 | 363,286 | ||||||
Oxford Industries, Inc. | 1,003 | 72,848 | ||||||
Rocky Brands, Inc. | 33,660 | 387,427 | ||||||
Skechers U.S.A. Inc., Class A* | 6,336 | 208,581 | ||||||
Steven Madden Ltd.* | 3,222 | 113,414 | ||||||
Superior Uniform Group, Inc. | 17,022 | 302,140 | ||||||
Wolverine World Wide, Inc. | 5,702 | 107,939 | ||||||
|
| |||||||
2,078,532 | ||||||||
|
| |||||||
Auto Parts & Equipment — 1.2% |
| |||||||
Motorcar Parts Of America, Inc.* | 40,025 | 1,380,862 | ||||||
Spartan Motors, Inc. | 90,640 | 325,398 | ||||||
Standard Motor Products, Inc. | 7,217 | 217,304 | ||||||
Superior Industries International, Inc. | 2,532 | 50,007 | ||||||
Unique Fabricating, Inc. | 30,613 | 330,008 | ||||||
|
| |||||||
2,303,579 | ||||||||
|
|
Number | ||||||||
of Shares | Value | |||||||
Banks — 6.2% | ||||||||
1st Source Corp. | 9,059 | $ | 275,850 | |||||
American River Bankshares* | 50,720 | 522,416 | ||||||
Atlantic Capital Bancshares, Inc.* | 29,602 | 385,128 | ||||||
Bank Of Commerce Holdings | 69,530 | 413,008 | ||||||
Bank Of The Ozarks, Inc. | 7,794 | 294,925 | ||||||
BankUnited, Inc. | 11,983 | 384,894 | ||||||
Banner Corp. | 1,722 | 68,381 | ||||||
BBCN Bancorp, Inc. | 8,040 | 115,052 | ||||||
BNC Bancorp | 8,398 | 170,311 | ||||||
Boston Private Financial Holdings, Inc. | 14,098 | 148,875 | ||||||
Cardinal Financial Corp. | 1,613 | 31,066 | ||||||
Central Pacific Financial Corp. | 1,574 | 31,370 | ||||||
City Holding Co. | 4,208 | 185,447 | ||||||
CoBiz Financial, Inc. | 19,947 | 216,425 | ||||||
Community Bank System, Inc. | 1,997 | 73,949 | ||||||
CU Bancorp* | 12,021 | 263,019 | ||||||
CVB Financial Corp. | 8,715 | 135,344 | ||||||
Farmers National Banc Corp. | 31,590 | 268,515 | ||||||
FCB Financial Holdings, Inc., Class A* | 13,287 | 398,743 | ||||||
First BanCorp (Puerto Rico)* | 46,257 | 123,969 | ||||||
First Citizens BancShares, Inc., Class A | 899 | 210,483 | ||||||
First Commonwealth Financial Corp. | 11,374 | 97,703 | ||||||
First Financial Bancorp | 7,350 | 123,259 | ||||||
First Financial Bankshares, Inc. | 6,581 | 173,804 | ||||||
Glacier Bancorp, Inc. | 3,879 | 92,398 | ||||||
Home BancShares, Inc. | 5,717 | 225,936 | ||||||
Horizon Bancorp In | 14,300 | 346,060 | ||||||
Independent Bank Corp. | 1,100 | 47,520 | ||||||
Live Oak Bancshares, Inc. | 14,785 | 195,753 | ||||||
MB Financial, Inc. | 6,569 | 200,486 | ||||||
MidSouth Bancorp, Inc. | 35,260 | 241,178 | ||||||
National Penn Bancshares, Inc. | 10,089 | 112,291 | ||||||
Northrim Bancorp, Inc. | 9,450 | 228,501 | ||||||
Orrstown Financial Services, Inc. | 23,350 | 410,726 | ||||||
Pacific Continental Corp. | 34,600 | 534,224 | ||||||
Pacific Mercantile Bancorp* | 79,400 | 550,242 | ||||||
Park Sterling Corp. | 91,100 | 567,553 | ||||||
People’s Utah Bancorp | 26,860 | 408,272 | ||||||
Premier Financial Bancorp, Inc. | 35,740 | 553,970 | ||||||
PrivateBancorp, Inc. | 2,852 | 97,995 | ||||||
S&T Bancorp, Inc. | 2,081 | 52,483 | ||||||
Southside Bancshares, Inc. | 4,193 | 98,200 | ||||||
Suffolk Bancorp | 7,040 | 170,579 | ||||||
Texas Capital Bancshares, Inc.* | 1,396 | 45,133 |
The accompanying notes are an integral part of the financial statements.
4
ALTAIR SMALLER COMPANIES FUND
Portfolio of Investments (Continued)
February 29, 2016
(Unaudited)
Number | ||||||||
of Shares | Value | |||||||
Banks — (Continued) | ||||||||
Tompkins Financial Corp. | 1,660 | $ | 93,740 | |||||
TrustCo Bank Corp. | 17,124 | 98,805 | ||||||
UMB Financial Corp. | 3,746 | 183,966 | ||||||
United Bankshares, Inc. Wv | 5,281 | 185,046 | ||||||
United Community Banks, Inc. | 3,164 | 54,769 | ||||||
Webster Financial Corp. | 10,427 | 350,451 | ||||||
Western Alliance Bancorp* | 13,667 | 406,183 | ||||||
Wilshire Bancorp, Inc. | 9,430 | 92,791 | ||||||
|
| |||||||
11,757,187 | ||||||||
|
| |||||||
Beverages — 0.8% | ||||||||
DavidsTea, Inc. (Canada)* | 16,068 | 167,911 | ||||||
Farmer Brothers Co.* | 21,549 | 568,032 | ||||||
Primo Water Corp.* | 50,847 | 473,386 | ||||||
Reed’s, Inc.* | 53,398 | 269,660 | ||||||
|
| |||||||
1,478,989 | ||||||||
|
| |||||||
Biotechnology — 2.3% | ||||||||
Acorda Therapeutics, Inc.* | 3,042 | 99,504 | ||||||
ANI Pharmaceuticals, Inc.* | 656 | 21,687 | ||||||
Blueprint Medicines Corp.* | 17,872 | 309,722 | ||||||
Cambrex Corp.* | 1,146 | 44,201 | ||||||
Dermira, Inc.* | 1,932 | 44,552 | ||||||
Dynavax Technologies Corp.* | 8,404 | 135,472 | ||||||
Emergent BioSolutions, Inc.* | 2,245 | 75,948 | ||||||
Exelixis, Inc.* | 25,262 | 91,954 | ||||||
Five Prime Therapeutics, Inc.* | 14,599 | 475,489 | ||||||
KemPharm, Inc.* | 15,461 | 252,169 | ||||||
Ligand Pharmaceuticals, Inc.* | 1,187 | 109,536 | ||||||
Loxo Oncology, Inc.* | 18,225 | 342,448 | ||||||
MacroGenics, Inc.* | 4,497 | 71,862 | ||||||
Medicines Co. (The)* | 4,827 | 155,236 | ||||||
NeoGenomics, Inc.* | 226,056 | 1,439,977 | ||||||
Otonomy, Inc.* | 13,304 | 168,562 | ||||||
Pfenex, Inc.* | 21,603 | 154,245 | ||||||
Repligen Corp.* | 1,847 | 47,523 | ||||||
Second Sight Medical Products, Inc.* | 21,064 | 107,848 | ||||||
Spectrum Pharmaceuticals, Inc.* | 6,297 | 28,462 | ||||||
Sunesis Pharmaceuticals, Inc.* | 84,894 | 63,670 | ||||||
Veracyte, Inc.* | 17,113 | 112,946 | ||||||
|
| |||||||
4,353,013 | ||||||||
|
| |||||||
Building Materials — 2.0% | ||||||||
AAON, Inc. | 2,382 | 59,074 | ||||||
Apogee Enterprises, Inc. | 9,949 | 397,264 | ||||||
Aspen Aerogels, Inc.* | 43,865 | 160,107 | ||||||
Drew Industries, Inc. | 1,629 | 98,050 | ||||||
Gibraltar Industries, Inc.* | 21,959 | 542,717 | ||||||
Griffon Corp. | 24,086 | 357,918 | ||||||
Headwaters, Inc.* | 4,288 | 75,555 | ||||||
LSI Industries, Inc. | 18,167 | 196,204 |
Number | ||||||||
of Shares | Value | |||||||
Building Materials — (Continued) |
| |||||||
Patrick Industries, Inc.* | 16,338 | $ | 721,976 | |||||
PGT, Inc.* | 14,825 | 146,619 | ||||||
Quanex Building Products Corp. | 2,595 | 44,686 | ||||||
Simpson Manufacturing Co., Inc. | 2,069 | 70,222 | ||||||
Summit Materials, Inc., | 12,387 | 226,187 | ||||||
Trex Co., Inc.* | 1,373 | 59,135 | ||||||
Universal Forest Products, Inc. | 2,701 | 207,221 | ||||||
US Concrete, Inc.* | 6,368 | 342,280 | ||||||
|
| |||||||
3,705,215 | ||||||||
|
| |||||||
Chemicals — 1.4% | ||||||||
A Schulman, Inc. | 3,625 | 89,501 | ||||||
Aceto Corp. | 6,735 | 144,466 | ||||||
Balchem Corp. | 1,612 | 101,991 | ||||||
Chemours Co., (The) | 13,402 | 68,752 | ||||||
Codexis, Inc.* | 69,438 | 281,918 | ||||||
Hawkins, Inc. | 7,480 | 239,210 | ||||||
HB Fuller Co. | 4,743 | 182,558 | ||||||
Innophos Holdings, Inc. | 2,039 | 59,090 | ||||||
KMG Chemicals, Inc. | 18,310 | 392,750 | ||||||
Koppers Holdings, Inc.* | 2,012 | 35,290 | ||||||
Kraton Performance Polymers, Inc.* | 2,728 | 46,840 | ||||||
Landec Corp.* | 86,599 | 873,784 | ||||||
Stepan Co. | 2,701 | 134,186 | ||||||
|
| |||||||
2,650,336 | ||||||||
|
| |||||||
Commercial Services — 7.7% | ||||||||
ABM Industries, Inc. | 3,179 | 99,821 | ||||||
AMN Healthcare Services, Inc.* | 22,694 | 645,190 | ||||||
ARC Document Solutions, Inc.* | 101,380 | 354,830 | ||||||
Barrett Business Services, Inc. | 20,260 | 707,884 | ||||||
Booz Allen Hamilton Holding Corp. | 14,035 | 387,366 | ||||||
Bright Horizons Family Solutions, Inc.* | 5,436 | 344,479 | ||||||
Brink’s Co. (The) | 7,542 | 220,603 | ||||||
Capella Education Co. | 1,954 | 90,353 | ||||||
Cardtronics, Inc.* | 1,985 | 66,934 | ||||||
CorVel Corp.* | 1,091 | 45,266 | ||||||
CRA International, Inc.* | 20,520 | 404,654 | ||||||
Cross Country Healthcare, Inc.* | 25,740 | 319,433 | ||||||
Electro Rent Corp. | 36,940 | 350,191 | ||||||
ExamWorks Group, Inc.* | 4,429 | 128,884 | ||||||
Green Dot Corp., Class A* | 4,948 | 102,226 | ||||||
Hackett Group, Inc. (The) | 39,832 | 553,665 | ||||||
Healthcare Services Group, Inc. | 12,881 | 457,018 | ||||||
HealthEquity, Inc.* | 1,801 | 37,497 | ||||||
Heartland Payment Systems, Inc. | 1,425 | 133,266 |
The accompanying notes are an integral part of the financial statements.
5
ALTAIR SMALLER COMPANIES FUND
Portfolio of Investments (Continued)
February 29, 2016
(Unaudited)
Number | ||||||||
of Shares | Value | |||||||
Commercial Services — (Continued) |
| |||||||
Heidrick & Struggles | ||||||||
International, Inc. | 5,696 | $ | 133,799 | |||||
HMS Holdings Corp.* | 9,256 | 121,902 | ||||||
INC Research Holdings, Inc., Class A* | 9,254 | 367,199 | ||||||
Insperity, Inc. | 20,063 | 952,792 | ||||||
Kelly Services, Inc., Class A | 28,112 | 484,370 | ||||||
Korn/Ferry International | 14,635 | 415,927 | ||||||
LendingTree, Inc.* | 8,443 | 746,108 | ||||||
Liberty Tax, Inc. | 16,450 | 279,321 | ||||||
Matthews International Corp., Class A | 1,608 | 76,171 | ||||||
Medifast, Inc. | 16,546 | 502,171 | ||||||
Monro Muffler Brake, Inc. | 1,672 | 114,315 | ||||||
Navigant Consulting, Inc.* | 3,071 | 46,618 | ||||||
Nord Anglia Education, Inc. (Cayman Islands)* | 17,865 | 346,402 | ||||||
Nutrisystem, Inc. | 9,156 | 186,325 | ||||||
NV5 Holdings, Inc.* | 21,550 | 471,514 | ||||||
On Assignment, Inc.* | 14,087 | 465,012 | ||||||
PAREXEL International Corp.* | 2,105 | 123,542 | ||||||
Paylocity Holding Corp.* | 6,987 | 206,955 | ||||||
PFSweb, Inc.* | 59,585 | 769,838 | ||||||
Rent-A-Center, Inc. | 5,965 | 76,173 | ||||||
Resources Connection, Inc. | 1,044 | 14,480 | ||||||
ServiceSource International, Inc.* | 95,527 | 387,840 | ||||||
SP Plus Corp.* | 38,864 | 970,434 | ||||||
Strayer Education, Inc.* | 779 | 35,156 | ||||||
TrueBlue, Inc.* | 2,912 | 66,830 | ||||||
Viad Corp. | 18,918 | 536,514 | ||||||
Weight Watchers International, Inc.* | 15,177 | 178,633 | ||||||
|
| |||||||
14,525,901 | ||||||||
|
| |||||||
Computers — 5.5% | ||||||||
Astro-Med, Inc. | 18,890 | 253,315 | ||||||
CACI International, Inc., | 1,145 | 110,630 | ||||||
Computer Services, Inc. | 16,069 | 577,841 | ||||||
Computer Task Group, Inc. | 37,581 | 177,758 | ||||||
Cray, Inc.* | 12,761 | 541,194 | ||||||
CSRA, Inc. | 13,578 | 352,349 | ||||||
Datalink Corp.* | 92,300 | 660,868 | ||||||
Digimarc Corp.* | 10,621 | 321,498 | ||||||
Electronics For Imaging, Inc.* | 1,897 | 75,140 | ||||||
Engility Holdings, Inc.* | 2,262 | 32,822 | ||||||
ExlService Holdings, Inc.* | 21,324 | 1,004,147 | ||||||
Globant S.A. (Luxembourg)* | 21,306 | 657,290 | ||||||
Icad, Inc.* | 58,343 | 260,793 |
Number | ||||||||
of Shares | Value | |||||||
Computers — (Continued) |
| |||||||
Insight Enterprises, Inc.* | 1,472 | $ | 38,419 | |||||
Kornit Digital Ltd. (Israel)* | 22,805 | 264,538 | ||||||
Leidos Holdings, Inc. | 7,370 | 318,531 | ||||||
Luxoft Holding, Inc. (Virgin Islands, British)* | 2,547 | 129,286 | ||||||
Manhattan Associates, Inc.* | 9,848 | 544,200 | ||||||
Mattersight Corp.* | 27,189 | 137,576 | ||||||
MAXIMUS, Inc. | 1,853 | 91,112 | ||||||
Maxwell Technologies, Inc.* | 29,956 | 171,648 | ||||||
Mercury Systems, Inc.* | 44,574 | 728,339 | ||||||
Mitek Systems, Inc.* | 138,177 | 714,375 | ||||||
MTS Systems Corp. | 1,657 | 91,052 | ||||||
Quantum Corp.* | 435,170 | 221,937 | ||||||
Radisys Corp.* | 233,730 | 603,023 | ||||||
Super Micro Computer, Inc.* | 3,359 | 109,067 | ||||||
Sykes Enterprises, Inc.* | 1,995 | 60,788 | ||||||
Synaptics, Inc.* | 2,264 | 183,859 | ||||||
TeleTech Holdings, Inc. | 3,501 | 96,978 | ||||||
Vocera Communications, Inc.* | 47,431 | 656,919 | ||||||
Xplore Technologies Corp.* | 61,112 | 245,059 | ||||||
|
| |||||||
10,432,351 | ||||||||
|
| |||||||
Cosmetics/Personal Care — 0.0% |
| |||||||
Inter Parfums, Inc. | 2,289 | 57,935 | ||||||
|
| |||||||
Distribution/Wholesale — 0.1% |
| |||||||
Core-Mark Holding Co., Inc. | 529 | 38,950 | ||||||
Pool Corp. | 2,106 | 169,049 | ||||||
ScanSource, Inc.* | 1,959 | 73,247 | ||||||
|
| |||||||
281,246 | ||||||||
|
| |||||||
Diversified Financial Services — 2.7% |
| |||||||
Blackhawk Network Holdings, Inc., Class B* | 27,528 | 931,548 | ||||||
Encore Capital Group, Inc.* | 1,854 | 43,105 | ||||||
Evercore Partners, Inc., Class A | 8,855 | 413,263 | ||||||
Financial Engines, Inc. | 2,244 | 54,754 | ||||||
FNFV Group* | 101,573 | 1,032,997 | ||||||
Greenhill & Co., Inc. | 3,628 | 83,662 | ||||||
Hennessy Advisors, Inc. | 15,299 | 388,748 | ||||||
Interactive Brokers Group, Inc., Class A | 3,063 | 104,663 | ||||||
Investment Technology Group, Inc. | 3,420 | 62,654 | ||||||
JMP Group, LLC | 46,300 | 231,500 | ||||||
MarketAxess Holdings, Inc. | 5,907 | 699,743 | ||||||
Piper Jaffray Cos* | 1,366 | 57,850 | ||||||
Silvercrest Asset Management Group, Inc., Class A | 20,822 | 227,376 | ||||||
WageWorks, Inc.* | 11,479 | 552,943 | ||||||
Westwood Holdings Group, Inc. | 5,337 | 264,662 | ||||||
|
| |||||||
5,149,468 | ||||||||
|
|
The accompanying notes are an integral part of the financial statements.
6
ALTAIR SMALLER COMPANIES FUND
Portfolio of Investments (Continued)
February 29, 2016
(Unaudited)
Number | ||||||||
of Shares | Value | |||||||
Electric — 0.2% |
| |||||||
ALLETE, Inc. | 4,232 | $ | 224,381 | |||||
Avista Corp. | 1,395 | 52,731 | ||||||
El Paso Electric Co. | 1,366 | 55,801 | ||||||
|
| |||||||
332,913 | ||||||||
|
| |||||||
Electrical Components & Equipment — 1.3% |
| |||||||
Advanced Energy Industries, Inc.* | 2,466 | 73,561 | ||||||
Encore Wire Corp. | 1,956 | 70,690 | ||||||
EnerSys | 3,171 | 162,863 | ||||||
Insteel Industries, Inc. | 29,410 | 769,954 | ||||||
Littelfuse, Inc. | 1,079 | 122,596 | ||||||
Powell Industries, Inc. | 5,194 | 137,485 | ||||||
PowerSecure International, Inc.* | 24,960 | 464,256 | ||||||
Research Frontiers, Inc.* | 36,964 | 171,143 | ||||||
SL Industries, Inc.* | 9,750 | 329,550 | ||||||
Universal Display Corp.* | 1,826 | 87,246 | ||||||
|
| |||||||
2,389,344 | ||||||||
|
| |||||||
Electronics — 2.2% |
| |||||||
Brady Corp., Class A | 2,928 | 76,509 | ||||||
Coherent, Inc.* | 5,080 | 429,768 | ||||||
ESCO Technologies, Inc. | 1,022 | 36,475 | ||||||
FARO Technologies, Inc.* | 1,733 | 55,543 | ||||||
FLIR Systems, Inc. | 10,978 | 339,879 | ||||||
II-VI, Inc.* | 3,812 | 83,673 | ||||||
IMAX Corp. (Canada)* | 11,360 | 335,234 | ||||||
Itron, Inc.* | 4,655 | 185,455 | ||||||
Ituran Location And Control Ltd. (Israel) | 22,201 | 375,641 | ||||||
Methode Electronics, Inc. | 1,987 | 56,769 | ||||||
Napco Security Technologies, Inc.* | 51,481 | 320,212 | ||||||
Newport Corp.* | 3,526 | 80,287 | ||||||
Plexus Corp.* | 2,641 | 96,106 | ||||||
Rogers Corp.* | 1,868 | 99,789 | ||||||
Sanmina Corp.* | 6,648 | 136,949 | ||||||
TASER International, Inc.* | 12,835 | 248,742 | ||||||
Tech Data Corp.* | 8,290 | 583,699 | ||||||
ZAGG, Inc.* | 62,840 | 654,793 | ||||||
|
| |||||||
4,195,523 | ||||||||
|
| |||||||
Energy-Alternate Sources — 0.1% |
| |||||||
REX American Resources Corp.* | 5,242 | 264,721 | ||||||
|
| |||||||
Engineering & Construction — 1.1% |
| |||||||
Aegion Corp.* | 5,582 | 101,090 | ||||||
Argan, Inc. | 16,225 | 523,581 | ||||||
Comfort Systems Usa, Inc. | 20,839 | 584,534 | ||||||
Dycom Industries, Inc.* | 2,682 | 152,794 | ||||||
EMCOR Group, Inc. | 4,741 | 217,470 | ||||||
Exponent, Inc. | 1,390 | 64,899 |
Number | ||||||||
of Shares | Value | |||||||
Engineering & Construction — (Continued) |
| |||||||
MYR Group, Inc.* | 3,312 | $ | 74,288 | |||||
Sterling Construction Co., Inc.* | 62,850 | 339,390 | ||||||
TopBuild Corp.* | 2,707 | 73,035 | ||||||
|
| |||||||
2,131,081 | ||||||||
|
| |||||||
Entertainment — 1.4% |
| |||||||
Carmike Cinemas, Inc.* | 24,000 | 526,560 | ||||||
International Speedway Corp., Class A | 28,578 | 985,655 | ||||||
Marriott Vacations Worldwide Corp. | 828 | 50,135 | ||||||
Pinnacle Entertainment, Inc.* | 3,069 | 88,725 | ||||||
Scientific Games Corp., Class A, Class A* | 6,167 | 52,481 | ||||||
SeaWorld Entertainment, Inc. | 49,442 | 894,406 | ||||||
|
| |||||||
2,597,962 | ||||||||
|
| |||||||
Environmental Control — 0.3% |
| |||||||
Tetra Tech, Inc. | 3,198 | 88,041 | ||||||
US Ecology, Inc. | 12,740 | 471,380 | ||||||
|
| |||||||
559,421 | ||||||||
|
| |||||||
Food — 2.5% |
| |||||||
B&G Foods, Inc. | 4,803 | 166,136 | ||||||
Blue Buffalo Pet Products, Inc.* | 21,785 | 398,666 | ||||||
Calavo Growers, Inc. | 7,247 | 388,149 | ||||||
Cal-Maine Foods, Inc. | 1,158 | 61,814 | ||||||
Darling Ingredients, Inc.* | 8,943 | 80,576 | ||||||
Diamond Foods, Inc.* | 1,830 | 68,735 | ||||||
Fresh Market, Inc. (The)* | 41,630 | 960,404 | ||||||
Ingles Markets, Inc., Class A | 17,096 | 576,648 | ||||||
J&J Snack Foods Corp. | 681 | 75,448 | ||||||
John B Sanfilippo & Son, Inc. | 4,403 | 306,449 | ||||||
Lifeway Foods, Inc.* | 31,140 | 351,571 | ||||||
Sanderson Farms, Inc. | 1,371 | 125,117 | ||||||
Smart & Final Stores, Inc.* | 23,209 | 377,146 | ||||||
Snyder’s-Lance, Inc. | 3,587 | 117,331 | ||||||
SpartanNash Co. | 1,510 | 41,449 | ||||||
United Natural Foods, Inc.* | 13,740 | 424,016 | ||||||
Village Super Market, Inc., Class A | 8,224 | 218,018 | ||||||
|
| |||||||
4,737,673 | ||||||||
|
| |||||||
Forest Products & Paper — 0.1% |
| |||||||
Clearwater Paper Corp.* | 1,300 | 52,871 | ||||||
Neenah Paper, Inc. | 743 | 44,996 | ||||||
PH Glatfelter Co. | 2,957 | 54,320 | ||||||
|
| |||||||
152,187 | ||||||||
|
| |||||||
Gas — 0.6% |
| |||||||
Laclede Group, Inc. (The) | 5,337 | 349,680 | ||||||
New Jersey Resources Corp. | 2,340 | 81,011 | ||||||
Northwest Natural Gas Co. | 2,390 | 119,237 |
The accompanying notes are an integral part of the financial statements.
7
ALTAIR SMALLER COMPANIES FUND
Portfolio of Investments (Continued)
February 29, 2016
(Unaudited)
Number | ||||||||
of Shares | Value | |||||||
Gas — (Continued) |
| |||||||
Piedmont Natural Gas Co., Inc. | 5,397 | $ | 320,636 | |||||
South Jersey Industries, Inc. | 4,502 | 114,576 | ||||||
Southwest Gas Corp. | 1,612 | 98,332 | ||||||
|
| |||||||
1,083,472 | ||||||||
|
| |||||||
Hand / Machine Tools — 0.3% |
| |||||||
Franklin Electric Co., Inc. | 1,615 | 48,208 | ||||||
Hardinge, Inc. | 48,830 | 432,634 | ||||||
|
| |||||||
480,842 | ||||||||
|
| |||||||
Healthcare-Products — 3.4% |
| |||||||
ABIOMED, Inc.* | 1,897 | 151,779 | ||||||
Affymetrix, Inc.* | 7,183 | 100,849 | ||||||
Alpha Pro Tech Ltd.* | 118,190 | 196,195 | ||||||
Analogic Corp. | 569 | 42,664 | ||||||
AtriCure, Inc.* | 30,475 | 504,971 | ||||||
Avinger, Inc.* | 21,299 | 328,644 | ||||||
Cantel Medical Corp. | 1,814 | 115,425 | ||||||
Cerus Corp.* | 67,233 | 329,442 | ||||||
ConforMIS, Inc.* | 14,921 | 135,930 | ||||||
CONMED Corp. | 935 | 37,157 | ||||||
Cynosure, Inc., Class A* | 1,507 | 61,290 | ||||||
Digirad Corp. | 73,503 | 382,951 | ||||||
Entellus Medical, Inc.* | 11,452 | 183,347 | ||||||
Glaukos Corp.* | 12,434 | 204,664 | ||||||
Greatbatch, Inc.* | 1,240 | 46,872 | ||||||
Haemonetics Corp.* | 2,669 | 85,622 | ||||||
ICU Medical, Inc.* | 578 | 53,118 | ||||||
Integra LifeSciences Holdings Corp.* | 1,544 | 94,740 | ||||||
Intersect ENT, Inc.* | 6,356 | 114,916 | ||||||
Invacare Corp. | 2,648 | 32,067 | ||||||
Invuity, Inc.* | 15,055 | 110,353 | ||||||
K2M Group Holdings, Inc.* | 6,168 | 73,029 | ||||||
LeMaitre Vascular, Inc. | 37,079 | 546,174 | ||||||
Luminex Corp.* | 1,882 | 35,156 | ||||||
Masimo Corp.* | 3,409 | 128,997 | ||||||
Meridian Bioscience, Inc. | 4,835 | 97,425 | ||||||
Merit Medical Systems, Inc.* | 2,635 | 49,564 | ||||||
MiMedx Group, Inc.* | 7,347 | 60,466 | ||||||
NanoString Technologies, Inc.* | 27,194 | 327,416 | ||||||
Natus Medical, Inc.* | 1,325 | 48,124 | ||||||
NuVasive, Inc.* | 2,621 | 109,558 | ||||||
TransEnterix, Inc.* | 28,525 | 91,565 | ||||||
Trinity Biotech PLC, SP ADR (Ireland)* | 33,750 | 331,088 | ||||||
Vascular Solutions, Inc.* | 6,566 | 197,374 | ||||||
West Pharmaceutical Services, Inc. | 10,498 | 651,086 | ||||||
Zeltiq Aesthetics, Inc.* | 20,314 | 467,831 | ||||||
|
| |||||||
6,527,849 | ||||||||
|
|
Number | ||||||||
of Shares | Value | |||||||
Healthcare-Services — 2.1% |
| |||||||
Acadia Healthcare Co., Inc.* | 3,107 | $ | 172,159 | |||||
Addus HomeCare Corp.* | 14,807 | 336,119 | ||||||
Air Methods Corp.* | 19,189 | 697,136 | ||||||
Almost Family, Inc.* | 9,240 | 348,902 | ||||||
Amedisys, Inc.* | 2,217 | 81,453 | ||||||
Amsurg Corp.* | 8,140 | 553,927 | ||||||
Cancer Genetics, Inc.* | 5,100 | 11,220 | ||||||
Chemed Corp. | 621 | 79,798 | ||||||
Ensign Group, Inc. (The) | 1,860 | 38,149 | ||||||
Kindred Healthcare, Inc. | 3,115 | 32,739 | ||||||
LHC Group, Inc.* | 12,276 | 437,394 | ||||||
Magellan Health, Inc.* | 1,789 | 112,680 | ||||||
Molina Healthcare, Inc.* | 2,020 | 125,321 | ||||||
Providence Service Corp. | 927 | 44,042 | ||||||
Psychemedics Corp. | 24,410 | 309,275 | ||||||
Surgical Care Affiliates, Inc.* | 12,969 | 525,634 | ||||||
|
| |||||||
3,905,948 | ||||||||
|
| |||||||
Home Builders — 0.6% |
| |||||||
Cavco Industries, Inc.* | 6,379 | 517,592 | ||||||
Installed Building Products, Inc.* | 7,682 | 171,616 | ||||||
Meritage Homes Corp.* | 1,017 | 33,022 | ||||||
UCP, Inc., Class A* | 37,040 | 225,574 | ||||||
Winnebago Industries, Inc. | 5,231 | 97,977 | ||||||
|
| |||||||
1,045,781 | ||||||||
|
| |||||||
Home Furnishings — 1.2% |
| |||||||
American Woodmark Corp.* | 10,190 | 695,875 | ||||||
Daktronics, Inc. | 17,890 | 126,482 | ||||||
Ethan Allen Interiors, Inc. | 1,908 | 54,435 | ||||||
Hooker Furniture Corp. | 17,394 | 555,216 | ||||||
iRobot Corp.* | 968 | 30,337 | ||||||
La-Z-Boy, Inc. | 2,225 | 54,179 | ||||||
Skullcandy, Inc.* | 56,701 | 200,722 | ||||||
Universal Electronics, Inc.* | 9,109 | 484,052 | ||||||
|
| |||||||
2,201,298 | ||||||||
|
| |||||||
Household Products / Wares — 0.5% |
| |||||||
Acme United Corp. | 16,512 | 252,303 | ||||||
SodaStream International Ltd. (Israel)* | 31,070 | 463,875 | ||||||
Tumi Holdings, Inc.* | 5,247 | 103,628 | ||||||
WD-40 Co. | 995 | 107,460 | ||||||
|
| |||||||
927,266 | ||||||||
|
| |||||||
Housewares — 0.6% |
| |||||||
Lifetime Brands, Inc. | 39,860 | 476,726 | ||||||
Scotts Miracle-Gro Co., (The) Class A | 5,495 | 379,265 | ||||||
Toro Co. (The) | 2,674 | 213,118 | ||||||
|
| |||||||
1,069,109 | ||||||||
|
|
The accompanying notes are an integral part of the financial statements.
8
ALTAIR SMALLER COMPANIES FUND
Portfolio of Investments (Continued)
February 29, 2016
(Unaudited)
Number | ||||||||
of Shares | Value | |||||||
Insurance — 2.4% | ||||||||
Allied World Assurance Co. Holdings AG (Switzerland) | 18,360 | $ | 594,680 | |||||
American National Insurance Co. | 5,650 | 574,436 | ||||||
Atlas Financial Holdings, Inc. (Cayman Islands)* | 19,780 | 355,447 | ||||||
Conifer Holdings, Inc.* | 56,820 | 355,125 | ||||||
eHealth, Inc.* | 30,538 | 308,128 | ||||||
Employers Holdings, Inc. | 3,729 | 103,517 | ||||||
HCI Group, Inc. | 2,125 | 74,672 | ||||||
Horace Mann Educators Corp. | 2,570 | 79,182 | ||||||
Infinity Property & Casualty Corp. | 1,164 | 87,021 | ||||||
ProAssurance Corp. | 2,565 | 126,480 | ||||||
RLI Corp. | 1,478 | 92,774 | ||||||
Safety Insurance Group, Inc. | 1,077 | 59,569 | ||||||
Selective Insurance Group, Inc. | 3,866 | 129,820 | ||||||
Universal Insurance Holdings, Inc. | 2,126 | 41,500 | ||||||
White Mountains Insurance Group Ltd. (Bermuda) | 1,988 | 1,524,518 | ||||||
|
| |||||||
4,506,869 | ||||||||
|
| |||||||
Internet — 4.1% | ||||||||
8X8, Inc.* | 62,288 | 724,409 | ||||||
Autobytel, Inc.* | 20,079 | 385,517 | ||||||
Boingo Wireless, Inc.* | 36,557 | 262,114 | ||||||
ePlus, Inc.* | 8,508 | 638,866 | ||||||
HealthStream, Inc.* | 15,564 | 321,708 | ||||||
j2 Global, Inc. | 2,243 | 163,918 | ||||||
magicJack VocalTec Ltd. (Israel)* | 64,520 | 498,094 | ||||||
Marketo, Inc.* | 8,173 | 137,879 | ||||||
Match Group, Inc.* | 24,532 | 267,153 | ||||||
NIC, Inc. | 3,334 | 58,645 | ||||||
Q2 Holdings, Inc.* | 8,532 | 172,944 | ||||||
Quinstreet, Inc.* | 39,325 | 116,795 | ||||||
Quotient Technology, Inc.* | 24,377 | 212,080 | ||||||
Reis, Inc. | 17,428 | 386,379 | ||||||
Rightside Group Ltd.* | 23,261 | 198,649 | ||||||
RingCentral, Inc., Class A* | 45,707 | 845,579 | ||||||
Shopify, Inc., Class A (Canada)* | 19,382 | 433,769 | ||||||
Stamps.Com, Inc.* | 8,398 | 995,415 | ||||||
TheStreet, Inc. | 93,918 | 84,526 | ||||||
WebMD Health Corp.* | 6,749 | 374,300 | ||||||
Zendesk, Inc.* | 19,565 | 358,040 | ||||||
Zix Corp.* | 44,803 | 178,764 | ||||||
|
| |||||||
7,815,543 | ||||||||
|
| |||||||
Investment Companies — 0.5% |
| |||||||
Acacia Research Corp. | 81,290 | 256,876 | ||||||
Capital Southwest Corp. | 27,931 | 391,034 |
Number | ||||||||
of Shares | Value | |||||||
Investment Companies — (Continued) |
| |||||||
PennantPark Floating Rate Capital Ltd. | 24,537 | $ | 277,268 | |||||
|
| |||||||
925,178 | ||||||||
|
| |||||||
Iron / Steel — 0.0% | ||||||||
AK Steel Holding Corp.* | 14,144 | 40,452 | ||||||
|
| |||||||
Leisure Time — 0.6% | ||||||||
Arctic Cat, Inc. | 11,240 | 196,475 | ||||||
Callaway Golf Co. | 4,678 | 41,587 | ||||||
MCBC Holdings, Inc.* | 13,298 | 176,597 | ||||||
Nautilus, Inc.* | 18,421 | 311,131 | ||||||
Planet Fitness, Inc., Class A* | 32,260 | 462,286 | ||||||
|
| |||||||
1,188,076 | ||||||||
|
| |||||||
Lodging — 0.6% | ||||||||
Belmond Ltd., Class A (Bermuda)* | 10,812 | 99,362 | ||||||
Boyd Gaming Corp.* | 4,776 | 82,720 | ||||||
Interval Leisure Group, Inc. | 4,210 | 54,519 | ||||||
Marcus Corp. (The) | 15,513 | 289,783 | ||||||
Monarch Casino & Resort, Inc.* | 19,659 | 395,539 | ||||||
Red Lion Hotels Corp.* | 41,251 | 304,432 | ||||||
|
| |||||||
1,226,355 | ||||||||
|
| |||||||
Machinery-Diversified — 0.9% | ||||||||
Albany International Corp., Class A | 934 | 34,203 | ||||||
Applied Industrial Technologies, Inc. | 1,045 | 40,232 | ||||||
Briggs & Stratton Corp. | 4,802 | 102,139 | ||||||
Chart Industries, Inc.* | 1,709 | 34,471 | ||||||
Columbus Mckinnon Corp. | 15,570 | 215,644 | ||||||
Hurco Cos, Inc. | 15,620 | 405,339 | ||||||
Manitex International, Inc.* | 50,080 | 255,408 | ||||||
SPX FLOW, Inc.* | 10,543 | 197,470 | ||||||
Tennant Co. | 948 | 44,120 | ||||||
Twin Disc, Inc. | 36,090 | 313,622 | ||||||
|
| |||||||
1,642,648 | ||||||||
|
| |||||||
Media — 0.5% | ||||||||
EW Scripps Co., Class A (The),Class A | 3,165 | 54,628 | ||||||
Gannett Co., Inc. | 9,737 | 148,587 | ||||||
Gray Television, Inc.* | 25,244 | 291,316 | ||||||
Scholastic Corp. | 1,251 | 43,823 | ||||||
Tribune Media Co., Class A | 13,120 | 471,008 | ||||||
|
| |||||||
1,009,362 | ||||||||
|
| |||||||
Metal Fabricate/Hardware — 0.7% |
| |||||||
CIRCOR International, Inc. | 889 | 35,640 | ||||||
Dynamic Materials Corp. | 75,009 | 414,800 | ||||||
Lawson Products, Inc.* | 5,049 | 81,996 | ||||||
Mueller Industries, Inc. | 4,223 | 110,727 |
The accompanying notes are an integral part of the financial statements.
9
ALTAIR SMALLER COMPANIES FUND
Portfolio of Investments (Continued)
February 29, 2016
(Unaudited)
Number | ||||||||
of Shares | Value | |||||||
Metal Fabricate/Hardware — (Continued) |
| |||||||
NN, Inc. | 24,930 | $ | 316,112 | |||||
Northwest Pipe Co.* | 32,650 | 336,295 | ||||||
TimkenSteel Corp. | 2,862 | 22,123 | ||||||
|
| |||||||
1,317,693 | ||||||||
|
| |||||||
Mining — 0.7% | ||||||||
A-Mark Precious Metals, Inc. | 22,692 | 493,097 | ||||||
Century Aluminum Co.* | 22,999 | 164,443 | ||||||
Kaiser Aluminum Corp. | 1,268 | 97,141 | ||||||
Materion Corp. | 1,920 | 50,074 | ||||||
Stillwater Mining Co.* | 8,970 | 75,258 | ||||||
United States Lime & Minerals, Inc. | 5,566 | 296,000 | ||||||
US Silica Holdings, Inc. | 12,115 | 232,487 | ||||||
|
| |||||||
1,408,500 | ||||||||
|
| |||||||
Miscellaneous Manufacturing — 1.9% |
| |||||||
Actuant Corp., Class A | 4,632 | 108,435 | ||||||
Blount International, Inc.* | 75,360 | 730,992 | ||||||
EnPro Industries, Inc. | 2,498 | 129,596 | ||||||
Fabrinet (Cayman Islands)* | 33,579 | 958,680 | ||||||
Federal Signal Corp. | 4,299 | 50,986 | ||||||
Harsco Corp. | 5,317 | 20,151 | ||||||
Hexcel Corp. | 4,288 | 177,223 | ||||||
Hillenbrand, Inc. | 2,960 | 83,235 | ||||||
John Bean Technologies Corp. | 2,493 | 131,132 | ||||||
Lydall, Inc.* | 20,485 | 593,041 | ||||||
Smith & Wesson Holding Corp.* | 21,427 | 543,389 | ||||||
Sturm Ruger & Co., Inc. | 1,620 | 113,902 | ||||||
|
| |||||||
3,640,762 | ||||||||
|
| |||||||
Office Furnishings — 0.2% | ||||||||
Interface, Inc. | 5,654 | 89,899 | ||||||
Kimball International, Inc., Class B | 25,481 | 268,315 | ||||||
|
| |||||||
358,214 | ||||||||
|
| |||||||
Oil & Gas — 1.7% | ||||||||
Atwood Oceanics, Inc. | 28,400 | 195,392 | ||||||
Energen Corp. | 4,220 | 111,746 | ||||||
Evolution Petroleum Corp. | 80,461 | 347,592 | ||||||
Gran Tierra Energy, Inc.* | 118,870 | 282,911 | ||||||
Murphy USA, Inc.* | 11,999 | 764,216 | ||||||
Par Pacific Holdings, Inc.* | 3,679 | 72,476 | ||||||
Parsley Energy, Inc., Class A* | 23,358 | 429,320 | ||||||
PBF Energy, Inc., Class A | 11,330 | 342,166 | ||||||
PDC Energy, Inc.* | 9,963 | 499,246 | ||||||
QEP Resources, Inc. | 26,080 | 254,541 | ||||||
|
| |||||||
3,299,606 | ||||||||
|
| |||||||
Oil & Gas Services — 0.7% | ||||||||
Bristow Group, Inc. | 6,476 | 98,500 | ||||||
CARBO Ceramics, Inc. | 1,765 | 35,282 |
Number | ||||||||
of Shares | Value | |||||||
Oil & Gas Services — (Continued) |
| |||||||
Dawson Geophysical Co.* | 58,588 | $ | 199,785 | |||||
Flotek Industries, Inc.* | 2,953 | 21,498 | ||||||
Helix Energy Solutions Group, Inc.* | 17,356 | 67,688 | ||||||
Matrix Service Co.* | 2,352 | 43,253 | ||||||
Natural Gas Services Group, Inc.* | 29,364 | 530,314 | ||||||
Newpark Resources, Inc.* | 16,065 | 59,922 | ||||||
PHI, Inc., Non Voting Shares* | 6,007 | 109,568 | ||||||
Profire Energy, Inc.* | 178,490 | 140,365 | ||||||
TETRA Technologies, Inc.* | 13,636 | 68,725 | ||||||
|
| |||||||
1,374,900 | ||||||||
|
| |||||||
Packaging & Containers — 0.3% |
| |||||||
AEP Industries, Inc. | 6,510 | 512,402 | ||||||
|
| |||||||
Pharmaceuticals — 2.7% | ||||||||
ACADIA Pharmaceuticals, Inc.* | 1,406 | 24,268 | ||||||
Akorn, Inc.* | 13,520 | 359,497 | ||||||
Anika Therapeutics, Inc.* | 1,077 | 48,605 | ||||||
Chiasma, Inc.* | 18,020 | 177,857 | ||||||
Depomed, Inc.* | 2,634 | 40,248 | ||||||
DexCom, Inc.* | 3,074 | 199,994 | ||||||
Diplomat Pharmacy, Inc.* | 11,167 | 397,769 | ||||||
Enanta Pharmaceuticals, Inc.* | 1,236 | 35,090 | ||||||
Flexion Therapeutics, Inc.* | 20,820 | 196,853 | ||||||
Foamix Pharmaceuticals Ltd. (Israel)* | 39,112 | 224,112 | ||||||
Global Blood Therapeutics, Inc.* | 7,560 | 112,871 | ||||||
Heron Therapeutics, Inc.* | 4,535 | 72,016 | ||||||
Impax Laboratories, Inc.* | 13,204 | 431,639 | ||||||
Imprimis Pharmaceuticals, Inc.* | 28,859 | 117,745 | ||||||
Intra-Cellular Therapies, Inc.* | 6,524 | 183,455 | ||||||
Lannett Co., Inc.* | 3,109 | 78,222 | ||||||
Mirati Therapeutics, Inc.* | 7,827 | 165,071 | ||||||
MyoKardia, Inc.* | 17,894 | 127,047 | ||||||
Nektar Therapeutics* | 7,708 | 86,098 | ||||||
Neogen Corp.* | 2,076 | 102,243 | ||||||
Nevro Corp.* | 4,686 | 269,914 | ||||||
PharMerica Corp.* | 2,116 | 48,901 | ||||||
PRA Health Sciences, Inc.* | 5,704 | 246,242 | ||||||
Premier, Inc., Class A* | 10,422 | 338,923 | ||||||
Prestige Brands Holdings, Inc.* | 4,121 | 201,517 | ||||||
Revance Therapeutics, Inc.* | 4,702 | 83,155 | ||||||
Sagent Pharmaceuticals, Inc.* | 3,432 | 48,666 | ||||||
Sorrento Therapeutics, Inc.* | 23,105 | 139,554 | ||||||
Supernus Pharmaceuticals, Inc.* | 16,350 | 205,029 | ||||||
uniQure NV (Netherlands)* | 18,765 | 263,273 | ||||||
Vitae Pharmaceuticals, Inc.* | 11,626 | 104,983 | ||||||
|
| |||||||
5,130,857 | ||||||||
|
|
The accompanying notes are an integral part of the financial statements.
10
ALTAIR SMALLER COMPANIES FUND
Portfolio of Investments (Continued)
February 29, 2016
(Unaudited)
Number | ||||||||
of Shares | Value | |||||||
Real Estate — 0.2% |
| |||||||
Farmland Partners, Inc. | 27,757 | $ | 304,217 | |||||
HFF, Inc., Class A | 1,536 | 38,446 | ||||||
Marcus & Millichap, Inc.* | 5,160 | 115,016 | ||||||
RMR Group, Inc., (The) Class A* | 94 | 2,128 | ||||||
|
| |||||||
459,807 | ||||||||
|
| |||||||
REITS — 2.1% | ||||||||
Acadia Realty Trust | 3,764 | 124,400 | ||||||
Agree Realty Corp. | 1,641 | 60,799 | ||||||
American Assets Trust, Inc. | 1,089 | 40,391 | ||||||
CareTrust REIT, Inc. | 2,618 | 29,819 | ||||||
Cedar Realty Trust, Inc. | 15,667 | 107,006 | ||||||
Chesapeake Lodging Trust | 6,794 | 172,636 | ||||||
CoreSite Realty Corp. | 1,355 | 87,343 | ||||||
Cousins Properties, Inc. | 17,427 | 150,918 | ||||||
DiamondRock Hospitality Co. | 8,105 | 72,134 | ||||||
EastGroup Properties, Inc. | 2,590 | 140,456 | ||||||
GEO Group, Inc. (The) | 27,262 | 791,688 | ||||||
Getty Realty Corp. | 5,174 | 94,107 | ||||||
Government Properties Income Trust | 6,612 | 98,122 | ||||||
Healthcare Realty Trust, Inc. | 7,137 | 207,044 | ||||||
Inland Real Estate Corp. | 6,533 | 69,250 | ||||||
Kite Realty Group Trust | 4,619 | 124,343 | ||||||
Lexington Realty Trust | 12,112 | 93,747 | ||||||
LTC Properties, Inc. | 3,774 | 167,717 | ||||||
Medical Properties Trust, Inc. | 7,925 | 91,692 | ||||||
National Storage Affiliates Trust | 10,063 | 182,040 | ||||||
Parkway Properties, Inc. | 5,402 | 72,333 | ||||||
Post Properties, Inc. | 2,005 | 111,739 | ||||||
PS Business Parks, Inc. | 1,242 | 114,028 | ||||||
Retail Opportunity Investments Corp. | 3,666 | 67,381 | ||||||
Sabra Health Care REIT, Inc. | 8,635 | 171,966 | ||||||
Sovran Self Storage, Inc. | 1,313 | 139,756 | ||||||
Summit Hotel Properties, Inc. | 6,963 | 75,270 | ||||||
Universal Health Realty Income Trust | 3,063 | 158,786 | ||||||
Urstadt Biddle Properties, Inc., | ||||||||
Class A | 4,968 | 98,217 | ||||||
|
| |||||||
3,915,128 | ||||||||
|
| |||||||
Retail — 7.0% | ||||||||
Asbury Automotive Group, Inc.* | 1,247 | 72,825 | ||||||
Barnes & Noble Education, Inc.* | 3,876 | 41,396 | ||||||
Barnes & Noble, Inc. | 8,365 | 81,140 | ||||||
Big 5 Sporting Goods Corp. | 72,629 | 995,017 | ||||||
Biglari Holdings, Inc.* | 1,956 | 721,216 | ||||||
BJ’s Restaurants, Inc.* | 1,180 | 52,014 | ||||||
Bloomin’ Brands, Inc. | 28,260 | 488,615 | ||||||
Bob Evans Farms, Inc. | 2,128 | 91,312 |
Number | ||||||||
of Shares | Value | |||||||
Retail — (Continued) |
| |||||||
Boot Barn Holdings, Inc.* | 14,560 | $ | 147,930 | |||||
Buffalo Wild Wings, Inc.* | 633 | 100,425 | ||||||
Build-A-Bear Workshop, Inc.* | 40,180 | 573,770 | ||||||
Burlington Stores, Inc.* | 6,868 | 385,020 | ||||||
Carrols Restaurant Group, Inc.* | 30,657 | 406,818 | ||||||
Casey’s General Stores, Inc. | 4,833 | 510,220 | ||||||
Children’s Place, Inc. (The) | 1,027 | 69,980 | ||||||
Chuy’s Holdings, Inc.* | 28,981 | 928,551 | ||||||
Cracker Barrel Old Country Store, Inc. | 790 | 116,959 | ||||||
Del Taco Restaurants, Inc.* | 13,696 | 148,328 | ||||||
Duluth Holdings, Inc.* | 16,165 | 267,531 | ||||||
Express, Inc.* | 4,151 | 71,522 | ||||||
Finish Line, Inc. (The), Class A | 5,591 | 101,868 | ||||||
First Cash Financial Services, Inc. | 2,930 | 123,558 | ||||||
Five Below, Inc.* | 3,696 | 141,742 | ||||||
Francesca’s Holdings Corp.* | 23,185 | 419,185 | ||||||
Fred’s, Inc., Class A | 3,725 | 53,230 | ||||||
Genesco, Inc.* | 1,453 | 95,869 | ||||||
Good Times Restaurants, Inc.* | 28,763 | 121,955 | ||||||
Gordmans Stores, Inc.* | 145,330 | 342,979 | ||||||
Hibbett Sports, Inc.* | 2,854 | 101,317 | ||||||
J Alexander’s Holdings, Inc.* | 27,046 | 280,737 | ||||||
Jack In The Box, Inc. | 989 | 67,994 | ||||||
Kona Grill, Inc.* | 40,054 | 593,600 | ||||||
Lithia Motors, Inc., Class A | 1,218 | 112,933 | ||||||
Lumber Liquidators Holdings, Inc.* | 2,679 | 30,353 | ||||||
MarineMax, Inc.* | 50,238 | 891,222 | ||||||
Movado Group, Inc. | 1,906 | 55,674 | ||||||
Papa John’s International, Inc | 1,043 | 60,650 | ||||||
PC Connection, Inc. | 23,240 | 575,655 | ||||||
PCM, Inc.* | 44,520 | 336,571 | ||||||
Potbelly Corp.* | 12,546 | 157,452 | ||||||
Red Robin Gourmet Burgers, Inc.* | 489 | 31,834 | ||||||
Regis Corp.* | 5,388 | 77,210 | ||||||
Ruby Tuesday, Inc.* | 9,220 | 48,774 | ||||||
Ruth’s Hospitality Group, Inc. | 3,265 | 57,366 | ||||||
Sonic Automotive, Inc., Class A | 4,042 | 77,404 | ||||||
Sonic Corp. | 2,263 | 66,464 | ||||||
Sportsman’s Warehouse Holdings, Inc.* | 19,693 | 255,418 | ||||||
Stage Stores, Inc. | 40,100 | 336,840 | ||||||
Stein Mart, Inc. | 5,434 | 40,266 | ||||||
Texas Roadhouse, Inc. | 14,219 | 593,074 | ||||||
Tile Shop Holdings, Inc.* | 11,124 | 140,385 | ||||||
TravelCenters of America, LLC* | 18,593 | 160,458 | ||||||
Vera Bradley, Inc.* | 9,316 | 154,925 |
The accompanying notes are an integral part of the financial statements.
11
ALTAIR SMALLER COMPANIES FUND
Portfolio of Investments (Continued)
February 29, 2016
(Unaudited)
Number | ||||||||
of Shares | Value | |||||||
Retail — (Continued) |
| |||||||
Vitamin Shoppe, Inc.* | 1,957 | $ | 53,994 | |||||
Xcel Brands, Inc.* | 21,301 | 114,386 | ||||||
Zumiez, Inc.* | 5,173 | 106,874 | ||||||
|
| |||||||
13,250,805 | ||||||||
|
| |||||||
Savings & Loans — 0.7% | ||||||||
Astoria Financial Corp. | 5,686 | 84,665 | ||||||
Banc Of California, Inc. | 19,280 | 295,562 | ||||||
Brookline Bancorp, Inc. | 9,875 | 103,786 | ||||||
Dime Community Bancshares, Inc. | 8,292 | 141,213 | ||||||
Meta Financial Group, Inc. | 6,990 | 289,316 | ||||||
Sterling Bancorp | 32,553 | 469,089 | ||||||
|
| |||||||
1,383,631 | ||||||||
|
| |||||||
Semiconductors — 3.7% | ||||||||
Amtech Systems, Inc.* | 59,290 | 302,379 | ||||||
AXT, Inc.* | 124,580 | 312,696 | ||||||
Cavium, Inc.* | 3,086 | 183,586 | ||||||
CEVA, Inc.* | 29,804 | 584,456 | ||||||
Cirrus Logic, Inc.* | 3,525 | 124,186 | ||||||
Cohu, Inc. | 44,200 | 504,322 | ||||||
GigOptix, Inc.* | 217,630 | 565,838 | ||||||
Inphi Corp.* | 27,494 | 695,598 | ||||||
Kulicke & Soffa Industries, Inc.* | 6,419 | 72,535 | ||||||
M/A-COM Technology Solutions Holdings, Inc.* | 14,076 | 533,480 | ||||||
Magnachip Semiconductor Corp.* | 35,659 | 186,497 | ||||||
Microsemi Corp.* | 4,990 | 172,804 | ||||||
MKS Instruments, Inc. | 1,371 | 45,106 | ||||||
Monolithic Power Systems, Inc. | 8,123 | 479,744 | ||||||
Power Integrations, Inc. | 3,164 | 145,006 | ||||||
QLogic Corp.* | 5,793 | 74,672 | ||||||
Rambus, Inc.* | 4,356 | 56,759 | ||||||
Rovi Corp.* | 7,248 | 165,109 | ||||||
Rubicon Tech., Inc.* | 65,900 | 63,126 | ||||||
Rudolph Technologies, Inc.* | 56,571 | 733,160 | ||||||
Semtech Corp.* | 5,218 | 99,977 | ||||||
Silicon Motion Technology Corp., ADR (Cayman Islands) | 9,001 | 303,244 | ||||||
Tessera Technologies, Inc. | 1,105 | 32,575 | ||||||
Ultra Clean Holdings, Inc.* | 99,470 | 520,228 | ||||||
Ultratech, Inc.* | 2,172 | 44,048 | ||||||
Veeco Instruments, Inc.* | 3,288 | 60,992 | ||||||
|
| |||||||
7,062,123 | ||||||||
|
| |||||||
Software — 5.0% | ||||||||
Amber Road, Inc.* | 37,400 | 172,040 | ||||||
American Software, Inc., Class A | 29,780 | 279,932 | ||||||
Apigee Corp.* | 24,014 | 140,482 | ||||||
Blackbaud, Inc. | 8,270 | 467,503 |
Number | ||||||||
of Shares | Value | |||||||
Software — (Continued) |
| |||||||
Bottomline Technologies, Inc.* | 2,391 | $ | 67,450 | |||||
BroadSoft, Inc.* | 12,175 | 449,136 | ||||||
Callidus Software, Inc.* | 38,823 | 533,040 | ||||||
Computer Programs & Systems, Inc. | 496 | 28,103 | ||||||
CSG Systems International, Inc. | 26,850 | 1,019,226 | ||||||
Ebix, Inc. | 2,006 | 74,282 | ||||||
Evolent Health, Inc., Class A* | 23,479 | 235,964 | ||||||
HubSpot, Inc.* | 10,958 | 456,510 | ||||||
inContact, Inc.* | 20,886 | 193,613 | ||||||
InnerWorkings, Inc.* | 72,560 | 499,213 | ||||||
Instructure, Inc.* | 11,660 | 166,738 | ||||||
Interactive Intelligence Group, Inc.* | 6,155 | 184,219 | ||||||
MAM Software Group, Inc.* | 3,319 | 18,454 | ||||||
Medidata Solutions, Inc.* | 2,838 | 97,911 | ||||||
MicroStrategy, Inc., Class A* | 396 | 63,712 | ||||||
Model N, Inc.* | 25,229 | 260,363 | ||||||
Monotype Imaging Holdings, Inc. | 2,407 | 57,142 | ||||||
Omnicell, Inc.* | 1,885 | 51,592 | ||||||
Paycom Software, Inc.* | 8,178 | 260,715 | ||||||
Press Ganey Holdings, Inc.* | 11,983 | 316,112 | ||||||
Progress Software Corp.* | 3,196 | 80,603 | ||||||
Proofpoint, Inc.* | 12,191 | 571,026 | ||||||
QAD, Inc., Class A | 13,177 | 257,874 | ||||||
Quality Systems, Inc. | 5,530 | 85,991 | ||||||
Rackspace Hosting, Inc.* | 26,620 | 573,129 | ||||||
SharpSpring, Inc.* | 25,968 | 86,993 | ||||||
Simulations Plus, Inc. | 55,587 | 531,968 | ||||||
Synchronoss Technologies, Inc.* | 2,561 | 71,734 | ||||||
SYNNEX Corp. | 1,652 | 155,338 | ||||||
Take-Two Interactive Software, Inc.* | 15,644 | 563,028 | ||||||
Tyler Technologies, Inc.* | 2,546 | 306,335 | ||||||
Xactly Corp.* | 27,948 | 162,098 | ||||||
|
| |||||||
9,539,569 | ||||||||
|
| |||||||
Storage / Warehousing — 0.0% |
| |||||||
Mobile Mini, Inc. | 2,660 | 76,448 | ||||||
|
| |||||||
Telecommunications — 3.6% |
| |||||||
ADTRAN, Inc. | 5,633 | 105,393 | ||||||
Anixter International, Inc.* | 1,549 | 66,344 | ||||||
Atlantic Tele-Network, Inc. | 952 | 68,487 | ||||||
CalAmp Corp.* | 22,352 | 408,595 | ||||||
Ciena Corp.* | 18,417 | 377,548 | ||||||
Cincinnati Bell, Inc.* | 13,236 | 45,797 | ||||||
Comtech Telecommunications Corp. | 1,245 | 25,585 | ||||||
General Communication, Inc., Class A* | 4,528 | 86,440 |
The accompanying notes are an integral part of the financial statements.
12
ALTAIR SMALLER COMPANIES FUND
Portfolio of Investments (Concluded)
February 29, 2016
(Unaudited)
Number | ||||||||
of Shares | Value | |||||||
Telecommunications — (Continued) |
| |||||||
Gigamon, Inc.* | 25,185 | $ | 689,313 | |||||
GTT Communications, Inc.* | 17,086 | 252,531 | ||||||
Infinera Corp.* | 23,988 | 376,372 | ||||||
Inteliquent, Inc. | 27,834 | 473,735 | ||||||
Iridium Communications, Inc.* | 9,628 | 66,722 | ||||||
Ixia* | 6,177 | 70,480 | ||||||
LogMeIn, Inc.* | 1,382 | 70,344 | ||||||
NETGEAR, Inc.* | 2,616 | 103,358 | ||||||
NeuStar, Inc., Class A* | 20,260 | 503,866 | ||||||
Oclaro, Inc.* | 47,692 | 234,168 | ||||||
ORBCOMM, Inc.* | 87,595 | 763,828 | ||||||
Ruckus Wireless, Inc.* | 5,705 | 55,224 | ||||||
ShoreTel, Inc.* | 45,481 | 336,105 | ||||||
Sonus Networks, Inc.* | 38,268 | 298,108 | ||||||
Telephone & Data Systems, Inc. | 30,073 | 803,551 | ||||||
TESSCO Technologies, Inc. | 13,895 | 243,162 | ||||||
ViaSat, Inc.* | 2,176 | 158,870 | ||||||
Viavi Solutions, Inc.* | 23,640 | 154,369 | ||||||
|
| |||||||
6,838,295 | ||||||||
|
| |||||||
Textiles — 0.7% | ||||||||
G&K Services, Inc., Class A | 693 | 45,946 | ||||||
UniFirst Corp. | 13,046 | 1,375,179 | ||||||
|
| |||||||
1,421,125 | ||||||||
|
| |||||||
Transportation — 2.4% | ||||||||
Air Transport Services Group, Inc.* | 78,409 | 905,624 | ||||||
ArcBest Corp. | 2,405 | 47,066 | ||||||
Atlas Air Worldwide Holdings, Inc.* | 880 | 31,865 | ||||||
CAI International, Inc.* | 50,360 | 391,297 | ||||||
Covenant Transportation Group, Inc., Class A* | 8,379 | 185,679 | ||||||
Echo Global Logistics, Inc.* | 11,488 | 293,059 | ||||||
Forward Air Corp. | 15,022 | 611,696 |
Number | ||||||||
of Shares | Value | |||||||
Transportation — (Continued) |
| |||||||
Heartland Express, Inc. | 8,734 | $ | 160,706 | |||||
Knight Transportation, Inc. | 3,275 | 79,353 | ||||||
Marten Transport Ltd. | 22,386 | 367,130 | ||||||
Matson, Inc. | 2,740 | 109,847 | ||||||
Old Dominion Freight Line, Inc.* | 6,563 | 423,707 | ||||||
PAM Transportation Services, Inc.* | 15,150 | 432,836 | ||||||
Roadrunner Transportation Systems, Inc.* | 3,714 | 43,305 | ||||||
Saia, Inc.* | 4,008 | 105,210 | ||||||
Swift Transportation Co.* | 19,024 | 324,169 | ||||||
|
| |||||||
4,512,549 | ||||||||
|
| |||||||
Trucking & Leasing — 0.0% | ||||||||
Greenbrier Cos, Inc., (The) | 3,222 | 82,000 | ||||||
|
| |||||||
Water — 0.3% | ||||||||
American States Water Co. | 2,811 | 119,214 | ||||||
PICO Holdings, Inc.* | 50,178 | 429,022 | ||||||
|
| |||||||
548,236 | ||||||||
|
| |||||||
TOTAL COMMON STOCKS |
| 182,213,528 | ||||||
|
| |||||||
TOTAL INVESTMENTS - 96.0% |
| 182,213,528 | ||||||
|
| |||||||
OTHER ASSETS IN EXCESS OF LIABILITIES - 4.0% |
| 7,531,339 | ||||||
|
| |||||||
NET ASSETS - 100.0% | $ | 189,744,867 | ||||||
|
|
* Non-income producing security.
| ||
ADR | American Depository Receipt | |
PLC | Public Limited Company | |
REIT | Real Estate Investment Trust | |
SP ADR | Sponsored American Depository Receipt |
The accompanying notes are an integral part of the financial statements.
13
ALTAIR SMALLER COMPANIES FUND
Statement of Assets and Liabilities
February 29, 2016
(Unaudited)
ASSETS | ||||
Investments, at value (Cost $184,996,855) | $ | 182,213,528 | ||
Cash | 6,429,907 | |||
Receivables for: | ||||
Investments sold | 4,627,936 | |||
Capital shares sold | 208,509 | |||
Dividends | 93,892 | |||
Prepaid expenses | 15,307 | |||
|
| |||
Total assets | 193,589,079 | |||
|
| |||
LIABILITIES | ||||
Payables for: | ||||
Investments purchased | 3,381,039 | |||
Capital shares redeemed | 182,651 | |||
Investment sub-advisory fees | 133,307 | |||
Administration and accounting services fees | 55,688 | |||
Custodian fees | 7,889 | |||
Transfer agent fees | 3,915 | |||
Other accrued expenses and liabilities | 79,723 | |||
|
| |||
Total liabilities | 3,844,212 | |||
|
| |||
Net Assets | $ | 189,744,867 | ||
|
| |||
NET ASSETS CONSISTS OF | ||||
Par value | $ | 20,253 | ||
Paid-in capital | 206,227,193 | |||
Accumulated net investment loss | (906,064 | ) | ||
Accumulated net realized loss from investments | (12,813,201 | ) | ||
Net unrealized depreciation on investments and foreign currency | (2,783,314 | ) | ||
|
| |||
Net Assets | $ | 189,744,867 | ||
|
| |||
CAPITAL SHARES: | ||||
Net Assets | $ | 189,744,867 | ||
|
| |||
Shares outstanding ($0.001 par value, 100,000,000 shares authorized) | 20,253,050 | |||
|
| |||
Net asset value, offering and redemption price per share | $ | 9.37 | ||
|
|
The accompanying notes are an integral part of the financial statements.
14
ALTAIR SMALLER COMPANIES FUND
Statement of Operations
For The Six Months Ended February 29, 2016
(Unaudited)
INVESTMENT INCOME | ||||
Dividends (net of foreign taxes withheld of $1,691) | $ | 849,872 | ||
|
| |||
Total investment income | 849,872 | |||
|
| |||
EXPENSES | ||||
Sub-Advisory fees (Note 2) | 849,535 | |||
Administration and accounting services fees (Note 2) | 102,110 | |||
Custodian fees (Note 2) | 79,236 | |||
Transfer agent fees (Note 2) | 27,810 | |||
Registration and filing fees | 25,948 | |||
Legal fees | 19,798 | |||
Printing and shareholder reporting fees. | 12,273 | |||
Directors’ and officers’ fees | 11,902 | |||
Audit fees | 8,888 | |||
Other expenses | 12,045 | |||
|
| |||
Total expenses | 1,149,545 | |||
|
| |||
Net investment loss | (299,673 | ) | ||
|
| |||
NET REALIZED AND UNREALIZED LOSS FROM INVESTMENTS | ||||
Net realized loss from: | ||||
Investments | (10,327,517 | ) | ||
Net change in unrealized appreciation/(depreciation) on: | ||||
Investments | (13,411,179 | ) | ||
Foreign currency translation | (29 | ) | ||
|
| |||
Net realized and unrealized loss on investments | (23,738,725 | ) | ||
|
| |||
NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | (24,038,398 | ) | |
|
|
The accompanying notes are an integral part of the financial statements.
15
ALTAIR SMALLER COMPANIES FUND
Statements of Changes in Net Assets
For the Six Months Ended February 29, 2016 (Unaudited) | For the Period Ended August 31, 2015(1) | |||||||||||||||||||||||
INCREASE/(DECREASE) IN NET ASSETS FROM OPERATIONS: | ||||||||||||||||||||||||
Net investment loss | $ | (299,673 | ) | $ | (673,104 | ) | ||||||||||||||||||
Net realized loss from investments | (10,327,517 | ) | (2,483,676 | ) | ||||||||||||||||||||
Net change in unrealized appreciation/(depreciation) on investments and foreign currency translation | (13,411,208 | ) | 10,627,894 | |||||||||||||||||||||
|
|
|
| |||||||||||||||||||||
Net increase/(decrease) in net assets resulting from operations | (24,038,398 | ) | 7,471,114 | |||||||||||||||||||||
|
|
|
| |||||||||||||||||||||
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS FROM: | ||||||||||||||||||||||||
Net realized capital gains: | (2,013 | ) | — | |||||||||||||||||||||
|
|
|
| |||||||||||||||||||||
Net decrease in net assets from dividends and distributions to shareholders | (2,013 | ) | — | |||||||||||||||||||||
|
|
|
| |||||||||||||||||||||
CAPITAL SHARE TRANSACTIONS: | ||||||||||||||||||||||||
Proceeds from shares sold | 9,751,405 | 213,199,410 | ||||||||||||||||||||||
Reinvestment of distributions | 1,857 | — | ||||||||||||||||||||||
Shares redeemed | (8,902,327 | ) | (7,736,181 | ) | ||||||||||||||||||||
|
|
|
| |||||||||||||||||||||
Net increase in net assets from capital share transactions | 850,935 | 205,463,229 | ||||||||||||||||||||||
|
|
|
| |||||||||||||||||||||
Total increase/decrease in net assets | (23,189,476 | ) | 212,934,343 | |||||||||||||||||||||
|
|
|
| |||||||||||||||||||||
NET ASSETS | ||||||||||||||||||||||||
Beginning of period | 212,934,343 | — | ||||||||||||||||||||||
|
|
|
| |||||||||||||||||||||
End of period | $ | 189,744,867 | $ | 212,934,343 | ||||||||||||||||||||
|
|
|
| |||||||||||||||||||||
Accumulated net investment loss, end of period | $ | (906,064 | ) | $ | (606,391 | ) | ||||||||||||||||||
|
|
|
| |||||||||||||||||||||
SHARE TRANSACTIONS: | ||||||||||||||||||||||||
Shares sold | 1,014,310 | 20,816,801 | ||||||||||||||||||||||
Shares reinvested | 180 | — | ||||||||||||||||||||||
Shares redeemed | (871,490 | ) | (706,751 | ) | ||||||||||||||||||||
|
|
|
| |||||||||||||||||||||
Net increase in shares | 143,000 | 20,110,050 | ||||||||||||||||||||||
|
|
|
|
(1) | The Fund commenced operations on October 21, 2014. |
The accompanying notes are an integral part of the financial statements.
16
ALTAIR SMALLER COMPANIES FUND
Financial Highlights
Contained below is per share operating performance data for shares outstanding, total investment return, ratios to average net assets and other supplemental data for the representative period. This information has been derived from information provided in the financial statements.
For the Six Months Ended February 29, 2016 (Unaudited) | For the Period October 21, 2014(1) to August 31, 2015 | |||||||||||||||||||||||
Per Share Operating Performance | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 10.59 | $ | 10.00 | ||||||||||||||||||||
|
|
|
| |||||||||||||||||||||
Net investment loss(2) | (0.01 | ) | (0.04 | ) | ||||||||||||||||||||
Net realized and unrealized loss from investments | (1.21 | ) | 0.63 | |||||||||||||||||||||
|
|
|
| |||||||||||||||||||||
Net increase/(decrease) in net assets resulting from operations | (1.22 | ) | 0.59 | |||||||||||||||||||||
|
|
|
| |||||||||||||||||||||
Dividends and distributions to shareholders from: | ||||||||||||||||||||||||
Net realized gains | — | (3) | — | |||||||||||||||||||||
|
|
|
| |||||||||||||||||||||
Total dividends and distributions to shareholders | — | — | ||||||||||||||||||||||
|
|
|
| |||||||||||||||||||||
Net asset value, end of period | $ | 9.37 | $ | 10.59 | ||||||||||||||||||||
|
|
|
| |||||||||||||||||||||
Total investment return(4) | (11.52 | )%(5) | 5.90 | %(5) | ||||||||||||||||||||
|
|
|
| |||||||||||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (000’s omitted) | $ | 189,745 | $ | 212,934 | ||||||||||||||||||||
Ratio of expenses to average net assets | 1.15 | %(6) | 1.15 | %(6) | ||||||||||||||||||||
Ratio of net investment loss to average net assets | (0.30 | )%(6) | (0.41 | )%(6) | ||||||||||||||||||||
Portfolio turnover rate | 57 | %(5) | 95 | %(5) |
(1) | Commencement of operations. |
(2) | Calculated based on average shares outstanding for the period. (3) Amount represent less than $0.005 per share. |
(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) | Not annualized. |
(6) | Annualized. |
The accompanying notes are an integral part of the financial statements.
17
ALTAIR SMALLER COMPANIES FUND
Notes to Financial Statements
February 29, 2016
(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 “Investment Company 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 Investment Company 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 twenty-three active investment portfolios, including the Altair Smaller Companies Fund (the “Fund”), which commenced operations on October 21, 2014.
RBB has authorized capital of one hundred billion shares of common stock of which 83.023 billion shares are currently classified into one hundred and fifty-seven classes of common stock. Each class represents an interest in an active or inactive RBB investment portfolio.
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”) (typically 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 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. Foreign securities are valued based on prices from the primary market in which they are traded, and are translated from the local currency into U.S. dollars using current exchange rates. Investments in other open-end investment companies, if any, are valued based on the NAV of those investment companies (which may use fair value pricing as disclosed in their prospectuses). If market quotations are unavailable or deemed unreliable, securities will be valued in accordance with procedures adopted by the Company’s Board of Directors. Relying on prices supplied by pricing services or dealers or using fair valuation may result in values that are higher or lower than the values used by other investment companies and investors to price the same investments.
Fair Value Measurements – The inputs and valuation techniques used to measure fair value of the Fund’s investments are summarized into three levels as described in the hierarchy below:
• Level 1 | — | quoted prices in active markets for identical securities; | ||
• Level 2 | — | other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.); and | ||
• Level 3 | — | significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments). |
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
18
ALTAIR SMALLER COMPANIES FUND
Notes to Financial Statements (Continued)
February 29, 2016
(Unaudited)
The following is a summary of the inputs used, as of February 29, 2016, in valuing the Fund’s investments carried at fair value:
Level 2 | ||||||||||||||||
Other | Level 3 | |||||||||||||||
Total Value | Level 1 | Significant | Significant | |||||||||||||
at February 29, | Quoted | Observable | Unobservable | |||||||||||||
2016 | Price | Inputs | Inputs | |||||||||||||
Investments in Securities* | $ | 182,213,528 | $ | 182,213,528 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
|
* Please refer to Portfolio of Investments for further details.
At the end of each quarter, management evaluates the classification of Levels 1, 2 and 3 assets and liabilities. Various factors are considered, such as changes in liquidity from the prior reporting period; whether or not a broker is willing to execute at the quoted price; the depth and consistency of prices from third party pricing services; and the existence of contemporaneous, observable trades in the market. Additionally, management evaluates the classification of Level 1 and Level 2 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”) require 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. U.S. GAAP also requires the Fund to disclose amounts and reasons for all transfers in and out of Level 1 and Level 2 fair value measurements. 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 transfers in and out of each level within the three-tier hierarchy are disclosed when the Fund had an amount of total transfers during the reporting period that was meaningful in relation to its net assets as of the end of the reporting period.
For the six months ended February 29, 2016, there were no transfers between Levels 1, 2 and 3 for the Fund.
Use of Estimates — The Fund is an investment company and follows accounting and reporting guidance in the Financial Accounting Standards Codification Topic 946. 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 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 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 policy is to allocate investment income, expenses and unrealized and realized gains and losses among classes on a daily basis, when applicable. Expenses incurred on behalf of a specific class, fund or fund
19
ALTAIR SMALLER COMPANIES FUND
Notes to Financial Statements (Continued)
February 29, 2016
(Unaudited)
family are charged directly to the class, fund or fund family to each class of shares based upon the relative proportion of net assets of each class at the beginning of the day. Expenses incurred for all the RBB funds (such as director or professional fees) are charged to all funds in proportion to their average net assets of RBB, or in such other manner as the Company’s Board of Directors 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, if any, are declared and paid annually. Net realized capital gains (including net short-term capital gains), if any, are declared and paid 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 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 — The Fund considers liquid assets deposited into a bank demand deposit account to be cash equivalents. These investments represent amounts held with financial institutions that are readily accessible to pay Fund expenses or purchase investments. 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, based on experience, the risk of material loss from such claims is considered remote.
2. Investment Adviser and Other Services
Altair Advisers LLC (“Altair” or the “Adviser”) serves as the Fund’s investment adviser. Aperio Group, LLC, Driehaus Capital Management LLC, Granite Investment Partners, LLC, Pacific Ridge Capital Partners, LLC, Pier Capital LLC and River Road Asset Management, LLC each serves as an investment sub-adviser (“Sub-Adviser”) to the Fund.
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 Company’s Board of Directors (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 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. For their services, each Sub-Adviser is entitled to receive a fee based upon a percentage of the Fund’s average daily net assets, which will be paid by the Fund and not by the Adviser. However, in no event will the total sub-advisory fees exceed the annual rate of 1.00% of the Fund’s average daily net assets. For the six months ended February 29, 2016, collectively, the Sub-Advisers earned fees of $849,535 or an annualized rate of 0.85%.
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.
20
ALTAIR SMALLER COMPANIES FUND
Notes to Financial Statements (Continued)
February 29, 2016
(Unaudited)
The Adviser had previously contractually agreed to reimburse expenses in an aggregate amount equal to the amount by which the total annual Fund operating expenses (excluding certain items discussed below) exceeded 1.35% of the average daily net assets of the Fund. In determining the Adviser’s obligation to reimburse expenses, the following expenses were not taken into account: acquired fund fees and expenses, short sale dividend expenses, brokerage commissions, litigation, extraordinary items, interest or taxes. This contractual limitation was in effect until October 20, 2015 and is no longer in effect. For the six months ended February 29, 2016, the Adviser earned no fees and did not waive or reimburse any fees.
BNY Mellon Investment Servicing (US) Inc. (“BNY Mellon”) serves as administrator for the Fund. For providing administrative and accounting services, BNY Mellon is entitled to receive a monthly fee equal to an annual percentage rate of the Fund’s average daily net assets, subject to certain minimum monthly fees.
Included in the administration and accounting service fees, shown on the Statement of Operations, are fees for providing regulatory administration services to RBB. For providing these services, BNY Mellon is entitled to receive compensation as agreed to by the Company and BNY Mellon. This fee is allocated to each portfolio of the Company in proportion to its net assets of the Company.
In addition, BNY Mellon serves as the Fund’s transfer and dividend disbursing agent. For providing transfer agent services, BNY Mellon is entitled to receive a monthly fee, subject to certain minimum, and out of pocket expenses.
The Bank of New York Mellon (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.
Foreside Funds Distributors LLC, serves as the principal underwriter and distributor of the Fund’s shares pursuant to a Distribution Agreement with RBB.
3. Director’s and Officer’s Compensation
The Directors of the Company receive an annual retainer and meeting fees for meetings attended. The aggregate remuneration paid to the Directors by the Fund during the six months ended February 29, 2016 was $7,896. Certain employees of BNY Mellon serve as an Officer of the Company. They are not compensated by the Fund or the Company. Employees of Vigilant Compliance, LLC serve as President, Chief Compliance Officer and, effective January 1, 2016, Treasurer of the Company. Vigilant Compliance, LLC is compensated for the services provided to the Company. For the six months ended February 29, 2016, the Fund paid $3,693 in officer fees.
4. Investment in Securities
For the six months ended February 29, 2016, aggregate purchases and sales of investment securities (excluding short-term investments) of the Fund were as follows:
Purchases | Sales | |||||||
Investment Securities | $ | 111,435,621 | $ | 111,704,072 |
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.
21
ALTAIR SMALLER COMPANIES FUND
Notes to Financial Statements (Continued)
February 29, 2016
(Unaudited)
As of February 29, 2016, the federal tax cost, aggregate gross unrealized appreciation and depreciation of securities held by the Fund were as follows:
Federal tax cost | $ | 184,996,855 | ||||
|
| |||||
Gross unrealized appreciation | $ | 16,058,618 | ||||
Gross unrealized depreciation | (18,841,945 | ) | ||||
|
| |||||
Net unrealized depreciation | $ | (2,783,327 | ) | |||
|
|
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, 2015, the components of distributable earnings on a tax basis were as follows:
Undistributed | Undistributed | Net Unrealized | Qualified Late-Year | |||
Ordinary Income | Long-Term Gains | Appreciation | Losses | |||
$ — | $1,998 | $9,733,451 | $(2,197,617) |
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 reportable as ordinary income for federal income tax purposes.
There were no dividends or distributions paid during the period ended August 31, 2015.
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, 2015, the fund elected to defer $606,391 of ordinary losses and $1,591,226 of short-term capital losses. These losses will be recognized for federal income tax purposes as occurring on September 1, 2015.
For the fiscal year ended August 31, 2015, the Fund deferred to September 1, 2015, the following losses:
Late-Year | Short-Term | Long-Term | ||
Ordinary | Capital | Capital | ||
Loss Deferral | Loss Deferral | Loss Deferral | ||
$606,391 | $1,591,226 | $— |
Under the Regulated Investment Company Modernization Act of 2010, the Fund is 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 rather than being considered all short-term as under the previous law. As of August 31, 2015, the Fund did not have any capital loss carryforwards.
22
ALTAIR SMALLER COMPANIES FUND
Notes to Financial Statements (Concluded)
February 29, 2016
(Unaudited)
6. Subsequent Events
Management has evaluated the impact of all subsequent events on the Fund though the date the financial statements were issued, and has determined that there were no subsequent events requiring recognition or disclosure in the financial statements.
23
ALTAIR 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 12-month period ended June 30 are available without charge, upon request, by calling (844) 261-6482 and on the Securities and Exchange Commission’s (“SEC”) website at http://www.sec.gov.
Quarterly Portfolio Schedules
The Company files a complete schedule of portfolio holdings with the SEC for the first and third fiscal quarters of each fiscal year (quarters ended November 30 and May 31) on Form N-Q. The Company’s Form N-Q is available on the SEC website at http://www.sec.gov and may be reviewed and copied at the SEC Public Reference Room in Washington, D.C. Information on the operation of the SEC Public Reference Room may be obtained by calling (800) SEC-0330.
24
Investment Adviser
Altair Advisers LLC
303 West Madison Street
Chicago, IL 60606
Administrator
BNY Mellon Investment Servicing (US) Inc.
301 Bellevue Parkway
Wilmington, DE 19809
Transfer Agent
BNY Mellon Investment Servicing (US) Inc.
4400 Computer Drive
Westborough, MA 01581
Principal Underwriter
Foreside Funds Distributors LLC
400 Berwyn Park
899 Cassatt Road
Berwyn, PA 19312
Custodian
The Bank of New York Mellon
225 Liberty Street
New York, NY 10286
Independent Registered Public Accounting Firm
PricewaterhouseCoopers LLP
Two Commerce Square
2001 Market Street, Suite 1800
Philadelphia, PA 19103
Legal Counsel
Drinker Biddle & Reath LLP
One Logan Square, Ste. 2000
Philadelphia, PA 19103
ALT-SAR16
BOGLE INVESTMENT MANAGEMENT
SMALL CAP
GROWTH FUND
of THE RBB FUND, INC.
SEMI-ANNUAL REPORT
FEBRUARY 29, 2016
(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.
BOGLE INVESTMENT MANAGEMENT
SMALL CAP GROWTH FUND
SEMI-ANNUAL REPORTFORTHE SIX-MONTH PERIOD ENDED FEBRUARY 29, 2016
(UNAUDITED)
Fellow Shareholder:
For the most recent semiannual reporting period ended February 29, 2016, the Bogle Investment Management Small Cap Growth Fund (the “Fund”) Investor shares returned -12.22% and the Institutional shares returned -12.17%, both net of fees, underperforming the Fund’s benchmark, the unmanaged Russell 2000® Index of small cap stocks (the “Benchmark”), which returned -10.16%. The Fund’s periodic annualized returns are shown in the chart below. The balance of this letter covers the market environment, performance attribution, Fund characteristics, and a discussion of some of the business and investment philosophies at Bogle Investment Management, L.P.
All Fund returns are presented net of fees and include the reinvestment of all dividends and other earnings. Multi-year period returns are annualized. Returns shown represent past performance and do not guarantee future results. Current performance may be lower or higher than the returns shown above. 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. Returns current to the most recent month-end may be obtained at 1-877-264-5346. The figures do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. The performance quoted reflects fee waivers in effect and would have been less in their absence.
Indexes are unmanaged and it is not possible to invest directly in an index.
The Fund’s investment adviser, Bogle Investment Management, L.P., has contractually agreed to waive advisory fees and/or reimburse expenses through December 31, 2016 to the extent that total annual Fund operating expenses (excluding certain items) exceed 1.25% and 1.35% for the Institutional Class and Investor Class, respectively. The Adviser, in its discretion, has the right to extend this waiver. The total expense ratios for the Institutional Class and Investor Class, as stated in the current prospectus dated December 31, 2015, are 1.35% and 1.45%, respectively.
Market Environment. U.S. equity markets declined over the six-month period ended February 29, 2016, amid declining commodity prices, concern about economic conditions in China, and the likelihood of increased U.S. interest rates. Market volatility, as measured by the VIX® Index of implied, expected volatility, was higher during the period than we have seen in a few years, and as is typically the case during market declines. Returns of U.S. small cap equity stocks were fairly volatile during the period, with the Benchmark either rising or falling more than 3% in five of the six months, including January when the Benchmark dropped by almost 9%.
1
As is common during market drawdowns, investors favored more stable larger cap stocks over the semiannual reporting period with the large cap Russell 1000® Index returning -2.03% compared to the small cap Benchmark return of -10.16%. Investors also favored value stocks over growth stocks for much of the semiannual period with the Russell 2000® Value Index declining -6.73%, compared with the Russell 2000® Growth Index returning -13.47%.
Performance Attribution. For the most recent semiannual reporting period, the Fund’s Investor Class of shares underperformed the Benchmark by -2.06%, net of all fees, and the Institutional Class of shares underperformed by -2.01%, net of all fees. The Fund’s underperformance was worst in September (Investor Class returning -9.05% compared to -4.91% for the Benchmark), but the Fund also struggled in January (Investor Class returning -10.35% compared to -8.79% for the Benchmark). The Fund’s relative performance rebounded strongly after each of these months as the Investor Class of shares outperformed the Benchmark by 2.22% in October and by 2.49% in February. The Fund’s underperformance is attributed mostly to its exposure to stocks with higher expected earnings growth and smaller cap stocks, compared to its Benchmark. It is unusual to have poor performance driven mostly by these common factor exposures; indeed, the Fund’s performance over the long-term has benefited strongly from stocks that are smaller and have higher growth expectations. Also unusual is that these factor exposures were more influential than our specific stock selection, which typically drives most of our relative performance. We do not expect that these characteristics will persist, and we expect that over the long term we will be rewarded for our stock selection and for the modest factor exposures that we allow the portfolio to have.
Our investment process continues to be driven by a proprietary stock selection model that combines insights from longer-term fundamental financial data with non-fundamental, often shorter-term data. This combination can be thought of, conceptually, as the exploitation of investment opportunities created, primarily, by stocks with attractive financial characteristics that are not fully understood by the market and, secondarily, by opportunistically trading these securities when market data indicate that there is a statistical probability that their current prices will either revert toward, or start to diverge from, their short-term equilibrium price levels. Stocks that our model finds attractive will typically have some or most of the following characteristics when compared to their closest peers: more attractive free cash flow, less leverage and more transparent financial data, more conservative accounting, organic improvement in their underlying businesses, less expensive share prices, improving earnings outlook, and less controversy. Our non-fundamental models consider recent share price volatility and trends, trading volume, and other stock- and industry-group-specific market data to determine whether a stock is likely to diverge from or regress toward its shorter-term fundamental level. Our fundamental models tend to work best when markets are focused more on discriminating between similar stocks than on broader macroeconomic themes that tend to result in investors moving in unison into or out of broad groups or portfolios of stocks. During these latter environments we expect our non-fundamental signals to provide most of their value by finding both a greater number of opportunities from, and greater likelihood of success with, mispricings caused by investors trading more aggressively than normal.
During most market environments we expect some of our underlying models to contribute positively to performance and some to detract (due to the low correlations among individual models). While that was the case during the most recent semiannual period, the positive contributions were not enough to overcome the negative contributions from the portfolio’s common factor exposures.
For the semiannual reporting period, the economic sector groups that detracted the most were finance (stocks with negative contributions included Genworth Financial Inc., Class A, GNW, and Altisource Portfolio Solutions S.A., ASPS) and health technology (negative contributors included NewLink Genetics Corp., NLNK, and Pacific Biosciences of California Inc., PACB). Positive contributors included Affymetrix Inc., AFFX, Rovi Corporation, ROVI, and Newport Corp., NEWP.
Fund Characteristics. As of the end of the most recent semiannual reporting period ended February 29, 2016, the Fund held 195 stocks, with the largest holding representing 1.58% of net assets. As shown in the table on the following page, as of February 29, 2016 the Fund’s median market capitalization was smaller than the investable universe. The Fund’s median price-to-sales ratio was also below its investable universe, reflecting the influence of our relative valuation model.
2
The Fund’s annualized active volatility (the variability over time of the difference between Fund and Benchmark performance, also called “tracking error”) was 8.0% during the most recent semiannual reporting period, somewhat above the Fund’s long-term average of 6.4%. The Fund’s beta with the Benchmark was approximately 1.17.
Progress at Bogle Investment Management, L.P. At the end of February 2016, net assets in the Fund were $131.6 million.
Although we currently have capacity to manage, under our current investment process and market conditions, approximately an additional $200 million, we are content with the Fund’s size. Our philosophy has always been that the Fund be “bought and not sold.” In other words, we do no advertising. Instead we prefer to provide information about our investment process to thoughtful prospective investors and let them decide whether the Fund is a good fit in their portfolios.
We remain confident that the combination of our current investment process, future model enhancements by our research team, and our business philosophy of keeping our capital base small, will maximize the probability of
our being able to add value for your investment. Our investment team continues to have the majority of their investable assets in the firm’s investment strategies. We hope you will stay along with us for the ride as we do everything we can to continue, and improve upon, our successful long-term investment results.
As a reminder, information about the Fund, including sector allocation, fundamental characteristics, and top ten holdings, can be viewed on our website, www.boglefunds.com.
As always, please let us know if there is any way we can improve your investment experience with us.
Respectfully,
Bogle Investment Management, L.P.
Management Office: 781-283-5000
Shareholder Services Toll Free: 1-877-BOGLEIM (264-5346)
The Russell 2000® Index is an index of stocks 1001 through 3000 in the Russell 3000® Index as ranked by total market capitalization. A direct investment in the index is not possible. The Russell ® Indexes are a trademark of the Frank Russell Company (“FRC”). FRC is the owner of the copyrights relating to the Russell Indexes and is the source of the Performance Values for the Russell Indexes.
Investing in small companies can involve more volatility, less liquidity and less available information than investing in large companies. The Fund may invest in undervalued securities which may not appreciate in value as anticipated or remain undervalued for long periods of time.
Portfolio composition is subject to change. The current and future portfolio holdings of the Fund are subject to investment risk.
FUNDAMENTAL CHARACTERISTICS FEBRUARY 29, 2016 | ||||||||
Median | BOGLX* | Investable Universe | ||||||
Market Cap ($mil.) | $1,176 | $2,766 | ||||||
Price/Historical Earnings | 16.5x | 19.6x | ||||||
Price/Forward Earnings | 14.1x | 17.4x | ||||||
Price/Sales | 1.0x | 1.9x | ||||||
* The Fund’s Investor Shares. Median characteristics refer to the Fund’s holdings, not the Fund itself. |
RISK STATISTICS* SEMIANNUAL PERIOD | ||||||||
Measurement | BOGLX | Russell 2000® Index | ||||||
Standard Deviation | 25.8% | 21.1% | ||||||
Active Volatility | 8.0% | |||||||
Beta with Russell 2000® Index | 1.17 | |||||||
* Risk statistics apply to the Fund and Benchmark. Standard deviation is a statistical measure of the range of performance. Active risk is the standard deviation of the difference between the Fund and Benchmark performance. Beta is a measure of a portfolio’s sensitivity to market movements. |
3
BOGLE INVESTMENT MANAGEMENT
SMALL CAP GROWTH FUND
FUND EXPENSE EXAMPLES
(UNAUDITED)
As a shareholder of the Fund, you incur two types of costs: (1) transaction costs and (2) ongoing costs, including management fees, shareholder servicing 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, 2015 through February 29, 2016, and held for the entire period.
ACTUAL EXPENSES
The first line of the accompanying tables 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 EXAMPLEFOR COMPARISON PURPOSES
The second line of the accompanying tables 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 tables are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as redemption fees. Therefore, the second line 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.
INSTITUTIONAL CLASS | ||||||||||||
BEGINNING ACCOUNT VALUE SEPTEMBER 1, 2015 | ENDING ACCOUNT VALUE FEBRUARY 29, 2016 | EXPENSES PAID DURING PERIOD* | ||||||||||
Actual | $ | 1,000.00 | $ | 878.30 | $ | 5.84 | ||||||
Hypothetical | 1,000.00 | 1,018.65 | 6.27 | |||||||||
INVESTOR CLASS | ||||||||||||
BEGINNING ACCOUNT VALUE SEPTEMBER 1, 2015 | ENDING ACCOUNT VALUE FEBRUARY 29, 2016 | EXPENSES PAID DURING PERIOD* | ||||||||||
Actual | $ | 1,000.00 | $ | 877.80 | $ | 6.30 | ||||||
Hypothetical | 1,000.00 | 1,018.15 | 6.77 |
* | Expenses are equal to the Fund’s annualized six-month expense ratio of 1.25% for the Institutional Class and 1.35% for the Investor Class, which includes 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. The Fund’s ending account values on the first line in each table are based on the actual six-month total investment return for each class of (12.17)% for the Institutional Class and (12.22)% for the Investor Class. |
4
BOGLE INVESTMENT MANAGEMENT
SMALL CAP GROWTH FUND
PORTFOLIO HOLDINGS SUMMARY TABLE
FEBRUARY 29, 2016
(UNAUDITED)
The following table presents a summary by security type of the portfolio holdings of the Fund:
SECURITY TYPE & SECTOR CLASSIFICATION | % OF NET ASSETS | VALUE | ||||||
COMMON STOCKS: | ||||||||
Finance | 22.7% | $ | 29,876,029 | |||||
Electronic Technology | 12.1 | 15,949,272 | ||||||
Consumer Services | 9.0 | 11,809,722 | ||||||
Producer Manufacturing | 8.0 | 10,565,728 | ||||||
Health Technology | 7.3 | 9,588,610 | ||||||
Technology Services | 6.3 | 8,270,410 | ||||||
Consumer Durables | 4.8 | 6,276,777 | ||||||
Process Industries | 4.0 | 5,274,986 | ||||||
Transportation | 3.9 | 5,191,286 | ||||||
Retail Trade | 3.9 | 5,110,869 | ||||||
Utilities | 2.8 | 3,767,180 | ||||||
Consumer Non-Durables | 2.4 | 3,225,342 | ||||||
Distribution Services | 2.2 | 2,871,274 | ||||||
Non-Energy Minerals | 2.2 | 2,854,658 | ||||||
Health Services | 2.1 | 2,728,987 | ||||||
Commercial Services | 1.5 | 1,927,613 | ||||||
Energy Minerals | 1.2 | 1,548,635 | ||||||
Industrial Services | 1.1 | 1,532,702 | ||||||
Communications | 0.5 | 676,560 | ||||||
SHORT-TERM INVESTMENT | 1.8 | 2,319,933 | ||||||
OTHER ASSETSIN EXCESSOF LIABILITIES | 0.2 | 224,970 | ||||||
|
|
|
| |||||
NET ASSETS | 100.0% | $ | 131,591,543 | |||||
|
|
|
|
Portfolio holdings are subject to change at any time.
The accompanying notes are an integral part of the financial statements.
5
BOGLE INVESTMENT MANAGEMENT
SMALL CAP GROWTH FUND
PORTFOLIOOF INVESTMENTS
FEBRUARY 29, 2016 (UNAUDITED)
NUMBER OF SHARES | VALUE | |||||||
COMMON STOCKS—98.0% |
| |||||||
COMMERCIAL SERVICES—1.5% |
| |||||||
Civeo Corp. * | 108,287 | $ | 96,389 | |||||
Cross Country Healthcare, Inc. * | 28,260 | 350,707 | ||||||
Realogy Holdings Corp. * | 28,419 | 908,555 | ||||||
RetailMeNot, Inc. * | 40,752 | 329,276 | ||||||
RPX Corp. * | 24,489 | 242,686 | ||||||
|
| |||||||
1,927,613 | ||||||||
|
| |||||||
COMMUNICATIONS—0.5% |
| |||||||
FairPoint Communications, Inc. * | 30,916 | 464,667 | ||||||
ShoreTel, Inc. * | 28,673 | 211,893 | ||||||
|
| |||||||
676,560 | ||||||||
|
| |||||||
CONSUMER DURABLES—4.8% |
| |||||||
Brunswick Corp. | 23,992 | 1,020,620 | ||||||
Callaway Golf Co. | 96,942 | 861,814 | ||||||
Cooper Tire & Rubber Co. | 2,319 | 91,137 | ||||||
GoPro, Inc., Class A * | 93,877 | 1,115,259 | ||||||
Libbey, Inc. | 749 | 12,456 | ||||||
Nautilus, Inc. * | 54,745 | 924,643 | ||||||
TiVo, Inc. * | 136,378 | 1,144,211 | ||||||
Vista Outdoor, Inc. * | 22,447 | 1,106,637 | ||||||
|
| |||||||
6,276,777 | ||||||||
|
| |||||||
CONSUMER NON-DURABLES—2.4% |
| |||||||
Alliance One International, Inc. * | 970 | 10,117 | ||||||
Caleres, Inc. | 39,772 | 1,127,138 | ||||||
Central Garden & Pet Co., Class A * | 1,043 | 14,112 | ||||||
PVH Corp. | 14,051 | 1,112,137 | ||||||
SunOpta, Inc. * | 145,529 | 889,182 | ||||||
Vince Holding Corp. * | 11,247 | 72,656 | ||||||
|
| |||||||
3,225,342 | ||||||||
|
| |||||||
CONSUMER SERVICES—9.0% |
| |||||||
Ascent Capital Group, Inc., Class A * | 11,108 | 154,401 | ||||||
Bloomin’ Brands, Inc. | 89,101 | 1,540,556 | ||||||
Boyd Gaming Corp. * | 43,761 | 757,941 | ||||||
Carrols Restaurant Group, Inc. * | 2,522 | 33,467 | ||||||
Dave & Buster’s Entertainment, Inc. * | 32,862 | 1,212,936 | ||||||
Gray Television, Inc. * | 49,768 | 574,323 | ||||||
K12, Inc. * | 34,812 | 340,809 | ||||||
Krispy Kreme Doughnuts, Inc. * | 29,511 | 432,041 | ||||||
La Quinta Holdings, Inc. * | 93,614 | 1,016,648 | ||||||
Loral Space & Communications, Inc. * | 10,040 | 321,882 |
NUMBER OF SHARES | VALUE | |||||||
CONSUMER SERVICES—(CONTINUED) |
| |||||||
MoneyGram International, Inc. * | 107,663 | $ | 579,227 | |||||
MSG Networks, Inc., Class A * | 19,658 | 322,784 | ||||||
Penn National Gaming, Inc. * | 78,702 | 1,089,236 | ||||||
Pinnacle Entertainment, Inc. * | 38,058 | 1,100,257 | ||||||
Ruth’s Hospitality Group, Inc. | 69,570 | 1,222,345 | ||||||
Time, Inc. | 78,785 | 1,110,869 | ||||||
|
| |||||||
11,809,722 | ||||||||
|
| |||||||
DISTRIBUTION SERVICES—2.2% |
| |||||||
Essendant, Inc. | 7,998 | 235,701 | ||||||
MRC Global, Inc. * | 124,127 | 1,483,318 | ||||||
SpartanNash Co. | 2,976 | 81,691 | ||||||
United Natural Foods, Inc. * | 34,691 | 1,070,564 | ||||||
|
| |||||||
2,871,274 | ||||||||
|
| |||||||
ELECTRONIC TECHNOLOGY—12.1% |
| |||||||
ARRIS International PLC * | 45,173 | 1,079,183 | ||||||
BWX Technologies, Inc. | 46,800 | 1,492,920 | ||||||
Calix, Inc. * | 18,444 | 128,186 | ||||||
Checkpoint Systems, Inc. | 6,408 | 48,124 | ||||||
Comtech Telecommunications Corp. | 5,888 | 120,998 | ||||||
Fabrinet * | 605 | 17,273 | ||||||
Finisar Corp. * | 76,302 | 1,112,483 | ||||||
FormFactor, Inc. * | 99,994 | 759,954 | ||||||
II-VI, Inc. * | 20,621 | 452,631 | ||||||
Infinera Corp. * | 68,947 | 1,081,778 | ||||||
Inphi Corp. * | 47,518 | 1,202,205 | ||||||
Itron, Inc. * | 13,958 | 556,087 | ||||||
Ixia * | 23,554 | 268,751 | ||||||
Keysight Technologies, Inc. * | 36,770 | 959,329 | ||||||
Lumentum Holdings, Inc. * | 36,379 | 874,187 | ||||||
MaxLinear, Inc., Class A * | 40,375 | 649,634 | ||||||
NeoPhotonics Corp. * | 49,780 | 545,589 | ||||||
NETGEAR, Inc. * | 26,781 | 1,058,117 | ||||||
Oclaro, Inc. * | 219,857 | 1,079,498 | ||||||
Orbotech Ltd. * | 12,681 | 287,225 | ||||||
Sonus Networks, Inc. * | 180,655 | 1,407,302 | ||||||
SunEdison Semiconductor Ltd. * | 65,537 | 447,618 | ||||||
Tessera Technologies, Inc. | 5,963 | 175,789 | ||||||
Viavi Solutions, Inc. * | 22,115 | 144,411 | ||||||
|
| |||||||
15,949,272 | ||||||||
|
| |||||||
ENERGY MINERALS—1.2% |
| |||||||
Baytex Energy Corp. | 19,958 | 45,504 | ||||||
Enerplus Corp. | 309,574 | 894,669 | ||||||
SunCoke Energy, Inc. | 128,639 | 608,462 | ||||||
|
| |||||||
1,548,635 | ||||||||
|
|
The accompanying notes are an integral part of the financial statements.
6
BOGLE INVESTMENT MANAGEMENT
SMALL CAP GROWTH FUND
PORTFOLIOOF INVESTMENTS (CONTINUED)
FEBRUARY 29, 2016 (UNAUDITED)
NUMBER OF SHARES | VALUE | |||||||
FINANCE—22.7% |
| |||||||
Altisource Portfolio Solutions SA * | 31,244 | $ | 836,089 | |||||
Ambac Financial Group, Inc. * | 53,125 | 811,219 | ||||||
Assurant, Inc. | 700 | 49,770 | ||||||
Cash America International, Inc. | 43,388 | 1,461,742 | ||||||
CorVel Corp. * | 547 | 22,695 | ||||||
East West Bancorp, Inc. | 30,888 | 925,713 | ||||||
Employers Holdings, Inc. | 57,000 | 1,582,320 | ||||||
Enova International, Inc. * | 25,697 | 148,529 | ||||||
Essent Group Ltd. * | 57,256 | 1,102,178 | ||||||
EZCORP, Inc., Class A * | 31,673 | 91,852 | ||||||
First BanCorp Puerto Rico * | 256,991 | 688,736 | ||||||
First Defiance Financial Corp. | 13,244 | 519,032 | ||||||
Genworth Financial, Inc., Class A * | 320,611 | 679,695 | ||||||
Great Southern Bancorp, Inc. | 18,821 | 707,105 | ||||||
Great Western Bancorp, Inc. | 43,214 | 1,063,497 | ||||||
Hanmi Financial Corp. | 3,258 | 67,864 | ||||||
Heartland Financial USA, Inc. | 15,739 | 462,727 | ||||||
Heritage Insurance Holdings, Inc. | 23,371 | 456,202 | ||||||
Hertz Global Holdings, Inc. * | 140,556 | 1,194,726 | ||||||
INTL. FCStone, Inc. * | 27,034 | 690,178 | ||||||
Investment Technology Group, Inc. | 8,110 | 148,575 | ||||||
Kemper Corp. | 84 | 2,258 | ||||||
Legg Mason, Inc. | 36,151 | 1,032,473 | ||||||
Navigators Group, Inc., (The) * | 13,915 | 1,126,837 | ||||||
NMI Holdings, Inc., Class A * | 154,309 | 786,976 | ||||||
OneMain Holdings, Inc. * | 46,572 | 1,051,130 | ||||||
Piper Jaffray Cos. * | 30,024 | 1,271,516 | ||||||
Popular, Inc. | 47,231 | 1,251,622 | ||||||
Reinsurance Group of America, Inc. | 18,791 | 1,693,069 | ||||||
Selective Insurance Group, Inc. | 61,884 | 2,078,065 | ||||||
Stewart Information Services Corp. | 36,407 | 1,228,736 | ||||||
TAL International Group, Inc. | 112,285 | 1,429,388 | ||||||
TCF Financial Corp. | 93,642 | 1,061,900 | ||||||
Voya Financial, Inc. | 26,666 | 782,914 | ||||||
White Mountains Insurance Group Ltd. | 970 | 743,854 | ||||||
WSFS Financial Corp. | 20,622 | 624,847 | ||||||
|
| |||||||
29,876,029 | ||||||||
|
|
NUMBER OF SHARES | VALUE | |||||||
HEALTH SERVICES—2.1% |
| |||||||
Alliance HealthCare Services, Inc. * | 10,401 | $ | 74,367 | |||||
Amedisys, Inc. * | 12,137 | 445,913 | ||||||
Community Health Systems, Inc. * | 75,843 | 1,146,746 | ||||||
INC Research Holdings, Inc., Class A * | 18,864 | 748,524 | ||||||
LHC Group, Inc. * | 8,797 | 313,437 | ||||||
|
| |||||||
2,728,987 | ||||||||
|
| |||||||
HEALTH TECHNOLOGY—7.3% |
| |||||||
Aegerion Pharmaceuticals, Inc. * | 28,727 | 162,020 | ||||||
Applied Genetic Technologies Corp. * | 1,012 | 13,429 | ||||||
Cardiovascular Systems, Inc. * | 12,988 | 108,580 | ||||||
CONMED Corp. | 28,640 | 1,138,154 | ||||||
Endologix, Inc. * | 35,435 | 305,450 | ||||||
Enzon Pharmaceuticals, Inc. | 58,661 | 25,224 | ||||||
Haemonetics Corp. * | 18,557 | 595,309 | ||||||
Halyard Health, Inc. * | 43,242 | 1,103,536 | ||||||
HeartWare International, Inc. * | 15,905 | 508,324 | ||||||
Inogen, Inc. * | 22,731 | 776,946 | ||||||
iRadimed Corp. * | 32,637 | 581,918 | ||||||
K2M Group Holdings, Inc. * | 26,144 | 309,545 | ||||||
LDR Holding Corp. * | 27,996 | 580,917 | ||||||
LeMaitre Vascular, Inc. | 2,144 | 31,581 | ||||||
Merit Medical Systems, Inc. * | 1,668 | 31,375 | ||||||
NewLink Genetics Corp. * | 41,949 | 882,607 | ||||||
OraSure Technologies, Inc. * | 74,229 | 498,077 | ||||||
Orthofix International N.V. * | 18,105 | 695,413 | ||||||
Rigel Pharmaceuticals, Inc. * | 44,066 | 100,030 | ||||||
RTI Surgical, Inc. * | 20,816 | 72,856 | ||||||
Syneron Medical Ltd. * | 110 | 766 | ||||||
VWR Corp. * | 42,487 | 1,036,683 | ||||||
Zeltiq Aesthetics, Inc. * | 1,297 | 29,870 | ||||||
|
| |||||||
9,588,610 | ||||||||
|
| |||||||
INDUSTRIAL SERVICES—1.1% |
| |||||||
Pacific Drilling SA * | 59,900 | 30,549 | ||||||
Pioneer Energy Services Corp. * | 138,435 | 189,656 | ||||||
Plains GP Holdings LP, Class A | 172,697 | 1,312,497 | ||||||
|
| |||||||
1,532,702 | ||||||||
|
| |||||||
NON-ENERGY MINERALS—2.2% |
| |||||||
AngloGold Ashanti Ltd. SP ADR * | 67,820 | 883,016 | ||||||
Gerdau SA, SP ADR | 230,931 | 203,219 |
The accompanying notes are an integral part of the financial statements.
