SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
(Exact name of registrant as specified in charter)
(Address of principal executive offices) (Zip code)
(Name and address of agent for service)
(Unaudited)
* | Please note the above is shown for illustrative purposes only. |
Year 2016 | 2017 YTD | Mar. 1, 2016 to Feb. 28, 2017 | Sept. 1, 2016 to Feb 28, 2017 | Annualized Since Inception on July 1, 2014 to Feb. 28, 2017 | |
Class I Shares | -3.81% | 0.43% | -7.31% | -1.10% | 6.86% |
Class A Shares** | -4.06% | 0.43% | -7.55% | -1.19% | 6.61% |
Class A Shares** (max load) | -9.60% | -5.37% | -12.88% | -6.89% | 4.26% |
Class C Shares*** | -4.72% | 0.26% | -8.27% | -1.54% | 5.83% |
BofA Merrill Lynch 3-Month T-Bill Index**** | 0.33% | 0.09% | 0.39% | 0.22% | 0.18% |
S&P 500® Total Return Index**** | 11.96% | 5.94% | 24.98% | 10.01% | 9.57% |
Barclay CTA Index**** | -1.22% | -0.31% | -4.22% | -1.91% | 1.39% |
** | 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. |
**** | Source is Bloomberg. |
Sub-Advisor | 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 |
Aspect Capital Limited | Core Diversified Program | Diversified Trendfollowing | February 21, 2017 |
* | Trading Advisors 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. |
Key to Currency Abbreviations | |
EUR | Euro |
USD | US Dollar |
JPY | Japanese Yen |
AUD | Australian Dollar |
Average Annual Total Returns for the Periods Ended February 28, 2017 | |||
Six Months† | One Year | Since Inception†† | |
Abbey Capital Futures Strategy Fund, Class A Shares (without sales charge) (Pro forma July 1, 2014 to August 29, 2014) | -1.19% | -7.55% | 6.61%* |
Abbey Capital Futures Strategy Fund, Class A Shares (with sales charge) (Pro forma July 1, 2014 to August 29, 2014) | -6.89% | -12.88% | 4.26%* |
BofA Merrill Lynch 3-Month U.S. Treasury Bill Index | 0.22% | 0.39% | 0.18%** |
S&P 500® Total Return Index | 10.01% | 24.98% | 9.57%** |
Barclay CTA Index | -1.91% | -4.22% | 1.39%** |
Abbey Capital Futures Strategy Fund, Class C Shares (Pro forma July 1, 2014 to October 6, 2015) | -1.54% | -8.27% | 5.83%*** |
BofA Merrill Lynch 3-Month U.S. Treasury Bill Index | 0.22% | 0.39% | 0.18%** |
S&P 500® Total Return Index | 10.01% | 24.98% | 9.57%** |
Barclay CTA Index | -1.91% | -4.22% | 1.39%** |
† | Not annualized. |
†† | Inception dates of Class A Shares and Class C Shares of the Fund were August 29, 2014 and October 6, 2015, respectively. |
* | Class A Shares performance prior to its inception on August 29, 2014 is the performance of Class I Shares, adjusted for the Class A Shares expense ratio. |
** | Performance is from the inception date of the Fund and is not the inception date of the index itself. The above is shown for illustrative purposes only 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. |
Average Annual Total Returns for the Periods Ended February 28, 2017 | |||
Six Months† | One Year | Since Inception†† | |
Abbey Capital Futures Strategy Fund, Class I Shares | -1.10% | -7.31% | 6.86% |
BofA Merrill Lynch 3-Month U.S. Treasury Bill Index | 0.22% | 0.39% | 0.18%* |
S&P 500® Total Return Index | 10.01% | 24.98% | 9.57%* |
Barclay CTA Index | -1.91% | -4.22% | 1.39%* |
† | Not annualized. |
†† | Inception date of Class I Shares of the Fund was July 1, 2014. |
* | Benchmark performance is from the inception date of Class I Shares only and is not the inception date of the benchmark itself. |
Class A Shares | |||
Beginning Account Value September 1, 2016 | Ending Account Value February 28, 2017 | Expenses Paid During Period | |
Actual* | $1,000.00 | $ 988.10 | $11.04 |
Hypothetical (5% return before expenses) | 1,000.00 | 1,013.69 | 11.18 |
Class I Shares | |||
Beginning Account Value September 1, 2016 | Ending Account Value February 28, 2017 | Expenses Paid During Period | |
Actual** | $1,000.00 | $ 989.00 | $ 9.81 |
Hypothetical (5% return before expenses) | 1,000.00 | 1,014.93 | 9.94 |
Class C Shares | |||
Beginning Account Value September 1, 2016 | Ending Account Value February 28, 2017 | Expenses Paid During Period | |
Actual*** | $1,000.00 | $ 984.60 | $14.71 |
Hypothetical (5% return before expenses) | 1,000.00 | 1,009.97 | 14.90 |
* | Expenses equal to an annualized expense ratio for the period September 1, 2016 to February 28, 2017 of 2.24% 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 (181) then divided by 365 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 return for the Class A Shares of the Fund of (1.19%). |
** | Expenses equal to an annualized expense ratio for the period September 1, 2016 to February 28, 2017 of 1.99% 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 (181) then divided by 365 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 return for the Class I Shares of the Fund of (1.10%). |
*** | Expenses equal to an annualized expense ratio for the period September 1, 2016 to February 28, 2017 of 2.99% for the Class C 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 (181) then divided by 365 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 return for the Class C Shares of the Fund of (1.54%). |
Security Type | % of Net Assets | Value | ||||||
SHORT-TERM INVESTMENTS: | ||||||||
U.S. Treasury Obligations | 82.5 | % | $ | 690,938,182 | ||||
PURCHASED OPTIONS | 0.3 | 2,284,352 | ||||||
OTHER ASSETS IN EXCESS OF LIABILITIES | ||||||||
(including futures, forward foreign currency contracts and written options) | 17.2 | 143,782,903 | ||||||
NET ASSETS | 100.0 | % | $ | 837,005,437 |
9
Coupon* | Maturity Date | Par (000’s) | Value | ||||||||||
Short-Term Investments — 82.5% | |||||||||||||
U.s. Treasury Obligations — 82.5% | |||||||||||||
U.S. Treasury Bills | 0.504 | % | 03/09/17 | $ | 6,365 | $ | 6,364,414 | ||||||
U.S. Treasury Bills | 0.385 | % | 03/16/17 | 50,901 | 50,892,652 | ||||||||
U.S. Treasury Bills | 0.398 | % | 04/06/17 | 25,647 | 25,636,511 | ||||||||
U.S. Treasury Bills | 0.436 | % | 04/13/17 | 5,952 | 5,948,774 | ||||||||
U.S. Treasury Bills | 0.445 | % | 04/20/17 | 8,201 | 8,195,563 | ||||||||
U.S. Treasury Bills | 0.494 | % | 04/27/17 | 2,294 | 2,292,257 | ||||||||
U.S. Treasury Bills | 0.516 | % | 05/04/17 | 3,633 | 3,629,901 | ||||||||
U.S. Treasury Bills | 0.584 | % | 05/25/17 | 98,239 | 98,122,489 | ||||||||
U.S. Treasury Bills | 0.609 | % | 06/01/17 | 56,356 | 56,282,173 | ||||||||
U.S. Treasury Bills | 0.611 | % | 06/08/17 | 74,252 | 74,151,165 | ||||||||
U.S. Treasury Bills | 0.593 | % | 06/22/17 | 25,324 | 25,283,051 | ||||||||
U.S. Treasury Bills | 0.588 | % | 06/29/17 | 65,727 | 65,615,264 | ||||||||
U.S. Treasury Bills | 0.562 | % | 07/06/17 | 11,452 | 11,430,482 | ||||||||
U.S. Treasury Bills | 0.592 | % | 07/13/17 | 19,870 | 19,827,755 | ||||||||
U.S. Treasury Bills | 0.603 | % | 07/20/17 | 6,546 | 6,530,938 | ||||||||
U.S. Treasury Bills | 0.614 | % | 07/27/17 | 86,048 | 85,836,666 | ||||||||
U.S. Treasury Bills | 0.610 | % | 08/03/17 | 70,077 | 69,893,679 | ||||||||
U.S. Treasury Bills | 0.641 | % | 08/10/17 | 32,125 | 32,033,926 | ||||||||
U.S. Treasury Bills | 0.633 | % | 08/17/17 | 43,099 | 42,970,522 | ||||||||
690,938,182 | |||||||||||||
TOTAL SHORT-TERM INVESTMENTS | |||||||||||||
(Cost $690,865,693) | 690,938,182 | ||||||||||||
Total Purchased Options — 0.3%** | |||||||||||||
(Cost $1,263,198) | 2,284,352 | ||||||||||||
Total Investments — 82.8% | |||||||||||||
(Cost $692,128,891) | 693,222,534 | ||||||||||||
Other Assets in Excess of Liabilities — 17.2% | 143,782,903 | ||||||||||||
Net Assets — 100.0% | $ | 837,005,437 |
* | Short-term investments reflect the annualized effective yield on the date of purchase for discounted investments. |
** | See page 20 for detailed information regarding the Purchased Options. |
10
Long Contracts | Expiration Date | Number of Contracts | Notional Cost | Unrealized Appreciation (Depreciation) | |||||||||
30-DAY Interbank Futures | May-17 | 1,504 | $ | 277,288,244 | $ | (26,772 | ) | ||||||
3-Month Euro Euribor | Sep-17 | 287 | 77,512,523 | (4,714 | ) | ||||||||
3-Month Euro Euribor | Dec-18 | 814 | 217,139,450 | 50,613 | |||||||||
3-Month Euro Euribor | Mar-19 | 1 | 264,405 | 26 | |||||||||
3-Month Euro Euribor | Jun-19 | 1 | 264,299 | 40 | |||||||||
3-Month Euro Euribor | Sep-19 | 1 | 264,180 | 53 | |||||||||
90-DAY Bank Bill | Mar-17 | 3 | 224,076 | (225 | ) | ||||||||
90-DAY Bank Bill | Jun-17 | 918 | 68,107,224 | 40,755 | |||||||||
90-DAY Bank Bill | Sep-17 | 13 | 979,382 | (169 | ) | ||||||||
90-DAY Bank Bill | Dec-17 | 22 | 1,657,139 | 281 | |||||||||
90-DAY Bank Bill | Jun-18 | 1 | 75,114 | 19 | |||||||||
90-DAY Eurodollar Futures | Mar-19 | 11 | 2,693,613 | (263 | ) | ||||||||
90-DAY Eurodollar Futures | Jun-19 | 15 | 3,668,625 | 1,500 | |||||||||
90-DAY Eurodollar Futures | Sep-19 | 25 | 6,110,588 | 2,225 | |||||||||
90-DAY Eurodollar Futures | Dec-19 | 18 | 4,395,538 | 2,088 | |||||||||
90-DAY Eurodollar Futures | Mar-20 | 20 | 4,882,388 | 1,613 | |||||||||
90-DAY Eurodollar Futures | Jun-20 | 19 | 4,635,213 | 2,450 | |||||||||
90-DAY Eurodollar Futures | Sep-20 | 19 | 4,632,238 | 3,525 | |||||||||
90-DAY Sterling Futures | Jun-17 | 53 | 8,221,667 | 1,552 | |||||||||
90-DAY Sterling Futures | Sep-17 | 545 | 84,815,814 | 50,744 | |||||||||
90-DAY Sterling Futures | Dec-17 | 163 | 25,304,424 | 11,478 | |||||||||
90-DAY Sterling Futures | Mar-18 | 140 | 21,678,262 | 9,014 | |||||||||
90-DAY Sterling Futures | Jun-18 | 320 | 49,507,567 | 11,328 | |||||||||
90-DAY Sterling Futures | Sep-18 | 160 | 24,770,935 | 15,498 | |||||||||
90-DAY Sterling Futures | Dec-18 | 163 | 25,217,050 | 18,041 | |||||||||
90-DAY Sterling Futures | Mar-19 | 20 | 3,097,368 | 3,583 | |||||||||
90-DAY Sterling Futures | Jun-19 | 17 | 2,631,207 | 3,226 | |||||||||
90-DAY Sterling Futures | Sep-19 | 6 | 927,794 | 1,520 | |||||||||
90-DAY Sterling Futures | Dec-19 | 1 | 154,871 | 264 | |||||||||
Amsterdam Index Futures | Mar-17 | 90 | 9,445,640 | 1,695 | |||||||||
AUD/CAD Futures | Mar-17 | 34 | 5,175,924 | 97,576 | |||||||||
AUD/JPY Futures | Mar-17 | 17 | 2,575,817 | (10,219 | ) | ||||||||
AUD/USD Currency Futures | Mar-17 | 223 | 16,984,620 | 110,560 | |||||||||
Bank Acceptance Futures | Mar-18 | 1 | 184,301 | (94 | ) | ||||||||
Bank Acceptance Futures | Jun-18 | 1 | 188,193 | 113 | |||||||||
Brent Crude Futures | May-17 | 118 | 6,632,790 | 35,390 | |||||||||
Brent Crude Futures | Jun-17 | 2 | 114,010 | (330 | ) | ||||||||
Brent Crude Futures | Jul-17 | 2 | 114,170 | (150 | ) | ||||||||
Brent Crude Futures | Aug-17 | 6 | 345,540 | (2,940 | ) | ||||||||
Brent Crude Futures | Sep-17 | 13 | 743,280 | (850 | ) | ||||||||
Brent Crude Futures | Oct-17 | 11 | 625,230 | 2,320 | |||||||||
CAC40 10 Euro Futures | Mar-17 | 734 | 38,121,923 | (340,513 | ) | ||||||||
Canadian 10-Year Bond Futures | Jun-17 | 640 | 66,450,069 | 432,774 | |||||||||
Canola Futures (Winnipeg Commodity Exchange) | May-17 | 18 | 146,677 | (3,429 | ) | ||||||||
Canola Futures (Winnipeg Commodity Exchange) | Jul-17 | 155 | 1,263,353 | (26,115 | ) | ||||||||
Canola Futures (Winnipeg Commodity Exchange) | Nov-17 | 31 | 235,963 | (89 | ) | ||||||||
Cattle Feeder Futures | Apr-17 | 3 | 187,800 | (750 | ) | ||||||||
Cattle Feeder Futures | May-17 | 3 | 187,100 | (13 | ) | ||||||||
Coffee Robusta Futures | May-17 | 14 | 315,120 | (15,100 | ) |
Long Contracts | Expiration Date | Number of Contracts | Notional Cost | Unrealized Appreciation (Depreciation) | |||||||||
Coffee Robusta Futures | Jul-17 | 67 | $ | 1,484,190 | $ | (36,990 | ) | ||||||
Coffee Robusta Futures | Sep-17 | 18 | 391,960 | (1,720 | ) | ||||||||
Copper Futures | May-17 | 78 | 5,346,513 | (54,213 | ) | ||||||||
Copper Futures | Jul-17 | 21 | 1,405,088 | 26,325 | |||||||||
Copper Futures | Sep-17 | 12 | 828,375 | (7,575 | ) | ||||||||
Corn Futures | May-17 | 176 | 3,294,775 | (5,775 | ) | ||||||||
Corn Futures | Jul-17 | 8 | 156,025 | (3,625 | ) | ||||||||
Corn Futures | Sep-17 | 25 | 488,638 | (4,575 | ) | ||||||||
Corn Futures | Dec-17 | 10 | 198,088 | (1,213 | ) | ||||||||
Cotton No.2 Futures | May-17 | 98 | 3,672,340 | 68,320 | |||||||||
Cotton No.2 Futures | Jul-17 | 73 | 2,701,830 | 126,190 | |||||||||
DAX Index Futures | Mar-17 | 155 | 47,950,535 | 784,009 | |||||||||
DJIA Mini E-CBOT | Mar-17 | 564 | 57,957,145 | 718,595 | |||||||||
Dollar Index | Mar-17 | 98 | 9,926,235 | (15,593 | ) | ||||||||
E-Mini Crude Oil | Apr-17 | 8 | 214,363 | 1,678 | |||||||||
Euro BUXL 30-Year Bond Futures | Mar-17 | 3 | 560,546 | (9,598 | ) | ||||||||
Euro STOXX 50 | Mar-17 | 612 | 21,257,250 | 230,441 | |||||||||
Euro/CHF 3-Month Futures (Intercontinental Exchange) | Sep-17 | 7 | 1,746,758 | 149 | |||||||||
Euro/CHF 3-Month Futures (Intercontinental Exchange) | Dec-17 | 14 | 3,514,623 | 199 | |||||||||
Euro-Bobl Futures | Mar-17 | 2,494 | 355,321,576 | 932,220 | |||||||||
Euro-Bobl Futures | Jun-17 | 8 | 1,124,533 | (212 | ) | ||||||||
Euro-Bund Futures | Mar-17 | 1,732 | 301,130,333 | 4,940,504 | |||||||||
Euro-Bund Futures | Jun-17 | 3 | 517,252 | 191 | |||||||||
Euro-Schatz Futures | Mar-17 | 470 | 56,261,809 | 163,545 | |||||||||
Euro-Schatz Futures | Jun-17 | 13 | 1,549,045 | (630 | ) | ||||||||
FTSE 100 Index Futures | Mar-17 | 623 | 55,031,526 | 1,034,793 | |||||||||
FTSE 250 Index Futures | Mar-17 | 99 | 4,430,238 | 148,377 | |||||||||
FTSE/MIB Index Futures | Mar-17 | 21 | 2,133,696 | (24,726 | ) | ||||||||
Gasoline RBOB Futures | Apr-17 | 95 | 7,033,816 | (133,510 | ) | ||||||||
Gasoline RBOB Futures | Jun-17 | 6 | 456,326 | (11,546 | ) | ||||||||
Gasoline RBOB Futures | Jul-17 | 2 | 150,024 | (2,134 | ) | ||||||||
Gold 100 Oz Futures | Apr-17 | 174 | 21,664,960 | 152,900 | |||||||||
Gold 100 Oz Futures | Jun-17 | 12 | 1,481,400 | 27,240 | |||||||||
Gold 100 Oz Futures | Aug-17 | 13 | 1,613,330 | 24,930 | |||||||||
Hang Seng Index Futures | Mar-17 | 367 | 56,832,492 | (698,541 | ) | ||||||||
H-Shares Index Futures | Mar-17 | 137 | 9,297,538 | (199,900 | ) | ||||||||
IBEX 35 Index Futures | Mar-17 | 75 | 7,596,813 | 7,305 | |||||||||
JPN 10-Year Bond (Osaka Securities Exchange) | Mar-17 | 15 | 20,112,707 | 22,965 | |||||||||
JPY E-Mini Futures | Mar-17 | 5 | 278,113 | 513 | |||||||||
Kansas City Hard Red Winter Wheat Futures | May-17 | 2 | 48,575 | (2,225 | ) | ||||||||
Kansas City Hard Red Winter Wheat Futures | Sep-17 | 4 | 99,300 | (1,500 | ) | ||||||||
Lean Hogs Futures | Apr-17 | 27 | 757,000 | (26,920 | ) | ||||||||
Lean Hogs Futures | Jun-17 | 18 | 571,020 | (12,120 | ) | ||||||||
Lean Hogs Futures | Jul-17 | 23 | 726,390 | (9,940 | ) | ||||||||
Live Cattle Futures | Apr-17 | 19 | 889,550 | 6,680 | |||||||||
Live Cattle Futures | Jun-17 | 18 | 771,800 | 2,560 | |||||||||
Live Cattle Futures | Aug-17 | 28 | 1,134,690 | 12,470 | |||||||||
London Mercantile Exchange Aluminum Forward | Apr-17 | 110 | 4,965,447 | 323,491 | |||||||||
London Mercantile Exchange Aluminum Forward | May-17 | 74 | 3,370,178 | 191,072 |
Long Contracts | Expiration Date | Number of Contracts | Notional Cost | Unrealized Appreciation (Depreciation) | |||||||||
London Mercantile Exchange Aluminum Forward | Jun-17 | 547 | $ | 25,777,023 | $ | 571,284 | |||||||
London Mercantile Exchange Copper Forward | Mar-17 | 766 | 109,760,590 | 4,469,161 | |||||||||
London Mercantile Exchange Copper Forward | Apr-17 | 47 | 6,862,294 | 151,868 | |||||||||
London Mercantile Exchange Copper Forward | May-17 | 9 | 1,338,538 | 5,500 | |||||||||
London Mercantile Exchange Copper Forward | Jun-17 | 130 | 19,487,412 | (63,787 | ) | ||||||||
London Mercantile Exchange Lead Forward | Mar-17 | 3 | 230,936 | (61,492 | ) | ||||||||
London Mercantile Exchange Lead Forward | Apr-17 | 13 | 775,614 | (42,333 | ) | ||||||||
London Mercantile Exchange Lead Forward | May-17 | 7 | 419,150 | (24,131 | ) | ||||||||
London Mercantile Exchange Nickel Forward | Mar-17 | 2 | 239,591 | (108,341 | ) | ||||||||
London Mercantile Exchange Nickel Forward | Apr-17 | 18 | 1,214,653 | (31,189 | ) | ||||||||
London Mercantile Exchange Nickel Forward | May-17 | 9 | 593,700 | (996 | ) | ||||||||
London Mercantile Exchange Nickel Forward | Jun-17 | 2 | 128,865 | 3,057 | |||||||||
London Mercantile Exchange Tin Forward Spot | Mar-17 | 8 | 847,785 | (79,585 | ) | ||||||||
London Mercantile Exchange Tin Forward Spot | Apr-17 | 1 | 152,525 | (56,450 | ) | ||||||||
London Mercantile Exchange Zinc Forward ($) | Mar-17 | 9 | 332,677 | 302,498 | |||||||||
London Mercantile Exchange Zinc Forward ($) | Apr-17 | 24 | 1,663,215 | 31,185 | |||||||||
London Mercantile Exchange Zinc Forward ($) | May-17 | 16 | 1,135,636 | (5,436 | ) | ||||||||
London Mercantile Exchange Zinc Forward ($) | Jun-17 | 63 | 4,459,706 | (5,606 | ) | ||||||||
Low Sulphur Gasoil G Futures | Apr-17 | 158 | 7,896,925 | (123,325 | ) | ||||||||
Low Sulphur Gasoil G Futures | May-17 | 20 | 1,002,000 | (14,500 | ) | ||||||||
Low Sulphur Gasoil G Futures | Jun-17 | 21 | 1,054,300 | (13,750 | ) | ||||||||
Mill Wheat Euro | May-17 | 2 | 18,453 | (26 | ) | ||||||||
Mini HSI Index Futures | Mar-17 | 89 | 2,767,242 | (44,221 | ) | ||||||||
Mini MSCI EAFE Index Futures | Mar-17 | 14 | 1,226,980 | (5,130 | ) | ||||||||
Mini MSCI Emerging Markets Index Future | Mar-17 | 55 | 2,605,545 | (45,845 | ) | ||||||||
MSCI Singapore Exchange ETS | Mar-17 | 154 | 3,799,119 | (29,963 | ) | ||||||||
MSCI Taiwan Index | Mar-17 | 133 | 4,809,915 | (35,215 | ) | ||||||||
MXN Futures | Mar-17 | 29 | 715,870 | 4,925 | |||||||||
Nasdaq 100 E-Mini | Mar-17 | 985 | 103,048,683 | 1,996,642 | |||||||||
New York Harbor Ultra-Low Sulfur Diesel Futures | Apr-17 | 174 | 12,009,211 | (24,822 | ) | ||||||||
New York Harbor Ultra-Low Sulfur Diesel Futures | May-17 | 1 | 69,892 | (626 | ) | ||||||||
New York Harbor Ultra-Low Sulfur Diesel Futures | Jun-17 | 6 | 422,600 | (4,784 | ) | ||||||||
New York Harbor Ultra-Low Sulfur Diesel Futures | Jul-17 | 4 | 283,122 | (2,948 | ) | ||||||||
Nikkei 225 (Chicago Mercantile Exchange) | Mar-17 | 12 | 1,162,700 | (11,000 | ) | ||||||||
Nikkei 225 (Singapore Exchange) | Mar-17 | 60 | 5,054,406 | (41,479 | ) | ||||||||
Nikkei 225 Mini | Mar-17 | 357 | 6,005,757 | (58,863 | ) | ||||||||
NZD Futures | Mar-17 | 44 | 3,176,340 | (4,820 | ) | ||||||||
NZD/JPY Futures | Mar-17 | 4 | 580,241 | (10,094 | ) | ||||||||
OMX Stockholm 30 Index Futures | Mar-17 | 131 | 2,290,808 | (8,627 | ) | ||||||||
Palladium Futures | Jun-17 | 19 | 1,475,040 | (8,810 | ) | ||||||||
Platinum Futures | Apr-17 | 18 | 924,155 | 3,745 | |||||||||
Rapeseed Euro | Apr-17 | 131 | 2,850,622 | 90,036 | |||||||||
Rapeseed Euro | Jul-17 | 134 | 2,766,965 | 9,058 | |||||||||
Rapeseed Euro | Oct-17 | 78 | 1,632,061 | (19,334 | ) | ||||||||
Red Wheat Futures (Minneapolis Grain Exchange) | May-17 | 16 | 452,288 | (12,088 | ) | ||||||||
Red Wheat Futures (Minneapolis Grain Exchange) | Jul-17 | 31 | 867,463 | (6,438 | ) | ||||||||
Red Wheat Futures (Minneapolis Grain Exchange) | Sep-17 | 2 | 56,400 | (325 | ) | ||||||||
Russell 2000 Mini | Mar-17 | 72 | 4,962,720 | 23,280 | |||||||||
S&P 500 E-Mini Futures | Mar-17 | 797 | 92,195,918 | 1,961,663 | |||||||||
S&P Mid 400 E-Mini | Mar-17 | 62 | 10,534,875 | 176,865 | |||||||||
S&P/TSX 60 IX Futures | Mar-17 | 81 | 11,170,921 | (45,862 | ) |
Long Contracts | Expiration Date | Number of Contracts | Notional Cost | Unrealized Appreciation (Depreciation) | |||||||||
SGX Nifty 50 | Mar-17 | 168 | $ | 2,978,645 | $ | 15,619 | |||||||
Silver Futures | May-17 | 122 | 11,125,860 | 140,230 | |||||||||
Silver Futures | Jul-17 | 14 | 1,266,650 | 30,800 | |||||||||
Silver Futures | Sep-17 | 9 | 827,100 | 9,945 | |||||||||
Soybean Futures | May-17 | 97 | 5,106,375 | (82,988 | ) | ||||||||
Soybean Futures | Aug-17 | 13 | 693,988 | (15,388 | ) | ||||||||
Soybean Futures | Sep-17 | 5 | 256,263 | 1,113 | |||||||||
Soybean Meal Futures | May-17 | 64 | 2,183,190 | (30,230 | ) | ||||||||
Soybean Meal Futures | Jul-17 | 11 | 386,100 | (12,760 | ) | ||||||||
Soybean Meal Futures | Aug-17 | 8 | 275,860 | (4,980 | ) | ||||||||
SPI 200 Futures | Mar-17 | 15 | 1,668,055 | (35,517 | ) | ||||||||
Sugar No. 11 (World) | May-17 | 28 | 713,742 | (110,690 | ) | ||||||||
Sugar No. 11 (World) | Jul-17 | 23 | 524,944 | (33,958 | ) | ||||||||
Sugar No. 11 (World) | Oct-17 | 18 | 406,403 | (22,355 | ) | ||||||||
Swiss Federal Bond Futures | Mar-17 | 7 | 1,134,722 | (329 | ) | ||||||||
Topix Index Futures | Mar-17 | 65 | 8,625,715 | (46,851 | ) | ||||||||
U.S. Treasury 2-Year Notes (Chicago Board of Trade) | Jun-17 | 28 | 6,064,297 | (4,922 | ) | ||||||||
USD/NOK Futures | Mar-17 | 3 | 295,391 | (2,489 | ) | ||||||||
USD/SEK Futures | Mar-17 | 3 | 294,819 | (2,865 | ) | ||||||||
White Sugar (Intercontinental Exchange) | May-17 | 13 | 362,745 | (16,555 | ) | ||||||||
White Sugar (Intercontinental Exchange) | Aug-17 | 30 | 813,205 | (29,905 | ) | ||||||||
White Sugar (Intercontinental Exchange) | Oct-17 | 43 | 1,139,060 | (46,430 | ) | ||||||||
WTI Crude Futures | Apr-17 | 53 | 2,877,920 | (15,390 | ) | ||||||||
WTI Crude Futures | May-17 | 1 | 53,700 | 730 | |||||||||
WTI Crude Futures | Aug-17 | 3 | 164,140 | 1,370 | |||||||||
WTI Crude Futures | Sep-17 | 2 | 112,200 | (1,700 | ) | ||||||||
WTI Crude Futures | Oct-17 | 6 | 336,550 | (4,870 | ) | ||||||||
WTI Crude Futures | Nov-17 | 4 | 220,810 | 350 | |||||||||
$ | 2,667,823,368 | $ | 17,589,521 |
Short Contracts | Expiration Date | Number of Contracts | Notional Cost | Unrealized Appreciation (Depreciation) | |||||||||
10-Year Mini Japanese Government Bond Futures | Mar-17 | 122 | $ | (16,115,359 | ) | $ | (64,249 | ) | |||||
30-DAY Fed Fund Futures | Apr-17 | 1,801 | (745,077,098 | ) | 266,496 | ||||||||
3-Month Euro Euribor | Dec-17 | 168 | (45,117,516 | ) | (9,084 | ) | |||||||
3-Month Euro Euribor | Mar-18 | 93 | (25,007,057 | ) | (6,092 | ) | |||||||
3-Month Euro Euribor | Jun-18 | 224 | (59,954,630 | ) | (24,671 | ) | |||||||
3-Month Euro Euribor | Sep-18 | 101 | (26,980,643 | ) | (14,103 | ) | |||||||
3-Month Euro Euribor | Dec-19 | 948 | (252,504,355 | ) | (226,129 | ) | |||||||
3-Month Euroyen Futures | Mar-17 | 1 | (228,887 | ) | 22 | ||||||||
3-Month Euroyen Futures | Jun-17 | 57 | (13,441,044 | ) | 4,061 | ||||||||
3-Month Euroyen Futures | Sep-17 | 83 | (19,667,780 | ) | 8,567 | ||||||||
3-Month Euroyen Futures | Dec-17 | 5 | (1,102,824 | ) | (111 | ) | |||||||
5-Year Euro Swapnote Futures | Mar-17 | 9 | (1,244,968 | ) | (5,625 | ) | |||||||
90-DAY Bank Bill | Mar-18 | 8 | (602,315 | ) | (749 | ) | |||||||
90-DAY Eurodollar Futures | Mar-17 | 65 | (16,078,238 | ) | 10,238 | ||||||||
90-DAY Eurodollar Futures | Jun-17 | 195 | (48,154,225 | ) | 30,663 | ||||||||
90-DAY Eurodollar Futures | Sep-17 | 999 | (246,505,763 | ) | 277,238 |
Short Contracts | Expiration Date | Number of Contracts | Notional Cost | Unrealized Appreciation (Depreciation) | |||||||||
90-DAY Eurodollar Futures | Dec-17 | 2,636 | (653,344,443 | ) | 4,624,840 | ||||||||
90-DAY Eurodollar Futures | Mar-18 | 95 | $ | (23,348,488 | ) | $ | (4,888 | ) | |||||
90-DAY Eurodollar Futures | Jun-18 | 688 | (169,118,763 | ) | 180,363 | ||||||||
90-DAY Eurodollar Futures | Sep-18 | 66 | (16,180,563 | ) | (9,238 | ) | |||||||
90-DAY Eurodollar Futures | Dec-18 | 78 | (19,101,375 | ) | (9,600 | ) | |||||||
Australian 10-Year Bond Futures | Mar-17 | 78 | (5,695,066 | ) | (106,009 | ) | |||||||
Australian 3-Year Bond Futures | Mar-17 | 179 | (13,425,199 | ) | (27,354 | ) | |||||||
Bank Acceptance Futures | Mar-17 | 5 | (923,429 | ) | 424 | ||||||||
Bank Acceptance Futures | Jun-17 | 49 | (9,062,336 | ) | 2,409 | ||||||||
Bank Acceptance Futures | Sep-17 | 15 | (2,760,699 | ) | 1,082 | ||||||||
Bank Acceptance Futures | Dec-17 | 41 | (7,550,742 | ) | (10,541 | ) | |||||||
BP Currency Futures | Mar-17 | 52 | (4,019,725 | ) | (11,900 | ) | |||||||
CAD Currency Futures | Mar-17 | 127 | (9,428,765 | ) | (127,985 | ) | |||||||
CAD/JPY Currency Futures | Mar-17 | 2 | (303,686 | ) | 4,237 | ||||||||
Cattle Feeder Futures | Mar-17 | 2 | (122,263 | ) | (2,813 | ) | |||||||
CBOE VIX Futures | Mar-17 | 2 | (26,250 | ) | (800 | ) | |||||||
CBOE VIX Futures | Apr-17 | 8 | (121,500 | ) | (1,100 | ) | |||||||
CHF Currency Futures | Mar-17 | 128 | (15,934,775 | ) | (1,225 | ) | |||||||
CHF/JPY Futures | Mar-17 | 9 | (2,237,670 | ) | 17,001 | ||||||||
Cocoa Futures | Mar-17 | 36 | (774,925 | ) | 89,689 | ||||||||
Cocoa Futures | May-17 | 90 | (1,919,050 | ) | 200,950 | ||||||||
Cocoa Futures | May-17 | 123 | (2,671,008 | ) | 302,134 | ||||||||
Cocoa Futures | Jul-17 | 58 | (1,282,340 | ) | 168,740 | ||||||||
Cocoa Futures | Jul-17 | 59 | (1,306,037 | ) | 156,930 | ||||||||
Cocoa Futures | Sep-17 | 44 | (886,890 | ) | 34,610 | ||||||||
Coffee 'C' Futures | May-17 | 35 | (1,931,044 | ) | 59,419 | ||||||||
Coffee 'C' Futures | Jul-17 | 13 | (723,806 | ) | 17,419 | ||||||||
Coffee 'C' Futures | Sep-17 | 11 | (620,700 | ) | 13,500 | ||||||||
E-Mini Crude Oil | Jun-17 | 1 | (27,100 | ) | (275 | ) | |||||||
E-Mini Natural Gas | Apr-17 | 48 | (380,200 | ) | 47,320 | ||||||||
E-Mini Natural Gas | May-17 | 50 | (389,063 | ) | 30,313 | ||||||||
E-Mini Natural Gas | Jun-17 | 26 | (198,513 | ) | 6,568 | ||||||||
EUR Foreign Exchange Currency Futures | Mar-17 | 497 | (66,107,308 | ) | 270,350 | ||||||||
EUR/AUD Futures | Mar-17 | 45 | (6,009,923 | ) | 182,532 | ||||||||
EUR/CAD Futures | Mar-17 | 47 | (6,208,415 | ) | (56,929 | ) | |||||||
EUR/GBP Futures | Mar-17 | 7 | (924,257 | ) | (8,066 | ) | |||||||
EUR/JPY Futures | Mar-17 | 14 | (1,851,771 | ) | 15,399 | ||||||||
Euro E-Mini Futures | Mar-17 | 52 | (3,447,181 | ) | 3,156 | ||||||||
Euro/CHF 3-Month Futures (Intercontinental Exchange) | Mar-17 | 7 | (1,809,857 | ) | 1,792 | ||||||||
Euro/CHF 3-Month Futures (Intercontinental Exchange) | Jun-17 | 3 | (763,962 | ) | (199 | ) | |||||||
Euro-BTP Futures | Mar-17 | 67 | (9,346,169 | ) | (91,394 | ) | |||||||
Euro-Oat Futures | Mar-17 | 21 | (3,290,620 | ) | (47,006 | ) | |||||||
FTSE/JSE TOP 40 | Mar-17 | 70 | (2,412,424 | ) | 46,959 | ||||||||
Gasoline RBOB Futures | May-17 | 13 | (939,133 | ) | (19,425 | ) | |||||||
GBP/CHF Futures | Mar-17 | 2 | (310,630 | ) | 124 | ||||||||
GBP/JPY Futures | Mar-17 | 5 | (772,845 | ) | 1,780 | ||||||||
JPY Currency Futures | Mar-17 | 477 | (51,919,999 | ) | (1,241,652 | ) | |||||||
Kansas City Hard Red Winter Wheat Futures | Jul-17 | 52 | (1,196,775 | ) | (38,225 | ) | |||||||
London Mercantile Exchange Aluminum Forward | Mar-17 | 22 | (566,084 | ) | 1,622,772 |
Short Contracts | Expiration Date | Number of Contracts | Notional Cost | Unrealized Appreciation (Depreciation) | |||||||||
London Mercantile Exchange Copper Forward | Mar-17 | 762 | (111,239,783 | ) | (2,393,466 | ) | |||||||
London Mercantile Exchange Tin Forward Spot | Mar-17 | 8 | $ | (791,225 | ) | $ | 23,025 | ||||||
Long Gilt Futures | Jun-17 | 303 | (48,370,135 | ) | (658,258 | ) | |||||||
Mill Wheat Euro | Sep-17 | 176 | (1,603,728 | ) | (18,208 | ) | |||||||
Natural Gas Futures | Apr-17 | 416 | (11,696,120 | ) | 156,280 | ||||||||
Natural Gas Futures | May-17 | 34 | (991,950 | ) | 16,150 | ||||||||
Natural Gas Futures | Jun-17 | 12 | (372,460 | ) | 18,100 | ||||||||
Natural Gas Futures | Jul-17 | 11 | (346,790 | ) | 13,820 | ||||||||
Natural Gas Futures | Aug-17 | 9 | (271,680 | ) | (2,820 | ) | |||||||
Natural Gas Futures | Sep-17 | 3 | (88,710 | ) | (2,550 | ) | |||||||
Natural Gas Futures | Oct-17 | 7 | (209,590 | ) | (4,470 | ) | |||||||
Natural Gas Futures | Nov-17 | 4 | (120,770 | ) | (3,910 | ) | |||||||
Natural Gas Futures | Dec-17 | 6 | (190,690 | ) | (3,650 | ) | |||||||
Nikkie 225 (Osaka Securities Exchange) | Mar-17 | 20 | (3,553,474 | ) | 3,649 | ||||||||
Soybean Futures | Jul-17 | 5 | (259,325 | ) | (1,800 | ) | |||||||
Soybean Oil Futures | May-17 | 13 | (254,628 | ) | (10,026 | ) | |||||||
Soybean Oil Futures | Jul-17 | 52 | (1,069,824 | ) | 3,096 | ||||||||
Soybean Oil Futures | Aug-17 | 34 | (678,246 | ) | (21,066 | ) | |||||||
U.S. Treasury 10-Year Notes (Chicago Board of Trade) | Jun-17 | 572 | (71,238,508 | ) | (20,180 | ) | |||||||
U.S. Treasury 5-Year Notes (Chicago Board of Trade) | Jun-17 | 255 | (29,890,382 | ) | (123,914 | ) | |||||||
U.S. Treasury Long Bond (Chicago Board of Trade) | Jun-17 | 50 | (7,500,624 | ) | (82,188 | ) | |||||||
U.S. Treasury Ultra Long Bond (Chicago Board of Trade) | Jun-17 | 2 | (321,507 | ) | (2,055 | ) | |||||||
Wheat (Chicago Board of Trade) | May-17 | 142 | (3,133,150 | ) | (17,475 | ) | |||||||
Wheat (Chicago Board of Trade) | Jul-17 | 6 | (136,587 | ) | (963 | ) | |||||||
Wheat (Chicago Board of Trade) | Sep-17 | 5 | (120,074 | ) | 1,763 | ||||||||
WTI Crude Futures | Jun-17 | 2 | (109,180 | ) | (320 | ) | |||||||
$ | (2,936,035,608 | ) | $ | 3,401,224 | |||||||||
Total Futures Contracts | $ | (268,212,240 | ) | $ | 20,990,745 |
Currency Purchased | Currency Sold | Expiration | Counterparty | Unrealized Appreciation (Depreciation) | |||||||||||
AUD | 375,430 | USD | 288,781 | Mar 01 2017 | BOA | $ | (945 | ) | |||||||
AUD | 401,567 | USD | 308,612 | Mar 02 2017 | BOA | (746 | ) | ||||||||
AUD | 1,750,000 | USD | 1,345,256 | Mar 09 2017 | BOA | (3,827 | ) | ||||||||
AUD | 64,500,000 | USD | 49,369,857 | Mar 10 2017 | BOA | 70,172 | |||||||||
AUD | 17,012,866 | USD | 12,841,683 | Mar 15 2017 | BOA | 197,287 | |||||||||
AUD | 54,786,000 | USD | 41,182,257 | Mar 17 2017 | BOA | 804,675 | |||||||||
AUD | 6,082,000 | USD | 4,672,059 | Mar 30 2017 | BOA | (12,415 | ) | ||||||||
BRL | 6,226,996 | USD | 2,000,000 | Mar 15 2017 | BOA | (6,073 | ) | ||||||||
BRL | 7,519,935 | USD | 2,311,914 | Mar 15 2017 | BOA | 96,021 | |||||||||
CAD | 4,862,253 | USD | 3,671,641 | Mar 01 2017 | BOA | (10,837 | ) | ||||||||
CAD | 1,055,861 | USD | 805,000 | Mar 09 2017 | BOA | (10,001 | ) | ||||||||
CAD | 31,843,639 | USD | 24,350,000 | Mar 10 2017 | BOA | (373,476 | ) |
Currency Purchased | Currency Sold | Expiration | Counterparty | Unrealized Appreciation (Depreciation) | |||||||||||
CAD | 17,992,121 | USD | 13,689,447 | Mar 15 2017 | BOA | (141,806 | ) | ||||||||
CAD | 42,080,000 | USD | 32,077,537 | Mar 17 2017 | BOA | (391,776 | ) | ||||||||
CAD | 6,875,000 | USD | 5,262,888 | Mar 30 2017 | BOA | $ | (85,540 | ) | |||||||
CHF | 2,085,714 | USD | 2,080,000 | Mar 09 2017 | BOA | (2,350 | ) | ||||||||
CHF | 15,948,000 | USD | 15,858,832 | Mar 17 2017 | BOA | 36,293 | |||||||||
CLP | 870,400,215 | USD | 1,350,000 | Mar 15 2017 | BOA | (12,654 | ) | ||||||||
CLP | 173,502,150 | USD | 266,128 | Mar 15 2017 | BOA | 453 | |||||||||
EUR | 286,095 | USD | 302,974 | Mar 01 2017 | BOA | 126 | |||||||||
EUR | 514,856 | USD | 545,429 | Mar 02 2017 | BOA | 48 | |||||||||
EUR | 17,595,000 | USD | 18,632,176 | Mar 09 2017 | BOA | 14,548 | |||||||||
EUR | 3,085,000 | JPY | 368,416,876 | Mar 09 2017 | BOA | (10,771 | ) | ||||||||
EUR | 8,200,000 | USD | 8,773,118 | Mar 10 2017 | BOA | (82,498 | ) | ||||||||
EUR | 14,050,109 | USD | 15,000,231 | Mar 15 2017 | BOA | (105,431 | ) | ||||||||
EUR | 1,400,000 | SEK | 13,347,720 | Mar 15 2017 | BOA | 4,309 | |||||||||
EUR | 11,573,000 | USD | 12,284,747 | Mar 17 2017 | BOA | (14,646 | ) | ||||||||
GBP | 842,262 | USD | 1,050,385 | Mar 01 2017 | BOA | (5,249 | ) | ||||||||
GBP | 5,170,000 | USD | 6,446,967 | Mar 09 2017 | BOA | (30,693 | ) | ||||||||
GBP | 7,925,000 | JPY | 1,114,400,763 | Mar 09 2017 | BOA | (86,598 | ) | ||||||||
GBP | 2,000,000 | USD | 2,503,297 | Mar 10 2017 | BOA | (21,101 | ) | ||||||||
GBP | 6,019,355 | USD | 7,540,374 | Mar 15 2017 | BOA | (68,574 | ) | ||||||||
GBP | 12,322,000 | USD | 15,307,732 | Mar 17 2017 | BOA | (11,512 | ) | ||||||||
HUF | 652,046,316 | USD | 2,219,362 | Mar 16 2017 | BOA | 23,260 | |||||||||
HUF | 276,855,246 | EUR | 900,000 | Mar 16 2017 | BOA | (1,955 | ) | ||||||||
ILS | 7,413,564 | USD | 2,000,000 | Mar 15 2017 | BOA | 36,915 | |||||||||
INR | 181,073,139 | USD | 2,700,000 | Mar 15 2017 | BOA | 8,536 | |||||||||
INR | 358,671,824 | USD | 5,311,037 | Mar 15 2017 | BOA | 54,063 | |||||||||
JPY | 228,220,564 | USD | 2,032,081 | Mar 01 2017 | BOA | (612 | ) | ||||||||
JPY | 47,919,537 | USD | 427,257 | Mar 02 2017 | BOA | (700 | ) | ||||||||
JPY | 927,727,035 | USD | 8,240,000 | Mar 09 2017 | BOA | 19,952 | |||||||||
JPY | 419,254,115 | EUR | 3,530,000 | Mar 09 2017 | BOA | (8,203 | ) | ||||||||
JPY | 1,144,248,783 | GBP | 8,165,000 | Mar 09 2017 | BOA | 54,494 | |||||||||
JPY | 481,447,570 | USD | 4,250,000 | Mar 10 2017 | BOA | 36,768 | |||||||||
JPY | 3,517,350,617 | USD | 30,973,868 | Mar 15 2017 | BOA | 352,879 | |||||||||
JPY | 2,195,419,000 | USD | 19,102,823 | Mar 17 2017 | BOA | 452,478 | |||||||||
JPY | 971,856,000 | USD | 8,640,379 | Mar 30 2017 | BOA | 22,408 | |||||||||
JPY | 527,059,858 | EUR | 4,429,000 | Mar 30 2017 | BOA | (1,076 | ) | ||||||||
KRW | 2,688,418,918 | USD | 2,312,244 | Mar 15 2017 | BOA | 65,635 | |||||||||
MXN | 85,022,872 | USD | 4,116,931 | Mar 15 2017 | BOA | 104,912 | |||||||||
MXN | 30,736,000 | USD | 1,467,644 | Mar 17 2017 | BOA | 58,077 | |||||||||
NOK | 4,911,954 | USD | 588,448 | Mar 01 2017 | BOA | (2,536 | ) | ||||||||
NOK | 5,467,435 | USD | 653,662 | Mar 02 2017 | BOA | (1,486 | ) | ||||||||
NOK | 578,321,786 | USD | 69,350,000 | Mar 10 2017 | BOA | (361,275 | ) | ||||||||
NOK | 44,740,334 | USD | 5,319,912 | Mar 15 2017 | BOA | 17,440 | |||||||||
NOK | 61,051,008 | EUR | 6,900,000 | Mar 15 2017 | BOA | (31,672 | ) | ||||||||
NZD | 785,000 | USD | 560,247 | Mar 09 2017 | BOA | 5,025 | |||||||||
NZD | 21,400,000 | USD | 15,385,820 | Mar 10 2017 | BOA | 23,632 | |||||||||
NZD | 9,469,608 | USD | 6,805,199 | Mar 15 2017 | BOA | 12,472 | |||||||||
NZD | 17,377,000 | USD | 12,489,086 | Mar 17 2017 | BOA | 20,736 | |||||||||
PLN | 18,820,355 | USD | 4,564,629 | Mar 15 2017 | BOA | 63,266 | |||||||||
PLN | 3,670,020 | EUR | 850,000 | Mar 15 2017 | BOA | 1,350 | |||||||||
SEK | 2,278,550 | USD | 252,636 | Mar 01 2017 | BOA | (199 | ) |
Currency Purchased | Currency Sold | Expiration | Counterparty | Unrealized Appreciation (Depreciation) | |||||||||||
SEK | 62,986,529 | USD | 7,100,000 | Mar 10 2017 | BOA | (118,819 | ) | ||||||||
SEK | 35,635,934 | USD | 3,974,627 | Mar 15 2017 | BOA | (23,679 | ) | ||||||||
SEK | 34,142,749 | EUR | 3,600,000 | Mar 15 2017 | BOA | $ | (31,033 | ) | |||||||
SGD | 70,132 | USD | 50,000 | Mar 15 2017 | BOA | 49 | |||||||||
SGD | 4,201,133 | USD | 2,942,573 | Mar 15 2017 | BOA | 55,506 | |||||||||
SGD | 18,527,000 | USD | 13,122,054 | Mar 30 2017 | BOA | 100,892 | |||||||||
THB | 64,844,187 | USD | 1,850,000 | Mar 15 2017 | BOA | 7,381 | |||||||||
TRY | 7,401,037 | USD | 2,032,404 | Mar 15 2017 | BOA | (7,569 | ) | ||||||||
TRY | 360,680 | USD | 100,000 | Mar 15 2017 | BOA | (1,322 | ) | ||||||||
TWD | 1,004,933 | USD | 31,734 | Mar 15 2017 | BOA | 992 | |||||||||
ZAR | 19,040,192 | USD | 1,450,000 | Mar 15 2017 | BOA | (2,438 | ) | ||||||||
ZAR | 43,905,044 | USD | 3,245,917 | Mar 15 2017 | BOA | 92,037 | |||||||||
ZAR | 17,905,000 | USD | 1,358,948 | Mar 30 2017 | BOA | (1,557 | ) | ||||||||
USD | 288,308 | AUD | 375,430 | Mar 01 2017 | BOA | 473 | |||||||||
USD | 308,251 | AUD | 401,567 | Mar 02 2017 | BOA | 384 | |||||||||
USD | 188,003 | AUD | 245,000 | Mar 09 2017 | BOA | 203 | |||||||||
USD | 3,095,747 | AUD | 4,168,898 | Mar 15 2017 | BOA | (99,372 | ) | ||||||||
USD | 19,353,094 | AUD | 26,561,000 | Mar 17 2017 | BOA | (1,002,739 | ) | ||||||||
USD | 4,655,771 | AUD | 6,082,000 | Mar 30 2017 | BOA | (3,873 | ) | ||||||||
USD | 718,229 | BRL | 2,505,327 | Mar 15 2017 | BOA | (83,994 | ) | ||||||||
USD | 3,687,168 | CAD | 4,862,253 | Mar 01 2017 | BOA | 26,364 | |||||||||
USD | 2,655,000 | CAD | 3,504,836 | Mar 09 2017 | BOA | 16,071 | |||||||||
USD | 10,700,000 | CAD | 14,084,302 | Mar 10 2017 | BOA | 95,288 | |||||||||
USD | 16,608,802 | CAD | 21,962,182 | Mar 15 2017 | BOA | 71,799 | |||||||||
USD | 23,615,894 | CAD | 31,077,000 | Mar 17 2017 | BOA | 215,266 | |||||||||
USD | 10,292,174 | CAD | 13,575,000 | Mar 30 2017 | BOA | 69,265 | |||||||||
USD | 2,655,000 | CHF | 2,680,816 | Mar 09 2017 | BOA | (15,451 | ) | ||||||||
USD | 22,080,032 | CHF | 22,123,000 | Mar 17 2017 | BOA | 30,381 | |||||||||
USD | 890,000 | DKK | 6,276,618 | Mar 09 2017 | BOA | (4,862 | ) | ||||||||
USD | 302,572 | EUR | 286,095 | Mar 01 2017 | BOA | (527 | ) | ||||||||
USD | 546,746 | EUR | 514,856 | Mar 02 2017 | BOA | 1,269 | |||||||||
USD | 18,622,346 | EUR | 17,625,000 | Mar 09 2017 | BOA | (56,171 | ) | ||||||||
USD | 40,532,754 | EUR | 38,050,000 | Mar 10 2017 | BOA | 206,160 | |||||||||
USD | 20,514,233 | EUR | 19,336,976 | Mar 15 2017 | BOA | 14,720 | |||||||||
USD | 25,220,929 | EUR | 23,561,000 | Mar 17 2017 | BOA | 240,728 | |||||||||
USD | 1,044,564 | GBP | 842,262 | Mar 01 2017 | BOA | (571 | ) | ||||||||
USD | 12,170,483 | GBP | 9,775,000 | Mar 09 2017 | BOA | 39,135 | |||||||||
USD | 10,121,533 | GBP | 8,100,000 | Mar 10 2017 | BOA | 68,638 | |||||||||
USD | 12,505,945 | GBP | 10,135,522 | Mar 15 2017 | BOA | (75,235 | ) | ||||||||
USD | 24,554,737 | GBP | 19,489,000 | Mar 17 2017 | BOA | 361,583 | |||||||||
USD | 3,444,614 | HUF | 1,012,731,199 | Mar 16 2017 | BOA | (38,533 | ) | ||||||||
USD | 4,926,897 | INR | 335,640,664 | Mar 15 2017 | BOA | (93,698 | ) | ||||||||
USD | 2,035,775 | JPY | 228,220,564 | Mar 01 2017 | BOA | 4,306 | |||||||||
USD | 426,280 | JPY | 47,919,537 | Mar 02 2017 | BOA | (277 | ) | ||||||||
USD | 5,425,000 | JPY | 614,193,200 | Mar 09 2017 | BOA | (43,425 | ) | ||||||||
USD | 58,850,000 | JPY | 6,632,198,397 | Mar 10 2017 | BOA | (202,531 | ) | ||||||||
USD | 22,094,895 | JPY | 2,541,324,946 | Mar 15 2017 | BOA | (539,029 | ) | ||||||||
USD | 26,868,371 | JPY | 3,076,949,000 | Mar 17 2017 | BOA | (539,001 | ) | ||||||||
USD | 50,000 | KRW | 57,170,787 | Mar 15 2017 | BOA | (567 | ) | ||||||||
USD | 732,123 | KRW | 873,618,409 | Mar 15 2017 | BOA | (40,583 | ) | ||||||||
USD | 5,136,653 | MXN | 107,637,041 | Mar 15 2017 | BOA | (208,105 | ) |
Currency Purchased | Currency Sold | Expiration | Counterparty | Unrealized Appreciation (Depreciation) | |||||||||||
USD | 6,906,564 | MXN | 141,450,000 | Mar 17 2017 | BOA | (114,949 | ) | ||||||||
USD | 586,954 | NOK | 4,911,954 | Mar 01 2017 | BOA | 1,043 | |||||||||
USD | 652,913 | NOK | 5,467,435 | Mar 02 2017 | BOA | $ | 737 | ||||||||
USD | 22,550,000 | NOK | 188,521,034 | Mar 10 2017 | BOA | 61,092 | |||||||||
USD | 5,970,159 | NOK | 50,289,886 | Mar 15 2017 | BOA | (29,234 | ) | ||||||||
USD | 52,645,503 | NZD | 72,900,000 | Mar 10 2017 | BOA | 152,558 | |||||||||
USD | 3,389,946 | NZD | 4,808,130 | Mar 15 2017 | BOA | (71,681 | ) | ||||||||
USD | 3,952,019 | NZD | 5,617,000 | Mar 17 2017 | BOA | (91,699 | ) | ||||||||
USD | 6,132,737 | PLN | 25,475,461 | Mar 15 2017 | BOA | (131,638 | ) | ||||||||
USD | 252,451 | SEK | 2,278,550 | Mar 01 2017 | BOA | 14 | |||||||||
USD | 615,000 | SEK | 5,531,610 | Mar 09 2017 | BOA | 1,935 | |||||||||
USD | 30,200,000 | SEK | 268,844,282 | Mar 10 2017 | BOA | 402,347 | |||||||||
USD | 6,942,093 | SEK | 62,913,610 | Mar 15 2017 | BOA | (33,125 | ) | ||||||||
USD | 350,000 | SGD | 496,795 | Mar 15 2017 | BOA | (4,530 | ) | ||||||||
USD | 2,805,917 | SGD | 4,010,744 | Mar 15 2017 | BOA | (56,293 | ) | ||||||||
USD | 4,508,001 | TRY | 15,997,524 | Mar 15 2017 | BOA | 131,270 | |||||||||
USD | 1,300,000 | TRY | 4,745,332 | Mar 15 2017 | BOA | 1,734 | |||||||||
USD | 973,157 | ZAR | 13,727,171 | Mar 15 2017 | BOA | (70,474 | ) | ||||||||
Total Forward Foreign Currency Contracts | $ | (607,967 | ) |
Number of Contracts | Value | |||||||
Purchased Options — 0.3% | ||||||||
Call Options Purchased — 0.1% | ||||||||
USD CNH Currency Futures | ||||||||
Expires 03/03/17 | ||||||||
Strike Price 72 | 43,319,885 | $ | 2,729 | |||||
Gold Futures | ||||||||
Expires 03/28/17 | ||||||||
Strike Price 1280 | 450 | 355,500 | ||||||
TOTAL CALL OPTIONS PURCHASED | ||||||||
(Cost $545,836) | 358,229 | |||||||
Put Options Purchased — 0.2% | ||||||||
CAD Currency Futures | ||||||||
Expires 03/03/17 | ||||||||
Strike Price 72 | 82 | 410 | ||||||
Crude Oil Futures | ||||||||
Expires 03/16/17 | ||||||||
Strike Price 50 | 150 | 15,000 | ||||||
Eurodollar 1-Year Mid-Curve Futures | ||||||||
Expires 04/13/17 | ||||||||
Strike Price 98.50 | 1,510 | 1,113,625 | ||||||
IMM Eurodollar Futures | ||||||||
Expires 06/19/17 | ||||||||
Strike Price 98.75 | 3,751 | 797,088 | ||||||
TOTAL PUT OPTIONS PURCHASED | ||||||||
(Cost $717,362) | 1,926,123 | |||||||
Total Purchased Options — 0.3% | ||||||||
(Cost $1,263,198) | $ | 2,284,352 |
AUD | Australian Dollar | INR | Indian Rupee |
BOA | Bank of America | JPY | Japanese Yen |
BRL | Brazilian Real | KRW | Korean Won |
CAD | Canadian Dollar | MXN | Mexican Peso |
CBOT | Chicago Board of Trade | NOK | Norwegian Krone |
CHF | Swiss Franc | NZD | New Zealand Dollar |
CLP | Chilean Peso | PLN | Polish Zloty |
DAX | Deutscher Aktienindex | RBOB | Reformulated Blendstock for Oxygenate Blending |
DJIA | Dow Jones Industrial Average | SEK | Swedish Krona |
DKK | Danish Krone | SGD | Singapore Dollar |
EUR | Euro | SGX | Singapore Exchange |
FTSE | Financial Times Stock Exchange | THB | Thai Baht |
GBP | British Pound | TRY | Turkish Lira |
HUF | Hungarian Forint | TSX | Toronto Stock Exchange |
IBEX | Index of the Bolsa de Madrid | TWD | Taiwan Dollar |
ILS | Israeli New Shekel | USD | United States Dollar |
IMM | International Monetary Market | WTI | West Texas Intermediate |
ZAR | South African Rand |
ASSETS | ||||
Investments, at value (cost $692,128,891) | $ | 693,222,534 | ||
Cash | 75,695,929 | |||
Deposits with broker for forward foreign currency contracts and futures contracts | 41,660,445 | |||
Foreign currency deposits with broker for forward foreign currency contracts and futures contracts | 4,389,959 | |||
Receivables for: | ||||
Capital shares sold | 5,235,793 | |||
Variation margin | 20,990,745 | |||
Prepaid expenses and other assets | 59,074 | |||
Unrealized appreciation on forward foreign currency contracts | 5,129,850 | |||
Total Assets | 846,384,329 | |||
LIABILITIES | ||||
Payables for: | ||||
Capital shares redeemed | 2,298,891 | |||
Advisory fees | 1,188,532 | |||
Administration and accounting services fees | 80,568 | |||
Unrealized depreciation on forward foreign currency contracts | 5,737,817 | |||
Other accrued expenses and liabilities | 73,084 | |||
Total Liabilities | 9,378,892 | |||
Net Assets | $ | 837,005,437 | ||
NET ASSETS CONSIST OF: | ||||
Capital stock, $0.001 par value | $ | 71,742 | ||
Paid-in Capital | 849,861,859 | |||
Accumulated net investment income/(loss) | (16,987,670 | ) | ||
Accumulated net realized gain/(loss) from investments, futures contracts, foreign currency transactions, forward foreign currency contracts and written options | (17,416,915 | ) | ||
Net unrealized appreciation/(depreciation) on investments, futures contracts, foreign currency translations, forward foreign currency contracts and written options | 21,476,421 | |||
Net assets | $ | 837,005,437 | ||
CLASS A SHARES: | ||||
Net assets | $ | 19,717,552 | ||
Shares outstanding ($0.001 par value, 100,000,000 shares authorized) | 1,695,934 | |||
Net asset value and redemption price per share | $ | 11.63 | ||
Maximum offering price per share (100/94.25 of $11.63) | $ | 12.34 | ||
CLASS I SHARES: | ||||
Net assets | $ | 808,389,010 | ||
Shares outstanding ($0.001 par value, 100,000,000 shares authorized) | 69,273,994 | |||
Net asset value, offering and redemption price per share | $ | 11.67 | ||
CLASS C SHARES: | ||||
Net assets | $ | 8,898,875 | ||
Shares outstanding ($0.001 par value, 100,000,000 shares authorized) | 771,929 | |||
Net asset value, offering and redemption price per share | $ | 11.53 |
February 28, 2017
INVESTMENT INCOME | ||||
Interest | $ | 1,459,433 | ||
Total investment income | 1,459,433 | |||
EXPENSES | ||||
Advisory fees (Note 2) | 7,693,985 | |||
Administration and accounting services fees (Note 2) | 226,551 | |||
Registration and filing fees | 94,908 | |||
Transfer agent fees (Note 2) | 73,611 | |||
Legal fees | 57,942 | |||
Printing and shareholder reporting fees | 44,005 | |||
Directors and officers fees | 32,538 | |||
Distribution fees (Class C Shares) (Note 2) | 29,308 | |||
Audit and tax service fees | 29,243 | |||
Custodian fees (Note 2) | 28,143 | |||
Distribution fees (Class A Shares) (Note 2) | 22,215 | |||
Other expenses | 43,376 | |||
Total expenses before waivers and reimbursements | 8,375,825 | |||
Less: waivers and reimbursements (Note 2) | (536,368 | ) | ||
Net expenses after waivers and reimbursements | 7,839,457 | |||
Net investment income/(loss) | (6,380,024 | ) | ||
NET REALIZED AND UNREALIZED GAIN/(LOSS) FROM INVESTMENTS | ||||
Net realized gain/(loss) from: | ||||
Investments | (346,154 | ) | ||
Futures contracts | (18,879,453 | ) | ||
Foreign currency transactions | 249,483 | |||
Forward foreign currency contracts | 1,318,366 | |||
Written options | 242,142 | |||
Net change in unrealized appreciation/(depreciation) on: | ||||
Investments | 1,493,399 | |||
Futures contracts | 17,634,854 | |||
Foreign currency translation | (31,228 | ) | ||
Forward foreign currency contracts | (2,015,686 | ) | ||
Written options | (248,919 | ) | ||
Net realized and unrealized gain/(loss) from investments | (583,196 | ) | ||
NET INCREASE/(DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ | (6,963,220 | ) |
For the Six Months Ended February 28, 2017 (Unaudited) | For the Year Ended August 31, 2016 | |||||||
INCREASE/(DECREASE) IN NET ASSET FROM OPERATIONS: | ||||||||
Net investment income/(loss) | $ | (6,380,024 | ) | $ | (8,836,464 | ) | ||
Net realized gain/(loss) from investments, futures contracts, foreign currency transactions, forward foreign currency contracts and written options | (17,415,616 | ) | (21,242,011 | ) | ||||
Net change in unrealized appreciation/(depreciation) on investments, futures contracts, foreign currency translation, forward foreign currency contracts and written options | 16,832,420 | 6,126,311 | ||||||
Net increase/(decrease) in net assets resulting from operations | (6,963,220 | ) | (23,952,164 | ) | ||||
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS FROM: | ||||||||
Net investment income | ||||||||
Class A Shares | — | (7,540 | ) | |||||
Class I Shares | — | (651,985 | ) | |||||
Class C Shares | — | (994 | ) | |||||
Total from net investment income | — | (660,519 | ) | |||||
Net realized gains | ||||||||
Class A Shares | — | — | ||||||
Class I Shares | — | — | ||||||
Class C Shares | — | — | ||||||
Total from net realized gains | — | — | ||||||
Net decrease in net assets from dividends and distributions to shareholders | — | (660,519 | ) | |||||
CAPITAL SHARE TRANSACTIONS: | ||||||||
Class A Shares | ||||||||
Proceeds from shares sold | 6,823,376 | 22,317,981 | ||||||
Proceeds from reinvestment of distributions | — | 6,739 | ||||||
Shares redeemed | (4,062,835 | ) | (15,568,395 | ) | ||||
Total from Class A Shares | 2,760,541 | 6,756,325 | ||||||
Class I Shares | ||||||||
Proceeds from shares sold | 340,335,911 | 695,901,231 | ||||||
Proceeds from reinvestment of distributions | — | 584,466 | ||||||
Shares redeemed | (265,197,370 | ) | (153,432,995 | ) | ||||
Total from Class I Shares | 75,138,541 | 543,052,702 | ||||||
Class C Shares | ||||||||
Proceeds from shares sold | 4,480,099 | 8,790,255 | ||||||
Proceeds from reinvestment of distributions | — | 994 | ||||||
Shares redeemed | (3,756,955 | ) | (95,781 | ) | ||||
Total from Class C Shares | 723,144 | 8,695,468 | ||||||
Net increase/(decrease) in net assets from capital share transactions | 78,622,226 | 558,504,495 | ||||||
Total increase/(decrease) in net assets | 71,659,006 | 533,891,812 | ||||||
NET ASSETS: | ||||||||
Beginning of period | 765,346,431 | 231,454,619 | ||||||
End of period | $ | 837,005,437 | $ | 765,346,431 | ||||
Accumulated net investment income/(loss), end of period | $ | (16,987,670 | ) | $ | (10,607,646 | ) |
For the Six Months Ended February 28, 2017 (Unaudited) | For the Year Ended August 31, 2016 | |||||||
SHARE TRANSACTIONS: | ||||||||
Class A Shares | ||||||||
Shares sold | 593,278 | 1,830,248 | ||||||
Shares reinvested | — | 557 | ||||||
Shares redeemed | (352,771 | ) | (1,292,588 | ) | ||||
Total Class A Shares | 240,507 | 538,217 | ||||||
Class I Shares | ||||||||
Shares sold | 29,006,714 | 57,077,758 | ||||||
Shares reinvested | — | 48,303 | ||||||
Shares redeemed | (22,454,219 | ) | (12,727,922 | ) | ||||
Total Class I Shares | 6,552,495 | 44,398,139 | ||||||
Class C Shares | ||||||||
Shares sold | 390,459 | 723,323 | ||||||
Shares reinvested | — | 82 | ||||||
Shares redeemed | (333,950 | ) | (7,985 | ) | ||||
Total Class C Shares | 56,509 | 715,420 | ||||||
Net increase/(decrease) in shares | 6,849,511 | 45,651,776 |
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 28, 2017 (Unaudited) | For the Year Ended August 31, 2016 | For the Year Ended August 31, 2015(1) | ||||||||||
Per Share Operating Performance | ||||||||||||
Net asset value, beginning of period | $ | 11.77 | $ | 12.01 | $ | 10.36 | ||||||
Net investment income/(loss)(2) | (0.10 | ) | (0.24 | ) | (0.27 | ) | ||||||
Net realized and unrealized gain/(loss) from investments | (0.04 | ) | 0.01 | 2.14 | ||||||||
Net increase/(decrease) in net assets resulting from operations | (0.14 | ) | (0.23 | ) | 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 | $ | 11.63 | $ | 11.77 | $ | 12.01 | ||||||
Total investment return(3) | (1.19 | )%(4) | (1.94 | )% | 18.17 | % | ||||||
Ratios/Supplemental Data | ||||||||||||
Net assets, end of year (000's omitted) | $ | 19,718 | $ | 17,125 | $ | 11,013 | ||||||
Ratio of expenses to average net assets with waivers and reimbursements (including interest expense) | 2.24 | %(5) | 2.26 | % | 2.28 | % | ||||||
Ratio of expenses to average net assets with waivers and reimbursements (excluding interest expense) | 2.24 | %(5) | 2.24 | % | 2.24 | % | ||||||
Ratio of expenses to average net assets without waivers and reimbursements (including interest expense) | 2.38 | %(5) | 2.42 | % | 2.71 | % | ||||||
Ratio of net investment income/(loss) to average net assets | (1.87 | )%(5) | (2.01 | )% | (2.23 | )% | ||||||
Portfolio turnover rate | 0.00 | %(4) | 0.00 | % | 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 year. |
(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 year reported and includes reinvestments of dividends and distributions, if any. Total return does not reflect any applicable sales charge. |
(4) | Not annualized. |
(5) | Annualized. |
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 28, 2017 (Unaudited) | For the Year Ended August 31, 2016 | 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 | $ | 11.80 | $ | 12.03 | $ | 10.36 | $ | 10.00 | ||||||||
Net investment income/(loss)(2) | (0.09 | ) | (0.21 | ) | (0.24 | ) | (0.03 | ) | ||||||||
Net realized and unrealized gain/(loss) from investments | (0.04 | ) | 0.01 | 2.14 | 0.39 | |||||||||||
Net increase/(decrease) in net assets resulting from operations | (0.13 | ) | (0.20 | ) | 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 | $ | 11.67 | $ | 11.80 | $ | 12.03 | $ | 10.36 | ||||||||
Total investment return(3) | (1.10 | )%(4) | (1.68 | )% | 18.46 | % | 3.60 | %(4) | ||||||||
Ratios/Supplemental Data | ||||||||||||||||
Net assets, end of period (000's omitted) | $ | 808,389 | $ | 739,842 | $ | 220,441 | $ | 24,349 | ||||||||
Ratio of expenses to average net assets with waivers and reimbursements (including interest expense) | 1.99 | %(5) | 2.01 | % | 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 | % | 1.99 | %(5) | ||||||||
Ratio of expenses to average net assets without waivers and reimbursements (including interest expense) | 2.13 | %(5) | 2.17 | % | 2.46 | % | 4.71 | %(5) | ||||||||
Ratio of net investment income/(loss) to average net assets | (1.62 | )%(5) | (1.76 | )% | (1.98 | )% | (1.99 | )%(5) | ||||||||
Portfolio turnover rate | 0.00 | %(4) | 0.00 | % | 0.00 | % | 0.00 | %(4) |
(1) | Inception date of Class I Shares of the Fund was 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. |
(4) | Not annualized. |
(5) | Annualized. |
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 Six Months Ended February 28, 2017 (Unaudited) | For the Period Ended August 31, 2016(1) | |||||||
Per Share Operating Performance | ||||||||
Net asset value, beginning of period | $ | 11.71 | $ | 11.99 | ||||
Net investment income/(loss)(2) | (0.14 | ) | (0.30 | ) | ||||
Net realized and unrealized gain/(loss) from investments | (0.04 | ) | 0.03 | |||||
Net increase/(decrease) in net assets resulting from operations | (0.18 | ) | (0.27 | ) | ||||
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 | $ | 11.53 | $ | 11.71 | ||||
Total investment return(3) | (1.54 | )%(4) | (2.22 | )%(4) | ||||
Ratios/Supplemental Data | ||||||||
Net assets, end of period (000's omitted) | $ | 8,899 | $ | 8,380 | ||||
Ratio of expenses to average net assets with waivers and reimbursements (including interest expense) | 2.99 | %(5) | 3.01 | %(5) | ||||
Ratio of expenses to average net assets with waivers and reimbursements (excluding interest expense) | 2.99 | %(5) | 2.99 | %(5) | ||||
Ratio of expenses to average net assets without waivers and reimbursements (including interest expense) | 3.13 | %(5) | 3.17 | %(5) | ||||
Ratio of net investment income/(loss) to average net assets | (2.62 | )%(5) | (2.76 | )%(5) | ||||
Portfolio turnover rate | 0.00 | %(4) | 0.00 | %(6) |
(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 the period reported and includes reinvestments of dividends and distributions, if any. |
(4) | Not annualized. |
(5) | Annualized. |
(6) | Portfolio Turnover Rate is calculated for the Fund, as a whole, for the entire year. |
● 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). |
Total Fair Value at February 28, 2017 | Level 1 Quoted Price | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |||||||||||||
Short-Term Investments | $ | 690,938,182 | $ | 690,938,182 | $ | — | $ | — | ||||||||
Commodity Contracts | ||||||||||||||||
Futures Contracts | 9,783,069 | 9,783,069 | — | — | ||||||||||||
Purchased Options | 370,500 | 370,500 | — | — | ||||||||||||
Equity Contracts | ||||||||||||||||
Futures Contracts | 13,617,695 | 13,617,695 | — | — | ||||||||||||
Foreign Exchange Contracts | ||||||||||||||||
Forward Foreign Currency Contracts | 5,129,850 | — | 5,129,850 | — | ||||||||||||
Futures Contracts | 711,988 | 711,988 | — | — | ||||||||||||
Purchased Options | 3,139 | 3,139 | — | — | ||||||||||||
Interest Rate Contracts | ||||||||||||||||
Futures Contracts | 5,660,653 | 5,660,653 | — | — | ||||||||||||
Purchased Options | 1,910,713 | 1,910,713 | — | — | ||||||||||||
Total Assets | $ | 728,125,789 | $ | 722,995,939 | $ | 5,129,850 | $ | — |
Total Fair Value at February 28, 2017 | Level 1 Quoted Price | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |||||||||||||
Commodity Contracts | ||||||||||||||||
Futures Contracts | $ | (4,070,111 | ) | $ | (4,070,111 | ) | $ | — | $ | — | ||||||
Equity Contracts | ||||||||||||||||
Futures Contracts | (1,684,922 | ) | (1,684,922 | ) | — | — | ||||||||||
Foreign Exchange Contracts | ||||||||||||||||
Forward Foreign Currency Contracts | (5,737,817 | ) | — | (5,737,817 | ) | — | ||||||||||
Futures Contracts | (1,494,036 | ) | (1,494,036 | ) | — | — | ||||||||||
Interest Rate Contracts | ||||||||||||||||
Futures Contracts | (1,533,591 | ) | (1,533,591 | ) | — | — | ||||||||||
Total Liabilities | $ | (14,520,477 | ) | $ | (8,782,660 | ) | $ | (5,737,817 | ) | $ | — |
Derivative Type | Consolidated Statement of Assets and Liabilities Location | Equity Contracts | Interest Rate Contracts | Foreign Currency Contracts | Commodity Contracts | Total | |||||||||||||||
Asset Derivatives | |||||||||||||||||||||
Purchased Options | Investments, at value | $ | — | $ | 1,910,713 | $ | 3,139 | $ | 370,500 | $ | 2,284,352 | ||||||||||
Forward Contracts | Unrealized appreciation on forward foreign currency contracts | — | — | 5,129,850 | — | 5,129,850 | |||||||||||||||
Futures Contracts | Receivable: Variation Margin | 13,617,695 | 5,660,653 | 711,988 | 9,783,069 | 29,773,405 | |||||||||||||||
Total Value - Assets | $ | 13,617,695 | $ | 7,571,366 | $ | 5,844,977 | $ | 10,153,569 | $ | 37,187,607 |
Derivative Type | Consolidated Statement of Operations Location | Equity Contracts | Interest Rate Contracts | Foreign Currency Contracts | Commodity Contracts | Total | |||||||||||||||
Liability Derivatives | |||||||||||||||||||||
Forward Contracts | Unrealized depreciation on forward foreign currency contracts | $ | — | $ | — | $ | (5,737,817 | ) | $ | — | $ | (5,737,817 | ) | ||||||||
Futures Contracts | Receivable: Variation Margin | (1,684,922 | ) | (1,533,591 | ) | (1,494,036 | ) | (4,070,111 | ) | (8,782,660 | ) | ||||||||||
Total Value- Liabilities | $ | (1,684,922 | ) | $ | (1,533,591 | ) | $ | (7,231,853 | ) | $ | (4,070,111 | ) | $ | (14,520,477 | ) |
Derivative Type | Consolidated Statement of Operations Location | Equity Contracts | Interest Rate Contracts | Foreign Currency Contracts | Commodity Contracts | Total | |||||||||||||||
Realized Gain/(Loss) | |||||||||||||||||||||
Purchased Options | Net realized gain (loss) from Investments | $ | — | $ | (471,326 | ) | $ | (988,171 | ) | $ | 1,040,562 | $ | (418,935 | ) | |||||||
Futures Contracts | Net realized gain (loss) from Futures Contracts | 13,670,590 | (8,032,870 | ) | 4,201,440 | (28,718,613 | ) | (18,879,453 | ) | ||||||||||||
Forward Contracts | Net realized gain (loss) from Forward Foreign Currency Contracts | — | — | 1,318,366 | — | 1,318,366 | |||||||||||||||
Written Options | Net realized gain (loss) from Written Options | — | — | 242,142 | — | 242,142 | |||||||||||||||
Total Realized Gain/(Loss) | $ | 13,670,590 | $ | (8,504,196 | ) | $ | 4,531,635 | $ | (27,678,051 | ) | $ | (17,980,022 | ) |
Derivative Type | Consolidated Statement of Operations Location | Equity Contracts | Interest Rate Contracts | Foreign Currency Contracts | Commodity Contracts | Total | |||||||||||||||
Change in Unrealized Appreciation/(Depreciation) | |||||||||||||||||||||
Purchased Options | Net change in unrealized appreciation (depreciation) on Investments | $ | — | $ | 1,836,385 | $ | (297,493 | ) | $ | (128,066 | ) | $ | 1,410,826 | ||||||||
Futures Contracts | Net change in unrealized appreciation (depreciation) on Futures Contracts | 8,766,801 | 1,542,486 | 918,299 | 6,407,268 | 17,634,854 | |||||||||||||||
Forward Contracts | Net change in unrealized appreciation (depreciation) on Forward Foreign Currency Contracts | — | — | (2,015,686 | ) | — | (2,015,686 | ) | |||||||||||||
Written Options | Net change in unrealized appreciation (depreciation) on Written Options | — | (28,218 | ) | (220,701 | ) | — | (248,919 | ) | ||||||||||||
Total Change in Unrealized Appreciation/(Depreciation) | $ | 8,766,801 | $ | 3,350,653 | $ | (1,615,581 | ) | $ | 6,279,202 | $ | 16,781,075 |
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) |
$3,033,583 | $(441,782) | $2,520,958,926 | $(2,352,177,500) | $(1,378,528,082) | $1,380,097,707 |
Description | Gross Amount Presented in the Consolidated Statement of Assets and Liabilities | Gross Amount Not Offset in Consolidated Statement of Assets and Liabilities | Net Amount(1) | Gross Amount Presented in the Consolidated Statement of Assets and Liabilities | Gross Amount Not Offset in Consolidated Statement of Assets and Liabilities | Net Amount(3) | ||||||||||||||||||||||||||
Financial Instruments | Collateral Received | Financial Instruments | Collateral Pledged(2) | |||||||||||||||||||||||||||||
Assets | Liabilities | |||||||||||||||||||||||||||||||
Forward Foreign Currency Contracts | $ | 5,129,850 | $ | (5,129,850 | ) | $ | — | $ | — | $ | 5,737,817 | $ | (5,129,850 | ) | $ | (607,967 | ) | $ | — |
(1) | Net amount represents the net amount receivable from the counterparty in the event of default. |
(2) | Actual collateral pledged may be more than the amount shown. |
(3) | Net amount represents the net amount payable from the counterparty in the event of default. |
Number of Contracts | Premiums Received | |||||||
Options outstanding at August 31, 2016. | 49,815,602 | $ | 504,134 | |||||
Options written | 242 | 612,563 | ||||||
Options closed | (543 | ) | (617,266 | ) | ||||
Options expired | (49,815,301 | ) | (499,431 | ) | ||||
Options outstanding at February 28, 2017 | — | $ | — |
Expiration | |||
August 31, 2018 | August 31, 2019 | August 31, 2020 | Total |
$434,343 | $801,204 | $536,368 | $1,771,915 |
Purchases | Sales | |||||||
Investments in Non-U.S. Government Securities | $ | — | $ | — | ||||
Investments in U.S. Government Securities | $ | — | $ | — |
Federal Tax Cost | Unrealized Appreciation | Unrealized (Depreciation) | Net Unrealized Appreciation/ (Depreciation) |
$692,128,891 | $1,522,805 | $(429,162) | $1,093,643 |
* | Because tax adjustments are calculated annually at the end of the Fund’s fiscal year, the above table does not reflect tax adjustments for the current fiscal year. |
Undistributed Net Investment Income | Accumulated Net Realized Gain/(Loss) | Paid-In Capital |
$1,732,073 | $21,240,712 | $(22,972,785) |
Undistributed Ordinary Income | Undistributed Long-Term Capital Gains | Unrealized Appreciation/ (Depreciation) | Qualified Late-Year Losses | Other Temporary Differences |
$— | $— | $1,140,764 | $(7,105,707) | $— |
Ordinary Income | Long-Term Gains | Total |
$660,519 | $— | $660,519 |
Late-Year Ordinary Loss Deferral | Post-October Short-Term Capital Loss Deferral | Post-October Long-Term Capital Loss Deferral |
$7,104,408 | $1,299 | $— |
Abbey Capital Limited
1-2 Cavendish Row
Dublin 1, Ireland
U.S. Bancorp Fund Services, LLC
P.O. Box 701
Milwaukee, WI 53201
Quasar Distributors, LLC
777 East Wisconsin Avenue, Floor 6
Milwaukee, WI 53202
U.S. Bank, N.A.