7
BOGLE INVESTMENT MANAGEMENT
SMALL CAP GROWTH FUND
PORTFOLIOOF INVESTMENTS (CONCLUDED)
FEBRUARY 29, 2016 (UNAUDITED)
NUMBER OF SHARES | VALUE | |||||||
NON-ENERGY MINERALS—(CONTINUED) |
| |||||||
Silver Standard Resources, Inc. * | 236,838 | $ | 1,373,660 | |||||
TimkenSteel Corp. | 51,069 | 394,763 | ||||||
|
| |||||||
2,854,658 | ||||||||
|
| |||||||
PROCESS INDUSTRIES—4.0% |
| |||||||
AEP Industries, Inc. | 485 | 38,174 | ||||||
Cabot Corp. | 28,418 | 1,265,454 | ||||||
Chemours Co., (The) | 37,532 | 192,539 | ||||||
Clearwater Paper Corp. * | 21,764 | 885,142 | ||||||
Darling Ingredients, Inc. * | 119,953 | 1,080,777 | ||||||
Kraton Performance Polymers, Inc. * | 80,873 | 1,388,589 | ||||||
Unifi, Inc. * | 17,408 | 390,113 | ||||||
ZAGG, Inc. * | 3,282 | 34,198 | ||||||
|
| |||||||
5,274,986 | ||||||||
|
| |||||||
PRODUCER MANUFACTURING—8.0% |
| |||||||
ACCO Brands Corp. * | 8,264 | 60,410 | ||||||
American Axle & Manufacturing Holdings, Inc. * | 84,997 | 1,242,656 | ||||||
Canadian Solar, Inc. * | 59,544 | 1,355,817 | ||||||
Chart Industries, Inc. * | 2,808 | 56,637 | ||||||
DXP Enterprises, Inc. * | 16,221 | 220,443 | ||||||
FreightCar America, Inc. | 11,440 | 170,113 | ||||||
Greatbatch, Inc. * | 29,799 | 1,126,402 | ||||||
Interface, Inc. | 37,769 | 600,527 | ||||||
LSB Industries, Inc. * | 52,579 | 307,061 | ||||||
Mueller Water Products, Inc., Class A | 126,947 | 1,093,014 | ||||||
Rofin-Sinar Technologies, Inc. * | 51,028 | 1,139,966 | ||||||
Smith & Wesson Holding Corp. * | 53,943 | 1,367,994 | ||||||
SPX Corp. | 79,481 | 937,081 | ||||||
SPX FLOW Inc. * | 40,981 | 767,574 | ||||||
Wabash National Corp. * | 10,233 | 120,033 | ||||||
|
| |||||||
10,565,728 | ||||||||
|
| |||||||
RETAIL TRADE—3.9% |
| |||||||
Chico’s FAS, Inc. | 111,958 | 1,428,584 | ||||||
Francesca’s Holdings Corp. * | 63,114 | 1,141,101 | ||||||
GNC Holdings, Inc., Class A | 19,828 | 564,701 | ||||||
Kirkland’s, Inc. | 2,540 | 36,297 | ||||||
Smart & Final Stores, Inc. * | 16,891 | 274,479 | ||||||
Titan Machinery, Inc. * | 1,098 | 10,453 | ||||||
Urban Outfitters, Inc. * | 62,486 | 1,655,254 | ||||||
|
| |||||||
5,110,869 | ||||||||
|
| |||||||
TECHNOLOGY SERVICES—6.3% |
| |||||||
Bitauto Holdings Ltd., ADR * | 4,811 | 99,540 | ||||||
Changyou.com Ltd., ADR * | 894 | 15,797 |
NUMBER OF SHARES | VALUE | |||||||
TECHNOLOGY SERVICES—(CONTINUED) |
| |||||||
CSG Systems International, Inc. | 9,411 | $ | 357,242 | |||||
EarthLink Holdings Corp. | 58,588 | 330,436 | ||||||
Intralinks Holdings, Inc. * | 6,044 | 46,962 | ||||||
Jive Software, Inc. * | 7,431 | 24,076 | ||||||
LivePerson, Inc. * | 15,299 | 78,484 | ||||||
MeetMe, Inc. * | 16,476 | 51,240 | ||||||
Net 1 UEPS Technologies, Inc. * | 85,779 | 783,162 | ||||||
Rovi Corp. * | 57,965 | 1,320,443 | ||||||
Sohu.com, Inc. * | 26,117 | 1,135,306 | ||||||
Sykes Enterprises, Inc. * | 10,039 | 305,888 | ||||||
TriNet Group, Inc. * | 85,704 | 1,121,865 | ||||||
Unisys Corp. * | 129,638 | 1,396,201 | ||||||
VeriFone Systems, Inc. * | 2,449 | 58,507 | ||||||
Virtusa Corp. * | 32,352 | 1,145,261 | ||||||
|
| |||||||
8,270,410 | ||||||||
|
| |||||||
TRANSPORTATION—3.9% |
| |||||||
ArcBest Corp. | 65,054 | 1,273,107 | ||||||
Hub Group, Inc., Class A * | 25,244 | 932,008 | ||||||
Matson, Inc. | 17,087 | 685,018 | ||||||
PAM Transportation Services, Inc. * | 15,354 | 438,664 | ||||||
Teekay Corp. | 171,288 | 1,370,304 | ||||||
YRC Worldwide, Inc. * | 61,141 | 492,185 | ||||||
|
| |||||||
5,191,286 | ||||||||
|
| |||||||
UTILITIES—2.8% |
| |||||||
Dynegy, Inc. * | 117,284 | 1,182,223 | ||||||
NRG Energy, Inc. | 143,194 | 1,543,631 | ||||||
Pampa Energia SA, SP ADR * | 15,334 | 340,568 | ||||||
Talen Energy Corp. * | 110,182 | 700,758 | ||||||
|
| |||||||
3,767,180 | ||||||||
|
| |||||||
TOTAL COMMON STOCKS |
| 129,046,640 | ||||||
|
| |||||||
SHORT-TERM INVESTMENT—1.8% |
| |||||||
BofA Cash Reserves Fund | 2,319,933 | 2,319,933 | ||||||
|
| |||||||
TOTAL SHORT-TERM INVESTMENT |
| 2,319,933 | ||||||
|
| |||||||
TOTAL INVESTMENTS—99.8% |
| 131,366,573 | ||||||
|
| |||||||
OTHER ASSETSIN EXCESSOF LIABILITIES—0.2% |
| 224,970 | ||||||
|
| |||||||
NET ASSETS—100.0% |
| $ | 131,591,543 | |||||
|
|
* Non-income producing.
ADR—American Depository Receipt.
PLC—Public Limited Company.
SP ADR—Sponsored American Depository Receipt.
The accompanying notes are an integral part of the financial statements.
8
BOGLE INVESTMENT MANAGEMENT
SMALL CAP GROWTH FUND
STATEMENTOF ASSETSAND LIABILITIES
FEBRUARY 29, 2016
(UNAUDITED)
ASSETS | ||||
Investments, at value (cost $141,334,462) | $ | 131,366,573 | ||
Receivables for: | ||||
Investments sold | 7,014,307 | |||
Capital shares sold | 41,358 | |||
Dividends and interest | 83,568 | |||
Prepaid expenses and other assets | 10,479 | |||
|
| |||
Total assets | 138,516,285 | |||
|
| |||
LIABILITIES | ||||
Payables for: | ||||
Investments purchased | 6,541,863 | |||
Capital shares redeemed | 147,238 | |||
Investment advisory fees and shareholder servicing fees | 82,659 | |||
Other accrued expenses and liabilities | 152,982 | |||
|
| |||
Total liabilities | 6,924,742 | |||
|
| |||
Net assets | $ | 131,591,543 | ||
|
| |||
NET ASSETS CONSISTOF | ||||
Capital stock, $0.001 par value | $ | 5,866 | ||
Paid-in capital | 159,987,568 | |||
Accumulated net investment loss | (866,164 | ) | ||
Accumulated net realized loss from investments | (17,567,838 | ) | ||
Net unrealized depreciation on investments | (9,967,889 | ) | ||
|
| |||
Net assets | $ | 131,591,543 | ||
|
| |||
INSTITUTIONAL CLASS | ||||
Net assets | $ | 62,468,580 | ||
|
| |||
Shares outstanding ($0.001 par value, 100,000,000 shares authorized) | 2,749,959 | |||
|
| |||
Net asset value, offering and redemption price per share | $ | 22.72 | ||
|
| |||
INVESTOR CLASS | ||||
Net assets | $ | 69,122,963 | ||
|
| |||
Shares outstanding ($0.001 par value, 100,000,000 shares authorized) | 3,116,466 | |||
|
| |||
Net asset value, offering and redemption price per share | $ | 22.18 | ||
|
|
The accompanying notes are an integral part of the financial statements.
9
BOGLE INVESTMENT MANAGEMENT
SMALL CAP GROWTH FUND
STATEMENTOF OPERATIONS
FORTHE SIX MONTHS ENDED FEBRUARY 29, 2016
(UNAUDITED)
INVESTMENT INCOME | ||||
Dividends (net of foreign withholding taxes of $13,488) | $ | 550,297 | ||
|
| |||
Total investment income | 550,297 | |||
|
| |||
EXPENSES | ||||
Advisory fees (Note 2) | 772,432 | |||
Administration and accounting fees (Note 2) | 119,824 | |||
Transfer agent fees (Note 2) | 83,211 | |||
Shareholder servicing fees (Investor Class) (Note 2) | 39,640 | |||
Custodian fees (Note 2) | 28,859 | |||
Professional fees | 27,916 | |||
Printing and shareholder reporting fees | 25,405 | |||
Registration and filing fees | 22,478 | |||
Directors’ and officers’ fees | 13,340 | |||
Insurance fees | 11,673 | |||
Other expenses | 2,883 | |||
|
| |||
Total expenses before waivers | 1,147,661 | |||
Less: waivers | (142,481 | ) | ||
|
| |||
Net expenses after waivers | 1,005,180 | |||
|
| |||
Net investment loss | (454,883 | ) | ||
|
| |||
NET REALIZEDAND UNREALIZED LOSS FROM INVESTMENTS | ||||
Net realized loss from investments | (16,960,290 | ) | ||
Net change in unrealized appreciation/(depreciation) on investments | (2,298,232 | ) | ||
|
| |||
Net realized and unrealized loss on investments | (19,258,522 | ) | ||
|
| |||
NET DECREASEIN NET ASSETS RESULTING FROM OPERATIONS | $ | (19,713,405 | ) | |
|
|
The accompanying notes are an integral part of the financial statements.
10
BOGLE INVESTMENT MANAGEMENT
SMALL CAP GROWTH FUND
STATEMENTSOF CHANGESIN NET ASSETS
FOR THE SIX MONTHS ENDED FEBRUARY 29, 2016 (UNAUDITED) | FOR THE YEAR ENDED AUGUST 31, 2015 | |||||||
INCREASE/(DECREASE)IN NET ASSETS FROM OPERATIONS: | ||||||||
Net investment loss | $ | (454,883 | ) | $ | (1,188,653 | ) | ||
Net realized gain/(loss) from investments | (16,960,290 | ) | 26,788,339 | |||||
Net change in unrealized appreciation/(depreciation) on investments | (2,298,232 | ) | (46,136,365 | ) | ||||
|
|
|
| |||||
Net decrease in net assets resulting from operations | (19,713,405 | ) | (20,536,679 | ) | ||||
|
|
|
| |||||
DIVIDENDSAND DISTRIBUTIONSTO SHAREHOLDERS FROM: | ||||||||
Net realized capital gains | ||||||||
Institutional Class | (10,939,694 | ) | (13,849,300 | ) | ||||
Investor Class | (11,919,482 | ) | (13,815,545 | ) | ||||
|
|
|
| |||||
Net decrease in net assets from dividends and distributions to shareholders | (22,859,176 | ) | (27,664,845 | ) | ||||
|
|
|
| |||||
DECREASEIN NET ASSETS DERIVED FROM CAPITAL SHARE TRANSACTIONS: | ||||||||
Institutional Class | ||||||||
Proceeds from shares sold | 4,641,669 | 19,079,419 | ||||||
Reinvestment of distributions | 10,728,856 | 13,556,406 | ||||||
Distributions for shares redeemed | (20,589,749 | ) | (38,571,504 | ) | ||||
|
|
|
| |||||
Total from Institutional Class | (5,219,224 | ) | (5,935,679 | ) | ||||
Investor Class | ||||||||
Proceeds from shares sold | 2,174,681 | 19,241,414 | ||||||
Reinvestment of distributions | 11,325,577 | 13,118,025 | ||||||
Distributions for shares redeemed | (14,383,949 | ) | (32,546,993 | ) | ||||
|
|
|
| |||||
Total from Investor Class | (883,691 | ) | (187,554 | ) | ||||
|
|
|
| |||||
Net decrease in net assets from capital share transactions | (6,102,915 | ) | (6,123,233 | ) | ||||
|
|
|
| |||||
Total decrease in net assets | (48,675,496 | ) | (54,324,757 | ) | ||||
NET ASSETS: | ||||||||
Beginning of period | 180,267,039 | 234,591,796 | ||||||
|
|
|
| |||||
End of period | $ | 131,591,543 | $ | 180,267,039 | ||||
|
|
|
| |||||
Accumulated net investment loss, end of period | $ | (866,164 | ) | $ | (411,281 | ) | ||
|
|
|
|
The accompanying notes are an integral part of the financial statements.
11
BOGLE INVESTMENT MANAGEMENT
SMALL CAP GROWTH FUND
STATEMENTSOF CHANGESIN NET ASSETS (CONCLUDED)
FOR THE SIX MONTHS ENDED FEBRUARY 29, 2016 (UNAUDITED) | FOR THE YEAR ENDED AUGUST 31, 2015 | |||||||
DECREASEIN SHARES OUTSTANDING DERIVED FROM SHARE TRANSACTIONS: | ||||||||
Institutional Class | ||||||||
Shares sold | 185,001 | 585,082 | ||||||
Shares reinvested | 419,916 | 437,753 | ||||||
Shares redeemed | (791,363 | ) | (1,183,973 | ) | ||||
|
|
|
| |||||
Total from Institutional Class | (186,446 | ) | (161,138 | ) | ||||
|
|
|
| |||||
Investor Class | ||||||||
Shares sold | 89,026 | 586,070 | ||||||
Shares reinvested | 453,931 | 431,968 | ||||||
Shares redeemed | (561,798 | ) | (998,233 | ) | ||||
|
|
|
| |||||
Total from Investor Class | (18,841 | ) | 19,805 | |||||
|
|
|
| |||||
Total decrease in shares outstanding derived from share transactions | (205,287 | ) | (141,333 | ) | ||||
|
|
|
|
The accompanying notes are an integral part of the financial statements.
12
BOGLE INVESTMENT MANAGEMENT
SMALL CAP GROWTH FUND
FINANCIAL HIGHLIGHTS
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.
INSTITUTIONAL CLASS | ||||||||||||||||||||||||
FOR THE SIX MONTHS ENDED 2/29/16 (UNAUDITED) | FOR THE YEAR ENDED 8/31/15 | FOR THE YEAR ENDED 8/31/14 | FOR THE YEAR ENDED 8/31/13 | FOR THE YEAR ENDED 8/31/12 | FOR THE YEAR ENDED 8/31/11 | |||||||||||||||||||
PER SHARE OPERATING PERFORMANCE | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 30.00 | $ | 38.07 | $ | 29.49 | $ | 21.76 | $ | 19.38 | $ | 14.81 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net investment income/(loss)* | (0.07 | ) | (0.18 | ) | (0.23 | ) | 0.10 | (0.04 | ) | (0.10 | ) | |||||||||||||
Net realized and unrealized gain/(loss) from investments | (3.13 | ) | (3.09 | ) | 8.87 | 7.63 | 2.42 | 4.67 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net increase/(decrease) in net assets resulting from operations | (3.20 | ) | (3.27 | ) | 8.64 | 7.73 | 2.38 | 4.57 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Dividends and distributions to shareholders from: | ||||||||||||||||||||||||
Net investment income | — | — | (0.06 | ) | — | — | — | |||||||||||||||||
Net realized capital gain | (4.08 | ) | (4.80 | ) | — | — | — | — | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total dividends and distributions to shareholders | (4.08 | ) | (4.80 | ) | (0.06 | ) | — | — | — | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net asset value, end of period | $ | 22.72 | $ | 30.00 | $ | 38.07 | $ | 29.49 | $ | 21.76 | $ | 19.38 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total investment return(1) | (12.17 | )%(3) | (8.99 | )% | 29.34 | % | 35.52 | % | 12.28 | % | 30.86 | % | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
RATIOS/SUPPLEMENTAL DATA | ||||||||||||||||||||||||
Net assets, end of period (000’s omitted) | $ | 62,469 | $ | 88,086 | $ | 117,923 | $ | 98,898 | $ | 48,526 | $ | 38,274 | ||||||||||||
Ratio of expenses to average net assets | 1.25 | %(2) | 1.25 | % | 1.25 | % | 1.25 | % | 1.25 | % | 1.25 | % | ||||||||||||
Ratio of expenses to average net assets | 1.43 | %(2) | 1.35 | % | 1.32 | % | 1.39 | % | 1.51 | % | 1.44 | % | ||||||||||||
Ratio of net investment income/(loss) to average net assets | (0.54 | )%(2) | (0.53 | )% | (0.66 | )% | 0.37 | % | (0.21 | )% | (0.48 | )% | ||||||||||||
Portfolio turnover rate | 129.89 | %(3) | 196.15 | % | 175.06 | % | 237.59 | % | 288.88 | % | 302.71 | % |
* | Calculated based on average shares outstanding for the period. |
(1) | 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. |
(2) | Annualized. |
(3) | Not annualized. |
The accompanying notes are an integral part of the financial statements.
13
BOGLE INVESTMENT MANAGEMENT
SMALL CAP GROWTH FUND
FINANCIAL HIGHLIGHTS
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.
INVESTOR CLASS | ||||||||||||||||||||||||
FOR THE SIX MONTHS ENDED 2/29/16 (UNAUDITED) | FOR THE YEAR ENDED 8/31/15 | FOR THE YEAR ENDED 8/31/14 | FOR THE YEAR ENDED 8/31/13 | FOR THE YEAR ENDED 8/31/12 | FOR THE YEAR ENDED 8/31/11 | |||||||||||||||||||
PER SHARE OPERATING PERFORMANCE | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 29.40 | $ | 37.45 | $ | 29.00 | $ | 21.42 | $ | 19.10 | $ | 14.61 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net investment income/(loss)* | (0.08 | ) | (0.21 | ) | (0.26 | ) | 0.07 | (0.07 | ) | (0.12 | ) | |||||||||||||
Net realized and unrealized gain/(loss) | (3.06 | ) | (3.04 | ) | 8.74 | 7.51 | 2.39 | 4.61 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net increase/(decrease) in net assets resulting from operations | (3.14 | ) | (3.25 | ) | 8.48 | 7.58 | 2.32 | 4.49 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Dividends and distributions to shareholders from: | ||||||||||||||||||||||||
Net investment income | — | — | (0.03 | ) | — | — | — | |||||||||||||||||
Net realized capital gain | (4.08 | ) | (4.80 | ) | — | — | — | — | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total dividends and distributions to shareholders | (4.08 | ) | (4.80 | ) | (0.03 | ) | — | — | — | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net asset value, end of period | $ | 22.18 | $ | 29.40 | $ | 37.45 | $ | 29.00 | $ | 21.42 | $ | 19.10 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total investment return(1) | (12.22 | )%(3) | (9.09 | )% | 29.28 | % | 35.39 | % | 12.15 | % | 30.73 | % | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
RATIOS/SUPPLEMENTAL DATA | ||||||||||||||||||||||||
Net assets, end of period (000’s omitted) | $ | 69,123 | $ | 92,181 | $ | 116,669 | $ | 77,584 | $ | 58,011 | $ | 74,155 | ||||||||||||
Ratio of expenses to average net assets | 1.35 | %(2) | 1.35 | % | 1.35 | % | 1.35 | % | 1.35 | % | 1.35 | % | ||||||||||||
Ratio of expenses to average net assets | 1.53 | %(2) | 1.45 | % | 1.43 | % | 1.49 | % | 1.60 | % | 1.54 | % | ||||||||||||
Ratio of net investment income/(loss) to | (0.64 | )%(2) | (0.63 | )% | (0.76 | )% | 0.27 | % | (0.36 | )% | (0.58 | )% | ||||||||||||
Portfolio turnover rate | 129.89 | %(3) | 196.15 | % | 175.06 | % | 237.59 | % | 288.88 | % | 302.71 | % |
* | Calculated based on average shares outstanding for the period. |
(1) | 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. |
(2) | Annualized. |
(3) | Not annualized. |
The accompanying notes are an integral part of the financial statements.
14
BOGLE INVESTMENT MANAGEMENT
SMALL CAP GROWTH FUND
NOTESTO FINANCIAL STATEMENTS
(UNAUDITED)
1. | ORGANIZATIONAND 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 twenty-three active investment portfolios, including the Bogle Investment Management Small Cap Growth Fund (the “Fund”), which commenced investment operations on October 1, 1999. As of February 29, 2016, the Fund offers two classes of shares, Institutional Class and Investor Class.
RBB has authorized capital of one hundred billion shares of common stock of which 83.023 billion shares are currently classified into one hundred and fifty-seven classes of common stock. Each class represents an interest in an active or inactive RBB investment portfolio.
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 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 having a remaining maturity of greater than 60 days are valued using an independent pricing service. Fixed income securities having a remaining maturity of 60 days or less are valued at amortized cost, which approximates market value. 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). If market quotations are unavailable or deemed unreliable, securities will be valued in accordance with procedures adopted by RBB’s Board of Directors (the “Board”). Relying on prices supplied by pricing services or dealers or using fair valuation may result in values that are higher or lower than the values used by other investment companies and investors to price the same investments.
FAIR VALUE MEASUREMENTS — The inputs and valuation techniques used to measure fair value of the Fund’s investments are summarized into three levels as described in the hierarchy below:
• Level 1 – | quoted prices in active markets for identical securities; |
• Level 2 – | other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.); and |
• Level 3 – | significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments). |
The inputs or methodology 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 February 29, 2016, in valuing the Fund’s investments carried at fair value:
Total Value at February 29, 2016 | Level 1 Quoted Price | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |||||||||||||
TOTAL INVESTMENTS* | $131,366,573 | $131,366,573 | $ — | $ — | ||||||||||||
|
|
|
|
|
|
|
|
* | See Portfolio of Investments for detail on portfolio holdings. |
15
BOGLE INVESTMENT MANAGEMENT
SMALL CAP GROWTH FUND
NOTESTO FINANCIAL STATEMENTS (CONTINUED)
(UNAUDITED)
At the end of each quarter, management evaluates the classification of Levels 1, 2 and 3 assets and liabilities. Various factors are considered, such as changes in liquidity from the prior reporting period; whether or not a broker is willing to execute at the quoted price; the depth and consistency of prices from third party pricing services; and the existence of contemporaneous, observable trades in the market. Additionally, management evaluates the classification of Level 1 and Level 2 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”) require 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. U.S. GAAP also requires the Fund to disclose amounts and reasons for all transfers in and out of Level 1 and Level 2 fair value measurements. 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 transfers in and out of each Level within the three-tier hierarchy are disclosed when the Fund had an amount of total transfers during the reporting period that was meaningful in relation to its net assets as of the end of the reporting period.
For the six months ended February 29, 2016, there were no transfers between Levels 1, 2 and 3 for the Fund that require disclosure.
USEOF ESTIMATES — The Fund is an investment company and follows accounting and reporting guidance in Financial Accounting Standards Board Accounting Standards Codification Topic 946. 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 period. Actual results could differ from those estimates and those differences could be significant.
INVESTMENT TRANSACTIONS, INVESTMENT INCOMEAND 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 is accrued when earned. Dividend income is recorded on the ex-dividend date. The Fund’s net investment income (other than class specific shareholder servicing fees) 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. Expenses incurred on behalf of a specific class, fund or fund family of the Company are charged directly to the class, fund or fund family (in proportion to net assets). Expenses incurred for all of the RBB funds (such as director or professional fees) are charged to all funds in proportion to their average net assets of RBB, or in such other manner as the Company’s Board deems fair or equitable. Expenses and fees, including investment advisory and administration fees, are accrued daily for the purpose of determining the NAV of the Fund.
DIVIDENDSAND DISTRIBUTIONSTO SHAREHOLDERS — Dividends from net investment income and distributions from net realized capital gains, if any, will be declared and paid at least annually to shareholders and recorded on the ex-dividend date. Income dividends and capital gains distributions are determined in accordance with U.S. federal income tax regulations which may differ from U.S. GAAP.
16
BOGLE INVESTMENT MANAGEMENT
SMALL CAP GROWTH FUND
NOTESTO FINANCIAL STATEMENTS (CONTINUED)
(UNAUDITED)
U.S. TAX STATUS — No provision is made for U.S. income taxes as it is the Fund’s intention 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.
CASHAND CASH EQUIVALENTS — The Fund considers liquid assets deposited into bank demand deposit accounts to be cash equivalents. These investments represent amounts held with financial institutions that are readily accessible to pay Fund expenses or purchase investments. 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, based on experience, the risk of material loss from such claims is considered remote.
2. | INVESTMENT ADVISERAND OTHER SERVICES |
Bogle Investment Management, L.P. (the “Adviser” or “Bogle”) serves as the Fund’s investment adviser. For its advisory services, the Adviser is entitled to receive a monthly fee from the Fund calculated at an annual rate of 1.00% of the Fund’s average daily net assets.
The Adviser has contractually agreed to waive management fees and reimburse expenses to the extent that total annual Fund operating expenses (excluding certain items discussed below) exceed 1.25% and 1.35% for the Institutional Class and Investor Class, respectively. 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 1.25% and 1.35%, as applicable: acquired fund fees and expenses, brokerage commissions, extraordinary items, interest or taxes. This contractual limitation is in effect until December 31, 2016 and may not be terminated without the approval of the Company’s Board. The Adviser may discontinue these arrangements at any time after December 31, 2016.
The contractual fee waiver does not provide for recoupment of fees that were waived or expenses that were reimbursed. For the six months ended February 29, 2016, investment advisory fees and waivers of the Fund were as follows:
GROSS ADVISORY FEES | WAIVERS | NET ADVISORY FEES | ||||||||
$ | 772,432 | $ | 132,826 | $ | 639,606 |
The Fund will not pay the Adviser at a later time for any amounts waived or any amounts assumed.
In addition to serving as the Fund’s investment adviser, Bogle provides certain shareholder services to the Investor Class of the Fund. As compensation for such services, the Adviser receives a monthly fee equal to an annual rate of 0.10% of the average daily net assets of the Fund’s Investor Class.
BNY Mellon Investment Servicing (US) Inc. (“BNY Mellon”) serves as administrator for the Fund. For providing administrative and accounting services, BNY Mellon is entitled to receive a monthly fee equal to an annual percentage rate of the Fund’s average daily net assets, subject to certain minimum monthly fees.
BNY Mellon has voluntarily agreed to waive a portion of its administration and accounting fees for the Fund. For the six months ended February 29, 2016, administration and accounting fees and waivers of the Fund were as follows:
GROSS ADMINISTRATION AND ACCOUNTING FEES | WAIVERS | NET ADMINISTRATION AND ACCOUNTING FEES | ||||||||
$ | 119,824 | $ | 9,655 | $ | 110,169 |
17
BOGLE INVESTMENT MANAGEMENT
SMALL CAP GROWTH FUND
NOTESTO FINANCIAL STATEMENTS (CONTINUED)
(UNAUDITED)
Included in the administration and accounting services fees, shown on the Statement of Operations, are fees for providing regulatory administration services to RBB. For providing these services, BNY Mellon is entitled to receive compensation as agreed to by the Company and BNY Mellon. This fee is allocated to each portfolio of the Company in proportion to its net assets of the Company.
In addition, BNY Mellon serves as the Fund’s transfer and dividend disbursing agent. For providing transfer agent services, BNY Mellon is entitled to receive a monthly fee, subject to certain minimum, and out of pocket expenses.
The Bank of New York Mellon (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.
Foreside Funds Distributors, LLC serves as the principal underwriter and distributor of the Fund’s shares pursuant to a Distribution Agreement with RBB.
The Fund will not pay The Bank of New York Mellon Corporation or any of its members or BNY Mellon’s affiliates at a later time for any amounts waived or any amounts assumed.
3. | DIRECTOR’S AND OFFICER’S COMPENSATION |
The Directors of the Company receive an annual retainer, meeting fees and reimbursement of out-of-pocket expenses for meetings attended. The remuneration paid to the Directors by the Fund during the six months ended February 29, 2016 was $7,063. Certain employees of BNY Mellon serve as an Officer of the Company. They are not compensated by the Fund or the Company. Employees of Vigilant Compliance, LLC serve as President, Chief Compliance Officer and, effective January 1, 2016, Treasurer of the Company. Vigilant Compliance, LLC is compensated for the services provided to the Company. For the six months ended February 29, 2016, the Fund paid $3,519 in officer fees.
4. | INVESTMENTIN SECURITIES |
For the six months ended February 29, 2016, aggregate purchases and sales of investment securities (excluding short-term investments) of the Fund were as follows:
INVESTMENT SECURITIES | ||||||
PURCHASES | SALES | |||||
$ | 200,789,075 | $ | 231,966,706 |
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 February 29, 2016, federal tax cost, aggregate gross unrealized appreciation and depreciation of securities held by the Fund were as follows:
FEDERAL TAX COST | UNREALIZED APPRECIATION | UNREALIZED DEPRECIATION | NET UNREALIZED DEPRECIATION | |||||||||||
$ | 141,334,462 | $ | 6,698,365 | $ | (16,666,254 | ) | $ | (9,967,889 | ) |
18
BOGLE INVESTMENT MANAGEMENT
SMALL CAP GROWTH FUND
NOTESTO FINANCIAL STATEMENTS (CONCLUDED)
(UNAUDITED)
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, 2015, the components of distributable earnings on a tax basis were as follows:
CAPITAL LOSS CARRYFORWARD | UNDISTRIBUTED ORDINARY INCOME | UNDISTRIBUTED LONG-TERM GAINS | UNREALIZED DEPRECIATION | QUALIFIED LATE-YEAR LOSS DEFERRAL | ||||||||||||||
$ | — | $ | 3,127 | $ | 22,856,042 | $ | (8,277,198 | ) | $ | (411,281 | ) |
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. Short-term and foreign currency gains are reported as ordinary income for federal income tax purposes.
The tax character of dividend and distributions paid during the fiscal year ended August 31, 2015 was as follows:
ORDINARY INCOME | LONG-TERM GAINS | |||||
$ | 11,234,768 | $ | 16,430,077 |
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 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, 2015, any amount of losses elected within the tax return will not be recognized for federal income tax purposes until September 1, 2015. For the fiscal year ended August 31, 2015, the Fund deferred to September 1, 2015, late-year ordinary loss deferrals of $411,281.
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, 2015, the Fund did not have any capital loss carryforwards.
6. | SUBSEQUENT EVENT |
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 requiring recognition or disclosure in the financial statements.
19
BOGLE INVESTMENT MANAGEMENT
SMALL CAP GROWTH 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 12-month period ended June 30 are available without charge, upon request, by calling (877) 264-5346 and on the Securities and Exchange Commission’s (“SEC”) website at http://www.sec.gov.
QUARTERLY PORTFOLIO SCHEDULES
The Company files its complete schedule of portfolio holdings with the SEC for the first and third fiscal quarters of each fiscal year (quarters ended November 30 and May 31) on Form N-Q. The Company’s Form N-Q is available on the SEC website at http://www.sec.gov and may be reviewed and copied at the SEC Public Reference Room in Washington, D.C. Information on the operation of the SEC Public Reference Room may be obtained by calling (202) 551-8090.
20
Investment Adviser
Bogle Investment Management, L.P.
2310 Washington Street
Suite 310
Newton Lower Falls, MA 02462
Administrator
BNY Mellon Investment Servicing (US) Inc.
301 Bellevue Parkway
Wilmington, DE 19809
Transfer Agent
BNY Mellon Investment Servicing (US) Inc.
4400 Computer Drive
Westborough, MA 01581
Principal Underwriter
Foreside Funds Distributors LLC
400 Berwyn Park
899 Cassatt Road
Berwyn, PA 19312
Custodian
The Bank of New York Mellon
225 Liberty Street
New York, NY 10286
Independent Registered Public Accounting Firm
PricewaterhouseCoopers LLP
Two Commerce Square, Suite 1800
2001 Market Street
Philadelphia, PA 19103-7042
Legal Counsel
Drinker Biddle & Reath LLP
One Logan Square
Suite 2000
Philadelphia, PA 19103-6996
BOG-SAR16
BOSTON PARTNERS INVESTMENT FUNDS |
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69 |
BOSTON PARTNERS INVESTMENT FUNDS |
Dear Shareholder,
For the 6-month period ended February 29th, 2016, the U.S. and Global economies witnessed a slew of tepid economic data, and while that led to some inter-period volatility within the markets, U.S. equity market performance remained largely unchanged through February. At a high level, the U.S. equity markets demonstrated two dramatically different outlooks and outcomes over the period. While the U.S. equity market rebounded during the fourth quarter 2015, it remained under pressure through the end of February 2016; with a 6-month low for the S&P 500 occurring on February 11th. The reasons for the “soft patch” were significant concerns over a slowing Chinese economy, the strong U.S. dollar, sub-$30 oil, and building fears of a U.S. recession. This resulted in meaningful volatility spikes, with the Volatility Index (VIX) twice hitting 30, and the S&P 500 trading down over the period. However, after rallying from the low of 1,810 on February 11th, the S&P 500 climbed a wall of worry around these issues, rebounding over 6.78% into the February close. Ultimately, despite all the volatility and apprehension over numerous bear case scenarios, the S&P 500 ended up 5.80% for the period and Russell 1000 Value was also up 4.12% for the period.
In the first half of the period, defensive sectors such as Utilities and Consumer Durables performed well. In addition, risk averse investors flocked to high dividend yielding stocks such as consumer staples companies. This crowded sector was deemed safe, albeit trading at over 20 times earnings, for what might be modest earnings growth. In the second half of the period, investors concluded that the slowdown in China would not drag the U.S. into recession. Economically sensitive sectors such as Basic Industries, Consumer Durables and Technology led the market rebound.
Going forward in 2016, investors are worried about a host of issues, including how China will handle its currency while seeking a soft landing as its economy transitions from an export to a consumer/service economy. There also continue to be concerns about weak European economies, where some banks are undercapitalized and recent terrorist attacks have put force behind those arguing for a British exit from the Eurozone. Fortunately, recent Federal Reserve comments appear to be taking on a more dovish tone emphasizing that the Fed is intent on targeting U.S. inflation at 2% while aiming to optimize current unemployment levels with a broader participation rate. In addition, it appears that the Fed will stand ready to be the stabilizer on a global basis if the economic outlook were to deteriorate.
Meanwhile, the U.S. economy continues to remain a safe harbor on a global basis with a GDP growth rate of about 2% per year and unemployment at a steady 5%. Some areas of the economy are quite strong, including employment growth, construction activity and vehicle sales. Other areas are at or near recession levels, including oil rig activity, commodity-related industries and China-related business activity. Investors are undeniably struggling with what markets will bring moving forward.
Going forward, corporate earnings will undoubtedly influence investor sentiment. With regard to first quarter 2016 earnings, there seems to be a consensus that street estimates have been sufficiently reduced. In fact, some credible sources (Earnings Insight, for example) estimate that after the fourth quarter 2015, earnings have come down as much as 9.6% for the first quarter 2016 and now stand at $26.32 for the S&P 500. This is the largest quarterly reduction since early 2009. Hence the idea that the earnings season is set up to at least meet, if not beat, expectations and has gained a solid footing. With energy and currency headwinds becoming less impactful as the year progresses, earnings meeting expectations in the second half of the year appear more likely.
As we look to the remainder of 2016, we would anticipate continued volatility until the economy shows a more consistent upward trajectory and earnings stabilize. In this environment, we believe our three circle philosophy and our value discipline should provide a sound foundation for delivering returns that our clients have become accustomed to over the past 20 years, especially if a second half rally were to take hold.
Portfolio composition is subject to change. The current and future portfolio holdings of the Funds are subject to investment risk.
SEMI-ANNUAL REPORT 2016 | 1 |
BOSTON PARTNERS INVESTMENT FUNDS |
Total Returns for the Periods Ended February 29, 2016 (unaudited) |
Average Annual | ||||||||||||||||||||
Six Month | 1 Year | 5 Year | 10 Year | Since Inception | ||||||||||||||||
Boston Partners Small Cap Value Fund II | ||||||||||||||||||||
Institutional Class | -8.34 | % | -11.80 | % | 7.09 | % | 5.93 | % | N/A | |||||||||||
Investor Class | -8.44 | % | -11.99 | % | 6.84 | % | 5.67 | % | N/A | |||||||||||
Russell 2000® Value Index | 2.31 | % | 3.96 | % | 13.97 | % | 7.13 | % | N/A | |||||||||||
Russell 2000® Index(1) | 5.70 | % | 5.63 | % | 15.97 | % | 8.31 | % | N/A | |||||||||||
1 This is not a primary benchmark of the Fund. Results of the index performance are presented for general comparative purposes. |
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Boston Partners Long/Short Equity Fund | ||||||||||||||||||||
Institutional Class | 5.60 | % | 6.21 | % | 5.91 | % | 11.18 | % | N/A | |||||||||||
Investor Class | 5.48 | % | 5.96 | % | 5.64 | % | 10.86 | % | N/A | |||||||||||
S&P 500® Index | -0.92 | % | -6.19 | % | 12.57 | % | 7.31 | % | N/A | |||||||||||
Boston Partners Long/Short Research Fund | ||||||||||||||||||||
Institutional Class(1) | -2.80 | % | -4.50 | % | 6.59 | % | N/A | 8.19 | % | |||||||||||
S&P 500 Index | -0.92 | % | -6.19 | % | 12.57 | % | N/A | 12.58 | %(3) | |||||||||||
Investor Class(2) | -2.84 | % | -4.74 | % | 6.33 | % | N/A | 7.39 | % | |||||||||||
S&P 500® Index | -0.92 | % | -6.19 | % | 12.57 | % | N/A | 12.27 | %(3) | |||||||||||
1 Inception date September 30, 2010 |
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2 Inception date November 29, 2010 |
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3 Index performance is from Inception date of the Class only and is not the inception date of the index itself. |
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Boston Partners All-Cap Value Fund | ||||||||||||||||||||
Institutional Class | -5.13 | % | -9.40 | % | 9.54 | % | 7.63 | % | N/A | |||||||||||
Investor Class | -5.27 | % | -9.59 | % | 9.31 | % | 7.39 | % | N/A | |||||||||||
Russell 3000® Value Index | -3.18 | % | -9.73 | % | 8.52 | % | 5.04 | % | N/A | |||||||||||
Russell 3000® Index(1) | -2.68 | % | -7.84 | % | 9.61 | % | 6.36 | % | N/A | |||||||||||
1 This is not a primary benchmark of the Fund. Results of the index performance are presented for general comparative purposes. |
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WPG Partners Small/Micro Cap Value Fund | ||||||||||||||||||||
Institutional Class | -13.80 | % | -21.91 | % | 1.95 | % | 3.26 | % | N/A | |||||||||||
Russell 2000® Value | -6.72 | % | -14.97 | % | 6.11 | % | 4.95 | % | N/A | |||||||||||
Boston Partners Global Equity Fund | ||||||||||||||||||||
Institutional Class(1) | -7.01 | % | -11.25 | % | N/A | N/A | 10.04 | % | ||||||||||||
MSCI World | -4.94 | % | -6.60 | % | N/A | N/A | 9.58 | %(2) | ||||||||||||
1 Inception date December 30, 2011 |
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2 Index performance is from Inception date of the Fund only and is not the inception date of the index itself. |
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Boston Partners Global Long/Short Fund | ||||||||||||||||||||
Institutional Class(1) | -1.68 | % | -0.36 | % | N/A | N/A | 1.71 | % | ||||||||||||
MSCI World Index | -4.94 | % | -10.49 | % | N/A | N/A | -0.69 | %(3) | ||||||||||||
Investor Class(2) | -1.69 | % | -0.55 | % | N/A | N/A | 2.51 | % | ||||||||||||
MSCI World Index | -4.94 | % | -10.49 | % | N/A | N/A | -1.18 | %(3) | ||||||||||||
1 Inception date December 31, 2013 |
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2 Inception date April 11, 2014 |
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3 Index performance is from Inception date of the Fund only and is not the inception date of the index itself. |
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Boston Partners Emerging Markets Long/Short Fund | ||||||||||||||||||||
Institutional Class(1) | N/A | N/A | N/A | N/A | -0.40 | %(3) | ||||||||||||||
MSCI World Index(2) | N/A | N/A | N/A | N/A | -4.79 | %(4) | ||||||||||||||
MSCI Emerging Markets Index | N/A | N/A | N/A | N/A | -3.65 | %(4) | ||||||||||||||
1 Commencement of operations was December 17, 2015 |
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2 This is not a primary benchmark of the Fund. Results of the index performance are presented for general comparative purposes. |
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3 Not annualized. |
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4 Index performance is from the Fund’s commencement of operations only and is not the inception date of the index itself. |
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2 | SEMI-ANNUAL REPORT 2016 |
BOSTON PARTNERS INVESTMENT FUNDS |
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. Robeco Investment Management, 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 performance data quoted. For performance data current to the most recent month-end, please call
1-888-261-4073 or visit our web site at www.boston-partners.com.
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, dated February 29, 2016:
Institutional Class | Investor Class | |||
Boston Partners Small Cap Value Fund II | 1.23% | 1.48% | ||
Boston Partners Long/Short Equity Fund | 5.64%1 | 5.89%1 | ||
Boston Partners Long/Short Research Fund | 2.43%1 | 2.68%1 | ||
Boston Partners All-Cap Value Fund | 0.95% | 1.20% | ||
WPG Partners Small/Micro Cap Value Fund | 1.41% | N/A | ||
Boston Partners Global Equity Fund | 1.24% | 1.49% | ||
Boston Partners Global Long/Short Fund | 3.05%1 | 3.30%1 | ||
Boston Partners Emerging Markets Long/Short Fund | 3.90%1 | N/A | ||
1 Includes interest and dividend expense on short sales. |
SEMI-ANNUAL REPORT 2016 | 3 |
BOSTON PARTNERS INVESTMENT FUNDS |
As a shareholder of the Fund(s), you incur two types of costs: (1) transaction costs, and (2) ongoing costs, including management fees, distribution fees, shareholder servicing fees and other Fund expenses. The 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.
The examples are based on an investment of $1,000 invested at the beginning of the six-month period from September 1, 2015 through February 29, 2016, and held for the entire period.
Actual Expenses
The first line of the accompanying tables 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 tables 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 tables are meant to highlight your ongoing costs only and do not reflect any transactional costs. Therefore, the second line 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.
Expense Table
Beginning Account Value September 1, 2015 | Ending Account Value February 29, 2016* | Annualized Expense Ratio | Expenses Paid During Period** | |||||||||||||
Boston Partners Small Cap Value Fund II | ||||||||||||||||
Institutional | ||||||||||||||||
Actual | $1,000.00 | $916.60 | 1.10 | % | $5.24 | |||||||||||
Hypothetical | 1,000.00 | 1,019.39 | 1.10 | % | 5.52 | |||||||||||
Investor | ||||||||||||||||
Actual | $1,000.00 | $915.60 | 1.35 | % | $6.43 | |||||||||||
Hypothetical | 1,000.00 | 1,018.15 | 1.35 | % | 6.77 | |||||||||||
Boston Partners Long/Short Equity Fund | ||||||||||||||||
Institutional | ||||||||||||||||
Actual | $1,000.00 | $1,056.00 | 4.23 | %(1) | $21.62 | |||||||||||
Hypothetical | 1,000.00 | 1,003.83 | 4.23 | %(1) | 21.07 | |||||||||||
Investor | ||||||||||||||||
Actual | $1,000.00 | $1,054.80 | 4.48 | %(1) | $22.89 | |||||||||||
Hypothetical | 1,000.00 | 1,002.59 | 4.48 | %(1) | 22.31 | |||||||||||
Boston Partners Long/Short Research Fund | ||||||||||||||||
Institutional | ||||||||||||||||
Actual | $1,000.00 | $972.00 | 2.41 | %(1) | $11.82 | |||||||||||
Hypothetical | 1,000.00 | 1,012.88 | 2.41 | %(1) | 12.06 | |||||||||||
Investor | ||||||||||||||||
Actual | $1,000.00 | $971.60 | 2.66 | %(1) | $13.04 | |||||||||||
Hypothetical | 1,000.00 | 1,011.64 | 2.66 | %(1) | 13.30 |
4 | SEMI-ANNUAL REPORT 2016 |
BOSTON PARTNERS INVESTMENT FUNDS |
FUND EXPENSE EXAMPLES (unaudited) (continued) |
Beginning Account Value September 1, 2015 | Ending Account Value February 29, 2016* | Annualized Expense Ratio | Expenses Paid During Period** | |||||||||||||
Boston Partners All-Cap Value Fund | ||||||||||||||||
Institutional | ||||||||||||||||
Actual | $1,000.00 | $948.70 | 0.73 | % | $3.54 | |||||||||||
Hypothetical | 1,000.00 | 1,021.23 | 0.73 | % | 3.67 | |||||||||||
Investor | ||||||||||||||||
Actual | $1,000.00 | $947.30 | 0.98 | % | $4.74 | |||||||||||
Hypothetical | 1,000.00 | 1,019.99 | 0.98 | % | 4.92 | |||||||||||
WPG Partners Small/Micro Cap Value Fund | ||||||||||||||||
Institutional | ||||||||||||||||
Actual | $1,000.00 | $862.00 | 1.10 | % | $5.09 | |||||||||||
Hypothetical | 1,000.00 | 1,019.39 | 1.10 | % | 5.52 | |||||||||||
Boston Partners Global Equity Fund | ||||||||||||||||
Institutional | ||||||||||||||||
Actual | $1,000.00 | $929.90 | 0.95 | % | $4.56 | |||||||||||
Hypothetical | 1,000.00 | 1,020.14 | 0.95 | % | 4.77 | |||||||||||
Boston Partners Global Long/Short Fund | ||||||||||||||||
Institutional | ||||||||||||||||
Actual | $1,000.00 | $983.20 | 2.87 | %(1) | $14.15 | |||||||||||
Hypothetical | 1,000.00 | 1,010.59 | 2.87 | %(1) | 14.35 | |||||||||||
Investor | ||||||||||||||||
Actual | $1,000.00 | $983.10 | 3.12 | %(1) | $15.38 | |||||||||||
Hypothetical | 1,000.00 | 1,009.35 | 3.12 | %(1) | 15.59 | |||||||||||
Boston Partners Emerging Markets Long/Short Fund(2) | ||||||||||||||||
Institutional | ||||||||||||||||
Actual(3) | $1,000.00 | $996.00 | 10.99 | %(1) | $22.48 | |||||||||||
Hypothetical(3) | 1,000.00 | 970.21 | 10.99 | %(1) | 53.84 |
* | The Fund’s ending account values on the first line in each table are based on the actual six-month total return of -8.34% and -8.44% for the Institutional Class and Investor Class, respectively, of the Boston Partners Small Cap Value Fund II; 5.60% and 5.48% for the Institutional Class and Investor Class, respectively, of the Boston Partners Long/Short Equity Fund; -2.80% and -2.84% for the Institutional Class and Investor Class, respectively, of the Boston Partners Long/Short Research Fund; -5.13% and -5.27% for the Institutional Class and Investor Class, respectively, of the Boston Partners All-Cap Value Fund; -13.80% for the Institutional Class of the WPG Partners Small/Micro Cap Value Fund; -7.01% for the Institutional Class of the Boston Partners Global Equity Fund; -1.68% and -1.69% for the Institutional Class and Investor Class, respectively, of the Boston Partners Global Long/Short Fund; and -0.40% for the Institutional Class of the Boston Partners Emerging Markets Long/Short Fund (for the period beginning December 17, 2015 (commencement of operations) to February 29, 2016). |
** | Expenses are equal to the 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 1.73% and 1.03% of average net assets for the six-month period ended August 31, 2015 for both the Institutional Class and Investor Class of the Boston Partners Long/Short Equity Fund and Boston Partners Long/Short Research Fund, respectively, 1.18% of average net assets for the Institutional Class and Investor Class, respectively, of the Boston Partners Global Long/Short Fund and 8.89% of average net assets for the Institutional Class of the Boston Partners Emerging Markets Long/Short Fund (for the period beginning December 17, 2015 (commencement of operations) to February 29, 2016). |
(2) | The Fund commenced operations on December 17, 2015. |
(3) | Expenses are equal to the Fund’s annualized expense ratio for the period beginning December 17, 2015 (commencement of operations) to February 29, 2016 of 10.99%, multiplied by the average account value over the period, multiplied by the number of days in the most recent period (75) then divided by 366 days to reflect the days in the period. For comparison purposes, the hypothetical expenses are as if the Fund had been in existence from September 1, 2015 and are equal to the Fund’s annualized expense ratio, multiplied by the average account value over the period, multiplied by the number of days in the most recent six-month period (182), then divided by 366 to reflect the period. |
SEMI-ANNUAL REPORT 2016 | 5 |
BOSTON PARTNERS INVESTMENT FUNDS | FEBRUARY 29, 2016 |
BOSTON PARTNERS
SMALL CAP VALUE FUND II
Security Type/Sector Classification | % of Net Assets | Value | ||||||
COMMON STOCK | ||||||||
Finance | 23.5 | % | $ | 73,958,223 | ||||
Consumer Services | 17.5 | 55,148,751 | ||||||
Capital Goods | 13.5 | 42,558,872 | ||||||
Technology | 10.3 | 32,471,479 | ||||||
Health Care | 8.8 | 27,616,962 | ||||||
Real Estate Investment Trust | 7.9 | 24,991,609 | ||||||
Basic Industries | 4.7 | 14,769,743 | ||||||
Energy | 3.5 | 11,011,805 | ||||||
Consumer Durables | 2.6 | 8,208,694 | ||||||
Consumer Non-Durables | 2.2 | 6,863,108 | ||||||
Transportation | 1.2 | 3,796,888 | ||||||
Utilities | 0.8 | 2,582,905 | ||||||
SECURITIES LENDING COLLATERAL | 4.7 | 14,781,094 | ||||||
LIABILITIES IN EXCESS OF OTHER ASSETS | (1.2 | ) | (3,800,760 | ) | ||||
|
|
|
| |||||
NET ASSETS | 100.0 | % | $ | 314,959,373 | ||||
|
|
|
|
Portfolio holdings are subject to change at any time.
BOSTON PARTNERS
LONG/SHORT EQUITY FUND
Security Type/Sector Classification | % of Net Assets | Value | ||||||
COMMON STOCK | ||||||||
Finance | 21.2 | % | $ | 136,053,895 | ||||
Technology | 13.5 | 86,796,977 | ||||||
Consumer Services | 12.0 | 77,120,781 | ||||||
Health Care | 11.0 | 70,484,983 | ||||||
Energy | 8.8 | 56,622,348 | ||||||
Capital Goods | 8.5 | 54,598,443 | ||||||
Basic Industries | 8.0 | 51,429,144 | ||||||
Consumer Non-Durables | 6.5 | 41,758,782 | ||||||
Communications | 2.4 | 15,619,792 | ||||||
Real Estate Investment Trusts | 1.9 | 12,447,791 | ||||||
Transportation | 1.4 | 9,170,292 | ||||||
Consumer Durables | 0.6 | 3,822,496 | ||||||
Utilities | 0.5 | 3,461,272 | ||||||
EXCHANGE TRADED FUND | 0.6 | 3,956,971 | ||||||
OPTIONS PURCHASED | 0.1 | 248,400 | ||||||
SECURITIES LENDING COLLATERAL | 4.6 | 29,761,547 | ||||||
SECURITIES SOLD SHORT | ||||||||
Energy | (0.3 | ) | (1,930,404 | ) | ||||
Real Estate Investment Trusts | (0.4 | ) | (2,165,727 | ) | ||||
Transportation | (0.6 | ) | (3,775,091 | ) | ||||
Basic Industries | (0.5 | ) | (2,995,544 | ) | ||||
Utilities | (0.6 | ) | (3,975,262 | ) | ||||
Communications | (0.8 | ) | (5,044,350 | ) | ||||
Finance | (0.9 | ) | (5,589,295 | ) | ||||
Capital Goods | (1.1 | ) | (7,107,396 | ) | ||||
Consumer Durables | (1.9 | ) | (12,446,513 | ) | ||||
Consumer Non-Durables | (2.2 | ) | (14,106,101 | ) | ||||
Health Care | (4.4 | ) | (28,530,345 | ) | ||||
Consumer Services | (6.7 | ) | (43,266,211 | ) | ||||
Technology | (8.7 | ) | (56,184,143 | ) | ||||
WRITTEN OPTIONS | (0.6 | ) | (3,745,662 | ) | ||||
OTHER ASSETS IN EXCESS OF LIABILITIES | 28.1 | 180,932,788 | ||||||
|
|
|
| |||||
NET ASSETS | 100.0 | % | $ | 643,424,658 | ||||
|
|
|
|
Portfolio holdings are subject to change at any time.
BOSTON PARTNERS
LONG/SHORT RESEARCH FUND
Security Type/Sector Classification | % of Net Assets | Value | ||||||
COMMON STOCK | ||||||||
Finance | 18.8 | % | $ | 1,284,187,355 | ||||
Technology | 15.7 | 1,069,586,784 | ||||||
Consumer Services | 12.1 | 824,509,798 | ||||||
Capital Goods | 11.7 | 794,499,728 | ||||||
Health Care | 10.2 | 693,165,104 | ||||||
Energy | 8.0 | 548,798,771 | ||||||
Basic Industries | 6.0 | 407,678,433 | ||||||
Communications | 5.2 | 355,351,645 | ||||||
Consumer Non-Durables | 3.9 | 266,382,091 | ||||||
Consumer Durables | 3.0 | 207,127,264 | ||||||
Transportation | 1.0 | 66,099,854 | ||||||
Real Estate Investment Trusts | 0.6 | 43,729,350 | ||||||
Utilities | 0.3 | 23,065,645 | ||||||
WARRANTS | 0.0 | 417,267 | ||||||
SECURITIES SOLD SHORT | ||||||||
Utilities | (0.9 | ) | (62,206,444 | ) | ||||
Real Estate Investment Trusts | (1.3 | ) | (90,018,157 | ) | ||||
Transportation | (1.3 | ) | (90,046,511 | ) | ||||
Consumer Durables | (1.5 | ) | (99,577,473 | ) | ||||
Basic Industries | (2.1 | ) | (146,772,227 | ) | ||||
Energy | (2.4 | ) | (161,808,208 | ) | ||||
Communications | (3.4 | ) | (230,279,923 | ) | ||||
Health Care | (3.5 | ) | (239,591,698 | ) | ||||
Capital Goods | (3.6 | ) | (246,402,687 | ) | ||||
Consumer Non-Durables | (4.1 | ) | (281,656,147 | ) | ||||
Finance | (5.5 | ) | (376,958,080 | ) | ||||
Technology | (7.3 | ) | (498,596,902 | ) | ||||
Consumer Services | (8.5 | ) | (577,881,845 | ) | ||||
WRITTEN OPTIONS | (0.3 | ) | (21,656,223 | ) | ||||
OTHER ASSETS IN EXCESS OF LIABILITIES | 49.20 | 3,354,686,821 | ||||||
|
|
|
| |||||
NET ASSETS | 100.0 | % | $ | 6,815,833,385 | ||||
|
|
|
|
Portfolio holdings are subject to change at any time.
BOSTON PARTNERS
ALL-CAP VALUE FUND
Security Type/Sector Classification | % of Net Assets | Value | ||||||
COMMON STOCK | ||||||||
Finance | 27.2 | % | $ | 308,561,361 | ||||
Technology | 19.5 | 221,224,927 | ||||||
Health Care | 17.3 | 196,032,404 | ||||||
Capital Goods | 8.9 | 101,194,618 | ||||||
Consumer Services | 7.7 | 87,103,119 | ||||||
Energy | 5.9 | 66,526,093 | ||||||
Consumer Non-Durables | 3.5 | 40,103,761 | ||||||
Consumer Durables | 1.7 | 19,618,157 | ||||||
Basic Industries | 1.7 | 19,449,798 | ||||||
Communications | 1.5 | 16,456,197 | ||||||
Transportation | 0.4 | 4,102,512 | ||||||
Real Estate Investment Trusts | 0.0 | — | ||||||
SECURITIES LENDING COLLATERAL | 0.8 | 9,637,947 | ||||||
RIGHTS | 0.0 | — | ||||||
WRITTEN OPTIONS | 0.0 | (230,572 | ) | |||||
OTHER ASSETS IN EXCESS OF LIABILITIES | 3.9 | 44,117,409 | ||||||
|
|
|
| |||||
NET ASSETS | 100.0 | % | $ | 1,133,897,731 | ||||
|
|
|
|
Portfolio holdings are subject to change at any time.
THEACCOMPANYINGNOTESAREANINTEGRALPARTOFTHEFINANCIALSTATEMENTS.
6 | SEMI-ANNUAL REPORT 2016 |
BOSTON PARTNERS INVESTMENT FUNDS | FEBRUARY 29, 2016 |
PORTFOLIO HOLDINGS SUMMARY TABLES (unaudited) (concluded) |
WPG PARTNERS SMALL/MICRO CAP VALUE FUND
Security Type/Sector Classification | % of Net Assets | Value | ||||||
COMMON STOCK | ||||||||
Finance | 28.8 | % | $ | 8,651,318 | ||||
Real Estate Investment Trusts | 13.4 | 4,032,251 | ||||||
Capital Goods | 11.5 | 3,455,028 | ||||||
Technology | 10.0 | 3,011,362 | ||||||
Consumer Services | 8.9 | 2,674,219 | ||||||
Utilities | 4.9 | 1,467,020 | ||||||
Energy | 4.5 | 1,341,384 | ||||||
Health Care | 4.4 | 1,327,474 | ||||||
Transportation | 4.2 | 1,249,610 | ||||||
Consumer Non-Durables | 3.7 | 1,093,355 | ||||||
Consumer Durables | 2.4 | 703,449 | ||||||
Mining & Metals | 0.9 | 255,840 | ||||||
Basic Industries | 0.5 | 160,920 | ||||||
Communications | 0.5 | 146,916 | ||||||
SECURITIES LENDING COLLATERAL | 12.0 | 3,603,159 | ||||||
LIABILITIES IN EXCESS OF OTHER ASSETS | (10.6 | ) | (3,175,763 | ) | ||||
|
|
|
| |||||
NET ASSETS | 100.0 | % | $ | 29,997,542 | ||||
|
|
|
|
Portfolio holdings are subject to change at any time.
BOSTON PARTNERS
EMERGING MARKETS LONG/SHORT FUND
Security Type/Sector Classification | % of Net Assets | Value | ||||||
COMMON STOCK | ||||||||
Information Technology | 19.6 | % | $ | 547,323 | ||||
Financials | 10.4 | 291,178 | ||||||
Consumer Discretionary | 7.3 | 202,215 | ||||||
Telecommunication Services | 4.1 | 114,414 | ||||||
Energy | 2.0 | 54,604 | ||||||
Materials | 1.8 | 51,346 | ||||||
Consumer Staples | 1.3 | 36,226 | ||||||
Industrials | 0.8 | 21,318 | ||||||
Utilities | 0.6 | 17,302 | ||||||
EXCHANGE TRADED FUND | 3.6 | 100,956 | ||||||
PREFERRED STOCK | 0.6 | 16,771 | ||||||
SECURITIES SOLD SHORT | ||||||||
Industrials | (0.3 | ) | (7,520 | ) | ||||
Consumer Discretionary | (0.3 | ) | (8,642 | ) | ||||
Information Technology | (0.4 | ) | (10,759 | ) | ||||
Consumer Staples | (0.6 | ) | (15,916 | ) | ||||
Financials | (1.7 | ) | (48,735 | ) | ||||
RIGHTS | — | (4 | ) | |||||
OTHER ASSETS IN EXCESS OF LIABILITIES | 51.2 | 1,427,783 | ||||||
|
|
|
| |||||
NET ASSETS | 100.0 | % | $ | 2,789,860 | ||||
|
|
|
|
Portfolio holdings are subject to change at any time.
BOSTON PARTNERS
GLOBAL LONG/SHORT FUND
Security Type/Sector Classification | % of Net Assets | Value | ||||||
COMMON STOCK | ||||||||
Consumer Discretionary | 15.8 | % | $ | 109,491,220 | ||||
Financials | 14.4 | 99,679,004 | ||||||
Industrials | 13.9 | 96,397,326 | ||||||
Health Care | 12.0 | 82,998,601 | ||||||
Information Technology | 11.0 | 76,270,845 | ||||||
Consumer Staples | 8.2 | 56,601,445 | ||||||
Energy | 7.5 | 51,461,405 | ||||||
Materials | 6.6 | 45,374,414 | ||||||
Technology | 1.8 | 12,672,341 | ||||||
Telecommunication Services | 1.2 | 8,608,275 | ||||||
Basic Industries | 1.0 | 6,850,312 | ||||||
Consumer Services | 0.7 | 5,031,775 | ||||||
Consumer Non-Durables | 0.3 | 2,262,695 | ||||||
Communications | 0.2 | 1,150,268 | ||||||
WARRANTS | 0.0 | 2,563 | ||||||
OPTIONS PURCHASED | 0.1 | 536,938 | ||||||
SECURITIES SOLD SHORT | ||||||||
Consumer Non-Durables | (0.4 | ) | (2,838,308 | ) | ||||
Telecommunication Services | (0.8 | ) | (5,821,866 | ) | ||||
Capital Goods | (1.5 | ) | (10,591,863 | ) | ||||
Energy | (3.4 | ) | (23,457,969 | ) | ||||
Consumer Staples | (2.8 | ) | (19,314,105 | ) | ||||
Materials | (4.2 | ) | (29,308,143 | ) | ||||
Health Care | (5.8 | ) | (40,307,538 | ) | ||||
Financials | (6.4 | ) | (43,988,662 | ) | ||||
Information Technology | (7.5 | ) | (51,912,704 | ) | ||||
Industrials | (9.8 | ) | (68,100,588 | ) | ||||
Consumer Discretionary | (13.2 | ) | (90,573,450 | ) | ||||
WRITTEN OPTIONS | (0.5 | ) | (3,314,379 | ) | ||||
OTHER ASSETS IN EXCESS OF LIABILITIES | 61.6 | 425,974,042 | ||||||
|
|
|
| |||||
NET ASSETS | 100.0 | % | $ | 691,833,894 | ||||
|
|
|
|
Portfolio holdings are subject to change at any time.
BOSTON PARTNERS
GLOBAL EQUITY FUND
Security Type/Sector Classification | % of Net Assets | Value | ||||||
COMMON STOCK | ||||||||
Finance | 17.2 | % | $ | 58,279,988 | ||||
Industrial | 15.2 | 51,487,794 | ||||||
Information Technology | 14.6 | 49,428,055 | ||||||
Consumer Discretionary | 11.9 | 40,212,851 | ||||||
Health Care | 11.9 | 40,203,014 | ||||||
Materials | 8.1 | 27,231,301 | ||||||
Consumer Staples | 7.3 | 24,546,819 | ||||||
Energy | 5.5 | 18,662,847 | ||||||
Telecommunications Services | 1.5 | 5,086,750 | ||||||
PREFERRED STOCK | 0.5 | 1,558,148 | ||||||
WRITTEN OPTIONS | (0.2 | ) | (824,335 | ) | ||||
OTHER ASSETS IN EXCESS OF LIABILITIES | 6.5 | 22,134,887 | ||||||
|
|
|
| |||||
NET ASSETS | 100.0 | % | $ | 338,008,119 | ||||
|
|
|
|
Portfolio holdings are subject to change at any time.
THEACCOMPANYINGNOTESAREANINTEGRALPARTOFTHEFINANCIALSTATEMENTS.
SEMI-ANNUAL REPORT 2016 | 7 |
BOSTON PARTNERS INVESTMENT FUNDS | FEBRUARY 29, 2016 (unaudited) |
BOSTON PARTNERS SMALL CAP VALUE FUND II | PORTFOLIOOF INVESTMENTS |
Number of Shares | Value | |||||||
COMMON STOCK—96.5% | ||||||||
Basic Industries—4.7% | ||||||||
Graphic Packaging Holding Co. | 320,342 | $ | 3,949,817 | |||||
Innophos Holdings Inc. | 58,172 | 1,685,825 | ||||||
Multi Packaging Solutions International Ltd. * | 84,992 | 1,303,777 | ||||||
Orchids Paper Products Co. | 78,232 | 2,152,945 | ||||||
PolyOne Corp. | 24,836 | 668,337 | ||||||
Schweitzer-Mauduit International, Inc. | 64,648 | 1,953,662 | ||||||
Sensient Technologies Corp. | 15,523 | 892,262 | ||||||
Steel Dynamics, Inc. | 118,918 | 2,163,118 | ||||||
|
| |||||||
14,769,743 | ||||||||
|
| |||||||
Capital Goods—13.5% | ||||||||
Aegion Corp. * | 92,345 | 1,672,368 | ||||||
Ampco-Pittsburgh Corp. | 27,156 | 326,144 | ||||||
BMC Stock Holdings Inc. * | 128,281 | 1,956,285 | ||||||
Cabot Corp. | 43,274 | 1,926,991 | ||||||
CECO Environmental Corp. | 131,649 | 817,540 | ||||||
Cubic Corp. | 79,811 | 2,804,559 | ||||||
Curtiss-Wright Corp. | 30,234 | 2,134,218 | ||||||
Drew Industries, Inc. | 77,986 | 4,693,977 | ||||||
Ferroglobe PLC | 133,177 | 1,046,771 | ||||||
Granite Construction, Inc. | 52,368 | 2,170,654 | ||||||
Hillenbrand, Inc. | 34,318 | 965,022 | ||||||
Minerals Technologies, Inc. | 47,909 | 2,434,735 | ||||||
Olin Corp. | 94,054 | 1,425,859 | ||||||
Orion Marine Group, Inc. * | 200,630 | 720,262 | ||||||
Rofin-Sinar Technologies, Inc. * | 41,981 | 937,856 | ||||||
Terex Corp. | 146,783 | 3,285,003 | ||||||
Tutor Perini Corp. * | 76,914 | 1,027,571 | ||||||
WESCO International, Inc. * (a) | 110,868 | 4,883,735 | ||||||
World Fuel Services Corp. | 156,576 | 7,329,322 | ||||||
|
| |||||||
42,558,872 | ||||||||
|
| |||||||
Consumer Durables—2.6% | ||||||||
Strattec Security Corp. | 14,028 | 721,600 | ||||||
Thor Industries, Inc. | 67,013 | 3,711,180 | ||||||
Tower International, Inc. | 100,690 | 2,160,807 | ||||||
Winnebago Industries, Inc. (a) | 86,231 | 1,615,107 | ||||||
|
| |||||||
8,208,694 | ||||||||
|
| |||||||
Consumer Non-Durables—2.2% | ||||||||
Nu Skin Enterprises, Inc., Class A (a) | 47,910 | 1,460,776 | ||||||
Steven Madden Ltd. * | 105,454 | 3,711,981 | ||||||
Universal Corp. (a) | 31,027 | 1,690,351 | ||||||
|
| |||||||
6,863,108 | ||||||||
|
| |||||||
Consumer Services—17.5% | ||||||||
ABM Industries, Inc. | 89,015 | 2,795,071 | ||||||
American Eagle Outfitters, Inc. (a) | 155,220 | 2,368,657 | ||||||
Ascena Retail Group, Inc. * | 100,573 | 849,842 | ||||||
Barnes & Noble Education, Inc * | 106,841 | 1,141,062 | ||||||
Booz Allen Hamilton Holding Corp. | 80,165 | 2,212,554 | ||||||
Brink’s Co., (The) | 33,085 | 967,736 | ||||||
CBIZ, Inc. * | 92,197 | 977,288 | ||||||
Civeo Corp. * | 329,264 | 293,078 |
Number of Shares | Value | |||||||
Consumer Services—(continued) |
| |||||||
Clubcorp Holdings, Inc. | 95,463 | $ | 1,266,794 | |||||
Ennis, Inc. | 36,758 | 725,603 | ||||||
Finish Line, Inc., (The), Class A | 190,388 | 3,468,869 | ||||||
FTD Cos., Inc. * | 72,235 | 1,679,464 | ||||||
FTI Consulting, Inc. * | 57,734 | 1,900,026 | ||||||
G&K Services, Inc., Class A | 31,037 | 2,057,753 | ||||||
Group 1 Automotive, Inc. | 30,858 | 1,720,642 | ||||||
Heidrick & Struggles International, Inc. | 66,850 | 1,570,307 | ||||||
Hibbett Sports, Inc. * (a) | 32,149 | 1,141,290 | ||||||
ICF International, Inc. * | 47,899 | 1,618,028 | ||||||
International Speedway Corp., Class A | 48,528 | 1,673,731 | ||||||
KAR Auction Services, Inc. | 59,648 | 2,112,136 | ||||||
Knoll, Inc. | 80,792 | 1,543,127 | ||||||
Korn/Ferry International | 31,700 | 900,914 | ||||||
Live Nation Entertainment, Inc. * | 41,226 | 906,560 | ||||||
MAXIMUS, Inc. | 40,371 | 1,985,042 | ||||||
Navigant Consulting, Inc. * | 208,510 | 3,165,182 | ||||||
Papa Murphy’s Holdings, Inc. * (a) | 206,616 | 2,237,651 | ||||||
Rent-A-Center, Inc. | 53,448 | 682,531 | ||||||
RPX Corp. * | 179,508 | 1,778,924 | ||||||
Starz, Class A * | 89,875 | 2,263,951 | ||||||
Tailored Brands Inc. | 191,793 | 2,961,284 | ||||||
Tetra Tech, Inc. | 87,929 | 2,420,685 | ||||||
Viad Corp. | 25,188 | 714,332 | ||||||
XO Group, Inc. * | 73,434 | 1,048,637 | ||||||
|
| |||||||
55,148,751 | ||||||||
|
| |||||||
Energy—3.5% | ||||||||
Bristow Group, Inc. | 131,565 | 2,001,104 | ||||||
Dril-Quip, Inc. * | 16,751 | 908,742 | ||||||
Forum Energy Technologies, Inc. * | 75,114 | 883,341 | ||||||
Parsley Energy, Inc., Class A * | 168,142 | 3,090,450 | ||||||
RSP Permian, Inc. * | 127,060 | 3,038,005 | ||||||
Western Refining, Inc. | 40,876 | 1,090,163 | ||||||
|
| |||||||
11,011,805 | ||||||||
|
| |||||||
Finance—23.5% | ||||||||
Air Lease Corp. | 122,477 | 3,680,434 | ||||||
Ameris Bancorp | 40,606 | 1,095,956 | ||||||
AMERISAFE, Inc. | 31,788 | 1,637,082 | ||||||
Assured Guaranty Ltd. | 75,015 | 1,861,122 | ||||||
BBCN Bancorp, Inc. | 94,993 | 1,359,350 | ||||||
CenterState Banks, Inc. | 94,091 | 1,317,274 | ||||||
Columbia Banking System, Inc. | 18,952 | 546,386 | ||||||
Essent Group Ltd. * | 208,492 | 4,013,471 | ||||||
Federal Agricultural Mortgage Corp., Class C | 99,035 | 3,213,686 | ||||||
Fifth Street Finance Corp. | 159,010 | 787,100 | ||||||
First American Financial Corp. | 154,819 | 5,732,948 | ||||||
First Cash Financial Services, Inc. | 54,099 | 2,281,355 | ||||||
First Citizens BancShares, Inc., Class A | 5,669 | 1,327,283 | ||||||
First NBC Bank Holding Co. * | 57,390 | 1,353,256 | ||||||
FirstMerit Corp. | 109,043 | 2,140,514 | ||||||
Flushing Financial Corp. | 46,154 | 953,080 | ||||||
Gladstone Capital Corp. (a) | 26,415 | 180,150 | ||||||
Global Indemnity PLC * | 24,527 | 688,228 |
THEACCOMPANYINGNOTESAREANINTEGRALPARTOFTHEFINANCIALSTATEMENTS.
8 | SEMI-ANNUAL REPORT 2016 |
BOSTON PARTNERS INVESTMENT FUNDS | FEBRUARY 29, 2016 (unaudited) |
BOSTON PARTNERS SMALL CAP VALUE FUND II (continued) | PORTFOLIOOF INVESTMENTS |
Number of Shares | Value | |||||||
Finance—(continued) | ||||||||
Heritage Financial Corp. | 59,371 | $ | 1,035,430 | |||||
Infinity Property & Casualty Corp. | 19,233 | 1,437,859 | ||||||
James Rivers Group Holdings, Ltd. | 71,497 | 2,089,857 | ||||||
Maiden Holdings Ltd. (a) | 276,265 | 3,306,892 | ||||||
Nationstar Mortgage Holdings, Inc. * (a) | 133,688 | 1,580,192 | ||||||
Navient Corp. | 219,503 | 2,377,217 | ||||||
Navigators Group, Inc., (The) * | 15,324 | 1,240,938 | ||||||
Nelnet, Inc., Class A | 101,700 | 3,823,920 | ||||||
OneBeacon Insurance Group Ltd., Class A | 106,354 | 1,373,030 | ||||||
Park Sterling Corp. | 75,297 | 469,100 | ||||||
PHH Corp. * | 58,388 | 529,579 | ||||||
Radian Group, Inc. | 246,830 | 2,665,764 | ||||||
Safety Insurance Group, Inc. | 17,370 | 960,735 | ||||||
Silvercrest Asset Management Group, Inc., Class A | 137,966 | 1,506,589 | ||||||
SLM Corp. * | 805,303 | 4,702,969 | ||||||
StanCorp Financial Group, Inc. | 24,031 | 2,761,162 | ||||||
Stewart Information Services Corp. | 94,055 | 3,174,356 | ||||||
Walker & Dunlop, Inc. * | 160,442 | 3,709,419 | ||||||
Washington Federal, Inc. | 49,294 | 1,044,540 | ||||||
|
| |||||||
73,958,223 | ||||||||
|
| |||||||
Health Care—8.8% | ||||||||
Amsurg Corp. * | 36,364 | 2,474,570 | ||||||
Chemed Corp. | 28,511 | 3,663,664 | ||||||
Hanger, Inc. * | 76,764 | 191,142 | ||||||
ICON PLC * | 39,191 | 2,788,832 | ||||||
Integra LifeSciences Holdings Corp. * | 50,967 | 3,127,335 | ||||||
Kindred Healthcare, Inc. | 142,684 | 1,499,609 | ||||||
LHC Group, Inc. * | 29,717 | 1,058,817 | ||||||
LifePoint Health, Inc. * | 25,930 | 1,616,995 | ||||||
Owens & Minor, Inc. | 45,794 | 1,804,742 | ||||||
PAREXEL International Corp. * | 38,396 | 2,253,461 | ||||||
SeaSpine Holdings Corp. * | 16,991 | 214,087 | ||||||
Select Medical Holdings Corp. | 153,752 | 1,505,232 | ||||||
Symmetry Surgical, Inc. * | 222,597 | 2,123,575 | ||||||
U.S. Physical Therapy, Inc. | 65,001 | 3,294,901 | ||||||
|
| |||||||
27,616,962 | ||||||||
|
| |||||||
Real Estate Investment Trusts—7.9% |
| |||||||
Altisource Residential Corp. (a) | 44,539 | 417,776 | ||||||
American Capital Mortgage Investment Corp. | 50,468 | 697,468 | ||||||
American Residential Properties, Inc. | 124,215 | 1,973,776 | ||||||
Anworth Mortgage Asset Corp. | 211,726 | 995,112 | ||||||
Ares Commercial Real Estate Corp. | 185,899 | 1,812,515 | ||||||
Chatham Lodging Trust | 100,928 | 2,024,616 | ||||||
Colony Capital, Inc., Class A | 38,407 | 629,875 | ||||||
CYS Investments, Inc. | 376,437 | 2,951,266 | ||||||
Gladstone Commercial Corp. | 31,082 | 462,500 | ||||||
Hatteras Financial Corp. | 159,361 | 2,191,214 | ||||||
LaSalle Hotel Properties | 66,309 | 1,614,624 |
Number of Shares | Value | |||||||
Real Estate Investment Trusts—(continued) |
| |||||||
MFA Financial, Inc. | 495,631 | $ | 3,375,247 | |||||
Monmouth Real Estate Investment Corp. | 121,485 | 1,346,054 | ||||||
Silver Bay Realty Trust Corp. | 71,888 | 988,460 | ||||||
Two Harbors Investment Corp. | 453,046 | 3,511,106 | ||||||
|
| |||||||
24,991,609 | ||||||||
|
| |||||||
Technology—10.3% |
| |||||||
Bel Fuse, Inc., Class B | 97,757 | 1,451,691 | ||||||
Belden, Inc. | 69,468 | 3,804,762 | ||||||
Brooks Automation, Inc. | 160,741 | 1,567,225 | ||||||
Coherent, Inc. * | 25,984 | 2,198,246 | ||||||
Convergys Corp. | 46,611 | 1,201,632 | ||||||
EnerSys | 82,052 | 4,214,191 | ||||||
Insight Enterprises, Inc. * | 33,659 | 878,500 | ||||||
Magnachip Semiconductor Corp. * (a) | 73,244 | 383,066 | ||||||
NETGEAR, Inc. * | 49,761 | 1,966,057 | ||||||
PC Connection, Inc. | 22,388 | 554,551 | ||||||
Sykes Enterprises, Inc. * | 141,470 | 4,310,591 | ||||||
SYNNEX Corp. | 60,397 | 5,679,130 | ||||||
TeleTech Holdings, Inc. | 121,049 | 3,353,057 | ||||||
Teradyne, Inc. | 47,630 | 908,780 | ||||||
|
| |||||||
32,471,479 | ||||||||
|
| |||||||
Transportation—1.2% |
| |||||||
Landstar System, Inc. | 14,799 | 876,101 | ||||||
Virgin America, Inc. * (a) | 93,645 | 2,920,787 | ||||||
|
| |||||||
3,796,888 | ||||||||
|
| |||||||
Utilities—0.8% |
| |||||||
PNM Resources, Inc. | 59,669 | 1,904,634 | ||||||
Pure Cycle Corp. * | 146,179 | 678,271 | ||||||
|
| |||||||
2,582,905 | ||||||||
|
| |||||||
TOTAL COMMON STOCK (Cost $281,185,919) | 303,979,039 | |||||||
|
| |||||||
SECURITIES LENDING COLLATERAL—4.7% |
| |||||||
BlackRock Liquidity TempFund, Institutional Shares | 14,781,094 | 14,781,094 | ||||||
|
| |||||||
TOTAL SECURITIES LENDING COLLATERAL | 14,781,094 | |||||||
|
| |||||||
TOTAL INVESTMENTS—101.2% (Cost $295,967,013) | 318,760,133 | |||||||
|
| |||||||
LIABILITIES IN EXCESS OF OTHER ASSETS—(1.2)% | (3,800,760 | ) | ||||||
|
| |||||||
NET ASSETS—100.0% | $ | 314,959,373 | ||||||
|
|
PLC | — | Public Limited Company | ||
* | — | Non-income producing. | ||
(a) | — | All or a portion of the security is on loan. At February 29, 2016, the market value of securities on loan was $14,395,163. |
THEACCOMPANYINGNOTESAREANINTEGRALPARTOFTHEFINANCIALSTATEMENTS.
SEMI-ANNUAL REPORT 2016 | 9 |
BOSTON PARTNERS INVESTMENT FUNDS | FEBRUARY 29, 2016 (unaudited) |
BOSTON PARTNERS SMALL CAP VALUE FUND II (concluded) | PORTFOLIOOF INVESTMENTS |
A summary of the inputs used to value the Fund’s investments as of February 29, 2016 is as follows (see Note 1 in the Notes to Financial Statements):
Total Value as of February 29, 2016 | Level 1 Quoted Price | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |||||||||||||
Common Stock * | $ | 303,979,039 | $ | 303,979,039 | $ | — | $ | — | ||||||||
Securities Lending Collateral | 14,781,094 | 14,781,094 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Assets | $ | 318,760,133 | $ | 318,760,133 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
|
* | See Portfolio of Investments detail for industry and security type breakout. |
THEACCOMPANYINGNOTESAREANINTEGRALPARTOFTHEFINANCIALSTATEMENTS.
10 | SEMI-ANNUAL REPORT 2016 |
BOSTON PARTNERS INVESTMENT FUNDS | FEBRUARY 29, 2016 (unaudited) |
BOSTON PARTNERS LONG/SHORT EQUITY FUND | PORTFOLIOOF INVESTMENTS |
Number of Shares | Value | |||||||
LONG POSITIONS—101.6% | ||||||||
COMMON STOCK—96.3% | ||||||||
Basic Industries—8.0% | ||||||||
AgroFresh Solutions, Inc. * (a) | 322,787 | $ | 1,578,429 | |||||
Alcoa, Inc. (a) | 242,691 | 2,167,231 | ||||||
American Vanguard Corp. | 140,650 | 1,773,597 | ||||||
CF Industries Holdings, Inc. | 53,720 | 1,958,631 | ||||||
Compass Minerals International, Inc. | 39,794 | 2,699,625 | ||||||
Crown Holdings, Inc. * | 48,219 | 2,259,060 | ||||||
Dominion Diamond Corp. | 153,313 | 1,608,253 | ||||||
Eastman Chemical Co. † | 36,298 | 2,328,517 | ||||||
Freeport-McMoRan Copper & Gold, Inc. (a) | 338,851 | 2,585,433 | ||||||
Goldcorp, Inc. | 101,541 | 1,454,067 | ||||||
International Paper Co. | 77,249 | 2,757,789 | ||||||
KapStone Paper and Packaging Corp. | 76,706 | 785,469 | ||||||
Monsanto Co. † | 24,669 | 2,219,963 | ||||||
Mosaic Co., (The) | 90,441 | 2,410,253 | ||||||
Pan American Silver Corp. | 144,531 | 1,386,052 | ||||||
POSCO — ADR | 43,285 | 1,747,415 | ||||||
Potash Corp. of Saskatchewan, Inc. | 149,094 | 2,525,652 | ||||||
Praxair, Inc. | 34,638 | 3,525,802 | ||||||
Reliance Steel & Aluminum Co. † | 53,774 | 3,274,299 | ||||||
Rio Tinto PLC — ADR (a) | 110,654 | 2,888,069 | ||||||
Silver Wheaton Corp. | 98,890 | 1,555,540 | ||||||
UFP Technologies, Inc. * † | 151,884 | 3,397,645 | ||||||
Universal Stainless & Alloy Products, Inc. * | 71,555 | 570,293 | ||||||
US Silica Holdings, Inc. | 102,765 | 1,972,060 | ||||||
|
| |||||||
51,429,144 | ||||||||
|
| |||||||
Capital Goods—8.5% | ||||||||
Actuant Corp., Class A † | 158,188 | 3,703,181 | ||||||
AECOM Technology Corp. * | 119,905 | 3,292,591 | ||||||
Aerojet Rocketdyne Holdings, Inc. * | 110,149 | 1,710,614 | ||||||
Alamo Group, Inc. | 45,131 | 2,341,848 | ||||||
Ampco-Pittsburgh Corp. | 79,244 | 951,721 | ||||||
Caterpillar, Inc. | 43,306 | 2,931,816 | ||||||
CECO Environmental Corp. | 204,526 | 1,270,107 | ||||||
Chicago Bridge & Iron Co. NV (a) † | 78,159 | 2,621,453 | ||||||
Colfax Corp. * (a) | 96,861 | 2,451,552 | ||||||
Crane Co. † | 33,627 | 1,649,404 | ||||||
Esterline Technologies Corp. * † | 52,832 | 2,959,120 | ||||||
Fluor Corp. † | 77,732 | 3,578,781 | ||||||
Global Brass & Copper Holdings, Inc. | 82,307 | 1,814,046 | ||||||
Graham Corp. | 100,042 | 1,837,772 | ||||||
Jacobs Engineering Group, Inc. * | 54,294 | 2,098,463 | ||||||
KEYW Holding Corp., (The) * | 226,904 | 1,413,612 | ||||||
NCI Building Systems, Inc. * | 184,116 | 2,014,229 | ||||||
NOW, Inc. * | 35,223 | 569,908 | ||||||
Preformed Line Products Co. † | 47,219 | 1,544,061 | ||||||
Raven Industries, Inc. | 129,518 | 1,979,035 | ||||||
Safran SA — ADR (a) | 156,067 | 2,401,871 |
Number of Shares | Value | |||||||
Capital Goods—(continued) | ||||||||
United Technologies Corp. | 41,497 | $ | 4,009,440 | |||||
WESCO International, Inc. * (a) | 45,679 | 2,012,160 | ||||||
World Fuel Services Corp. † | 73,524 | 3,441,658 | ||||||
|
| |||||||
54,598,443 | ||||||||
|
| |||||||
Communications—2.4% | ||||||||
Alaska Communications Systems Group, Inc. * | 711,135 | 1,144,927 | ||||||
Cablevision Systems Corp., Class A | 59,201 | 1,925,809 | ||||||
GoldMoney, Inc. * | 592,564 | 2,146,019 | ||||||
Hawaiian Telcom Holdco, Inc. * | 64,274 | 1,544,504 | ||||||
Iridium Communications, Inc. * (a) | 190,948 | 1,323,270 | ||||||
Liberty Global PLC, Series C * | 76,452 | 2,749,214 | ||||||
Marchex, Inc., Class B | 140,902 | 604,470 | ||||||
Verisign, Inc * (a) | 49,492 | 4,181,579 | ||||||
|
| |||||||
15,619,792 | ||||||||
|
| |||||||
Consumer Durables—0.6% | ||||||||
CLARCOR Inc. | 40,093 | 1,930,077 | ||||||
Helen of Troy Ltd. * | 19,845 | 1,892,419 | ||||||
|
| |||||||
3,822,496 | ||||||||
|
| |||||||
Consumer Non-Durables—6.5% | ||||||||
Amira Nature Foods Ltd. * (a) | 111,812 | 1,423,367 | ||||||
Caleres, Inc. | 105,686 | 2,995,141 | ||||||
Coca-Cola Co., (The) | 73,612 | 3,174,886 | ||||||
Johnson Outdoors, Inc., Class A | 73,183 | 1,604,903 | ||||||
Kraft Heinz Co., (The) | 43,180 | 3,325,724 | ||||||
Leucadia National Corp. † | 225,208 | 3,254,256 | ||||||
Michael Kors Holdings Ltd. * | 60,072 | 3,403,079 | ||||||
Performance Sports Group, Ltd. * | 304,329 | 2,312,900 | ||||||
Procter & Gamble Co. | 83,822 | 6,730,068 | ||||||
Ralph Lauren Corp. | 43,015 | 3,904,041 | ||||||
Tumi Holdings, Inc. * | 135,358 | 2,673,321 | ||||||
Tupperware Brands Corp. | 50,841 | 2,540,016 | ||||||
Unilever NV † | 103,663 | 4,417,080 | ||||||
|
| |||||||
41,758,782 | ||||||||
|
| |||||||
Consumer Services—12.0% | ||||||||
Amaya, Inc * | 163,959 | 2,371,528 | ||||||
Atento SA * | 171,663 | 1,426,520 | ||||||
CarMax, Inc. * (a) | 41,029 | 1,898,002 | ||||||
CDI Corp. | 228,155 | 1,113,396 | ||||||
Cenveo, Inc. * | 557,114 | 211,703 | ||||||
Christopher & Banks Corp. * | 192,106 | 270,869 | ||||||
Civeo Corp. * | 518,140 | 461,196 | ||||||
Ctrip.com International Ltd. — ADR * | 30,962 | 1,266,965 | ||||||
CVS Health Corp. | 57,158 | 5,554,043 | ||||||
Deluxe Corp. | 51,933 | 2,981,474 | ||||||
Discovery Communications, Inc. * † | 145,691 | 3,591,283 | ||||||
DSW, Inc., Class A | 120,597 | 3,159,641 | ||||||
Eros International PLC * (a) | 239,188 | 1,911,112 | ||||||
Fogo De Chao, Inc. * (a) | 30,000 | 480,000 | ||||||
Genesco, Inc. * † | 37,637 | 2,483,289 | ||||||
H&R Block, Inc. † | 80,823 | 2,657,460 |
THEACCOMPANYINGNOTESAREANINTEGRALPARTOFTHEFINANCIALSTATEMENTS.
SEMI-ANNUAL REPORT 2016 | 11 |
BOSTON PARTNERS INVESTMENT FUNDS | FEBRUARY 29, 2016 (unaudited) |
BOSTON PARTNERS LONG/SHORT EQUITY FUND (continued) | PORTFOLIOOF INVESTMENTS |
Number of Shares | Value | |||||||
Consumer Services—(continued) | ||||||||
ICF International, Inc. * | 51,201 | $ | 1,729,570 | |||||
International Game Technology PLC | 104,356 | 1,542,382 | ||||||
International Speedway Corp., Class A | 48,061 | 1,657,624 | ||||||
Landauer, Inc. | 115,676 | 3,362,701 | ||||||
Liberty Interactive Corp., Class A * † | 112,899 | 2,865,377 | ||||||
Liberty Ventures, Series A * † | 17,109 | 627,729 | ||||||
Markit Ltd. * | 52,311 | 1,455,292 | ||||||
McDonald’s Corp. | 19,777 | 2,317,667 | ||||||
New Oriental Education & Technology Group, Inc. — Sponsored ADR † | 80,903 | 2,518,510 | ||||||
PRGX Global, Inc. * | 158,368 | 573,292 | ||||||
Realogy Holdings Corp. * † | 121,159 | 3,873,453 | ||||||
Scripps Networks Interactive, Inc., Class A | 53,495 | 3,169,044 | ||||||
Speedway Motorsports, Inc. † | 93,121 | 1,696,665 | ||||||
Tetra Tech, Inc. | 57,022 | 1,569,816 | ||||||
Tiffany & Co. | 26,891 | 1,747,377 | ||||||
Time Warner, Inc. † | 95,420 | 6,316,804 | ||||||
Tropicana Entertainment, Inc. * (a) | 88,833 | 1,421,328 | ||||||
Tuesday Morning Corp. * | 175,232 | 1,179,311 | ||||||
Walgreens Boots Alliance, Inc. | 44,552 | 3,516,935 | ||||||
Wyndham Worldwide Corp. | 29,399 | 2,141,423 | ||||||
|
| |||||||
77,120,781 | ||||||||
|
| |||||||
Energy—9.4% | ||||||||
Alerian MLP ETF (a) | 391,005 | 3,956,971 | ||||||
Bristow Group, Inc. | 53,839 | 818,891 | ||||||
California Resources Corp. | 7,080 | 3,980 | ||||||
Canadian Natural Resources Ltd. † | 84,274 | 1,757,956 | ||||||
Core Laboratories NV (a) | 20,480 | 2,149,171 | ||||||
Dawson Geophysical Co. * | 536,061 | 1,827,968 | ||||||
Energen Corp. | 94,539 | 2,503,393 | ||||||
EOG Resources, Inc. | 60,496 | 3,916,511 | ||||||
EQT Corp. | 93,305 | 5,200,821 | ||||||
Exxon Mobil Corp. | 95,014 | 7,615,372 | ||||||
Furmanite Corp. * | 94,256 | 525,948 | ||||||
Gazprom OAO — Sponsored ADR | 275,891 | 1,009,761 | ||||||
Gulf Island Fabrication, Inc. | 60,281 | 537,104 | ||||||
Halliburton Co. † | 60,311 | 1,946,839 | ||||||
Kosmos Energy Ltd. * | 332,326 | 1,621,751 | ||||||
Lukoil PJSC — Sponsored ADR | 24,080 | 854,599 | ||||||
Mitcham Industries, Inc. * | 318,075 | 1,046,467 | ||||||
Occidental Petroleum Corp. | 75,631 | 5,204,925 | ||||||
Parsley Energy, Inc., Class A * † | 124,031 | 2,279,690 | ||||||
Phillips 66 | 56,543 | 4,488,949 | ||||||
Rice Energy, Inc. * | 65,688 | 601,702 | ||||||
Schlumberger Ltd. | 54,049 | 3,876,394 | ||||||
Suncor Energy, Inc. † | 111,292 | 2,724,428 | ||||||
TransGlobe Energy Corp. | 304,291 | 438,179 | ||||||
Valero Energy Corp. | 61,111 | 3,671,549 | ||||||
|
| |||||||
60,579,319 | ||||||||
|
|
Number of Shares | Value | |||||||
Finance—21.2% | ||||||||
AerCap Holdings NV * † | 113,451 | $ | 4,053,604 | |||||
Ally Financial, Inc. * | 126,328 | 2,220,846 | ||||||
American International Group, Inc. † | 83,773 | 4,205,405 | ||||||
Aspen Insurance Holdings Ltd. † | 71,095 | 3,177,236 | ||||||
Axis Capital Holdings Ltd. † | 42,988 | 2,308,886 | ||||||
Bank of America Corp. † | 426,950 | 5,345,414 | ||||||
Berkshire Hathaway, Inc., Class B * † | 80,861 | 10,849,120 | ||||||
BGC Partners Inc., Class A | 146,825 | 1,268,568 | ||||||
Boulevard Acquisition, Corp II * | 227,000 | 2,224,600 | ||||||
Century Bancorp, Inc., Class A † | 33,518 | 1,322,285 | ||||||
Charles Schwab Corp., (The) | 134,296 | 3,364,115 | ||||||
Chubb Ltd. † | 46,410 | 5,361,747 | ||||||
Citigroup, Inc. | 150,765 | 5,857,220 | ||||||
CNinsure, Inc. — ADR * | 72,541 | 523,383 | ||||||
CNO Financial Group, Inc. | 114,732 | 1,999,779 | ||||||
Discover Financial Services | 69,126 | 3,208,829 | ||||||
East West Bancorp, Inc. | 107,224 | 3,213,503 | ||||||
Endurance Specialty Holdings, Ltd. † | 78,474 | 4,886,576 | ||||||
Ezcorp, Inc., Class A * | 340,342 | 986,992 | ||||||
Flushing Financial Corp. † | 88,546 | 1,828,475 | ||||||
Goldman Sachs Group, Inc., (The) | 16,932 | 2,531,842 | ||||||
JPMorgan Chase & Co. † | 141,834 | 7,985,254 | ||||||
Lake Sunapee Bank Group | 26,815 | 392,303 | ||||||
Lazard Ltd., Class A | 99,148 | 3,488,027 | ||||||
Loews Corp. | 97,735 | 3,552,667 | ||||||
Maiden Holdings Ltd. † | 646,320 | 7,736,450 | ||||||
Morgan Stanley | 143,188 | 3,536,744 | ||||||
National Western Life Group, Inc. † | 8,710 | 1,869,253 | ||||||
NorthStar Asset Management Group, Inc. | 130,162 | 1,422,671 | ||||||
Renaissance Holdings Ltd. † | 32,540 | 3,683,528 | ||||||
Sprott, Inc. | 4,097,845 | 5,905,985 | ||||||
State Street Corp. | 67,492 | 3,697,212 | ||||||
SVB Financial Group * | 37,067 | 3,293,403 | ||||||
Synchrony Financial * | 157,010 | 4,231,420 | ||||||
Unum Group | 133,676 | 3,813,776 | ||||||
Validus Holdings Ltd. † | 116,153 | 5,216,431 | ||||||
Virtu Financial, Inc., Class A | 86,500 | 1,929,815 | ||||||
White Mountains Insurance Group Ltd. | 4,643 | 3,560,531 | ||||||
|
| |||||||
136,053,895 | ||||||||
|
| |||||||
Health Care—11.0% | ||||||||
Allergan PLC * | 8,323 | 2,414,586 | ||||||
Amag Pharmaceuticals, Inc. * (a) | 71,092 | 1,868,298 | ||||||
Carriage Services Inc. (a) | 75,328 | 1,552,510 | ||||||
Cigna Corp. | 23,985 | 3,348,546 | ||||||
DaVita HealthCare Partners, Inc. * † | 68,417 | 4,513,469 | ||||||
Dynavax Technologies Corp. * | 67,643 | 1,090,405 | ||||||
Express Scripts Holding Co. * † | 73,940 | 5,203,897 | ||||||
Fresenius Medical Care AG & Co. KGaA — ADR (a) † | 139,270 | 5,842,377 | ||||||
Laboratory Corp. of America Holdings * † | 39,796 | 4,371,193 |
THEACCOMPANYINGNOTESAREANINTEGRALPARTOFTHEFINANCIALSTATEMENTS.
12 | SEMI-ANNUAL REPORT 2016 |
BOSTON PARTNERS INVESTMENT FUNDS | FEBRUARY 29, 2016 (unaudited) |
BOSTON PARTNERS LONG/SHORT EQUITY FUND (continued) | PORTFOLIOOF INVESTMENTS |
Number of Shares | Value | |||||||
Health Care—(continued) | ||||||||
LHC Group, Inc. * † | 84,894 | $ | 3,024,773 | |||||
McKesson Corp. | 23,678 | 3,684,770 | ||||||
Merck & Co., Inc. | 140,442 | 7,051,593 | ||||||
Perrigo Co., PLC | 23,410 | 2,955,513 | ||||||
Pfizer, Inc. † | 139,582 | 4,141,398 | ||||||
PharMerica Corp. * † | 197,514 | 4,564,549 | ||||||
Sanofi — ADR † | 59,487 | 2,352,711 | ||||||
Sucampo Pharmaceuticals, Inc., Class A * | 99,690 | 1,310,924 | ||||||
Taro Pharmaceutical Industries, Ltd * | 8,860 | 1,283,725 | ||||||
Teva Pharmaceutical Industries Ltd. — Sponsored ADR † | 102,373 | 5,691,939 | ||||||
UnitedHealth Group, Inc. | 35,414 | 4,217,807 | ||||||
|
| |||||||
70,484,983 | ||||||||
|
| |||||||
Real Estate Investment Trusts—1.9% |
| |||||||
American Capital Agency Corp. | 103,119 | 1,863,360 | ||||||
Blackstone Mortgage Trust, Inc., Class A † | 68,882 | 1,704,141 | ||||||
Lexington Realty Trust | 268,540 | 2,078,500 | ||||||
New Residential Investment Corp. | 282,806 | 3,311,658 | ||||||
Select Income | 89,341 | 1,842,211 | ||||||
Two Harbors Investment Corp. † | 212,635 | 1,647,921 | ||||||
|
| |||||||
12,447,791 | ||||||||
|
| |||||||
Technology—13.5% | ||||||||
Alliance Data Systems Corp. * | 13,149 | 2,762,999 | ||||||
ARRIS International PLC * | 135,497 | 3,237,023 | ||||||
Babcock & Wilcox Enterprises, Inc. * † | 67,921 | 1,326,497 | ||||||
CDW Corp. | 38,130 | 1,509,185 | ||||||
Cisco Systems, Inc. † | 219,497 | 5,746,431 | ||||||
Cognizant Technology Solutions Corp., Class A * † | 37,355 | 2,128,488 | ||||||
CPI Card Group, Inc. * (a) | 128,994 | 1,020,343 | ||||||
CSG Systems International, Inc. † | 182,149 | 6,914,376 | ||||||
Dolby Laboratories, Inc. Class A † | 123,830 | 4,891,285 | ||||||
Fairchild Semiconductor International, Inc * | 104,420 | 2,094,665 | ||||||
First Data Corp., Class A * | 169,021 | 2,112,763 | ||||||
First Solar, Inc. * | 30,579 | 2,197,713 | ||||||
Flextronics International Ltd. * † | 269,184 | 2,923,338 | ||||||
Generac Holdings, Inc. * (a) | 58,988 | 2,049,243 | ||||||
Hollysys Automation Technologies, Ltd. * | 59,936 | 1,127,396 | ||||||
Houston Wire & Cable Co. | 184,527 | 994,601 | ||||||
Ingram Micro, Inc., Class A † | 103,955 | 3,721,589 | ||||||
International Business Machines Corp. † | 47,737 | 6,254,979 | ||||||
Jabil Circuit, Inc. † | 102,544 | 2,138,042 | ||||||
Methode Electronics, Inc. | 42,519 | 1,214,768 | ||||||
Microsoft Corp. | 122,804 | 6,248,268 | ||||||
Open Text Corp. | 50,405 | 2,507,145 | ||||||
Oracle Corp. † | 95,724 | 3,520,729 | ||||||
PayPal Holdings, Inc. * | 119,497 | 4,557,616 | ||||||
Quality Systems, Inc. | 174,942 | 2,720,348 |
Number of Shares | Value | |||||||
Technology—(continued) | ||||||||
Science Applications International Corp | 52,411 | $ | 2,340,151 | |||||
Sykes Enterprises, Inc. * † | 88,761 | 2,704,548 | ||||||
Syntel, Inc. * | 39,807 | 1,819,976 | ||||||
Tremor Video, Inc. * | 378,643 | 639,907 | ||||||
Vishay Intertechnology, Inc. (a) | 284,845 | 3,372,565 | ||||||
|
| |||||||
86,796,977 | ||||||||
|
| |||||||
Transportation—1.4% | ||||||||
ArcBest Corp. | 62,350 | 1,220,190 | ||||||
CH Robinson Worldwide, Inc. | 55,323 | 3,863,205 | ||||||
Costamare, Inc. | 129,473 | 961,984 | ||||||
Expeditors International of Washington, Inc. | 36,815 | 1,685,391 | ||||||
XPO Logistics, Inc. * (a) | 58,139 | 1,439,522 | ||||||
|
| |||||||
9,170,292 | ||||||||
|
| |||||||
Utilities—0.5% | ||||||||
AES Corp. † | 353,191 | 3,461,272 | ||||||
|
| |||||||
TOTAL COMMON STOCK | 623,343,967 | |||||||
|
| |||||||
Number of Contracts | ||||||||
OPTIONS PURCHASED—0.1% | ||||||||
Amira Nature Foods Ltd. Call Options Expires 05/20/16 | 1,242 | 248,400 | ||||||
|
| |||||||
TOTAL OPTIONS PURCHASED | 248,400 | |||||||
|
| |||||||
Number of Shares | ||||||||
SECURITIES LENDING COLLATERAL—4.6% |
| |||||||
BlackRock Liquidity TempFund, Institutional Shares | 29,761,547 | 29,761,547 | ||||||
|
| |||||||
TOTAL SECURITIES LENDING COLLATERAL | 29,761,547 | |||||||
|
| |||||||
TOTAL INVESTMENTS—101.6% | 653,353,914 | |||||||
|
| |||||||
SECURITIES SOLD SHORT—(29.1%) |
| |||||||
COMMON STOCK—(29.1%) |
| |||||||
Basic Industries—(0.5%) |
| |||||||
Kennady Diamonds, Inc. * | (45,900 | ) | (94,989 | ) | ||||
NewMarket Corp. | (7,786 | ) | (2,842,980 | ) | ||||
Tanzanian Royalty Exploration Corp. * | (171,865 | ) | (57,575 | ) | ||||
|
| |||||||
(2,995,544 | ) | |||||||
|
|
THEACCOMPANYINGNOTESAREANINTEGRALPARTOFTHEFINANCIALSTATEMENTS.