1555 North Rivercenter Drive, Suite 302
Milwaukee, WI 53212
Ernst & Young LLP
One Commerce Square
2005 Market Street, Suite 700
Philadelphia, PA 19103
Drinker Biddle & Reath LLP
One Logan Square, Ste. 2000
Philadelphia, PA 19103-6996
(Unaudited)
It is not authorized for distribution unless preceded or accompanied by a current prospectus for the Fund.
Performance Data
Average Annual Total Returns for the periods ended February 28, 2017 | |||
Six Months† | One Year | Since Inception | |
Altair Smaller Companies Fund | 10.09% | 31.59% | 9.30%* |
Russell 2000® Index | 12.61% | 36.11% | 11.35%** |
† | 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. |
Fund Expense Examples
Beginning Account Value September 1, 2016 | Ending Account Value February 28, 2017 | Expenses Paid During Period* | |
Actual | $1,000.00 | $1,100.90 | $5.05 |
Hypothetical (5% return before expenses) | 1,000.00 | 1,019.98 | 4.86 |
* | Expenses are equal to the Fund’s annualized six-month expense ratio of 0.97%, multiplied by the average account value over the period, multiplied by the number of days (181) in the most recent fiscal half-year, then divided by 365 to reflect the one-half year period. The Fund’s ending account value on the first line in the table is based on the actual six-month total investment return for the Fund as of February 28, 2017 of 10.09%. |
Portfolio Holdings Summary Table
Security Type/Sector Classification | % of Net Assets | Value |
COMMON STOCKS: | ||
Banks | 6.9% | $ 16,688,126 |
Software | 6.3 | 15,212,626 |
Commercial Services | 5.9 | 14,263,465 |
Semiconductors | 5.3 | 12,854,622 |
Healthcare-Products | 5.0 | 11,975,802 |
Retail | 4.9 | 11,865,077 |
Computers | 4.3 | 10,206,416 |
Internet | 4.0 | 9,539,054 |
Pharmaceuticals | 3.4 | 8,084,062 |
Diversified Financial Services | 2.5 | 6,120,055 |
Transportation | 2.5 | 6,052,506 |
Biotechnology | 2.5 | 6,012,255 |
Oil & Gas | 2.5 | 5,901,888 |
Electronics | 2.5 | 5,898,697 |
Telecommunications | 2.4 | 5,882,061 |
Miscellaneous Manufacturing | 2.1 | 5,144,637 |
REITS | 1.8 | 4,454,134 |
Insurance | 1.8 | 4,233,057 |
Healthcare-Services | 1.7 | 4,182,113 |
Engineering & Construction | 1.6 | 3,968,643 |
Machinery-Diversified | 1.5 | 3,648,632 |
Building Materials | 1.5 | 3,584,106 |
Auto Parts & Equipment | 1.5 | 3,499,989 |
Home Builders | 1.4 | 3,421,151 |
Chemicals | 1.4 | 3,409,361 |
Savings & Loans | 1.2 | 2,988,510 |
Mining | 1.2 | 2,897,050 |
Food | 1.2 | 2,863,191 |
Distribution/Wholesale | 1.1 | 2,721,209 |
Aerospace/Defense | 1.0 | 2,434,416 |
Oil & Gas Services | 0.9 | 2,053,718 |
Lodging | 0.8 | 1,979,627 |
Beverages | 0.8 | 1,872,168 |
Electrical Components & Equipment | 0.7 | 1,706,499 |
Textiles | 0.7 | 1,615,572 |
Investment Companies | 0.7 | 1,575,378 |
Leisure Time | 0.6 | 1,536,002 |
Entertainment | 0.6 | 1,531,575 |
Metal Fabricate/Hardware | 0.6 | 1,412,550 |
Home Furnishings | 0.6 | 1,362,387 |
Apparel | 0.6 | 1,344,344 |
Household Products / Wares | 0.5 | 1,174,382 |
Media | 0.4 | 1,046,505 |
Energy-Alternate Sources | 0.4 | 924,555 |
Gas | 0.4 | 883,077 |
Housewares | 0.3 | 781,653 |
Environmental Control | 0.3 | 760,917 |
Hand / Machine Tools | 0.2 | 576,720 |
Airlines | 0.2 | 489,019 |
Advertising | 0.2 | 466,323 |
Electric | 0.2 | 406,781 |
Coal | 0.1 | 338,260 |
Real Estate | 0.1 | 332,491 |
Cosmetics/Personal Care | 0.1 | 310,882 |
Agriculture | 0.1 | 232,822 |
Forest Products & Paper | 0.1 | 192,055 |
Holding Companies-Diversified | 0.1 | 158,498 |
Water | 0.1 | 150,979 |
Packaging & Containers | 0.1 | 150,273 |
Trucking & Leasing | 0.1 | 135,485 |
Metals & Mining | 0.1 | 135,116 |
Iron / Steel | 0.0 | 117,820 |
Office Furnishings | 0.0 | 57,702 |
Health Care Providers & Services | 0.0 | 50,947 |
SHORT-TERM INVESTMENTS | 5.5 | 13,279,327 |
LIABILITIES IN EXCESS OF OTHER ASSETS | (0.1) | (168,210) |
NET ASSETS | 100.0% | $ 240,981,110 |
3
Portfolio of Investments
Number of Shares | Value | |||||||
COMMON STOCKS - 94.6% | ||||||||
Advertising — 0.2% | ||||||||
MDC Partners, Inc. | 47,917 | $ | 419,274 | |||||
Xcel Brands, Inc.* | 9,905 | 47,049 | ||||||
466,323 | ||||||||
Aerospace/Defense — 1.0% | ||||||||
Aerovironment, Inc.* | 1,433 | 38,720 | ||||||
Cubic Corp. | 15,562 | 817,783 | ||||||
Curtiss-Wright Corp. | 2,004 | 196,051 | ||||||
Kaman Corp. | 2,787 | 144,283 | ||||||
KLX, Inc.* | 11,934 | 600,758 | ||||||
Kratos Defense & Security Solutions, Inc.* | 34,050 | 280,913 | ||||||
Moog, Inc.* | 1,762 | 119,076 | ||||||
National Presto Industries, Inc. | 728 | 72,509 | ||||||
Orbital ATK, Inc. | 1,778 | 164,323 | ||||||
2,434,416 | ||||||||
Agriculture — 0.1% | ||||||||
Andersons, Inc., (The) | 3,403 | 134,589 | ||||||
Universal Corp. | 1,451 | 98,233 | ||||||
232,822 | ||||||||
Airlines — 0.2% | ||||||||
Allegiant Travel Co. | 537 | 93,492 | ||||||
Hawaiian Holdings, Inc.* | 2,251 | 109,511 | ||||||
SkyWest, Inc. | 8,137 | 286,016 | ||||||
489,019 | ||||||||
Apparel — 0.6% | ||||||||
Iconix Brand Group, Inc.* | 10,404 | 80,215 | ||||||
Oxford Industries, Inc. | 1,003 | 56,379 | ||||||
Rocky Brands, Inc. | 26,890 | 290,412 | ||||||
Skechers U.S.A., Inc.* | 6,336 | 162,645 | ||||||
Steven Madden Ltd.* | 3,222 | 120,342 | ||||||
Superior Uniform Group, Inc. | 17,022 | 311,843 | ||||||
Tilly's, Inc. | 11,179 | 123,304 | ||||||
Unifi, Inc.* | 2,260 | 61,675 | ||||||
Wolverine World Wide, Inc. | 5,464 | 137,529 | ||||||
1,344,344 | ||||||||
Auto Parts & Equipment — 1.5% | ||||||||
American Axle & Manufacturing Holdings, Inc.* | 6,688 | 132,556 | ||||||
Douglas Dynamics, Inc. | 6,301 | 210,138 | ||||||
Gentherm, Inc.* | 1,375 | 49,844 | ||||||
Horizon Global Corp.* | 22,492 | 411,154 | ||||||
Motorcar Parts of America, Inc.* | 64,046 | 1,816,985 | ||||||
Spartan Motors, Inc. | 75,314 | 500,838 | ||||||
Superior Industries International, Inc. | 3,264 | 73,114 | ||||||
Unique Fabricating, Inc. | 26,669 | 305,360 | ||||||
3,499,989 | ||||||||
Banks — 6.9% | ||||||||
American River Bankshares | 40,330 | 600,110 | ||||||
Atlantic Capital Bancshares, Inc.* | 23,592 | 424,656 | ||||||
Bank of Commerce Holdings | 59,930 | 602,296 | ||||||
Bank of the Ozarks, Inc. | 8,051 | 440,631 | ||||||
Banner Corp. | 1,722 | 100,083 | ||||||
Boston Private Financial Holdings, Inc. | 14,098 | 242,486 | ||||||
Cardinal Financial Corp. | 4,668 | 145,828 | ||||||
CB Financial Services, Inc. | 7,960 | 206,164 | ||||||
Central Pacific Financial Corp. | 2,762 | 87,224 | ||||||
City Holding Co. | 4,208 | 275,624 | ||||||
CoBiz Financial, Inc. | 13,008 | 221,786 | ||||||
Community Bank System, Inc. | 1,997 | 118,642 | ||||||
CU Bancorp* | 8,767 | 344,543 | ||||||
CVB Financial Corp. | 8,715 | 206,981 | ||||||
Farmers National Banc Corp. | 45,570 | 628,866 | ||||||
FCB Financial Holdings, Inc.* | 9,204 | 447,314 | ||||||
First BanCorp, (Puerto Rico)* | 46,257 | 295,120 | ||||||
First Bancshares, Inc., (The) | 14,000 | 406,000 | ||||||
First Citizens BancShares, Inc. | 859 | 306,053 | ||||||
First Commonwealth Financial Corp. | 11,374 | 158,440 | ||||||
First Financial Bancorp | 7,350 | 203,962 | ||||||
First Financial Bankshares, Inc. | 6,581 | 289,564 | ||||||
First Northwest Bancorp* | 6,840 | 105,610 | ||||||
Franklin Financial Network, Inc.* | 8,219 | 323,829 | ||||||
Glacier Bancorp, Inc. | 3,879 | 143,213 | ||||||
Herc Holdings, Inc.* | 8,979 | 464,125 | ||||||
Home BancShares, Inc. | 11,434 | 321,753 | ||||||
Hope Bancorp, Inc. | 14,673 | 314,002 | ||||||
Horizon Bancorp | 22,855 | 592,859 | ||||||
Independent Bank Corp. Rockland MA | 1,226 | 79,690 | ||||||
LegacyTexas Financial Group, Inc. | 10,517 | 447,919 | ||||||
Live Oak Bancshares, Inc. | 19,864 | 455,879 | ||||||
MB Financial, Inc. | 6,569 | 295,736 | ||||||
Midland States Bancorp, Inc. | 6,280 | 220,805 | ||||||
MidSouth Bancorp, Inc. | 36,980 | 543,606 | ||||||
Northeast Bancorp* | 1,910 | 26,263 | ||||||
Northrim BanCorp, Inc. | 11,610 | 338,432 | ||||||
OFG Bancorp, (Puerto Rico) | 9,765 | 125,969 | ||||||
Oritani Financial Corp. | 2,321 | 39,921 | ||||||
Orrstown Financial Services, Inc. | 14,240 | 311,144 | ||||||
Pacific Continental Corp. | 21,300 | 535,695 | ||||||
Pacific Mercantile Bancorp* | 63,480 | 466,578 | ||||||
People's Utah Bancorp | 24,940 | 663,404 | ||||||
Preferred Bank | 6,157 | 345,654 | ||||||
Premier Financial Bancorp, Inc. | 31,280 | 574,926 |
4
Portfolio of Investments (Continued)
(Unaudited)
Number of Shares | Value | |||||||
Banks — (Continued) | ||||||||
PrivateBancorp, Inc. | 2,852 | $ | 161,423 | |||||
Seacoast Banking Corp of Florida* | 9,598 | 222,962 | ||||||
Southside Bancshares, Inc. | 4,403 | 155,118 | ||||||
Texas Capital Bancshares, Inc.* | 1,396 | 124,453 | ||||||
Tompkins Financial Corp. | 1,660 | 148,935 | ||||||
TriState Capital Holdings, Inc.* | 10,846 | 255,423 | ||||||
TrustCo Bank Corp., NY | 17,124 | 142,985 | ||||||
UMB Financial Corp. | 3,746 | 295,260 | ||||||
United Bankshares, Inc. | 5,281 | 236,325 | ||||||
United Community Banks, Inc. | 3,164 | 91,408 | ||||||
Veritex Holdings, Inc.* | 5,515 | 158,005 | ||||||
Walker & Dunlop, Inc.* | 1,239 | 50,365 | ||||||
Westamerica Bancorp. | 2,698 | 156,079 | ||||||
16,688,126 | ||||||||
Beverages — 0.8% | ||||||||
Farmer Brothers Co.* | 27,642 | 903,202 | ||||||
MGP Ingredients, Inc. | 7,718 | 341,367 | ||||||
Primo Water Corp.* | 29,057 | 416,677 | ||||||
Reed's, Inc.* | 53,398 | 210,922 | ||||||
1,872,168 | ||||||||
Biotechnology — 2.5% | ||||||||
Acorda Therapeutics, Inc.* | 3,406 | 90,089 | ||||||
AMAG Pharmaceuticals, Inc.* | 3,174 | 71,256 | ||||||
ANI Pharmaceuticals, Inc.* | 2,019 | 119,262 | ||||||
Applied Genetic Technologies Corp.* | 15,319 | 118,722 | ||||||
Blueprint Medicines Corp.* | 22,254 | 782,896 | ||||||
Cambrex Corp.* | 3,017 | 170,008 | ||||||
ChromaDex Corp.* | 48,795 | 134,674 | ||||||
Exact Sciences Corp.* | 25,104 | 540,238 | ||||||
Ligand Pharmaceuticals, Inc.* | 1,187 | 124,196 | ||||||
Loxo Oncology, Inc.* | 17,775 | 789,921 | ||||||
Medicines Co., (The)* | 4,827 | 253,031 | ||||||
Momenta Pharmaceuticals, Inc.* | 31,780 | 491,001 | ||||||
NeoGenomics, Inc.* | 154,253 | 1,244,822 | ||||||
Organovo Holdings, Inc.* | 45,573 | 142,188 | ||||||
Otonomy, Inc.* | 29,440 | 437,184 | ||||||
Paratek Pharmaceuticals, Inc.* | 6,276 | 93,826 | ||||||
Pfenex, Inc.* | 11,749 | 84,945 | ||||||
Spectrum Pharmaceuticals, Inc.* | 39,979 | 255,866 | ||||||
Sunesis Pharmaceuticals, Inc.* | 16,183 | 68,130 | ||||||
6,012,255 | ||||||||
Building Materials — 1.5% | ||||||||
AAON, Inc. | 2,382 | 80,154 | ||||||
Apogee Enterprises, Inc. | 1,184 | 67,701 | ||||||
Aqua Metals, Inc.* | 7,640 | 130,186 | ||||||
Aspen Aerogels, Inc.* | 39,368 | 162,984 | ||||||
Foundation Building Materials, Inc.* | 16,651 | 272,077 | ||||||
Gibraltar Industries, Inc.* | 12,889 | 534,249 | ||||||
Griffon Corp. | 4,619 | 116,168 | ||||||
Headwaters, Inc.* | 4,288 | 98,624 | ||||||
M/I Homes, Inc.* | 2,608 | 61,549 | ||||||
New Relic, Inc.* | 12,103 | 425,783 | ||||||
Patrick Industries, Inc.* | 6,616 | 528,288 | ||||||
Simpson Manufacturing Co., Inc. | 2,069 | 89,298 | ||||||
Summit Materials, Inc.* | 16,827 | 401,997 | ||||||
Universal Forest Products, Inc. | 2,701 | 258,783 | ||||||
US Concrete, Inc.* | 5,655 | 356,265 | ||||||
3,584,106 | ||||||||
Chemicals — 1.4% | ||||||||
A Schulman, Inc. | 2,902 | 97,943 | ||||||
Aceto Corp. | 3,284 | 50,377 | ||||||
AdvanSix, Inc.* | 11,638 | 317,485 | ||||||
Balchem Corp. | 1,142 | 99,548 | ||||||
Calgon Carbon Corp. | 4,182 | 58,966 | ||||||
Chemours Co., (The) | 15,445 | 519,879 | ||||||
Hawkins, Inc. | 7,480 | 369,886 | ||||||
HB Fuller Co. | 4,743 | 234,352 | ||||||
Innophos Holdings, Inc. | 2,039 | 108,047 | ||||||
Innospec, Inc. | 1,121 | 73,201 | ||||||
Koppers Holdings, Inc.* | 2,012 | 88,226 | ||||||
Kraton Corp.* | 2,728 | 74,283 | ||||||
Landec Corp.* | 81,157 | 1,022,578 | ||||||
Rayonier Advanced Materials, Inc. | 6,815 | 90,367 | ||||||
Stepan Co. | 2,701 | 204,223 | ||||||
3,409,361 | ||||||||
Coal — 0.1% | ||||||||
SunCoke Energy, Inc.* | 4,934 | 48,107 | ||||||
US Geothermal, Inc.* | 69,249 | 290,153 | ||||||
338,260 | ||||||||
Commercial Services — 5.9% | ||||||||
ABM Industries, Inc. | 3,179 | 129,671 | ||||||
AMN Healthcare Services, Inc.* | 3,294 | 135,548 | ||||||
ARC Document Solutions, Inc.* | 113,670 | 456,953 | ||||||
AstroNova, Inc. | 18,890 | 255,959 | ||||||
Barrett Business Services, Inc. | 15,445 | 988,943 | ||||||
BG Staffing, Inc. | 37,170 | 487,299 | ||||||
Brink's Co., (The) | 4,054 | 216,686 | ||||||
CAI International, Inc.* | 48,770 | 754,472 | ||||||
Capella Education Co. | 1,954 | 148,699 | ||||||
Cardtronics, PLC, (United Kingdom)* | 1,985 | 87,499 | ||||||
Care.com, Inc.* | 30,887 | 315,048 |
5
Portfolio of Investments (Continued)
(Unaudited)
Number of Shares | Value | |||||||
Commercial Services — (Continued) | ||||||||
Chegg, Inc.* | 26,727 | $ | 211,143 | |||||
CRA International, Inc. | 13,460 | 482,676 | ||||||
Green Dot Corp.* | 4,948 | 145,026 | ||||||
Hackett Group, Inc., (The) | 18,788 | 378,766 | ||||||
Healthcare Services Group, Inc. | 3,392 | 140,361 | ||||||
HealthEquity, Inc.* | 6,888 | 301,006 | ||||||
HMS Holdings Corp.* | 9,256 | 172,439 | ||||||
Hostess Brands, Inc.* | 37,333 | 568,582 | ||||||
Insperity, Inc. | 3,188 | 265,401 | ||||||
Kelly Services, Inc. | 22,612 | 483,445 | ||||||
Korn/Ferry International | 4,210 | 130,131 | ||||||
Landauer, Inc. | 903 | 47,182 | ||||||
MarketAxess Holdings, Inc. | 2,439 | 476,166 | ||||||
Matthews International Corp. | 1,608 | 105,887 | ||||||
Medifast, Inc. | 14,160 | 634,934 | ||||||
MINDBODY, Inc.* | 18,218 | 483,688 | ||||||
Monro Muffler Brake, Inc. | 2,000 | 115,000 | ||||||
Navigant Consulting, Inc.* | 3,071 | 71,554 | ||||||
Nutrisystem, Inc. | 13,418 | 623,937 | ||||||
On Assignment, Inc.* | 3,035 | 143,222 | ||||||
Ooma, Inc.* | 33,758 | 342,644 | ||||||
PAREXEL International Corp.* | 2,105 | 136,172 | ||||||
PFSweb, Inc.* | 72,363 | 507,265 | ||||||
Resources Connection, Inc. | 40,433 | 683,318 | ||||||
RR Donnelley & Sons Co. | 3,037 | 50,930 | ||||||
ServiceSource International, Inc.* | 136,098 | 536,226 | ||||||
SP Plus Corp.* | 25,864 | 834,114 | ||||||
Strayer Education, Inc. | 2,209 | 171,286 | ||||||
Team, Inc.* | 2,595 | 89,138 | ||||||
TechTarget, Inc.* | 16,472 | 150,719 | ||||||
Teladoc, Inc.* | 11,719 | 258,404 | ||||||
TrueBlue, Inc.* | 2,445 | 63,448 | ||||||
Viad Corp. | 10,222 | 482,478 | ||||||
14,263,465 | ||||||||
Computers — 4.3% | ||||||||
Brocade Communications Systems, Inc. | 4,278 | 52,662 | ||||||
CACI International, Inc.* | 1,145 | 143,583 | ||||||
Computer Services, Inc. | 17,369 | 781,605 | ||||||
Digimarc Corp.* | 12,434 | 313,337 | ||||||
DMC Global, Inc. | 66,861 | 999,572 | ||||||
Electronics For Imaging, Inc.* | 1,897 | 87,395 | ||||||
Engility Holdings, Inc.* | 2,262 | 70,823 | ||||||
Everspin Technologies, Inc.* | 19,930 | 199,898 | ||||||
ExlService Holdings, Inc.* | 1,497 | 66,856 | ||||||
Globant S.A., (Luxembourg)* | 12,412 | 450,556 | ||||||
Icad, Inc.* | 71,137 | 267,475 | ||||||
Insight Enterprises, Inc.* | 2,176 | 92,175 | ||||||
KEYW Holding Corp., (The)* | 45,831 | 454,644 | ||||||
MAXIMUS, Inc. | 1,853 | 110,569 | ||||||
Mercury Systems, Inc.* | 35,956 | 1,343,316 | ||||||
Mitek Systems, Inc.* | 88,303 | 551,894 | ||||||
MTS Systems Corp. | 769 | 42,257 | ||||||
Quantum Corp.* | 535,520 | 465,902 | ||||||
Radisys Corp.* | 197,670 | 755,099 | ||||||
Super Micro Computer, Inc.* | 3,359 | 87,334 | ||||||
Sykes Enterprises, Inc.* | 18,179 | 494,832 | ||||||
TeleTech Holdings, Inc. | 3,501 | 106,080 | ||||||
USA Technologies, Inc.* | 145,980 | 583,920 | ||||||
VeriFone Systems, Inc.* | 45,990 | 950,613 | ||||||
Vocera Communications, Inc.* | 35,477 | 734,019 | ||||||
10,206,416 | ||||||||
Cosmetics/Personal Care — 0.1% | ||||||||
elf Beauty, Inc.* | 8,364 | 231,683 | ||||||
Inter Parfums, Inc. | 2,289 | 79,199 | ||||||
310,882 | ||||||||
Distribution/Wholesale — 1.1% | ||||||||
Anixter International, Inc.* | 1,549 | 129,032 | ||||||
Beacon Roofing Supply, Inc.* | 9,070 | 412,141 | ||||||
Essendant, Inc. | 3,125 | 49,781 | ||||||
G-III Apparel Group Ltd.* | 2,211 | 56,889 | ||||||
H&E Equipment Services, Inc. | 13,541 | 355,316 | ||||||
Pool Corp. | 2,106 | 241,579 | ||||||
ScanSource, Inc.* | 1,959 | 78,850 | ||||||
SiteOne Landscape Supply, Inc.* | 18,435 | 722,836 | ||||||
Titan Machinery, Inc.* | 47,688 | 674,785 | ||||||
2,721,209 | ||||||||
Diversified Financial Services — 2.5% | ||||||||
Blackhawk Network Holdings, Inc.* | 40,225 | 1,466,201 | ||||||
Encore Capital Group, Inc.* | 4,540 | 151,182 | ||||||
Enova International, Inc.* | 41,598 | 596,931 | ||||||
Evercore Partners, Inc. | 1,107 | 88,062 | ||||||
Financial Engines, Inc. | 3,587 | 158,904 | ||||||
FNFV Group* | 129,655 | 1,614,205 | ||||||
Greenhill & Co, Inc. | 6,119 | 180,816 | ||||||
Interactive Brokers Group, Inc. | 3,063 | 112,443 | ||||||
Investment Technology Group, Inc. | 2,378 | 47,608 | ||||||
Piper Jaffray Cos | 3,786 | 267,859 | ||||||
PRA Group, Inc.* | 3,304 | 134,803 | ||||||
Silvercrest Asset Management Group, Inc. | 42,722 | 570,339 | ||||||
WageWorks, Inc.* | 8,022 | 617,694 | ||||||
World Acceptance Corp.* | 2,155 | 113,008 | ||||||
6,120,055 | ||||||||
Electric — 0.2% | ||||||||
ALLETE, Inc. | 4,232 | 284,433 | ||||||
Avista Corp. | 1,395 | 55,619 | ||||||
El Paso Electric Co. | 1,366 | 66,729 | ||||||
406,781 |
Portfolio of Investments (Continued)
(Unaudited)
Number of Shares | Value | |||||||
Electrical Components & Equipment — 0.7% | ||||||||
Advanced Energy Industries, Inc.* | 2,466 | $ | 153,139 | |||||
Encore Wire Corp. | 1,278 | 60,705 | ||||||
EnerSys | 3,171 | 243,311 | ||||||
General Cable Corp. | 4,266 | 71,242 | ||||||
Graham Corp. | 14,664 | 321,582 | ||||||
Insteel Industries, Inc. | 4,174 | 150,765 | ||||||
Littelfuse, Inc. | 1,079 | 174,205 | ||||||
SPX Corp.* | 4,521 | 119,264 | ||||||
Universal Display Corp.* | 4,859 | 412,286 | ||||||
1,706,499 | ||||||||
Electronics — 2.5% | ||||||||
Brady Corp. | 2,928 | 111,996 | ||||||
Coherent, Inc.* | 1,014 | 185,136 | ||||||
CyberOptics Corp.* | 9,147 | 314,657 | ||||||
ESCO Technologies, Inc. | 10,060 | 545,252 | ||||||
FARO Technologies, Inc.* | 2,255 | 77,797 | ||||||
II-VI, Inc.* | 3,812 | 135,707 | ||||||
IMAX Corp., (Canada)* | 13,444 | 434,913 | ||||||
Itron, Inc.* | 4,655 | 301,178 | ||||||
Ituran Location and Control Ltd., (Israel) | 21,201 | 593,628 | ||||||
Methode Electronics, Inc. | 2,476 | 102,754 | ||||||
Napco Security Technologies, Inc.* | 51,481 | 445,311 | ||||||
Orbotech Ltd., (Israel)* | 28,885 | 870,883 | ||||||
OSI Systems, Inc.* | 5,966 | 449,956 | ||||||
Plexus Corp.* | 2,641 | 148,081 | ||||||
Rogers Corp.* | 1,868 | 154,129 | ||||||
Sanmina Corp.* | 6,648 | 259,272 | ||||||
TASER International, Inc.* | 5,340 | 137,078 | ||||||
TTM Technologies, Inc.* | 8,548 | 138,136 | ||||||
ZAGG, Inc.* | 81,460 | 492,833 | ||||||
5,898,697 | ||||||||
Energy-Alternate Sources — 0.4% | ||||||||
Green Plains, Inc. | 3,277 | 82,089 | ||||||
REX American Resources orp.* | 2,668 | 222,031 | ||||||
TPI Composites, Inc.* | 35,555 | 620,435 | ||||||
924,555 | ||||||||
Engineering & Construction — 1.6% | ||||||||
Aegion Corp.* | 5,582 | 127,046 | ||||||
Argan, Inc. | 3,376 | 232,606 | ||||||
Comfort Systems USA, Inc. | 4,006 | 152,829 | ||||||
Dycom Industries, Inc.* | 2,682 | 220,407 | ||||||
EMCOR Group, Inc. | 4,741 | 291,477 | ||||||
Exponent, Inc. | 1,390 | 79,855 | ||||||
Granite Construction, Inc. | 8,100 | 429,381 | ||||||
MasTec, Inc.* | 11,210 | 439,992 | ||||||
MYR Group, Inc.* | 4,168 | 156,342 | ||||||
NV5 Global, Inc.* | 19,581 | 720,581 | ||||||
Primoris Services Corp. | 18,296 | 454,838 | ||||||
Sterling Construction Co, Inc.* | 61,140 | 549,649 | ||||||
TopBuild Corp.* | 2,707 | 113,640 | ||||||
3,968,643 | ||||||||
Entertainment — 0.6% | ||||||||
International Speedway Corp. | 25,482 | 945,382 | ||||||
Pinnacle Entertainment, Inc.* | 3,069 | 53,278 | ||||||
Red Rock Resorts, Inc. | 18,460 | 405,566 | ||||||
Scientific Games Corp.* | 6,167 | 127,349 | ||||||
1,531,575 | ||||||||
Environmental Control — 0.3% | ||||||||
AquaVenture Holdings Ltd.* | 6,872 | 113,388 | ||||||
Hudson Technologies, Inc.* | 29,882 | 213,955 | ||||||
Tetra Tech, Inc. | 3,198 | 128,719 | ||||||
US Ecology, Inc. | 6,007 | 304,855 | ||||||
760,917 | ||||||||
Food — 1.2% | ||||||||
B&G Foods, Inc. | 4,803 | 204,127 | ||||||
Calavo Growers, Inc. | 2,535 | 142,974 | ||||||
Cal-Maine Foods, Inc. | 1,158 | 43,946 | ||||||
Darling Ingredients, Inc.* | 8,943 | 116,348 | ||||||
DineEquity, Inc. | 1,680 | 100,498 | ||||||
Ingles Markets, Inc. | 28,520 | 1,336,162 | ||||||
J&J Snack Foods Corp. | 681 | 91,118 | ||||||
Lifeway Foods, Inc.* | 31,140 | 327,281 | ||||||
Ruth's Hospitality Group, Inc. | 8,857 | 149,241 | ||||||
Sanderson Farms, Inc. | 1,371 | 130,300 | ||||||
Snyder's-Lance, Inc. | 3,587 | 141,973 | ||||||
SpartanNash Co. | 2,270 | 79,223 | ||||||
2,863,191 | ||||||||
Forest Products & Paper — 0.1% | ||||||||
Clearwater Paper Corp.* | 1,300 | 72,280 | ||||||
Neenah Paper, Inc. | 743 | 54,425 | ||||||
PH Glatfelter Co. | 2,957 | 65,350 | ||||||
192,055 | ||||||||
Gas — 0.4% | ||||||||
New Jersey Resources Corp. | 2,340 | 92,196 | ||||||
Northwest Natural Gas Co. | 2,390 | 143,639 | ||||||
South Jersey Industries, Inc. | 4,502 | 157,660 | ||||||
Southwest Gas Holdings, Inc. | 1,612 | 137,874 | ||||||
Spire, Inc. | 5,337 | 351,708 | ||||||
883,077 | ||||||||
Hand / Machine Tools — 0.2% | ||||||||
Franklin Electric Co, Inc. | 1,615 | 67,669 | ||||||
Hardinge, Inc. | 48,620 | 509,051 | ||||||
576,720 | ||||||||
Health Care Providers & Services — 0.0% | ||||||||
PharMerica Corp.* | 2,071 | 50,947 | ||||||
Healthcare-Products — 5.0% | ||||||||
Abaxis, Inc. | 1,761 | 87,786 | ||||||
ABIOMED, Inc.* | 1,897 | 223,789 | ||||||
Alpha Pro Tech Ltd., (Canada)* | 44,141 | 134,630 |
7
Portfolio of Investments (Continued)
(Unaudited)
Number of Shares | Value | |||||||
Healthcare-Products — (Continued) | ||||||||
Analogic Corp. | 998 | $ | 82,185 | |||||
AxoGen, Inc.* | 33,177 | 346,700 | ||||||
Biolase, Inc.* | 194,035 | 283,291 | ||||||
BioTelemetry, Inc.* | 11,532 | 293,489 | ||||||
Cantel Medical Corp. | 1,814 | 148,948 | ||||||
Cardiovascular Systems, Inc.* | 14,777 | 419,667 | ||||||
Cerus Corp.* | 68,400 | 286,596 | ||||||
CRH Medical Corp., (Canada)* | 176,036 | 1,214,648 | ||||||
CryoLife, Inc.* | 49,579 | 793,264 | ||||||
Cynosure, Inc.* | 1,507 | 99,462 | ||||||
Digirad Corp. | 62,771 | 329,548 | ||||||
Haemonetics Corp.* | 3,260 | 121,696 | ||||||
ICU Medical, Inc.* | 578 | 86,931 | ||||||
Inogen, Inc.* | 7,589 | 520,757 | ||||||
Integra LifeSciences Holdings Corp.* | 3,088 | 131,981 | ||||||
Invacare Corp. | 5,623 | 68,038 | ||||||
Invuity, Inc.* | 54,584 | 428,484 | ||||||
iRadimed Corp.* | 23,307 | 194,613 | ||||||
iRhythm Technologies, Inc.* | 6,766 | 260,626 | ||||||
K2M Group Holdings, Inc.* | 34,231 | 686,332 | ||||||
LeMaitre Vascular, Inc. | 19,129 | 423,516 | ||||||
Masimo Corp.* | 3,409 | 308,037 | ||||||
Merit Medical Systems, Inc.* | 19,274 | 593,639 | ||||||
NanoString Technologies, Inc.* | 14,761 | 278,540 | ||||||
Novan, Inc.* | 12,291 | 69,567 | ||||||
NuVasive, Inc.* | 2,621 | 195,946 | ||||||
NxStage Medical, Inc.* | 16,086 | 459,416 | ||||||
Penumbra, Inc.* | 5,506 | 422,861 | ||||||
Repligen Corp.* | 15,645 | 492,974 | ||||||
Spectranetics Corp., (The)* | 7,806 | 217,202 | ||||||
Tactile Systems Technology, Inc.* | 20,165 | 407,938 | ||||||
West Pharmaceutical Services, Inc. | 7,912 | 652,503 | ||||||
Zeltiq Aesthetics, Inc.* | 3,797 | 210,202 | ||||||
11,975,802 | ||||||||
Healthcare-Services — 1.7% | ||||||||
Air Methods Corp.* | 22,471 | 850,527 | ||||||
Almost Family, Inc.* | 8,660 | 429,969 | ||||||
Amedisys, Inc.* | 2,217 | 106,904 | ||||||
Chemed Corp. | 621 | 110,880 | ||||||
Clearside Biomedical, Inc.* | 10,526 | 82,629 | ||||||
Community Health Systems, Inc.* | 9,435 | 91,991 | ||||||
Kindred Healthcare, Inc. | 11,793 | 106,137 | ||||||
LHC Group, Inc.* | 2,720 | 130,614 | ||||||
Magellan Health, Inc.* | 2,346 | 162,226 | ||||||
Natera, Inc.* | 44,237 | 422,906 | ||||||
OncoMed Pharmaceuticals, Inc.* | 9,892 | 100,503 | ||||||
Providence Service Corp., (The)* | 494 | 20,066 | ||||||
Psychemedics Corp. | 22,388 | 475,745 | ||||||
Surgery Partners, Inc.* | 23,540 | 529,650 | ||||||
Tivity Health, Inc.* | 7,967 | 230,246 | ||||||
US Physical Therapy, Inc. | 4,377 | 331,120 | ||||||
4,182,113 | ||||||||
Holding Companies-Diversified — 0.1% | ||||||||
KLR Energy Acquisition Corp.* | 13,432 | 158,498 | ||||||
Home Builders — 1.4% | ||||||||
Forterra, Inc.* | 20,383 | 404,195 | ||||||
Installed Building Products, Inc.* | 11,659 | 548,556 | ||||||
LGI Homes, Inc.* | 12,628 | 366,338 | ||||||
Meritage Homes Corp.* | 2,012 | 71,526 | ||||||
PICO Holdings, Inc.* | 49,178 | 673,739 | ||||||
TRI Pointe Group, Inc.* | 36,523 | 436,085 | ||||||
UCP, Inc.* | 32,040 | 347,634 | ||||||
Winnebago Industries, Inc. | 17,366 | 573,078 | ||||||
3,421,151 | ||||||||
Home Furnishings — 0.6% | ||||||||
American Woodmark Corp.* | 1,043 | 90,167 | ||||||
Ethan Allen Interiors, Inc. | 1,908 | 54,855 | ||||||
Hooker Furniture Corp. | 8,270 | 272,910 | ||||||
iRobot Corp.* | 968 | 55,253 | ||||||
La-Z-Boy, Inc. | 1,163 | 31,401 | ||||||
RH* | 2,129 | 64,807 | ||||||
Select Comfort Corp.* | 27,579 | 647,831 | ||||||
Universal Electronics, Inc.* | 2,113 | 145,163 | ||||||
1,362,387 | ||||||||
Household Products / Wares — 0.5% | ||||||||
Acme United Corp. | 15,224 | 393,540 | ||||||
SodaStream International Ltd., (Israel)* | 13,777 | 671,491 | ||||||
WD-40 Co. | 995 | 109,351 | ||||||
1,174,382 | ||||||||
Housewares — 0.3% | ||||||||
Lifetime Brands, Inc. | 31,700 | 459,650 | ||||||
Toro Co., (The) | 5,348 | 322,003 | ||||||
781,653 | ||||||||
Insurance — 1.8% | ||||||||
American Equity Investment Life Holding Co. | 11,107 | 298,889 | ||||||
American National Insurance Co. | 3,950 | 474,395 | ||||||
Conifer Holdings, Inc.* | 44,750 | 315,487 | ||||||
Employers Holdings, Inc. | 3,729 | 140,210 | ||||||
Health Insurance Innovations, Inc.* | 10,114 | 181,546 | ||||||
Horace Mann Educators Corp. | 2,570 | 107,683 |
8
Portfolio of Investments (Continued)
(Unaudited)
Number of Shares | Value | |||||||
Insurance — (Continued) | ||||||||
Infinity Property & Casualty Corp. | 1,346 | $ | 126,861 | |||||
ProAssurance Corp. | 2,565 | 151,592 | ||||||
RLI Corp. | 1,478 | 86,389 | ||||||
Safety Insurance Group, Inc. | 1,702 | 120,842 | ||||||
Selective Insurance Group, Inc. | 3,866 | 171,264 | ||||||
White Mountains Insurance Group Ltd. | 2,198 | 2,057,899 | ||||||
4,233,057 | ||||||||
Internet — 4.0% | ||||||||
8x8, Inc.* | 37,308 | 563,351 | ||||||
Autobytel, Inc.* | 14,162 | 177,025 | ||||||
Blucora, Inc.* | 3,569 | 55,676 | ||||||
Boingo Wireless, Inc.* | 45,803 | 499,711 | ||||||
ePlus, Inc.* | 5,598 | 710,666 | ||||||
Etsy, Inc.* | 35,883 | 434,902 | ||||||
HealthStream, Inc.* | 2,625 | 64,234 | ||||||
magicJack VocalTec Ltd., (Israel)* | 100,450 | 753,375 | ||||||
Match Group, Inc.* | 19,334 | 312,437 | ||||||
Mimecast Ltd.* | 48,522 | 954,913 | ||||||
NIC, Inc. | 3,334 | 70,347 | ||||||
Proofpoint, Inc.* | 7,458 | 587,467 | ||||||
Q2 Holdings, Inc.* | 16,972 | 610,143 | ||||||
Quotient Technology, Inc.* | 19,169 | 228,111 | ||||||
Reis, Inc. | 17,428 | 336,360 | ||||||
RingCentral, Inc.* | 17,714 | 472,964 | ||||||
Shopify, Inc., (Canada)* | 3,987 | 236,070 | ||||||
Shutterstock, Inc.* | 8,281 | 361,134 | ||||||
Stamps.com, Inc.* | 1,004 | 126,604 | ||||||
Trade Desk, Inc., (The)* | 13,538 | 571,439 | ||||||
Wix.com Ltd., (Israel)* | 7,833 | 487,996 | ||||||
Yelp, Inc.* | 10,900 | 367,330 | ||||||
Zendesk, Inc.* | 20,448 | 556,799 | ||||||
9,539,054 | ||||||||
Investment Companies — 0.7% | ||||||||
Acacia Research Corp.* | 93,960 | 549,666 | ||||||
Capital Southwest Corp. | 31,456 | 517,766 | ||||||
Cowen Group, Inc.* | 11,034 | 157,786 | ||||||
PennantPark Floating Rate Capital Ltd. | 25,957 | 350,160 | ||||||
1,575,378 | ||||||||
Iron / Steel — 0.0% | ||||||||
AK Steel Holding Corp.* | 14,144 | 117,820 | ||||||
Leisure Time — 0.6% | ||||||||
Arctic Cat, Inc.* | 8,990 | 166,315 | ||||||
Callaway Golf Co. | 4,678 | 47,295 | ||||||
Fox Factory Holding Corp.* | 12,744 | 341,539 | ||||||
Intrawest Resorts Holdings, Inc.* | 12,463 | 293,628 | ||||||
MCBC Holdings, Inc. | 14,411 | 211,553 | ||||||
Planet Fitness, Inc. | 22,114 | 475,672 | ||||||
1,536,002 | ||||||||
Lodging — 0.8% | ||||||||
Belmond Ltd., (Bermuda)* | 10,812 | 140,015 | ||||||
Boyd Gaming Corp.* | 4,776 | 93,944 | ||||||
Civeo Corp.* | 99,632 | 349,708 | ||||||
ILG, Inc. | 8,186 | 154,552 | ||||||
La Quinta Holdings, Inc.* | 57,600 | 798,336 | ||||||
Monarch Casino & Resort, Inc.* | 17,389 | 443,072 | ||||||
1,979,627 | ||||||||
Machinery-Diversified — 1.5% | ||||||||
Albany International Corp. | 1,126 | 51,064 | ||||||
Applied Industrial Technologies, Inc. | 1,045 | 65,887 | ||||||
Chart Industries, Inc.* | 2,562 | 91,182 | ||||||
Columbus McKinnon Corp. | 17,310 | 446,771 | ||||||
Hurco Cos, Inc. | 15,730 | 432,575 | ||||||
Manitex International, Inc.* | 70,610 | 545,109 | ||||||
NN, Inc. | 31,290 | 628,929 | ||||||
SPX FLOW, Inc.* | 10,543 | 358,462 | ||||||
Tennant Co. | 1,504 | 105,656 | ||||||
Twin Disc, Inc.* | 50,437 | 922,997 | ||||||
3,648,632 | ||||||||
Media — 0.4% | ||||||||
EW Scripps Co., (The)* | 5,671 | 130,603 | ||||||
Gannett Co, Inc. | 5,535 | 48,265 | ||||||
Scholastic Corp. | 1,251 | 56,370 | ||||||
TiVo Corp. | 7,248 | 134,088 | ||||||
Tribune Media Co. | 19,617 | 677,179 | ||||||
1,046,505 | ||||||||
Metal Fabricate/Hardware — 0.6% | ||||||||
CIRCOR International, Inc. | 889 | 55,216 | ||||||
Mueller Industries, Inc. | 4,223 | 176,606 | ||||||
Mueller Water Products, Inc. | 33,035 | 409,304 | ||||||
Northwest Pipe Co.* | 34,320 | 600,257 | ||||||
TimkenSteel Corp.* | 8,182 | 171,167 | ||||||
1,412,550 | ||||||||
Metals & Mining — 0.1% | ||||||||
Ramaco Resources, Inc.* | 12,396 | 135,116 | ||||||
Mining — 1.2% | ||||||||
A-Mark Precious Metals, Inc. | 22,692 | 423,433 | ||||||
Century Aluminum Co.* | 22,999 | 323,941 | ||||||
Fairmount Santrol Holdings, Inc.* | 48,846 | 463,060 | ||||||
Independence Contract Drilling, Inc.* | 24,588 | 146,299 | ||||||
Kaiser Aluminum Corp. | 1,039 | 81,904 | ||||||
Keane Group, Inc.* | 21,076 | 369,251 | ||||||
Materion Corp. | 1,920 | 66,912 | ||||||
Stillwater Mining Co.* | 8,970 | 153,028 |
9
Portfolio of Investments (Continued)
(Unaudited)
Number of Shares | Value | |||||||
Mining — (Continued) | ||||||||
United States Lime & Minerals, Inc. | 4,143 | $ | 315,531 | |||||
US Silica Holdings, Inc. | 10,949 | 553,691 | ||||||
2,897,050 | ||||||||
Miscellaneous Manufacturing — 2.1% | ||||||||
Actuant Corp. | 1,678 | 44,551 | ||||||
Boise Cascade Co.* | 3,023 | 81,923 | ||||||
Core Molding Technologies, Inc.* | 9,079 | 146,989 | ||||||
EnPro Industries, Inc. | 2,498 | 163,069 | ||||||
Fabrinet, (Cayman Islands)* | 12,385 | 514,597 | ||||||
FreightCar America, Inc. | 20,702 | 283,824 | ||||||
Glaukos Corp.* | 12,070 | 549,185 | ||||||
Globus Medical, Inc.* | 7,647 | 212,663 | ||||||
Harsco Corp.* | 14,378 | 202,730 | ||||||
Hillenbrand, Inc. | 2,960 | 107,596 | ||||||
John Bean Technologies Corp. | 7,430 | 664,242 | ||||||
Kornit Digital Ltd., (Israel)* | 40,733 | 659,875 | ||||||
LCI Industries | 1,629 | 175,443 | ||||||
Lydall, Inc.* | 3,818 | 193,573 | ||||||
Mobile Mini, Inc. | 1,801 | 58,623 | ||||||
Nautilus, Inc.* | 2,404 | 38,704 | ||||||
Novadaq Technologies, Inc., (Canada)* | 48,344 | 350,977 | ||||||
Nuvectra Corp.* | 20,298 | 150,611 | ||||||
Proto Labs, Inc.* | 1,026 | 56,020 | ||||||
SEVCON, Inc.* | 1,128 | 16,762 | ||||||
Sturm Ruger & Co., Inc. | 968 | 48,255 | ||||||
Vista Outdoor, Inc.* | 20,980 | 424,425 | ||||||
5,144,637 | ||||||||
Office Furnishings — 0.0% | ||||||||
Interface, Inc. | 3,053 | 57,702 | ||||||
Oil & Gas — 2.5% | ||||||||
Atwood Oceanics, Inc.* | 28,400 | 298,484 | ||||||
Bill Barrett Corp.* | 9,499 | 52,339 | ||||||
Callon Petroleum Co.* | 34,845 | 439,744 | ||||||
Carrizo Oil & Gas, Inc.* | 3,151 | 102,565 | ||||||
Earthstone Energy, Inc.* | 15,583 | 201,021 | ||||||
Evolution Petroleum Corp. | 27,294 | 238,822 | ||||||
Gran Tierra Energy, Inc., (Canada)* | 86,490 | 231,793 | ||||||
Matador Resources Co.* | 15,745 | 378,982 | ||||||
MRC Global, Inc.* | 21,556 | 435,647 | ||||||
Murphy USA, Inc.* | 19,795 | 1,260,942 | ||||||
PBF Energy, Inc. | 22,670 | 555,188 | ||||||
PDC Energy, Inc.* | 7,337 | 495,908 | ||||||
Resolute Energy Corp.* | 16,177 | 753,039 | ||||||
Ring Energy, Inc.* | 18,721 | 231,392 | ||||||
Synergy Resources Corp.* | 13,188 | 107,746 | ||||||
Unit Corp.* | 4,358 | 118,276 | ||||||
5,901,888 | ||||||||
Oil & Gas Services — 0.9% | ||||||||
Dawson Geophysical Co.* | 46,575 | 359,559 | ||||||
Flotek Industries, Inc.* | 5,288 | 71,494 | ||||||
Helix Energy Solutions Group, Inc.* | 17,356 | 143,361 | ||||||
Mammoth Energy Services, Inc.* | 13,696 | 294,464 | ||||||
Natural Gas Services Group, Inc.* | 24,672 | 642,706 | ||||||
Profire Energy, Inc.* | 179,580 | 224,475 | ||||||
Tesco Corp.* | 38,043 | 317,659 | ||||||
2,053,718 | ||||||||
Packaging & Containers — 0.1% | ||||||||
KapStone Paper and Packaging Corp. | 4,714 | 106,536 | ||||||
Multi-Color Corp. | 610 | 43,737 | ||||||
150,273 | ||||||||
Pharmaceuticals — 3.4% | ||||||||
Aclaris Therapeutics, Inc.* | 13,952 | 435,721 | ||||||
Adaptimmune Therapeutics PLC, (United Kingdom) ADR* | 38,748 | 156,154 | ||||||
Akorn, Inc.* | 23,169 | 482,147 | ||||||
Anika Therapeutics, Inc.* | 1,077 | 50,393 | ||||||
Chimerix, Inc.* | 16,541 | 93,953 | ||||||
Collegium Pharmaceutical, Inc.* | 24,776 | 328,530 | ||||||
Eagle Pharmaceuticals, Inc.* | 5,650 | 433,298 | ||||||
Emergent BioSolutions, Inc.* | 3,096 | 97,152 | ||||||
Enanta Pharmaceuticals, Inc.* | 2,651 | 76,402 | ||||||
Flexion Therapeutics, Inc.* | 10,135 | 203,207 | ||||||
Foamix Pharmaceuticals Ltd., (Israel)* | 36,650 | 358,437 | ||||||
Global Blood Therapeutics, Inc.* | 7,924 | 220,683 | ||||||
Heska Corp.* | 6,445 | 597,709 | ||||||
Impax Laboratories, Inc.* | 7,686 | 109,526 | ||||||
Imprimis Pharmaceuticals, Inc.* | 58,603 | 142,991 | ||||||
Innoviva, Inc.* | 9,226 | 106,560 | ||||||
Kindred Biosciences, Inc.* | 29,218 | 151,934 | ||||||
La Jolla Pharmaceutical Co.* | 4,042 | 135,447 | ||||||
MyoKardia, Inc.* | 16,494 | 200,402 | ||||||
Natural Grocers by Vitamin Cottage, Inc.* | 107,832 | 1,301,532 | ||||||
Nature's Sunshine Products, Inc. | 19,746 | 225,104 | ||||||
Nektar Therapeutics* | 11,411 | 149,256 | ||||||
Neogen Corp.* | 3,466 | 224,805 | ||||||
Patheon N.V., (Netherlands)* | 13,880 | 437,220 | ||||||
Phibro Animal Health Corp. | 2,922 | 81,378 | ||||||
PRA Health Sciences, Inc.* | 8,524 | 503,001 | ||||||
Prestige Brands Holdings, Inc.* | 4,121 | 233,331 | ||||||
Revance Therapeutics, Inc.* | 14,143 | 297,003 | ||||||
Synergy Pharmaceuticals, Inc.* | 17,949 | 103,925 | ||||||
Teligent, Inc.* | 20,540 | 146,861 | ||||||
8,084,062 |
10
Portfolio of Investments (Continued)
(Unaudited)
Number of Shares | Value | |||||||
Real Estate — 0.1% | ||||||||
HFF, Inc. | 2,032 | $ | 60,249 | |||||
Marcus & Millichap, Inc.* | 9,954 | 272,242 | ||||||
332,491 | ||||||||
REITS — 1.8% | ||||||||
Acadia Realty Trust | 3,764 | 120,561 | ||||||
Agree Realty Corp. | 1,641 | 81,443 | ||||||
CareTrust REIT, Inc. | 3,664 | 57,818 | ||||||
Cedar Realty Trust, Inc. | 6,794 | 39,881 | ||||||
CoreSite Realty Corp. | 1,355 | 122,045 | ||||||
Cousins Properties, Inc. | 8,805 | 75,283 | ||||||
DiamondRock Hospitality Co. | 8,155 | 88,645 | ||||||
EastGroup Properties, Inc. | 2,590 | 192,541 | ||||||
Farmland Partners, Inc. | 27,757 | 316,985 | ||||||
GEO Group, Inc., (The) | 20,209 | 962,150 | ||||||
Getty Realty Corp. | 5,173 | 136,515 | ||||||
Government Properties Income Trust | 6,612 | 136,273 | ||||||
Healthcare Realty Trust, Inc. | 7,137 | 228,099 | ||||||
Hersha Hospitality Trust | 9,316 | 181,755 | ||||||
Lexington Realty Trust | 12,112 | 135,170 | ||||||
LTC Properties, Inc. | 3,774 | 182,058 | ||||||
Medical Properties Trust, Inc. | 7,925 | 106,353 | ||||||
National Storage Affiliates Trust | 13,666 | 330,991 | ||||||
Parkway, Inc.* | 3,279 | 68,793 | ||||||
PS Business Parks, Inc. | 1,242 | 144,333 | ||||||
Retail Opportunity Investments Corp. | 3,666 | 80,652 | ||||||
Sabra Health Care REIT, Inc. | 8,635 | 234,872 | ||||||
Summit Hotel Properties, Inc. | 6,963 | 107,161 | ||||||
Universal Health Realty Income Trust | 3,063 | 196,583 | ||||||
Urstadt Biddle Properties, Inc. | 5,708 | 127,174 | ||||||
4,454,134 | ||||||||
Retail — 4.9% | ||||||||
Abercrombie & Fitch Co. | 7,427 | 88,827 | ||||||
Asbury Automotive Group, Inc.* | 2,463 | 160,464 | ||||||
Barnes & Noble Education, Inc.* | 3,876 | 37,210 | ||||||
Barnes & Noble, Inc. | 8,365 | 81,977 | ||||||
Big 5 Sporting Goods Corp. | 32,100 | 431,745 | ||||||
Biglari Holdings, Inc.* | 2,123 | 911,680 | ||||||
BJ's Restaurants, Inc.* | 2,592 | 94,219 | ||||||
BMC Stock Holdings, Inc.* | 20,285 | 425,985 | ||||||
Bob Evans Farms, Inc. | 1,288 | 73,068 | ||||||
Buckle, Inc., (The) | 6,153 | 122,137 | ||||||
Build-A-Bear Workshop, Inc.* | 41,630 | 376,752 | ||||||
Carrols Restaurant Group, Inc.* | 14,482 | 228,816 | ||||||
Casey's General Stores, Inc. | 1,888 | 216,327 | ||||||
Children's Place, Inc., (The) | 1,027 | 104,035 | ||||||
Chuy's Holdings, Inc.* | 10,306 | 293,721 | ||||||
Core-Mark Holding Co, Inc. | 2,299 | 74,764 | ||||||
Cracker Barrel Old Country Store, Inc. | 790 | 127,182 | ||||||
Del Taco Restaurants, Inc.* | 49,401 | 613,066 | ||||||
Denny's Corp.* | 15,505 | 194,743 | ||||||
El Pollo Loco Holdings, Inc.* | 4,723 | 59,037 | ||||||
Express, Inc.* | 5,385 | 60,527 | ||||||
EZCORP, Inc.* | 6,969 | 61,327 | ||||||
Fiesta Restaurant Group, Inc.* | 3,891 | 77,236 | ||||||
Finish Line, Inc., (The) | 6,496 | 105,885 | ||||||
FirstCash, Inc. | 2,930 | 129,945 | ||||||
Five Below, Inc.* | 13,898 | 535,768 | ||||||
Francesca's Holdings Corp.* | 14,152 | 240,159 | ||||||
Gordmans Stores, Inc.* | 116,160 | 68,534 | ||||||
Group 1 Automotive, Inc. | 1,277 | 99,210 | ||||||
Guess, Inc. | 6,365 | 80,836 | ||||||
Habit Restaurants, Inc., (The)* | 25,132 | 338,025 | ||||||
Ingevity Corp.* | 2,186 | 117,978 | ||||||
J Alexander's Holdings, Inc.* | 44,816 | 416,789 | ||||||
Liberty Expedia Holdings, Inc.* | 26,940 | 1,165,963 | ||||||
Lithia Motors, Inc. | 1,169 | 111,838 | ||||||
Lumber Liquidators Holdings, Inc.* | 5,091 | 90,263 | ||||||
MarineMax, Inc.* | 22,924 | 515,790 | ||||||
New Age Beverages Corp.* | 56,383 | 197,904 | ||||||
Ollie's Bargain Outlet Holdings, Inc.* | 16,820 | 527,307 | ||||||
Papa John's International, Inc. | 1,043 | 82,314 | ||||||
PC Connection, Inc. | 18,470 | 494,257 | ||||||
PCM, Inc.* | 31,710 | 852,999 | ||||||
PetMed Express, Inc. | 2,094 | 44,100 | ||||||
Pier 1 Imports, Inc. | 12,332 | 82,994 | ||||||
Red Robin Gourmet Burgers, Inc.* | 1,719 | 78,472 | ||||||
Regis Corp.* | 2,708 | 33,335 | ||||||
Stage Stores, Inc. | 39,350 | 91,686 | ||||||
Texas Roadhouse, Inc. | 2,804 | 118,609 | ||||||
Vitamin Shoppe, Inc.* | 2,275 | 48,458 | ||||||
Wingstop, Inc. | 7,380 | 194,094 | ||||||
Zumiez, Inc.* | 4,251 | 86,720 | ||||||
11,865,077 | ||||||||
Savings & Loans — 1.2% | ||||||||
Astoria Financial Corp. | 5,686 | 105,134 | ||||||
BofI Holding, Inc.* | 3,461 | 109,160 | ||||||
Brookline Bancorp, Inc. | 9,875 | 156,519 | ||||||
CPI Card Group, Inc. | 73,068 | 328,806 | ||||||
Dime Community Bancshares, Inc. | 8,292 | 178,278 | ||||||
FS Bancorp, Inc. | 8,700 | 326,076 | ||||||
Meta Financial Group, Inc. | 9,382 | 803,099 | ||||||
Pacific Premier Bancorp, Inc.* | 9,767 | 390,680 | ||||||
Sterling Bancorp | 23,869 | 590,758 | ||||||
2,988,510 |
Portfolio of Investments (Continued)
(Unaudited)
Number of Shares | Value | |||||||
Semiconductors — 5.3% | ||||||||
Ambarella, Inc.* | 3,265 | $ | 192,472 | |||||
Amtech Systems, Inc.* | 48,900 | 307,092 | ||||||
AXT, Inc.* | 157,519 | 1,118,385 | ||||||
Cabot Microelectronics Corp. | 1,581 | 109,437 | ||||||
Cavium, Inc.* | 7,621 | 499,252 | ||||||
CEVA, Inc.* | 12,986 | 433,732 | ||||||
Cirrus Logic, Inc.* | 3,525 | 190,632 | ||||||
Cohu, Inc. | 42,190 | 702,463 | ||||||
Exar Corp.* | 4,206 | 43,995 | ||||||
GigPeak, Inc.* | 275,290 | 842,387 | ||||||
Ichor Holdings Ltd.* | 13,444 | 252,613 | ||||||
Impinj, Inc.* | 26,466 | 750,576 | ||||||
Inphi Corp.* | 19,536 | 917,020 | ||||||
Kulicke & Soffa Industries, Inc., (Singapore)* | 6,419 | 131,397 | ||||||
Mellanox Technologies Ltd., (Israel)* | 9,992 | 483,613 | ||||||
Microsemi Corp.* | 4,990 | 258,582 | ||||||
MKS Instruments, Inc. | 8,196 | 537,658 | ||||||
Monolithic Power Systems, Inc. | 8,100 | 712,557 | ||||||
Nanometrics, Inc.* | 10,332 | 281,134 | ||||||
NVE Corp. | 1,139 | 89,252 | ||||||
Power Integrations, Inc. | 9,622 | 608,110 | ||||||
Rambus, Inc.* | 3,550 | 44,588 | ||||||
Rudolph Technologies, Inc.* | 21,360 | 459,240 | ||||||
Semtech Corp.* | 18,482 | 618,223 | ||||||
Silicon Motion Technology Corp., (Taiwan) ADR | 10,221 | 414,870 | ||||||
Ultra Clean Holdings, Inc.* | 62,770 | 869,365 | ||||||
Ultratech, Inc.* | 2,172 | 62,662 | ||||||
Xcerra Corp.* | 101,110 | 883,701 | ||||||
Xperi Corp. | 1,105 | 39,614 | ||||||
12,854,622 | ||||||||
Software — 6.3% | ||||||||
Amber Road, Inc.* | 70,756 | 533,500 | ||||||
American Software, Inc. | 29,780 | 307,925 | ||||||
Asure Software, Inc.* | 41,620 | 460,317 | ||||||
Blackbaud, Inc. | 2,160 | 154,483 | ||||||
Bottomline Technologies de, Inc.* | 4,003 | 99,875 | ||||||
Box, Inc.* | 12,861 | 226,611 | ||||||
BroadSoft, Inc.* | 13,163 | 563,376 | ||||||
Callidus Software, Inc.* | 21,233 | 400,242 | ||||||
Computer Programs & Systems, Inc. | 29,770 | 800,813 | ||||||
Control4 Corp.* | 12,501 | 186,640 | ||||||
Coupa Software, Inc.* | 14,746 | 390,032 | ||||||
CSG Systems International, Inc. | 23,078 | 909,504 | ||||||
Ebix, Inc. | 2,006 | 125,375 | ||||||
Everbridge, Inc.* | 34,061 | 648,521 | ||||||
Evolent Health, Inc.* | 12,197 | 240,281 | ||||||
Five9, Inc.* | 62,315 | 991,432 | ||||||
HubSpot, Inc.* | 8,665 | 515,568 | ||||||
InnerWorkings, Inc.* | 57,700 | 560,267 | ||||||
j2 Global, Inc. | 1,848 | 150,464 | ||||||
LivePerson, Inc.* | 9,192 | 64,804 | ||||||
Luxoft Holding, Inc., (Switzerland)* | 3,478 | 203,985 | ||||||
Manhattan Associates, Inc.* | 3,806 | 190,871 | ||||||
ManTech International Corp. | 2,301 | 84,263 | ||||||
Medidata Solutions, Inc.* | 10,490 | 586,601 | ||||||
MeetMe, Inc.* | 73,090 | 353,025 | ||||||
MicroStrategy, Inc.* | 3,656 | 701,513 | ||||||
Omnicell, Inc.* | 2,230 | 84,796 | ||||||
PDF Solutions, Inc.* | 14,148 | 302,484 | ||||||
Progress Software Corp. | 5,306 | 152,176 | ||||||
PROS Holdings, Inc.* | 16,676 | 387,383 | ||||||
QAD, Inc. | 21,362 | 586,387 | ||||||
Quality Systems, Inc.* | 3,902 | 59,545 | ||||||
SharpSpring, Inc.* | 41,925 | 216,752 | ||||||
Simulations Plus, Inc. | 55,587 | 536,415 | ||||||
Synchronoss Technologies, Inc.* | 2,561 | 69,352 | ||||||
SYNNEX Corp. | 1,652 | 193,152 | ||||||
Take-Two Interactive Software, Inc.* | 15,145 | 862,962 | ||||||
Talend S.A., (France) ADR* | 18,364 | 497,848 | ||||||
Telenav, Inc.* | 26,373 | 214,940 | ||||||
Twilio, Inc.* | 14,273 | 452,740 | ||||||
Virtusa Corp.* | 4,689 | 145,406 | ||||||
15,212,626 | ||||||||
Telecommunications — 2.4% | ||||||||
ADTRAN, Inc. | 5,633 | 119,138 | ||||||
ATN International, Inc. | 7,091 | 484,953 | ||||||
CalAmp Corp.* | 4,959 | 80,385 | ||||||
Calix, Inc.* | 38,465 | 265,408 | ||||||
Cincinnati Bell, Inc.* | 2,647 | 51,087 | ||||||
Comtech Telecommunications Corp. | 33,394 | 381,026 | ||||||
GTT Communications, Inc.* | 28,955 | 807,844 | ||||||
Iridium Communications, Inc.* | 9,628 | 83,764 | ||||||
LogMeIn, Inc. | 1,382 | 126,799 | ||||||
NETGEAR, Inc.* | 2,616 | 143,357 | ||||||
NeuStar, Inc.* | 8,723 | 289,167 | ||||||
Oclaro, Inc.* | 29,628 | 251,838 | ||||||
ORBCOMM, Inc.* | 100,075 | 857,643 | ||||||
Quantenna Communications, Inc.* | 32,141 | 673,033 | ||||||
RigNet, Inc.* | 18,518 | 326,843 | ||||||
Telephone & Data Systems, Inc. | 21,703 | 586,632 | ||||||
ViaSat, Inc.* | 1,689 | 116,271 |
12
Portfolio of Investments (Concluded)
(Unaudited)
Number of Shares | Value | |||||||
Telecommunications — (Continued) | ||||||||
Viavi Solutions, Inc.* | 23,640 | $ | 236,873 | |||||
5,882,061 | ||||||||
Textiles — 0.7% | ||||||||
G&K Services, Inc. | 693 | 65,489 | ||||||
UniFirst Corp. | 11,646 | 1,550,083 | ||||||
1,615,572 | ||||||||
Transportation — 2.5% | ||||||||
Aegean Marine Petroleum Network, Inc., (Greece) | 15,598 | 157,540 | ||||||
Air Transport Services Group, Inc.* | 98,826 | 1,682,019 | ||||||
ArcBest Corp. | 4,606 | 135,186 | ||||||
Covenant Transportation Group, Inc.* | 34,029 | 681,941 | ||||||
Echo Global Logistics, Inc.* | 2,613 | 57,094 | ||||||
Forward Air Corp. | 16,002 | 792,899 | ||||||
Heartland Express, Inc. | 8,734 | 181,143 | ||||||
Hub Group, Inc.* | 1,570 | 79,285 | ||||||
Knight Transportation, Inc. | 3,275 | 107,092 | ||||||
Marten Transport Ltd. | 2,931 | 71,956 | ||||||
Matson, Inc. | 2,056 | 69,760 | ||||||
Modine Manufacturing Co.* | 18,763 | 212,960 | ||||||
PAM Transportation Services, Inc.* | 20,570 | 374,991 | ||||||
Saia, Inc.* | 4,008 | 193,787 | ||||||
Supreme Industries, Inc. | 19,991 | 390,824 | ||||||
Swift Transportation Co.* | 17,253 | 374,735 | ||||||
USA Truck, Inc.* | 31,190 | 296,617 | ||||||
YRC Worldwide, Inc.* | 15,006 | 192,677 | ||||||
6,052,506 | ||||||||
Trucking & Leasing — 0.1% | ||||||||
Greenbrier Cos, Inc., (The) | 3,222 | 135,485 | ||||||
Water — 0.1% | ||||||||
American States Water Co. | 1,758 | 78,618 | ||||||
California Water Service Group | 1,969 | 72,361 | ||||||
150,979 | ||||||||
TOTAL COMMON STOCKS | ||||||||
(Cost $183,076,713) | 227,869,993 | |||||||
SHORT-TERM INVESTMENTS - 5.5% | ||||||||
STIT-Treasury Portfolio, 0.41% | 13,279,327 | 13,279,327 | ||||||
TOTAL SHORT-TERM INVESTMENTS | ||||||||
(Cost $13,279,327) | 13,279,327 | |||||||
TOTAL INVESTMENTS — 100.1% | ||||||||
(Cost $196,356,040) | 241,149,320 | |||||||
LIABILITIES IN EXCESS OF OTHER ASSETS — (0.1)% | (168,210 | ) | ||||||
NET ASSETS — 100.0% | $ | 240,981,110 |
* | Non-income producing security. |
13
Statement of Assets And Liabilities
ASSETS | ||||
Investments, at value (cost $183,076,713) | $ | 227,869,993 | ||
Short-term investments, at value (cost $13,279,327) | 13,279,327 | |||
Cash | 23,893 | |||
Receivables for: | ||||
Capital shares sold | 2,146,839 | |||
Investments sold | 1,906,609 | |||
Dividends and interest | 87,399 | |||
Prepaid expenses and other assets | 8,317 | |||
Total assets | 245,322,377 | |||
LIABILITIES | ||||
Payables for: | ||||
Investments purchased | 2,957,528 | |||
Investment sub-advisory fees | 151,738 | |||
Capital shares redeemed | 1,150,000 | |||
Administration and accounting services fees | 23,814 | |||
Transfer agent fees | 15,741 | |||
Custodian fees | 4,225 | |||
Other accrued expenses and liabilities | 38,221 | |||
Total liabilities | 4,341,267 | |||
Net Assets | $ | 240,981,110 | ||
NET ASSETS CONSIST OF: | ||||
Par value | $ | 19,544 | ||
Paid-in capital | 197,054,185 | |||
Accumulated net investment income/(loss) | (423,912 | ) | ||
Accumulated net realized gain/(loss) from investments | (461,987 | ) | ||
Net unrealized appreciation/(depreciation) on investments | 44,793,280 | |||
Net Assets | $ | 240,981,110 | ||
CAPITAL SHARES: | ||||
Net Assets | $ | 240,981,110 | ||
Shares outstanding ($0.001 par value, 100,000,000 shares authorized) | 19,544,320 | |||
Net asset value, offering and redemption price per share | $ | 12.33 |
14
Statement of Operations
INVESTMENT INCOME | ||||
Dividends (net of foreign taxes withheld of $2,226) | $ | 1,061,400 | ||
Total investment income | 1,061,400 | |||
EXPENSES | ||||
Sub-advisory fees (Note 2) | 921,058 | |||
Administration and accounting services fees (Note 2) | 72,912 | |||
Transfer agent fees (Note 2) | 26,646 | |||
Custodian fees (Note 2) | 24,668 | |||
Legal fees | 17,059 | |||
Printing and shareholder reporting fees | 14,307 | |||
Audit fees | 14,305 | |||
Directors and officers fees | 8,690 | |||
Registration and filing fees | 6,473 | |||
Other expenses | 17,668 | |||
Total expenses | 1,123,786 | |||
Net investment income/(loss) | (62,386 | ) | ||
NET REALIZED AND UNREALIZED GAIN/(LOSS) FROM INVESTMENTS | ||||
Net realized gain/(loss) from investments and foreign currency transactions | 11,344,938 | |||
Net change in unrealized appreciation/(depreciation) on investments and foreign currency translation | 11,282,238 | |||
Net realized and unrealized gain/(loss) on investments | 22,627,176 | |||
NET INCREASE/(DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ | 22,564,790 |
15
Statements of Changes in Net Assets
For the Six Months Ended February 28, 2017 (Unaudited) | For the Year Ended August 31, 2016 | |||||||
INCREASE/(DECREASE) IN NET ASSETS FROM OPERATIONS: | ||||||||
Net investment income/(loss) | $ | (62,386 | ) | $ | (533,277 | ) | ||
Net realized gain/(loss) from investments and foreign currency transactions | 11,344,938 | (9,320,806 | ) | |||||
Net change in unrealized appreciation/(depreciation) on investments and foreign currency translation | 11,282,238 | 22,883,148 | ||||||
Net increase/(decrease) in net asset resulting from operations | 22,564,790 | 13,029,065 | ||||||
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS FROM: | ||||||||
Net realized capital gains | — | (2,013 | ) | |||||
Net increase/(decrease) in net assets from dividends and distributions to shareholders | — | (2,013 | ) | |||||
CAPITAL SHARE TRANSACTIONS: | ||||||||
Proceeds from shares sold | 6,702,915 | 16,542,077 | ||||||
Reinvestment of distributions | — | 1,857 | ||||||
Shares redeemed | (13,387,340 | ) | (17,404,584 | ) | ||||
Net increase/(decrease) in net assets resulting from net share transactions | (6,684,425 | ) | (860,650 | ) | ||||
Total increase/(decrease) in net assets | 15,880,365 | 12,166,402 | ||||||
NET ASSETS | ||||||||
Beginning of period | 225,100,745 | 212,934,343 | ||||||
End of period | $ | 240,981,110 | $ | 225,100,745 | ||||
Accumulated net investment income/(loss), end of period | $ | (423,912 | ) | $ | (361,526 | ) | ||
SHARE TRANSACTIONS: | ||||||||
Shares sold | 552,078 | 1,675,389 | ||||||
Shares reinvested | — | 180 | ||||||
Shares redeemed | (1,112,598 | ) | (1,680,779 | ) | ||||
Net increase/(decrease) in shares | (560,520 | ) | (5,210 | ) |
16
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. |
For the Six Months Ended February 28, 2017 (Unaudited) | For the Year Ended August 31, 2016 | For the Period October 21, 2014(1) to August 31, 2015 | ||||||||||
Per Share Operating Performance | ||||||||||||
Net asset value, beginning of period | $ | 11.20 | $ | 10.59 | $ | 10.00 | ||||||
Net investment income/(loss)(2) | — | (3) | (0.03 | ) | (0.04 | ) | ||||||
Net realized and unrealized gain/(loss) from investments | 1.13 | 0.64 | 0.63 | |||||||||
Net increase/(decrease) in net assets resulting from operations | 1.13 | 0.61 | 0.59 | |||||||||
Dividends and distributions to shareholders from: | ||||||||||||
Net realized gains | — | — | (3) | — | ||||||||
Total dividends and distributions to shareholders | — | — | — | |||||||||
Net asset value, end of period | $ | 12.33 | $ | 11.20 | $ | 10.59 | ||||||
Total investment return(4) | 10.09 | %(5) | 5.76 | % | 5.90 | %(5) | ||||||
Ratios/Supplemental Data | ||||||||||||
Net assets, end of period (000’s omitted) | $ | 240,981 | $ | 225,101 | $ | 212,934 | ||||||
Ratio of expenses to average net assets | 0.97 | %(6) | 1.15 | % | 1.15 | %(6) | ||||||
Ratio of net investment income/(loss) to average net assets | (0.05 | )%(6) | (0.26 | )% | (0.41 | )%(6) | ||||||
Portfolio turnover rate | 42 | %(5) | 101 | % | 95 | %(5) |
(1) | Commencement of operations. |
(2) | Calculated based on average shares outstanding for the period. |
(3) | Amount represents 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. |
Notes to Financial Statements
● 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). |
Notes to Financial Statements (Continued)
Total Value at February 28, 2017 | Level 1 Quoted Price | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |||||||||||||
Common Stocks | $ | 227,869,993 | $ | 227,711,495 | $ | 158,498 | $ | — | ||||||||
Short-Term Investments | 13,279,327 | 13,279,327 | — | — | ||||||||||||
Total Investments* | $ | 241,149,320 | $ | 240,990,822 | $ | 158,498 | $ | — |
* | Please refer to Portfolio of Investments for further details. |
Notes to Financial Statements (Continued)
Notes to Financial Statements (Continued)
Purchases | Sales |
$93,254,113 | $105,458,158 |
Federal Tax Cost | Gross Unrealized Appreciation | Gross Unrealized (Depreciation) | Net Unrealized Appreciation (Depreciation) |
$196,356,040 | $51,694,002 | $(6,900,722) | $44,793,280 |
* | Because tax adjustments are calculated annually at the end of the Fund’s fiscal year, the above table does not reflect tax adjustments for the current fiscal year. |
Notes to Financial Statements (Concluded)
Undistributed Net Investment Income | Accumulated Net Realized Gain (Loss) | Paid-In Capital |
$778,142 | $(435) | $(777,707) |
Undistributed Ordinary Income | Undistributed Long-Term Gains | Capital Loss Carryforwards | Net Unrealized Appreciation (Depreciation) | Qualified Late-Year Losses |
$— | $— | $(2,109,700) | $32,307,018 | $(8,854,727) |
Late-Year Ordinary Loss Deferral | Short-Term Capital Loss Deferral | Long-Term Capital Loss Deferral |
$329,924 | $8,524,803 | $— |
Other Information
Altair Advisers, LLC
303 West Madison Street, Suite 600
Chicago, IL 60606
U.S. Bancorp Fund Services, LLC
P.O. Box 701
Milwaukee, WI 53201
Quasar Distributors, LLC
777 East Wisconsin Avenue, Floor 6
Milwaukee, WI 53202
U.S. Bank, N.A.
1555 North Rivercenter Drive, Suite 302
Milwaukee, WI 53212
PricewaterhouseCoopers LLP
Two Commerce Square
2001 Market Street, Suite 1800
Philadelphia, PA 19103
Drinker Biddle & Reath LLP
One Logan Square, Ste. 2000
Philadelphia, PA 19103-6996
Management
Growth Fund
February 28, 2017
(Unaudited)
Small Cap Growth Fund
Average Annual Total Returns for the Periods Ended February 28, 2017(1) | |||||
Six Months(2) | One Year | Five Year | Ten Year | Since Inception(3) | |
Institutional Class Shares | 13.52% | 34.90% | 13.58% | 6.56% | 11.36% |
Investor Class Shares | 13.43% | 34.76% | 13.46% | 6.46% | 11.26% |
Russell 2000® Index | 12.61% | 36.11% | 12.89% | 7.22% | 8.42% |
(1) | Bogle Investment Management, L.P. (the “Adviser” or “Bogle”) waived a portion of its advisory fee and agreed to reimburse a portion of the Bogle Investment Management Small Cap Growth Fund (the “Fund”)’s operating expenses, if necessary, to maintain the expense limitation as set forth in the notes to the financial statements. Total returns shown include fee waivers and expense reimbursements, if any; total returns would have been lower had there been no waivers and reimbursements of fees and expenses in excess of expense limitations. Returns shown include the reinvestment of all dividends and other distributions. Past performance is not predictive of future performance. Investment return and principal value will fluctuate, so that your shares, when redeemed, may be worth more or less than their original cost. |
(2) | Not annualized. |
(3) | For the period October 1, 1999 (commencement of operations) through February 28, 2017. |
Small Cap Growth Fund
Institutional Class | |||
Beginning Account Value September 1, 2016 | Ending Account Value February 28, 2017 | Expenses Paid During Period* | |
Actual | $1,000.00 | $1,135.20 | $6.62 |
Hypothetical (5% return before expenses) | 1,000.00 | 1,018.60 | 6.26 |
Investor Class** | |||
Beginning Account Value September 1, 2016 | Ending Account Value February 28, 2017 | Expenses Paid During Period* | |
Actual | $1,000.00 | $1,134.30 | $6.99 |
Hypothetical (5% return before expenses) | 1,000.00 | 1,018.25 | 6.61 |
* | Expenses are equal to the Fund’s annualized six-month expense ratio of 1.25% for the Institutional Class and 1.32% 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 (181) in the most recent fiscal half-year, then divided by 365 to reflect the one-half year period. The Fund’s ending account values on the first line in each table are based on the actual six-month total investment return for each class of 13.52% for the Institutional Class and 13.43% for the Investor Class. |
** | Effective December 31, 2016, the shareholder servicing plan was terminated. |
Small Cap Growth Fund
Security Type & Sector CLASSIFICATION | % of Net Assets | Value |
Common Stocks: | ||
Finance | 24.2% | $ 27,512,870 |
Electronic Technology | 11.6 | 13,167,240 |
Technology Services | 9.8 | 11,150,457 |
Health Technology | 9.4 | 10,640,095 |
Producer Manufacturing | 6.4 | 7,242,218 |
Process Industries | 5.5 | 6,234,979 |
Consumer Services | 5.2 | 5,870,104 |
Non-Energy Minerals | 3.2 | 3,673,835 |
Retail Trade | 3.1 | 3,490,147 |
Commercial Services | 2.9 | 3,308,619 |
Utilities | 2.7 | 3,078,636 |
Energy Minerals | 2.6 | 2,987,463 |
Distribution Services | 2.5 | 2,788,521 |
Consumer Non-Durables | 2.2 | 2,501,474 |
Health Services | 2.0 | 2,224,424 |
Consumer Durables | 1.9 | 2,123,043 |
Communications | 1.5 | 1,802,065 |
Transportation | 0.9 | 1,036,891 |
Industrial Services | 0.6 | 712,197 |
Short-Term Investments | 1.6 | 1,806,581 |
Other Assets in Excess of Liabilities | 0.2 | 200,757 |
Net Assets | 100.0% | $ 113,552,616 |
3
Small Cap Growth Fund
Number of Shares | Value | |||||||
Common Stocks—98.2% | ||||||||
Commercial Services—2.9% | ||||||||
Bankrate, Inc.* | 8,158 | $ | 88,922 | |||||
Brinks Co., (The) | 1,257 | 67,186 | ||||||
Civeo Corp.* | 83,520 | 293,155 | ||||||
Realogy Holdings Corp. | 37,213 | 1,030,800 | ||||||
Travelport Worldwide Ltd. | 63,332 | 804,316 | ||||||
Viad Corp. | 21,700 | 1,024,240 | ||||||
3,308,619 | ||||||||
Communications—1.5% | ||||||||
ShoreTel, Inc.* | 109,861 | 714,097 | ||||||
Telephone & Data Systems, Inc. | 13,892 | 375,501 | ||||||
TIM Participacoes SA, ADR | 45,936 | 712,467 | ||||||
1,802,065 | ||||||||
Consumer Durables—1.9% | ||||||||
Scientific Games Corp., Class A* | 645 | 13,319 | ||||||
Taylor Morrison Home Corp., Class A* | 55,781 | 1,122,872 | ||||||
Thor Industries, Inc. | 8,905 | 986,852 | ||||||
2,123,043 | ||||||||
Consumer Non-Durables—2.2% | ||||||||
Caleres, Inc. | 2,093 | 62,518 | ||||||
Central Garden & Pet Co.* | 3,407 | 114,986 | ||||||
Central Garden & Pet Co., Class A* | 11,345 | 362,473 | ||||||
Universal Corp/VA | 14,803 | 1,002,163 | ||||||
Vector Group Ltd. | 42,113 | 959,334 | ||||||
2,501,474 | ||||||||
Consumer Services—5.2% | ||||||||
Ascent Capital Group, Inc., Class A* | 2,970 | 47,668 | ||||||
Capella Education Co. | 3,395 | 258,360 | ||||||
Career Education Corp.* | 4,351 | 36,244 | ||||||
Grand Canyon Education, Inc.* | 12,717 | 780,569 | ||||||
Houghton Mifflin Harcourt Co.* | 42,098 | 465,183 | ||||||
International Game Technology PLC | 13,980 | 377,460 | ||||||
K12, Inc.* | 52,598 | 939,400 | ||||||
La Quinta Holdings, Inc.* | 92,237 | 1,278,405 | ||||||
Liberty TripAdvisor Holdings, Inc., Class A* | 49,711 | 668,613 | ||||||
Tribune Media Co., Class A | 29,496 | 1,018,202 | ||||||
5,870,104 | ||||||||
Distribution Services—2.5% | ||||||||
Applied Industrial Technologies, Inc. | 13,243 | 834,971 | ||||||
MRC Global, Inc.* | 51,080 | 1,032,327 | ||||||
WESCO International, Inc.* | 13,255 | 921,223 | ||||||
2,788,521 | ||||||||
Electronic Technology—11.6% | ||||||||
Alpha & Omega Semiconductor Ltd.* | 3,889 | 74,902 | ||||||
Benchmark Electronics, Inc.* | 31,622 | 983,444 | ||||||
Brooks Automation, Inc. | 55,698 | 1,161,860 | ||||||
Cirrus Logic, Inc.* | 4,568 | 247,037 | ||||||
CyberOptics Corp.* | 3,335 | 114,724 | ||||||
EMCORE Corp. | 1,622 | 14,517 | ||||||
Entegris, Inc.* | 62,086 | 1,316,223 | ||||||
Fabrinet* | 24,822 | 1,031,354 | ||||||
Finisar Corp.* | 50,515 | 1,691,242 | ||||||
II-VI, Inc.* | 26,178 | 931,937 | ||||||
Kemet Corp.* | 8,849 | 95,835 | ||||||
Keysight Technologies, Inc.* | 20,620 | 775,312 | ||||||
Kulicke & Soffa Industries, Inc.* | 56,802 | 1,162,737 | ||||||
Nanometrics, Inc.* | 40,189 | 1,093,543 | ||||||
Orbotech Ltd.* | 6,711 | 202,337 | ||||||
Plexus Corp.* | 12,856 | 720,836 | ||||||
Rudolph Technologies, Inc.* | 8,412 | 180,858 | ||||||
TTM Technologies, Inc.* | 70,089 | 1,132,638 | ||||||
Ultra Clean Holdings, Inc.* | 1,231 | 17,049 | ||||||
Veeco Instruments, Inc.* | 8,002 | 218,855 | ||||||
13,167,240 | ||||||||
Energy Minerals—2.6% | ||||||||
Resolute Energy Corp.* | 45,318 | 2,109,553 | ||||||
Sanchez Energy Corp.* | 76,340 | 877,910 | ||||||
2,987,463 | ||||||||
Finance—24.2% | ||||||||
Ambac Financial Group, Inc.* | 8,334 | 184,182 | ||||||
Assured Guaranty Ltd. | 21,700 | 892,087 | ||||||
Avis Budget Group, Inc.* | 13,250 | 458,185 | ||||||
Bank of NT Butterfield & Son Ltd., (The) | 2,995 | 97,637 | ||||||
Berkshire Hills Bancorp, Inc. | 6,544 | 231,330 | ||||||
Central Pacific Financial Corp. | 25,754 | 813,311 | ||||||
CNO Financial Group, Inc. | 26,380 | 551,606 | ||||||
East West Bancorp, Inc. | 27,552 | 1,491,114 | ||||||
Enova International, Inc.* | 29,584 | 424,530 | ||||||
Enterprise Financial Services Corp. | 27,495 | 1,208,405 | ||||||
ePlus, Inc.* | 9,268 | 1,176,573 | ||||||
Essent Group Ltd.* | 28,279 | 984,392 | ||||||
EZCORP, Inc., Class A* | 24,321 | 214,025 | ||||||
First BanCorp Puerto Rico* | 268,089 | 1,710,408 |
Small Cap Growth Fund
Number of Shares | Value | |||||||
Finance—(continued) | ||||||||
Genworth Financial, Inc., Class A* | 245,199 | $ | 1,002,864 | |||||
Green Dot Corp., Class A* | 42,088 | 1,233,599 | ||||||
Health Insurance Innovations, Inc., Class A* | 14,591 | 261,908 | ||||||
Heartland Financial USA, Inc. | 10,999 | 545,000 | ||||||
Herc Holdings, Inc.* | 23,742 | 1,227,224 | ||||||
Hertz Global Holdings, Inc.* | 48,970 | 1,112,598 | ||||||
HFF, Inc., Class A | 33,286 | 986,930 | ||||||
Independent Bank Group, Inc. | 5,125 | 324,413 | ||||||
International Bancshares Corp. | 11,447 | 435,558 | ||||||
LPL Financial Holdings, Inc. | 26,444 | 1,045,596 | ||||||
McGrath RentCorp | 21,022 | 791,058 | ||||||
National Bank Holdings Corp., Class A | 16,243 | 535,857 | ||||||
Nelnet, Inc. | 19,112 | 856,027 | ||||||
Ocwen Financial Corp.* | 25,264 | 111,414 | ||||||
OFG Bancorp | 114,361 | 1,475,257 | ||||||
PennyMac Financial Services, Inc., Class A* | 26,562 | 474,132 | ||||||
PHH Corp.* | 18,667 | 235,578 | ||||||
Popular, Inc. | 33,508 | 1,476,362 | ||||||
Reinsurance Group of America, Inc. | 5,910 | 768,655 | ||||||
Union Bankshares Corp. | 13,207 | 478,886 | ||||||
United Community Banks, Inc. | 33,127 | 957,039 | ||||||
Voya Financial, Inc. | 17,927 | 739,130 | ||||||
27,512,870 | ||||||||
Health Services—2.0% | ||||||||
INC Research Holdings, Inc., Class A* | 7,562 | 330,081 | ||||||
LHC Group, Inc.* | 8,643 | 415,037 | ||||||
Quorum Health Corp.* | 75,582 | 646,226 | ||||||
WellCare Health Plans, Inc.* | 5,900 | 833,080 | ||||||
2,224,424 | ||||||||
Health Technology—9.4% | ||||||||
Achillion Pharmaceuticals, Inc.* | 67,984 | 272,616 | ||||||
AngioDynamics, Inc.* | 32,909 | 538,062 | ||||||
Array BioPharma, Inc.* | 166,290 | 1,912,335 | ||||||
Cardiovascular Systems, Inc.* | 2,411 | 68,472 | ||||||
Chimerix, Inc.* | 21,717 | 123,353 | ||||||
Clovis Oncology, Inc.* | 17,200 | 994,332 | ||||||
Emergent BioSolutions, Inc.* | 9,900 | 310,662 | ||||||
Exelixis, Inc.* | 74,227 | 1,598,107 | ||||||
Genomic Health, Inc.* | 36,204 | 1,092,999 | ||||||
Glaukos Corp.* | 25,876 | 1,177,358 | ||||||
Infinity Pharmaceuticals, Inc.* | 332 | 923 | ||||||
Intra-Cellular Therapies, Inc.* | 15,238 | 198,856 | ||||||
Lantheus Holdings, Inc.* | 9,027 | 115,546 | ||||||
Ophthotech Corp.* | 78,488 | 280,987 | ||||||
OraSure Technologies, Inc.* | 65,743 | 736,979 | ||||||
Orthofix International N.V.* | 3,386 | 120,914 | ||||||
Supernus Pharmaceuticals, Inc.* | 20,087 | 516,236 | ||||||
Syneron Medical Ltd.* | 11,338 | 105,443 | ||||||
Vanda Pharmaceuticals, Inc.* | 2,805 | 39,971 | ||||||
Xencor, Inc.* | 17,543 | 435,944 | ||||||
10,640,095 | ||||||||
Industrial Services—0.6% | ||||||||
Advanced Disposal Services, Inc.* | 30,111 | 658,829 | ||||||
Casella Waste Systems, Inc., Class A* | 3,203 | 37,411 | ||||||
Goldfield Corp., (The)* | 2,201 | 15,957 | ||||||
712,197 | ||||||||
Non-Energy Minerals—3.2% | ||||||||
Coeur Mining, Inc.* | 124,782 | 1,071,877 | ||||||
Gerdau SA, SP ADR | 219,746 | 894,366 | ||||||
Hudbay Minerals, Inc. | 13,260 | 102,765 | ||||||
Louisiana-Pacific Corp.* | 39,525 | 932,000 | ||||||
Mechel PJSC, SP ADR* | 73,502 | 357,955 | ||||||
Ternium SA, SP ADR | 11,873 | 314,872 | ||||||
3,673,835 | ||||||||
Process Industries—5.5% | ||||||||
Chemours Co., (The) | 49,495 | 1,666,002 | ||||||
Koppers Holdings, Inc.* | 31,018 | 1,360,139 | ||||||
Trinseo SA | 24,986 | 1,727,782 | ||||||
Tronox Ltd., Class A | 85,462 | 1,481,056 | ||||||
6,234,979 | ||||||||
Producer Manufacturing—6.4% | ||||||||
Allison Transmission Holdings, Inc. | 25,274 | 909,359 | ||||||
CECO Environmental Corp. | 1,263 | 14,272 | ||||||
Chart Industries, Inc.* | 29,983 | 1,067,095 | ||||||
Cooper-Standard Holdings, Inc.* | 5,793 | 648,816 | ||||||
EnerSys | 2,751 | 211,084 | ||||||
Harsco Corp.* | 4,037 | 56,922 | ||||||
Oshkosh Corp. | 13,290 | 902,258 | ||||||
Spartan Motors, Inc. | 5,633 | 37,459 | ||||||
Stoneridge, Inc.* | 36,214 | 611,654 | ||||||
Tenneco, Inc.* | 15,796 | 1,015,841 | ||||||
Tower International, Inc. | 38,910 | 1,075,862 | ||||||
Visteon Corp.* | 7,463 | 691,596 | ||||||
7,242,218 |
5
Small Cap Growth Fund
Number of Shares | Value | |||||||
Retail Trade—3.1% | ||||||||
Asbury Automotive Group, Inc.* | 15,621 | $ | 1,017,708 | |||||
Group 1 Automotive, Inc. | 12,340 | 958,695 | ||||||
Office Depot, Inc. | 101,294 | 422,396 | ||||||
PCM, Inc.* | 9,680 | 260,392 | ||||||
Penske Automotive Group, Inc. | 16,520 | 830,956 | ||||||
3,490,147 | ||||||||
Technology Services—9.8% | ||||||||
A10 Networks, Inc.* | 76 | 719 | ||||||
Barracuda Networks, Inc.* | 4,357 | 103,087 | ||||||
Brightcove, Inc.* | 5,389 | 45,268 | ||||||
Carbonite, Inc.* | 13,738 | 267,204 | ||||||
ChannelAdvisor Corp.* | 11,283 | 121,292 | ||||||
EVERTEC, Inc. | 68,129 | 1,147,974 | ||||||
FireEye, Inc.* | 95,868 | 1,079,474 | ||||||
Instructure, Inc.* | 9,107 | 208,550 | ||||||
Jack Henry & Associates, Inc. | 5,873 | 550,711 | ||||||
MeetMe, Inc.* | 23,244 | 112,268 | ||||||
MicroStrategy, Inc., Class A* | 5,016 | 962,470 | ||||||
Mimecast Ltd.* | 8,216 | 161,691 | ||||||
Progress Software Corp. | 36,355 | 1,042,661 | ||||||
Proofpoint, Inc.* | 12,515 | 985,807 | ||||||
RealPage, Inc.* | 27,833 | 939,364 | ||||||
Rubicon Project, Inc., (The)* | 57,595 | 503,380 | ||||||
Splunk, Inc.* | 11,289 | 696,870 | ||||||
Square, Inc., Class A* | 68,222 | 1,181,605 | ||||||
Varonis Systems, Inc.* | 8,793 | 240,928 | ||||||
Veeva Systems, Inc., Class A* | 18,291 | 799,134 | ||||||
11,150,457 | ||||||||
Transportation—0.9% | ||||||||
Swift Transportation Co.* | 47,739 | 1,036,891 | ||||||
Utilities—2.7% | ||||||||
Cia de Saneamento Basico do Estado de Sao Paulo, ADR | 72,965 | 772,699 | ||||||
CPFL Energia SA, ADR | 44,088 | 717,312 | ||||||
NRG Energy, Inc. | 53,550 | 886,788 | ||||||
Pampa Energia SA, SP ADR* | 15,334 | 701,837 | ||||||
3,078,636 | ||||||||
TOTAL COMMON STOCKS | ||||||||
(Cost $100,584,197) | 111,545,278 | |||||||
Short-Term Investments—1.6% | ||||||||
Fidelity Investments Money Market Funds - Government Portfolio, 0.45% | 1,806,581 | |||||||
TOTAL SHORT-TERM INVESTMENTS | ||||||||
(Cost $1,806,581) | 1,806,581 | |||||||
Total Investments—99.8% | ||||||||
(Cost $102,390,778) | 113,351,859 | |||||||
Other Assets in Excess of Liabilities—0.2% | 200,757 | |||||||
Net Assets—100.0% | $ | 113,552,616 |
* | Non-income producing. |
6
Small Cap Growth Fund
Assets | ||||
Investments, at value (cost $100,584,197) | $ | 111,545,278 | ||
Short-term investments, at value (cost $1,806,581) | 1,806,581 | |||
Cash | 81,446 | |||
Receivables for: | ||||
Investments sold | 6,493,477 | |||
Capital shares sold | 41,825 | |||
Dividends and interest | 39,325 | |||
Prepaid expenses and other assets | 21,258 | |||
Total assets | 120,029,190 | |||
Liabilities | ||||
Payables for: | ||||
Investments purchased | 5,990,803 | |||
Capital shares redeemed | 331,809 | |||
Investment advisory fees | 83,159 | |||
Other accrued expenses and liabilities | 70,803 | |||
Total liabilities | 6,476,574 | |||
Net assets | $ | 113,552,616 | ||
Net Assets Consist of: | ||||
Capital stock, $0.001 par value | $ | 1,227 | ||
Paid-in capital | 102,282,837 | |||
Accumulated net investment income/(loss) | (841,631 | ) | ||
Accumulated net realized gain/(loss) from investments | 1,149,102 | |||
Net unrealized appreciation/(depreciation) on investments | 10,961,081 | |||
Net assets | $ | 113,552,616 | ||
Institutional Class | ||||
Net assets | $ | 37,611,912 | ||
Shares outstanding ($0.001 par value, 100,000,000 shares authorized) | 1,227,393 | |||
Net asset value, offering and redemption price per share | $ | 30.64 | ||
Investor Class | ||||
Net assets | $ | 75,940,704 | ||
Shares outstanding ($0.001 par value, 100,000,000 shares authorized) | 2,540,435 | |||
Net asset value, offering and redemption price per share | $ | 29.89 |
7
Small Cap Growth Fund
Investment Income | ||||
Dividends and interest (net of foreign taxes withheld of $3,806) | $ | 351,826 | ||
Total investment income | 351,826 | |||
Expenses | ||||
Advisory fees (Note 2) | 599,781 | |||
Transfer agent fees (Note 2) | 43,538 | |||
Administration and accounting services fees (Note 2) | 36,924 | |||
Shareholder servicing fees (Investor Class) (Note 2) | 24,814 | |||
Directors and officers fees | 23,041 | |||
Custodian fees (Note 2) | 21,054 | |||
Audit fees | 18,857 | |||
Printing and shareholder reporting fees | 17,035 | |||
Registration and filing fees | 14,084 | |||
Legal fees | 12,558 | |||
Insurance fees | 4,292 | |||
Other expenses | 8,872 | |||
Total expenses before waivers | 824,850 | |||
Less: waivers | (50,310 | ) | ||
Net expenses after waivers | 774,540 | |||
Net investment income/(loss) | (422,714 | ) | ||
Net Realized and Unrealized Gain/(Loss) from Investments | ||||
Net realized gain/(loss) from investments | 9,724,173 | |||
Net change in unrealized appreciation/(depreciation) on investments | 6,205,752 | |||
Net realized and unrealized gain/(loss) on investments | 15,929,925 | |||
Net Increase/(Decrease) in Net Assets Resulting from Operations | $ | 15,507,211 |
8
Small Cap Growth Fund
For the Six Months Ended February 28, 2017 (Unaudited) | For the Year Ended August 31, 2016 | |||||||
Increase/(Decrease) in Net Asset From Operations: | ||||||||
Net investment income/(loss) | $ | (422,714 | ) | $ | (804,119 | ) | ||
Net realized gain/(loss) from investments | 9,724,173 | (7,938,156 | ) | |||||
Net change in unrealized appreciation/(depreciation) on investments | 6,205,752 | 12,424,986 | ||||||
Net increase/(decrease) in net assets resulting from operations | 15,507,211 | 3,682,711 | ||||||
Dividends and Distributions to Shareholders From: | ||||||||
Net realized capital gains | ||||||||
Institutional Class | — | (10,939,694 | ) | |||||
Investor Class | — | (11,919,482 | ) | |||||
Net decrease in net assets from dividends and distributions to shareholders | — | (22,859,176 | ) | |||||
Increase/(Decrease) in Net Assets Derived From Capital Share Transactions: | ||||||||
Institutional Class | ||||||||
Proceeds from shares sold | 1,547,969 | 6,165,268 | ||||||
Reinvestment of distributions | — | 10,728,856 | ||||||
Distributions for shares redeemed | (27,164,541 | ) | (38,278,961 | ) | ||||
Total from Institutional Class | (25,616,572 | ) | (21,384,837 | ) | ||||
Investor Class | ||||||||
Proceeds from shares sold | 1,437,439 | 3,273,217 | ||||||
Reinvestment of distributions | — | 11,325,577 | ||||||
Distributions for shares redeemed | (7,186,583 | ) | (24,893,410 | ) | ||||
Total from Investor Class | (5,749,144 | ) | (10,294,616 | ) | ||||
Net increase/(decrease) in net assets from capital share transactions | (31,365,716 | ) | (31,679,453 | ) | ||||
Total increase/(decrease) in net assets | (15,858,505 | ) | (50,855,918 | ) | ||||
Net Assets: | ||||||||
Beginning of period | 129,411,121 | 180,267,039 | ||||||
End of period | $ | 113,552,616 | $ | 129,411,121 | ||||
Accumulated net investment income/(loss), end of period | $ | (841,631 | ) | $ | (418,917 | ) |
9
Small Cap Growth Fund
For the Six Months Ended February 28, 2017 (Unaudited) | For the Year Ended August 31, 2016 | |||||||
Increase/(Decrease) in Shares Outstanding Derived From Share Transactions: | ||||||||
Institutional Class | ||||||||
Shares sold | 52,304 | 245,541 | ||||||
Shares reinvested | — | 419,916 | ||||||
Shares redeemed | (942,772 | ) | (1,484,001 | ) | ||||
Total from Institutional Class | (890,468 | ) | (818,544 | ) | ||||
Investor Class | ||||||||
Shares sold | 50,873 | 134,056 | ||||||
Shares reinvested | — | 453,931 | ||||||
Shares redeemed | (251,833 | ) | (981,899 | ) | ||||
Total from Investor Class | (200,960 | ) | (393,912 | ) | ||||
Net increase/(decrease) in shares outstanding derived from share transactions | (1,091,428 | ) | (1,212,456 | ) |
10
Small Cap Growth Fund
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 2/28/17 (Unaudited) | For the Year Ended 8/31/16 | 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 | |||||||||||||||||||
Per Share Operating Performance | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 27.00 | $ | 30.00 | $ | 38.07 | $ | 29.49 | $ | 21.76 | $ | 19.38 | ||||||||||||
Net investment income/(loss)* | (0.09 | ) | (0.13 | ) | (0.18 | ) | (0.23 | ) | 0.10 | (0.04 | ) | |||||||||||||
Net realized and unrealized gain/(loss) from investments | 3.73 | 1.21 | (3.09 | ) | 8.87 | 7.63 | 2.42 | |||||||||||||||||
Net increase/(decrease) in net assets resulting from operations | 3.64 | 1.08 | (3.27 | ) | 8.64 | 7.73 | 2.38 | |||||||||||||||||
Dividends and distributions to shareholders from: | ||||||||||||||||||||||||
Net investment income | — | — | — | (0.06 | ) | — | — | |||||||||||||||||
Net realized capital gains | — | (4.08 | ) | (4.80 | ) | — | — | — | ||||||||||||||||
Total dividends and distributions to shareholders | — | (4.08 | ) | (4.80 | ) | (0.06 | ) | — | — | |||||||||||||||
Net asset value, end of period | $ | 30.64 | $ | 27.00 | $ | 30.00 | $ | 38.07 | $ | 29.49 | $ | 21.76 | ||||||||||||
Total investment return(1) | 13.52 | %(4) | 4.37 | % | (8.99 | )% | 29.34 | % | 35.52 | % | 12.28 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (000’s omitted) | $ | 37,612 | $ | 57,180 | $ | 88,086 | $ | 117,923 | $ | 98,898 | $ | 48,526 | ||||||||||||
Ratio of expenses to average net assets with waivers and reimbursements | 1.25 | %(3) | 1.25 | % | 1.25 | % | 1.25 | % | 1.25 | % | 1.25 | % | ||||||||||||
Ratio of expenses to average net assets without waivers and reimbursements(2) | 1.33 | %(3) | 1.42 | % | 1.35 | % | 1.32 | % | 1.39 | % | 1.51 | % | ||||||||||||
Ratio of net investment income/(loss) to average net assets | (0.65 | )%(3) | (0.50 | )% | (0.53 | )% | (0.66 | )% | 0.37 | % | (0.21 | )% | ||||||||||||
Portfolio turnover rate | 185.46 | %(4) | 380.45 | % | 196.15 | % | 175.06 | % | 237.59 | % | 288.88 | % |
* | 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) | During the period, certain fees were waived and/or reimbursed. If such fee waivers and/or reimbursements had not occurred, the ratios would have been as indicated (See Note 2). |
(3) | Annualized. |
(4) | Not annualized. |
Small Cap Growth Fund
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 2/28/17 (Unaudited) | For the Year Ended 8/31/16 | 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 | |||||||||||||||||||
Per Share Operating Performance | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 26.35 | $ | 29.40 | $ | 37.45 | $ | 29.00 | $ | 21.42 | $ | 19.10 | ||||||||||||
Net investment income/(loss)* | (0.10 | ) | (0.15 | ) | (0.21 | ) | (0.26 | ) | 0.07 | (0.07 | ) | |||||||||||||
Net realized and unrealized gain/(loss) from investments | 3.64 | 1.18 | (3.04 | ) | 8.74 | 7.51 | 2.39 | |||||||||||||||||
Net increase/(decrease) in net assets resulting from operations | 3.54 | 1.03 | (3.25 | ) | 8.48 | 7.58 | 2.32 | |||||||||||||||||
Dividends and distributions to shareholders from: | ||||||||||||||||||||||||
Net investment income | — | — | — | (0.03 | ) | — | — | |||||||||||||||||
Net realized capital gains | — | (4.08 | ) | (4.80 | ) | — | — | — | ||||||||||||||||
Total dividends and distributions to shareholders | — | (4.08 | ) | (4.80 | ) | (0.03 | ) | — | — | |||||||||||||||
Net asset value, end of period | $ | 29.89 | $ | 26.35 | $ | 29.40 | $ | 37.45 | $ | 29.00 | $ | 21.42 | ||||||||||||
Total investment return(1) | 13.43 | %(4) | 4.29 | % | (9.09 | )% | 29.28 | % | 35.39 | % | 12.15 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (000’s omitted) | $ | 75,941 | $ | 72,231 | $ | 92,181 | 116,669 | $ | 77,584 | $ | 58,011 | |||||||||||||
Ratio of expenses to average net assets with waivers and reimbursements | 1.32 | %(3) | 1.35 | % | 1.35 | % | 1.35 | % | 1.35 | % | 1.35 | % | ||||||||||||
Ratio of expenses to average net assets without waivers and reimbursements(2) | 1.40 | %(3) | 1.52 | % | 1.45 | % | 1.43 | % | 1.49 | % | 1.60 | % | ||||||||||||
Ratio of net investment income/(loss) to average net assets | (0.74 | )%(3) | (0.60 | )% | (0.63 | )% | (0.76 | )% | 0.27 | % | (0.36 | )% | ||||||||||||
Portfolio turnover rate | 185.46 | %(4) | 380.45 | % | 196.15 | % | 175.06 | % | 237.59 | % | 288.88 | % |
* | 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) | During the period, certain fees were waived and/or reimbursed. If such fee waivers and/or reimbursements had not occurred, the ratios would have been as indicated (See Note 2). |
(3) | Annualized. |
(4) | Not annualized. |
12
Small Cap Growth Fund
● 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). |
Total Value at February 28, 2017 | Level 1 Quoted Price | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |||||||||||||
Common Stocks | $ | 111,545,278 | $ | 111,545,278 | $ | — | $ | — | ||||||||
Short-Term Investments | 1,806,581 | 1,806,581 | — | — | ||||||||||||
Total Investments* | $ | 113,351,859 | $ | 113,351,859 | $ | — | $ | — |
* | See Portfolio of Investments for detail on portfolio holdings. |
Small Cap Growth Fund
Small Cap Growth Fund
Gross Advisory Fees | Waivers | Net Advisory Fees |
$599,781 | $50,310 | $549,471 |
Small Cap Growth Fund
Purchases | Sales |
$218,120,570 | $249,056,313 |
Federal Tax Cost | Unrealized Appreciation | Unrealized (Depreciation) | Net Unrealized Appreciation/ (Depreciation) |
$102,390,778 | $14,944,711 | $(3,983,630) | $10,961,081 |
* | Because tax adjustments are calculated annually at the end of the Fund’s fiscal year, the above table does not reflect tax adjustments for the current fiscal year. |
Small Cap Growth Fund
Undistributed Net Investment Income | Accumulated Net Realized Gain/(Loss) | Paid-In Capital |
$796,483 | $(29,367) | $(767,116) |
Capital Loss Carryforward | Undistributed Ordinary Income | Undistributed Long-Term Gains | Unrealized Appreciation/ (Depreciation) | Qualified Late-Year Loss Deferral |
$(3,655,064) | $— | $— | $(3,375,937) | $(3,959,532) |
Ordinary Income | Long-Term Gains |
$3,127 | $22,856,049 |
Late-Year Ordinary Loss Deferral | Short-Term Capital Loss Deferral | Long-Term Capital Loss Deferral |
$418,917 | $1,570,778 | $1,969,837 |
Small Cap Growth Fund
Small Cap Growth Fund
Bogle Investment Management, L.P.
2310 Washington Street
Suite 310
Newton Lower Falls, MA 02462
U.S. Bancorp Fund Services, LLC
P.O. Box 701
Milwaukee, WI 53201
Quasar Distributors, LLC
777 East Wisconsin Avenue, Floor 6
Milwaukee, WI 53202
U.S. Bank, N.A.