SEMI-ANNUAL REPORT 2016 | 13 |
BOSTON PARTNERS INVESTMENT FUNDS | FEBRUARY 29, 2016 (unaudited) |
BOSTON PARTNERS LONG/SHORT EQUITY FUND (continued) | PORTFOLIOOF INVESTMENTS |
Number of Shares | Value | |||||||
Capital Goods—(1.1%) | ||||||||
Applied Energetics, Inc. * | (238,070 | ) | $ | (857 | ) | |||
DynaMotive Energy Systems Corp. * ‡ | (72,185 | ) | (7 | ) | ||||
Griffon Corp. | (176,776 | ) | (2,626,891 | ) | ||||
InVivo Therapeutics Holdings Corp. * | (84,574 | ) | (396,652 | ) | ||||
Middleby Corp., (The) * | (16,650 | ) | (1,541,790 | ) | ||||
Smith & Wesson Holding Corp. * | (100,205 | ) | (2,541,199 | ) | ||||
|
| |||||||
(7,107,396 | ) | |||||||
|
| |||||||
Communications—(0.8%) | ||||||||
CTC Communications Group, Inc. * ‡ | (98,900 | ) | 0 | |||||
Grubhub, Inc. * | (142,917 | ) | (3,364,266 | ) | ||||
Interliant, Inc. * ‡ | (600 | ) | 0 | |||||
Rubicon Project, Inc. (The) * | (101,885 | ) | (1,680,084 | ) | ||||
|
| |||||||
(5,044,350 | ) | |||||||
|
| |||||||
Consumer Durables—(1.9%) | ||||||||
iRobot Corp. * | (59,882 | ) | (1,876,702 | ) | ||||
Mobileye NV * | (160,262 | ) | (5,202,105 | ) | ||||
Qsound Labs, Inc. * ‡ | (4,440 | ) | 0 | |||||
Tesla Motors, Inc. * | (27,967 | ) | (5,367,706 | ) | ||||
|
| |||||||
(12,446,513 | ) | |||||||
|
| |||||||
Consumer Non-Durables—(2.2%) |
| |||||||
Amish Naturals, Inc. * ‡ | (25,959 | ) | 0 | |||||
Amplify Snack Brands, Inc. * | (142,241 | ) | (1,463,660 | ) | ||||
Callaway Golf Co. | (180,803 | ) | (1,607,339 | ) | ||||
Hain Celestial Group, Inc., (The) * | (62,472 | ) | (2,309,590 | ) | ||||
Industrias Bachoco SAB de CV —Sponsored ADR | (48,190 | ) | (2,326,613 | ) | ||||
MGP Ingredients, Inc. | (113,640 | ) | (2,658,040 | ) | ||||
National Beverage Corp. * | (44,177 | ) | (1,679,610 | ) | ||||
Teligent, Inc. * | (102,159 | ) | (597,630 | ) | ||||
Valence Technology, Inc. * ‡ | (27,585 | ) | (3 | ) | ||||
Whitewave Foods Co., (The) * | (37,800 | ) | (1,463,616 | ) | ||||
|
| |||||||
(14,106,101 | ) | |||||||
|
| |||||||
Consumer Services—(6.7%) |
| |||||||
AMN Healthcare Services, Inc. * | (128,103 | ) | (3,641,968 | ) | ||||
Buffalo Wild Wings, Inc. * | (14,367 | ) | (2,279,325 | ) | ||||
CIMPRESS NV * | (45,993 | ) | (4,055,663 | ) | ||||
Corporate Resource Services, Inc. * | (218,896 | ) | (153 | ) | ||||
DraftDay Fantasy Sports, Inc * | (61 | ) | (34 | ) | ||||
Etsy, Inc. * | (133,817 | ) | (1,062,507 | ) | ||||
Foot Locker, Inc. | (34,920 | ) | (2,182,500 | ) | ||||
Habit Restaurants Inc., (The) * | (95,889 | ) | (1,992,573 | ) | ||||
Jamba, Inc. * | (111,749 | ) | (1,482,909 | ) | ||||
Netflix, Inc. * | (71,965 | ) | (6,722,251 | ) | ||||
Norwegian Cruise Line Holdings Ltd. * | (51,583 | ) | (2,534,273 | ) | ||||
Quotient Technology, Inc. * | (158,150 | ) | (1,375,905 | ) | ||||
Red Robin Gourmet Burgers, Inc. * | (34,843 | ) | (2,268,279 | ) | ||||
Sturm Ruger & Co., Inc. | (30,761 | ) | (2,162,806 | ) | ||||
Texas Roadhouse, Inc. | (61,303 | ) | (2,556,948 | ) |
Number of Shares | Value | |||||||
Consumer Services—(continued) |
| |||||||
Tile Shop Holdings, Inc. * | (149,425 | ) | $ | (1,885,744 | ) | |||
TransEnterix Inc. * | (125,132 | ) | (401,674 | ) | ||||
Wayfair, Inc., Class A * | (23,260 | ) | (906,442 | ) | ||||
Wingstop, Inc. * | (44,241 | ) | (1,053,821 | ) | ||||
Zillow Group, Inc., Class C * | (93,435 | ) | (2,018,196 | ) | ||||
Zoe’s Kitchen, Inc. * | (76,789 | ) | (2,682,240 | ) | ||||
|
| |||||||
(43,266,211 | ) | |||||||
|
| |||||||
Energy—(0.3%) |
| |||||||
Beard Co. * | (9,710 | ) | (6 | ) | ||||
Neste Oil OYJ | (61,662 | ) | (1,930,398 | ) | ||||
|
| |||||||
(1,930,404 | ) | |||||||
|
| |||||||
Finance—(0.9%) |
| |||||||
Credit Acceptance Corp. * | (17,000 | ) | (3,350,190 | ) | ||||
HealthEquity, Inc. * | (92,838 | ) | (1,932,887 | ) | ||||
IDI, Inc. * | (58,888 | ) | (306,218 | ) | ||||
|
| |||||||
(5,589,295 | ) | |||||||
|
| |||||||
Health Care—(4.4%) |
| |||||||
Accelerate Diagnostics, Inc. * | (262,289 | ) | (3,155,337 | ) | ||||
Alexion Pharmaceuticals, Inc. * | (10,426 | ) | (1,467,981 | ) | ||||
athenahealth, Inc. * | (11,828 | ) | (1,526,640 | ) | ||||
Blueprint Medicines Corp. * | (52,833 | ) | (915,596 | ) | ||||
BodyTel Scientific, Inc. * ‡ | (4,840 | ) | 0 | |||||
CareView Communications, Inc. * | (207,465 | ) | (62,240 | ) | ||||
Concordia Healthcare Corp. | (19,987 | ) | (581,022 | ) | ||||
Corindus Vascular Robotics, Inc. * | (572,901 | ) | (773,416 | ) | ||||
DexCom, Inc. * | (17,622 | ) | (1,146,487 | ) | ||||
Endologix, Inc. * | (183,554 | ) | (1,582,235 | ) | ||||
HealthStream, Inc. * | (78,031 | ) | (1,612,901 | ) | ||||
IDEXX Laboratories, Inc. * | (24,453 | ) | (1,788,981 | ) | ||||
Inogen, Inc. * | (50,942 | ) | (1,741,198 | ) | ||||
Intersect ENT Inc. * | (88,106 | ) | (1,592,956 | ) | ||||
Intrexon Corp. * | (62,553 | ) | (1,936,015 | ) | ||||
NanoString Technologies, Inc * | (77,495 | ) | (933,040 | ) | ||||
Nevro Corp. * | (16,149 | ) | (930,182 | ) | ||||
Penumbra Inc. * | (24,957 | ) | (1,163,495 | ) | ||||
Synergy Pharmaceuticals, Inc. * | (158,374 | ) | (494,127 | ) | ||||
TherapeuticsMD, Inc. * | (170,174 | ) | (1,039,763 | ) | ||||
Wright Medical Group NV * | (182,082 | ) | (3,111,781 | ) | ||||
Zeltiq Aesthetics, Inc. * | (42,334 | ) | (974,952 | ) | ||||
|
| |||||||
(28,530,345 | ) | |||||||
|
| |||||||
Real Estate Investment Trusts—(0.4%) |
| |||||||
Digital Realty Trust, Inc. | (27,390 | ) | (2,165,727 | ) | ||||
|
| |||||||
(2,165,727 | ) | |||||||
|
| |||||||
Technology—(8.7%) |
| |||||||
2U Inc. * | (76,175 | ) | (1,702,511 | ) | ||||
ANTs Software, Inc. * ‡ | (10,334 | ) | (1 | ) | ||||
Applied Optoelectronics Inc * | (69,117 | ) | (1,243,415 | ) | ||||
Arista Networks, Inc. * | (22,331 | ) | (1,530,567 | ) | ||||
Atlassian Corp. PLC Class A * | (78,989 | ) | (1,877,569 | ) | ||||
Benefitfocus, Inc. * | (33,019 | ) | (1,036,466 | ) | ||||
Box, Inc., Class A * | (374,062 | ) | (4,305,454 | ) | ||||
Capstone Turbine Corp. * | (33,777 | ) | (39,519 | ) |
THEACCOMPANYINGNOTESAREANINTEGRALPARTOFTHEFINANCIALSTATEMENTS.
14 | SEMI-ANNUAL REPORT 2016 |
BOSTON PARTNERS INVESTMENT FUNDS | FEBRUARY 29, 2016 (unaudited) |
BOSTON PARTNERS LONG/SHORT EQUITY FUND (continued) | PORTFOLIOOF INVESTMENTS |
Number of Shares | Value | |||||||
Technology—(continued) |
| |||||||
Cavium, Inc. * | (77,629 | ) | $ | (4,618,149 | ) | |||
Ciena Corp. * | (97,020 | ) | (1,988,910 | ) | ||||
Consygen, Inc. * ‡ | (200 | ) | 0 | |||||
Demandware, Inc. * | (36,512 | ) | (1,266,601 | ) | ||||
Digimarc Corp. * | (46,780 | ) | (1,416,031 | ) | ||||
Ellie Mae, Inc. * | (63,012 | ) | (5,301,200 | ) | ||||
Ener1, Inc. * ‡ | (102,820 | ) | (10 | ) | ||||
GT Advanced Technologies, Inc. * | (198,179 | ) | (9,909 | ) | ||||
Guidewire Software, Inc. * | (64,483 | ) | (3,174,498 | ) | ||||
HubSpot, Inc. * | (50,858 | ) | (2,118,744 | ) | ||||
Inphi Corp. * | (51,588 | ) | (1,305,176 | ) | ||||
Neonode, Inc. * | (206,220 | ) | (515,550 | ) | ||||
Nestor, Inc. * ‡ | (15,200 | ) | (2 | ) | ||||
NetSuite, Inc. * | (35,422 | ) | (2,140,197 | ) | ||||
Palo Alto Networks, Inc. * | (11,813 | ) | (1,710,404 | ) | ||||
Proofpoint, Inc. * | (41,708 | ) | (1,953,603 | ) | ||||
Pure Storage Inc. * | (67,213 | ) | (966,523 | ) | ||||
RealPage, Inc. * | (113,747 | ) | (2,280,627 | ) | ||||
ServiceNow, Inc. * | (35,774 | ) | (1,967,212 | ) | ||||
Shopify, Inc. * | (65,337 | ) | (1,462,242 | ) | ||||
Tiger Telematics, Inc. * ‡ | (6,510 | ) | 0 | |||||
Uni-Pixel, Inc. * | (19,665 | ) | (12,586 | ) | ||||
Universal Display Corp. * | (34,486 | ) | (1,647,741 | ) | ||||
Veeva Systems, Inc., Class A * | (33,516 | ) | (814,104 | ) | ||||
ViaSat, Inc. * | (26,492 | ) | (1,934,181 | ) | ||||
Vicor Corp. * | (74,197 | ) | (615,835 | ) | ||||
Workday, Inc., Class A * | (80,364 | ) | (4,858,004 | ) | ||||
Workiva, Inc. * | (29,691 | ) | (370,544 | ) | ||||
WorldGate Communications, Inc. * ‡ | (582,655 | ) | (58 | ) | ||||
Xybernaut Corp. * ‡ | (34,156 | ) | 0 | |||||
|
| |||||||
(56,184,143 | ) | |||||||
|
| |||||||
Transportation—(0.6%) |
| |||||||
Hawaiian Holdings, Inc. * | (87,752 | ) | (3,775,091 | ) | ||||
|
| |||||||
(3,775,091 | ) | |||||||
|
| |||||||
Utilities—(0.6%) |
| |||||||
El Paso Electric Co. | (62,539 | ) | (2,554,718 | ) | ||||
Genie Energy, Ltd. | (153,241 | ) | (1,420,544 | ) | ||||
|
| |||||||
(3,975,262 | ) | |||||||
|
| |||||||
TOTAL COMMON STOCK | (187,116,382 | ) | ||||||
|
| |||||||
TOTAL SECURITIES SOLD SHORT—(29.1%) | (187,116,382 | ) | ||||||
|
|
Number of Contracts | Value | |||||||
OPTIONS WRITTEN ††—(0.6%) |
| |||||||
Anadarko Petroleum Corp. | (13,973 | ) | $ | (3,549,142 | ) | |||
McDonald’s Corp. | (179 | ) | (87,710 | ) | ||||
TransEnterix, Inc. | (1,674 | ) | (108,810 | ) | ||||
|
| |||||||
TOTAL OPTIONS WRITTEN (Premiums received $6,041,328) | (3,745,662 | ) | ||||||
|
| |||||||
OTHER ASSETS IN EXCESS OF LIABILITIES—28.1% | 180,932,788 | |||||||
|
| |||||||
NET ASSETS—100.0% | $ | 643,424,658 | ||||||
|
|
ADR | — | American Depositary Receipt | ||
PLC | — | Public Limited Company | ||
* | — | Non-income producing. | ||
(a) | — | All or a portion of the security is on loan. At February 29, 2016, the market value of securities on loan was $27,975,892. | ||
† | — | Security position is either entirely or partially held in a segregated account as collateral for securities sold short. | ||
†† | — | Primary risk exposure is equity contracts. | ||
‡ | — | Security has been valued at fair market value as determined in good faith by or under the direction of The RBB Fund, Inc.’s Board of Directors. As of February 29, 2016, short positions amounted to ($81) or 0.0% of net assets. |
THEACCOMPANYINGNOTESAREANINTEGRALPARTOFTHEFINANCIALSTATEMENTS.
SEMI-ANNUAL REPORT 2016 | 15 |
BOSTON PARTNERS INVESTMENT FUNDS | FEBRUARY 29, 2016 (unaudited) |
BOSTON PARTNERS LONG/SHORT EQUITY FUND (concluded) | PORTFOLIOOF INVESTMENTS |
A summary of the inputs used to value the Fund’s investments as of February 29, 2016 is as follows (see Note I in the Notes to Financial Statements):
Total Value as of February 29, 2016 | Level 1 Quoted Price | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |||||||||||||
Common Stock | ||||||||||||||||
Basic Industries | $ | 51,429,144 | $ | 51,429,144 | $ | — | $ | — | ||||||||
Capital Goods | 54,598,443 | 54,598,443 | — | — | ||||||||||||
Communications | 15,619,792 | 15,619,792 | — | — | ||||||||||||
Consumer Durables | 3,822,496 | 3,822,496 | — | — | ||||||||||||
Consumer Non-Durables | 41,758,782 | 41,758,782 | — | — | ||||||||||||
Consumer Services | 77,120,781 | 77,120,781 | — | — | ||||||||||||
Energy | 56,622,348 | 56,622,348 | — | — | ||||||||||||
Finance | 136,053,895 | 136,053,895 | — | — | ||||||||||||
Health Care | 70,484,983 | 70,484,983 | — | — | ||||||||||||
Real Estate Investment Trusts | 12,447,791 | 12,447,791 | — | — | ||||||||||||
Technology | 86,796,977 | 86,796,977 | — | — | ||||||||||||
Transportation | 9,170,292 | 9,170,292 | — | — | ||||||||||||
Utilities | 3,461,272 | 3,461,272 | — | — | ||||||||||||
Exchange Traded Fund | 3,956,971 | 3,956,971 | — | — | ||||||||||||
Options Purchased | ||||||||||||||||
Equity Contracts | 248,400 | 248,400 | — | — | ||||||||||||
Securities Lending Collateral | 29,761,547 | 29,761,547 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Assets | $ | 653,353,914 | $ | 653,353,914 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Value as of February 29, 2016 | Level 1 Quoted Price | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |||||||||||||
Securities Sold Short | ||||||||||||||||
Basic Industries | $ | (2,995,544 | ) | $ | (2,995,544 | ) | $ | — | $ | — | ||||||
Capital Goods | (7,107,396 | ) | (7,107,389 | ) | — | (7 | ) | |||||||||
Communications | (5,044,350 | ) | (5,044,350 | ) | — | — | ||||||||||
Consumer Durables | (12,446,513 | ) | (12,446,513 | ) | — | — | ||||||||||
Consumer Non-Durables | (14,106,101 | ) | (14,106,098 | ) | — | (3 | ) | |||||||||
Consumer Services | (43,266,211 | ) | (43,266,211 | ) | — | — | ||||||||||
Energy | (1,930,404 | ) | (6 | ) | (1,930,398 | ) | — | |||||||||
Finance | (5,589,295 | ) | (5,589,295 | ) | — | — | ||||||||||
Health Care | (28,530,345 | ) | (28,530,345 | ) | — | — | ||||||||||
Real Estate Investment Trusts | (2,165,727 | ) | (2,165,727 | ) | — | — | ||||||||||
Technology | (56,184,143 | ) | (56,184,072 | ) | — | (71 | ) | |||||||||
Transportation | (3,775,091 | ) | (3,775,091 | ) | — | — | ||||||||||
Utilities | (3,975,262 | ) | (3,975,262 | ) | — | — | ||||||||||
Options Written | ||||||||||||||||
Equity Contracts | (3,745,662 | ) | (3,745,662 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Liabilities | $ | (190,862,044 | ) | $ | (188,931,565 | ) | $ | (1,930,398 | ) | $ | (81 | ) | ||||
|
|
|
|
|
|
|
|
THEACCOMPANYINGNOTESAREANINTEGRALPARTOFTHEFINANCIALSTATEMENTS.
16 | SEMI-ANNUAL REPORT 2016 |
BOSTON PARTNERS INVESTMENT FUNDS | FEBRUARY 29, 2016 (unaudited) |
BOSTON PARTNERS LONG/SHORT RESEARCH FUND | PORTFOLIOOF INVESTMENTS |
Number of Shares | Value | |||||||
LONG POSITIONS—96.6% | ||||||||
COMMON STOCK—96.6% | ||||||||
Basic Industries—6.0% | ||||||||
Avery Dennison Corp. † | 634,467 | $ | 41,316,491 | |||||
Barrick Gold Corp. | 1,585,699 | 22,025,359 | ||||||
Berry Plastics Group, Inc. * † | 1,707,218 | 53,145,696 | ||||||
Crown Holdings, Inc. * † | 544,287 | 25,499,846 | ||||||
Graphic Packaging Holding Co. † | 5,430,237 | 66,954,822 | ||||||
Lintec Corp. ‡ | 555,700 | 10,297,245 | ||||||
Mosaic Co., (The) † | 735,715 | 19,606,805 | ||||||
Packaging Corp of America † | 613,604 | 29,759,794 | ||||||
PPG Industries, Inc. † | 430,447 | 41,551,049 | ||||||
Stornoway Diamond Corp. * | 19,386,145 | 13,468,571 | ||||||
Sumitomo Osaka Cement Co., Ltd. ‡ | 3,084,000 | 11,266,745 | ||||||
Valspar Corp., (The) † | 435,091 | 34,041,520 | ||||||
WestRock Co. † | 1,147,305 | 38,744,490 | ||||||
|
| |||||||
407,678,433 | ||||||||
|
| |||||||
Capital Goods—11.8% | ||||||||
AMETEK, Inc. | 741,095 | 34,394,219 | ||||||
BAE Systems PLC | 4,247,321 | 30,110,672 | ||||||
Continental Building Products, Inc. * | 1,126,963 | 19,023,135 | ||||||
CRH PLC | 1,376,182 | 35,075,435 | ||||||
Cubic Corp. † | 313,169 | 11,004,759 | ||||||
Danaher Corp. † | 657,992 | 58,738,946 | ||||||
General Dynamics Corp. † | 333,909 | 45,501,779 | ||||||
Haseko Corp. | 1,269,700 | 10,989,008 | ||||||
Honeywell International, Inc. † | 366,151 | 37,109,404 | ||||||
Huntington Ingalls Industries, Inc. † | 393,877 | 51,621,520 | ||||||
Ingersoll-Rand PLC † | 759,923 | 42,221,322 | ||||||
KION Group AG | 312,865 | 15,546,447 | ||||||
Lockheed Martin Corp. † | 330,914 | 71,407,932 | ||||||
Masco Corp. † | 1,153,833 | 32,538,091 | ||||||
Minerals Technologies, Inc. | 379,939 | 19,308,500 | ||||||
Nitto Denko Corp. | 197,700 | 10,472,031 | ||||||
Northrop Grumman Corp. † | 287,858 | 55,332,065 | ||||||
Prysmian SpA | 194,316 | 3,944,194 | ||||||
Raytheon Co. † | 429,180 | 53,153,943 | ||||||
Safran SA ‡ | 744,266 | 46,113,659 | ||||||
Stanley Black & Decker, Inc. † | 449,200 | 42,229,292 | ||||||
Textron, Inc. † | 1,379,519 | 47,110,574 | ||||||
United Technologies Corp. † | 336,802 | 32,541,809 | ||||||
|
| |||||||
805,488,736 | ||||||||
|
| |||||||
Communications—5.3% | ||||||||
Alphabet Inc., Class A * † | 44,528 | 31,936,372 | ||||||
Baidu, Inc. — Sponsored ADR * † | 162,900 | 28,250,118 | ||||||
Comcast Corp., Class A † | 1,101,122 | 63,567,773 | ||||||
Dena Co. Ltd. | 573,300 | 8,367,886 | ||||||
IAC/InterActiveCorp. | 310,025 | 13,771,311 | ||||||
Liberty Broadband Corp., Class C * † | 374,191 | 18,848,001 | ||||||
Liberty Global PLC LiLAC, Class C * † | 213,629 | 7,838,048 | ||||||
Liberty Global PLC, Series C * † | 1,857,924 | 66,810,947 |
Number of Shares | Value | |||||||
NetEase, Inc. — ADR † | 170,822 | $ | 22,994,349 | |||||
Priceline Group, Inc., (The) * | 16,558 | 20,949,347 | ||||||
Communications—(continued) | ||||||||
Verizon Communications, Inc. † | 946,985 | 48,040,549 | ||||||
Vodafone Group PLC | 10,664,682 | 32,344,830 | ||||||
|
| |||||||
363,719,531 | ||||||||
|
| |||||||
Consumer Durables—2.9% | ||||||||
Alpine Electronics, Inc. | 695,100 | 7,851,751 | ||||||
Lear Corp. | 173,624 | 17,596,792 | ||||||
Newell Rubbermaid, Inc. † | 1,471,359 | 55,926,356 | ||||||
PulteGroup, Inc. | 1,704,286 | 29,296,676 | ||||||
Samsung Electronics Co., Ltd. | 58,637 | 55,899,666 | ||||||
Tenneco, Inc. * † | 649,539 | 29,567,015 | ||||||
|
| |||||||
196,138,256 | ||||||||
|
| |||||||
Consumer Non-Durables—3.9% | ||||||||
Activision Blizzard, Inc. | 803,854 | 25,458,056 | ||||||
Britvic PLC | 3,882,358 | 37,303,275 | ||||||
Coca-Cola West Co., Ltd. | 581,800 | 13,018,304 | ||||||
Constellation Brands, Inc., Class A † | 230,015 | 32,531,021 | ||||||
Electronic Arts, Inc. * | 153,313 | 9,848,827 | ||||||
Global Brands Group Holding Ltd. * | 63,678,000 | 7,534,980 | ||||||
Imperial Brands PLC | 1,115,050 | 57,554,079 | ||||||
Ontex Group NV | 1,100,287 | 38,689,818 | ||||||
Reynolds American, Inc. † | 510,794 | 25,759,341 | ||||||
Tyson Foods, Inc., Class A † | 288,562 | 18,684,390 | ||||||
|
| |||||||
266,382,091 | ||||||||
|
| |||||||
Consumer Services—12.1% | ||||||||
Alibaba Group Holding Ltd. — Sponsored ADR * | 322,992 | 22,225,080 | ||||||
CBS Corp., Class B non-voting shares † | 692,387 | 33,497,683 | ||||||
CVS Health Corp. † | 396,623 | 38,539,857 | ||||||
eBay, Inc. * | 1,661,467 | 39,542,915 | ||||||
Equifax, Inc. † | 574,270 | 60,229,438 | ||||||
H&R Block, Inc. † | 1,516,050 | 49,847,724 | ||||||
ITV PLC ‡ | 13,661,993 | 47,051,263 | ||||||
Liberty Media Corp., Class C * † | 567,500 | 19,805,750 | ||||||
Lowe’s Cos., Inc. † | 406,142 | 27,426,769 | ||||||
ManpowerGroup, Inc. † | 380,357 | 29,454,846 | ||||||
Michaels Cos., Inc., (The) * | 920,209 | 21,440,870 | ||||||
Moody’s Corp. † | 247,944 | 22,017,427 | ||||||
New Oriental Education & Technology Group, Inc. — Sponsored ADR | 750,106 | 23,350,800 | ||||||
Office Depot, Inc. * | 2,683,971 | 13,634,573 | ||||||
Omnicom Group, Inc. † | 792,632 | 61,674,696 | ||||||
Phoenix New Media Ltd. — ADR * | 1,284,537 | 4,804,168 | ||||||
ProSiebenSat.1 Media SE | 799,109 | 40,845,027 | ||||||
Randstad Holding NV | 671,126 | 34,605,652 | ||||||
Robert Half International, Inc. † | 572,159 | 22,537,343 | ||||||
Six Flags Entertainment Corp. † | 653,162 | 33,219,819 | ||||||
Starz, Class A * | 885,990 | 22,318,088 | ||||||
Target Corp. † | 386,037 | 30,284,603 | ||||||
TEGNA, Inc. † | 1,405,790 | 34,638,666 |
THEACCOMPANYINGNOTESAREANINTEGRALPARTOFTHEFINANCIALSTATEMENTS.
SEMI-ANNUAL REPORT 2016 | 17 |
BOSTON PARTNERS INVESTMENT FUNDS | FEBRUARY 29, 2016 (unaudited) |
BOSTON PARTNERS LONG/SHORT RESEARCH FUND (continued) | PORTFOLIOOF INVESTMENTS |
Number of Shares | Value | |||||||
Consumer Services—(continued) | ||||||||
Time Warner, Inc. † | 456,649 | $ | 30,230,164 | |||||
Time, Inc. † | 1,059,911 | 14,944,745 | ||||||
WPP PLC ‡ | 2,200,220 | 46,341,832 | ||||||
|
| |||||||
824,509,798 | ||||||||
|
| |||||||
Energy—8.0% | ||||||||
Anadarko Petroleum Corp. † # | 996,271 | 37,808,484 | ||||||
California Resources Corp. | 70,597 | 39,683 | ||||||
Canadian Natural Resources Ltd. | 1,005,782 | 20,980,613 | ||||||
Diamondback Energy, Inc. * # | 1,075,226 | 76,609,853 | ||||||
Energen Corp. † | 1,181,576 | 31,288,132 | ||||||
EOG Resources, Inc. # | 640,718 | 41,480,083 | ||||||
EQT Corp. † | 377,402 | 21,036,387 | ||||||
Exxon Mobil Corp. # | 862,451 | 69,125,448 | ||||||
Inpex Corp. | 1,509,100 | 10,879,680 | ||||||
Kosmos Energy Ltd. * † | 2,061,427 | 10,059,764 | ||||||
Marathon Petroleum Corp. † # | 565,278 | 19,360,772 | ||||||
Occidental Petroleum Corp. # | 754,099 | 51,897,093 | ||||||
Parsley Energy, Inc., Class A * † | 3,538,088 | 65,030,057 | ||||||
Phillips 66 # | 458,092 | 36,367,924 | ||||||
Rice Energy, Inc. * † | 920,409 | 8,430,946 | ||||||
RSP Permian, Inc. * † | 1,596,453 | 38,171,191 | ||||||
Viper Energy Partners LP | 687,217 | 10,232,661 | ||||||
|
| |||||||
548,798,771 | ||||||||
|
| |||||||
Finance—18.8% | ||||||||
Alleghany Corp. * † | 77,433 | 35,927,363 | ||||||
Allstate Corp., (The) † | 669,146 | 42,464,005 | ||||||
Ally Financial, Inc. * † | 1,712,937 | 30,113,432 | ||||||
American International Group, Inc. † | 543,879 | 27,302,726 | ||||||
Aon PLC † | 488,351 | 46,534,967 | ||||||
Bank of America Corp. † | 2,714,709 | 33,988,157 | ||||||
BB&T Corp. † | 1,747,683 | 56,205,485 | ||||||
Berkshire Hathaway, Inc., Class B * † | 349,424 | 46,882,218 | ||||||
Capital One Financial Corp. † | 994,759 | 65,385,509 | ||||||
Charles Schwab Corp., (The) † | 976,019 | 24,449,276 | ||||||
Chubb Ltd. † | 370,825 | 42,841,412 | ||||||
Citigroup, Inc. † | 1,433,235 | 55,681,180 | ||||||
Citizens Financial Group, Inc. † | 1,260,565 | 24,240,665 | ||||||
CNO Financial Group, Inc. | 1,712,628 | 29,851,106 | ||||||
Discover Financial Services † | 1,228,071 | 57,007,056 | ||||||
Fifth Third Bancorp † | 3,688,094 | 56,280,314 | ||||||
Goldman Sachs Group, Inc., (The) † | 239,978 | 35,883,910 | ||||||
Huntington Bancshares, Inc. † | 3,102,787 | 27,149,386 | ||||||
JPMorgan Chase & Co. † | 1,209,127 | 68,073,850 | ||||||
MetLife, Inc. † | 1,002,636 | 39,664,280 | ||||||
Morgan Stanley | 573,670 | 14,169,649 | ||||||
Navient Corp. † | 2,336,371 | 25,302,898 | ||||||
Raymond James Financial, Inc. | 565,098 | 24,773,896 | ||||||
SLM Corp. * | 3,607,936 | 21,070,346 | ||||||
Standard Chartered PLC | 1,637,030 | 9,739,086 | ||||||
State Street Corp. † | 375,363 | 20,562,385 | ||||||
SunTrust Banks, Inc. † | 858,814 | 28,495,449 | ||||||
Synchrony Financial * | 1,070,920 | 28,861,294 | ||||||
TD Ameritrade Holding Corp. † | 872,543 | 24,937,279 |
Number of Shares | Value | |||||||
Finance—(continued) | ||||||||
Travelers Cos., Inc., (The) † | 280,217 | $ | 30,128,932 | |||||
Unum Group † | 1,434,660 | 40,930,850 | ||||||
Validus Holdings Ltd. | 499,288 | 22,423,024 | ||||||
Wells Fargo & Co. † | 1,448,346 | 67,956,394 | ||||||
WR Berkley Corp. † | 533,654 | 27,483,181 | ||||||
XL Group PLC † | 1,495,823 | 51,426,395 | ||||||
|
| |||||||
1,284,187,355 | ||||||||
|
| |||||||
Health Care—10.2% | ||||||||
AbbVie, Inc. † | 476,501 | 26,021,720 | ||||||
Anthem, Inc. † | 359,677 | 47,006,187 | ||||||
Cardinal Health, Inc. † | 552,530 | 45,141,701 | ||||||
Celgene Corp. * † | 112,923 | 11,386,026 | ||||||
CIGNA Corp. † | 308,976 | 43,136,139 | ||||||
DaVita HealthCare Partners, Inc. * | 446,591 | 29,461,608 | ||||||
Endo International PLC * | 217,363 | 9,087,947 | ||||||
Express Scripts Holding Co. * † | 650,590 | 45,788,524 | ||||||
Gilead Sciences, Inc. † | 465,658 | 40,628,661 | ||||||
ICON PLC * | 379,839 | 27,029,343 | ||||||
Johnson & Johnson † | 497,913 | 52,385,427 | ||||||
Laboratory Corp. of America Holdings * † | 419,783 | 46,108,965 | ||||||
McKesson Corp. † | 241,633 | 37,602,927 | ||||||
Merck & Co., Inc. † | 855,257 | 42,942,454 | ||||||
Novartis AG — Sponsored ADR | 347,241 | 24,692,308 | ||||||
Perrigo Co., PLC | 245,769 | 31,028,336 | ||||||
Pfizer, Inc. † | 1,444,179 | 42,848,791 | ||||||
St. Jude Medical, Inc. † | 494,193 | 26,533,222 | ||||||
Teva Pharmaceutical Industries Ltd. — Sponsored ADR † | 479,687 | 26,670,597 | ||||||
Zimmer Biomet Holdings, Inc. † | 389,053 | 37,664,221 | ||||||
|
| |||||||
693,165,104 | ||||||||
|
| |||||||
Real Estate Investment Trusts—0.6% |
| |||||||
American Homes 4 Rent, Class A | 645,127 | 9,031,778 | ||||||
American Residential Properties, Inc. | 524,940 | 8,341,297 | ||||||
Boston Properties, Inc. † | 77,233 | 8,815,375 | ||||||
Host Hotels & Resorts, Inc. | 508,192 | 7,780,420 | ||||||
SL Green Realty Corp. | 110,688 | 9,760,468 | ||||||
Sunstone Hotel Investors, Inc. | 1 | 12 | ||||||
|
| |||||||
43,729,350 | ||||||||
|
| |||||||
Technology—15.6% | ||||||||
Alliance Data Systems Corp. * | 93,415 | 19,629,294 | ||||||
Amdocs Ltd. † | 768,198 | 43,602,918 | ||||||
Apple, Inc. | 348,031 | 33,651,117 | ||||||
Arrow Electronics, Inc. * † | 1,008,517 | 57,646,832 | ||||||
Avnet, Inc. † | 904,683 | 37,227,705 | ||||||
Broadcom Ltd. † | 440,021 | 58,949,613 | ||||||
Brocade Communications Systems, Inc. † | 2,597,223 | 25,790,424 | ||||||
CDW Corp. † | 1,265,115 | �� | 50,073,252 |
THEACCOMPANYINGNOTESAREANINTEGRALPARTOFTHEFINANCIALSTATEMENTS.
18 | SEMI-ANNUAL REPORT 2016 |
BOSTON PARTNERS INVESTMENT FUNDS | FEBRUARY 29, 2016 (unaudited) |
BOSTON PARTNERS LONG/SHORT RESEARCH FUND (continued) | PORTFOLIOOF INVESTMENTS |
Number of Shares | Value | |||||||
Technology—(continued) | ||||||||
Cisco Systems, Inc. † | 1,400,186 | $ | 36,656,869 | |||||
Computer Sciences Corp. | 612,740 | 17,653,039 | ||||||
EMC Corp. † | 2,378,542 | 62,151,302 | ||||||
EVERTEC, Inc. † | 688,058 | 8,187,890 | ||||||
Fidelity National Information Services, Inc. † | 464,639 | 27,065,222 | ||||||
Flextronics International Ltd. * † | 5,678,834 | 61,672,137 | ||||||
Harris Corp. † | 708,019 | 55,239,642 | ||||||
Hewlett Packard Enterprise Co. † | 3,166,614 | 42,020,968 | ||||||
Hollysys Automation Technologies, Ltd. * | 515,467 | 9,695,934 | ||||||
HP, Inc. † | 2,871,494 | 30,696,271 | ||||||
Jabil Circuit, Inc. † | 3,442,179 | 71,769,432 | ||||||
Microsoft Corp. † | 1,315,318 | 66,923,380 | ||||||
ON Semiconductor Corp. * | 3,791,479 | 31,810,509 | ||||||
Oracle Corp. † | 2,344,254 | 86,221,662 | ||||||
PayPal Holdings, Inc. * † | 400,665 | 15,281,363 | ||||||
Qorvo Inc. * † | 475,766 | 21,447,531 | ||||||
TE Connectivity Ltd. † | 160,684 | 9,146,133 | ||||||
Texas Instruments, Inc. † | 1,057,945 | 56,092,244 | ||||||
Total System Services, Inc. | 274,931 | 11,981,493 | ||||||
Western Digital Corp. † | 297,145 | 12,934,722 | ||||||
|
| |||||||
1,061,218,898 | ||||||||
|
| |||||||
Transportation—1.0% | ||||||||
Delta Air Lines, Inc. † | 1,004,564 | 48,460,167 | ||||||
United Continental Holdings, Inc. * | 308,063 | 17,639,687 | ||||||
|
| |||||||
66,099,854 | ||||||||
|
| |||||||
Utilities—0.3% | ||||||||
AES Corp. | 2,353,637 | 23,065,645 | ||||||
|
| |||||||
TOTAL COMMON STOCK—96.6% | 6,584,181,822 | |||||||
|
| |||||||
WARRANTS—0.0% | ||||||||
Basic Industries—0.0% | ||||||||
Stornoway Diamond Corp. Exercise Price CAD 0.90, | 7,527,500 | 417,267 | ||||||
|
| |||||||
TOTAL WARRANTS—0.0% (Cost $773,078) | 417,267 | |||||||
|
| |||||||
TOTAL INVESTMENTS—96.6% | 6,584,599,089 | |||||||
|
| |||||||
SECURITIES SOLD SHORT—(45.5%) |
| |||||||
COMMON STOCK—(45.5%) | ||||||||
Basic Industries—(2.2%) | ||||||||
Air Liquide SA | (191,113 | ) | (19,895,744 | ) | ||||
AptarGroup, Inc. | (165,502 | ) | (12,199,152 | ) | ||||
Balchem Corp. | (185,215 | ) | (11,718,553 | ) | ||||
Ball Corp. † | (184,914 | ) | (12,246,854 | ) | ||||
Detour Gold Corp. * | (565,009 | ) | (8,898,996 | ) |
Number of Shares | Value | |||||||
Basic Industries—(continued) | ||||||||
FMC Corp. | (385,287 | ) | $ | (14,502,203 | ) | |||
Goldcorp, Inc. | (934,738 | ) | (13,385,448 | ) | ||||
International Flavors & Fragrances, Inc. | (156,167 | ) | (16,130,489 | ) | ||||
NewMarket Corp. | (61,679 | ) | (22,521,470 | ) | ||||
Rotork PLC | (2,880,706 | ) | (6,367,244 | ) | ||||
Vale SA — Sponsored ADR | (3,029,277 | ) | (8,906,074 | ) | ||||
|
| |||||||
(146,772,227 | ) | |||||||
|
| |||||||
Capital Goods—(3.6%) | ||||||||
Actuant Corp., Class A | (367,402 | ) | (8,600,881 | ) | ||||
Atlas Copco AB, Class A | (791,621 | ) | (17,839,729 | ) | ||||
Axalta Coating Systems Ltd. * | (971,112 | ) | (25,210,068 | ) | ||||
Caterpillar, Inc. | (217,239 | ) | (14,707,080 | ) | ||||
CNH Industrial NV | (1,479,711 | ) | (9,810,484 | ) | ||||
Deere & Co. | (231,684 | ) | (18,576,423 | ) | ||||
Flowserve Corp. | (343,979 | ) | (14,453,998 | ) | ||||
Fortune Brands Home & Security, Inc. | (271,461 | ) | (13,632,771 | ) | ||||
Franklin Electric Co., Inc. | (222,912 | ) | (6,653,923 | ) | ||||
GEA Group AG | (487,792 | ) | (21,464,023 | ) | ||||
KUKA AG | (105,289 | ) | (9,770,406 | ) | ||||
MTU Aero Engines Holding AG | (128,063 | ) | (11,644,812 | ) | ||||
Sun Hydraulics Corp. | (300,619 | ) | (8,952,434 | ) | ||||
TOTO Ltd. | (289,300 | ) | (8,323,285 | ) | ||||
Trex Co., Inc. * | (288,596 | ) | (12,429,830 | ) | ||||
Wabtec Corp. | (108,440 | ) | (7,655,864 | ) | ||||
WW Grainger, Inc. | (82,316 | ) | (17,854,340 | ) | ||||
Zardoya Otis SA | (579,242 | ) | (6,167,976 | ) | ||||
Zodiac Aerospace | (759,756 | ) | (12,654,360 | ) | ||||
|
| |||||||
(246,402,687 | ) | |||||||
|
| |||||||
Communications—(3.4%) | ||||||||
58.Com, Inc. — ADR * | (216,863 | ) | (11,493,739 | ) | ||||
CenturyLink, Inc. | (591,390 | ) | (18,090,620 | ) | ||||
Cogent Communications Group, Inc. | (611,942 | ) | (22,458,271 | ) | ||||
comScore. Inc, * | (298,399 | ) | (12,279,119 | ) | ||||
Costar Group, Inc. * | (66,438 | ) | (11,763,512 | ) | ||||
Eutelsat Communications SA | (325,154 | ) | (9,847,354 | ) | ||||
Frontier Communications Corp | (3,403,978 | ) | (18,415,521 | ) | ||||
j2 Global Communications, Inc. | (159,497 | ) | (11,656,041 | ) | ||||
Mercadolibre, Inc. | (161,727 | ) | (16,457,340 | ) | ||||
Millicom International Cellular SA — SDR | (316,945 | ) | (15,181,236 | ) | ||||
SES SA | (385,613 | ) | (10,111,319 | ) | ||||
Sprint Corp. * | (6,523,931 | ) | (22,442,323 | ) | ||||
Synchronoss Technologies, Inc. * | (382,789 | ) | (10,721,920 | ) | ||||
TalkTalk Telecom Group PLC | (3,007,413 | ) | (9,945,894 | ) | ||||
Telefonica SA — Sponsored ADR | (1,759,963 | ) | (17,494,032 | ) | ||||
WebMD Health Corp. * | (214,960 | ) | (11,921,682 | ) | ||||
|
| |||||||
(230,279,923 | ) | |||||||
|
| |||||||
Consumer Durables—(1.5%) | ||||||||
Autoliv, Inc. | (262,989 | ) | (27,937,321 | ) | ||||
Dorman Products, Inc. * | (177,076 | ) | (8,954,733 | ) |
THEACCOMPANYINGNOTESAREANINTEGRALPARTOFTHEFINANCIALSTATEMENTS.
SEMI-ANNUAL REPORT 2016 | 19 |
BOSTON PARTNERS INVESTMENT FUNDS | FEBRUARY 29, 2016 (unaudited) |
BOSTON PARTNERS LONG/SHORT RESEARCH FUND (continued) | PORTFOLIOOF INVESTMENTS |
Number of Shares | Value | |||||||
Consumer Durables—(continued) |
| |||||||
Ferrari NV * | (323,219 | ) | $ | (12,275,858 | ) | |||
Leggett & Platt, Inc. | (286,905 | ) | (12,813,177 | ) | ||||
Luxottica Group SpA | (312,797 | ) | (17,856,000 | ) | ||||
Tesla Motors, Inc. * | (102,852 | ) | (19,740,384 | ) | ||||
|
| |||||||
(99,577,473 | ) | |||||||
|
| |||||||
Consumer Non-Durables—(4.1%) |
| |||||||
B&G Foods, Inc. | (610,375 | ) | (21,112,871 | ) | ||||
C&C Group PLC | (3,664,016 | ) | (13,693,779 | ) | ||||
Casey’s General Stores, Inc. | (145,407 | ) | (15,350,617 | ) | ||||
Colgate-Palmolive Co. | (304,934 | ) | (20,015,868 | ) | ||||
Kagome Co. Ltd. | (607,800 | ) | (11,423,221 | ) | ||||
Kroger Co., (The) | (447,837 | ) | (17,873,175 | ) | ||||
McCormick & Co., Inc., non-voting shares | (231,373 | ) | (21,577,846 | ) | ||||
Monster Beverage Corp. * | (155,633 | ) | (19,531,942 | ) | ||||
Nintendo Co. Ltd. | (78,600 | ) | (11,001,962 | ) | ||||
Remy Cointreau SA | (197,329 | ) | (13,618,950 | ) | ||||
Tod’s SpA ‡ | (207,095 | ) | (15,635,500 | ) | ||||
TreeHouse Foods, Inc. * | (222,279 | ) | (18,764,793 | ) | ||||
Tsingtao Brewery Co., Ltd. Class H | (3,622,000 | ) | (13,085,008 | ) | ||||
Tumi Holdings, Inc. * | (648,614 | ) | (12,810,127 | ) | ||||
Under Armour, Inc., Class A * | (241,380 | ) | (20,201,092 | ) | ||||
Want Want China Holdings Ltd. | (23,643,000 | ) | (15,650,562 | ) | ||||
Whitewave Foods Co., (The) * | (524,505 | ) | (20,308,834 | ) | ||||
|
| |||||||
(281,656,147 | ) | |||||||
|
| |||||||
Consumer Services—(8.5%) | ||||||||
Acxiom Corp. * | (856,191 | ) | (17,757,401 | ) | ||||
Amazon.com, Inc. * | (44,596 | ) | (24,640,182 | ) | ||||
Aramark | (762,499 | ) | (23,957,719 | ) | ||||
Bob Evans Farms, Inc. | (458,128 | ) | (19,658,272 | ) | ||||
Buffalo Wild Wings, Inc. * | (159,207 | ) | (25,258,191 | ) | ||||
Cheesecake Factory, Inc., (The) | (340,274 | ) | (16,979,673 | ) | ||||
Chipotle Mexican Grill, Inc. * | (33,578 | ) | (17,096,574 | ) | ||||
Dollar Tree, Inc. * | (314,577 | ) | (25,244,804 | ) | ||||
Dollarama., Inc. | (260,838 | ) | (15,183,740 | ) | ||||
GrainCorp, Ltd., Class A | (3,600,324 | ) | (20,115,426 | ) | ||||
Hennes & Mauritz AB, Class B | (771,515 | ) | (25,002,070 | ) | ||||
Lululemon Athletica, Inc. * | (370,135 | ) | (23,218,569 | ) | ||||
Medidata Solutions, Inc. * | (630,489 | ) | (21,751,871 | ) | ||||
Monro Muffler Brake, Inc. | (403,554 | ) | (27,590,987 | ) | ||||
Netflix, Inc. * | (195,799 | ) | (18,289,585 | ) | ||||
Nord Anglia Education, Inc. * | (609,006 | ) | (11,808,626 | ) | ||||
Norwegian Cruise Line Holdings Ltd. * | (204,820 | ) | (10,062,807 | ) | ||||
Pricesmart, Inc. | (285,729 | ) | (22,075,423 | ) | ||||
Qunar Cayman Islands Ltd. — ADR * | (165,045 | ) | (6,121,519 | ) | ||||
Rollins, Inc. | (502,105 | ) | (13,822,951 | ) | ||||
Seek Ltd. | (2,374,667 | ) | (26,212,417 | ) | ||||
Societe Television Francaise 1 | (1,564,588 | ) | (17,983,632 | ) | ||||
Texas Roadhouse, Inc. | (896,375 | ) | (37,387,801 | ) | ||||
Tiffany & Co. | (255,922 | ) | (16,629,812 | ) | ||||
Tractor Supply Co. | (215,485 | ) | (18,223,566 | ) | ||||
VistaPrint NV * | (241,733 | ) | (21,316,016 | ) | ||||
Wayfair, Inc., Class A * | (300,587 | ) | (11,713,875 | ) |
Number of Shares | Value | |||||||
Consumer Services—(continued) |
| |||||||
Wendy’s Co., (The) | (1,614,309 | ) | $ | (15,126,075 | ) | |||
Whitbread PLC | (183,303 | ) | (9,949,117 | ) | ||||
Whole Foods Market, Inc. | (565,415 | ) | (17,703,144 | ) | ||||
|
| |||||||
(577,881,845 | ) | |||||||
|
| |||||||
Energy—(2.4%) | ||||||||
Cabot Oil & Gas Corp. | (856,867 | ) | (17,248,733 | ) | ||||
Chevron Corp. | (333,237 | ) | (27,805,295 | ) | ||||
Continental Resources, Inc. * | (730,605 | ) | (16,935,424 | ) | ||||
CVR Energy, Inc. | (254,563 | ) | (6,020,415 | ) | ||||
Helmerich & Payne, Inc. | (210,924 | ) | (11,172,644 | ) | ||||
Hess Corp. | (365,070 | ) | (15,917,052 | ) | ||||
Matador Resources Co. * | (1,113,887 | ) | (17,978,136 | ) | ||||
National Oilwell Varco, Inc. | (529,417 | ) | (15,496,036 | ) | ||||
Noble Energy, Inc. | (449,397 | ) | (13,257,212 | ) | ||||
Transocean Ltd. | (967,279 | ) | (8,366,963 | ) | ||||
Weatherford International PLC * | (1,814,109 | ) | (11,610,298 | ) | ||||
|
| |||||||
(161,808,208 | ) | |||||||
|
| |||||||
Finance—(5.5%) | ||||||||
Aberdeen Asset Management PLC | (3,423,621 | ) | (11,419,594 | ) | ||||
BancorpSouth, Inc. | (475,116 | ) | (9,464,311 | ) | ||||
Bank of East Asia Ltd., (The) | (3,761,200 | ) | (11,929,649 | ) | ||||
Bank of Hawaii Corp. | (154,174 | ) | (9,790,049 | ) | ||||
Bankia SA | (4,968,007 | ) | (4,213,208 | ) | ||||
Bankinter SA | (1,627,309 | ) | (10,724,643 | ) | ||||
BOK Financial Corp. | (49,241 | ) | (2,406,408 | ) | ||||
Community Bank System, Inc. | (442,590 | ) | (16,389,108 | ) | ||||
Credit Acceptance Corp. * | (23,703 | ) | (4,671,150 | ) | ||||
Cullen/Frost Bankers, Inc. | (224,441 | ) | (10,757,457 | ) | ||||
CVB Financial Corp. | (1,120,698 | ) | (17,404,440 | ) | ||||
Eaton Vance Corp. | (610,727 | ) | (17,656,118 | ) | ||||
Financial Engines, Inc. | (410,715 | ) | (10,021,446 | ) | ||||
First Financial Bankshares, Inc. | (589,940 | ) | (15,580,315 | ) | ||||
Glacier Bancorp, Inc. | (612,473 | ) | (14,589,107 | ) | ||||
Hang Seng Bank Ltd. | (629,300 | ) | (10,638,983 | ) | ||||
HDFC Bank Ltd. — ADR | (184,713 | ) | (9,756,541 | ) | ||||
Home Bancshares, Inc. | (132,440 | ) | (5,234,029 | ) | ||||
Iberiabank Corp. | (77,618 | ) | (3,700,826 | ) | ||||
MB Financial, Inc. | (305,983 | ) | (9,338,601 | ) | ||||
Mercury General Corp. | (286,049 | ) | (15,040,456 | ) | ||||
New York Community Bancorp, Inc. | (1,222,922 | ) | (18,502,810 | ) | ||||
Oversea-Chinese Banking Corp. Ltd. | (1,830,300 | ) | (10,502,816 | ) | ||||
PacWest Bancorp | (230,986 | ) | (7,433,129 | ) | ||||
Prosperity Bancshares, Inc. | (199,848 | ) | (8,083,852 | ) | ||||
Texas Capital Bancshares, Inc. * | (141,759 | ) | (4,583,068 | ) | ||||
Trustmark Corp. | (554,085 | ) | (12,123,380 | ) | ||||
UMB Financial Corp. | (230,142 | ) | (11,302,274 | ) | ||||
United Bankshares, Inc. | (635,365 | ) | (22,263,190 | ) | ||||
Valley National Bancorp | (1,363,198 | ) | (12,268,782 | ) | ||||
Verisk Analytics, Inc. * | (232,750 | ) | (16,953,510 | ) | ||||
Westamerica Bancorporation | (444,734 | ) | (20,008,583 | ) | ||||
WisdomTree Investments, Inc. | (1,030,063 | ) | (12,206,247 | ) | ||||
|
| |||||||
(376,958,080 | ) | |||||||
|
|
THEACCOMPANYINGNOTESAREANINTEGRALPARTOFTHEFINANCIALSTATEMENTS.
20 | SEMI-ANNUAL REPORT 2016 |
BOSTON PARTNERS INVESTMENT FUNDS | FEBRUARY 29, 2016 (unaudited) |
BOSTON PARTNERS LONG/SHORT RESEARCH FUND (continued) | PORTFOLIOOF INVESTMENTS |
Number of Shares | Value | |||||||
Health Care—(3.5%) |
| |||||||
Akorn, Inc. * | (276,793 | ) | $ | (7,359,926 | ) | |||
Alexion Pharmaceuticals, Inc. * | (36,240 | ) | (5,102,592 | ) | ||||
athenahealth, Inc. * | (113,795 | ) | (14,687,521 | ) | ||||
BTG PLC * | (940,220 | ) | (8,121,146 | ) | ||||
Carl Zeiss Meditec AG | (637,198 | ) | (19,992,685 | ) | ||||
Coloplast A/S, Class B | (150,156 | ) | (11,346,643 | ) | ||||
Concordia Healthcare Corp. | (259,171 | ) | (7,549,098 | ) | ||||
DexCom, Inc. * | (175,046 | ) | (11,388,493 | ) | ||||
Elekta AB, B Shares | (2,047,201 | ) | (18,086,883 | ) | ||||
Henry Schein, Inc. * | (100,059 | ) | (16,554,762 | ) | ||||
IDEXX Laboratories, Inc. * | (265,408 | ) | (19,417,249 | ) | ||||
Illumina, Inc. * | (75,440 | ) | (11,334,106 | ) | ||||
Intuitive Surgical, Inc. * | (27,046 | ) | (15,228,521 | ) | ||||
Kite Pharma, Inc. * | (132,546 | ) | (5,927,457 | ) | ||||
Nevro Corp. * | (166,564 | ) | (9,594,086 | ) | ||||
Sonova Holding AG | (81,528 | ) | (9,763,220 | ) | ||||
Takeda Pharmaceutical Co., Ltd. | (231,500 | ) | (11,019,855 | ) | ||||
West Pharmaceutical Services, Inc. | (461,054 | ) | (28,594,569 | ) | ||||
Wright Medical Group NV * | (498,706 | ) | (8,522,886 | ) | ||||
|
| |||||||
(239,591,698 | ) | |||||||
|
| |||||||
Real Estate Investment Trusts—(1.3%) |
| |||||||
Equinix, Inc. | (116,183 | ) | (35,283,615 | ) | ||||
Iron Mountain, Inc. | (836,797 | ) | (24,585,096 | ) | ||||
Realty Income Corp. | (515,023 | ) | (30,149,446 | ) | ||||
|
| |||||||
(90,018,157 | ) | |||||||
|
| |||||||
Technology—(7.3%) |
| |||||||
Arista Networks, Inc. * | (241,451 | ) | (16,549,052 | ) | ||||
Blackbaud, Inc. | (464,917 | ) | (26,281,758 | ) | ||||
Cavium, Inc. * | (391,160 | ) | (23,270,108 | ) | ||||
Ciena Corp. * | (539,235 | ) | (11,054,318 | ) | ||||
Cognex Corp. | (642,059 | ) | (23,762,604 | ) | ||||
Dassault Systemes SA | (295,144 | ) | (22,356,697 | ) | ||||
Demandware, Inc. * | (150,192 | ) | (5,210,160 | ) | ||||
Electronics for Imaging, Inc. * | (482,245 | ) | (19,101,724 | ) | ||||
Finisar Corp. * | (1,707,703 | ) | (24,898,310 | ) | ||||
Guidewire Software, Inc. * | (455,453 | ) | (22,421,951 | ) | ||||
Hexagon AB | (695,622 | ) | (23,617,371 | ) | ||||
Infineon Technologies AG | (703,046 | ) | (8,533,201 | ) | ||||
Infosys Ltd. — Sponsored ADR | (1,749,290 | ) | (29,423,058 | ) | ||||
Itron, Inc. * | (988,823 | ) | (39,394,708 | ) | ||||
National Instruments Corp. | (1,302,847 | ) | (37,587,136 | ) | ||||
NetSuite, Inc. * | (400,990 | ) | (24,227,816 | ) | ||||
Nidec Corp. | (190,200 | ) | (12,739,711 | ) | ||||
Proofpoint, Inc. * | (276,892 | ) | (12,969,621 | ) | ||||
Telefonaktiebolaget LM Ericsson, Class B | (1,281,678 | ) | (11,771,292 | ) | ||||
Unisys, Corp. * | (1,259,584 | ) | (13,565,720 | ) | ||||
Veeva Systems, Inc., Class A * | (877,709 | ) | (21,319,552 | ) | ||||
Verint Systems, Inc. * | (11,007 | ) | (391,079 | ) | ||||
ViaSat, Inc. * | (179,367 | ) | (13,095,585 | ) | ||||
Wipro Ltd. — ADR | (2,948,507 | ) | (32,964,308 | ) | ||||
Workday, Inc., Class A * | (365,427 | ) | (22,090,062 | ) | ||||
|
| |||||||
(498,596,902 | ) | |||||||
|
|
Number of Shares | Value | |||||||
Transportation—(1.3%) |
| |||||||
Heartland Express, Inc. | (755,426 | ) | $ | (13,899,838 | ) | |||
J.B. Hunt Transport Services, Inc. | (129,545 | ) | (9,882,988 | ) | ||||
Keikyu Corp. | (1,599,220 | ) | (14,176,024 | ) | ||||
Kintetsu Group Holdings, Co., Ltd. | (2,900,000 | ) | (12,431,680 | ) | ||||
Norwegian Air Shuttle ASA * | (301,513 | ) | (9,905,281 | ) | ||||
Old Dominion Freight Line, Inc. * | (150,728 | ) | (9,731,000 | ) | ||||
Panalpina Welttransport Holding AG, Registered Shares | (100,625 | ) | (9,086,867 | ) | ||||
Tobu Railway Co., Ltd. | (2,100,000 | ) | (10,932,833 | ) | ||||
|
| |||||||
(90,046,511 | ) | |||||||
|
| |||||||
Utilities—(0.9%) |
| |||||||
Kinder Morgan, Inc. | (1,381,191 | ) | (24,985,745 | ) | ||||
Ormat Technologies, Inc. | (504,513 | ) | (19,252,216 | ) | ||||
Spectra Energy Corp. | (615,359 | ) | (17,968,483 | ) | ||||
|
| |||||||
(62,206,444 | ) | |||||||
|
| |||||||
TOTAL COMMON STOCK | (3,101,796,302 | ) | ||||||
|
| |||||||
TOTAL SECURITIES SOLD SHORT—(45.5%) (Proceeds $3,284,948,830) | (3,101,796,302 | ) | ||||||
|
| |||||||
Number of Contracts | ||||||||
OPTIONS WRITTEN ††—(0.3%) |
| |||||||
Anadarko Petroleum Corp. | (8,000 | ) | (4,700,000 | ) | ||||
Diamondback Energy, Inc. | (2,118 | ) | (393,948 | ) | ||||
Diamondback Energy, Inc. | (4,000 | ) | (4,580,000 | ) | ||||
Diamondback Energy, Inc. | (2,260 | ) | (678,000 | ) | ||||
EOG Resources Call Options Expires 04/15/16 | (2,500 | ) | (1,025,000 | ) | ||||
EOG Resources Call Options Expires 07/15/16 | (3,633 | ) | (1,671,180 | ) | ||||
Exxon Mobil Corp. Call Options Expires 04/15/16 | (1,719 | ) | (524,295 | ) | ||||
Exxon Mobil Corp. Call Options Expires 07/15/16 | (6,000 | ) | (4,770,000 | ) | ||||
Occidental Petroleum Corp. Call Options Expires 05/20/16 | (4,500 | ) | (1,665,000 | ) |
THEACCOMPANYINGNOTESAREANINTEGRALPARTOFTHEFINANCIALSTATEMENTS.
SEMI-ANNUAL REPORT 2016 | 21 |
BOSTON PARTNERS INVESTMENT FUNDS | FEBRUARY 29, 2016 (unaudited) |
BOSTON PARTNERS LONG/SHORT RESEARCH FUND (continued) | PORTFOLIOOF INVESTMENTS |
Number of Contracts | Value | |||||||
Phillips 66 Call Options | (3,435 | ) | $ | (1,648,800 | ) | |||
|
| |||||||
TOTAL OPTIONS WRITTEN | (21,656,223 | ) | ||||||
|
| |||||||
ASSETS IN EXCESS OF LIABILITIES—49.2% | 3,354,686,821 | |||||||
|
| |||||||
NET ASSETS—100.0% | $ | 6,815,833,385 | ||||||
|
|
ADR | — | American Depositary Receipt | ||
LP | — | Limited Partnership | ||
PLC | — | Public Limited Company | ||
SDR | — | Swedish Depositary Receipt | ||
* | — | Non-income producing. | ||
† | — | Security position is either entirely or partially held in a segregated account as collateral for securities sold short. | ||
# | — | Security segregated as collateral for options written. | ||
†† | — | Primary risk exposure is equity contracts. |
Contracts For Difference held by the Fund at February 29, 2016, are as follows:
Reference Company | Counterparty | Number of Contracts | Notional Amount | Unrealized Appreciation (Depreciation) | ||||||||||||
Long | ||||||||||||||||
Jiangsu Yanghe Brewery Joint-Stock Co., Ltd., Class A | Goldman Sachs | 1,389,911 | $ | 12,785,652 | $ | (561,299 | ) | |||||||||
Kweichow Moutai Co., Ltd., Class A | Goldman Sachs | 552,020 | 17,281,428 | 916,366 | ||||||||||||
|
| |||||||||||||||
355,067 | ||||||||||||||||
Short | ||||||||||||||||
First Financial Holding Co., Ltd. | Goldman Sachs | (19,190,000 | ) | 8,877,294 | (59,891 | ) | ||||||||||
Semiconductor Manufacturing International Corp. | Goldman Sachs | (338,540,000 | ) | 28,251,327 | 306,895 | |||||||||||
|
| |||||||||||||||
247,004 | ||||||||||||||||
|
| |||||||||||||||
Net unrealized gain on Contracts for Difference | $ | 602,071 | ||||||||||||||
|
|
A summary of the inputs used to value the Fund’s investments as of February 29, 2016 is as follows (see Note 1 in the Notes to Financial Statements):
Total Value as of February 29, 2016 | Level 1 Quoted Price | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |||||||||||||
Common Stock | ||||||||||||||||
Basic Industries | $ | 407,678,433 | $ | 386,114,443 | $ | 21,563,990 | $ | — | ||||||||
Capital Goods | 805,488,736 | 653,237,290 | 152,251,446 | — | ||||||||||||
Communications | 363,719,531 | 323,006,815 | 40,712,716 | — | ||||||||||||
Consumer Durables | 196,138,256 | 132,386,839 | 63,751,417 | — | ||||||||||||
Consumer Non-Durables | 266,382,091 | 112,281,635 | 154,100,456 | — | ||||||||||||
Consumer Services | 824,509,798 | 690,271,676 | 134,238,122 | — | ||||||||||||
Energy | 548,798,771 | 537,919,091 | 10,879,680 | — | ||||||||||||
Finance | 1,284,187,355 | 1,274,448,269 | 9,739,086 | — | ||||||||||||
Health Care | 693,165,104 | 693,165,104 | — | — | ||||||||||||
Real Estate Investment Trusts | 43,729,350 | 43,729,350 | — | — | ||||||||||||
Technology | 1,061,218,898 | 1,061,218,898 | — | — | ||||||||||||
Transportation | 66,099,854 | 66,099,854 | — | — | ||||||||||||
Utilities | 23,065,645 | 23,065,645 | — | — | ||||||||||||
Warrants | 417,267 | 417,267 | — | — | ||||||||||||
Contracts for difference | 1,223,261 | — | 1,223,261 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Assets | $ | 6,585,822,350 | $ | 5,997,362,176 | $ | 588,460,174 | $ | — | ||||||||
|
|
|
|
|
|
|
|
THEACCOMPANYINGNOTESAREANINTEGRALPARTOFTHEFINANCIALSTATEMENTS.
22 | SEMI-ANNUAL REPORT 2016 |
BOSTON PARTNERS INVESTMENT FUNDS | FEBRUARY 29, 2016 (unaudited) |
BOSTON PARTNERS LONG/SHORT RESEARCH FUND (concluded) | PORTFOLIOOF INVESTMENTS |
Total Value as of February 29, 2016 | Level 1 Quoted Price | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |||||||||||||
Securities Sold Short | ||||||||||||||||
Basic Industries | $ | (146,772,227 | ) | $ | (120,509,239 | ) | $ | (26,262,988 | ) | $ | — | |||||
Capital Goods | (246,402,687 | ) | (158,538,096 | ) | (87,864,591 | ) | — | |||||||||
Communications | (230,279,923 | ) | (185,194,120 | ) | (45,085,803 | ) | — | |||||||||
Consumer Durables | (99,577,473 | ) | (81,721,473 | ) | (17,856,000 | ) | — | |||||||||
Consumer Non-Durables | (281,656,147 | ) | (187,547,165 | ) | (94,108,982 | ) | — | |||||||||
Consumer Services | (577,881,845 | ) | (478,619,183 | ) | (99,262,662 | ) | — | |||||||||
Energy | (161,808,208 | ) | (161,808,208 | ) | — | — | ||||||||||
Finance | (376,958,080 | ) | (317,529,187 | ) | (59,428,893 | ) | — | |||||||||
Health Care | (239,591,698 | ) | (161,261,266 | ) | (78,330,432 | ) | — | |||||||||
Real Estate Investment Trusts | (90,018,157 | ) | (90,018,157 | ) | — | — | ||||||||||
Technology | (498,596,902 | ) | (419,578,630 | ) | (79,018,272 | ) | — | |||||||||
Transportation | (90,046,511 | ) | (33,513,826 | ) | (56,532,685 | ) | — | |||||||||
Utilities | (62,206,444 | ) | (62,206,444 | ) | — | — | ||||||||||
Options Written | ||||||||||||||||
Equity Contracts | (21,656,223 | ) | (21,656,223 | ) | — | — | ||||||||||
Contracts for difference | (621,190 | ) | — | (621,190 | ) | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Liabilities | $ | (3,124,073,715 | ) | $ | (2,479,701,217 | ) | $ | (644,372,498 | ) | $ | — | |||||
|
|
|
|
|
|
|
|
THEACCOMPANYINGNOTESAREANINTEGRALPARTOFTHEFINANCIALSTATEMENTS.
SEMI-ANNUAL REPORT 2016 | 23 |
BOSTON PARTNERS INVESTMENT FUNDS | FEBRUARY 29, 2016 (unaudited) |
BOSTON PARTNERS ALL-CAP VALUE FUND | PORTFOLIOOF INVESTMENTS |
Number of Shares | Value | |||||||
RIGHTS—0.0% | ||||||||
Technology—0.0% | ||||||||
CVR Banctec, Inc. Escrow Shares * ‡ | 14,327 | $ | 0 | |||||
|
| |||||||
TOTAL RIGHTS | 0 | |||||||
|
| |||||||
COMMON STOCK—95.3% | ||||||||
Basic Industries—1.7% | ||||||||
Avery Dennison Corp. | 69,959 | 4,555,730 | ||||||
Crown Holdings, Inc. * | 118,740 | 5,562,969 | ||||||
Graphic Packaging Holding Co. | 352,537 | 4,346,781 | ||||||
Huntsman Corp. | 132,106 | 1,434,671 | ||||||
Mosaic Co., (The) | 133,195 | 3,549,647 | ||||||
|
| |||||||
19,449,798 | ||||||||
|
| |||||||
Capital Goods—8.9% | ||||||||
Fluor Corp. | 99,286 | 4,571,127 | ||||||
General Electric Co. | 951,654 | 27,731,198 | ||||||
Huntington Ingalls Industries, Inc. | 29,334 | 3,844,514 | ||||||
Ingersoll-Rand PLC | 62,792 | 3,488,724 | ||||||
Masco Corp. | 143,016 | 4,033,051 | ||||||
Oshkosh Corp. | 126,273 | 4,356,419 | ||||||
Parker Hannifin Corp. | 34,918 | 3,533,702 | ||||||
Raytheon Co. | 147,683 | 18,290,540 | ||||||
Stanley Black & Decker, Inc. | 84,444 | 7,938,580 | ||||||
Textron, Inc. | 113,660 | 3,881,489 | ||||||
Timken Co. | 152,274 | 4,542,333 | ||||||
United Technologies Corp. | 100,637 | 9,723,547 | ||||||
WESCO International, Inc. * (a) | 119,396 | 5,259,394 | ||||||
|
| |||||||
101,194,618 | ||||||||
|
| |||||||
Communications—1.5% | ||||||||
Comcast Corp., Class A | 106,350 | 6,139,586 | ||||||
IAC/InterActiveCorp. | 120,427 | 5,349,367 | ||||||
NetEase, Inc. — ADR | 36,901 | 4,967,244 | ||||||
|
| |||||||
16,456,197 | ||||||||
|
| |||||||
Consumer Durables—1.7% | ||||||||
Brunswick Corp. | 65,077 | 2,768,375 | ||||||
Lear Corp. | 59,893 | 6,070,156 | ||||||
Newell Rubbermaid, Inc. (a) | 97,247 | 3,696,358 | ||||||
Thor Industries, Inc. | 127,903 | 7,083,268 | ||||||
|
| |||||||
19,618,157 | ||||||||
|
| |||||||
Consumer Non-Durables—3.5% | ||||||||
Activision Blizzard, Inc. | 451,818 | 14,309,076 | ||||||
Electronic Arts, Inc. * | 141,906 | 9,116,041 | ||||||
PepsiCo, Inc. | 104,549 | 10,226,983 | ||||||
Reynolds American, Inc. | 127,933 | 6,451,661 | ||||||
|
| |||||||
40,103,761 | ||||||||
|
| |||||||
Consumer Services—7.7% |
| |||||||
Bed Bath & Beyond, Inc. * | 85,964 | 4,121,974 | ||||||
Best Buy Co., Inc. | 282,603 | 9,153,511 | ||||||
eBay, Inc. * | 598,022 | 14,232,924 | ||||||
H&R Block, Inc. | 186,442 | 6,130,213 | ||||||
Hibbett Sports, Inc. * (a) | 128,853 | 4,574,282 | ||||||
Kohl’s Corp. | 253,807 | 11,845,173 | ||||||
Lowe’s Cos., Inc. | 88,681 | 5,988,628 |
Number of Shares | Value | |||||||
Consumer Services—(continued) |
| |||||||
ManpowerGroup, Inc. | 88,931 | $ | 6,886,817 | |||||
New Oriental Education & Technology Group, Inc. — Sponsored ADR | 109,005 | 3,393,326 | ||||||
Office Depot, Inc. * | 443,661 | 2,253,798 | ||||||
Omnicom Group, Inc. | 189,054 | 14,710,292 | ||||||
Sportsman’s Warehouse Holdings, Inc. * | 293,923 | 3,812,181 | ||||||
|
| |||||||
87,103,119 | ||||||||
|
| |||||||
Energy—5.9% |
| |||||||
Anadarko Petroleum Corp. | 70,405 | 2,671,870 | ||||||
California Resources Corp. | 17,386 | 9,773 | ||||||
Canadian Natural Resources Ltd. (a) | 231,252 | 4,823,917 | ||||||
Cimarex Energy Co. | 38,266 | 3,215,492 | ||||||
Diamondback Energy, Inc. * | 69,693 | 4,965,626 | ||||||
Energen Corp. (a) | 136,402 | 3,611,925 | ||||||
EOG Resources, Inc. | 55,579 | 3,598,184 | ||||||
EQT Corp. | 53,298 | 2,970,831 | ||||||
Marathon Petroleum Corp. | 72,455 | 2,481,584 | ||||||
Occidental Petroleum Corp. | 186,677 | 12,847,111 | ||||||
Parsley Energy, Inc., Class A * | 202,542 | 3,722,722 | ||||||
Phillips 66 | 181,800 | 14,433,102 | ||||||
QEP Resources, Inc. | 174,036 | 1,698,591 | ||||||
Rice Energy, Inc. * | 171,794 | 1,573,633 | ||||||
RSP Permian, Inc. * | 67,316 | 1,609,526 | ||||||
Western Refining, Inc. | 85,947 | 2,292,206 | ||||||
|
| |||||||
66,526,093 | ||||||||
|
| |||||||
Finance—27.2% |
| |||||||
AFLAC, Inc. | 193,359 | 11,508,728 | ||||||
Alleghany Corp. * | 16,535 | 7,671,909 | ||||||
Allstate Corp., (The) | 155,858 | 9,890,749 | ||||||
Ally Financial, Inc. * | 276,446 | 4,859,921 | ||||||
American Express Co. # | 97,766 | 5,433,834 | ||||||
American International Group, Inc. | 217,473 | 10,917,145 | ||||||
Aon PLC | 62,889 | 5,992,693 | ||||||
Bank of America Corp. | 1,257,982 | 15,749,935 | ||||||
BB&T Corp. | 379,700 | 12,211,152 | ||||||
Capital One Financial Corp. | 299,693 | 19,698,821 | ||||||
Chubb Ltd. | 154,746 | 17,877,805 | ||||||
Citigroup, Inc. | 469,207 | 18,228,692 | ||||||
FCB Financial Holdings, Inc., Class A * | 76,329 | 2,290,633 | ||||||
Fifth Third Bancorp | 958,037 | 14,619,645 | ||||||
Goldman Sachs Group, Inc., (The) | 62,959 | 9,414,259 | ||||||
JPMorgan Chase & Co. | 604,790 | 34,049,677 | ||||||
Loews Corp. | 256,009 | 9,305,927 | ||||||
MetLife, Inc. | 184,579 | 7,301,945 | ||||||
Navient Corp. | 454,477 | 4,921,986 | ||||||
OneBeacon Insurance Group Ltd., Class A (a) | 228,350 | 2,947,999 | ||||||
Peoples Choice Financial Corp. 144A * ‡ | 1,465 | 0 | ||||||
Prudential Financial, Inc. | 150,481 | 9,945,289 | ||||||
Raymond James Financial, Inc. | 160,956 | 7,056,311 |
THEACCOMPANYINGNOTESAREANINTEGRALPARTOFTHEFINANCIALSTATEMENTS.
24 | SEMI-ANNUAL REPORT 2016 |
BOSTON PARTNERS INVESTMENT FUNDS | FEBRUARY 29, 2016 (unaudited) |
BOSTON PARTNERS ALL-CAP VALUE FUND (continued) | PORTFOLIOOF INVESTMENTS |
Number of Shares | Value | |||||||
Finance—(continued) |
| |||||||
SLM Corp. * | 299,581 | $ | 1,749,553 | |||||
Solar Cayman Ltd. 144A * ‡ | 19,375 | 0 | ||||||
State Street Corp. | 142,468 | 7,804,397 | ||||||
Torchmark Corp. | 84,829 | 4,344,941 | ||||||
Travelers Cos., Inc., (The) | 120,233 | 12,927,452 | ||||||
Wells Fargo & Co. | 230,696 | 10,824,256 | ||||||
White Mountains Insurance Group Ltd. | 17,570 | 13,473,730 | ||||||
WR Berkley Corp. | 196,459 | 10,117,638 | ||||||
XL Group PLC | 157,776 | 5,424,339 | ||||||
|
| |||||||
308,561,361 | ||||||||
|
| |||||||
Health Care—17.3% | ||||||||
AbbVie, Inc. | 114,767 | 6,267,426 | ||||||
Allscripts Healthcare Solutions, Inc. * | 222,591 | 2,786,839 | ||||||
Amgen, Inc. | 143,337 | 20,393,988 | ||||||
Anthem, Inc. | 50,007 | 6,535,415 | ||||||
Cardinal Health, Inc. | 108,730 | 8,883,241 | ||||||
Cigna Corp. | 44,892 | 6,267,372 | ||||||
Express Scripts Holding Co. * | 142,894 | 10,056,880 | ||||||
Gilead Sciences, Inc. | 151,140 | 13,186,965 | ||||||
Johnson & Johnson | 208,492 | 21,935,443 | ||||||
McKesson Corp. | 55,463 | 8,631,152 | ||||||
Medtronic PLC | 155,345 | 12,022,150 | ||||||
Merck & Co., Inc. | 464,957 | 23,345,491 | ||||||
Novartis AG — Sponsored ADR | 194,494 | 13,830,468 | ||||||
Pfizer, Inc. | 347,977 | 10,324,478 | ||||||
St. Jude Medical, Inc. | 259,309 | 13,922,300 | ||||||
Teva Pharmaceutical Industries Ltd. — Sponsored ADR | 173,711 | 9,658,332 | ||||||
UnitedHealth Group, Inc. | 67,040 | 7,984,464 | ||||||
|
| |||||||
196,032,404 | ||||||||
|
| |||||||
Real Estate Investment Trusts—0.0% |
| |||||||
TMST, Inc. ‡ | 191,097 | 0 | ||||||
|
| |||||||
Technology—19.5% | ||||||||
Amdocs Ltd. | 117,533 | 6,671,173 | ||||||
Arrow Electronics, Inc. * | 151,697 | 8,671,000 | ||||||
Avnet, Inc. | 187,431 | 7,712,786 | ||||||
Brocade Communications Systems, Inc. | 609,654 | 6,053,864 | ||||||
Cisco Systems, Inc. | 727,175 | 19,037,441 | ||||||
Computer Sciences Corp. | 201,886 | 5,816,336 | ||||||
EMC Corp. | 861,552 | 22,512,354 | ||||||
Fidelity National Information Services, Inc. | 85,192 | 4,962,434 | ||||||
Flextronics International Ltd. * | 973,533 | 10,572,568 | ||||||
Hewlett Packard Enterprise Co. | 839,627 | 11,141,850 | ||||||
HP, Inc. | 553,863 | 5,920,795 | ||||||
Jabil Circuit, Inc. | 290,525 | 6,057,446 | ||||||
Linear Technology Corp. | 90,793 | 3,960,391 | ||||||
Microsemi Corp. * | 228,222 | 7,903,328 | ||||||
Microsoft Corp. | 311,881 | 15,868,505 | ||||||
ON Semiconductor Corp. * | 740,716 | 6,214,607 | ||||||
Oracle Corp. | 614,206 | 22,590,497 | ||||||
PayPal Holdings, Inc. * | 175,443 | 6,691,396 | ||||||
Qorvo Inc. * | 249,840 | 11,262,787 |
Number of Shares | Value | |||||||
Technology—(continued) | ||||||||
Symantec Corp. | 310,713 | $ | 5,999,868 | |||||
TE Connectivity Ltd. | 164,677 | 9,373,415 | ||||||
Texas Instruments, Inc. | 106,433 | 5,643,078 | ||||||
Total System Services, Inc. | 148,755 | 6,482,743 | ||||||
Vishay Intertechnology, Inc. (a) | 346,644 | 4,104,265 | ||||||
|
| |||||||
221,224,927 | ||||||||
|
| |||||||
Transportation—0.4% | ||||||||
CH Robinson Worldwide, Inc. | 58,750 | 4,102,512 | ||||||
|
| |||||||
TOTAL COMMON STOCK | 1,080,372,947 | |||||||
|
| |||||||
SECURITIES LENDING COLLATERAL—0.8% |
| |||||||
BlackRock Liquidity TempFund, Institutional Shares | 9,637,947 | 9,637,947 | ||||||
|
| |||||||
TOTAL SECURITIES LENDING COLLATERAL | 9,637,947 | |||||||
|
| |||||||
TOTAL INVESTMENTS—96.1% | 1,090,010,894 | |||||||
|
| |||||||
Number of Contracts | ||||||||
OPTIONS WRITTEN ††—0.0% | ||||||||
American Express Co. Call | (977 | ) | (230,572 | ) | ||||
|
| |||||||
TOTAL OPTIONS WRITTEN | (230,572 | ) | ||||||
|
| |||||||
OTHER ASSETS IN EXCESS OF | 44,117,409 | |||||||
|
| |||||||
NET ASSETS—100.0% | $ | 1,133,897,731 | ||||||
|
|
ADR | — | American Depositary Receipt | ||
PLC | — | Public Limited Company | ||
144A | — | Security was purchased pursuant to Rule 144A under the Securities Act of 1933 and may not be resold subject to that rule except to qualified institutional buyers. As of February 29, 2016, these securities amounted to $0 or 0.0% of net assets. These 144A securities have not been deemed illiquid. | ||
* | — | Non-income producing. | ||
‡ | — | Security has been valued at fair market value as determined in good faith by or under the direction of The RBB Fund, Inc.’s Board of Directors. As of February 29, 2016, these securities amounted to $0 or 0% of net assets. | ||
# | — | Security segregated as collateral for options written. | ||
(a) | — | All or a portion of the security is on loan. At February 29, 2016, the market value of securities on loan was $9,272,163. | ||
†† | — | Primary risk exposure is equity contracts. |
THEACCOMPANYINGNOTESAREANINTEGRALPARTOFTHEFINANCIALSTATEMENTS.
SEMI-ANNUAL REPORT 2016 | 25 |
BOSTON PARTNERS INVESTMENT FUNDS | FEBRUARY 29, 2016 (unaudited) |
BOSTON PARTNERS ALL-CAP VALUE FUND (concluded) | PORTFOLIOOF INVESTMENTS |
A summary of the inputs used to value the Fund’s investments as of February 29, 2016 is as follows (see Note I in the Notes to Financial Statements):
Total Value as of February 29, 2016 | Level 1 Quoted Price | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |||||||||||||
Common Stock * | $ | 1,080,372,947 | $ | 1,080,372,947 | $ | — | $ | — | ||||||||
Rights | — | — | — | — | ||||||||||||
Securities Lending Collateral | 9,637,947 | 9,637,947 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Assets | $ | 1,090,010,894 | $ | 1,090,010,894 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Value as of February 29, 2016 | Level 1 Quoted Price | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |||||||||||||
Options Written | ||||||||||||||||
Equity Contracts | $ | (230,572 | ) | $ | (230,572 | ) | $ | — | $ | — | ||||||
|
|
|
|
|
|
|
| |||||||||
Total Liabilities | $ | (230,572 | ) | $ | (230,572 | ) | $ | — | $ | — | ||||||
|
|
|
|
|
|
|
|
* | See Portfolio of Investments detail for industry and security type breakout. |
THEACCOMPANYINGNOTESAREANINTEGRALPARTOFTHEFINANCIALSTATEMENTS.
26 | SEMI-ANNUAL REPORT 2016 |
BOSTON PARTNERS INVESTMENT FUNDS | FEBRUARY 29, 2016 (unaudited) |
WPG PARTNERS SMALL/MICRO CAP VALUE FUND | PORTFOLIOOF INVESTMENTS |
Number of Shares | Value | |||||||
COMMON STOCK—98.6% |
| |||||||
Basic Industries—1.4% |
| |||||||
Allegheny Technologies, Inc. (a) | 12,000 | $ | 160,920 | |||||
Westmoreland Coal Co. * (a) | 41,600 | 255,840 | ||||||
|
| |||||||
416,760 | ||||||||
|
| |||||||
Capital Goods—11.5% | ||||||||
Carpenter Technology Corp. | 6,300 | 187,236 | ||||||
Engility Holdings, Inc. * | 11,000 | 159,610 | ||||||
FreightCar America, Inc. | 32,700 | 486,249 | ||||||
Great Lakes Dredge & Dock Corp. * | 175,000 | 595,000 | ||||||
KBR, Inc. | 12,300 | 170,109 | ||||||
KEYW Holding Corp., (The) * | 47,800 | 297,794 | ||||||
Landec Corp. * | 35,300 | 356,177 | ||||||
Matrix Service Co. * | 10,400 | 191,256 | ||||||
Orion Marine Group, Inc. * | 65,100 | 233,709 | ||||||
Primoris Services Corp. | 12,400 | 264,864 | ||||||
Tutor Perini Corp. * | 38,400 | 513,024 | ||||||
|
| |||||||
3,455,028 | ||||||||
|
| |||||||
Communications—0.5% |
| |||||||
Iridium Communications, Inc. * (a) | 21,200 | 146,916 | ||||||
|
| |||||||
Consumer Durables—2.4% | ||||||||
Libbey, Inc. | 42,300 | 703,449 | ||||||
|
| |||||||
Consumer Non-Durables—3.7% | ||||||||
Callaway Golf Co. | 25,200 | 224,028 | ||||||
Crocs, Inc. * | 14,500 | 141,955 | ||||||
Freshpet, Inc. * (a) | 17,700 | 117,705 | ||||||
Matthews International Corp., Class A | 8,000 | 378,960 | ||||||
Sequential Brands Group, Inc. * | 33,100 | 230,707 | ||||||
|
| |||||||
1,093,355 | ||||||||
|
| |||||||
Consumer Services—8.9% |
| |||||||
ARC Document Solutions, Inc. * | 56,400 | 197,400 | ||||||
Ascena Retail Group, Inc. * (a) | 18,100 | 152,945 | ||||||
Carmike Cinemas, Inc. * | 25,100 | 550,694 | ||||||
Destination XL Group, Inc. * | 15,100 | 67,195 | ||||||
ICF International, Inc. * | 24,100 | 814,098 | ||||||
Landauer, Inc. | 1,000 | 29,070 | ||||||
MDC Partners, Inc., Class A | 26,900 | 573,508 | ||||||
Shoe Carnival, Inc. | 2,500 | 58,925 | ||||||
Titan Machinery, Inc. * | 24,200 | 230,384 | ||||||
|
| |||||||
2,674,219 | ||||||||
|
| |||||||
Energy—4.5% | ||||||||
Approach Resources, Inc. * | 122,900 | 92,654 | ||||||
Bill Barrett Corp. * (a) | 123,700 | 353,782 | ||||||
Gulfport Energy Corp. * | 13,900 | 333,600 | ||||||
Pacific Ethanol, Inc. * (a) | 70,200 | 276,588 | ||||||
TETRA Technologies, Inc. * | 56,500 | 284,760 | ||||||
|
| |||||||
1,341,384 | ||||||||
|
| |||||||
Finance—28.8% | ||||||||
Central Pacific Financial Corp. | 20,500 | 408,565 | ||||||
CNO Financial Group, Inc. | 25,400 | 442,722 | ||||||
Customers Bancorp, Inc * | 22,600 | 511,890 | ||||||
Employers Holdings, Inc. | 15,800 | 438,608 | ||||||
FBR & Co. | 17,295 | 301,798 |
Number of Shares | Value | |||||||
Finance—(continued) | ||||||||
First Foundation, Inc. * | 6,000 | $ | 130,320 | |||||
FNFV Group * | 25,100 | 255,267 | ||||||
Fulton Financial Corp. | 29,300 | 369,473 | ||||||
Hanover Insurance Group, Inc., (The) | 2,500 | 207,375 | ||||||
Investors Bancorp, Inc. | 43,900 | 496,948 | ||||||
Kearny Financial Corp. | 13,400 | 160,398 | ||||||
Kemper Corp. | 19,300 | 518,784 | ||||||
Kennedy-Wilson Holdings, Inc. | 27,400 | 521,148 | ||||||
Maiden Holdings Ltd. (a) | 36,200 | 433,314 | ||||||
Meridian Bancorp, Inc. | 37,700 | 519,883 | ||||||
National Bank Holdings Corp., Class A | 18,400 | 355,856 | ||||||
Northfield Bancorp, Inc. | 36,200 | 568,702 | ||||||
Popular, Inc. | 17,500 | 463,750 | ||||||
Real Industry, Inc. * (a) | 21,900 | 153,957 | ||||||
State Bank Financial Corp. | 30,100 | 563,472 | ||||||
THL Credit, Inc. | 12,300 | 120,909 | ||||||
United Community Banks, Inc. | 20,900 | 361,779 | ||||||
Yadkin Financial Corp. (a) | 16,000 | 346,400 | ||||||
|
| |||||||
8,651,318 | ||||||||
|
| |||||||
Health Care—4.4% | ||||||||
Accuray, Inc. * (a) | 121,900 | 615,595 | ||||||
Alere, Inc. * | 2,800 | 149,240 | ||||||
Invacare Corp. (a) | 6,200 | 75,082 | ||||||
Trinity Biotech PLC — Sponsored ADR * (a) | 49,700 | 487,557 | ||||||
|
| |||||||
1,327,474 | ||||||||
|
| |||||||
Real Estate Investment Trusts—13.4% |
| |||||||
CatchMark Timber Trust, Inc., Class A | 45,400 | 483,510 | ||||||
Cedar Realty Trust, Inc. | 68,500 | 467,855 | ||||||
Colony Starwood Homes | 16,400 | 360,144 | ||||||
Equity Commonwealth * | 20,900 | 556,567 | ||||||
FelCor Lodging Trust, Inc. | 37,500 | 277,500 | ||||||
Geo Group, Inc., (The) | 31,500 | 914,760 | ||||||
Gramercy Property Trust, Inc. | 59,684 | 450,614 | ||||||
Seritage Growth Properties (a) | 9,100 | 376,376 | ||||||
Two Harbors Investment Corp. | 18,700 | 144,925 | ||||||
|
| |||||||
4,032,251 | ||||||||
|
| |||||||
Technology—10.0% | ||||||||
Applied Micro Circuits Corp. * | 35,700 | 206,346 | ||||||
CIBER, Inc. * | 99,300 | 198,600 | ||||||
Computer Task Group, Inc. | 6,300 | 29,799 | ||||||
Digi International, Inc. * | 22,200 | 188,478 | ||||||
Exar Corp. * | 102,500 | 547,350 | ||||||
Finisar Corp. * | 8,700 | 126,846 | ||||||
Generac Holdings, Inc. * (a) | 5,900 | 204,966 | ||||||
Mercury Systems, Inc. * | 9,100 | 148,694 | ||||||
Plantronics, Inc. | 4,900 | 183,750 | ||||||
QAD, Inc., Class A | 12,200 | 238,754 | ||||||
SuperCom Ltd. * (a) | 30,500 | 141,520 | ||||||
Ultratech, Inc. * | 20,800 | 421,824 | ||||||
Viavi Solutions, Inc. * | 24,200 | 158,026 | ||||||
Xcerra Corp. * | 37,900 | 216,409 | ||||||
|
| |||||||
3,011,362 | ||||||||
|
|
THEACCOMPANYINGNOTESAREANINTEGRALPARTOFTHEFINANCIALSTATEMENTS.
SEMI-ANNUAL REPORT 2016 | 27 |
BOSTON PARTNERS INVESTMENT FUNDS | FEBRUARY 29, 2016 (unaudited) |
WPG PARTNERS SMALL/MICRO CAP VALUE FUND (concluded) | PORTFOLIOOF INVESTMENTS |
Number of Shares | Value | |||||||
Transportation—4.2% |
| |||||||
Air Transport Services Group, Inc. * | 12,400 | $ | 143,220 | |||||
Ardmore Shipping Corp. (a) | 20,700 | 166,428 | ||||||
Celadon Group, Inc. | 6,500 | 58,305 | ||||||
Navigator Holdings Ltd. * (a) | 11,600 | 180,380 | ||||||
Rand Logistics, Inc. * | 26,300 | 25,125 | ||||||
Scorpio Tankers, Inc. | 85,000 | 528,700 | ||||||
Spirit Airlines, Inc. * | 600 | 28,650 | ||||||
StealthGas, Inc. * | 38,200 | 118,802 | ||||||
|
| |||||||
1,249,610 | ||||||||
|
| |||||||
Utilities—4.9% | ||||||||
ALLETE Inc. | 5,400 | 286,308 | ||||||
Cadiz, Inc. * (a) | 17,800 | 86,152 | ||||||
California Water Service Group | 8,200 | 202,704 | ||||||
Chesapeake Utilities Corp. | 100 | 6,230 | ||||||
Covanta Holding Corp. (a) | 11,700 | 162,981 | ||||||
PNM Resources, Inc. | 7,000 | 223,440 | ||||||
Portland General Electric Co. | 7,100 | 270,155 | ||||||
South Jersey Industries, Inc. | 9,000 | 229,050 | ||||||
|
| |||||||
1,467,020 | ||||||||
|
| |||||||
TOTAL COMMON STOCK (Cost $32,590,086) | 29,570,146 | |||||||
|
|
Number of Shares | Value | |||||||
SECURITIES LENDING COLLATERAL—12.0% |
| |||||||
BlackRock Liquidity TempFund, Institutional Shares | 3,603,159 | $ | 3,603,159 | |||||
|
| |||||||
TOTAL SECURITIES LENDING COLLATERAL | 3,603,159 | |||||||
|
| |||||||
TOTAL INVESTMENTS—110.6% (Cost $36,193,245) | 33,173,305 | |||||||
|
| |||||||
LIABILITIES IN EXCESS OF OTHER ASSETS—(10.6)% | (3,175,763 | ) | ||||||
|
| |||||||
NET ASSETS—100.0% | $ | 29,997,542 | ||||||
|
|
ADR | — | American Depositary Receipt | ||
PLC | — | Public Limited Company | ||
* | — | Non-income Producing. | ||
(a) | — | All or a portion of the security is on loan. At February 29, 2016 the market value of securities on loan was $3,401,106. |
A summary of the inputs used to value the Fund’s investments as of February 29, 2016 is as follows (see Note 1 in the Notes to Financial Statements):
Total Value as of February 29, 2016 | Level 1 Quoted Price | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |||||||||||||
Common Stock * | $ | 29,570,146 | $ | 29,570,146 | $ | — | $ | — | ||||||||
Securities Lending Collateral | 3,603,159 | 3,603,159 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Assets | $ | 33,173,305 | $ | 33,173,305 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
|
* | See Portfolio of Investments detail for industry and security type breakout. |
THEACCOMPANYINGNOTESAREANINTEGRALPARTOFTHEFINANCIALSTATEMENTS.
28 | SEMI-ANNUAL REPORT 2016 |
BOSTON PARTNERS INVESTMENT FUNDS | FEBRUARY 29, 2016 (unaudited) |
BOSTON PARTNERS GLOBAL EQUITY FUND | PORTFOLIOOF INVESTMENTS |
Number of Shares | Value | |||||||
PREFERRED STOCK—0.5% | ||||||||
South Korea—0.5% | ||||||||
Samsung Electronics Co., Ltd. | 1,951 | $ | 1,558,148 | |||||
|
| |||||||
TOTAL PREFERRED STOCK (Cost $1,928,820) | 1,558,148 | |||||||
|
| |||||||
COMMON STOCK—93.2% | ||||||||
Australia—1.0% | ||||||||
Australia & New Zealand Banking Group Ltd. | 219,504 | 3,501,816 | ||||||
|
| |||||||
Bermuda—0.6% | ||||||||
Validus Holdings Ltd. | 47,969 | 2,154,288 | ||||||
|
| |||||||
Canada—0.8% | ||||||||
Barrick Gold Corp. | 75,588 | 1,049,917 | ||||||
Canadian Natural Resources Ltd. | 34,961 | 730,744 | ||||||
HudBay Minerals, Inc. | 260,684 | 768,758 | ||||||
|
| |||||||
2,549,419 | ||||||||
|
| |||||||
China—0.6% | ||||||||
Shenzhou International Group Holdings Ltd. | 380,000 | 1,945,403 | ||||||
|
| |||||||
France—4.3% | ||||||||
Bollore SA | 383,137 | 1,476,882 | ||||||
Cap Gemini SA | 39,121 | 3,250,286 | ||||||
Havas SA | 280,805 | 2,049,712 | ||||||
Safran SA | 77,366 | 4,793,487 | ||||||
Teleperformance SA | 39,522 | 3,051,249 | ||||||
|
| |||||||
14,621,616 | ||||||||
|
| |||||||
Germany—6.0% | ||||||||
Allianz SE, Registered Shares | 15,892 | 2,357,225 | ||||||
Aurelius AG | 66,387 | 3,168,293 | ||||||
Bayer AG, Registered Shares | 31,577 | 3,273,539 | ||||||
Henkel AG & Co. KGaA | 22,776 | 2,010,680 | ||||||
KION Group AG | 54,039 | 2,685,230 | ||||||
Merck KGaA | 31,517 | 2,671,299 | ||||||
Muenchener Rueckversicherungs AG, Registered Shares | 14,431 | 2,832,760 | ||||||
NORMA Group AG | 25,860 | 1,336,574 | ||||||
|
| |||||||
20,335,600 | ||||||||
|
| |||||||
Hong Kong—0.7% | ||||||||
WH Group Ltd. * | 4,087,500 | �� | 2,373,324 | |||||
|
| |||||||
Ireland—4.2% | ||||||||
CRH, Inc. | 125,363 | 3,195,189 | ||||||
Eaton Corp. PLC | 21,926 | 1,243,423 | ||||||
Greencore Group PLC | 284,852 | 1,502,703 | ||||||
Ingersoll-Rand PLC | 73,236 | 4,068,992 | ||||||
Medtronic PLC | 53,542 | 4,143,615 | ||||||
|
| |||||||
14,153,922 | ||||||||
|
| |||||||
Israel—0.4% | ||||||||
Teva Pharmaceutical Industries Ltd. — Sponsored ADR | 26,281 | 1,461,224 | ||||||
|
|
Number of Shares | Value | |||||||
Italy—0.9% | ||||||||
Eni SpA | 125,908 | $ | 1,760,859 | |||||
Prysmian SpA | 60,502 | 1,228,059 | ||||||
|
| |||||||
2,988,918 | ||||||||
|
| |||||||
Japan—3.8% | ||||||||
Alpine Electronics, Inc. | 76,200 | 860,744 | ||||||
Citizen Holdings Co., Ltd. | 342,700 | 1,881,846 | ||||||
Coca-Cola West Co., Ltd. | 68,100 | 1,523,799 | ||||||
Inpex Corp. | 187,500 | 1,351,759 | ||||||
Lintec Corp. | 141,900 | 2,629,439 | ||||||
Nippon Telegraph & Telephone Corp. | 35,200 | 1,490,626 | ||||||
Nippon Television Holdings, Inc. | 84,100 | 1,437,778 | ||||||
Nitto Denko Corp. | 29,800 | 1,578,485 | ||||||
|
| |||||||
12,754,476 | ||||||||
|
| |||||||
Netherlands—2.8% | ||||||||
Koninklijke Ahold NV | 233,889 | 5,121,581 | ||||||
LyondellBasell Industries NV, Class A | 38,248 | 3,067,872 | ||||||
Randstad Holding NV | 26,264 | 1,354,266 | ||||||
|
| |||||||
9,543,719 | ||||||||
|
| |||||||
Singapore—0.9% | ||||||||
Flextronics International Ltd. * | 282,654 | 3,069,622 | ||||||
|
| |||||||
South Korea—0.5% | ||||||||
Samsung Electronics Co., Ltd. | 1,709 | 1,629,219 | ||||||
|
| |||||||
Switzerland—2.4% | ||||||||
Credit Suisse Group AG, Registered Shares | 79,245 | 1,060,630 | ||||||
Georg Fischer AG, Registered Shares | 4,550 | 3,093,338 | ||||||
Roche Holding AG, Participation Certificate | 15,201 | 3,897,770 | ||||||
|
| |||||||
8,051,738 | ||||||||
|
| |||||||
Taiwan—0.6% | ||||||||
Casetek Holdings Ltd. | 387,000 | 2,089,717 | ||||||
|
| |||||||
United Kingdom—8.6% | ||||||||
BAE Systems PLC | 422,108 | 2,992,464 | ||||||
Berendsen PLC | 139,645 | 2,240,563 | ||||||
HSBC Holdings PLC | 195,614 | 1,243,972 | ||||||
Imperial Brands PLC | 102,759 | 5,303,977 | ||||||
ITV PLC | 444,848 | 1,532,036 | ||||||
Liberty Global PLC LiLAC, Class C * | 13,104 | 480,786 | ||||||
Liberty Global PLC, Series C * | 110,290 | 3,966,028 | ||||||
Melrose Industries PLC | 170,161 | 774,953 | ||||||
Rightmove PLC | 22,347 | 1,215,933 | ||||||
Standard Chartered PLC | 182,250 | 1,084,249 | ||||||
Vodafone Group PLC | 1,027,184 | 3,115,338 | ||||||
WH Smith PLC | 85,058 | 2,130,133 | ||||||
WPP PLC | 142,302 | 2,997,216 | ||||||
|
| |||||||
29,077,648 | ||||||||
|
|
THEACCOMPANYINGNOTESAREANINTEGRALPARTOFTHEFINANCIALSTATEMENTS.
SEMI-ANNUAL REPORT 2016 | 29 |
BOSTON PARTNERS INVESTMENT FUNDS | FEBRUARY 29, 2016 (unaudited) |
BOSTON PARTNERS GLOBAL EQUITY FUND (continued) | PORTFOLIOOF INVESTMENTS |
Number of Shares | Value | |||||||
United States—54.1% | ||||||||
Activision Blizzard, Inc. | 87,100 | $ | 2,758,457 | |||||
Allstate Corp., (The) | 32,785 | 2,080,536 | ||||||
Ally Financial, Inc. * | 94,353 | 1,658,726 | ||||||
Alphabet, Inc. * | 18,496 | 12,905,954 | ||||||
American International Group, Inc. | 30,749 | 1,543,600 | ||||||
Amgen, Inc. | 20,045 | 2,852,003 | ||||||
Anadarko Petroleum Corp. | 50,124 | 1,902,206 | ||||||
Apple, Inc. | 90,486 | 8,749,091 | ||||||
Bank of America Corp. | 128,621 | 1,610,335 | ||||||
BB&T Corp. | 49,294 | 1,585,295 | ||||||
Berkshire Hathaway, Inc., Class B * | 54,019 | 7,247,729 | ||||||
Berry Plastics Group, Inc. * | 126,744 | 3,945,541 | ||||||
Brunswick Corp. | 59,634 | 2,536,830 | ||||||
Builders FirstSource, Inc. * | 87,872 | 696,825 | ||||||
California Resources Corp. | 3,166 | 1,780 | ||||||
Capital One Financial Corp. | 61,592 | 4,048,442 | ||||||
Chubb Ltd. | 41,563 | 4,801,773 | ||||||
CIGNA Corp. | 18,823 | 2,627,879 | ||||||
Cisco Systems, Inc. | 74,238 | 1,943,551 | ||||||
Comcast Corp., Class A | 143,157 | 8,264,454 | ||||||
CVS Health Corp. | 69,062 | 6,710,755 | ||||||
Diamondback Energy, Inc. * | 35,472 | 2,527,380 | ||||||
Dow Chemical Co., (The) | 31,423 | 1,527,472 | ||||||
eBay, Inc. * | 100,423 | 2,390,067 | ||||||
EOG Resources, Inc. | 19,260 | 1,246,892 | ||||||
FedEx Corp. | 10,577 | 1,447,780 | ||||||
Fifth Third Bancorp | 261,737 | 3,994,107 | ||||||
Graphic Packaging Holding Co. | 141,587 | 1,745,768 | ||||||
Hewlett Packard Enterprise Co. | 196,755 | 2,610,939 | ||||||
Honeywell International, Inc. | 33,580 | 3,403,333 | ||||||
Huntington Bancshares, Inc. | 170,897 | 1,495,349 | ||||||
Johnson & Johnson | 54,901 | 5,776,134 | ||||||
Kennametal, Inc. | 101,969 | 2,052,636 | ||||||
Laboratory Corp. of America Holdings * | 38,827 | 4,264,758 | ||||||
Marathon Petroleum Corp. | 61,180 | 2,095,415 | ||||||
McKesson Corp. | 12,971 | 2,018,547 | ||||||
Merck & Co., Inc. | 92,286 | 4,633,680 | ||||||
Michael Kors Holdings Ltd. * | 31,751 | 1,798,694 | ||||||
Michaels Cos., Inc., (The) * | 101,166 | 2,357,168 | ||||||
Minerals Technologies, Inc. | 38,421 | 1,952,555 | ||||||
Northrop Grumman Corp. | 10,593 | 2,036,186 | ||||||
Occidental Petroleum Corp. | 33,823 | 2,327,699 | ||||||
ON Semiconductor Corp. * | 212,594 | 1,783,664 | ||||||
Parsley Energy, Inc., Class A * | 141,565 | 2,601,965 | ||||||
PayPal Holdings, Inc. * | 81,069 | 3,091,972 | ||||||
Pfizer, Inc. | 87,043 | 2,582,566 | ||||||
Phillips 66 | 20,975 | 1,665,205 | ||||||
PPG Industries, Inc. | 27,237 | 2,629,188 | ||||||
Priceline Group, Inc., (The) * | 2,110 | 2,669,593 | ||||||
PulteGroup, Inc. | 137,283 | 2,359,895 | ||||||
Raytheon Co. | 48,927 | 6,059,609 | ||||||
Rofin-Sinar Technologies, Inc. * | 57,013 | 1,273,670 | ||||||
RSP Permian, Inc. * | 18,860 | 450,943 | ||||||
SunTrust Banks, Inc. | 72,605 | 2,409,034 | ||||||
Tenneco, Inc. * | 45,941 | 2,091,234 |
Number of Shares | Value | |||||||
United States—(continued) | ||||||||
United Parcel Service, Inc., Class B | 45,128 | $ | 4,357,108 | |||||
United Technologies Corp. | 19,352 | 1,869,790 | ||||||
Unum Group | 43,621 | 1,244,507 | ||||||
Wells Fargo & Co. | 87,241 | 4,093,348 | ||||||
WestRock Co. | 93,015 | 3,141,117 | ||||||
WR Berkley Corp. | 44,447 | 2,289,021 | ||||||
|
| |||||||
182,837,750 | ||||||||
|
| |||||||
TOTAL COMMON STOCK (Cost $328,503,359) | 315,139,419 | |||||||
|
| |||||||
TOTAL INVESTMENTS—93.7% (Cost $330,432,179) | 316,697,567 | |||||||
|
| |||||||
Number of Contracts | ||||||||
OPTIONS WRITTEN ††—(0.2)% |
| |||||||
Anadarko Petroleum Corp. Call Options Expires 08/19/2016 | (501 | ) | (453,405 | ) | ||||
Eaton Corp. PLC Call Options | (185 | ) | (53,650 | ) | ||||
Occidental Petroleum Corp. Call Options Expires 05/20/2016 | (285 | ) | (169,575 | ) | ||||
Raytheon Co. Call Options | (229 | ) | (147,705 | ) | ||||
|
| |||||||
TOTAL OPTIONS WRITTEN | (824,335 | ) | ||||||
|
| |||||||
OTHER ASSETS IN EXCESS OF LIABILITIES—6.5% | 22,134,887 | |||||||
|
| |||||||
NET ASSETS—100.0% | $ | 338,008,119 | ||||||
|
|
ADR | — | American Depositary Receipt | ||
PLC | — | Public Limited Company | ||
* | — | Non-income producing. | ||
†† | — | Primary risk exposure is equity contracts. |
THEACCOMPANYINGNOTESAREANINTEGRALPARTOFTHEFINANCIALSTATEMENTS.