1555 North Rivercenter Drive, Suite 302
Milwaukee, WI 53212
PricewaterhouseCoopers LLP
Two Commerce Square, Suite 1800
2001 Market Street
Philadelphia, PA 19103-7042
Drinker Biddle & Reath LLP
One Logan Square
Ste. 2000
Philadelphia, PA 19103-6996
BOSTON PARTNERS INVESTMENT FUNDS |
General Market Commentary | 1 |
Total Returns for the Period Ended February 28, 2017 | 2 |
Fund Expense Examples | 4 |
Portfolio Holdings Summary Tables | 6 |
Portfolio of Investments | 9 |
Statements of Assets and Liabilities | 44 |
Statements of Operations | 46 |
Statements of Changes in Net Assets | 48 |
Financial Highlights | 52 |
Notes to Financial Statements | 56 |
Other Information | 68 |
Privacy Notice | 69 |
BOSTON PARTNERS INVESTMENT FUNDS |
GENERAL MARKET COMMENTARY |
1) | A strong economic backdrop with GDP advancing by 3.5% during Q3 2016 (biggest gain since Q3 2014) and by 2.1% during Q4. |
2) | The end of the five quarter “earnings recession” with year-over-year earnings per share (EPS) growth for the S&P 500 of 2.86% for Q3 and 5.04% for Q4. |
3) | A continuation of the “reflation trade” which began with the election of Donald Trump to the presidency and the prospect of his growth initiatives of tax relief, reduced regulation and fiscal stimulus coming to fruition. |
Semi-Annual Report 2017 | 1 |
BOSTON PARTNERS INVESTMENT FUNDS |
Total Returns for the Periods Ended February 28, 2017 (unaudited) |
Average Annual | |||||
Six Month | 1 Year | 5 Year | 10 Year | Since Inception | |
Boston Partners Small Cap Value Fund II | |||||
Institutional Class | 12.52% | 35.85% | 13.86% | 7.98% | N/A |
Investor Class | 12.39% | 35.48% | 13.58% | 7.71% | N/A |
Russell 2000® Value Index | 15.80% | 41.29% | 13.43% | 6.31% | N/A |
Russell 2000® Index(1) | 12.61% | 36.11% | 12.89% | 7.22% | N/A |
1 This is not a primary benchmark of the Fund. Results of the index performance are presented for general comparative purposes. | |||||
Boston Partners Long/Short Equity Fund | |||||
Institutional Class | 10.45% | 20.66% | 8.43% | 11.01% | N/A |
Investor Class | 10.32% | 20.35% | 8.17% | 10.68% | N/A |
S&P 500® Index | 10.01% | 24.98% | 14.01% | 7.62% | N/A |
Boston Partners Long/Short Research Fund | |||||
Institutional Class(1) | 4.60% | 12.03% | 7.92% | N/A | 8.78% |
S&P 500® Index | 10.01% | 24.98% | 14.01% | N/A | 14.44%(3) |
Investor Class(2) | 4.47% | 11.69% | 7.63% | N/A | 8.06% |
S&P 500® Index | 10.01% | 24.98% | 14.01% | N/A | 14.05%(3) |
1 Inception date September 30, 2010 2 Inception date November 29, 2010 3 Index performance is from Inception date of the Class only and is not the inception date of the index itself. | |||||
Boston Partners All-Cap Value Fund | |||||
Institutional Class | 10.79% | 30.42% | 15.06% | 9.10% | N/A |
Investor Class | 10.68% | 30.14% | 14.83% | 8.85% | N/A |
Russell 3000® Value Index | 11.42% | 30.02% | 13.97% | 6.21% | N/A |
Russell 3000® Index(1) | 10.29% | 26.29% | 13.85% | 7.64% | N/A |
1 This is not a primary benchmark of the Fund. Results of the index performance are presented for general comparative purposes. | |||||
WPG Partners Small/Micro Cap Value Fund | |||||
Institutional Class | 10.20% | 32.62% | 8.98% | 4.42% | N/A |
Russell 2000® Value Index | 15.80% | 41.29% | 13.43% | 6.31% | N/A |
Boston Partners Global Equity Fund | |||||
Institutional Class(1) | 6.99% | 22.99% | 10.90% | N/A | 12.44% |
MSCI World Index | 5.05% | 16.57% | 4.70% | N/A | 6.72%(2) |
1 Inception date December 30, 2011 2 Index performance is from Inception date of the Fund only and is not the inception date of the index itself. | |||||
Boston Partners Global Long/Short Fund | |||||
Institutional Class(1) | 3.06% | 8.75% | N/A | N/A | 3.88% |
MSCI World Index | 5.05% | 16.57% | N/A | N/A | -0.23%(3) |
Investor Class(2) | 2.90% | 8.40% | N/A | N/A | 4.52% |
MSCI World Index | 5.05% | 16.57% | N/A | N/A | -0.22%(3) |
1 Inception date December 31, 2013 2 Inception date April 11, 2014 3 Index performance is from Inception date of the Fund only and is not the inception date of the index itself. | |||||
Boston Partners Emerging Markets Long/Short Fund | |||||
Institutional Class(1) | 3.22% | 15.24% | N/A | N/A | 3.72% |
MSCI World Index(2) | 5.05% | 16.57% | N/A | N/A | -0.87%(3) |
MSCI Emerging Markets Index | 5.51% | 29.46% | N/A | N/A | -0.43%(3) |
1 Commencement of operations was March 1, 2015. 2 This is not a primary benchmark of the Fund. Results of the index performance are presented for general comparative purposes. 3 Index performance is from the Fund’s commencement of operations only and is not the inception date of the index itself. |
2 | Semi-Annual Report 2017 |
BOSTON PARTNERS INVESTMENT FUNDS |
Institutional Class | Investor Class | |
Boston Partners Small Cap Value Fund II | 1.22% | 1.47% |
Boston Partners Long/Short Equity Fund | 3.57%1 | 3.82%1 |
Boston Partners Long/Short Research Fund | 2.51%1 | 2.76%1 |
Boston Partners All-Cap Value Fund | 0.86% | 1.11% |
WPG Partners Small/Micro Cap Value Fund | 1.55% | N/A |
Boston Partners Global Equity Fund | 1.10% | 1.49% |
Boston Partners Global Long/Short Fund | 2.99%1 | 3.24%1 |
Boston Partners Emerging Markets Long/Short Fund | 7.82%1 | N/A |
1 | Includes interest and dividend expense on short sales. |
Semi-Annual Report 2017 | 3 |
BOSTON PARTNERS INVESTMENT FUNDS |
FUND EXPENSE EXAMPLES (unaudited) |
Beginning Account Value September 1, 2016 | Ending Account Value February 28, 2017* | Annualized Expense Ratio | Expense Paid During Period** | |
Boston Partners Small Cap Value Fund II | ||||
Institutional | ||||
Actual | $1,000.00 | $1,125.20 | 1.10% | $5.80 |
Hypothetical | 1,000.00 | 1,019.34 | 1.10% | 5.51 |
Investor | ||||
Actual | $1,000.00 | $1,123.90 | 1.35% | $7.11 |
Hypothetical | 1,000.00 | 1,018.10 | 1.35% | 6.76 |
Boston Partners Long/Short Equity Fund | ||||
Institutional | ||||
Actual | $1,000.00 | $1,104.50 | 2.78%(1) | $14.51 |
Hypothetical | 1,000.00 | 1,011.01 | 2.78%(1) | 13.86 |
Investor | ||||
Actual | $1,000.00 | $1,103.20 | 3.03%(1) | $15.80 |
Hypothetical | 1,000.00 | 1,009.77 | 3.03%(1) | 15.10 |
Boston Partners Long/Short Research Fund | ||||
Institutional | ||||
Actual | $1,000.00 | $1,046.00 | 2.24%(1) | $11.36 |
Hypothetical | 1,000.00 | 1,013.69 | 2.24%(1) | 11.18 |
Investor | ||||
Actual | $1,000.00 | $1,044.70 | 2.49%(1) | $12.62 |
Hypothetical | 1,000.00 | 1,012.45 | 2.49%(1) | 12.42 |
4 | Semi-Annual Report 2017 |
BOSTON PARTNERS INVESTMENT FUNDS |
FUND EXPENSE EXAMPLES (unaudited) (continued) |
Beginning Account Value September 1, 2016 | Ending Account Value February 28, 2017* | Annualized Expense Ratio | Expense Paid During Period** | |
Boston Partners All-Cap Value Fund | ||||
Institutional | ||||
Actual | $1,000.00 | $1,107.90 | 0.80% | $4.18 |
Hypothetical | 1,000.00 | 1,020.83 | 0.80% | 4.01 |
Investor | ||||
Actual | $1,000.00 | $1,106.80 | 1.05% | $5.48 |
Hypothetical | 1,000.00 | 1,019.59 | 1.05% | 5.26 |
WPG Partners Small/Micro Cap Value Fund | ||||
Institutional | ||||
Actual | $1,000.00 | $1,102.00 | 1.10% | $5.73 |
Hypothetical | 1,000.00 | 1,019.34 | 1.10% | 5.51 |
Boston Partners Global Equity Fund | ||||
Institutional | ||||
Actual | $1,000.00 | $1,069.90 | 0.95% | $4.88 |
Hypothetical | 1,000.00 | 1,020.08 | 0.95% | 4.76 |
Boston Partners Global Long/Short Fund | ||||
Institutional | ||||
Actual | $1,000.00 | $1,030.60 | 2.30%(1) | $11.58 |
Hypothetical | 1,000.00 | 1,013.39 | 2.30%(1) | 11.48 |
Investor | ||||
Actual | $1,000.00 | $1,029.00 | 2.55%(1) | $12.83 |
Hypothetical | 1,000.00 | 1,012.15 | 2.55%(1) | 12.72 |
Boston Partners Emerging Markets Long/Short Fund | ||||
Institutional | ||||
Actual | $1,000.00 | $1,032.20 | 2.34% | $11.79 |
Hypothetical | 1,000.00 | 1,013.19 | 2.34% | 11.68 |
* | The Fund’s ending account values on the first line in each table are based on the actual six-month total return of 12.52% and 12.39% for the Institutional Class and Investor Class, respectively, of the Boston Partners Small Cap Value Fund II; 10.45% and 10.32% for the Institutional Class and Investor Class, respectively, of the Boston Partners Long/Short Equity Fund; 4.60% and 4.47% for the Institutional Class and Investor Class, respectively, of the Boston Partners Long/Short Research Fund; 10.79% and 10.68% for the Institutional Class and Investor Class, respectively, of the Boston Partners All-Cap Value Fund; 10.20% for the Institutional Class of the WPG Partners Small/Micro Cap Value Fund; 6.99% for the Institutional Class of the Boston Partners Global Equity Fund; 3.06% and 2.90% for the Institutional Class and Investor Class, respectively, of the Boston Partners Global Long/Short Fund; and 3.22% for the Institutional Class of the Boston Partners Emerging Markets Long/Short Fund. |
** | 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 (181) in the most recent fiscal half-year, then divided by 365 to reflect the one-half year period. |
(1) | These amounts include dividends paid on securities which the Funds have sold short (“Short-sale dividends”) and related interest expense. The amount of short-sale dividends and related interest expense was 0.38% and 0.83% of average net assets for the six-month period ended February 28, 2017 for both the Institutional Class and Investor Class of the Boston Partners Long/Short Equity Fund and Boston Partners Long/Short Research Fund, respectively, 0.59% of average net assets for the Institutional Class and Investor Class, respectively, of the Boston Partners Global Long/Short Fund and 0.24% of average net assets for the Institutional Class of the Boston Partners Emerging Markets Long/Short Fund. |
Semi-Annual Report 2017 | 5 |
BOSTON PARTNERS INVESTMENT FUNDS | February 28, 2017 |
Portfolio Holdings Summary Tables (unaudited) |
SMALL CAP VALUE FUND II
Security Type/Sector Classification | % of Net Assets | Value | ||||||
COMMON STOCK | ||||||||
Finance | 27.3 | % | $ | 131,421,438 | ||||
Consumer Services | 17.4 | 83,666,529 | ||||||
Capital Goods | 12.8 | 61,637,915 | ||||||
Technology | 9.6 | 46,006,627 | ||||||
Real Estate Investment Trusts | 7.4 | 35,736,385 | ||||||
Health Care | 7.0 | 33,579,066 | ||||||
Energy | 4.7 | 22,574,732 | ||||||
Basic Industries | 3.9 | 18,844,800 | ||||||
Consumer Non-Durables | 3.2 | 15,509,336 | ||||||
Consumer Durables | 1.7 | 8,203,707 | ||||||
Utilities | 0.4 | 2,148,045 | ||||||
SECURITIES LENDING COLLATERAL | 30.8 | 148,114,869 | ||||||
SHORT-TERM INVESTMENTS | 3.8 | 18,344,704 | ||||||
LIABILITIES IN EXCESS OF OTHER ASSETS | (30.0 | ) | (144,463,754 | ) | ||||
NET ASSETS | 100.0 | % | $ | 481,324,399 |
LONG/SHORT EQUITY FUND
Security Type/Sector Classification | % of Net Assets | Value | ||||||
LONG POSITIONS: | ||||||||
Common Stock | ||||||||
Finance | 24.3 | % | $ | 243,223,014 | ||||
Consumer Services | 13.5 | 135,211,237 | ||||||
Energy | 12.3 | 122,707,000 | ||||||
Health Care | 11.9 | 119,361,635 | ||||||
Technology | 8.3 | 82,971,909 | ||||||
Capital Goods | 8.2 | 82,591,338 | ||||||
Basic Industries | 6.3 | 62,877,210 | ||||||
Transportation | 5.1 | 50,670,877 | ||||||
Communications | 3.7 | 37,243,085 | ||||||
Consumer Non-Durables | 1.7 | 17,446,416 | ||||||
Utilities | 1.0 | 10,500,918 | ||||||
Real Estate Investment Trusts | 0.6 | 6,408,786 | ||||||
EXCHANGE TRADED FUNDS | 0.6 | 6,153,793 | ||||||
SECURITIES LENDING COLLATERAL | 22.3 | 223,784,970 | ||||||
SHORT-TERM INVESTMENTS | 1.6 | 15,936,041 | ||||||
SHORT POSITIONS: | ||||||||
Common Stock | ||||||||
Consumer Services | (5.1 | ) | (50,805,636 | ) | ||||
Technology | (4.2 | ) | (41,704,196 | ) | ||||
Health Care | (3.1 | ) | (31,105,735 | ) | ||||
Utilities | (2.0 | ) | (20,106,457 | ) | ||||
Communications | (1.9 | ) | (19,527,215 | ) | ||||
Capital Goods | (1.8 | ) | (17,645,186 | ) | ||||
Consumer Durables | (1.3 | ) | (12,784,911 | ) | ||||
Consumer Non-Durables | (1.0 | ) | (10,101,530 | ) |
Finance | (0.9 | ) | (8,676,949 | ) | ||||
Basic Industries | (0.4 | ) | (3,952,559 | ) | ||||
Real Estate Investment Trusts | (0.2 | ) | (2,406,687 | ) | ||||
Energy | (0.0 | ) | (10 | ) | ||||
EXCHANGE TRADED FUNDS | (1.6 | ) | (15,528,572 | ) | ||||
OPTIONS WRITTEN | (0.2 | ) | (1,592,354 | ) | ||||
OTHER ASSETS IN EXCESS OF LIABILITIES | 2.1 | 20,590,526 | ||||||
NET ASSETS | 100.0 | % | $ | 1,001,740,758 |
LONG/SHORT RESEARCH FUND
Security Type/Sector Classification | % of Net Assets | Value | ||||||
LONG POSITIONS: | ||||||||
Common Stock | ||||||||
Technology | 20.2 | % | $ | 1,314,027,508 | ||||
Finance | 18.6 | 1,209,291,149 | ||||||
Capital Goods | 11.6 | 754,614,920 | ||||||
Health Care | 9.2 | 598,972,034 | ||||||
Consumer Services | 8.3 | 536,298,085 | ||||||
Energy | 8.1 | 528,202,777 | ||||||
Communications | 7.1 | 459,442,975 | ||||||
Basic Industries | 4.8 | 310,248,308 | ||||||
Consumer Non-Durables | 3.0 | 196,020,140 | ||||||
Utilities | 1.6 | 101,874,064 | ||||||
Consumer Durables | 1.5 | 96,734,172 | ||||||
Transportation | 0.9 | 59,594,243 | ||||||
SHORT-TERM INVESTMENTS | 3.8 | 248,967,703 | ||||||
SHORT POSITIONS: | ||||||||
Common Stock | ||||||||
Technology | (8.2 | ) | (531,867,218 | ) | ||||
Consumer Services | (7.6 | ) | (496,319,993 | ) | ||||
Finance | (6.8 | ) | (444,294,309 | ) | ||||
Health Care | (3.9 | ) | (250,265,274 | ) | ||||
Capital Goods | (3.9 | ) | (250,143,377 | ) | ||||
Energy | (3.3 | ) | (215,259,266 | ) | ||||
Consumer Non-Durables | (3.1 | ) | (203,018,144 | ) | ||||
Basic Industries | (2.5 | ) | (164,179,158 | ) | ||||
Communications | (2.5 | ) | (162,430,045 | ) | ||||
Consumer Durables | (1.1 | ) | (73,335,378 | ) | ||||
Transportation | (0.9 | ) | (56,219,404 | ) | ||||
Real Estate Investment Trusts | (0.9 | ) | (55,330,078 | ) | ||||
Utilities | (0.5 | ) | (32,082,087 | ) | ||||
OPTIONS WRITTEN | (0.0 | ) | (2,964,282 | ) | ||||
OTHER ASSETS IN EXCESS OF LIABILITIES | 46.5 | 3,019,861,220 | ||||||
NET ASSETS | 100.0 | % | $ | 6,496,441,285 |
6 | Semi-Annual Report 2017 |
BOSTON PARTNERS INVESTMENT FUNDS | February 28, 2017 |
Portfolio Holdings Summary Tables (unaudited) (continued) |
ALL-CAP VALUE FUND
Security Type/Sector Classification | % of Net Assets | Value | ||||||
COMMON STOCK | ||||||||
Finance | 28.4 | % | $ | 445,194,037 | ||||
Technology | 19.6 | 306,527,619 | ||||||
Health Care | 16.8 | 263,938,526 | ||||||
Energy | 8.1 | 126,578,268 | ||||||
Consumer Services | 7.0 | 109,679,598 | ||||||
Capital Goods | 5.9 | 92,399,353 | ||||||
Consumer Non-Durables | 3.0 | 47,091,325 | ||||||
Communications | 2.6 | 41,529,838 | ||||||
Consumer Durables | 2.1 | 32,172,007 | ||||||
Basic Industries | 1.3 | 19,607,738 | ||||||
SECURITIES LENDING COLLATERAL | 20.5 | 321,079,118 | ||||||
RIGHTS | 0.0 | — | ||||||
SHORT-TERM INVESTMENTS | 4.7 | 74,181,657 | ||||||
LIABILITIES IN EXCESS OF OTHER ASSETS | (20.0 | ) | (312,944,672 | ) | ||||
NET ASSETS | 100.0 | % | $ | 1,567,034,412 |
SMALL/MICRO CAP VALUE FUND
Security Type/Sector Classification | % of Net Assets | Value | ||||||
COMMON STOCK | ||||||||
Finance | 28.6 | % | $ | 10,223,421 | ||||
Capital Goods | 11.8 | 4,229,680 | ||||||
Real Estate Investment Trusts | 11.1 | 3,976,119 | ||||||
Consumer Services | 8.5 | 3,046,784 | ||||||
Technology | 7.6 | 2,728,345 | ||||||
Energy | 6.9 | 2,470,788 | ||||||
Utilities | 6.6 | 2,365,903 | ||||||
Transportation | 5.2 | 1,858,408 | ||||||
Consumer Durables | 3.0 | 1,062,708 | ||||||
Health Care | 2.3 | 827,009 | ||||||
Basic Industries | 2.1 | 761,663 | ||||||
Consumer Non-Durables | 1.4 | 483,381 | ||||||
Communications | 1.3 | 460,740 | ||||||
WARRANTS | 0.1 | 22,983 | ||||||
SECURITIES LENDING COLLATERAL | 29.6 | 10,600,787 | ||||||
SHORT-TERM INVESTMENTS | 3.4 | 1,199,747 | ||||||
LIABILITIES IN EXCESS OF OTHER ASSETS | (29.5 | ) | (10,541,373 | ) | ||||
NET ASSETS | 100.0 | % | $ | 35,777,093 |
GLOBAL EQUITY FUND
Security Type/Sector Classification | % of Net Assets | Value | ||||||
COMMON STOCK: | ||||||||
Financials | 20.4 | % | $ | 92,938,625 | ||||
Information Technology | 15.5 | 70,506,869 | ||||||
Health Care | 14.2 | 64,498,165 | ||||||
Industrials | 13.9 | 63,407,952 | ||||||
Consumer Discretionary | 8.8 | 39,942,777 | ||||||
Energy | 8.2 | 37,491,594 | ||||||
Materials | 6.1 | 27,653,744 | ||||||
Consumer Staples | 5.6 | 25,559,347 | ||||||
Telecommunication Services | 1.9 | 8,854,284 | ||||||
Utilities | 1.0 | 4,631,617 | ||||||
PREFERRED STOCK | 0.5 | 2,104,510 | ||||||
SECURITIES LENDING COLLATERAL | 7.5 | 34,363,856 | ||||||
SHORT-TERM INVESTMENTS | 2.7 | 12,299,453 | ||||||
OPTIONS WRITTEN | (0.1 | ) | (235,000 | ) | ||||
LIABILITIES IN EXCESS OF OTHER ASSETS | (6.2 | ) | (28,409,234 | ) | ||||
NET ASSETS | 100.0 | % | $ | 455,608,559 |
Semi-Annual Report 2017 | 7 |
BOSTON PARTNERS INVESTMENT FUNDS | February 28, 2017 |
Portfolio Holdings Summary Tables (unaudited) (concluded) |
GLOBAL LONG/SHORT FUND
Security Type/Sector Classification | % of Net Assets | Value | ||||||
LONG POSITIONS: | ||||||||
COMMON STOCK: | ||||||||
Financials | 18.1 | % | $ | 158,380,579 | ||||
Information Technology | 14.6 | 127,899,478 | ||||||
Health Care | 12.9 | 112,999,947 | ||||||
Industrials | 11.5 | 100,686,076 | ||||||
Energy | 10.3 | 89,880,347 | ||||||
Consumer Discretionary | 9.0 | 78,451,673 | ||||||
Materials | 6.3 | 55,412,508 | ||||||
Consumer Staples | 6.2 | 54,115,012 | ||||||
Telecommunication Services | 2.1 | 18,071,080 | ||||||
Utilities | 1.1 | 9,562,765 | ||||||
PREFERRED STOCK | 0.8 | 7,426,672 | ||||||
SHORT-TERM INVESTMENTS | 6.2 | 53,868,528 | ||||||
SHORT POSITIONS: | ||||||||
COMMON STOCK | ||||||||
Consumer Discretionary | (9.8 | )% | $ | (85,530,105 | ) | |||
Industrials | (8.7 | ) | (76,096,868 | ) | ||||
Materials | (5.5 | ) | (47,817,449 | ) | ||||
Financials | (5.3 | ) | (46,042,866 | ) | ||||
Information Technology | (4.5 | ) | (39,693,090 | ) | ||||
Health Care | (3.7 | ) | (32,322,014 | ) | ||||
Energy | (3.1 | ) | (26,968,918 | ) | ||||
Consumer Staples | (2.3 | ) | (20,087,001 | ) | ||||
Real Estate | (0.8 | ) | (7,179,291 | ) | ||||
Telecommunication Services | (0.3 | ) | (2,414,504 | ) | ||||
OPTIONS WRITTEN | (0.2 | ) | (2,256,987 | ) | ||||
OTHER ASSETS IN EXCESS OF LIABILITIES | 45.0 | 393,485,094 | ||||||
NET ASSETS | 100.0 | % | $ | 873,830,666 |
EMERGING MARKETS LONG/SHORT FUND
Security Type/Sector Classification | % of Net Assets | Value | ||||||
LONG POSITIONS: | ||||||||
COMMON STOCK: | ||||||||
Consumer Staples | 8.2 | % | $ | 1,755,595 | ||||
Financials | 7.1 | 1,518,039 | ||||||
Information Technology | 6.1 | 1,301,992 | ||||||
Consumer Discretionary | 5.8 | 1,250,700 | ||||||
Industrials | 5.5 | 1,172,824 | ||||||
Energy | 4.7 | 1,018,785 | ||||||
Real Estate | 3.6 | 765,629 | ||||||
Utilities | 2.9 | 612,376 | ||||||
Health Care | 2.0 | 427,086 | ||||||
Telecommunication Services | 1.5 | 311,977 | ||||||
Materials | 1.1 | 243,988 | ||||||
PREFERRED STOCK | 5.1 | 1,104,387 | ||||||
RIGHTS | 0.0 | 13,248 | ||||||
EXCHANGE TRADED FUNDS | 0.5 | 99,903 | ||||||
SHORT-TERM INVESTMENTS | 38.6 | 8,277,349 | ||||||
SHORT POSITIONS: | ||||||||
COMMON STOCK | ||||||||
Consumer Discretionary | (0.8 | ) | (175,294 | ) | ||||
Information Technology | (0.5 | ) | (100,728 | ) | ||||
Consumer Staples | (0.4 | ) | (95,295 | ) | ||||
Real Estate | (0.4 | ) | (83,749 | ) | ||||
Materials | (0.2 | ) | (40,222 | ) | ||||
OTHER ASSETS IN EXCESS OF LIABILITIES | 9.7 | 2,072,846 | ||||||
NET ASSETS | 100.0 | % | $ | 21,451,436 |
8 | Semi-Annual Report 2017 |
BOSTON PARTNERS INVESTMENT FUNDS | February 28, 2017 (unaudited) |
BOSTON PARTNERS SMALL CAP VALUE FUND II | Portfolio of Investments |
Number of Shares | Value | |||||||
COMMON STOCKS—95.4% | ||||||||
Basic Industries—3.9% | ||||||||
AgroFresh Solutions, Inc.* | 210,630 | $ | 570,807 | |||||
Ferro Corp.* | 81,791 | 1,145,074 | ||||||
Graphic Packaging Holding Co. | 373,418 | 4,985,130 | ||||||
Innophos Holdings, Inc. | 67,809 | 3,593,199 | ||||||
JELD-WEN Holding, Inc.* | 16,338 | 510,399 | ||||||
Orchids Paper Products Co.(a) | 91,193 | 2,599,912 | ||||||
PolyOne Corp. | 28,953 | 975,137 | ||||||
Schweitzer-Mauduit International, Inc.(a) | 75,358 | 3,091,939 | ||||||
Valvoline, Inc.(a) | 61,249 | 1,373,203 | ||||||
18,844,800 | ||||||||
Capital Goods—12.8% | ||||||||
Aegion Corp.* | 107,643 | 2,449,955 | ||||||
Ampco-Pittsburgh Corp. | 31,654 | 462,148 | ||||||
BMC Stock Holdings, Inc.* | 181,985 | 3,821,685 | ||||||
Cabot Corp. | 25,031 | 1,451,297 | ||||||
CECO Environmental Corp.(a) | 153,460 | 1,734,098 | ||||||
Continental Building Products, Inc.* | 68,129 | 1,665,754 | ||||||
Cubic Corp.(a) | 44,586 | 2,342,994 | ||||||
Curtiss-Wright Corp. | 23,912 | 2,339,311 | ||||||
Ferroglobe PLC | 280,259 | 3,023,995 | ||||||
Ferroglobe Representation & Warranty Insurance*‡ | 276,005 | 0 | ||||||
Foundation Building Materials, Inc.* | 100,435 | 1,641,108 | ||||||
Granite Construction, Inc.(a) | 61,045 | 3,235,995 | ||||||
Hillenbrand, Inc. | 40,005 | 1,454,182 | ||||||
LCI Industries(a) | 84,626 | 9,114,220 | ||||||
Minerals Technologies, Inc. | 55,847 | 4,314,181 | ||||||
Olin Corp.(a) | 109,637 | 3,407,518 | ||||||
Orion Group Holdings, Inc.* | 233,872 | 2,189,042 | ||||||
Tutor Perini Corp.(a)* | 46,201 | 1,406,820 | ||||||
WESCO International, Inc.* | 129,237 | 8,981,972 | ||||||
World Fuel Services Corp. | 182,517 | 6,601,640 | ||||||
61,637,915 | ||||||||
Consumer Durables—1.7% | ||||||||
Strattec Security Corp. | 16,282 | 484,389 | ||||||
Tempur Sealy International, Inc.(a)* | 25,047 | 1,156,921 | ||||||
Tower International, Inc. | 117,372 | 3,245,336 | ||||||
Winnebago Industries, Inc.(a) | 100,517 | 3,317,061 | ||||||
8,203,707 | ||||||||
Consumer Non-Durables—3.2% | ||||||||
Nu Skin Enterprises, Inc. Class A(a) | 55,848 | 2,766,710 | ||||||
Skechers U.S.A., Inc.(a)* | 182,716 | 4,690,320 | ||||||
Steven Madden Ltd.* | 122,924 | 4,591,211 | ||||||
Universal Corp.(a) | 51,124 | 3,461,095 | ||||||
15,509,336 | ||||||||
Consumer Services—17.4% | ||||||||
ABM Industries, Inc.(a) | 103,761 | 4,232,411 | ||||||
American Eagle Outfitters, Inc.(a) | 289,677 | 4,591,380 | ||||||
Barnes & Noble Education, Inc.* | 124,543 | 1,195,613 | ||||||
Booz Allen Hamilton Holding Corp. | 93,446 | 3,342,563 | ||||||
CBIZ, Inc.* | 107,473 | 1,429,391 | ||||||
Civeo Corp.* | 383,821 | 1,347,212 | ||||||
Clubcorp Holdings, Inc. | 295,747 | 5,057,274 | ||||||
Ennis, Inc. | 42,849 | 700,581 | ||||||
Finish Line Inc., (The), Class A(a) | 221,929 | 3,617,443 | ||||||
FTD Cos., Inc.(a)* | 84,204 | 2,034,369 | ||||||
FTI Consulting, Inc.(a)* | 67,299 | 2,708,112 | ||||||
G&K Services, Inc. Class A | 36,181 | 3,419,104 | ||||||
Group 1 Automotive, Inc.(a) | 20,376 | 1,583,011 | ||||||
Heidrick & Struggles International, Inc. | 77,926 | 1,905,291 | ||||||
ICF International, Inc.* | 55,836 | 2,398,156 | ||||||
Jones Lang LaSalle, Inc. | 22,473 | 2,577,653 | ||||||
KAR Auction Services, Inc. | 69,530 | 3,116,335 | ||||||
Korn/Ferry International(a) | 36,954 | 1,142,248 | ||||||
Lithia Motors, Inc.(a) | 45,719 | 4,373,937 | ||||||
Live Nation Entertainment, Inc.* | 46,823 | 1,330,241 | ||||||
MAXIMUS, Inc.(a) | 47,060 | 2,808,070 | ||||||
Navigant Consulting, Inc.* | 118,854 | 2,769,298 | ||||||
Office Depot, Inc.(a) | 823,486 | 3,433,937 | ||||||
On Assignment, Inc.* | 37,068 | 1,749,239 | ||||||
Papa Murphy's Holdings, Inc.(a)* | 240,849 | 1,028,425 | ||||||
PRA Group, Inc.(a)* | 46,845 | 1,911,276 | ||||||
RPX Corp.* | 209,248 | 2,249,416 | ||||||
Scholastic Corp.(a) | 51,896 | 2,338,434 | ||||||
Tailored Brands, Inc.(a) | 223,569 | 5,166,680 | ||||||
Tetra Tech, Inc. | 102,497 | 4,125,504 | ||||||
TravelCenters of America LLC* | 156,972 | 1,020,318 | ||||||
Viad Corp. | 29,364 | 1,385,981 | ||||||
XO Group, Inc.* | 85,601 | 1,577,626 | ||||||
83,666,529 | ||||||||
Energy—4.7% | ||||||||
Bristow Group, Inc.(a) | 153,362 | 2,409,317 | ||||||
Dril-Quip, Inc.(a)* | 39,113 | 2,399,583 | ||||||
Extraction Oil & Gas, Inc.(a)* | 24,325 | 430,553 | ||||||
Gulfport Energy Corp.* | 77,740 | 1,348,012 | ||||||
Jagged Peak Energy, Inc.* | 235,970 | 3,249,307 | ||||||
Kosmos Energy Ltd.(a)* | 521,702 | 3,203,250 | ||||||
RSP Permian, Inc.(a)* | 148,109 | 5,848,824 | ||||||
Western Refining, Inc. | 47,650 | 1,740,178 | ||||||
WildHorse Resource Development Corp.(a)* | 167,589 | 1,945,708 | ||||||
22,574,732 | ||||||||
Finance—27.3% | ||||||||
Air Lease Corp.(a) | 232,784 | 9,062,281 | ||||||
AMERISAFE, Inc.(a) | 37,055 | 2,382,636 | ||||||
Assured Guaranty Ltd. | 149,332 | 6,139,039 | ||||||
CenterState Banks, Inc. | 109,679 | 2,710,168 | ||||||
Columbia Banking System, Inc.(a) | 22,095 | 881,370 | ||||||
Essent Group Ltd.* | 157,870 | 5,495,455 | ||||||
FCB Financial Holdings, Inc., Class A* | 67,587 | 3,284,728 | ||||||
Federal Agricultural Mortgage Corp. Class C | 45,513 | 2,620,639 | ||||||
First American Financial Corp.(a) | 175,538 | 6,858,270 | ||||||
First Citizens BancShares Inc., Class A | 6,612 | 2,355,789 |
Semi-Annual Report 2017 | 9 |
BOSTON PARTNERS INVESTMENT FUNDS | February 28, 2017 (unaudited) |
BOSTON PARTNERS SMALL CAP VALUE FUND II (continued) | Portfolio of Investments |
Number of Shares | Value | |||||||
Finance—(continued) | ||||||||
FirstCash, Inc. | 63,062 | $ | 2,796,800 | |||||
Flushing Financial Corp. | 53,801 | 1,503,200 | ||||||
Gladstone Capital Corp. | 30,793 | 283,604 | ||||||
Global Indemnity PLC* | 28,301 | 1,122,984 | ||||||
Greenhill & Co, Inc.(a) | 58,316 | 1,723,238 | ||||||
Hanmi Financial Corp. | 82,628 | 2,759,775 | ||||||
Heritage Financial Corp.(a) | 69,208 | 1,730,200 | ||||||
Hope Bancorp, Inc. | 110,731 | 2,369,643 | ||||||
Infinity Property & Casualty Corp. | 22,422 | 2,113,273 | ||||||
James River Group Holdings Ltd. | 83,343 | 3,585,416 | ||||||
Maiden Holdings Ltd. | 322,040 | 4,975,518 | ||||||
Nationstar Mortgage Holdings, Inc.(a)* | 155,837 | 2,830,000 | ||||||
Navient Corp.(a) | 255,869 | 3,942,941 | ||||||
Navigators Group, Inc., (The) | 35,730 | 1,966,936 | ||||||
Nelnet, Inc., Class A | 127,171 | 5,695,989 | ||||||
OneBeacon Insurance Group Ltd., Class A | 123,500 | 2,015,520 | ||||||
Park Sterling Corp.(a) | 87,774 | 1,041,000 | ||||||
PennyMac Financial Services, Inc. Class A* | 146,577 | 2,616,399 | ||||||
Radian Group, Inc.(a) | 444,351 | 8,269,372 | ||||||
Safety Insurance Group, Inc. | 20,250 | 1,437,750 | ||||||
Silvercrest Asset Management Group, Inc. Class A | 159,095 | 2,123,918 | ||||||
SLM Corp.* | 938,734 | 11,255,421 | ||||||
State Auto Financial Corp. | 44,794 | 1,201,823 | ||||||
Stewart Information Services Corp.(a) | 109,637 | 4,868,979 | ||||||
Stifel Financial Corp.(a)* | 108,483 | 5,853,743 | ||||||
Walker & Dunlop, Inc.(a)* | 187,025 | 7,602,566 | ||||||
Washington Federal, Inc.(a) | 57,461 | 1,945,055 | ||||||
131,421,438 | ||||||||
Health Care—7.0% | ||||||||
Chemed Corp.(a) | 33,235 | 5,934,109 | ||||||
ICON PLC* | 59,670 | 4,998,556 | ||||||
Integra LifeSciences Holdings Corp.(a)* | 73,564 | 3,144,125 | ||||||
LHC Group, Inc.* | 34,643 | 1,663,557 | ||||||
LifePoint Health, Inc.(a)* | 71,298 | 4,566,637 | ||||||
Owens & Minor, Inc.(a) | 53,382 | 1,926,022 | ||||||
PAREXEL International Corp.(a)* | 79,507 | 5,143,308 | ||||||
PharMerica Corp.* | 147,231 | 3,621,883 | ||||||
Select Medical Holdings Corp.(a)* | 179,227 | 2,580,869 | ||||||
33,579,066 | ||||||||
Real Estate Investment Trusts—7.4% | ||||||||
Altisource Residential Corp.(a) | 51,918 | 696,740 | ||||||
American Homes 4 Rent, Class A(a) | 58,714 | 1,395,632 | ||||||
Anworth Mortgage Asset Corp.(a) | 246,806 | 1,342,625 | ||||||
Ares Commercial Real Estate Corp. | 268,252 | 3,626,767 | ||||||
Blackstone Mortgage Trust, Inc.(a) | 101,130 | 3,149,188 | ||||||
Chatham Lodging Trust(a) | 117,649 | 2,356,509 | ||||||
CYS Investments, Inc.(a) | 730,015 | 5,854,720 | ||||||
Gladstone Commercial Corp.(a) | 36,232 | 753,988 | ||||||
LaSalle Hotel Properties(a) | 77,295 | 2,233,825 | ||||||
MFA Financial, Inc.(a) | 577,752 | 4,633,571 | ||||||
MTGE Investment Corp. | 58,831 | 973,653 | ||||||
Starwood Property Trust, Inc.(a) | 95,353 | 2,179,770 | ||||||
Two Harbors Investment Corp. | 703,161 | 6,539,397 | ||||||
35,736,385 | ||||||||
Technology—9.6% | ||||||||
Bel Fuse, Inc., Class B | 113,924 | 2,973,416 | ||||||
Belden, Inc.(a) | 80,979 | 5,721,166 | ||||||
Brooks Automation, Inc. | 243,312 | 5,075,488 | ||||||
Coherent, Inc.* | 30,290 | 5,530,348 | ||||||
Convergys Corp.(a) | 54,334 | 1,188,828 | ||||||
EnerSys | 64,917 | 4,981,081 | ||||||
First Solar, Inc.(a)* | 35,953 | 1,301,139 | ||||||
Insight Enterprises, Inc.* | 39,237 | 1,662,079 | ||||||
NETGEAR, Inc.* | 58,007 | 3,178,784 | ||||||
PC Connection, Inc.(a) | 26,098 | 698,383 | ||||||
Sykes Enterprises, Inc.* | 164,909 | 4,488,823 | ||||||
SYNNEX Corp. | 28,674 | 3,352,564 | ||||||
TeleTech Holdings, Inc. | 141,105 | 4,275,482 | ||||||
Teradyne, Inc. | 55,522 | 1,579,046 | ||||||
46,006,627 | ||||||||
Utilities—0.4% | ||||||||
PNM Resources, Inc. | 35,000 | 1,270,500 | ||||||
Pure Cycle Corp.* | 170,397 | 877,545 | ||||||
2,148,045 | ||||||||
TOTAL COMMON STOCKS (Cost $341,620,940) | 459,328,580 | |||||||
SECURITIES LENDING COLLATERAL—30.8% | ||||||||
Mount Vernon Liquid Assets Portfolio, LLC, 0.97% | 148,114,869 | 148,114,869 | ||||||
TOTAL SECURITIES LENDING COLLATERAL (Cost $148,114,869) | 148,114,869 | |||||||
SHORT-TERM INVESTMENTS—3.8% | ||||||||
Fidelity Investments Money Market Funds - Government Portfolio, 0.46% | ||||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $18,344,704) | 18,344,704 | |||||||
TOTAL INVESTMENTS—130.0% | ||||||||
(Cost $508,080,513) | 625,788,153 | |||||||
LIABILITIES IN EXCESS OF OTHER ASSETS—(30.0)% | (144,463,754 | ) | ||||||
NET ASSETS—100.0% | $ | 481,324,399 |
* | — 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 28, 2017, these securities amounted to $0 or 0.0% of net assets. |
(a) | — All or a portion of the security is on loan. At February 28, 2017, the market value of securities on loan was $142,142,440. |
10 | Semi-Annual Report 2017 |
BOSTON PARTNERS INVESTMENT FUNDS | February 28, 2017 (unaudited) |
BOSTON PARTNERS SMALL CAP VALUE FUND II (concluded) | Portfolio of Investments |
Total Value as of February 28, 2017 | Level 1 Quoted Price | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |||||||||||||
Common Stock * | $ | 459,328,580 | $ | 459,328,580 | $ | — | $ | — | ||||||||
Securities Lending Collateral | 148,114,869 | 148,114,869 | — | — | ||||||||||||
Short-Term Investments | 18,344,704 | 18,344,704 | — | — | ||||||||||||
Total Assets | $ | 625,788,153 | $ | 625,788,153 | $ | — | $ | — |
* | See Portfolio of Investments detail for industry and security type breakout. |
Semi-Annual Report 2017 | 11 |
BOSTON PARTNERS INVESTMENT FUNDS | February 28, 2017 (unaudited) |
BOSTON PARTNERS LONG/SHORT EQUITY FUND | Portfolio of Investments |
Number of Shares | Value | |||||||
LONG POSITIONS—121.5% | ||||||||
COMMON STOCKS—97.0% | ||||||||
Basic Industries—6.3% | ||||||||
AK Steel Holding Corp.*(a) | 489,257 | $ | 4,075,511 | |||||
Alcoa Corp.(a) | 38,128 | 1,318,855 | ||||||
American Vanguard Corp. | 169,501 | 2,669,641 | ||||||
Cameco Corp.(a) | 356,216 | 3,950,435 | ||||||
CF Industries Holdings, Inc.(a) | 85,197 | 2,676,890 | ||||||
Dominion Diamond Corp. | 229,168 | 1,938,761 | ||||||
Fibria Celulose SA - Sponsored ADR | 348,303 | 2,977,990 | ||||||
Freeport-McMoRan Copper & Gold, Inc.* | 381,862 | 5,116,951 | ||||||
Monsanto Co.† | 43,116 | 4,907,894 | ||||||
Mosaic Co., (The)(a) | 178,941 | 5,581,170 | ||||||
Nexeo Solutions, Inc.* | 257,041 | 2,380,200 | ||||||
POSCO - ADR | 99,272 | 6,157,842 | ||||||
Potash Corp of Saskatchewan, Inc. | 153,211 | 2,670,468 | ||||||
Praxair, Inc.(a) | 32,321 | 3,836,826 | ||||||
Rio Tinto PLC - ADR(a) | 140,996 | 5,854,154 | ||||||
UFP Technologies, Inc.* | 95,874 | 2,300,976 | ||||||
Universal Stainless & Alloy Products, Inc.* | 71,555 | 1,036,832 | ||||||
US Silica Holdings, Inc.(a) | 67,744 | 3,425,814 | ||||||
62,877,210 | ||||||||
Capital Goods—8.2% | ||||||||
AECOM Technology Corp.* | —^ | 0 | ||||||
Aerojet Rocketdyne Holdings, Inc.*(a) | 180,046 | 3,491,092 | ||||||
Ampco-Pittsburgh Corp. | 138,104 | 2,016,318 | ||||||
Arconic, Inc.(a) | 154,691 | 4,453,544 | ||||||
Builders FirstSource, Inc.*(a) | 223,829 | 2,896,347 | ||||||
CECO Environmental Corp.(a) | 309,282 | 3,494,887 | ||||||
Chicago Bridge & Iron Co. NV(a)† | 121,709 | 4,085,771 | ||||||
Colfax Corp.*(a) | 107,660 | 4,096,463 | ||||||
Ferroglobe PLC | 451,539 | 4,872,106 | ||||||
Ferroglobe Representation & Warranty Insurance*‡ | 386,647 | 0 | ||||||
Fluor Corp.† | 86,320 | 4,781,265 | ||||||
FreightCar America, Inc.(a) | 180,863 | 2,479,632 | ||||||
Graham Corp. | 111,797 | 2,451,708 | ||||||
Jacobs Engineering Group, Inc. | 73,588 | 4,151,099 | ||||||
KLX, Inc.* | 48,253 | 2,429,056 | ||||||
LSB Industries, Inc.*(a) | 144,081 | 1,566,160 | ||||||
Manitex International, Inc.*(a) | 326,030 | 2,516,952 | ||||||
NCI Building Systems, Inc.* | 201,895 | 3,230,320 | ||||||
NOW, Inc.*(a) | 39,099 | 748,355 | ||||||
Preformed Line Products Co.† | 37,058 | 1,705,409 | ||||||
Quanta Services, Inc.* | 58,362 | 2,178,070 | ||||||
Raven Industries, Inc. | 98,990 | 2,925,155 | ||||||
Safran SA - ADR(a) | 171,358 | 3,037,321 | ||||||
Triumph Group, Inc.(a) | 123,658 | 3,437,692 | ||||||
Tutor Perini Corp.* | 99,967 | 3,043,995 | ||||||
United Technologies Corp. | 43,342 | 4,878,142 | ||||||
WESCO International, Inc.* | 48,630 | 3,379,785 | ||||||
World Fuel Services Corp.† | 117,354 | 4,244,694 | ||||||
82,591,338 | ||||||||
Communications—3.7% | ||||||||
51job, Inc. - ADR* | 60,421 | $ | 2,172,135 | |||||
Alaska Communications Systems Group, Inc.* | 711,135 | 1,187,595 | ||||||
Baidu, Inc. - Sponsored ADR*(a) | 16,821 | 2,929,041 | ||||||
Gaia, Inc.* | 116,893 | 999,435 | ||||||
Great Elm Capital Group, Inc.* | 237,046 | 782,252 | ||||||
Iridium Communications, Inc.*(a) | 334,590 | 2,910,933 | ||||||
Liberty Global PLC LiLAC, Class C* | 152,908 | 3,760,008 | ||||||
Liberty Global PLC, Series C* | 138,628 | 4,864,456 | ||||||
Ooma, Inc.* | 96,338 | 977,831 | ||||||
Priceline Group, Inc., (The)* | 2,421 | 4,174,119 | ||||||
Rubicon Project Inc., (The)*(a) | 224,357 | 1,960,880 | ||||||
Synchronoss Technologies, Inc.*(a) | 86,574 | 2,344,424 | ||||||
VeriSign, Inc.*(a) | 53,132 | 4,381,796 | ||||||
Yandex NV, Class A* | 168,808 | 3,798,180 | ||||||
37,243,085 | ||||||||
Consumer Non-Durables—1.7% | ||||||||
Albany International Corp.(a) | 40,466 | 1,835,133 | ||||||
G-III Apparel Group Ltd.*(a) | 134,302 | 3,455,590 | ||||||
Leucadia National Corp.† | 240,192 | 6,393,911 | ||||||
Nomad Foods Ltd.* | 308,143 | 3,315,619 | ||||||
VF Corp.(a) | 46,638 | 2,446,163 | ||||||
17,446,416 | ||||||||
Consumer Services—13.5% | ||||||||
Alibaba Group Holding Ltd. - Sponsored ADR*(a) | 38,532 | 3,964,943 | ||||||
Amaya, Inc.*(a) | 136,553 | 1,979,103 | ||||||
Barrett Business Services, Inc.(a)† | 145,794 | 9,335,190 | ||||||
Biglari Holdings, Inc.*(a) | 3,196 | 1,372,458 | ||||||
Boot Barn Holdings, Inc.*(a) | 233,829 | 2,401,424 | ||||||
CDI Corp.* | 254,281 | 2,326,671 | ||||||
Christopher & Banks Corp.*(a) | 691,270 | 898,651 | ||||||
Ctrip.com International Ltd. - ADR*(a) | 33,071 | 1,568,888 | ||||||
CVS Health Corp. | 82,733 | 6,666,625 | ||||||
DSW, Inc., Class A(a) | 189,089 | 3,976,542 | ||||||
eBay, Inc.* | 133,731 | 4,533,481 | ||||||
Eros International PLC*(a) | 265,228 | 3,050,122 | ||||||
Express, Inc.*(a) | 283,311 | 3,184,416 | ||||||
Heidrick & Struggles International, Inc. | 188,137 | 4,599,950 | ||||||
ICF International, Inc.* | 55,525 | 2,384,799 | ||||||
IHS Markit Ltd.* | 59,472 | 2,366,986 | ||||||
ILG, Inc.(a) | 165,850 | 3,131,248 | ||||||
International Game Technology PLC | 109,095 | 2,945,565 | ||||||
JD.com, Inc. - ADR* | 115,263 | 3,523,590 | ||||||
Korn/Ferry International(a) | 100,540 | 3,107,691 | ||||||
La Quinta Holdings, Inc.* | 208,337 | 2,887,551 | ||||||
Landauer, Inc.† | 57,273 | 2,992,514 | ||||||
Liberty Expedia Holdings, Inc.*† | 45,671 | 1,976,641 | ||||||
Liberty Ventures*† | 11,588 | 508,250 | ||||||
ManpowerGroup, Inc. | 37,284 | 3,618,039 | ||||||
Michaels Cos., Inc. (The)* | 130,665 | 2,625,060 | ||||||
New Media Investment Group, Inc. | 253,465 | 3,910,965 |
12 | Semi-Annual Report 2017 |
BOSTON PARTNERS INVESTMENT FUNDS | February 28, 2017 (unaudited) |
BOSTON PARTNERS LONG/SHORT EQUITY FUND (continued) | Portfolio of Investments |
Number of Shares | Value | |||||||
Consumer Services—(continued) | ||||||||
PRGX Global, Inc.* | 161,819 | $ | 1,011,369 | |||||
Realogy Holdings Corp.† | 182,423 | 5,053,117 | ||||||
Salem Media Group, Inc. | 59,977 | 428,835 | ||||||
Scripps Networks Interactive, Inc., Class A(a) | 38,649 | 3,121,680 | ||||||
Sportsman's Warehouse Holdings, Inc.* | 312,365 | 1,514,970 | ||||||
Tailored Brands, Inc.† | 239,083 | 5,525,208 | ||||||
Team, Inc.*(a) | 45,789 | 1,572,852 | ||||||
Tetra Tech, Inc. | 92,322 | 3,715,960 | ||||||
Time Warner, Inc.† | 74,196 | 7,286,789 | ||||||
Townsquare Media, Inc.* | 37,874 | 411,690 | ||||||
Tractor Supply Co.(a) | 31,191 | 2,211,754 | ||||||
Twenty-First Century Fox, Inc., Class A(a) | 147,600 | 4,416,192 | ||||||
Vipshop Holdings Ltd.* | 213,759 | 2,781,005 | ||||||
Walgreens Boots Alliance, Inc. | 51,865 | 4,480,099 | ||||||
Williams-Sonoma, Inc.(a) | 54,314 | 2,639,117 | ||||||
Wynn Resorts Ltd.(a) | 33,315 | 3,203,237 | ||||||
135,211,237 | ||||||||
Energy—12.3% | ||||||||
Anadarko Petroleum Corp. | 106,644 | 6,894,535 | ||||||
Atwood Oceanics, Inc.*(a) | 155,065 | 1,629,733 | ||||||
Baker Hughes, Inc.* | 53,977 | 3,253,734 | ||||||
Canadian Natural Resources Ltd.† | 129,938 | 3,730,520 | ||||||
ConocoPhillips(a) | 154,838 | 7,365,644 | ||||||
Core Laboratories NV(a) | 23,067 | 2,639,326 | ||||||
Dawson Geophysical Co.*(a) | 440,495 | 3,400,621 | ||||||
Diamond Offshore Drilling, Inc.*(a) | 272,375 | 4,586,795 | ||||||
Energen Corp.* | 72,773 | 3,820,582 | ||||||
Enerplus Corp. | 336,234 | 2,962,222 | ||||||
EOG Resources, Inc. | 44,951 | 4,359,797 | ||||||
EQT Corp.(a) | 91,155 | 5,459,273 | ||||||
Gazprom PJSC(a) | 590,295 | 2,632,716 | ||||||
Gulf Island Fabrication, Inc.(a) | 67,102 | 764,963 | ||||||
Gulfport Energy Corp.* | 153,725 | 2,665,591 | ||||||
Halcon Resources Corp.*‡ | 420,000 | 2,721,600 | ||||||
Halliburton Co.(a)† | 67,251 | 3,595,238 | ||||||
Jagged Peak Energy, Inc.* | 209,577 | 2,885,875 | ||||||
Kosmos Energy Ltd.*(a)† | 880,451 | 5,405,969 | ||||||
LUKOIL PJSC | 69,162 | 3,667,259 | ||||||
LUKOIL PJSC - Sponsored ADR(a) | 43,364 | 2,292,872 | ||||||
Marathon Oil Corp.(a) | 365,820 | 5,853,120 | ||||||
Mitcham Industries, Inc.* | 381,308 | 1,845,531 | ||||||
National Oilwell Varco, Inc.(a) | 104,422 | 4,220,737 | ||||||
Occidental Petroleum Corp. | 93,931 | 6,157,177 | ||||||
Parsley Energy, Inc., Class A* | 82,738 | 2,514,408 | ||||||
PBF Energy, Inc.(a) | 165,300 | 4,048,197 | ||||||
Phillips 66 | 67,327 | 5,264,298 | ||||||
QEP Resources, Inc.* | 274,084 | 3,771,396 | ||||||
Rice Energy, Inc.*(a) | 153,918 | 2,870,571 | ||||||
TransGlobe Energy Corp.* | 339,486 | 553,362 | ||||||
Valero Energy Corp.(a) | 68,543 | 4,657,497 | ||||||
Viper Energy Partners LP | 236,845 | 4,215,841 | ||||||
122,707,000 | ||||||||
Finance—24.3% | ||||||||
AerCap Holdings NV*† | 87,012 | 3,941,644 | ||||||
Affiliated Managers Group, Inc. | 26,608 | 4,468,282 | ||||||
AMERCO(a) | 6,118 | 2,363,383 | ||||||
American International Group, Inc.† | 69,311 | 4,430,359 | ||||||
AmTrust Financial Services, Inc. | 230,349 | 5,298,027 | ||||||
Aspen Insurance Holdings Ltd.† | 71,095 | 3,984,875 | ||||||
Axis Capital Holdings Ltd.† | 41,628 | 2,884,820 | ||||||
Bank of America Corp.† | 604,919 | 14,929,401 | ||||||
Bar Harbor Bankshares | 13,327 | 567,864 | ||||||
Berkshire Hathaway, Inc. Class B*† | 79,415 | 13,613,319 | ||||||
BGC Partners, Inc., Class A | 272,797 | 3,077,150 | ||||||
Boulevard Acquisition, Corp. II* | 227,000 | 2,343,775 | ||||||
Century Bancorp, Inc., Class A† | 33,518 | 2,121,689 | ||||||
Charles Schwab Corp., (The)† | 118,153 | 4,774,563 | ||||||
Chubb Ltd.† | 41,682 | 5,759,202 | ||||||
Citigroup, Inc.† | 263,351 | 15,751,023 | ||||||
Colony NorthStar, Inc. | 282,337 | 4,144,707 | ||||||
East West Bancorp, Inc.† | 116,093 | 6,282,953 | ||||||
Ezcorp, Inc., Class A*(a) | 379,316 | 3,337,981 | ||||||
Fanhua, Inc.* | 141,405 | 1,292,442 | ||||||
Federated National Holding Co. | 93,880 | 1,878,539 | ||||||
Flushing Financial Corp.† | 88,734 | 2,479,228 | ||||||
Fortress Investment Group LLC† | 826,081 | 6,592,126 | ||||||
Franklin Resources, Inc. | 95,596 | 4,114,452 | ||||||
Heritage Insurance Holdings, Inc. | 145,169 | 2,142,694 | ||||||
JPMorgan Chase & Co.† | 114,167 | 10,345,814 | ||||||
Lazard Ltd., Class A | 129,086 | 5,558,443 | ||||||
Legg Mason, Inc.(a) | 93,474 | 3,525,839 | ||||||
Loews Corp.(a) | 86,512 | 4,064,334 | ||||||
Maiden Holdings Ltd.† | 456,896 | 7,059,043 | ||||||
Morgan Stanley | 232,914 | 10,637,182 | ||||||
National Western Life Group, Inc. Class A† | 8,322 | 2,645,148 | ||||||
Nationstar Mortgage Holdings, Inc.*(a) | 190,713 | 3,463,348 | ||||||
New Residential Investment Corp. | 271,859 | 4,586,261 | ||||||
Oaktree Capital Group LLC(a) | 85,097 | 3,803,836 | ||||||
PennyMac Financial Services, Inc. Class A*† | 259,326 | 4,628,969 | ||||||
Renaissance Holdings Ltd.† | 27,921 | 4,122,256 | ||||||
Sprott, Inc. | 3,279,208 | 5,579,740 | ||||||
State Street Corp.† | 87,717 | 6,991,922 | ||||||
Stifel Financial Corp.*(a) | 57,754 | 3,116,406 | ||||||
SVB Financial Group*(a) | 38,513 | 7,351,747 | ||||||
Synchrony Financial† | 187,058 | 6,778,982 | ||||||
Triton International Ltd. | 171,420 | 4,235,788 | ||||||
Validus Holdings Ltd.† | 75,664 | 4,362,786 | ||||||
Virtu Financial, Inc.(a) | 168,230 | 2,918,791 | ||||||
Wells Fargo & Co.# | 175,886 | 10,180,282 | ||||||
White Mountains Insurance Group Ltd. | 5,011 | 4,691,599 | ||||||
243,223,014 |
Semi-Annual Report 2017 | 13 |
BOSTON PARTNERS INVESTMENT FUNDS | February 28, 2017 (unaudited) |
BOSTON PARTNERS LONG/SHORT EQUITY FUND (continued) | Portfolio of Investments |
Number of Shares | Value | |||||||
Health Care—11.9% | ||||||||
Abbott Laboratories | 122,396 | $ | 5,517,612 | |||||
Allergan PLC(a) | 18,682 | 4,573,727 | ||||||
Anthem, Inc.(a) | 26,967 | 4,444,701 | ||||||
Carriage Services Inc.(a) | 84,546 | 2,178,750 | ||||||
Cigna Corp. | 36,857 | 5,488,007 | ||||||
DaVita HealthCare Partners, Inc.* | 75,476 | 5,238,789 | ||||||
Express Scripts Holding Co.* | 40,190 | 2,839,424 | ||||||
Fresenius Medical Care AG & Co. KGaA - ADR(a)† | 122,057 | 5,082,453 | ||||||
Gilead Sciences, Inc. | 66,915 | 4,716,169 | ||||||
HCA Holdings, Inc.*† | 89,224 | 7,783,902 | ||||||
Keryx Biopharmaceuticals, Inc.*(a) | 353,798 | 1,779,604 | ||||||
Laboratory Corp. of America Holdings*† | 45,727 | 6,505,123 | ||||||
LHC Group, Inc.*† | 93,376 | 4,483,916 | ||||||
MEDNAX, Inc.*(a) | 36,649 | 2,609,042 | ||||||
Medtronic PLC# | 62,692 | 5,072,410 | ||||||
Merck & Co., Inc. | 112,842 | 7,432,903 | ||||||
Mylan NV*(a) | 100,687 | 4,213,751 | ||||||
Paratek Pharmaceuticals, Inc.* | 136,227 | 2,036,594 | ||||||
Pfizer, Inc.(a) | 195,799 | 6,680,662 | ||||||
PharMerica Corp.*† | 147,789 | 3,635,609 | ||||||
Sanofi - ADR† | 142,023 | 6,125,452 | ||||||
Shire PLC - ADR | 27,767 | 5,017,497 | ||||||
Teva Pharmaceutical Industries Ltd. - Sponsored ADR(a)† | 92,494 | 3,239,140 | ||||||
uniQure NV* | 233,262 | 1,483,546 | ||||||
UnitedHealth Group, Inc. | 41,554 | 6,872,201 | ||||||
Zimmer Biomet Holdings, Inc. | 36,818 | 4,310,651 | ||||||
119,361,635 | ||||||||
Real Estate Investment Trusts—0.6% | ||||||||
Drive Shack, Inc. | 604,335 | 2,532,164 | ||||||
Five Star Quality Care, Inc.* | 395,262 | 909,102 | ||||||
MedEquities Realty Trust, Inc. | 272,000 | 2,967,520 | ||||||
6,408,786 | ||||||||
Technology—8.3% | ||||||||
Alliance Data Systems Corp.(a) | 20,792 | 5,052,040 | ||||||
Capgemini SA | 232,267 | 3,971,766 | ||||||
CDW Corp. | 43,354 | 2,553,551 | ||||||
Citrix Systems, Inc.* | 44,192 | 3,488,958 | ||||||
Cognizant Technology Solutions Corp., Class A*†# | 67,156 | 3,980,336 | ||||||
CommerceHub, Inc., Series A*† | 1,930 | 31,845 | ||||||
CommerceHub, Inc., Series C*† | 3,862 | 63,144 | ||||||
Dolby Laboratories, Inc. Class A† | 78,735 | 3,849,354 | ||||||
First Data Corp., Class A* | 223,048 | 3,591,073 | ||||||
Flextronics International Ltd.*† | 312,145 | 5,147,271 | ||||||
Generac Holdings, Inc.*(a) | 67,062 | 2,618,101 | ||||||
Hollysys Automation Technologies, Ltd. | 120,202 | 2,098,727 | ||||||
LogMeIn, Inc. | —^ | 13 | ||||||
Luxoft Holding, Inc.*(a) | 46,296 | 2,715,260 | ||||||
Microsoft Corp. | 137,515 | 8,798,210 | ||||||
Net 1 UEPS Technologies, Inc.* | 199,904 | 2,658,723 | ||||||
Oracle Corp.(a)† | 107,802 | 4,591,287 | ||||||
PayPal Holdings, Inc.*(a) | 137,360 | 5,769,120 | ||||||
Quality Systems, Inc.* | 202,152 | 3,084,840 | ||||||
Science Applications International Corp.(a) | 48,588 | 4,225,698 | ||||||
Silicon Motion Technology Corp.(a) | 93,066 | 3,777,549 | ||||||
Telefonaktiebolaget LM Ericsson | 410,140 | 2,645,403 | ||||||
Western Digital Corp. | 55,925 | 4,299,514 | ||||||
Zebra Technologies Corp., Class A*(a) | 43,657 | 3,960,126 | ||||||
82,971,909 | ||||||||
Transportation—5.1% | ||||||||
Air France-KLM(a) | 307,255 | 2,145,869 | ||||||
AP Moller - Maersk A/S - ADR | 326,848 | 2,663,811 | ||||||
ArcBest Corp.(a) | 96,868 | 2,843,076 | ||||||
Atlas Air Worldwide Holdings, Inc.* | 70,629 | 4,015,259 | ||||||
CH Robinson Worldwide, Inc.(a) | 59,931 | 4,816,654 | ||||||
Controladora Vuela Cia de Aviacion SAB de CV* | 179,919 | 2,180,618 | ||||||
Costamare, Inc.(a) | 478,345 | 2,922,688 | ||||||
Dorian LPG Ltd.* | 275,060 | 2,591,065 | ||||||
Expeditors International of Washington, Inc.(a) | 41,878 | 2,361,082 | ||||||
Gener8 Maritime, Inc.* | 415,116 | 2,025,766 | ||||||
Golar LNG Partners LP(a) | 108,162 | 2,437,972 | ||||||
Overseas Shipholding Group, Inc.(a) | 372,612 | 1,863,060 | ||||||
Safe Bulkers, Inc.*(a) | 1,612,888 | 2,274,172 | ||||||
Scorpio Bulkers, Inc.* | 401,883 | 2,973,934 | ||||||
Scorpio Tankers, Inc.(a) | 526,363 | 2,026,498 | ||||||
Teekay LNG Partners LP | 264,192 | 4,940,390 | ||||||
XPO Logistics, Inc.*(a) | 109,609 | 5,588,963 | ||||||
50,670,877 | ||||||||
Utilities—1.1% | ||||||||
AES Corp.† | 262,575 | 3,024,864 | ||||||
Cheniere Energy, Inc.* | 78,914 | 3,791,818 | ||||||
MPLX LP | 99,012 | 3,684,236 | ||||||
10,500,918 | ||||||||
TOTAL COMMON STOCKS (Cost $774,890,015) | 971,213,425 | |||||||
EXCHANGE TRADED FUNDS—0.6% | ||||||||
Energy—0.6% | ||||||||
Alerian MLP ETF*(a) | 478,522 | 6,153,793 | ||||||
TOTAL EXCHANGE TRADED FUNDS (Cost $4,903,840) | 6,153,793 | |||||||
SECURITIES LENDING COLLATERAL—22.3% | ||||||||
Mount Vernon Liquid Assets Portfolio, LLC, 0.97% | 223,784,970 | 223,784,970 | ||||||
TOTAL SECURITIES LENDING COLLATERAL (Cost $223,784,970) | 223,784,970 |
14 | Semi-Annual Report 2017 |
BOSTON PARTNERS INVESTMENT FUNDS | February 28, 2017 (unaudited) |
BOSTON PARTNERS LONG/SHORT EQUITY FUND (continued) | Portfolio of Investments |
Number of Shares | Value | |||||||
SHORT-TERM INVESTMENTS—1.6% | ||||||||
Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio, 0.41% | 15,936,041 | $ | 15,936,041 | |||||
TOTAL SHORT-TERM INVESTMENTS (Cost $15,936,041) | 15,936,041 | |||||||
TOTAL INVESTMENTS—121.5% | ||||||||
(Cost $1,019,514,866) | 1,217,088,229 | |||||||
SECURITIES SOLD SHORT—(23.4%) | ||||||||
COMMON STOCKS—(21.8%) | ||||||||
Basic Industries—(0.4%) | ||||||||
Kennady Diamonds, Inc.* | (45,900 | ) | (129,593 | ) | ||||
NewMarket Corp. | (8,597 | ) | (3,745,627 | ) | ||||
Tanzanian Royalty Exploration Corp.* | (171,865 | ) | (77,339 | ) | ||||
(3,952,559 | ) | |||||||
Capital Goods—(1.7%) | ||||||||
AAON, Inc. | (148,513 | ) | (4,997,462 | ) | ||||
American Outdoor Brands Corp.* | (96,172 | ) | (1,869,584 | ) | ||||
Applied Energetics, Inc.* | (238,070 | ) | (10,868 | ) | ||||
DynaMotive Energy Systems Corp.*‡ | (72,185 | ) | (7 | ) | ||||
Griffon Corp. | (199,972 | ) | (5,029,296 | ) | ||||
Manitowoc Foodservice, Inc.* | (140,141 | ) | (2,671,087 | ) | ||||
Proto Labs, Inc.* | (56,170 | ) | (3,066,882 | ) | ||||
(17,645,186 | ) | |||||||
Communications—(1.9%) | ||||||||
Akamai Technologies, Inc.* | (47,130 | ) | (2,950,338 | ) | ||||
Angie's List, Inc.* | (208,849 | ) | (1,113,165 | ) | ||||
Criteo SA - Sponsored ADR* | (35,248 | ) | (1,655,951 | ) | ||||
CTC Communications Group, Inc.*‡ | (98,900 | ) | 0 | |||||
General Communication, Inc.* | (96,710 | ) | (1,948,706 | ) | ||||
Gogo, Inc.* | (206,241 | ) | (2,186,155 | ) | ||||
Interliant, Inc.*‡ | (600 | ) | 0 | |||||
Match Group, Inc.* | (102,168 | ) | (1,651,035 | ) | ||||
Sprint Corp.* | (495,391 | ) | (4,364,395 | ) | ||||
TrueCar, Inc.* | (260,133 | ) | (3,657,470 | ) | ||||
(19,527,215 | ) | |||||||
Consumer Durables—(1.3%) | ||||||||
Qsound Labs, Inc.*‡ | (4,440 | ) | 0 | |||||
Tesla Motors, Inc.* | (40,836 | ) | (10,208,592 | ) | ||||
Universal Electronics, Inc.* | (37,501 | ) | (2,576,319 | ) | ||||
(12,784,911 | ) | |||||||
Consumer Non-Durables—(1.0%) | ||||||||
Amish Naturals, Inc.*‡ | (25,959 | ) | 0 | |||||
Amplify Snack Brands, Inc.* | (160,969 | ) | (1,612,909 | ) | ||||
Calavo Growers, Inc. | (46,733 | ) | (2,635,741 | ) | ||||
MGP Ingredients, Inc. | (67,924 | ) | (3,004,279 | ) | ||||
Nintendo Co., Ltd. | (10,700 | ) | (2,234,971 | ) | ||||
Teligent, Inc.* | (85,822 | ) | (613,627 | ) | ||||
Valence Technology, Inc.*‡ | (27,585 | ) | (3 | ) | ||||
(10,101,530 | ) | |||||||
Consumer Services—(5.1%) | ||||||||
Barnes & Noble, Inc. | (224,003 | ) | (2,195,229 | ) | ||||
Big 5 Sporting Goods Corp. | (177,296 | ) | (2,384,631 | ) | ||||
Blackhawk Network Holdings, Inc.* | (79,363 | ) | (2,892,781 | ) | ||||
Cimpress NV* | (47,657 | ) | (3,822,568 | ) | ||||
Corporate Resource Services, Inc.* | (218,896 | ) | (331 | ) | ||||
Etsy, Inc.* | (197,473 | ) | (2,393,373 | ) | ||||
Houghton Mifflin Harcourt Co.* | (201,342 | ) | (2,224,829 | ) | ||||
Jamba, Inc.* | (111,749 | ) | (1,085,083 | ) | ||||
Medidata Solutions, Inc.* | (40,777 | ) | (2,280,250 | ) | ||||
Netflix, Inc.* | (60,110 | ) | (8,543,434 | ) | ||||
Panera Bread Co., Class A* | (23,450 | ) | (5,412,260 | ) | ||||
PetMed Express, Inc. | (189,908 | ) | (3,999,462 | ) | ||||
Quotient Technology, Inc.* | (168,741 | ) | (2,008,018 | ) | ||||
Red Robin Gourmet Burgers, Inc.* | (66,626 | ) | (3,041,477 | ) | ||||
Rosetta Stone, Inc.* | (187,803 | ) | (1,474,254 | ) | ||||
Sturm Ruger & Co, Inc. | (33,396 | ) | (1,664,791 | ) | ||||
Wal-Mart Stores, Inc. | (56,914 | ) | (4,036,910 | ) | ||||
Wingstop, Inc. | (51,177 | ) | (1,345,955 | ) | ||||
(50,805,636 | ) | |||||||
Energy—0.0% | ||||||||
Beard Co.* | (9,710 | ) | (10 | ) | ||||
Finance—(0.9%) | ||||||||
Cincinnati Financial Corp. | (55,005 | ) | (4,013,165 | ) | ||||
RLI Corp. | (79,791 | ) | (4,663,784 | ) | ||||
(8,676,949 | ) | |||||||
Health Care—(3.1%) | ||||||||
AtriCure, Inc.* | (164,686 | ) | (3,005,520 | ) | ||||
AxoGen, Inc.* | (183,179 | ) | (1,914,221 | ) | ||||
BodyTel Scientific, Inc.*‡ | (4,840 | ) | 0 | |||||
CareView Communications, Inc.* | (207,465 | ) | (18,672 | ) | ||||
Corindus Vascular Robotics, Inc.* | (624,000 | ) | (499,200 | ) | ||||
Cross Country Healthcare, Inc.* | (325,244 | ) | (5,031,525 | ) | ||||
Endologix, Inc.* | (213,502 | ) | (1,411,248 | ) | ||||
GenMark Diagnostics, Inc.* | (193,763 | ) | (2,193,397 | ) | ||||
Glaukos Corp.* | (44,556 | ) | (2,027,298 | ) | ||||
HMS Holdings Corp.* | (162,842 | ) | (3,033,746 | ) | ||||
Insulet Corp.* | (96,555 | ) | (4,205,936 | ) | ||||
K2M Group Holdings, Inc.* | (144,654 | ) | (2,900,313 | ) | ||||
Penumbra, Inc.* | (28,839 | ) | (2,214,835 | ) | ||||
STAAR Surgical Co.* | (266,314 | ) | (2,649,824 | ) | ||||
(31,105,735 | ) | |||||||
Real Estate Investment Trusts—(0.2%) | ||||||||
Monogram Residential Trust, Inc. | (233,886 | ) | (2,406,687 | ) | ||||
Technology—(4.2%) | ||||||||
3D Systems Corp.* | (173,294 | ) | (2,634,069 | ) | ||||
ANTs software, Inc.*‡ | (10,334 | ) | (1 | ) | ||||
Apptio, Inc.* | (105,400 | ) | (1,369,146 | ) | ||||
Atlassian Corp. PLC Class A* | (124,185 | ) | (3,531,821 | ) | ||||
Axcelis Technologies, Inc.* | (167,355 | ) | (2,585,635 | ) | ||||
Benefitfocus, Inc.* | (37,700 | ) | (1,000,935 | ) | ||||
Callidus Software, Inc.* | (96,490 | ) | (1,818,836 | ) | ||||
Capstone Turbine Corp.* | (33,777 | ) | (24,488 | ) | ||||
Carbonite, Inc.* | (205,832 | ) | (4,003,432 | ) | ||||
Cavium, Inc.* | (34,283 | ) | (2,245,879 | ) |
Semi-Annual Report 2017 | 15 |
BOSTON PARTNERS INVESTMENT FUNDS | February 28, 2017 (unaudited) |
BOSTON PARTNERS LONG/SHORT EQUITY FUND (continued) | Portfolio of Investments |
Number of Shares | Value | |||||||
Technology—(continued) | ||||||||
Consygen, Inc.*‡ | (200 | ) | $ | 0 | ||||
Ener1, Inc.*‡ | (102,820 | ) | (10 | ) | ||||
Inseego Corp.* | (801,495 | ) | (2,308,306 | ) | ||||
Knowles Corp.* | (191,333 | ) | (3,621,934 | ) | ||||
Nestor, Inc.*‡ | (15,200 | ) | (2 | ) | ||||
PROS Holdings, Inc.* | (94,982 | ) | (2,206,432 | ) | ||||
ServiceNow, Inc.* | (32,962 | ) | (2,865,057 | ) | ||||
Splunk, Inc.* | (48,164 | ) | (2,973,164 | ) | ||||
Tiger Telematics, Inc.*‡ | (6,510 | ) | 0 | |||||
Uni-Pixel, Inc.* | (19,665 | ) | (20,452 | ) | ||||
Workday, Inc. Class A* | (76,558 | ) | (6,348,955 | ) | ||||
Worldgate Communications, Inc.*‡ | (582,655 | ) | (58 | ) | ||||
Xactly Corp.* | (173,031 | ) | (2,145,584 | ) | ||||
Xybernaut Corp.*‡ | (34,156 | ) | 0 | |||||
(41,704,196 | ) | |||||||
Utilities—(2.0%) | ||||||||
Avista Corp. | (35,541 | ) | (1,417,020 | ) | ||||
California Water Service Group | (53,420 | ) | (1,963,185 | ) | ||||
Chesapeake Utilities Corp. | (30,598 | ) | (2,109,732 | ) | ||||
El Paso Electric Co. | (65,507 | ) | (3,200,017 | ) | ||||
MGE Energy, Inc. | (29,366 | ) | (1,877,956 | ) | ||||
New Jersey Resources Corp. | (40,857 | ) | (1,609,766 | ) | ||||
NorthWestern Corp. | (24,381 | ) | (1,426,288 | ) | ||||
ONE Gas, Inc. | (24,589 | ) | (1,611,809 | ) | ||||
PNM Resources, Inc. | (45,604 | ) | (1,655,425 | ) | ||||
Spire, Inc. | (22,065 | ) | (1,454,083 | ) | ||||
WGL Holdings, Inc. | (21,334 | ) | (1,781,176 | ) | ||||
(20,106,457 | ) | |||||||
TOTAL COMMON STOCKS (Proceeds $210,971,506) | (218,817,071 | ) | ||||||
EXCHANGE TRADED FUNDS—(1.6%) | ||||||||
Finance—(1.6%) | ||||||||
iShares 20+ Year Treasury Bond ETF | (63,505 | ) | (7,731,099 | ) | ||||
SPDR Bloomberg Barclays International Treasury Bond ETF* | (294,912 | ) | (7,797,473 | ) | ||||
(15,528,572 | ) | |||||||
TOTAL EXCHANGE TRADED FUNDS (Proceeds $16,580,195) | (15,528,572 | ) | ||||||
TOTAL SECURITIES SOLD SHORT—(23.4%) (Proceeds $227,551,701) | (234,345,643 | ) |
Number of Contracts | Value | |||||||
OPTIONS WRITTEN††—(0.2%) | ||||||||
Cognizant Technology Solutions Corp., Class A | ||||||||
Put Options Expires 01/18/2019 | ||||||||
Strike Price $45.00 | (694 | ) | $ | (235,960 | ) | |||
Medtronic PLC | ||||||||
Put Options Expires 01/18/2019 | ||||||||
Strike Price $70.00 | (695 | ) | (380,512 | ) | ||||
Straight Path Communications, Inc. | ||||||||
Call Options Expires 12/15/2017 | ||||||||
Strike Price $35.00 | (653 | ) | (568,110 | ) | ||||
Wells Fargo & Co. | ||||||||
Put Options Expires 01/18/2019 | ||||||||
Strike Price $40.00 | (1,692 | ) | (407,772 | ) | ||||
TOTAL OPTIONS WRITTEN (Premiums received $2,588,914) | (1,592,354 | ) | ||||||
OTHER ASSETS IN EXCESS OF LIABILITIES—2.1% | 20,590,526 | |||||||
NET ASSETS—100.0% | $ | 1,001,740,758 |
ADR | — American Depositary Receipt |
PLC | — Public Limited Company |
* | — Non-income producing. |
(a) | — All or a portion of the security is on loan. At February 28, 2017, the market value of securities on loan was $216,150,902. |
† | — 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. |
^ | — Less than 0.5 shares |
‡ | — 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 28, 2017, long securities amounted to $2,721,600 or 0.3% of net assets and short securities amounted to $(81) or 0.0% of net assets. |
†† | — Primary risk exposure is equity contracts. |
16 | Semi-Annual Report 2017 |
BOSTON PARTNERS INVESTMENT FUNDS | February 28, 2017 (unaudited) |
BOSTON PARTNERS LONG/SHORT EQUITY FUND (concluded) | Portfolio of Investments |
Total Value as of February 28, 2017 | Level 1 Quoted Price | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |||||||||||||
Common Stock | ||||||||||||||||
Basic Industries | $ | 62,877,210 | $ | 62,877,210 | $ | — | $ | — | ||||||||
Capital Goods | 82,591,338 | 82,591,338 | — | — | ||||||||||||
Communications | 37,243,085 | 37,243,085 | — | — | ||||||||||||
Consumer Non-Durables | 17,446,416 | 17,446,416 | — | — | ||||||||||||
Consumer Services | 135,211,237 | 135,211,237 | — | — | ||||||||||||
Energy | 122,707,000 | 116,318,141 | 6,388,859 | — | ||||||||||||
Finance | 243,223,014 | 240,879,239 | 2,343,775 | — | ||||||||||||
Health Care | 119,361,635 | 119,361,635 | — | — | ||||||||||||
Real Estate Investment Trusts | 6,408,786 | 6,408,786 | — | — | ||||||||||||
Technology | 82,971,909 | 82,971,909 | — | — | ||||||||||||
Transportation | 50,670,877 | 50,670,877 | — | — | ||||||||||||
Utilities | 10,500,918 | 10,500,918 | — | — | ||||||||||||
Exchange Traded Funds | 6,153,793 | 6,153,793 | — | — | ||||||||||||
Securities Lending Collateral | 223,784,970 | 223,784,970 | — | — | ||||||||||||
Short-Term Investments | 15,936,041 | 15,936,041 | — | — | ||||||||||||
Total Assets | $ | 1,217,088,229 | $ | 1,208,355,595 | $ | 8,732,634 | $ | — |
Total Value as of February 28, 2017 | Level 1 Quoted Price | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |||||||||||||
Securities Sold Short | ||||||||||||||||
Basic Industries | $ | (3,952,559 | ) | $ | (3,952,559 | ) | $ | — | $ | — | ||||||
Capital Goods | (17,645,186 | ) | (17,645,179 | ) | — | (7 | ) | |||||||||
Communications | (19,527,215 | ) | (19,527,215 | ) | — | — | ||||||||||
Consumer Durables | (12,784,911 | ) | (12,784,911 | ) | — | — | ||||||||||
Consumer Non-Durables | (10,101,530 | ) | (7,866,556 | ) | (2,234,971 | ) | (3 | ) | ||||||||
Consumer Services | (50,805,636 | ) | (50,805,636 | ) | — | — | ||||||||||
Energy | (10 | ) | — | (10 | ) | — | ||||||||||
Finance | (8,676,949 | ) | (8,676,949 | ) | — | — | ||||||||||
Health Care | (31,105,735 | ) | (31,105,735 | ) | — | — | ||||||||||
Real Estate Investment Trusts | (2,406,687 | ) | (2,406,687 | ) | — | — | ||||||||||
Technology | (41,704,196 | ) | (41,704,125 | ) | — | (71 | ) | |||||||||
Utilities | (20,106,457 | ) | (20,106,457 | ) | — | — | ||||||||||
Exchange Traded Funds | (15,528,572 | ) | (15,528,572 | ) | — | — | ||||||||||
Options Written | ||||||||||||||||
Equity Contracts | (1,592,354 | ) | (407,772 | ) | (1,184,582 | ) | — | |||||||||
Total Liabilities | $ | (235,937,997 | ) | $ | (232,518,353 | ) | $ | (3,419,563 | ) | $ | (81 | ) |
Semi-Annual Report 2017 | 17 |
BOSTON PARTNERS INVESTMENT FUNDS | February 28, 2017 (unaudited) |
BOSTON PARTNERS LONG/SHORT RESEARCH FUND | Portfolio of Investments |
Number of Shares | Value | |||||||
LONG POSITIONS—98.7% | ||||||||
COMMON STOCKS—94.9% | ||||||||
Basic Industries—4.8% | ||||||||
Berry Plastics Group, Inc.*† | 880,968 | $ | 44,339,119 | |||||
Celanese Corp. | 187,858 | 16,751,298 | ||||||
Crown Holdings, Inc.* | 608,274 | 32,597,404 | ||||||
Ferro Corp.* | 1,299,340 | 18,190,760 | ||||||
Graphic Packaging Holding Co.† | 2,448,384 | 32,685,926 | ||||||
PPG Industries, Inc.† | 360,077 | 36,882,687 | ||||||
Sealed Air Corp. | 590,246 | 27,434,634 | ||||||
Steel Dynamics, Inc. | 416,891 | 15,258,211 | ||||||
Stornoway Diamond Corp.* | 26,913,645 | 17,629,025 | ||||||
SunCoke Energy, Inc.* | 1,065,951 | 10,393,022 | ||||||
WestRock Co.† | 705,989 | 37,925,729 | ||||||
Yara International ASA | 531,047 | 20,160,493 | ||||||
310,248,308 | ||||||||
Capital Goods—11.6% | ||||||||
AMETEK, Inc. | 537,963 | 29,033,863 | ||||||
BAE Systems PLC | 1,923,807 | 15,060,594 | ||||||
Carlisle Cos., Inc. | 274,479 | 28,353,681 | ||||||
CRH PLC | 876,702 | 29,603,770 | ||||||
CRH PLC - Sponsored ADR | 336,929 | 11,378,092 | ||||||
General Dynamics Corp.† | 298,244 | 56,609,694 | ||||||
Honeywell International, Inc.† | 270,003 | 33,615,373 | ||||||
Huntington Ingalls Industries, Inc. | 170,171 | 37,182,364 | ||||||
Illinois Tool Works, Inc. | 188,003 | 24,818,276 | ||||||
Ingersoll-Rand PLC† | 202,917 | 16,103,493 | ||||||
Koninklijke Philips NV | 1,107,198 | 33,547,918 | ||||||
L3 Technologies, Inc. | 88,702 | 14,930,321 | ||||||
Lockheed Martin Corp.† | 187,686 | 50,033,333 | ||||||
Masco Corp.† | 983,365 | 33,218,070 | ||||||
Northrop Grumman Corp.† | 126,365 | 31,223,528 | ||||||
Raytheon Co.† | 342,454 | 52,789,284 | ||||||
Safran SA | 184,390 | 13,128,206 | ||||||
Siemens AG, Registered Shares | 381,230 | 49,560,255 | ||||||
Stanley Black & Decker, Inc.† | 282,493 | 35,918,985 | ||||||
Textron, Inc.† | 1,075,770 | 50,883,921 | ||||||
Tutor Perini Corp.* | 234,185 | 7,130,933 | ||||||
United Technologies Corp.† | 330,682 | 37,218,259 | ||||||
Vinci SA | 645,140 | 46,511,212 | ||||||
WABCO Holdings, Inc.* | 149,283 | 16,761,495 | ||||||
754,614,920 | ||||||||
Communications—7.1% | ||||||||
Alphabet, Inc., Class A*† | 120,902 | 102,153,727 | ||||||
Baidu, Inc. - Sponsored ADR*† | 162,900 | 28,365,777 | ||||||
Comcast Corp., Class A† | 1,743,716 | 65,249,853 | ||||||
Liberty Broadband Corp., Class C*† | 124,725 | 10,718,866 | ||||||
Liberty Global PLC LiLAC, Class C*† | 517,925 | 12,735,776 | ||||||
Liberty Global PLC, Series C*† | 1,779,095 | 62,428,443 | ||||||
NetEase, Inc. - ADR† | 229,348 | 69,964,901 | ||||||
Priceline Group, Inc., (The)* | 8,129 | 14,015,453 | ||||||
VeriSign, Inc.* | 117,443 | 9,685,524 | ||||||
Verizon Communications, Inc.† | 593,644 | 29,462,552 | ||||||
Vodafone Group PLC | 8,686,169 | 21,753,351 | ||||||
Yandex NV, Class A* | 482,568 | 10,857,780 | ||||||
YY, Inc. - ADR* | 497,877 | 22,050,972 | ||||||
459,442,975 | ||||||||
Consumer Durables—1.5% | ||||||||
BorgWarner, Inc. | 398,825 | 16,826,427 | ||||||
Brunswick Corp. | 606,183 | 36,304,300 | ||||||
Suzuki Motor Corp. | 713,000 | 27,867,367 | ||||||
Tenneco, Inc.† | 244,691 | 15,736,078 | ||||||
96,734,172 | ||||||||
Consumer Non-Durables—3.0% | ||||||||
Activision Blizzard, Inc. | 301,557 | 13,609,268 | ||||||
Altria Group, Inc. | 589,745 | 44,183,695 | ||||||
Coca-Cola European Partners PLC | 761,070 | 26,401,518 | ||||||
Coca-Cola West Co., Ltd. | 568,300 | 16,890,215 | ||||||
Electronic Arts, Inc.* | 358,298 | 30,992,777 | ||||||
Greencore Group PLC | 7,291,989 | 23,465,537 | ||||||
Hasbro, Inc. | 138,088 | 13,376,585 | ||||||
Nomad Foods Ltd.* | 2,518,638 | 27,100,545 | ||||||
196,020,140 | ||||||||
Consumer Services—8.3% | ||||||||
Alibaba Group Holding Ltd. - Sponsored ADR* | 329,345 | 33,889,600 | ||||||
Babcock International Group PLC | 2,806,587 | 32,997,014 | ||||||
CBS Corp., Class B non-voting shares† | 485,679 | 32,015,960 | ||||||
CVS Health Corp.† | 234,387 | 18,886,904 | ||||||
eBay, Inc.* | 1,661,467 | 56,323,731 | ||||||
Home Depot, Inc., (The) | 148,114 | 21,463,200 | ||||||
Interpublic Group of Cos., Inc., (The) | 1,066,536 | 25,703,518 | ||||||
Lowe's Cos., Inc.† | 326,836 | 24,306,793 | ||||||
Moneysupermarket.com Group PLC | 4,226,642 | 17,286,934 | ||||||
Nielsen Holdings PLC | 777,822 | 34,504,184 | ||||||
Omnicom Group, Inc.† | 248,587 | 21,154,754 | ||||||
ProSiebenSat.1 Media SE | 793,754 | 31,795,195 | ||||||
Robert Half International, Inc.† | 265,734 | 12,819,008 | ||||||
Scripps Networks Interactive, Inc., Class A | 398,079 | 32,152,841 | ||||||
Six Flags Entertainment Corp. | 424,021 | 25,699,913 | ||||||
Tesco PLC* | 10,629,823 | 24,840,191 | ||||||
Time Warner, Inc.† | 493,388 | 48,455,635 | ||||||
TJX Cos., Inc., (The) | 267,388 | 20,976,589 | ||||||
WPP PLC | 893,725 | 21,026,121 | ||||||
536,298,085 | ||||||||
Energy—8.1% | ||||||||
Cimarex Energy Co. | 253,584 | 31,880,581 | ||||||
Diamondback Energy, Inc.*# | 855,297 | 86,265,255 | ||||||
Energen Corp.* | 658,740 | 34,583,850 | ||||||
Enerplus Corp. | 2,553,226 | 22,529,596 | ||||||
Gulfport Energy Corp.* | 965,385 | 16,739,776 | ||||||
Halcon Resources Corp.*‡ | 2,930,000 | 18,986,400 | ||||||
Halcon Resources Corp.* | 426,846 | 3,457,453 | ||||||
Jagged Peak Energy, Inc.* | 1,388,572 | 19,120,636 | ||||||
Kosmos Energy Ltd.*† | 3,680,029 | 22,595,378 | ||||||
LUKOIL PJSC | 280,388 | 14,867,346 |
18 | Semi-Annual Report 2017 |
BOSTON PARTNERS INVESTMENT FUNDS | February 28, 2017 (unaudited) |
BOSTON PARTNERS LONG/SHORT RESEARCH FUND (continued) | Portfolio of Investments |
Number of Shares | Value | |||||||
Energy—(continued) | ||||||||
Marathon Petroleum Corp. | 975,028 | $ | 48,361,389 | |||||
Newfield Exploration Co.* | 237,958 | 8,675,949 | ||||||
Parsley Energy, Inc., Class A*† | 1,522,667 | 46,273,850 | ||||||
Phillips 66# | 234,479 | 18,333,913 | ||||||
Pioneer Natural Resources Co. | 116,848 | 21,730,223 | ||||||
QEP Resources, Inc.* | 2,101,850 | 28,921,456 | ||||||
RSP Permian, Inc.* | 429,206 | 16,949,345 | ||||||
Tesoro Corp. | 343,097 | 29,228,433 | ||||||
Viper Energy Partners LP | 1,213,099 | 21,593,162 | ||||||
WildHorse Resource Development Corp.* | 1,473,625 | 17,108,786 | ||||||
528,202,777 | ||||||||
Finance—18.6% | ||||||||
Alleghany Corp.* | 41,787 | 26,986,045 | ||||||
Allstate Corp., (The)† | 461,079 | 37,882,251 | ||||||
Ally Financial, Inc.† | 1,425,267 | 32,054,255 | ||||||
Aon PLC | 229,068 | 26,491,714 | ||||||
Bank of America Corp.† | 3,264,174 | 80,559,814 | ||||||
BB&T Corp.† | 542,356 | 26,152,406 | ||||||
Berkshire Hathaway, Inc. Class B*† | 265,826 | 45,567,893 | ||||||
Capital One Financial Corp.† | 515,325 | 48,368,404 | ||||||
Charles Schwab Corp., (The)† | 882,049 | 35,643,600 | ||||||
Chubb Ltd.† | 188,746 | 26,079,035 | ||||||
Citigroup, Inc.† | 1,172,164 | 70,107,129 | ||||||
Citizens Financial Group, Inc.† | 404,112 | 15,101,665 | ||||||
Discover Financial Services† | 998,548 | 71,036,705 | ||||||
East West Bancorp, Inc. | 521,591 | 28,228,505 | ||||||
Fifth Third Bancorp† | 1,020,771 | 28,009,956 | ||||||
Goldman Sachs Group, Inc., (The)† | 131,684 | 32,665,533 | ||||||
Huntington Bancshares, Inc.† | 2,789,718 | 39,446,612 | ||||||
ICICI Bank Ltd. - ADR | 2,602,471 | 21,340,262 | ||||||
Jardine Lloyd Thompson Group PLC | 443,720 | 5,671,071 | ||||||
JPMorgan Chase & Co.† | 726,416 | 65,827,818 | ||||||
Marsh & McLennan Cos., Inc. | 313,995 | 23,072,353 | ||||||
MetLife, Inc. | 498,350 | 26,133,474 | ||||||
Morgan Stanley | 296,516 | 13,541,886 | ||||||
Navient Corp.† | 2,148,146 | 33,102,930 | ||||||
Raymond James Financial, Inc. | 353,235 | 27,750,142 | ||||||
SLM Corp.* | 3,972,461 | 47,629,807 | ||||||
State Street Corp.† | 394,416 | 31,438,899 | ||||||
SunTrust Banks, Inc.† | 486,348 | 28,932,843 | ||||||
Synchrony Financial | 1,440,255 | 52,194,841 | ||||||
TD Ameritrade Holding Corp.† | 656,113 | 25,654,018 | ||||||
Travelers Cos., Inc., (The)† | 150,294 | 18,371,939 | ||||||
Unum Group† | 633,652 | 30,941,227 | ||||||
US Bancorp | 493,855 | 27,162,025 | ||||||
Wells Fargo & Co.† | 1,039,117 | 60,144,092 | ||||||
1,209,291,149 | ||||||||
Health Care—9.2% | ||||||||
Anthem, Inc.† | 310,521 | 51,180,071 | ||||||
Cardinal Health, Inc.† | 357,886 | 29,121,184 | ||||||
Celgene Corp.* | 168,690 | 20,834,902 | ||||||
Cigna Corp.† | 304,147 | 45,287,488 | ||||||
Danaher Corp.† | 434,882 | 37,204,155 | ||||||
DaVita HealthCare Partners, Inc.* | 528,257 | 36,666,319 | ||||||
Express Scripts Holding Co.* | 269,925 | 19,070,201 | ||||||
Gilead Sciences, Inc.† | 465,658 | 32,819,576 | ||||||
Johnson & Johnson† | 398,614 | 48,714,617 | ||||||
Laboratory Corp. of America Holdings*† | 223,043 | 31,730,097 | ||||||
Merck & Co., Inc.† | 855,257 | 56,335,779 | ||||||
Pfizer, Inc.† | 751,450 | 25,639,474 | ||||||
Quest Diagnostics, Inc. | 321,759 | 31,352,197 | ||||||
Roche Holding AG | 65,884 | 16,036,463 | ||||||
Sanofi - ADR | 312,186 | 13,464,582 | ||||||
UnitedHealth Group, Inc. | 267,277 | 44,202,270 | ||||||
Universal Health Services, Inc., Class B | 236,594 | 29,716,207 | ||||||
Waters Corp.* | 86,889 | 13,466,926 | ||||||
Zimmer Biomet Holdings, Inc. | 137,765 | 16,129,526 | ||||||
598,972,034 | ||||||||
Technology—20.2% | ||||||||
Alliance Data Systems Corp. | 138,406 | 33,629,890 | ||||||
Amdocs Ltd.† | 650,824 | 39,472,476 | ||||||
Apple, Inc. | 294,360 | 40,324,376 | ||||||
Arrow Electronics, Inc.† | 655,754 | 47,345,439 | ||||||
Avnet, Inc.† | 398,730 | 18,373,478 | ||||||
Broadcom Ltd.† | 300,866 | 63,461,665 | ||||||
Brocade Communications Systems, Inc.† | 3,200,268 | 39,395,299 | ||||||
Capgemini SA | 374,585 | 32,084,009 | ||||||
CDW Corp.† | 980,865 | 57,772,949 | ||||||
Cisco Systems, Inc.† | 1,102,732 | 37,691,380 | ||||||
CommScope Holding Co., Inc.* | 431,371 | 16,413,667 | ||||||
Computer Sciences Corp. | 719,690 | 49,341,946 | ||||||
CoreLogic, Inc.* | 252,984 | 9,914,443 | ||||||
Dell Technologies Inc., Class V*† | 265,111 | 16,831,897 | ||||||
Eaton Corp. PLC | 355,740 | 25,606,165 | ||||||
Equiniti Group PLC* | 1,394,192 | 3,248,040 | ||||||
EVERTEC, Inc.† | 688,058 | 11,593,777 | ||||||
Flextronics International Ltd.*† | 4,065,284 | 67,036,533 | ||||||
Harris Corp.† | 617,830 | 67,899,517 | ||||||
Hewlett Packard Enterprise Co.† | 3,460,629 | 78,971,554 | ||||||
Hollysys Automation Technologies, Ltd. | 519,451 | 9,069,614 | ||||||
HP, Inc. | 611,431 | 10,620,557 | ||||||
Jabil Circuit, Inc.† | 2,216,989 | 56,555,389 | ||||||
KLA-Tencor Corp. | 406,811 | 36,661,807 | ||||||
Leidos Holdings, Inc.† | 767,080 | 40,885,364 | ||||||
Microsoft Corp.† | 1,027,354 | 65,730,109 | ||||||
ON Semiconductor Corp.* | 4,366,804 | 66,069,745 | ||||||
Oracle Corp.† | 1,435,493 | 61,137,647 | ||||||
PayPal Holdings, Inc.*† | 274,933 | 11,547,186 | ||||||
Qorvo, Inc.* | 371,666 | 24,567,123 | ||||||
Samsung Electronics Co., Ltd. | 38,732 | 65,822,465 | ||||||
TE Connectivity Ltd.† | 478,094 | 35,603,660 | ||||||
Texas Instruments, Inc.† | 733,814 | 56,224,829 | ||||||
Versum Materials, Inc.* | 564,946 | 17,123,513 | ||||||
1,314,027,508 |
Semi-Annual Report 2017 | 19 |
BOSTON PARTNERS INVESTMENT FUNDS | February 28, 2017 (unaudited) |
BOSTON PARTNERS LONG/SHORT RESEARCH FUND (continued) | Portfolio of Investments |
Number of Shares | Value | |||||||
Transportation—0.9% | ||||||||
Delta Air Lines, Inc.† | 583,703 | $ | 29,144,291 | |||||
United Continental Holdings, Inc.* | 410,986 | 30,449,952 | ||||||
59,594,243 | ||||||||
Utilities—1.6% | ||||||||
AES Corp. | 2,353,637 | 27,113,898 | ||||||
Boardwalk Pipeline Partners LP | 2,306,144 | 41,741,206 | ||||||
Enterprise Products Partners LP | 655,926 | 18,385,606 | ||||||
MPLX LP | 393,264 | 14,633,354 | ||||||
101,874,064 | ||||||||
TOTAL COMMON STOCKS (Cost $4,871,892,454) | 6,165,320,375 | |||||||
SHORT-TERM INVESTMENTS—3.8% | ||||||||
Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio, 0.41% | 248,967,703 | 248,967,703 | ||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $248,967,703) | 248,967,703 | |||||||
TOTAL INVESTMENTS—98.7% | ||||||||
(Cost $5,120,860,157) | 6,414,288,078 | |||||||
SECURITIES SOLD SHORT—(45.2%) | ||||||||
COMMON STOCKS—(45.2%) | ||||||||
Basic Industries—(2.5%) | ||||||||
Air Liquide SA | (122,800 | ) | (13,271,170 | ) | ||||
Antofagasta PLC | (989,303 | ) | (9,941,457 | ) | ||||
AptarGroup, Inc. | (263,655 | ) | (19,644,934 | ) | ||||
Balchem Corp. | (193,993 | ) | (16,910,370 | ) | ||||
Ball Corp. | (321,399 | ) | (23,632,468 | ) | ||||
Bemis Co., Inc. | (209,676 | ) | (10,393,639 | ) | ||||
Ingevity Corp.* | (223,765 | ) | (12,076,597 | ) | ||||
Kinross Gold Corp.* | (3,173,728 | ) | (11,234,997 | ) | ||||
NewMarket Corp. | (61,679 | ) | (26,872,924 | ) | ||||
Sonoco Products Co. | (378,856 | ) | (20,200,602 | ) | ||||
(164,179,158 | ) | |||||||
Capital Goods—(3.9%) | ||||||||
Actuant Corp., Class A | (728,706 | ) | (19,347,144 | ) | ||||
Airbus Group SE | (267,039 | ) | (19,621,092 | ) | ||||
Axalta Coating Systems Ltd.* | (421,715 | ) | (12,276,124 | ) | ||||
Caterpillar, Inc. | (253,605 | ) | (24,513,459 | ) | ||||
Deere & Co. | (162,539 | ) | (17,796,395 | ) | ||||
Emerson Electric Co. | (248,668 | ) | (14,944,947 | ) | ||||
Flowserve Corp. | (243,831 | ) | (11,325,950 | ) | ||||
HB Fuller Co. | (156,410 | ) | (7,728,218 | ) | ||||
James Hardie Industries PLC | (845,545 | ) | (12,617,385 | ) | ||||
Metso OYJ | (268,284 | ) | (7,910,939 | ) | ||||
Middleby Corp., (The)* | (152,273 | ) | (21,121,788 | ) | ||||
MTU Aero Engines AG | (128,063 | ) | (16,250,752 | ) | ||||
Rolls-Royce Holdings PLC | (1,757,086 | ) | (17,160,891 | ) | ||||
Rotork PLC | (2,589,553 | ) | (7,939,735 | ) | ||||
Sun Hydraulics Corp. | (300,619 | ) | (11,122,903 | ) | ||||
Toro Co., (The) | (238,836 | ) | (14,380,316 | ) | ||||
Trex Co., Inc.* | (57,063 | ) | (3,880,855 | ) | ||||
Wabtec Corp. | (127,365 | ) | (10,204,484 | ) | ||||
(250,143,377 | ) | |||||||
Communications—(2.5%) | ||||||||
58.com, Inc. - ADR* | (304,846 | ) | (11,157,364 | ) | ||||
Cogent Communications Holdings, Inc. | (611,942 | ) | (25,364,996 | ) | ||||
CoStar Group, Inc.* | (66,438 | ) | (13,498,873 | ) | ||||
Eutelsat Communications SA | (540,685 | ) | (10,639,344 | ) | ||||
Frontier Communications Corp. | (3,008,623 | ) | (8,815,265 | ) | ||||
SES SA | (672,850 | ) | (13,739,922 | ) | ||||
Sprint Corp.* | (5,233,496 | ) | (46,107,100 | ) | ||||
Synchronoss Technologies, Inc.* | (630,972 | ) | (17,086,722 | ) | ||||
TalkTalk Telecom Group PLC | (3,007,413 | ) | (6,560,407 | ) | ||||
Telefonica SA - ADR | (933,865 | ) | (9,460,052 | ) | ||||
(162,430,045 | ) | |||||||
Consumer Durables—(1.1%) | ||||||||
Autoliv, Inc. | (190,559 | ) | (19,951,527 | ) | ||||
Ferrari NV | (189,892 | ) | (12,354,374 | ) | ||||
Harley-Davidson, Inc. | (292,470 | ) | (16,489,459 | ) | ||||
Tesla Motors, Inc.* | (98,164 | ) | (24,540,018 | ) | ||||
(73,335,378 | ) | |||||||
Consumer Non-Durables—(3.1%) | ||||||||
B&G Foods, Inc. | (420,518 | ) | (17,872,015 | ) | ||||
China Resources Beer Holdings Co., Ltd.* | (9,418,000 | ) | (21,378,512 | ) | ||||
Cie Financiere Richemont SA | (257,964 | ) | (19,001,419 | ) | ||||
Colgate-Palmolive Co. | (184,939 | ) | (13,496,848 | ) | ||||
Columbia Sportswear Co. | (228,314 | ) | (12,543,571 | ) | ||||
Gildan Activewear, Inc. | (683,570 | ) | (17,349,007 | ) | ||||
Mattel, Inc. | (829,571 | ) | (21,344,862 | ) | ||||
McCormick & Co., Inc. non-voting shares | (181,553 | ) | (17,868,446 | ) | ||||
Nintendo Co., Ltd. | (61,400 | ) | (12,824,971 | ) | ||||
Remy Cointreau SA | (201,528 | ) | (17,915,956 | ) | ||||
Snyder's-Lance, Inc. | (316,095 | ) | (12,511,040 | ) | ||||
TreeHouse Foods, Inc.* | (222,279 | ) | (18,911,497 | ) | ||||
(203,018,144 | ) | |||||||
Consumer Services—(7.6%) | ||||||||
Acxiom Corp.* | (459,612 | ) | (13,108,134 | ) | ||||
Buffalo Wild Wings, Inc.* | (113,683 | ) | (17,620,865 | ) | ||||
Casey's General Stores, Inc. | (144,777 | ) | (16,588,549 | ) | ||||
Cheesecake Factory Inc., (The) | (340,274 | ) | (20,773,728 | ) | ||||
Chipotle Mexican Grill, Inc.* | (40,058 | ) | (16,773,887 | ) | ||||
Cimpress NV* | (241,733 | ) | (19,389,404 | ) | ||||
Cracker Barrel Old Country Store, Inc. | (101,443 | ) | (16,331,308 | ) | ||||
Dollarama, Inc. | (229,539 | ) | (17,675,989 | ) | ||||
EW Scripps Co., (The) | (595,658 | ) | (13,718,004 | ) | ||||
FactSet Research Systems, Inc. | (111,231 | ) | (19,787,995 | ) | ||||
Hennes & Mauritz AB, Class B | (771,515 | ) | (20,341,288 | ) | ||||
Just Eat PLC* | (2,203,177 | ) | (13,664,192 | ) | ||||
Lululemon Athletica, Inc.* | (241,472 | ) | (15,758,463 | ) | ||||
Medidata Solutions, Inc.* | (630,489 | ) | (35,256,945 | ) | ||||
Monro Muffler Brake, Inc. | (282,006 | ) | (16,215,345 | ) | ||||
Multi-Color Corp. | (27,164 | ) | (1,947,659 | ) | ||||
Netflix, Inc.* | (142,161 | ) | (20,205,343 | ) | ||||
Next PLC | (245,775 | ) | (11,676,595 | ) | ||||
Nord Anglia Education, Inc. | (609,006 | ) | (14,293,371 | ) |
20 | Semi-Annual Report 2017 |
BOSTON PARTNERS INVESTMENT FUNDS | February 28, 2017 (unaudited) |
BOSTON PARTNERS LONG/SHORT RESEARCH FUND (continued) | Portfolio of Investments |
Number of Shares | Value | |||||||
Consumer Services—(continued) | ||||||||
Panera Bread Co., Class A* | (86,070 | ) | $ | (19,864,956 | ) | |||
Pearson PLC | (2,240,607 | ) | (18,717,223 | ) | ||||
PriceSmart, Inc. | (170,224 | ) | (15,047,801 | ) | ||||
Rollins, Inc. | (344,670 | ) | (12,601,135 | ) | ||||
SeaWorld Entertainment, Inc. | (999,957 | ) | (19,269,171 | ) | ||||
Television Francaise 1 | (1,612,824 | ) | (18,297,294 | ) | ||||
Texas Roadhouse, Inc. | (412,468 | ) | (17,447,396 | ) | ||||
Ultimate Software Group Inc., (The)* | (50,611 | ) | (9,787,661 | ) | ||||
Wayfair, Inc.* | (415,174 | ) | (15,697,729 | ) | ||||
Whitbread PLC | (353,756 | ) | (16,802,964 | ) | ||||
Whole Foods Market, Inc. | (380,163 | ) | (11,659,599 | ) | ||||
(496,319,993 | ) | |||||||
Energy—(3.3%) | ||||||||
Apache Corp. | (554,906 | ) | (29,182,507 | ) | ||||
Beach Energy Ltd. | (3,692,683 | ) | (1,989,871 | ) | ||||
Continental Resources, Inc.* | (336,864 | ) | (15,226,253 | ) | ||||
EP Energy Corp.* | (1,966,535 | ) | (9,282,045 | ) | ||||
Hess Corp. | (584,753 | ) | (30,079,694 | ) | ||||
Laredo Petroleum, Inc.* | (1,652,736 | ) | (22,857,339 | ) | ||||
Matador Resources Co.* | (1,113,887 | ) | (26,811,260 | ) | ||||
Murphy Oil Corp. | (970,062 | ) | (27,443,054 | ) | ||||
National Oilwell Varco, Inc. | (300,761 | ) | (12,156,760 | ) | ||||
Neste Oyj | (718,032 | ) | (24,992,413 | ) | ||||
Transocean Ltd.* | (1,102,610 | ) | (15,238,070 | ) | ||||
(215,259,266 | ) | |||||||
Finance—(6.8%) | ||||||||
Aberdeen Asset Management PLC | (2,409,693 | ) | (8,275,581 | ) | ||||
BancorpSouth, Inc. | (310,692 | ) | (9,631,452 | ) | ||||
Bank of East Asia Ltd., (The) | (3,852,258 | ) | (15,915,249 | ) | ||||
Bankinter SA | (1,350,645 | ) | (10,406,292 | ) | ||||
BOK Financial Corp. | (164,481 | ) | (13,563,103 | ) | ||||
CaixaBank SA | (2,581,493 | ) | (8,995,972 | ) | ||||
Canadian Western Bank | (496,474 | ) | (10,993,299 | ) | ||||
Cincinnati Financial Corp. | (219,431 | ) | (16,009,686 | ) | ||||
Community Bank System, Inc. | (259,027 | ) | (15,388,794 | ) | ||||
Cullen/Frost Bankers, Inc. | (108,617 | ) | (10,043,814 | ) | ||||
CVB Financial Corp. | (542,871 | ) | (12,893,186 | ) | ||||
Eaton Vance Corp. | (556,404 | ) | (25,945,119 | ) | ||||
Financial Engines, Inc. | (410,715 | ) | (18,194,674 | ) | ||||
First Financial Bankshares, Inc. | (709,372 | ) | (31,212,368 | ) | ||||
Glacier Bancorp, Inc. | (360,818 | ) | (13,321,401 | ) | ||||
Hang Seng Bank Ltd. | (517,100 | ) | (10,596,492 | ) | ||||
Hiscox Ltd. | (1,183,502 | ) | (15,937,086 | ) | ||||
Home BancShares, Inc. | (264,880 | ) | (7,453,723 | ) | ||||
M&T Bank Corp. | (59,295 | ) | (9,900,486 | ) | ||||
MB Financial, Inc. | (236,323 | ) | (10,639,261 | ) | ||||
Mercury General Corp. | (286,049 | ) | (16,771,053 | ) | ||||
Mobile Mini, Inc. | (350,025 | ) | (11,393,314 | ) | ||||
New York Community Bancorp, Inc. | (669,124 | ) | (10,224,215 | ) | ||||
People's United Financial, Inc. | (573,678 | ) | (11,014,618 | ) | ||||
Prosperity Bancshares, Inc. | (151,781 | ) | (11,313,756 | ) | ||||
RLI Corp. | (261,975 | ) | (15,312,439 | ) | ||||
Trustmark Corp. | (335,285 | ) | (11,077,816 | ) | ||||
UMB Financial Corp. | (136,141 | ) | (10,730,634 | ) | ||||
United Bankshares, Inc. | (635,365 | ) | (28,432,584 | ) | ||||
Valley National Bancorp | (613,994 | ) | (7,595,106 | ) | ||||
Westamerica Bancorporation | (444,734 | ) | (25,727,862 | ) | ||||
WisdomTree Investments, Inc. | (1,030,063 | ) | (9,383,874 | ) | ||||
(444,294,309 | ) | |||||||
Health Care—(3.9%) | ||||||||
AmerisourceBergen Corp. | (171,971 | ) | (15,737,066 | ) | ||||
Bristol-Myers Squibb Co. | (375,845 | ) | (21,314,170 | ) | ||||
Chugai Pharmaceutical Co., Ltd. | (431,600 | ) | (14,405,019 | ) | ||||
Coloplast A/S, Class B | (150,156 | ) | (10,586,988 | ) | ||||
Elekta AB, Class B | (2,542,574 | ) | (24,120,063 | ) | ||||
Eli Lilly & Co. | (248,361 | ) | (20,566,774 | ) | ||||
Henry Schein, Inc.* | (100,059 | ) | (17,166,122 | ) | ||||
IDEXX Laboratories, Inc.* | (91,236 | ) | (13,223,746 | ) | ||||
Illumina, Inc.* | (75,440 | ) | (12,628,656 | ) | ||||
Intuitive Surgical, Inc.* | (27,046 | ) | (19,932,902 | ) | ||||
Juno Therapeutics, Inc.* | (523,749 | ) | (12,590,926 | ) | ||||
Ono Pharmaceutical Co., Ltd. | (623,100 | ) | (13,797,867 | ) | ||||
Sonova Holding AG | (81,528 | ) | (10,710,161 | ) | ||||
Takeda Pharmaceutical Co., Ltd. | (231,500 | ) | (10,765,855 | ) | ||||
West Pharmaceutical Services, Inc. | (228,144 | ) | (18,815,036 | ) | ||||
Wright Medical Group NV* | (498,706 | ) | (13,903,923 | ) | ||||
(250,265,274 | ) | |||||||
Real Estate Investment Trusts—(0.9%) | ||||||||
Equinix, Inc. | (116,183 | ) | (43,692,941 | ) | ||||
Pebblebrook Hotel Trust | (404,770 | ) | (11,637,137 | ) | ||||
(55,330,078 | ) | |||||||
Technology—(8.2%) | ||||||||
2U, Inc.* | (396,274 | ) | (14,483,815 | ) | ||||
ACI Worldwide, Inc.* | (1,496,145 | ) | (29,279,558 | ) | ||||
Arista Networks, Inc.* | (218,222 | ) | (25,966,236 | ) | ||||
Blackbaud, Inc. | (464,917 | ) | (33,250,864 | ) | ||||
Cavium, Inc.* | (214,373 | ) | (14,043,575 | ) | ||||
Cognex Corp. | (642,059 | ) | (49,316,552 | ) | ||||
Dassault Systemes SA | (295,144 | ) | (23,843,525 | ) | ||||
Electronics For Imaging, Inc.* | (482,245 | ) | (22,217,027 | ) | ||||
F5 Networks, Inc.* | (73,270 | ) | (10,497,393 | ) | ||||
Finisar Corp.* | (378,325 | ) | (12,666,321 | ) | ||||
Guidewire Software, Inc.* | (455,453 | ) | (24,885,952 | ) | ||||
Hexagon AB, Class B | (695,622 | ) | (28,047,186 | ) | ||||
Infineon Technologies AG | (703,046 | ) | (12,497,199 | ) | ||||
Itron, Inc. | (432,339 | ) | (27,972,333 | ) | ||||
National Instruments Corp. | (1,302,847 | ) | (42,003,787 | ) | ||||
Proofpoint, Inc.* | (276,892 | ) | (21,810,783 | ) | ||||
salesforce.com, Inc.* | (271,413 | ) | (22,079,448 | ) | ||||
Telefonaktiebolaget LM Ericsson | (1,557,260 | ) | (10,104,049 | ) | ||||
Veeva Systems, Inc., Class A* | (877,709 | ) | (38,347,106 | ) | ||||
ViaSat, Inc.* | (136,741 | ) | (9,413,250 | ) | ||||
Wipro Ltd. - ADR | (2,948,507 | ) | (28,836,398 | ) | ||||
Workday, Inc. Class A* | (365,427 | ) | (30,304,861 | ) | ||||
(531,867,218 | ) | |||||||
Transportation—(0.9%) | ||||||||
Heartland Express, Inc. | (536,069 | ) | (11,118,071 | ) | ||||
JB Hunt Transport Services, Inc. | (111,270 | ) | (10,923,376 | ) | ||||
Kuehne + Nagel International AG | (77,176 | ) | (10,988,051 | ) |
Semi-Annual Report 2017 | 21 |
BOSTON PARTNERS INVESTMENT FUNDS | February 28, 2017 (unaudited) |
BOSTON PARTNERS LONG/SHORT RESEARCH FUND (continued) | Portfolio of Investments |
Number of Shares | Value | |||||||
Transportation—(continued) | ||||||||
Old Dominion Freight Line, Inc.* | (114,674 | ) | $ | (10,522,486 | ) | |||
Panalpina Welttransport Holding AG | (100,625 | ) | (12,667,420 | ) | ||||
(56,219,404 | ) | |||||||
Utilities—(0.5%) | ||||||||
Ormat Technologies, Inc. | (239,178 | ) | (13,185,883 | ) | ||||
Sembcorp Industries Ltd. | (3,028,700 | ) | (6,908,406 | ) | ||||
Tallgrass Energy GP LP | (421,957 | ) | (11,987,798 | ) | ||||
(32,082,087 | ) | |||||||
TOTAL COMMON STOCKS (Proceeds $2,636,354,065) | (2,934,743,731 | ) | ||||||
TOTAL SECURITIES SOLD SHORT—(45.2%) (Proceeds $2,636,354,065) | (2,934,743,731 | ) |
Number of Contracts | Value | |||||||
OPTIONS WRITTEN††—0.0% | ||||||||
Diamondback Energy, Inc. | ||||||||
Call Options Expires 03/17/2017 | ||||||||
Strike Price $92.50 | (3,202 | ) | $ | (2,769,730 | ) | |||
Phillips 66 | ||||||||
Call Options Expires 06/16/2017 | ||||||||
Strike Price $85.00 | (2,344 | ) | (194,552 | ) | ||||
TOTAL OPTIONS WRITTEN (Premiums received $2,548,561) | (2,964,282 | ) | ||||||
OTHER ASSETS IN EXCESS OF LIABILITIES—46.5% | 3,019,861,220 | |||||||
NET ASSETS—100.0% | $ | 6,496,441,285 |
ADR | — American Depositary Receipt |
PLC | — Public Limited Company |
* | — Non-income producing. |
† | — Security position is either entirely or partially held in a segregated account as collateral for securities sold short. |
# | — Security segregated as collateral for options written. |
‡ | — 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 28, 2017, these securities amounted to $18,986,400 or 0.3% of net assets. |
†† | — Primary risk exposure is equity contracts. |
Reference Company | Counterparty | Number of Contracts Long/(Short) | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||
Long | |||||||||||||
China | |||||||||||||
Jiangsu Yanghe Brewery Joint-Stock Co., Ltd., Class A | Goldman Sachs | 1,389,911 | $ | 16,815,280 | $ | (426,328 | ) | ||||||
Wuliangye Yibin Co., Ltd., Class A | Goldman Sachs | 5,510,112 | 32,710,511 | (1,009,392 | ) | ||||||||
(1,435,720 | ) | ||||||||||||
Short | |||||||||||||
Hong Kong | |||||||||||||
Semiconductor Manufacturing | Goldman Sachs | (23,873,600 | ) | $ | (31,437,321 | ) | $ | 464,686 | |||||
464,686 | |||||||||||||
$ | (971,034 | ) |
22 | Semi-Annual Report 2017 |
BOSTON PARTNERS INVESTMENT FUNDS | February 28, 2017 (unaudited) |
BOSTON PARTNERS LONG/SHORT RESEARCH FUND (concluded) | Portfolio of Investments |
Total Value as of February 28, 2017 | Level 1 Quoted Price | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |||||||||||||
Common Stock | ||||||||||||||||
Basic Industries | $ | 310,248,308 | $ | 290,087,815 | $ | 20,160,493 | $ | — | ||||||||
Capital Goods | 754,614,920 | 567,202,965 | 187,411,955 | — | ||||||||||||
Communications | 459,442,975 | 437,689,624 | 21,753,351 | — | ||||||||||||
Consumer Durables | 96,734,172 | 68,866,805 | 27,867,367 | — | ||||||||||||
Consumer Non-Durables | 196,020,140 | 155,664,388 | 40,355,752 | — | ||||||||||||
Consumer Services | 536,298,085 | 408,352,630 | 127,945,455 | — | ||||||||||||
Energy | 528,202,777 | 494,349,031 | 33,853,746 | — | ||||||||||||
Finance | 1,209,291,149 | 1,209,291,149 | — | — | ||||||||||||
Health Care | 598,972,034 | 582,935,571 | 16,036,463 | — | ||||||||||||
Technology | 1,314,027,508 | 1,216,121,034 | 97,906,474 | — | ||||||||||||
Transportation | 59,594,243 | 59,594,243 | — | — | ||||||||||||
Utilities | 101,874,064 | 101,874,064 | — | — | ||||||||||||
Short-Term Investments | 248,967,703 | 248,967,703 | — | — | ||||||||||||
Contracts For Difference | ||||||||||||||||
Equity Contracts | (1,435,720 | ) | — | (1,435,720 | ) | — | ||||||||||
Total Assets | $ | 6,412,852,358 | $ | 5,840,997,022 | $ | 571,855,336 | $ | — |
Total Value as of February 28, 2017 | Level 1 Quoted Price | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |||||||||||||
Securities Sold Short | ||||||||||||||||
Basic Industries | $ | (164,179,158 | ) | $ | (140,966,531 | ) | $ | (23,212,627 | ) | $ | — | |||||
Capital Goods | (250,143,377 | ) | (168,642,583 | ) | (81,500,794 | ) | — | |||||||||
Communications | (162,430,045 | ) | (138,050,779 | ) | (24,379,266 | ) | — | |||||||||
Consumer Durables | (73,335,378 | ) | (73,335,378 | ) | — | — | ||||||||||
Consumer Non-Durables | (203,018,144 | ) | (131,897,286 | ) | (71,120,858 | ) | — | |||||||||
Consumer Services | (496,319,993 | ) | (396,820,437 | ) | (99,499,556 | ) | — | |||||||||
Energy | (215,259,266 | ) | (188,276,982 | ) | (26,982,284 | ) | — | |||||||||
Finance | (444,294,309 | ) | (374,167,637 | ) | (70,126,672 | ) | — | |||||||||
Health Care | (250,265,274 | ) | (165,879,321 | ) | (84,385,953 | ) | — | |||||||||
Real Estate Investment Trusts | (55,330,078 | ) | (55,330,078 | ) | — | — | ||||||||||
Technology | (531,867,218 | ) | (457,375,259 | ) | (74,491,959 | ) | — | |||||||||
Transportation | (56,219,404 | ) | (32,563,933 | ) | (23,655,471 | ) | — | |||||||||
Utilities | (32,082,087 | ) | (25,173,681 | ) | (6,908,406 | ) | — | |||||||||
Options Written | ||||||||||||||||
Equity Contracts | (2,964,282 | ) | (194,552 | ) | (2,769,730 | ) | — | |||||||||
Contracts For Difference | ||||||||||||||||
Equity Contracts | 464,686 | — | 464,686 | — | ||||||||||||
Total Liabilities | $ | (2,937,243,327 | ) | $ | (2,348,674,437 | ) | $ | (588,568,890 | ) | $ | — |
Semi-Annual Report 2017 | 23 |
BOSTON PARTNERS INVESTMENT FUNDS | February 28, 2017 (unaudited) |
BOSTON PARTNERS ALL-CAP VALUE FUND | Portfolio of Investments |
Number of Shares | Value | |||||||
RIGHTS—0.0% | ||||||||
Technology—0.0% | ||||||||
CVR Banctec, Inc. - Escrow Shares*‡ | 14,327 | $ | 0 | |||||
TOTAL RIGHTS (Cost $0) | 0 | |||||||
COMMON STOCKS—94.8% | ||||||||
Basic Industries—1.3% | ||||||||
Crown Holdings, Inc.*(a) | 126,447 | 6,776,295 | ||||||
Graphic Packaging Holding Co. | 375,426 | 5,011,937 | ||||||
PPG Industries, Inc. (a) | 76,340 | 7,819,506 | ||||||
19,607,738 | ||||||||
Capital Goods—5.9% | ||||||||
AMETEK, Inc. (a) | 145,910 | 7,874,763 | ||||||
CRH PLC - Sponsored ADR | 134,605 | 4,545,611 | ||||||
General Dynamics Corp. | 68,042 | 12,915,052 | ||||||
Ingersoll-Rand PLC | 66,868 | 5,306,645 | ||||||
Masco Corp. | 152,299 | 5,144,660 | ||||||
Raytheon Co. | 92,238 | 14,218,488 | ||||||
Stanley Black & Decker, Inc. (a) | 89,925 | 11,433,964 | ||||||
Textron, Inc. (a) | 121,037 | 5,725,050 | ||||||
United Technologies Corp. | 140,329 | 15,794,029 | ||||||
WABCO Holdings, Inc.* | 32,500 | 3,649,100 | ||||||
WESCO International, Inc.* | 83,338 | 5,791,991 | ||||||
92,399,353 | ||||||||
Communications—2.6% | ||||||||
Alphabet, Inc., Class A* | 17,965 | 15,179,167 | ||||||
Comcast Corp., Class A | 226,504 | 8,475,779 | ||||||
IAC/InterActiveCorp* | 113,384 | 8,383,613 | ||||||
NetEase, Inc. - ADR | 15,395 | 4,696,399 | ||||||
YY, Inc. - ADR*(a) | 108,261 | 4,794,880 | ||||||
41,529,838 | ||||||||
Consumer Durables—2.1% | ||||||||
Brunswick Corp. | 220,338 | 13,196,043 | ||||||
Lear Corp. (a) | 63,780 | 9,056,122 | ||||||
NVR, Inc.* | 2,730 | 5,282,468 | ||||||
Thor Industries, Inc. (a) | 41,846 | 4,637,374 | ||||||
32,172,007 | ||||||||
Consumer Non-Durables—3.0% | ||||||||
Activision Blizzard, Inc. | 159,605 | 7,202,974 | ||||||
Electronic Arts, Inc.*(a) | 88,390 | 7,645,735 | ||||||
PepsiCo, Inc. | 216,112 | 23,854,442 | ||||||
Reynolds American, Inc. | 136,238 | 8,388,174 | ||||||
47,091,325 | ||||||||
Consumer Services—7.0% | ||||||||
Best Buy Co, Inc. (a) | 167,524 | 7,392,834 | ||||||
CVS Health Corp. (a) | 178,144 | 14,354,844 | ||||||
eBay, Inc.* | 810,393 | 27,472,323 | ||||||
Huron Consulting Group, Inc.*(a) | 97,923 | 4,254,754 | ||||||
Interpublic Group of Cos., Inc., (The) (a) | 607,886 | 14,650,053 | ||||||
Lowe's Cos., Inc. | 171,779 | 12,775,204 | ||||||
ManpowerGroup, Inc. | 94,704 | 9,190,076 | ||||||
Office Depot, Inc. | 472,459 | 1,970,154 | ||||||
Omnicom Group, Inc. (a) | 80,814 | 6,877,271 | ||||||
Robert Half International, Inc. | 89,083 | 4,297,364 | ||||||
Scripps Networks Interactive, Inc., Class A (a) | 60,996 | 4,926,647 | ||||||
Sportsman's Warehouse Holdings, Inc. (a) | 313,005 | 1,518,074 | ||||||
109,679,598 | ||||||||
Energy—8.1% | ||||||||
Anadarko Petroleum Corp. | 106,203 | 6,866,024 | ||||||
Cimarex Energy Co. | 84,701 | 10,648,610 | ||||||
Diamondback Energy, Inc.*(a) | 74,214 | 7,485,224 | ||||||
Energen Corp.* | 164,567 | 8,639,767 | ||||||
EQT Corp. (a) | 169,477 | 10,149,978 | ||||||
Gulfport Energy Corp.* | 245,147 | 4,250,849 | ||||||
Halcon Resources Corp.*‡ | 790,000 | 5,119,200 | ||||||
Marathon Oil Corp. (a) | 453,863 | 7,261,808 | ||||||
Marathon Petroleum Corp. | 217,651 | 10,795,490 | ||||||
Newfield Exploration Co.* | 258,028 | 9,407,701 | ||||||
Parsley Energy, Inc., Class A* | 339,618 | 10,320,991 | ||||||
Phillips 66 | 116,911 | 9,141,271 | ||||||
Pioneer Natural Resources Co. (a) | 23,686 | 4,404,885 | ||||||
QEP Resources, Inc.*(a) | 660,458 | 9,087,902 | ||||||
Rice Energy, Inc.*(a) | 220,261 | 4,107,868 | ||||||
RSP Permian, Inc.* | 135,664 | 5,357,371 | ||||||
WildHorse Resource Development Corp.*(a) | 304,335 | 3,533,329 | ||||||
126,578,268 | ||||||||
Finance—28.4% | ||||||||
Aflac, Inc. | 205,912 | 14,897,733 | ||||||
Air Lease Corp. | 39,692 | 1,545,209 | ||||||
Alleghany Corp.* | 17,606 | 11,369,955 | ||||||
Allstate Corp., (The) | 165,974 | 13,636,424 | ||||||
Ally Financial, Inc. | 294,395 | 6,620,943 | ||||||
American International Group, Inc. | 231,588 | 14,803,105 | ||||||
Bank of America Corp. | 1,339,655 | 33,062,685 | ||||||
BB&T Corp. (a) | 404,350 | 19,497,757 | ||||||
Capital One Financial Corp. (a) | 161,810 | 15,187,487 | ||||||
Chubb Ltd. | 178,095 | 24,607,386 | ||||||
Citigroup, Inc. | 499,669 | 29,885,203 | ||||||
FCB Financial Holdings, Inc., Class A* | 81,282 | 3,950,305 | ||||||
Fifth Third Bancorp (a) | 721,710 | 19,803,722 | ||||||
Goldman Sachs Group, Inc., (The) | 60,946 | 15,118,265 | ||||||
JPMorgan Chase & Co. | 520,489 | 47,166,713 | ||||||
Loews Corp. (a) | 381,766 | 17,935,367 | ||||||
MetLife, Inc. (a) | 196,563 | 10,307,764 | ||||||
Navient Corp. (a) | 483,982 | 7,458,163 | ||||||
OneBeacon Insurance Group Ltd., Class A | 243,182 | 3,968,730 | ||||||
Prudential Financial, Inc. | 160,249 | 17,713,924 | ||||||
Raymond James Financial, Inc. | 118,851 | 9,336,935 | ||||||
SLM Corp.* | 319,030 | 3,825,170 | ||||||
State Street Corp. | 193,436 | 15,418,784 | ||||||
Torchmark Corp. | 90,334 | 7,003,595 | ||||||
Travelers Cos., Inc., (The) (a) | 128,036 | 15,651,121 | ||||||
Wells Fargo & Co. | 316,593 | 18,324,403 | ||||||
White Mountains Insurance Group Ltd. | 18,755 | 17,559,556 |
24 | Semi-Annual Report 2017 |
BOSTON PARTNERS INVESTMENT FUNDS | February 28, 2017 (unaudited) |
BOSTON PARTNERS ALL-CAP VALUE FUND (continued) | Portfolio of Investments |
Number of Shares | Value | |||||||
Finance—(continued) | ||||||||
WR Berkley Corp. (a) | 209,213 | $ | 14,858,307 | |||||
XL Group Ltd. (a) | 362,542 | 14,679,326 | ||||||
445,194,037 | ||||||||
Health Care—16.8% | ||||||||
Abbott Laboratories | 240,466 | 10,840,207 | ||||||
Allscripts Healthcare Solutions, Inc.*(a) | 237,040 | 2,887,147 | ||||||
Anthem, Inc. (a) | 55,763 | 9,190,858 | ||||||
Cardinal Health, Inc. (a) | 114,350 | 9,304,659 | ||||||
Cigna Corp. | 81,932 | 12,199,675 | ||||||
DaVita HealthCare Partners, Inc.* | 71,442 | 4,958,789 | ||||||
Express Scripts Holding Co.*(a) | 152,168 | 10,750,669 | ||||||
Gilead Sciences, Inc. | 400,318 | 28,214,413 | ||||||
Johnson & Johnson | 222,028 | 27,134,042 | ||||||
Laboratory Corp. of America Holdings*(a) | 101,400 | 14,425,164 | ||||||
McKesson Corp. | 145,082 | 21,781,161 | ||||||
Medtronic PLC | 165,429 | 13,384,860 | ||||||
Merck & Co., Inc. | 495,143 | 32,615,069 | ||||||
Novartis AG - Sponsored ADR (a) | 207,122 | 16,190,727 | ||||||
Pfizer, Inc. (a) | 541,000 | 18,458,920 | ||||||
Sanofi - ADR (a) | 202,524 | 8,734,860 | ||||||
Shire PLC - ADR | 61,211 | 11,060,828 | ||||||
UnitedHealth Group, Inc. | 71,390 | 11,806,478 | ||||||
263,938,526 | ||||||||
Technology—19.6% | ||||||||
Alliance Data Systems Corp. (a) | 32,242 | 7,834,161 | ||||||
Amdocs Ltd. | 125,161 | 7,591,015 | ||||||
Arrow Electronics, Inc.* | 161,545 | 11,663,549 | ||||||
Avnet, Inc. | 98,154 | 4,522,936 | ||||||
Cisco Systems, Inc. (a) | 919,571 | 31,430,937 | ||||||
Cognizant Technology Solutions Corp., Class A* | 130,541 | 7,737,165 | ||||||
Computer Sciences Corp. (a) | 339,746 | 23,292,986 | ||||||
CSRA, Inc. | 103,531 | 3,087,294 | ||||||
Fidelity National Information Services, Inc. | 90,721 | 7,463,617 | ||||||
Flextronics International Ltd.* | 713,713 | 11,769,127 | ||||||
Fortive Corp. | 134,367 | 7,746,258 | ||||||
Hewlett Packard Enterprise Co. | 1,253,149 | 28,596,860 | ||||||
HP, Inc. | 780,659 | 13,560,047 | ||||||
Jabil Circuit, Inc. (a) | 705,353 | 17,993,555 | ||||||
KLA-Tencor Corp. (a) | 59,717 | 5,381,696 | ||||||
Leidos Holdings, Inc. | 84,282 | 4,492,231 | ||||||
Linear Technology Corp. | 82,995 | 5,359,817 | ||||||
Microsemi Corp.*(a) | 115,497 | 5,985,054 | ||||||
Microsoft Corp. | 332,127 | 21,249,485 | ||||||
ON Semiconductor Corp.*(a) | 788,807 | 11,934,650 | ||||||
Oracle Corp. (a) | 347,930 | 14,818,339 | ||||||
PayPal Holdings, Inc.*(a) | 87,667 | 3,682,014 | ||||||
Qorvo, Inc.*(a) | 237,049 | 15,668,939 | ||||||
Symantec Corp. | 270,462 | 7,727,099 | ||||||
TE Connectivity Ltd. (a) | 209,485 | 15,600,348 | ||||||
Texas Instruments, Inc. | 61,806 | 4,735,576 | ||||||
Versum Materials, Inc.* | 184,852 | 5,602,864 | ||||||
306,527,619 | ||||||||
TOTAL COMMON STOCKS (Cost $1,124,019,995) | 1,484,718,309 | |||||||
SECURITIES LENDING COLLATERAL—20.5% | ||||||||
Mount Vernon Liquid Assets Portfolio, LLC, 0.97% | 321,079,118 | 321,079,118 | ||||||
TOTAL SECURITIES LENDING COLLATERAL (Cost $321,079,118) | 321,079,118 | |||||||
SHORT-TERM INVESTMENTS—4.7% | ||||||||
Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio, 0.41% | 74,181,657 | 74,181,657 | ||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $74,181,657) | 74,181,657 | |||||||
TOTAL INVESTMENTS—120.0% | ||||||||
(Cost $1,519,280,770) | 1,879,979,084 | |||||||
LIABILITIES IN EXCESS OF OTHER ASSETS—(20.0)% | (312,944,672 | ) | ||||||
NET ASSETS—100.0% | $ | 1,567,034,412 |
ADR | — American Depositary Receipt |
PLC | — Public Limited Company |
* | — 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 28, 2017, these securities amounted to $5,119,200 or 0.3% of net assets. |
(a) | — All or a portion of the security is on loan. At February 28, 2017, the market value of securities on loan was $310,812,278. |
Semi-Annual Report 2017 | 25 |
BOSTON PARTNERS INVESTMENT FUNDS | February 28, 2017 (unaudited) |
BOSTON PARTNERS ALL-CAP VALUE FUND (concluded) | Portfolio of Investments |
Total Value as of February 28, 2017 | Level 1 Quoted Price | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |||||||||||||
Common Stock | ||||||||||||||||
Basic Industries | $ | 19,607,738 | $ | 19,607,738 | $ | — | $ | — | ||||||||
Capital Goods | 92,399,353 | 92,399,353 | — | — | ||||||||||||
Communications | 41,529,838 | 41,529,838 | — | — | ||||||||||||
Consumer Durables | 32,172,007 | 32,172,007 | — | — | ||||||||||||
Consumer Non-Durables | 47,091,325 | 47,091,325 | — | — | ||||||||||||
Consumer Services | 109,679,598 | 109,679,598 | — | — | ||||||||||||
Energy | 126,578,268 | 121,459,068 | 5,119,200 | — | ||||||||||||
Finance | 445,194,037 | 445,194,037 | — | — | ||||||||||||
Health Care | 263,938,526 | 263,938,526 | — | — | ||||||||||||
Technology | 306,527,619 | 306,527,619 | — | — | ||||||||||||
Securities Lending Collateral | 321,079,118 | 321,079,118 | — | — | ||||||||||||
Short-Term Investments | 74,181,657 | 74,181,657 | — | — | ||||||||||||
Total Assets | $ | 1,879,979,084 | $ | 1,874,859,884 | $ | 5,119,200 | $ | — |
26 | Semi-Annual Report 2017 |
BOSTON PARTNERS INVESTMENT FUNDS | February 28, 2017 (unaudited) |
WPG PARTNERS SMALL/MICRO CAP VALUE FUND | Portfolio of Investments |
Number of Shares | Value | |||||||
COMMON STOCKS—96.4% | ||||||||
Basic Industries—2.1% | ||||||||
AdvanSix, Inc.* | 6,100 | $ | 166,408 | |||||
Allegheny Technologies, Inc.*(a) | 15,500 | 297,755 | ||||||
Green Plains, Inc. | 6,400 | 160,320 | ||||||
Westmoreland Coal Co.* | 9,500 | 137,180 | ||||||
761,663 | ||||||||
Capital Goods—11.8% | ||||||||
Carpenter Technology Corp.(a) | 3,100 | 125,736 | ||||||
Engility Holdings, Inc.* | 5,900 | 184,729 | ||||||
Ferroglobe PLC(a) | 38,700 | 417,573 | ||||||
Foundation Building Materials, Inc.*(a) | 23,200 | 379,088 | ||||||
FreightCar America, Inc.(a) | 30,800 | 422,268 | ||||||
Great Lakes Dredge & Dock Corp.* | 136,900 | 595,515 | ||||||
KBR, Inc. | 31,300 | 471,065 | ||||||
KEYW Holding Corp., (The)*(a) | 37,300 | 370,016 | ||||||
Landec Corp.* | 14,200 | 178,920 | ||||||
Matrix Service Co.*(a) | 19,000 | 307,800 | ||||||
Orion Group Holdings, Inc.* | 22,500 | 210,600 | ||||||
Tutor Perini Corp.*(a) | 18,600 | 566,370 | ||||||
4,229,680 | ||||||||
Communications—1.3% | ||||||||
Bazaarvoice, Inc.* | 60,200 | 267,890 | ||||||
Ooma, Inc.* | 19,000 | 192,850 | ||||||
460,740 | ||||||||
Consumer Durables—3.0% | ||||||||
Century Communities, Inc.* | 17,600 | 402,160 | ||||||
Horizon Global Corp.*(a) | 9,100 | 166,348 | ||||||
Libbey, Inc. | 35,300 | 494,200 | ||||||
1,062,708 | ||||||||
Consumer Non-Durables—1.4% | ||||||||
Crocs, Inc.*(a) | 26,100 | 173,565 | ||||||
Freshpet, Inc.*(a) | 16,200 | 163,620 | ||||||
Sequential Brands Group, Inc.* | 37,200 | 146,196 | ||||||
483,381 | ||||||||
Consumer Services—8.5% | ||||||||
AMN Healthcare Services, Inc.*(a) | 4,900 | 201,635 | ||||||
ARC Document Solutions, Inc.* | 60,700 | 244,014 | ||||||
Del Taco Restaurants, Inc.* | 12,100 | 150,161 | ||||||
Destination XL Group, Inc.* | 9,700 | 29,100 | ||||||
ICF International, Inc.* | 6,400 | 274,880 | ||||||
InnerWorkings, Inc.* | 47,600 | 462,196 | ||||||
Lumber Liquidators Holdings, Inc.*(a) | 27,400 | 485,802 | ||||||
MDC Partners, Inc., Class A | 74,800 | 654,500 | ||||||
Shoe Carnival, Inc.(a) | 5,400 | 136,836 | ||||||
Tabula Rasa HealthCare, Inc.* | 7,000 | 99,190 | ||||||
Titan Machinery, Inc.*(a) | 21,800 | 308,470 | ||||||
3,046,784 | ||||||||
Energy—6.9% | ||||||||
Approach Resources, Inc.*(a) | 25,900 | 68,635 | ||||||
Bill Barrett Corp.*(a) | 32,700 | 180,177 | ||||||
Eclipse Resources Corp.* | 76,500 | 165,240 | ||||||
Extraction Oil & Gas, Inc.*(a) | 14,700 | 260,190 | ||||||
Flotek Industries, Inc.*(a) | 13,800 | 186,576 | ||||||
Gulfport Energy Corp.* | 42,100 | 730,014 | ||||||
Newpark Resources, Inc.*(a) | 23,300 | 179,410 | ||||||
Pacific Ethanol, Inc.* | 15,800 | 124,030 | ||||||
TETRA Technologies, Inc.* | 128,400 | 576,516 | ||||||
2,470,788 | ||||||||
Finance—28.6% | ||||||||
Banner Corp.(a) | 6,700 | 389,404 | ||||||
Central Pacific Financial Corp. | 18,900 | 596,862 | ||||||
CNO Financial Group, Inc. | 13,500 | 282,285 | ||||||
Customers Bancorp, Inc.*(a) | 20,300 | 696,899 | ||||||
FBR & Co. | 16,800 | 304,920 | ||||||
First Foundation, Inc.* | 35,100 | 575,640 | ||||||
FNFV Group* | 12,000 | 149,400 | ||||||
Fulton Financial Corp. | 27,900 | 533,588 | ||||||
Hanover Insurance Group Inc., (The) | 2,200 | 198,044 | ||||||
Investors Bancorp, Inc.(a) | 15,600 | 228,228 | ||||||
Kearny Financial Corp.(a) | 19,200 | 294,720 | ||||||
Kemper Corp.(a) | 20,100 | 853,245 | ||||||
Kennedy-Wilson Holdings, Inc. | 26,300 | 579,915 | ||||||
Maiden Holdings Ltd.(a) | 27,700 | 427,965 | ||||||
Meridian Bancorp, Inc. | 28,600 | 544,830 | ||||||
National Bank Holdings Corp., Class A | 19,900 | 656,501 | ||||||
Northfield Bancorp, Inc.(a) | 28,100 | 527,156 | ||||||
Popular, Inc. | 21,300 | 938,478 | ||||||
Real Industry, Inc.* | 23,300 | 118,830 | ||||||
State Bank Financial Corp. | 20,400 | 553,452 | ||||||
United Community Banks, Inc. | 13,900 | 401,571 | ||||||
United Financial Bancorp, Inc. | 20,800 | 371,488 | ||||||
10,223,421 | ||||||||
Health Care—2.3% | ||||||||
Accuray, Inc.*(a) | 99,900 | 514,485 | ||||||
Invacare Corp. | 3,800 | 45,980 | ||||||
Trinity Biotech PLC - Sponsored ADR* | 43,200 | 266,544 | ||||||
827,009 | ||||||||
Real Estate Investment Trusts—11.1% | ||||||||
CareTrust REIT, Inc.(a) | 14,600 | 230,388 | ||||||
Cedar Realty Trust, Inc. | 64,500 | 378,615 | ||||||
Colony Starwood Homes(a) | 23,900 | 786,310 | ||||||
Equity Commonwealth* | 24,500 | 765,870 | ||||||
GEO Group Inc., (The) | 4,100 | 195,201 | ||||||
Gramercy Property Trust(a) | 22,266 | 622,557 | ||||||
MedEquities Realty Trust, Inc. | 21,600 | 235,656 | ||||||
Seritage Growth Properties(a) | 7,400 | 343,952 | ||||||
Two Harbors Investment Corp.(a) | 44,900 | 417,570 | ||||||
3,976,119 | ||||||||
Technology—7.6% | ||||||||
Acacia Communications, Inc.*(a) | 3,600 | 187,020 | ||||||
Aerohive Networks, Inc.* | 70,900 | 336,775 | ||||||
Babcock & Wilcox Enterprises, Inc.* | 27,100 | 447,150 |
Semi-Annual Report 2017 | 27 |
BOSTON PARTNERS INVESTMENT FUNDS | February 28, 2017 (unaudited) |
WPG PARTNERS SMALL/MICRO CAP VALUE FUND (concluded) | Portfolio of Investments |
Number of Shares | Value | |||||||
Technology—(continued) | ||||||||
Ciber, Inc.* | 106,400 | $ | 34,718 | |||||
Digi International, Inc.* | 6,700 | 82,410 | ||||||
Exar Corp.* | 51,700 | 540,782 | ||||||
Generac Holdings, Inc.*(a) | 6,000 | 234,240 | ||||||
Nimble Storage, Inc.* | 20,900 | 189,563 | ||||||
QAD, Inc., Class A(a) | 8,700 | 238,815 | ||||||
SuperCom Ltd.*(a) | 29,400 | 86,730 | ||||||
Viavi Solutions, Inc.* | 9,300 | 93,186 | ||||||
Xcerra Corp.* | 29,400 | 256,956 | ||||||
2,728,345 | ||||||||
Transportation—5.2% | ||||||||
Air Transport Services Group, Inc.* | 13,200 | 224,664 | ||||||
Ardmore Shipping Corp. | 31,300 | 214,405 | ||||||
Celadon Group, Inc.(a) | 46,000 | 370,300 | ||||||
DHT Holdings, Inc. | 34,300 | 158,809 | ||||||
Rand Logistics, Inc.* | 14,300 | 10,725 | ||||||
Scorpio Bulkers, Inc.* | 3,700 | 27,380 | ||||||
Scorpio Tankers, Inc.(a) | 133,600 | 514,360 | ||||||
Spirit Airlines, Inc.* | 2,500 | 130,525 | ||||||
StealthGas, Inc.* | 47,100 | 207,240 | ||||||
1,858,408 | ||||||||
Utilities—6.6% | ||||||||
ALLETE, Inc. | 4,900 | 329,329 | ||||||
Cadiz, Inc.*(a) | 9,100 | 133,315 | ||||||
Chesapeake Utilities Corp. | 2,700 | 186,165 | ||||||
Covanta Holding Corp.(a) | 22,700 | 367,740 | ||||||
El Paso Electric Co. | 3,900 | 190,515 | ||||||
NorthWestern Corp. | 5,700 | 333,450 | ||||||
PNM Resources, Inc.(a) | 8,600 | 312,180 | ||||||
Portland General Electric Co. | 6,300 | 285,579 | ||||||
South Jersey Industries, Inc. | 6,500 | 227,630 | ||||||
2,365,903 | ||||||||
TOTAL COMMON STOCKS (Cost $29,523,416) | 34,494,949 | |||||||
WARRANTS—0.1% | ||||||||
Energy—0.1% | ||||||||
TETRA Technologies, Inc. * | 15,850 | 22,983 | ||||||
TOTAL WARRANTS (Cost $0) | 22,983 | |||||||
SECURITIES LENDING COLLATERAL—29.6% | ||||||||
Mount Vernon Liquid Assets Portfolio, LLC, 0.97% | 10,600,787 | 10,600,787 | ||||||
TOTAL SECURITIES LENDING COLLATERAL (Cost $10,600,787) | 10,600,787 | |||||||
SHORT-TERM INVESTMENTS—3.4% | ||||||||
Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio, 0.41% | ||||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $1,199,747) | 1,199,747 | |||||||
TOTAL INVESTMENTS—129.5% | ||||||||
(Cost $41,323,950) | 46,318,466 | |||||||
LIABILITIES IN EXCESS OF OTHER ASSETS—(29.5)% | (10,541,373 | ) | ||||||
NET ASSETS—100.0% | $ | 35,777,093 |
ADR | — American Depositary Receipt |
PLC | — Public Limited Company |
* | — Non-income producing. |
(a) | — All or a portion of the security is on loan. At February 28, 2017, the market value of securities on loan was $10,103,389. |
Total Value as of February 28, 2017 | Level 1 Quoted Price | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |||||||||||||
Common Stock * | $ | 34,494,949 | $ | 34,494,949 | $ | — | $ | — | ||||||||
Warrants | 22,983 | 22,983 | — | — | ||||||||||||
Securities Lending Collateral | 10,600,787 | 10,600,787 | — | — | ||||||||||||
Short-Term Investments | 1,199,747 | 1,199,747 | — | — | ||||||||||||
Total Assets | $ | 46,318,466 | $ | 46,318,466 | $ | — | $ | — |
* | See Portfolio of Investments detail for industry and security type breakout. |
28 | Semi-Annual Report 2017 |
BOSTON PARTNERS INVESTMENT FUNDS | February 28, 2017 (unaudited) |
BOSTON PARTNERS GLOBAL EQUITY FUND | Portfolio of Investments |
Number of Shares | Value | |||||||
COMMON STOCKS—95.6% | ||||||||
Argentina—0.5% | ||||||||
YPF SA - Sponsored ADR | 104,392 | $ | 2,166,134 | |||||
Australia—0.7% | ||||||||
Australia & New Zealand Banking Group Ltd. | 137,705 | 3,259,227 | ||||||
Canada—0.6% | ||||||||
Cenovus Energy, Inc. | 208,786 | 2,640,871 | ||||||
France—4.1% | ||||||||
Bollore SA | 586,508 | 2,275,179 | ||||||
Cap Gemini SA | 49,751 | 4,261,280 | ||||||
Havas SA | 148,276 | 1,281,716 | ||||||
Teleperformance SA | 50,244 | 5,562,014 | ||||||
Vinci SA | 76,807 | 5,537,382 | ||||||
18,917,571 | ||||||||
Germany—6.8% | ||||||||
Allianz SE, Registered Shares | 12,218 | 2,127,977 | ||||||
Aurelious AG | 67,906 | 4,494,260 | ||||||
Bayer AG, Registered Shares | 25,809 | 2,840,746 | ||||||
KION Group AG | 34,189 | 1,993,579 | ||||||
Merck KGaA | 68,095 | 7,434,327 | ||||||
Muenchener Rueckversicherungs Gesellschaft AG, Registered Shares | 11,633 | 2,197,442 | ||||||
ProSiebenSat.1 Media SE | 49,832 | 1,996,107 | ||||||
Siemens AG, Registered Shares | 62,164 | 8,081,378 | ||||||
31,165,816 | ||||||||
Hong Kong—1.2% | ||||||||
WH Group Ltd. | 7,211,000 | 5,629,863 | ||||||
India—0.4% | ||||||||
ICICI Bank Ltd. - Sponsored ADR | 225,260 | 1,847,132 | ||||||
Indonesia—0.3% | ||||||||
Bank Rakyat Indonesia Persero Tbk PT | 1,397,700 | 1,249,650 | ||||||
Ireland—1.5% | ||||||||
CRH PLC | 204,096 | 6,891,750 | ||||||
Japan—9.1% | ||||||||
Alps Electric Co., Ltd. | 152,200 | 4,518,156 | ||||||
Astellas Pharma, Inc. | 193,500 | 2,606,510 | ||||||
Coca-Cola West Co., Ltd. | 127,300 | 3,783,432 | ||||||
Fujitsu General Ltd. | 122,000 | 2,388,224 | ||||||
Inpex Corp. | 223,300 | 2,220,317 | ||||||
Matsumotokiyoshi Holdings Co., Ltd. | 55,600 | 2,630,487 | ||||||
Nippon Telegraph & Telephone Corp. | 133,000 | 5,625,810 | ||||||
Nippon Television Holdings, Inc. | 151,100 | 2,690,115 | ||||||
NSK Ltd. | 173,900 | 2,479,335 | ||||||
Seven & i Holdings Co., Ltd. | 75,900 | 2,972,260 | ||||||
Shinsei Bank Ltd. | 762,000 | 1,390,241 | ||||||
Suzuki Motor Corp. | 90,200 | 3,525,437 | ||||||
Tokio Marine Holdings Inc. | 103,300 | 4,526,914 | ||||||
41,357,238 | ||||||||
Netherlands—1.4% | ||||||||
Koninklijke Ahold NV | 92,144 | 1,961,480 | ||||||
Koninklijke Philips NV | 68,800 | 2,084,629 | ||||||
Randstad Holding NV | 42,410 | 2,469,970 | ||||||
6,516,079 | ||||||||
Norway—0.4% | ||||||||
Yara International ASA | 45,253 | 1,717,970 | ||||||
Singapore—1.3% | ||||||||
Flextronics International Ltd.* | 354,851 | 5,851,493 | ||||||
South Korea—0.4% | ||||||||
Samsung Electronics Co., Ltd. | 985 | 1,673,942 | ||||||
Switzerland—4.7% | ||||||||
Chubb Ltd. | 56,301 | 7,779,109 | ||||||
Dufry AG, Registered Shares* | 10,190 | 1,469,564 | ||||||
Georg Fischer AG, Registered Shares | 2,731 | 2,367,082 | ||||||
Roche Holding AG, Participation Certificate | 18,262 | 4,445,053 | ||||||
Swiss Re AG | 29,542 | 2,642,407 | ||||||
TE Connectivity Ltd.(a) | 33,828 | 2,519,171 | ||||||
21,222,386 | ||||||||
Taiwan—0.4% | ||||||||
Hon Hai Precision Industry Co., Ltd. | 709,500 | 2,064,619 | ||||||
United Kingdom—7.6% | ||||||||
Babcock International Group PLC | 293,524 | 3,450,959 | ||||||
Direct Line Insurance Group PLC | 452,230 | 1,927,437 | ||||||
Greencore Group PLC | 891,179 | 2,867,804 | ||||||
Imperial Brands PLC | 49,179 | 2,315,111 | ||||||
Lloyds Banking Group PLC | 5,993,401 | 5,109,451 | ||||||
Persimmon PLC | 85,137 | 2,177,099 | ||||||
Rightmove PLC | 17,265 | 841,576 | ||||||
SSE PLC | 242,413 | 4,631,618 | ||||||
Tesco PLC* | 1,454,490 | 3,398,910 | ||||||
Vodafone Group PLC | 1,289,138 | 3,228,474 | ||||||
WH Smith PLC | 12,795 | 268,645 | ||||||
WPP PLC | 180,447 | 4,245,266 | ||||||
34,462,350 | ||||||||
United States—54.2% | ||||||||
Activision Blizzard, Inc. | 56,746 | 2,560,947 | ||||||
AdvanSix, Inc.* | 764 | 20,836 | ||||||
Air Lease Corp. | 7,218 | 280,997 | ||||||
Allscripts Healthcare Solutions, Inc.*(a) | 164,934 | 2,008,896 | ||||||
Allstate Corp. (The) | 39,866 | 3,275,391 | ||||||
Alphabet, Inc., Class C* | 11,709 | 9,638,966 | ||||||
Anthem, Inc.(a) | 42,048 | 6,930,351 | ||||||
Apple, Inc. | 21,231 | 2,908,435 | ||||||
Bank of America Corp. | 277,695 | 6,853,513 | ||||||
Berkshire Hathaway, Inc., Class B* | 73,166 | 12,542,116 | ||||||
Berry Plastics Group, Inc.* | 71,122 | 3,579,570 | ||||||
Brunswick Corp.(a) | 85,172 | 5,100,951 | ||||||
Capital One Financial Corp. | 44,187 | 4,147,392 | ||||||
Cigna Corp. | 13,715 | 2,042,163 | ||||||
Cisco Systems, Inc. | 57,106 | 1,951,883 |
Semi-Annual Report 2017 | 29 |
BOSTON PARTNERS INVESTMENT FUNDS | February 28, 2017 (unaudited) |
BOSTON PARTNERS GLOBAL EQUITY FUND (continued) | Portfolio of Investments |
Number of Shares | Value | |||||||
United States—(continued) | ||||||||
Citigroup, Inc. | 88,915 | $ | 5,318,006 | |||||
Comcast Corp., Class A | 279,496 | 10,458,740 | ||||||
CommScope Holding Co., Inc.* | 83,021 | 3,158,949 | ||||||
Computer Sciences Corp. | 55,285 | 3,790,340 | ||||||
ConocoPhillips | 59,912 | 2,850,014 | ||||||