30 | SEMI-ANNUAL REPORT 2016 |
BOSTON PARTNERS INVESTMENT FUNDS | FEBRUARY 29, 2016 (unaudited) |
BOSTON PARTNERS GLOBAL EQUITY FUND (concluded) | PORTFOLIOOF INVESTMENTS |
A summary of the inputs used to value the Fund’s investments as of February 29, 2016 is as follows (see Note 1 in the Notes to Financial Statements):
Total Value as of February 29, 2016 | Level 1 Quoted Price | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |||||||||||||
Common Stock | ||||||||||||||||
Australia | $ | 3,501,816 | $ | — | $ | 3,501,816 | $ | — | ||||||||
Bermuda | 2,154,288 | 2,154,288 | — | — | ||||||||||||
Canada | 2,549,419 | 2,549,419 | — | — | ||||||||||||
China | 1,945,403 | — | 1,945,403 | — | ||||||||||||
France | 14,621,616 | — | 14,621,616 | — | ||||||||||||
Germany | 20,335,600 | — | 20,335,600 | — | ||||||||||||
Hong Kong | 2,373,324 | — | 2,373,324 | — | ||||||||||||
Ireland | 14,153,922 | 9,456,030 | 4,697,892 | — | ||||||||||||
Israel | 1,461,224 | 1,461,224 | — | — | ||||||||||||
Italy | 2,988,918 | — | 2,988,918 | — | ||||||||||||
Japan | 12,754,476 | — | 12,754,476 | — | ||||||||||||
Netherlands | 9,543,719 | 3,067,872 | 6,475,847 | — | ||||||||||||
Singapore | 3,069,622 | 3,069,622 | — | — | ||||||||||||
South Korea | 1,629,219 | — | 1,629,219 | — | ||||||||||||
Switzerland | 8,051,738 | — | 8,051,738 | — | ||||||||||||
Taiwan | 2,089,717 | — | 2,089,717 | — | ||||||||||||
United Kingdom | 29,077,648 | 4,446,814 | 24,630,834 | — | ||||||||||||
United States | 182,837,750 | 182,837,750 | — | — | ||||||||||||
Preferred Stock | 1,558,148 | — | 1,558,148 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Assets | $ | 316,697,567 | $ | 209,043,019 | $ | 107,654,548 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Value as of February 29, 2016 | Level 1 Quoted Price | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |||||||||||||
Options Written | ||||||||||||||||
Equity Contracts | $ | (824,335 | ) | $ | (824,335 | ) | $ | — | $ | — | ||||||
|
|
|
|
|
|
|
| |||||||||
Total Liabilities | $ | (824,335 | ) | $ | (824,335 | ) | $ | — | $ | — | ||||||
|
|
|
|
|
|
|
|
THEACCOMPANYINGNOTESAREANINTEGRALPARTOFTHEFINANCIALSTATEMENTS.
SEMI-ANNUAL REPORT 2016 | 31 |
BOSTON PARTNERS INVESTMENT FUNDS | FEBRUARY 29, 2016 (unaudited) |
BOSTON PARTNERS GLOBAL LONG/SHORT FUND | PORTFOLIOOF INVESTMENTS |
Number of Shares | Value | |||||||
LONG POSITIONS—94.7% |
| |||||||
COMMON STOCK—94.6% |
| |||||||
Australia—0.9% |
| |||||||
Australia & New Zealand Banking Group Ltd. | 403,718 | $ | 6,440,640 | |||||
|
| |||||||
6,440,640 | ||||||||
|
| |||||||
Canada—0.8% | ||||||||
Barrick Gold Corp. † | 151,164 | 2,099,668 | ||||||
HudBay Minerals, Inc. | 627,066 | 1,849,219 | ||||||
Stornoway Diamond Corp. * | 2,099,280 | 1,458,480 | ||||||
|
| |||||||
5,407,367 | ||||||||
|
| |||||||
France—3.5% |
| |||||||
Bollore SA | 997,111 | 3,843,573 | ||||||
Cap Gemini SA † | 81,959 | 6,809,391 | ||||||
Havas SA | 569,498 | 4,157,002 | ||||||
Safran SA † | 87,531 | 5,423,296 | ||||||
Teleperformance † | 51,259 | 3,957,390 | ||||||
|
| |||||||
24,190,652 | ||||||||
|
| |||||||
Germany—5.2% |
| |||||||
Aurelius AG † | 72,351 | 3,452,923 | ||||||
Bayer AG, Registered Shares | 66,153 | 6,857,980 | ||||||
Henkel AG & Co. KGaA | 52,269 | 4,614,340 | ||||||
KION Group AG † | 122,119 | 6,068,166 | ||||||
Merck KGaA † | 72,794 | 6,169,830 | ||||||
Muenchener Rueckversicherungs-Gesellschaft AG, Registered Shares | 32,113 | 6,303,682 | ||||||
Norma Group SE | 58,107 | 3,003,259 | ||||||
|
| |||||||
36,470,180 | ||||||||
|
| |||||||
Hong Kong—1.6% |
| |||||||
Global Brands Group Holding Ltd. * | 19,122,000 | 2,262,695 | ||||||
NewOcean Energy Holdings Ltd. | 8,891,101 | 3,107,487 | ||||||
WH Group Ltd. * 144A | 9,839,500 | 5,713,106 | ||||||
|
| |||||||
11,083,288 | ||||||||
|
| |||||||
India—0.6% |
| |||||||
Videocon d2h Ltd. ADR * † | 652,579 | 3,980,732 | ||||||
|
| |||||||
3,980,732 | ||||||||
|
| |||||||
Ireland—4.6% |
| |||||||
CRH PLC † | 326,134 | 8,312,339 | ||||||
Eaton Corp. PLC # | 46,403 | 2,631,514 | ||||||
Greencore Group PLC † | 649,198 | 3,424,767 | �� | |||||
Ingersoll-Rand PLC † # | 157,088 | 8,727,809 | ||||||
Medtronic PLC † | 111,168 | 8,603,291 | ||||||
|
| |||||||
31,699,720 | ||||||||
|
| |||||||
Israel—0.4% |
| |||||||
Teva Pharmaceutical Industries Ltd. — Sponsored ADR † | 57,319 | 3,186,936 | ||||||
|
| |||||||
3,186,936 | ||||||||
|
| |||||||
Italy—0.9% |
| |||||||
Eni SpA | 262,235 | 3,667,430 | ||||||
Prysmian SpA | 127,874 | 2,595,565 | ||||||
|
| |||||||
6,262,995 | ||||||||
|
|
Number of Shares | Value | |||||||
Japan—5.3% |
| |||||||
Alpine Electronics, Inc. | 228,700 | $ | 2,583,363 | |||||
Amano Corp. | 573,433 | 8,320,285 | ||||||
Citizen Holdings Co., Ltd. | 863,300 | 4,740,584 | ||||||
Coca-Cola West Co., Ltd. | 146,700 | 3,282,546 | ||||||
Inpex Corp. | 443,053 | 3,194,139 | ||||||
Lintec Corp. | 254,356 | 4,713,273 | ||||||
Nippon Telegraph & Telephone Corp. | 73,896 | 3,129,298 | ||||||
Nippon Television Holdings, Inc. | 181,200 | 3,097,804 | ||||||
Nitto Denko Corp. | 67,042 | 3,551,168 | ||||||
|
| |||||||
36,612,460 | ||||||||
|
| |||||||
Netherlands—2.9% |
| |||||||
Koninklijke Ahold NV † | 561,709 | 12,300,016 | ||||||
LyondellBasell Industries NV, Class A † # | 59,082 | 4,738,967 | ||||||
Randstad Holding NV | 56,738 | 2,925,614 | ||||||
|
| |||||||
19,964,597 | ||||||||
|
| |||||||
Singapore—1.0% |
| |||||||
Flextronics International Ltd. * † | 632,996 | 6,874,337 | ||||||
|
| |||||||
6,874,337 | ||||||||
|
| |||||||
South Korea—1.0% |
| |||||||
Samsung Electronics Co., Ltd. | 3,573 | 3,406,203 | ||||||
Samsung Electronics Co., Ltd. — Pref. | 4,152 | 3,315,957 | ||||||
|
| |||||||
6,722,160 | ||||||||
|
| |||||||
Switzerland—3.8% |
| |||||||
ACE Ltd. † | 81,371 | 9,400,792 | ||||||
Credit Suisse Group AG, Registered Shares | 174,341 | 2,333,414 | ||||||
Georg Fischer AG, Registered Shares † | 10,966 | 7,455,284 | ||||||
Roche Holding AG, Participation Certificate † | 27,143 | 6,959,882 | ||||||
|
| |||||||
26,149,372 | ||||||||
|
| |||||||
Taiwan—0.7% | ||||||||
Casetek Holdings Ltd. | 903,000 | 4,876,008 | ||||||
|
| |||||||
4,876,008 | ||||||||
|
| |||||||
United Kingdom—6.9% | ||||||||
BAE Systems PLC † | 480,207 | 3,404,347 | ||||||
HSBC Holdings PLC † | 430,356 | 2,736,772 | ||||||
Imperial Tobacco Group PLC † | 243,107 | 12,548,136 | ||||||
Liberty Global PLC LiLAC, Class C * † | 31,351 | 1,150,268 | ||||||
Liberty Global PLC, Series C * † | 215,158 | 7,737,082 | ||||||
Melrose Industries PLC | 399,238 | 1,818,224 | ||||||
Rightmove PLC | 48,680 | 2,648,750 | ||||||
Standard Chartered PLC | 406,938 | 2,420,972 | ||||||
Vodafone Group PLC † | 1,806,519 | 5,478,977 | ||||||
WH Smith PLC † | 184,490 | 4,620,238 | ||||||
WPP PLC † | 164,366 | 3,461,936 | ||||||
|
| |||||||
48,025,702 | ||||||||
|
|
THEACCOMPANYINGNOTESAREANINTEGRALPARTOFTHEFINANCIALSTATEMENTS.
32 | SEMI-ANNUAL REPORT 2016 |
BOSTON PARTNERS INVESTMENT FUNDS | FEBRUARY 29, 2016 (unaudited) |
BOSTON PARTNERS GLOBAL LONG/SHORT FUND (continued) | PORTFOLIOOF INVESTMENTS |
Number of Shares | Value | |||||||
United States—54.5% | ||||||||
Activision Blizzard, Inc. † | 200,251 | $ | 6,341,949 | |||||
Ally Financial, Inc. * † | 212,346 | 3,733,043 | ||||||
Alphabet, Inc., Class C * † | 39,107 | 27,287,691 | ||||||
American International Group, Inc. † | 64,609 | 3,243,372 | ||||||
Amgen, Inc. † | 31,374 | 4,463,893 | ||||||
Anadarko Petroleum Corp. † # | 122,875 | 4,663,106 | ||||||
Apple, Inc. † | 147,837 | 14,294,360 | ||||||
Bank of America Corp. † | 436,414 | 5,463,903 | ||||||
Berkshire Hathaway, Inc., Class B * † | 138,130 | 18,532,902 | ||||||
Berry Plastics Group, Inc. * † | 213,667 | 6,651,454 | ||||||
Brunswick Corp. † | 125,789 | 5,351,064 | ||||||
Builders FirstSource, Inc. * † | 400,505 | 3,176,005 | ||||||
California Resources Corp. † | 6,642 | 3,733 | ||||||
Capital One Financial Corp. † | 130,844 | 8,600,376 | ||||||
Cigna Corp. † | 27,110 | 3,784,827 | ||||||
Cisco Systems, Inc. † | 164,638 | 4,310,223 | ||||||
Coherent, Inc. * | 60,816 | 5,145,034 | ||||||
Comcast Corp., Class A † | 192,818 | 11,131,383 | ||||||
CVS Health Corp. † | 151,472 | 14,718,534 | ||||||
Diamondback Energy, Inc. * # | 109,161 | 7,777,721 | ||||||
Dow Chemical Co., (The) † | 92,213 | 4,482,474 | ||||||
eBay, Inc. * † | 119,196 | 2,836,865 | ||||||
Energen Corp. | 115,607 | 3,061,273 | ||||||
EOG Resources, Inc. † # | 65,551 | 4,243,772 | ||||||
FedEx Corp. † | 22,262 | 3,047,223 | ||||||
Fifth Third Bancorp † | 577,556 | 8,813,505 | ||||||
Genesco, Inc. * † | 67,392 | 4,446,524 | ||||||
Graphic Packaging Holding Co. † | 292,990 | 3,612,567 | ||||||
Hewlett Packard Enterprise Co. † | 430,130 | 5,707,825 | ||||||
Honeywell International, Inc. † | 73,373 | 7,436,354 | ||||||
International Speedway Corp., Class A † | 237,998 | 8,208,551 | ||||||
Johnson & Johnson † | 116,077 | 12,212,461 | ||||||
Kennametal, Inc. | 212,450 | 4,276,619 | ||||||
Laboratory Corp. of America Holdings * † | 87,383 | 9,598,149 | ||||||
Marathon Petroleum Corp. † | 121,030 | 4,145,277 | ||||||
McKesson Corp. † | 28,215 | 4,390,818 | ||||||
Merck & Co., Inc. † | 204,361 | 10,260,966 | ||||||
Michael Kors Holdings Ltd. * † | 69,193 | 3,919,783 | ||||||
Michaels Cos Inc., (The) * † | 215,956 | 5,031,775 | ||||||
Minerals Technologies, Inc. † | 76,836 | 3,904,805 | ||||||
Northrop Grumman Corp. | 7,333 | 1,409,549 | ||||||
Occidental Petroleum Corp. † # | 70,944 | 4,882,366 | ||||||
ON Semiconductor Corp. * | 442,926 | 3,716,149 | ||||||
Parsley Energy, Inc., Class A * † | 292,325 | 5,372,933 | ||||||
PayPal Holdings, Inc. * † | 182,604 | 6,964,516 | ||||||
Pfizer, Inc. † | 219,399 | 6,509,568 | ||||||
Phillips 66 † # | 51,100 | 4,056,829 | ||||||
Priceline Group, Inc., (The) * † | 4,562 | 5,771,888 | ||||||
PulteGroup, Inc. * † | 289,741 | 4,980,648 | ||||||
Raytheon Co. † # | 112,094 | 13,882,842 | ||||||
Rofin-Sinar Technologies, Inc. * | 57,453 | 1,283,500 | ||||||
RSP Permian, Inc. * | 41,320 | 987,961 | ||||||
SunTrust Banks, Inc. † | 153,247 | 5,084,735 | ||||||
Tenneco, Inc. * † | 134,156 | 6,106,781 |
Number of Shares | Value | |||||||
United States—(continued) | ||||||||
United Parcel Service, Inc., Class B † # | 94,710 | $ | 9,144,250 | |||||
United Technologies Corp. † | 41,282 | 3,988,667 | ||||||
Unum Group | 94,947 | 2,708,838 | ||||||
Viper Energy Partners LP † | 154,290 | 2,297,378 | ||||||
Wells Fargo & Co. † | 183,097 | 8,590,911 | ||||||
WestRock Co † | 202,852 | 6,850,312 | ||||||
|
| |||||||
376,902,780 | ||||||||
|
| |||||||
TOTAL COMMON STOCK (Cost $678,854,038) | 654,849,926 | |||||||
|
| |||||||
WARRANTS—0.0% |
| |||||||
Canada—0.0% |
| |||||||
Stornoway Diamond Corp. Exercise Price CAD 0.90 Expires 7/08/16 * | 46,241 | 2,563 | ||||||
|
| |||||||
2,563 | ||||||||
|
| |||||||
TOTAL WARRANTS (Cost $4,833) | 2,563 | |||||||
|
| |||||||
OPTIONS PURCHASED ††—0.1% |
| |||||||
Buffalo Wild Wings, Inc. Put Options Expires 03/18/2016 Strike Price $125.00 | 535 | 14,713 | ||||||
Buffalo Wild Wings, Inc. Put Options Expires 03/18/2016 Strike Price $140.00 | 535 | 29,425 | ||||||
Buffalo Wild Wings, Inc. Put Options Expires 06/17/2016 Strike Price $150.00 | 560 | 492,800 | ||||||
|
| |||||||
TOTAL OPTIONS PURCHASED (Cost $1,373,258) | 536,938 | |||||||
|
| |||||||
TOTAL INVESTMENTS—94.7% (Cost $680,232,129) | 655,389,427 | |||||||
|
| |||||||
SECURITIES SOLD SHORT—(56.3%) |
| |||||||
COMMON STOCK—(55.8%) |
| |||||||
Australia—(0.5%) |
| |||||||
GrainCorp, Ltd., Class A | (165,646 | ) | (925,483 | ) | ||||
Seek Ltd. | (231,667 | ) | (2,557,223 | ) | ||||
|
| |||||||
(3,482,706 | ) | |||||||
|
| |||||||
Brazil—(0.2%) |
| |||||||
Vale SA — Sponsored ADR | (528,894 | ) | (1,554,948 | ) | ||||
|
| |||||||
(1,554,948 | ) | |||||||
|
| |||||||
Canada—(0.7%) |
| |||||||
Dollarama Inc. | (38,852 | ) | (2,261,629 | ) | ||||
Goldcorp, Inc. | (162,038 | ) | (2,320,384 | ) | ||||
|
| |||||||
(4,582,013 | ) | |||||||
|
| |||||||
China—(1.6%) |
| |||||||
58.Com, Inc. — ADR * | (32,096 | ) | (1,701,088 | ) | ||||
Qunar Cayman Islands Ltd. —ADR * | (75,537 | ) | (2,801,667 | ) | ||||
Semiconductor Manufacturing International, Corp. * | (26,551,000 | ) | (2,194,758 | ) |
THEACCOMPANYINGNOTESAREANINTEGRALPARTOFTHEFINANCIALSTATEMENTS.
SEMI-ANNUAL REPORT 2016 | 33 |
BOSTON PARTNERS INVESTMENT FUNDS | FEBRUARY 29, 2016 (unaudited) |
BOSTON PARTNERS GLOBAL LONG/SHORT FUND (continued) | PORTFOLIOOF INVESTMENTS |
Number of Shares | Value | |||||||
China—(continued) |
| |||||||
Want Want China Holdings Ltd. | (5,029,000 | ) | $ | (3,328,963 | ) | |||
Zoomlion Heavy Industry Science and Technology Co., Ltd., H Shares | (2,867,600 | ) | (788,280 | ) | ||||
|
| |||||||
(10,814,756 | ) | |||||||
|
| |||||||
Denmark—(0.5%) |
| |||||||
Coloplast A/S, Class B | (41,781 | ) | (3,157,210 | ) | ||||
|
| |||||||
(3,157,210 | ) | |||||||
|
| |||||||
Finland—(0.3%) |
| |||||||
Neste Oil Oyj | (62,917 | ) | (1,969,687 | ) | ||||
|
| |||||||
(1,969,687 | ) | |||||||
|
| |||||||
France—(2.4%) |
| |||||||
Air Liquide SA | (31,591 | ) | (3,288,769 | ) | ||||
Cie de Saint-Gobain | (35,589 | ) | (1,374,927 | ) | ||||
Edenred | (203,045 | ) | (3,554,837 | ) | ||||
Essilor International SA | (18,590 | ) | (2,208,197 | ) | ||||
Remy Cointreau SA | (41,993 | ) | (2,898,209 | ) | ||||
Societe Television Francaise 1 | (98,138 | ) | (1,128,014 | ) | ||||
Zodiac Aerospace | (147,429 | ) | (2,455,551 | ) | ||||
|
| |||||||
(16,908,504 | ) | |||||||
|
| |||||||
Germany—(1.5%) |
| |||||||
Axel Springer SE | (65,748 | ) | (3,322,701 | ) | ||||
GEA Group AG | (89,060 | ) | (3,918,855 | ) | ||||
KUKA AG | (37,841 | ) | (3,511,496 | ) | ||||
|
| |||||||
(10,753,052 | ) | |||||||
|
| |||||||
Hong Kong—(1.6%) |
| |||||||
ASM Pacific Technology Ltd. | (257,700 | ) | (2,066,401 | ) | ||||
Bank of East Asia Ltd. (The) | (1,137,000 | ) | (3,606,299 | ) | ||||
Cathay Pacific Airways Ltd. | (1,474,000 | ) | (2,348,196 | ) | ||||
Hang Seng Bank Ltd. | (60,900 | ) | (1,029,579 | ) | ||||
Noble Group Ltd. * | (9,330,686 | ) | (2,285,394 | ) | ||||
|
| |||||||
(11,335,869 | ) | |||||||
|
| |||||||
Ireland—(0.4%) |
| |||||||
C&C Group PLC — Sponsored ADR | (687,723 | ) | (2,570,275 | ) | ||||
|
| |||||||
(2,570,275 | ) | |||||||
|
| |||||||
Italy—(0.9%) |
| |||||||
Luxottica Group SpA | (54,149 | ) | (3,091,093 | ) | ||||
Tod’s SpA | (37,859 | ) | (2,858,323 | ) | ||||
|
| |||||||
(5,949,416 | ) | |||||||
|
| |||||||
Japan—(3.5%) |
| |||||||
Don Quijote Holdings Co. Ltd | (95,900 | ) | (3,205,594 | ) | ||||
Keikyu Corp. | (239,000 | ) | (2,118,577 | ) | ||||
Keyence Corp. | (4,800 | ) | (2,480,844 | ) | ||||
McDonald’s Holdings Co., Ltd. | (157,923 | ) | (3,678,138 | ) | ||||
Nidec Corp | (55,700 | ) | (3,730,820 | ) | ||||
Oji Holdings Corp. | (618,000 | ) | (2,335,164 | ) | ||||
Sanrio Co., Ltd. | (162,400 | ) | (3,179,615 | ) | ||||
Takeda Pharmaceutical Co., Ltd. | (49,200 | ) | (2,342,017 | ) | ||||
Unicharm Corp. | (65,000 | ) | (1,413,142 | ) | ||||
|
| |||||||
(24,483,911 | ) | |||||||
|
|
Number of Shares | Value | |||||||
Luxembourg—(0.4%) |
| |||||||
SES SA | (99,478 | ) | $ | (2,608,454 | ) | |||
|
| |||||||
(2,608,454 | ) | |||||||
|
| |||||||
Netherlands—(0.7%) |
| |||||||
Fugro NV * | (76,341 | ) | (1,315,283 | ) | ||||
Wright Medical Group NV * | (209,330 | ) | (3,577,450 | ) | ||||
|
| |||||||
(4,892,733 | ) | |||||||
|
| |||||||
Singapore—(1.7%) |
| |||||||
DBS Group Holdings Ltd. | (260,600 | ) | (2,509,977 | ) | ||||
Oversea-Chinese Banking Corp. Ltd. | (550,204 | ) | (3,157,237 | ) | ||||
Sembcorp Marine Ltd. | (2,829,600 | ) | (3,069,601 | ) | ||||
Singapore Technologies Engineering Ltd | (1,369,600 | ) | (2,910,877 | ) | ||||
|
| |||||||
(11,647,692 | ) | |||||||
|
| |||||||
Spain—(0.8%) |
| |||||||
Banco de Sabadell SA | (1,243,387 | ) | (1,969,104 | ) | ||||
Industria de Diseno Textil SA | (118,764 | ) | (3,664,474 | ) | ||||
|
| |||||||
(5,633,578 | ) | |||||||
|
| |||||||
Sweden—(2.4%) |
| |||||||
Atlas Copco AB, A Shares | (158,762 | ) | (3,577,812 | ) | ||||
Autoliv, Inc. | (32,814 | ) | (3,485,831 | ) | ||||
Elekta AB, B Shares | (422,900 | ) | (3,736,293 | ) | ||||
Hexagon AB, B Shares | (101,920 | ) | (3,460,331 | ) | ||||
Telefonaktiebolaget LM Ericsson, B Shares | (244,042 | ) | (2,241,350 | ) | ||||
|
| |||||||
(16,501,617 | ) | |||||||
|
| |||||||
Switzerland—(0.5%) |
| |||||||
Sonova Holding AG, Registered Shares | (22,587 | ) | (2,704,860 | ) | ||||
Transocean Ltd. | (111,960 | ) | (968,454 | ) | ||||
|
| |||||||
(3,673,314 | ) | |||||||
|
| |||||||
Taiwan—(0.4%) |
| |||||||
Mega Financial Holding Co., Ltd. | (3,671,307 | ) | (2,410,592 | ) | ||||
|
| |||||||
(2,410,592 | ) | |||||||
|
| |||||||
United Kingdom—(3.9%) |
| |||||||
Aberdeen Asset Management PLC | (499,659 | ) | (1,666,628 | ) | ||||
CNH Industrial NV | (469,045 | ) | (3,109,768 | ) | ||||
GW Pharmaceuticals PLC — ADR * | (7,607 | ) | (312,648 | ) | ||||
IMI PLC | (138,198 | ) | (1,627,212 | ) | ||||
Kingfisher PLC | (606,423 | ) | (2,801,243 | ) | ||||
Legal & General Group PLC | (459,188 | ) | (1,444,291 | ) | ||||
Ocado Group PLC * | (421,997 | ) | (1,520,031 | ) | ||||
PZ Cussons PLC | (572,418 | ) | (2,060,817 | ) | ||||
Rotork PLC | (1,517,050 | ) | (3,353,146 | ) | ||||
Sky PLC | (133,255 | ) | (1,924,497 | ) | ||||
Smiths Group PLC | (219,454 | ) | (3,038,843 | ) | ||||
Spirax-Sarco Engineering PLC | (56,161 | ) | (2,447,586 | ) | ||||
Whitbread PLC | (37,409 | ) | (2,030,444 | ) | ||||
|
| |||||||
(27,337,154 | ) | |||||||
|
|
THEACCOMPANYINGNOTESAREANINTEGRALPARTOFTHEFINANCIALSTATEMENTS.
34 | SEMI-ANNUAL REPORT 2016 |
BOSTON PARTNERS INVESTMENT FUNDS | FEBRUARY 29, 2016 (unaudited) |
BOSTON PARTNERS GLOBAL LONG/SHORT FUND (continued) | PORTFOLIOOF INVESTMENTS |
Number of Shares | Value | |||||||
United States—(30.9%) |
| |||||||
Acadia Healthcare Co., Inc. * | (40,045 | ) | $ | (2,218,893 | ) | |||
Air Products & Chemicals, Inc. | (19,875 | ) | (2,632,841 | ) | ||||
Akorn, Inc. * | (92,739 | ) | (2,465,930 | ) | ||||
Amazon.com, Inc. * | (6,418 | ) | (3,546,073 | ) | ||||
AmerisourceBergen Corp. | (33,572 | ) | (2,908,007 | ) | ||||
AptarGroup, Inc. | (35,869 | ) | (2,643,904 | ) | ||||
Arista Networks, Inc. * | (28,336 | ) | (1,942,149 | ) | ||||
athenahealth, Inc. * | (17,206 | ) | (2,220,778 | ) | ||||
Automatic Data Processing, Inc. | (46,667 | ) | (3,952,228 | ) | ||||
Axalta Coating Systems Ltd. * | (141,021 | ) | (3,660,905 | ) | ||||
Ball Corp. | (61,442 | ) | (4,069,304 | ) | ||||
Bemis Co., Inc. | (67,017 | ) | (3,288,524 | ) | ||||
Blackbaud, Inc. | (42,813 | ) | (2,420,219 | ) | ||||
BlackRock Inc. | (8,067 | ) | (2,516,581 | ) | ||||
Bob Evans Farms, Inc. | (78,156 | ) | (3,353,674 | ) | ||||
Buffalo Wild Wings, Inc. * | (26,632 | ) | (4,225,167 | ) | ||||
Caterpillar, Inc. | (57,784 | ) | (3,911,977 | ) | ||||
Cavium, Inc. * | (56,614 | ) | (3,367,967 | ) | ||||
Chevron Corp. | (44,083 | ) | (3,678,286 | ) | ||||
Coach, Inc. | (62,680 | ) | (2,440,759 | ) | ||||
Cogent Communications Holdings, Inc. | (89,771 | ) | (3,294,596 | ) | ||||
Cognex Corp. | (80,769 | ) | (2,989,261 | ) | ||||
Colgate-Palmolive Co. | (54,708 | ) | (3,591,033 | ) | ||||
Continental Resources, Inc. * | (88,209 | ) | (2,044,685 | ) | ||||
Deere & Co. | (39,001 | ) | (3,127,100 | ) | ||||
Dollar Tree, Inc. * | (36,093 | ) | (2,896,463 | ) | ||||
Dorman Products, Inc. * | (58,491 | ) | (2,957,890 | ) | ||||
Eaton Vance Corp. | (106,194 | ) | (3,070,069 | ) | ||||
First Financial Bankshares, Inc. | (91,754 | ) | (2,423,223 | ) | ||||
FMC Corp. | (96,990 | ) | (3,650,704 | ) | ||||
Guidewire Software, Inc. * | (48,302 | ) | (2,377,907 | ) | ||||
Halyard Health, Inc. * | (123,496 | ) | (3,151,618 | ) | ||||
Home Bancshares, Inc. | (28,464 | ) | (1,124,897 | ) | ||||
IDEXX Laboratories, Inc. * | (50,677 | ) | (3,707,529 | ) | ||||
j2 Global , Inc. | (23,481 | ) | (1,715,991 | ) | ||||
Kinder Morgan, Inc. | (209,407 | ) | (3,788,173 | ) | ||||
Kite Pharma, Inc. * | (51,013 | ) | (2,281,301 | ) | ||||
Kroger Co., (The) | (63,297 | ) | (2,526,183 | ) | ||||
Level 3 Communications, Inc. * | (52,055 | ) | (2,527,270 | ) | ||||
lululemon athletica, Inc. * | (41,173 | ) | (2,582,782 | ) | ||||
Matador Resources Co. * | (116,608 | ) | (1,882,053 | ) | ||||
Mercadolibre Inc | (20,175 | ) | (2,053,008 | ) | ||||
Mercury General Corp. | (74,755 | ) | (3,930,618 | ) | ||||
Monro Muffler Brake, Inc. | (41,692 | ) | (2,850,482 | ) | ||||
Monster Beverage Corp. * | (22,616 | ) | (2,838,308 | ) | ||||
National Instruments Corp. | (104,326 | ) | (3,009,805 | ) | ||||
National Oilwell Varco, Inc. | (92,290 | ) | (2,701,328 | ) | ||||
Netflix, Inc. * | (42,105 | ) | (3,933,028 | ) | ||||
NetSuite, Inc. * | (50,725 | ) | (3,064,805 | ) | ||||
NewMarket Corp. | (9,650 | ) | (3,523,601 | ) | ||||
Noble Energy, Inc. | (83,593 | ) | (2,465,994 | ) | ||||
Nordstrom, Inc. | (54,556 | ) | (2,799,814 | ) | ||||
Novavax, Inc. * | (436,121 | ) | (1,901,488 | ) | ||||
Old Dominion Freight Line, Inc. * | (71,604 | ) | (4,622,754 | ) | ||||
Palo Alto Networks, Inc. * | (12,003 | ) | (1,737,914 | ) | ||||
Prosperity Bancshares Inc. | (66,900 | ) | (2,706,105 | ) |
Number of Shares | Value | |||||||
United States—(continued) |
| |||||||
ResMed, Inc. | (35,983 | ) | $ | (2,047,793 | ) | |||
Rockwell Automation, Inc. | (41,384 | ) | (4,307,661 | ) | ||||
ServiceNow, Inc. * | (25,995 | ) | (1,429,465 | ) | ||||
Skyworks Solutions, Inc. | (37,294 | ) | (2,478,186 | ) | ||||
Sun Hydraulics Corp. | (75,343 | ) | (2,243,715 | ) | ||||
Tesla Motors, Inc. * | (21,233 | ) | (4,075,250 | ) | ||||
TransDigm Group, Inc. * | (13,911 | ) | (2,971,111 | ) | ||||
Twitter, Inc. * | (129,546 | ) | (2,347,374 | ) | ||||
Ubiquiti Networks, Inc. * | (65,169 | ) | (2,129,071 | ) | ||||
UMB Financial Corp. | (62,252 | ) | (3,057,196 | ) | ||||
Under Armour, Inc., Class A * | (37,479 | ) | (3,136,618 | ) | ||||
Wabtec Corp. | (29,295 | ) | (2,068,227 | ) | ||||
Weatherford International PLC * | (413,129 | ) | (2,644,026 | ) | ||||
West Pharmaceutical Services, Inc. | (40,586 | ) | (2,517,144 | ) | ||||
Westamerica Bancorporation | (95,504 | ) | (4,296,725 | ) | ||||
WisdomTree Investments, Inc. | (259,033 | ) | (3,069,541 | ) | ||||
Workday, Inc., Class A * | (11,555 | ) | (698,500 | ) | ||||
World Wrestling Entertainment, Inc., Class A | (186,599 | ) | (3,119,935 | ) | ||||
Yelp, Inc. * | (98,628 | ) | (1,996,231 | ) | ||||
|
| |||||||
(213,947,715 | ) | |||||||
|
| |||||||
TOTAL COMMON STOCK (Proceeds $411,753,466) | (386,215,196 | ) | ||||||
|
| |||||||
TOTAL SECURITIES SOLD SHORT—(55.8%) | (386,215,196 | ) | ||||||
|
| |||||||
Number of Contracts | ||||||||
OPTIONS WRITTEN ††—(0.5%) | ||||||||
Anadarko Petroleum Corp. Call Options | (1,105 | ) | (1,000,025 | ) | ||||
Diamondback Energy, Inc. Call Options | (382 | ) | (19,100 | ) | ||||
Diamondback Energy, Inc. Call Options Expires 06/17/2017 | (340 | ) | (290,700 | ) | ||||
Eaton Corp PLC. Call Options | (392 | ) | (113,680 | ) | ||||
EOG Resources, Inc. Call Options | (480 | ) | (368,400 | ) | ||||
Ingersoll-Rand PLC Call Option | (548 | ) | (84,940 | ) | ||||
LyondellBasell Industries. Call Options | (397 | ) | (359,285 | ) |
THEACCOMPANYINGNOTESAREANINTEGRALPARTOFTHEFINANCIALSTATEMENTS.
SEMI-ANNUAL REPORT 2016 | 35 |
BOSTON PARTNERS INVESTMENT FUNDS | FEBRUARY 29, 2016 (unaudited) |
BOSTON PARTNERS GLOBAL LONG/SHORT FUND (continued) | PORTFOLIOOF INVESTMENTS |
Number of Contracts | Value | |||||||
Occidental Petroleum Corp. Call Options | (599 | ) | $ | (356,405 | ) | |||
Phillips 66. Call Options | (511 | ) | (245,280 | ) | ||||
Raytheon Co. Call Options | (525 | ) | (338,625 | ) | ||||
United Parcel Service, Inc. Call Options | (509 | ) | (137,939 | ) | ||||
|
| |||||||
TOTAL OPTIONS WRITTEN | (3,314,379 | ) | ||||||
|
| |||||||
OTHER ASSETS IN EXCESS OF LIABILITIES—61.6% | 425,974,042 | |||||||
|
| |||||||
NET ASSETS—100.0% | $ | 691,833,894 | ||||||
|
|
ADR | — | American Depositary Receipt | ||
PLC | — | Public Limited Company | ||
144A | — | Security was purchased pursuant to Rule 144A under the Securities Act of 1933 and may not be resold subject to that rule except to qualified institutional buyers. As of February 29, 2016, these securities amounted to $5,713,106 or 0.83% of net assets. These 144A securities have not been deemed illiquid. | ||
* | — | Non-income producing. | ||
† | — | Security position is either entirely or partially held in a segregated account as collateral for securities sold short. | ||
†† | — | Primary risk exposure is equity contracts. | ||
# | — | Security segregated as collateral for options written. |
Contracts For Difference held by the Fund at February 29, 2016, are as follows:
Reference Company | Counterparty | Number of Contracts (Short) | Notional Amount | Unrealized Appreciation (Depreciation) | ||||||||||||
Daum KaKao Corp | Goldman Sachs | (30,786 | ) | $ | 2,362,934 | $ | (61,315 | ) | ||||||||
Eclat Textile Company Ltd | Goldman Sachs | (198,000 | ) | 2,490,358 | 250,379 | |||||||||||
PRADA SpA | Goldman Sachs | (475,000 | ) | 1,364,899 | 94,658 | |||||||||||
President Chain Store Corp | Goldman Sachs | (504,000 | ) | 3,407,657 | (10,427 | ) | ||||||||||
Sun Art Retail Group | Goldman Sachs | (3,619,500 | ) | 2,186,995 | (209,266 | ) | ||||||||||
Unilever Indonesia Tbk PT | Goldman Sachs | (187,700 | ) | 624,477 | (18,673 | ) | ||||||||||
|
| |||||||||||||||
Net unrealized gain on Contracts for Difference |
| $ | 45,356 | |||||||||||||
|
|
THEACCOMPANYINGNOTESAREANINTEGRALPARTOFTHEFINANCIALSTATEMENTS.
36 | SEMI-ANNUAL REPORT 2016 |
BOSTON PARTNERS INVESTMENT FUNDS | FEBRUARY 29, 2016 (unaudited) |
BOSTON PARTNERS GLOBAL LONG/SHORT FUND (concluded) | PORTFOLIOOF INVESTMENTS |
A summary of the inputs used to value the Fund’s investments as of February 29, 2016 is as follows (see Note 1 in the Notes to Financial Statements):
Total Value as of February 29, 2016 | Level 1 Quoted Price | Level 2 Significant Observable Inputs | Level 3 Significant Unobervable Inputs | |||||||||||||
Common Stock | ||||||||||||||||
Australia | $ | 6,440,640 | $ | — | $ | 6,440,640 | $ | — | ||||||||
Canada | 5,407,367 | 5,407,367 | — | — | ||||||||||||
France | 24,190,652 | — | 24,190,652 | — | ||||||||||||
Germany | 36,470,180 | 36,470,180 | — | |||||||||||||
Hong Kong | 11,083,288 | — | 11,083,288 | — | ||||||||||||
India | 3,980,732 | 3,980,732 | — | — | ||||||||||||
Ireland | 31,699,720 | 19,962,614 | 11,737,106 | — | ||||||||||||
Israel | 3,186,936 | 3,186,936 | — | — | ||||||||||||
Italy | 6,262,995 | — | 6,262,995 | — | ||||||||||||
Japan | 36,612,460 | — | 36,612,460 | — | ||||||||||||
Netherlands | 19,964,597 | 4,738,967 | 15,225,630 | — | ||||||||||||
Singapore | 6,874,337 | 6,874,337 | — | — | ||||||||||||
South Korea | 6,722,160 | — | 6,722,160 | — | ||||||||||||
Switzerland | 26,149,372 | 9,400,792 | 16,748,580 | — | ||||||||||||
Taiwan | 4,876,008 | — | 4,876,008 | — | ||||||||||||
United Kingdom | 48,025,702 | 8,887,350 | 39,138,352 | — | ||||||||||||
United States | 376,902,780 | 376,902,780 | — | — | ||||||||||||
Warrants | 2,563 | 2,563 | — | — | ||||||||||||
Options | ||||||||||||||||
Equity Contracts | 536,938 | 536,938 | — | — | ||||||||||||
Contracts for Difference | 345,037 | — | 345,037 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Assets | $ | 655,734,464 | $ | 439,881,376 | $ | 215,853,088 | $ | — | ||||||||
|
|
|
|
|
|
|
|
Total Value as of February 29, 2016 | Level 1 Quoted Price | Level 2 Significant Observable Inputs | Level 3 Significant Unobervable Inputs | |||||||||||||
Securities Sold Short | ||||||||||||||||
Australia | (3,482,706 | ) | $ | — | $ | (3,482,706 | ) | $ | — | |||||||
Brazil | (1,554,948 | ) | (1,554,948 | ) | — | — | ||||||||||
Canada | (4,582,013 | ) | (4,582,013 | ) | — | — | ||||||||||
China | (10,814,756 | ) | (4,502,755 | ) | (6,312,001 | ) | — | |||||||||
Denmark | (3,157,210 | ) | — | (3,157,210 | ) | — | ||||||||||
Finland | (1,969,687 | ) | — | (1,969,687 | ) | — | ||||||||||
France | (16,908,504 | ) | — | (16,908,504 | ) | — | ||||||||||
Germany | (10,753,052 | ) | — | (10,753,052 | ) | — | ||||||||||
Hong Kong | (11,335,869 | ) | — | (11,335,869 | ) | — | ||||||||||
Ireland | (2,570,275 | ) | — | (2,570,275 | ) | — | ||||||||||
Italy | (5,949,416 | ) | — | (5,949,416 | ) | — | ||||||||||
Japan | (24,483,911 | ) | — | (24,483,911 | ) | — | ||||||||||
Luxembourg | (2,608,454 | ) | — | (2,608,454 | ) | — | ||||||||||
Netherlands | (4,892,733 | ) | (3,577,450 | ) | (1,315,283 | ) | — | |||||||||
Singapore | (11,647,692 | ) | — | (11,647,692 | ) | — | ||||||||||
Spain | (5,633,578 | ) | — | (5,633,578 | ) | — | ||||||||||
Sweden | (16,501,617 | ) | (3,485,831 | ) | (13,015,786 | ) | — | |||||||||
Switzerland | (3,673,314 | ) | (968,454 | ) | (2,704,860 | ) | — | |||||||||
Taiwan | (2,410,592 | ) | — | (2,410,592 | ) | — | ||||||||||
United Kingdom | (27,337,154 | ) | (3,422,416 | ) | (23,914,738 | ) | — | |||||||||
United States | (213,947,715 | ) | (213,947,715 | ) | — | — | ||||||||||
Options | ||||||||||||||||
Equity Contracts | (3,314,379 | ) | (3,314,379 | ) | — | — | ||||||||||
Contracts for Difference | (299,681 | ) | — | (299,681 | ) | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Liabilities | $ | (389,829,256 | ) | $ | (239,355,961 | ) | $ | (150,473,295 | ) | $ | — | |||||
|
|
|
|
|
|
|
|
THEACCOMPANYINGNOTESAREANINTEGRALPARTOFTHEFINANCIALSTATEMENTS.
SEMI-ANNUAL REPORT 2016 | 37 |
BOSTON PARTNERS INVESTMENT FUNDS | FEBRUARY 29, 2016 (unaudited) |
BOSTON PARTNERS EMERGING MARKETS LONG/SHORT FUND | PORTFOLIOOF INVESTMENTS |
Number of Shares | Value | |||||||
LONG POSITIONS—52.1% | ||||||||
COMMON STOCK—47.9% | ||||||||
Argentina—1.1% | ||||||||
Pampa Energia SA—Sponsored ADR * † | 779 | $ | 17,302 | |||||
YPF SA—Sponsored ADR † | 721 | 13,065 | ||||||
|
| |||||||
30,367 | ||||||||
|
| |||||||
Brazil—0.8% | ||||||||
Kroton Educacional SA | 3,100 | 7,743 | ||||||
Tegma Gestao Logistica | 14,300 | 14,138 | ||||||
|
| |||||||
21,881 | ||||||||
|
| |||||||
China—13.6% | ||||||||
Alibaba Group Holding Ltd.—Sponsored ADR * † | 583 | 40,116 | ||||||
Baidu, Inc.—Sponsored ADR * † | 315 | 54,627 | ||||||
China Communications Services Corp., Ltd., H Shares | 26,000 | 10,461 | ||||||
China Construction Bank Corp., | 41,000 | 23,958 | ||||||
China Mobile Ltd. | 6,500 | 69,352 | ||||||
Hollysys Automation Technologies, Ltd. * | 484 | 9,104 | ||||||
Industrial & Commercial Bank of China Ltd., H Shares | 40,000 | 19,787 | ||||||
NetEase, Inc.—ADR † | 149 | 20,057 | ||||||
New Oriental Education & Technology Group, Inc.—Sponsored ADR † | 1,242 | 38,663 | ||||||
Tencent Holdings Ltd. | 5,100 | 93,317 | ||||||
|
| |||||||
379,442 | ||||||||
|
| |||||||
Hong Kong—3.2% | ||||||||
AIA Group Ltd. | 2,800 | 14,295 | ||||||
NewOcean Energy Holdings Ltd. | 76,000 | 26,562 | ||||||
PAX Global Technology Ltd. | 11,000 | 11,574 | ||||||
Sands China Ltd. | 2,800 | 9,929 | ||||||
WH Group Ltd. * | 44,000 | 25,548 | ||||||
|
| |||||||
87,908 | ||||||||
|
| |||||||
India—2.4% | ||||||||
ICICI Bank Ltd.—Sponsored ADR † | 3,292 | 18,666 | ||||||
Tata Motors Ltd.—Sponsored ADR * † | 810 | 18,006 | ||||||
Videocon d2h Ltd. ADR * | 5,094 | 31,073 | ||||||
|
| |||||||
67,745 | ||||||||
|
| |||||||
Indonesia—3.0% | ||||||||
Bank Rakyat Indonesia Persero Tbk PT | 86,300 | 71,390 | ||||||
Surya Toto Indonesia Tbk PT | 5,800 | 2,874 | ||||||
Telekomunikasi Indonesia Persero Tbk PT | 44,300 | 10,736 | ||||||
|
| |||||||
85,000 | ||||||||
|
| |||||||
Malaysia—0.4% | ||||||||
Malaysian Pacific Industries Bhd | 6,400 | 12,065 | ||||||
|
| |||||||
Mexico—1.0% | ||||||||
Grupo Televisa SAB—Sponsored ADR † | 1,105 | 28,399 | ||||||
|
|
Number of Shares | Value | |||||||
Peru—0.7% | ||||||||
Cia de Minas Buenaventura SAA—ADR * | 844 | $ | 4,406 | |||||
Cia Minera Milpo SAA | 10,109 | 4,743 | ||||||
Intercorp Financial Services, Inc. | 422 | 10,128 | ||||||
|
| |||||||
19,277 | ||||||||
|
| |||||||
Russia—2.4% | ||||||||
PhosAgro OAO—GDR † | 2,233 | 27,683 | ||||||
Sberbank of Russia PJSC—Sponsored ADR | 3,626 | 21,937 | ||||||
Yandex NV, Class A * † | 1,254 | 16,202 | ||||||
|
| |||||||
65,822 | ||||||||
|
| |||||||
South Africa—1.8% | ||||||||
JSE Ltd. | 779 | 6,933 | ||||||
Imperial Holdings Ltd. | 451 | 3,410 | ||||||
MTN Group Ltd. | 2,148 | 18,058 | ||||||
Murray & Roberts Holdings Ltd. | 12,702 | 7,180 | ||||||
Net 1 UEPS Technologies, Inc. * | 1,729 | 15,786 | ||||||
|
| |||||||
51,367 | ||||||||
|
| |||||||
South Korea—5.6% | ||||||||
KT&G Corp. | 124 | 10,678 | ||||||
POSCO | 90 | 14,514 | ||||||
Samsung Electronics Co., Ltd. | 114 | 108,678 | ||||||
SK Hynix, Inc. | 920 | 22,313 | ||||||
|
| |||||||
156,183 | ||||||||
|
| |||||||
Taiwan—4.9% | ||||||||
China Life Insurance Co., Ltd. | 41,000 | 28,284 | ||||||
Hon Hai Precision Industry Co., Ltd. | 16,000 | 37,282 | ||||||
Taiwan Semiconductor Manufacturing Co., Ltd. | 16,000 | 71,583 | ||||||
|
| |||||||
137,149 | ||||||||
|
| |||||||
Thailand—0.7% | ||||||||
Krungthai Card PCL | 1,200 | 2,791 | ||||||
Krungthai Card PCL—NVDR | 6,700 | 15,583 | ||||||
|
| |||||||
18,374 | ||||||||
|
| |||||||
Turkey—0.2% | ||||||||
Turkcell Iletisim Hizmetleri AS | 1,558 | 5,807 | ||||||
|
| |||||||
United Kingdom—4.3% | ||||||||
HSBC Holdings PLC | 6,233 | 39,638 | ||||||
Liberty Global PLC LiLAC, Class C * † | 1,693 | 62,118 | ||||||
Standard Chartered PLC | 2,990 | 17,788 | ||||||
|
| |||||||
119,544 | ||||||||
|
| |||||||
United States—1.8% | ||||||||
Kosmos Energy Ltd. * | 3,069 | 14,977 | ||||||
Yahoo!, Inc. * | 1,089 | 34,619 | ||||||
|
| |||||||
49,596 | ||||||||
|
| |||||||
TOTAL COMMON STOCK | 1,335,926 | |||||||
|
|
THEACCOMPANYINGNOTESAREANINTEGRALPARTOFTHEFINANCIALSTATEMENTS.
38 | SEMI-ANNUAL REPORT 2016 |
BOSTON PARTNERS INVESTMENT FUNDS | FEBRUARY 29, 2016 (unaudited) |
BOSTON PARTNERS EMERGING MARKETS LONG/SHORT FUND (continued) | PORTFOLIOOF INVESTMENTS |
Number of Shares | Value | |||||||
PREFERRED STOCK—0.6% | ||||||||
South Korea—0.6% | ||||||||
Samsung Electronics Co., Ltd. | 21 | $ | 16,771 | |||||
|
| |||||||
TOTAL PREFERRED STOCK | 16,771 | |||||||
|
| |||||||
EXCHANGE TRADED FUND—3.6% |
| |||||||
India—3.6% | ||||||||
iShares MSCI India ETF | 4,203 | 100,956 | ||||||
|
| |||||||
100,956 | ||||||||
|
| |||||||
TOTAL EXCHANGE TRADED FUND | 100,956 | |||||||
|
| |||||||
TOTAL INVESTMENTS—52.1% | 1,453,653 | |||||||
|
| |||||||
SECURITIES SOLD SHORT—(3.3%) |
| |||||||
RIGHTS—0.0% | ||||||||
Mexico—0.0% | ||||||||
Taigen Biopharmaceuticals | (161 | ) | (4 | ) | ||||
|
| |||||||
TOTAL RIGHTS | (4 | ) | ||||||
|
| |||||||
COMMON STOCK—(3.3%) | ||||||||
Brazil—(0.1%) | ||||||||
Gol Linhas Aereas Inteligentes SA—ADR | (640 | ) | (3,699 | ) | ||||
|
| |||||||
China—(2.0%) | ||||||||
58.Com, Inc.—ADR * | (203 | ) | (10,759 | ) | ||||
China Taiping Insurance Holdings Co., Ltd. | (4,800 | ) | (9,253 | ) | ||||
China Pacific Insurance Group Co., Ltd., H Shares | (2,800 | ) | (9,065 | ) |
Number of Shares | Value | |||||||
China Life Insurance Co., Ltd., H Shares | (4,000 | ) | $ | (8,716 | ) | |||
New China Life Insurance Co., Ltd., H Shares | (3,000 | ) | (8,680 | ) | ||||
Qunar Cayman Islands Ltd.—ADR * | (233 | ) | (8,642 | ) | ||||
|
| |||||||
(55,115 | ) | |||||||
|
| |||||||
Hong Kong—(0.6%) | ||||||||
Hong Kong Exchanges and Clearing Ltd. | (600 | ) | (13,021 | ) | ||||
Noble Group Ltd. * | (15,600 | ) | (3,821 | ) | ||||
|
| |||||||
(16,842 | ) | |||||||
|
| |||||||
United States—(0.6%) | ||||||||
Pricesmart, Inc. | (206 | ) | (15,916 | ) | ||||
|
| |||||||
TOTAL COMMON STOCK | (91,572 | ) | ||||||
|
| |||||||
TOTAL SECURITIES SOLD SHORT—(3.3%) | (91,576 | ) | ||||||
|
| |||||||
OTHER ASSETS IN EXCESS OF LIABILITIES—51.2% | 1,427,783 | |||||||
|
| |||||||
NET ASSETS—100.0% | $ | 2,789,860 | ||||||
|
|
ADR | — | American Depositary Receipt | ||
GDR | — | Global Depositary Receipt | ||
NVDR | — | Non-Voting Depository Receipt | ||
PLC | — | Public Limited Company | ||
Sponsored ADR | — | Sponsored American Depositary Receipt | ||
* | — | Non-income producing. | ||
† | — | Security position is either entirely or partially held in a segregated account as collateral for securities sold short. |
Contracts For Difference held by the Fund at February 29, 2016, are as follows:
Reference Company | Counterparty | Number of Contracts Long/(Short) | Notional Amount | Unrealized Appreciation (Depreciation) | ||||||||||||
Long | ||||||||||||||||
Ambev SA | Goldman Sachs | $ | 4,500 | $ | 20,369 | $ | (579 | ) | ||||||||
Arteris SA | Goldman Sachs | 7,400 | 18,061 | 59 | ||||||||||||
Astral Foods Ltd. | Goldman Sachs | 2,369 | 16,176 | (893 | ) | |||||||||||
AU Optronics Corp. | Goldman Sachs | 69,000 | 17,875 | 860 | ||||||||||||
Banco Bradesco SA | Goldman Sachs | 1,600 | 8,046 | 505 | ||||||||||||
BB Seguridade Participacoes SA | Goldman Sachs | 2,500 | 14,946 | 248 | ||||||||||||
Bharti Infratel Ltd. | Goldman Sachs | 1,369 | 7,257 | (129 | ) | |||||||||||
BR Malls Participacoes SA | Goldman Sachs | 4,100 | 12,912 | 753 | ||||||||||||
Casetek Holdings Ltd. | Goldman Sachs | 3,000 | 15,145 | 1,033 | ||||||||||||
Cathay Real Estate Development Co., Ltd. | Goldman Sachs | 24,000 | 9,484 | 296 | ||||||||||||
China Overseas Land & Investment Ltd. | Goldman Sachs | 8,000 | 23,532 | 192 | ||||||||||||
China Overseas Property Holdings Ltd. | Goldman Sachs | 2,666 | 298 | (3 | ) | |||||||||||
China Petroleum & Chemical Corp., Class A | Goldman Sachs | 38,100 | 25,781 | (405 | ) | |||||||||||
China Resources Land Ltd. | Goldman Sachs | 6,000 | 14,197 | 100 | ||||||||||||
Cia de Gas de Sao Paulo — COMGAS, Class A | Goldman Sachs | 500 | 5,479 | (959 | ) | |||||||||||
Daewoo Securities Co., Ltd. | Goldman Sachs | 1,830 | 11,496 | 379 | ||||||||||||
e-LITECOM Co., Ltd. | Goldman Sachs | 1,170 | 13,642 | 735 | ||||||||||||
Emlak Konut Gayrimenkul Yatirim Ortakligi AS | Goldman Sachs | 15,171 | 12,290 | 901 |
THEACCOMPANYINGNOTESAREANINTEGRALPARTOFTHEFINANCIALSTATEMENTS.
SEMI-ANNUAL REPORT 2016 | 39 |
BOSTON PARTNERS INVESTMENT FUNDS | FEBRUARY 29, 2016 (unaudited) |
BOSTON PARTNERS EMERGING MARKETS LONG/SHORT FUND (continued) | PORTFOLIOOF INVESTMENTS |
Reference Company | Counterparty | Number of Contracts Long/(Short) | Notional Amount | Unrealized Appreciation (Depreciation) | ||||||||||||
Gentera SAB de CV | Goldman Sachs | $ | 2,800 | $ | 5,154 | $ | 12 | |||||||||
Global Brands Group Holding Ltd. | Goldman Sachs | 54,000 | 7,497 | (1,113 | ) | |||||||||||
Gree Electric Appliances, Inc., Class A | Goldman Sachs | 12,700 | 37,155 | 251 | ||||||||||||
Grupo GICSA SA de CV | Goldman Sachs | 11,900 | 8,708 | 437 | ||||||||||||
Hang Fat Ginseng Holdings Co., Ltd. | Goldman Sachs | 50,000 | 387 | (78 | ) | |||||||||||
Hanwha Corp. | Goldman Sachs | 290 | 8,470 | (460 | ) | |||||||||||
HwaSung Industrial Co., Ltd. | Goldman Sachs | 1,450 | 14,536 | 1,460 | ||||||||||||
Hyundai Elevator Co., Ltd. | Goldman Sachs | 321 | 10,696 | 1,382 | ||||||||||||
Iguatemi Empresa de Shopping Centers SA | Goldman Sachs | 2,400 | 12617 | 504 | ||||||||||||
Indorama Ventures PCL — NVDR | Goldman Sachs | 17,100 | 9,993 | 297 | ||||||||||||
Innolux Corp. | Goldman Sachs | 57,000 | 15,877 | 548 | ||||||||||||
Inter RAO UES PJSC | Goldman Sachs | 1,050,000 | 19,604 | 2,600 | ||||||||||||
Itau Unibanco Holding SA | Goldman Sachs | 2,700 | 16,887 | 302 | ||||||||||||
Itausa — Investimentos Itau SA | Goldman Sachs | 8,900 | 15,122 | 18 | ||||||||||||
JBS SA | Goldman Sachs | 9,200 | 24,912 | 1,322 | ||||||||||||
Jiangsu Yanghe Brewery Joint-Stock Co., Ltd., Class A | Goldman Sachs | 5,900 | 54,191 | (2,397 | ) | |||||||||||
Korea United Pharm, Inc. | Goldman Sachs | 1,369 | 20,071 | 1,394 | ||||||||||||
KT Corp. | Goldman Sachs | 651 | 15,064 | 247 | ||||||||||||
Kweichow Moutai Co., Ltd., Class A | Goldman Sachs | 2,400 | 74,984 | 4,001 | ||||||||||||
LG Chem Ltd. | Goldman Sachs | 114 | 27,285 | 634 | ||||||||||||
Lojas Renner SA | Goldman Sachs | 1,500 | 6,689 | 30 | ||||||||||||
M.Video PAO | Goldman Sachs | 4,230 | 13,379 | 235 | ||||||||||||
Matrix Concepts Holdings Bhd | Goldman Sachs | 28,383 | 16,089 | (598 | ) | |||||||||||
Matrix Concepts Holdings Bhd | Goldman Sachs | 2,983 | 276 | (4 | ) | |||||||||||
Meritz Securities Co., Ltd. | Goldman Sachs | 3,220 | 9,100 | (361 | ) | |||||||||||
Midea Group Co., Ltd., Class A | Goldman Sachs | 3,900 | 16,601 | (1,027 | ) | |||||||||||
Pegatron Corp. | Goldman Sachs | 10,000 | 23,626 | (115 | ) | |||||||||||
PetroChina Co., Ltd., Class A | Goldman Sachs | 25,000 | 28,206 | (354 | ) | |||||||||||
PICC Property & Casualty Co., Ltd., H Shares | Goldman Sachs | 34,000 | 53,951 | (2,660 | ) | |||||||||||
Playmates Toys Ltd. | Goldman Sachs | 76,000 | 16,900 | (968 | ) | |||||||||||
PTT Global Chemical PCL — NVDR | Goldman Sachs | 10,500 | 16,011 | (265 | ) | |||||||||||
PTT PCL — NVDR | Goldman Sachs | 4,600 | 30,812 | 2,610 | ||||||||||||
Shun Tak Holdings Ltd. | Goldman Sachs | 40,000 | 12,910 | (438 | ) | |||||||||||
Sinopec Shanghai Petrochemical Co., Ltd., H Shares | Goldman Sachs | 18,000 | 7,199 | 435 | ||||||||||||
Soulbrain Co., Ltd. | Goldman Sachs | 283 | 8,530 | 1,204 | ||||||||||||
Surgutneftegas OAO | Goldman Sachs | 41,300 | 24,458 | (173 | ) | |||||||||||
Tech Mahindra Ltd. | Goldman Sachs | 1,064 | 6,588 | (127 | ) | |||||||||||
Tongyang Life Insurance Co., Ltd. | Goldman Sachs | 970 | 8,392 | (198 | ) | |||||||||||
Via Varejo SA | Goldman Sachs | 20,700 | 9,170 | 2,497 | ||||||||||||
Via Varejo SA | Goldman Sachs | 10,100 | 12,167 | (884 | ) | |||||||||||
Zhengzhou Yutong Bus Co., Ltd., Class A | Goldman Sachs | 17,500 | 53,623 | (2,932 | ) | |||||||||||
|
| |||||||||||||||
10,361 | ||||||||||||||||
Short | ||||||||||||||||
Acer, Inc. | Goldman Sachs | $ | (15,000 | ) | $ | (5,341 | ) | $ | 35 | |||||||
Aluminum Corp. of China Ltd., H Shares | Goldman Sachs | (46,000 | ) | (14,536 | ) | (1,169 | ) | |||||||||
B2W Cia Digital | Goldman Sachs | (3,300 | ) | (9,289 | ) | (255 | ) | |||||||||
Bank of East Asia Ltd. (The) | Goldman Sachs | (4,000 | ) | (11,432 | ) | (1,245 | ) | |||||||||
Beijing Properties Holdings Ltd. | Goldman Sachs | (218,000 | ) | (13,721 | ) | (576 | ) | |||||||||
Brilliance China Automotive Holdings Ltd. | Goldman Sachs | (4,000 | ) | (3,437 | ) | 182 | ||||||||||
Career Technology MFG. Co., Ltd. | Goldman Sachs | (9,000 | ) | (5,950 | ) | (145 | ) | |||||||||
Cathay Pacific Airways Ltd. | Goldman Sachs | (6,000 | ) | (9,171 | ) | (379 | ) | |||||||||
Charoen Pokphand Foods PCL | Goldman Sachs | (8,100 | ) | (4,296 | ) | (14 | ) | |||||||||
China Coal Energy Co. Ltd., H Shares | Goldman Sachs | (35,000 | ) | (11,509 | ) | (174 | ) | |||||||||
China Huishan Dairy Holdings Co., Ltd. | Goldman Sachs | (34,000 | ) | (12,796 | ) | 44 | ||||||||||
China Resources Beer Holdings Company Ltd. | Goldman Sachs | (6,000 | ) | (9,927 | ) | 214 | ||||||||||
China Shipping Container Lines Co., Ltd. | Goldman Sachs | (131,200 | ) | (154,036 | ) | 6,618 | ||||||||||
China Shipping Container Lines Co., Ltd., H Shares | Goldman Sachs | (20,000 | ) | (4,110 | ) | 260 | ||||||||||
China Smarter Energy Group Holdings Ltd. | Goldman Sachs | (162,000 | ) | (17,688 | ) | 5,192 |
THEACCOMPANYINGNOTESAREANINTEGRALPARTOFTHEFINANCIALSTATEMENTS.
40 | SEMI-ANNUAL REPORT 2016 |
BOSTON PARTNERS INVESTMENT FUNDS | FEBRUARY 29, 2016 (unaudited) |
BOSTON PARTNERS EMERGING MARKETS LONG/SHORT FUND (continued) | PORTFOLIOOF INVESTMENTS |
Reference Company | Counterparty | Number of Contracts Long/(Short) | Notional Amount | Unrealized Appreciation (Depreciation) | ||||||||||||
China Yurun Food Group Ltd. | Goldman Sachs | $ | (41,000 | ) | $ | (5,319 | ) | $ | (847 | ) | ||||||
Chow Tai Fook Jewellery Group Ltd. | Goldman Sachs | (10,600 | ) | (6,862 | ) | 534 | ||||||||||
Cia Brasileira de Distribuicao | Goldman Sachs | (700 | ) | (7,289 | ) | (60 | ) | |||||||||
Cia Siderurgica Nacional SA | Goldman Sachs | (6,800 | ) | (7,581 | ) | (1,439 | ) | |||||||||
Daphne International Holdings Ltd. | Goldman Sachs | (26,000 | ) | (3,206 | ) | (1 | ) | |||||||||
Datang International Power Generation Co., Ltd., H Shares | Goldman Sachs | (52,000 | ) | (13,777 | ) | 208 | ||||||||||
Delta Electronics, Inc. | Goldman Sachs | (3,000 | ) | (12,711 | ) | 678 | ||||||||||
Deutsche X-trackers Harvest CSI 300 China A-Shares ETF | Goldman Sachs | (5,516 | ) | (126,923 | ) | 6,895 | ||||||||||
Feng TAY Enterprise Co., Ltd. | Goldman Sachs | (1,000 | ) | (5,244 | ) | (156 | ) | |||||||||
Fosun International Ltd. | Goldman Sachs | (3,500 | ) | (4,730 | ) | 243 | ||||||||||
Gamevil, Inc. | Goldman Sachs | (198 | ) | (13,052 | ) | (1,232 | ) | |||||||||
Hiwin Technologies Corp. | Goldman Sachs | (1,000 | ) | (3,756 | ) | (239 | ) | |||||||||
Holcim Indonesia Tbk PT | Goldman Sachs | (106,600 | ) | (7,180 | ) | (205 | ) | |||||||||
Hotel Shilla Co. Ltd. | Goldman Sachs | (81 | ) | (4,402 | ) | 223 | ||||||||||
HTC Corp. | Goldman Sachs | (7,000 | ) | (16,827 | ) | 45 | ||||||||||
Huaneng Renewables Corp., Ltd., H Shares | Goldman Sachs | (58,000 | ) | (12,885 | ) | (529 | ) | |||||||||
Hwa Shin Co., Ltd. | Goldman Sachs | (2,570 | ) | (11,768 | ) | (72 | ) | |||||||||
Hyundai Rotem Co., Ltd. | Goldman Sachs | (854 | ) | (9,255 | ) | (1,002 | ) | |||||||||
Imperial Pacific International Holdings Ltd. | Goldman Sachs | (240,000 | ) | (4,624 | ) | 741 | ||||||||||
JHSF Participacoes SA | Goldman Sachs | (55,700 | ) | (17,041 | ) | 463 | ||||||||||
KEPCO Engineering & Construction Co., Inc. | Goldman Sachs | (240 | ) | (4,967 | ) | (336 | ) | |||||||||
KuangChi Science Ltd. | Goldman Sachs | (15,000 | ) | (5,992 | ) | 145 | ||||||||||
Kumho Tire Co., Inc. | Goldman Sachs | (2,440 | ) | (13,897 | ) | (1,617 | ) | |||||||||
Louis XIII Holdings Ltd. | Goldman Sachs | (15,000 | ) | (3,873 | ) | (220 | ) | |||||||||
MediaTek, Inc. | Goldman Sachs | (1,000 | ) | (6,355 | ) | (686 | ) | |||||||||
Mercadolibre, Inc. | Goldman Sachs | (127 | ) | (12,162 | ) | (762 | ) | |||||||||
Neo Solar Power Corp. | Goldman Sachs | (14,000 | ) | (9,360 | ) | (625 | ) | |||||||||
Opko Health, Inc. | Goldman Sachs | (709 | ) | (5,665 | ) | (929 | ) | |||||||||
Paradise Co. Ltd. | Goldman Sachs | (1,040 | ) | (12,330 | ) | (67 | ) | |||||||||
Perusahaan Gas Negara Persero Tbk | Goldman Sachs | (29,100 | ) | (5,385 | ) | (286 | ) | |||||||||
Petra Foods Ltd. | Goldman Sachs | (8,900 | ) | (13,576 | ) | (1,266 | ) | |||||||||
PGE Polska Grupa Energetyczna SA | Goldman Sachs | (1,741 | ) | (6,082 | ) | 398 | ||||||||||
Poly Property Group Co., Ltd. | Goldman Sachs | (43,000 | ) | (11,378 | ) | (325 | ) | |||||||||
Prada SpA | Goldman Sachs | (4,700 | ) | (14,429 | ) | 937 | ||||||||||
Precious Shipping PCL, NVDR | Goldman Sachs | (98,000 | ) | (13,146 | ) | (152 | ) | |||||||||
President Chain Store Corp. | Goldman Sachs | (2,000 | ) | (13,462 | ) | (41 | ) | |||||||||
Quanta Computer, Inc. | Goldman Sachs | (4,000 | ) | (6,491 | ) | (219 | ) | |||||||||
Samsung SDI Co. Ltd. | Goldman Sachs | (72 | ) | (5,603 | ) | (245 | ) | |||||||||
Sany Heavy Equipment International Holdings Co., Ltd. | Goldman Sachs | (48,000 | ) | (9,372 | ) | (427 | ) | |||||||||
Sembcorp Marine Ltd. | Goldman Sachs | (9,200 | ) | (10,296 | ) | 293 | ||||||||||
Semiconductor Manufacturing International, Corp. | Goldman Sachs | (96,000 | ) | (8,015 | ) | 87 | ||||||||||
Shangri-La Asia Ltd. | Goldman Sachs | (16,000 | ) | (14,531 | ) | (598 | ) | |||||||||
Sincere Watch Hong Kong Ltd. | Goldman Sachs | (40,000 | ) | (2,620 | ) | 153 | ||||||||||
Ssangyong Motor Co. | Goldman Sachs | (1,690 | ) | (9,515 | ) | (1,311 | ) | |||||||||
Sungwoo Hitech Co., Ltd. | Goldman Sachs | (1,335 | ) | (8,887 | ) | (473 | ) | |||||||||
Surya Citra Media Tbk PT | Goldman Sachs | (30,400 | ) | (6,822 | ) | 304 | ||||||||||
Taigen Biopharmaceuticals Holdings Ltd. | Goldman Sachs | (7,000 | ) | (5,974 | ) | 46 | ||||||||||
Tingyi Cayman Islands Holding Corp. | Goldman Sachs | (14,000 | ) | (13,446 | ) | 262 | ||||||||||
Trinity Ltd. | Goldman Sachs | (78,000 | ) | (9,719 | ) | (198 | ) | |||||||||
Tsingtao Brewery Co., Ltd., H Shares | Goldman Sachs | (3,000 | ) | (10,906 | ) | 77 | ||||||||||
UMW Holdings Bhd | Goldman Sachs | (4,100 | ) | (6,738 | ) | (145 | ) | |||||||||
Unilever Indonesia Tbk PT | Goldman Sachs | (4,700 | ) | (15,130 | ) | (447 | ) | |||||||||
Vale SA — Sponsored ADR | Goldman Sachs | (2,209 | ) | (6,119 | ) | (376 | ) | |||||||||
VimpelCom Ltd. — Sponsored ADR | Goldman Sachs | (2,137 | ) | (7,202 | ) | (363 | ) | |||||||||
Wijaya Karya Persero Tbk PT | Goldman Sachs | (49,200 | ) | (9,960 | ) | 481 | ||||||||||
Yashili International Holdings Ltd. | Goldman Sachs | (58,000 | ) | (14,155 | ) | 1,936 | ||||||||||
Yulon Motor Co., Ltd. | Goldman Sachs | (11,000 | ) | (9,520 | ) | (162 | ) |
THEACCOMPANYINGNOTESAREANINTEGRALPARTOFTHEFINANCIALSTATEMENTS.
SEMI-ANNUAL REPORT 2016 | 41 |
BOSTON PARTNERS INVESTMENT FUNDS | FEBRUARY 29, 2016 (unaudited) |
BOSTON PARTNERS EMERGING MARKETS LONG/SHORT FUND (concluded) | PORTFOLIOOF INVESTMENTS |
Reference Company | Counterparty | Number of Contracts Long/(Short) | Notional Amount | Unrealized Appreciation (Depreciation) | ||||||||||||
Zhuzhou CSR Times Electric Co., Ltd., H Shares | Goldman Sachs | $ | (1,500 | ) | $ | (7,428 | ) | $ | 103 | |||||||
Zoomlion Heavy Industry Science and Technology Co., Ltd., H Shares | Goldman Sachs | (14,600 | ) | (3,882 | ) | (128 | ) | |||||||||
|
| |||||||||||||||
5,654 | ||||||||||||||||
|
| |||||||||||||||
Net unrealized gain on Contracts for Difference | $ | 16,015 | ||||||||||||||
|
|
A summary of the inputs used to value the Fund’s investments as of February 29, 2016 is as follows (see Note 1 in the Notes to Financial Statements):
Total Value as of February 29, 2016 | Level 1 Quoted Price | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |||||||||||||
Common Stock | ||||||||||||||||
Argentina | $ | 30,367 | $ | 30,367 | $ | — | $ | — | ||||||||
Brazil | 21,881 | 21,881 | — | — | ||||||||||||
China | 379,442 | 162,567 | 216,875 | — | ||||||||||||
Hong Kong | 87,908 | — | 87,908 | — | ||||||||||||
India | 67,745 | 67,745 | — | — | ||||||||||||
Indonesia | 85,000 | 2,874 | 82,126 | — | ||||||||||||
Malaysia | 12,065 | — | 12,065 | — | ||||||||||||
Mexico | 28,399 | 28,399 | — | — | ||||||||||||
Peru | 19,277 | 19,277 | — | — | ||||||||||||
Russia | 65,822 | 65,822 | — | — | ||||||||||||
South Africa | 51,367 | 22,966 | 28,401 | — | ||||||||||||
South Korea | 156,183 | 10,678 | 145,505 | — | ||||||||||||
Taiwan | 137,149 | — | 137,149 | — | ||||||||||||
Thailand | 18,374 | — | 18,374 | — | ||||||||||||
Turkey | 5,807 | — | 5,807 | — | ||||||||||||
United Kingdom | 119,544 | 62,118 | 57,426 | — | ||||||||||||
United States | 49,596 | 49,596 | — | — | ||||||||||||
Preferred Stocks | 16,771 | — | 16,771 | — | ||||||||||||
Exchange Traded Fund | 100,956 | 100,956 | — | — | ||||||||||||
Contracts for Difference | 56,278 | — | 56,278 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Assets | $ | 1,509,931 | $ | 645,246 | $ | 864,685 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Value as of February 29, 2016 | Level 1 Quoted Price | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |||||||||||||
Securities Sold Short | ||||||||||||||||
Common Stock | ||||||||||||||||
Brazil | $ | (3,699 | ) | $ | (3,699 | ) | $ | — | $ | — | ||||||
China | (55,115 | ) | (19,401 | ) | (35,714 | ) | — | |||||||||
Hong Kong | (16,842 | ) | — | (16,842 | ) | — | ||||||||||
United States | (15,916 | ) | (15,916 | ) | — | — | ||||||||||
Rights | (4 | ) | — | (4 | ) | — | ||||||||||
Contracts for Difference | (40,263 | ) | — | (40,263 | ) | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Liabilities | $ | 131,839 | $ | (39,016 | ) | $ | (92,823 | ) | $ | — | ||||||
|
|
|
|
|
|
|
|
THEACCOMPANYINGNOTESAREANINTEGRALPARTOFTHEFINANCIALSTATEMENTS.
42 | SEMI-ANNUAL REPORT 2016 |
BOSTON PARTNERS INVESTMENT FUNDS | FEBRUARY 29, 2016 (unaudited) |
Boston Partners Small Cap Value Fund II | Boston Partners Long/Short Equity Fund | Boston Partners Long/Short Research Fund | Boston Partners All-Cap Value Fund | |||||||||||||
ASSETS | ||||||||||||||||
Investments in securities, at value † ^ | $ | 318,760,133 | $ | 653,105,514 | $ | 6,584,599,089 | $ | 1,090,010,894 | ||||||||
Investments in purchased options, at value (primary risk exposure is equity contracts¯ | — | 248,400 | — | — | ||||||||||||
Cash | 18,941,304 | 23,849,185 | 186,591,084 | 59,912,902 | ||||||||||||
Foreign currency, at value # | — | 1,543,231 | 728,323,453 | — | ||||||||||||
Receivables | ||||||||||||||||
Investments sold | 1,505,612 | 11,710,267 | 78,301,493 | 5,660 | ||||||||||||
Deposits with brokers for securities sold short | — | 194,853,101 | 2,460,408,035 | — | ||||||||||||
Dividends and interest | 246,660 | 964,612 | 12,368,720 | 2,367,236 | ||||||||||||
Capital shares sold | 372,324 | 2,755,809 | 22,734,958 | 3,798,286 | ||||||||||||
Unrealized gain on contracts for difference | — | — | 1,223,261 | — | ||||||||||||
Prepaid expenses and other assets | 17,255 | 54,008 | 454,329 | 51,137 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total assets | 339,843,288 | 889,084,127 | 10,075,004,422 | 1,156,146,115 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
LIABILITIES | ||||||||||||||||
Securities sold short, at fair value ‡ | $ | — | $ | 187,116,382 | $ | 3,101,796,302 | $ | — | ||||||||
Options written, at value * | — | 3,745,662 | 21,656,223 | 230,572 | ||||||||||||
Payables | ||||||||||||||||
Securities lending collateral | 14,781,094 | 29,761,547 | — | 9,637,947 | ||||||||||||
Investments purchased | 9,527,500 | 19,358,709 | 39,709,654 | 10,006,777 | ||||||||||||
Capital shares redeemed | 209,490 | 3,603,334 | 37,729,724 | 1,482,259 | ||||||||||||
Due to prime broker | — | 706,078 | 46,259,356 | — | ||||||||||||
Investment advisory fees | 207,986 | 1,087,986 | 6,772,235 | 562,194 | ||||||||||||
Custodian fees | 9,440 | — | 8,709 | 12,802 | ||||||||||||
Distribution and service fees | 21,093 | 17,003 | 53,565 | 56,826 | ||||||||||||
Dividends on securities sold-short | — | 10,647 | 3,677,539 | — | ||||||||||||
Administration and accounting fees | 69,775 | 143,931 | 691,138 | 179,319 | ||||||||||||
Prime broker interest payable | — | 14 | 1,092 | — | ||||||||||||
Unrealized loss on contracts for difference | — | — | 621,190 | — | ||||||||||||
Other accrued expenses and liabilities | 57,537 | 108,176 | 194,310 | 79,688 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total liabilities | 24,883,915 | 245,659,469 | 3,259,171,037 | 22,248,384 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Assets | $ | 314,959,373 | $ | 643,424,658 | $ | 6,815,833,385 | $ | 1,133,897,731 | ||||||||
|
|
|
|
|
|
|
| |||||||||
NET ASSETS CONSIST OF | ||||||||||||||||
Par value | $ | 16,771 | $ | 35,349 | $ | 479,434 | $ | 57,797 | ||||||||
Paid-in capital | 302,953,906 | 638,428,539 | 6,765,173,494 | 1,056,768,110 | ||||||||||||
Undistributed net investment income/(accumulated net investment loss) | 949,100 | (28,649,705 | ) | (16,838,531 | ) | 2,507,168 | ||||||||||
Accumulated net realized gain/(loss) from investments, securities sold short, contracts for difference and foreign currency | (11,753,524 | ) | 3,131,763 | (6,508,657 | ) | 3,242,365 | ||||||||||
Net unrealized appreciation/(depreciation) on investments, securities sold short, written options and foreign currency translation | 22,793,120 | 30,478,712 | 73,527,645 | 71,322,291 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Assets | $ | 314,959,373 | $ | 643,424,658 | $ | 6,815,833,385 | $ | 1,133,897,731 | ||||||||
|
|
|
|
|
|
|
| |||||||||
INSTITUTIONAL CLASS | ||||||||||||||||
Net assets | $ | 205,024,442 | $ | 558,079,982 | $ | 6,543,326,539 | $ | 835,847,868 | ||||||||
Shares outstanding | 10,762,127 | 30,343,653 | 460,009,459 | 42,559,244 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net asset value, offering and redemption price per share | $ | 19.05 | $ | 18.39 | $ | 14.22 | $ | 19.64 | ||||||||
|
|
|
|
|
|
|
| |||||||||
INVESTOR CLASS | ||||||||||||||||
Net assets | $ | 109,934,931 | $ | 85,344,676 | $ | 272,506,846 | $ | 298,049,863 | ||||||||
Shares outstanding | 6,008,688 | 5,005,752 | 19,424,432 | 15,237,854 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net asset value, offering and redemption price per share | $ | 18.30 | $ | 17.05 | $ | 14.03 | $ | 19.56 | ||||||||
|
|
|
|
|
|
|
| |||||||||
† Investment in securities, at cost | $ | 295,967,013 | $ | 639,912,741 | $ | 6,692,301,752 | $ | 1,019,095,023 | ||||||||
¯Investment in purchased options, at cost | $ | — | $ | 180,381 | $ | — | $ | — | ||||||||
^ Includes market value of securities on loan | $ | 14,395,163 | $ | 27,975,892 | $ | — | $ | 9,272,163 | ||||||||
# Foreign currency, at cost | $ | — | $ | 1,642,329 | $ | 728,486,109 | $ | — | ||||||||
‡ Proceeds received, securities sold short | $ | — | $ | 202,137,734 | $ | 3,284,948,830 | $ | — | ||||||||
* Premiums received, options written | $ | — | $ | 6,041,328 | $ | 19,390,625 | $ | 636,992 |
THEACCOMPANYINGNOTESAREANINTEGRALPARTOFTHEFINANCIALSTATEMENTS.
SEMI-ANNUAL REPORT 2016 | 43 |
BOSTON PARTNERS INVESTMENT FUNDS | FEBRUARY 29, 2016 (unaudited) |
STATEMENTS OF ASSETS AND LIABILITIES (concluded) |
WPG Partners Small/Micro Cap Value Fund | Boston Partners Global Equity Fund | Boston Partners Global Long/Short Fund | Boston Partners Emerging Markets Long/Short Fund | |||||||||||||
ASSETS | ||||||||||||||||
Investments in securities, at value † ^ | $ | 33,173,305 | $ | 316,697,567 | $ | 654,852,489 | $ | 1,453,653 | ||||||||
Investments in purchased options, at value (primary risk exposure is equity contracts) ¯ | — | — | 536,938 | — | ||||||||||||
Cash | 324,418 | 13,643,381 | 38,370,823 | 1,186,513 | ||||||||||||
Foreign currency, at value # | — | 8,528 | — | 74,797 | ||||||||||||
Receivables | ||||||||||||||||
Investments sold | 302,234 | 1,515,888 | 28,888,093 | 252,586 | ||||||||||||
Deposits with brokers for securities sold short | — | — | 380,814,473 | 121,160 | ||||||||||||
Dividends and interest | 42,481 | 577,145 | 1,305,656 | 9,979 | ||||||||||||
Capital shares sold | — | 7,244,373 | 4,094,270 | 194 | ||||||||||||
Unrealized gain on contracts for difference | — | — | 345,037 | 56,278 | ||||||||||||
Prepaid expenses and other assets | 10,367 | 25,498 | 90,362 | 27,302 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total assets | 33,852,805 | 339,712,380 | 1,109,298,141 | 3,182,462 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
LIABILITIES | ||||||||||||||||
Securities sold short, at fair value ‡ | $ | — | $ | — | $ | 386,215,196 | $ | 91,576 | ||||||||
Options written, at value * | — | 824,335 | 3,314,379 | — | ||||||||||||
Foreign cash overdraft | — | — | 3,742,831 | — | ||||||||||||
Payables | ||||||||||||||||
Securities lending collateral | 3,603,159 | — | — | — | ||||||||||||
Investments purchased | 144,691 | 595,859 | 21,708,585 | 222,206 | ||||||||||||
Capital shares redeemed | 44,574 | — | 739,505 | — | ||||||||||||
Due to prime broker | — | — | 160,623 | 91 | ||||||||||||
Investment advisory fees | 4,763 | 193,244 | 806,851 | — | ||||||||||||
Custodian fees | 4,102 | 6,731 | 5,099 | 9,917 | ||||||||||||
Distribution and service fees | — | — | 6,514 | — | ||||||||||||
Dividends on securities sold-short | — | — | 344,014 | 2,113 | ||||||||||||
Administration and accounting fees | 22,052 | 70,640 | 115,986 | 6,225 | ||||||||||||
Prime broker interest payable | — | — | — | 2,271 | ||||||||||||
Unrealized loss on contracts for difference | — | — | 299,681 | 40,263 | ||||||||||||
Other accrued expenses and liabilities | 31,922 | 13,452 | 4,983 | 17,940 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total liabilities | 3,855,263 | 1,704,261 | 417,464,247 | 392,602 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Assets | $ | 29,997,542 | $ | 338,008,119 | $ | 691,833,894 | $ | 2,789,860 | ||||||||
|
|
|
|
|
|
|
| |||||||||
NET ASSETS CONSIST OF | ||||||||||||||||
Par value | $ | 2,328 | $ | 24,901 | $ | 66,979 | $ | 280 | ||||||||
Paid-in capital | 34,883,858 | 368,079,008 | 702,957,576 | 2,808,346 | ||||||||||||
Undistributed net investment income/(accumulated net investment loss) | 139,668 | 4,151,045 | 2,960,482 | (36,842 | ) | |||||||||||
Accumulated net realized gain/(loss) from investments, securities sold short, contracts for difference and foreign currency | (2,008,372 | ) | (20,236,171 | ) | (14,570,410 | ) | 69,579 | |||||||||
Net unrealized appreciation/(depreciation) on investments, securities sold short, written options and foreign currency translation | (3,019,940 | ) | (14,010,664 | ) | 419,267 | (51,503 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Net Assets | $ | 29,997,542 | $ | 338,008,119 | $ | 691,833,894 | $ | 2,789,860 | ||||||||
|
|
|
|
|
|
|
| |||||||||
INSTITUTIONAL CLASS | ||||||||||||||||
Net assets | $ | 29,997,542 | $ | 338,008,119 | $ | 660,729,443 | $ | 2,789,860 | ||||||||
Shares outstanding | 2,328,254 | 24,900,872 | 63,954,950 | 280,088 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net asset value, offering and redemption price per share | $ | 12.88 | $ | 13.57 | $ | 10.33 | $ | 9.96 | ||||||||
|
|
|
|
|
|
|
| |||||||||
INVESTOR CLASS | ||||||||||||||||
Net assets | $ | — | $ | — | $ | 31,104,451 | $ | — | ||||||||
Shares outstanding | — | — | 3,023,562 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net asset value, offering and redemption price per share | $ | — | $ | — | $ | 10.29 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
† Investment in securities, at cost | $ | 36,193,245 | $ | 330,432,179 | $ | 678,858,871 | $ | 1,520,550 | ||||||||
¯Investments in purchased options, at cost | $ | — | $ | — | $ | 1,373,258 | $ | — | ||||||||
^ Includes market value of securities on loan | $ | 3,401,106 | $ | — | $ | — | $ | — | ||||||||
# Foreign currency, at cost | $ | — | $ | 8,765 | $ | — | $ | 74,872 | ||||||||
‡ Proceeds received, securities sold short | $ | — | $ | — | $ | 411,753,466 | $ | 91,520 | ||||||||
* Premiums received, options written | $ | — | $ | 562,018 | $ | 2,990,589 | $ | — |
THEACCOMPANYINGNOTESAREANINTEGRALPARTOFTHEFINANCIALSTATEMENTS.
44 | SEMI-ANNUAL REPORT 2016 |
BOSTON PARTNERS INVESTMENT FUNDS | FOR THE SIX MONTHS ENDED FEBRUARY 29, 2016 (unaudited) |
Boston Partners Small Cap Value Fund II | Boston Partners Long/Short Equity Fund | Boston Partners Long/Short Research Fund | Boston Partners All-Cap Value Fund | |||||||||||||
Investment Income | ||||||||||||||||
Dividends † | $ | 3,162,144 | $ | 5,291,715 | $ | 83,202,538 | $ | 11,881,571 | ||||||||
Interest | 556 | 4,870 | 19,406 | 1,517 | ||||||||||||
Income from securities loaned (Note 6) | 57,411 | 175,108 | — | 15,617 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total investment income | 3,220,111 | 5,471,693 | 83,221,944 | 11,898,705 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Expenses | ||||||||||||||||
Advisory fees (Note 2) | 1,557,863 | 6,632,183 | 44,393,052 | 4,395,272 | ||||||||||||
Distribution fees (Investor Class) (Note 2) | 151,866 | 113,236 | 343,563 | 342,357 | ||||||||||||
Administration and accounting fees (Note 2) | 134,607 | 248,489 | 1,451,897 | 355,223 | ||||||||||||
Transfer agent fees (Note 2) | 103,825 | 198,408 | 1,901,419 | 230,017 | ||||||||||||
Registration and filing fees | 25,977 | 38,071 | 158,969 | 42,812 | ||||||||||||
Printing and shareholder reporting fees | 19,660 | 37,008 | 226,556 | 40,804 | ||||||||||||
Custodian fees (Note 2) | 17,203 | 42,346 | 421,897 | 48,857 | ||||||||||||
Audit fees | 13,992 | 16,097 | 17,019 | 14,304 | ||||||||||||
Directors’ and officers’ fees | 13,907 | 23,055 | 128,718 | 28,518 | ||||||||||||
Legal fees | 12,928 | 122,572 | 299,043 | 46,964 | ||||||||||||
Other expenses | 4,668 | 11,633 | 70,913 | 13,451 | ||||||||||||
Dividend expense on securities sold-short | — | 815,021 | 24,191,619 | — | ||||||||||||
Prime broker interest expense | — | 4,292,854 | 12,251,224 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total expenses before waivers and reimbursements | 2,056,496 | 12,590,973 | 85,855,889 | 5,558,579 | ||||||||||||
Less: waivers and reimbursements | (190,980 | ) | (3,521 | ) | — | (1,186,181 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Net expenses after waivers and reimbursements | 1,865,516 | 12,587,452 | 85,855,889 | 4,372,398 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net investment income/(loss) | 1,354,595 | (7,115,759 | ) | (2,633,945 | ) | 7,526,307 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net realized gain/(loss) from: | ||||||||||||||||
Investments | (5,893,273 | ) | 65,515,923 | (148,126,618 | ) | 8,795,649 | ||||||||||
Investments sold-short | — | (43,323,505 | ) | 240,293,780 | — | |||||||||||
Foreign currency transactions | — | (713,589 | ) | (5,585,798 | ) | — | ||||||||||
Written options ** | — | (677,418 | ) | 12,579,500 | — | |||||||||||
Contracts for difference | — | — | (433,127 | ) | — | |||||||||||
Net change in unrealized appreciation/(depreciation) on: | ||||||||||||||||
Investments | (23,013,267 | ) | (17,189,365 | ) | (363,016,836 | ) | (76,775,188 | ) | ||||||||
Investments sold short | — | 29,774,894 | 67,089,054 | — | ||||||||||||
Foreign currency translation | — | 641,008 | 943,367 | — | ||||||||||||
Written options ** | — | 3,145,253 | 1,981,800 | 1,329,739 | ||||||||||||
Contracts for difference | — | — | (1,388,452 | ) | — | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Net realized and unrealized gain/(loss) on investments | (28,906,540 | ) | 37,173,201 | (195,663,330 | ) | (66,649,800 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase/(decrease) in net assets resulting from operations | $ | (27,551,945 | ) | $ | 30,057,442 | $ | (198,297,275 | ) | $ | (59,123,493 | ) | |||||
|
|
|
|
|
|
|
| |||||||||
† Net of foreign withholding taxes of | $ | — | $ | (100,000 | ) | $ | (605,444 | ) | $ | (113,438 | ) | |||||
|
|
|
|
|
|
|
|
** | Primary risk is equity contracts |
THEACCOMPANYINGNOTESAREANINTEGRALPARTOFTHEFINANCIALSTATEMENTS.
SEMI-ANNUAL REPORT 2016 | 45 |
BOSTON PARTNERS INVESTMENT FUNDS | FOR THE SIX MONTHS ENDED FEBRUARY 29, 2016 (unaudited) |
STATEMENTS OF OPERATIONS (concluded) |
WPG Partners Small/Micro Cap Value Fund | Boston Partners Global Equity Fund | Boston Partners Global Long/Short Fund | Boston Partners Emerging Markets Long/Short Fund* | |||||||||||||
Investment Income | ||||||||||||||||
Dividends † | $ | 306,426 | $ | 6,130,121 | $ | 13,414,443 | $ | 22,659 | ||||||||
Interest | 18 | 614 | 217,481 | 987 | ||||||||||||
Income from securities loaned (Note 6) | 26,647 | — | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total investment income | 333,091 | 6,130,735 | 13,631,924 | 23,646 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Expenses | ||||||||||||||||
Advisory fees (Note 2) | 132,606 | 1,329,395 | 4,168,320 | 10,210 | ||||||||||||
Distribution fees (Investor Class) (Note 2) | — | — | 56,195 | — | ||||||||||||
Administration and accounting fees (Note 2) | 38,950 | 132,074 | 214,080 | 19,366 | ||||||||||||
Transfer agent fees (Note 2) | 27,525 | 16,642 | 117,059 | 12,048 | ||||||||||||
Registration and filing fees | 11,317 | 30,752 | 46,099 | 5,558 | ||||||||||||
Printing and shareholder reporting fees | 1,432 | 1,962 | 17,376 | 1,025 | ||||||||||||
Custodian fees (Note 2) | 15,086 | 33,477 | 80,277 | 14,938 | ||||||||||||
Audit fees | 13,425 | 14,840 | 17,566 | 5,233 | ||||||||||||
Directors’ and officers’ fees | 10,428 | 11,776 | 14,096 | 4,549 | ||||||||||||
Legal fees | 1,885 | 5,863 | 10,312 | 758 | ||||||||||||
Other expenses | 3,606 | 2,914 | 3,170 | 615 | ||||||||||||
Dividend expense on securities sold-short | — | — | 1,513,404 | 48,692 | ||||||||||||
Prime broker interest expense | — | — | 1,771,626 | 239 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total expenses before waivers and reimbursements | 256,260 | 1,579,695 | 8,029,580 | 123,231 | ||||||||||||
Less: waivers and reimbursements | (73,927 | ) | (176,445 | ) | — | (62,743 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Net expenses after waivers and reimbursements | 182,333 | 1,403,250 | 8,029,580 | 60,488 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net investment income/(loss) | 150,758 | 4,727,485 | 5,602,344 | (36,842 | ) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Net realized gain/(loss) from: | ||||||||||||||||
Investments | (443,273 | ) | (19,667,664 | ) | (36,653,198 | ) | (112,853 | ) | ||||||||
Investments sold-short | — | — | 30,550,715 | 183,249 | ||||||||||||
Foreign currency transactions | — | (10,473 | ) | (494,476 | ) | 7,274 | ||||||||||
Written options ** | — | — | 852,875 | — | ||||||||||||
Contracts for difference | — | — | 32,975 | (8,091 | ) | |||||||||||
Net change in unrealized appreciation/(depreciation) on: | ||||||||||||||||
Investments | (4,603,918 | ) | (7,103,565 | ) | (14,570,730 | ) | (66,897 | ) | ||||||||
Investments sold short | — | — | 2,605,142 | (56 | ) | |||||||||||
Foreign currency translation | — | (6,458 | ) | (680,736 | ) | (565 | ) | |||||||||
Written options ** | — | (262,317 | ) | 160,395 | — | |||||||||||
Contracts for difference | — | — | (1,035,039 | ) | 16,015 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Net realized and unrealized gain/(loss) on investments | (5,047,191 | ) | (27,050,477 | ) | (19,232,077 | ) | 18,076 | |||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase/(decrease) in net assets resulting from operations | $ | (4,896,433 | ) | $ | (22,322,992 | ) | $ | (13,629,733 | ) | $ | (18,766 | ) | ||||
|
|
|
|
|
|
|
| |||||||||
† Net of foreign withholding taxes of | $ | (1,169 | ) | $ | (44,898 | ) | $ | (83,016 | ) | $ | (2,106 | ) | ||||
|
|
|
|
|
|
|
|
* | The Fund commenced operations on December 17, 2015. |
** | Primary risk is equity contracts |
THEACCOMPANYINGNOTESAREANINTEGRALPARTOFTHEFINANCIALSTATEMENTS.
46 | SEMI-ANNUAL REPORT 2016 |
BOSTON PARTNERS INVESTMENT FUNDS | FEBRUARY 29, 2016 |
Boston Partners Small Cap Value Fund II | Boston Partners Long/Short Equity Fund | |||||||||||||||
For the Six Months Ended February 29, 2016 (unaudited) | For the Year Ended August 31, 2015 | For the Six Months Ended February 29, 2016 (unaudited) | For the Year Ended August 31, 2015 | |||||||||||||
Increase/(decrease) in net assets from operations: | ||||||||||||||||
Net investment income/(loss) | $ | 1,354,595 | $ | 2,177,505 | $ | (7,115,759 | ) | $ | (32,134,039 | ) | ||||||
Net realized gain/(loss) from investments and foreign currency | (5,893,273 | ) | 11,421,347 | 20,801,411 | 52,414,504 | |||||||||||
Net change in unrealized appreciation/(depreciation) from investment and foreign currency | (23,013,267 | ) | (18,484,290 | ) | 16,371,790 | (96,167,694 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase/(decrease) in net assets resulting from operations | (27,551,945 | ) | (4,885,438 | ) | 30,057,442 | (75,887,229 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Dividends and distributions to shareholders from: | ||||||||||||||||
Net investment income | ||||||||||||||||
Institutional Class | (1,116,668 | ) | (951,560 | ) | — | — | ||||||||||
Investor Class | (433,454 | ) | (605,107 | ) | — | — | ||||||||||
Net realized capital gains | ||||||||||||||||
Institutional Class | (8,598,571 | ) | (1,769,477 | ) | (40,334,881 | ) | (54,248,415 | ) | ||||||||
Investor Class | (5,838,075 | ) | (1,642,628 | ) | (8,084,170 | ) | (17,937,422 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net decrease in net assets from dividends and distributions to shareholders | (15,986,768 | ) | (4,968,772 | ) | (48,419,051 | ) | (72,185,837 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Capital share transactions: | ||||||||||||||||
Institutional Class | ||||||||||||||||
Proceeds from shares sold | 56,801,628 | 108,813,499 | 209,425,869 | 183,268,691 | ||||||||||||
Reinvestment of distributions | 9,508,519 | 2,662,389 | 32,015,441 | 41,021,708 | ||||||||||||
Shares redeemed | (15,031,504 | ) | (27,945,647 | ) | (162,202,584 | ) | (295,605,895 | ) | ||||||||
Redemption fees (Note 8) | 1,095 | 3,324 | 86,310 | 461,615 | ||||||||||||
Investor Class | ||||||||||||||||
Proceeds from shares sold | 14,117,925 | 41,539,251 | 7,569,872 | 33,166,844 | ||||||||||||
Reinvestment of distributions | 6,206,809 | 2,215,225 | 8,022,262 | 17,388,360 | ||||||||||||
Shares redeemed | (22,637,844 | ) | (22,434,161 | ) | (21,358,349 | ) | (131,640,788 | ) | ||||||||
Redemption fees (Note 8) | 733 | 2,798 | 16,799 | 95,675 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase/(decrease) in net assets from capital share transactions | 48,967,361 | 104,856,678 | 73,575,620 | (151,843,790 | ) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Total increase/(decrease) in net assets | 5,428,648 | 95,002,468 | 55,214,011 | (299,916,856 | ) | |||||||||||
Net assets | ||||||||||||||||
Beginning of period | 309,530,725 | 214,528,257 | 588,210,647 | 888,127,503 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of period | $ | 314,959,373 | $ | 309,530,725 | $ | 643,424,658 | $ | 588,210,647 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Undistributed net investment income/(accumulated net investment loss), end of period | $ | 949,100 | $ | 1,144,627 | $ | (28,649,705 | ) | $ | (21,533,946 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Share transactions: | ||||||||||||||||
Institutional Class | ||||||||||||||||
Shares sold | 2,811,079 | 4,831,433 | 11,266,485 | 9,233,291 | ||||||||||||
Shares reinvested | 471,419 | 120,853 | 1,811,853 | 2,087,619 | ||||||||||||
Shares redeemed | (745,494 | ) | (1,235,515 | ) | (8,668,245 | ) | (15,272,150 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase/(decrease) | 2,537,004 | 3,716,771 | 4,410,093 | (3,951,240 | ) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Investor Class | ||||||||||||||||
Shares sold | 717,010 | 1,929,191 | 431,440 | 1,718,153 | ||||||||||||
Shares reinvested | 320,269 | 104,442 | 489,461 | 945,533 | ||||||||||||
Shares redeemed | (1,182,705 | ) | (1,038,869 | ) | (1,225,621 | ) | (7,262,224 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase/(decrease) | (145,426 | ) | 994,764 | (304,720 | ) | (4,598,538 | ) | |||||||||
|
|
|
|
|
|
|
|
THEACCOMPANYINGNOTESAREANINTEGRALPARTOFTHEFINANCIALSTATEMENTS.