DaVita, Inc.* | 42,756 | 2,967,694 | ||||||
Diamondback Energy, Inc.*(a) | 96,229 | 9,705,657 | ||||||
Dow Chemical Co., (The) | 60,818 | 3,786,529 | ||||||
Eaton Corp. PLC(a) | 56,908 | 4,096,238 | ||||||
eBay, Inc.* | 163,494 | 5,542,447 | ||||||
EQT Corp.(a) | 40,635 | 2,433,630 | ||||||
Fifth Third Bancorp(a) | 66,160 | 1,815,430 | ||||||
Graphic Packaging Holding Co. | 179,349 | 2,394,309 | ||||||
HCA Holdings, Inc.* | 30,131 | 2,628,628 | ||||||
Honeywell International, Inc. | 19,123 | 2,380,813 | ||||||
Huntington Bancshares Inc. | 169,444 | 2,395,938 | ||||||
Ingersoll-Rand PLC# | 55,506 | 4,404,956 | ||||||
Jabil Circuit, Inc.(a) | 147,498 | 3,762,674 | ||||||
Jagged Peak Energy, Inc.* | 111,239 | 1,531,761 | ||||||
JELD-WEN Holding, Inc.* | 26,387 | 824,330 | ||||||
Johnson & Johnson | 19,712 | 2,409,004 | ||||||
Laboratory Corp. of America Holdings* | 48,406 | 6,886,238 | ||||||
Leidos Holdings, Inc. | 75,830 | 4,041,739 | ||||||
Liberty Global PLC LiLAC, Class C* | 68,831 | 1,692,554 | ||||||
Loews Corp. | 64,866 | 3,047,405 | ||||||
Marathon Petroleum Corp. | 53,586 | 2,657,866 | ||||||
Merck & Co, Inc. | 209,210 | 13,780,663 | ||||||
Microsoft Corp. | 86,757 | 5,550,713 | ||||||
Newfield Exploration Co.* | 5,531 | 201,660 | ||||||
Northrop Grumman Corp. | 11,715 | 2,894,659 | ||||||
Oracle Corp.(a) | 40,396 | 1,720,466 | ||||||
Parsley Energy, Inc., Class A* | 139,780 | 4,247,914 | ||||||
PayPal Holdings, Inc.* | 43,375 | 1,821,750 | ||||||
Pfizer, Inc.(a) | 81,679 | 2,786,887 | ||||||
Pioneer Natural Resources Co. | 24,718 | 4,596,806 | ||||||
PPG Industries, Inc. | 31,003 | 3,175,637 | ||||||
PulteGroup, Inc.(a) | 120,107 | 2,648,359 | ||||||
Quest Diagnostics, Inc.(a) | 48,553 | 4,731,004 | ||||||
Raytheon Co. | 36,915 | 5,690,447 | ||||||
Reliance Steel & Aluminum Co. | 10,967 | 928,357 | ||||||
SunTrust Banks, Inc. | 36,631 | 2,179,178 | ||||||
Tesoro Corp. | 26,282 | 2,238,964 | ||||||
United Parcel Service, Inc., Class B | 35,601 | 3,765,162 | ||||||
United Technologies Corp. | 24,601 | 2,768,843 | ||||||
Unum Group | 52,311 | 2,554,346 | ||||||
Versum Materials, Inc.*(a) | 76,784 | 2,327,323 | ||||||
Wells Fargo & Co. | 107,619 | 6,228,988 | ||||||
WestRock Co. | 96,031 | 5,158,785 | ||||||
WR Berkley Corp.(a) | 56,740 | 4,029,676 | ||||||
246,850,883 | ||||||||
TOTAL COMMON STOCKS (Cost $375,118,079) | 435,484,974 | |||||||
PREFERRED STOCKS—0.5% | ||||||||
South Korea—0.5% | ||||||||
Samsung Electronics Co., Ltd. | 1,590 | 2,104,510 | ||||||
TOTAL PREFERRED STOCKS (Cost $1,572,964) | 2,104,510 | |||||||
SECURITIES LENDING COLLATERAL—7.5% | ||||||||
Mount Vernon Liquid Assets Portfolio, LLC, 0.97% | 34,363,856 | 34,363,856 | ||||||
TOTAL SECURITIES LENDING COLLATERAL (Cost $34,363,856) | 34,363,856 | |||||||
SHORT-TERM INVESTMENTS—2.7% | ||||||||
Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio, 0.41% | 12,299,453 | 12,299,453 | ||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $12,299,453) | 12,299,453 | |||||||
TOTAL INVESTMENTS—106.3% | ||||||||
(Cost $423,354,352) | 484,252,793 | |||||||
OPTIONS WRITTEN††—(0.1%) | ||||||||
Ingersoll-Rand PLC | ||||||||
Call Options Expires 06/16/2017 | ||||||||
Strike Price $75.00 | (376 | ) | (235,000 | ) | ||||
TOTAL OPTIONS WRITTEN (Premiums received $199,760) | (235,000 | ) | ||||||
LIABILITIES IN EXCESS OF OTHER ASSETS—(6.2)% | (28,409,234 | ) | ||||||
NET ASSETS—100.0% | $ | 455,608,559 |
ADR | — American Depositary Receipt |
PLC | — Public Limited Company |
* | — Non-income producing. |
(a) | — All or a portion of the security is on loan. At February 28, 2017, the market value of securities on loan was $33,372,359. |
# | — Security segregated as collateral for options written. |
†† | — Primary risk exposure is equity contracts. |
30 | Semi-Annual Report 2017 |
BOSTON PARTNERS INVESTMENT FUNDS | February 28, 2017 (unaudited) |
BOSTON PARTNERS GLOBAL EQUITY FUND (concluded) | Portfolio of Investments |
Total Value as of February 28, 2017 | Level 1 Quoted Price | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |||||||||||||
Common Stock | ||||||||||||||||
Argentina | $ | 2,166,134 | $ | 2,166,134 | $ | — | $ | — | ||||||||
Australia | 3,259,227 | — | 3,259,227 | — | ||||||||||||
Canada | 2,640,871 | 2,640,871 | — | — | ||||||||||||
France | 18,917,571 | — | 18,917,571 | — | ||||||||||||
Germany | 31,165,816 | — | 31,165,816 | — | ||||||||||||
Hong Kong | 5,629,863 | — | 5,629,863 | — | ||||||||||||
India | 1,847,132 | 1,847,132 | — | — | ||||||||||||
Indonesia | 1,249,650 | — | 1,249,650 | — | ||||||||||||
Ireland | 6,891,750 | — | 6,891,750 | — | ||||||||||||
Japan | 41,357,238 | — | 41,357,238 | — | ||||||||||||
Netherlands | 6,516,079 | — | 6,516,079 | — | ||||||||||||
Norway | 1,717,970 | — | 1,717,970 | — | ||||||||||||
Singapore | 5,851,493 | 5,851,493 | — | — | ||||||||||||
South Korea | 1,673,942 | — | 1,673,942 | — | ||||||||||||
Switzerland | 21,222,386 | 10,298,280 | 10,924,106 | — | ||||||||||||
Taiwan | 2,064,619 | — | 2,064,619 | — | ||||||||||||
United Kingdom | 34,462,350 | — | 34,462,350 | — | ||||||||||||
United States | 246,850,883 | 246,850,883 | — | — | ||||||||||||
Preferred Stock | ||||||||||||||||
South Korea | 2,104,510 | — | 2,104,510 | — | ||||||||||||
Securities Lending Collateral | 34,363,856 | 34,363,856 | — | — | ||||||||||||
Short-Term Investments | 12,299,453 | 12,299,453 | — | — | ||||||||||||
Total Assets | $ | 484,252,793 | $ | 316,318,102 | $ | 167,934,691 | $ | — |
Total Value as of February 28, 2017 | Level 1 Quoted Price | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |||||||||||||
Options Written | ||||||||||||||||
Equity contracts | $ | (235,000 | ) | $ | — | $ | (235,000 | ) | $ | — | ||||||
Total Liabilities | $ | (235,000 | ) | $ | — | $ | (235,000 | ) | $ | — |
Semi-Annual Report 2017 | 31 |
BOSTON PARTNERS INVESTMENT FUNDS | February 28, 2017 (unaudited) |
BOSTON PARTNERS GLOBAL LONG/SHORT FUND | Portfolio of Investments |
Number of Shares | Value | |||||||
LONG POSITIONS—99.2% | ||||||||
COMMON STOCKS—92.2% | ||||||||
Argentina—0.5% | ||||||||
YPF SA - Sponsored ADR | 202,040 | $ | 4,192,330 | |||||
Australia—0.6% | ||||||||
Australia & New Zealand Banking Group Ltd. | 237,504 | 5,621,288 | ||||||
Austria—0.2% | ||||||||
Wienerberger AG | 71,603 | 1,410,926 | ||||||
Canada—0.8% | ||||||||
Cenovus Energy, Inc. | 413,240 | 5,226,948 | ||||||
Stornoway Diamond Corp.* | 2,827,576 | 1,852,124 | ||||||
7,079,072 | ||||||||
France—3.9% | ||||||||
Bollore SA | 1,148,521 | 4,455,338 | ||||||
Cap Gemini SA | 81,254 | 6,959,579 | ||||||
Havas SA | 292,712 | 2,530,238 | ||||||
Teleperformance SA | 78,509 | 8,690,951 | ||||||
Vinci SA | 160,681 | 11,584,258 | ||||||
34,220,364 | ||||||||
Germany—3.0% | ||||||||
Aurelious AG | 101,427 | 6,712,799 | ||||||
Muenchener Rueckversicherungs Gesellschaft AG, Registered Shares | 16,397 | 3,097,347 | ||||||
Siemens AG, Registered Shares | 128,679 | 16,728,390 | ||||||
26,538,536 | ||||||||
Hong Kong—1.3% | ||||||||
WH Group Ltd. | 14,704,500 | 11,480,282 | ||||||
India—1.4% | ||||||||
ICICI Bank Ltd. - Sponsored ADR | 446,242 | 3,659,184 | ||||||
Videocon d2h Ltd. - ADR*† | 913,668 | 8,798,623 | ||||||
12,457,807 | ||||||||
Indonesia—0.4% | ||||||||
Bank Rakyat Indonesia Persero Tbk PT | 3,359,200 | 3,003,379 | ||||||
Ireland—1.1% | ||||||||
CRH PLC | 283,559 | 9,574,993 | ||||||
Japan—8.7% | ||||||||
Alps Electric Co., Ltd. | 298,500 | 8,861,167 | ||||||
Astellas Pharma, Inc. | 479,900 | 6,464,415 | ||||||
Coca-Cola West Co., Ltd.† | 269,700 | 8,015,645 | ||||||
Fujitsu General Ltd. | 249,000 | 4,874,326 | ||||||
Haseko Corp. | 478,200 | 5,658,935 | ||||||
Inpex Corp. | 413,853 | 4,115,024 | ||||||
Nippon Telegraph & Telephone Corp. | 263,396 | 11,141,472 | ||||||
NSK Ltd. | 370,900 | 5,288,012 | ||||||
Seven & i Holdings Co., Ltd. | 152,700 | 5,979,765 | ||||||
Shinsei Bank Ltd. | 614,000 | 1,120,220 | ||||||
Suzuki Motor Corp. | 191,400 | 7,480,805 | ||||||
Tokio Marine Holdings, Inc. | 149,400 | 6,547,154 | ||||||
75,546,940 | ||||||||
Netherlands—0.9% | ||||||||
Koninklijke Ahold NV | 154,160 | $ | 3,281,632 | |||||
Koninklijke Philips NV | 152,849 | 4,631,300 | ||||||
7,912,932 | ||||||||
Norway—0.4% | ||||||||
Yara International ASA | 90,444 | 3,433,586 | ||||||
Singapore—0.7% | ||||||||
Flextronics International Ltd.*† | 366,789 | 6,048,351 | ||||||
Switzerland—4.4% | ||||||||
Chubb Ltd.† | 124,142 | 17,152,700 | ||||||
Roche Holding AG, Participation Certificate | 41,528 | 10,108,103 | ||||||
Swiss Re AG | 65,725 | 5,878,824 | ||||||
TE Connectivity Ltd. | 72,494 | 5,398,628 | ||||||
38,538,255 | ||||||||
United Kingdom—8.2% | ||||||||
Aldermore Group PLC* | 1,016,492 | 2,921,200 | ||||||
Babcock International Group PLC | 634,671 | 7,461,820 | ||||||
Direct Line Insurance Group PLC | 868,791 | 3,702,851 | ||||||
Greencore Group PLC | 1,466,248 | 4,718,370 | ||||||
Imperial Brands PLC | 94,421 | 4,444,888 | ||||||
Lloyds Banking Group PLC | 12,132,111 | 10,342,779 | ||||||
Persimmon PLC | 172,970 | 4,423,140 | ||||||
Rightmove PLC | 45,885 | 2,236,649 | ||||||
SSE PLC | 500,503 | 9,562,765 | ||||||
Tesco PLC* | 2,881,357 | 6,733,269 | ||||||
Vodafone Group PLC | 2,767,010 | 6,929,607 | ||||||
WH Smith PLC | 24,569 | 515,853 | ||||||
WPP PLC | 337,244 | 7,934,133 | ||||||
71,927,324 | ||||||||
United States—55.7% | ||||||||
Activision Blizzard, Inc.† | 123,072 | 5,554,239 | ||||||
AdvanSix, Inc.*† | 1,701 | 46,391 | ||||||
Air Lease Corp. | 13,838 | 538,713 | ||||||
Allscripts Healthcare Solutions, Inc.* | 350,703 | 4,271,563 | ||||||
Alphabet, Inc., Class C*† | 24,533 | 20,195,811 | ||||||
Anthem, Inc. | 83,364 | 13,740,054 | ||||||
Bank of America Corp.† | 532,341 | 13,138,176 | ||||||
Berkshire Hathaway, Inc., Class B*† | 140,513 | 24,086,738 | ||||||
Berry Plastics Group, Inc.*†# | 140,135 | 7,052,995 | ||||||
Boardwalk Pipeline Partners LP† | 481,510 | 8,715,331 | ||||||
Brunswick Corp. | 122,653 | 7,345,688 | ||||||
Capital One Financial Corp.† | 91,751 | 8,611,749 | ||||||
Cigna Corp. | 31,039 | 4,621,707 | ||||||
Cisco Systems, Inc.† | 139,987 | 4,784,756 | ||||||
Citigroup, Inc. | 193,665 | 11,583,104 | ||||||
Coca-Cola European Partners PLC | 95,608 | 3,316,642 | ||||||
Comcast Corp., Class A† | 412,216 | 15,425,123 | ||||||
CommScope Holding Co., Inc.* | 173,966 | 6,619,406 | ||||||
Computer Sciences Corp.† | 123,673 | 8,479,021 | ||||||
ConocoPhillips† | 129,320 | 6,151,752 | ||||||
DaVita, Inc.* | 87,954 | 6,104,887 | ||||||
Diamondback Energy, Inc.*†# | 184,422 | 18,600,803 | ||||||
Dow Chemical Co., (The)† | 112,664 | 7,014,461 | ||||||
Eaton Corp. PLC | 112,925 | 8,128,342 |
32 | Semi-Annual Report 2017 |
BOSTON PARTNERS INVESTMENT FUNDS | February 28, 2017 (unaudited) |
BOSTON PARTNERS GLOBAL LONG/SHORT FUND (continued) | Portfolio of Investments |
Number of Shares | Value | |||||||
United States—(continued) | ||||||||
eBay, Inc.*† | 318,420 | $ | 10,794,438 | |||||
EQT Corp. | 90,141 | 5,398,545 | ||||||
Fifth Third Bancorp | 127,057 | 3,486,444 | ||||||
Gener8 Maritime, Inc.*† | 420,072 | 2,049,951 | ||||||
Graphic Packaging Holding Co.† | 448,759 | 5,990,933 | ||||||
HCA Holdings, Inc.* | 61,322 | 5,349,731 | ||||||
Honeywell International, Inc. | 6,078 | 756,711 | ||||||
Ingersoll-Rand PLC# | 84,270 | 6,687,667 | ||||||
International Speedway Corp. | 114,618 | 4,252,328 | ||||||
Jabil Circuit, Inc.† | 328,355 | 8,376,336 | ||||||
Jagged Peak Energy, Inc.* | 219,383 | 3,020,904 | ||||||
JELD-WEN Holding, Inc.* | 65,464 | 2,045,095 | ||||||
Johnson & Johnson | 39,377 | 4,812,263 | ||||||
Laboratory Corp. of America Holdings*† | 101,694 | 14,466,988 | ||||||
Leidos Holdings, Inc.† | 168,252 | 8,967,832 | ||||||
Liberty Global PLC LiLAC, Class C*† | 153,991 | 3,786,640 | ||||||
Loews Corp. | 84,084 | 3,950,266 | ||||||
Marathon Petroleum Corp. | 109,161 | 5,414,386 | ||||||
Merck & Co, Inc.†# | 414,590 | 27,309,043 | ||||||
Microsoft Corp. | 173,394 | 11,093,748 | ||||||
Newfield Exploration Co.* | 10,939 | 398,836 | ||||||
Nomad Foods Ltd.*† | 571,052 | 6,144,520 | ||||||
Northrop Grumman Corp. | 25,457 | 6,290,170 | ||||||
Oracle Corp. | 99,373 | 4,232,296 | ||||||
Parsley Energy, Inc., Class A*† | 269,828 | 8,200,073 | ||||||
PayPal Holdings, Inc.*† | 110,614 | 4,645,788 | ||||||
Pfizer, Inc. | 175,481 | 5,987,412 | ||||||
Pioneer Natural Resources Co. | 47,368 | 8,809,027 | ||||||
PPG Industries, Inc. | 65,832 | 6,743,172 | ||||||
PulteGroup, Inc.† | 246,070 | 5,425,844 | ||||||
Quest Diagnostics, Inc. | 100,203 | 9,763,780 | ||||||
Raytheon Co.† | 66,707 | 10,282,884 | ||||||
Reliance Steel & Aluminum Co. | 23,974 | 2,029,399 | ||||||
SunTrust Banks, Inc. | 113,398 | 6,746,047 | ||||||
Tesoro Corp. | 53,886 | 4,590,548 | ||||||
United Technologies Corp.† | 63,229 | 7,116,424 | ||||||
Versum Materials, Inc.* | 153,462 | 4,651,433 | ||||||
Viper Energy Partners LP† | 280,668 | 4,995,890 | ||||||
Wells Fargo & Co.† | 225,506 | 13,052,287 | ||||||
WestRock Co.† | 191,056 | 10,263,528 | ||||||
WR Berkley Corp. | 55,844 | 3,966,041 | ||||||
486,473,100 | ||||||||
TOTAL COMMON STOCKS (Cost $700,397,058) | 805,459,465 | |||||||
PREFERRED STOCKS—0.8% | ||||||||
South Korea—0.8% | ||||||||
Samsung Electronics Co., Ltd. | 5,611 | 7,426,672 | ||||||
TOTAL PREFERRED STOCKS (Cost $5,406,038) | 7,426,672 | |||||||
SHORT-TERM INVESTMENTS—6.2% | ||||||||
Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio, 0.41% | 53,868,528 | $ | 53,868,528 | |||||
TOTAL SHORT-TERM INVESTMENTS (Cost $53,868,528) | 53,868,528 | |||||||
TOTAL INVESTMENTS—99.2% | ||||||||
(Cost $759,671,624) | 866,754,665 | |||||||
SECURITIES SOLD SHORT—(44.0%) | ||||||||
COMMON STOCKS—(44.0%) | ||||||||
Australia—(0.7%) | ||||||||
Brambles Ltd. | (335,575 | ) | (2,395,193 | ) | ||||
WorleyParsons Ltd.* | (464,434 | ) | (3,782,011 | ) | ||||
(6,177,204 | ) | |||||||
Canada—(0.7%) | ||||||||
Cineplex, Inc. | (98,377 | ) | (3,707,099 | ) | ||||
Gildan Activewear, Inc. | (111,434 | ) | (2,828,195 | ) | ||||
(6,535,294 | ) | |||||||
Denmark—(1.1%) | ||||||||
Chr Hansen Holding A/S | (60,782 | ) | (3,624,166 | ) | ||||
Coloplast A/S, Class B | (35,532 | ) | (2,505,240 | ) | ||||
William Demant Holding A/S* | (185,104 | ) | (3,787,977 | ) | ||||
(9,917,383 | ) | |||||||
Finland—(1.4%) | ||||||||
Huhtamaki OYJ | (47,540 | ) | (1,713,836 | ) | ||||
Konecranes OYJ | (72,471 | ) | (2,602,203 | ) | ||||
Neste Oyj | (111,671 | ) | (3,886,913 | ) | ||||
Wartsila OYJ Abp | (75,699 | ) | (3,886,911 | ) | ||||
(12,089,863 | ) | |||||||
France—(0.7%) | ||||||||
Aeroports de Paris | (23,178 | ) | (2,629,422 | ) | ||||
Essilor International SA | —^ | (28 | ) | |||||
Klepierre | (102,746 | ) | (3,816,097 | ) | ||||
(6,445,547 | ) | |||||||
Germany—(1.3%) | ||||||||
GEA Group AG | (100,637 | ) | (3,911,488 | ) | ||||
Infineon Technologies AG | (164,150 | ) | (2,917,896 | ) | ||||
Symrise AG | (68,084 | ) | (4,231,140 | ) | ||||
(11,060,524 | ) | |||||||
Hong Kong—(0.8%) | ||||||||
Bank of East Asia Ltd., (The) | (618,316 | ) | (2,554,515 | ) | ||||
Hang Seng Bank Ltd. | (146,800 | ) | (3,008,248 | ) | ||||
Techtronic Industries Co., Ltd. | (483,500 | ) | (1,730,118 | ) | ||||
(7,292,881 | ) | |||||||
Ireland—(0.3%) | ||||||||
James Hardie Industries PLC | (186,051 | ) | (2,776,289 | ) | ||||
Italy—(0.6%) | ||||||||
Ferrari NV | (77,613 | ) | (5,049,502 | ) | ||||
Japan—(3.4%) | ||||||||
Aozora Bank Ltd. | (707,000 | ) | (2,651,726 | ) | ||||
Hisamitsu Pharmaceutical Co., Inc. | (33,500 | ) | (1,801,954 | ) | ||||
Japan Airport Terminal Co., Ltd. | (75,700 | ) | (2,647,599 | ) |
Semi-Annual Report 2017 | 33 |
BOSTON PARTNERS INVESTMENT FUNDS | February 28, 2017 (unaudited) |
BOSTON PARTNERS GLOBAL LONG/SHORT FUND (continued) | Portfolio of Investments |
Number of Shares | Value | |||||||
Japan—(continued) | ||||||||
Murata Manufacturing Co., Ltd. | (16,100 | ) | $ | (2,312,529 | ) | |||
Nintendo Co., Ltd. | (8,900 | ) | (1,858,994 | ) | ||||
Nitto Denko Corp. | (46,600 | ) | (3,923,186 | ) | ||||
Ono Pharmaceutical Co., Ltd. | (180,800 | ) | (4,003,618 | ) | ||||
Ricoh Co., Ltd. | (371,500 | ) | (3,240,701 | ) | ||||
Sanrio Co., Ltd. | (86,900 | ) | (1,720,960 | ) | ||||
Shimano, Inc. | (19,500 | ) | (2,884,560 | ) | ||||
Sohgo Security Services Co., Ltd. | (70,800 | ) | (2,681,712 | ) | ||||
(29,727,539 | ) | |||||||
Netherlands—(0.7%) | ||||||||
Airbus Group SE | (53,935 | ) | (3,962,955 | ) | ||||
Fugro NV* | (110,989 | ) | (1,770,884 | ) | ||||
(5,733,839 | ) | |||||||
Norway—(0.4%) | ||||||||
Marine Harvest ASA | (177,399 | ) | (3,098,603 | ) | ||||
Singapore—(0.7%) | ||||||||
Sembcorp Industries Ltd. | (972,500 | ) | (2,218,253 | ) | ||||
Singapore Press Holdings Ltd. | (1,427,600 | ) | (3,562,620 | ) | ||||
(5,780,873 | ) | |||||||
Spain—(0.4%) | ||||||||
Bankinter SA | (410,082 | ) | (3,159,552 | ) | ||||
Sweden—(1.0%) | ||||||||
Autoliv, Inc. | (38,531 | ) | (4,034,196 | ) | ||||
Hennes & Mauritz AB | (77,736 | ) | (2,049,539 | ) | ||||
Hexagon AB | (72,942 | ) | (2,940,991 | ) | ||||
(9,024,726 | ) | |||||||
Switzerland—(2.0%) | ||||||||
Chocoladefabriken Lindt & Spruengli AG, Registered Shares | (37 | ) | (2,396,772 | ) | ||||
Cie Financiere Richemont SA | (31,263 | ) | (2,302,807 | ) | ||||
Geberit AG | (4,149 | ) | (1,795,777 | ) | ||||
Kuehne + Nagel International AG | (35,462 | ) | (5,048,956 | ) | ||||
Nestle SA | (40,750 | ) | (3,007,276 | ) | ||||
SGS SA, Registered Shares | (1,248 | ) | (2,651,565 | ) | ||||
(17,203,153 | ) | |||||||
United Kingdom—(3.8%) | ||||||||
Antofagasta PLC | (167,979 | ) | (1,688,013 | ) | ||||
Fresnillo PLC | (201,534 | ) | (3,698,067 | ) | ||||
GW Pharmaceuticals PLC - ADR* | (17,785 | ) | (2,219,212 | ) | ||||
Hargreaves Lansdown PLC | (184,788 | ) | (3,059,072 | ) | ||||
Manchester United PLC | (123,769 | ) | (2,085,508 | ) | ||||
Mediclinic International PLC | (419,930 | ) | (3,861,394 | ) | ||||
Merlin Entertainments PLC | (350,808 | ) | (2,141,211 | ) | ||||
Next PLC | (79,231 | ) | (3,764,208 | ) | ||||
Ocado Group PLC* | (1,166,698 | ) | (3,604,762 | ) | ||||
Pearson PLC | (393,370 | ) | (3,286,071 | ) | ||||
Playtech Plc | (211,015 | ) | (2,337,788 | ) | ||||
Rotork PLC | (493,608 | ) | (1,513,434 | ) | ||||
(33,258,740 | ) | |||||||
United States—(24.0%) | ||||||||
ACI Worldwide, Inc.* | (90,686 | ) | (1,774,725 | ) | ||||
Apache Corp. | (44,915 | ) | (2,362,080 | ) | ||||
AptarGroup, Inc. | (69,963 | ) | (5,212,943 | ) | ||||
Axalta Coating Systems Ltd.* | (104,687 | ) | (3,047,439 | ) | ||||
Balchem Corp. | (39,036 | ) | (3,402,768 | ) | ||||
Ball Corp. | (34,697 | ) | (2,551,270 | ) | ||||
Bemis Co., Inc. | (37,609 | ) | (1,864,278 | ) | ||||
Blackbaud, Inc. | (62,609 | ) | (4,477,796 | ) | ||||
Casey's General Stores, Inc. | (22,878 | ) | (2,621,361 | ) | ||||
Caterpillar, Inc. | (59,047 | ) | (5,707,483 | ) | ||||
Cheesecake Factory Inc., (The) | (42,783 | ) | (2,611,902 | ) | ||||
Chipotle Mexican Grill, Inc.* | (5,205 | ) | (2,179,542 | ) | ||||
Cincinnati Financial Corp. | (54,875 | ) | (4,003,680 | ) | ||||
Cogent Communications Holdings, Inc. | (58,251 | ) | (2,414,504 | ) | ||||
Cognex Corp. | (33,942 | ) | (2,607,085 | ) | ||||
Colgate-Palmolive Co. | (29,482 | ) | (2,151,596 | ) | ||||
Columbia Sportswear Co. | (47,396 | ) | (2,603,936 | ) | ||||
Community Bank System, Inc. | (36,115 | ) | (2,145,592 | ) | ||||
CoStar Group, Inc.* | (19,592 | ) | (3,980,703 | ) | ||||
Cracker Barrel Old Country Store, Inc. | (21,639 | ) | (3,483,663 | ) | ||||
Dorman Products, Inc.* | (28,881 | ) | (2,257,339 | ) | ||||
Eli Lilly & Co. | (45,678 | ) | (3,782,595 | ) | ||||
Emerson Electric Co. | (56,772 | ) | (3,411,997 | ) | ||||
Equinix, Inc. | (8,943 | ) | (3,363,194 | ) | ||||
Estee Lauder Cos., Inc. (The) | (26,006 | ) | (2,154,597 | ) | ||||
FactSet Research Systems, Inc. | (11,089 | ) | (1,972,733 | ) | ||||
First Financial Bankshares, Inc. | (137,049 | ) | (6,030,156 | ) | ||||
Flowserve Corp. | (55,811 | ) | (2,592,421 | ) | ||||
Fox Factory Holding Corp.* | (95,660 | ) | (2,563,688 | ) | ||||
Heartland Express, Inc. | (165,489 | ) | (3,432,242 | ) | ||||
Hecla Mining Co. | (610,291 | ) | (3,405,424 | ) | ||||
Hess Corp. | (50,618 | ) | (2,603,790 | ) | ||||
IDEXX Laboratories, Inc.* | (28,726 | ) | (4,163,546 | ) | ||||
Juno Therapeutics, Inc.* | (113,480 | ) | (2,728,059 | ) | ||||
Kinder Morgan, Inc. | (108,818 | ) | (2,318,912 | ) | ||||
Laredo Petroleum, Inc.* | (262,294 | ) | (3,627,526 | ) | ||||
Matador Resources Co.* | (120,194 | ) | (2,893,070 | ) | ||||
Mattel, Inc. | (135,714 | ) | (3,491,921 | ) | ||||
Mercury General Corp. | (61,653 | ) | (3,614,715 | ) | ||||
Middleby Corp. (The)* | (29,241 | ) | (4,056,019 | ) | ||||
Monster Beverage Corp.* | (59,281 | ) | (2,456,605 | ) | ||||
Multi-Color Corp. | (7,611 | ) | (545,709 | ) | ||||
National Instruments Corp. | (116,547 | ) | (3,757,475 | ) | ||||
National Oilwell Varco, Inc. | (92,126 | ) | (3,723,733 | ) | ||||
Netflix, Inc.* | (35,323 | ) | (5,020,458 | ) | ||||
NewMarket Corp. | (5,435 | ) | (2,367,975 | ) | ||||
Panera Bread Co.* | (12,517 | ) | (2,888,924 | ) | ||||
Prosperity Bancshares, Inc. | (30,284 | ) | (2,257,369 | ) | ||||
RLI Corp. | (66,605 | ) | (3,893,062 | ) | ||||
Rockwell Automation, Inc. | (32,749 | ) | (4,948,374 | ) | ||||
SeaWorld Entertainment, Inc. | (158,687 | ) | (3,057,898 | ) | ||||
Sonoco Products Co. | (80,845 | ) | (4,310,655 | ) | ||||
Tesla Motors, Inc.* | (23,562 | ) | (5,890,264 | ) | ||||
Tootsie Roll Industries, Inc. | (56,199 | ) | (2,200,191 | ) | ||||
Toro Co., (The) | (58,186 | ) | (3,503,379 | ) | ||||
TransDigm Group, Inc. | (14,099 | ) | (3,583,966 | ) | ||||
Trex Co., Inc.* | (39,601 | ) | (2,693,264 | ) |
34 | Semi-Annual Report 2017 |
BOSTON PARTNERS INVESTMENT FUNDS | February 28, 2017 (unaudited) |
BOSTON PARTNERS GLOBAL LONG/SHORT FUND (continued) | Portfolio of Investments |
Number of Shares | Value | |||||||
United States—(continued) | ||||||||
Ultimate Software Group, Inc. (The)* | (11,164 | ) | $ | (2,159,006 | ) | |||
UMB Financial Corp. | (39,847 | ) | (3,140,741 | ) | ||||
Vertex Pharmaceuticals, Inc.* | (38,274 | ) | (3,468,390 | ) | ||||
Wabtec Corp. | (45,888 | ) | (3,676,547 | ) | ||||
Wayfair, Inc.* | (71,477 | ) | (2,702,545 | ) | ||||
Westamerica Bancorporation | (47,410 | ) | (2,742,669 | ) | ||||
WisdomTree Investments, Inc. | (198,577 | ) | (1,809,036 | ) | ||||
Workday, Inc., Class A* | (33,212 | ) | (2,754,271 | ) | ||||
World Wrestling Entertainment, Inc., Class A | (96,600 | ) | (2,026,668 | ) | ||||
Yelp, Inc.* | (76,354 | ) | (2,573,130 | ) | ||||
(209,820,594 | ) | |||||||
TOTAL COMMON STOCKS (Proceeds $360,918,790) | (384,152,106 | ) | ||||||
TOTAL SECURITIES SOLD SHORT—(44.0%) (Proceeds $360,918,790) | (384,152,106 | ) |
Number of Contracts | Value | |||||||
OPTIONS WRITTEN††—(0.2%) | ||||||||
Berry Plastics Group, Inc. | ||||||||
Call Options Expires 06/16/2017 | ||||||||
Strike Price $47.50 | (1,072 | ) | $ | (466,320 | ) | |||
Diamondback Energy, Inc. | ||||||||
Call Options Expires 03/17/2017 | ||||||||
Strike Price $95.00 | (495 | ) | (346,500 | ) | ||||
Ingersoll-Rand PLC | ||||||||
Call Options Expires 06/16/2017 | ||||||||
Strike Price $75.00 | (758 | ) | (473,750 | ) | ||||
Merck & Co, Inc. | ||||||||
Call Options Expires 07/21/2017 | ||||||||
Strike Price $60.00 | (1,443 | ) | (970,417 | ) | ||||
TOTAL OPTIONS WRITTEN (Premiums received $1,771,641) | (2,256,987 | ) | ||||||
OTHER ASSETS IN EXCESS OF LIABILITIES—45.0% | 393,485,094 | |||||||
NET ASSETS—100.0% | $ | 873,830,666 |
ADR | — American Depositary Receipt |
PLC | — Public Limited Company |
* | — Non-income producing. |
† | — Security position is either entirely or partially held in a segregated account as collateral for securities sold short. |
# | — Security segregated as collateral for options written. |
^ | — Less than 0.5 shares |
†† | — Primary risk exposure is equity contracts. |
Reference Company | Counterparty | Number of Contracts Long/(Short) | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||
Short | |||||||||||||
South Korea | |||||||||||||
Kakao Corp. | Goldman Sachs | (20,040 | ) | $ | (1,545,708 | ) | $ | 33,460 | |||||
Paradise Co., Ltd. | Goldman Sachs | (74,442 | ) | (951,553 | ) | (68,531 | ) | ||||||
(35,071 | ) | ||||||||||||
Taiwan | |||||||||||||
Eclat Textile Co., Ltd. | Goldman Sachs | (114,048 | ) | $ | (1,140,462 | ) | $ | (426 | ) | ||||
$ | (35,497 | ) |
Semi-Annual Report 2017 | 35 |
BOSTON PARTNERS INVESTMENT FUNDS | February 28, 2017 (unaudited) |
BOSTON PARTNERS GLOBAL LONG/SHORT FUND (concluded) | Portfolio of Investments |
Total Value as of February 28, 2017 | Level 1 Quoted Price | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |||||||||||||
Common Stock | ||||||||||||||||
Argentina | $ | 4,192,330 | $ | 4,192,330 | $ | — | $ | — | ||||||||
Australia | 5,621,288 | — | 5,621,288 | — | ||||||||||||
Austria | 1,410,926 | 1,410,926 | — | — | ||||||||||||
Canada | 7,079,072 | 7,079,072 | — | — | ||||||||||||
France | 34,220,364 | — | 34,220,364 | — | ||||||||||||
Germany | 26,538,536 | — | 26,538,536 | — | ||||||||||||
Hong Kong | 11,480,282 | — | 11,480,282 | — | ||||||||||||
India | 12,457,807 | 12,457,807 | — | — | ||||||||||||
Indonesia | 3,003,379 | — | 3,003,379 | — | ||||||||||||
Ireland | 9,574,993 | — | 9,574,993 | — | ||||||||||||
Japan | 75,546,940 | — | 75,546,940 | — | ||||||||||||
Netherlands | 7,912,932 | — | 7,912,932 | — | ||||||||||||
Norway | 3,433,586 | — | 3,433,586 | — | ||||||||||||
Singapore | 6,048,351 | 6,048,351 | — | — | ||||||||||||
Switzerland | 38,538,255 | 22,551,328 | 15,986,927 | — | ||||||||||||
United Kingdom | 71,927,324 | 2,921,200 | 69,006,124 | — | ||||||||||||
United States | 486,473,100 | 486,473,100 | — | — | ||||||||||||
Preferred Stock | ||||||||||||||||
South Korea | 7,426,672 | — | 7,426,672 | — | ||||||||||||
Short-Term Investments | 53,868,528 | 53,868,528 | — | — | ||||||||||||
Total Assets | $ | 866,754,665 | $ | 597,002,642 | $ | 269,752,023 | $ | — |
Total Value as of February 28, 2017 | Level 1 Quoted Price | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |||||||||||||
Securities Sold Short | ||||||||||||||||
Australia | $ | (6,177,204 | ) | $ | — | $ | (6,177,204 | ) | $ | — | ||||||
Canada | (6,535,294 | ) | (6,535,294 | ) | — | — | ||||||||||
Denmark | (9,917,383 | ) | — | (9,917,383 | ) | — | ||||||||||
Finland | (12,089,863 | ) | — | (12,089,863 | ) | — | ||||||||||
France | (6,445,547 | ) | — | (6,445,547 | ) | — | ||||||||||
Germany | (11,060,524 | ) | — | (11,060,524 | ) | — | ||||||||||
Hong Kong | (7,292,881 | ) | — | (7,292,881 | ) | — | ||||||||||
Ireland | (2,776,289 | ) | — | (2,776,289 | ) | — | ||||||||||
Italy | (5,049,502 | ) | (5,049,502 | ) | — | — | ||||||||||
Japan | (29,727,539 | ) | — | (29,727,539 | ) | — | ||||||||||
Netherlands | (5,733,839 | ) | — | (5,733,839 | ) | — | ||||||||||
Norway | (3,098,603 | ) | — | (3,098,603 | ) | — | ||||||||||
Singapore | (5,780,873 | ) | — | (5,780,873 | ) | — | ||||||||||
Spain | (3,159,552 | ) | — | (3,159,552 | ) | — | ||||||||||
Sweden | (9,024,726 | ) | (4,034,196 | ) | (4,990,530 | ) | — | |||||||||
Switzerland | (17,203,153 | ) | — | (17,203,153 | ) | — | ||||||||||
United Kingdom | (33,258,740 | ) | (7,909,482 | ) | (25,349,258 | ) | — | |||||||||
United States | (209,820,594 | ) | (209,820,594 | ) | — | — | ||||||||||
Options Written | ||||||||||||||||
Equity Contracts | (2,256,987 | ) | (346,500 | ) | (1,910,487 | ) | — | |||||||||
Contracts For Difference | ||||||||||||||||
Equity Contracts | (35,497 | ) | — | (35,497 | ) | — | ||||||||||
Total Liabilities | $ | (386,444,590 | ) | $ | (233,695,568 | ) | $ | (152,749,022 | ) | $ | — |
36 | Semi-Annual Report 2017 |
BOSTON PARTNERS INVESTMENT FUNDS | February 28, 2017 (unaudited) |
BOSTON PARTNERS EMERGING MARKETS LONG/SHORT FUND | Portfolio of Investments |
Number of Shares | Value | |||||||
LONG POSITIONS—92.6% | ||||||||
RIGHTS—0.0% | ||||||||
India—0.0% | ||||||||
South Indian Bank Ltd. (The)*‡ | 161,284 | $ | 13,247 | |||||
TOTAL RIGHTS (Cost $15,170) | 13,247 | |||||||
COMMON STOCKS—48.4% | ||||||||
Argentina—1.6% | ||||||||
Pampa Energia SA - Sponsored ADR*† | 4,802 | 219,788 | ||||||
YPF SA - Sponsored ADR | 6,404 | 132,883 | ||||||
352,671 | ||||||||
Austria—1.6% | ||||||||
Atrium European Real Estate Ltd. | 84,035 | 342,864 | ||||||
Brazil—8.2% | ||||||||
Alupar Investimento SA | 11,600 | 74,049 | ||||||
Embraer SA | 2,663 | 61,489 | ||||||
Equatorial Energia SA | 3,900 | 74,417 | ||||||
Localiza Rent a Car SA | 29,500 | 364,870 | ||||||
Minerva SA | 46,800 | 162,284 | ||||||
QGEP Participacoes SA | 101,500 | 189,875 | ||||||
Qualicorp SA | 48,600 | 307,192 | ||||||
Tegma Gestao Logistica SA* | 48,000 | 171,654 | ||||||
Transmissora Alianca de Energia Eletrica SA | 12,000 | 84,824 | ||||||
Via Varejo SA | 54,500 | 206,163 | ||||||
Wilson Sons Ltd. | 5,000 | 55,272 | ||||||
1,752,089 | ||||||||
China—4.2% | ||||||||
Alibaba Group Holding Ltd.* | 2,131 | 219,280 | ||||||
Baidu, Inc.* | 718 | 125,025 | ||||||
Hollysys Automation Technologies Ltd. | 3,023 | 52,781 | ||||||
NetEase, Inc. - ADR | 1,678 | 511,891 | ||||||
908,977 | ||||||||
Colombia—1.8% | ||||||||
Almacenes Exito SA | 74,500 | 395,346 | ||||||
Hong Kong—1.8% | ||||||||
WH Group Ltd. | 484,000 | 377,875 | ||||||
Hungary—0.4% | ||||||||
Richter Gedeon Nyrt | 3,724 | 82,578 | ||||||
India—5.2% | ||||||||
Edelweiss Financial Services Ltd. | 39,684 | 81,483 | ||||||
Eros International Media Ltd.* | 109,636 | 348,538 | ||||||
Gujarat State Petronet Ltd. | 68,879 | 159,298 | ||||||
ICICI Bank Ltd. | 17,749 | 73,099 | ||||||
Petronet LNG Ltd | 3,940 | 24,014 | ||||||
South Indian Bank Ltd. (The) | 483,853 | 151,042 | ||||||
Videocon d2h Ltd. - ADR* | 19,943 | 192,051 | ||||||
Yes Bank Ltd. | 4,003 | 87,015 | ||||||
1,116,540 | ||||||||
Indonesia—0.8% | ||||||||
Bank Rakyat Indonesia Persero Tbk PT | 188,600 | 168,623 | ||||||
Israel—1.6% | ||||||||
Gazit-Globe Ltd. | 32,390 | $ | 336,930 | |||||
Luxembourg—0.9% | ||||||||
Ternium SA | 7,050 | 186,966 | ||||||
Malaysia—1.2% | ||||||||
Bumi Armada Bhd | 1,542,500 | 251,702 | ||||||
Mexico—1.2% | ||||||||
Credito Real SAB de CV SOFOM ER* | 203,700 | 251,945 | ||||||
Russia—0.9% | ||||||||
LUKOIL PJSC | 3,686 | 194,897 | ||||||
South Africa—5.0% | ||||||||
Adcock Ingram Holdings Ltd. | 8,319 | 37,316 | ||||||
Clover Industries Ltd. | 311,417 | 454,157 | ||||||
Imperial Holdings Ltd. | 11,778 | 149,999 | ||||||
JSE Ltd. | 6,911 | 85,772 | ||||||
Naspers Ltd., Class N | 1,566 | 250,350 | ||||||
Remgro Ltd. | 5,678 | 96,639 | ||||||
1,074,233 | ||||||||
South Korea—2.1% | ||||||||
Koh Young Technology Inc. | 691 | 30,865 | ||||||
KT Corp. - Sponsored ADR | 14,817 | 237,072 | ||||||
KT&G Corp. | 1,991 | 180,259 | ||||||
448,196 | ||||||||
Sri Lanka—0.9% | ||||||||
Lion Brewery Ceylon PLC | 11,801 | 35,529 | ||||||
Melstacorp Ltd.* | 350,244 | 150,146 | ||||||
185,675 | ||||||||
Sweden—0.3% | ||||||||
Millicom International Cellular SA | 1,375 | 74,905 | ||||||
Taiwan—0.3% | ||||||||
Silicon Motion Technology Corp. - ADR | 1,648 | 66,892 | ||||||
Turkey—3.4% | ||||||||
Emlak Konut Gayrimenkul Yatirim Ortakligi AS | 100,043 | 85,835 | ||||||
Haci Omer Sabanci Holding AS | 61,046 | 168,433 | ||||||
KOC Holding AS | 24,188 | 98,326 | ||||||
Tekfen Holding AS | 51,119 | 110,669 | ||||||
Turkiye Garanti Bankasi AS | 35,864 | 84,660 | ||||||
Turkiye Sinai Kalkinma Bankasi AS | 432,335 | 175,418 | ||||||
723,341 | ||||||||
United Arab Emirates—0.4% | ||||||||
Abu Dhabi Commercial Bank PJSC | 48,711 | 93,911 | ||||||
United States—4.6% | ||||||||
Air Lease Corp. | 7,977 | 310,544 | ||||||
Cognizant Technology Solutions Corp.* | 705 | 41,785 | ||||||
Ferro Corp.* | 4,073 | 57,022 | ||||||
Geopark Ltd.* | 11,865 | 63,478 | ||||||
Kosmos Energy Ltd.* | 26,374 | 161,936 | ||||||
Liberty Global PLC LiLAC, Class C* | 4,213 | 103,598 |
Semi-Annual Report 2017 | 37 |
BOSTON PARTNERS INVESTMENT FUNDS | February 28, 2017 (unaudited) |
BOSTON PARTNERS EMERGING MARKETS LONG/SHORT FUND (continued) | Portfolio of Investments |
Number of Shares | Value | |||||||
United States—(continued) | ||||||||
YY, Inc. - ADR* | 5,723 | $ | 253,472 | |||||
991,835 | ||||||||
TOTAL COMMON STOCKS (Cost $9,635,896) | 10,378,991 | |||||||
EXCHANGE TRADED FUNDS—0.5% | ||||||||
Thailand—0.5% | ||||||||
Jasmine Broadband Internet Infrastructure Fund | 303,543 | 99,903 | ||||||
TOTAL EXCHANGE TRADED FUNDS (Cost $104,974) | 99,903 | |||||||
PREFERRED STOCKS—5.1% | ||||||||
Brazil—0.3% | ||||||||
Cia de Transmissao de Energia Eletrica Paulista | 3,400 | 72,934 | ||||||
Russia—1.1% | ||||||||
Sberbank of Russia PJSC | 112,900 | 229,357 | ||||||
South Korea—3.7% | ||||||||
Samsung Electronics Co., Ltd. | 606 | 802,096 | ||||||
TOTAL PREFERRED STOCKS (Cost $999,267) | 1,104,387 | |||||||
SHORT-TERM INVESTMENTS—38.6% | ||||||||
Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio, 0.41% | 8,277,349 | 8,277,349 | ||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $8,277,349) | 8,277,349 | |||||||
TOTAL INVESTMENTS—92.6% | ||||||||
(Cost $19,032,656) | 19,873,877 | |||||||
SECURITIES SOLD SHORT—(2.3%) | ||||||||
COMMON STOCKS—(2.3%) | ||||||||
Canada—(0.2%) | ||||||||
Kinross Gold Corp.* | (11,362 | ) | $ | (40,222 | ) | |||
Hong Kong—(0.4%) | ||||||||
Nord Anglia Education, Inc.* | (3,531 | ) | (82,873 | ) | ||||
India—(0.2%) | ||||||||
Wipro Ltd. | (4,480 | ) | (43,814 | ) | ||||
Mexico—(0.4%) | ||||||||
Grupo Televisa SAB | (3,283 | ) | (83,749 | ) | ||||
Taiwan—(0.2%) | ||||||||
United Microelectronics Corp. - ADR | (27,899 | ) | (56,914 | ) | ||||
United States—(0.9%) | ||||||||
PriceSmart, Inc. | (1,078 | ) | (95,295 | ) | ||||
Tuniu Corp.* | (11,095 | ) | (92,421 | ) | ||||
(187,716 | ) | |||||||
TOTAL COMMON STOCKS (Proceeds $461,764) | (495,288 | ) | ||||||
TOTAL SECURITIES SOLD SHORT—(2.3%) (Proceeds $461,764) | (495,288 | ) | ||||||
OTHER ASSETS IN EXCESS OF LIABILITIES—9.7% | 2,072,847 | |||||||
NET ASSETS—100.0% | $ | 21,451,437 |
ADR | — American Depositary Receipt |
PLC | — Public Limited Company |
NVDR | — Non-Voting Depository Receipt |
* | — 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 28, 2017, these securities amounted to $13,248 or 0.0% of net assets. |
† | — Security position is either entirely or partially held in a segregated account as collateral for securities sold short. |
Reference Company | Counterparty | Number of Contracts Long/(Short) | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||
Long | |||||||||||||
Brazil | |||||||||||||
Iguatemi Emp De Shopping Centers SA | Goldman Sachs | 7,000 | $ | 72,619 | $ | (2,763 | ) | ||||||
China | |||||||||||||
51Job, Inc. - ADR | Goldman Sachs | 4,310 | 157,100 | (2,156 | ) | ||||||||
Alibaba Group Holding Ltd. - Sponsored ADR | Goldman Sachs | 3,604 | 368,041 | 2,811 | |||||||||
Baidu Inc. - Sponsored ADR | Goldman Sachs | 1,315 | 244,090 | (15,109 | ) | ||||||||
Bloomage Bio Technology Corp Ltd. | Goldman Sachs | 27,500 | 41,882 | (1,913 | ) | ||||||||
China Telecom Corp. Ltd., Class H | Goldman Sachs | 416,000 | 196,714 | (1,028 | ) | ||||||||
Jiangsu Yanghe Brewery Joint-Stock Co., Ltd., Class A | Goldman Sachs | 20,200 | 244,382 | (6,196 | ) | ||||||||
Jiangsu Yanghe Brewery Joint-Stock Co., Ltd., Class A | Morgan Stanley | 5,000 | 60,490 | (1,534 | ) | ||||||||
Shanghai Haohai Biological Technology Co., Ltd., Class H | Goldman Sachs | 14,800 | 72,273 | (1,620 | ) |
38 | Semi-Annual Report 2017 |
BOSTON PARTNERS INVESTMENT FUNDS | February 28, 2017 (unaudited) |
BOSTON PARTNERS EMERGING MARKETS LONG/SHORT FUND (continued) | Portfolio of Investments |
Reference Company | Counterparty | Number of Contracts Long/(Short) | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||
Long—(continued) | |||||||||||||
China—(continued) | |||||||||||||
Tencent Holdings Ltd. | Goldman Sachs | 19,700 | $ | 535,581 | $ | (12,679 | ) | ||||||
Wuliangye Yibin Co., Ltd., Class A | Goldman Sachs | 52,300 | 310,476 | (9,581 | ) | ||||||||
Wuliangye Yibin Co., Ltd., Class A | Morgan Stanley | 35,600 | 211,338 | (6,521 | ) | ||||||||
Zhengzhou Yutong Bus Co., Ltd., Class A | Goldman Sachs | 31,004 | 91,486 | 140 | |||||||||
Zhengzhou Yutong Bus Co., Ltd., Class A | Morgan Stanley | 28,800 | 84,983 | 131 | |||||||||
660,133 | 2,618,836 | (55,255 | ) | ||||||||||
Egypt | |||||||||||||
Commercial International Bank Egypt SAE | Goldman Sachs | 42,558 | 205,413 | (12,384 | ) | ||||||||
Hong Kong | |||||||||||||
China Resources Phoenix Heal | Goldman Sachs | 74,000 | 95,252 | (3,643 | ) | ||||||||
Playmates Toys Ltd. | Goldman Sachs | 544,000 | 94,626 | 2,068 | |||||||||
618,000 | 189,878 | (1,575 | ) | ||||||||||
India | |||||||||||||
Petronet LNG Ltd. | Goldman Sachs | 3,464 | 20,730 | 383 | |||||||||
Videocon D2H Ltd. - ADR | Goldman Sachs | 26,544 | 258,273 | (2,654 | ) | ||||||||
30,008 | 279,003 | (2,271 | ) | ||||||||||
Indonesia | |||||||||||||
Bank Rakyat Indonesia Persero Tbk PT | Goldman Sachs | 113,800 | 101,269 | 477 | |||||||||
Japan | |||||||||||||
Suzuki Motor Co. | Goldman Sachs | 1,300 | 51,625 | (1,401 | ) | ||||||||
Mexico | |||||||||||||
Gentera Sab de CV | Goldman Sachs | 59,700 | 81,540 | (2,590 | ) | ||||||||
Grupo GicSA SA de CV | Goldman Sachs | 608,500 | 311,811 | 24,066 | |||||||||
668,200 | 393,351 | 21,476 | |||||||||||
Philippines | |||||||||||||
Metro Pacific Investments Corp. | Goldman Sachs | 657,000 | 88,872 | (2 | ) | ||||||||
Russia | |||||||||||||
Gazprom Neft PJSC | Goldman Sachs | 26,420 | 106,269 | (2,690 | ) | ||||||||
Singapore | |||||||||||||
Yoma Strategic Holdings Ltd. | Goldman Sachs | 171,600 | 70,684 | 556 | |||||||||
South Africa | |||||||||||||
Adcock Ingram Holdings Ltd. | Goldman Sachs | 42,030 | 175,992 | 12,303 | |||||||||
Capevin Holdings Ltd. | Goldman Sachs | 192,020 | 135,956 | (731 | ) | ||||||||
Petra Diamonds Ltd. | Goldman Sachs | 156,184 | 289,450 | (22,955 | ) | ||||||||
Remgro Ltd. | Goldman Sachs | 2,464 | 42,101 | (220 | ) | ||||||||
392,698 | 643,499 | (11,603 | ) | ||||||||||
South Korea | |||||||||||||
Advanced Process Systems Corp. | Goldman Sachs | 3,176 | 79,947 | (2,017 | ) | ||||||||
Hana Financial Group, Inc. | Goldman Sachs | 8,890 | 283,121 | (4,910 | ) | ||||||||
Hanwha Corp. | Goldman Sachs | 5,040 | 157,431 | 6,689 | |||||||||
Hanwha Corp. | Goldman Sachs | 663 | 9,458 | 334 | |||||||||
Hyundai Mobis Co., Ltd. | Goldman Sachs | 1,355 | 307,390 | (378 | ) | ||||||||
Koh Young Technology, Inc. | Goldman Sachs | 667 | 27,411 | 2,479 |
Semi-Annual Report 2017 | 39 |
BOSTON PARTNERS INVESTMENT FUNDS | February 28, 2017 (unaudited) |
BOSTON PARTNERS EMERGING MARKETS LONG/SHORT FUND (continued) | Portfolio of Investments |
Reference Company | Counterparty | Number of Contracts Long/(Short) | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||
Long—(continued) | |||||||||||||
South Korea—(continued) | |||||||||||||
KT Corp. | Goldman Sachs | 2,891 | $ | 76,305 | $ | 3,117 | |||||||
LG Chem Ltd. | Goldman Sachs | 567 | 137,532 | 5,420 | |||||||||
LG Uplus Corp. | Goldman Sachs | 22,819 | 251,863 | 8,162 | |||||||||
Nongshim Co., Ltd. | Goldman Sachs | 947 | 278,705 | (14,178 | ) | ||||||||
Samsung Electronics Co., Ltd. | Goldman Sachs | 252 | 428,099 | 2,007 | |||||||||
Samsung SDI Co., Ltd. | Goldman Sachs | 2,697 | 294,150 | 13,870 | |||||||||
Tongyang Life Insurance Co., Ltd. | Goldman Sachs | 18,620 | 171,400 | 6,714 | |||||||||
68,584 | 2,502,812 | 27,309 | |||||||||||
Taiwan | |||||||||||||
Pegatron Corp. | Goldman Sachs | 123,000 | 320,673 | 3,204 | |||||||||
Primax Electronics Ltd. | Goldman Sachs | 165,000 | 247,496 | 5,110 | |||||||||
Taiwan Semiconductor Manufacturing Co., Ltd. | Goldman Sachs | 72,000 | 444,149 | (3,038 | ) | ||||||||
360,000 | 1,012,318 | 5,276 | |||||||||||
Turkey | |||||||||||||
Migros Ticaret AS | Goldman Sachs | 31,644 | 175,531 | (4,593 | ) | ||||||||
United Kingdom | |||||||||||||
BGEO Group PLC | Goldman Sachs | 8,767 | 324,513 | (17,612 | ) | ||||||||
Cairn Energy PLC | Goldman Sachs | 23,852 | 68,020 | (1,871 | ) | ||||||||
Georgia Healthcare Group PLC | Goldman Sachs | 45,234 | 210,986 | (5,612 | ) | ||||||||
77,853 | 603,519 | (25,095 | ) | ||||||||||
United States | |||||||||||||
Ferro Corp. | Goldman Sachs | 2,983 | 42,627 | (865 | ) | ||||||||
Samsonite International SA | Goldman Sachs | 41,400 | 125,623 | 203 | |||||||||
44,383 | 168,250 | (662 | ) | ||||||||||
Total Long | (65,200 | ) | |||||||||||
Short | |||||||||||||
Brazil | |||||||||||||
Eletropaulo Metropolitana | Goldman Sachs | (18,500 | ) | $ | (74,105 | ) | $ | (224 | ) | ||||
Natura Cosmeticos SA | Goldman Sachs | (13,300 | ) | (113,978 | ) | 4,616 | |||||||
(31,800 | ) | (188,083 | ) | 4,392 | |||||||||
China | |||||||||||||
China Huishan Dairy Holdings Co., Ltd. | Goldman Sachs | (246,000 | ) | (91,286 | ) | 1,285 | |||||||
China Life Insurance Co., Ltd., Class H | Goldman Sachs | (29,000 | ) | (91,359 | ) | 2,977 | |||||||
China Pacific Insurance Group, Ltd., Class H | Goldman Sachs | (16,800 | ) | (63,316 | ) | 1,795 | |||||||
China Shenhua Energy Co., Ltd., Class H | Goldman Sachs | (44,500 | ) | (94,377 | ) | 1,241 | |||||||
China Shipping Container Lines Co., Ltd., Class H | Goldman Sachs | (331,000 | ) | (75,061 | ) | (2,479 | ) | ||||||
Country Garden Holdings Co., Ltd. | Goldman Sachs | (213,000 | ) | (147,103 | ) | (5,447 | ) | ||||||
Dongfang Electric Corp. Ltd. - Class H | Goldman Sachs | (139,200 | ) | (137,207 | ) | (8,334 | ) | ||||||
Huadian Power International Corp. Ltd., Class H | Goldman Sachs | (188,000 | ) | (83,086 | ) | 520 | |||||||
Huaneng Power International Inc., Class H | Goldman Sachs | (132,000 | ) | (90,992 | ) | 911 | |||||||
New China Life Insurance Co., Ltd., Class H | Goldman Sachs | (24,500 | ) | (126,271 | ) | 5,666 | |||||||
Parkson Retail Group Ltd. | Goldman Sachs | (1,148,000 | ) | (152,355 | ) | (4,464 | ) | ||||||
Sany Heavy Equipment International Holdings Co., Ltd. | Goldman Sachs | (214,000 | ) | (38,603 | ) | 612 | |||||||
Tian Ge Interactive Holdings Ltd. | Goldman Sachs | (143,000 | ) | (80,334 | ) | 1,289 | |||||||
Tingyi Cayman Islands Holdings Corp. | Goldman Sachs | (110,000 | ) | (124,725 | ) | 1,385 | |||||||
Yashili International Holdings Ltd. | Goldman Sachs | (275,000 | ) | (56,339 | ) | 1,087 | |||||||
(3,254,000 | ) | (1,452,414 | ) | (1,956 | ) |
40 | Semi-Annual Report 2017 |
BOSTON PARTNERS INVESTMENT FUNDS | February 28, 2017 (unaudited) |
BOSTON PARTNERS EMERGING MARKETS LONG/SHORT FUND (continued) | Portfolio of Investments |
Reference Company | Counterparty | Number of Contracts Long/(Short) | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||
Short—(continued) | |||||||||||||
Hong Kong | |||||||||||||
Bank Of East Asia Ltd. (The) | Goldman Sachs | (24,787 | ) | $ | (105,074 | ) | $ | 2,645 | |||||
Capital Environment Holdings Ltd. | Goldman Sachs | (1,498,000 | ) | (49,219 | ) | 2,141 | |||||||
Cathay Pacific Airways | Goldman Sachs | (98,000 | ) | (142,939 | ) | (949 | ) | ||||||
China Aircraft Leasing Group Holdings Ltd. | Morgan Stanley | (53,000 | ) | (65,558 | ) | (193 | ) | ||||||
China Resources Beer Holdings Co., Ltd. | Goldman Sachs | (66,000 | ) | (151,711 | ) | 1,859 | |||||||
China Resources Power Holding Co., Ltd. | Goldman Sachs | (52,000 | ) | (95,409 | ) | 1,278 | |||||||
China Taiping Insurance Holdings Co., Ltd. | Goldman Sachs | (28,200 | ) | (69,182 | ) | 3,183 | |||||||
HK Electric Investments & HK Electric Investments Ltd. | Goldman Sachs | (72,500 | ) | (62,775 | ) | (572 | ) | ||||||
Hong Kong & China Gas Co., Ltd. | Goldman Sachs | (65,000 | ) | (125,459 | ) | 481 | |||||||
Hong Kong Exchanges & Clearing Ltd. | Goldman Sachs | (1,330 | ) | (34,102 | ) | 1,079 | |||||||
Hybrid Kinetic Group Ltd. | Goldman Sachs | (4,734,000 | ) | (118,333 | ) | (7,232 | ) | ||||||
Imperial Pacific International Holdings Ltd. | Goldman Sachs | (7,280,000 | ) | (133,198 | ) | (816 | ) | ||||||
KuangChi Science Ltd. | Goldman Sachs | (113,000 | ) | (43,679 | ) | (3,348 | ) | ||||||
Ping An Insurance Group Co. - Class H | Goldman Sachs | (10,000 | ) | (54,438 | ) | 1,155 | |||||||
Prada S.P.A. | Goldman Sachs | (31,800 | ) | (125,789 | ) | 4,559 | |||||||
Realord Group Holdings Ltd. | Goldman Sachs | (136,000 | ) | (89,018 | ) | (533 | ) | ||||||
Shangri-La Asia Ltd. | Goldman Sachs | (72,000 | ) | (86,462 | ) | (5,130 | ) | ||||||
Towngas China Co., Ltd. | Goldman Sachs | (128,000 | ) | (71,083 | ) | 884 | |||||||
Towngas China Co., Ltd. | Macquarie | (109,411 | ) | (60,759 | ) | 752 | |||||||
Universal Medical Financial & Technical Advisory Services Co., Ltd. | Goldman Sachs | (141,224 | ) | (121,006 | ) | (4,480 | ) | ||||||
Value Partners Group Ltd. | Goldman Sachs | (123,000 | ) | (120,605 | ) | (3,750 | ) | ||||||
Vision Fame International Holdings Ltd. | Macquarie | (138,000 | ) | (28,805 | ) | 3,555 | |||||||
(14,975,252 | ) | (1,954,603 | ) | (3,432 | ) | ||||||||
Indonesia | |||||||||||||
Astra International Tbk PT | Macquarie | (99,000 | ) | (58,671 | ) | (2,027 | ) | ||||||
Holcim Indonesia Tbk PT | Goldman Sachs | (106,600 | ) | (7,015 | ) | (253 | ) | ||||||
Unilever Indonesia TBK PT | Macquarie | (46,600 | ) | (148,974 | ) | 1,602 | |||||||
(252,200 | ) | (214,660 | ) | (678 | ) | ||||||||
Malaysia | |||||||||||||
Digi.com. Bhd | Morgan Stanley | (127,600 | ) | (145,706 | ) | 863 | |||||||
Maxis Bhd | Morgan Stanley | (104,400 | ) | (151,067 | ) | 1,645 | |||||||
(232,000 | ) | (296,773 | ) | 2,508 | |||||||||
�� | |||||||||||||
Mexico | |||||||||||||
Telesites SAB CV | Goldman Sachs | (126,800 | ) | (73,709 | ) | 1,131 | |||||||
Poland | |||||||||||||
PGE Polska Grupa Energetyczna SA | Goldman Sachs | (16,429 | ) | (47,427 | ) | (516 | ) | ||||||
Singapore | |||||||||||||
SembCorp. Marine Ltd. | Morgan Stanley | (115,600 | ) | (124,130 | ) | (20,833 | ) | ||||||
South Korea | |||||||||||||
CJ CGV Co., Ltd. | Morgan Stanley | (2,119 | ) | (144,952 | ) | 4,708 | |||||||
Hanjin Transportation Co., Ltd. | Goldman Sachs | (3,515 | ) | (84,801 | ) | 307 | |||||||
Kakao Corp. | Goldman Sachs | (1,007 | ) | (77,671 | ) | 1,668 | |||||||
Lotte Shopping Co., Ltd. | Goldman Sachs | (492 | ) | (100,452 | ) | (485 | ) | ||||||
Paradise Co. Ltd. | Morgan Stanley | (11,880 | ) | (151,856 | ) | (12,876 | ) | ||||||
Samsung Heavy Industries Co., Ltd. | Goldman Sachs | (16,004 | ) | (147,319 | ) | (10,860 | ) | ||||||
Seah Besteel Corp. | Goldman Sachs | (2,770 | ) | (65,135 | ) | 169 | |||||||
(37,787 | ) | (772,186 | ) | (17,369 | ) |
Semi-Annual Report 2017 | 41 |
BOSTON PARTNERS INVESTMENT FUNDS | February 28, 2017 (unaudited) |
BOSTON PARTNERS EMERGING MARKETS LONG/SHORT FUND (continued) | Portfolio of Investments |
Reference Company | Counterparty | Number of Contracts Long/(Short) | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||
Short—(continued) | |||||||||||||
Taiwan | |||||||||||||
Ruentex Industries Ltd. | Goldman Sachs | (62,000 | ) | $ | (118,160 | ) | $ | 665 | |||||
Thailand | |||||||||||||
Advanced Info. Service PCL | Macquarie | (22,900 | ) | (109,793 | ) | 330 | |||||||
Airports of Thailand PCL | Morgan Stanley | (118,000 | ) | (132,176 | ) | 1,233 | |||||||
Thai Airways International PCL - NVDR | Morgan Stanley | (158,100 | ) | (94,299 | ) | 6,925 | |||||||
(299,000 | ) | (336,268 | ) | 8,488 | |||||||||
Turkey | |||||||||||||
Anadolu Efes Biracilik VE | Morgan Stanley | (16,236 | ) | (92,119 | ) | 3,870 | |||||||
United Kingdom | |||||||||||||
Antofagasta PLC | Goldman Sachs | (10,783 | ) | (116,796 | ) | 7,848 | |||||||
Fresnillo PLC | Goldman Sachs | (2,917 | ) | (55,005 | ) | 1,201 | |||||||
(13,700 | ) | (171,801 | ) | 9,049 | |||||||||
Total Short | (14,681 | ) | |||||||||||
Net unrealized gain/(loss) on Contracts For Difference | $ | (79,881 | ) |
42 | Semi-Annual Report 2017 |
BOSTON PARTNERS INVESTMENT FUNDS | February 28, 2017 (unaudited) |
BOSTON PARTNERS EMERGING MARKETS LONG/SHORT FUND (concluded) | Portfolio of Investments |
Total Value as of February 28, 2017 | Level 1 Quoted Price | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |||||||||||||
Rights | ||||||||||||||||
India | $ | 13,247 | $ | — | $ | 13,247 | $ | — | ||||||||
Common Stock | ||||||||||||||||
Argentina | 352,671 | 352,671 | — | — | ||||||||||||
Austria | 342,864 | — | 342,864 | — | ||||||||||||
Brazil | 1,752,089 | 116,761 | 1,635,328 | — | ||||||||||||
China | 908,977 | 908,977 | — | — | ||||||||||||
Colombia | 395,346 | 395,346 | — | — | ||||||||||||
Hong Kong | 377,875 | — | 377,875 | — | ||||||||||||
Hungary | 82,578 | — | 82,578 | — | ||||||||||||
India | 1,116,540 | 192,051 | 924,489 | — | ||||||||||||
Indonesia | 168,623 | — | 168,623 | — | ||||||||||||
Israel | 336,930 | — | 336,930 | — | ||||||||||||
Luxembourg | 186,966 | 186,966 | — | — | ||||||||||||
Malaysia | 251,702 | — | 251,702 | — | ||||||||||||
Mexico | 251,945 | 251,945 | — | — | ||||||||||||
Russia | 194,897 | 194,897 | — | — | ||||||||||||
South Africa | 1,074,233 | 577,245 | 496,988 | — | ||||||||||||
South Korea | 448,196 | 237,072 | 211,124 | — | ||||||||||||
Sri Lanka | 185,675 | 185,675 | — | — | ||||||||||||
Sweden | 74,905 | — | 74,905 | — | ||||||||||||
Taiwan | 66,892 | 66,892 | — | — | ||||||||||||
Turkey | 723,341 | — | 723,341 | — | ||||||||||||
United Arab Emirates | 93,911 | — | 93,911 | — | ||||||||||||
United States | 991,835 | 991,835 | — | — | ||||||||||||
Exchange Traded Funds | 99,903 | — | 99,903 | — | ||||||||||||
Preferred Stock | ||||||||||||||||
Brazil | 72,934 | — | 72,934 | — | ||||||||||||
Russia | 229,357 | — | 229,357 | — | ||||||||||||
South Korea | 802,096 | — | 802,096 | — | ||||||||||||
Short-Term Investments | 8,277,349 | 8,277,349 | — | — | ||||||||||||
Contracts For Difference | ||||||||||||||||
Equity Contracts | (65,200 | ) | (7,914 | ) | (57,286 | ) | — | |||||||||
Total Assets | $ | 19,808,677 | $ | 12,927,768 | $ | 6,880,909 | $ | — |
Total Value as of February 28, 2017 | Level 1 Quoted Price | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |||||||||||||
Securities Sold Short | ||||||||||||||||
Canada | $ | (40,222 | ) | $ | (40,222 | ) | $ | — | $ | — | ||||||
Hong Kong | (82,873 | ) | (82,873 | ) | — | — | ||||||||||
India | (43,814 | ) | (43,814 | ) | — | — | ||||||||||
Mexico | (83,749 | ) | (83,749 | ) | — | — | ||||||||||
Taiwan | (56,914 | ) | (56,914 | ) | — | — | ||||||||||
United States | (187,716 | ) | (187,716 | ) | — | — | ||||||||||
Contracts For Difference | ||||||||||||||||
Equity Contracts | (14,681 | ) | 5,092 | (19,773 | ) | — | ||||||||||
Total Liabilities | $ | (509,969 | ) | $ | (490,196 | ) | $ | (19,773 | ) | $ | — |
Semi-Annual Report 2017 | 43 |
BOSTON PARTNERS INVESTMENT FUNDS | February 28, 2017 (unaudited) |
STATEMENTS OF ASSETS AND LIABILITIES |
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 † ^ | $ | 607,443,449 | $ | 1,201,152,188 | $ | 6,165,320,375 | $ | 1,805,797,427 | ||||||||
Short-term investments, at value ** | 18,344,704 | 15,936,041 | 248,967,703 | 74,181,657 | ||||||||||||
Cash | 4,521 | 4,329,752 | 23,135,545 | 42,899 | ||||||||||||
Foreign currency, at value # | — | 3,302,239 | 630,954,456 | — | ||||||||||||
Receivables | ||||||||||||||||
Investments sold | 1,693,406 | 20,057,829 | 120,239,394 | 6,236,720 | ||||||||||||
Deposits with brokers for securities sold short | — | 231,051,398 | 2,344,169,111 | — | ||||||||||||
Capital shares sold | 2,826,095 | 5,242,298 | 13,359,512 | 3,621,303 | ||||||||||||
Dividends and interest | 264,636 | 1,079,743 | 8,450,040 | 2,034,033 | ||||||||||||
Unrealized appreciation on contracts for difference ◊ | — | — | 464,686 | — | ||||||||||||
Prepaid expenses and other assets | 34,207 | 61,038 | 271,303 | 60,117 | ||||||||||||
Total assets | 630,611,018 | 1,482,212,526 | 9,555,332,125 | 1,891,974,156 | ||||||||||||
LIABILITIES | ||||||||||||||||
Securities sold short, at value ‡ | $ | — | $ | 234,345,643 | $ | 2,934,743,731 | $ | — | ||||||||
Options written, at value + ◊ | — | 1,592,354 | 2,964,282 | — | ||||||||||||
Foreign cash overdraft # | — | — | — | 169 | ||||||||||||
Payables | ||||||||||||||||
Securities lending collateral | 148,114,869 | 223,784,970 | — | 321,079,118 | ||||||||||||
Investments purchased | — | 18,361,116 | 94,538,403 | 1,532,427 | ||||||||||||
Capital shares redeemed | 660,883 | 137,903 | 14,506,035 | 1,152,024 | ||||||||||||
Due to prime broker | — | 237,755 | — | — | ||||||||||||
Investment advisory fees | 345,490 | 1,717,837 | 6,264,329 | 792,433 | ||||||||||||
Custodian fees | 5,040 | 24,115 | 196,321 | 5,074 | ||||||||||||
Distribution and service fees | 86,491 | 47,112 | 52,154 | 150,521 | ||||||||||||
Dividends on securities sold-short | — | 62,737 | 2,556,635 | — | ||||||||||||
Administration and accounting fees | 28,537 | 50,142 | 547,753 | 91,740 | ||||||||||||
Transfer agent fees | 15,935 | 67,237 | 606,659 | 85,989 | ||||||||||||
Unrealized depreciation on contracts for difference ◊ | — | — | 1,435,720 | — | ||||||||||||
Other accrued expenses and liabilities | 29,374 | 42,847 | 478,818 | 50,249 | ||||||||||||
Total liabilities | 149,286,619 | 480,471,768 | 3,058,890,840 | 324,939,744 | ||||||||||||
Net Assets | $ | 481,324,399 | $ | 1,001,740,758 | $ | 6,496,441,285 | $ | 1,567,034,412 | ||||||||
NET ASSETS CONSIST OF: | ||||||||||||||||
Par value | $ | 19,234 | $ | 45,558 | $ | 408,065 | $ | 63,603 | ||||||||
Paid-in capital | 358,013,751 | 816,962,876 | 5,688,681,443 | 1,181,300,247 | ||||||||||||
Undistributed net investment income/(accumulated net investment loss) | (43,153 | ) | (12,658,518 | ) | (33,761,687 | ) | 979,566 | |||||||||
Accumulated net realized gain/(loss) from investments, securities sold short, options written, contracts for difference and foreign currency | 5,626,927 | 5,766,268 | (138,427,078 | ) | 23,992,678 | |||||||||||
Net unrealized appreciation/(depreciation) on investments, securities sold short, options written, contracts for difference and foreign currency translation | 117,707,640 | 191,624,574 | 979,540,542 | 360,698,318 | ||||||||||||
Net Assets | $ | 481,324,399 | $ | 1,001,740,758 | $ | 6,496,441,285 | $ | 1,567,034,412 | ||||||||
INSTITUTIONAL CLASS | ||||||||||||||||
Net assets | $ | 348,613,021 | $ | 889,492,624 | $ | 6,264,830,084 | $ | 1,173,597,692 | ||||||||
Shares outstanding | 13,769,378 | 40,088,073 | 393,287,554 | 47,581,576 | ||||||||||||
Net asset value, offering and redemption price per share | $ | 25.32 | $ | 22.19 | $ | 15.93 | $ | 24.66 | ||||||||
INVESTOR CLASS | ||||||||||||||||
Net assets | $ | 132,711,378 | $ | 112,248,134 | $ | 231,611,201 | $ | 393,434,720 | ||||||||
Shares outstanding | 5,464,394 | 5,470,335 | 14,777,746 | 16,021,920 | ||||||||||||
Net asset value, offering and redemption price per share | $ | 24.29 | $ | 20.52 | $ | 15.67 | $ | 24.56 | ||||||||
† Investment in securities, at cost | $ | 489,735,809 | $ | 1,003,578,825 | $ | 4,871,892,454 | $ | 1,445,099,113 | ||||||||
^ Includes market value of securities on loan | $ | 142,142,440 | $ | 216,150,902 | $ | — | $ | 310,812,278 | ||||||||
**Short-term investments, at cost | $ | 18,344,704 | $ | 15,936,041 | $ | 248,967,703 | $ | 74,181,657 | ||||||||
#Foreign currency, at cost | $ | — | $ | 3,453,646 | $ | 645,065,414 | $ | (173 | ) | |||||||
‡Proceeds received, securities sold short | $ | — | $ | 227,551,701 | $ | 2,636,354,065 | $ | — | ||||||||
+Premiums received, options written | $ | — | $ | 2,588,914 | $ | 2,548,561 | $ | — | ||||||||
◊Primary risk exposure is equity contracts. |
44 | Semi-Annual Report 2017 |
BOSTON PARTNERS INVESTMENT FUNDS | February 28, 2017 (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 † ^ | $ | 45,118,719 | $ | 471,953,340 | $ | 812,886,137 | $ | 11,596,528 | ||||||||
Short-term investments, at value ** | 1,199,747 | 12,299,453 | 53,868,528 | 8,277,349 | ||||||||||||
Cash | 8,812 | 33,701 | — | 11,107 | ||||||||||||
Foreign currency, at value # | — | 196,717 | 374,870 | — | ||||||||||||
Receivables | ||||||||||||||||
Investments sold | 362,343 | 5,727,018 | 21,038,765 | 181,090 | ||||||||||||