SEMI-ANNUAL REPORT 2016 | 47 |
BOSTON PARTNERS INVESTMENT FUNDS | FEBRUARY 29, 2016 |
STATEMENTS OF CHANGES IN NET ASSETS (continued) |
Boston Partners Long/Short Research Fund | Boston Partners All-Cap Value Fund | |||||||||||||||
For the Six Months Ended February 29, 2016 (unaudited) | For the Year Ended August 31, 2015 | For the Six Months Ended February 29, 2016 (unaudited) | For the Year Ended August 31, 2015 | |||||||||||||
Increase/(decrease) in net assets from operations: | ||||||||||||||||
Net investment income/(loss) | $ | (2,633,945 | ) | $ | (57,628,148 | ) | $ | 7,526,307 | $ | 12,705,428 | ||||||
Net realized gain/(loss) from investments and foreign currency | 98,727,737 | 312,683,672 | 8,795,649 | 58,588,113 | ||||||||||||
Net change in unrealized appreciation/(depreciation) from investment and foreign currency | (294,391,067 | ) | (178,571,768 | ) | (75,445,449 | ) | (65,827,625 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase/(decrease) in net assets resulting from operations | (198,297,275 | ) | 76,483,756 | (59,123,493 | ) | 5,465,916 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Dividends and distributions to shareholders from: | ||||||||||||||||
Net investment income | ||||||||||||||||
Institutional Class | — | — | (11,368,127 | ) | (7,085,713 | ) | ||||||||||
Investor Class | — | — | (3,192,996 | ) | (1,598,987 | ) | ||||||||||
Net realized capital gains | ||||||||||||||||
Institutional Class | (263,345,574 | ) | (73,750,367 | ) | (42,112,813 | ) | (29,675,856 | ) | ||||||||
Investor Class | (10,452,896 | ) | (4,130,770 | ) | (14,100,673 | ) | (8,739,308 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net decrease in net assets from dividends and distributions to shareholders | (273,798,470 | ) | (77,881,137 | ) | (70,774,609 | ) | (47,099,864 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Capital share transactions: | ||||||||||||||||
Institutional Class | ||||||||||||||||
Proceeds from shares sold | 1,385,170,140 | 2,791,886,689 | 183,839,446 | 207,860,146 | ||||||||||||
Reinvestment of distributions | 117,737,179 | 38,567,891 | 43,589,093 | 30,283,496 | ||||||||||||
Shares redeemed | (1,245,408,770 | ) | (1,144,904,742 | ) | (87,883,490 | ) | (150,603,776 | ) | ||||||||
Redemption fees (Note 8) | 119,026 | 167,655 | — | — | ||||||||||||
Investor Class | ||||||||||||||||
Proceeds from shares sold | 63,790,225 | 156,222,923 | 97,516,288 | 97,996,009 | ||||||||||||
Reinvestment of distributions | 10,435,203 | 4,096,486 | 17,088,905 | 10,146,888 | ||||||||||||
Shares redeemed | (83,401,695 | ) | (153,804,307 | ) | (32,095,842 | ) | (66,372,364 | ) | ||||||||
Redemption fees (Note 8) | 7,606 | 8,206 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase/(decrease) in net assets from capital share transactions | 248,448,914 | 1,692,240,801 | 222,054,400 | 129,310,399 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total increase/(decrease) in net assets | (223,646,831 | ) | 1,690,843,420 | 92,156,298 | 87,676,451 | |||||||||||
Net assets | ||||||||||||||||
Beginning of period | 7,039,480,216 | 5,348,636,796 | 1,041,741,433 | 954,064,982 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of period | $ | 6,815,833,385 | $ | 7,039,480,216 | $ | 1,133,897,731 | $ | 1,041,741,433 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Undistributed net investment income/(accumulated net investment loss), end of period | $ | (16,838,531 | ) | $ | (14,204,586 | ) | $ | 2,507,168 | $ | 9,541,984 | ||||||
|
|
|
|
|
|
|
| |||||||||
Share transactions: | ||||||||||||||||
Institutional Class | ||||||||||||||||
Shares sold | 92,636,183 | 181,998,959 | 8,799,773 | 9,071,242 | ||||||||||||
Shares reinvested | 7,933,759 | 2,532,409 | 2,057,060 | 1,351,338 | ||||||||||||
Shares redeemed | (84,048,265 | ) | (74,788,910 | ) | (4,209,639 | ) | (6,536,171 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase | 16,521,677 | 109,742,458 | 6,647,194 | 3,886,409 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Investor Class | ||||||||||||||||
Shares sold | 4,364,832 | 10,289,490 | 4,672,140 | 4,291,105 | ||||||||||||
Shares reinvested | 712,301 | 271,831 | 809,134 | 454,203 | ||||||||||||
Shares redeemed | (5,675,056 | ) | (10,152,820 | ) | (1,556,057 | ) | (2,935,493 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase/(decrease) | (597,923 | ) | 408,501 | 3,925,217 | 1,809,815 | |||||||||||
|
|
|
|
|
|
|
|
THEACCOMPANYINGNOTESAREANINTEGRALPARTOFTHEFINANCIALSTATEMENTS.
48 | SEMI-ANNUAL REPORT 2016 |
BOSTON PARTNERS INVESTMENT FUNDS | FEBRUARY 29, 2016 |
STATEMENTS OF CHANGES IN NET ASSETS (continued) |
WPG Partners Small/Micro Cap Value Fund | Boston Partners Global Equity Fund | |||||||||||||||
For the Six Months Ended February 29, 2016 (unaudited) | For the Year Ended August 31, 2015 | For the Six Months Ended February 29, 2016 (unaudited) | For the Year Ended August 31, 2015 | |||||||||||||
Increase/(decrease) in net assets from operations: | ||||||||||||||||
Net investment income | $ | 150,758 | $ | 318,020 | $ | 4,727,485 | $ | 939,223 | ||||||||
Net realized gain/(loss) from investments and foreign currency | (443,273 | ) | 493,855 | (19,678,137 | ) | (189,364 | ) | |||||||||
Net change in unrealized appreciation/(depreciation) from investment and foreign currency | (4,603,918 | ) | (7,011,432 | ) | (7,372,340 | ) | (12,633,408 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net decrease in net assets resulting from operations | (4,896,433 | ) | (6,199,557 | ) | (22,322,992 | ) | (11,883,549 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Dividends and distributions to shareholders from: | ||||||||||||||||
Net investment income | ||||||||||||||||
Institutional Class | (234,656 | ) | (276,767 | ) | (1,050,244 | ) | (672,980 | ) | ||||||||
Net realized capital gains | ||||||||||||||||
Institutional Class | (748,356 | ) | (4,758,990 | ) | (348,191 | ) | (2,575,966 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net decrease in net assets from dividends and distributions to shareholders | (983,012 | ) | (5,035,757 | ) | (1,398,435 | ) | (3,248,946 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Capital share transactions: | ||||||||||||||||
Institutional Class | ||||||||||||||||
Proceeds from shares sold | 600,932 | 2,054,005 | 80,866,850 | 232,601,137 | ||||||||||||
Reinvestment of distributions | 905,357 | 4,460,767 | 1,320,141 | 2,531,256 | ||||||||||||
Shares redeemed | (2,090,688 | ) | (4,827,146 | ) | (435,208 | ) | (109,225 | ) | ||||||||
Redemption fees (Note 8) | — | 1,045 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase/(decrease) in net assets from capital share transactions | (584,399 | ) | 1,688,671 | 81,751,783 | 235,023,168 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Total increase/(decrease) in net assets | (6,463,844 | ) | (9,546,643 | ) | 58,030,356 | 219,890,673 | ||||||||||
Net assets | ||||||||||||||||
Beginning of period | 36,461,386 | 46,008,029 | 279,977,763 | 60,087,090 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of period | $ | 29,997,542 | $ | 36,461,386 | $ | 338,008,119 | $ | 279,977,763 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Undistributed net investment income/(accumulated net investment loss), end of period | $ | 139,668 | $ | 223,566 | $ | 4,151,045 | $ | 473,804 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Share transactions: | ||||||||||||||||
Institutional Class | ||||||||||||||||
Shares sold | 43,398 | 121,210 | 5,739,721 | 15,083,287 | ||||||||||||
Shares reinvested | 64,484 | 270,350 | 90,607 | 172,547 | ||||||||||||
Shares redeemed | (147,736 | ) | (276,855 | ) | (32,830 | ) | (7,231 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase/(decrease) | (39,854 | ) | 114,705 | 5,797,498 | 15,248,603 | |||||||||||
|
|
|
|
|
|
|
|
THEACCOMPANYINGNOTESAREANINTEGRALPARTOFTHEFINANCIALSTATEMENTS.
SEMI-ANNUAL REPORT 2016 | 49 |
BOSTON PARTNERS INVESTMENT FUNDS | FEBRUARY 29, 2016 |
STATEMENTS OF CHANGES IN NET ASSETS (concluded) |
Boston Partners Global Long/Short Fund | Boston Partners Emerging Markets Long/Short Fund | |||||||||||
For the Six Months Ended February 29, 2016 (unaudited) | For the Year Ended August 31, 2015 | For the Period Ended February 29, 2016 (unaudited)* | ||||||||||
Increase/(decrease) in net assets from operations: | ||||||||||||
Net investment income/(loss) | $ | 5,602,344 | $ | (2,436,913 | ) | $ | (36,842 | ) | ||||
Net realized loss from investments, securities sold short, written options and foreign currency | (5,711,109 | ) | (6,192,868 | ) | 69,579 | |||||||
Net change in unrealized appreciation/(depreciation) from investments, securities sold short, written options and foreign currency | (13,520,968 | ) | 12,170,261 | (51,503 | ) | |||||||
|
|
|
|
|
| |||||||
Net increase/(decrease) in net assets resulting from operations | (13,629,733 | ) | 3,540,480 | (18,766 | ) | |||||||
|
|
|
|
|
| |||||||
Dividends and distributions to shareholders from: | ||||||||||||
Net realized capital gains | ||||||||||||
Institutional Class | (2,255,193 | ) | — | — | ||||||||
Investor Class | (171,124 | ) | — | — | ||||||||
|
|
|
|
|
| |||||||
Net decrease in net assets from dividends and distributions to shareholders | (2,426,317 | ) | — | — | ||||||||
|
|
|
|
|
| |||||||
Capital transactions: | ||||||||||||
Institutional Class | ||||||||||||
Proceeds from shares sold | 403,542,692 | 313,149,804 | 2,808,626 | |||||||||
Reinvestment of distributions | 1,983,822 | — | — | |||||||||
Shares redeemed | (46,889,420 | ) | (36,579,598 | ) | — | |||||||
Redemption fees (Note 8) | 8,353 | 1,356 | — | |||||||||
Investor Class | ||||||||||||
Proceeds from shares sold | 17,309,773 | 70,409,274 | — | |||||||||
Reinvestment of distributions | 170,989 | — | — | |||||||||
Shares redeemed | (45,756,471 | ) | (13,263,610 | ) | — | |||||||
Redemption fees (Note 8) | 883 | 17,273 | — | |||||||||
|
|
|
|
|
| |||||||
Net increase in net assets from capital transactions | 330,370,621 | 333,734,499 | 2,808,626 | |||||||||
|
|
|
|
|
| |||||||
Total increase in net assets | 314,314,571 | 337,274,979 | 2,789,860 | |||||||||
Net assets | ||||||||||||
Beginning of period | 377,519,323 | 40,244,344 | — | |||||||||
|
|
|
|
|
| |||||||
End of period | $ | 691,833,894 | $ | 377,519,323 | $ | 2,789,860 | ||||||
|
|
|
|
|
| |||||||
Undistributed net investment income/(accumulated net investment loss), end of period | $ | 2,960,482 | $ | (2,641,862 | ) | $ | (36,842 | ) | ||||
|
|
|
|
|
| |||||||
Share transactions: | ||||||||||||
Institutional Class | ||||||||||||
Shares sold | 38,101,091 | 30,018,537 | 280,088 | |||||||||
Reinvestment of distributions | 185,751 | — | — | |||||||||
Shares redeemed | (4,444,221 | ) | (3,539,107 | ) | — | |||||||
|
|
|
|
|
| |||||||
Net increase | 33,842,621 | 26,479,430 | 280,088 | |||||||||
|
|
|
|
|
| |||||||
Investor Class | ||||||||||||
Shares sold | 1,636,084 | 6,674,425 | — | |||||||||
Reinvestment of distributions | 16,070 | — | — | |||||||||
Shares redeemed | (4,327,214 | ) | (1,252,012 | ) | — | |||||||
|
|
|
|
|
| |||||||
Net increase/(decrease) | (2,675,060 | ) | 5,422,413 | — | ||||||||
|
|
|
|
|
|
* | The Fund commenced operations on December 17, 2015. |
THEACCOMPANYINGNOTESAREANINTEGRALPARTOFTHEFINANCIALSTATEMENTS.
50 | SEMI-ANNUAL REPORT 2016 |
(THIS PAGE INTENTIONALLY LEFT BLANK.)
SEMI-ANNUAL REPORT 2016 | 51 |
BOSTON PARTNERS INVESTMENT FUNDS |
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 Investment Income/(Loss)* | Net Realized and Unrealized Gain/(Loss) on Investments | Net Increase/ (Decrease) | Dividends to Shareholders from Net Investment Income | Distributions to Shareholders from Net Realized Gains | Total Dividend and Distributions to Shareholders | Redemption Fees* | |||||||||||||||||||||||||||
Boston Partners Small Cap Value Fund II |
| |||||||||||||||||||||||||||||||||
Institutional Class |
| |||||||||||||||||||||||||||||||||
9/1/15 through 2/29/16† | $ | 21.89 | $ | 0.10 | $ | (1.87 | ) | $ | (1.77 | ) | $ | (0.12 | ) | $ | (0.95 | ) | $ | (1.07 | ) | $ | — | 3 | ||||||||||||
8/31/15 | 22.65 | 0.21 | (0.54 | ) | (0.33 | ) | (0.15 | ) | (0.28 | ) | (0.43 | ) | — | |||||||||||||||||||||
8/31/14 | 19.06 | 0.15 | 3.53 | 3.68 | (0.09 | ) | — | (0.09 | ) | — | 3 | |||||||||||||||||||||||
8/31/13 | 15.31 | 0.09 | 3.75 | 3.84 | (0.09 | ) | — | (0.09 | ) | — | ||||||||||||||||||||||||
8/31/12 | 12.92 | 0.05 | 2.39 | 2.44 | (0.05 | ) | — | (0.05 | ) | — | 3 | |||||||||||||||||||||||
8/31/11 | 11.02 | 0.03 | 1.91 | 1.94 | (0.04 | ) | — | (0.04 | ) | — | 3 | |||||||||||||||||||||||
Investor Class | ||||||||||||||||||||||||||||||||||
9/1/15 through 2/29/16† | $ | 21.04 | $ | 0.07 | $ | (1.79 | ) | $ | (1.72 | ) | $ | (0.07 | ) | $ | (0.95 | ) | $ | (1.02 | ) | $ | — | 3 | ||||||||||||
8/31/15 | 21.79 | 0.14 | (0.51 | ) | (0.37 | ) | (0.10 | ) | (0.28 | ) | (0.38 | ) | — | |||||||||||||||||||||
8/31/14 | 18.35 | 0.09 | 3.40 | 3.49 | (0.05 | ) | — | (0.05 | ) | — | 3 | |||||||||||||||||||||||
8/31/13 | 14.74 | 0.05 | 3.61 | 3.66 | (0.05 | ) | — | (0.05 | ) | — | ||||||||||||||||||||||||
8/31/12 | 12.44 | 0.02 | 2.30 | 2.32 | (0.02 | ) | — | (0.02 | ) | — | 3 | |||||||||||||||||||||||
8/31/11 | 10.62 | (— | )3 | 1.84 | 1.84 | (0.02 | ) | — | (0.02 | ) | — | 3 | ||||||||||||||||||||||
Boston Partners Long/Short Equity Fund |
| |||||||||||||||||||||||||||||||||
Institutional Class | ||||||||||||||||||||||||||||||||||
9/1/15 through 2/29/16† | $ | 19.04 | $ | (0.22 | ) | $ | 1.21 | $ | 0.99 | $ | — | $ | (1.64 | ) | $ | (1.64 | ) | $ | — | 3 | ||||||||||||||
8/31/15 | 22.65 | (0.84 | ) | (1.01 | ) | (1.85 | ) | — | (1.77 | ) | (1.77 | ) | 0.01 | |||||||||||||||||||||
8/31/14 | 20.94 | (0.63 | ) | 3.57 | 2.94 | — | (1.24 | ) | (1.24 | ) | 0.01 | |||||||||||||||||||||||
8/31/13 | 20.47 | (0.54 | ) | 2.24 | 1.70 | — | (1.24 | ) | (1.24 | ) | 0.01 | |||||||||||||||||||||||
8/31/12 | 19.88 | (0.54 | ) | 3.15 | 2.61 | — | (2.03 | ) | (2.03 | ) | 0.01 | |||||||||||||||||||||||
8/31/11 | 17.41 | (0.47 | ) | 4.55 | 4.08 | — | (1.62 | ) | (1.62 | ) | 0.01 | |||||||||||||||||||||||
Investor Class | ||||||||||||||||||||||||||||||||||
9/1/15 through 2/29/16† | $ | 17.79 | $ | (0.23 | ) | $ | 1.13 | $ | 0.90 | $ | — | $ | (1.64 | ) | $ | (1.64 | ) | $ | — | 3 | ||||||||||||||
8/31/15 | 21.33 | (0.84 | ) | (0.94 | ) | (1.78 | ) | — | (1.77 | ) | (1.77 | ) | 0.01 | |||||||||||||||||||||
8/31/14 | 19.84 | (0.65 | ) | 3.37 | 2.72 | — | (1.24 | ) | (1.24 | ) | 0.01 | |||||||||||||||||||||||
8/31/13 | 19.51 | (0.57 | ) | 2.13 | 1.56 | — | (1.24 | ) | (1.24 | ) | 0.01 | |||||||||||||||||||||||
8/31/12 | 19.08 | (0.56 | ) | 3.01 | 2.45 | — | (2.03 | ) | (2.03 | ) | 0.01 | |||||||||||||||||||||||
8/31/11 | 16.80 | (0.50 | ) | 4.39 | 3.89 | — | (1.62 | ) | (1.62 | ) | 0.01 | |||||||||||||||||||||||
Boston Partners Long/Short Research Fund |
| |||||||||||||||||||||||||||||||||
Institutional Class | ||||||||||||||||||||||||||||||||||
9/1/15 through 2/29/16† | $ | 15.20 | $ | (— | )3 | $ | (0.40 | ) | $ | (0.40 | ) | $ | — | $ | (0.58 | ) | $ | (0.58 | ) | $ | — | 3 | ||||||||||||
8/31/15 | 15.14 | (0.14 | ) | 0.40 | 0.26 | — | (0.20 | ) | (0.20 | ) | — | 3 | ||||||||||||||||||||||
8/31/14 | 13.30 | (0.12 | ) | 2.02 | 1.90 | — | (0.06 | ) | (0.06 | ) | — | 3 | ||||||||||||||||||||||
8/31/13 | 11.91 | (0.14 | ) | 1.66 | 1.52 | — | (0.13 | ) | (0.13 | ) | — | 3 | ||||||||||||||||||||||
8/31/12 | 10.60 | (0.13 | ) | 1.53 | 1.40 | — | (0.09 | ) | (0.09 | ) | — | 3 | ||||||||||||||||||||||
9/30/10** through 8/31/11 | 10.00 | (0.12 | ) | 0.71 | 0.59 | — | — | — | 0.01 | |||||||||||||||||||||||||
Investor Class | ||||||||||||||||||||||||||||||||||
9/1/15 through 2/29/16† | $ | 15.01 | $ | (0.02 | ) | $ | (0.38 | ) | $ | (0.40 | ) | $ | — | $ | (0.58 | ) | $ | (0.58 | ) | $ | — | 3 | ||||||||||||
8/31/15 | 15.00 | (0.18 | ) | 0.39 | 0.21 | — | (0.20 | ) | (0.20 | ) | — | 3 | ||||||||||||||||||||||
8/31/14 | 13.21 | (0.15 | ) | 2.00 | 1.85 | — | (0.06 | ) | (0.06 | ) | — | 3 | ||||||||||||||||||||||
8/31/13 | 11.86 | (0.18 | ) | 1.66 | 1.48 | — | (0.13 | ) | (0.13 | ) | — | 3 | ||||||||||||||||||||||
8/31/12 | 10.58 | (0.15 | ) | 1.52 | 1.37 | — | (0.09 | ) | (0.09 | ) | — | 3 | ||||||||||||||||||||||
11/29/10** through 8/31/11 | 10.40 | (0.12 | ) | 0.29 | 0.17 | — | — | — | 0.01 |
† | Unaudited. |
* | Calculated based on average shares outstanding for the period. |
** | Inception date. |
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 | Redemption fees, if any, are reflected in total return calculations. |
3 | Amount is less than $0.005 per share. |
4 | Portfolio turnover rate excludes securities received from processing a subscription-in-kind. |
5 | Annualized. |
6 | Not Annualized. |
THEACCOMPANYINGNOTESAREANINTEGRALPARTOFTHEFINANCIALSTATEMENTS.
52 | SEMI-ANNUAL REPORT 2016 |
BOSTON PARTNERS INVESTMENT FUNDS |
FINANCIAL HIGHLIGHTS (continued) | PER SHARE OPERATING PERFORMANCE |
Net Asset Value, End of Period | Total Investment Return1,2 | Net Assets, End of Period (000) | Ratio of Expenses to Average Net Assets With Waivers, Reimbursements and Recoupments if any | 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 | |||||||||||||||||||||||||
$ | 19.05 | (8.34 | )% | $ | 205,024 | 1.10 | %5 | N/A | 1.22 | %5 | 0.97 | %5 | 17 | %6 | ||||||||||||||||||
21.89 | (1.45 | ) | 180,057 | 1.10 | N/A | 1.23 | 0.91 | 14 | ||||||||||||||||||||||||
22.65 | 19.33 | 102,112 | 1.21 | N/A | 1.23 | 0.68 | 16 | |||||||||||||||||||||||||
19.06 | 25.19 | 76,442 | 1.29 | N/A | 1.29 | 0.53 | 19 | |||||||||||||||||||||||||
15.31 | 18.98 | 53,604 | 1.30 | N/A | 1.36 | 0.37 | 32 | |||||||||||||||||||||||||
12.92 | 17.59 | 30,172 | 1.30 | N/A | 1.37 | 0.22 | 38 | |||||||||||||||||||||||||
$ | 18.30 | (8.44 | )% | $ | 109,935 | 1.35 | %5 | N/A | 1.47 | %5 | 0.72 | %5 | 17 | %6 | ||||||||||||||||||
21.04 | (1.68 | ) | 129,474 | 1.35 | N/A | 1.48 | 0.66 | 14 | ||||||||||||||||||||||||
21.79 | 19.01 | 112,417 | 1.46 | N/A | 1.48 | 0.43 | 16 | |||||||||||||||||||||||||
18.35 | 24.90 | 87,237 | 1.54 | N/A | 1.54 | 0.28 | 19 | |||||||||||||||||||||||||
14.74 | 18.67 | 66,689 | 1.55 | N/A | 1.61 | 0.12 | 32 | |||||||||||||||||||||||||
12.44 | 17.28 | 70,490 | 1.55 | N/A | 1.62 | (0.03 | ) | 38 | ||||||||||||||||||||||||
$ | 18.39 | 5.60 | % | $ | 558,080 | 4.23 | %5 | 2.50 | %5 | 4.23 | %5 | (2.38 | )%5 | 48 | %6 | |||||||||||||||||
19.04 | (8.35 | ) | 493,751 | 5.64 | 2.47 | 5.64 | (4.22 | ) | 75 | |||||||||||||||||||||||
22.65 | 14.72 | 676,756 | 4.33 | 2.42 | 4.33 | (2.93 | ) | 65 | ||||||||||||||||||||||||
20.94 | 8.61 | 620,804 | 4.30 | 2.43 | 4.30 | (2.58 | ) | 67 | ||||||||||||||||||||||||
20.47 | 14.16 | 505,108 | 4.29 | 2.48 | 4.29 | (2.68 | ) | 71 | ||||||||||||||||||||||||
19.88 | 23.66 | 344,935 | 3.70 | 2.47 | 3.71 | (2.35 | ) | 103 | ||||||||||||||||||||||||
$ | 17.05 | 5.48 | % | $ | 85,345 | 4.48 | %5 | 2.75 | %5 | 4.48 | %5 | (2.63 | )%5 | 48 | %6 | |||||||||||||||||
17.79 | (8.55 | ) | 94,459 | 5.89 | 2.72 | 5.89 | (4.47 | ) | 75 | |||||||||||||||||||||||
21.33 | 14.41 | 211,372 | 4.57 | 2.66 | 4.57 | (3.18 | ) | 65 | ||||||||||||||||||||||||
19.84 | 8.30 | 220,307 | 4.55 | 2.68 | 4.55 | (2.83 | ) | 67 | ||||||||||||||||||||||||
19.51 | 13.90 | 170,834 | 4.54 | 2.73 | 4.54 | (2.93 | ) | 71 | ||||||||||||||||||||||||
19.08 | 23.37 | 128,184 | 3.95 | 2.72 | 3.96 | (2.60 | ) | 103 | ||||||||||||||||||||||||
$ | 14.22 | (2.80 | )% | $ | 6,543,327 | 2.41 | %5 | 1.38 | %5 | 2.41 | %5 | (0.06 | )%5 | 28 | %6 | |||||||||||||||||
15.20 | 1.73 | 6,738,894 | 2.43 | 1.39 | 2.43 | (0.92 | ) | 62 | ||||||||||||||||||||||||
15.14 | 14.28 | 5,054,388 | 2.52 | 1.39 | 2.52 | (0.81 | ) | 57 | ||||||||||||||||||||||||
13.30 | 12.81 | 1,743,406 | 2.75 | 1.48 | 2.71 | (1.09 | ) | 65 | ||||||||||||||||||||||||
11.91 | 13.32 | 254,170 | 2.81 | 1.54 | 2.84 | (1.12 | ) | 53 | 4 | |||||||||||||||||||||||
10.60 | 6.00 | 37,237 | 2.70 | 5 | 1.74 | 5 | 4.05 | 5 | (1.21 | )5 | 61 | 6 | ||||||||||||||||||||
$ | 14.03 | (2.84 | )% | $ | 272,507 | 2.66 | %5 | 1.63 | %5 | 2.66 | %5 | (0.31 | )%5 | 28 | %6 | |||||||||||||||||
15.01 | 1.41 | 300,586 | 2.68 | 1.64 | 2.68 | (1.17 | ) | 62 | ||||||||||||||||||||||||
15.00 | 13.99 | 294,249 | 2.77 | 1.64 | 2.77 | (1.06 | ) | 57 | ||||||||||||||||||||||||
13.21 | 12.52 | 132,511 | 3.05 | 1.73 | 3.01 | (1.39 | ) | 65 | ||||||||||||||||||||||||
11.86 | 13.06 | 48,296 | 3.00 | 1.79 | 3.04 | (1.31 | ) | 53 | 4 | |||||||||||||||||||||||
10.58 | 1.73 | 20,308 | 2.99 | 5 | 1.98 | 5 | 4.08 | 5 | (1.47 | )5 | 61 | 6 |
THEACCOMPANYINGNOTESAREANINTEGRALPARTOFTHEFINANCIALSTATEMENTS.
SEMI-ANNUAL REPORT 2016 | 53 |
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 | Net Investment Income/(Loss)* | Net Realized and Unrealized Gain/(Loss) on Investments | Net Increase/ (Decrease) | Dividends to Shareholders from Net Investment Income | Distributions to Shareholders from Net Realized Gains | Total Dividend and Distributions to Shareholders | Redemption Fees* | |||||||||||||||||||||||||||
Boston Partners All-Cap Value Fund |
| |||||||||||||||||||||||||||||||||
Institutional Class | ||||||||||||||||||||||||||||||||||
9/1/15 through 2/29/16† | $ | 22.08 | $ | 0.15 | $ | (1.18 | ) | $ | (1.03 | ) | $ | (0.30 | ) | $ | (1.11 | ) | $ | (1.41 | ) | $ | — | |||||||||||||
8/31/15 | 23.00 | 0.30 | (0.08 | ) | 0.22 | (0.22 | ) | (0.92 | ) | (1.14 | ) | — | ||||||||||||||||||||||
8/31/14 | 19.19 | 0.22 | 4.39 | 4.61 | (0.18 | ) | (0.62 | ) | (0.80 | ) | — | |||||||||||||||||||||||
8/31/13 | 15.57 | 0.24 | 3.75 | 3.99 | (0.27 | ) | (0.10 | ) | (0.37 | ) | — | |||||||||||||||||||||||
8/31/12 | 14.34 | 0.20 | 2.04 | 2.24 | (0.12 | ) | (0.89 | ) | (1.01 | ) | — | |||||||||||||||||||||||
8/31/11 | 12.85 | 0.15 | 1.63 | 1.78 | (0.10 | ) | (0.19 | ) | (0.29 | ) | — | |||||||||||||||||||||||
Investor Class | ||||||||||||||||||||||||||||||||||
9/1/15 through 2/29/16† | $ | 21.98 | $ | 0.12 | $ | (1.18 | ) | $ | (1.06 | ) | $ | (0.25 | ) | $ | (1.11 | ) | $ | (1.36 | ) | $ | — | |||||||||||||
8/31/15 | 22.90 | 0.25 | (0.08 | ) | 0.17 | (0.17 | ) | (0.92 | ) | (1.09 | ) | — | ||||||||||||||||||||||
8/31/14 | 19.12 | 0.17 | 4.38 | 4.55 | (0.15 | ) | (0.62 | ) | (0.77 | ) | — | |||||||||||||||||||||||
8/31/13 | 15.50 | 0.20 | 3.75 | 3.95 | (0.23 | ) | (0.10 | ) | (0.33 | ) | — | |||||||||||||||||||||||
8/31/12 | 14.28 | 0.16 | 2.03 | 2.19 | (0.08 | ) | (0.89 | ) | (0.97 | ) | — | |||||||||||||||||||||||
8/31/11 | 12.79 | 0.11 | 1.63 | 1.74 | (0.06 | ) | (0.19 | ) | (0.25 | ) | — | |||||||||||||||||||||||
WPG Partners Small/Micro Cap Value Fund |
| |||||||||||||||||||||||||||||||||
Institutional Class | ||||||||||||||||||||||||||||||||||
9/1/15 through 2/29/16† | $ | 15.40 | $ | 0.06 | $ | (2.15 | ) | $ | (2.09 | ) | $ | (0.10 | ) | $ | (0.33 | ) | $ | (0.43 | ) | $ | — | |||||||||||||
8/31/15 | 20.42 | 0.13 | (2.84 | ) | (2.71 | ) | (0.13 | ) | (2.18 | ) | (2.31 | ) | — | 3 | ||||||||||||||||||||
8/31/14 | 19.06 | 0.07 | 3.16 | 3.23 | (0.02 | ) | (1.85 | ) | (1.87 | ) | — | |||||||||||||||||||||||
8/31/13 | 14.32 | 0.07 | 4.74 | 4.81 | (0.07 | ) | — | (0.07 | ) | — | ||||||||||||||||||||||||
8/31/12 | 12.31 | (0.05 | ) | 2.06 | 2.01 | — | — | — | — | 3 | ||||||||||||||||||||||||
8/31/11 | 11.65 | (0.06 | ) | 0.72 | 0.66 | — | — | — | — | |||||||||||||||||||||||||
Boston Partners Global Equity Fund |
| |||||||||||||||||||||||||||||||||
Institutional Class | ||||||||||||||||||||||||||||||||||
9/1/15 through 2/29/16† | $ | 14.66 | $ | 0.23 | $ | (1.25 | ) | $ | (1.02 | ) | $ | (0.05 | ) | $ | (0.02 | ) | $ | (0.07 | ) | $ | — | |||||||||||||
8/31/15 | 15.59 | 0.13 | (0.40 | ) | (0.27 | ) | (0.14 | ) | (0.52 | ) | (0.66 | ) | — | |||||||||||||||||||||
8/31/14 | 12.97 | 0.18 | 2.82 | 3.00 | (0.02 | ) | (0.36 | ) | (0.38 | ) | — | |||||||||||||||||||||||
8/31/13 | 11.00 | 0.12 | 2.07 | 2.19 | (0.13 | ) | (0.09 | ) | (0.22 | ) | — | |||||||||||||||||||||||
12/30/11** through 8/31/12 | 10.00 | 0.10 | 0.90 | 1.00 | — | — | — | — | ||||||||||||||||||||||||||
Boston Partners Global Long/Short Fund |
| |||||||||||||||||||||||||||||||||
Institutional Class | ||||||||||||||||||||||||||||||||||
9/1/15 through 2/29/16† | $ | 10.55 | $ | 0.11 | $ | (0.29 | ) | $ | (0.18 | ) | $ | — | $ | (0.04 | ) | $ | (0.04 | ) | $ | — | 3 | |||||||||||||
8/31/15 | 10.30 | (0.13 | ) | 0.38 | 0.25 | — | — | — | — | 3 | ||||||||||||||||||||||||
12/31/13** through 8/31/14 | 10.00 | (0.14 | ) | 0.44 | 0.30 | — | — | — | — | 3 | ||||||||||||||||||||||||
Investor Class | ||||||||||||||||||||||||||||||||||
9/1/15 through 2/29/16† | $ | 10.51 | $ | 0.09 | $ | (0.27 | ) | $ | (0.18 | ) | $ | — | $ | (0.04 | ) | $ | (0.04 | ) | $ | — | 3 | |||||||||||||
8/31/15 | 10.29 | (0.16 | ) | 0.38 | 0.22 | — | — | — | — | 3 | ||||||||||||||||||||||||
4/11/14** through 8/31/14 | 9.86 | (0.09 | ) | 0.52 | 0.43 | — | — | — | — | 3 | ||||||||||||||||||||||||
Boston Partners Emerging Markets Long/Short Fund |
| |||||||||||||||||||||||||||||||||
Institutional Class | ||||||||||||||||||||||||||||||||||
12/17/15*** through 2/29/16 | $ | 10.00 | $ | (0.13 | ) | $ | 0.09 | $ | (0.04 | ) | $ | — | $ | — | $ | — | $ | — | ||||||||||||||||
† | Unaudited. |
* | Calculated based on average shares outstanding, unless otherwise noted. |
** | Inception date. |
*** | Commencement of operations. |
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 | Redemption fees, if any, are reflected in total return calculations. |
3 | Amount is less than $0.005. |
4 | Annualized. |
5 | Not Annualized. |
THEACCOMPANYINGNOTESAREANINTEGRALPARTOFTHEFINANCIALSTATEMENTS.
54 | SEMI-ANNUAL REPORT 2016 |
BOSTON PARTNERS INVESTMENT FUNDS |
FINANCIAL HIGHLIGHTS (concluded) | PER SHARE OPERATING PERFORMANCE |
Net Asset Value, End of Period | Total Investment Return1,2 | Net Assets, End of Period (000) | Ratio of Expenses to Average Net Assets With Waivers and Reimbursements and Recoupment, if any | Ratio of Expenses to Average Net Assets With Waivers, Reimbursements and Recoupments if any (Excluding Dividend and Interest Expense) | Ratio of Reimbursements | Ratio of Net Investment Income/(Loss) to Average Net Assets With Waivers and Reimbursements and Recoupment, if any | Portfolio Turnover Rate | |||||||||||||||||||||||||
$ | 19.64 | (5.13 | )% | $ | 835,848 | 0.73 | %4 | N/A | 0.95 | %4 | 1.43 | %4 | 12 | %5 | ||||||||||||||||||
22.08 | 0.88 | 793,098 | 0.70 | N/A | 0.95 | 1.32 | 33 | |||||||||||||||||||||||||
23.00 | 24.52 | 736,475 | 0.70 | N/A | 0.94 | 1.05 | 26 | |||||||||||||||||||||||||
19.19 | 26.11 | 441,856 | 0.70 | N/A | 0.97 | 1.37 | 32 | |||||||||||||||||||||||||
15.57 | 16.73 | 343,885 | 0.70 | N/A | 1.03 | 1.38 | 33 | |||||||||||||||||||||||||
14.34 | 13.75 | 210,113 | 0.70 | N/A | 1.03 | 1.00 | 47 | |||||||||||||||||||||||||
$ | 19.56 | (5.27 | )% | $ | 298,050 | 0.98 | %4 | N/A | 1.20 | %4 | 1.18 | %4 | 12 | % | ||||||||||||||||||
21.98 | 0.66 | 248,643 | 0.95 | N/A | 1.20 | 1.07 | 33 | |||||||||||||||||||||||||
22.90 | 24.29 | 217,590 | 0.95 | N/A | 1.20 | 0.80 | 26 | |||||||||||||||||||||||||
19.12 | 25.93 | 77,936 | 0.95 | N/A | 1.22 | 1.12 | 32 | |||||||||||||||||||||||||
15.50 | 16.44 | 25,189 | 0.95 | N/A | 1.28 | 1.13 | 33 | |||||||||||||||||||||||||
14.28 | 13.55 | 26,436 | 0.95 | N/A | 1.28 | 0.75 | 47 | |||||||||||||||||||||||||
$ | 12.88 | (13.80 | )% | $ | 29,998 | 1.10 | %4 | N/A | 1.55 | %4 | 0.91 | %4 | 30 | %5 | ||||||||||||||||||
15.40 | (14.01 | ) | 36,461 | 1.10 | N/A | 1.41 | 0.78 | 80 | ||||||||||||||||||||||||
20.42 | 17.46 | 46,008 | 1.36 | N/A | 1.42 | 0.35 | 75 | |||||||||||||||||||||||||
19.06 | 33.71 | 40,754 | 1.54 | N/A | 1.54 | 0.41 | 72 | |||||||||||||||||||||||||
14.32 | 16.33 | 37,367 | 1.70 | N/A | 1.70 | (0.34 | ) | 84 | ||||||||||||||||||||||||
12.31 | 5.67 | 33,238 | 1.67 | N/A | 1.72 | (0.43 | ) | 85 | ||||||||||||||||||||||||
$ | 13.57 | (7.01 | )% | $ | 338,008 | 0.95 | %4 | N/A | 1.07 | %4 | 3.20 | %4 | 47 | %5 | ||||||||||||||||||
14.66 | (1.75 | ) | 279,978 | 0.95 | N/A | 1.24 | 0.86 | 98 | ||||||||||||||||||||||||
15.59 | 23.39 | 60,087 | 0.96 | N/A | 1.39 | 1.20 | 136 | |||||||||||||||||||||||||
12.97 | 20.14 | 11,496 | 1.30 | N/A | 3.05 | 1.00 | 102 | |||||||||||||||||||||||||
11.00 | 10.00 | 11,234 | 1.30 | 4 | N/A | 3.56 | 4 | 1.39 | 4 | 83 | 5 | |||||||||||||||||||||
$ | 10.33 | (1.68 | )% | $ | 660,729 | 2.87 | %4 | 1.69 | %4 | 2.87 | %4 | 2.04 | %4 | 71 | %5 | |||||||||||||||||
10.55 | 2.43 | 317,600 | 3.09 | 1.96 | 3.05 | (1.27 | ) | 132 | ||||||||||||||||||||||||
10.30 | 3.00 | 37,403 | 3.88 | 4 | 2.00 | 4 | 4.89 | 4 | (2.04 | )4 | 72 | 5 | ||||||||||||||||||||
$ | 10.29 | (1.69 | )% | $ | 31,104 | 3.12 | %4 | 1.94 | %4 | 3.12 | %4 | 1.79 | %4 | 71 | %5 | |||||||||||||||||
10.51 | 2.14 | 59,919 | 3.34 | 2.21 | 3.30 | (1.52 | ) | 132 | ||||||||||||||||||||||||
10.29 | 4.36 | 2,841 | 4.12 | 4 | 2.25 | 4 | 4.44 | 4 | (2.28 | )4 | 72 | 5 | ||||||||||||||||||||
$ | 9.96 | (0.40 | )% | $ | 2,790 | 10.99 | %4 | 2.10 | %4 | 22.39 | %4 | (6.70 | )%4 | 229 | %5 | |||||||||||||||||
THEACCOMPANYINGNOTESAREANINTEGRALPARTOFTHEFINANCIALSTATEMENTS.
SEMI-ANNUAL REPORT 2016 | 55 |
BOSTON PARTNERS INVESTMENT FUNDS |
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 trust,” 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 twenty-three active investment portfolios, including Boston Partners Small Cap Value Fund II (“BP Small Cap Value Fund II”), Boston Partners Long/Short Equity Fund (“BP Long/Short Equity Fund”), Boston Partners Long/Short Research Fund (“BP Long/Short Research Fund”), Boston Partners All-Cap Value Fund (“BP All-Cap Value Fund”), Boston Partners Global Equity Fund (“BP Global Equity Fund”), Boston Partners Global Long/Short Fund (“BP Global Long/Short Fund”), Boston Partners Emerging Markets Long/Short Fund (“BP Emerging Markets Long/Short Fund”) (collectively “BP Funds”), and WPG Partners Small/Micro Cap Value Fund (“WPG Small/Micro Cap Value Fund” and, collectively with the BP Funds, the “Funds”). As of February 29, 2016, the BP Funds (other than the BP Emerging Markets Long/Short Fund) each offer two classes of shares, Institutional Class and Investor Class. As of February 29, 2016, Investor Class shares of the BP Global Equity Fund have not been issued. The WPG Small/Micro Cap Value Fund and the BP Emerging Markets Long/Short 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 83.023 billion shares are currently classified into one hundred and fifty-seven classes of common stock. Each class represents an interest in an active or inactive RBB investment portfolio.
The Funds are investment companies and, accordingly, follow the investment company accounting and reporting guidance in the Financial Accounting Standards Board Accounting Standards Codification Topic 946.
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 having a remaining maturity of greater than 60 days 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. Fixed income securities having a remaining maturity of 60 days or less are valued at amortized cost, provided such amount approximates fair value. Foreign securities are valued based on prices from the primary market in which they are traded, and are translated from the local currency into U.S. dollars using current exchange rates. Investments in other open-end investment companies are valued based on the NAV of the investment companies (which may use fair value pricing as disclosed in their prospectuses). Options for which the primary market is a national securities exchange are valued at the last sale price on the exchange on which they are traded, or, in the absence of any sale, will be valued at the mean of the last bid and ask prices prior to the market close. Options not traded on a national securities exchange are valued at the last quoted bid price for long option positions and the closing ask price for short option positions. If market quotations are unavailable or deemed unreliable, securities will be valued in accordance with procedures adopted by the Company’s Board of Directors. Relying on prices supplied by pricing services or dealers or using fair valuation may result in values that are higher or lower than the values used by other investment companies and investors to price the same investments. Such procedures use fundamental valuation methods, which may include, but are not limited to, an analysis of the effect of any restrictions on the resale of the security, industry analysis and trends, significant changes in the issuer’s financial position, and any other event which could have a significant impact on the value of the security. Determination of fair value involves subjective judgment as the actual market value of a particular security can be established only by negotiations between the parties in a sales transaction, and the difference between the recorded fair value and the value that would be received in a sale could be significant. The Funds may use fair value pricing more frequently for securities traded primarily in non-U.S. markets because, among other things, most foreign markets close well before the Funds value their securities, generally as of 4:00 p.m. Eastern time. The earlier close of these foreign markets gives rise to the possibility that significant events, including broad market moves, government actions or pronouncements, aftermarket trading, or news events may have occurred in the interim. To account for this, the Funds may value foreign securities using fair value prices based on third-party vendor modeling tools (international fair value pricing).
56 | SEMI-ANNUAL REPORT 2016 |
BOSTON PARTNERS INVESTMENT FUNDS |
NOTES TO FINANCIAL STATEMENTS (unaudited) (continued) |
Fair Value Measurements — The inputs and valuation techniques used to measure fair value of the Funds’ investments are summarized into three levels as described in the hierarchy below:
• Level 1 — | quoted prices in active markets for identical securities; | |
• Level 2 — | other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.); and | |
• Level 3 — | significant unobservable inputs (including the Funds’ own assumptions in determining the fair value of investments). |
The inputs or methodology 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 February 29, 2016 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 and Level 2 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”) require the Funds to present a reconciliation of the beginning to ending balances for reported market values that presents changes attributable to total realized and unrealized gains or losses, purchase and sales, and transfers in and out of Level 3 during the period. Transfers in and out between levels are based on values at the end of the period. U.S. GAAP also requires the Funds to disclose amounts and reasons for all transfers in and out of Level 1 and Level 2 fair value measurements. 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 transfers in and out of each level within the three-tier hierarchy are disclosed when a Fund had an amount of total transfers during the reporting period that was meaningful in relation to its net assets as of the end of the reporting period.
Foreign securities that utilize international fair pricing are categorized as Level 2 in the hierarchy. For the BP Global Long/Short Fund and the BP Global Equity Fund securities held as long positions with an end of period value of $3,424,767 and $1,502,703 transferred from Level 1 into Level 2. For the BP Long/Short Equity Fund, and the BP Long/Short Research Fund, securities held as short positions with an end of period value of $3,736,293 and $27,173,751, respectively, transferred from Level 1 into Level 2. These transfers occurred as a result of securities being valued utilizing the international fair value pricing at February 29, 2016. For the BP Global Long/Short Fund, securities held as short positions with an end of period value of $1,364,899 transferred from Level 2 into Level 1. These transfers occurred as a result of these securities no longer being valued utilizing the international fair value pricing at February 29, 2016.
Use of Estimates — The preparation of financial statements in conformity 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 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 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
SEMI-ANNUAL REPORT 2016 | 57 |
BOSTON PARTNERS INVESTMENT FUNDS |
NOTES TO FINANCIAL STATEMENTS (unaudited) (continued) |
realized gain. The Funds’ investment income, expenses (other than class specific distribution fees) 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. Expenses incurred on behalf of a specific class, fund or fund family of the Company are charged directly to the class, fund or fund family (in proportion to net assets). Expenses incurred for all of the RBB funds (such as director or professional fees) are charged to all funds in proportion to their average net assets of RBB, or in such other manner as the Company’s Board of Directors 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 ex-dividend date for all Funds. 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.
Cash and Cash Equivalents — The Funds consider liquid assets deposited into a bank demand deposit account to be cash equivalents. These investments represent amounts held with financial institutions that are readily accessible to pay Fund expenses or purchase investments. 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. The Funds’ 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.
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 investment securities 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.
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 Emerging Markets Long/Short Fund invests 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.
58 | SEMI-ANNUAL REPORT 2016 |
BOSTON PARTNERS INVESTMENT FUNDS |
NOTES TO FINANCIAL STATEMENTS (unaudited) (continued) |
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.
Options Written — The Funds are subject to equity price risk in the normal course of pursuing their investment objectives and may enter into options written to hedge against changes in the value of equities. Such options may relate to particular securities or domestic stock indices, and may or may not be listed on a domestic securities exchange or issued by the Options Clearing Corporation. An option contract is a commitment that gives the purchaser of the contract the right, but not the obligation, to buy or sell an underlying asset at a specific price on or before a specified future date. On the other hand, the writer of an option contract is obligated, upon the exercise of the option, to buy or sell an underlying asset at a specific price on or before a specified future date. The maximum risk of loss associated with writing put options is limited to the exercised fair value of the option contract. The maximum risk of loss associated with writing call options is potentially unlimited. A 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. A Fund 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. A Fund’s maximum risk of loss from counterparty credit risk related to OTC option contracts is limited to the premium paid. As of February 29, 2016, all of each Fund’s written options were exchange-traded options.
The BP Long/Short Equity Fund, the BP Long/Short Research Fund, the BP All-Cap Value Fund and the BP Global Long/Short Fund had transactions in options written during the six month period ended February 29, 2016 as follows:
BP Long/Short Equity Fund | BP Long/Short Research Fund | BP All-Cap Value Fund | ||||||||||||||||||||||
Number of Contracts | Premiums Received | Number of Contracts | Premiums Received | Number of Contracts | Premiums Received | |||||||||||||||||||
Options outstanding at August 31, 2015 | 1,052 | $ | 649,513 | 39,654 | $ | 17,783,087 | 95 | $ | 558,681 | |||||||||||||||
Options written | 15,826 | 6,041,328 | 49,298 | 23,657,704 | 977 | 636,992 | ||||||||||||||||||
Options closed | (1,052 | ) | (649,513 | ) | (20,335 | ) | (7,142,682 | ) | — | — | ||||||||||||||
Options expired | — | — | (18,758 | ) | (7,015,270 | ) | (95 | ) | (558,681 | ) | ||||||||||||||
Options exercised | — | — | (11,694 | ) | (7,892,214 | ) | — | — | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Options outstanding at February 29, 2016 | 15,826 | $ | 6,041,328 | 38,165 | $ | 19,390,625 | 977 | $ | 636,992 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
BP Global Long/Short Fund | BP Global Equity Fund | |||||||||||||||||||||||
Number of Contracts | Premiums Received | Number of Contracts | Premiums Received | |||||||||||||||||||||
Options outstanding at August 31, 2015 | 1,732 | $ | 1,055,665 | — | $ | — | ||||||||||||||||||
Options written | 6,789 | 2,935,001 | 1,200 | 562,018 | ||||||||||||||||||||
Options closed | (2,733 | ) | (1,000,077 | ) | — | — | ||||||||||||||||||
Options expired | — | — | — | — | ||||||||||||||||||||
Options exercised | — | — | — | — | ||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||
Options outstanding at February 29, 2016 | 5,788 | $ | 2,990,589 | 1,200 | $ | 562,018 | ||||||||||||||||||
|
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|
SEMI-ANNUAL REPORT 2016 | 59 |
BOSTON PARTNERS INVESTMENT FUNDS |
NOTES TO FINANCIAL STATEMENTS (unaudited) (continued) |
For the six month period ended February 29, 2016, the average volume of derivatives were as follows:
Fund | Purchased Options (Cost) | Written Options (Proceeds) | ||||||
BP Long/Short Equity Fund | $ | 905,444 | $ | 221,780 | ||||
BP Long/Short Research Fund | — | 18,533,005 | ||||||
BP All-Cap Value Fund | — | 398,558 | ||||||
BP Global Equity Fund | — | 187,339 | ||||||
BP Global Long/Short Fund | 1,373,258 | 1,055,665 |
Short Sales — When the investment adviser believes that a security is overvalued, the BP Long/Short Equity Fund, the BP Long/Short Research Fund, the BP Global Long/Short Fund and the BP Emerging Markets Long/Short 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 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. For the six month period ended February 29, 2016, the BP Long/Short Equity Fund, the BP Long/Short Research Fund, the BP Global Long/Short Fund and the BP Emerging Markets Long/Short Fund had net charges of $4,286,671, $12,058,644, $1,716,696, and $239 respectively, on borrowed securities. Such amounts are included in prime broker interest expense on the Statements of Operations.
As of February 29, 2016, the BP Long/Short Equity Fund, BP Long/Short Research Fund, the BP Global Long/Short Fund and the BP Emerging Markets Long/Short Fund had securities sold short valued at $187,116,382, $3,138,703,983, 398,652,516 and $1,021,793, respectively, for which securities of $184,214,209, $2,914,154,536, $396,285,393, and $279,278 and cash deposits of $194,853,101, $2,460,408,035, $380,814,473 and $121,160, respectively, were pledged as collateral.
In accordance with Special Custody and Pledge Agreements with Goldman Sachs & Co. (“Goldman Sachs”) (the Funds’ prime broker), the BP Long/Short Equity Fund, the BP Long/Short Research Fund, the BP Global Long/Short Fund and the BP Emerging Markets Long/Short Fund may borrow from Goldman Sachs to the extent necessary to maintain required margin cash deposits on short positions. Interest on such borrowings is charged to the Fund based on the LIBOR rate plus an agreed upon spread.
60 | SEMI-ANNUAL REPORT 2016 |
BOSTON PARTNERS INVESTMENT FUNDS |
NOTES TO FINANCIAL STATEMENTS (unaudited) (continued) |
The BP Long/Short Equity Fund, the BP Long/Short Research Fund, the BP Global Long/Short Fund and the BP Emerging Markets Long/Short Fund utilized cash borrowings from Goldman Sachs to meet required margin cash deposits as follows during the six month period ended February 29, 2016:
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 | ||||||||||||||||||||
23 | CAD 74,996 | 0.89 | % | 108 | AUD 13,790,198 | 2.41 | % | ||||||||||||||||||
141 | EUR 396,798 | 0.20 | % | 78 | CAD 6,769,750 | 0.91 | % | ||||||||||||||||||
49 | USD 7,691,257 | 0.56 | % | 52 | CHF 10,551,922 | 0.37 | % | ||||||||||||||||||
126 | DKK 39,479,423 | 0.25 | % | ||||||||||||||||||||||
117 | EUR 36,875,288 | 0.27 | % | ||||||||||||||||||||||
57 | GBP 5,339,512 | 0.89 | % | ||||||||||||||||||||||
101 | HKD 17,852,762 | 0.48 | % | ||||||||||||||||||||||
85 | JPY 2,631,373,347 | 0.50 | % | ||||||||||||||||||||||
69 | NOK 9,856,404 | 1.41 | % | ||||||||||||||||||||||
96 | SEK 125,634,740 | 0.04 | % | ||||||||||||||||||||||
22 | SGD 568,433 | 0.67 | % | ||||||||||||||||||||||
59 | USD 26,876,591 | 0.74 | % |
BP Global Long/Short Fund | BP Emerging Markets Long/Short Fund | ||||||||||||||||||||||||
Days Utilized | Average Daily Borrowings | Weighted Average Interest Rate | Days Utilized | Average Daily Borrowings | Weighted Average Interest Rate | ||||||||||||||||||||
74 | AUD 157,675 | 2.43 | % | 1 | ZAR 35,353 | 7.13 | % | ||||||||||||||||||
61 | DKK 3,640,630 | 0.46 | % | ||||||||||||||||||||||
112 | EUR 10,536,693 | 0.27 | % | ||||||||||||||||||||||
127 | GBP 5,090,558 | 0.89 | % | ||||||||||||||||||||||
39 | HKD 5,491,072 | 0.46 | % | ||||||||||||||||||||||
155 | JPY 734,730,455 | 0.51 | % | ||||||||||||||||||||||
40 | NOK 621,487 | 1.39 | % | ||||||||||||||||||||||
40 | NZD 178,255 | 3.24 | % | ||||||||||||||||||||||
29 | SEK 5,968,785 | 0.04 | % | ||||||||||||||||||||||
59 | SGD 3,620,474 | 0.59 | % | ||||||||||||||||||||||
20 | THB 40,345,927 | 1.80 | % | ||||||||||||||||||||||
39 | USD 3,597,388 | 0.59 | % |
As of February 29, 2016, the BP Long/Short Equity Fund, BP Long/Short Research Fund, the BP Global Long/Short Fund and the BP Emerging Markets Long/Short Fund had borrowings of $706,078, $46,259,356, $160,623, and $91, respectively. Such amounts are included in due to prime broker on the Statements of Assets and Liabilities. The BP Long/Short Equity Fund, the BP Long/Short Research Fund, the BP Global Long/Short Fund and the BP Emerging Markets Long/Short Fund incurred interest expense for the six month period ended February 29, 2016, in the amount of $6,183, $192,580, $54,930 and $0, respectively.
Contracts for Difference — The BP Global Long/Short Fund, the BP Long/Short Research Fund and the BP Emerging Markets Long/Short Fund (for this section only, each a “Fund”) may enter into Contracts for Differences (“CFDs”). CFDs are leveraged derivative instruments that allow a Fund to take a position on the change in the market price of an underlying asset, such as a stock, or the value of an index or currency exchange rate. With a short CFD, a Fund is seeking to profit from falls in the market price of the asset. CFDs are subject to liquidity risk because the liquidity of CFDs is based on the liquidity of the underlying instrument, and are subject to counterparty risk, i.e., the risk that the counterparty to the CFD transaction may be unable or unwilling to make payments or to otherwise honor its financial obligations under the terms of the contract. It is also possible that the market price of the CFD will move between the time the order is placed by a Fund and when it is executed by the issuer, which can result in the trade being executed at a less favorable price. CFDs, like many other derivative instruments, involve the risk that, if the derivative security declines in value, additional margin would be required to maintain the margin level. The seller may require a Fund to deposit additional sums to cover this decline in value, and the margin call may be at short notice. If additional margin is not provided in time, the seller may liquidate the positions at a loss for which a Fund is liable. The potential for margin calls and large losses are much greater in CFDs than in other leveraged products. Most CFDs are traded OTC. CFDs are not registered with the SEC or any U.S. regulator, and are not subject to U.S. regulation. In a short position, the Fund will receive or pay an amount based upon the amount, if any, by which the notional amount of the CFD would have decreased or increased in value had it sold the particular stocks short,
SEMI-ANNUAL REPORT 2016 | 61 |
BOSTON PARTNERS INVESTMENT FUNDS |
NOTES TO FINANCIAL STATEMENTS (unaudited) (continued) |
less the dividends that would have been paid on those stocks, plus a floating rate of interest on the notional amount of the CFD. All of these components are reflected in the market value of the CFD.
CFDs are marked-to-market daily based upon quotations from market makers and the resulting changes in market values, if any, are recorded as an unrealized gain or loss in the Statement 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 Statement 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 Schedule of Investments. In connection with CFDs, cash or securities may be segregated as collateral by the Funds’ custodian. As of February 29, 2016, the BP Long/Short Research Fund, BP Global Long/Short Fund and BP Emerging Markets Long/Short Fund held CFDs.
For the six months ended February 29, 2016, the average volume of CFDs was as follows:
Fund | Notional Amount Long | Notional Amount Short | ||||||
BP Long/Short Research Fund | $ | 30,067,080 | $ | 34,941,167 | ||||
BP Global Long/Short Fund | — | 9,188,129 | ||||||
BP Emerging Markets Long/Short Fund | 1,020,873 | 936,061 |
2. | Investment Advisers and Other Services |
Robeco Investment Management, Inc. (“Robeco”) provides investment advisory services to the BP Funds and the WPG Small/Micro Cap Value Fund. For its advisory services with respect to the BP Funds, Robeco is entitled to receive 1.00% of the BP Small Cap Value Fund II’s average daily net assets, 2.25% of the BP Long/Short Equity Fund’s average daily net assets, 1.25% of the BP Long/Short Research Fund’s average daily net assets, 0.80% of the BP All-Cap Value Fund’s average daily net assets, 0.90% of the BP Global Equity Fund’s average daily net assets, 1.50% of the BP Global Long/Short Fund’s average daily net assets and 1.85% of the BP Emerging Markets Long/Short Fund’s average daily net assets, each accrued daily and payable monthly. Robeco is also entitled to receive advisory fees, accrued daily and paid monthly, as follows:
WPG Partners Small/Micro Cap Value Fund | 0.80% of net assets up to $500 million | |
0.75% of net assets in excess of $500 million |
Robeco has contractually agreed to limit the BP Long/Short Equity Fund’s total annual Fund operating expenses (excluding certain items discussed below) to the extent that such expenses exceed 2.50% and 2.75%, of the average daily net assets attributable to the Fund’s Institutional Class Shares and Investor Class Shares, respectively. Effective January 1, 2016, Robeco has contractually agreed to limit the BP All-Cap Value Fund’s total annual Fund operating expenses (excluding certain items discussed below) to the extent that such expenses exceed 0.80% and 1.05%, of the average daily net assets attributable to the Fund’s Institutional Class Shares and Investor Class Shares, respectively. Prior to January 1, 2016, Robeco had contractually agreed to limit the BP All-Cap Value Fund’s total annual Fund operating expenses (excluding certain items discussed below) to the extent that such expenses exceed 0.70% and 0.95%, of the average daily net assets attributable to the Fund’s Institutional Class Shares and Investor Class Shares, respectively. This limit is calculated daily based on the BP Long/Short Equity Fund and BP All-Cap Value Fund’s average daily net assets. These limitations are effected in waivers of advisory fees and reimbursements of expenses exceeding the advisory fee as necessary. These contractual limitations are in effect until at least February 28, 2017 and may not be terminated without approval of the Company’s Board of Directors. Robeco may not recoup any of its waived investment advisory fees with respect to these Funds.
For BP Small Cap Value Fund II, Robeco has contractually agreed to waive all or a portion of its advisory fee and/or reimburse expenses in an aggregate amount equal to the amount by which the total annual Fund operating expenses (excluding certain items discussed below) exceeds 1.10% and 1.35%, of the average daily net assets attributable to the Fund’s Institutional Class shares and Investor Class shares, respectively. This contractual limitation is in effect until February 28, 2017 and may not be terminated without the approval of the Board of Directors. If at any time during the three years from May 28, 2014 to May 28, 2017 in which the Fund’s advisory agreement with Robeco is in effect, the Fund’s total annual Fund operating expenses for that year are less than 1.10% for the Institutional Class and 1.35% for the Investor Class, Robeco is entitled to reimbursement by the Fund of the advisory fees foregone and other payments remitted by Robeco to the Fund during such three-year period.
62 | SEMI-ANNUAL REPORT 2016 |
BOSTON PARTNERS INVESTMENT FUNDS |
NOTES TO FINANCIAL STATEMENTS (unaudited) (continued) |
For the BP Long/Short Research Fund and BP Global Long/Short Fund, Robeco has contractually agreed to forgo all or a portion of its advisory fee and/or reimburse expenses in an aggregate amount equal to the amount by which the total annual Fund operating expenses (excluding certain items discussed below) exceeds 1.50% and 2.00%, respectively, of the average daily net assets attributable to the Funds’ Institutional Class shares and 1.75% and 2.25%, respectively, of the average daily net assets attributable to the Funds’ Investor Class. This contractual limitation is in effect until at least February 28, 2017 and may not be terminated without approval of the Company’s Board of Directors. If at any time within three years from the date on which such waiver or reimbursement was made, the Funds’ Total annual Fund operating expenses for that year are less than 1.50% for the Institutional Class and 1.75% for the Investor Class of the BP Long/Short Research Fund or 2.00% for the Institutional Class and 2.25% for the Investor Class of the BP Global Long/Short Fund, Robeco is entitled to reimbursement by the Funds of the advisory fees forgone and other payments remitted by Robeco to the Funds during such three-year period.
Robeco has contractually agreed to waive all or a portion of its advisory fee and/or reimburse expenses in an aggregate amount equal to the amount by which the BP Global Equity Fund’s total annual Fund operating expenses (excluding certain items discussed below) exceeds 0.95% of the average daily net assets attributable to the Fund’s Institutional Class shares and 1.20% of the average daily net assets attributable to the Fund’s Investor Class. This contractual limitation is in effect until at least February 28, 2017 and may not be terminated without approval of the Company’s Board of Directors. If at any time within three years from the date on which such waiver or reimbursement was made, the Fund’s total annual Fund operating expenses for that year are less than 0.95% for the Institutional Class and 1.20% for the Investor Class, Robeco is entitled to reimbursement by each Fund of the advisory fees waived and other payments remitted by Robeco to the Fund during such three-year period.
Robeco has contractually agreed to limit the WPG Small/Micro Cap Value Fund’s total annual Fund operating expenses (excluding certain items discussed below) to 1.10%. The contractual limitation is in effect until at least February 28, 2017 and may not be terminated without approval of the Company’s Board of Directors. If at any time during the three years from May 28, 2014 to May 28, 2017 in which the Fund’s advisory agreement with Robeco is in effect, the Fund’s total annual Fund operating expenses for that year are less than 1.10%, Robeco is entitled to reimbursement by the Fund of the advisory fees waived and other payments remitted by Robeco to the Fund during such three-year period.
Robeco has contractually agreed to waive all or a portion of its advisory fee and/or reimburse expenses in an aggregate amount equal to the amount by which the total annual Fund operating expenses (excluding certain items discussed below) for the BP Emerging Markets Long/Short Fund’s Institutional Class shares exceeds 2.35% of the average daily net assets attributable to the Fund’s Institutional Class shares. This contractual limitation is in effect until February 28, 2017 and may not be terminated without the approval of the Board of Directors of The RBB Fund, Inc. If at any time the Fund’s total annual Fund operating expenses for a year are less than 2.35%, 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.
At February 29, 2016, the amount of potential recoupment by the Adviser was as follows:
Expiration August 31, 2016 | Expiration August 31, 2017 | Expiration August 31, 2018 | Expiration August 31, 2019 | Total | ||||||||||||||||
BP Small Cap Value Fund II | $ | — | $ | 41,219 | $ | 362,104 | $ | 190,980 | $ | 594,303 | ||||||||||
WPG Small/Micro Cap Value Fund | — | 27,146 | 125,396 | 73,927 | 226,469 | |||||||||||||||
BP Global Equity Fund | 202,243 | 217,404 | 316,245 | 176,445 | 912,337 | |||||||||||||||
BP Emerging Markets Long/Short Fund | — | — | — | 62,743 | 62,743 |
For the six-month period ended February 29, 2016, Robeco has waived and reimbursed fees as follows:
Funds | Investment Adviser Expense Waived | Investment Adviser Reimbursement | ||||||
BP Small Cap Value Fund II | $ | 190,980 | $ | — | ||||
BP Long/Short Equity Fund | 3,521 | |||||||
BP All-Cap Value Fund | 1,186,181 | — | ||||||
WPG Small/Micro Cap Value Fund | 73,927 | — | ||||||
BP Global Equity Fund | 176,445 | — | ||||||
BP Emerging Markets Long/Short Fund | 10,210 | 52,533 |
SEMI-ANNUAL REPORT 2016 | 63 |
BOSTON PARTNERS INVESTMENT FUNDS |
NOTES TO FINANCIAL STATEMENTS (unaudited) (continued) |
In determining Robeco’s obligation to waive advisory fees and/or reimburse expenses, the following expenses are not taken into account and could cause a Fund’s net annualized expense ratio to exceed the applicable expense limitation: acquired fund fees and expenses, short sale dividend expenses, brokerage commissions, extraordinary items, interest and taxes.
BNY Mellon Investment Servicing (US) Inc. (“BNY Mellon”), serves as administrator for the Funds. For providing administration and accounting services, BNY Mellon is entitled to receive a monthly fee equal to an annual percentage rate of each Fund’s average daily net assets, subject to certain minimum monthly fees.
Included in the administration and accounting service fees, shown on the Statement of Operations, are fees for providing regulatory administrative services to RBB. For providing these services, BNY Mellon is entitled to receive compensation as agreed to by the Company and BNY Mellon. This fee is allocated to each portfolio of the Company in proportion to its net assets of the Company.
In addition, BNY Mellon serves as the Funds’ transfer and dividend disbursing agent. For providing transfer agency services, BNY Mellon is entitled to receive a monthly fee, subject to certain minimum, and out of pocket expenses.
The Bank of New York Mellon (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.
The Board of Directors of the Company has approved a Distribution Agreement for the Funds and adopted separate Plans of Distribution for the Investor Class of each BP Fund (the “Plans”) pursuant to Rule 12b-1 under the 1940 Act. Under the Plans, Foreside Funds Distributors LLC (the “Underwriter”) is entitled to receive from each Fund a distribution fee with respect to the Investor Class, 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. 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, all as set forth in the Plans.
3. | Director’s and Officer’s Compensation |
The Directors of the Company receive an annual retainer and meeting fees for meetings attended. The aggregate remuneration paid to the Directors by the Funds during the six month period ended February 29, 2016 was $226,084. Certain employees of BNY Mellon serve as an Officer of the Company. They are not compensated by the Funds or the Company. Employees of Vigilant Compliance, LLC serve as President, Chief Compliance Officer and, effective January 1, 2016, Treasurer of the Company. Vigilant Compliance, LLC is compensated for the services provided to the Company. For the six months ended February 29, 2016, the Funds paid $57,867 in officer fees.
4. | Investment in Securities |
For the six month period ended February 29, 2016, aggregate purchases and sales of investment securities (excluding short-term investments and U.S. government obligations) were as follows:
Fund | Purchases | Sales | ||||||
BP Small Cap Value Fund II | $ | 86,754,503 | $ | 51,384,367 | ||||
BP Long/Short Equity Fund | 352,913,351 | 274,858,442 | ||||||
BP Long/Short Research Fund | 2,302,554,639 | 1,899,516,443 | ||||||
BP All-Cap Value Fund | 262,055,159 | 133,748,495 | ||||||
WPG Small/Micro Cap Value Fund | 10,108,157 | 11,591,945 | ||||||
BP Global Equity Fund | 210,102,325 | 136,219,517 | ||||||
BP Global Long/Short Fund | 730,301,789 | 367,705,968 | ||||||
BP Emerging Markets Long/Short Fund | 9,174,998 | 6,481,141 |
5. | Capital Share Transactions |
As of February 29, 2016, each class of each Fund has 100,000,000 shares of $0.001 par value common stock authorized except for the Institutional Class of the BP Long/Short Research Fund and the WPG Small/Micro Cap Value Fund, which have 750,000,000 shares and 50,000,000 shares, respectively, of $0.001 par value common stock authorized.
64 | SEMI-ANNUAL REPORT 2016 |
BOSTON PARTNERS INVESTMENT FUNDS |
NOTES TO FINANCIAL STATEMENTS (unaudited) (continued) |
6. | 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 Company’s Board of Directors, 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 Robeco to be of good standing and only when, in Robeco’s 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. During the six month period ended February 29, 2016, the Funds participated in securities lending. The market value of securities on loan and collateral as of February 29, 2016 and the income generated from the program during the year ended February 29, 2016 with respect to such loans were as follows:
Fund | Market Value of Securities Loaned | Market Value of Collateral | Income Received from Securities Lending | |||||||||
BP Small Cap Value Fund II | $ | 14,395,163 | $ | 14,781,094 | $ | 57,411 | ||||||
BP Long/Short Equity Fund | 27,975,892 | 29,761,547 | 175,108 | |||||||||
BP All-Cap Value Fund | 9,272,163 | 9,637,947 | 15,617 | |||||||||
WPG Small/Micro Cap Value Fund | 3,401,106 | 3,603,159 | 26,647 |
Securities lending transactions are entered into by the Funds under a Master Securities Lending Agreement (“MSLA”) which permits the Funds, under certain circumstances including an event of default (such as bankruptcy or insolvency), to offset amounts payable by 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 February 29, 2016:
Gross Amount Net Offset in the Statement 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 Small Cap Value Fund II | $ | 14,395,163 | — | $ | 14,395,163 | $ | (14,395,163 | ) | — | — | ||||||||||||||
BP Long/Short Equity Fund | 27,975,892 | — | 27,975,892 | (27,975,892 | ) | — | — | |||||||||||||||||
BP All-Cap Value Fund | 9,272,163 | — | 9,272,163 | (9,272,163 | ) | — | — | |||||||||||||||||
WPG Small/Micro Cap Value Fund | 3,401,106 | — | 3,401,106 | (3,401,106 | ) | — | — |
1 | Amount disclosed is limited to the amount of assets presented in the Statement of Assets and Liabilities. Actual collateral received may be more than the amount shown. |
7. | Restricted Securities |
A restricted security is a security which has been purchased through a private offering and cannot be resold to the general public without prior registration under the Securities Act of 1933, as amended (the “1933 Act”), or pursuant to the resale limitations provided by Rule 144 under the 1933 Act, or an exemption from the registration requirements of the 1933 Act. Certain restricted securities may be resold in transactions exempt from registration, normally to qualified institutional buyers, and may be deemed liquid by Robeco as applicable, based on policies and procedures established by the Company’s Board of Directors. Therefore, not all restricted securities are considered illiquid.
SEMI-ANNUAL REPORT 2016 | 65 |
BOSTON PARTNERS INVESTMENT FUNDS |
NOTES TO FINANCIAL STATEMENTS (unaudited) (continued) |
At February 29, 2016, the following Fund held restricted securities that were illiquid:
Acquisition Date | Acquisition Cost | Shares/Par | Value | % of Net Assets | ||||||||||||||
BP All-Cap Value Fund | ||||||||||||||||||
Common Stocks: | ||||||||||||||||||
Peoples Choice Financial Corp. 144A | 12/21/04-01/23/06 | $ | 14,293 | 1,465 | $ | 0.00 | 0.0 | % | ||||||||||
Solar Cayman Ltd. 144A | 03/24/10 | — | 19,375 | 0.00 | 0.0 | |||||||||||||
|
|
|
|
|
|
|
| |||||||||||
$ | 14,293 | 20,840 | $ | — | 0.0 | % | ||||||||||||
|
|
|
|
|
|
|
|
8. | Redemption Fees |
Effective January 1, 2016, the Funds do not impose a redemption fee. Prior to January 1, 2016, there was a 1.00% redemption fee on shares redeemed that were held 60 days or less on BP Small Cap Value Fund II, BP Long/Short Research Fund, BP Global Equity Fund and BP Global Long/Short Fund. There was a 2.00% redemption fee on shares redeemed that were held 365 days or less on the BP Long/Short Equity Fund. The WPG Small/Micro Cap Value Fund had a 2.00% redemption fee on shares redeemed within 60 days of purchase. The redemption fees were retained by the Funds for the benefit of the remaining shareholders and recorded as paid-in capital.
9. | 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 February 29, 2016, federal tax cost and aggregate gross unrealized appreciation and depreciation of securities held by each Fund were as follows:
Fund | Federal Tax Cost | Unrealized Appreciation | Unrealized Depreciation | Net Unrealized Appreciation/ (Depreciation) | ||||||||||||
BP Small Cap Value Fund II | $ | 295,967,013 | $ | 51,492,593 | $ | (28,699,473 | ) | 22,793,120 | ||||||||
BP Long/Short Equity Fund | 640,093,122 | 72,045,829 | (58,785,037 | ) | 13,260,792 | |||||||||||
BP Long/Short Research Fund | 6,692,301,752 | 459,397,550 | (567,100,213 | ) | (107,702,663 | ) | ||||||||||
BP All-Cap Value Fund | 1,019,095,023 | 145,049,719 | (74,133,848 | ) | 70,915,871 | |||||||||||
WPG Small/Micro Cap Value Fund | 36,193,245 | 2,799,345 | (5,819,285 | ) | (3,019,940 | ) | ||||||||||
BP Global Equity Fund | 330,432,179 | 15,012,062 | (28,746,674 | ) | (13,734,612 | ) | ||||||||||
BP Global Long/Short Fund | 680,232,129 | 24,934,125 | (49,776,827 | ) | (24,842,702 | ) | ||||||||||
BP Emerging Markets Long/Short Fund | 1,520,550 | 26,830 | (93,727 | ) | (66,897 | ) |
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.
66 | SEMI-ANNUAL REPORT 2016 |
BOSTON PARTNERS INVESTMENT FUNDS |
NOTES TO FINANCIAL STATEMENTS (unaudited) (continued) |
As of August 31, 2015, the components of distributable earnings on a tax basis were as follows:
Fund | Undistributed Ordinary Income | Undistributed Long-Term Gains | Capital Loss Carryforwards | Unrealized Appreciation (Depreciation) | Qualified Late-year Loss Deferral | |||||||||||||||
BP Small Cap Value Fund II | $ | 2,433,498 | $ | 8,028,871 | $ | — | $ | 45,065,040 | $ | — | ||||||||||
BP Long/Short Equity Fund | — | 48,419,040 | (421,617 | ) | (5,630,777 | ) | (19,044,267 | ) | ||||||||||||
BP Long/Short Research Fund | — | 199,155,028 | — | 334,472,770 | (11,351,596 | ) | ||||||||||||||
BP All-Cap Value Fund | 17,612,903 | 44,877,486 | — | 144,479,537 | — | |||||||||||||||
WPG Small/Micro Cap Value Fund | 228,530 | 668,357 | — | 93,914 | — | |||||||||||||||
BP Global Equity Fund | 477,344 | 150,010 | — | (7,001,717 | ) | — | ||||||||||||||
BP Global Long/Short Fund | — | 436,375 | — | 7,331,622 | (2,902,608 | ) |
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, 2015 was as follows:
2015 | ||||||||||||
Fund | Ordinary Income | Long-Term Gains | Total | |||||||||
BP Small Cap Value Fund II | $ | 1,556,667 | $ | 3,412,105 | $ | 4,968,772 | ||||||
BP Long/Short Equity Fund | — | 72,185,837 | 72,185,837 | |||||||||
BP Long/Short Research Fund | — | 77,881,138 | 77,881,138 | |||||||||
BP All-Cap Value Fund | 21,516,995 | 25,582,869 | 47,099,864 | |||||||||
WPG Small/Micro Cap Value Fund | 2,796,155 | 2,239,602 | 5,035,757 | |||||||||
BP Global Equity Fund | 2,166,520 | 1,082,426 | 3,248,946 | |||||||||
BP Global Long/Short Fund | — | — | — |
Dividends from net investment income and short-term capital gains are treated as ordinary income dividends for federal income tax purposes.
Accumulated capital losses represent net capital loss carryforwards as of August 31, 2015 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.
As of August 31, 2015, the Funds had the following pre-enactment net capital loss carryforwards to offset future net capital gains, if any, to the extent provided by U.S. Treasury regulations. To the extent that these carryforwards are used to offset future capital gains, it is probable that the gains that are offset will not be distributed to shareholders.
Fund | Expiration August 31, 2016 | Total | ||||||
BP Long/Short Equity Fund | $ | 421,617 | $ | 421,617 |
Due to limitations imposed by the Internal Revenue Code and the regulations thereunder, the capital losses from the BP Long/Short Equity Fund that were acquired in its reorganization with the WPG 130/30 Large Cap Core Fund on April 17, 2009, could not be fully used against its current year capital gains. The remaining loss of $421,617 is carried forward and $421,617 can be utilized annually against the BP Long/Short Equity Fund’s realized capital gains through August 31, 2016.
10. | 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 subsequent events requiring recognition or disclosure in the financial statements.
SEMI-ANNUAL REPORT 2016 | 67 |
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 12-month period ended June 30 are available without charge, upon request, by calling (888) 261-4073 and on the Securities and Exchange Commission’s (“SEC”) 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) on Form N-Q. The Company’s Form N-Q is available on the SEC website at http://www.sec.gov and may be reviewed and copied at the SEC Public Reference Room in Washington, D.C. Information on the operation of the SEC Public Reference Room may be obtained by calling (800) SEC-0330.
Approval of Investment Advisory Agreement-Boston Partners Emerging Markets Long/Short Fund
As required by the 1940 Act, the Board of the Company, including all the Directors who are not “interested persons” of the Company, as that term is defined in the 1940 Act (the “Independent Directors”), considered the approval of the investment advisory agreement between Robeco and the Company (the “Investment Advisory Agreement”) on behalf of the Boston Partners Emerging Markets Long/Short Fund (the “Fund”) at a meeting of the Board held on September 30, 2015 (the “Meeting”). At the Meeting, the Board, including all of the Independent Directors, approved the Investment Advisory Agreement for an initial term ending August 16, 2017. In approving the Investment Advisory Agreement, the Board considered information provided by Robeco with the assistance and advice of counsel to the Independent Director of the Company.
In considering the approval of the Investment Advisory Agreement between the Company and Robeco, with the Fund, the Directors took into account all the materials provided prior to and during the Meeting, the presentations made during the Meeting, and the discussions held during the Meeting. Among other things, the Directors considered (i) the nature, extent, and quality of Robeco’s services provided to the Fund; (ii) descriptions of the experience and qualifications of Robeco personnel providing those services; (iii) Robeco’s investment philosophies and processes; (iv) Robeco’s assets under management and client descriptions; (v) Robeco’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) Robeco’s current advisory fee arrangements with the Company and other similarly managed clients; (vii) Robeco’s compliance procedures; (viii) Robeco’s financial information, insurance coverage and profitability analysis related to providing advisory services to the Fund; (ix) the extent to which economies of scale are relevant to the Fund; (x) a report prepared by Lipper comparing the Fund’s proposed management fees and total expense ratio to those in the Fund’s respective Lipper Group and (xi) the investment performance of Robeco with respect to a similarly managed account.
As part of their review, the Directors considered the nature, extent and quality of the services provided by Robeco. The Directors concluded that Robeco had substantial resources to provide services to the Funds and that Robeco’s services had been acceptable.
The Directors noted that Robeco had contractually agreed to waive management fees and reimburse expenses through at least December 31, 2016 to limit total annual operating expenses to 2.10% for the Boston Partner Emerging Markets Long/Short Fund-Institutional Class.
After reviewing the information regarding the Funds’ costs, profitability and economies of scale, and after considering Robeco’s services, the Directors concluded that the investment advisory fees paid by the Fund were fair and reasonable and that the Investment Advisory Agreement should be approved for an initial period ending August 16, 2017.
68 | SEMI-ANNUAL REPORT 2016 |
BOSTON PARTNERS INVESTMENT FUNDS |
FACTS | WHAT DO THE BOSTON PARTNERS INVESTMENT FUNDS DO WITH YOUR PERSONAL INFORMATION? | |
Why? | Financial companies choose how they share your personal information. Federal law gives consumers the right to limit some but not all sharing. Federal law also requires us to tell you how we collect, share, and protect your personal information. Please read this notice carefully to understand what we do. | |
What? | The types of personal information we collect and share depend on the product or service you have with us. This information can include: • Social Security number • account balances • account transactions • transaction history • wire transfer instructions • checking account information When you are no longer our customer, we continue to share your information as described in this notice. | |
How? | All financial companies need to share customers’ personal information to run their everyday business. In the section below, we list the reasons financial companies can share their customers’ personal information; the reasons the Boston Partners Investment Funds chooses to share; and whether you can limit this sharing. |
Reasons we can share your personal information | Do the Boston Partners Investment Funds share? | Can you limit this sharing? | ||
For our everyday business purposes – such as to process your transactions, maintain your account(s), respond to court orders and legal investigations, or report to credit bureaus | Yes | No | ||
For our marketing purposes – to offer our products and services to you | Yes | No | ||
For joint marketing with other financial companies | No | We don’t share | ||
For our affiliates’ everyday business purposes – information about your transactions and experiences | Yes | No | ||
For our affiliates’ everyday business purposes – information about your creditworthiness | No | We don’t share | ||
For our affiliates to market to you | Yes | Yes | ||
For nonaffiliates to market to you | No | We don’t share |
Questions? | Call (888) 261-4073 or go to www.boston-partners.com |
SEMI-ANNUAL REPORT 2016 | 69 |
BOSTON PARTNERS INVESTMENT FUNDS |
PRIVACY NOTICE (unaudited) (concluded) |
What we do | ||
How do the Boston Partners Investment Funds protect my personal information? | To protect your personal information from unauthorized access and use, we use security measures that comply with federal law. These measures include computer safeguards and secured files and buildings. | |
How do the Boston Partners Investment Funds collect my personal information? | We collect your personal information, for example, when you
• open an account • provide account information • give us your contact information • make a wire transfer • tell us where to send the money
We also collect your information from others, such as credit bureaus, affiliates, or other companies. | |
Why can’t I limit all sharing? | Federal law gives you the right to limit only
• sharing for affiliates’ everyday business purposes – information about your creditworthiness • affiliates from using your information to market to you • sharing for nonaffiliates to market to you
State laws and individual companies may give you additional rights to limit sharing. | |
Definitions | ||
Affiliates | Companies related by common ownership or control. They can be financial and nonfinancial companies. Our affiliates include:
• ORIX Corporation.
• Robeco Investment Management, Inc.
• Robeco Securities, LLC | |
Nonaffiliates | Companies not related by common ownership or control. They can be financial and nonfinancial companies.
• The Boston Partners Investment Funds don’t share with nonaffiliates so they can market to you. The Boston Partners Investment Funds may share information with nonaffiliates that perform marketing services on our behalf. | |
Joint marketing | A formal agreement between nonaffiliated financial companies that together market financial products or services to you.
• The Boston Partners Investment Funds may share your information with other financial institutions with whom we have joint marketing arrangements who may suggest additional fund services or other investment products which may be of interest to you. |
70 | SEMI-ANNUAL REPORT 2016 |
INVESTMENT ADVISER
Robeco Investment Management, Inc.
909 Third Avenue, 32nd Floor
New York, NY 10022
ADMINISTRATOR
BNY Mellon Investment Servicing (US) Inc.
301 Bellevue Parkway
Wilmington, DE 19809
TRANSFER AGENT
BNY Mellon Investment Servicing (US) Inc.
4400 Computer Drive
Westborough, MA 01581
PRINCIPAL
UNDERWRITER
Foreside Funds Distributors LLC
400 Berwyn Park
899 Cassatt Road
Berwyn, PA 19312
BOS-SAR16
CUSTODIAN
The Bank of New York Mellon
225 Liberty Street
New York, NY 10286
INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
Ernst & Young LLP
One Commerce Square
2005 Market Street, Suite 700
Philadelphia, PA 19103
LEGAL COUNSEL
Drinker Biddle & Reath LLP
One Logan Square, Ste. 2000
Philadelphia, PA 19103-6996
CAMPBELL CORE CARRY FUND
of
THE RBB FUND, INC.
SEMI-ANNUAL REPORT
FEBRUARY 29, 2016
(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 CORE CARRY FUND
FUND EXPENSE EXAMPLES
(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. 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.
This example is based on an investment of $1,000 invested at the beginning of the period from December 21, 2015 (commencement of operations) through February 29, 2016, 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 EXAMPLEFOR 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.
INSTITUTIONAL SHARES | ||||||||||||
ENDING ACCOUNT VALUE | EXPENSES PAID | |||||||||||
BEGINNING ACCOUNT VALUE* | FEBRUARY 29, 2016 | DURING PERIOD | ||||||||||
Actual** | $1,000.00 | $1,040.00 | $2.40 | |||||||||
Hypothetical | 1,000.00 | 1,018.65 | 6.27 |
* | The Fund commenced investment operations on December 21, 2015. |
** | Expenses equal to an annualized expense ratio for the period December 21, 2015 (commencement of operations) to February 29, 2016 of 1.25% for the Institutional Shares of the Fund, which includes waived fees or reimbursed expenses (including interest expense, if any), multiplied by the average account value over the period, multiplied by the number of days in the most recent period (69) then divided by 366 days. The Fund’s ending account value on the first line in the table is based on the actual total return since inception for the Institutional Shares of the Fund of 4.00%. |
*** | For comparison purposes, the hypothetical expenses are as if the Fund had been in existence from September 1, 2015 and are equal to the Institutional Shares annualized expense ratio, multiplied by the average account value over the period, multiplied by the number of days in the most recent six-month period (182), then divided by 366 to reflect the one-half year period. |
3
CAMPBELL CORE CARRY FUND
CONSOLIDATED PORTFOLIO HOLDINGS SUMMARY TABLE
FEBRUARY 29, 2016
(UNAUDITED)
The following table presents a consolidated summary of the portfolio holdings of the Fund at February 29, 2016.
% OF NET | ||||||||
SECURITY TYPE/SECTOR CLASSIFICATION | ASSETS | VALUE | ||||||
| ||||||||
SHORT-TERM INVESTMENTS: | ||||||||
U.S. Treasury Obligations | 64.0% | $ | 9,990,810 | |||||
OTHER ASSETS IN EXCESS OF LIABILITIES (including futures and forward foreign currency contracts) | 36.0 | 5,612,877 | ||||||
|
|
|
| |||||
NET ASSETS | 100.0% | $ | 15,603,687 | |||||
|
|
|
|
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.
4
CAMPBELL CORE CARRY FUND
CONSOLIDATED PORTFOLIOOF INVESTMENTS
FEBRUARY 29, 2016
(UNAUDITED)
COUPON* | MATURITY | PAR | VALUE | |||||||||||||
SHORT-TERM INVESTMENTS — 64.0% | ||||||||||||||||
U.S. TREASURY OBLIGATIONS—64.0% | ||||||||||||||||
U.S. Treasury Bill | 0.245% | 04/21/16 | $ | 5,000,000 | $ | 4,998,265 | ||||||||||
U.S. Treasury Bill | 0.321% | 07/21/16 | 5,000,000 | 4,992,545 | ||||||||||||
|
| |||||||||||||||
9,990,810 | ||||||||||||||||
|
| |||||||||||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $ 9,991,953) | 9,990,810 | |||||||||||||||
|
| |||||||||||||||
TOTAL INVESTMENTS — 64.0% | 9,990,810 | |||||||||||||||
|
| |||||||||||||||
OTHER ASSETS IN EXCESSOF LIABILITIES — 36.0% | 5,612,877 | |||||||||||||||
|
| |||||||||||||||
NET ASSETS — 100.0% | $ | 15,603,687 | ||||||||||||||
|
|
* | Short-term investments reflect the annualized effective yield on the date of purchase for discounted investments. |
The accompanying notes are an integral part of the consolidated financial statements.
5
CAMPBELL CORE CARRY FUND
CONSOLIDATED PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 29, 2016
(UNAUDITED)
FUTURES CONTRACTS
UNREALIZED | ||||||||||||
EXPIRATION | NUMBER OF | NOTIONAL | APPRECIATION | |||||||||
LONG CONTRACTS | DATE | CONTRACTS | COST | (DEPRECIATION) | ||||||||
90-DAY Eurodollar | 03/13/17 | 33 | $ | 8,183,070 | $ | (3,110 | ) | |||||
90-DAY Sterling | 03/15/17 | 2 | 344,745 | 1,302 | ||||||||
Amsterdam Index | 03/18/16 | 1 | 87,421 | 5,503 | ||||||||
Australian 10-Year Bond | 03/16/16 | 5 | 467,457 | 3,101 | ||||||||
Australian 3-Year Bond | 03/16/16 | 93 | 7,419,571 | 43,569 | ||||||||
CAC 40 10 Euro | 03/21/16 | 1 | 44,685 | 2,664 | ||||||||
Canadian 10-Year Bond | 06/30/16 | 14 | 1,469,288 | (4,536 | ) | |||||||
Euro STOXX 50 | 03/18/16 | 7 | 226,367 | (2,943 | ) | |||||||
FTSE 100 Index | 03/21/16 | 5 | 408,833 | 12,792 | ||||||||
Hang Seng Index | 03/31/16 | 2 | 247,776 | (2,475 | ) | |||||||
IBEX 35 Index | 03/18/16 | 4 | 355,298 | 11,413 | ||||||||
London Metals Exchange Aluminum | 03/16/16 | 6 | 227,832 | 8,006 | ||||||||
London Metals Exchange Copper | 03/16/16 | 16 | 1,835,996 | 46,205 | ||||||||
London Metals Exchange Zinc | 03/16/16 | 3 | 113,500 | 18,706 | ||||||||
MSCI Taiwan Index | 03/30/16 | 30 | 917,100 | 3,242 | ||||||||
OMX Stockholm 30 Index | 03/18/16 | 17 | 263,398 | 6,984 | ||||||||
S&P/TSX 60 Index | 03/18/16 | 4 | 430,562 | 15,203 | ||||||||
U.S. Treasury 10-Year Notes | 06/30/16 | 20 | 2,610,124 | 186 | ||||||||
U.S. Treasury 2-Year Notes | 07/06/16 | 134 | 29,303,803 | (18,526 | ) | |||||||
U.S. Treasury 5-Year Notes | 07/06/16 | 61 | 7,385,195 | (5,197 | ) | |||||||
|
|
|
| |||||||||
$ | 62,342,021 | $ | 142,089 | |||||||||
|
|
|
| |||||||||
UNREALIZED | ||||||||||||
EXPIRATION | NUMBER OF | NOTIONAL | APPRECIATION | |||||||||
SHORT CONTRACTS | DATE | CONTRACTS | COST | (DEPRECIATION) | ||||||||
Bank Acceptance | 09/19/16 | -17 | $ | (3,123,302 | ) | $ | 6,479 | |||||
Brent Crude | 03/31/16 | -6 | (197,524 | ) | (19,633 | ) | ||||||
CBOE Volatility Index | 03/16/16 | -6 | (125,836 | ) | (4,814 | ) | ||||||
Coffee | 05/31/16 | -14 | (637,909 | ) | 33,896 | |||||||
Copper | 05/31/16 | -1 | (51,998 | ) | (1,315 | ) | ||||||
Corn | 05/17/16 | -103 | (1,905,138 | ) | 66,588 | |||||||
Cotton No. 2 | 05/20/16 | -13 | (393,652 | ) | 26,402 | |||||||
Gold 100 Oz | 04/29/16 | -2 | (223,445 | ) | (23,435 | ) | ||||||
Kansas City Hard Red Winter Wheat | 05/31/16 | -14 | (317,934 | ) | (2,316 | ) | ||||||
London Metals Exchange Aluminum | 03/16/16 | -7 | (260,668 | ) | (14,476 | ) | ||||||
London Metals Exchange Copper | 03/16/16 | -5 | (547,792 | ) | (40,396 | ) | ||||||
London Metals Exchange Zinc | 03/16/16 | -11 | (448,147 | ) | (36,609 | ) | ||||||
Natural Gas | 04/30/16 | -30 | (595,150 | ) | 81,848 | |||||||
NY Harbor Ultra-Low Sulfur Diesel | 04/28/16 | -8 | (349,822 | ) | (17,663 | ) | ||||||
Silver | 05/31/16 | -7 | (529,183 | ) | 7,053 | |||||||
Soybean Meal | 05/17/16 | -21 | (558,429 | ) | 7,179 | |||||||
Soybean Oil | 05/13/16 | -16 | (298,032 | ) | 1,633 | |||||||
Sugar No. 11 (World) | 07/15/16 | -9 | (128,442 | ) | (13,915 | ) | ||||||
Wheat | 05/17/16 | -37 | (858,827 | ) | 20,315 | |||||||
WTI Crude | 04/30/16 | -16 | (486,894 | ) | (53,109 | ) | ||||||
|
|
|
| |||||||||
$ | (12,038,124 | ) | $ | 23,712 | ||||||||
|
|
|
| |||||||||
Total Futures Contracts | $ | 50,303,897 | $ | 165,801 | ||||||||
|
|
|
|
The accompanying notes are an integral part of the financial statements.
6
CAMPBELL CORE CARRY FUND
CONSOLIDATED PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 29, 2016
(UNAUDITED)
Forward foreign currency contracts outstanding as of February 29, 2016 were as follows:
CURRENCY PURCHASED | CURRENCY SOLD | EXPIRATION | COUNTERPARTY | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||||||
| ||||||||||||||||||||||
AUD | 2,700,000 | USD | 1,930,935 | 03/16/16 | UBS | $ | (5,299 | ) | ||||||||||||||
AUD | 1,400,000 | USD | 999,846 | 03/16/16 | UBS | (1,368 | ) | |||||||||||||||
AUD | 200,000 | USD | 143,944 | 03/16/16 | UBS | (1,304 | ) | |||||||||||||||
AUD | 100,000 | USD | 69,057 | 03/16/16 | UBS | 2,263 | ||||||||||||||||
EUR | 200,000 | USD | 224,065 | 03/16/16 | UBS | (6,385 | ) | |||||||||||||||
EUR | 100,000 | USD | 110,402 | 03/16/16 | UBS | (1,562 | ) | |||||||||||||||
GBP | 200,000 | USD | 285,306 | 03/16/16 | UBS | (6,918 | ) | |||||||||||||||
GBP | 100,000 | USD | 139,344 | 03/16/16 | UBS | (150 | ) | |||||||||||||||
GBP | 100,000 | USD | 142,986 | 03/16/16 | UBS | (3,792 | ) | |||||||||||||||
GBP | 100,000 | USD | 144,719 | 03/16/16 | UBS | (5,525 | ) | |||||||||||||||
JPY | 177,870,000 | USD | 1,525,967 | 03/16/16 | UBS | 52,442 | ||||||||||||||||
JPY | 119,100,000 | USD | 1,025,717 | 03/16/16 | UBS | 31,170 | ||||||||||||||||
JPY | 96,230,000 | USD | 818,056 | 03/16/16 | UBS | 35,885 | ||||||||||||||||
JPY | 5,600,000 | USD | 48,139 | 03/16/16 | UBS | 1,555 | ||||||||||||||||
NZD | 1,000,000 | USD | 672,318 | 03/16/16 | UBS | (14,069 | ) | |||||||||||||||
NZD | 600,000 | USD | 399,188 | 03/16/16 | UBS | (4,239 | ) | |||||||||||||||
NZD | 400,000 | USD | 262,595 | 03/16/16 | UBS | 704 | ||||||||||||||||
NZD | 400,000 | USD | 264,891 | 03/16/16 | UBS | (1,592 | ) | |||||||||||||||
SEK | 500,000 | USD | 58,738 | 03/16/16 | UBS | (301 | ) | |||||||||||||||
USD | 277,044 | AUD | 400,000 | 03/16/16 | UBS | (8,235 | ) | |||||||||||||||
USD | 142,012 | AUD | 200,000 | 03/16/16 | UBS | (627 | ) | |||||||||||||||
USD | 140,937 | AUD | 200,000 | 03/16/16 | UBS | (1,703 | ) | |||||||||||||||
USD | 100,784 | CHF | 100,000 | 03/16/16 | UBS | 547 | ||||||||||||||||
USD | 223,279 | EUR | 200,000 | 03/16/16 | UBS | 5,599 | ||||||||||||||||
USD | 216,595 | EUR | 200,000 | 03/16/16 | UBS | (1,084 | ) | |||||||||||||||
USD | 587,436 | GBP | 400,000 | 03/16/16 | UBS | 30,662 | ||||||||||||||||
USD | 148,610 | GBP | 100,000 | 03/16/16 | UBS | 9,416 | ||||||||||||||||
USD | 143,212 | GBP | 100,000 | 03/16/16 | UBS | 4,018 | ||||||||||||||||
USD | 4,683,951 | JPY | 563,800,000 | 03/16/16 | UBS | (319,182 | ) | |||||||||||||||
USD | 283,730 | JPY | 33,700,000 | 03/16/16 | UBS | (15,322 | ) | |||||||||||||||
USD | 177,605 | JPY | 21,000,000 | 03/16/16 | UBS | (8,748 | ) | |||||||||||||||
USD | 49,753 | JPY | 5,900,000 | 03/16/16 | UBS | (2,604 | ) | |||||||||||||||
USD | 197,741 | NZD | 300,000 | 03/16/16 | UBS | 266 | ||||||||||||||||
USD | 194,987 | NZD | 300,000 | 03/16/16 | UBS | (2,488 | ) | |||||||||||||||
USD | 64,504 | NZD | 100,000 | 03/16/16 | UBS | (1,321 | ) | |||||||||||||||
USD | 412,502 | SEK | 3,500,000 | 03/16/16 | UBS | 3,446 | ||||||||||||||||
USD | 270,437 | SEK | 2,300,000 | 03/16/16 | UBS | 1,629 | ||||||||||||||||
USD | 224,119 | SEK | 1,900,000 | 03/16/16 | UBS | 2,060 | ||||||||||||||||
USD | 11,822 | SEK | 100,000 | 03/16/16 | UBS | 135 | ||||||||||||||||
|
| |||||||||||||||||||||
Total Forward Foreign Currency Contracts |
| $ | (232,021 | ) | ||||||||||||||||||
|
|
The accompanying notes are an integral part of the consolidated financial statements.
7
CAMPBELL CORE CARRY FUND
CONSOLIDATED PORTFOLIO OF INVESTMENTS (CONCLUDED)
FEBRUARY 29, 2016
(UNAUDITED)
AUD | Australian Dollar | MSCI | Morgan Stanley Capital International | |||||||
CAC | Cotation Assistée en Continu (Continuous Assisted Quotation) | NZD | New Zealand Dollar | |||||||
CHF | Swiss Franc | OMX | Option Market Index | |||||||
EUR | Euro | SEK | Swedish Krona | |||||||
FTSE | Financial Times Stock Exchange | TSX | Toronto Stock Exchange | |||||||
GBP | British Pound | UBS | UBS AG | |||||||
IBEX | Index of the Bolsa de Madrid | USD | United States Dollar | |||||||
JPY | Japanese Yen | WTI | West Texas Intermediate |
The accompanying notes are an integral part of the consolidated financial statements.
8
CAMPBELL CORE CARRY FUND
CONSOLIDATED STATEMENTOF ASSETS AND LIABILITIES
FEBRUARY 29, 2016
(UNAUDITED)
ASSETS | ||||
Investments, at value (cost $9,991,953) | $ | 9,990,810 | ||
Cash. | 3,364,699 | |||
Cash collateral on futures contracts and forward foreign currency contracts | 2,256,365 | |||
Foreign cash (cost $87,766) | 87,599 | |||
Receivables for: | ||||
Variation margin | 165,801 | |||
Unrealized appreciation on forward foreign currency contracts | 181,797 | |||
|
| |||
Total assets | 16,047,071 | |||
|
| |||
LIABILITIES | ||||
Payables for: | ||||
Administration and accounting fees | 5,091 | |||
Investment advisory fees | 2,405 | |||
Transfer agent fees | 1,949 | |||
Custodian fees | 618 | |||
Unrealized depreciation on forward foreign currency contracts | 413,818 | |||
Other accrued expenses and liabilities | 19,503 | |||
|
| |||
Total liabilities | 443,384 | |||
|
| |||
Net Assets | $ | 15,603,687 | ||
|
| |||
NET ASSETS CONSIST OF | ||||
Capital stock, $0.001 Par value | $ | 1,500 | ||
Paid-in capital | 14,998,500 | |||
Accumulated net investment loss | (31,317 | ) | ||
Accumulated net realized gain from futures transactions and foreign currency transactions | 702,534 | |||
Net unrealized depreciation on investments, futures transactions, foreign currency translations and forward foreign currency contracts | (67,530 | ) | ||
|
| |||
Net assets | $ | 15,603,687 | ||
|
| |||
INSTITUTIONAL SHARES | ||||
Net assets | $ | 15,603,687 | ||
|
| |||
Shares outstanding ($0.001 par value, 100,000,000 shares authorized) | 1,500,000 | |||
|
| |||
Net asset value, offering and redemption price per share | $ | 10.40 | ||
|
|
The accompanying notes are an integral part of consolidated financial statements.
9
CAMPBELL CORE CARRY FUND
CONSOLIDATED STATEMENTOF OPERATIONS
FOR THE PERIOD ENDED
FEBRUARY 29, 2016(1)
(UNAUDITED)
INVESTMENT INCOME | ||||
Interest | $ | 3,387 | ||
|
| |||
Total investment income | 3,387 | |||
|
| |||
EXPENSES | ||||
Advisory fees (Note 2) | 29,996 | |||
Administration and accounting fees (Note 2) | 27,859 | |||
Audit and tax service fees | 10,909 | |||
Transfer agent fees (Note 2) | 7,414 | |||
Registration and filing fees | 5,023 | |||
Custodian fees (Note 2) | 4,033 | |||
Directors’ and officers’ fees | 3,751 | |||
Printing and shareholder reporting fees | 1,885 | |||
Legal fees | 1,848 | |||
Other expenses | 1,225 | |||
|
| |||
Total expenses before waivers and reimbursements | 93,943 | |||
Less: waivers and reimbursements (Note 2) | (59,239 | ) | ||
|
| |||
Net expenses after waivers and reimbursements | 34,704 | |||
|
| |||
Net investment loss | (31,317 | ) | ||
|
| |||
NET REALIZED AND UNREALIZED GAIN/(LOSS) FROM INVESTMENTS | ||||
Net realized gain/(loss) from: | ||||
Futures transactions | 702,049 | |||
Foreign currency transactions | 485 | |||
|
| |||
Net realized gain from investments | 702,534 | |||
|
| |||
Net change in unrealized appreciation/(depreciation) on: | ||||
Investments | (1,143 | ) | ||
Futures transactions | 165,801 | |||
Foreign currency translations | (167 | ) | ||
Forward foreign currency contracts | (232,021 | ) | ||
|
| |||
Net change in unrealized appreciation/(depreciation) on investments | (67,530 | ) | ||
|
| |||
Net realized and unrealized gain on investments | 635,004 | |||
|
| |||
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | 603,687 | ||
|
|
(1) | The Fund commenced investment operations on December 21, 2015. |
The accompanying notes are an integral part of consolidated financial statements.
10
CAMPBELL CORE CARRY FUND
CONSOLIDATED STATEMENTOF CHANGESIN NET ASSETS
FOR THE | ||||||
PERIOD ENDED | ||||||
FEBRUARY 29, 2016 (UNAUDITED)(1) | ||||||
INCREASE/(DECREASE)IN NET ASSETS FROM OPERATIONS: | ||||||
Net investment loss | $ | (31,317 | ) | |||
Net realized gain from futures transactions and foreign currency transactions | 702,534 | |||||
Net change in unrealized depreciation on investments, futures transactions, foreign currency translations and forward foreign currency contracts. | (67,530 | ) | ||||
|
| |||||
Net increase in net assets resulting from operations | 603,687 | |||||
|
| |||||
CAPITAL SHARE TRANSACTIONS: | ||||||
Institutional Shares | ||||||
Proceeds from shares sold | 15,000,000 | |||||
|
| |||||
Total Institutional Shares | 15,000,000 | |||||
|
| |||||
Net increase in net assets from capital share transactions | 15,000,000 | |||||
|
| |||||
Total increase in net assets | 15,603,687 | |||||
|
| |||||
NET ASSETS: | ||||||
Beginning of period | — | |||||
|
| |||||
End of period | $ | 15,603,687 | ||||
|
| |||||
Accumulated net investment loss, end of period | $ | (31,317 | ) | |||
|
| |||||
SHARE TRANSACTIONS: | ||||||
Institutional Shares | ||||||
Shares sold | 1,500,000 | |||||
|
| |||||
Total Institutional Shares | 1,500,000 | |||||
|
| |||||
Net increase in shares | 1,500,000 | |||||
|
|
(1) | The Fund commenced investment operations on December 21, 2015. |
The accompanying notes are an integral part of consolidated financial statements.
11
CAMPBELL CORE CARRY FUND
CONSOLIDATED FINANCIAL HIGHLIGHTS
Contained below is per share operating performance data for shares outstanding, total investment return, ratios to average net assets and other supplemental data for the period. This information has been derived from information provided in the consolidated financial statements.
INSTITUTIONAL SHARES | ||||||||
FOR THE | ||||||||
PERIOD | ||||||||
ENDED | ||||||||
FEBRUARY 29, 2016 (UNAUDITED)(1) | ||||||||
PER SHARE OPERATING PERFORMANCE | ||||||||
Net asset value, beginning of period | $ | 10.00 | ||||||
|
| |||||||
Net investment loss(2) | (0.02 | ) | ||||||
Net realized and unrealized gain from investments | 0.42 | |||||||
|
| |||||||
Net increase in net assets resulting from operations | 0.40 | |||||||
|
| |||||||
Net asset value, end of period | $ | 10.40 | ||||||
|
| |||||||
Total investment return(3) | 4.00 | % | ||||||
|
| |||||||
RATIOS/SUPPLEMENTAL DATA | ||||||||
Net assets, end of period (000’s omitted) | $ | 15,604 | ||||||
Ratio of expenses to average net assets with waivers and reimbursements | 1.25 | %(4) | ||||||
Ratio of expenses to average net assets without waivers and reimbursements | 3.38 | %(4) | ||||||
Ratio of net investment loss to average net assets | (1.13 | )%(4) | ||||||
Portfolio turnover rate | 0.00 | %(5) |
(1) | The Fund commenced investment operations on December 21, 2015. |
(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 each period reported and includes reinvestments of dividends and distributions, if any. Periods less than one year are not annualized. |
(4) | Annualized. |
(5) | Not annualized. |
The accompanying notes are an integral part of the consolidated financial statements.