Deposits with brokers for securities sold short | — | — | 388,155,872 | 2,381,689 | ||||||||||||
Capital shares sold | 200 | 171,165 | 1,769,101 | — | ||||||||||||
Dividends and interest | 28,237 | 736,668 | 1,273,778 | 17,011 | ||||||||||||
Unrealized appreciation on contracts for difference ◊ | — | — | 33,460 | 181,364 | ||||||||||||
Prepaid expenses and other assets | 3,492 | 34,138 | 74,803 | 62,745 | ||||||||||||
Total assets | 46,721,550 | 491,152,200 | 1,279,475,314 | 22,708,883 | ||||||||||||
LIABILITIES | ||||||||||||||||
Securities sold short, at value ‡ | $ | — | $ | — | $ | 384,152,106 | $ | 495,288 | ||||||||
Options written, at value + ◊ | — | 235,000 | 2,256,988 | — | ||||||||||||
Foreign cash overdraft # | — | — | — | 111,317 | ||||||||||||
Due to custodian | — | — | 5,912,603 | — | ||||||||||||
Payables | ||||||||||||||||
Securities lending collateral | 10,600,787 | 34,363,856 | — | — | ||||||||||||
Investments purchased | 276,174 | 550,570 | 10,300,468 | 282,731 | ||||||||||||
Capital shares redeemed | — | 10,000 | 1,246,948 | 50,020 | ||||||||||||
Due to prime broker | — | — | — | — | ||||||||||||
Investment advisory fees | 20,537 | 276,636 | 1,009,948 | 13,524 | ||||||||||||
Custodian fees | 7,168 | 18,043 | 27,304 | 13,545 | ||||||||||||
Distribution and service fees | — | — | 9,375 | — | ||||||||||||
Dividends on securities sold-short | — | — | 385,700 | — | ||||||||||||
Administration and accounting fees | 13,752 | 41,665 | 40,270 | 10,901 | ||||||||||||
Transfer agent fees | 10,918 | 14,903 | 175,563 | 215 | ||||||||||||
Unrealized depreciation on contracts for difference ◊ | — | — | 68,957 | 261,245 | ||||||||||||
Other accrued expenses and liabilities | 15,121 | 32,968 | 58,418 | 18,661 | ||||||||||||
Total liabilities | 10,944,457 | 35,543,641 | 405,644,648 | 1,257,447 | ||||||||||||
Net Assets | $ | 35,777,093 | $ | 455,608,559 | $ | 873,830,666 | $ | 21,451,436 | ||||||||
NET ASSETS CONSIST OF: | ||||||||||||||||
Par value | $ | 2,103 | $ | 27,818 | $ | 77,972 | $ | 2,041 | ||||||||
Paid-in capital | 31,372,930 | 412,398,643 | 818,006,141 | 20,692,215 | ||||||||||||
Undistributed net investment income/(accumulated net investment loss) | 69,621 | 11,314 | (7,916,255 | ) | (295,405 | ) | ||||||||||
Accumulated net realized gain/(loss) from investments, securities sold short, options written, contracts for difference and foreign currency | (662,078 | ) | (17,691,639 | ) | (19,668,985 | ) | 325,238 | |||||||||
Net unrealized appreciation/(depreciation) on investments, securities sold short, options written, contracts for difference and foreign currency translation | 4,994,517 | 60,862,423 | 83,331,793 | 727,347 | ||||||||||||
Net Assets | $ | 35,777,093 | $ | 455,608,559 | $ | 873,830,666 | $ | 21,451,436 | ||||||||
INSTITUTIONAL CLASS | ||||||||||||||||
Net assets | $ | 35,777,093 | $ | 455,608,559 | $ | 841,359,174 | $ | 21,449,435 | ||||||||
Shares outstanding | 2,102,888 | 27,818,017 | 75,057,553 | 2,041,077 | ||||||||||||
Net asset value, offering and redemption price per share | $ | 17.01 | $ | 16.38 | $ | 11.21 | $ | 10.51 | ||||||||
INVESTOR CLASS | ||||||||||||||||
Net assets | $ | — | $ | — | $ | 32,471,492 | $ | — | ||||||||
Shares outstanding | — | — | 2,914,184 | — | ||||||||||||
Net asset value, offering and redemption price per share | $ | — | $ | — | $ | 11.14 | $ | — | ||||||||
† Investment in securities, at cost | $ | 40,124,202 | $ | 411,054,900 | $ | 705,803,096 | $ | 10,755,306 | ||||||||
^ Includes market value of securities on loan | $ | 10,103,389 | $ | 33,372,359 | $ | — | $ | — | ||||||||
**Short-term investments, at cost | $ | 1,199,747 | $ | 12,299,453 | $ | 53,868,528 | $ | 8,277,349 | ||||||||
# Foreign currency, at cost | $ | — | $ | 197,494 | $ | 371,958 | $ | (110,847 | ) | |||||||
‡ Proceeds received, securities sold short | $ | — | $ | — | $ | 360,918,790 | $ | 461,764 | ||||||||
+ Premiums received, options written | $ | — | $ | 199,760 | $ | 1,771,641 | $ | — | ||||||||
◊ Primary risk exposure is equity contracts. |
Semi-Annual Report 2017 | 45 |
BOSTON PARTNERS INVESTMENT FUNDS | For the Six Months Ended February 28, 2017 (unaudited) |
STATEMENTS OF OPERATIONS |
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 † | $ | 4,037,709 | $ | 6,585,042 | $ | 43,176,187 | $ | 10,711,682 | ||||||||
Interest | 22,509 | 22,942 | 514,804 | 60,137 | ||||||||||||
Income from securities loaned (Note 6) | 74,675 | 227,872 | — | 104,226 | ||||||||||||
Total investment income | 4,134,893 | 6,835,856 | 43,690,991 | 10,876,045 | ||||||||||||
Expenses | ||||||||||||||||
Advisory fees (Note 2) | 2,206,559 | 10,159,671 | 40,431,457 | 5,617,168 | ||||||||||||
Distribution fees (Investor Class) (Note 2) | 160,478 | 129,364 | 301,836 | 444,608 | ||||||||||||
Transfer agent fees (Note 2) | 133,589 | 199,298 | 1,758,946 | 343,452 | ||||||||||||
Administration and accounting fees (Note 2) | 118,376 | 220,594 | 1,330,249 | 315,787 | ||||||||||||
Audit fees | 25,372 | 22,623 | 33,157 | 22,354 | ||||||||||||
Custodian fees (Note 2) | 24,236 | 60,402 | 479,957 | 37,113 | ||||||||||||
Printing and shareholder reporting fees | 22,783 | 23,867 | 247,114 | 52,689 | ||||||||||||
Legal fees | 20,819 | 44,347 | 397,065 | 70,792 | ||||||||||||
Directors and officers fees | 11,706 | 27,668 | 198,736 | 44,886 | ||||||||||||
Other expenses | 70,226 | 72,356 | 600,084 | 118,880 | ||||||||||||
Dividend expense on securities sold-short | — | 719,512 | 21,242,715 | — | ||||||||||||
Prime broker interest expense | — | 999,373 | 5,709,980 | — | ||||||||||||
Total expenses before waivers and reimbursements | 2,794,144 | 12,679,075 | 72,731,296 | 7,067,729 | ||||||||||||
Less: waivers and reimbursements | (206,164 | ) | — | — | (1,001,638 | ) | ||||||||||
Net expenses after waivers and reimbursements | 2,587,980 | 12,679,075 | 72,731,296 | 6,066,091 | ||||||||||||
Net investment income/(loss) | 1,546,913 | (5,843,219 | ) | (29,040,305 | ) | 4,809,954 | ||||||||||
Net realized gain/(loss) from: | ||||||||||||||||
Investment securities | 17,379,241 | 10,368,351 | 54,702,194 | 44,421,695 | ||||||||||||
Foreign currency transactions | — | (43,219 | ) | (15,270,809 | ) | (333 | ) | |||||||||
Forward contracts | — | (2,328 | ) | 16,736 | (811 | ) | ||||||||||
Net change in unrealized appreciation/(depreciation) on: | ||||||||||||||||
Investment securities | 34,058,923 | 75,562,527 | 358,624,407 | 98,378,049 | ||||||||||||
Investments sold short | — | 14,765,060 | (72,464,969 | ) | — | |||||||||||
Foreign currency translation | — | (198,207 | ) | (4,750,756 | ) | (195 | ) | |||||||||
Options written ** | — | (4,547,937 | ) | (1,330,603 | ) | (141,370 | ) | |||||||||
Contracts for difference ** | — | — | 1,265,670 | — | ||||||||||||
Net realized and unrealized gain/(loss) | 51,438,164 | 95,904,247 | 320,791,870 | 142,657,035 | ||||||||||||
Net increase/(decrease) in net assets resulting from operations | $ | 52,985,077 | $ | 90,061,028 | $ | 291,751,565 | $ | 147,466,989 | ||||||||
† Net of foreign withholding taxes of | $ | — | $ | (68,601 | ) | $ | (572,019 | ) | $ | (25,510 | ) |
** | Primary risk exposure is equity contracts. |
46 | Semi-Annual Report 2017 |
BOSTON PARTNERS INVESTMENT FUNDS | For the Six Months Ended February 28, 2017 (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 † | $ | 246,883 | $ | 2,971,079 | $ | 5,859,861 | $ | 40,012 | ||||||||
Interest | 1,830 | 12,412 | 204,488 | 13,608 | ||||||||||||
Income from securities loaned (Note 6) | 11,710 | 13,384 | — | — | ||||||||||||
Total investment income | 260,423 | 2,996,875 | 6,064,349 | 53,620 | ||||||||||||
Expenses | ||||||||||||||||
Advisory fees (Note 2) | 138,765 | 1,913,355 | 6,614,269 | 118,373 | ||||||||||||
Distribution fees (Investor Class) (Note 2) | — | — | 39,007 | — | ||||||||||||
Transfer agent fees (Note 2) | 22,939 | 62,476 | 383,940 | 7,169 | ||||||||||||
Administration and accounting fees (Note 2) | 31,880 | 134,445 | 198,438 | 40,199 | ||||||||||||
Audit fees | 13,660 | 25,764 | 20,760 | 32,850 | ||||||||||||
Custodian fees (Note 2) | 18,845 | 68,781 | 106,116 | 33,459 | ||||||||||||
Printing and shareholder reporting fees | 872 | 7,409 | 71,045 | — | ||||||||||||
Legal fees | 1,576 | 20,316 | 38,112 | 24,667 | ||||||||||||
Directors and officers fees | 3,594 | 14,057 | 27,176 | 631 | ||||||||||||
Other expenses | 16,396 | 41,625 | 84,043 | 12,778 | ||||||||||||
Dividend expense on securities sold-short | — | — | 2,802,981 | 22,964 | ||||||||||||
Prime broker interest expense | — | 165 | 708,452 | 104,522 | ||||||||||||
Total expenses before waivers and reimbursements | 248,527 | 2,288,393 | 11,094,339 | 397,612 | ||||||||||||
Less: waivers and reimbursements | (57,724 | ) | (268,575 | ) | — | (135,758 | ) | |||||||||
Net expenses after waivers and reimbursements | 190,803 | 2,019,818 | 11,094,339 | 261,854 | ||||||||||||
Net investment income/(loss) | 69,620 | 977,057 | (5,029,990 | ) | (208,234 | ) | ||||||||||
Net realized gain/(loss) from: | ||||||||||||||||
Investment securities | 2,101,280 | 11,997,209 | 21,057,827 | 181,154 | ||||||||||||
Foreign currency transactions | — | (90,608 | ) | (546,354 | ) | 154,602 | ||||||||||
Forward contracts | — | (10,136 | ) | 88,226 | (7,270 | ) | ||||||||||
Net change in unrealized appreciation/(depreciation) on: | ||||||||||||||||
Investment securities | 1,240,509 | 16,830,090 | 20,207,522 | 616,798 | ||||||||||||
Investments sold short | — | — | (9,241,041 | ) | (37,717 | ) | ||||||||||
Foreign currency translation | — | 5,118 | 20,723 | (360 | ) | |||||||||||
Options written ** | — | (35,240 | ) | (313,258 | ) | — | ||||||||||
Contracts for difference ** | — | — | (283,525 | ) | (69,220 | ) | ||||||||||
Net realized and unrealized gain/(loss) | 3,341,789 | 28,696,433 | 30,990,120 | 837,987 | ||||||||||||
Net increase/(decrease) in net assets resulting from operations | $ | 3,411,409 | $ | 29,673,490 | $ | 25,960,130 | $ | 629,753 | ||||||||
† Net of foreign withholding taxes of | $ | (332 | ) | $ | (127,075 | ) | $ | (253,243 | ) | $ | (4,711 | ) |
** | Primary risk exposure is equity contracts. |
Semi-Annual Report 2017 | 47 |
BOSTON PARTNERS INVESTMENT FUNDS | February 28, 2017 |
STATEMENTS OF CHANGES IN NET ASSETS |
Boston Partners Small Cap Value Fund II | Boston Partners Long/Short Equity Fund | |||||||||||||||
For the Six Months Ended February 28, 2017 (unaudited) | For the Year Ended August 31, 2016 | For the Six Months Ended February 28, 2017 (unaudited) | For the Year Ended August 31, 2016 | |||||||||||||
Increase/(decrease) in net assets from operations: | ||||||||||||||||
Net investment income/(loss) | $ | 1,546,913 | $ | 2,646,599 | $ | (5,843,219 | ) | $ | (12,449,089 | ) | ||||||
Net realized gain/(loss) from investments, securities sold short, options written, contracts for difference and foreign currency | 17,379,241 | 363,833 | 10,322,804 | 13,853,222 | ||||||||||||
Net change in unrealized appreciation/(depreciation) on investments, securities sold short, options written, contracts for difference and foreign currency translation | 34,058,923 | 37,842,330 | 85,581,443 | 91,936,209 | ||||||||||||
Net increase/(decrease) in net assets resulting from operations | 52,985,077 | 40,852,762 | 90,061,028 | 93,340,342 | ||||||||||||
Dividends and distributions to shareholders from: | ||||||||||||||||
Net investment income | ||||||||||||||||
Institutional Class | (2,781,091 | ) | (1,116,668 | ) | — | — | ||||||||||
Investor Class | (870,239 | ) | (433,454 | ) | — | — | ||||||||||
Net realized capital gains | ||||||||||||||||
Institutional Class | (4,527,423 | ) | (8,598,571 | ) | — | (40,334,881 | ) | |||||||||
Investor Class | (1,908,313 | ) | (5,838,075 | ) | — | (8,084,170 | ) | |||||||||
Net decrease in net assets from dividends and distributions to shareholders | (10,087,066 | ) | (15,986,768 | ) | — | (48,419,051 | ) | |||||||||
Capital transactions: | ||||||||||||||||
Institutional Class | ||||||||||||||||
Proceeds from shares sold | 13,180,728 | 122,658,508 | 18,180,091 | 396,153,274 | ||||||||||||
Reinvestment of distributions | 2,742,456 | 9,508,519 | — | 32,015,441 | ||||||||||||
Shares redeemed | (22,004,443 | ) | (53,096,633 | ) | (13,490,049 | ) | (230,424,800 | ) | ||||||||
Redemption fees (Note 8) | — | 1,095 | 63 | 14,072 | ||||||||||||
Investor Class | ||||||||||||||||
Proceeds from shares sold | 71,553,823 | 20,909,233 | 140,531,169 | 26,849,657 | ||||||||||||
Reinvestment of distributions | 7,224,434 | 6,206,809 | — | 8,022,262 | ||||||||||||
Shares redeemed | (39,781,387 | ) | (35,074,206 | ) | (62,853,027 | ) | (36,539,874 | ) | ||||||||
Redemption fees (Note 8) | — | 733 | 476 | 89,037 | ||||||||||||
Net increase/(decrease) in net assets from capital transactions | 32,915,611 | 71,114,058 | 82,368,723 | 196,179,069 | ||||||||||||
Total increase/(decrease) in net assets | 75,813,622 | 95,980,052 | 172,429,751 | 241,100,360 | ||||||||||||
Net assets | ||||||||||||||||
Beginning of period | 405,510,777 | 309,530,725 | 829,311,007 | 588,210,647 | ||||||||||||
End of period | $ | 481,324,399 | $ | 405,510,777 | $ | 1,001,740,758 | $ | 829,311,007 | ||||||||
Undistributed net investment income/(accumulated net investment loss), end of period | $ | (43,153 | ) | $ | 2,061,264 | $ | (12,658,518 | ) | $ | (6,815,299 | ) | |||||
Share transactions: | ||||||||||||||||
Institutional Class | ||||||||||||||||
Shares sold | 2,974,589 | 5,941,592 | 6,586,539 | 20,854,632 | ||||||||||||
Shares reinvested | 286,570 | 471,419 | — | 1,811,853 | ||||||||||||
Shares redeemed | (1,624,183 | ) | (2,505,732 | ) | (2,936,949 | ) | (12,161,562 | ) | ||||||||
Net increase/(decrease) | 1,636,976 | 3,907,279 | 3,649,590 | 10,504,923 | ||||||||||||
Investor Class | ||||||||||||||||
Shares sold | 558,600 | 1,051,411 | 919,206 | 1,502,343 | ||||||||||||
Shares reinvested | 113,325 | 320,269 | — | 489,461 | ||||||||||||
Shares redeemed | (939,679 | ) | (1,793,646 | ) | (687,386 | ) | (2,063,761 | ) | ||||||||
Net increase/(decrease) | (267,754 | ) | (421,966 | ) | 231,820 | (71,957 | ) |
48 | Semi-Annual Report 2017 |
BOSTON PARTNERS INVESTMENT FUNDS | February 28, 2017 |
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 28, 2017 (unaudited) | For the Year Ended August 31, 2016 | For the Six Months Ended February 28, 2017 (unaudited) | For the Year Ended August 31, 2016 | |||||||||||||
Increase/(decrease) in net assets from operations: | ||||||||||||||||
Net investment income/(loss) | $ | (29,040,305 | ) | $ | (26,872,478 | ) | $ | 4,809,954 | $ | 16,407,400 | ||||||
Net realized gain/(loss) from investments, securities sold short, options written, contracts for difference and foreign currency | 39,448,121 | (36,274,871 | ) | 44,420,551 | 20,910,870 | |||||||||||
Net change in unrealized appreciation/(depreciation) on investments, securities sold short, options written, contracts for difference and foreign currency translation | 281,343,749 | 330,278,081 | 98,236,484 | 115,694,094 | ||||||||||||
Net increase/(decrease) in net assets resulting from operations | 291,751,565 | 267,130,732 | 147,466,989 | 153,012,364 | ||||||||||||
Dividends and distributions to shareholders from: | ||||||||||||||||
Net investment income | ||||||||||||||||
Institutional Class | — | — | (11,995,129 | ) | (11,368,127 | ) | ||||||||||
Investor Class | — | — | (3,222,915 | ) | (3,192,996 | ) | ||||||||||
Net realized capital gains | ||||||||||||||||
Institutional Class | — | (263,345,574 | ) | (28,594,882 | ) | (42,112,813 | ) | |||||||||
Investor Class | — | (10,452,896 | ) | (9,675,303 | ) | (14,100,673 | ) | |||||||||
Net decrease in net assets from dividends and distributions to shareholders | — | (273,798,470 | ) | (53,488,229 | ) | (70,774,609 | ) | |||||||||
Capital transactions: | ||||||||||||||||
Institutional Class | ||||||||||||||||
Proceeds from shares sold | 27,556,574 | 2,258,387,380 | 58,496,322 | 383,465,494 | ||||||||||||
Reinvestment of distributions | — | 117,737,179 | 12,755,592 | 43,589,093 | ||||||||||||
Shares redeemed | (65,728,590 | ) | (2,705,697,972 | ) | (49,779,613 | ) | (265,789,456 | )* | ||||||||
Redemption fees (Note 8) | — | 88,819 | — | — | ||||||||||||
Investor Class | ||||||||||||||||
Proceeds from shares sold | 643,992,378 | 100,743,220 | 155,336,256 | 153,370,249 | ||||||||||||
Reinvestment of distributions | — | 10,435,203 | 33,690,794 | 17,088,905 | ||||||||||||
Shares redeemed | (1,063,934,070 | ) | (151,706,463 | ) | (101,503,881 | ) | (91,643,291 | )* | ||||||||
Redemption fees (Note 8) | 21 | 3,563 | — | — | ||||||||||||
Net increase/(decrease) in net assets from capital transactions | (458,113,687 | ) | (370,009,071 | ) | 108,995,470 | 240,080,994 | ||||||||||
Total increase/(decrease) in net assets | (166,362,122 | ) | (376,676,809 | ) | 202,974,230 | 322,318,749 | ||||||||||
Net assets | ||||||||||||||||
Beginning of period | 6,662,803,407 | 7,039,480,216 | 1,364,060,182 | 1,041,741,433 | ||||||||||||
End of period | $ | 6,496,441,285 | $ | 6,662,803,407 | $ | 1,567,034,412 | $ | 1,364,060,182 | ||||||||
Undistributed net investment income/(accumulated net investment loss), end of period | $ | (33,761,687 | ) | $ | (4,721,382 | ) | $ | 979,566 | $ | 11,387,656 | ||||||
Share transactions: | ||||||||||||||||
Institutional Class | ||||||||||||||||
Shares sold | 41,696,979 | 151,328,046 | 6,515,879 | 18,371,326 | ||||||||||||
Shares reinvested | — | 7,933,759 | 1,413,797 | 2,057,060 | ||||||||||||
Shares redeemed | (68,954,373 | ) | (182,204,639 | ) | (4,301,236 | ) | (12,387,300 | ) | ||||||||
Net increase/(decrease) | (27,257,394 | ) | (22,942,834 | ) | 3,628,440 | 8,041,086 | ||||||||||
Investor Class | ||||||||||||||||
Shares sold | 1,812,509 | 6,891,009 | 2,458,382 | 7,317,169 | ||||||||||||
Shares reinvested | — | 712,301 | 537,530 | 809,134 | ||||||||||||
Shares redeemed | (4,329,797 | ) | (10,330,631 | ) | (2,105,481 | ) | (4,307,451 | ) | ||||||||
Net increase/(decrease) | (2,517,288 | ) | (2,727,321 | ) | 890,431 | 3,818,852 |
* | During the year ended August 31, 2016, the Boston Partners All-Cap Value Fund transferred securities in the amounts of $41,891,676 and $4,224,410 for Institutional Class and Investor Class, respectively, to satisfy a redemption-in-kind. |
Semi-Annual Report 2017 | 49 |
BOSTON PARTNERS INVESTMENT FUNDS | February 28, 2017 |
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 28, 2017 (unaudited) | For the Year Ended August 31, 2016 | For the Six Months Ended February 28, 2017 (unaudited) | For the Year Ended August 31, 2016 | |||||||||||||
Increase/(decrease) in net assets from operations: | ||||||||||||||||
Net investment income/(loss) | $ | 69,620 | $ | 157,961 | $ | 977,057 | $ | 8,005,083 | ||||||||
Net realized gain/(loss) from investments, securities sold short, options written, contracts for difference and foreign currency | 2,101,280 | (1,193,299 | ) | 11,896,465 | (29,312,122 | ) | ||||||||||
Net change in unrealized appreciation/(depreciation) on investments, securities sold short, options written, contracts for difference and foreign currency translation | 1,240,509 | 2,170,030 | 16,799,968 | 50,700,779 | ||||||||||||
Net increase/(decrease) in net assets resulting from operations | 3,411,409 | 1,134,692 | 29,673,490 | 29,393,740 | ||||||||||||
Dividends and distributions to shareholders from: | ||||||||||||||||
Net investment income | ||||||||||||||||
Institutional Class | (151,830 | ) | (234,656 | ) | (8,112,334 | ) | (1,050,244 | ) | ||||||||
Investor Class | — | — | — | — | ||||||||||||
Net realized capital gains | ||||||||||||||||
Institutional Class | — | (748,356 | ) | — | (348,191 | ) | ||||||||||
Investor Class | — | — | — | — | ||||||||||||
Net decrease in net assets from dividends and distributions to shareholders | (151,830 | ) | (983,012 | ) | (8,112,334 | ) | (1,398,435 | ) | ||||||||
Capital transactions: | ||||||||||||||||
Institutional Class | ||||||||||||||||
Proceeds from shares sold | 220,857 | 960,358 | 15,148,103 | 131,580,841 | ||||||||||||
Reinvestment of distributions | 140,330 | 905,357 | 8,098,384 | 1,320,142 | ||||||||||||
Shares redeemed | (1,772,817 | ) | (4,549,637 | ) | (5,198,183 | ) | (24,874,952 | ) | ||||||||
Redemption fees (Note 8) | — | — | — | — | ||||||||||||
Investor Class | ||||||||||||||||
Proceeds from shares sold | — | — | — | — | ||||||||||||
Reinvestment of distributions | — | — | — | — | ||||||||||||
Shares redeemed | — | — | — | — | ||||||||||||
Redemption fees (Note 8) | — | — | — | — | ||||||||||||
Net increase/(decrease) in net assets from capital transactions | (1,411,630 | ) | (2,683,922 | ) | 18,048,304 | 108,026,031 | ||||||||||
Total increase/(decrease) in net assets | 1,847,949 | (2,532,242 | ) | 39,609,460 | 136,021,336 | |||||||||||
Net assets | ||||||||||||||||
Beginning of period | 33,929,144 | 36,461,386 | 415,999,099 | 279,977,763 | ||||||||||||
End of period | $ | 35,777,093 | $ | 33,929,144 | $ | 455,608,559 | $ | 415,999,099 | ||||||||
Undistributed net investment income/(accumulated net investment loss), end of period | $ | 69,621 | $ | 151,831 | $ | 11,314 | $ | 7,146,591 | ||||||||
Share transactions: | ||||||||||||||||
Institutional Class | ||||||||||||||||
Shares sold | 13,294 | 70,285 | 968,927 | 9,199,103 | ||||||||||||
Shares reinvested | 8,279 | 64,484 | 514,837 | 90,607 | ||||||||||||
Shares redeemed | (107,768 | ) | (313,794 | ) | (329,534 | ) | (1,729,297 | ) | ||||||||
Net increase/(decrease) | (86,195 | ) | (179,025 | ) | 1,154,230 | 7,560,413 | ||||||||||
Investor Class | ||||||||||||||||
Shares sold | — | — | — | — | ||||||||||||
Shares reinvested | — | — | — | — | ||||||||||||
Shares redeemed | — | — | — | — | ||||||||||||
Net increase/(decrease) | — | — | — | — |
50 | Semi-Annual Report 2017 |
BOSTON PARTNERS INVESTMENT FUNDS | February 28, 2017 |
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 28, 2017 (unaudited) | For the Year Ended August 31, 2016 | For the Six Months Ended February 28, 2017 (unaudited) | For the Period Ended August 31, 2016* | |||||||||||||
Increase/(decrease) in net assets from operations: | ||||||||||||||||
Net investment income/(loss) | $ | (5,029,990 | ) | $ | 3,182,015 | $ | (208,234 | ) | $ | (69,473 | ) | |||||
Net realized gain/(loss) from investments, securities sold short, options written, contracts for difference and foreign currency | 20,599,699 | (32,947,601 | ) | 328,486 | 860,959 | |||||||||||
Net change in unrealized appreciation/(depreciation) on investments, securities sold short, options written, contracts for difference and foreign currency translation | 10,390,421 | 59,001,137 | 509,501 | 217,846 | ||||||||||||
Net increase/(decrease) in net assets resulting from operations | 25,960,130 | 29,235,551 | 629,753 | 1,009,332 | ||||||||||||
Dividends and distributions to shareholders from: | ||||||||||||||||
Net investment income | ||||||||||||||||
Institutional Class | (1,846,463 | ) | (2,255,193 | ) | (801,763 | ) | — | |||||||||
Investor Class | (41,737 | ) | (171,124 | ) | — | — | ||||||||||
Net realized capital gains | ||||||||||||||||
Institutional Class | — | — | (96,418 | ) | — | |||||||||||
Investor Class | — | — | — | — | ||||||||||||
Net decrease in net assets from dividends and distributions to shareholders | (1,888,200 | ) | (2,426,317 | ) | (898,181 | ) | — | |||||||||
Capital transactions: | ||||||||||||||||
Institutional Class | ||||||||||||||||
Proceeds from shares sold | 175,081,131 | 660,943,714 | 10,535,768 | 9,928,977 | ** | |||||||||||
Reinvestment of distributions | 1,628,987 | 1,983,822 | 898,182 | — | ||||||||||||
Shares redeemed | (212,185,764 | ) | (152,586,129 | ) | (652,395 | ) | — | |||||||||
Redemption fees (Note 8) | — | 8,353 | — | — | ||||||||||||
Investor Class | ||||||||||||||||
Proceeds from shares sold | 6,320,096 | 23,628,972 | — | — | ||||||||||||
Reinvestment of distributions | 41,560 | 170,989 | — | — | ||||||||||||
Shares redeemed | (6,043,597 | ) | (53,562,839 | ) | — | — | ||||||||||
Redemption fees (Note 8) | — | 884 | — | — | ||||||||||||
Net increase/(decrease) in net assets from capital transactions | (35,157,587 | ) | 480,587,766 | 10,781,555 | 9,928,977 | |||||||||||
Total increase/(decrease) in net assets | (11,085,657 | ) | 507,397,000 | 10,513,127 | 10,938,309 | |||||||||||
Net assets | ||||||||||||||||
Beginning of period | 884,916,323 | 377,519,323 | 10,938,309 | — | ||||||||||||
End of period | $ | 873,830,666 | $ | 884,916,323 | $ | 21,451,436 | $ | 10,938,309 | ||||||||
Undistributed net investment income/(accumulated net investment loss), end of period | $ | (7,916,255 | ) | $ | (998,065 | ) | $ | (295,405 | ) | $ | 714,592 | |||||
Share transactions: | ||||||||||||||||
Institutional Class | ||||||||||||||||
Shares sold | 15,943,466 | 62,263,169 | 1,030,379 | 980,942 | ||||||||||||
Shares reinvested | 147,420 | 185,751 | 90,179 | — | ||||||||||||
Shares redeemed | (19,312,295 | ) | (14,282,287 | ) | (60,423 | ) | — | |||||||||
Net increase/(decrease) | (3,221,409 | ) | 48,166,633 | 1,060,135 | 980,942 | |||||||||||
Investor Class | ||||||||||||||||
Shares sold | 578,107 | 2,230,440 | — | — | ||||||||||||
Shares reinvested | 3,782 | 16,070 | — | — | ||||||||||||
Shares redeemed | (553,351 | ) | (5,059,486 | ) | — | — | ||||||||||
Net increase/(decrease) | 28,538 | (2,812,976 | ) | — | — |
* | The Fund commenced operations on December 15, 2015. |
** | During the period ended August 31, 2016, the Boston Partners Emerging Markets Long/Short Fund received securities in the amount of $897,632 for Institutional Class to satisfy a subscription-in-kind. |
Semi-Annual Report 2017 | 51 |
BOSTON PARTNERS INVESTMENT FUNDS |
FINANCIAL HIGHLIGHTS | Per Share Operating Performance |
Contained below is per share operating performance data for each class of shares outstanding, total investment return, ratios to average net assets and other supplemental data for the respective periods. This information has been derived from information provided in the financial statements. |
Net Asset Value, Beginning of Period | Net Investment Income/(Loss)* | Net Realized and Unrealized Gain/(Loss) on Investments | Net Increase/ (Decrease) in Net Assets Resulting from Operations | Dividends to Shareholders from Net Investment Income | Distributions to Shareholders from Net Realized Gains | Total Dividend and Distributions to Shareholders | Redemption Fees* | |||||||||||||||||||||||||
Boston Partners Small Cap Value Fund II | ||||||||||||||||||||||||||||||||
Institutional Class | ||||||||||||||||||||||||||||||||
9/1/16 through 2/28/17† | $ | 23.00 | $ | 0.09 | $ | 2.78 | $ | 2.87 | $ | (0.21 | ) | $ | (0.34 | ) | $ | (0.55 | ) | $ | — | |||||||||||||
8/31/16 | 21.89 | 0.18 | 2.00 | 2.18 | (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 | |||||||||||||||||||||
Investor Class | ||||||||||||||||||||||||||||||||
9/1/16 through 2/28/17† | $ | 22.06 | $ | 0.06 | $ | 2.67 | $ | 2.73 | $ | (0.16 | ) | $ | (0.34 | ) | $ | (0.50 | ) | $ | — | |||||||||||||
8/31/16 | 21.04 | 0.12 | 1.92 | 2.04 | (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 | |||||||||||||||||||||
Boston Partners Long/Short Equity Fund | ||||||||||||||||||||||||||||||||
Institutional Class | ||||||||||||||||||||||||||||||||
9/1/16 through 2/28/17† | $ | 20.09 | $ | (0.13 | ) | $ | 2.23 | $ | 2.10 | $ | — | $ | — | $ | — | $ | — | |||||||||||||||
8/31/16 | 19.04 | (0.35 | ) | 3.04 | 2.69 | — | (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 | |||||||||||||||||||||
Investor Class | ||||||||||||||||||||||||||||||||
9/1/16 through 2/28/17† | $ | 18.60 | $ | (0.15 | ) | $ | 2.07 | $ | 1.92 | $ | — | $ | — | $ | — | $ | — | |||||||||||||||
8/31/16 | 17.79 | (0.37 | ) | 2.82 | 2.45 | — | (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 | |||||||||||||||||||||
Boston Partners Long/Short Research Fund | ||||||||||||||||||||||||||||||||
Institutional Class | ||||||||||||||||||||||||||||||||
9/1/16 through 2/28/17† | $ | 15.23 | $ | (0.06 | ) | $ | 0.76 | $ | 0.70 | $ | — | $ | — | $ | — | $ | — | 3 | ||||||||||||||
8/31/16 | 15.20 | (0.06 | )6 | 0.67 | 0.61 | — | (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 | ||||||||||||||||||||
Investor Class | ||||||||||||||||||||||||||||||||
9/1/16 through 2/28/17† | $ | 15.00 | $ | (0.09 | ) | $ | 0.76 | $ | 0.67 | $ | — | $ | — | $ | — | $ | — | |||||||||||||||
8/31/16 | 15.01 | (0.09 | )6 | 0.66 | 0.57 | — | (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 |
† | Unaudited. |
* | Calculated based on average shares outstanding for the period. |
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 | Annualized |
5 | Not Annualized |
52 | Semi-Annual Report 2017 |
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 Recoupment 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 | |||||||||||||||||||||||
$ | 25.32 | 12.52 | % | $ | 348,613 | 1.10 | %4 | N/A | 1.19 | %4 | 0.76 | %4 | 15 | %5 | ||||||||||||||||
23.00 | 10.67 | 279,049 | 1.10 | N/A | 1.22 | 0.86 | 29 | |||||||||||||||||||||||
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 | |||||||||||||||||||||||
$ | 24.29 | 12.39 | % | $ | 132,711 | 1.35 | %4 | N/A | 1.44 | %4 | 0.55 | %4 | 15 | %5 | ||||||||||||||||
22.06 | 10.38 | 126,461 | 1.35 | N/A | 1.47 | 0.61 | 29 | |||||||||||||||||||||||
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 | |||||||||||||||||||||||
$ | 22.19 | 10.45 | % | $ | 889,493 | 2.78 | %4 | 2.40 | %4 | 2.78 | %4 | (1.27 | )%4 | 30 | %5 | |||||||||||||||
20.09 | 15.36 | 731,894 | 3.57 | 2.46 | 3.57 | (1.79 | ) | 72 | ||||||||||||||||||||||
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 | ||||||||||||||||||||||
$ | 20.52 | 10.32 | % | $ | 112,248 | 3.03 | %4 | 2.65 | %4 | 3.03 | %4 | (1.52 | )%4 | 30 | %5 | |||||||||||||||
18.60 | 15.07 | 97,417 | 3.82 | 2.71 | 3.82 | (2.04 | ) | 72 | ||||||||||||||||||||||
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 | ||||||||||||||||||||||
$ | 15.93 | 4.60 | % | $ | 6,264,830 | 2.24 | %4 | 1.41 | %4 | 2.24 | %4 | (0.89 | )%4 | 30 | %5 | |||||||||||||||
15.23 | 4.10 | 6,403,404 | 2.51 | 1.41 | 2.51 | (0.38 | )6 | 53 | ||||||||||||||||||||||
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 | 6 | |||||||||||||||||||||
$ | 15.67 | 4.47 | % | $ | 231,611 | 2.49 | %4 | 1.66 | %4 | 2.49 | %4 | (1.13 | )%4 | 30 | %5 | |||||||||||||||
15.00 | 3.88 | 259,400 | 2.76 | 1.66 | 2.76 | (0.63 | )6 | 53 | ||||||||||||||||||||||
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 | 7 |
6 | Includes a non-recurring dividend. Without this dividend, net investment loss per share would have been $(0.10) and $(0.13) for Institutional Class and Investor Class, respectively. The ratio of net investment loss would have been (0.66)% and (0.91)% for Institutional Class and Investor Class, respectively. |
7 | Portfolio turnover rate excludes securities received from processing a subscription-in-kind. |
Semi-Annual Report 2017 | 53 |
BOSTON PARTNERS INVESTMENT FUNDS |
FINANCIAL HIGHLIGHTS | Per Share Operating Performance |
Contained below is per share operating performance data for each class of shares outstanding, total investment return, ratios to average net assets and other supplemental data for the respective periods. This information has been derived from information provided in the financial statements. |
Net Asset Value, Beginning of Period | Net Investment Income/(Loss)* | Net Realized and Unrealized Gain/(Loss) on Investments | Net Increase/ (Decrease) in Net Assets Resulting from Operations | Dividends to Shareholders from Net Investment Income | Distributions to Shareholders from Net Realized Gains | Total Dividend and Distributions to Shareholders | Redemption Fees* | |||||||||||||||||||||||||
Boston Partners All-Cap Value Fund | ||||||||||||||||||||||||||||||||
Institutional Class | ||||||||||||||||||||||||||||||||
9/1/16 through 2/28/17† | $ | 23.12 | $ | 0.09 | $ | 2.37 | $ | 2.46 | $ | (0.27 | ) | $ | (0.65 | ) | $ | (0.92 | ) | $ | — | |||||||||||||
8/31/16 | 22.08 | 0.30 | 2.15 | 2.45 | (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 | ) | — | |||||||||||||||||||||
Investor Class | ||||||||||||||||||||||||||||||||
9/1/16 through 2/28/17† | $ | 23.00 | $ | 0.06 | $ | 2.37 | $ | 2.43 | $ | (0.22 | ) | $ | (0.65 | ) | $ | (0.87 | ) | $ | — | |||||||||||||
8/31/16 | 21.98 | 0.25 | 2.13 | 2.38 | (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 | ) | — | |||||||||||||||||||||
WPG Partners Small/Micro Cap Value Fund | ||||||||||||||||||||||||||||||||
Institutional Class | ||||||||||||||||||||||||||||||||
9/1/16 through 2/28/17† | $ | 15.50 | $ | 0.03 | $ | 1.55 | $ | 1.58 | $ | (0.07 | ) | $ | — | $ | (0.07 | ) | $ | — | ||||||||||||||
8/31/16 | 15.40 | 0.07 | 0.46 | 0.53 | (0.10 | ) | (0.33 | ) | (0.43 | ) | — | |||||||||||||||||||||
8/31/15 | 20.42 | 0.13 | (2.84 | ) | (2.71 | ) | (0.13 | ) | (2.18 | ) | (2.31 | ) | — | 4 | ||||||||||||||||||
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 | — | — | — | — | 4 | ||||||||||||||||||||||
Boston Partners Global Equity Fund | ||||||||||||||||||||||||||||||||
Institutional Class | ||||||||||||||||||||||||||||||||
9/1/16 through 2/28/17† | $ | 15.60 | $ | 0.04 | $ | 1.04 | $ | 1.08 | $ | (0.30 | ) | $ | — | $ | (0.30 | ) | $ | — | ||||||||||||||
8/31/16 | 14.66 | 0.35 | 7 | 0.66 | 1.01 | (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 | ||||||||||||||||||||||||||||||||
9/1/16 through 2/28/17† | $ | 10.90 | $ | (0.05 | ) | $ | 0.38 | $ | 0.33 | $ | (0.02 | ) | $ | — | $ | (0.02 | ) | $ | — | |||||||||||||
8/31/16 | 10.55 | 0.05 | 8 | 0.34 | 0.39 | — | (0.04 | ) | (0.04 | ) | — | 4 | ||||||||||||||||||||
8/31/15 | 10.30 | (0.13 | ) | 0.38 | 0.25 | — | — | — | — | 4 | ||||||||||||||||||||||
12/31/13** through 8/31/14 | 10.00 | (0.14 | ) | 0.44 | 0.30 | — | — | — | — | 4 | ||||||||||||||||||||||
Investor Class | ||||||||||||||||||||||||||||||||
9/1/16 through 2/28/17† | $ | 10.85 | $ | (0.07 | ) | $ | 0.37 | $ | 0.30 | $ | (0.01 | ) | $ | — | $ | (0.01 | ) | $ | — | |||||||||||||
8/31/16 | 10.51 | 0.02 | 8 | 0.36 | 0.38 | — | (0.04 | ) | (0.04 | ) | — | 4 | ||||||||||||||||||||
8/31/15 | 10.29 | (0.16 | ) | 0.38 | 0.22 | — | — | — | — | 4 | ||||||||||||||||||||||
4/11/14** through 8/31/14 | 9.86 | (0.09 | ) | 0.52 | 0.43 | — | — | — | — | 4 | ||||||||||||||||||||||
Boston Partners Emerging Markets Long/Short Fund | ||||||||||||||||||||||||||||||||
Institutional Class | ||||||||||||||||||||||||||||||||
9/1/16 through 2/28/17† | $ | 11.15 | $ | (0.15 | ) | $ | 0.43 | $ | 0.28 | $ | (0.82 | ) | $ | (0.10 | ) | $ | (0.92 | ) | $ | — | ||||||||||||
12/15/15** through 8/31/16 | 10.00 | (0.09 | ) | 1.24 | 1.15 | — | — | — | — |
† | Unaudited. |
* | Calculated based on average shares outstanding, unless otherwise noted. |
** | 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 | Portfolio turnover rate excludes securities delivered/received from processing redemptions/subscriptions in-kind. |
4 | Amount is less than $0.005. |
54 | Semi-Annual Report 2017 |
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 Expenses to Average Net Assets Without Waivers and Reimbursements and Recoupments, if any | Ratio of Net Investment Income/(Loss) to Average Net Assets With Waivers and Reimbursements and Recoupment, if any | Portfolio Turnover Rate | |||||||||||||||||||||||
$ | 24.66 | 10.79 | % | $ | 1,173,598 | 0.80 | %5 | N/A | 0.94 | %5 | 0.75 | %5 | 18 | %6 | ||||||||||||||||
23.12 | 11.68 | 1,016,106 | 0.77 | N/A | 0.96 | 1.41 | 30 | 3 | ||||||||||||||||||||||
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 | |||||||||||||||||||||||
$ | 24.56 | 10.68 | % | $ | 393,435 | 1.05 | %5 | N/A | 1.19 | %5 | 0.50 | %5 | 18 | %6 | ||||||||||||||||
23.00 | 11.39 | 347,954 | 1.02 | N/A | 1.21 | 1.16 | 30 | 3 | ||||||||||||||||||||||
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 | |||||||||||||||||||||||
$ | 17.01 | 10.20 | % | $ | 35,777 | 1.10 | %5 | N/A | 1.43 | %5 | 0.40 | %5 | 41 | %6 | ||||||||||||||||
15.50 | 3.74 | 33,929 | 1.10 | N/A | 1.55 | 0.47 | 62 | |||||||||||||||||||||||
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 | ||||||||||||||||||||||
$ | 16.38 | 6.99 | % | $ | 455,609 | 0.95 | %5 | N/A | 1.08 | %5 | 0.46 | %5 | 43 | %6 | ||||||||||||||||
15.60 | 6.90 | 415,999 | 0.95 | N/A | 1.10 | 2.38 | 7 | 80 | ||||||||||||||||||||||
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 | 5 | N/A | 3.56 | 5 | 1.39 | 5 | 83 | 6 | |||||||||||||||||||
$ | 11.21 | 3.06 | % | $ | 841,359 | 2.30 | %5 | 1.71 | % | 2.30 | %5 | (1.13 | )%5 | 52 | %6 | |||||||||||||||
10.90 | 3.74 | 853,621 | 2.99 | 1.74 | 2.99 | 0.47 | 8 | 137 | ||||||||||||||||||||||
10.55 | 2.43 | 317,600 | 3.09 | 1.96 | 3.05 | (1.27 | ) | 132 | ||||||||||||||||||||||
10.30 | 3.00 | 37,403 | 3.88 | 5 | 2.00 | 5 | 4.89 | 5 | (2.04 | )5 | 72 | 6 | ||||||||||||||||||
$ | 11.14 | 2.90 | % | $ | 32,471 | 2.55 | %5 | 1.96 | % | 2.55 | %5 | (1.38 | )%5 | 52 | %6 | |||||||||||||||
10.85 | 3.66 | 31,294 | 3.24 | 1.99 | 3.24 | 0.22 | 8 | 137 | ||||||||||||||||||||||
10.51 | 2.14 | 59,919 | 3.34 | 2.21 | 3.30 | (1.52 | ) | 132 | ||||||||||||||||||||||
10.29 | 4.36 | 2,841 | 4.12 | 5 | 2.25 | 5 | 4.44 | 5 | (2.28 | )5 | 72 | 6 | ||||||||||||||||||
$ | 10.51 | 3.22 | % | $ | 21,449 | 2.34 | %5 | 2.10 | % | 4.47 | %5 | (3.09 | )%5 | 82 | %6 | |||||||||||||||
11.15 | 11.50 | 10,938 | 3.87 | 5 | 2.10 | 5 | 7.82 | 5 | (1.26 | )5 | 229 | 3,6 |
5 | Annualized. |
6 | Not Annualized. |
7 | Includes a non-recurring dividend. Without this dividend, net investment income per share would have been $0.18. The ratio of net investment income would have been 1.25%. |
8 | Includes a non-recurring dividend. Without this dividend, net investment income (loss) per share would have been $(0.09) and $(0.12) for Institutional Class and Investor Class, respectively. The ratio of net investment income (loss) would have been (0.88)% and (1.13 )% for Institutional Class and Investor Class, respectively. |
Semi-Annual Report 2017 | 55 |
BOSTON PARTNERS INVESTMENT FUNDS |
NOTES TO FINANCIAL STATEMENTS (unaudited) |
1. | Organization and Significant Accounting Policies |
56 | Semi-Annual Report 2017 |
BOSTON PARTNERS INVESTMENT FUNDS |
NOTES TO FINANCIAL STATEMENTS (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 Funds’ own assumptions in determining the fair value of investments). |
Semi-Annual Report 2017 | 57 |
BOSTON PARTNERS INVESTMENT FUNDS |
NOTES TO FINANCIAL STATEMENTS (unaudited) (continued) |
58 | Semi-Annual Report 2017 |
BOSTON PARTNERS INVESTMENT FUNDS |
NOTES TO FINANCIAL STATEMENTS (unaudited) (continued) |
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, 2016 | 13,973 | $ | 5,670,254 | 4,122 | $ | 1,595,012 | 1,017 | $ | 649,870 | |||||||||||||||
Options written | 3,734 | 2,588,914 | 5,546 | 2,548,561 | — | — | ||||||||||||||||||
Options closed | — | — | — | — | — | — | ||||||||||||||||||
Options expired | (13,973 | ) | (5,670,254 | ) | (4,122 | ) | (1,595,012 | ) | — | — | ||||||||||||||
Options exercised | — | — | — | — | (1,017 | ) | (649,870 | ) | ||||||||||||||||
Option outstanding at February 28, 2017 | 3,734 | $ | 2,588,914 | 5,546 | $ | 2,548,561 | — | $ | — |
BP Global Equity Fund | BP Global Long/Short Fund | |||||||||||||||
Number of Contracts | Premiums Received | Number of Contracts | Premiums Received | |||||||||||||
Options outstanding at August 31, 2016 | — | $ | — | 954 | $ | 497,321 | ||||||||||
Options written | 376 | 199,760 | 7,036 | 2,494,368 | ||||||||||||
Options closed | — | — | — | — | ||||||||||||
Options expired | — | — | (554 | ) | (214,371 | ) | ||||||||||
Options exercised | — | — | (3,668 | ) | (1,005,677 | ) | ||||||||||
Option outstanding at February 28, 2017 | 376 | $ | 199,760 | 3,768 | $ | 1,771,641 |
Fund | Purchased Options (Cost) | Written Options (Proceeds) | ||||||
BP Long/Short Equity Fund | $ | — | $ | 5,289,112 | ||||
BP Long/Short Research Fund | — | 2,545,669 | ||||||
BP All-Cap Value Fund | — | 433,247 | ||||||
BP Global Equity Fund | — | 66,587 | ||||||
BP Global Long/Short Fund | 676,497 | 1,010,526 |
Semi-Annual Report 2017 | 59 |
BOSTON PARTNERS INVESTMENT FUNDS |
NOTES TO FINANCIAL STATEMENTS (unaudited) (continued) |
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 |
97 | CAD 5,861 | 0.97% | 62 | AUD 463,196 | 1.99% |
78 | JPY 22,239,751 | 0.43% | 149 | CAD 2,793,962 | 0.99% |
114 | USD 420,824 | 0.97% | 131 | CHF 1,524,574 | 0.31% |
1 | DKK 132,743 | 0.50% | |||
125 | EUR 11,318,293 | 0.03% | |||
80 | GBP 806,548 | 0.65% | |||
174 | HKD 36,861,450 | 0.58% | |||
130 | JPY 144,312,703 | 0.44% | |||
116 | NOK 2,376,751 | 0.98% | |||
74 | SEK 24,304,520 | 0.03% | |||
132 | SGD 1,066,081 | 0.72% | |||
64 | USD 13,676,851 | 0.88% |
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 |
12 | AUD 16,847 | 1.99% | 68 | GBP 9,238 | 0.65% |
103 | CAD 16,372 | 0.97% | 138 | HKD 318,517 | 0.57% |
6 | CHF 85,627 | 0.29% | 59 | JPY 61,920 | 0.43% |
11 | DKK 584,670 | 0.08% | 91 | SGD 655 | 0.63% |
103 | EUR 23,496 | 0.03% | 19 | USD 87,047 | 0.95% |
128 | GBP 42,362 | 0.65% | 112 | ZAR 48,812 | 7.46% |
22 | HKD 25 | 0.56% | |||
123 | JPY 3,678,648 | 0.43% | |||
49 | SGD 96,197 | 0.55% | |||
44 | USD 1,918,042 | 0.94% |
60 | Semi-Annual Report 2017 |
BOSTON PARTNERS INVESTMENT FUNDS |
NOTES TO FINANCIAL STATEMENTS (unaudited) (continued) |
Fund | Notional Amount Long | Notional Amount Short | ||||||
BP Long/Short Research Fund | $ | 57,412,479 | $ | 32,571,340 | ||||
BP Global Long/Short Fund | — | 4,503,278 | ||||||
BP Emerging Markets Long/Short Fund | 7,173,266 | 4,035,483 |
2. | Investment Advisers and Other Services |
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 |
Semi-Annual Report 2017 | 61 |
BOSTON PARTNERS INVESTMENT FUNDS |
NOTES TO FINANCIAL STATEMENTS (unaudited) (continued) |
62 | Semi-Annual Report 2017 |
BOSTON PARTNERS INVESTMENT FUNDS |
NOTES TO FINANCIAL STATEMENTS (unaudited) (continued) |
Expiration August 31, 2017 | Expiration August 31, 2018 | Expiration August 31, 2019 | Expiration August 31, 2020 | Total | ||||||||||||||||
BP Small Cap Value Fund II | $ | 41,219 | $ | 362,104 | $ | 404,770 | $ | 206,164 | $ | 1,014,257 | ||||||||||
WPG Small/Micro Cap Value Fund | 27,146 | 125,396 | 149,394 | 57,724 | 359,660 | |||||||||||||||
BP Global Equity Fund | 217,404 | 316,245 | 502,669 | 268,575 | 1,304,893 | |||||||||||||||
BP Emerging Markets Long/Short Fund | — | — | 192,417 | 135,758 | 328,175 |
Fund | Investment Adviser Expense Waived | Investment Adviser Reimbursement | ||||||
BP Small Cap Value Fund II | $ | 206,164 | $ | — | ||||
BP All-Cap Value Fund | 1,001,638 | — | ||||||
WPG Small/Micro Cap Value Fund | 57,724 | — | ||||||
BP Global Equity Fund | 268,575 | — | ||||||
BP Emerging Markets Long/Short Fund | 135,758 | — |
3. | Director’s and Officer’s Compensation |
Semi-Annual Report 2017 | 63 |
BOSTON PARTNERS INVESTMENT FUNDS |
NOTES TO FINANCIAL STATEMENTS (unaudited) (continued) |
4. | Purchases and Sales of Investment Securities |
Fund | Purchases | Sales | ||||||
BP Small Cap Value Fund II | $ | 79,093,361 | $ | 63,532,627 | ||||
BP Long/Short Equity Fund | 319,103,662 | 269,091,843 | ||||||
BP Long/Short Research Fund | 1,846,621,556 | 2,560,314,355 | ||||||
BP All-Cap Value Fund | 261,684,312 | 254,521,837 | ||||||
WPG Small/Micro Cap Value Fund | 13,623,076 | 14,804,859 | ||||||
BP Global Equity Fund | 177,344,441 | 175,724,490 | ||||||
BP Global Long/Short Fund | 423,476,682 | 466,110,431 | ||||||
BP Emerging Markets Long/Short Fund | 11,983,062 | 5,196,641 |
5. | Capital Share Transactions |
6. | Securities Lending |
Fund | Market Value of Securities Loaned | Market Value of Collateral | Income Received from Securities Lending | |||||||||
BP Small Cap Value Fund II | $ | 142,142,440 | $ | 148,114,869 | $ | 74,675 | ||||||
BP Long/Short Equity Fund | 216,150,902 | 223,784,970 | 227,872 | |||||||||
BP All-Cap Value Fund | 310,812,278 | 321,079,118 | 104,226 | |||||||||
WPG Small/Micro Cap Value Fund | 10,103,389 | 10,600,787 | 11,710 | |||||||||
BP Global Equity Fund | 33,372,359 | 34,363,856 | 13,384 |
64 | Semi-Annual Report 2017 |
BOSTON PARTNERS INVESTMENT FUNDS |
NOTES TO FINANCIAL STATEMENTS (unaudited) (continued) |
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 | $ | 142,142,440 | — | $ | 142,142,440 | $ | (142,142,440 | ) | — | — | ||||||||||||||
BP Long/Short Equity Fund | 216,150,902 | — | 216,150,902 | (216,150,902 | ) | — | — | |||||||||||||||||
BP All-Cap Value Fund | 310,812,278 | — | 310,812,278 | (310,812,278 | ) | — | — | |||||||||||||||||
WPG Small/Micro Cap Value Fund | 10,103,389 | — | 10,103,389 | (10,103,389 | ) | — | — | |||||||||||||||||
BP Global Equity Fund | 33,372,359 | — | 33,372,359 | (33,372,359 | ) | — | — |
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 |
8. | Redemption Fees |
9. | Federal Income Tax Information |
Semi-Annual Report 2017 | 65 |
BOSTON PARTNERS INVESTMENT FUNDS |
NOTES TO FINANCIAL STATEMENTS (unaudited) (continued) |
Fund | Federal Tax Cost | Unrealized Appreciation | Unrealized Depreciation | Net Unrealized Appreciation/ (Depreciation) | ||||||||||||
BP Small Cap Value Fund II | $ | 508,080,513 | $ | 129,652,296 | $ | (11,944,656 | ) | $ | 117,707,640 | |||||||
BP Long/Short Equity Fund | 1,019,514,866 | 218,454,978 | (20,881,615 | ) | 197,573,363 | |||||||||||
BP Long/Short Research Fund | 5,120,860,157 | 1,403,934,385 | (110,506,464 | ) | 1,293,427,921 | |||||||||||
BP All-Cap Value Fund | 1,519,280,770 | 387,486,385 | (26,788,071 | ) | 360,698,314 | |||||||||||
WPG Small/Micro Cap Value Fund | 41,323,950 | 7,336,183 | (2,341,667 | ) | 4,994,516 | |||||||||||
BP Global Equity Fund | 423,354,352 | 66,184,845 | (5,286,404 | ) | 60,898,441 | |||||||||||
BP Global Long/Short Fund | 759,671,624 | 117,883,756 | (10,800,715 | ) | 107,083,041 | |||||||||||
BP Emerging Markets Long/Short Fund | 19,032,656 | 969,965 | (128,744 | ) | 841,221 |
* | Because tax adjustments are calculated annually at the end of each Fund's fiscal year, the above table does not reflect tax adjustments for the current fiscal year. |
Fund | Increase/ (Decrease) Undistributed Net Investment Income/(Loss) | Increase/ (Decrease) Accumulated Net Realized Gain/(Loss) on Investments | Increase/ (Decrease) Additional Paid-in Capital | |||||||||
BP Small Cap Value Fund II | $ | (179,840 | ) | $ | 179,840 | $ | — | |||||
BP Long/Short Equity Fund | 27,167,736 | (740,110 | ) | (26,427,626 | ) | |||||||
BP Long/Short Research Fund | 36,355,682 | (36,363,934 | ) | 8,252 | ||||||||
BP All-Cap Value Fund | (605 | ) | 2,484,726 | (2,484,121 | ) | |||||||
WPG Small/Micro Cap Value Fund | 4,960 | (4,960 | ) | — | ||||||||
BP Global Equity Fund | (282,052 | ) | 282,052 | — | ||||||||
BP Global Long/Short Fund | (1,538,218 | ) | 1,538,218 | — | ||||||||
BP Emerging Markets Long/Short Fund | 784,065 | (767,789 | ) | (16,276 | ) |
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 | $ | 2,077,954 | $ | — | $ | — | $ | 79,609,911 | $ | (1,294,462 | ) | |||||||||
BP Long/Short Equity Fund | — | — | — | 100,841,726 | (6,170,428 | |||||||||||||||
BP Long/Short Research Fund | — | — | — | 644,685,505 | (129,085,293 | ) | ||||||||||||||
BP All-Cap Value Fund | 18,330,259 | 14,367,819 | — | 258,993,724 | — | |||||||||||||||
WPG Small/Micro Cap Value Fund | 151,830 | — | — | 2,647,905 | (1,657,254 | ) | ||||||||||||||
BP Global Equity Fund | 7,167,965 | — | (3,648,768 | ) | 40,251,890 | (22,150,145 | ) | |||||||||||||
BP Global Long/Short Fund | — | — | — | 56,433,243 | (24,758,619 | ) | ||||||||||||||
BP Emerging Markets Long/Short Fund | 800,343 | — | — | 225,265 | — |
66 | Semi-Annual Report 2017 |
BOSTON PARTNERS INVESTMENT FUNDS |
NOTES TO FINANCIAL STATEMENTS (unaudited) (concluded) |
2016 | ||||||||||||
Fund | Ordinary Income | Long-Term Gains | Total | |||||||||
BP Small Cap Value Fund II | $ | 3,004,858 | $ | 12,981,910 | $ | 15,986,768 | ||||||
BP Long/Short Equity Fund | — | 48,419,051 | 48,419,051 | |||||||||
BP Long/Short Research Fund | 17,314,839 | 256,483,631 | 273,798,470 | |||||||||
BP All-Cap Value Fund | 22,632,064 | 48,142,545 | 70,774,609 | |||||||||
WPG Small/Micro Cap Value Fund | 234,660 | 748,352 | 983,012 | |||||||||
BP Global Equity Fund | 1,248,425 | 150,010 | 1,398,435 | |||||||||
BP Global Long/Short Fund | 1,989,941 | 436,376 | 2,426,317 | |||||||||
BP Emerging Markets Long/Short Fund | — | — | — |
Fund | Late-Year Ordinary Loss Deferral | Short-Term Capital Loss Deferral | Long-Term Capital Loss Deferral | |||||||||
BP Small Cap Value Fund II | $ | — | $ | 1,294,462 | $ | — | ||||||
BP Long/Short Equity Fund | 6,170,428 | — | — | |||||||||
BP Long/Short Research Fund | — | 85,175,227 | 43,910,066 | |||||||||
BP All-Cap Value Fund | — | — | — | |||||||||
WPG Small/Micro Cap Value Fund | — | 464,700 | 1,192,554 | |||||||||
BP Global Equity Fund | — | 18,750,318 | 3,399,827 | |||||||||
BP Global Long/Short Fund | — | 16,713,317 | 8,045,302 | |||||||||
BP Emerging Markets Long/Short Fund | — | — | — |
10. | Subsequent Events |
Semi-Annual Report 2017 | 67 |
BOSTON PARTNERS INVESTMENT FUNDS |
OTHER INFORMATION (unaudited) |
68 | Semi-Annual Report 2017 |
BOSTON PARTNERS INVESTMENT FUNDS |
PRIVACY NOTICE (unaudited) |
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 do not 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 do not share. |
For our affiliates to market to you | Yes | Yes |
For nonaffiliates to market to you | No | We do not share. |
Questions? | Call (888) 261-4073 or go to www.boston-partners.com |
Semi-Annual Report 2017 | 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 2017 |
Campbell Dynamic Trend Fund
of
THE RBB FUND, INC.
Semi-Annual Report
February 28, 2017
(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 Dynamic Trend Fund
Semi-Annual Report
Performance Data
February 28, 2017
(Unaudited)
Average Annual Total Returns for the Periods Ended February 28, 2017 | |||
Six | One | Since | |
Campbell Dynamic Trend Fund, Institutional Shares | -3.02% | -5.77% | -4.27% |
Barclay BTOP50 Index*** | -5.05% | -9.96% | -2.88% |
* | 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, 2016, is 4.04% and the Fund’s net operating expense ratio is 1.25%. 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, 2017 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 be 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 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 Dynamic 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, 2016 through February 28, 2017, and held for the entire period.
Actual Expenses
The first line of the accompanying table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The second line of the accompanying table provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare these 5% hypothetical examples with the 5% hypothetical examples that appear in the shareholder reports of other funds.
Please note that the expenses shown in the accompanying table are meant to highlight your ongoing costs only and do not reflect any transactional costs. Therefore, the second line of the accompanying table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
Institutional Shares | |||
Beginning | Ending | Expenses Paid | |
Actual | $1,000.00 | $ 969.80 | $6.20 |
Hypothetical (5% return before expenses) | 1,000.00 | 1,018.50 | 6.36 |
* | Expenses are equal to the Fund’s annualized six-month expense ratio of 1.27% 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 recent fiscal half-year (181) then divided by 365 days to reflect the one-half year period. The Fund’s ending account value on the first line in the table is based on the actual six-month total investment return for the Institutional Shares of the Fund of (3.02)%. |
2
Campbell Dynamic Trend Fund
Consolidated Portfolio Holdings Summary Table
February 28, 2017
(Unaudited)
The following table presents a consolidated summary of the portfolio holdings of the Fund at February 28, 2017.
SECURITY TYPE/SECTOR CLASSIFICATION | % of Net | Value | ||||||
SHORT-TERM INVESTMENTS: | ||||||||
U.S. Treasury Obligations | 86.0 | % | $ | 7,830,645 | ||||
OTHER ASSETS IN EXCESS OF LIABILITIES (including futures and forward foreign currency contracts) | 14.0 | % | 1,269,905 | |||||
NET ASSETS | 100.0 | % | $ | 9,100,550 |
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 Dynamic Trend Fund
Consolidated Portfolio of Investments
February 28, 2017
(Unaudited)
Coupon* | Maturity | Par | Value | ||||||||||
Short-Term Investments — 86.0% | |||||||||||||
U.S. Treasury Obligations — 86.0% | |||||||||||||
United States Treasury Bill | 0.433 | % | 03/23/17 | $ | 1,687,500 | $ | 1,687,058 | ||||||
United States Treasury Bill | 0.438 | % | 04/13/17 | 2,150,000 | 2,148,888 | ||||||||
United States Treasury Bill | 0.563 | % | 05/25/17 | 1,150,000 | 1,148,636 | ||||||||
United States Treasury Bill | 0.480 | % | 06/29/17 | 1,040,000 | 1,038,232 | ||||||||
United States Treasury Bill | 0.553 | % | 07/20/17 | 1,812,000 | 1,807,831 | ||||||||
7,830,645 | |||||||||||||
TOTAL SHORT-TERM INVESTMENTS | |||||||||||||
(Cost $7,830,868) | 7,830,645 | ||||||||||||
Total Investments — 86.0% | |||||||||||||
(Cost $7,830,868) | 7,830,645 | ||||||||||||
Other Assets in Excess of Liabilities — 14.0% | 1,269,905 | ||||||||||||
Net Assets — 100.0% | $ | 9,100,550 |
* | 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 Dynamic Trend Fund
Consolidated Portfolio of Investments (Continued)
February 28, 2017
(Unaudited)
Futures contracts outstanding as of February 28, 2017 were as follows:
Long Contracts | Expiration Date | Number of Contracts | Notional | Unrealized Appreciation (Depreciation) | |||||||||
10-Year Mini Japanese Government Bond | Mar-17 | 11 | $ | 1,470,685 | $ | 16 | |||||||
90-DAY Sterling | Dec-17 | 17 | 2,635,758 | 881 | |||||||||
Amsterdam Index | Mar-17 | 3 | 314,772 | 314 | |||||||||
CAC40 10 Euro | Mar-17 | 4 | 208,620 | (2,590 | ) | ||||||||
Corn | May-17 | 7 | 131,708 | (895 | ) | ||||||||
Cotton No.2 | May-17 | 4 | 153,157 | (477 | ) | ||||||||
DAX Index | Mar-17 | 1 | 298,693 | 10,407 | |||||||||
DJIA Mini E-CBOT | Mar-17 | 4 | 395,551 | 20,589 | |||||||||
Euro Stoxx 50 | Mar-17 | 6 | 207,947 | 2,981 | |||||||||
Euro-Bobl | Mar-17 | 3 | 428,211 | 3,917 | |||||||||
Euro-Bund | Mar-17 | 3 | 524,540 | 5,241 | |||||||||
Euro-Schatz | Mar-17 | 6 | 719,397 | 2,531 | |||||||||
FTSE 100 Index | Mar-17 | 3 | 265,269 | 4,079 | |||||||||
FTSE/MIB Index | Mar-17 | 1 | 100,359 | (1,528 | ) | ||||||||
Gold 100 Oz | Apr-17 | 1 | 125,462 | (72 | ) | ||||||||
Hang Seng Index | Mar-17 | 3 | 465,566 | (6,689 | ) | ||||||||
IBEX 35 Index | Mar-17 | 1 | 101,356 | 35 | |||||||||
Lean Hogs | Apr-17 | 1 | 28,853 | (1,813 | ) | ||||||||
Live Cattle | Apr-17 | 1 | 46,573 | 597 | |||||||||
London Metals Exchange Aluminum | Mar-17 | 11 | 497,088 | 31,256 | |||||||||
London Metals Exchange Copper | Mar-17 | 1 | 145,003 | 4,122 | |||||||||
London Metals Exchange Nickel | Mar-17 | 3 | 196,347 | 528 | |||||||||
London Metals Exchange Zinc | Mar-17 | 2 | 136,106 | 5,044 | |||||||||
Long Gilt | Jun-17 | 2 | 315,281 | 2,219 | |||||||||
MSCI Singapore Exchange ETS | Mar-17 | 7 | 172,359 | (1,032 | ) | ||||||||
MSCI Taiwan Index | Mar-17 | 7 | 253,414 | (2,114 | ) | ||||||||
Nasdaq 100 E-Mini | Mar-17 | 4 | 403,797 | 22,783 | |||||||||
Nikkie 225 (Osaka Securities Exchange) | Mar-17 | 3 | 244,079 | 5,806 | |||||||||
OMX Stockholm 30 Index | Mar-17 | 10 | 174,791 | 126 | |||||||||
Palladium | Jun-17 | 1 | 77,042 | 128 | |||||||||
Platinum | Apr-17 | 1 | 50,053 | 1,498 | |||||||||
Russell 2000 Mini | Mar-17 | 2 | 138,635 | (134 | ) | ||||||||
S&P 500 E-Mini | Mar-17 | 4 | 459,021 | 13,539 | |||||||||
S&P Mid 400 E-Mini | Mar-17 | 1 | 168,142 | 4,628 | |||||||||
S&P/TSX 60 Index | Mar-17 | 2 | 273,264 | 2,682 | |||||||||
SGX Nifty 50 | Mar-17 | 13 | 232,098 | (399 | ) | ||||||||
Silver | May-17 | 2 | 181,500 | 3,190 | |||||||||
SPI 200 Index | Mar-17 | 2 | 208,282 | 399 | |||||||||
Topix Index | Mar-17 | 2 | 261,869 | 7,286 | |||||||||
$ | 13,210,648 | $ | 139,079 |
The accompanying notes are an integral part of the consolidated financial statements.