12
CAMPBELL CORE CARRY FUND
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
FEBRUARY 29, 2016
(UNAUDITED)
1. ORGANIZATIONAND 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 twenty-three active investment portfolios, including the Campbell Core Carry Fund (the “Fund”), which commenced investment operations on December 21, 2015. The Fund offers Institutional Class shares.
RBB has authorized capital of one hundred billion shares of common stock of which 83.023 billion shares are currently classified into one hundred and fifty-seven classes of common stock. Each class represents an interest in an active or inactive RBB investment portfolio.
The Fund is an investment company and follows accounting and reporting guidance in the Financial Accounting Standards Codification Topic 946.
CONSOLIDATIONOF SUBSIDIARY — The Fund pursues its investment objective by allocating (i) up to 25% of its assets in its wholly-owned subsidiary, Campbell Core Carry Offshore Limited (the “Subsidiary”), that employs the Adviser’s Campbell Core Carry Program and (ii) the remainder of its assets directly in a portfolio of investment grade securities (including government securities) for cash management purposes. Securities rated in the four highest categories by the ratings agencies are condsidered investment grade. 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 economic interest (greater than 50%). All inter-company accounts and transactions have been eliminated. As of February 29, 2016, the net assets of the Subsidiary were $1,419,307, which represented 9.10% 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. Fixed income securities having a remaining maturity of greater than 60 days 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. Fixed income securities having a remaining maturity of 60 days or less are valued at amortized cost, provided such amount approximates fair value. 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 in accordance with procedures adopted by the Company’s Board of Directors. Relying on prices supplied by pricing services or dealers or using fair valuation may result in values that are higher or lower than the values used by other investment companies and investors to price the same investments.
FAIR VALUE MEASUREMENTS — The inputs and valuation techniques used to measure fair value of the Fund’s investments are summarized into three levels as described in the hierarchy below:
• Level 1 – quoted prices in active markets for identical securities;
• Level 2 – other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.); and
• Level 3 – significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments).
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
13
CAMPBELL CORE CARRY FUND
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
FEBRUARY 29, 2016
(UNAUDITED) (CONTINUED)
The following is a summary of the inputs used, as of February 29, 2016, in valuing the Fund’s investments carried at fair value:
LEVEL 2 | LEVEL 3 | |||||||||||||||
TOTAL FAIR | LEVEL 1 | SIGNIFICANT | SIGNIFICANT | |||||||||||||
VALUE AT | QUOTED | OBSERVABLE | UNOBSERVABLE | |||||||||||||
FEBRUARY 29, 2016 | PRICE | INPUTS | INPUTS | |||||||||||||
| ||||||||||||||||
Short-Term Investments | $ | 9,990,810 | $ | — | $ | 9,990,810 | $ | — | ||||||||
Commodity Contracts | ||||||||||||||||
Futures | 317,831 | 317,831 | — | — | ||||||||||||
Equity Contracts | ||||||||||||||||
Futures | 57,801 | 57,801 | — | — | ||||||||||||
Interest Rate Contracts | ||||||||||||||||
Futures | 54,637 | 54,637 | — | — | ||||||||||||
Foreign Exchange Contracts | ||||||||||||||||
Forward Foreign Currency Contracts | 181,797 | — | 181,797 | — | ||||||||||||
|
|
|
|
|
|
|
|
| ||||||||
Total Assets | $ | 10,602,876 | $ | 430,269 | $ | 10,172,607 | $ | — | ||||||||
|
|
|
|
|
|
|
|
| ||||||||
LEVEL 2 | LEVEL 3 | |||||||||||||||
TOTAL FAIR | LEVEL 1 | SIGNIFICANT | SIGNIFICANT | |||||||||||||
VALUE AT | QUOTED | OBSERVABLE | UNOBSERVABLE | |||||||||||||
FEBRUARY 29, 2016 | PRICE | INPUTS | INPUTS | |||||||||||||
| ||||||||||||||||
Commodity Contracts | ||||||||||||||||
Futures | $ | (222,867 | ) | $ | (222,867 | ) | $ | — | $ | — | ||||||
Equity Contracts | ||||||||||||||||
Futures | (10,232 | ) | (10,232 | ) | — | — | ||||||||||
Interest Rate Contracts | ||||||||||||||||
Futures | (31,369 | ) | (31,369 | ) | — | — | ||||||||||
Foreign Exchange Contracts | ||||||||||||||||
Forward Foreign Currency Contracts | (413,818 | ) | — | (413,818 | ) | — | ||||||||||
|
|
|
|
|
|
|
|
| ||||||||
Total Liabilities | $ | (678,286 | ) | $ | (264,468 | ) | $ | (413,818 | ) | $ | — | |||||
|
|
|
|
|
|
|
|
|
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 and Level 2 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”) require 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. U.S. GAAP also requires the Fund to disclose amounts and reasons for all transfers in and out of Level 1 and Level 2 fair value measurements. A reconciliation of Level 3 investments is presented only when the Fund had an amount of
14
CAMPBELL CORE CARRY FUND
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
FEBRUARY 29, 2016
(UNAUDITED) (CONTINUED)
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 transfers in and out of each level within the three-tier hierarchy are disclosed when the Fund had an amount of total transfers during the reporting period that was meaningful in relation to its net assets as of the end of the reporting period.
For the period from commencement of operations (December 21, 2015) through February 29, 2016, the Fund had no transfers between Levels 1, 2 and 3.
DISCLOSURESABOUT DERIVATIVE INSTRUMENTSAND 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 period ended February 29, 2016, the Fund used long and short contracts on foreign currencies and U.S. and foreign equity market indices, U.S. and foreign government bonds, and commodities to gain investment exposure in accordance with its investment objective. The Fund traded commodities through investment in the Subsidiary.
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 period ended February 29, 2016.
The following table lists the fair values of the Fund’s derivative holdings as of February 29, 2016 grouped by contract type and risk exposure category.
CONSOLIDATED | ||||||||||||||||||||||
STATEMENT | ||||||||||||||||||||||
OF ASSETS AND | INTEREST | FOREIGN | ||||||||||||||||||||
LIABILITIES | EQUITY | RATE | CURRENCY | COMMODITY | ||||||||||||||||||
DERIVATIVE TYPE | LOCATION | CONTRACTS | CONTRACTS | CONTRACTS | CONTRACTS | TOTAL | ||||||||||||||||
| ||||||||||||||||||||||
Asset Derivatives | ||||||||||||||||||||||
| ||||||||||||||||||||||
Unrealized appreciation on forward foreign | ||||||||||||||||||||||
Forward Contracts | currency contracts | $ | — | $ | — | $ | 181,797 | $ | — | $ | 181,797 | |||||||||||
| ||||||||||||||||||||||
Futures | Receivable: | |||||||||||||||||||||
Contracts(a) | Variation Margin | 57,801 | 54,637 | — | 317,831 | 430,269 | ||||||||||||||||
| ||||||||||||||||||||||
Total Value - Assets | $ | 57,801 | $ | 54,637 | $ | 181,797 | $ | 317,831 | $ | 612,066 | ||||||||||||
| ||||||||||||||||||||||
Liability Derivatives | ||||||||||||||||||||||
| ||||||||||||||||||||||
Unrealized depreciation on forward foreign | ||||||||||||||||||||||
Forward Contracts | currency contracts | $ | — | $ | — | $ | (413,818 | ) | $ | — | $ | (413,818 | ) | |||||||||
| ||||||||||||||||||||||
Futures | Receivable: | |||||||||||||||||||||
Contracts(a) | Variation Margin | (10,232 | ) | (31,369 | ) | — | (222,867 | ) | (264,468 | ) | ||||||||||||
| ||||||||||||||||||||||
Total Value - Liabilities | $ | (10,232 | ) | $ | (31,369 | ) | $ | (413,818 | ) | $ | (222,867 | ) | $ | (678,286 | ) | |||||||
|
(a) | This amount represents the cumulative appreciation/depreciation of futures contracts as reported in the Consolidated Portfolio of Investments. |
15
CAMPBELL CORE CARRY FUND
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
FEBRUARY 29, 2016
(UNAUDITED) (CONTINUED)
The following table lists the amounts of realized gains or (losses) included in net increase in net assets resulting from operations for the period ended February 29, 2016, grouped by contract type and risk exposure.
CONSOLIDATED STATEMENT OF | INTEREST | |||||||||||||||||
OPERATIONS | EQUITY | RATE | COMMODITY | |||||||||||||||
DERIVATIVE TYPE
| LOCATION | CONTRACTS | CONTRACTS | CONTRACTS | TOTAL | |||||||||||||
| ||||||||||||||||||
Realized Gain (Loss) | ||||||||||||||||||
| ||||||||||||||||||
Net realized gain (loss) from | ||||||||||||||||||
Futures Contracts | Futures | $ | (149,883 | ) | $ | 777,533 | $ | 74,399 | $ | 702,049 | ||||||||
|
The following table lists the amounts of change in unrealized appreciation (depreciation) included in net increase in net assets resulting from operations for the period ended February 29, 2016, grouped by contract type and risk exposure. |
CONSOLIDATED | ||||||||||||||||||||||
STATEMENT OF | INTEREST | FOREIGN | ||||||||||||||||||||
OPERATIONS | EQUITY | RATE | CURRENCY | COMMODITY | ||||||||||||||||||
DERIVATIVE TYPE
| LOCATION
| CONTRACTS
| CONTRACTS
| CONTRACTS
| CONTRACTS
| TOTAL
| ||||||||||||||||
| ||||||||||||||||||||||
Change in unrealized appreciation (depreciation) | ||||||||||||||||||||||
| ||||||||||||||||||||||
Net change in unrealized appreciation | ||||||||||||||||||||||
(depreciation) from | ||||||||||||||||||||||
Futures Contracts | Futures | $ | 47,569 | $ | 23,268 | $ | — | $ | 94,964 | $ | 165,801 | |||||||||||
| ||||||||||||||||||||||
Net change in unrealized appreciation | ||||||||||||||||||||||
(depreciation) from | ||||||||||||||||||||||
Forward Foreign | ||||||||||||||||||||||
Forward Contracts | Currency Contracts | — | — | (232,021 | ) | — | (232,021 | ) | ||||||||||||||
| ||||||||||||||||||||||
Total change in unrealized appreciation (depreciation) | $ | 47,569 | $ | 23,268 | $ | (232,021 | ) | $ | 94,964 | $ | (66,220 | ) | ||||||||||
|
16
CAMPBELL CORE CARRY FUND
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
FEBRUARY 29, 2016
(UNAUDITED) (CONTINUED)
For the period ended February 29, 2016, the Fund’s average volume of derivatives is as follows:
FORWARD FOREIGN | FORWARD FOREIGN | |||||
LONG FUTURES | SHORT FUTURES | CURRENCY | CURRENCY | |||
NOTIONAL | NOTIONAL | CONTRACTS — PAYABLE | CONTRACTS — RECEIVABLE | |||
COST | COST | (VALUE AT TRADE DATE) | (VALUE AT TRADE DATE) | |||
$62,342,021 | $(12,038,124) | $(17,817,273) | $17,817,273 |
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.
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 | |||||||||||||||||||||||||||||||
Gross Amount | Offset | Gross Amount | Offset | |||||||||||||||||||||||||||||
Presented in the | in Consolidated | Presented in the | in Consolidated | |||||||||||||||||||||||||||||
Consolidated | Statement of | Consolidated | Statement of | |||||||||||||||||||||||||||||
Statement of | Assets and Liabilities | Statement of | Assets and Liabilities | |||||||||||||||||||||||||||||
Assets and | Financial | Collateral | Net | Assets and | Financial | Collateral | Net | |||||||||||||||||||||||||
Description | Liabilities | Instruments | Received | Amount(1) | Liabilities | Instruments | Pledged(2) | Amount(3) | ||||||||||||||||||||||||
|
|
| ||||||||||||||||||||||||||||||
Assets | Liabilities | |||||||||||||||||||||||||||||||
Forward Foreign Currency Contracts | $181,797 | ($181,797) | $— | $— | $413,818 | ($181,797) | ($232,021) | $— |
(1) | Net amount represents the net amount receivable from the counterparty in the event of default. |
(2) | Actual collateral received may be more than the amount shown. |
(3) | Net amount represents the net amount payable from the counterparty in the event of default. |
USEOF 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 period. Actual results could differ from those estimates and those differences could be significant.
INVESTMENT TRANSACTIONS,INVESTMENT INCOMEAND 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 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. Expenses incurred on behalf of a specific class, fund or fund family are charged directly to the class, fund or fund family to each class of shares based upon the relative proportion of net assets of each class at the beginning of the day. Expenses incurred for all the RBB funds (such as director or professional fees) are charged to all funds in proportion to their average net assets of RBB, or in such other manner as the Company’s Board of Directors 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.
17
CAMPBELL CORE CARRY FUND
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
FEBRUARY 29, 2016
(UNAUDITED) (CONTINUED)
DIVIDENDSAND DISTRIBUTIONSTO 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 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 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.
For tax purposes, the Subsidiary is an exempted Cayman 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.
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 investment securities 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.
18
CAMPBELL CORE CARRY FUND
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
FEBRUARY 29, 2016
(UNAUDITED) (CONTINUED)
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 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.
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 unlimited risk of loss.
FORWARD FOREIGN CURRENCY CONTRACTS — The Fund uses forward foreign currency 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 offsetting contract. Risks may arise upon entering these contracts from the potential inability of a counterparty to meet the terms of their contracts and from unanticipated movements in the value of a foreign currency relative to the U.S. dollar or other currencies. A Fund’s maximum risk of loss from counterparty credit risk related to forward foreign currency contracts is the fair value of the contract. The risk may be mitigated to some extent if a master netting arrangement between a Fund and the counterparty is in place and to the extent a Fund obtains collateral to cover the Fund’s exposure to the counterparty.
18
CAMPBELL CORE CARRY FUND
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
FEBRUARY 29, 2016
(UNAUDITED) (CONTINUED)
CASHAND CASH EQUIVALENTS — The Fund considers liquid assets deposited into bank demand deposit accounts to be cash equivalents. These investments represent amounts held with financial institutions that are readily accessible to pay Fund expenses or purchase investments. 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, based on experience, the risk of material loss from such claims is considered remote.
2. INVESTMENT ADVISERAND OTHER SERVICES
Campbell & Company Investment Adviser LLC (“Campbell” or the “Adviser”) serves as the Fund’s investment adviser. The Adviser is a wholly-owned subsidiary of Campbell & Company, LP. For its advisory services, the Adviser is entitled to receive a monthly fee from the Fund calculated at an annual rate of 1.05% of the Fund’s average daily net assets.
Campbell 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 1.25% 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 1.25%: acquired fund fees and expenses, brokerage commissions, extraordinary items, interest or taxes. This contractual limitation is in effect until December 31, 2016 and may not be terminated without the approval of the Board of Directors of the Company. If at any time the Fund’s total annual Fund operating expenses for a year are less than 1.25%, the Adviser may recoup from the Fund any waived amount or other payments remitted by the Adviser within three years from the date on which such waiver or reimbursement was made if such reimbursement does not cause the Fund to exceed expense limitations that were in effect at the time of the waiver or reimbursement.
For the period ended February 29, 2016, investment advisory fees accrued and waived were $29,996 and $27,591, respectively. At February 29, 2016, the amount of potential recovery by the Adviser was as follows:
EXPIRATION |
AUGUST 31, 2019 |
$27,591 |
BNY Mellon Investment Servicing (US) Inc. (“BNY Mellon”) serves as administrator for the Fund. For providing administrative and accounting services, BNY Mellon is entitled to receive a monthly fee equal to an annual percentage rate of the Fund’s average daily net assets, subject to certain minimum monthly fees. For the period ended February 29, 2016, BNY Mellon accrued administration and accounting fees totaling $27,859 and waived fees totaling $22,768.
Included in the administration and accounting service fees, shown on the Consolidated Statement of Operations, are fees for providing regulatory administration services to RBB. For providing these services, BNY Mellon is entitled to receive compensation as agreed to by the Company and BNY Mellon. This fee is allocated to each portfolio in proportion to its net assets of the Company.
19
CAMPBELL CORE CARRY FUND
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
FEBRUARY 29, 2016
(UNAUDITED) (CONCLUDED)
In addition, BNY Mellon serves as the Fund’s transfer and dividend disbursing agent. For providing transfer agent services, BNY Mellon is entitled to receive a monthly fee, subject to certain minimum, and out of pocket expenses. For the period ended February 29, 2016, BNY Mellon accrued transfer agent fees totaling $7,414 and waived fees totaling $5,465.
The Bank of New York Mellon (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. For the period ended February 29, 2016, the Custodian accrued custodian fees totaling $4,033 and waived fees totaling $3,415.
BNY Mellon and the Custodian have the ability to recover such amounts previously waived, if the Fund terminates its agreements with BNY Mellon or the Custodian within three years of signing the agreements.
Foreside Funds Distributors LLC serves as the principal underwriter and distributor of the Fund’s shares pursuant to a Distribution Agreement with RBB.
3. DIRECTOR’SAND OFFICER’S COMPENSATION
The Directors of the Company receive an annual retainer and meeting fees for meetings attended. The remuneration paid to the Directors by the Fund during the period ended February 29, 2016 was $2,418. Certain employees of BNY Mellon serve as an Officer of the Company. They are not compensated by the Fund or the Company. Employees of Vigilant Compliance, LLC serve as President, Chief Compliance Officer and, effective January 1, 2016, Treasurer of the Company. Vigilant Compliance, LLC is compensated for the services provided to the Company. For the period ended February 29, 2016, the Fund paid $9 in officer fees.
4. INVESTMENTIN SECURITIES
For the period ended February 29, 2016, there were no purchases and sales of investment securities for the Fund, excluding short term investments for cash management purposes.
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 February 29, 2016, federal tax cost, aggregate gross unrealized appreciation and depreciation of securities held by the Fund were as follows:
NET | ||||||
FEDERAL TAX | UNREALIZED | UNREALIZED | UNREALIZED | |||
COST | APPRECIATION | DEPRECIATION | DEPRECIATION | |||
$9,991,953 | $— | $(1,143) | $(1,143) |
6. 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 subsequent events requiring recognition or disclosure in the consolidated financial statements.
20
CAMPBELL CORE CARRY 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 12-month period ended June 30 will be available without charge, upon request, by calling (844) 261-6488 and on the Securities and Exchange Commission’s (“SEC”) website at http://www.sec.gov.
QUARTERLY PORTFOLIO SCHEDULES
The Company will file 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) on Form N-Q. The Company’s Form N-Q will be available on the SEC website at http://www.sec.gov and may be reviewed and copied at the SEC Public Reference Room in Washington, D.C. Information on the operation of the SEC Public Reference Room may be obtained by calling (800) SEC-0330.
APPROVALOF INVESTMENT ADVISORY AGREEMENT
As required by the 1940 Act, the Board of the Company, including all the Directors who are not “interested persons” of the Company, as that term is defined in the 1940 Act (the “Independent Directors”), considered the approval of the investment advisory agreement between Campbell & Company Investment Adviser LLC (“Campbell”) and the Company (the “Investment Advisory Agreement”) on behalf of the Fund at a meeting of the Board held on September 30, 2015 (the “Meeting”). At the Meeting, the Board, including all of the Independent Directors, approved the Investment Advisory Agreement for an initial two-year term. In approving the Investment Advisory Agreement, the Board considered information provided by Campbell with the assistance and advice of counsel to the Independent Director of the Company.
In considering the approval of the Investment Advisory Agreement between the Company and Campbell with respect to the Fund, the Directors took into account all the materials provided in advance of the Meeting, including the Lipper materials, and the discussions held during the Meeting. Among other things, the Directors considered (i) the nature, extent, and quality of Campbell’s services to be provided to the Fund; (ii) descriptions of the experience and qualifications of Campbell’s personnel providing those services; (iii) Campbell’s investment philosophies and processes; (iv) Campbell’s assets under management and client descriptions; (v) Campbell’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) Campbell’s advisory fee arrangement with the Company and other similarly managed clients; (vii) Campbell’s compliance policies and procedures; (viii) Campbell’s financial information, insurance coverage and profitability analysis related to providing advisory services to the Fund; (ix) the extent to which economies of scale are relevant to the Fund; and (x) a report prepared by Lipper comparing the Fund’s management fees and total expense ratio to those of its Lipper peer group.
At the Meeting, as part of their review, the Directors considered the nature, extent and quality of the services provided by Campbell. The Directors concluded that Campbell had substantial resources to provide services to the Fund. The Board also considered the advisory fee rate to be paid by the Fund under the Investment Advisory Agreement. In this regard, information on the fees to be paid by the Fund and the Fund’s total operating expense ratio (before and after fee waivers and expense reimbursements) was compared to similar information for funds advised by other, unaffiliated investment advisory firms. In addition, the Directors noted that Campbell has contractually agreed to waive management fees and reimburse expenses through December 31, 2016 to the extent that total annual Fund operating expenses exceed 1.25% of the Fund’s average daily net assets.
After reviewing the information regarding the Fund’s costs, Campbell’s estimated profitability and economies of scale, and after considering Campbell’s services, the Directors concluded that the investment advisory fees to be paid by the Fund were fair and reasonable and that the Investment Advisory Agreement should be approved for an initial period ending August 16, 2017.
22
CAMPBELL CORE CARRY FUND
PRIVACY NOTICE
(UNAUDITED)
Campbell Core Carry Fund
FACTS |
WHAT DOES THE CAMPBELL CORE CARRY FUND DO WITH YOUR PERSONAL
| |
Why? |
Financial companies choose how they share your personal information. Federal law gives consumers the right to limit some but not all sharing. Federal law also requires us to tell you how we collect, share, and protect your personal information. Please read this notice carefully to understand what we do.
| |
What? | The types of personal information we collect and share depend on the product or service you have with us. This information can include: | |
● Social Security number | ||
● account balances | ||
● account transactions | ||
● transaction history | ||
● wire transfer instructions | ||
● checking account information | ||
When you are no longer our customer, we continue to share your information as | ||
described in this notice. | ||
How? |
All financial companies need to share customers’ personal information to run their everyday business. In the section below, we list the reasons financial companies can share their customers’ personal information; the reasons the Campbell Core Carry Fund chooses to share; and whether you can limit this sharing.
|
Reasons we can share your information |
Does the Campbell Core Carry Fund Share?
|
Can you limit this sharing?
| ||||
For our everyday business purpose — such as to process your transactions, maintain your account(s), respond to court orders and legal investigations, or report to credit bureaus
| Yes
| No
| ||||
For our marketing purposes — to offer our products and services to you
| Yes | No
| ||||
For joint marketing with other financial companies
| No | We don’t share
| ||||
For affiliates’ everyday business purposes — information about your transactions and experiences | Yes | Yes
| ||||
For affiliates’ everyday business purposes — information about your creditworthiness
| No | We don’t share
| ||||
For our affiliates to market to you
| No | We don’t share
| ||||
For nonaffiliates to market to you
| No
| We don’t share
|
Questions?
|
Call 1-844-261-6488
| |
|
23
CAMPBELL CORE CARRY FUND
PRIVACY NOTICE
(UNAUDITED)
What we do
| ||
How does the Campbell Core Carry Fund protect my personal information?
|
To protect your personal information from unauthorized access and use, we use security measures that comply with federal law. These measures include computer safeguards and secured files and buildings.
| |
How does the Campbell Core Carry Fund collect my personal information? |
We collect your personal information, for example, when you ● open an account ● provide account information ● give us your contact information ● make a wire transfer ● tell us where to send the money | |
We also collect your information from others, such as credit bureaus, affiliates, or other companies.
| ||
Why can’t I limit all sharing? |
Federal law gives you the right to limit only ● sharing for affiliates’ everyday business purposes — information about your creditworthiness ● affiliates from using your information to market to you ● sharing for nonaffiliates to market to you State laws and individual companies may give you additional rights to limit sharing. | |
Definitions
| ||
Affiliates |
Companies related by common ownership or control. They can be financial and nonfinancial companies. ● Our affiliates include Campbell Core Carry Fund’s investment adviser, Campbell & Company Investment Adviser LLC.
| |
Nonaffiliates |
Companies not related by common ownership or control. They can be financial and nonfinancial companies. ● The Campbell Core Carry Fund doesn’t share with nonaffiliates so they can market to you.
| |
Joint marketing |
A formal agreement between nonaffiliated financial companies that together market financial products or services to you. ● The Campbell Core Carry Fund does not jointly market.
|
24
Investment Adviser
Campbell & Company Investment Adviser LLC
2850 Quarry Lake Drive
Baltimore, Maryland 21209
Administrator
BNY Mellon Investment Servicing (US) Inc.
301 Bellevue Parkway
Wilmington, DE 19809
Transfer Agent
BNY Mellon Investment Servicing (US) Inc.
4400 Computer Drive
Westborough, MA 01581
Principal Underwriter
Foreside Funds Distributors LLC
400 Berwyn Park
899 Cassatt Road
Berwyn, PA 19312
Custodian
The Bank of New York Mellon
225 Liberty Street
New York, NY 10286
Independent Registered Public Accounting Firm
Ernst & Young LLP
One Commerce Square
2005 Market Street, Suite 700
Philadelphia, PA 19103
Legal Counsel
Drinker Biddle & Reath LLP
One Logan Square, Ste. 2000
Philadelphia, PA 19103-6996
CAMC-SAR16
CAMPBELL CORE TREND FUND
of
THE RBB FUND, INC.
SEMI-ANNUAL REPORT
FEBRUARY 29, 2016
(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 CORE TREND FUND
SEMI-ANNUAL REPORT
PERFORMANCE DATA
FEBRUARY 29, 2016
(UNAUDITED)
AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIODS ENDED FEBRUARY 29, 2016 | ||||||||||||||
Six | One | Since | ||||||||||||
Months* | Year | Inception** | ||||||||||||
Campbell Core Trend Fund, Institutional Shares | -0.54% | -9.15 | % | -2.95% | ||||||||||
BofA Merrill Lynch 3-Month U.S. Treasury Bill Index*** | 0.04% | 0.05 | % | 0.05% | ||||||||||
Barclay BTOP50 Index*** | 7.02% | 0.73 | % | 3.57% |
* | Not annualized. |
** | Inception date of the Fund is December 31, 2014. |
*** | Benchmark performance is from inception date of the Fund only and is not the inception date of the benchmark itself. |
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, as stated in the current prospectus dated December 31, 2015, is 4.39% and the Fund’s net operating expense ratio is 1.26%. Campbell & Company Investment Adviser LLC 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 1.25% of the Fund’s average daily net assets attributable to Institutional Shares. This contractual limitation is in effect until December 31, 2016 and may not be terminated without the approval of the Board of Directors of The RBB Fund, Inc.
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 read carefully before investing.
The Fund intends to elect to be treated and to qualify each year, as a regulated investment company (“RIC”) under the U.S. Internal Revenue Code (“Code”). To maintain qualification for federal income tax purposes as a RIC under the Code, the Fund must meet certain source-of-income, asset diversification and distribution of its income requirements. If the Fund were to fail to qualify as a RIC and became subject to federal income tax, shareholders of the Fund would be subject to diminished returns.
The BofA Merrill Lynch 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 Barclay BTOP50 Index (“BTOP50”) seeks to replicate the overall composition of the managed futures industry with regard to trading style and overall market exposure. The BTOP50 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. The index portfolio is equally weighted among the selected programs at the beginning of each calendar year and rebalanced annually. It is impossible to invest directly in an index.
Portfolio composition is subject to change.
1
CAMPBELL CORE TREND FUND
FUND EXPENSE EXAMPLES
(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. 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.
This example is based on an investment of $1,000 invested at the beginning of the six-month period from September 1, 2015 through February 29, 2016, 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 EXAMPLEFOR 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.
INSTITUTIONAL SHARES | ||||||||||||
BEGINNING ACCOUNT VALUE | ENDING ACCOUNT VALUE | EXPENSES PAID | ||||||||||
SEPTEMBER 1, 2015 | FEBRUARY 29, 2016* | DURING PERIOD* | ||||||||||
Actual | $1,000.00 | $ 994.60 | $6.20 | |||||||||
Hypothetical | 1,000.00 | 1,018.65 | 6.27 |
* | Expenses are equal to the Fund’s annualized six-month expense ratio of 1.25% for the Institutional Shares, which includes waived fees or reimbursed expenses (including interest expense, if any), multiplied by the average account value over the period, multiplied by the number of days in the fiscal half-year (182) 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 return for the Institutional Shares of the Fund of (0.54)%. |
2
CAMPBELL CORE TREND FUND
CONSOLIDATED PORTFOLIO HOLDINGS SUMMARY TABLE
FEBRUARY 29, 2016
(UNAUDITED)
The following table presents a consolidated summary of the portfolio holdings of the Fund at February 29, 2016.
% OF NET | ||||||||
SECURITY TYPE/SECTOR CLASSIFICATION | ASSETS | VALUE | ||||||
| ||||||||
SHORT-TERM INVESTMENTS: | ||||||||
U.S. Treasury Obligations | 68.3% | $ | 6,594,703 | |||||
OTHER ASSETS IN EXCESS OF LIABILITIES (including futures and forward foreign currency contracts) | 31.7 | 3,067,541 | ||||||
|
|
|
| |||||
NET ASSETS | 100.0% | $ | 9,662,244 | |||||
|
|
|
|
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.
3
CAMPBELL CORE TREND FUND
CONSOLIDATED PORTFOLIO OF INVESTMENTS
FEBRUARY 29, 2016
(UNAUDITED)
COUPON* | MATURITY | PAR | VALUE | |||||||||||||
SHORT-TERM INVESTMENTS — 68.3% | ||||||||||||||||
U.S. TREASURY OBLIGATIONS—68.3% | ||||||||||||||||
U.S. Treasury Bill | 0.095% | 04/21/16 | $ | 3,350,000 | $ | 3,349,549 | ||||||||||
U.S. Treasury Bill | 0.321% | 07/21/16 | 3,250,000 | 3,245,154 | ||||||||||||
|
| |||||||||||||||
6,594,703 | ||||||||||||||||
|
| |||||||||||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $ 6,595,447) | 6,594,703 | |||||||||||||||
|
| |||||||||||||||
TOTAL INVESTMENTS — 68.3% | 6,594,703 | |||||||||||||||
|
| |||||||||||||||
OTHER ASSETSIN EXCESSOF LIABILITIES — 31.7% | 3,067,541 | |||||||||||||||
|
| |||||||||||||||
NET ASSETS — 100.0% | $ | 9,662,244 | ||||||||||||||
|
|
* | Short-term investments reflect the annualized effective yield on the date of purchase for discounted investments. |
The accompanying notes are an integral part of the consolidated financial statements.
4
CAMPBELL CORE TREND FUND
CONSOLIDATED PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 29, 2016
(UNAUDITED)
FUTURES CONTRACTS
UNREALIZED | ||||||||||||
EXPIRATION | NUMBER OF | NOTIONAL | APPRECIATION | |||||||||
LONG CONTRACTS | DATE | CONTRACTS | COST | (DEPRECIATION) | ||||||||
10-Year Mini Japanese Government Bond | 03/11/16 | 1 | $ | 131,862 | $ | 3,103 | ||||||
3-Month Euro Euribor | 03/13/17 | 6 | 1,635,068 | 2,997 | ||||||||
90-DAY Eurodollar | 03/13/17 | 26 | 6,441,093 | 2,355 | ||||||||
90-DAY Sterling | 03/15/17 | 21 | 3,626,895 | 7,218 | ||||||||
Australian 10-Year Bond | 03/16/16 | 3 | 281,525 | 772 | ||||||||
Australian 3-Year Bond | 03/16/16 | 19 | 1,523,930 | 885 | ||||||||
Canadian 10-Year Bond | 06/30/16 | 4 | 420,377 | (1,841 | ) | |||||||
Euro Buxl 30-Year Bond | 03/10/16 | 1 | 179,845 | 4,872 | ||||||||
Euro-Bobl | 03/10/16 | 2 | 285,325 | 4,763 | ||||||||
Euro-Bund | 03/10/16 | 2 | 357,243 | 5,187 | ||||||||
Euro-Oat | 03/10/16 | 1 | 168,249 | 2,414 | ||||||||
Euro-Schatz | 03/10/16 | 4 | 486,146 | 828 | ||||||||
Gold 100 Oz | 04/29/16 | 2 | 247,975 | (1,095 | ) | |||||||
Lean Hogs | 04/18/16 | 3 | 85,049 | (1,079 | ) | |||||||
London Metals Exchange Aluminum | 03/16/16 | 16 | 601,418 | 27,482 | ||||||||
London Metals Exchange Copper | 03/16/16 | 4 | 454,622 | 15,928 | ||||||||
London Metals Exchange Nickel | 03/16/16 | 9 | 457,008 | 1,776 | ||||||||
London Metals Exchange Zinc | 03/16/16 | 14 | 516,865 | 56,135 | ||||||||
Long Gilt | 06/30/16 | 2 | 337,664 | 1,696 | ||||||||
U.S. Treasury 10-Year Notes | 06/30/16 | 5 | 652,118 | 461 | ||||||||
U.S. Treasury 2-Year Notes | 07/06/16 | 14 | 3,061,758 | (2,102 | ) | |||||||
U.S. Treasury 5-Year Notes | 07/06/16 | 10 | 1,021,639 | (656 | ) | |||||||
U.S. Treasury Long Bond | 06/30/16 | 2 | 330,792 | (1,730 | ) | |||||||
U.S. Treasury Ultra Bond | 06/30/16 | 1 | 173,189 | (33 | ) | |||||||
|
|
|
| |||||||||
$ | 23,477,655 | $ | 130,336 | |||||||||
|
|
|
| |||||||||
UNREALIZED | ||||||||||||
EXPIRATION | NUMBER OF | NOTIONAL | APPRECIATION | |||||||||
SHORT CONTRACTS | DATE | CONTRACTS | COST | (DEPRECIATION) | ||||||||
90-DAY Bank Bill | 06/10/16 | -7 | $ | (4,970,058 | ) | $ | 24 | |||||
Brent Crude | 03/31/16 | -3 | (99,893 | ) | (9,817 | ) | ||||||
CAC 40 10 Euro | 03/21/16 | -1 | (44,650 | ) | (2,699 | ) | ||||||
Cattle Feeder | 03/24/16 | -1 | (74,847 | ) | (4,228 | ) | ||||||
Cocoa | 05/31/16 | -2 | (55,264 | ) | (3,836 | ) | ||||||
Coffee | 05/31/16 | -2 | (92,807 | ) | 6,519 | |||||||
Corn | 05/17/16 | -11 | (200,499 | ) | 4,143 | |||||||
Cotton No.2 | 05/20/16 | -3 | (90,846 | ) | 6,096 | |||||||
Euro STOXX 50 | 03/18/16 | -2 | (64,420 | ) | 585 | |||||||
FTSE/JSE Top 40 | 03/17/16 | -1 | (27,097 | ) | (516 | ) | ||||||
Gasoline Rbob | 04/28/16 | -1 | (48,739 | ) | (6,731 | ) | ||||||
Hang Seng Index | 03/31/16 | -1 | (123,808 | ) | 1,270 | |||||||
IBEX 35 Index | 03/18/16 | -1 | (88,980 | ) | (2,698 | ) | ||||||
Live Cattle | 05/16/16 | -1 | (53,847 | ) | (943 | ) | ||||||
London Metals Exchange Aluminum | 03/16/16 | -17 | (636,535 | ) | (31,672 | ) | ||||||
London Metals Exchange Copper | 03/16/16 | -5 | (578,188 | ) | (10,000 | ) | ||||||
London Metals Exchange Nickel | 03/16/16 | -12 | (624,833 | ) | 13,121 | |||||||
London Metals Exchange Zinc | 03/16/16 | -13 | (496,081 | ) | (76,813 | ) | ||||||
Low Sulphur Gas Oil | 04/30/16 | -3 | (94,195 | ) | (4,805 | ) | ||||||
MSCI Singapore Index | 03/31/16 | -4 | (85,088 | ) | (574 | ) | ||||||
MSCI Taiwan Index | 03/30/16 | -1 | (99,843 | ) | (157 | ) | ||||||
Natural Gas | 04/30/16 | -6 | (115,938 | ) | 13,276 | |||||||
Nikkei 225 | 03/11/16 | -1 | (77,690 | ) | 6,895 | |||||||
OMX Stockholm 30 Index | 03/18/16 | -2 | (30,902 | ) | (908 | ) | ||||||
Palladium | 06/30/16 | -1 | (50,268 | ) | 703 | |||||||
Russell 2000 Index | 03/18/16 | -1 | (104,840 | ) | 1,670 | |||||||
SGX Nifty 50 Index | 03/31/16 | -9 | (903,655 | ) | 3,655 | |||||||
Soybean | 05/17/16 | -2 | (200,644 | ) | 644 | |||||||
SPI 200 Index | 03/18/16 | -1 | (87,049 | ) | 16 |
The accompanying notes are an integral part of the consolidated financial statements.
5
CAMPBELL CORE TREND FUND
CONSOLIDATED PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 29, 2016
(UNAUDITED)
UNREALIZED | ||||||||||||
EXPIRATION | NUMBER OF | NOTIONAL | APPRECIATION | |||||||||
SHORT CONTRACTS | DATE | CONTRACTS | COST | (DEPRECIATION) | ||||||||
Sugar No. 11 (World) | 07/15/16 | -1 | $ | (13,467 | ) | $ | (933 | ) | ||||
Wheat | 05/17/16 | -8 | (184,368 | ) | 3,064 | |||||||
WTI Crude | 04/30/16 | -3 | (87,443 | ) | (13,807 | ) | ||||||
|
|
|
| |||||||||
$ | (10,506,782 | ) | $ | (109,456 | ) | |||||||
|
|
|
| |||||||||
Total Futures Contracts | $ | 12,970,873 | $ | 20,880 | ||||||||
|
|
|
|
The accompanying notes are an integral part of the consolidated financial statements.
6
CAMPBELL CORE TREND FUND
CONSOLIDATED PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 29, 2016
(UNAUDITED)
Forward foreign currency contracts outstanding as of February 29, 2016 were as follows:
UNREALIZED | ||||||||||||||||||||||||
APPRECIATION | ||||||||||||||||||||||||
CURRENCY PURCHASED | CURRENCY SOLD | EXPIRATION | COUNTERPARTY | (DEPRECIATION) | ||||||||||||||||||||
| ||||||||||||||||||||||||
AUD | 1,800,000 | USD | 1,300,793 | 03/16/16 | UBS | $ | (17,036 | ) | ||||||||||||||||
AUD | 200,000 | USD | 144,907 | 03/16/16 | UBS | (2,267 | ) | |||||||||||||||||
AUD | 100,000 | USD | 70,231 | 03/16/16 | UBS | 1,089 | ||||||||||||||||||
CAD | 1,000,000 | USD | 720,926 | 03/16/16 | UBS | 18,178 | ||||||||||||||||||
CAD | 800,000 | USD | 575,431 | 03/16/16 | UBS | 15,852 | ||||||||||||||||||
CAD | 400,000 | USD | 281,187 | 03/16/16 | UBS | 14,454 | ||||||||||||||||||
CAD | 400,000 | USD | 286,321 | 03/16/16 | UBS | 9,320 | ||||||||||||||||||
CAD | 300,000 | USD | 213,152 | 03/16/16 | UBS | 8,579 | ||||||||||||||||||
CAD | 100,000 | USD | 73,781 | 03/16/16 | UBS | 129 | ||||||||||||||||||
EUR | 900,000 | USD | 988,014 | 03/16/16 | UBS | (8,454 | ) | |||||||||||||||||
EUR | 400,000 | USD | 435,931 | 03/16/16 | UBS | (571 | ) | |||||||||||||||||
EUR | 400,000 | USD | 438,730 | 03/16/16 | UBS | (3,370 | ) | |||||||||||||||||
EUR | 200,000 | USD | 220,463 | 03/16/16 | UBS | (2,784 | ) | |||||||||||||||||
GBP | 700,000 | USD | 1,048,784 | 03/16/16 | UBS | (74,428 | ) | |||||||||||||||||
GBP | 300,000 | USD | 441,725 | 03/16/16 | UBS | (24,144 | ) | |||||||||||||||||
GBP | 200,000 | USD | 289,349 | 03/16/16 | UBS | (10,962 | ) | |||||||||||||||||
GBP | 100,000 | USD | 151,740 | 03/16/16 | UBS | (12,547 | ) | |||||||||||||||||
JPY | 201,800,000 | USD | 1,682,160 | 03/16/16 | UBS | 108,604 | ||||||||||||||||||
JPY | 128,300,000 | USD | 1,067,163 | 03/16/16 | UBS | 71,365 | ||||||||||||||||||
JPY | 85,500,000 | USD | 727,856 | 03/16/16 | UBS | 30,867 | ||||||||||||||||||
JPY | 10,000,000 | USD | 83,543 | 03/16/16 | UBS | 5,196 | ||||||||||||||||||
MXN | 12,500,000 | USD | 702,927 | 03/16/16 | UBS | (14,448 | ) | |||||||||||||||||
MXN | 10,200,000 | USD | 580,562 | 03/16/16 | UBS | (18,763 | ) | |||||||||||||||||
MXN | 2,500,000 | USD | 145,717 | 03/16/16 | UBS | (8,021 | ) | |||||||||||||||||
MXN | 1,300,000 | USD | 74,422 | 03/16/16 | UBS | (2,820 | ) | |||||||||||||||||
NOK | 6,500,000 | USD | 740,023 | 03/16/16 | UBS | 6,805 | ||||||||||||||||||
NOK | 4,000,000 | USD | 460,874 | 03/16/16 | UBS | (1,288 | ) | |||||||||||||||||
NOK | 1,800,000 | USD | 208,343 | 03/16/16 | UBS | (1,529 | ) | |||||||||||||||||
NOK | 700,000 | USD | 80,141 | 03/16/16 | UBS | 287 | ||||||||||||||||||
NOK | 400,000 | USD | 46,759 | 03/16/16 | UBS | (800 | ) | |||||||||||||||||
NZD | 800,000 | USD | 533,268 | 03/16/16 | UBS | (6,669 | ) | |||||||||||||||||
NZD | 400,000 | USD | 267,955 | 03/16/16 | UBS | (4,656 | ) | |||||||||||||||||
NZD | 200,000 | USD | 133,017 | 03/16/16 | UBS | (1,367 | ) | |||||||||||||||||
NZD | 200,000 | USD | 134,902 | 03/16/16 | UBS | (3,252 | ) | |||||||||||||||||
SEK | 9,300,000 | USD | 1,096,653 | 03/16/16 | UBS | (9,732 | ) | |||||||||||||||||
SEK | 5,300,000 | USD | 626,557 | 03/16/16 | UBS | (7,129 | ) | |||||||||||||||||
SEK | 1,400,000 | USD | 165,592 | 03/16/16 | UBS | (1,969 | ) | |||||||||||||||||
SEK | 1,000,000 | USD | 119,212 | 03/16/16 | UBS | (2,339 | ) | |||||||||||||||||
SEK | 400,000 | USD | 47,435 | 03/16/16 | UBS | (686 | ) | |||||||||||||||||
SGD | 900,000 | USD | 636,298 | 03/16/16 | UBS | 3,616 | ||||||||||||||||||
SGD | 600,000 | USD | 428,650 | 03/16/16 | UBS | (2,041 | ) | |||||||||||||||||
SGD | 300,000 | USD | 210,871 | 03/16/16 | UBS | 2,433 | ||||||||||||||||||
SGD | 300,000 | USD | 213,025 | 03/16/16 | UBS | 279 | ||||||||||||||||||
USD | 639,184 | AUD | 900,000 | 03/16/16 | UBS | (2,695 | ) | |||||||||||||||||
USD | 364,345 | AUD | 500,000 | 03/16/16 | UBS | 7,746 |
The accompanying notes are an integral part of the consolidated financial statements.
7
CAMPBELL CORE TREND FUND
CONSOLIDATED PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 29, 2016
(UNAUDITED)
UNREALIZED | ||||||||||||||||||||||||
APPRECIATION | ||||||||||||||||||||||||
CURRENCY PURCHASED | CURRENCY SOLD | EXPIRATION | COUNTERPARTY | (DEPRECIATION) | ||||||||||||||||||||
| ||||||||||||||||||||||||
USD | 285,576 | AUD | 400,000 | 03/16/16 | UBS | $ | 296 | |||||||||||||||||
USD | 213,031 | AUD | 300,000 | 03/16/16 | UBS | (928 | ) | |||||||||||||||||
USD | 1,339,753 | CAD | 1,800,000 | 03/16/16 | UBS | 9,366 | ||||||||||||||||||
USD | 436,061 | CAD | 600,000 | 03/16/16 | UBS | (7,401 | ) | |||||||||||||||||
USD | 435,686 | CAD | 600,000 | 03/16/16 | UBS | (7,776 | ) | |||||||||||||||||
USD | 146,250 | CAD | 200,000 | 03/16/16 | UBS | (1,571 | ) | |||||||||||||||||
USD | 72,785 | CAD | 100,000 | 03/16/16 | UBS | (1,126 | ) | |||||||||||||||||
USD | 1,061,545 | EUR | 1,000,000 | 03/16/16 | UBS | (26,854 | ) | |||||||||||||||||
USD | 541,344 | EUR | 500,000 | 03/16/16 | UBS | (2,855 | ) | |||||||||||||||||
USD | 216,804 | EUR | 200,000 | 03/16/16 | UBS | (875 | ) | |||||||||||||||||
USD | 108,869 | EUR | 100,000 | 03/16/16 | UBS | 29 | ||||||||||||||||||
USD | 900,691 | GBP | 600,000 | 03/16/16 | UBS | 65,529 | ||||||||||||||||||
USD | 592,002 | GBP | 400,000 | 03/16/16 | UBS | 35,228 | ||||||||||||||||||
USD | 300,817 | GBP | 200,000 | 03/16/16 | UBS | 22,430 | ||||||||||||||||||
USD | 299,615 | GBP | 200,000 | 03/16/16 | UBS | 21,228 | ||||||||||||||||||
USD | 146,985 | GBP | 100,000 | 03/16/16 | UBS | 7,791 | ||||||||||||||||||
USD | 141,170 | GBP | 100,000 | 03/16/16 | UBS | 1,976 | ||||||||||||||||||
USD | 1,229,384 | JPY | 147,350,000 | 03/16/16 | UBS | (78,193 | ) | |||||||||||||||||
USD | 663,526 | JPY | 80,950,000 | 03/16/16 | UBS | (54,821 | ) | |||||||||||||||||
USD | 586,204 | JPY | 70,100,000 | 03/16/16 | UBS | (35,860 | ) | |||||||||||||||||
USD | 419,560 | JPY | 50,900,000 | 03/16/16 | UBS | (32,124 | ) | |||||||||||||||||
USD | 363,474 | JPY | 44,700,000 | 03/16/16 | UBS | (33,192 | ) | |||||||||||||||||
USD | 909,927 | MXN | 15,900,000 | 03/16/16 | UBS | 34,182 | ||||||||||||||||||
USD | 355,825 | MXN | 6,200,000 | 03/16/16 | UBS | 14,340 | ||||||||||||||||||
USD | 210,305 | MXN | 3,500,000 | 03/16/16 | UBS | 17,531 | ||||||||||||||||||
USD | 184,199 | MXN | 3,200,000 | 03/16/16 | UBS | 7,948 | ||||||||||||||||||
USD | 128,078 | MXN | 2,300,000 | 03/16/16 | UBS | 1,398 | ||||||||||||||||||
USD | 5,833 | MXN | 100,000 | 03/16/16 | UBS | 325 | ||||||||||||||||||
USD | 969,003 | NOK | 8,400,000 | 03/16/16 | UBS | 3,871 | ||||||||||||||||||
USD | 307,749 | NOK | 2,700,000 | 03/16/16 | UBS | (2,472 | ) | |||||||||||||||||
USD | 193,971 | NOK | 1,700,000 | 03/16/16 | UBS | (1,353 | ) | |||||||||||||||||
USD | 125,299 | NOK | 1,100,000 | 03/16/16 | UBS | (1,088 | ) | |||||||||||||||||
USD | 395,806 | NZD | 600,000 | 03/16/16 | UBS | 857 | ||||||||||||||||||
USD | 263,140 | NZD | 400,000 | 03/16/16 | UBS | (160 | ) | |||||||||||||||||
USD | 261,138 | NZD | 400,000 | 03/16/16 | UBS | (2,161 | ) | |||||||||||||||||
USD | 67,257 | NZD | 100,000 | 03/16/16 | UBS | 1,432 | ||||||||||||||||||
USD | 65,433 | NZD | 100,000 | 03/16/16 | UBS | (392 | ) | |||||||||||||||||
USD | 1,133,066 | SEK | 9,800,000 | 03/16/16 | UBS | (12,291 | ) | |||||||||||||||||
USD | 317,839 | SEK | 2,700,000 | 03/16/16 | UBS | 2,282 | ||||||||||||||||||
USD | 245,517 | SEK | 2,100,000 | 03/16/16 | UBS | 83 | ||||||||||||||||||
USD | 211,628 | SEK | 1,800,000 | 03/16/16 | UBS | 1,256 | ||||||||||||||||||
USD | 565,307 | SGD | 800,000 | 03/16/16 | UBS | (3,506 | ) | |||||||||||||||||
USD | 352,958 | SGD | 500,000 | 03/16/16 | UBS | (2,550 | ) | |||||||||||||||||
USD | 279,235 | SGD | 400,000 | 03/16/16 | UBS | (5,171 | ) | |||||||||||||||||
USD | 141,207 | SGD | 200,000 | 03/16/16 | UBS | (996 | ) | |||||||||||||||||
USD | 547,364 | ZAR | 8,000,000 | 03/16/16 | UBS | 44,851 | ||||||||||||||||||
USD | 243,744 | ZAR | 3,800,000 | 03/16/16 | UBS | 5,051 | ||||||||||||||||||
USD | 171,692 | ZAR | 2,700,000 | 03/16/16 | UBS | 2,094 | ||||||||||||||||||
USD | 32,176 | ZAR | 500,000 | 03/16/16 | UBS | 769 |
The accompanying notes are an integral part of the consolidated financial statements.
8
CAMPBELL CORE TREND FUND
CONSOLIDATED PORTFOLIO OF INVESTMENTS (CONCLUDED)
FEBRUARY 29, 2016
(UNAUDITED)
UNREALIZED | ||||||||||||||||||||||||
APPRECIATION | ||||||||||||||||||||||||
CURRENCY PURCHASED | CURRENCY SOLD | EXPIRATION | COUNTERPARTY | (DEPRECIATION) | ||||||||||||||||||||
| ||||||||||||||||||||||||
USD | 25,956 | ZAR | 400,000 | 03/16/16 | UBS | $ | 830 | |||||||||||||||||
USD | 18,561 | ZAR | 300,000 | 03/16/16 | UBS | (283 | ) | |||||||||||||||||
ZAR | 6,900,000 | USD | 433,830 | 03/16/16 | UBS | (412 | ) | |||||||||||||||||
ZAR | 2,400,000 | USD | 150,745 | 03/16/16 | UBS | 9 | ||||||||||||||||||
ZAR | 2,100,000 | USD | 127,678 | 03/16/16 | UBS | 4,231 | ||||||||||||||||||
ZAR | 1,500,000 | USD | 96,739 | 03/16/16 | UBS | (2,518 | ) | |||||||||||||||||
|
| |||||||||||||||||||||||
Total Forward Foreign Currency Contracts |
| $ | 46,316 | |||||||||||||||||||||
|
|
AUD | Australian Dollar | |
CAC | Cotation Assistée en Continu (Continuous Assisted Quotation) | |
CAD | Canadian Dollar | |
EUR | Euro | |
FTSE | Financial Times Stock Exchange | |
GBP | British Pound | |
IBEX | Index of the Bolsa de Madrid | |
JPY | Japanese Yen | |
JSE | Johannesburg Stock Exchange | |
MXN | Mexican Peso |
NOK | Norwegian Krone | |||
NZD | New Zealand Dollar | |||
SEK | Swedish Krona | |||
SGD | Singapore Dollar | |||
SGX | Singapore Stock Exchange | |||
UBS | UBS AG | |||
USD | United States Dollar | |||
WTI | West Texas Intermediate | |||
ZAR | South African Rand |
The accompanying notes are an integral part of the consolidated financial statements.
9
CAMPBELL CORE TREND FUND
CONSOLIDATED STATEMENTOF ASSETSAND LIABILITIES
FEBRUARY 29, 2016
(UNAUDITED)
ASSETS | ||||
Investments, at value (cost $6,595,447) | $ | 6,594,703 | ||
Cash | 2,012,256 | |||
Cash collateral on futures contracts and forward foreign currency contracts | 989,067 | |||
Foreign cash (cost $18,739) | 18,335 | |||
Receivables for: | ||||
Variation margin | 20,880 | |||
Due from Adviser | 25,344 | |||
Prepaid expenses | 31,047 | |||
Unrealized appreciation on forward foreign currency contracts | 612,012 | |||
|
| |||
Total assets | 10,303,644 | |||
|
| |||
LIABILITIES | ||||
Payables for: | ||||
Administration and accounting fees | 24,315 | |||
Transfer agent fees | 12,728 | |||
Custodian fees | 2,576 | |||
Unrealized depreciation on forward foreign currency contracts | 565,696 | |||
Other accrued expenses and liabilities | 36,085 | |||
|
| |||
Total liabilities | 641,400 | |||
|
| |||
Net Assets | $ | 9,662,244 | ||
|
| |||
NET ASSETS CONSIST OF | ||||
Capital stock, $0.001 Par value | $ | 1,013 | ||
Paid-in capital | 9,530,285 | |||
Accumulated net investment loss | (57,031 | ) | ||
Accumulated net realized gain from futures transactions, foreign currency transactions and forward foreign currency contracts | 121,929 | |||
Net unrealized appreciation on investments, futures transactions, foreign currency translations and forward foreign currency contracts | 66,048 | |||
|
| |||
Net assets | $ | 9,662,244 | ||
|
| |||
INSTITUTIONAL SHARES | ||||
Net assets | $ | 9,662,244 | ||
|
| |||
Shares outstanding ($0.001 par value, 100,000,000 shares authorized) | 1,013,405 | |||
|
| |||
Net asset value, offering and redemption price per share | $ | 9.53 | ||
|
|
The accompanying notes are an integral part of consolidated financial statements.
10
CAMPBELL CORE TREND FUND
CONSOLIDATED STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED
FEBRUARY 29, 2016
(UNAUDITED)
INVESTMENT INCOME | ||||
Interest | $ | 3,559 | ||
|
| |||
Total investment income | 3,559 | |||
|
| |||
EXPENSES | ||||
Advisory fees (Note 2) | 50,895 | |||
Administration and accounting fees (Note 2) | 66,784 | |||
Audit and tax service fees | 19,451 | |||
Transfer agent fees (Note 2) | 14,403 | |||
Custodian fees (Note 2) | 7,764 | |||
Directors’ and officers’ fees | 6,977 | |||
Legal fees | 4,239 | |||
Registration and filing fees | 3,478 | |||
Printing and shareholder reporting fees | 2,802 | |||
Other expenses | 9,719 | |||
|
| |||
Total expenses before waivers and reimbursements | 186,512 | |||
Less: waivers and reimbursements (Note 2) | (125,922 | ) | ||
|
| |||
Net expenses after waivers and reimbursements | 60,590 | |||
|
| |||
Net investment loss | (57,031 | ) | ||
|
| |||
NET REALIZED AND UNREALIZED GAIN/(LOSS) FROM INVESTMENTS | ||||
Net realized gain/(loss) from: | ||||
Futures transactions | 104,488 | |||
Foreign currency transactions | 2,845 | |||
Forward foreign currency contracts | (1,655 | ) | ||
|
| |||
Net realized gain from investments | 105,678 | |||
|
| |||
Net change in unrealized appreciation/(depreciation) on: | ||||
Investments | (744 | ) | ||
Futures transactions | (143,950 | ) | ||
Foreign currency translations | (4,491 | ) | ||
Forward foreign currency contracts | 48,270 | |||
|
| |||
Net change in unrealized appreciation/(depreciation) on investments | (100,915 | ) | ||
|
| |||
Net realized and unrealized gain on investments | 4,763 | |||
|
| |||
NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | (52,268 | ) | |
|
|
The accompanying notes are an integral part of consolidated financial statements.
11
CAMPBELL CORE TREND FUND
CONSOLIDATED STATEMENTOF CHANGESIN NET ASSETS
FOR THE | ||||||||||
SIX MONTHS ENDED | FOR THE | |||||||||
FEBRUARY 29, 2016 | PERIOD ENDED | |||||||||
(UNAUDITED) | AUGUST 31, 2015(1) | |||||||||
INCREASE/(DECREASE) IN NET ASSETS FROM | ||||||||||
OPERATIONS: | ||||||||||
Net investment loss | $ | (57,031 | ) | $ | (84,553 | ) | ||||
Net realized gain/(loss) from futures transactions, foreign currency transactions and forward foreign currency contracts | 105,678 | (367,898 | ) | |||||||
Net change in unrealized appreciation/(depreciation) on investments, futures transactions, foreign currency translations and forward foreign currency contracts | (100,915 | ) | 166,963 | |||||||
|
|
|
| |||||||
Net decrease in net assets resulting from operations | (52,268 | ) | (285,488 | ) | ||||||
|
|
|
| |||||||
DIVIDENDSAND DISTRIBUTIONSTO SHAREHOLDERS FROM: | ||||||||||
Net realized gains | (128,960 | ) | — | |||||||
|
|
|
| |||||||
Net decrease in net assets from dividends and distributions to shareholders | (128,960 | ) | — | |||||||
|
|
|
| |||||||
CAPITAL SHARE TRANSACTIONS: | ||||||||||
Institutional Shares | ||||||||||
Proceeds from shares sold | — | 10,000,000 | ||||||||
Proceeds from reinvestment of distributions | 128,960 | — | ||||||||
|
|
|
| |||||||
Total Institutional Shares | 128,960 | 10,000,000 | ||||||||
|
|
|
| |||||||
Net increase in net assets from capital share transactions | 128,960 | 10,000,000 | ||||||||
|
|
|
| |||||||
Total increase/(decrease) in net assets | (52,268 | ) | 9,714,512 | |||||||
|
|
|
| |||||||
NET ASSETS: | ||||||||||
Beginning of period | 9,714,512 | — | ||||||||
|
|
|
| |||||||
End of period | $ | 9,662,244 | $ | 9,714,512 | ||||||
|
|
|
| |||||||
Accumulated net investment loss, end of period | $ | (57,031 | ) | $ | — | |||||
|
|
|
| |||||||
SHARE TRANSACTIONS: | ||||||||||
Institutional Shares | ||||||||||
Shares sold | — | 1,000,000 | ||||||||
Shares reinvested | 13,405 | — | ||||||||
|
|
|
| |||||||
Total Institutional Shares | 13,405 | 1,000,000 | ||||||||
|
|
|
| |||||||
Net increase in shares | 13,405 | 1,000,000 | ||||||||
|
|
|
|
(1) | The Fund commenced investment operations on December 31, 2014. |
The accompanying notes are an integral part of consolidated financial statements.
12
CAMPBELL CORE TREND FUND
CONSOLIDATED FINANCIAL HIGHLIGHTS
Contained below is per share operating performance data for shares outstanding, total investment return, ratios to average net assets and other supplemental data for the periods. This information has been derived from information provided in the consolidated financial statements.
INSTITUTIONAL SHARES | ||||||||||
FOR THE | FOR THE | |||||||||
SIX MONTHS ENDED | PERIOD | |||||||||
FEBRUARY 29, 2016 | ENDED | |||||||||
(UNAUDITED) | AUGUST 31, 2015(1) | |||||||||
PER SHARE OPERATING PERFORMANCE | ||||||||||
Net asset value, beginning of period | $ | 9.71 | $ | 10.00 | ||||||
|
|
|
| |||||||
Net investment loss(2) | (0.06 | ) | (0.08 | ) | ||||||
Net realized and unrealized loss from investments | 0.01 | (0.21 | ) | |||||||
|
|
|
| |||||||
Net decrease in net assets resulting from operations | (0.05 | ) | (0.29 | ) | ||||||
|
|
|
| |||||||
Dividends and distributions to shareholders from: | ||||||||||
Net realized gains | (0.13 | ) | — | |||||||
|
|
|
| |||||||
Total dividends and distributions to shareholders | (0.13 | ) | — | |||||||
|
|
|
| |||||||
Net asset value, end of period | $ | 9.53 | $ | 9.71 | ||||||
|
|
|
| |||||||
Total investment return(3) | (0.54 | )% | (2.90 | )% | ||||||
|
|
|
| |||||||
RATIOS/SUPPLEMENTAL DATA | ||||||||||
Net assets, end of period (000’s omitted) | $ | 9,662 | $ | 9,715 | ||||||
Ratio of expenses to average net assets | 1.25 | %(5) | 1.26 | %(4)(5) | ||||||
Ratio of expenses to average net assets | 3.85 | %(5) | 4.39 | %(5) | ||||||
Ratio of net investment loss to average net assets | (1.18 | )%(5) | (1.25 | )%(5) | ||||||
Portfolio turnover rate | 0.00 | %(6) | 0.00 | %(6) |
(1) | The Fund commenced investment operations on December 31, 2014. |
(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 each period reported and includes reinvestments of dividends and distributions, if any. Periods less than one year are not annualized. |
(4) | Expense ratio includes interest expense. Excluding such interest expense, the ratio of expenses to average net assets would be 1.25% for the period ended August 31, 2015. |
(5) | Annualized. |
(6) | Not annualized. |
The accompanying notes are an integral part of the consolidated financial statements.
13
CAMPBELL CORE TREND FUND
NOTESTO CONSOLIDATED FINANCIAL STATEMENTS
FEBRUARY 29, 2016
(UNAUDITED)
1. ORGANIZATIONAND 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 twenty-three active investment portfolios, including the Campbell Core Trend Fund (the “Fund”), which commenced investment operations on December 31, 2014. The Fund offers Institutional Class shares.
RBB has authorized capital of one hundred billion shares of common stock of which 83.023 billion shares are currently classified into one hundred and fifty-seven classes of common stock. Each class represents an interest in an active or inactive RBB investment portfolio.
The Fund is an investment company and follows accounting and reporting guidance in the Financial Accounting Standards Codification Topic 946.
CONSOLIDATIONOF SUBSIDIARY — The Fund pursues its investment objective by allocating (i) up to 25% of its assets in its wholly-owned subsidiary, Campbell Core Offshore Limited (the “Subsidiary”), that employs the Adviser’s Campbell Core Trend Program and (ii) the remainder of its assets directly in a portfolio of investment grade securities (including government securities) for cash management purposes. Securities rated in the four highest categories by the ratings agencies are considered investment grade. 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 economic interest (greater than 50%). All inter-company accounts and transactions have been eliminated. As of February 29, 2016, the net assets of the Subsidiary were $1,295,040, which represented 13.4% 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. Fixed income securities having a remaining maturity of greater than 60 days 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. Fixed income securities having a remaining maturity of 60 days or less are valued at amortized cost, provided such amount approximates fair value. 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 in accordance with procedures adopted by the Company’s Board of Directors. Relying on prices supplied by pricing services or dealers or using fair valuation may result in values that are higher or lower than the values used by other investment companies and investors to price the same investments.
FAIR VALUE MEASUREMENTS — The inputs and valuation techniques used to measure fair value of the Fund’s investments are summarized into three levels as described in the hierarchy below:
• Level 1 – quoted prices in active markets for identical securities;
• Level 2 – other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.); and
• Level 3 – significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments).
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
14
CAMPBELL CORE TREND FUND
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
FEBRUARY 29, 2016
(UNAUDITED) (CONTINUED)
The following is a summary of the inputs used, as of February 29, 2016, in valuing the Fund’s investments carried at fair value:
LEVEL 2 | LEVEL 3 | |||||||||||||||
TOTAL FAIR | LEVEL 1 | SIGNIFICANT | SIGNIFICANT | |||||||||||||
VALUE AT | QUOTED | OBSERVABLE | UNOBSERVABLE | |||||||||||||
FEBRUARY 29, 2016 | PRICE | INPUTS | INPUTS | |||||||||||||
| ||||||||||||||||
Short-Term Investments | $ | 6,594,703 | $ | — | $ | 6,594,703 | $ | — | ||||||||
Commodity Contracts | ||||||||||||||||
Futures | 148,887 | 148,887 | — | — | ||||||||||||
Equity Contracts | ||||||||||||||||
Futures | 14,091 | 14,091 | — | — | ||||||||||||
Interest Rate Contracts | ||||||||||||||||
Futures | 37,575 | 37,575 | — | — | ||||||||||||
Foreign Exchange Contracts | ||||||||||||||||
Forward Foreign Currency Contracts | 612,012 | — | 612,012 | — | ||||||||||||
|
|
|
|
|
|
|
|
| ||||||||
Total Assets | $ | 7,407,268 | $ | 200,553 | $ | 7,206,715 | $ | — | ||||||||
|
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|
|
| ||||||||
LEVEL 2 | LEVEL 3 | |||||||||||||||
TOTAL FAIR | LEVEL 1 | SIGNIFICANT | SIGNIFICANT | |||||||||||||
VALUE AT | QUOTED | OBSERVABLE | UNOBSERVABLE | |||||||||||||
FEBRUARY 29, 2016 | PRICE | INPUTS | INPUTS | |||||||||||||
| ||||||||||||||||
Commodity Contracts | ||||||||||||||||
Futures | $ | (165,759 | ) | $ | (165,759 | ) | $ | — | $ | — | ||||||
Equity Contracts | ||||||||||||||||
Futures | (7,552 | ) | (7,552 | ) | — | — | ||||||||||
Interest Rate Contracts | ||||||||||||||||
Futures | (6,362 | ) | (6,362 | ) | — | — | ||||||||||
Foreign Exchange Contracts | ||||||||||||||||
Forward Foreign Currency Contracts | (565,696 | ) | — | (565,696 | ) | — | ||||||||||
|
|
|
|
|
|
|
|
| ||||||||
Total Liabilities | $ | (745,369 | ) | $ | (179,673 | ) | $ | (565,696 | ) | $ | — | |||||
|
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|
|
|
|
|
|
|
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 and Level 2 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”) require 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. U.S. GAAP also requires the Fund to disclose amounts and reasons for all transfers in and out of Level 1 and Level 2 fair value measurements. A reconciliation of Level 3 investments is presented only when the Fund had an amount of
15
CAMPBELL CORE TREND FUND
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
FEBRUARY 29, 2016
(UNAUDITED) (CONTINUED)
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 transfers in and out of each level within the three-tier hierarchy are disclosed when the Fund had an amount of total transfers during the reporting period that was meaningful in relation to its net assets as of the end of the reporting period.
For the six months ended February 29, 2016, the Fund had no transfers between Levels 1, 2 and 3.
DISCLOSURESABOUT DERIVATIVE INSTRUMENTSAND 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 six months ended February 29, 2016, the Fund used long and short contracts on foreign currencies and U.S. and foreign equity market indices, U.S. and foreign government bonds, 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 six months ended February 29, 2016.
The following table lists the fair values of the Fund’s derivative holdings as of February 29, 2016 grouped by contract type and risk exposure category.
CONSOLIDATED | ||||||||||||||||||||||
STATEMENT | ||||||||||||||||||||||
OF ASSETS AND | INTEREST | FOREIGN | ||||||||||||||||||||
LIABILITIES | EQUITY | RATE | CURRENCY | COMMODITY | ||||||||||||||||||
DERIVATIVE TYPE | LOCATION | CONTRACTS | CONTRACTS | CONTRACTS | CONTRACTS | TOTAL | ||||||||||||||||
| ||||||||||||||||||||||
Asset Derivatives | ||||||||||||||||||||||
| ||||||||||||||||||||||
Unrealized | ||||||||||||||||||||||
Forward Contracts | currency contracts | $ | — | $ | — | $ | 612,012 | $ | — | $ | 612,012 | |||||||||||
| ||||||||||||||||||||||
Futures | Receivable: | |||||||||||||||||||||
Contracts(a) | Variation Margin | 14,091 | 37,575 | — | 148,887 | 200,553 | ||||||||||||||||
| ||||||||||||||||||||||
Total Value - Assets | $ | 14,091 | $ | 37,575 | $ | 612,012 | $ | 148,887 | $ | 812,565 | ||||||||||||
| ||||||||||||||||||||||
Liability Derivatives | ||||||||||||||||||||||
| ||||||||||||||||||||||
Unrealized depreciation on forward foreign | ||||||||||||||||||||||
Forward Contracts | currency contracts | $ | — | $ | — | $ | (565,696 | ) | $ | — | $ | (565,696 | ) | |||||||||
| ||||||||||||||||||||||
Futures | Receivable: | |||||||||||||||||||||
Contracts(a) | Variation Margin | (7,552 | ) | (6,362 | ) | — | (165,759 | ) | (179,673 | ) | ||||||||||||
| ||||||||||||||||||||||
Total Value - Liabilities | $ | (7,552 | ) | $ | (6,362 | ) | $ | (565,696 | ) | $ | (165,759 | ) | $ | (745,369 | ) | |||||||
|
(a) | This amount represents the cumulative appreciation/depreciation of futures contracts as reported in the Consolidated Portfolio of Investments. |
16
CAMPBELL CORE TREND FUND
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
FEBRUARY 29, 2016
(UNAUDITED) (CONTINUED)
The following table lists the amounts of realized gains or (losses) included in net decrease in net assets resulting from operations for the six months ended February 29, 2016, grouped by contract type and risk exposure.
CONSOLIDATED | ||||||||||||||||||||||
STATEMENT OF | INTEREST | FOREIGN | ||||||||||||||||||||
OPERATIONS | EQUITY | RATE | CURRENCY | COMMODITY | ||||||||||||||||||
DERIVATIVE TYPE
| LOCATION
| CONTRACTS
| CONTRACTS
| CONTRACTS
| CONTRACTS
| TOTAL
| ||||||||||||||||
| ||||||||||||||||||||||
Realized Gain (Loss) | ||||||||||||||||||||||
| ||||||||||||||||||||||
Net realized gain | ||||||||||||||||||||||
Futures Contracts | (loss) from Futures | $ | (252,612 | ) | $ | (192,161 | ) | $ | — | $ | 549,261 | $ | 104,488 | |||||||||
| ||||||||||||||||||||||
Net realized gain | ||||||||||||||||||||||
(loss) from | ||||||||||||||||||||||
Forward Foreign | ||||||||||||||||||||||
Forward Contracts | Currency Contracts | — | — | (1,655 | ) | — | (1,655 | ) | ||||||||||||||
| ||||||||||||||||||||||
Total Realized Gain (Loss) | $ | (252,612) | $ | (192,161) | $ | (1,655) | $ | 549,261 | $ | 102,833 | ||||||||||||
| ||||||||||||||||||||||
The following table lists the amounts of change in unrealized appreciation (depreciation) included in net decrease in net assets resulting from operations for the six months ended February 29, 2016, grouped by contract type and risk exposure. | ||||||||||||||||||||||
CONSOLIDATED | ||||||||||||||||||||||
STATEMENT OF | INTEREST | FOREIGN | ||||||||||||||||||||
OPERATIONS | EQUITY | RATE | CURRENCY | COMMODITY | ||||||||||||||||||
DERIVATIVE TYPE
| LOCATION
| CONTRACTS
| CONTRACTS
| CONTRACTS
| CONTRACTS
| TOTAL
| ||||||||||||||||
| ||||||||||||||||||||||
Change in unrealized appreciation (depreciation) | ||||||||||||||||||||||
| ||||||||||||||||||||||
Net change in unrealized appreciation | ||||||||||||||||||||||
(depreciation) from | ||||||||||||||||||||||
Futures Contracts | Futures | $ | 15,158 | $ | 35,828 | $ | — | $ | (194,936 | ) | $ | (143,950 | ) | |||||||||
| ||||||||||||||||||||||
Net change in unrealized appreciation | ||||||||||||||||||||||
(depreciation) from | ||||||||||||||||||||||
Forward Foreign | ||||||||||||||||||||||
Forward Contracts | Currency Contracts | — | — | 48,270 | — | 48,270 | ||||||||||||||||
| ||||||||||||||||||||||
Total change in unrealized appreciation (depreciation) | $ | 15,158 | $ | 35,828 | $ | 48,270 | $ | (194,936 | ) | $ | (95,680 | ) | ||||||||||
|
17
CAMPBELL CORE TREND FUND
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
FEBRUARY 29, 2016
(UNAUDITED) (CONTINUED)
For the six months ended February 29, 2016, the Fund’s average volume of derivatives is as follows:
FORWARD FOREIGN | FORWARD FOREIGN | |||||
LONG FUTURES | SHORT FUTURES | CURRENCY | CURRENCY | |||
NOTIONAL | NOTIONAL | CONTRACTS — PAYABLE | CONTRACTS — RECEIVABLE | |||
COST | COST | (VALUE AT TRADE DATE) | (VALUE AT TRADE DATE) | |||
$24,154,650 | $(8,453,627) | $(45,726,317) | $45,726,317 |
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.
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 | |||||||||||||||||||||||||||||||
Gross Amount | Offset | Gross Amount | Offset | |||||||||||||||||||||||||||||
Presented in the | in Consolidated | Presented in the | in Consolidated | |||||||||||||||||||||||||||||
Consolidated | Statement of | Consolidated | Statement of | |||||||||||||||||||||||||||||
Statement of | Assets and Liabilities | Statement of | Assets and Liabilities | |||||||||||||||||||||||||||||
Assets and | Financial | Collateral | Net | Assets and | Financial | Collateral | Net | |||||||||||||||||||||||||
Description | Liabilities | Instruments | Received | Amount(1) | Liabilities | Instruments | Pledged(2) | Amount(3) | ||||||||||||||||||||||||
|
|
| ||||||||||||||||||||||||||||||
Assets | Liabilities | |||||||||||||||||||||||||||||||
Forward Foreign Currency Contracts | $612,012 | ($565,696) | $— | $46,316 | $565,696 | ($565,696) | $— | $— |
(1) | Net amount represents the net amount receivable from the counterparty in the event of default. |
(2) | Actual collateral received may be more than the amount shown. |
(3) | Net amount represents the net amount payable from the counterparty in the event of default. |
USEOF 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 period. Actual results could differ from those estimates and those differences could be significant.
INVESTMENT TRANSACTIONS,INVESTMENT INCOMEAND 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 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. Expenses incurred on behalf of a specific class, fund or fund family are charged directly to the class, fund or fund family to each class of shares based upon the relative proportion of net assets of each class at the beginning of the day. Expenses incurred for all the RBB funds (such as director or professional fees) are charged to all funds in proportion to their average net assets of RBB, or in such other manner as the Company’s Board of
18
CAMPBELL CORE TREND FUND
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
FEBRUARY 29, 2016
(UNAUDITED) (CONTINUED)
Directors 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.
DIVIDENDSAND DISTRIBUTIONSTO 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 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 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.
For tax purposes, the Subsidiary is an exempted Cayman 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.
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 investment securities 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.
19
CAMPBELL CORE TREND FUND
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
FEBRUARY 29, 2016
(UNAUDITED) (CONTINUED)
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 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.
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 unlimited risk of loss.
FORWARD FOREIGN CURRENCY CONTRACTS — The Fund uses forward foreign currency 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 offsetting contract. Risks may arise upon entering these contracts from the potential inability of a counterparty to meet the terms of their contracts and from unanticipated movements in the value of a foreign currency relative to the U.S. dollar or other currencies. A Fund’s maximum risk of loss from counterparty credit risk related to forward foreign currency contracts is the fair value of the contract. The risk may be mitigated to some extent if a master netting arrangement between a Fund and the counterparty is in place and to the extent a Fund obtains collateral to cover the Fund’s exposure to the counterparty.
20
CAMPBELL CORE TREND FUND
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
FEBRUARY 29, 2016
(UNAUDITED) (CONTINUED)
CASHAND CASH EQUIVALENTS — The Fund considers liquid assets deposited into bank demand deposit accounts to be cash equivalents. These investments represent amounts held with financial institutions that are readily accessible to pay Fund expenses or purchase investments. 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, based on experience, the risk of material loss from such claims is considered remote.
2. INVESTMENT ADVISERAND OTHER SERVICES
Campbell & Company Investment Adviser LLC (“Campbell” or the “Adviser”) serves as the Fund’s investment adviser. The Adviser is a wholly-owned subsidiary of Campbell & Company, LP. For its advisory services, the Adviser is entitled to receive a monthly fee from the Fund calculated at an annual rate of 1.05% of the Fund’s average daily net assets.
Campbell 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 1.25% 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 1.25%: acquired fund fees and expenses, brokerage commissions, extraordinary items, interest or taxes. This contractual limitation is in effect until December 31, 2016 and may not be terminated without the approval of the Board of Directors of the Company. If at any time the Fund’s total annual Fund operating expenses for a year are less than 1.25%, the Adviser may recoup from the Fund any waived amount or other payments remitted by the Adviser within three years from the date on which such waiver or reimbursement was made if such reimbursement does not cause the Fund to exceed expense limitations that were in effect at the time of the waiver or reimbursement.
For the six months ended February 29, 2016, investment advisory fees accrued and waived were $50,895 and fees reimbursed by the Adviser were $73,326. At February 29, 2016, the amount of potential recovery by the Adviser was as follows:
EXPIRATION | ||||||
AUGUST 31, 2018 | AUGUST 31, 2019 | |||||
$159,376 | $124,221 |
BNY Mellon Investment Servicing (US) Inc. (“BNY Mellon”) serves as administrator for the Fund. For providing administrative and accounting services, BNY Mellon is entitled to receive a monthly fee equal to an annual percentage rate of the Fund’s average daily net assets, subject to certain minimum monthly fees. For the six months ended February 29, 2016, BNY Mellon accrued administration and accounting fees totaling $66,784 and waived fees totaling $1,247.
Included in the administration and accounting service fees, shown on the Consolidated Statement of Operations, are fees for providing regulatory administration services to RBB. For providing these services, BNY Mellon is entitled to receive compensation as agreed to by the Company and BNY Mellon. This fee is allocated to each portfolio in proportion to its net assets of the Company.
21
CAMPBELL CORE TREND FUND
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
FEBRUARY 29, 2016
(UNAUDITED) (CONTINUED)
In addition, BNY Mellon serves as the Fund’s transfer and dividend disbursing agent. For providing transfer agent services, BNY Mellon is entitled to receive a monthly fee, subject to certain minimum, and out of pocket expenses. For the six months ended February 29, 2016, BNY Mellon accrued transfer agent fees totaling $14,403 and waived fees totaling $303.
The Bank of New York Mellon (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. For the six months ended February 29, 2016, the Custodian accrued custodian fees totaling $7,764 and waived fees totaling $151.
BNY Mellon and the Custodian have the ability to recover such amounts previously waived, if the Fund terminates its agreements with BNY Mellon or the Custodian within three years of signing the agreements.
Foreside Funds Distributors LLC serves as the principal underwriter and distributor of the Fund’s shares pursuant to a Distribution Agreement with RBB.
3. DIRECTOR’SAND OFFICER’S COMPENSATION
The Directors of the Company receive an annual retainer and meeting fees for meetings attended. The remuneration paid to the Directors by the Fund during the six months ended February 29, 2016 was $3,548. Certain employees of BNY Mellon serve as an Officer of the Company. They are not compensated by the Fund or the Company. Employees of Vigilant Compliance, LLC serve as President, Chief Compliance Officer and, effective January 1, 2016, Treasurer of the Company. Vigilant Compliance, LLC is compensated for the services provided to the Company. For the six months ended February 29, 2016, the Fund paid $3,033 in officer fees.
4. INVESTMENT IN SECURITIES
For the six months ended February 29, 2016, there were no purchases and sales of investment securities for the Fund, excluding short term investments for cash management purposes.
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 February 29, 2016, federal tax cost, aggregate gross unrealized appreciation and depreciation of securities held by the Fund were as follows:
NET | ||||||
FEDERAL TAX | UNREALIZED | UNREALIZED | UNREALIZED | |||
COST | APPRECIATION | DEPRECIATION | DEPRECIATION | |||
$6,595,447 | $— | $(744) | $(744) |
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.
22
CAMPBELL CORE TREND FUND
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
FEBRUARY 29, 2016
(UNAUDITED) (CONCLUDED)
As of August 31, 2015, the components of distributable earnings on a tax basis were as follows:
QUALIFIED | ||||||||
UNDISTRIBUTED | UNDISTRIBUTED | UNREALIZED | LATE-YEAR | OTHER TEMPORARY | ||||
ORDINARY INCOME | LONG-TERM GAINS | APPRECIATION | LOSSES | DIFFERENCES | ||||
$22,182 | $106,779 | $183,213 | $— | $— |
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.
There were no dividends and distributions paid during the period ended August 31, 2015.
Under the Regulated Investment Company Modernization Act of 2010, the Fund is 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 rather than being considered all short-term as under the previous law. As of August 31, 2015, the Fund had no capital loss carryforwards.
6. 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 subsequent events requiring recognition or disclosure in the consolidated financial statements.
23
CAMPBELL CORE TREND 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 12-month period ended June 30 are available without charge, upon request, by calling (844) 261-6488 and on the Securities and Exchange Commission’s (“SEC”) website at http://www.sec.gov.
QUARTERLY PORTFOLIO SCHEDULES
The Company files a complete schedule of portfolio holdings with the SEC for the first and third fiscal quarters of each fiscal year (quarters ended November 30 and May 31) on Form N-Q. The Company’s Form N-Q is available on the SEC website at http://www.sec.gov and may be reviewed and copied at the SEC Public Reference Room in Washington, D.C. Information on the operation of the SEC Public Reference Room may be obtained by calling (800) SEC-0330.
24
Investment Adviser
Campbell & Company Investment Adviser LLC
2850 Quarry Lake Drive
Baltimore, Maryland 21209
Administrator
BNY Mellon Investment Servicing (US) Inc.
301 Bellevue Parkway
Wilmington, DE 19809
Transfer Agent
BNY Mellon Investment Servicing (US) Inc.
4400 Computer Drive
Westborough, MA 01581
Principal Underwriter
Foreside Funds Distributors LLC
400 Berwyn Park
899 Cassatt Road
Berwyn, PA 19312
Custodian
The Bank of New York Mellon
225 Liberty Street
New York, NY 10286
Independent Registered Public Accounting Firm
Ernst & Young LLP
One Commerce Square
2005 Market Street, Suite 700
Philadelphia, PA 19103
Legal Counsel
Drinker Biddle & Reath LLP
One Logan Square, Ste. 2000
Philadelphia, PA 19103-6996
CAMT-SAR16
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, 2016
(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
Annual Investment Adviser’s Report
February 29, 2016
(Unaudited)
Dear Shareholder,
The Free Market Funds (the “Funds”) have continued to gain assets and have well surpassed the $5 billion mark. We would like to extend a warm and grateful thank you to all investors who have embraced our Free Market Portfolio Strategies.
Over the six months ended February 29, 2016, investors experienced broad-based downward volatility in the equity markets. International equity markets over the past six months have seen a sharp decline, returning -5.31% as measured by the MSCI All Country World Index. U.S. stocks performed better than international stocks, but were still down slightly, returning -0.92% as represented by the S&P 500 Index, outpacing international markets over the past half year. In contrast to the broad equity markets, bond markets came in positive over the last six months, providing a return of 1.69% as measured by the Barclays Capital US Government/Credit Intermediate Bond Index
Matson Money, Inc. (“Matson Money”) strives to deliver the performance of capital markets and add value through Free Market investment strategies and Structured Market Portfolios. Grounded in the conviction that free markets work, Matson Money avoids the cost-generating activity of stock picking and market timing. Instead, we focus on the dimensions of capital markets that we believe reward investors as intelligently and effectively as possible. Our disciplined approach to life-long investing provides both the individual investor and the financial professional with the academic foundation upon which to help achieve investment goals.
Sound economic and financial research has documented that, over the long term, small cap stocks outperform large cap stocks, and value stocks outperform growth stocks. These returns seem to be compensation for risk. In fixed income, we believe risk is well-described by bond maturity and credit quality. Matson Money’s vehicles deliberately target specific risk and return trade offs. The Funds are diversified and designed to work together in your total investment plan.
We invite you to contact your financial professional or explore our website, www.MatsonMoney.com.to learn more about the concepts and strategies of Matson Money’s investing.
We appreciate your support and confidence in our firm’s investment philosophy, process and people.
Kenneth E. Gatliff
Portfolio Manager
Matson Money, Inc.
1
FREE MARKET FUNDS
Performance Data
(Unaudited)
Free Market U.S. Equity Fund
Total Returns for the Periods Ended February 29, 2016 | ||||||||||||||||||||
Average Annual | ||||||||||||||||||||
Six Months* | 1 Year | 3 Years | 5 Years | Since Inception** | ||||||||||||||||
Free Market U.S. Equity Fund | -5.93% | -11.34% | 7.43% | 7.45% | 6.88% | |||||||||||||||
Russell 2500® Index | -8.57% | -13.30% | 6.84% | 7.34% | 6.17% | |||||||||||||||
Composite Index*** | -5.29% | -11.07% | 7.21% | 7.50% | 4.98% |
* | Not annualized. |
** | Annualized — The Fund commenced operations on December 31, 2007. |
*** | The Composite Index is comprised of the S&P 500® Index, Russell 1000® Value Index, Russell 2000® Index and Russell 2000® Value Index, weighted 25%, 25%, 25% and 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, is 0.92% (included in the ratio is 0.32% attributable to acquired fund fees and expenses).
The Fund’s aggregate total return since inception is based on an increase in net asset value from $10.00 per share on December 31, 2007 (commencement of operations) to $13.95 per share on February 29, 2016.
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.
Free Market International Equity Fund
Total Returns for the Periods Ended February 29, 2016 | ||||||||||||||||||||
Average Annual | ||||||||||||||||||||
Six Months* | 1 Year | 3 Years | 5 Years | Since Inception** | ||||||||||||||||
Free Market International Equity Fund | -10.04% | -16.10% | -0.35% | -0.78% | 0.05% | |||||||||||||||
MSCI World (excluding U.S.) Index | -9.41% | -15.69% | -0.25% | -0.11% | -1.75% | |||||||||||||||
Composite Index*** | -8.76% | -15.05% | -0.70% | -0.13% | -1.26% |
* | Not annualized. |
** | Annualized — The Fund commenced operations on December 31, 2007. |
*** | 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, weighted 25%, 25%, 25% and 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, is 1.14% (included in the ratio is 0.50% 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 $8.06 per share on February 29, 2016.
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.
2
FREE MARKET FUNDS
Performance Data
(Unaudited)
Free Market Fixed Income Fund
Total Returns for the Periods Ended February 29, 2016 | ||||||||||||||||||||
Average Annual | ||||||||||||||||||||
Six Months* | 1 Year | 3 Years | 5 Years | Since Inception** | ||||||||||||||||
Free Market Fixed Income Fund | 0.98% | 0.78% | 0.34% | 1.17% | 1.74% | |||||||||||||||
Citigroup World Govt. Bond 1-5 Year Currency Hedged U.S. Dollar Index | 1.28% | 1.63% | 1.47% | 1.83% | 2.42% | |||||||||||||||
Composite Index*** | 1.30% | 1.34% | 1.24% | 1.91% | 2.62% |
* | Not annualized. |
** | Annualized — The Fund commenced operations on December 31, 2007. |
*** | The Composite Index is comprised of the Three-Month Treasury Bill Index, Barclays Capital Intermediate Government Bond Index, BofA Merrill Lynch 1-3 Year US Government/Corporate Index and Barclays Capital Aggregate Bond Index, weighted 25%, 25%, 25% and 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, is 0.79% (included in the ratio is 0.19% 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 $10.31 per share on February 29, 2016.
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.
3
FREE MARKET FUNDS
Fund Expense Examples
(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, 2015 through February 29, 2016, and held for the entire period.
Actual Expenses
The first line of the accompanying tables 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 tables 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 your 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 tables are meant to highlight your ongoing costs only and do not reflect any transactional costs. Therefore, the second line 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.
Free Market U.S. Equity Fund | ||||||||||||
Beginning Account Value September 1, 2015 | Ending Account Value February 29, 2016 | Expenses Paid During Period* | ||||||||||
Actual | $ | 1,000.00 | $ | 940.70 | $ | 2.90 | ||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,021.88 | 3.02 | |||||||||
Free Market International Equity Fund | ||||||||||||
Beginning Account Value September 1, 2015 | Ending Account Value February 29, 2016 | Expenses Paid During Period* | ||||||||||
Actual | $ | 1,000.00 | $ | 899.60 | $ | 3.02 | ||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,021.68 | 3.22 |
4
FREE MARKET FUNDS
Fund Expense Examples (Concluded)
(Unaudited)
Free Market Fixed Income Fund | ||||||||||||
Beginning Account Value September 1, 2015 | Ending Account Value February 29, 2016 | Expenses Paid During Period* | ||||||||||
Actual | $ | 1,000.00 | $ | 1,009.80 | $ | 3.00 | ||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,021.88 | 3.02 |
* | Expenses are equal to an annualized six-month expense ratio of 0.60% for the Free Market U.S. Equity Fund, 0.64% for the Free Market International Equity Fund and 0.60% for the Free Market Fixed Income Fund, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (182), 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. 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: |
Free Market U.S. | Free Market International Equity Fund | Free Market Fixed Income Fund | ||
0.01%-0.13% | 0.01%-0.27% | 0.01%-0.07% |
Each Fund’s ending account values on the first line in each table are based on the actual six-month total return for each Fund of -5.93% for the Free Market U.S. Equity Fund, -10.04% for the Free Market International Equity Fund and 0.98% for the Free Market Fixed Income Fund.
5
FREE MARKET FUNDS
FREE MARKET U.S. EQUITY FUND
Portfolio of Investments
February 29, 2016
(Unaudited)
Number of Shares | Value | |||||||
EQUITY FUNDS — 100.0% |
| |||||||
U.S. Large Cap Value | 28,744,115 | $ | 586,954,834 | |||||
U.S. Large Company Portfolio(a) | 19,172,420 | 290,845,608 | ||||||
U.S. Micro Cap Portfolio(b) | 18,025,812 | 297,425,904 | ||||||
U.S. Small Cap Portfolio(b) | 11,064,748 | 296,977,824 | ||||||
U.S. Small Cap Value Portfolio(b) | 17,345,137 | 496,591,277 | ||||||
|
| |||||||
TOTAL EQUITY FUNDS |
| 1,968,795,447 | ||||||
|
| |||||||
TOTAL INVESTMENTS — 100.0% |
| 1,968,795,447 | ||||||
|
| |||||||
LIABILITIES IN EXCESS OF OTHER ASSETS — 0.0% | (27,840 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 1,968,767,607 | ||||||
|
|
Portfolio Holdings Summary Table
% of Net Assets | Value | |||||||
Equity Funds | 100.0% | $ | 1,968,795,447 | |||||
Liabilities In Excess Of Other Assets | 0.0% | (27,840 | ) | |||||
|
|
|
| |||||
NET ASSETS | 100.0% | $ | 1,968,767,607 | |||||
|
|
|
|
(a) | A portfolio of Dimensional Investment Group, Inc. |
(b) | A portfolio of DFA Investment Dimensions Group, Inc. |
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 INTERNATIONAL EQUITY FUND
Portfolio of Investments
February 29, 2016
(Unaudited)
Number of Shares | Value | |||||||
INTERNATIONAL EQUITY FUNDS — 99.9% |
| |||||||
Asia Pacific Small Company Portfolio(a) | 1,040,943 | $ | 18,351,819 | |||||
Canadian Small Company Series(b) | 2,531,764 | 19,880,651 | ||||||
Continental Small Company Portfolio(a) | 1,454,972 | 28,299,201 | ||||||
Continental Small Company Series(b) | 276,434 | 17,231,888 | ||||||
DFA International Small Cap Value Portfolio(a) | 32,968,176 | 565,404,214 | ||||||
DFA International Value Portfolio III(c) | 34,440,819 | 417,422,732 | ||||||
Emerging Markets Portfolio(a) | 3,850,475 | 75,738,837 | ||||||
Emerging Markets Small Cap Portfolio(a) | 4,202,188 | 69,168,022 | ||||||
Emerging Markets Value Portfolio(a) | 3,655,021 | 70,797,751 | ||||||
Japanese Small Company Portfolio(a) | 1,684,094 | 31,694,644 | ||||||
Large Cap International Portfolio(a) | 3,900,990 | 70,139,801 | ||||||
United Kingdom Small Company Portfolio(a) | 186,330 | 5,533,989 | ||||||
United Kingdom Small Company Series(b) | 360,637 | 20,861,374 | ||||||
|
| |||||||
TOTAL INTERNATIONAL EQUITY FUNDS | 1,410,524,923 | |||||||
|
| |||||||
TOTAL INVESTMENTS — 99.9% |
| 1,410,524,923 | ||||||
|
| |||||||
OTHER ASSETS IN EXCESS OF LIABILITIES — 0.1% | 977,742 | |||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 1,411,502,665 | ||||||
|
|
Portfolio Holdings Summary Table
% of Net Assets | Value | |||||||
International Equity Funds | 99.9 | % | $ | 1,410,524,923 | ||||
Other Assets In Excess Of Liabilities | 0.1 | % | 977,742 | |||||
|
|
|
| |||||
NET ASSETS | 100.0 | % | $ | 1,411,502,665 | ||||
|
|
|
|
(a) | A portfolio of DFA Investment Dimensions Group Inc. |
(b) | A portfolio of DFA Investment Trust Company. |
(c) | A portfolio of Dimensional Investment Group Inc. |
Portfolio holdings are subject to change at any time.
The accompanying notes are an integral part of the financial statements.
7
FREE MARKET FUNDS
FREE MARKET FIXED INCOME FUND
Portfolio of Investments
February 29, 2016
(Unaudited)
Number of Shares | Value | |||||||
FIXED INCOME FUNDS — 97.0% |
| |||||||
DFA Five-Year Global Fixed Income Portfolio(a) | 46,546,093 | $ | 514,799,791 | |||||
DFA Inflation-Protected Securities Portfolio(a) | 8,935,171 | 104,898,910 | ||||||
DFA Intermediate Government Fixed Income Portfolio(a) | 11,918,266 | 153,507,270 | ||||||
DFA One-Year Fixed Income Portfolio(a) | 33,055,733 | 340,474,046 | ||||||
DFA Short-Term Government Portfolio(a) | 9,386,117 | 101,088,475 | ||||||
DFA Two-Year Global Fixed Income Portfolio(a) | 35,225,621 | 351,199,439 | ||||||
iShares 1-3 Year Credit Bond ETF | 2,914,739 | 305,726,974 | ||||||
iShares Intermediate Credit Bond ETF | 1,145,755 | 124,073,809 | ||||||
|
| |||||||
TOTAL FIXED INCOME FUNDS |
| |||||||
(Cost $1,996,029,364) | 1,995,768,714 | |||||||
|
| |||||||
TOTAL INVESTMENTS — 97.0% |
| |||||||
(Cost $1,996,029,364) | 1,995,768,714 | |||||||
|
| |||||||
OTHER ASSETS IN EXCESS OF | 61,328,256 | |||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 2,057,096,970 | ||||||
|
|
Portfolio Holdings Summary Table
% of Net Assets | Value | |||||||
Fixed Income Funds | 97.0 | % | $ | 1,995,768,714 | ||||
Other Assets In Excess Of Liabilities | 3.0 | % | 61,328,256 | |||||
|
|
|
| |||||
NET ASSETS | 100.0 | % | $ | 2,057,096,970 | ||||
|
|
|
|
(a) | A portfolio of DFA Investment Dimensions Group Inc. |
Portfolio holdings are subject to change at any time.
The accompanying notes are an integral part of the financial statements.
8
FREE MARKET FUNDS
Statements of Assets and Liabilities
February 29, 2016
(Unaudited)
Free Market U.S. Equity Fund | Free Market International Equity Fund | Free Market Fixed Income Fund | ||||||||||
ASSETS | ||||||||||||
Investments in non-affiliated funds, at value † | $ | 1,968,795,447 | $ | 1,410,524,923 | $ | 1,995,768,714 | ||||||
Cash and cash equivalents | 653,735 | 2,987,164 | 43,511,996 | |||||||||
Receivables | ||||||||||||
Receivable for investments sold | 800,000 | 60,000,000 | ||||||||||
Receivable for capital shares sold | 1,073,961 | 913,769 | 927,637 | |||||||||
Dividends and interest receivable | 38 | 19 | 80 | |||||||||
Prepaid expenses and other assets | 71,480 | 75,646 | 78,994 | |||||||||
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|
|
|
|
| |||||||
Total assets | 1,971,394,661 | 1,414,501,521 | 2,100,287,421 | |||||||||
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| |||||||
LIABILITIES | ||||||||||||
Payables | ||||||||||||
Investments purchased | — | 1,090,988 | 39,999,807 | |||||||||
Transfer agent fees | 230,306 | 155,865 | 225,720 | |||||||||
Administration and accounting fees | 355,381 | 330,477 | 364,372 | |||||||||
Capital shares redeemed | 1,238,417 | 829,474 | 1,745,509 | |||||||||
Investment adviser | 748,311 | 545,100 | 805,850 | |||||||||
Other accrued expenses and liabilities | 54,639 | 46,952 | 49,193 | |||||||||
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|
|
| |||||||
Total liabilities | 2,627,054 | 2,998,856 | 43,190,451 | |||||||||
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|
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| |||||||
Net Assets | $ | 1,968,767,607 | $ | 1,411,502,665 | $ | 2,057,096,970 | ||||||
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| |||||||
NET ASSETS CONSISTS OF | ||||||||||||
Par value | $ | 141,104 | $ | 175,063 | $ | 199,602 | ||||||
Paid-in capital | 1,688,290,132 | 1,570,204,089 | 2,056,811,865 | |||||||||
Accumulated net investment loss | (1,819,421 | ) | (1,263,793 | ) | (1,166,624 | ) | ||||||
Accumulated net realized gain from investments | 83,724,915 | 6,211,241 | 1,512,777 | |||||||||
Net unrealized appreciation/(depreciation) on investments | 198,430,877 | (163,823,935 | ) | (260,650 | ) | |||||||
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| |||||||
Net Assets | $ | 1,968,767,607 | $ | 1,411,502,665 | $ | 2,057,096,970 | ||||||
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| |||||||
Shares outstanding ($0.001 par value, 300,000,000 shares authorized) | 141,104,390 | 175,063,393 | 199,602,353 | |||||||||
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| |||||||
Net asset value, offering and redemption price per share | $ | 13.95 | $ | 8.06 | $ | 10.31 | ||||||
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| |||||||
† Investment in non-affiliated funds, at cost | $ | 1,770,364,570 | $ | 1,574,348,858 | $ | 1,996,029,364 | ||||||
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The accompanying notes are an integral part of the financial statements.
9
FREE MARKET FUNDS
Statements of Operations
For the Six Months Ended February 29, 2016
(Unaudited)
Free Market U.S. Equity Fund | Free Market International Equity Fund | Free Market Fixed Income Fund | ||||||||||
Investment Income | ||||||||||||
Dividends from non-affiliated funds | $ | 19,192,241 | $ | 22,099,965 | $ | 9,697,315 | ||||||
Interest from non-affiliated funds | 203 | 108 | 504 | |||||||||
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| |||||||
Total investment income | 19,192,444 | 22,100,073 | 9,697,819 | |||||||||
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| |||||||
Expenses | ||||||||||||
Advisory fees (Note 2) | 4,897,996 | 3,579,210 | 5,013,493 | |||||||||
Administration and accounting fees (Note 2) | 488,047 | 386,040 | 493,432 | |||||||||
Transfer agent fees (Note 2) | 253,710 | 187,290 | 259,386 | |||||||||
Professional fees | 104,244 | 78,217 | 101,052 | |||||||||
Custodian fees (Note 2) | 63,285 | 49,607 | 64,032 | |||||||||
Directors’ and officers’ fees | 47,518 | 36,649 | 45,998 | |||||||||
Printing and shareholder reporting fees | 40,487 | 36,246 | 39,507 | |||||||||
Other expenses | 80,451 | 220,746 | 77,749 | |||||||||
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| |||||||
Total expenses | 5,975,738 | 4,574,005 | 6,094,649 | |||||||||
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| |||||||
Net investment income | 13,216,706 | 17,526,068 | 3,603,170 | |||||||||
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| |||||||
Net realized and unrealized gain/(loss) from investments | ||||||||||||
Net realized gain/(loss) from: | ||||||||||||
Non-affiliated funds | 9,920,659 | 59,920 | (752,336 | ) | ||||||||
Capital gain distributions from non-affiliated fund investments | 88,062,926 | 19,531,385 | 3,839,696 | |||||||||
Net change in unrealized appreciation/(depreciation) on: | ||||||||||||
Non-affiliated funds | (230,540,064 | ) | (188,828,878 | ) | 11,497,025 | |||||||
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| |||||||
Net realized and unrealized loss on investments | (132,556,479 | ) | (169,237,573 | ) | 14,584,385 | |||||||
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| |||||||
Net decrease in net assets resulting from operations | $ | (119,339,773 | ) | $ | (151,711,505 | ) | $ | 18,187,555 | ||||
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The accompanying notes are an integral part of the financial statements.
10
FREE MARKET U.S. EQUITY FUND
Statements of Changes in Net Assets
For the Six Months Ended February 29, 2016 (Unaudited) | For the Year Ended August 31, 2015 | |||||||
Increase/(decrease) in net assets from operations: | ||||||||
Net investment income | $ | 13,216,706 | $ | 14,960,648 | ||||
Net realized gain from investments | 97,983,585 | 138,953,608 | ||||||
Net change in unrealized appreciation/(depreciation) from investments | (230,540,064 | ) | (224,846,063 | ) | ||||
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| |||||
Net decrease in net assets resulting from operations | (119,339,773 | ) | (70,931,807 | ) | ||||
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| |||||
Dividends and distributions to shareholders from: | ||||||||
Net investment income | (18,905,890 | ) | (12,868,563 | ) | ||||
Net realized capital gains | (141,345,143 | ) | (69,294,465 | ) | ||||
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| |||||
Net decrease in net assets from dividends and distributions to shareholders | (160,251,033 | ) | (82,163,028 | ) | ||||
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| |||||
Capital share transactions: | ||||||||
Proceeds from shares sold | 246,470,657 | 481,633,915 | ||||||
Reinvestment of distributions | 160,251,033 | 82,140,004 | ||||||
Shares redeemed | (129,793,583 | ) | (382,690,734 | ) | ||||
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| |||||
Net increase in net assets from capital shares | 276,928,107 | 181,083,185 | ||||||
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| |||||
Total decrease in net assets | (2,662,699 | ) | (27,988,350 | ) | ||||
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| |||||
Net assets: | ||||||||
Beginning of period | 1,971,430,306 | 1,943,441,956 | ||||||
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| |||||
End of period | $ | 1,968,767,607 | $ | 1,971,430,306 | ||||
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| |||||
Undistributed/accumulated net investment income/(loss), end of period | $ | (1,819,421 | ) | $ | 3,869,763 | |||
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| |||||
Capital share transactions: | ||||||||
Shares sold | 16,198,116 | 28,410,530 | ||||||
Dividends and distributions reinvested | 10,690,529 | 4,843,161 | ||||||
Shares redeemed | (8,375,308 | ) | (22,522,042 | ) | ||||
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| |||||
Net increase in shares outstanding | 18,513,337 | 10,731,649 | ||||||
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|
|
The accompanying notes are an integral part of the financial statements.
11
FREE MARKET INTERNATIONAL EQUITY FUND
Statements of Changes in Net Assets
For the Six Months Ended February 29, 2016 (Unaudited) | For the Year Ended August 31, 2015 | |||||||
Increase/(decrease) in net assets from operations: | ||||||||
Net investment income | $ | 17,526,068 | $ | 24,999,786 | ||||
Net realized gain from investments | 19,591,305 | 26,251,800 | ||||||
Net change in unrealized appreciation/(depreciation) from investments | (188,828,878 | ) | (217,542,374 | ) | ||||
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| |||||
Net decrease in net assets resulting from operations | (151,711,505 | ) | (166,290,788 | ) | ||||
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|
| |||||
Dividends and distributions to shareholders from: | ||||||||
Net investment income | (26,567,968 | ) | (30,251,548 | ) | ||||
Net realized capital gains | (25,538,161 | ) | (27,870,005 | ) | ||||
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| |||||
Net decrease in net assets from dividends and distributions to shareholders | (52,106,129 | ) | (58,121,553 | ) | ||||
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| |||||
Capital share transactions: | ||||||||
Proceeds from shares sold | 198,486,062 | 415,117,229 | ||||||
Reinvestment of distributions | 52,101,372 | 58,105,492 | ||||||
Shares redeemed | (78,361,201 | ) | (220,334,516 | ) | ||||
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| |||||
Net increase in net assets from capital shares | 172,226,233 | 252,888,205 | ||||||
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| |||||
Total increase/(decrease) in net assets | (31,591,401 | ) | 28,475,864 | |||||
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| |||||
Net assets: | ||||||||
Beginning of period | 1,443,094,066 | 1,414,618,202 | ||||||
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| |||||
End of period | $ | 1,411,502,665 | $ | 1,443,094,066 | ||||
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| |||||
Undistributed/accumulated net investment income/(loss), end of period | $ | (1,263,793 | ) | $ | 7,778,107 | |||
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| |||||
Capital share transactions: | ||||||||
Shares sold | 22,580,491 | 41,730,653 | ||||||
Dividends and distributions reinvested | 5,880,516 | 6,168,311 | ||||||
Shares redeemed | (8,879,064 | ) | (21,995,248 | ) | ||||
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| |||||
Net increase in shares outstanding | 19,581,943 | 25,903,716 | ||||||
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|
The accompanying notes are an integral part of the financial statements.
12
FREE MARKET FIXED INCOME FUND
Statements of Changes in Net Assets
For the Six Months Ended February 29, 2016 (Unaudited) | For the Year Ended August 31, 2015 | |||||||
Increase/(decrease) in net assets from operations: | ||||||||
Net investment income | $ | 3,603,170 | $ | 10,561,566 | ||||
Net realized gain from investments | 3,087,360 | 4,119,798 | ||||||
Net change in unrealized appreciation/(depreciation) from investments | 11,497,025 | (7,341,731 | ) | |||||
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| |||||
Net increase in net assets resulting from operations | 18,187,555 | 7,339,633 | ||||||
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|
| |||||
Dividends and distributions to shareholders from: | ||||||||
Net investment income | (4,769,796 | ) | (12,641,658 | ) | ||||
Net realized capital gains | (3,174,041 | ) | (5,364,149 | ) | ||||
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| |||||
Net decrease in net assets from dividends and distributions to shareholders | (7,943,837 | ) | (18,005,807 | ) | ||||
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| |||||
Capital share transactions: | ||||||||
Proceeds from shares sold | 234,327,747 | 513,176,788 | ||||||
Reinvestment of distributions | 7,943,837 | 18,003,175 | ||||||
Shares redeemed | (199,922,185 | ) | (340,642,921 | ) | ||||
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| |||||
Net increase in net assets from capital shares | 42,349,399 | 190,537,042 | ||||||
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|
| |||||
Total increase in net assets | 52,593,117 | 179,870,868 | ||||||
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| |||||
Net assets: | ||||||||
Beginning of period | 2,004,503,853 | 1,824,632,985 | ||||||
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| |||||
End of period | $ | 2,057,096,970 | $ | 2,004,503,853 | ||||
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| |||||
Undistributed/accumulated net investment income/(loss), end of period | $ | (1,166,624 | ) | $ | 2 | |||
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| �� | ||||
Capital share transactions: | ||||||||
Shares sold | 22,820,261 | 49,931,448 | ||||||
Dividends and distributions reinvested | 778,962 | 1,762,515 | ||||||
Shares redeemed | (19,473,627 | ) | (33,153,150 | ) | ||||
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| |||||
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| |||||
Net increase in shares outstanding | 4,125,596 | 18,540,813 | ||||||
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|
The accompanying notes are an integral part of the financial statements.
13
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, ratios to average net assets and other supplemental data for the respective periods. This information has been derived from information provided in the financial statements.
For the Six Months Ended February 29, 2016 (Unaudited) | For the Year Ended August 31, 2015 | For the Year Ended August 31, 2014 | For the Year Ended August 31, 2013 | For the Year Ended August 31, 2012 | For the Year Ended August 31, 2011 | |||||||||||||||||||
Per Share Operating Performance | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 16.08 | $ | 17.37 | $ | 14.66 | $ | 11.70 | $ | 10.33 | $ | 8.65 | ||||||||||||
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Net investment income(1) | 0.10 | 0.13 | 0.09 | 0.12 | 0.08 | 0.06 | ||||||||||||||||||
Net realized and unrealized gain/(loss) on investments | (0.97 | ) | (0.71 | ) | 3.18 | 3.07 | 1.43 | 1.68 | ||||||||||||||||
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| |||||||||||||
Net increase/(decrease) in net assets resulting from operations | (0.87 | ) | (0.58 | ) |
| 3.27 |
|
| 3.19 |
| 1.51 | 1.74 | ||||||||||||
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Dividends and distributions to shareholders from: | ||||||||||||||||||||||||
Net investment income | (0.15 | ) | (0.11 | ) | (0.10 | ) | (0.15 | ) | (0.06 | ) | (0.06 | ) | ||||||||||||
Net realized capital gains | (1.11 | ) | (0.60 | ) | (0.46 | ) | (0.08 | ) | (0.08 | ) | — | (2) | ||||||||||||
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Total dividends and distributions to shareholders | (1.26 | ) | (0.71 | ) | (0.56 | ) | (0.23 | ) | (0.14 | ) | (0.06 | ) | ||||||||||||
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Net asset value, end of period | $ | 13.95 | $ | 16.08 | $ | 17.37 | $ | 14.66 | $ | 11.70 | $ | 10.33 | ||||||||||||
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Total investment return(3) | (5.93 | )%(4) | (3.55 | )% | 22.49 | % | 27.61 | % | 14.77 | % | 20.11 | % | ||||||||||||
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Ratio/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (000’s omitted) | $ | 1,968,768 | $ | 1,971,430 | $ | 1,943,442 | $ | 1,355,653 | $ | 933,514 | $ | 679,147 | ||||||||||||
Ratio of expenses to average net assets(5) | 0.60 | %(6) | 0.60 | % | 0.60 | % | 0.62 | % | 0.64 | % | 0.64 | % | ||||||||||||
Ratio of net investment income to average net assets(5) | 1.34 | %(6) | 0.74 | % | 0.54 | % | 0.91 | % | 0.73 | % | 0.55 | % | ||||||||||||
Portfolio turnover rate | 0.81 | %(4) | 6 | % | 3 | % | 6 | % | 4 | % | 9 | % |
(1) | The selected per share data was calculated using the average shares outstanding method for the period. |
(2) | Amount less than $(0.005) per share. |
(3) | Total investment return 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) | Not Annualized. |
(5) | 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. |
(6) | Annualized. |
The accompanying notes are an integral part of the financial statements.
14
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, ratios to average net assets and other supplemental data for the respective periods. This information has been derived from information provided in the financial statements.
For the Six Months Ended February 29, 2016 (Unaudited) | For the Year Ended August 31, 2015 | For the Year Ended August 31, 2014 | For the Year Ended August 31, 2013 | For the Year Ended August 31, 2012 | For the Year Ended August 31, 2011 | |||||||||||||||||||
Per Share Operating Performance | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 9.28 | $ | 10.92 | $ | 9.36 | $ | 8.04 | $ | 8.78 | $ | 7.97 | ||||||||||||
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Net investment income(1) | 0.11 | 0.17 | 0.19 | 0.18 | 0.18 | 0.16 | ||||||||||||||||||
Net realized and unrealized gain/(loss) on investments | (1.01 | ) | (1.39 | ) | 1.71 | 1.36 | (0.64 | ) | 0.78 | |||||||||||||||
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Net increase/(decrease) in net assets resulting from operations | (0.90 | ) | (1.22 | ) | 1.90 | 1.54 | (0.46 | ) | 0.94 | |||||||||||||||
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Dividends and distributions to shareholders from: | ||||||||||||||||||||||||
Net investment income | (0.16 | ) | (0.22 | ) | (0.19 | ) | (0.15 | ) | (0.17 | ) | (0.13 | ) | ||||||||||||
Net realized capital gains | (0.16 | ) | (0.20 | ) | (0.15 | ) | (0.07 | ) | (0.11 | ) | — | |||||||||||||
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Total dividends and distributions to shareholders | (0.32 | ) | (0.42 | ) | (0.34 | ) | (0.22 | ) | (0.28 | ) | (0.13 | ) | ||||||||||||
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Net asset value, end of period | $ | 8.06 | $ | 9.28 | $ | 10.92 | $ | 9.36 | $ | 8.04 | $ | 8.78 | ||||||||||||
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Total investment return(2) | (10.04 | )%(3) | (11.25 | )% | 20.49 | % | 19.44 | % | (4.98 | )% | 11.60 | % | ||||||||||||
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Ratio/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (000’s omitted) | $ | 1,411,503 | $ | 1,443,094 | $ | 1,414,618 | $ | 964,096 | $ | 648,710 | $ | 516,073 | ||||||||||||
Ratio of expenses to average net assets(4) | 0.64 | %(5) | 0.64 | % | 0.62 | % | 0.65 | % | 0.65 | % | 0.66 | % | ||||||||||||
Ratio of net investment income to average net assets(4) | 2.43 | %(5) | 1.72 | % | 1.84 | % | 1.96 | % | 2.21 | % | 1.66 | % | ||||||||||||
Portfolio turnover rate | 0.03 | %(3) | 3 | % | 2 | % | 3 | % | 3 | % | 4 | % |
(1) | The selected per share data was calculated using the average shares outstanding method for the period. |
(2) | Total investment return 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) | Not Annualized. |
(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) | Annualized. |
The accompanying notes are an integral part of the financial statements.
15
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, ratios to average net assets and other supplemental data for the respective periods. This information has been derived from information provided in the financial statements.
For the Six Months Ended February 29, 2016 (Unaudited) | For the Year Ended August 31, 2015 | For the Year Ended August 31, 2014 | For the Year Ended August 31, 2013 | For the Year Ended August 31, 2012 | For the Year Ended August 31, 2011 | |||||||||||||||||||
Per Share Operating Performance | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 10.25 | $ | 10.31 | $ | 10.24 | $ | 10.54 | $ | 10.48 | $ | 10.50 | ||||||||||||
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| |||||||||||||
Net investment income(1) | 0.02 | 0.06 | 0.04 | 0.05 | 0.11 | 0.12 | ||||||||||||||||||
Net realized and unrealized gain/(loss) on investments | 0.08 | (0.02 | ) | 0.09 | (0.21 | ) | 0.09 | 0.09 | ||||||||||||||||
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| |||||||||||||
Net increase/(decrease) in net assets resulting from operations | 0.10 | 0.04 | 0.13 | (0.16 | ) | 0.20 | 0.21 | |||||||||||||||||
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Dividends and distributions to shareholders from: | ||||||||||||||||||||||||
Net investment income | (0.02 | ) | (0.07 | ) | (0.04 | ) | (0.08 | ) | (0.14 | ) | (0.22 | ) | ||||||||||||
Net realized capital gains | (0.02 | ) | (0.03 | ) | (0.02 | ) | (0.06 | ) | — | (2) | — | (2) | ||||||||||||
Tax return of capital | — | — | — | — | — | (0.01 | ) | |||||||||||||||||
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Total dividends and distributions to shareholders | (0.04 | ) | (0.10 | ) | (0.06 | ) | (0.14 | ) | (0.14 | ) | (0.23 | ) | ||||||||||||
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Net asset value, end of period | $ | 10.31 | $ | 10.25 | $ | 10.31 | $ | 10.24 | $ | 10.54 | $ | 10.48 | ||||||||||||
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Total investment return(3) | 0.98 | %(4) | 0.37 | % | 1.34 | % | (1.50 | )% | 1.90 | % | 2.06 | % | ||||||||||||
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Net assets, end of period (000’s omitted) | $ | 2,057,097 | $ | 2,004,504 | $ | 1,824,633 | $ | 1,316,799 | $ | 946,975 | $ | 761,683 | ||||||||||||
Ratio of expenses to average net assets(5) | 0.60 | %(6) | 0.60 | % | 0.61 | % | 0.62 | % | 0.63 | % | 0.65 | % | ||||||||||||
Ratio of net investment income to average net assets(5) | 0.36 | %(6) | 0.55 | % | 0.37 | % | 0.52 | % | 1.08 | % | 1.12 | % | ||||||||||||
Portfolio turnover rate | 25 | %(4) | 2 | % | 0 | % | 0 | % | 1 | % | 0 | % |
(1) | The selected per share data was calculated using the average shares outstanding method for the period. |
(2) | Amount less than $(0.005) per share. |
(3) | Total investment return 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) | Not Annualized. |
(5) | 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. |
(6) | Annualized. |
The accompanying notes are an integral part of the financial statements.
16
FREE MARKET FUNDS
Notes to Financial Statements
February 29, 2016
(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 twenty-three active 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,” 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 83.023 billion shares are currently classified into one hundred and fifty-seven classes of common stock. Each class represents an interest in an active or inactive RBB investment portfolio.
PORTFOLIO VALUATION — Investments in the underlying funds are valued at each fund’s net asset value determined as of the close of business on the New York Stock Exchange (generally 4:00 p.m. Eastern time). As required, some securities and assets may be valued at fair value as determined in good faith by the Company’s Board of Directors. Direct investments in fixed income securities having a remaining maturity of 60 days or less are valued at amortized cost, which approximates market value.
FAIR VALUE MEASUREMENTS — The inputs and valuations techniques used to measure fair value of the Funds’ investments are summarized into three levels as described in the hierarchy below:
• Level 1 — | quoted prices in active markets for identical securities; |
• Level 2 — | other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.); and |
• Level 3 — | significant unobservable inputs (including the Funds’ own assumptions in determining the fair value of investments). |
The inputs or methodology 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 February 29, 2016, in valuing the Funds’ investments carried at fair value:
FREE MARKET U.S. EQUITY FUND
Total Value at February 29, 2016 | Level 1 Quoted Price | Level 2 Significant Observable Input | Level 3 Significant Unobservable Input | |||||||||||||
Investments in Securities* | $ | 1,968,795,447 | $ | 1,968,795,447 | $ | — | $ | — | ||||||||
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*Please refer to the Portfolio of Investments for further details.
FREE MARKET INTERNATIONAL EQUITY FUND
Total Value at February 29, 2016 | Level 1 Quoted Price | Level 2 Significant Observable Input | Level 3 Significant Unobservable Input | |||||||||||||
Investments in Securities* | $ | 1,410,524,923 | $ | 1,410,524,923 | $ | — | $ | — | ||||||||
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*Please refer to the Portfolio of Investments for further details.
17
FREE MARKET FUNDS
Notes to Financial Statements (Continued)
February 29, 2016
(Unaudited)
FREE MARKET FIXED INCOME FUND
Total Value at February 29, 2016 | Level 1 Quoted Price | Level 2 Significant Observable Input | Level 3 Significant Unobservable Input | |||||||||||||
Investments in Securities* | $ | 1,995,768,714 | $ | 1,995,768,714 | $ | — | $ | — | ||||||||
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*Please refer to the Portfolio of Investments for further details.
At the end of each quarter, management evaluates the classification of Levels 1, 2 and 3 assets and liabilities. Various factors are considered, such as changes in liquidity from the prior reporting period; whether or not a broker is willing to execute at the quoted price; the depth and consistency of prices from third party pricing services; and the existence of contemporaneous, observable trades in the market. Additionally, management evaluates the classification of Level 1 and Level 2 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”) require 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. U.S. GAAP also requires a Fund to disclose amounts and reasons for all transfers in and out of Level 1 and Level 2 fair value measurements. 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 transfers in and out of each Level within the three-tier hierarchy are disclosed when a Fund had an amount of total transfers during the reporting period that was meaningful in relation to its net assets as of the end of the reporting period.
For the six months ended February 29, 2016, there were no transfers between Levels 1, 2 and 3 for the Funds.
USE OF ESTIMATES — The Funds are investment companies and follow accounting and reporting guidance in the Financial Accounting Standards Board Accounting Standards Codification Topic 946. 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 period. Actual results could differ from those estimates and those differences could be significant.
INVESTMENT TRANSACTIONS, INVESTMENT INCOME AND EXPENSES — Transactions are accounted for on the 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 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 estimate the components of distributions received that may be considered return of capital distributions or capital gain distributions. Each Fund’s investment income, expenses and unrealized and realized gains and losses are allocated daily. Expenses incurred on behalf of a specific class, fund or fund family of the Company are charged directly to the class, fund or fund family (in proportion to net assets). Expenses incurred for all of the RBB funds (such as director or professional fees) are charged to all funds in proportion to their average net assets of RBB, or in such other manner as the Company’s Board of Directors deems fair or equitable. Expenses and fees, including investment advisory and administration fees, are
18
FREE MARKET FUNDS
Notes to Financial Statements (Continued)
February 29, 2016
(Unaudited)
accrued daily and taken into account for the purpose of determining the net asset value 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 and recorded on the ex-dividend date for all Funds 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 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 — The Funds consider liquid assets deposited with a bank demand deposit account to be cash equivalents. These investments represent amounts held with financial institutions that are readily accessible to pay Fund expenses or purchase investments. 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. The Funds’ 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 for such claims is considered remote.
2. | Investment Adviser and Other Services |
Matson Money, Inc. (“Matson Money” or the “Adviser”), serves as each Fund’s investment adviser. For its advisory services, Matson Money is entitled to receive 0.50% of the first $1 billion of each Fund’s average daily net assets, 0.49% of each Fund’s average daily net assets over $1 billion to $5 billion and 0.47% of each Fund’s average daily net assets over $5 billion, computed daily and payable monthly. The Adviser has voluntarily agreed to waive its advisory fee and/or reimburse expenses in order to limit Total Annual Operating Expenses to 1.13%, 1.35% and 1.00% of the average daily net assets of the Free Market U.S. Equity Fund, Free Market International Equity Fund and Free Market Fixed Income Fund, respectively. The Adviser may discontinue these arrangements at any time.
BNY Mellon Investment Servicing (US) Inc. (“BNY Mellon”), serves as administrator for the Funds. For providing administrative and accounting services, BNY Mellon is entitled to receive a monthly fee equal to an annual percentage rate of the Funds’ average daily net assets and is subject to certain minimum monthly fees.
Included in the administration and accounting services fees, shown on the Statement of Operations, are fees for providing regulatory administration services to RBB. For providing these services, BNY Mellon is entitled to receive compensation as agreed to by the Company and BNY Mellon. This fee is allocated to each portfolio of the Company in proportion to its net assets of the Company.
In addition, BNY Mellon serves as the Funds’ transfer and dividend disbursing agent. For providing transfer agent services, BNY Mellon is entitled to receive a monthly fee, subject to certain minimum, and out of pocket expenses.
The Bank of New York Mellon (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 serves as the principal underwriter and distributor of the Funds’ shares pursuant to a Distribution Agreement with RBB.
19
FREE MARKET FUNDS
Notes to Financial Statements (Continued)
February 29, 2016
(Unaudited)
3. | Director’s and Officer’s Compensation |
The Directors of the Company receive an annual retainer and meeting fees for meetings attended. The aggregate remuneration paid to the Directors by the Funds during the six months ended February 29, 2016 was $126,437. Certain employees of BNY Mellon serve as an Officer of the Company. They are not compensated by the Funds or the Company. Employees of Vigilant Compliance, LLC serve as President, Chief Compliance Officer and, effective January 1, 2016, Treasurer of the Company. Vigilant Compliance, LLC is compensated for the services provided to the Company. For the six months ended February 29, 2016, the Funds paid $27,658 in officer fees.
4. | Investment in Securities |
For the six months ended February 29, 2016, aggregate purchases and sales of investment securities (excluding short-term investments) of the Funds were as follows:
Purchases | Sales | |||||||
Free Market U.S. Equity Fund | $ | 235,758,040 | $ | 16,187,742 | ||||
Free Market International Equity Fund | 158,115,808 | 422,085 | ||||||
Free Market Fixed Income Fund | 493,595,966 | 504,444,430 |
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 February 29, 2016, the federal tax cost, aggregate gross unrealized appreciation and depreciation of securities held by each Fund were as follows:
Federal Tax Cost | Unrealized Appreciation | Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | |||||||||||||
Free Market U.S. Equity Fund | $ | 1,770,364,570 | $ | 198,430,877 | $ | — | $ | 198,430,877 | ||||||||
Free Market International Equity Fund | 1,574,348,858 | 32,385,259 | (196,209,194 | ) | (163,823,935 | ) | ||||||||||
Free Market Fixed Income Fund | 1,996,029,363 | 4,339,559 | (4,600,208 | ) | 260,649 |
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, 2015, the components of distributable earnings on a tax basis were as follows:
Undistributed Ordinary Income | Undistributed Long-Term Capital Gains | Unrealized Appreciation (Depreciation) | Other Temporary Differences | |||||||||||||
Free Market U.S. Equity Fund | $ | 3,869,763 | $ | 132,266,646 | $ | 423,790,768 | $ | — | ||||||||
Free Market International Equity Fund | 6,747,760 | 25,256,784 | 12,936,603 | — | ||||||||||||
Free Market Fixed Income Fund | 2 | 1,926,666 | (12,084,883 | ) | — |
20
FREE MARKET FUNDS
Notes to Financial Statements (Continued)
February 29, 2016
(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 are reported as ordinary income for federal income tax purposes.
The tax characters of distributions paid during the fiscal year ended August 31, 2015 and 2014 were as follows:
Ordinary Income | Long-Term Gains | Total | ||||||||||||||
Free Market U.S. Equity Fund | 2015 | $ | 12,868,563 | $ | 69,294,465 | $ | 82,163,028 | |||||||||
2014 | 9,536,519 | 44,315,395 | 53,851,914 | |||||||||||||
Free Market International Equity Fund | 2015 | 30,387,545 | 27,734,008 | 58,121,553 | ||||||||||||
2014 | 21,275,248 | 16,001,172 | 37,276,420 | |||||||||||||
Free Market Fixed Income Fund | 2015 | 11,548,488 | 6,457,319 | 18,005,807 | ||||||||||||
2014 | 6,397,117 | 3,094,776 | 9,491,893 |
Distributions from net investment income and short term capital gains are treated as ordinary income 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, 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. As of August 31, 2015, the Funds did not have any capital loss carryforwards.
6. | Subsequent Event |
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 subsequent events requiring recognition or disclosure in the financial statements.
21
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 Securities and Exchange Commission��s (“SEC”) website at http://www.sec.gov.
Quarterly Portfolio Schedules
The Company files a complete schedule of portfolio holdings with the SEC for the first and third fiscal quarters of each fiscal year (quarters ended November 30 and May 31) on Form N-Q. The Company’s Form N-Q is available on the SEC website at http://www.sec.gov and may be reviewed and copied at the SEC Public Reference Room in Washington, D.C. Information on the operation of the SEC Public Reference Room may be obtained by calling (800) SEC-0330.
22
Investment Adviser
Matson Money, Inc.
5955 Deerfield Blvd.
Mason, OH 45040
Administrator
BNY Mellon Investment Servicing (US) Inc.
301 Bellevue Parkway
Wilmington, DE 19809
Transfer Agent
BNY Mellon Investment Servicing (US) Inc.
4400 Computer Drive
Westborough, MA 01581
Principal Underwriter
Foreside Funds Distributors LLC
400 Berwyn Park
899 Cassatt Road
Berwyn, PA 19312
Custodian
The Bank of New York Mellon
225 Liberty Street
New York, NY 10286
Independent Registered Public Accounting Firm
PricewaterhouseCoopers LLP
Two Commerce Square, Suite 1800
2001 Market Street
Philadelphia, PA 19103-7042
Legal Counsel
Drinker Biddle & Reath LLP
One Logan Square, Ste. 2000
Philadelphia, PA 19103-6996
FMF-SAR16
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, 2016
(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
Semi-Annual Investment Adviser’s Report
February 29, 2016
(Unaudited)
February 29, 2016
Dear Shareholder,
The Matson Money VI Portfolios (the “Portfolios”) have gained assets since their launch in early February 2014 and have already surpassed the $40 million mark. We would like to extend a warm and grateful thank you to all investors who have embraced our Free Market Portfolio Strategies.
Over the six months ended February 29, 2016, investors experienced broad-based downward volatility in the equity markets. International equity markets over the past six months have seen a sharp decline, returning -5.31% as measured by the MSCI All Country World Index. U.S. stocks performed better than international stocks, but were still down slightly, returning -0.92% as represented by the S&P 500 index, outpacing international markets over the past half year. In contrast to the broad equity markets, bond markets came in positive over the last six months, providing a return of 1.69% as measured by the Barclays Capital US Government/Credit Intermediate Bond Index.
Matson Money, Inc. (“Matson Money”) strives to deliver the performance of capital markets and add value through Free Market investment strategies and Structured Market Portfolios. Grounded in the conviction that free markets work, Matson Money avoids the cost-generating activity of stock picking and market timing. Instead, we focus on the dimensions of capital markets that we believe reward investors as intelligently and effectively as possible. Our disciplined approach to life-long investing provides both the individual investor and the financial professional with the academic foundation upon which to help achieve investment goals.
Sound economic and financial research has documented that, over the long term, small cap stocks outperform large cap stocks, and value stocks outperform growth stocks. These returns seem to be compensation for risk. In fixed income, we believe risk is well-described by bond maturity and credit quality. Matson Money’s vehicles deliberately target specific risk and return trade offs. The Portfolios are diversified and designed to work together in your total investment plan.
We invite you to contact your financial professional or explore our website, www.MatsonMoney.com, to learn more about the concepts and strategies of Matson Money’s investing.
We appreciate your support and confidence in our firm’s investment philosophy, process and people.
Kenneth E. Gatliff
Portfolio Manager
Matson Money, Inc.
1
MATSON MONEY VI PORTFOLIOS
Performance Data
February 29, 2016 (Unaudited)
Matson Money U.S. Equity VI Portfolio
Total Returns for the Periods Ended February 29, 2016 | ||||||||||||
Average Annual | ||||||||||||
Six Months* | 1 Year | Since Inception** | ||||||||||
Matson Money U.S. Equity VI Portfolio | -6.08% | -11.43% | -1.64% | |||||||||
Russell 2500® Index | -8.57% | -13.30% | -0.68% | |||||||||
Composite Index*** | -5.29% | -11.07% | 0.78% |
* | Not Annualized. |
** | The Portfolio commenced operations on February 18, 2014. |
*** | The Composite Index is comprised of the S&P 500® Index, Russell 1000® Value Index, Russell 2000® Index and Russell 2000® Value Index, weighted 25%, 25%, 25% and 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 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 gross annual operating expense ratio, as stated in the current prospectus is 1.74% (included in the ratio is 0.30% attributable to acquired fund fees and expenses). The Adviser has contractually agreed to waive its advisory fee and/or reimburse expenses for the Portfolio to the extent that total annual portfolio operating expenses (other than acquired fund fees and expenses, brokerage commissions, extraordinary items, interest or taxes) exceed 1.13% of the average daily net assets of the Portfolio. This contractual limitation is in effect until December 31, 2016 and may not be terminated without the approval of the Company’s Board of Directors. The Portfolio’s net annual operating expense ratio as stated in the prospectus is 1.43%.
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 $23.16 per share on February 29, 2016.
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.
2
MATSON MONEY VI PORTFOLIOS
Performance Data
February 29, 2016 (Unaudited)
Matson Money International Equity VI Portfolio
Total Returns for the Periods Ended February 29, 2016 | ||||||||||||
Average Annual | ||||||||||||
Six Months* | 1 Year | Since Inception** | ||||||||||
Matson Money International Equity VI Portfolio | -10.49% | -16.81% | -9.56% | |||||||||
MSCI World (excluding U.S.) Index | -9.41% | -15.69% | -5.56% | |||||||||
Composite Index*** | -8.76% | -15.05% | -5.29% |
* | Not Annualized. |
** | The Portfolio commenced operations on February 18, 2014. |
*** | The Composite Index is comprised of the MSCI EAFE Index, MSCI EAFE Value Index, MSCI EAFE Small Cap Index, and MSCI Emerging Markets Index, weighted 25%, 25%, 25% and 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 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 gross annual operating expense ratio, as stated in the current prospectus is 2.16% (included in the ratio is 0.49% attributable to acquired fund fees and expenses). The Adviser has contractually agreed to waive its advisory fee and/or reimburse expenses for the Portfolio to the extent that total annual portfolio operating expenses (other than acquired fund fees and expenses, brokerage commissions, extraordinary items, interest or taxes) exceed 1.35% of the average daily net assets of the Portfolio. This contractual limitation is in effect until December 31, 2016 and may not be terminated without the approval of the Company’s Board of Directors. The Portfolio’s net annual operating expense ratio as stated in the prospectus is 1.84%.
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 $19.69 per share on February 29, 2016.
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.
3
MATSON MONEY VI PORTFOLIOS
Performance Data
February 29, 2016 (Unaudited)
Matson Money Fixed Income VI Portfolio
Total Returns for the Periods Ended February 29, 2016 | ||||||||||||
Average Annual | ||||||||||||
Six Months* | 1 Year | Since Inception** | ||||||||||
Matson Money Fixed Income VI Portfolio | 0.69% | 0.33% | 0.47% | |||||||||
Citigroup World Govt. Bond 1-5 Year Currency Hedged U.S. Dollar Index | 1.28% | 1.63% | 1.68% | |||||||||
Composite Index*** | 1.30% | 1.34% | 1.81% |
* | Not Annualized. |
** | The Portfolio commenced operations on February 18, 2014. |
*** | The Composite Index is comprised of the Three-Month Treasury Bill Index, Barclays Capital Intermediate Government Bond Index, BofA Merrill Lynch 1-3 Year US Government/Corporate Index and Barclays Capital Aggregate Bond Index, weighted 25%, 25%, 25% and 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 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 gross annual operating expense ratio, as stated in the current prospectus is 1.56% (included in the ratio is 0.19% attributable to acquired fund fees and expenses). The Adviser has contractually agreed to waive its advisory fee and/or reimburse expenses for the Portfolio to the extent that total annual portfolio operating expenses (other than acquired fund fees and expenses, brokerage commissions, extraordinary items, interest or taxes) exceed 1.00% of the average daily net assets of the Portfolio. This contractual limitation is in effect until December 31, 2016 and may not be terminated without the approval of the Company’s Board of Directors. The Portfolio’s net annual operating expense ratio as stated in the prospectus is 1.19%.
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 $25.07 per share on February 29, 2016.
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.
4
MATSON MONEY VI PORTFOLIOS
Portfolio Expense Examples
(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, 2015 through February 29, 2016, and held for the entire period.
Actual Expenses
The first line of the accompanying tables 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 tables 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 your 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.
Please note that the expenses shown in the accompanying tables are meant to highlight your ongoing costs only and do not reflect any transactional costs. Therefore, the second line 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.
Matson Money U.S. Equity VI Portfolio | ||||||||||||
Beginning Account Value September 1, 2015 | Ending Account Value February 29, 2016 | Expenses Paid During Period* | ||||||||||
Actual | $ | 1,000.00 | $ | 939.20 | $ | 5.45 | ||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,019.24 | 5.67 | |||||||||
Matson Money International Equity VI Portfolio | ||||||||||||
Beginning Account Value September 1, 2015 | Ending Account Value February 29, 2016 | Expenses Paid During Period* | ||||||||||
Actual | $ | 1,000.00 | $ | 895.10 | $ | 6.36 | ||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,018.15 | 6.77 |
5
MATSON MONEY VI PORTFOLIOS
Portfolio Expense Examples (Concluded)
(Unaudited)
Matson Money Fixed Income VI Portfolio | ||||||||||||
Beginning Account Value September 1, 2015 | Ending Account Value February 29, 2016 | Expenses Paid During Period* | ||||||||||
Actual | $ | 1,000.00 | $ | 1,006.90 | $ | 4.99 | ||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,019.89 | 5.02 |
* | Expenses are equal to an annualized six-month expense ratio of 1.13%, 1.35% and 1.00% for Matson Money U.S. Equity VI Portfolio, Matson Money International Equity VI Portfolio and Matson Money Fixed Income VI Portfolio, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (182), 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. The range weighted expense ratios of the underlying funds held by the Portfolios, as stated in their current prospectuses, were as follows:
Matson Money U.S. | Matson Money International Equity VI Portfolio | Matson Money Fixed Income VI Portfolio | ||
0.01%-0.08% | 0.01%-0.19% | 0.01%-0.05% |
Each Portfolio’s ending account values on the first line each table are based on the actual six-month total return for each Portfolio of -6.08% for Matson Money U.S. Equity VI Portfolio, -10.49% for the Matson Money International Equity VI Portfolio and 0.69% for the Matson Money Fixed Income VI Portfolio.
6
MATSON MONEY VI PORTFOLIOS
MATSON MONEY U.S. EQUITY VI PORTFOLIO
Portfolio of Investments
February 29, 2016
(Unaudited)
Number of Shares | Value | |||||||
EQUITY FUNDS — 97.2% | ||||||||
U.S. Large Cap Value | 181,749 | $ | 3,711,306 | |||||
U.S. Large Company Portfolio(a) | 127,204 | 1,929,687 | ||||||
U.S. Micro Cap Portfolio(b) | 130,856 | 2,159,128 | ||||||
U.S. Small Cap Portfolio(b) | 80,378 | 2,157,341 | ||||||
U.S. Small Cap Value Portfolio(b) | 50,457 | 1,444,580 | ||||||
VA U.S. Large Value Portfolio(b) | 29,122 | 562,052 | ||||||
VA U.S. Targeted Value | 144,525 | 2,160,653 | ||||||
|
| |||||||
TOTAL EQUITY FUNDS | 14,124,747 | |||||||
|
| |||||||
TOTAL INVESTMENTS — 97.2% | 14,124,747 | |||||||
|
| |||||||
OTHER ASSETS IN EXCESS OF LIABILITIES — 2.8% | 409,911 | |||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 14,534,658 | ||||||
|
|
Portfolio Holding Summary Table
% of Net Assets | Value | |||||||
Equity Funds | 97.2% | $ | 14,124,747 | |||||
Other Assets In Excess Of Liabilities | 2.8% | 409,911 | ||||||
|
|
|
| |||||
Net Assets | 100.0% | $ | 14,534,658 | |||||
|
|
|
|
(a) | A portfolio of Dimensional Investment Group Inc. |
(b) | A portfolio of DFA Investment Dimensions Group Inc. |
Portfolio holdings are subject to change at any time.
The accompanying notes are an integral part of the financial statements.
7
MATSON MONEY VI PORTFOLIOS
MATSON MONEY INTERNATIONAL EQUITY VI PORTFOLIO
Portfolio of Investments
February 29, 2016
(Unaudited)
Number of Shares | Value | |||||||
INTERNATIONAL EQUITY FUNDS — 97.8% |
| |||||||
DFA International Small Cap Value Portfolio(a) | 166,785 | $ | 2,860,370 | |||||
DFA International Value Portfolio III(b) | 251,593 | 3,049,303 | ||||||
Emerging Markets Portfolio(a) | 26,930 | 529,715 | ||||||
Emerging Markets Small Cap Portfolio(a) | 29,766 | 489,957 | ||||||
Emerging Markets Value Portfolio(a) | 25,703 | 497,867 | ||||||
Large Cap International Portfolio(a) | 22,539 | 405,256 | ||||||
VA International Small Portfolio(b) | 169,311 | 1,740,515 | ||||||
VA International Value Portfolio(b) | 54,008 | 508,216 | ||||||
|
| |||||||
TOTAL INTERNATIONAL EQUITY FUNDS (Cost $12,384,540) |
| 10,081,199 | ||||||
|
| |||||||
TOTAL INVESTMENTS —97.8% | 10,081,199 | |||||||
|
| |||||||
OTHER ASSETS IN EXCESS OF LIABILITIES — 2.2% | 225,996 | |||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 10,307,195 | ||||||
|
|
Portfolio Holding Summary Table
% of Net Assets | Value | |||||||
International Equity Funds | 97.8% | $ | 10,081,199 | |||||
Other Assets In Excess Of Liabilities | 2.2% | 225,996 | ||||||
|
|
|
| |||||
Net Assets | 100.0% | $ | 10,307,195 | |||||
|
|
|
|
(a) | A portfolio of DFA Investment Dimensions Group Inc. |
(b) | A portfolio of Dimensional Investment Group Inc. |
Portfolio holdings are subject to change at any time.
The accompanying notes are an integral part of the financial statements.
8
MATSON MONEY VI PORTFOLIOS
MATSON MONEY FIXED INCOME VI PORTFOLIO
Portfolio of Investments
February 29, 2016
(Unaudited)
Number of Shares | Value | |||||||
FIXED INCOME FUNDS — 97.2% |
| |||||||
DFA Five-Year Global Fixed Income Portfolio(a) | 173,347 | $ | 1,917,213 | |||||
DFA Inflation Protected Securities Portfolio(a) | 82,703 | 970,939 | ||||||
DFA Intermediate Government Fixed Income Portfolio(a) | 178,439 | 2,298,289 | ||||||
DFA One-Year Fixed Income Portfolio(a) | 400,606 | 4,126,243 | ||||||
DFA Short-Term Fixed Portfolio(a) | 37,680 | 383,956 | ||||||
DFA Short-Term Government Portfolio(a) | 142,689 | 1,536,762 | ||||||
DFA Two-Year Global Fixed Income Portfolio(a) | 481,239 | 4,797,957 | ||||||
VA Global Bond Portfolio(a) | 266,043 | 2,875,922 | ||||||
|
| |||||||
TOTAL FIXED INCOME FUNDS | 18,907,281 | |||||||
|
| |||||||
TOTAL INVESTMENTS — 97.2% | 18,907,281 | |||||||
|
| |||||||
OTHER ASSETS IN EXCESS OF LIABILITIES — 2.8% | 542,192 | |||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 19,449,473 | ||||||
|
|
Portfolio Holding Summary Table
% of Net Assets | Value | |||||||
Fixed Income Funds | 97.2% | $ | 18,907,281 | |||||
Other Assets In Excess Of Liabilities | 2.8% | 542,192 | ||||||
|
|
|
| |||||
Net Assets | 100.0% | $ | 19,449,473 | |||||
|
|
|
|
(a) | A portfolio of DFA Investment Dimensions Group Inc. |
Portfolio holdings are subject to change at any time.
The accompanying notes are an integral part of the financial statements.
9
MATSON MONEY VI PORTFOLIOS
Statements of Assets And Liabilities
February 29, 2016
(Unaudited)
Matson Money U.S. Equity VI Portfolio | Matson Money International Equity VI Portfolio | Matson Money Fixed Income VI Portfolio | ||||||||||
ASSETS | ||||||||||||
Investments in non-affiliated funds, at value † | $ | 14,124,747 | $ | 10,081,199 | $ | 18,907,281 | ||||||
Cash and cash equivalents | 279,921 | 155,814 | 340,054 | |||||||||
Receivables | ||||||||||||
Receivable for capital shares sold | 254,622 | 180,242 | 319,148 | |||||||||
Prepaid expenses and other assets | 99 | — | 207 | |||||||||
|
|
|
|
|
| |||||||
Total assets | 14,659,389 | 10,417,255 | 19,566,690 | |||||||||
|
|
|
|
|
| |||||||
LIABILITIES | ||||||||||||
Payables | ||||||||||||
Investments purchased | 61,476 | 53,496 | 45,686 | |||||||||
Audit fees | 14,706 | 14,699 | 14,711 | |||||||||
Transfer agent fees | 11,812 | 10,452 | 12,211 | |||||||||
Administration and accounting fees | 10,416 | 9,798 | 11,291 | |||||||||
Printing fees | 8,415 | 5,123 | 11,077 | |||||||||
Legal fees | 5,922 | 4,457 | 7,772 | |||||||||
Custodian fees | 3,073 | 3,073 | 3,073 | |||||||||
Advisory fees | 5,767 | 4,740 | 7,791 | |||||||||
Other accrued expenses and liabilities | 3,144 | 4,222 | 3,605 | |||||||||
|
|
|
|
|
| |||||||
Total liabilities | 124,731 | 110,060 | 117,217 | |||||||||
|
|
|
|
|
| |||||||
Net Assets | $ | 14,534,658 | $ | 10,307,195 | $ | 19,449,473 | ||||||
|
|
|
|
|
| |||||||
NET ASSETS CONSISTS OF | ||||||||||||
Par value | $ | 628 | $ | 523 | $ | 776 | ||||||
Paid-in capital | 16,108,555 | 12,535,999 | 19,409,464 | |||||||||
Accumulated net investment loss | (50,892 | ) | (23,232 | ) | (49,268 | ) | ||||||
Accumulated net realized gain from investments | 669,655 | 97,246 | 34,155 | |||||||||
Net unrealized appreciation/(depreciation) on investments | (2,193,288 | ) | (2,303,341 | ) | 54,346 | |||||||
|
|
|
|
|
| |||||||
Net Assets | $ | 14,534,658 | $ | 10,307,195 | $ | 19,449,473 | ||||||
|
|
|
|
|
| |||||||
Shares outstanding ($0.001 par value, 200,000,000 shares authorized) | 627,530 | 523,374 | 775,832 | |||||||||
|
|
|
|
|
| |||||||
Net asset value, offering and redemption price per share | $ | 23.16 | $ | 19.69 | $ | 25.07 | ||||||
|
|
|
|
|
| |||||||
† Investment in non-affiliated funds, at cost | $ | 16,318,035 | $ | 12,384,540 | $ | 18,852,935 | ||||||
|
|
|
|
|
|
The accompanying notes are an integral part of the financial statements.
10
MATSON MONEY VI PORTFOLIOS
Statements of Operations
For the Six Months Ended February 29, 2016
(Unaudited)
Matson Money U.S. Equity VI Portfolio | Matson Money International Equity VI Portfolio | Matson Money Fixed Income VI Portfolio | ||||||||||
Investment Income | ||||||||||||
Dividends from non-affiliated funds | $ | 147,931 | $ | 173,224 | $ | 109,393 | ||||||
Interest income | 12 | 6 | 14 | |||||||||
|
|
|
|
|
| |||||||
Total investment income | 147,943 | 173,230 | 109,407 | |||||||||
|
|
|
|
|
| |||||||
Expenses | ||||||||||||
Advisory fees (Note 2) | 35,074 | 25,148 | 46,050 | |||||||||
Audit fees | 10,989 | 10,982 | 10,994 | |||||||||
Directors’ and officers’ fees | 9,541 | 9,502 | 9,572 | |||||||||
Printing and shareholder reporting fees | 7,449 | 4,993 | 9,940 | |||||||||
Custodian fees (Note 2) | 7,042 | 7,433 | 7,106 | |||||||||
Legal fees | 6,594 | 4,417 | 8,555 | |||||||||
Administration and accounting fees (Note 2) | 5,047 | 4,133 | 6,112 | |||||||||
Transfer agent fees (Note 2) | 2,321 | 1,824 | 2,870 | |||||||||
Other expenses | 1,568 | 1,564 | 1,952 | |||||||||
|
|
|
|
|
| |||||||
Total expenses | 85,625 | 69,996 | 103,151 | |||||||||
|
|
|
|
|
| |||||||
Less: Advisory fee waiver | (6,357 | ) | (2,096 | ) | (11,011 | ) | ||||||
|
|
|
|
|
| |||||||
Net operating expenses | 79,268 | 67,900 | 92,140 | |||||||||
|
|
|
|
|
| |||||||
Net investment income | 68,675 | 105,330 | 17,267 | |||||||||
|
|
|
|
|
| |||||||
Net realized and unrealized gain/(loss) from investments | ||||||||||||
Net realized gain/(loss) from: | ||||||||||||
Non-affiliated funds | (2,996 | ) | (19,419 | ) | 4,471 | |||||||
Capital gain distributions from non-affiliated fund investments | 675,315 | 174,680 | 38,048 | |||||||||
Net change in unrealized appreciation/(depreciation) on: | ||||||||||||
Non-affiliated funds | (1,594,538 | ) | (1,369,595 | ) | 69,707 | |||||||
|
|
|
|
|
| |||||||
Net realized and unrealized gain/(loss) on investments | (922,219 | ) | (1,214,334 | ) | 112,226 | |||||||
|
|
|
|
|
| |||||||
Net increase/(decrease) in net assets resulting from operations | $ | (853,544 | ) | $ | (1,109,004 | ) | $ | 129,493 | ||||
|
|
|
|
|
|
The accompanying notes are an integral part of the financial statements.
11
MATSON MONEY U.S. EQUITY VI PORTFOLIO
Statements of Changes in Net Assets
For the Six Months Ended February 29, 2016 (Unaudited) | For the Year Ended August 31, 2015 | |||||||
Increase/(decrease) in net assets from operations: | ||||||||
Net investment income | $ | 68,675 | $ | 14,765 | ||||
Net realized gain from investments | 672,319 | 484,624 | ||||||
Net change in unrealized appreciation/(depreciation) from investments | (1,594,538 | ) | (928,940 | ) | ||||
|
|
|
| |||||
Net decrease in net assets resulting from operations | (853,544 | ) | (429,551 | ) | ||||
|
|
|
| |||||
Dividends and distributions to shareholders from: | ||||||||
Net investment income | (86,042 | ) | (41,020 | ) | ||||
Net realized capital gains | (484,664 | ) | — | |||||
|
|
|
| |||||
Net decrease in net assets from dividends and distributions to shareholders | (570,706 | ) | (41,020 | ) | ||||
|
|
|
| |||||
Capital share transactions: | ||||||||
Proceeds from shares sold | 2,340,379 | 8,285,808 | ||||||
Reinvestment of distributions | 570,706 | 41,020 | ||||||
Shares redeemed | (550,182 | ) | (2,074,633 | ) | ||||
|
|
|
| |||||
Net increase in net assets from capital shares | 2,360,903 | 6,252,195 | ||||||
|
|
|
| |||||
Total increase in net assets | 936,653 | 5,781,624 | ||||||
|
|
|
| |||||
Net assets: | ||||||||
Beginning of period | 13,598,005 | 7,816,381 | ||||||
|
|
|
| |||||
End of period | $ | 14,534,658 | $ | 13,598,005 | ||||
|
|
|
| |||||
Undistributed/accumulated net investment loss, end of period | $ | (50,892 | ) | $ | (33,525 | ) | ||
|
|
|
| |||||
Share transactions: | ||||||||
Shares sold | 95,507 | 313,052 | ||||||
Dividends and distributions reinvested | 22,957 | 1,520 | ||||||
Shares redeemed | (21,092 | ) | (76,233 | ) | ||||
|
|
|
| |||||
Net increase in shares outstanding | 97,372 | 238,339 | ||||||
|
|
|
|
The accompanying notes are an integral part of the financial statements.
12
MATSON MONEY INTERNATIONAL EQUITY VI PORTFOLIO
Statements of Changes in Net Assets
For the Six Months Ended February 29, 2016 (Unaudited) | For the Year Ended August 31, 2015 | |||||||
Increase/(decrease) in net assets from operations: | ||||||||
Net investment income | $ | 105,330 | $ | 78,422 | ||||
Net realized gain from investments | 155,261 | 63,263 | ||||||
Net change in unrealized appreciation/(depreciation) from investments | (1,369,595 | ) | (989,329 | ) | ||||
|
|
|
| |||||
Net decrease in net assets resulting from operations | (1,109,004 | ) | (847,644 | ) | ||||
|
|
|
| |||||
Dividends and distributions to shareholders from: | ||||||||
Net investment income | (116,572 | ) | (104,954 | ) | ||||
Net realized capital gains | (114,309 | ) | (1,506 | ) | ||||
|
|
|
| |||||
Net decrease in net assets from dividends and distributions to shareholders | (230,881 | ) | (106,460 | ) | ||||
|
|
|
| |||||
Capital share transactions: | ||||||||
Proceeds from shares sold | 1,966,176 | 6,557,941 | ||||||
Reinvestment of distributions | 230,881 | 106,460 | ||||||
Shares redeemed | (191,153 | ) | (1,476,695 | ) | ||||
|
|
|
| |||||
Net increase in net assets from capital shares | 2,005,904 | 5,187,706 | ||||||
|
|
|
| |||||
Total increase in net assets | 666,019 | 4,233,602 | ||||||
|
|
|
| |||||
Net assets: | ||||||||
Beginning of period | 9,641,176 | 5,407,574 | ||||||
|
|
|
| |||||
End of period | $ | 10,307,195 | $ | 9,641,176 | ||||
|
|
|
| |||||
Undistributed/accumulated net investment loss, end of period | $ | (23,232 | ) | $ | (11,990 | ) | ||
|
|
|
| |||||
Share transactions: | ||||||||
Shares sold | 92,409 | 275,347 | ||||||
Dividends and distributions reinvested | 10,645 | 4,641 | ||||||
Shares redeemed | (8,608 | ) | (60,454 | ) | ||||
|
|
|
| |||||
Net increase in shares outstanding | 94,446 | 219,534 | ||||||
|
|
|
|
The accompanying notes are an integral part of the financial statements.
13
MATSON MONEY FIXED INCOME VI PORTFOLIO
Statements of Changes in Net Assets
For the Six Months Ended February 29, 2016 (Unaudited) | For the Year Ended August 31, 2015 | |||||||
Increase/(decrease) in net assets from operations: | ||||||||
Net investment income | $ | 17,267 | $ | 15,172 | ||||
Net realized gain from investments | 42,519 | 23,403 | ||||||
Net change in unrealized appreciation/(depreciation) from investments | 69,707 | (49,374 | ) | |||||
|
|
|
| |||||
Net increase/(decrease) in net assets resulting from operations | 129,493 | (10,799 | ) | |||||
|
|
|
| |||||
Dividends and distributions to shareholders from: | ||||||||
Net investment income | — | (75,242 | ) | |||||
Net realized capital gains | (25,180 | ) | — | |||||
|
|
|
| |||||
Net decrease in net assets from dividends and distributions to shareholders | (25,180 | ) | (75,242 | ) | ||||
|
|
|
| |||||
Capital share transactions: | ||||||||
Proceeds from shares sold | 2,654,937 | 10,320,471 | ||||||
Reinvestment of distributions | 25,180 | 75,242 | ||||||
Shares redeemed | (1,433,300 | ) | (2,138,714 | ) | ||||
|
|
|
| |||||
Net increase in net assets from capital shares | 1,246,817 | 8,256,999 | ||||||
|
|
|
| |||||
Total increase in net assets | 1,351,130 | 8,170,958 | ||||||
|
|
|
| |||||
Net assets: | ||||||||
Beginning of period | 18,098,343 | 9,927,385 | ||||||
|
|
|
| |||||
End of period | $ | 19,449,473 | $ | 18,098,343 | ||||
|
|
|
| |||||
Undistributed/accumulated net investment loss, end of period | $ | (49,268 | ) | $ | (66,535 | ) | ||
|
|
|
| |||||
Share transactions: | ||||||||
Shares sold | 106,292 | 412,588 | ||||||
Dividends and distributions reinvested | 1,015 | 3,022 | ||||||
Shares redeemed | (57,322 | ) | (85,517 | ) | ||||
|
|
|
| |||||
Net increase in shares outstanding | 49,985 | 330,093 | ||||||
|
|
|
|
The accompanying notes are an integral part of the financial statements.
14
MATSON MONEY VI PORTFOLIOS
MATSON MONEY U.S. EQUITY VI PORTFOLIO
Financial Highlights
Contained below is per share operating performance data for each share outstanding, total investment return, ratios to average net assets and other supplemental data for the respective periods. This information has been derived from information provided in the financial statements.
For the Six Months Ended February 29, 2016 (Unaudited) | For the Year Ended August 31, 2015 | For the Period February 18, 2014(1) through August 31, 2014 | ||||||||||
Per Share Operating Performance | ||||||||||||
Net asset value, beginning of period | $ | 25.65 | $ | 26.79 | $ | 25.00 | ||||||
|
|
|
|
|
| |||||||
Net investment income/(loss)(2) | 0.12 | 0.03 | (0.06 | ) | ||||||||
Net realized and unrealized gain/(loss) on investments | (1.61 | ) | (1.07 | ) | 1.85 | |||||||
|
|
|
|
|
| |||||||
Net increase/(decrease) in net assets resulting from operations | (1.49 | ) | (1.04 | ) | 1.79 | |||||||
|
|
|
|
|
| |||||||
Dividends and distributions to shareholders from: | ||||||||||||
Net investment income | (0.15 | ) | (0.10 | ) | — | |||||||
Net realized capital gains | (0.85 | ) | — | — | ||||||||
|
|
|
|
|
| |||||||
Total dividends and distributions to shareholders | (1.00 | ) | (0.10 | ) | — | |||||||
|
|
|
|
|
| |||||||
Net asset value, end of period | $ | 23.16 | $ | 25.65 | $ | 26.79 | ||||||
|
|
|
|
|
| |||||||
Total investment return(3) | (6.08 | )%(4) | (3.92 | )% | 7.16 | %(4) | ||||||
|
|
|
|
|
| |||||||
Ratio/Supplemental Data | ||||||||||||
Net assets, end of period (000’s omitted) | $ | 14,535 | $ | 13,598 | $ | 7,816 | ||||||
Ratio of expenses to average net assets with waivers(5) | 1.13 | %(6) | 1.13 | % | 1.13 | %(6) | ||||||
Ratio of expenses to average net assets without waivers(5) | 1.22 | %(6) | 1.44 | % | 4.07 | %(6) | ||||||
Ratio of net investment income/(loss) to average net assets with waivers(5) | 0.98 | %(6) | 0.12 | % | (0.47 | )%(6) | ||||||
Portfolio turnover rate | 3.15 | %(4) | 13.65 | % | 1.32 | %(4) |
(1) | Commencement of operations. |
(2) | The selected per share data was calculated using the average shares outstanding method for the period. |
(3) | Total investment return 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) | Not Annualized. |
(5) | 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. |
(6) | Annualized. |
The accompanying notes are an integral part of the financial statements.
15
MATSON MONEY VI PORTFOLIOS
MATSON MONEY INTERNATIONAL EQUITY VI PORTFOLIO
Financial Highlights
Contained below is per share operating performance data for each share outstanding, total investment return, ratios to average net assets and other supplemental data for the respective periods. This information has been derived from information provided in the financial statements.
For the Six Months Ended February 29, 2016 (Unaudited) | For the Year Ended August 31, 2015 | For the Period February 18, 2014(1) through August 31, 2014 | ||||||||||
Per Share Operating Performance | ||||||||||||
Net asset value, beginning of period | $ | 22.48 | $ | 25.82 | $ | 25.00 | ||||||
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Net investment income(2) | 0.22 | 0.22 | 0.07 | |||||||||
Net realized and unrealized gain/(loss) on investments | (2.53 | ) | (3.26 | ) | 0.75 | |||||||
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Net increase/(decrease) in net assets resulting from operations | (2.31 | ) | (3.04 | ) | 0.82 | |||||||
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Dividends and distributions to shareholders from: | ||||||||||||
Net investment income | (0.24 | ) | (0.30 | ) | — | |||||||
Net realized capital gains | (0.24 | ) | — | (3) | — | |||||||
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Total dividends and distributions to shareholders | (0.48 | ) | (0.30 | ) | — | |||||||
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Net asset value, end of period | $ | 19.69 | $ | 22.48 | $ | 25.82 | ||||||
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Total investment return(4) | (10.49 | )%(5) | (11.77 | )% | 3.28 | %(5) | ||||||
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Ratio/Supplemental Data | ||||||||||||
Net assets, end of period (000’s omitted) | $ | 10,307 | $ | 9,641 | $ | 5,408 | ||||||
Ratio of expenses to average net assets with waivers(6) | 1.35 | %(7) | 1.35 | % | 1.35 | %(7) | ||||||
Ratio of expenses to average net assets without waivers(6) | 1.39 | %(7) | 1.67 | % | 5.07 | %(7) | ||||||
Ratio of net investment income to average net assets with | 2.09 | %(7) | 0.91 | % | 0.49 | %(7) | ||||||
Portfolio turnover rate | 1.40 | %(5) | 14.90 | % | 2.47 | %(5) |
(1) | Commencement of operations. |
(2) | The selected per share data was calculated using the average shares outstanding method for the period. |
(3) | Amount less than $(0.005) per share. |
(4) | Total investment return 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. |
(5) | Not Annualized. |
(6) | 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. |
(7) | Annualized. |
The accompanying notes are an integral part of the financial statements.
16
MATSON MONEY VI PORTFOLIOS
MATSON MONEY FIXED INCOME VI PORTFOLIO
Financial Highlights
Contained below is per share operating performance data for each share outstanding, total investment return, ratios to average net assets and other supplemental data for the respective periods. This information has been derived from information provided in the financial statements.
For the Six Months Ended February 29, 2016 (Unaudited) | For the Year Ended August 31, 2015 | For the Period February 18, 2014(1) through August 31, 2014 | ||||||||||
Per Share Operating Performance | ||||||||||||
Net asset value, beginning of period | $ | 24.93 | $ | 25.08 | $ | 25.00 | ||||||
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Net investment income/(loss)(2) | 0.02 | 0.03 | (0.05 | ) | ||||||||
Net realized and unrealized gain/(loss) on investments | 0.15 | (0.04 | ) | 0.13 | ||||||||
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Net increase/(decrease) in net assets resulting from operations | 0.17 | (0.01 | ) | 0.08 | ||||||||
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Dividends and distributions to shareholders from: | ||||||||||||
Net investment income | — | (0.14 | ) | — | ||||||||
Net realized capital gains | (0.03 | ) | — | — | ||||||||
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Total dividends and distributions to shareholders | (0.03 | ) | (0.14 | ) | — | |||||||
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Net asset value, end of period | $ | 25.07 | $ | 24.93 | $ | 25.08 | ||||||
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Total investment return(3) | 0.69 | %(4) | (0.06 | )% | 0.32 | %(4) | ||||||
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Ratio/Supplemental Data | ||||||||||||
Net assets, end of period (000’s omitted) | $ | 19,449 | $ | 18,098 | $ | 9,927 | ||||||
Ratio of expenses to average net assets with waivers(5) | 1.00 | %(6) | 1.00 | % | 1.00 | %(6) | ||||||
Ratio of expenses to average net assets without waivers(5) | 1.12 | %(6) | 1.37 | % | 3.40 | %(6) | ||||||
Ratio of net investment income/(loss) to average net assets with waivers(5) | 0.19 | %(6) | 0.10 | % | (0.40 | )%(6) | ||||||
Portfolio turnover rate | 6.53 | %(4) | 10.90 | % | 0.55 | %(4) |
(1) | Commencement of operations. |
(2) | The selected per share data was calculated using the average shares outstanding method for the period. |
(3) | Total investment return 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) | Not Annualized. |
(5) | 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. |
(6) | Annualized. |
The accompanying notes are an integral part of the financial statements.
17
MATSON MONEY VI PORTFOLIOS
Notes to Financial Statements
February 29, 2016
(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 twenty-three active 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,” 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 83.023 billion shares are currently classified into one hundred and fifty-seven classes of common stock. Each class represents an interest in an active or inactive RBB investment portfolio.
PORTFOLIO VALUATION — Investments in the underlying funds are valued at each Portfolio’s net asset value determined as of the close of business on the New York Stock Exchange (generally 4:00 p.m. Eastern time). As required, some securities and assets may be valued at fair value as determined in good faith by the Company’s Board of Directors. Direct investments in fixed income securities having a remaining maturity of 60 days or less are valued at amortized cost, which approximates market value.
FAIR VALUE MEASUREMENTS — The inputs and valuations techniques used to measure fair value of the Portfolios’ investments are summarized into three levels as described in the hierarchy below:
• Level 1 — | quoted prices in active markets for identical securities; |
• Level 2 — | other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.); and |
• Level 3 — | significant unobservable inputs (including the Portfolios’ own assumptions in determining the fair value of investments). |
The inputs or methodology 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 February 29, 2016, in valuing the Portfolios’ investments carried at fair value:
MATSON MONEY U.S. EQUITY VI PORTFOLIO
Total Value at February 29, 2016 | Level 1 Quoted Price | Level 2 Significant Observable Input | Level 3 Significant Unobservable Input | |||||||||||||
Investments in Securities* | $ | 14,124,747 | $ | 14,124,747 | $ | — | $ | — | ||||||||
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* Please refer to the Portfolio of Investments for further details.
MATSON MONEY INTERNATIONAL EQUITY VI PORTFOLIO
Total Value at February 29, 2016 | Level 1 Quoted Price | Level 2 Significant Observable Input | Level 3 Significant Unobservable Input | |||||||||||||
Investments in Securities* | $ | 10,081,199 | $ | 10,081,199 | $ | — | $ | — | ||||||||
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* Please refer to the Portfolio of Investments for further details.
18
MATSON MONEY VI PORTFOLIOS
Notes to Financial Statements (Continued)
February 29, 2016
(Unaudited)
MATSON MONEY FIXED INCOME VI PORTFOLIO
Total Value at February 29, 2016 | Level 1 Quoted Price | Level 2 Significant Observable Input | Level 3 Significant Unobservable Input | |||||||||||||
Investments in Securities* | $ | 18,907,281 | $ | 18,907,281 | $ | — | $ | — | ||||||||
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* Please refer to the Portfolio of Investments for further details.
At the end of each quarter, management evaluates the classification of Levels 1, 2 and 3 assets and liabilities. Various factors are considered, such as changes in liquidity from the prior reporting period; whether or not a broker is willing to execute at the quoted price; the depth and consistency of prices from third party pricing services; and the existence of contemporaneous, observable trades in the market. Additionally, management evaluates the classification of Level 1 and Level 2 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”) require 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. U.S. GAAP also requires a Portfolio to disclose amounts and reasons for all transfers in and out of Level 1 and Level 2 fair value measurements. 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 transfers in and out of each level within the three-tier hierarchy are disclosed when a Portfolio had an amount of total transfers during the reporting period that was meaningful in relation to its net assets as of the end of the reporting period.
For the six months ended February 29, 2016, there were no transfers between Levels 1, 2 and 3 for the Portfolios.
USE OF ESTIMATES — The Funds are investment companies and follow accounting and reporting guidance in the Financial Accounting Standards Board Accounting Standard Codification Topic 946. 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 period. Actual results could differ from those estimates and those differences could be significant.
INVESTMENT TRANSACTIONS, INVESTMENT INCOME AND EXPENSES — Transactions are accounted for on the 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 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 Portfolios estimate the components of distributions received that may be considered return of capital distributions or capital gain distributions. Each Portfolio’s investment income, expenses and unrealized and realized gains and losses are allocated daily. Expenses incurred on behalf of a specific class, fund or fund family of the Company are charged directly to the class, fund or fund family (in proportion to net assets). Expenses incurred for all of the RBB funds (such as director or professional fees) are charged to all funds in proportion to their average net assets of RBB, or in such other manner as the Company’s Board of Directors 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 net asset value of the Portfolios. In addition
19
MATSON MONEY VI PORTFOLIOS
Notes to Financial Statements (Continued)
February 29, 2016
(Unaudited)
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 and recorded on ex-dividend date for all Portfolios with the exception of the Matson Money Fixed Income VI Portfolio 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 Portfolio’s intention 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 — The Portfolios consider liquid assets deposited with a bank demand deposit account to be cash equivalents. These investments represent amounts held with financial institutions that are readily accessible to pay Portfolio expenses or purchase investments. 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. The Portfolios’ 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, based on experience, the risk of material loss for such claims is considered remote.
2. | Investment Adviser and Other Services |
Matson Money, Inc. (“Matson Money” or the “Adviser”), serves as each Portfolio’s investment adviser. The Adviser is entitled to an advisory fee at the annual rate of 0.50% of the first $1 billion of each Portfolio’s average daily net assets, 0.49% of each Portfolio’s average daily net assets over $1 billion to $5 billion and 0.47% of each Portfolio’s average daily net assets over $5 billion. The Adviser has contractually agreed to waive its advisory fee and/or reimburse expenses in order to limit total annual Portfolio operating expenses (excluding certain items disclosed below) to 1.13%, 1.35% and 1.00% of the average daily net assets of the Matson Money U.S. Equity VI Portfolio, Matson Money International Equity VI Portfolio and Matson Money Fixed Income VI Portfolio, respectively. 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, brokerage commissions, extraordinary items, interest or taxes. This contractual limitation is in effect until December 31, 2016 and may not be terminated without the approval of the Company’s Board of Directors. The Adviser may discontinue these arrangements at any time after December 31, 2016.
As of February 29, 2016, Matson Money has waived and reimbursed fees as follows:
Portfolios | Investment Advisor Expense Waived | Investment Advisor Expense Reimbursement | ||||||
Matson Money U.S. Equity VI Portfolio | $ | 6,357 | $ | — | ||||
Matson Money International Equity VI Portfolio | 2,096 | — | ||||||
Matson Money Fixed Income VI Portfolio | 11,011 | — |
The Portfolios will not pay the Adviser at a later time for any amounts waived or any amounts assumed.
BNY Mellon Investment Servicing (US) Inc. (“BNY Mellon”), serves as administrator for the Portfolios. For providing administrative and accounting services, BNY Mellon is entitled to receive a monthly fee equal to an annual percentage rate of the Portfolios’ average daily net assets and is subject to certain minimum monthly fees.
20
MATSON MONEY VI PORTFOLIOS
Notes to Financial Statements (Continued)
February 29, 2016
(Unaudited)
Included in the administration and accounting services fees, shown on the Statement of Operations, are fees for providing regulatory administration services to RBB. For providing these services, BNY Mellon is entitled to receive compensation as agreed to by the Company and BNY Mellon. This fee is allocated to each portfolio of the Company in proportion to its net assets of the Company.
In addition, BNY Mellon serves as the Portfolios’ transfer and dividend disbursing agent. For providing transfer agent services, BNY Mellon is entitled to receive a monthly fee, subject to certain minimum, and out of pocket expenses.
The Bank of New York Mellon (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.
Foreside Funds Distributors LLC serves as the principal underwriter and distributor of the Portfolios’ shares pursuant to a Distribution Agreement with RBB.
3. | Director’s and Officer’s Compensation |
The Directors of the Company receive an annual retainer and meeting fees for meetings attended. The aggregate remuneration paid to the Directors by the Portfolios during the six months ended February 29, 2016 was $6,563. Certain employees of BNY Mellon serve as an Officer of the Company. They are not compensated by the Portfolios or the Company. Employees of Vigilant Compliance, LLC serve as President, Chief Compliance Officer and, effective January 1, 2016, Treasurer of the Company. Vigilant Compliance, LLC is compensated for the services provided to the Company. For the six months ended February 29, 2016, the Portfolios paid $9,144 in officer fees.
4. | Investment in Securities |
For the six months ended February 29, 2016, 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 | $ | 2,721,852 | $ | 442,407 | ||||
Matson Money International Equity VI Portfolio | 2,031,045 | 140,578 | ||||||
Matson Money Fixed Income VI Portfolio | 2,151,036 | 1,198,756 |
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 February 29, 2016, the federal tax cost, aggregate gross unrealized appreciation and depreciation of securities held by each Portfolio were as follows:
Federal Tax Cost | Unrealized Appreciation | Unrealized Depreciation | Net Unrealized Appreciation/ (Depreciation) | |||||||||||||
Matson Money U.S. Equity VI Portfolio | $ | 16,318,035 | $ | — | $ | (2,193,288 | ) | $ | (2,193,288 | ) | ||||||
Matson Money International Equity VI Portfolio | 12,384,540 | — | (2,303,341 | ) | (2,303,341 | ) | ||||||||||
Matson Money Fixed Income VI Portfolio | 18,852,935 | 72,248 | (17,902 | ) | 54,346 |
21
MATSON MONEY VI PORTFOLIOS
Notes to Financial Statements (Continued)
February 29, 2016
(Unaudited)
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, 2015, the components of distributable earnings on a tax basis were as follows:
Undistributed Ordinary Income | Undistributed Long-Term Capital Gains | Unrealized Appreciation/ (Depreciation) | Qualified Late-Year Losses | |||||||||||||
Matson Money U.S. Equity VI Portfolio | $ | — | $ | 482,271 | $ | (599,021) | $ | (33,525) | ||||||||
Matson Money International Equity VI Portfolio | — | 114,309 | (991,761) | (11,990) | ||||||||||||
Matson Money Fixed Income VI Portfolio | — | 20,998 | (19,543) | (66,535) |
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 characters of distributions paid during the fiscal year ended August 31, 2015 are as follows:
Ordinary Income | Long-Term Gains | Total | ||||||||||
Matson Money U.S. Equity VI Portfolio | $ | 40,987 | $ | 33 | $ | 41,020 | ||||||
Matson Money International Equity VI Portfolio | 106,436 | 24 | 106,460 | |||||||||
Matson Money Fixed Income VI Portfolio | 75,242 | — | 75,242 |
Distributions from net investment income and short term capital gains are treated as ordinary income for federal income tax purposes.
Under the Regulated Investment Company Modernization Act of 2010, the Portfolios 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. As of August 31, 2015, the Portfolios did not have any capital loss carryforwards.
6. | Subsequent Event |
Management has evaluated the impact of all subsequent events on the Portfolios through the date the financial statements were issued, and has determined that there were no subsequent events requiring recognition or disclosure in the financial statements.
22
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 12-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 Securities and Exchange Commission’s (“SEC”) website at http://www.sec.gov.
Quarterly Portfolio Schedules
The Company files a complete schedule of portfolio holdings with the SEC for the first and third fiscal quarters of each fiscal year (quarters ended November 30 and May 31) on Form N-Q. The Company’s Form N-Q is available on the SEC website at http://www.sec.gov and may be reviewed and copied at the SEC Public Reference Room in Washington, D.C. Information on the operation of the SEC Public Reference Room may be obtained by calling (800) SEC-0330.
23
Investment Adviser
Matson Money, Inc.
5955 Deerfield Blvd.
Mason, OH 45040
Administrator
BNY Mellon Investment Servicing (US) Inc.
301 Bellevue Parkway
Wilmington, DE 19809
Transfer Agent
BNY Mellon Investment Servicing (US) Inc.
4400 Computer Drive
Westborough, MA 01581
Principal Underwriter
Foreside Funds Distributors LLC
400 Berwyn Park
899 Cassatt Road
Berwyn, PA 19312
Custodian
The Bank of New York Mellon
225 Liberty Street
New York, NY 10286
Independent Registered Public Accounting Firm
PricewaterhouseCoopers LLP
Two Commerce Square, Suite 1800
2001 Market Street
Philadelphia, PA 19103-7042
Legal Counsel
Drinker Biddle & Reath LLP
One Logan Square, Ste. 2000
Philadelphia, PA 19103-6996
MAT-SAR16
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The Schneider Funds |
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of the RBB Fund, Inc.
Schneider Small Cap Value Fund
Schneider Value Fund
SEMI-ANNUAL REPORT
February 29, 2016 (Unaudited)
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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.
THE SCHNEIDER FUNDS
SCHNEIDER SMALL CAP VALUE FUND
Performance Data
February 29, 2016 (Unaudited)
Total Returns for the Periods Ended February 29, 2016 | ||||||||||||||||||||
Average Annual | ||||||||||||||||||||
Six Months* | One Year | Five Years | Ten Years | Since Inception** | ||||||||||||||||
Schneider Small Cap Value | -22.18% | -35.74% | -5.77% | -2.61% | 9.88% | |||||||||||||||
Russell 2000® Value Index | -6.73% | -13.35% | 5.27% | 4.08% | 8.45% | |||||||||||||||
* Not Annualized | ||||||||||||||||||||
** Inception date 9/2/98 |
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. Schneider Capital Management Company, the Fund’s investment adviser, has contractually agreed to waive management fees and/or reimburse expenses through December 31, 2016, to the extent that total annual Fund operating expenses (excluding acquired fund fees and expenses, brokerage commissions, extraordinary items, interest and taxes) exceed 1.15%. Total returns shown include fee waivers and expense reimbursements, if any; total returns would have been lower had there been no waiver or reimbursement of fees and expenses in excess of expense limitations. 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 1-888-520-3277. The Fund’s gross and net annual operating expenses, as stated in the current prospectus, are 1.82% and 1.15%, respectively. Shares of the Fund not purchased through reinvested dividends or capital gains and held less than one year are subject to a 1.75% redemption fee.
Portfolio holdings are subject to change at any time.
Small company stocks are generally riskier than large company stocks due to greater volatility and less liquidity.
Value investing involves the risk that the Fund’s investment in companies whose securities are believed to be undervalued, relative to their underlying profitability, will not appreciate in value as anticipated.
1
THE SCHNEIDER FUNDS
SCHNEIDER VALUE FUND
Performance Data
February 29, 2016 (Unaudited)
Total Returns for the Periods Ended February 29, 2016 | ||||||||||||||||||||
Average Annual | ||||||||||||||||||||
Six Months* | One Year | Five Years | Ten Years | Since Inception** | ||||||||||||||||
Schneider Value | | -22.58% | | -30.71% | -2.50% | -1.95% | | 5.16% | | |||||||||||
Russell 1000® Value Index | -2.87% | -9.41% | 8.81% | | 5.13% | | 8.67% | |||||||||||||
* Not Annualized | ||||||||||||||||||||
** Inception date 9/30/02 |
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. Schneider Capital Management Company, the Fund’s investment adviser, has contractually agreed to waive management fees and/or reimburse expenses through December 31, 2016, to the extent that total annual fund operating expenses (excluding acquired fund fees and expenses, brokerage commissions, extraordinary items, interest and taxes) exceed 0.90%. Total returns shown include fee waivers and expense reimbursements, if any; total returns would have been lower had there been no waiver or reimbursement of fees and expenses in excess of expense limitations. 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 1-888-520-3277. The Fund’s gross and net annual operating expenses, as stated in the current prospectus, are 1.74% and 0.90%, respectively. Shares of the Fund not purchased through reinvested dividends or capital gains and held less than 90 days are subject to a 1.00% redemption fee.
Portfolio holdings are subject to change at any time.
Value investing involves the risk that the Fund’s investment in companies whose securities are believed to be undervalued, relative to their underlying profitability, will not appreciate in value as anticipated.
2
THE SCHNEIDER FUNDS
Fund Expense Examples
(Unaudited)
As a shareholder of the Fund(s), you incur two types of costs: (1) transaction costs, including redemption fees; 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 months from September 1, 2015 through February 29, 2016, and held for the entire period.
Actual Expenses
The first line of the accompanying tables 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 for each Fund 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 your 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 tables are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as redemption fees. Therefore, the second line of the accompanying table for each Fund 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.
Schneider Small Cap Value Fund | ||||||||||||
Beginning Account Value September 1, 2015 | Ending Account Value February 29, 2016 | Expenses Paid During Period* | ||||||||||
Actual | $ | 1,000.00 | $ | 778.20 | $ | 5.08 | ||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,019.14 | 5.77 | |||||||||
Schneider Value Fund | ||||||||||||
Beginning Account Value September 1, 2015 | Ending Account Value February 29, 2016 | Expenses Paid During Period* | ||||||||||
Actual | $ | 1,000.00 | $ | 774.20 | $ | 3.97 | ||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,020.39 | 4.52 |
* | Expenses are equal to an annualized six-month expense ratio of 1.15% for the Schneider Small Cap Value Fund and 0.90% for the Schneider Value Fund, which includes 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. The Fund’s ending account values on the first line in each table are based on the actual six-month total return for each Fund of -22.18% for the Schneider Small Cap Value Fund and -22.58% for the Schneider Value Fund. |
3
THE SCHNEIDER FUNDS
SCHNEIDER SMALL CAP VALUE FUND
Portfolio Holdings Summary Table
February 29, 2016
(Unaudited)
The following table presents a summary by sector of the portfolio holdings of the Fund:
% of Net Assets | Value | |||||||
Common Stocks: | ||||||||
Oil & Gas | 23.6 | % | $ | 4,637,510 | ||||
Savings & Loans | 13.3 | 2,617,981 | ||||||
Banks | 12.0 | 2,351,022 | ||||||
Telecommunications | 9.2 | 1,812,743 | ||||||
Commercial Services | 7.4 | 1,451,332 | ||||||
Real Estate Investment Trusts | 5.3 | 1,030,712 | ||||||
Semiconductors | 5.0 | 987,588 | ||||||
Machinery — Construction & Mining | 4.4 | 860,377 | ||||||
Insurance | 3.3 | 642,273 | ||||||
Home Builders | 3.2 | 620,436 | ||||||
Machinery — Diversified | 2.8 | 542,064 | ||||||
Electronics | 1.9 | 381,662 | ||||||
Software | 1.8 | 352,044 | ||||||
Real Estate | 1.5 | 288,089 | ||||||
Healthcare — Services | 1.1 | 224,328 | ||||||
Internet | 0.9 | 181,138 | ||||||
Healthcare — Products | 0.6 | 110,582 | ||||||
Mining | 0.3 | 62,254 | ||||||
Retail | 0.3 | 56,672 | ||||||
Auto Parts & Equipment | 0.2 | 36,418 | ||||||
Coal | 0.2 | 29,798 | ||||||
Securities Lending Collateral | 10.8 | 2,115,537 | ||||||
Exchange Traded Fund | 1.2 | 240,217 | ||||||
Liabilities In Excess Of Other Assets | (10.3 | ) | (2,017,917 | ) | ||||
|
|
|
| |||||
NET ASSETS | 100.0 | % | $ | 19,614,860 | ||||
|
|
|
|
Portfolio holdings are subject to change at any time.
The accompanying notes are an integral part of the financial statements.
4
THE SCHNEIDER FUNDS
SCHNEIDER VALUE FUND
Portfolio Holdings Summary Table
February 29, 2016
(Unaudited)
The following table presents a summary by sector of the portfolio holdings of the Fund:
% of Net Assets | Value | |||||||
Common Stocks: | ||||||||
Oil & Gas | 25.4 | % | $ | 3,952,384 | ||||
Banks | 24.2 | 3,752,466 | ||||||
Insurance | 13.4 | 2,090,237 | ||||||
Real Estate Investment Trusts | 8.3 | 1,298,471 | ||||||
Commercial Services | 5.7 | 880,055 | ||||||
Home Builders | 5.3 | 817,300 | ||||||
Savings & Loans | 5.1 | 790,436 | ||||||
Machinery — Construction & Mining | 4.0 | 619,478 | ||||||
Leisure Time | 3.3 | 517,105 | ||||||
Mining | 1.3 | 197,926 | ||||||
Retail | 1.1 | 167,950 | ||||||
Real Estate | 0.9 | 143,935 | ||||||
Coal | 0.0 | 3 | ||||||
Securities Lending Collateral | 14.9 | 2,308,192 | ||||||
Exchange Traded Fund | 0.7 | 106,663 | ||||||
Liabilities In Excess Of Other Assets | (13.6 | ) | (2,114,046 | ) | ||||
|
|
|
| |||||
NET ASSETS | 100.0 | % | $ | 15,528,555 | ||||
|
|
|
|
Portfolio holdings are subject to change at any time.
The accompanying notes are an integral part of the financial statements.
5
THE SCHNEIDER FUNDS
SCHNEIDER SMALL CAP VALUE FUND
Portfolio of Investments
February 29, 2016
(Unaudited)
Shares | Value | |||||||
COMMON STOCKS — 98.3% | ||||||||
Auto Parts & Equipment — 0.2% | ||||||||
Commercial Vehicle Group, Inc. * | 14,509 | $ | 36,418 | |||||
|
| |||||||
Banks — 12.0% | ||||||||
Bancorp, Inc., (The) * | 66,347 | 316,475 | ||||||
Dundee Corp., Class A * | 4,400 | 16,016 | ||||||
First United Corp. * | 100 | 1,036 | ||||||
Hancock Holding Co. (a) | 7,610 | 175,563 | ||||||
OFG Bancorp | 80,772 | 470,093 | ||||||
Regions Financial Corp. | 182,426 | 1,371,839 | ||||||
|
| |||||||
2,351,022 | ||||||||
|
| |||||||
Coal — 0.2% | ||||||||
Cloud Peak Energy, Inc. * | 17,528 | 29,798 | ||||||
|
| |||||||
Commercial Services — 7.4% | ||||||||
Aegean Marine Petroleum Network, Inc. | 119,138 | 854,219 | ||||||
Ardmore Shipping Corp. | 23,644 | 190,098 | ||||||
Genco Shipping & Trading Ltd. * | 1 | 1 | ||||||
Hudson Global, Inc. * | 78,991 | 204,587 | ||||||
Stolt-Nielsen Ltd. | 8,912 | 81,670 | ||||||
Viad Corp. | 4,258 | 120,757 | ||||||
|
| |||||||
1,451,332 | ||||||||
|
| |||||||
Electronics — 1.9% | ||||||||
Kemet Corp. * | 207,424 | 381,660 | ||||||
TTM Technologies, Inc. * | — | ^ | 2 | |||||
|
| |||||||
381,662 | ||||||||
|
| |||||||
Healthcare - Products — 0.6% | ||||||||
Orthofix International NV * | 2,879 | 110,582 | ||||||
|
| |||||||
Healthcare - Services — 1.1% | ||||||||
Five Star Quality Care, Inc. * | 94,653 | 224,328 | ||||||
|
| |||||||
Home Builders — 3.2% | ||||||||
PulteGroup, Inc. | 32,729 | 562,612 | ||||||
Taylor Morrison Home Corp., Class A * | 4,157 | 57,824 | ||||||
|
| |||||||
620,436 | ||||||||
|
| |||||||
Insurance — 3.3% | ||||||||
Assured Guaranty Ltd. | 20,547 | 509,771 | ||||||
Genworth Financial, Inc., Class A * | 62,501 | 132,502 | ||||||
|
| |||||||
642,273 | ||||||||
|
| |||||||
Internet — 0.9% | ||||||||
ModusLink Global Solutions, Inc. * (a) | 95,840 | 181,138 | ||||||
|
| |||||||
Machinery - Construction & Mining — 4.4% |
| |||||||
Terex Corp. | 38,444 | 860,377 | ||||||
|
|
Shares | Value | |||||||
Machinery - Diversified — 2.8% | ||||||||
Intevac, Inc. * (a) | 120,727 | $ | 542,064 | |||||
|
| |||||||
Mining — 0.3% | ||||||||
Ur-Energy, Inc. * | 133,966 | 62,254 | ||||||
|
| |||||||
Oil & Gas — 23.6% | ||||||||
Approach Resources, Inc. * | 263,515 | 198,664 | ||||||
Chesapeake Energy Corp. (a) | 25,624 | 66,879 | ||||||
MRC Global, Inc. * | 110,461 | 1,320,009 | ||||||
Scorpio Tankers, Inc. | 4,845 | 30,136 | ||||||
SM Energy Co. (a) | 115,650 | 1,045,476 | ||||||
Weatherford International PLC * | 132,748 | 849,587 | ||||||
Willbros Group, Inc. * | 283,005 | 370,737 | ||||||
WPX Energy, Inc. * (a) | 183,947 | 756,022 | ||||||
|
| |||||||
4,637,510 | ||||||||
|
| |||||||
Real Estate — 1.5% | ||||||||
Alexander & Baldwin, Inc. | 4,488 | 150,438 | ||||||
Forestar Group, Inc. * (a) | 14,118 | 137,651 | ||||||
|
| |||||||
288,089 | ||||||||
|
| |||||||
Real Estate Investment Trusts — 5.3% |
| |||||||
NorthStar Realty Europe Corp. | 59,343 | 579,188 | ||||||
NorthStar Realty Finance Corp. | 14,010 | 174,985 | ||||||
Parkway Properties, Inc. | 15,725 | 210,558 | ||||||
RAIT Financial Trust | 25 | 65,977 | ||||||
Sunstone Hotel Investors, Inc. | — | ^ | 4 | |||||
|
| |||||||
1,030,712 | ||||||||
|
| |||||||
Retail — 0.3% | ||||||||
Office Depot, Inc. * | 11,156 | 56,672 | ||||||
|
| |||||||
Savings & Loans — 13.3% | ||||||||
First Niagara Financial Group, Inc. | 97,375 | 899,745 | ||||||
Flagstar Bancorp, Inc. * | 69,016 | 1,325,107 | ||||||
HomeStreet, Inc. * | 19,686 | 393,129 | ||||||
|
| |||||||
2,617,981 | ||||||||
|
| |||||||
Semiconductors — 5.0% | ||||||||
Axcelis Technologies, Inc. * | 137,773 | 344,433 | ||||||
SunEdison Semiconductor Ltd. * | 92,523 | 631,932 | ||||||
Veeco Instruments, Inc. * | 605 | 11,223 | ||||||
|
| |||||||
987,588 | ||||||||
|
| |||||||
Software — 1.8% | ||||||||
Xura, Inc. * | 17,934 | 352,044 | ||||||
|
| |||||||
Telecommunications — 9.2% | ||||||||
Aviat Networks, Inc. * | 1,611,576 | 1,041,884 | ||||||
UTStarcom Holdings Corp. * (a) | 353,605 | 770,859 | ||||||
|
| |||||||
1,812,743 | ||||||||
|
| |||||||
TOTAL COMMON STOCKS | 19,277,023 | |||||||
|
|
The accompanying notes are an integral part of the financial statements.
6
THE SCHNEIDER FUNDS
SCHNEIDER SMALL CAP VALUE FUND
Portfolio of Investments (Concluded)
February 29, 2016
(Unaudited)
Shares | Value | |||||||
EXCHANGE TRADED FUND — 1.2% |
| |||||||
Finance — 1.2% | ||||||||
iShares Russell 2000 Value Index Fund | 2,779 | $ | 240,217 | |||||
|
| |||||||
TOTAL EXCHANGE TRADED FUND | 240,217 | |||||||
|
| |||||||
SECURITIES LENDING COLLATERAL — 10.8% |
| |||||||
BlackRock Liquidity TempFund, Institutional Shares | 2,115,537 | 2,115,537 | ||||||
|
| |||||||
TOTAL SECURITIES LENDING COLLATERAL | 2,115,537 | |||||||
|
| |||||||
TOTAL INVESTMENTS — 110.3% | 21,632,777 | |||||||
|
| |||||||
LIABILITIES IN EXCESS OF OTHER ASSETS — (10.3)% | (2,017,917 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 19,614,860 | ||||||
|
|
* | Non-income producing. |
(a) | All or a portion of the security is on loan. At February 29, 2016, the market value of securities on loan was $2,066,261. |
^ | Amount is less than 0.5 shares. |
PLC | Public Limited Company |
The accompanying notes are an integral part of the financial statements.
7
THE SCHNEIDER FUNDS
SCHNEIDER VALUE FUND
Portfolio of Investments
February 29, 2016
(Unaudited)
Shares | Value | |||||||
COMMON STOCKS — 98.0% | ||||||||
Banks — 24.2% | ||||||||
Citigroup, Inc. | 19,984 | $ | 776,379 | |||||
JPMorgan Chase & Co. | 4,520 | 254,476 | ||||||
Regions Financial Corp. | 115,100 | 865,552 | ||||||
State Street Corp. | 13,713 | 751,198 | ||||||
SunTrust Banks, Inc. | 33,299 | 1,104,861 | ||||||
|
| |||||||
3,752,466 | ||||||||
|
| |||||||
Coal — 0.0% | ||||||||
Peabody Energy Corp. (a) | 1 | 3 | ||||||
|
| |||||||
Commercial Services — 5.7% | ||||||||
Aegean Marine Petroleum Network, Inc. | 90,532 | 649,114 | ||||||
Avis Budget Group, Inc. * | 6,177 | 158,378 | ||||||
Scorpio Tankers, Inc. | 11,666 | 72,563 | ||||||
|
| |||||||
880,055 | ||||||||
|
| |||||||
Home Builders — 5.3% | ||||||||
PulteGroup, Inc. | 41,371 | 711,167 | ||||||
Taylor Morrison Home Corp., Class A * | 7,630 | 106,133 | ||||||
|
| |||||||
817,300 | ||||||||
|
| |||||||
Insurance — 13.4% | ||||||||
Assured Guaranty Ltd. | 24,378 | 604,818 | ||||||
Genworth Financial, Inc., Class A * | 123,679 | 262,199 | ||||||
Hartford Financial Services Group, Inc., (The) | 17,716 | 746,198 | ||||||
Old Republic International Corp. | 26,799 | 477,022 | ||||||
|
| |||||||
2,090,237 | ||||||||
|
| |||||||
Leisure Time — 3.3% | ||||||||
Carnival Corp. | 10,782 | 517,105 | ||||||
|
| |||||||
Machinery - Construction & Mining — 4.0% |
| |||||||
Terex Corp. | 27,680 | 619,478 | ||||||
|
| |||||||
Mining — 1.3% | ||||||||
US Silica Holdings, Inc. (a) | 10,314 | 197,926 | ||||||
|
| |||||||
Oil & Gas — 25.4% | ||||||||
Chesapeake Energy Corp. (a) | 200,429 | 523,120 | ||||||
MRC Global, Inc. * | 81,679 | 976,064 | ||||||
SM Energy Co. (a) | 103,819 | 938,524 | ||||||
Weatherford International PLC * | 123,769 | 792,122 | ||||||
WPX Energy, Inc. * (a) | 175,804 | 722,554 | ||||||
|
| |||||||
3,952,384 | ||||||||
|
|
Shares | Value | |||||||
Real Estate — 0.9% | ||||||||
Alexander & Baldwin, Inc. | 4,294 | $ | 143,935 | |||||
|
| |||||||
Real Estate Investment Trusts — 8.3% | ||||||||
Equity Commonwealth * | 8,800 | 234,344 | ||||||
NorthStar Realty Europe Corp. | 80,531 | 785,979 | ||||||
NorthStar Realty Finance Corp. | 17,305 | 216,139 | ||||||
Parkway Properties, Inc. | 4,631 | 62,009 | ||||||
|
| |||||||
1,298,471 | ||||||||
|
| |||||||
Retail — 1.1% | ||||||||
Office Depot, Inc. * | 33,061 | 167,950 | ||||||
|
| |||||||
Savings & Loans — 5.1% | ||||||||
First Niagara Financial Group, Inc. | 85,545 | 790,436 | ||||||
|
| |||||||
TOTAL COMMON STOCKS | 15,227,746 | |||||||
|
| |||||||
EXCHANGE TRADED FUND — 0.7% | ||||||||
Finance — 0.7% | ||||||||
iShares Russell 1000 Value Index Fund | 1,150 | 106,663 | ||||||
|
| |||||||
TOTAL EXCHANGE TRADED FUND | 106,663 | |||||||
|
| |||||||
SECURITIES LENDING COLLATERAL — 14.9% |
| |||||||
BlackRock Liquidity TempFund, Institutional Shares | 2,308,192 | 2,308,192 | ||||||
|
| |||||||
TOTAL SECURITIES LENDING COLLATERAL | 2,308,192 | |||||||
|
| |||||||
TOTAL INVESTMENTS — 113.6% | 17,642,601 | |||||||
|
| |||||||
LIABILITIES IN EXCESS OF OTHER | (2,114,046 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 15,528,555 | ||||||
|
|
* | Non-income producing. |
(a) | All or a portion of the security is on loan. At February 29, 2016, the market value of securities on loan was $2,208,196. |
PLC | Public Limited Company |
The accompanying notes are an integral part of the financial statements.
8
THE SCHNEIDER FUNDS
Statements of Assets & Liabilities
February 29, 2016
(Unaudited)
Schneider Small Cap Value Fund | Schneider Value Fund | |||||||
ASSETS | ||||||||
Investments, at value † ^ | $ | 21,632,777 | $ | 17,642,601 | ||||
Cash and cash equivalents | 107,116 | — | ||||||
Receivables for: | ||||||||
Investments sold | 126,562 | 286,625 | ||||||
Investment adviser | 17,712 | 30,962 | ||||||
Dividends and interest | 8,519 | 19,031 | ||||||
Prepaid expenses and other assets | — | 3,354 | ||||||
|
|
|
| |||||
Total assets | 21,892,686 | 17,982,573 | ||||||
|
|
|
| |||||
LIABILITIES | ||||||||
Due to custodian, at value | — | 31,616 | ||||||
Payables for: | ||||||||
Securities lending collateral | 2,115,537 | 2,308,192 | ||||||
Investments purchased | 45,934 | 44,188 | ||||||
Capital shares redeemed | 22,271 | 1,968 | ||||||
Other accrued expenses and liabilities | 94,084 | 68,054 | ||||||
|
|
|
| |||||
Total liabilities | 2,277,826 | 2,454,018 | ||||||
|
|
|
| |||||
Net Assets | $ | 19,614,860 | $ | 15,528,555 | ||||
|
|
|
| |||||
NET ASSETS CONSIST OF | ||||||||
Par value | $ | 2,305 | $ | 1,170 | ||||
Paid-in capital | 33,432,010 | 142,686,889 | ||||||
Undistributed/accumulated net investment income/(loss) | (13,005 | ) | 20,844 | |||||
Accumulated net realized loss from investments | (7,063,008 | ) | (124,685,124 | ) | ||||
Net unrealized depreciation on investments | (6,743,442 | ) | (2,495,224 | ) | ||||
|
|
|
| |||||
Net Assets | $ | 19,614,860 | $ | 15,528,555 | ||||
|
|
|
| |||||
Shares outstanding ($0.001 par value, 100,000,000 shares authorized) | 2,305,159 | 1,170,495 | ||||||
|
|
|
| |||||
Net asset value, offering and redemption price per share | $ | 8.51 | $ | 13.27 | ||||
|
|
|
| |||||
† Investment in securities, at cost | $ | 28,376,219 | $ | 20,137,825 | ||||
|
|
|
| |||||
^ Includes market value of securities on loan | $ | 2,066,261 | $ | 2,208,196 | ||||
|
|
|
|
The accompanying notes are an integral part of the financial statements.
9
THE SCHNEIDER FUNDS
Statements of Operations
For the Six Months Ended February 29, 2016
(Unaudited)
Schneider Small Cap Value Fund | Schneider Value Fund | |||||||
Investment Income | ||||||||
Dividends † | $ | 144,736 | $ | 137,407 | ||||
Securities lending income | 74,681 | 83,490 | ||||||
Interest | 4,751 | 47 | ||||||
|
|
|
| |||||
Total investment income | 224,168 | 220,944 | ||||||
|
|
|
| |||||
Expenses | ||||||||
Advisory fees (Note 2) | 127,152 | 71,070 | ||||||
Administration and accounting fees (Note 2) | 47,970 | 44,965 | ||||||
Transfer agent fees (Note 2) | 28,387 | 26,878 | ||||||
Professional fees | 22,180 | 20,164 | ||||||
Custodian fees (Note 2) | 18,056 | 10,753 | ||||||
Printing and shareholder reporting fees | 14,684 | 9,965 | ||||||
Insurance fees | 14,633 | 9,322 | ||||||
Registration and filing fees | 11,543 | 11,026 | ||||||
Directors’ and officers’ fees | 10,496 | 10,138 | ||||||
Other expenses | 1,608 | 1,575 | ||||||
|
|
|
| |||||
Total expenses before waivers and reimbursements | 296,709 | 215,856 | ||||||
Less: waivers and reimbursements | (150,484 | ) | (124,479 | ) | ||||
|
|
|
| |||||
Net expenses after waivers and reimbursements | 146,225 | 91,377 | ||||||
|
|
|
| |||||
Net investment income | 77,943 | 129,567 | ||||||
|
|
|
| |||||
Net realized and unrealized loss from investments | ||||||||
Net realized loss from: | ||||||||
Investments | (3,281,875 | ) | (723,079 | ) | ||||
Net change in unrealized appreciation/(depreciation) on: | ||||||||
Investments | (2,656,789 | ) | (4,196,070 | ) | ||||
|
|
|
| |||||
Net realized and unrealized loss on investments | (5,938,664 | ) | (4,919,149 | ) | ||||
|
|
|
| |||||
Net decrease in net assets resulting from operations | $ | (5,860,721 | ) | $ | (4,789,582 | ) | ||
|
|
|
| |||||
† Net of foreign withholding taxes of | $ | (308 | ) | $ | — | |||
|
|
|
|
The accompanying notes are an integral part of the financial statements.
10
THE SCHNEIDER FUNDS
SCHNEIDER SMALL CAP VALUE FUND
Statements of Changes in Net Assets
For the Six Months Ended February 29, 2016 (Unaudited) | For the Year Ended August 31, 2015 | |||||||
Increase/(decrease) in net assets from operations: | ||||||||
Net investment income/(loss) | $ | 77,943 | $ | (21,887 | ) | |||
Net realized gain/(loss) from investments | (3,281,875 | ) | 874,089 | |||||
Net change in unrealized appreciation/(depreciation) on investments | (2,656,789 | ) | (13,727,629 | ) | ||||
|
|
|
| |||||
Net decrease in net assets resulting from operations | (5,860,721 | ) | (12,875,427 | ) | ||||
|
|
|
| |||||
Dividends and distributions to shareholders from: | ||||||||
Net investment income | (64,790 | ) | — | |||||
Net realized capital gains | (66,775 | ) | (12,187,028 | ) | ||||
Tax return of capital | — | (101,204 | ) | |||||
|
|
|
| |||||
Net decrease in net assets from dividends and distributions to shareholders | (131,565 | ) | (12,288,232 | ) | ||||
|
|
|
| |||||
Decrease in net assets derived from capital share transactions: | ||||||||
Proceeds from shares sold | 424,124 | 651,878 | ||||||
Reinvestment of distributions | 106,161 | 10,101,136 | ||||||
Redemption fees * | 1,518 | 786 | ||||||
Shares redeemed | (5,311,775 | ) | (16,443,081 | ) | ||||
|
|
|
| |||||
Net decrease in net assets from capital share transactions | (4,779,972 | ) | (5,689,281 | ) | ||||
|
|
|
| |||||
Total decrease in net assets | (10,772,258 | ) | (30,852,940 | ) | ||||
|
|
|
| |||||
Net assets: | ||||||||
Beginning of period | 30,387,118 | 61,240,058 | ||||||
|
|
|
| |||||
End of period | $ | 19,614,860 | $ | 30,387,118 | ||||
|
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|
| |||||
Undistributed net investment loss, end of period | $ | (13,005 | ) | $ | (26,158 | ) | ||
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|
| |||||
Decrease in shares outstanding derived from share transactions: | ||||||||
Shares sold | 42,243 | 48,865 | ||||||
Shares reinvested | 9,931 | 783,641 | ||||||
Shares redeemed | (510,722 | ) | (1,106,138 | ) | ||||
|
|
|
| |||||
Net decrease in shares outstanding | (458,548 | ) | (273,632 | ) | ||||
|
|
|
|
* | There is a 1.75% redemption fee on shares redeemed which have been held less than one year in the Schneider Small Cap Value Fund. The redemption fees are retained by the Fund for the benefit of the remaining shareholders and recorded as paid-in capital. |
The accompanying notes are an integral part of the financial statements.
11
THE SCHNEIDER FUNDS
SCHNEIDER VALUE FUND
Statements of Changes in Net Assets
For the Six Months Ended February 29, 2016 (Unaudited) | For the Year Ended August 31, 2015 | |||||||
Increase/(decrease) in net assets from operations: | ||||||||
Net investment income | $ | 129,567 | $ | 112,656 | ||||
Net realized gain/(loss) from investments | (723,079 | ) | 3,523,407 | |||||
Net change in unrealized appreciation/(depreciation) on investments | (4,196,070 | ) | (7,449,371 | ) | ||||
|
|
|
| |||||
Net decrease in net assets resulting from operations | (4,789,582 | ) | (3,813,308 | ) | ||||
|
|
|
| |||||
Dividends and distributions to shareholders from: | ||||||||
Net investment income | (183,447 | ) | (134,181 | ) | ||||
|
|
|
| |||||
Net decrease in net assets from dividends and distributions to shareholders | (183,447 | ) | (134,181 | ) | ||||
|
|
|
| |||||
Decrease in net assets derived from capital share transactions: | ||||||||
Proceeds from shares sold | 13,447 | 256,126 | ||||||
Reinvestment of distributions | 176,748 | 130,012 | ||||||
Redemption fees * | — | 45 | ||||||
Shares redeemed | (4,010,383 | ) | (7,872,575 | ) | ||||
|
|
|
| |||||
Net decrease in net assets from capital share transactions | (3,820,188 | ) | (7,486,392 | ) | ||||
|
|
|
| |||||
Total decrease in net assets | (8,793,217 | ) | (11,433,881 | ) | ||||
|
|
|
| |||||
Net assets: | ||||||||
Beginning of period | 24,321,772 | 35,755,653 | ||||||
|
|
|
| |||||
End of period | $ | 15,528,555 | $ | 24,321,772 | ||||
|
|
|
| |||||
Undistributed net investment income, end of period | $ | 20,844 | $ | 74,724 | ||||
|
|
|
| |||||
Decrease in shares outstanding derived from share transactions: | ||||||||
Shares sold | 808 | 13,750 | ||||||
Shares reinvested | 10,757 | 6,793 | ||||||
Shares redeemed | (247,480 | ) | (405,884 | ) | ||||
|
|
|
| |||||
Net decrease in shares outstanding | (235,915 | ) | (385,341 | ) | ||||
|
|
|
|
* | There is a 1.00% redemption fee on shares redeemed which have been held less than 90 days in the Schneider Value Fund. The redemption fees are retained by the Fund for the benefit of the remaining shareholders and recorded as paid-in capital. |
The accompanying notes are an integral part of the financial statements.
12
THE SCHNEIDER FUNDS
SCHNEIDER SMALL CAP VALUE FUND
Financial Highlights
Contained below is per share operating performance data for a share outstanding during each period, 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.
For the Six Months Ended February 29, 2016 (Unaudited) | For the Years Ended August 31, | |||||||||||||||||||||||
2015 | 2014 | 2013 | 2012 | 2011 | ||||||||||||||||||||
Per Share Operating Performance | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 11.00 | $ | 20.16 | $ | 21.07 | $ | 16.09 | $ | 13.70 | $ | 13.19 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net investment income/(loss) | 0.03 | (1) | (0.01 | )(1) | (0.09 | )(1) | 0.08 | (1) | (0.11 | ) | (0.06 | ) | ||||||||||||
Net realized and unrealized gain/(loss) on investments and foreign currency transactions | (2.46 | ) | (4.53 | ) | 2.63 | 4.90 | 2.49 | 0.56 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net increase/(decrease) in net assets resulting from operations | (2.43 | ) | (4.54 | ) | 2.54 | 4.98 | 2.38 | 0.50 | ||||||||||||||||
|
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|
|
|
|
|
|
|
|
|
| |||||||||||||
Dividends and distributions to shareholders from: | ||||||||||||||||||||||||
Net investment income | (0.03 | ) | — | — | — | — | — | |||||||||||||||||
Net realized gains | (0.03 | ) | (4.58 | ) | (3.45 | ) | — | — | — | |||||||||||||||
Tax return of capital | — | (0.04 | ) | — | — | — | — | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total dividends and distributions to shareholders | (0.06 | ) | (4.62 | ) | (3.45 | ) | — | — | — | |||||||||||||||
|
|
|
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|
|
|
|
|
|
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| |||||||||||||
Redemption fees | — | (2) | — | (2) | — | (2) | — | (2) | 0.01 | 0.01 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net asset value, end of period | $ | 8.51 | $ | 11.00 | $ | 20.16 | $ | 21.07 | $ | 16.09 | $ | 13.70 | ||||||||||||
|
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|
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|
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|
|
| |||||||||||||
Total investment return(3) | (22.18 | )%(4) | (25.88 | )% | 12.59 | % | 30.95 | % | 17.45 | % | 3.87 | % | ||||||||||||
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| |||||||||||||
Ratio/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (000’s omitted) | $ | 19,615 | $ | 30,387 | $ | 61,240 | $ | 70,556 | $ | 62,691 | $ | 69,698 | ||||||||||||
Ratio of expenses to average net assets(5) | 1.15 | %(6) | 1.15 | % | 1.15 | % | 1.15 | % | 1.15 | % | 1.15 | % | ||||||||||||
Ratio of expenses to average net assets without waivers and expense reimbursements | 2.33 | %(6) | 1.82 | % | 1.52 | % | 1.50 | % | 1.52 | % | 1.40 | % | ||||||||||||
Ratio of net investment income/(loss) to average net assets(5) | 0.61 | %(6) | (0.05 | )% | (0.44 | )% | 0.38 | % | (0.64 | )% | (0.33 | )% | ||||||||||||
Portfolio turnover rate | 52.05 | %(4) | 88.80 | % | 72.33 | % | 63.87 | % | 67.85 | % | 59.18 | % |
(1) | Calculated based on average shares outstanding for the period. |
(2) | Amount is less than $0.005 per share. |
(3) | Total investment return 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) | Not annualized. |
(5) | Reflects waivers and reimbursements. |
(6) | Annualized. |
The accompanying notes are an integral part of the financial statements.
13
THE SCHNEIDER FUNDS
SCHNEIDER VALUE FUND
Financial Highlights
Contained below is per share operating performance data for a share outstanding during each period, 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.
For the Six Months Ended February 29, 2016 (Unaudited) | For the Years Ended August 31, | |||||||||||||||||||||||
2015 | 2014 | 2013 | 2012 | 2011 | ||||||||||||||||||||
Per Share Operating Performance | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 17.29 | $ | 19.96 | $ | 16.31 | $ | 12.77 | $ | 12.50 | $ | 11.72 | ||||||||||||
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|
|
|
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| |||||||||||||
Net investment income | 0.10 | (1) | 0.07 | (1) | 0.05 | (1) | 0.10 | 0.10 | 0.07 | |||||||||||||||
Net realized and unrealized gain/(loss) from investments and foreign currency transactions | (3.98 | ) | (2.65 | ) | 3.67 | 3.58 | 0.23 | 0.80 | ||||||||||||||||
|
|
|
|
|
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|
|
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|
|
| |||||||||||||
Net increase/(decrease) in net assets resulting from operations | (3.88 | ) | (2.58 | ) | 3.72 | 3.68 | 0.33 | 0.87 | ||||||||||||||||
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|
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| |||||||||||||
Dividends and distributions to shareholders from: | ||||||||||||||||||||||||
Net investment income | (0.14 | ) | (0.09 | ) | (0.07 | ) | (0.14 | ) | (0.06 | ) | (0.09 | ) | ||||||||||||
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|
|
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|
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| |||||||||||||
Total dividends and distributions to shareholders | (0.14 | ) | (0.09 | ) | (0.07 | ) | (0.14 | ) | (0.06 | ) | (0.09 | ) | ||||||||||||
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| |||||||||||||
Redemption fees | — | — | (2) | — | — | (2) | — | (2) | — | (2) | ||||||||||||||
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| |||||||||||||
Net asset value, end of period | $ | 13.27 | $ | 17.29 | $ | 19.96 | $ | 16.31 | $ | 12.77 | $ | 12.50 | ||||||||||||
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|
|
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|
|
| |||||||||||||
Total investment return(3) | (22.58 | )%(4) | (12.99 | )% | 22.83 | % | 29.08 | % | 2.67 | % | 7.35 | % | ||||||||||||
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| |||||||||||||
Ratio/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (000’s omitted) | $ | 15,529 | $ | 24,322 | $ | 35,756 | $ | 33,872 | $ | 43,719 | $ | 67,940 | ||||||||||||
Ratio of expenses to average net | 0.90 | %(6) | 0.90 | % | 0.90 | % | 0.90 | % | 0.90 | % | 0.90 | % | ||||||||||||
Ratio of expenses to average net assets without waivers and expense reimbursements | 2.13 | %(6) | 1.74 | % | 1.50 | % | 1.55 | % | 1.28 | % | 1.07 | % | ||||||||||||
Ratio of net investment income to average net assets(5) | 1.28 | %(6) | 0.39 | % | 0.27 | % | 0.39 | % | 0.63 | % | 0.31 | % | ||||||||||||
Portfolio turnover rate | 52.94 | %(4) | 62.01 | % | 44.34 | % | 53.08 | % | 55.87 | % | 67.80 | % |
(1) | Calculated based on average shares outstanding for the period. |
(2) | Amount is less than $0.005 per share. |
(3) | Total investment return 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) | Not annualized. |
(5) | Reflects waivers and reimbursements. |
(6) | Annualized. |
The accompanying notes are an integral part of the financial statements.
14
THE SCHNEIDER FUNDS
Notes to Financial Statements
February 29, 2016
(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 twenty-three active investment portfolios, including the Schneider Small Cap Value Fund (the “Small Cap Value Fund”) and the Schneider Value Fund (the “Value Fund”) (each a “Fund,” collectively the “Funds”), which commenced investment operations on September 2, 1998 and September 30, 2002, respectively. As of the date hereof, each Fund offers Institutional Class shares.
RBB has authorized capital of one hundred billion shares of common stock of which 83.023 billion shares are currently classified into one hundred and fifty-seven classes of common stock. Each class represents an interest in an active or inactive RBB investment portfolio.
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 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 having a remaining maturity of greater than 60 days are valued using an independent pricing service. Fixed Income securities having a remaining maturity of 60 days or less are valued at amortized cost, which approximates market value. Foreign securities are valued based on prices from the primary market in which they are traded, and are translated from the local currency into U.S. dollars using current exchange rates. Investments in other open-end investment companies are valued based on the NAV of the investment companies (which may use Fair Value Pricing as discussed in their prospectuses). If market quotations are unavailable or deemed unreliable, securities will be valued in accordance with procedures adopted by the Company’s Board of Directors. 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 MEASUREMENT — The inputs and valuations techniques used to measure fair value of the Funds’ investments are summarized into three levels as described in the hierarchy below:
• Level 1 — | quoted prices in active markets for identical securities; |
• Level 2 — | other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.); and |
• Level 3 — | significant unobservable inputs (including the Funds’ own assumptions in determining the fair value of investments). |
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
15
THE SCHNEIDER FUNDS
Notes to Financial Statements (Continued)
February 29, 2016
(Unaudited)
The following summary of the inputs used, as of February 29, 2016, in valuing the Funds’ investments carried at fair value:
Small Cap Value Fund
Total | Level 1 Quoted Price | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |||||||||||||
Common Stocks* | $ | 19,277,023 | $ | 19,195,353 | $ | 81,670 | $ | — | ||||||||
Exchange Traded Fund | 240,217 | 240,217 | — | — | ||||||||||||
Securities Lending Collateral | 2,115,537 | 2,115,537 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 21,632,777 | $ | 21,551,107 | $ | 81,670 | $ | — | ||||||||
|
|
|
|
|
|
|
|
Value Fund
Total | Level 1 Quoted Price | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |||||||||||||
Common Stocks* | $ | 15,227,746 | $ | 15,227,746 | $ | — | $ | — | ||||||||
Exchange Traded Fund | 106,663 | 106,663 | — | — | ||||||||||||
Securities Lending Collateral | 2,308,192 | 2,308,192 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 17,642,601 | $ | 17,642,601 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
|
* Please refer to the Portfolio of Investments for further details on portfolio holdings.
The fair value of a Fund’s bonds are generally based on quotes received from brokers of independent pricing services. Bonds with quotes that are based on actual trades with a sufficient level of activity on or near the measurement date are classified as Level 2 assets. Bonds that are priced using quotes derived from implied values, indicative bids, or a limited amount of actual trades are classified as Level 3 assets because the inputs used by the brokers and pricing services to derive the values are not readily observable.
Investments designated as Level 3 may include assets valued using quotes or indications furnished by brokers which are based on models or estimates and may not be executable prices. In light of the developing market conditions, Schneider Capital Management continues to search for observable data points and evaluate broker quotes and indications received for portfolio investments. Determination of fair values is uncertain because it involves subjective judgments and estimates not easily substantiated by auditing procedures.
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 and Level 2 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 an active 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”) require each Fund to present a reconciliation of the beginning to ending balances for reported market values that presents
16
THE SCHNEIDER FUNDS
Notes to Financial Statements (Continued)
February 29, 2016
(Unaudited)
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. U.S. GAAP also requires a Fund to disclose amounts and reasons for all transfers in and out of Level 1 and Level 2 fair value measurements. 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 transfers in and out of each level within the three-tier hierarchy are disclosed when a Fund had an amount of total transfers during the reporting period that was meaningful in relation to its net assets as of the end of the reporting period.
For the six months ended February 29, 2016, there were no significant transfers between Levels 1, 2 and 3 for the Small Cap Value Fund and the Value Fund.
USE OF ESTIMATES — The Funds are investment companies and follow accounting and reporting guidance in the Financial Accounting Standards Board Accounting Standards Codification Topic 946. 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 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 is accrued as 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 estimates the components of distributions received that may be considered return of capital distributions or capital gain distributions. Expenses incurred on behalf of a specific class, fund or fund family of the Company are charged directly to the class, fund or fund family (in proportion to net assets). Expenses incurred for all of the RBB funds (such as director or professional fees) are charged to all funds in proportion to their average net assets of RBB, or in such other manner as the Board of Directors 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.
FOREIGN CURRENCY TRANSLATION — Foreign securities and other foreign assets and liabilities are valued using the foreign currency exchange rate effective at the end of the reporting period. The books and records of the Funds are maintained in U.S. dollars. Cost of investments is translated at the currency exchange rate effective at the trade date. The gain or loss resulting from a change in currency exchange rates between the trade and settlement dates of a portfolio transaction is treated as a gain or loss on foreign currency. Likewise, the gain or loss resulting from a change in currency exchange rates, between the date income is accrued and paid, is treated as a gain or loss on foreign currency.
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS — Dividends from net investment income and distributions from net realized capital gains, if any, are declared, recorded on the ex-dividend date and paid at least annually to shareholders. 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 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 — The Funds consider liquid assets deposited into a bank demand deposit account to be cash equivalents. These investments represent amounts held with financial institutions that are readily accessible to pay Fund expenses or purchase investments. Cash and cash equivalents are valued at cost plus accrued interest, which approximates market value.
17
THE SCHNEIDER FUNDS
Notes to Financial Statements (Continued)
February 29, 2016
(Unaudited)
OTHER — In the normal course of business, the Funds may enter into contracts that provide general indemnifications. The Funds’ 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 for such claims is considered remote.
2. | Investment Adviser and Other Services |
Schneider Capital Management Company (“SCM” or the “Adviser”) serves as each Fund’s investment adviser. For its advisory services, SCM is entitled to receive 1.00% of the Small Cap Value Fund’s average daily net assets and 0.70% of the Value Fund’s average daily net assets, computed daily and payable monthly.
SCM has contractually agreed to waive its advisory fees and/or reimburse expenses to the extent that total annual operating expenses (excluding certain items discussed below) of the Small Cap Value Fund and the Value Fund exceed 1.15% and 0.90%, respectively. In determining SCM’s obligation to waive advisory fees and/or reimburse expenses, the following expenses are not taken into account and could cause net total annual operating expenses to exceed 1.15% and 0.90%, respectively: acquired fund fees and expenses, brokerage commissions, extraordinary items, interest and taxes. This contractual limitation is in effect until December 31, 2016 and may not be terminated without the approval of the Company’s Board of Directors.
For the six months ended February 29, 2016, advisory fees and waivers of advisory fees were as follows:
Gross Advisory Fees | Waivers | Reimbursement | Net Advisory Fees | |||||||||||||
Small Cap Value Fund | $ | 127,152 | $ | (127,152 | ) | $ | (23,332 | ) | $ | (23,332 | ) | |||||
Value Fund | 71,070 | (71,070 | ) | (53,409 | ) | (53,409 | ) |
The Funds will not pay SCM at a later time for any amounts it may waive or any amounts that SCM has assumed.
BNY Mellon Investment Servicing (US) Inc. (“BNY Mellon”) serves as administrator for the Funds. For providing administration and accounting services, BNY Mellon is entitled to receive a monthly fee equal to an annual percentage rate of each Fund’s average daily net assets, subject to certain minimum monthly fees.
Included in the administration and accounting services fees, shown on the Statement of Operations, are fees for providing regulatory administration services to RBB. For providing these services, BNY Mellon is entitled to receive compensation as agreed to by the Company and BNY Mellon. This fee is allocated to each portfolio of the Company in proportion to its net assets of the Company.
In addition, BNY Mellon serves as the Funds’ transfer and dividend disbursing agent. For providing transfer agent services, BNY Mellon is entitled to receive a monthly fee, subject to certain minimum monthly and out of pocket expenses.
The Bank of New York Mellon (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 serves as the principal underwriter and distributor of the Funds’ shares pursuant to a Distribution Agreement with RBB.
3. | Director’s and Officer’s Compensation |
The Directors of the Company receive an annual retainer and meeting fees for meetings attended. The aggregate remuneration paid to the Directors by the Funds during the six months ended February 29, 2016 was $8,501. Certain employees of BNY Mellon serve as an Officer of the Company. They are not compensated by the Funds or the Company. Employees of Vigilant Compliance, LLC serve as President, Chief Compliance Officer and, effective January 1, 2016, Treasurer of the Company. Vigilant Compliance, LLC is compensated for the services provided to the Company. For the six months ended February 29, 2016, the Funds paid $6,204 in officer fees.
18
THE SCHNEIDER FUNDS
Notes to Financial Statements (Continued)
February 29, 2016
(Unaudited)
4. | Investment in Securities |
For the six months ended February 29, 2016, aggregate purchases and sales of investment securities (excluding short-term investments) were as follows:
Purchases | Sales | |||||||
Small Cap Value Fund | $12,891,438 | $16,666,164 | ||||||
Value Fund | 10,389,181 | 13,133,711 |
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. Each Fund has 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 February 29, 2016, federal tax cost, aggregate gross unrealized appreciation and depreciation of securities held by the Funds were as follows:
Federal Tax Cost | Unrealized Appreciation | Unrealized Depreciation | Net Unrealized Depreciation | |||||||||||||
Small Cap Value Fund | $ | 28,376,219 | $ | 1,677,407 | $ | (8,420,849 | ) | $ | (6,743,442 | ) | ||||||
Value Fund | 20,137,825 | 1,655,869 | (4,151,093 | ) | (2,495,224 | ) |
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, 2015, the components of distributable earnings on a tax basis were as follows:
Capital Loss Carryforwards | Undistributed Ordinary Income | Undistributed Long-Term Gains | Unrealized Depreciation | Qualified Late-Year Losses | ||||||||||||||||
Small Cap Value Fund | $ | — | $ | — | $ | — | $ | (6,033,864 | ) | $ | (1,793,305 | ) | ||||||||
Value Fund | (121,516,557 | ) | 74,724 | — | (744,642 | ) | — |
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. Short-term and foreign currency gains are reportable as ordinary income for federal income tax purposes.
The tax character of dividends and distributions paid during the fiscal year ended August 31, 2015 was as follows:
Ordinary Income | Long-Term Gains | Return of Capital | Total | |||||||||||||||
Small Cap Value Fund | $ | 714,807 | $ | 11,472,221 | $ | 101,204 | $ | 12,288,232 | ||||||||||
Value Fund | 134,181 | — | — | 134,181 |
Dividends from net investment income and short-term capital gains are treated as ordinary income dividends for federal income tax purposes.
19
THE SCHNEIDER FUNDS
Notes to Financial Statements (Continued)
February 29, 2016
(Unaudited)
Accumulated capital losses represent net capital loss carry forwards as of August 31, 2015 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.
As of August 31, 2015, the Funds had the following pre-enactment net capital loss carryforwards to offset future net capital gains, if any, to the extent provided by Treasury regulations. To the extent that these carryforwards are used to offset future capital gains, it is probable that the gains that are offset will not be distributed to shareholders.
August 31, 2016 | August 31, 2017 | August 31, 2018 | August 31, 2019 | Total | ||||||||||||||||
Small Cap Value Fund | $ | — | $ | — | $ | — | $ | — | $ | — | ||||||||||
Value Fund | 462,569 | 75,945,572 | 42,948,995 | 2,159,421 | 121,516,557 |
As of August 31, 2015, the Funds did not have any post-enactment 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 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. 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 collateral as of February 29, 2016 and the income received for the six months ended February 29, 2016 were as follows:
Fair Value of Securities Loaned | Fair Value of Collateral | Income Received from Securities Lending | ||||||||||
Small Cap Value Fund | $ | 2,066,261 | $ | 2,115,537 | $ | 74,681 | ||||||
Value Fund | 2,208,196 | 2,308,192 | 83,490 |
Securities lending transactions are entered into by each Fund under a Master Securities Lending Agreement (“MSLA”) which permits the Funds, under certain circumstances including an event of default (such as bankruptcy or insolvency), to offset amounts payable by 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 each Fund’s open securities lending transactions which are subject to a MSLA as of February 29, 2016:
Securities Lending | Gross Amounts of Recognized Assets | Gross Amounts Offset in the Statement of Assets and Liabilities | Net Amounts of Assets Presented in the Statement of Assets and Liabilities | Gross Amount Not Offset in the Statement of Assets and Liabilities | ||||||||||||||||||||
Financial Instruments1 | Cash Collateral Received | Net Amount2 | ||||||||||||||||||||||
Small Cap Value Fund | $ | 2,066,261 | $ | — | $ | 2,066,261 | $ | (2,066,261 | ) | $ | — | $ | — | |||||||||||
Value Fund | 2,208,196 | — | 2,208,196 | (2,208,196 | ) | — | — |
1 | Amount disclosed is limited to the amount of assets presented in the Statement 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. |
20
THE SCHNEIDER FUNDS
Notes to Financial Statements (Concluded)
February 29, 2016
(Unaudited)
7. | Subsequent Events |
Management has evaluated the impact of all subsequent events on the Funds through the date the financial statements were issued and have determined that there were no subsequent events requiring recognition or disclosure in the financial statements.
21
THE SCHNEIDER 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 12-month period ended June 30 are available without charge, upon request, by calling (888) 520-3277 and on the Securities and Exchange Commission’s (“SEC”) website at http://www.sec.gov.
Quarterly Portfolio Schedules
The Company files a complete schedule of portfolio holdings with the SEC for the first and third fiscal quarters of each fiscal year (quarters ended November 30 and May 31) on Form N-Q. The Company’s Form N-Q is available on the SEC website at http://www.sec.gov and may be reviewed and copied at the SEC Public Reference Room in Washington, D.C. Information on the operation of the SEC Public Reference Room may be obtained by calling (800) SEC-0330.
22
Investment Adviser
Schneider Capital Management
460 E. Swedesford Road
Suite 1080
Wayne, PA 19087
Administrator
BNY Mellon Investment Servicing (US) Inc.
301 Bellevue Parkway
Wilmington, DE 19809
Transfer Agent
BNY Mellon Investment Servicing (US) Inc.
4400 Computer Drive
Westborough, MA 01581
Principal Underwriter
Foreside Funds Distributors LLC
400 Berwyn Park
899 Cassatt Road
Berwyn, PA 19312
Custodian
The Bank of New York Mellon
225 Liberty Street
New York, NY 10286
Independent Registered Public Accounting Firm
PricewaterhouseCoopers LLP
Two Commerce Square, Suite 1800
2001 Market Street
Philadelphia, PA 19103-7042
Legal Counsel
Drinker Biddle & Reath LLP
One Logan Square, Ste. 2000
Philadelphia, PA 19103-6996
SCH-SAR16
SCOTIA DYNAMIC U.S. GROWTH FUND
of
The RBB Fund, Inc.
SEMI-ANNUAL REPORT
February 29, 2016
(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.
SCOTIA DYNAMIC U.S. GROWTH FUND
Semi-Annual Investment Adviser’s Report
February 29, 2016
(Unaudited)
February 29, 2016
Dear Shareholder:
We are pleased to provide you with this semi-annual report for the Scotia Dynamic U.S. Growth Fund (the “Fund”). In this report, you will find important financial information about the Fund for the six-month period ended February 29, 2016.
During the six-month period ended February 29, 2016, the Fund’s broad-based benchmark, the Russell 1000 Growth Index (the “Index”), returned -1.22% while the Fund earned a return of -17.73%. The Fund underperformed the Index primarily as a result of individual security selection within the information technology and healthcare sectors. The collective holdings in these sectors posted negative returns for both the Fund and the Index. Not having exposure to the energy sector during the period was a notable positive for relative Fund performance as the Index’s energy holdings (though minimal) posted a large negative return. At the security level, the primary positive contributors to performance included social media company Facebook, automotive aftermarket retailer O’Reilly Automotive, and fast casual Mediterranean-inspired restaurant Zoës Kitchen. Network security company Palo Alto Networks and data analytics software company Tableau Software were top ten contributors to Fund performance for calendar year 2015, but were among the top ten detractors from performance during the past six months. At period end, the Fund was invested in the information technology, consumer discretionary and healthcare sectors. As of February 29, 2016, the Fund held 22 individual stocks. As a result of the portfolio’s concentration, each individual security within the portfolio has a much more meaningful impact on the Fund’s performance than any individual security within the Index.
The beginning of 2016 marked one of the worst starts for the markets in history. The Fund’s returns in January and February were the primary reason for its negative return during the past six months. In early February we witnessed a violent selloff in many growth stocks – particularly in the information technology sector. We believe that some of that was due to poor earnings results from two companies, which caused investors to panic and sell many stocks aggressively. We used that sell off as an opportunity to add to, or start new positions in, some growth stocks that have demonstrated significant growth and have strong outlooks going forward. We saw a sell off similar to this one in October 2010 when the midcap technology sector pulled back very hard (8-12%) in the wake of one company’s negative preannouncement. Then, like now, the hits to the midcap technology sector were broad-based despite the fact that the earnings misses were company-specific events. The start of 2016 has been a difficult period, but we have been through periods such as this one before and sticking to our discipline and process is what allowed us to have success over the long-term.
We employ a disciplined, repeatable, and proven investment process that focuses on a bottom-up stock selection approach to generate excess returns. Our investment process begins by screening a universe of more than 5,000 publicly listed companies to seek out those with high revenue growth, high earnings growth, and the ability to become significantly larger companies. Sector weights in our Fund are derived strictly from this bottom-up stock selection process. Looking at the returns of our Fund over the years, the overwhelming majority has been driven by stock selection. Stock selection is what we do best and what we continue to focus on.
Thank you for your investment and confidence in the Fund. We appreciate the opportunity you have given us to assist you in meeting your investment goals. We are grateful for the trust placed in us.
Sincerely,
Noah Blackstein, CFA
Vice President & Portfolio Manager
Scotia Institutional Asset Management U.S., Ltd.
Current and future portfolio holdings are subject to change and risk.
1
SCOTIA DYNAMIC U.S. GROWTH FUND
Performance Data
February 29, 2016
(Unaudited)
Average Annual Total Returns for the Periods Ended February 29, 2016 | ||||||||||||||||||||
Six Months* | One Year | Three Years | Five Years | Since | ||||||||||||||||
Scotia Dynamic U.S. Growth Fund - Class I Shares** | -17.73% | -16.25% | 10.29% | 6.92% | 18.66% | |||||||||||||||
Russell 1000® Growth Index*** | -1.22% | -5.05% | 12.54% | 10.95% | 17.06% |
* | Not annualized. |
** | 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 Scotia Dynamic U.S. Growth Fund (the “Fund”), a newly created series of The RBB Fund, Inc. 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. The performance data includes adjustments in accordance with accounting principles generally accepted in the United States of America and, consequently, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. |
*** | Benchmark performance is from 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 1-888-572-0968.
The Fund applies a 2.00% redemption fee to the value of shares redeemed or exchanged within 60 days of purchase. This redemption fee is not reflected in the returns shown above. The performance data quoted reflects fee waivers in effect and would have been less in their absence.
The Fund’s total annual gross and net operating expenses, as stated in the current prospectus dated December 31, 2015, are 1.20% 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. The Fund’s investment adviser has contractually agreed to waive management fees and/or reimburse certain expenses of the Fund through December 31, 2016 to the extent necessary to ensure that the Fund’s total annual operating expenses (excluding taxes, extraordinary expenses, brokerage commissions and interest) do not exceed 0.84% (on an annual basis) of Class I’s average daily net assets (the “Expense Limitation”). The Expense Limitation shall remain in effect until December 31, 2016, unless the Board of Directors of The RBB Fund, Inc. approves its earlier termination.
The Fund is non-diversified and invests in a limited number of securities. As a result, the Fund’s investment performance may be more volatile, as it may be more susceptible to risks associated with a single economic, political, or regulatory event than a fund that invests in a greater number of issuers.
From time to time the Fund may focus its investments in one or more specific economic sectors and may be subject to greater risk from downturns affecting a specific sector.
The value of the Fund’s investments in equity securities may fluctuate drastically from day-to-day causing price volatility.
The Russell 1000® Growth Index measures the performance of the large-cap growth segment of the U.S. equity universe. It includes those Russell 1000 companies with higher price-to-book ratios and higher forecasted growth values. The Index is constructed to provide a comprehensive and unbiased barometer for the large-cap growth segment. The index assumes the reinvestment of all dividends. The performance of an index assumes no transaction costs, taxes, management fees or other expenses. A direct investment in an index is not possible.
2
SCOTIA DYNAMIC U.S. GROWTH FUND
Fund Expense Examples
February 29, 2016
(Unaudited)
As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, including redemption fees; and (2) ongoing costs, including management fees, shareholder servicing 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, 2015 through February 29, 2016 and held for the entire period.
Actual Expenses
The first line of the table below 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 table below 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 your 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 table below are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as redemption fees. 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 transactional costs were included, your costs would have been higher.
Class I Shares | ||||||
Beginning Account Value September 1, 2015 | Ending Account Value February 29, 2016 | Expenses Paid During Period* | ||||
Actual | $1,000.00 | $ 822.70 | $3.81 | |||
Hypothetical | 1,000.00 | 1,020.69 | 4.22 |
* | Expenses are equal to the Fund’s annualized six-month expense ratio of 0.84% for Class I Shares, which includes waived fees and 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. 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 as of February 29, 2016 of -17.73% for Class I Shares. |
3
SCOTIA DYNAMIC U.S. GROWTH FUND
Portfolio Holdings Summary Table
February 29, 2016
(Unaudited)
The following table presents a summary by sector of the portfolio holdings of the Fund:
Security Type/Sector Classification | % of Net Assets | Value | ||||||
COMMON STOCKS: | ||||||||
Information Technology | 48.7 | % | $ | 31,770,458 | ||||
Consumer Discretionary | 39.5 | 25,724,198 | ||||||
Health Care | 11.0 | 7,199,362 | ||||||
Other Assets in Excess of Liabilities | 0.8 | 527,402 | ||||||
|
|
|
| |||||
NET ASSETS | 100.0 | % | $ | 65,221,420 | ||||
|
|
|
|
Portfolio holdings are subject to change at any time.
The accompanying notes are an integral part of the financial statements.
4
SCOTIA DYNAMIC U.S. GROWTH FUND
Portfolio of Investments
February 29, 2016
(Unaudited)
Number of Shares | Value | |||||||
COMMON STOCKSD - 99.2% |
| |||||||
Consumer Discretionary — 39.5% |
| |||||||
Amazon.com, Inc.* | 6,600 | $ | 3,646,632 | |||||
NIKE, Inc., Class B | 47,600 | 2,931,684 | ||||||
O’Reilly Automotive, Inc.* | 12,700 | 3,306,064 | ||||||
Priceline Group, Inc., (The)* | 2,500 | 3,163,025 | ||||||
Starbucks Corp. | 49,600 | 2,887,216 | ||||||
Ulta Salon Cosmetics & | 19,000 | 3,138,610 | ||||||
Under Armour, Inc., Class A* | 42,200 | 3,531,718 | ||||||
Zoe’s Kitchen, Inc.* | 89,300 | 3,119,249 | ||||||
|
| |||||||
25,724,198 | ||||||||
|
| |||||||
Health Care — 11.0% | ||||||||
ABIOMED, Inc.* | 32,800 | 2,624,328 | ||||||
Intuitive Surgical, Inc.* | 4,700 | 2,646,382 | ||||||
Ligand Pharmaceuticals, Inc.* | 20,900 | 1,928,652 | ||||||
|
| |||||||
7,199,362 | ||||||||
|
| |||||||
Information Technology — 48.7% |
| |||||||
Adobe Systems, Inc.* | 40,500 | 3,448,575 | ||||||
Alphabet, Inc., Class C* | 5,600 | 3,907,512 | ||||||
Arista Networks, Inc.* | 43,100 | 2,954,074 | ||||||
Ellie Mae, Inc.* | 22,900 | 1,926,577 |
Number of Shares | Value | |||||||
Information Technology — (Continued) |
| |||||||
Facebook, Inc., Class A* | 42,900 | $ | 4,586,868 | |||||
First Solar, Inc.* | 13,000 | 934,310 | ||||||
Palo Alto Networks, Inc.* | 22,300 | 3,228,817 | ||||||
PayPal Holdings, Inc.* | 91,500 | 3,489,810 | ||||||
salesforce.com, Inc.* | 37,700 | 2,554,175 | ||||||
Ultimate Software Group, Inc., (The)* | 16,300 | 2,799,688 | ||||||
Visa, Inc., Class A | 26,800 | 1,940,052 | ||||||
|
| |||||||
31,770,458 | ||||||||
|
| |||||||
TOTAL COMMON STOCKS |
| 64,694,018 | ||||||
|
| |||||||
TOTAL INVESTMENTS - 99.2% |
| 64,694,018 | ||||||
|
| |||||||
OTHER ASSETS IN EXCESS OF |
| 527,402 | ||||||
|
| |||||||
NET ASSETS - 100.0% |
| $ | 65,221,420 | |||||
|
|
D | More narrow industries are utilized for compliance purposes, whereas broad sectors are utilized for reporting purposes. |
* | Non-income producing security. |
The accompanying notes are an integral part of the financial statements.
5
SCOTIA DYNAMIC U.S. GROWTH FUND
Statement of Assets and Liabilities
February 29, 2016
(Unaudited)
ASSETS | ||||
Investments, at value (Cost $66,118,175) | $ | 64,694,018 | ||
Cash | 2,152,679 | |||
Receivables for: | ||||
Investments sold | 3,011,072 | |||
Capital shares sold | 1,725 | |||
Dividends | 6,483 | |||
Prepaid expenses | 17,841 | |||
|
| |||
Total assets | 69,883,818 | |||
|
| |||
LIABILITIES | ||||
Payables for: | ||||
Investments purchased | 4,322,717 | |||
Capital shares redeemed | 233,347 | |||
Advisory fees | 13,970 | |||
Administration and accounting services fees | 24,696 | |||
Other accrued expenses and liabilities | 67,668 | |||
|
| |||
Total liabilities | 4,662,398 | |||
|
| |||
Net Assets | $ | 65,221,420 | ||
|
| |||
NET ASSETS CONSIST OF | ||||
Par value | $ | 3,007 | ||
Paid-in capital | 76,288,578 | |||
Accumulated net investment loss | (295,328 | ) | ||
Accumulated net realized loss from investments | (9,350,680 | ) | ||
Net unrealized depreciation on investments. | (1,424,157 | ) | ||
|
| |||
Net Assets | $ | 65,221,420 | ||
|
| |||
CLASS I SHARES | ||||
Net Assets applicable to Class I Shares | $ | 65,221,420 | ||
|
| |||
Shares outstanding ($0.001 par value, 100,000,000 shares authorized) | 3,007,144 | |||
|
| |||
Net asset value, offering and redemption price per share | $ | 21.69 | ||
|
|
The accompanying notes are an integral part of the financial statements.
6
SCOTIA DYNAMIC U.S. GROWTH FUND
Statement of Operations
For the Six Months Ended February 29, 2016
(Unaudited)
INVESTMENT INCOME | ||||
Dividends (net of foreign withholding taxes of $1,894) | $ | 27,836 | ||
Interest | 202 | |||
|
| |||
Total investment income | 28,038 | |||
|
| |||
EXPENSES | ||||
Advisory fees (Note 2) | 250,224 | |||
Administration and accounting services fees (Note 2) | 43,385 | |||
Shareholder servicing fees (Note 3) | 38,496 | |||
Transfer agent fees (Note 2) | 19,454 | |||
Insurance fees | 16,608 | |||
Registration and filing fees | 15,019 | |||
Custodian fees (Note 2) | 12,051 | |||
Directors’ and officers’ fees. | 10,925 | |||
Printing and shareholder reporting fees | 10,829 | |||
Audit fees | 8,580 | |||
Legal fees. | 7,063 | |||
Other expenses | 1,863 | |||
|
| |||
Total expenses before waivers | 434,497 | |||
Less: waivers (Note 2) | (111,131 | ) | ||
|
| |||
Net expenses after waivers | 323,366 | |||
|
| |||
Net investment loss | (295,328 | ) | ||
|
| |||
NET REALIZED AND UNREALIZED LOSS FROM INVESTMENTS | ||||
Net realized loss from: | ||||
Investments | (8,864,186 | ) | ||
Net change in unrealized appreciation/(depreciation) on: | ||||
Investments | (5,511,804 | ) | ||
|
| |||
Net realized and unrealized loss on investments | (14,375,990 | ) | ||
|
| |||
NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | (14,671,318 | ) | |
|
|
The accompanying notes are an integral part of the financial statements.
7
SCOTIA DYNAMIC U.S. GROWTH FUND
Statements of Changes in Net Assets
For the Six Months Ended February 29, 2016 (Unaudited) | For the Year Ended August 31, 2015 | |||||||
INCREASE/(DECREASE) IN NET ASSETS FROM OPERATIONS: | ||||||||
Net investment loss | $ | (295,328 | ) | $ | (475,032 | ) | ||
Net realized gain/(loss) from investments | (8,864,186 | ) | 7,073,585 | |||||
Net change in unrealized appreciation/(depreciation) on investments | (5,511,804 | ) | (675,621 | ) | ||||
|
|
|
| |||||
Net increase/(decrease) in net assets resulting from operations | (14,671,318 | ) | 5,922,932 | |||||
|
|
|
| |||||
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS FROM: | ||||||||
Class I Shares | ||||||||
Net realized gains | (5,811,254 | ) | (4,595,816 | ) | ||||
|
|
|
| |||||
Net decrease in net assets from dividends and distributions to shareholders | (5,811,254 | ) | (4,595,816 | ) | ||||
|
|
|
| |||||
INCREASE IN NET ASSETS DERIVED FROM CAPITAL SHARE TRANSACTIONS: | ||||||||
Class I Shares | ||||||||
Proceeds from shares sold | 21,720,809 | 21,554,359 | ||||||
Reinvestment of distributions | 5,682,037 | 4,441,210 | ||||||
Shares redeemed | (13,244,744 | ) | (15,730,473 | ) | ||||
Redemption fees* | 22,912 | 7,266 | ||||||
|
|
|
| |||||
Net increase in net assets from capital share transactions | 14,181,014 | 10,272,362 | ||||||
|
|
|
| |||||
Total increase/(decrease) in net assets | (6,301,558 | ) | 11,599,478 | |||||
|
|
|
| |||||
NET ASSETS: | ||||||||
Beginning of period. | 71,522,978 | 59,923,500 | ||||||
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End of period | $ | 65,221,420 | $ | 71,522,978 | ||||
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Accumulated net investment loss, end of period | $ | (295,328 | ) | $ | — | |||
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INCREASE IN SHARES OUTSTANDING DERIVED FROM SHARE TRANSACTIONS: | ||||||||
Class I Shares | ||||||||
Shares sold | 787,942 | 754,021 | ||||||
Shares reinvested | 215,229 | 182,241 | ||||||
Shares redeemed | (524,184 | ) | (576,114 | ) | ||||
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Net increase in shares outstanding | 478,987 | 360,148 | ||||||
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* | There is a 2.00% redemption fee to the value of shares redeemed within 60 days of purchase. The redemption fees are retained by the Fund for the benefit of the remaining shareholders and recorded as paid-in capital. |
The accompanying notes are an integral part of the financial statements.
8
SCOTIA DYNAMIC U.S. GROWTH FUND
Financial Highlights
Contained below is per share operating performance data for 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.
Class I Shares | ||||||||||||||||||||||||||||
For the Six Months Ended February 29, 2016 (Unaudited) | For the Year Ended August 31, 2015 | For the Eleven Months Ended August 31, 2014(1)(2) | For the Year Ended September 30, 2013 | For the Year Ended September 30, 2012 | For the Year Ended September 30, 2011 | For the Year Ended September 30, 2010 | ||||||||||||||||||||||
Per Share Operating Performance | ||||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 28.29 | $ | 27.64 | $ | 27.45 | $ | 22.45 | $ | 18.83 | $ | 16.36 | $ | 12.32 | ||||||||||||||
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Net investment loss(3) | (0.10 | ) | (0.21 | ) | (0.20 | ) | (0.14 | ) | (0.16 | ) | (0.16 | ) | (0.13 | ) | ||||||||||||||
Net realized and unrealized gain/(loss) from investments | (4.58 | ) | 3.04 | 2.96 | 5.14 | 4.21 | 2.82 | 5.80 | ||||||||||||||||||||
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Net increase/(decrease) in net assets resulting from operations | (4.68 | ) | 2.83 | 2.76 | 5.00 | 4.05 | 2.66 | 5.67 | ||||||||||||||||||||
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Dividends and distributions to shareholders from: | ||||||||||||||||||||||||||||
Net investment income | — | — | — | — | — | — | (0.23 | ) | ||||||||||||||||||||
Net realized gains | (1.93 | ) | (2.18 | ) | (2.57 | ) | — | (0.50 | ) | (0.24 | ) | (1.40 | ) | |||||||||||||||
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Total dividends and distributions to shareholders | (1.93 | ) | (2.18 | ) | (2.57 | ) | — | (0.50 | ) | (0.24 | ) | (1.63 | ) | |||||||||||||||
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Redemption fees added to paid-in capital(3) | 0.01 | — | (4) | — | — | 0.07 | 0.05 | — | (4) | |||||||||||||||||||
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Net asset value, end of period | $ | 21.69 | $ | 28.29 | $ | 27.64 | $ | 27.45 | $ | 22.45 | $ | 18.83 | $ | 16.36 | ||||||||||||||
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Total investment return(5) | (17.73 | )%(6) | 11.49 | % | 10.62 | %(6)(7) | 22.27 | % | 22.31 | % | 16.54 | % | 49.82 | % | ||||||||||||||
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Ratios/Supplemental Data | ||||||||||||||||||||||||||||
Net assets, end of period (000’s omitted) | $ | 65,221 | $ | 71,523 | $ | 59,924 | $ | 55,737 | $ | 59,007 | $ | 53,332 | $ | 10,319 | ||||||||||||||
Ratio of expenses to average net assets with waivers and reimbursements | 0.84 | %(8) | 0.84 | % | 0.84 | %(8) | 0.86 | % | 0.95 | % | 0.95 | % | 0.95 | % | ||||||||||||||
Ratio of expenses to average net assets without waivers and reimbursements | 1.13 | %(8) | 1.20 | % | 1.13 | %(8) | 1.13 | % | 1.25 | % | 1.32 | % | 6.14 | % | ||||||||||||||
Ratio of net investment loss to average net assets | (0.77 | )%(8) | (0.77 | )% | (0.80 | )%(8) | (0.63 | )% | (0.75 | )% | (0.80 | )% | (0.90 | )% | ||||||||||||||
Portfolio turnover rate | 226.91 | %(6) | 297.13 | % | 276.74 | %(6) | 345.12 | % | 323.54 | % | 358.15 | % | 244.38 | % |
(1) | The Fund changed its fiscal year end to August 31. |
(2) | Effective as of the close of business on March 21, 2014, the Fund acquired all the assets and liabilities of the Dynamic U.S. Growth Fund (“Predecessor Fund”), a series of Scotia Institutional Funds. The financial highlights for the periods prior to that date reflect the performance of the Predecessor Fund. |
(3) | The selected per share data was calculated based on average shares outstanding method for the period. |
(4) | Amount represent less than $0.005 per share. |
(5) | 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. Periods less than one year are not annualized. |
(6) | Not annualized. |
(7) | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and, consequently, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for the shareholder transactions. |
(8) | Annualized. |
The accompanying notes are an integral part of the financial statements.
9
SCOTIA DYNAMIC U.S. GROWTH FUND
Notes to Financial Statements
February 29, 2016
(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 “Investment Company 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 Investment Company 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 twenty-three active investment portfolios, including the Scotia Dynamic U.S. Growth Fund (the “Fund”). The Fund is authorized to issue three classes of shares, Institutional Shares, Class I Shares and Class II Shares. As of February 29, 2016, Institutional Shares and Class II shares were not yet being offered to the public.
RBB has authorized capital of one hundred billion shares of common stock of which 83.023 billion shares are currently classified into one hundred and fifty-seven classes of common stock. Each class represents an interest in an active or inactive RBB investment portfolio. The Fund has issued shares with a par value of $0.001.
The Dynamic U.S. Growth Fund (the “Predecessor Fund”), a series of Scotia Institutional Funds, transferred all of its assets and liabilities to the Fund in a tax-free reorganization (the “Reorganization”). The Reorganization occurred at the close of business on March 21, 2014. The Predecessor Fund commenced operations on March 31, 2009. 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 the close of business on March 21, 2014 included herein is that of the Predecessor Fund.
At the date of the reorganization, the Fund changed its fiscal year end to August 31.
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 (“NASDAQ”) market system where they are primarily traded. Equity securities traded in the over-the-counter 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. Investments in other open-end investment companies, if any, are valued based on the NAV of those investment companies (which may use fair value pricing as discussed in their prospectuses). If market quotations are unavailable or deemed unreliable, securities will be valued in accordance with procedures adopted by the Company’s Board of Directors. Relying on prices supplied by pricing services or dealers or using fair valuation may result in values that are higher or lower than the values used by other investment companies and investors to price the same investments.
Fair Value Measurements – The inputs and valuation techniques used to measure fair value of the Fund’s investments are summarized into three Levels as described in the hierarchy below:
• Level 1 — | quoted prices in active markets for identical securities; | |
• Level 2 — | other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.); and | |
• Level 3 — | significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments). |
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
10
SCOTIA DYNAMIC U.S. GROWTH FUND
Notes to Financial Statements (Continued)
February 29, 2016
(Unaudited)
The following is a summary of the inputs used, as of February 29, 2016, in valuing the Fund’s investments carried at fair value:
Total Value at February 29, 2016 | Level 1 Quoted Price | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |||||||||||||
Investments in Securities* | $ | 64,694,018 | $ | 64,694,018 | $ | — | $ | — | ||||||||
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* | Please refer to Portfolio of Investments for further details. |
At the end of each quarter, management evaluates the classification of Levels 1, 2 and 3 assets and liabilities. Various factors are considered, such as changes in liquidity from the prior reporting period; whether or not a broker is willing to execute at the quoted price; the depth and consistency of prices from third party pricing services; and the existence of contemporaneous, observable trades in the market. Additionally, management evaluates the classification of Level 1 and Level 2 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 be less liquid than publicly traded securities.
For fair valuations using significant unobservable inputs, U.S. generally accepted accounting principles (“U.S. GAAP”) require 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. U.S. GAAP also requires the Fund to disclose amounts and reasons for all transfers in and out of Level 1 and Level 2 fair value measurements. 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 transfers in and out of each Level within the three-tier hierarchy are disclosed when the Fund had an amount of total transfers during the reporting period that was meaningful in relation to its net assets as of the end of the reporting period.
For the six months ended February 29, 2016, there were no transfers between Levels 1, 2 and 3 for the Fund.
Use of Estimates — The Fund is an investment company and follows accounting and reporting guidance in the Financial Accounting Standards Board Accounting Standards Codification Topic 946. 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 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 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 policy is to allocate investment income, expenses and unrealized and realized gains and
11
SCOTIA DYNAMIC U.S. GROWTH FUND
Notes to Financial Statements (Continued)
February 29, 2016
(Unaudited)
losses among classes on a daily basis, when applicable. Expenses incurred on behalf of a specific class, fund or fund family of the Company are charged directly to the class, fund or fund family to each class of shares based upon the relative proportion of net assets of each class at the beginning of the day. Expenses incurred for all the RBB funds (such as director or professional fees) are charged to all funds in proportion to their average net assets of RBB, or in such other manner as the Company’s Board of Directors 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 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 — The Fund considers liquid assets deposited into a bank demand deposit account to be cash equivalents. These investments represent amounts held with financial institutions that are readily accessible to pay Fund expenses or purchase investments. Cash and cash equivalents are valued at cost plus accrued interest, which approximates market value.
Redemption Fees — The Fund imposes a redemption fee of 2.00% on redemptions and exchanges of Fund shares held less than 60 days. The fees are reflected on the Statements of Changes in Net Assets. The Fund reserves the right to modify or eliminate the redemption fee or any waivers of such fee at any time.
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 Adviser and Other Services
Scotia Institutional Asset Management US, Ltd. (the “Adviser”) serves as the Fund’s investment adviser. For its advisory services, the Adviser is entitled to receive an advisory fee calculated daily and payable monthly at an annual rate of 0.65% of the average daily net assets of the Fund.
The Adviser has contractually agreed to waive advisory fees and reimburse expenses to the extent that Total Annual Fund Operating Expenses (excluding taxes, extraordinary expenses, brokerage commissions and interest) exceed 0.74% for Institutional Shares, 0.84% for Class I Shares and 0.99% for Class II Shares (Institutional Shares and Class II Shares have not commenced operations as of February 29, 2016) until December 31, 2016. Prior to such date, this contractual agreement may only be terminated by the Fund’s Board of Directors. The expenses that are excluded from the waiver could cause the net total annual fund operating expenses to exceed 0.74%, 0.84% or 0.99%, as applicable. If it becomes unnecessary for the Adviser to waive fees or make reimbursements, the Adviser may recapture any of its prior waivers or reimbursements for a period not to exceed three years from the date on which the waiver or reimbursement was made to the extent that such a recapture does not cause the Total Annual Fund Operating Expenses (excluding taxes, extraordinary expenses, brokerage commissions and interest) to exceed the applicable expense limitation that was in effect at the time of the waiver or reimbursement.
12
SCOTIA DYNAMIC U.S. GROWTH FUND
Notes to Financial Statements (Continued)
February 29, 2016
(Unaudited)
For the six months ended February 29, 2016, the Adviser earned fees of $250,224 and waived fees of $111,131.
As of February 29, 2016, the amount of the Adviser’s potential recovery was as follows:
Expiration | ||||||||
August 31, 2017 | August 31, 2018 | August 31, 2019 | ||||||
$109,821 | $ | 223,030 | $ | 111,131 |
BNY Mellon Investment Servicing (US) Inc. (“BNY Mellon”) serves as administrator for the Fund. For providing administrative and accounting services, BNY Mellon is entitled to receive a monthly fee equal to an annual percentage rate of the Fund’s average daily net assets, subject to certain minimum monthly fees.
Included in the administration and accounting services fees, shown on the Statement of Operations, are fees for providing regulatory administration services to RBB. For providing these services, BNY Mellon is entitled to receive compensation as agreed to by the Company and BNY Mellon. This fee is allocated to each portfolio of the Company in proportion to its net assets of the Company.
In addition, BNY Mellon serves as the Fund’s transfer and dividend disbursing agent. For providing transfer agent services, BNY Mellon is entitled to receive a monthly fee, subject to certain minimum, and out of pocket expenses.
The Bank of New York Mellon (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.
Foreside Funds Distributors LLC, serves as the principal underwriter and distributor of the Fund’s shares pursuant to a Distribution Agreement with RBB.
3. Shareholder Servicing Plan
The Fund has adopted Shareholder Services Plans for the Class I and Class II Shares. Under the Shareholder Services Plans, the Fund may pay service fees to firms that provide shareholder services, such as responding to shareholder inquiries and assisting shareholders with their accounts, not exceeding ten basis points (0.10%) and twenty-five basis points (0.25%), respectively, of the Fund’s average daily net assets attributable to Class I Shares and Class II Shares.
4. Director’s and Officer’s Compensation
The Directors of the Company receive an annual retainer and meeting fees for meetings attended. The remuneration paid to the Directors by the Fund for the six months ended February 29, 2016 was $5,328. Certain employees of BNY Mellon serve as an Officer of the Company. They are not compensated by the Fund or the Company. Employees of Vigilant Compliance, LLC serve as President, Chief Compliance Officer and, effective January 1, 2016, Treasurer of the Company. Vigilant Compliance, LLC is compensated for the services provided to the Company. For the six months ended February 29, 2016, the Fund paid $3,271 in officer fees.
5. Investment in Securities
For the six months ended February 29, 2016, aggregate purchases and sales of investment securities (excluding short-term investments) of the Fund were as follows:
Purchases | Sales | |||||||
Investment Securities | $ | 178,992,362 | $ | 166,751,021 |
13
SCOTIA DYNAMIC U.S. GROWTH FUND
Notes to Financial Statements (Continued)
February 29, 2016
(Unaudited)
6. 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 February 29, 2016, the federal tax cost and aggregate gross unrealized appreciation and depreciation of securities held by the Fund were as follows:
Federal tax cost | $ | 66,118,175 | ||
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Gross unrealized appreciation | $ | 944,413 | ||
Gross unrealized depreciation | (2,368,570 | ) | ||
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Net unrealized depreciation | $ | (1,424,157 | ) | |
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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, 2015, the components of distributable earnings on a tax basis were as follows:
Undistributed Ordinary Income | Undistributed Long-Term Gains | Net Unrealized Appreciation | ||
$1,608,803 | $4,202,448 | $3,601,156 |
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, 2015 were as follows:
Ordinary Income | Long-Term Gains | |||||
$ | 1,974,976 | $ | 2,620,840 |
Accumulated capital losses represent net capital loss carry forwards as of August 31, 2015 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 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, 2015, the Fund did not have any capital loss carryforwards.
14
SCOTIA DYNAMIC U.S. GROWTH FUND
Notes to Financial Statements (Concluded)
February 29, 2016
(Unaudited)
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 requiring recognition or disclosure in the financial statements.
15
SCOTIA DYNAMIC U.S. GROWTH 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 (888) 572-0968 and on the Securities and Exchange Commission’s (“SEC”) website at http://www.sec.gov.
Quarterly Portfolio Schedules
The Company files its complete schedule of portfolio holdings with the SEC for the first and third fiscal quarters of each fiscal year (quarters ended November 30 and May 31) on Form N-Q. The Company’s Forms N-Q will be available on the SEC’s website at http://www.sec.gov and may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. Information on the operation of the SEC’s Public Reference Room may be obtained by calling (800) SEC-0330.
16
Investment Adviser
Scotia Institutional Asset Management U.S., Ltd.
1 Adelaide St. E., Ste. 2800,
Toronto, ON M5C 2V9
Administrator
BNY Mellon Investment Servicing (US) Inc.
301 Bellevue Parkway
Wilmington, DE 19809
Transfer Agent
BNY Mellon Investment Servicing (US) Inc.
4400 Computer Drive
Westborough, MA 01581
Principal Underwriter
Foreside Funds Distributors LLC
400 Berwyn Park
899 Cassatt Road
Berwyn, PA 19312
Custodian
The Bank of New York Mellon
225 Liberty Street
New York, NY 10286
Independent Registered Public Accounting Firm
BBD, LLP
1835 Market Street, 26th Floor
Philadelphia, PA 19103
Legal Counsel
Drinker Biddle & Reath LLP
One Logan Square, Ste. 2000
Philadelphia, PA 19103-6996
SCO-SAR16
SUMMIT GLOBAL INVESTMENTS
U.S. LOW VOLATILITY EQUITY FUND
of
The RBB Fund, Inc.
SEMI-ANNUAL REPORT
February 29, 2016
(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.
SUMMIT GLOBAL INVESTMENTS U.S. LOW VOLATILITY EQUITY FUND
Semi-Annual Investment Adviser’s Report
February 29, 2016
(Unaudited)
Dear Shareholder:
We appreciate the confidence you have placed in us and are continually grateful to work with you. It enables all of us at Summit Global Investments to do what we love everyday; managing equities. We believe that investors are ultimately rewarded when equity risk is prudently managed. Our strategy utilizes time-tested investment principles and seeks to be fully invested in the equity market while providing a smoother ride than other investment strategies.
We firmly believe that investing with a long-term, risk-return perspective is key to experiencing superior risk-adjusted returns. While staying the course with a low volatility portfolio does not eliminate risk, it can considerably lessen the effect of market gyrations.
Our investment approach to portfolio construction takes into consideration a multitude of factors that ultimately help drive the price of equities. We sincerely value and believe strongly that return and risk must coincide and be effectively managed together. Investing in cap-weighted indexes, higher risk strategies, or products or markets just for exposure without regard to the investment’s risk seems unwarranted. Investing for return must always be weighed against the risk of the investments.
Since our last letter to shareholders dated August 31, 2015, U.S. equities have continued to experience increased volatility, specifically in relation to oil and interest rates. Volatility spiked in January 2016 and the market experienced a correction down more than -11% from the market high on December 29th to the low on February 10th. The price of oil continued to fluctuate and the global economy showed continued weakness. Over the twelve months ended February 29, 2016, the Fund’s Class I Shares returned 1.22% vs. –8.19% for the S&P 500® Index (the “Index”), thus outperforming the Index by 9.41%. The beta1 for the Fund, as of February 29, 2016, was 0.72.
For the six-month period from September 1, 2015 through February 29, 2016, the return for the Fund’s Class I Shares returned 4.67% vs. –2.03% for the Index, outperforming the Index by 6.70%.
We continue to reiterate that large market events are being driven more and more by world events than ever before. U.S. markets do not stand alone, isolated from the world. U.S. companies are global companies. Their revenue and profits, business plans and investments, and ultimately success or failure is more correlated to global events than ever in history. As such, companies must be as strong or stronger, balance sheet wise, than the country in which they are headquartered.
We must keep an eye on such events and company strength throughout the coming months and years. In addition to global and political events, companies are unique in how each prepares, responds and survives the impact of such macro events and economic cycles. While some cycles may vary in length and events differ in impact, we believe, for U.S. equity exposure, the Fund’s approach is effective over full market cycles.
Our philosophy to navigate such markets is simple and consistent throughout up and down markets. We believe that being invested in a low volatility equity portfolio over full market cycles provides lower price fluctuations, more consistent and reliable returns with smaller drawdowns, and adds increased diversification when combined with other investment strategies.
Our approach takes into account each underlying company’s stock volatility, expected market return and how it correlates with other stocks within the portfolio, ultimately seeking to maximize return with an overall lower risk than a cap-weighted benchmark. As stated in the prospectus dated December 31, 2015, the Fund seeks to outperform the Index over a full market cycle while reducing overall volatility.
Financial markets are always unpredictable, but time-tested investment principles may help put the odds in your favor. It is our sincere effort to follow such principles and provide acceptable long-term, risk-adjusted returns.
1 | Beta attempts to measure relative market risk. A beta rating above 1.0 indicates greater volatility than the market. A beta rating below 1.0 indicates lower volatility than the market. |
1
SUMMIT GLOBAL INVESTMENTS U.S. LOW VOLATILITY EQUITY FUND
Semi-Annual Investment Adviser’s Report (Concluded)
February 29, 2016
(Unaudited)
While we remain optimistic about the opportunities within the U.S. equity market, we remain focused on monitoring the risk of individual companies and the overall portfolio. During these times of continued uncertainty, we believe the Fund will provide access to market returns with less overall risk.
Sincerely,
Summit Global Investments, LLC
2
SUMMIT GLOBAL INVESTMENTS U.S. LOW VOLATILITY EQUITY FUND
Semi-Annual Report
Performance Data
February 29, 2016
(Unaudited)
Total Returns for the period ended February 29, 2016 | ||||||
Since | ||||||
Inception† | ||||||
Class A Shares (with sales charge)(a) | -7.03% | |||||
Class A Shares (without sales charge)(a) | -1.91% | |||||
S&P 500® Index (excluding dividends) | -7.56% | (b) |
† | Not annualized. |
(a) | Class A Shares of the Fund commenced operations on November 2, 2015. |
(b) | Benchmark performance is from inception date of the Class A Shares only and is not the inception date of the benchmark itself. |
Class A Shares of the Fund have a 5.25% maximum sales charge.
Performance quoted is past performance and does not guarantee future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher. Returns shown do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. Performance data current to the most recent month-end may be obtained by calling (855) 744-8500.
The Fund applies a 1.50% redemption fee to the value of shares redeemed within 60 days of purchase. This redemption fee is not reflected in the returns shown above. The performance data quoted reflects fee waivers in effect and would have been less in their absence. The Fund’s total annual gross and net operating expenses, as stated in the current prospectus dated December 31, 2015, are 1.45% and 1.23%, respectively, of average daily net assets for Class A Shares. These rates may fluctuate and may differ from the actual expenses incurred by the Fund for the period covered by this report. The Fund’s investment adviser has contractually agreed to waive management fees and/or reimburse certain expenses of the Fund through December 31, 2016 to the extent necessary to ensure that the Fund’s total annual operating expenses (excluding acquired fund fees and expenses, brokerage commissions, extraordinary items, interest or taxes) do not exceed 1.23% (on an annual basis) of the Fund’s average daily net assets (the “Expense Limitation”). The Expense Limitation shall remain in effect until December 31, 2016, unless the Board of Directors of The RBB Fund, Inc. approves its earlier termination.
The Fund invests in common stock, preferred stocks, warrants to acquire common stock and securities convertible into common stock. Portfolio composition is subject to change.
The Fund evaluates performance as compared to that of the Standard & Poor’s 500® Index (“S&P 500®”). The S&P 500® is a widely recognized, unmanaged index of 500 common stocks which are generally representative of the U.S. stock market as a whole. It is impossible to invest directly in an index.
3
SUMMIT GLOBAL INVESTMENTS U.S. LOW VOLATILITY EQUITY FUND
Semi-Annual Report
Performance Data (Continued)
February 29, 2016
(Unaudited)
Total Returns for the period ended February 29, 2016 | ||||
Since | ||||
Inception† | ||||
Class C Shares(a) | -0.81% | |||
S&P 500® Index (excluding dividends) | -5.47% | (b) |
† | Not annualized. |
(a) | Class C Shares of the Fund commenced operations on January 4, 2016. |
(b) | Benchmark performance is from inception date of the Class C Shares only and is not the inception date of the benchmark itself. |
Performance quoted is past performance and does not guarantee future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher. Returns shown do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. Performance data current to the most recent month-end may be obtained by calling (855) 744-8500.
The Fund applies a 1.50% redemption fee to the value of shares redeemed within 60 days of purchase. This redemption fee is not reflected in the returns shown above. The performance data quoted reflects fee waivers in effect and would have been less in their absence. The Fund’s total annual gross and net operating expenses, as stated in the current prospectus dated December 31, 2015, are 2.20% and 1.98%, respectively, of average daily net assets for Class C Shares. These rates may fluctuate and may differ from the actual expenses incurred by the Fund for the period covered by this report. The Fund’s investment adviser has contractually agreed to waive management fees and/or reimburse certain expenses of the Fund through December 31, 2016 to the extent necessary to ensure that the Fund’s total annual operating expenses (excluding acquired fund fees and expenses, brokerage commissions, extraordinary items, interest or taxes) do not exceed 1.98% (on an annual basis) of the Fund’s average daily net assets (the “Expense Limitation”). The Expense Limitation shall remain in effect until December 31, 2016, unless the Board of Directors of The RBB Fund, Inc. approves its earlier termination.
The Fund invests in common stock, preferred stocks, warrants to acquire common stock and securities convertible into common stock. Portfolio composition is subject to change.
The Fund evaluates performance as compared to that of the Standard & Poor’s 500® Index (“S&P 500®”). The S&P 500® is a widely recognized, unmanaged index of 500 common stocks which are generally representative of the U.S. stock market as a whole. It is impossible to invest directly in an index.
4
SUMMIT GLOBAL INVESTMENTS U.S. LOW VOLATILITY EQUITY FUND
Semi-Annual Report
Performance Data (Concluded)
February 29, 2016
(Unaudited)
Average Annual Total Returns for the periods ended February 29, 2016 | ||||||||||||||||
Six | Three | Since | ||||||||||||||
Months† | One Year | Years | Inception | |||||||||||||
Class I Shares(a) | 4.67% | 1.22% | 11.57% | 11.75% | ||||||||||||
S&P 500® Index (excluding dividends) | -2.03% | -8.19% | 8.45% | 9.06% | (b) |
† | Not annualized. |
(a) | Class I Shares of the Fund commenced operations on February 29, 2012. |
(b) | 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 (855) 744-8500.
The Fund applies a 1.50% redemption fee to the value of shares redeemed within 60 days of purchase. This redemption fee is not reflected in the returns shown above. The performance data quoted reflects fee waivers in effect and would have been less in their absence. The Fund’s total annual gross and net operating expenses, as stated in the current prospectus dated December 31, 2015, are 1.20% and 0.98%, respectively, of average daily net assets for Class I Shares. These rates may fluctuate and may differ from the actual expenses incurred by the Fund for the period covered by this report. The Fund’s investment adviser has contractually agreed to waive management fees and/or reimburse certain expenses of the Fund through December 31, 2016 to the extent necessary to ensure that the Fund’s total annual operating expenses (excluding acquired fund fees and expenses, brokerage commissions, extraordinary items, interest or taxes) do not exceed 0.98% (on an annual basis) of the Fund’s average daily net assets (the “Expense Limitation”). The Expense Limitation shall remain in effect until December 31, 2016, unless the Board of Directors of The RBB Fund, Inc. approves its earlier termination.
The Fund invests in common stock, preferred stocks, warrants to acquire common stock and securities convertible into common stock. Portfolio composition is subject to change.
The Fund evaluates performance as compared to that of the Standard & Poor’s 500® Index (“S&P 500®”). The S&P 500® is a widely recognized, unmanaged index of 500 common stocks which are generally representative of the U.S. stock market as a whole. It is impossible to invest directly in an index.
5
SUMMIT GLOBAL INVESTMENTS U.S. LOW VOLATILITY EQUITY FUND
Fund Expense Examples
February 29, 2016
(Unaudited)
As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments; redemption fees; and exchange fees; 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 period from November 2, 2015 (commencement of operations) through February 29, 2016 for Class A Shares of the Fund, from January 4, 2016 (commencement of operations) through February 29, 2016 for Class C Shares of the Fund and from September 1, 2015 through February 29, 2016 for Class I Shares of the Fund, 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 the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not your 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 redemption fees. Therefore, the second line of the accompanying table is useful in comparing ongoing costs only and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
6
SUMMIT GLOBAL INVESTMENTS U.S. LOW VOLATILITY EQUITY FUND
Fund Expense Examples (Concluded)
February 29, 2016
(Unaudited)
Summit Global Investments U.S. Low Volatility Equity Fund | |||||||||||||||
Beginning Account Value | Ending Account Value | Expenses Paid | |||||||||||||
September 1, 2015 | February 29, 2016 | During Period | |||||||||||||
Class A Shares* | |||||||||||||||
Actual | $1,000.00 | $ 980.90 | $3.96 | ||||||||||||
Hypothetical | 1,000.00 | 1,018.75 | 6.17 | ||||||||||||
Class C Shares** | |||||||||||||||
Actual | $1,000.00 | $ 991.90 | $3.02 | ||||||||||||
Hypothetical | 1,000.00 | 1,015.02 | 9.92 | ||||||||||||
Class I Shares*** | |||||||||||||||
Actual | $1,000.00 | $1,046.70 | $4.99 | ||||||||||||
Hypothetical | 1,000.00 | 1,019.99 | 4.92 |
* | Expenses are equal to an annualized expense ratio for the period from November 2, 2015 (commencement of operations of Class A Shares) through February 29, 2016 of 1.23% for Class A Shares for the Fund, which includes waived fees and reimbursed expenses, multiplied by the average account value over the period, multiplied by the number of days in the most recent period (119), then divided by 366 to reflect the period. The Fund’s ending account values on the first line in the table are based on the actual total return for the Fund since commencement of operations of -1.91% for Class A Shares. Hypothetical expenses are as if the Class A Shares had been in existence from September 1, 2015, and are equal to the annualized expense ratio, which includes waived fees and reimbursed expenses, multiplied by the average account value over the period, multiplied by the number of days in the most recent six-month period (182), then divided by 366 to reflect the period. |
** | Expenses are equal to an annualized expense ratio for the period from January 4, 2016 (commencement of operations of Class C Shares) through February 29, 2016 of 1.98% for Class C Shares for the Fund, which includes waived fees and reimbursed expenses, multiplied by the average account value over the period, multiplied by the number of days in the most recent period (56), then divided by 366 to reflect the period. The Fund’s ending account values on the first line in the table are based on the actual total return for the Fund since commencement of operations of -0.81% for Class C Shares. Hypothetical expenses are as if the Class C Shares had been in existence from September 1, 2015, and are equal to the annualized expense ratio, which includes waived fees and reimbursed expenses, multiplied by the average account value over the period, multiplied by the number of days in the most recent six-month period (182), then divided by 366 to reflect the period. |
*** | Expenses are equal to the Fund’s annualized six-month expense ratio of 0.98% for Class I Shares, which includes waived fees and 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. 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 of 4.67% for Class I Shares. |
7
SUMMIT GLOBAL INVESTMENTS U.S. LOW VOLATILITY EQUITY FUND
Portfolio Holdings Summary Table
February 29, 2016
(Unaudited)
The following table presents a summary by sector of the portfolio holdings of the Fund:
% of Net | ||||||||
Security Type/Sector Classification | Assets | Value | ||||||
COMMON STOCKS: | ||||||||
Retail | 9.6 | % | $ | 8,901,851 | ||||
Pharmaceuticals | 8.9 | 8,290,824 | ||||||
Food | 8.2 | 7,605,084 | ||||||
Electric. | 8.1 | 7,531,283 | ||||||
Software. | 7.4 | 6,918,365 | ||||||
Insurance | 6.2 | 5,783,736 | ||||||
Computers | 5.9 | 5,524,453 | ||||||
Real Estate Investment Trusts | 4.6 | 4,294,204 | ||||||
Telecommunications | 4.6 | 4,248,138 | ||||||
Healthcare-Products | 3.7 | 3,404,739 | ||||||
Transportation. | 3.1 | 2,896,981 | ||||||
Oil & Gas | 2.8 | 2,605,887 | ||||||
Cosmetics/Personal Care | 2.6 | 2,446,924 | ||||||
Household Products/Wares | 2.4 | 2,250,276 | ||||||
Advertising | 2.2 | 2,046,403 | ||||||
Building Materials | 2.1 | 1,971,180 | ||||||
Biotechnology | 1.8 | 1,683,925 | ||||||
Distribution/Wholesale | 1.8 | 1,667,775 | ||||||
Diversified Financial Services | 1.7 | 1,534,008 | ||||||
Healthcare-Services | 1.6 | 1,460,493 | ||||||
Environmental Control | 1.5 | 1,426,335 | ||||||
Commercial Services | 1.4 | 1,305,288 | ||||||
Banks | 1.4 | 1,284,084 | ||||||
Media. | 1.2 | 1,133,288 | ||||||
Apparel | 0.6 | 520,880 | ||||||
Internet | 0.5 | 506,940 | ||||||
Chemicals | 0.2 | 152,983 | ||||||
Auto Parts & Equipment | 0.2 | 138,552 | ||||||
Semiconductors | 0.1 | 127,237 | ||||||
Other Assets in Excess of Liabilities | 3.6 | 3,307,520 | ||||||
|
|
|
| |||||
NET ASSETS | 100.0 | % | $ | 92,969,636 | ||||
|
|
|
|
Portfolio holdings are subject to change at any time.
The accompanying notes are an integral part of the financial statements.
8
SUMMIT GLOBAL INVESTMENTS U.S. LOW VOLATILITY EQUITY FUND
Portfolio of Investments
February 29, 2016
(Unaudited)
Number | ||||||||
of Shares | Value | |||||||
COMMON STOCKS - 96.4% |
| |||||||
Advertising — 2.2% | ||||||||
Omnicom Group, Inc. | 26,300 | $ | 2,046,403 | |||||
|
| |||||||
2,046,403 | ||||||||
|
| |||||||
Apparel — 0.6% | ||||||||
VF Corp. | 8,000 | 520,880 | ||||||
|
| |||||||
520,880 | ||||||||
|
| |||||||
Auto Parts & Equipment — 0.2% |
| |||||||
Goodyear Tire & Rubber Co., (The) | 4,600 | 138,552 | ||||||
|
| |||||||
138,552 | ||||||||
|
| |||||||
Banks — 1.4% | ||||||||
US Bancorp | 24,200 | 932,184 | ||||||
Wells Fargo & Co. | 7,500 | 351,900 | ||||||
|
| |||||||
1,284,084 | ||||||||
|
| |||||||
Biotechnology — 1.8% |
| |||||||
Gilead Sciences, Inc. | 19,300 | 1,683,925 | ||||||
|
| |||||||
1,683,925 | ||||||||
|
| |||||||
Building Materials — 2.1% |
| |||||||
Masco Corp. | 69,900 | 1,971,180 | ||||||
|
| |||||||
1,971,180 | ||||||||
|
| |||||||
Chemicals — 0.2% | ||||||||
Monsanto Co. | 1,700 | 152,983 | ||||||
|
| |||||||
152,983 | ||||||||
|
| |||||||
Commercial Services — 1.4% |
| |||||||
Cintas Corp. | 4,000 | 335,960 | ||||||
Total System Services, Inc. | 19,100 | 832,378 | ||||||
Western Union Co., (The) | 7,500 | 136,950 | ||||||
|
| |||||||
1,305,288 | ||||||||
|
| |||||||
Computers — 5.9% |
| |||||||
Accenture PLC, Class A | 23,400 | 2,346,084 | ||||||
Apple, Inc. | 14,500 | 1,402,005 | ||||||
EMC Corp. | 5,300 | 138,489 | ||||||
International Business Machines Corp. | 12,500 | 1,637,875 | ||||||
|
| |||||||
5,524,453 | ||||||||
|
| |||||||
Cosmetics/Personal Care — 2.6% |
| |||||||
Colgate-Palmolive Co. | 8,900 | 584,196 | ||||||
Procter & Gamble Co., (The) | 23,200 | 1,862,728 | ||||||
|
| |||||||
2,446,924 | ||||||||
|
| |||||||
Distribution/Wholesale — 1.8% |
| |||||||
Genuine Parts Co. | 18,500 | 1,667,775 | ||||||
|
| |||||||
1,667,775 | ||||||||
|
| |||||||
Diversified Financial Services — 1.7% |
| |||||||
American Express Co. | 27,600 | 1,534,008 | ||||||
|
| |||||||
1,534,008 | ||||||||
|
| |||||||
Electric — 8.1% | ||||||||
CMS Energy Corp. | 5,000 | 197,800 |
Number | ||||||||
of Shares | Value | |||||||
Electric — (Continued) |
| |||||||
DTE Energy Co. | 7,600 | $ | 639,312 | |||||
Duke Energy Corp. | 11,800 | 876,504 | ||||||
Edison International | 25,900 | 1,765,344 | ||||||
Pepco Holdings, Inc. | 43,600 | 1,141,448 | ||||||
PG&E Corp. | 2,300 | 130,479 | ||||||
PPL Corp. | 26,400 | 923,736 | ||||||
Southern Co., (The) | 4,000 | 192,720 | ||||||
WEC Energy Group, Inc. | 17,600 | 991,760 | ||||||
Xcel Energy, Inc. | 17,000 | 672,180 | ||||||
|
| |||||||
7,531,283 | ||||||||
|
| |||||||
Environmental Control — 1.5% |
| |||||||
Republic Services, Inc. | 28,400 | 1,297,880 | ||||||
Waste Management, Inc. | 2,300 | 128,455 | ||||||
|
| |||||||
1,426,335 | ||||||||
|
| |||||||
Food — 8.2% | ||||||||
ConAgra Foods, Inc. | 3,200 | 134,592 | ||||||
General Mills, Inc. | 23,100 | 1,359,435 | ||||||
Hershey Co., (The) | 1,500 | 136,335 | ||||||
Hormel Foods Corp. | 51,400 | 2,185,014 | ||||||
Kellogg Co. | 15,600 | 1,154,712 | ||||||
McCormick & Co., Inc. | 4,500 | 419,670 | ||||||
Sysco Corp. | 50,200 | 2,215,326 | ||||||
|
| |||||||
7,605,084 | ||||||||
|
| |||||||
Healthcare-Products — 3.7% |
| |||||||
Baxter International, Inc. | 12,100 | 478,071 | ||||||
DENTSPLY International, Inc. | 7,600 | 463,296 | ||||||
Medtronic, PLC | 3,100 | 239,909 | ||||||
Patterson Cos, Inc. | 40,500 | 1,759,320 | ||||||
St. Jude Medical, Inc. | 2,400 | 128,856 | ||||||
Thermo Fisher Scientific, Inc. | 900 | 116,271 | ||||||
Varian Medical Systems, Inc.* | 2,800 | 219,016 | ||||||
|
| |||||||
3,404,739 | ||||||||
|
| |||||||
Healthcare-Services — 1.6% |
| |||||||
Anthem, Inc. | 2,700 | 352,863 | ||||||
UnitedHealth Group, Inc. | 9,300 | 1,107,630 | ||||||
|
| |||||||
1,460,493 | ||||||||
|
| |||||||
Household Products/Wares — 2.4% |
| |||||||
Clorox Co., (The) | 17,800 | 2,250,276 | ||||||
|
| |||||||
2,250,276 | ||||||||
|
| |||||||
Insurance — 6.2% | ||||||||
Berkshire Hathaway, Inc., | 3,300 | 442,761 | ||||||
Chubb Ltd. | 5,700 | 658,521 | ||||||
Cincinnati Financial Corp. | 36,400 | 2,298,296 | ||||||
Principal Financial Group, Inc. | 7,000 | 264,670 | ||||||
Progressive Corp., (The) | 66,400 | 2,119,488 | ||||||
|
| |||||||
5,783,736 | ||||||||
|
|
The accompanying notes are an integral part of the financial statements. |
9 |
SUMMIT GLOBAL INVESTMENTS U.S. LOW VOLATILITY EQUITY FUND
Portfolio of Investments (Concluded)
February 29, 2016
(Unaudited)
Number | ||||||||
of Shares | Value | |||||||
Internet — 0.5% | ||||||||
VeriSign, Inc.* | 6,000 | $ | 506,940 | |||||
|
| |||||||
506,940 | ||||||||
|
| |||||||
Media — 1.2% | ||||||||
Scripps Networks Interactive, | ||||||||
Inc., Class A | 2,200 | 130,328 | ||||||
Walt Disney Co., (The) | 10,500 | 1,002,960 | ||||||
|
| |||||||
1,133,288 | ||||||||
|
| |||||||
Oil & Gas — 2.8% | ||||||||
California Resources Corp. | 169 | 95 | ||||||
Chevron Corp. | 10,500 | 876,120 | ||||||
ConocoPhillips | 3,500 | 118,405 | ||||||
Exxon Mobil Corp. | 18,300 | 1,466,745 | ||||||
Occidental Petroleum Corp. | 2,100 | 144,522 | ||||||
|
| |||||||
2,605,887 | ||||||||
|
| |||||||
Pharmaceuticals — 8.9% |
| |||||||
Baxalta, Inc. | 31,800 | 1,224,936 | ||||||
Eli Lilly & Co. | 15,200 | 1,094,400 | ||||||
Express Scripts Holding Co.* | 10,600 | 746,028 | ||||||
Johnson & Johnson | 19,600 | 2,062,116 | ||||||
McKesson Corp. | 2,500 | 389,050 | ||||||
Merck & Co., Inc. | 19,000 | 953,990 | ||||||
Pfizer, Inc. | 57,200 | 1,697,124 | ||||||
Zoetis, Inc. | 3,000 | 123,180 | ||||||
|
| |||||||
8,290,824 | ||||||||
|
| |||||||
Real Estate Investment Trusts — 4.6% |
| |||||||
Apartment Investment & | ||||||||
Management Co., Class A | 3,500 | 128,135 | ||||||
Crown Castle International Corp. | 1,600 | 138,400 | ||||||
Equity Residential | 2,000 | 148,980 | ||||||
General Growth Properties, Inc. | 6,300 | 173,376 | ||||||
HCP, Inc. | 3,600 | 106,488 | ||||||
Prologis, Inc. | 4,300 | 165,378 | ||||||
Public Storage | 3,300 | 823,317 | ||||||
Simon Property Group, Inc. | 4,500 | 853,785 | ||||||
Ventas, Inc. | 9,200 | 512,164 | ||||||
Welltower, Inc. | 2,000 | 127,560 | ||||||
Weyerhaeuser Co. | 42,980 | 1,116,621 | ||||||
|
| |||||||
4,294,204 | ||||||||
|
| |||||||
Retail — 9.6% |
| |||||||
Bed Bath & Beyond, Inc.* | 13,300 | 637,735 | ||||||
Costco Wholesale Corp. | 12,900 | 1,935,387 |
Number | ||||||||
of Shares | Value | |||||||
Retail — (Continued) | ||||||||
Dollar General Corp. | 16,700 | $ | 1,239,975 | |||||
GameStop Corp., Class A | 14,100 | 434,562 | ||||||
Gap, Inc., (The) | 18,900 | 522,585 | ||||||
Home Depot, Inc., (The) | 7,400 | 918,488 | ||||||
McDonald’s Corp. | 7,100 | �� | 832,049 | |||||
Target Corp. | 17,600 | 1,380,720 | ||||||
TJX Cos, Inc., (The) | 13,500 | 1,000,350 | ||||||
|
| |||||||
8,901,851 | ||||||||
|
| |||||||
Semiconductors — 0.1% |
| |||||||
Intel Corp. | 4,300 | 127,237 | ||||||
|
| |||||||
127,237 | ||||||||
|
| |||||||
Software — 7.4% | ||||||||
Cerner Corp.* | 2,100 | 107,226 | ||||||
Electronic Arts, Inc.* | 25,600 | 1,644,544 | ||||||
Fidelity National Information Services, Inc. | 2,200 | 128,150 | ||||||
Fiserv, Inc.* | 18,100 | 1,730,903 | ||||||
Microsoft Corp. | 34,100 | 1,735,008 | ||||||
Paychex, Inc. | 30,600 | 1,572,534 | ||||||
|
| |||||||
6,918,365 | ||||||||
|
| |||||||
Telecommunications — 4.6% |
| |||||||
AT&T, Inc. | 49,000 | 1,810,550 | ||||||
Cisco Systems, Inc. | 21,800 | 570,724 | ||||||
Verizon Communications, Inc. | 36,800 | 1,866,864 | ||||||
|
| |||||||
4,248,138 | ||||||||
|
| |||||||
Transportation — 3.1% |
| |||||||
CH Robinson Worldwide, Inc. | 37,200 | 2,597,676 | ||||||
United Parcel Service, Inc., | 3,100 | 299,305 | ||||||
|
| |||||||
2,896,981 | ||||||||
|
| |||||||
TOTAL COMMON STOCKS | 89,662,116 | |||||||
|
| |||||||
TOTAL INVESTMENTS - 96.4% | 89,662,116 | |||||||
|
| |||||||
OTHER ASSETS IN EXCESS OF LIABILITIES - 3.6% | 3,307,520 | |||||||
|
| |||||||
NET ASSETS - 100.0% | $ | 92,969,636 | ||||||
|
|
* | Non-income producing security. |
PLC | Public Limited Company |
The accompanying notes are an integral part of the financial statements. |
10 |
SUMMIT GLOBAL INVESTMENTS U.S. LOW VOLATILITY EQUITY FUND
Statement of Assets and Liabilities
February 29, 2016
(Unaudited)
ASSETS | ||||
Investments, at value (Cost $82,941,067) | $ | 89,662,116 | ||
Cash | 6,260,161 | |||
Receivables for: | ||||
Capital shares sold | 9,002,281 | |||
Dividends | 130,821 | |||
Prepaid expenses and other assets | 27,416 | |||
|
| |||
Total assets | 105,082,795 | |||
|
| |||
LIABILITIES | ||||
Payables for: | ||||
Investments purchased | 12,005,933 | |||
Capital shares redeemed | 8,324 | |||
Advisory fees | 28,537 | |||
Administration and accounting services fees | 26,637 | |||
Transfer agent fees | 23,840 | |||
Audit fees | 13,763 | |||
Other accrued expenses and liabilities | 6,125 | |||
|
| |||
Total liabilities | 12,113,159 | |||
|
| |||
Net Assets | $ | 92,969,636 | ||
|
| |||
NET ASSETS CONSIST OF | ||||
Par value | $ | 6,894 | ||
Paid-in capital | 86,702,168 | |||
Undistributed net investment income | 191,258 | |||
Accumulated net realized loss from investments | (651,733 | ) | ||
Net unrealized appreciation on investments | 6,721,049 | |||
|
| |||
Net Assets | $ | 92,969,636 | ||
|
| |||
CLASS A SHARES: | ||||
Net Assets applicable to Class A Shares | $ | 9,968,252 | ||
|
| |||
Shares outstanding ($0.001 par value, 100,000,000 shares authorized) | 739,208 | |||
|
| |||
Net asset value and redemption price per share | $ | 13.49 | ||
|
| |||
Maximum offering price per share (100/94.75 of $13.49) | $ | 14.24 | ||
|
| |||
CLASS C SHARES: | ||||
Net Assets applicable to Class C Shares | $ | 4,960 | ||
|
| |||
Shares outstanding ($0.001 par value, 100,000,000 shares authorized) | 368 | |||
|
| |||
Net asset value, offering and redemption price per share | $ | 13.46 | ||
|
| |||
CLASS I SHARES: | ||||
Net Assets applicable to Class I Shares | $ | 82,996,424 | ||
|
| |||
Shares outstanding ($0.001 par value, 100,000,000 shares authorized) | 6,154,721 | |||
|
| |||
Net asset value, offering and redemption price per share | $ | 13.49 | ||
|
|
The accompanying notes are an integral part of the financial statements.
11
SUMMIT GLOBAL INVESTMENTS U.S. LOW VOLATILITY EQUITY FUND
Statement of Operations
For the Six Months Ended February 29, 2016
(Unaudited)
INVESTMENT INCOME | ||||
Dividends and interest | $ | 1,020,995 | ||
|
| |||
Total investment income | 1,020,995 | |||
|
| |||
EXPENSES | ||||
Advisory fees (Note 2) | 273,115 | |||
Transfer agent fees (Note 2) | 47,830 | |||
Administration and accounting services fees (Note 2) | 45,314 | |||
Registration and filing fees | 20,199 | |||
Audit fees | 13,712 | |||
Legal fees | 12,116 | |||
Directors’ and officers’ fees | 11,061 | |||
Custodian fees (Note 2) | 8,860 | |||
Printing and shareholder reporting fees | 8,809 | |||
Distribution fees (Class A) (Note 2) | 487 | |||
Distribution fees (Class C) (Note 2) | 7 | |||
Other expenses | 14,815 | |||
|
| |||
Total expenses before waivers | 456,325 | |||
Less: waivers (Note 2) | (73,469 | ) | ||
|
| |||
Net expenses after waivers | 382,856 | |||
|
| |||
Net investment income | 638,139 | |||
|
| |||
NET REALIZED AND UNREALIZED GAIN FROM INVESTMENTS | ||||
Net realized gain from: | ||||
Investments | 114,837 | |||
Net change in unrealized appreciation/(depreciation) on: | ||||
Investments | 2,704,521 | |||
|
| |||
Net realized and unrealized gain on investments | 2,819,358 | |||
|
| |||
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | 3,457,497 | ||
|
|
The accompanying notes are an integral part of the financial statements.
12
SUMMIT GLOBAL INVESTMENTS U.S. LOW VOLATILITY EQUITY FUND
Statements of Changes in Net Assets
For the | ||||||||||
Six Months Ended | For the | |||||||||
February 29, 2016 | Year Ended | |||||||||
(Unaudited) | August 31, 2015 | |||||||||
INCREASE IN NET ASSETS FROM OPERATIONS: | ||||||||||
Net investment income | $ | 638,139 | $ | 1,006,474 | ||||||
Net realized gain from investments | 114,837 | 3,435,300 | ||||||||
Net change in unrealized appreciation/(depreciation) on investments | 2,704,521 | (1,560,314 | ) | |||||||
|
|
|
| |||||||
Net increase in net assets resulting from operations | 3,457,497 | 2,881,460 | ||||||||
|
|
|
| |||||||
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS FROM: | ||||||||||
Net investment income | ||||||||||
Class A | (7,658 | ) | — | |||||||
Class I | (1,139,884 | ) | (764,753 | ) | ||||||
|
|
|
| |||||||
Total net investment income | (1,147,542 | ) | (764,753 | ) | ||||||
|
|
|
| |||||||
Net realized gains | ||||||||||
Class A | (28,208 | ) | — | |||||||
Class I | (4,094,120 | ) | (1,984,239 | ) | ||||||
|
|
|
| |||||||
Total net realized gains | (4,122,328 | ) | (1,984,239 | ) | ||||||
|
|
|
| |||||||
Net decrease in net assets from dividends and distributions to shareholders | (5,269,870 | ) | (2,748,992 | ) | ||||||
|
|
|
| |||||||
INCREASE IN NET ASSETS DERIVED FROM CAPITAL SHARE TRANSACTIONS: | ||||||||||
Class A Shares | ||||||||||
Proceeds from shares sold | 10,080,781 | — | ||||||||
Reinvestment of distributions | 35,866 | — | ||||||||
Shares redeemed | (62,162 | ) | — | |||||||
Redemption fees | 27 | — | ||||||||
|
|
|
| |||||||
Total from Class A Shares | 10,054,512 | — | ||||||||
|
|
|
| |||||||
Class C Shares | ||||||||||
Proceeds from shares sold | 5,000 | — | ||||||||
|
|
|
| |||||||
Total from Class C Shares | 5,000 | — | ||||||||
|
|
|
| |||||||
Class I Shares | ||||||||||
Proceeds from shares sold | 15,751,985 | 23,177,135 | ||||||||
Reinvestment of distributions | 5,087,374 | 2,688,722 | ||||||||
Shares redeemed | (8,971,553 | ) | (13,416,205 | ) | ||||||
Redemption fees | 4,792 | 1,492 | ||||||||
|
|
|
| |||||||
Total from Class I Shares | 11,872,598 | 12,451,144 | ||||||||
|
|
|
| |||||||
Net increase in net assets from capital share transactions | 21,932,110 | 12,451,144 | ||||||||
|
|
|
| |||||||
Total increase in net assets | 20,119,737 | 12,583,612 | ||||||||
|
|
|
| |||||||
NET ASSETS: | ||||||||||
Beginning of period | 72,849,899 | 60,266,287 | ||||||||
|
|
|
| |||||||
End of period | $ | 92,969,636 | $ | 72,849,899 | ||||||
|
|
|
| |||||||
Undistributed net investment income, end of period | $ | 191,258 | $ | 700,661 | ||||||
|
|
|
|
The accompanying notes are an integral part of the financial statements.
13
SUMMIT GLOBAL INVESTMENTS U.S. LOW VOLATILITY EQUITY FUND
Statements of Changes in Net Assets (Concluded)
For the | ||||||||||
Six Months Ended | For the | |||||||||
February 29, 2016 | Year Ended | |||||||||
(Unaudited) | August 31, 2015 | |||||||||
INCREASE IN SHARES OUTSTANDING DERIVED FROM SHARE TRANSACTIONS: | ||||||||||
Class A Shares | ||||||||||
Shares sold | 741,240 | — | ||||||||
Shares reinvested | 2,601 | — | ||||||||
Shares redeemed | (4,633 | ) | — | |||||||
|
|
|
| |||||||
Total from Class A Shares | 739,208 | — | ||||||||
|
|
|
| |||||||
Class C Shares | ||||||||||
Shares sold | 368 | — | ||||||||
|
|
|
| |||||||
Total from Class C Shares | 368 | — | ||||||||
|
|
|
| |||||||
Class I Shares | ||||||||||
Shares sold | 1,147,890 | 1,648,561 | ||||||||
Shares reinvested | 369,268 | 198,723 | ||||||||
Shares redeemed | (648,920 | ) | (954,075 | ) | ||||||
|
|
|
| |||||||
Total from Class I Shares | 868,238 | 893,209 | ||||||||
|
|
|
| |||||||
Net increase in shares outstanding derived from share transactions | 1,607,814 | 893,209 | ||||||||
|
|
|
|
The accompanying notes are an integral part of the financial statements.
14
SUMMIT GLOBAL INVESTMENTS U.S. LOW VOLATILITY EQUITY FUND
Financial Highlights
Contained below is per share operating performance data for Class A Shares outstanding, total investment return, ratios to average net assets and other supplemental data for the period. This information has been derived from information provided in the financial statements.
Class A Shares | |||||
For the Period | |||||
November 2, 2015(1) | |||||
to February 29, 2016 | |||||
(Unaudited) | |||||
Per Share Operating Performance | |||||
Net asset value, beginning of period | $ | 14.69 | |||
|
| ||||
Net investment income(2) | 0.05 | ||||
Net realized and unrealized loss from investments(3) | (0.30 | ) | |||
|
| ||||
Net decrease in net assets resulting from operations | (0.25 | ) | |||
|
| ||||
Dividends and distributions to shareholders from: | |||||
Net investment income | (0.20 | ) | |||
Net realized gains | (0.75 | ) | |||
|
| ||||
Total dividends and distributions to shareholders | (0.95 | ) | |||
|
| ||||
Net asset value, end of period | $ | 13.49 | |||
|
| ||||
Total investment return(4) | (1.91 | )%(5) | |||
|
| ||||
Ratios/Supplemental Data | |||||
Net assets, end of period (000’s omitted) | $ | 9,968 | |||
Ratio of expenses to average net assets with waivers and reimbursements | 1.23 | %(6) | |||
Ratio of expenses to average net assets without waivers and reimbursements | 1.41 | %(6) | |||
Ratio of net investment income to average net assets | 1.39 | %(6) | |||
Portfolio turnover rate | 24 | %(5) |
(1) | Commencement of operations. |
(2) | The selected per share data was calculated based on 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) | 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) | Not annualized. |
(6) | Annualized. |
The accompanying notes are an integral part of the financial statements.
15
SUMMIT GLOBAL INVESTMENTS U.S. LOW VOLATILITY EQUITY FUND
Financial Highlights
Contained below is per share operating performance data for Class C Shares outstanding, total investment return, ratios to average net assets and other supplemental data for the period. This information has been derived from information provided in the financial statements.
Class C Shares | |||||
For the Period | |||||
January 4, 2016(1) | |||||
to February 29, 2016 | |||||
(Unaudited) | |||||
Per Share Operating Performance | |||||
Net asset value, beginning of period | $ | 13.57 | |||
|
| ||||
Net investment income(2) | 0.01 | ||||
Net realized and unrealized loss from investments(3) | (0.12 | ) | |||
|
| ||||
Net decrease in net assets resulting from operations | (0.11 | ) | |||
|
| ||||
Net asset value, end of period | $ | 13.46 | |||
|
| ||||
Total investment return(4) | (0.81 | )%(5) | |||
|
| ||||
Ratios/Supplemental Data | |||||
Net assets, end of period (000’s omitted) | $ | 5 | |||
Ratio of expenses to average net assets with waivers and reimbursements | 1.98 | %(6) | |||
Ratio of expenses to average net assets without waivers and reimbursements | 2.17 | %(6) | |||
Ratio of net investment income to average net assets | 0.64 | %(6) | |||
Portfolio turnover rate | 24 | %(5) |
(1) | Commencement of operations. |
(2) | The selected per share data was calculated based on 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) | 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) | Not annualized. |
(6) | Annualized. |
The accompanying notes are an integral part of the financial statements.
16
SUMMIT GLOBAL INVESTMENTS U.S. LOW VOLATILITY EQUITY FUND
Financial Highlights
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 financial statements.
Class I Shares | |||||||||||||||||||||||||
For the | For the | ||||||||||||||||||||||||
Six Months | For the | For the | For the | Period | |||||||||||||||||||||
Ended | Year | Year | Year | February 29, | |||||||||||||||||||||
February 29, | Ended | Ended | Ended | 2012(1) | |||||||||||||||||||||
2016 | August 31, | August 31, | August 31, | to August 31, | |||||||||||||||||||||
(Unaudited) | 2015 | 2014 | 2013 | 2012 | |||||||||||||||||||||
Per Share Operating Performance | |||||||||||||||||||||||||
Net asset value, beginning of period | $ | 13.78 | $ | 13.72 | $ | 11.85 | $ | 10.18 | $ | 10.00 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Net investment income(2) | 0.11 | 0.21 | 0.16 | 0.15 | 0.08 | ||||||||||||||||||||
Net realized and unrealized gain from investments(3) | 0.56 | 0.44 | 2.01 | 1.64 | 0.10 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Net increase in net assets resulting from operations | 0.67 | 0.65 | 2.17 | 1.79 | 0.18 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Dividends and distributions to shareholders from: | |||||||||||||||||||||||||
Net investment income | (0.21 | ) | (0.16 | ) | (0.08 | ) | (0.05 | ) | — | ||||||||||||||||
Net realized gains | (0.75 | ) | (0.43 | ) | (0.22 | ) | (0.07 | ) | — | ||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Total dividends and distributions to shareholders | (0.96 | ) | (0.59 | ) | (0.30 | ) | (0.12 | ) | — | ||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Net asset value, end of period | $ | 13.49 | $ | 13.78 | $ | 13.72 | $ | 11.85 | $ | 10.18 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Total investment return(4) | 4.67 | %(5) | 4.82 | % | 18.57 | % | 17.78 | % | 1.80 | %(5) | |||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Ratios/Supplemental Data | |||||||||||||||||||||||||
Net assets, end of period (000’s omitted) | $ | 82,996 | $ | 72,850 | $ | 60,266 | $ | 25,638 | $ | 3,602 | |||||||||||||||
Ratio of expenses to average net assets with waivers and reimbursements | 0.98 | %(6) | 0.98 | % | 0.98 | % | 0.98 | % | 0.98 | %(6) | |||||||||||||||
Ratio of expenses to average net assets without waivers and reimbursements | 1.17 | %(6) | 1.20 | % | 1.35 | % | 2.74 | % | 20.03 | %(6) | |||||||||||||||
Ratio of net investment income to average net assets | 1.64 | %(6) | 1.47 | % | 1.25 | % | 1.34 | % | 1.64 | %(6) | |||||||||||||||
Portfolio turnover rate | 24 | %(5) | 42 | % | 110 | % | 81 | % | 95 | %(5) |
(1) | Commencement of operations. |
(2) | The selected per share data was calculated based on 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) | 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) | Not annualized. |
(6) | Annualized. |
The accompanying notes are an integral part of the financial statements.
17
SUMMIT GLOBAL INVESTMENTS U.S. LOW VOLATILITY EQUITY FUND
Notes to Financial Statements
February 29, 2016
(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 “Investment Company 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 Investment Company 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 twenty-three active investment portfolios, including the Summit Global Investments U.S. Low Volatility Equity Fund (the “Fund”), which commenced investment operations on February 29, 2012. As of February 29, 2016, the Fund offers four classes of shares, Class A Shares, Retail Shares, Class I Shares and Class C Shares. Purchases of Class A Shares of the Fund are subject to a front-end sales charge of up to five and one-quarter percent (5.25%) of the total purchase price. A contingent deferred sales charge of 1.00% is assessed on certain redemptions of Class A Shares made within 18 months after purchase where no initial sales charge was paid at time of purchase as part of an investment of $1,000,000 or more. As of February 29, 2016, Retail Shares have not been issued.
RBB has authorized capital of one hundred billion shares of common stock of which 83.023 billion shares are currently classified into one hundred and fifty-seven classes of common stock. Each class represents an interest in an active or inactive RBB investment portfolio.
The Fund is an investment company and follows accounting and reporting guidance in the Financial Accounting Standards Codification Topic 946.
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”) (typically 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 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. Investments in other open-end investment companies, if any, are valued based on the NAV of those investment companies (which may use fair value pricing as discussed in their prospectuses). If market quotations are unavailable or deemed unreliable, securities will be valued in accordance with procedures adopted by the Company’s Board of Directors. Relying on prices supplied by pricing services or dealers or using fair valuation may result in values that are higher or lower than the values used by other investment companies and investors to price the same investments.
Fair Value Measurements – The inputs and valuation techniques used to measure fair value of the Fund’s investments are summarized into three levels as described in the hierarchy below:
• Level 1 — | quoted prices in active markets for identical securities; | |
• Level 2 — | other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.); and | |
• Level 3 — | significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments). |
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
18
SUMMIT GLOBAL INVESTMENTS U.S. LOW VOLATILITY EQUITY FUND
Notes to Financial Statements (Continued)
February 29, 2016
(Unaudited)
The following is a summary of the inputs used, as of February 29, 2016, in valuing the Fund’s investments carried at fair value:
Total Value at February 29, 2016 | Level 1 Quoted Price | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |||||||||||||
Investments in Securities* | $ | 89,662,116 | $ | 89,662,116 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
|
* | Please refer to Portfolio of Investments for further details. |
At the end of each quarter, management evaluates the classification of Levels 1, 2 and 3 assets and liabilities. Various factors are considered, such as changes in liquidity from the prior reporting period; whether or not a broker is willing to execute at the quoted price; the depth and consistency of prices from third party pricing services; and the existence of contemporaneous, observable trades in the market. Additionally, management evaluates the classification of Level 1 and Level 2 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”) require 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. U.S. GAAP also requires the Fund to disclose amounts and reasons for all transfers in and out of Level 1 and Level 2 fair value measurements. 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 transfers in and out of each level within the three-tier hierarchy are disclosed when the Fund had an amount of total transfers during the reporting period that was meaningful in relation to its net assets as of the end of the reporting period.
For the six months ended February 29, 2016, there were no transfers between Levels 1, 2 and 3 for the Fund.
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 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 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 distribution fees) 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. Expenses incurred on behalf of a specific class, fund or fund family of the
19
SUMMIT GLOBAL INVESTMENTS U.S. LOW VOLATILITY EQUITY FUND
Notes to Financial Statements (Continued)
February 29, 2016
(Unaudited)
Company are charged directly to the class, fund or fund family (in proportion to net assets). Expenses incurred for all of the RBB funds (such as director or professional fees) are charged to all funds in proportion to their average net assets of RBB, or in such other manner as the Company’s Board of Directors 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, if any, are declared and paid quarterly. Net realized capital gains, if any, are declared and paid 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 and excise taxes.
Cash and Cash Equivalents — The Fund considers liquid assets deposited into a bank demand deposit account to be cash equivalents. These investments represent amounts held with financial institutions that are readily accessible to pay Fund expenses or purchase investments. Cash and cash equivalents are valued at cost plus accrued interest, which approximates market value.
Redemption/Exchange Fees — The Fund imposes a redemption/exchange fee of 1.50% on redemptions/exchanges of Fund shares held less than 60 days. The fees are reflected on the Statements of Changes in Net Assets. The Fund reserves the right to modify or eliminate the redemption/exchange fees or waivers at any time.
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 Adviser and Other Services
Summit Global Investments, LLC (“Summit” or the “Adviser”) serves as the Fund’s investment adviser. For its advisory services, the Adviser is entitled to receive a monthly advisory fee from the Fund calculated at an annual rate of 0.70% of the Fund’s average daily net assets.
Summit has contractually agreed to waive management fees and reimburse expenses through December 31, 2016 to the extent that total annual fund operating expenses (excluding certain items discussed below) exceed 1.23%, 1.23%, 0.98% and 1.98% of the Fund’s average daily net assets attributable to Class A Shares, Retail Shares, Class I Shares and Class C Shares, respectively. 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%, 0.98% or 1.98%, as applicable: acquired fund fees and expenses, brokerage commissions, extraordinary items, interest or taxes. This contractual limitation may not be terminated before December 31, 2016 without the approval of the Company’s Board of Directors. If at any time the Fund’s total annual fund operating expenses for a year are less than 1.23%, 1.23%, 0.98% and 1.98% of the Fund’s average daily net assets attributable to Class A Shares, Retail Shares, Class I Shares and Class C Shares, respectively, 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. For the six months ended February 29, 2016, advisory fees accrued were $273,115, of which $73,469 were waived by the Adviser.
20
SUMMIT GLOBAL INVESTMENTS U.S. LOW VOLATILITY EQUITY FUND
Notes to Financial Statements (Continued)
February 29, 2016
(Unaudited)
As of February 29, 2016, the Fund had amounts available for recoupment as follows:
Expiration Fiscal Years Ending | ||||||||||||
August 31, 2016 | August 31, 2017 | August 31, 2018 | August 31, 2019 | |||||||||
$151,296 | $170,961 | $147,547 | $73,469 |
BNY Mellon Investment Servicing (US) Inc. (“BNY Mellon”) serves as administrator for the Fund. For providing administrative and accounting services, BNY Mellon is entitled to receive a monthly fee equal to an annual percentage rate of the Fund’s average daily net assets, subject to certain minimum monthly fees.
Included in the administration and accounting services fees, shown on the Statement of Operations, are fees for providing regulatory administration services to RBB. For providing these services, BNY Mellon is entitled to receive compensation as agreed to by the Company and BNY Mellon. This fee is allocated to each portfolio of the Company in proportion to its net assets of the Company.
In addition, BNY Mellon serves as the Fund’s transfer and dividend disbursing agent. For providing these transfer agent services, BNY Mellon is entitled to receive a monthly fee, subject to certain minimum, and out of pocket expenses.
The Bank of New York Mellon (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.
Foreside Funds Distributors LLC, serves as the principal underwriter and distributor of the Fund’s shares pursuant to a Distribution Agreement with RBB.
3. Director’s and Officer’s Compensation
The Directors of the Company receive an annual retainer and meeting fees for meetings attended. The aggregate remuneration paid to the Directors by the Fund during the six months ended February 29, 2016 was $5,754. Certain employees of BNY Mellon serve as an Officer of the Company. They are not compensated by the Fund or the Company. Employees of Vigilant Compliance, LLC serve as President, Chief Compliance Officer and, effective January 1, 2016, Treasurer of the Company. Vigilant Compliance, LLC is compensated for the services provided to the Company. For the six months ended February 29, 2016, the Fund paid $3,342 in officer fees.
4. Investment in Securities
For the six months ended February 29, 2016, aggregate purchases and sales of investment securities (excluding short-term investments) of the Fund were as follows:
Purchases | Sales | |||||||
Investment Securities | $ | 36,461,795 | $ | 18,298,048 |
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.
21
SUMMIT GLOBAL INVESTMENTS U.S. LOW VOLATILITY EQUITY FUND
Notes to Financial Statements (Concluded)
February 29, 2016
(Unaudited)
As of February 29, 2016, the federal tax cost, aggregate gross unrealized appreciation and depreciation of securities held by the Fund were as follows:
Federal tax cost | $ | 82,941,067 | ||||
|
| |||||
Gross unrealized appreciation | $ | 9,024,149 | ||||
Gross unrealized depreciation | (2,303,100 | ) | ||||
|
| |||||
Net unrealized appreciation | $ | 6,721,049 | ||||
|
|
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, 2015, the components of distributable earnings on a tax basis were as follows:
Undistributed Ordinary Income | Undistributed Long-Term Gains | Net Unrealized Appreciation | ||
$2,112,615 | $1,980,139 | $3,980,193 |
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 year ended August 31, 2015 was as follows:
Ordinary Income | Long-Term Gains | Total | ||
$1,969,231 | $779,761 | $2,748,992 |
Under the Regulated Investment Company Modernization Act of 2010 (the “Modernization Act”), 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, 2015, the Fund did not have any capital loss carryforwards.
6. Subsequent Events
Management has evaluated the impact of all subsequent events on the Fund though the date the financial statements were issued, and has determined that there were no subsequent events requiring recognition or disclosure in the financial statements.
22
SUMMIT GLOBAL INVESTMENTS U.S. LOW VOLATILITY EQUITY 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 12-month period ended June 30 are available without charge, upon request, by calling (855) 744-8500 and on the Securities and Exchange Commission’s (“SEC”) website at http://www.sec.gov.
Quarterly Portfolio Schedules
The Company files 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) on Form N-Q. The Company’s Form N-Q is available on the SEC website at http://www.sec.gov and may be reviewed and copied at the SEC Public Reference Room in Washington, D.C. Information on the operation of the SEC Public Reference Room may be obtained by calling (800) SEC-0330.
23
Investment Adviser
Summit Global Investments, LLC
620 South Main Street
Bountiful, UT 84010
Administrator
BNY Mellon Investment Servicing (US) Inc.
301 Bellevue Parkway
Wilmington, DE 19809
Transfer Agent
BNY Mellon Investment Servicing (US) Inc.
4400 Computer Drive
Westborough, MA 01581
Principal Underwriter
Foreside Funds Distributors LLC
400 Berwyn Park
899 Cassatt Road
Berwyn, PA 19312
Custodian
The Bank of New York Mellon
225 Liberty Street
New York, NY 10286
Independent Registered Public Accounting Firm
Ernst & Young LLP
One Commerce Square
2005 Market Street, Suite 700
Philadelphia, PA 19103
Legal Counsel
Drinker Biddle & Reath LLP
One Logan Square, Ste. 2000
Philadelphia, PA 19103
SUM-SAR16
Item 2. Code of Ethics.
Not applicable.
Item 3. Audit Committee Financial Expert.
Not applicable.
Item 4. Principal Accountant Fees and Services.
Not applicable.
Item 5. Audit Committee of Listed Registrants.
Not applicable.
Item 6. Investments.
(a) | Schedule of Investments in securities of unaffiliated issuers as of the close of the reporting period 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.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable.
Item 9. | Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers. |
Not applicable.
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.
Item 11. Controls and Procedures.
(a) | The registrant’s principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”)) are effective, as of a date within 90 days of the filing date of the report, based on their evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934, as amended. |
(b) | There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the registrant’s second fiscal quarter of 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. Exhibits.
(a)(1) | Not applicable. |
(a)(2) | Certifications pursuant to Rule 30a-2(a) under the 1940 Act and Section 302 of the Sarbanes-Oxley Act of 2002 are attached hereto. |
(a)(3) | Not applicable. |
(b) | Certifications pursuant to Rule 30a-2(b) under the 1940 Act and Section 906 of the Sarbanes-Oxley Act of 2002 are attached hereto. |
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
(Registrant) | The RBB Fund, Inc. |
By (Signature and Title)* | /s/ Salvatore Faia | |
Salvatore Faia, President | ||
(principal executive officer) |
Date | 4/28/2016 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By (Signature and Title)* | /s/ Salvatore Faia | |
Salvatore Faia, President | ||
(principal executive officer) |
Date | 4/28/2016 |
By (Signature and Title)* | /s/ Robert Amweg | |
Robert Amweg, Treasurer | ||
(principal financial officer) |
Date | 4/28/2016 |
* | Print the name and title of each signing officer under his or her signature. |