5
Campbell Dynamic Trend Fund
Consolidated Portfolio of Investments (Continued)
February 28, 2017
(Unaudited)
Short Contracts | Expiration Date | Number of Contracts | Notional | Unrealized Appreciation (Depreciation) | |||||||||
3-Month Euro Euribor | Dec-17 | 29 | $ | (7,735,275 | ) | $ | (1,628 | ) | |||||
90-DAY Bank Bill | Jun-17 | 9 | (6,870,261 | ) | (90 | ) | |||||||
90-Day Euro | Mar-18 | 8 | (1,966,605 | ) | (30 | ) | |||||||
Australian 10-Year Bond | Mar-17 | 2 | (194,842 | ) | (1,810 | ) | |||||||
Australian 3-Year Bond | Mar-17 | 15 | (1,282,548 | ) | (1,161 | ) | |||||||
Cocoa | May-17 | 3 | (62,369 | ) | 5,081 | ||||||||
Euro-BTP | Mar-17 | 1 | (140,731 | ) | (2,109 | ) | |||||||
Euro-Oat | Mar-17 | 1 | (157,101 | ) | (3,147 | ) | |||||||
FTSE/JSE TOP 40 | Mar-17 | 2 | (65,421 | ) | 658 | ||||||||
London Metals Exchange Aluminum | Mar-17 | 4 | (178,513 | ) | (13,612 | ) | |||||||
London Metals Exchange Copper | Mar-17 | 1 | (139,895 | ) | (9,230 | ) | |||||||
London Metals Exchange Nickel | Mar-17 | 2 | (125,559 | ) | (5,691 | ) | |||||||
London Metals Exchange Zinc | Mar-17 | 1 | (72,278 | ) | 1,704 | ||||||||
Sugar No. 11 (World) | Apr-17 | 3 | (66,492 | ) | 1,861 | ||||||||
U.S. Treasury 10-Year Notes | Jun-17 | 1 | (124,220 | ) | (361 | ) | |||||||
U.S. Treasury 5-Year Notes | Jun-17 | 1 | (117,580 | ) | (126 | ) | |||||||
Wheat | May-17 | 6 | (132,930 | ) | (230 | ) | |||||||
$ | (19,432,620 | ) | $ | (29,921 | ) | ||||||||
Total Futures Contracts | $ | (6,221,972 | ) | $ | 109,158 |
The accompanying notes are an integral part of the consolidated financial statements.
6
Campbell Dynamic Trend Fund
Consolidated Portfolio of Investments (Concluded)
February 28, 2017
(Unaudited)
Forward foreign currency contracts outstanding as of February 28, 2017 were as follows:
Currency Purchased | Currency Sold | Expiration | Counterparty | Unrealized Appreciation (Depreciation) | |||||||||||
AUD | 1,500,000 | USD | 1,126,060 | Mar 15 2017 | UBS | $ | 23,567 | ||||||||
CAD | 1,000,000 | USD | 761,922 | Mar 15 2017 | UBS | (8,945 | ) | ||||||||
EUR | 200,000 | USD | 210,186 | Mar 15 2017 | UBS | 1,838 | |||||||||
GBP | 100,000 | USD | 124,727 | Mar 15 2017 | UBS | (598 | ) | ||||||||
JPY | 38,600,000 | USD | 339,684 | Mar 15 2017 | UBS | 4,101 | |||||||||
MXN | 2,400,000 | USD | 111,191 | Mar 15 2017 | UBS | 7,982 | |||||||||
NOK | 3,300,000 | USD | 397,324 | Mar 15 2017 | UBS | (3,646 | ) | ||||||||
NZD | 600,000 | USD | 435,290 | Mar 15 2017 | UBS | (3,319 | ) | ||||||||
SEK | 3,600,000 | USD | 402,822 | Mar 15 2017 | UBS | (3,691 | ) | ||||||||
SGD | 800,000 | USD | 561,044 | Mar 15 2017 | UBS | 9,864 | |||||||||
ZAR | 3,200,000 | USD | 230,942 | Mar 15 2017 | UBS | 12,343 | |||||||||
USD | 441,742 | AUD | 600,000 | Mar 15 2017 | UBS | (18,109 | ) | ||||||||
USD | 598,805 | CAD | 800,000 | Mar 15 2017 | UBS | (3,576 | ) | ||||||||
USD | 99,631 | CHF | 100,000 | Mar 15 2017 | UBS | (23 | ) | ||||||||
USD | 748,057 | EUR | 700,000 | Mar 15 2017 | UBS | 5,973 | |||||||||
USD | 373,513 | GBP | 300,000 | Mar 15 2017 | UBS | 1,124 | |||||||||
USD | 667,485 | JPY | 76,000,000 | Mar 15 2017 | UBS | (9,398 | ) | ||||||||
USD | 113,491 | MXN | 2,400,000 | Mar 15 2017 | UBS | (5,682 | ) | ||||||||
USD | 389,283 | NOK | 3,300,000 | Mar 15 2017 | UBS | (4,394 | ) | ||||||||
USD | 210,749 | NZD | 300,000 | Mar 15 2017 | UBS | (5,236 | ) | ||||||||
USD | 775,413 | SEK | 7,000,000 | Mar 15 2017 | UBS | (676 | ) | ||||||||
USD | 564,036 | SGD | 800,000 | Mar 15 2017 | UBS | (6,873 | ) | ||||||||
USD | 231,628 | ZAR | 3,200,000 | Mar 15 2017 | UBS | (11,658 | ) | ||||||||
Total Forward Foreign Currency Contracts | $ | (19,032 | ) |
AUD | Australian Dollar | NOK | Norwegian Krone | |
CAD | Canadian Dollar | NZD | New Zealand Dollar | |
CHF | Swiss Franc | SEK | Swedish Krona | |
EUR | Euro | SGD | Singapore Dollar | |
GBP | British Pound | USD | United States Dollar | |
JPY | Japanese Yen | ZAR | South African Rand | |
MXN | Mexican Peso |
The accompanying notes are an integral part of the consolidated financial statements.
7
Campbell Dynamic Trend Fund
Consolidated Statement of Assets and Liabilities
February 28, 2017
(Unaudited)
ASSETS | ||||
Investments, at value (cost $7,830,868) | $ | 7,830,645 | ||
Cash | 737,539 | |||
Deposits with broker for forward foreign currency contracts and futures contracts | 493,881 | |||
Receivables for: | ||||
Variation margin | 109,158 | |||
Due from Adviser | 17,071 | |||
Prepaid expenses and other assets | 22,723 | |||
Unrealized appreciation on forward foreign currency contracts | 66,792 | |||
Total Assets | 9,277,809 | |||
LIABILITIES | ||||
Payables for: | ||||
Administration and accounting services fees | 25,995 | |||
Custodian fees | 4,070 | |||
Transfer agent fees | 3,301 | |||
Unrealized depreciation on forward foreign currency contracts | 85,824 | |||
Other accrued expenses and liabilities | 58,069 | |||
Total Liabilities | 177,259 | |||
Net Assets | $ | 9,100,550 | ||
NET ASSETS CONSIST OF: | ||||
Capital stock, $0.001 par value | $ | 1,013 | ||
Paid-in capital | 9,375,118 | |||
Accumulated net investment income/(loss) | (105,557 | ) | ||
Accumulated net realized gain/(loss) from futures contracts, foreign currency transactions and forward foreign currency contracts | (259,995 | ) | ||
Net unrealized appreciation/(depreciation) on investments, futures contracts, foreign currency translations and forward foreign currency contracts | 89,971 | |||
Net Assets | $ | 9,100,550 | ||
INSTITUTIONAL SHARES | ||||
Net assets | $ | 9,100,550 | ||
Shares outstanding ($0.001 par value, 100,000,000 shares authorized) | 1,013,405 | |||
Net asset value, offering and redemption price per share | $ | 8.98 |
The accompanying notes are an integral part of the consolidated financial statements.
8
Campbell Dynamic Trend Fund
Consolidated Statement of Operations
For The Six Months Ended
February 28, 2017
(Unaudited)
INVESTMENT INCOME | ||||
Interest | $ | 13,993 | ||
Total investment income | 13,993 | |||
EXPENSES | ||||
Advisory fees (Note 2) | 47,348 | |||
Administration and accounting fees (Note 2) | 47,008 | |||
Audit and tax service fees | 30,897 | |||
Registration and filing fees | 20,836 | |||
Printing and shareholder reporting fees | 12,506 | |||
Transfer agent fees (Note 2) | 11,052 | |||
Custodian fees (Note 2) | 7,042 | |||
Directors and officers fees | 3,691 | |||
Legal fees | 761 | |||
Other expenses | 12,918 | |||
Total expenses before waivers and reimbursements | 194,059 | |||
Less: waivers and reimbursements (Note 2) | (136,678 | ) | ||
Net expenses after waivers and reimbursements | 57,381 | |||
Net investment income/(loss) | (43,388 | ) | ||
NET REALIZED AND UNREALIZED GAIN/(LOSS) FROM INVESTMENTS | ||||
Net realized gain/(loss) from: | ||||
Futures contracts | (231,345 | ) | ||
Foreign currency transactions | (2,811 | ) | ||
Forward foreign currency contracts | (5,438 | ) | ||
Net change in unrealized appreciation/(depreciation) on: | ||||
Investments | (223 | ) | ||
Futures contracts | (49,421 | ) | ||
Foreign currency translation | 1,482 | |||
Forward foreign currency contracts | 45,781 | |||
Net realized and unrealized gain/(loss) from investments | (241,975 | ) | ||
NET INCREASE/(DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ | (285,363 | ) |
The accompanying notes are an integral part of the consolidated financial statements.
9
Campbell Dynamic Trend Fund
Consolidated Statements of Changes in Net Assets
For the | For the | |||||||
Increase/(Decrease) in Net Assets From Operations: | ||||||||
Net investment income/(loss) | $ | (43,388 | ) | $ | (107,680 | ) | ||
Net realized gain/(loss) from futures contracts, foreign currency transactions and forward foreign currency contracts | (239,594 | ) | (146,308 | ) | ||||
Net change in unrealized appreciation/(depreciation) on investments, futures contracts, foreign currency translation and forward foreign currency contracts | (2,381 | ) | (74,611 | ) | ||||
Net increase/(decrease) in net assets resulting from operations | (285,363 | ) | (328,599 | ) | ||||
Dividends and Distributions to 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 reinvestment of distributions | — | 128,960 | ||||||
Total Institutional Shares | — | 128,960 | ||||||
Net increase/(decrease) in net assets from capital share transactions | — | 128,960 | ||||||
Total increase/(decrease) in net assets | (285,363 | ) | (328,599 | ) | ||||
Net Assets: | ||||||||
Beginning of period | 9,385,913 | 9,714,512 | ||||||
End of period | $ | 9,100,550 | $ | 9,385,913 | ||||
Accumulated net investment income/(loss), end of period | $ | (105,557 | ) | $ | (62,169 | ) | ||
Increase/(Decrease) In Shares Outstanding From Share Transactions: | ||||||||
Institutional Shares | ||||||||
Shares reinvested | — | 13,405 | ||||||
Total Institutional Shares | — | 13,405 | ||||||
Net increase/(decrease) in shares outstanding derived from share transactions | — | 13,405 |
The accompanying notes are an integral part of the consolidated financial statements.
10
Campbell Dynamic 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 | For the | ||||||||||
Per Share Operating Performance | ||||||||||||
Net asset value, beginning of period | $ | 9.26 | $ | 9.71 | $ | 10.00 | ||||||
Net investment income/(loss)(2) | (0.04 | ) | (0.11 | ) | (0.08 | ) | ||||||
Net realized and unrealized gain/(loss) from investments | (0.24 | ) | (0.21 | ) | (0.21 | ) | ||||||
Net increase/(decrease) in net assets resulting from operations | (0.28 | ) | (0.32 | ) | (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 | $ | 8.98 | $ | 9.26 | $ | 9.71 | ||||||
Total investment return(3) | (3.02 | )% | (3.36 | )% | (2.90 | )% | ||||||
Ratios/Supplemental Data | ||||||||||||
Net assets, end of period (000’s omitted) | $ | 9,101 | $ | 9,386 | $ | 9,715 | ||||||
Ratio of expenses to average net assets with waivers and reimbursements | 1.27 | %(4)(5) | 1.25 | % | 1.26 | %(4)(5) | ||||||
Ratio of expenses to average net assets without waivers and reimbursements | 4.30 | %(5) | 4.04 | % | 4.39 | %(5) | ||||||
Ratio of net investment income/(loss) to average net assets | (0.96 | )%(5) | (1.13 | )% | (1.25 | )%(5) | ||||||
Portfolio turnover rate | 0.00 | %(6) | 0.00 | % | 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%. |
(5) | Annualized. |
(6) | Not annualized. |
The accompanying notes are an integral part of the consolidated financial statements.
11
Campbell Dynamic Trend Fund
Notes To Consolidated Financial Statements
February 28, 2017
(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-six active investment portfolios, including the Campbell Dynamic Trend Fund (the “Fund”) (formerly, the Campbell Core Trend 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 84.423 billion shares are currently classified into one hundred and seventy-one 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 Board Accounting Standards Codification Topic 946.
Consolidation of 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 Dynamic 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 28, 2017, the net assets of the Subsidiary were $336,053, which represented 3.7% 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 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 (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 methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
12
Campbell Dynamic Trend Fund
Notes To Consolidated Financial Statements
February 28, 2017
(Unaudited) (Continued)
The following is a summary of the inputs used, as of February 28, 2017, in valuing the Fund’s investments carried at fair value:
| Total Fair | Level 1 | Level 2 | Level 3 | ||||||||||||
Short-Term Investments | $ | 7,830,645 | $ | — | $ | 7,830,645 | $ | — | ||||||||
Commodity Contracts | ||||||||||||||||
Futures | 55,009 | 55,009 | — | — | ||||||||||||
Equity Contracts | ||||||||||||||||
Futures | 96,312 | 96,312 | — | — | ||||||||||||
Interest Rate Contracts | ||||||||||||||||
Futures | 14,805 | 14,805 | — | — | ||||||||||||
Foreign Exchange Contracts | ||||||||||||||||
Forward Foreign Currency Contracts | 66,792 | — | 66,792 | — | ||||||||||||
Total Assets | $ | 8,063,563 | $ | 166,126 | $ | 7,897,437 | $ | — |
| Total Fair | Level 1 | Level 2 | Level 3 | ||||||||||||
Commodity Contracts | ||||||||||||||||
Futures | $ | (34,929 | ) | $ | (34,929 | ) | $ | — | $ | — | ||||||
Equity Contracts | ||||||||||||||||
Futures | (14,486 | ) | (14,486 | ) | — | — | ||||||||||
Interest Rate Contracts | ||||||||||||||||
Futures | (7,553 | ) | (7,553 | ) | — | — | ||||||||||
Foreign Exchange Contracts | ||||||||||||||||
Forward Foreign Currency Contracts | (85,824 | ) | — | (85,824 | ) | — | ||||||||||
Total Liabilities | $ | (142,792 | ) | $ | (56,968 | ) | $ | (85,824 | ) | $ | — |
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
13
Campbell Dynamic Trend Fund
Notes To Consolidated Financial Statements
February 28, 2017
(Unaudited) (Continued)
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 28, 2017, the Fund had no transfers between Levels 1, 2 and 3.
Disclosures about Derivative Instruments and Hedging Activities — Derivative instruments are defined as financial instruments whose value and performance are based on the value and performance of another security or financial instrument. Derivative instruments that the Fund used during the period include forward foreign currency contracts and futures contracts.
During the six months ended February 28, 2017, 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 28, 2017.
The following table lists the fair values of the Fund’s derivative holdings as of February 28, 2017 grouped by contract type and risk exposure category.
Derivative Type | Consolidated Statement | Equity Contracts | Interest | Foreign Currency Contracts | Commodity Contracts | Total | |||||||||||||||
Asset Derivatives | |||||||||||||||||||||
Forward Contracts | Unrealized appreciation on | $ | — | $ | — | $ | 66,792 | $ | — | $ | 66,792 | ||||||||||
Futures Contracts (a) | Receivable: | 96,312 | 14,805 | — | 55,009 | 166,126 | |||||||||||||||
Total Value - |
| $ | 96,312 | $ | 14,805 | $ | 66,792 | $ | 55,009 | $ | 232,918 |
Liability Derivatives | |||||||||||||||||||||
Forward Contracts | Unrealized depreciation on | $ | — | $ | — | $ | (85,824 | ) | $ | — | $ | (85,824 | ) | ||||||||
Futures Contracts (a) | Receivable: | (14,486 | ) | (7,553 | ) | — | (34,929 | ) | (56,968 | ) | |||||||||||
Total Value - |
| $ | (14,486 | ) | $ | (7,553 | ) | $ | (85,824 | ) | $ | (34,929 | ) | $ | (142,792 | ) |
(a) | This amount represents the cumulative appreciation/depreciation of futures contracts as reported in the Consolidated Portfolio of Investments. |
14
Campbell Dynamic Trend Fund
Notes To Consolidated Financial Statements
February 28, 2017
(Unaudited) (Continued)
The following table lists the amounts of realized gains or (losses) included in net increase/(decrease) in net assets resulting from operations for the six months ended February 28, 2017, grouped by contract type and risk exposure.
Derivative Type | Consolidated Statement of Operations Location | Equity | Interest | Foreign | Commodity | Total | |||||||||||||||
Realized Gain/(Loss) | |||||||||||||||||||||
Forward Contracts | Net realized gain (loss) from | $ | — | $ | — | $ | (5,438 | ) | $ | — | $ | (5,438 | ) | ||||||||
Futures Contracts (a) | Net realized gain (loss) from Futures Contracts | 82,553 | 12,097 | — | (325,995 | ) | (231,345 | ) | |||||||||||||
Total Realized |
| $ | 82,553 | $ | 12,097 | $ | (5,438 | ) | $ | (325,995 | ) | $ | (236,783 | ) |
The following table lists the amounts of change in unrealized appreciation/(depreciation) included in net increase/(decrease) in net assets resulting from operations for the six months ended February 28, 2017, grouped by contract type and risk exposure.
Derivative Type | Consolidated Statement of Operations Location | Equity | Interest | Foreign | Commodity | Total | |||||||||||||||
Change in Unrealized Appreciation/(Depreciation) | |||||||||||||||||||||
Forward Contracts | Net change in unrealized | $ | — | $ | — | $ | 45,781 | $ | — | $ | 45,781 | ||||||||||
Futures Contracts (a) | Net change in unrealized from Futures Contracts | 55,906 | (129,374 | ) | — | 24,047 | (49,421 | ) | |||||||||||||
Total change in |
| $ | 55,906 | $ | (129,374 | ) | $ | 45,781 | $ | 24,047 | $ | (3,640 | ) |
For the six months ended February 28, 2017, the Fund’s quarterly average volume of derivatives is as follows:
Long Futures | Short Futures | Forward Foreign Currency | Forward Foreign Currency |
$25,530,860 | $(13,101,157) | $(18,263,528) | $18,243,640 |
15
Campbell Dynamic Trend Fund
Notes To Consolidated Financial Statements
February 28, 2017
(Unaudited) (Continued)
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).
Description | Gross Amount | Gross Amount Not Offset | Net | Gross Amount | Gross Amount Not Offset | Net | ||||||||||||||||||||||||||
Financial | Collateral | Financial | Collateral | |||||||||||||||||||||||||||||
Assets | Liabilities | |||||||||||||||||||||||||||||||
Forward Foreign Currency Contracts | $ | 66,792 | $ | (66,792 | ) | $ | — | $ | — | $ | 85,824 | $ | (66,792 | ) | $ | — | $ | 19,032 |
(1) | Net amount represents the net amount receivable from the counterparty in the event of default. |
(2) | Actual collateral pledged may be more than the amount shown. |
(3) | Net amount represents the net amount payable from the counterparty in the event of default. |
Use of Estimates — The preparation of consolidated financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the consolidated financial statements and the reported amounts of revenues and expenses during the 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. 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 Board deems fair or equitable. Expenses and fees, including investment advisory and administration fees, are accrued daily and taken into account for the purpose of determining the NAV of the Fund.
Dividends and Distributions to Shareholders — Dividends from net investment income and distributions from net realized capital gains, if any, are declared and paid at least annually to shareholders and recorded on the ex-dividend date. Income dividends and capital gain distributions are determined in accordance with U.S. federal income tax regulations, which may differ from U.S. GAAP.
16
Campbell Dynamic Trend Fund
Notes To Consolidated Financial Statements
February 28, 2017
(Unaudited) (Continued)
U.S. Tax Status — No provision is made for U.S. income taxes as it is the Fund’s intention to qualify or continue to qualify for and elect the tax treatment applicable to regulated investment companies under Subchapter M of the Internal Revenue Code of 1986, as amended, and make the requisite distributions to its shareholders which will be sufficient to relieve it from U.S. income and excise taxes.
For tax purposes, the Subsidiary is an exempted Cayman Islands investment company. The Subsidiary has received an undertaking from the Government of the Cayman Islands exempting it from all local income, profits and capital gains taxes. No such taxes are levied in the Cayman Islands at the present time. For U.S. income tax purposes, the Subsidiary is a Controlled Foreign Corporation and as such is not subject to U.S. income tax.
Foreign Currency Translation — Assets and liabilities initially expressed in non-U.S. currencies are translated into U.S. dollars based on the applicable exchange rates at the date of the last business day of the consolidated financial statement period. Purchases and sales of securities, interest income, dividends, variation margin received and expenses denominated in foreign currencies are translated into U.S. dollars at the exchange rates in effect on the transaction date.
The Fund does not separately report the effect of changes in foreign exchange rates from changes in market prices of securities held. Such changes are included with the net realized gain or loss and change in unrealized appreciation or depreciation on investments in the Consolidated Statement of Operations. Other foreign currency transactions resulting in realized and unrealized gain or loss are reported separately as net realized gain or loss and change in unrealized appreciation or depreciation on foreign currencies in the Consolidated Statement of Operations.
Currency Risk — Investment in foreign securities involves currency risk associated with securities that trade or are denominated in currencies other than the U.S. dollar and which may be affected by fluctuations in currency exchange rates. An increase in the strength of the U.S. dollar relative to a foreign currency may cause the U.S. dollar value of an investment in that country to decline. Foreign currencies also are subject to risks caused by inflation, interest rates, budget deficits and low savings rates, political factors and government controls. Forward foreign currency exchange contracts may limit potential gains from a favorable change in value between the U.S. dollar and foreign currencies. Unanticipated changes in currency pricing may result in poorer overall performance for the Fund than if it had not engaged in these contracts.
Commodity Sector Risk — Exposure to the commodities markets may subject the Fund to greater volatility than investments in traditional securities. The value of commodity-linked derivative instruments may be affected by changes in overall market movements, commodity index volatility, changes in interest rates, or factors affecting a particular industry or commodity, such as drought, floods, weather, livestock disease, embargoes, tariffs and international economic, political and regulatory developments. The prices of energy, industrial metals, precious metals, agriculture and livestock sector commodities may fluctuate widely due to factors such as changes in value, supply and demand and governmental regulatory policies. The commodity-linked securities in which the Fund invests may be issued by companies in the financial services sector, and events affecting the financial services sector may cause the Fund’s share value to fluctuate.
Foreign Securities Market Risk — A substantial portion of the trades of the Fund are expected to take place on markets or exchanges outside the United States. There is no limit to the amount of assets of the Fund that may be committed to trading on foreign markets. The risk of loss in trading foreign futures and options on futures contracts can be substantial. Participation in foreign futures and options on futures contracts involves the execution and clearing of trades on, or subject to the rules of, a foreign board of trade or exchange. Some of these foreign markets, in contrast to U.S. exchanges, are so-called principals’ markets in which performance is the responsibility only of the individual 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.
17
Campbell Dynamic Trend Fund
Notes To Consolidated Financial Statements
February 28, 2017
(Unaudited) (Continued)
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 (“forward contracts”) in the normal course of pursuing its investment objectives. These contracts are marked-to-market daily at the applicable translation rates. The Fund records realized gains or losses at the time the forward contract is closed. A forward contract is extinguished through a closing transaction or upon delivery of the currency or entering an 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.
Cash and Cash Equivalents — Cash and cash equivalents are valued at cost plus accrued interest, which approximates market value.
Other — In the normal course of business, the Fund may enter into contracts that provide general indemnifications. The Fund’s maximum exposure under these arrangements is dependent on claims that may be made against the Fund in the future, and, therefore, cannot be estimated; however, based on experience, the risk of material loss from such claims is considered remote.
18
Campbell Dynamic Trend Fund
Notes To Consolidated Financial Statements
February 28, 2017
(Unaudited) (Continued)
2. Investment Adviser and 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, 2017 and may not be terminated without the approval of the Board. 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 28, 2017, investment advisory fees accrued and waived were $47,348 and fees reimbursed by the Adviser were $136,678. At February 28, 2017, the amount of potential recovery by the Adviser was as follows:
Expiration | |||
August 31, 2018 | August 31, 2019 | August 31, 2020 | Total |
$159,376 | $265,599 | $136,678 | $561,653 |
BNY Mellon Investment Servicing (US) Inc. (“BNY Mellon”) served as administrator for the Fund through September 30, 2016. Effective October 1, 2016, U.S. Bancorp Fund Services, LLC (“USBFS”) serves as administrator for the Fund. For providing administrative and accounting services, USBFS is entitled to receive a monthly fee, subject to certain minimum and out of pocket expenses.
In addition, BNY Mellon served as the Fund’s transfer and dividend disbursing agent through November 18, 2016. Effective November 19, 2016, USBFS serves as the Fund’s transfer and dividend disbursing agent. For providing transfer agent services, USBFS is entitled to receive a monthly fee, subject to certain minimum and out of pocket expenses.
The Bank of New York Mellon provided certain custodial services to the Fund through November 18, 2016. Effective November 19, 2016, U.S. Bank, N.A. (the “Custodian”) provides certain custodial services to the Fund. The Custodian is entitled to receive a monthly fee, subject to certain minimum and out of pocket expenses.
Foreside Funds Distributors, LLC served as the principal underwriter and distributor of the Fund’s shares pursuant to a Distribution Agreement with RBB through November 18, 2016. Effective November 19, 2016, Quasar 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 period ended February 28, 2017 was $2,104. Employees of Vigilant Compliance, LLC serve as President, Chief Compliance Officer and Assistant Treasurer of the Company. Vigilant Compliance, LLC is compensated for the services provided to the Company. An employee of RBB serves as
19
Campbell Dynamic Trend Fund
Notes To Consolidated Financial Statements
February 28, 2017
(Unaudited) (Continued)
Treasurer and Secretary, and is compensated for services provided. Certain employees of USBFS serve as officers of the Company. They are not compensated by the Fund or the Company. For the period ended February 28, 2017, the Fund paid $1,587 in officer fees.
4. Purchases and Sales of Investment Securities
For the six months ended February 28, 2017, 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 28, 2017, the federal tax cost and aggregate gross unrealized appreciation and depreciation of securities held by the Fund were as follows*:
Federal Tax | Unrealized Appreciation | Unrealized (Depreciation) | Net |
$7,830,868 | $159 | $(382) | $(223) |
* | Because tax adjustments are calculated annually at the end of the Fund’s fiscal year, the above table does not reflect tax adjustments for the current fiscal year. |
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.
The following permanent differences as of August 31, 2016, primarily attributable to disallowed expenses, short-term realized gains being offset with current net operating loss, reclassification of capital gains and income received from wholly-owned controlled foreign corporation, reclassifications of short-term capital gain distributions and reclassifications for treatment of certain foreign currency transactions were reclassified among the following accounts:
UNDISTRIBUTED | ACCUMULATED | PAID-IN |
$45,511 | $109,655 | $(155,166) |
20
Campbell Dynamic Trend Fund
Notes To Consolidated Financial Statements
February 28, 2017
(Unaudited) (Concluded)
As of August 31, 2016, the components of distributable earnings on a tax basis were as follows:
Undistributed Ordinary | Undistributed Long-Term | Unrealized Appreciation (Depreciation) | Qualified | CAPITAL LOSS CARRYFORWARDS | Other |
$— | $— | $115,570 | $(67,899) | $(37,890) | $— |
The differences between the book and tax basis components of distributable earnings relate principally to the timing of recognition of income and gains of the Subsidiary for federal income tax purposes. Short-term and foreign currency gains are reported as ordinary income for federal income tax purposes.
The tax character of dividends and distributions paid during the year ended August 31, 2016 was as follows:
Ordinary | Long-Term | Total |
$22,182 | $106,778 | $128,960 |
Pursuant to federal income tax rules applicable to regulated investment companies, the Funds may elect to treat certain capital losses between November 1 and August 31 and late year ordinary losses ((i) ordinary losses between January 1 and August 31, and (ii) specified ordinary and currency losses between November 1 and August 31) as occurring on the first day of the following tax year. For the year ended August 31, 2016, any amount of losses elected within the tax return will not be recognized for federal income tax purposes until September 1, 2016.
For the year ended August 31, 2016, the Fund deferred to September 1, 2016, the following losses:
Late-Year | Post-October | Post-October |
$34,467 | $13,448 | $19,984 |
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, 2016, the Fund had capital loss carryforwards of $37,890 of which $5,629 are short-term losses and $32,261 are long-term losses.
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 significant events requiring recognition or disclosure in the consolidated financial statements.
21
Campbell Dynamic 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 twelve-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.
22
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Investment Adviser
Campbell & Company Investment Adviser LLC
2850 Quarry Lake Drive
Baltimore, Maryland 21209
Administrator and Transfer Agent
U.S. Bancorp Fund Services, LLC
P.O. Box 701
Milwaukee, WI 53201
Principal Underwriter
Quasar Distributors, LLC
777 East Wisconsin Avenue, Floor 6
Milwaukee, WI 53202
Custodian
U.S. Bank, N.A.
1555 North Rivercenter Drive, Suite 302
Milwaukee, WI 53212
Independent Registered Public Accounting Firm
Ernst & Young LLP
One Commerce Square
2005 Market Street, Suite 700
Philadelphia, PA 19103
Legal Counsel
Drinker Biddle & Reath LLP
One Logan Square, Ste. 2000
Philadelphia, PA 19103-6996
Campbell Multi-Asset Carry Fund
of
THE RBB FUND, INC.
Semi-Annual Report
February 28, 2017
(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 Multi-Asset Carry Fund
Semi-Annual Report
Performance Data
February 28, 2017
(Unaudited)
Total Returns for the Period Ended February 28, 2017 | ||
Six | Since | |
Campbell Multi-Asset Carry Fund, Institutional Shares | -8.92% | -3.30% |
Barclay BTOP50 Index*** | -5.05% | -5.47% |
* | Not annualized. |
** | Inception date of the Fund is December 21, 2015. |
*** | 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, 2016, is 3.29% and the Fund’s net operating expense ratio is 1.25%. 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, 2017 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 be 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 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 Multi-Asset 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 six-month period from September 1, 2016 through February 28, 2017, and held for the entire period.
ACTUAL EXPENSES
The first line of the accompanying table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
The second line of the accompanying table provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare these 5% hypothetical examples with the 5% hypothetical examples that appear in the shareholder reports of other funds.
Please note that the expenses shown in the accompanying table are meant to highlight your ongoing costs only and do not reflect any transactional costs. Therefore, the second line of the accompanying table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
Institutional Shares | |||
Beginning | Ending | Expenses Paid | |
Actual | $1,000.00 | $ 910.80 | $6.11 |
Hypothetical (5% return before expenses) | 1,000.00 | 1,018.40 | 6.46 |
* | Expenses are equal to the Fund’s annualized six-month expense ratio of 1.29% 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 recent fiscal half year (181) then divided by 365 days to reflect the one-half year period. The Fund’s ending account value on the first line in the table is based on the actual six-month total investment return for the Institutional Shares of the Fund of (8.92%). |
2
Campbell Multi-Asset Carry Fund
Consolidated Portfolio Holdings Summary Table
February 28, 2017
(Unaudited)
The following table presents a consolidated summary of the portfolio holdings of the Fund at February 28, 2017.
SECURITY TYPE/SECTOR CLASSIFICATION | % of Net | Value | ||||||
SHORT-TERM INVESTMENTS: | ||||||||
U.S. Treasury Obligations | 73.3 | % | $ | 10,588,735 | ||||
OTHER ASSETS IN EXCESS OF LIABILITIES (including futures and forward foreign currency contracts) | 26.7 | % | 3,852,584 | |||||
NET ASSETS | 100.0 | % | $ | 14,441,319 |
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 Multi-Asset Carry Fund
Consolidated Portfolio of Investments
February 28, 2017
(Unaudited)
Coupon* | Maturity | Par | Value | ||||||||||
Short-Term Investments — 73.3% | |||||||||||||
U.S. Treasury Obligations — 73.3% | |||||||||||||
United States Treasury Bill | 0.312 | % | 03/23/17 | $ | 2,800,000 | $ | 2,799,274 | ||||||
United States Treasury Bill | 0.432 | % | 04/13/17 | 3,000,000 | 2,998,468 | ||||||||
United States Treasury Bill | 0.563 | % | 05/25/17 | 1,625,000 | 1,623,073 | ||||||||
United States Treasury Bill | 0.476 | % | 06/29/17 | 375,000 | 374,363 | ||||||||
United States Treasury Bill | 0.553 | % | 07/20/17 | 2,800,000 | 2,793,557 | ||||||||
10,588,735 | |||||||||||||
TOTAL SHORT-TERM INVESTMENTS | |||||||||||||
(Cost $10,588,963) | 10,588,735 | ||||||||||||
Total Investments — 73.3% | |||||||||||||
(Cost $10,588,963) | 10,588,735 | ||||||||||||
OTHER ASSETS IN EXCESS OF LIABILITIES — 26.7% | 3,852,584 | ||||||||||||
NET ASSETS — 100.0% | $ | 14,441,319 |
* | 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 Multi-Asset Carry Fund
Consolidated Portfolio of Investments (Continued)
February 28, 2017
(Unaudited)
Futures contracts outstanding as of February 28, 2017 were as follows:
Long Contracts | Expiration Date | Number of Contracts | Notional | Unrealized Appreciation (Depreciation) | |||||||||
3-Month Euro Euribor | Dec-17 | 144 | $ | 37,951,058 | $ | 2,218 | |||||||
90-DAY Euro | Mar-18 | 182 | 44,744,831 | (4,681 | ) | ||||||||
90-DAY Sterling | Dec-17 | 119 | 18,303,772 | 20,063 | |||||||||
Amsterdam Index | Mar-17 | 12 | 1,259,088 | 1,257 | |||||||||
Australian 10-Year Bond | Mar-17 | 25 | 2,458,344 | (189 | ) | ||||||||
Australian 3-Year Bond | Mar-17 | 175 | 14,963,831 | 12,775 | |||||||||
Bank Acceptance | Mar-17 | 50 | 9,268,032 | 215 | |||||||||
Brent Crude | Mar-17 | 5 | 282,949 | (398 | ) | ||||||||
CAC40 10 Euro | Mar-17 | 19 | 988,789 | (10,261 | ) | ||||||||
Canadian 10-Year Bond | Jun-17 | 12 | 1,246,933 | 7,656 | |||||||||
Cotton No.2 | May-17 | 17 | 647,496 | 1,394 | |||||||||
Euro Stoxx 50 | Mar-17 | 25 | 857,193 | 21,106 | |||||||||
Euro-Bobl | Mar-17 | 2 | 286,385 | 3,589 | |||||||||
Euro-Bund | Mar-17 | 5 | 869,866 | 17,655 | |||||||||
FTSE 100 Index | Mar-17 | 15 | 1,325,946 | 36,112 | |||||||||
Gasoline RBOB | Mar-17 | 10 | 743,886 | (17,538 | ) | ||||||||
Hang Seng Index | Mar-17 | 2 | 311,155 | (5,198 | ) | ||||||||
IBEX 35 Index | Mar-17 | 5 | 506,781 | 174 | |||||||||
JPN 10-Year Bond (Osaka Securities Exchange) | Mar-17 | 8 | 10,492,309 | 46,786 | |||||||||
London Metals Exchange Aluminum | Mar-17 | 51 | 2,304,861 | 144,733 | |||||||||
London Metals Exchange Nickel | Mar-17 | 2 | 128,802 | 2,448 | |||||||||
London Metals Exchange Zinc | Mar-17 | 6 | 418,818 | 4,632 | |||||||||
MSCI Taiwan Index | Mar-17 | 23 | 832,545 | (6,845 | ) | ||||||||
Nikkie 225 (Osaka Securities Exchange) | Mar-17 | 3 | 503,609 | 6,306 | |||||||||
OMX Stockholm 30 Index | Mar-17 | 101 | 1,766,255 | 864 | |||||||||
S&P/TSX 60 Index | Mar-17 | 6 | 813,419 | (2,075 | ) | ||||||||
Soybean | May-17 | 18 | 954,514 | (22,339 | ) | ||||||||
Soybean Meal | May-17 | 9 | 305,936 | (3,176 | ) | ||||||||
SPI 200 Index | Mar-17 | 11 | 1,159,882 | 20,260 | |||||||||
Sugar No. 11 (World) | Apr-17 | 17 | 391,491 | (25,352 | ) | ||||||||
U.S. Treasury 10-Year Notes | Jun-17 | 3 | 373,411 | 323 | |||||||||
U.S. Treasury 2-Year Notes | Jun-17 | 125 | 27,038,201 | 12,580 | |||||||||
U.S. Treasury 5-Year Notes | Jun-17 | 24 | 2,821,910 | 2,964 | |||||||||
$ | 187,322,298 | $ | 268,058 |
Short Contracts | Expiration Date | Number of Contracts | Notional | Unrealized Appreciation (Depreciation) | |||||||||
CBOE Volatility Index | Mar-17 | 44 | $ | (577,631 | ) | $ | (17,811 | ) | |||||
Coffee | May-17 | 21 | (1,152,082 | ) | 28,981 | ||||||||
Copper | May-17 | 3 | (207,270 | ) | 3,705 | ||||||||
Corn | May-17 | 57 | (1,072,500 | ) | 6,987 | ||||||||
Euro-Schatz | Mar-17 | 2 | (233,849 | ) | (786 | ) | |||||||
Gold 100 Oz | Apr-17 | 12 | (1,468,919 | ) | (35,819 | ) | |||||||
Kansas City Hard Red Winter Wheat | May-17 | 36 | (834,405 | ) | (105 | ) | |||||||
London Metals Exchange Aluminum | Mar-17 | 52 | (2,300,845 | ) | (196,780 | ) | |||||||
London Metals Exchange Nickel | Mar-17 | 3 | (192,202 | ) | (4,673 | ) | |||||||
London Metals Exchange Zinc | Mar-17 | 5 | (340,217 | ) | (12,658 | ) |
The accompanying notes are an integral part of the consolidated financial statements.
5
Campbell Multi-Asset Carry Fund
Consolidated Portfolio of Investments (Concluded)
February 28, 2017
(Unaudited)
Short Contracts | Expiration Date | Number of Contracts | Notional | Unrealized Appreciation (Depreciation) | |||||||||
Nasdaq 100 E-Mini | Mar-17 | 36 | (3,672,295 | ) | (167,075 | ) | |||||||
Natural Gas | Mar-17 | 1 | (27,622 | ) | (122 | ) | |||||||
NY Harbor Ultra-Low Sulfur Diesel | Mar-17 | 13 | (907,891 | ) | 12,443 | ||||||||
Silver | May-17 | 13 | (1,170,451 | ) | (30,096 | ) | |||||||
Soybean Oil | May-17 | 39 | (778,696 | ) | (15,490 | ) | |||||||
Wheat | May-17 | 46 | (1,012,132 | ) | (8,757 | ) | |||||||
WTI Crude | Mar-17 | 4 | (216,250 | ) | 190 | ||||||||
$ | (16,165,257 | ) | $ | (437,866 | ) | ||||||||
Total Futures Contracts | $ | 171,157,041 | $ | (169,808 | ) |
Forward foreign currency contracts outstanding as of February 28, 2017 were as follows:
Currency Purchased | Currency Sold | Expiration | Counterparty | Unrealized Appreciation (Depreciation) | |||||||||||
AUD | 4,100,000 | USD | 3,029,229 | Mar 15 2017 | UBS | $ | 113,086 | ||||||||
CAD | 2,600,000 | USD | 1,971,657 | Mar 15 2017 | UBS | (13,918 | ) | ||||||||
EUR | 2,700,000 | USD | 2,863,963 | Mar 15 2017 | UBS | (1,639 | ) | ||||||||
JPY | 100,100,000 | USD | 876,367 | Mar 15 2017 | UBS | 15,158 | |||||||||
NOK | 3,300,000 | USD | 393,218 | Mar 15 2017 | UBS | 459 | |||||||||
NZD | 2,700,000 | USD | 1,901,735 | Mar 15 2017 | UBS | 42,138 | |||||||||
SEK | 12,400,000 | USD | 1,390,029 | Mar 15 2017 | UBS | (15,244 | ) | ||||||||
USD | 826,195 | AUD | 1,100,000 | Mar 15 2017 | UBS | (16,865 | ) | ||||||||
USD | 3,605,121 | CAD | 4,800,000 | Mar 15 2017 | UBS | (9,166 | ) | ||||||||
USD | 199,263 | CHF | 200,000 | Mar 15 2017 | UBS | (47 | ) | ||||||||
USD | 4,703,337 | EUR | 4,400,000 | Mar 15 2017 | UBS | 38,809 | |||||||||
USD | 2,454,138 | JPY | 280,600,000 | Mar 15 2017 | UBS | (44,983 | ) | ||||||||
USD | 872,773 | NOK | 7,400,000 | Mar 15 2017 | UBS | (10,019 | ) | ||||||||
USD | 919,945 | NZD | 1,300,000 | Mar 15 2017 | UBS | (15,994 | ) | ||||||||
USD | 4,223,087 | SEK | 38,300,000 | Mar 15 2017 | UBS | (23,225 | ) | ||||||||
Total Forward Foreign Currency Contracts | $ | 58,550 |
AUD | Australian Dollar |
CAD | Canadian Dollar |
CHF | Swiss Franc |
EUR | Euro |
JPY | Japanese Yen |
NOK | Norwegian Krone |
NZD | New Zealand Dollar |
SEK | Swedish Krona |
USD | United States Dollar |
The accompanying notes are an integral part of the consolidated financial statements.
6
Campbell Multi-Asset Carry Fund
Consolidated Statement of Assets and Liabilities
February 28, 2017
(Unaudited)
ASSETS | ||||
Investments, at value (cost $10,588,963) | $ | 10,588,735 | ||
Cash | 1,047,792 | |||
Deposits with broker for forward foreign currency contracts and futures contracts | 2,954,745 | |||
Unrealized appreciation on forward foreign currency contracts | 209,650 | |||
Prepaid expenses and other assets | 28,324 | |||
Total Assets | 14,829,246 | |||
LIABILITIES | ||||
Payables for: | ||||
Advisory fees | 4,179 | |||
Administration and accounting services fees | 10,135 | |||
Custodian fees | 404 | |||
Transfer agent fees | 6,440 | |||
Variation margin | 169,808 | |||
Unrealized depreciation on forward foreign currency contracts | 151,100 | |||
Other accrued expenses and liabilities | 45,861 | |||
Total Liabilities | 387,927 | |||
Net Assets | $ | 14,441,319 | ||
NET ASSETS CONSIST OF: | ||||
Capital stock, $0.001 par value | $ | 1,700 | ||
Paid-in capital | 15,883,588 | |||
Accumulated net investment income/(loss) | (218,034 | ) | ||
Accumulated net realized gain/(loss) from futures contracts, foreign currency transactions and forward foreign currency contracts | (1,113,666 | ) | ||
Net unrealized appreciation/(depreciation) on investments, futures contracts, foreign currency translations and forward foreign currency contracts | (112,269 | ) | ||
Net Assets | $ | 14,441,319 | ||
INSTITUTIONAL SHARES | ||||
Net assets | $ | 14,441,319 | ||
Shares outstanding ($0.001 par value, 100,000,000 shares authorized) | 1,700,415 | |||
Net asset value, offering and redemption price per share | $ | 8.49 |
The accompanying notes are an integral part of the consolidated financial statements.
7
Campbell Multi-Asset Carry Fund
Consolidated Statement of Operations
For The Six Months Ended
February 28, 2017
(Unaudited)
INVESTMENT INCOME | ||||
Interest | $ | 21,307 | ||
Total investment income | 21,307 | |||
EXPENSES | ||||
Advisory fees (Note 2) | 77,612 | |||
Administration and accounting fees (Note 2) | 30,800 | |||
Audit and tax service fees | 19,990 | |||
Transfer agent fees (Note 2) | 11,134 | |||
Legal fees | 6,099 | |||
Printing and shareholder reporting fees | 5,808 | |||
Directors and officers fees | 5,668 | |||
Registration and filing fees | 3,126 | |||
Custodian fees (Note 2) | 3,204 | |||
Other expenses | 8,730 | |||
Total expenses before waivers and reimbursements | 172,171 | |||
Less: waivers and reimbursements (Note 2) | (77,110 | ) | ||
Net expenses after waivers and reimbursements | 95,061 | |||
Net investment income/(loss) | (73,754 | ) | ||
NET REALIZED AND UNREALIZED GAIN/(LOSS) FROM INVESTMENTS | ||||
Net realized gain/(loss) from: | ||||
Futures contracts | (1,301,092 | ) | ||
Foreign currency transactions | (1,568 | ) | ||
Forward foreign currency contracts | 376,474 | |||
Net change in unrealized appreciation/(depreciation) on: | ||||
Investments | (228 | ) | ||
Futures contracts | (322,888 | ) | ||
Foreign currency translation | 2,143 | |||
Forward foreign currency contracts | (85,729 | ) | ||
Net realized and unrealized gain/(loss) from investments | (1,332,888 | ) | ||
NET INCREASE/(DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ | (1,406,642 | ) |
The accompanying notes are an integral part of the consolidated financial statements.
8
Campbell Multi-Asset Carry Fund
Consolidated Statements of Changes in Net Assets
For the | For the | |||||||
INCREASE/(DECREASE) IN NET ASSET FROM OPERATIONS: | ||||||||
Net investment income/(loss) | $ | (73,754 | ) | $ | (115,237 | ) | ||
Net realized gain/(loss) from futures contracts, foreign currency transactions and forward foreign currency contracts | (926,186 | ) | 643,765 | |||||
Net change in unrealized appreciation/(depreciation) on investments, futures contracts, foreign currency translation and forward foreign currency contracts | (406,702 | ) | 294,433 | |||||
Net increase/(decrease) in net assets resulting from operations | (1,406,642 | ) | 822,961 | |||||
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS FROM: | ||||||||
Net investment income | (68,163 | ) | — | |||||
Net realized gains | (1,658,102 | ) | — | |||||
Net decrease in net assets from dividends and distributions to shareholders | (1,726,265 | ) | — | |||||
CAPITAL SHARE TRANSACTIONS: | ||||||||
Institutional Shares | ||||||||
Proceeds from reinvestment of distributions | 1,726,265 | 15,025,000 | ||||||
Total Institutional Shares | 1,726,265 | 15,025,000 | ||||||
Net increase/(decrease) in net assets from capital share transactions | 1,726,265 | 15,025,000 | ||||||
Total increase/(decrease) in net assets | (1,406,642 | ) | 15,847,961 | |||||
NET ASSETS: | ||||||||
Beginning of period | 15,847,961 | — | ||||||
End of period | $ | 14,441,319 | $ | 15,847,961 | ||||
Accumulated net investment income/(loss), end of period | $ | (218,034 | ) | $ | (76,117 | ) | ||
INCREASE/(DECREASE) IN SHARES OUTSTANDING DERIVED FROM SHARE TRANSACTIONS: | ||||||||
Institutional Shares | ||||||||
Shares reinvested | 197,966 | 1,502,449 | ||||||
Total Institutional Shares | 197,966 | 1,502,449 | ||||||
Net increase/(decrease) in shares outstanding derived from share transactions | 197,966 | 1,502,449 |
(1) | The Fund commenced investment operations on December 21, 2015. |
The accompanying notes are an integral part of the consolidated financial statements.
9
Campbell Multi-Asset 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 2017 (Unaudited) | For the 2016(1) | |||||||
Per Share Operating Performance | ||||||||
Net asset value, beginning of period | $ | 10.55 | $ | 10.00 | ||||
Net investment income/(loss)(2) | (0.05 | ) | (0.08 | ) | ||||
Net realized and unrealized gain/(loss) from investments | (0.82 | ) | 0.63 | |||||
Net increase/(decrease) in net assets resulting from operations | (0.87 | ) | 0.55 | |||||
Dividends and distributions to shareholders from: | ||||||||
Net investment income | (0.05 | ) | — | |||||
Net realized gains | (1.14 | ) | — | |||||
Total distributions | (1.19 | ) | — | |||||
Net asset value, end of period | $ | 8.49 | $ | 10.55 | ||||
Total investment return(3) | (8.92 | )% | 5.50 | % | ||||
Ratios/Supplemental Data | ||||||||
Net assets, end of period (000’s omitted) | $ | 14,441 | $ | 15,848 | ||||
Ratio of expenses to average net assets with waivers and reimbursements | 1.29 | %(4)(5) | 1.25 | %(5) | ||||
Ratio of expenses to average net assets without waivers and reimbursements | 2.33 | %(5) | 3.29 | %(5) | ||||
Ratio of net investment income/(loss) to average net assets | (1.00 | )%(5) | (1.09 | )%(5) | ||||
Portfolio turnover rate | 0.00 | %(6) | 0.00 | %(6) |
(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) | Expense ratio includes interest expense. Excluding such interest expense, the ratio of expenses to average net assets would be 1.25%. |
(5) | Annualized. |
(6) | Not annualized. |
The accompanying notes are an integral part of the consolidated financial statements.
10
Campbell Multi-Asset Carry Fund
Notes To Consolidated Financial Statements
February 28, 2017
(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-six active investment portfolios, including the Campbell Multi-Asset Carry Fund (the “Fund”) (formerly the Campbell Core Carry 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 84.423 billion shares are currently classified into one hundred and seventy-one 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 Board Accounting Standards Codification Topic 946.
Consolidation of 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 Multi-Asset 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 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 28, 2017, the net assets of the Subsidiary were $949,397, which represented 6.6% 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 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 (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 methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
11
Campbell Multi-Asset Carry Fund
Notes To Consolidated Financial Statements
February 28, 2017
(Unaudited) (Continued)
The following is a summary of the inputs used, as of February 28, 2017, in valuing the Fund’s investments carried at fair value:
| Total Fair | Level 1 | Level 2 | Level 3 | ||||||||||||
Short-Term Investments | $ | 10,588,735 | $ | — | $ | 10,588,735 | $ | — | ||||||||
Commodity Contracts | ||||||||||||||||
Futures | 220,721 | 220,721 | — | — | ||||||||||||
Equity Contracts | ||||||||||||||||
Futures | 86,079 | 86,079 | — | — | ||||||||||||
Interest Rate Contracts | ||||||||||||||||
Futures | 111,616 | 111,616 | — | — | ||||||||||||
Foreign Exchange Contracts | ||||||||||||||||
Forward Foreign Currency Contracts | 209,650 | — | 209,650 | — | ||||||||||||
Total Assets | $ | 11,216,801 | $ | 418,416 | $ | 10,798,385 | $ | — |
| Total Fair | Level 1 | Level 2 | Level 3 | ||||||||||||
Commodity Contracts | ||||||||||||||||
Futures | $ | (377,984 | ) | $ | (377,984 | ) | $ | — | $ | — | ||||||
Equity Contracts | ||||||||||||||||
Futures | (209,265 | ) | (209,265 | ) | — | — | ||||||||||
Interest Rate Contracts | ||||||||||||||||
Futures | (975 | ) | (975 | ) | — | — | ||||||||||
Foreign Exchange Contracts | ||||||||||||||||
Forward Foreign Currency Contracts | (151,100 | ) | — | (151,100 | ) | — | ||||||||||
Total Liabilities | $ | (739,324 | ) | $ | (588,224 | ) | $ | (151,100 | ) | $ | — |
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
12
Campbell Multi-Asset Carry Fund
Notes To Consolidated Financial Statements
February 28, 2017
(Unaudited) (Continued)
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 28, 2017, the Fund had no transfers between Levels 1, 2 and 3.
Disclosures About Derivative Instruments and Hedging Activities — Derivative instruments are defined as financial instruments whose value and performance are based on the value and performance of another security or financial instrument. Derivative instruments that the Fund used during the period include forward foreign currency contracts and futures contracts.
During the six months ended February 28, 2017, 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 28, 2017.
The following table lists the fair values of the Fund’s derivative holdings as of February 28, 2017 grouped by contract type and risk exposure category.
Derivative Type | Consolidated Statement | Equity | Interest | Foreign | Commodity | Total | |||||||||||||||
Asset Derivatives | |||||||||||||||||||||
Forward Contracts | Unrealized appreciation on | $ | — | $ | — | $ | 209,650 | $ | — | $ | 209,650 | ||||||||||
Futures Contracts (a) | Receivable: | 86,079 | 111,616 | — | 220,721 | 418,416 | |||||||||||||||
Total Value - Assets |
| $ | 86,079 | $ | 111,616 | $ | 209,650 | $ | 220,721 | $ | 628,066 |
Liability Derivatives | |||||||||||||||||||||
Forward Contracts | Unrealized depreciation on | $ | — | $ | — | $ | (151,100 | ) | $ | — | $ | (151,100 | ) | ||||||||
Futures Contracts (a) | Receivable: Variation Margin | (209,265 | ) | (975 | ) | — | (377,984 | ) | (588,224 | ) | |||||||||||
Total Value - Liabilities |
| $ | (209,265 | ) | $ | (975 | ) | $ | (151,100 | ) | $ | (377,984 | ) | $ | (739,324 | ) |
(a) | This amount represents the cumulative appreciation/(depreciation) of futures contracts as reported in the Consolidated Portfolio of Investments. |
13
Campbell Multi-Asset Carry Fund
Notes To Consolidated Financial Statements
February 28, 2017
(Unaudited) (Continued)
The following table lists the amounts of realized gains or (losses) included in net increase/(decrease) in net assets resulting from operations for the six months ended February 28, 2017, grouped by contract type and risk exposure.
Derivative Type | Consolidated Statement of Operations Location | Equity | Interest | Foreign | Commodity | Total | |||||||||||||||
Realized Gain (Loss) | |||||||||||||||||||||
Forward Contracts | Net realized gain | $ | — | $ | — | $ | 376,474 | $ | — | $ | 376,474 | ||||||||||
Futures Contracts (a) | Net realized gain | 922,467 | (53,297 | ) | — | (2,170,262 | ) | (1,301,092 | ) | ||||||||||||
Total Realized |
| $ | 922,467 | $ | (53,297 | ) | $ | 376,474 | $ | (2,170,262 | ) | $ | (924,618 | ) |
The following table lists the amounts of change in unrealized appreciation/(depreciation) included in net increase/(decrease) in net assets resulting from operations for the six months ended February 28, 2017, grouped by contract type and risk exposure.
Derivative Type | Consolidated Statement of Operations Location | Equity | Interest | Foreign | Commodity | Total | |||||||||||||||
Change in unrealized appreciation (depreciation) | |||||||||||||||||||||
Forward Contracts | Net change in unrealized Forward Foreign Currency Contracts | $ | — | $ | — | $ | (85,729 | ) | $ | — | $ | (85,729 | ) | ||||||||
Futures Contracts (a) | Net change in unrealized from Futures Contracts | (307,978 | ) | 125,139 | — | (140,049 | ) | (322,888 | ) | ||||||||||||
Total change in |
| $ | (307,978 | ) | $ | 125,139 | $ | (85,729 | ) | $ | (140,049 | ) | $ | (408,617 | ) |
For the six months ended February 28, 2017, the Fund’s quarterly average volume of derivatives is as follows:
Long Futures Cost | Short Futures | Forward Foreign Currency | Forward Foreign Currency |
$158,542,031 | $(38,501,558) | $(26,903,120) | $27,055,734 |
14
Campbell Multi-Asset Carry Fund
Notes To Consolidated Financial Statements
February 28, 2017
(Unaudited) (Continued)
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 Offset | Gross Amount Not Offset | |||||||||||||||||||||||||||||||
Description | Gross Amount in the | Financial | Collateral | Net | Gross Amount in the | Financial | Collateral | Net | ||||||||||||||||||||||||
Assets | Liabilities | |||||||||||||||||||||||||||||||
Forward Foreign Currency Contracts | $ | 209,650 | $ | (151,100 | ) | $ | — | $ | 58,550 | $ | 151,100 | $ | (151,100 | ) | $ | — | $ | — |
(1) | Net amount represents the net amount receivable from the counterparty in the event of default. |
(2) | Actual collateral pledged may be more than the amount shown. |
(3) | Net amount represents the net amount payable from the counterparty in the event of default. |
Use of Estimates — The preparation of consolidated financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the consolidated financial statements and the reported amounts of revenues and expenses during the 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. 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 Board deems fair or equitable. Expenses and fees, including investment advisory and administration fees, are accrued daily and taken into account for the purpose of determining the NAV of the Fund.
Dividends and Distributions to Shareholders — Dividends from net investment income and distributions from net realized capital gains, if any, are declared and paid at least annually to shareholders and recorded on the ex-dividend date. Income dividends and capital gain distributions are determined in accordance with U.S. federal income tax regulations, which may differ from U.S. GAAP.
U.s. Tax Status — No provision is made for U.S. income taxes as it is the Fund’s intention to qualify or continue to qualify for and elect the tax treatment applicable to regulated investment companies under Subchapter M of the Internal Revenue Code of 1986, as amended, and make the requisite distributions to its shareholders which will be sufficient to relieve it from U.S. income and excise taxes.
15
Campbell Multi-Asset Carry Fund
Notes To Consolidated Financial Statements
February 28, 2017
(Unaudited) (Continued)
For tax purposes, the Subsidiary is an exempted Cayman Islands investment company. The Subsidiary has received an undertaking from the Government of the Cayman Islands exempting it from all local income, profits and capital gains taxes. No such taxes are levied in the Cayman Islands at the present time. For U.S. income tax purposes, the Subsidiary is a Controlled Foreign Corporation and as such is not subject to U.S. income tax.
Foreign Currency Translation — Assets and liabilities initially expressed in non-U.S. currencies are translated into U.S. dollars based on the applicable exchange rates at the date of the last business day of the consolidated financial statement period. Purchases and sales of securities, interest income, dividends, variation margin received and expenses denominated in foreign currencies are translated into U.S. dollars at the exchange rates in effect on the transaction date.
The Fund does not separately report the effect of changes in foreign exchange rates from changes in market prices of securities held. Such changes are included with the net realized gain or loss and change in unrealized appreciation or depreciation on investments in the Consolidated Statement of Operations. Other foreign currency transactions resulting in realized and unrealized gain or loss are reported separately as net realized gain or loss and change in unrealized appreciation or depreciation on foreign currencies in the Consolidated Statement of Operations.
Currency Risk — Investment in foreign securities involves currency risk associated with securities that trade or are denominated in currencies other than the U.S. dollar and which may be affected by fluctuations in currency exchange rates. An increase in the strength of the U.S. dollar relative to a foreign currency may cause the U.S. dollar value of an investment in that country to decline. Foreign currencies also are subject to risks caused by inflation, interest rates, budget deficits and low savings rates, political factors and government controls. Forward foreign currency exchange contracts may limit potential gains from a favorable change in value between the U.S. dollar and foreign currencies. Unanticipated changes in currency pricing may result in poorer overall performance for the Fund than if it had not engaged in these contracts.
Commodity Sector Risk — Exposure to the commodities markets may subject the Fund to greater volatility than investments in traditional securities. The value of commodity-linked derivative instruments may be affected by changes in overall market movements, commodity index volatility, changes in interest rates, or factors affecting a particular industry or commodity, such as drought, floods, weather, livestock disease, embargoes, tariffs and international economic, political and regulatory developments. The prices of energy, industrial metals, precious metals, agriculture and livestock sector commodities may fluctuate widely due to factors such as changes in value, supply and demand and governmental regulatory policies. The commodity-linked securities in which the Fund invests may be issued by companies in the financial services sector, and events affecting the financial services sector may cause the Fund’s share value to fluctuate.
Foreign Securities Market Risk — A substantial portion of the trades of the Fund are expected to take place on markets or exchanges outside the United States. There is no limit to the amount of assets of the Fund that may be committed to trading on foreign markets. The risk of loss in trading foreign futures and options on futures contracts can be substantial. Participation in foreign futures and options on futures contracts involves the execution and clearing of trades on, or subject to the rules of, a foreign board of trade or exchange. Some of these foreign markets, in contrast to U.S. exchanges, are so-called principals’ markets in which performance is the responsibility only of the individual 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.
16
Campbell Multi-Asset Carry Fund
Notes To Consolidated Financial Statements
February 28, 2017
(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.
Futures Contracts — The Fund uses futures contracts in the normal course of pursuing its investment objective. Upon entering into a futures contract, the Fund must deposit initial margin in addition to segregating cash or liquid assets sufficient to meet its obligation to purchase or provide securities, or to pay the amount owed at the expiration of an index-based futures contract. Such liquid assets may consist of cash, cash equivalents, liquid debt or equity securities or other acceptable assets. Pursuant to the futures contract, the Fund agrees to receive from, or pay to the broker, an amount of cash equal to the daily fluctuation in value of the contract. Such a receipt of payment is known as “variation margin” and is recorded by the Fund as an unrealized gain or loss. When the contract is closed, the Fund records a realized gain or loss equal to the difference between the proceeds from (or cost of) the closing transactions and the Fund’s basis in the contract. Futures contracts have market risks, including the risk that the change in the value of the contract may not correlate with changes in the value of the underlying securities. Use of long futures contracts subjects the Fund to risk of loss in excess of the amount shown on the Consolidated Statement of Assets and Liabilities, up to the notional value of the futures contract. Use of short futures contracts subjects the Fund to unlimited risk of loss.
Forward Foreign Currency Contracts — The Fund uses forward foreign currency contracts (“forward contracts”) in the normal course of pursuing its investment objectives. These contracts are marked-to-market daily at the applicable translation rates. The Fund records realized gains or losses at the time the forward contract is closed. A forward contract is extinguished through a closing transaction or upon delivery of the currency or entering an 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.
Cash and Cash Equivalents — Cash and cash equivalents are valued at cost plus accrued interest, which approximates market value.
Other — In the normal course of business, the Fund may enter into contracts that provide general indemnifications. The Fund’s maximum exposure under these arrangements is dependent on claims that may be made against the Fund in the future, and, therefore, cannot be estimated; however, based on experience, the risk of material loss from such claims is considered remote.
2. Investment Adviser and 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, 2017 and may not be terminated without the approval of the Board. 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.
17
Campbell Multi-Asset Carry Fund
Notes To Consolidated Financial Statements
February 28, 2017
(Unaudited) (Continued)
For the six months ended February 28, 2017, investment advisory fees accrued and waived were $77,612 and $77,110, respectively. At February 28, 2017, the amount of potential recovery by the Adviser was as follows:
Expiration | ||
August 31, 2019 | August 31, 2020 | Total |
$166,493 | $77,110 | $243,603 |
BNY Mellon Investment Servicing (US) Inc. (“BNY Mellon”) served as administrator for the Fund through September 30, 2016. Effective October 1, 2016, U.S. Bancorp Fund Services, LLC (“USBFS”) serves as administrator for the Fund. For providing administrative and accounting services, USBFS is entitled to receive a monthly fee, subject to certain minimum and out of pocket expenses.
In addition, BNY Mellon served as the Fund’s transfer and dividend disbursing agent through November 18, 2016. Effective November 19, 2016, USBFS serves as the Fund’s transfer and dividend disbursing agent. For providing transfer agent services, USBFS is entitled to receive a monthly fee, subject to certain minimum and out of pocket expenses.
The Bank of New York Mellon provided certain custodial services to the Fund through November 18, 2016. Effective November 19, 2016, U.S. Bank, N.A. (the “Custodian”) provides certain custodial services to the Fund. The Custodian is entitled to receive a monthly fee, subject to certain minimum and out of pocket expenses.
Foreside Funds Distributors, LLC served as the principal underwriter and distributor of the Fund’s shares pursuant to a Distribution Agreement with RBB through November 18, 2016. Effective November 19, 2016, Quasar 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 period ended February 28, 2017 was $3,231. Employees of Vigilant Compliance, LLC serve as President, Chief Compliance Officer and Assistant Treasurer of the Company. Vigilant Compliance, LLC is compensated for the services provided to the Company. An employee of RBB serves as Treasurer and Secretary, and is compensated for services provided. Certain employees of USBFS serve as officers of the Company. They are not compensated by the Fund or the Company. For the period ended February 28, 2017, the Fund paid $2,437 in officer fees.
4. Purchases and Sales of Investment Securities
For the six months ended February 28, 2017, 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.
18
Campbell Multi-Asset Carry Fund
Notes To Consolidated Financial Statements
February 28, 2017
(Unaudited) (Concluded)
As of February 28, 2017, the federal tax cost and aggregate gross unrealized appreciation and depreciation of securities held by the Fund were as follows*:
Federal Tax | Unrealized Appreciation | Unrealized (Depreciation) | Net Unrealized Appreciation/ (Depreciation) |
$10,588,963 | $224 | $(452) | $(228) |
* | Because tax adjustments are calculated annually at the end of the Fund’s fiscal year, the above table does not reflect tax adjustments for the current fiscal year. |
The following permanent differences as of August 31, 2016, primarily attributable to short-term realized gains being offset with current net operating loss, reclassification of capital gains and income received from wholly-owned controlled foreign corporation, reclassifications of short-term capital gain distributions and reclassifications for treatment of certain foreign currency transactions were reclassified among the following accounts:
Undistributed | Accumulated | Paid-In |
$39,120 | $826,857 | $(865,977) |
As of August 31, 2016, the components of distributable earnings on a tax basis were as follows:
Undistributed Ordinary Income | Undistributed Long-Term Gains | Unrealized Appreciation/ (Depreciation) | Qualified | Other |
$837,011 | $678,777 | $173,150 | $— | $— |
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, 2016.
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, 2016, 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 significant events requiring recognition or disclosure in the consolidated financial statements.
19
Campbell Multi-Asset 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 twelve-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 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.
20
Investment Adviser
Campbell & Company Investment Adviser LLC
2850 Quarry Lake Drive
Baltimore, Maryland 21209
Administrator and Transfer Agent
U.S. Bancorp Fund Services, LLC
P.O. Box 701
Milwaukee, WI 53201
Principal Underwriter
Quasar Distributors, LLC
777 East Wisconsin Avenue, Floor 6
Milwaukee, WI 53202
Custodian
U.S. Bank, N.A.
1555 North Rivercenter Drive, Suite 302
Milwaukee, WI 53212
Independent Registered Public Accounting Firm
Ernst & Young LLP
One Commerce Square
2005 Market Street, Suite 700
Philadelphia, PA 19103
Legal Counsel
Drinker Biddle & Reath LLP
One Logan Square, Ste. 2000
Philadelphia, PA 19103-6996
FREE MARKET U.S. EQUITY FUND
FREE MARKET INTERNATIONAL EQUITY FUND
FREE MARKET FIXED INCOME FUND
of
The RBB Fund, Inc.
Semi-Annual Report
February 28, 2017
(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.
FREE MARKET FUNDS
Semi-Annual Investment Adviser’s Report
February 28, 2017
(Unaudited)
February 28, 2017
Dear Shareholder,
The Free Market Funds (the “Funds”) have continued to gain assets and have surpassed $6.9 billion. We would like to extend a warm and grateful thank you to all investors who have embraced our Free Market Portfolio Strategies.
Over the past six months ended 02/28/2017, investors experienced broad based positive returns in the equity markets. International equity markets over the past six months have seen a steady increase, returning 7.5% as measured by the MSCI All Country World Index. U.S. stocks performed even better than international stocks, over the same time period, with large stocks returning 10.01% as represented by the S&P 500® index, but small and small value stocks in the U.S. performed even better, returning 12.61% and 15.80% respectively as measured by the Russell 2000® and Russell 2000® Value Indices. In contrast to the broad equity markets, bond markets came in negative over the last six months as a result of rising interest rates, posting a loss of 1.21% as measured by the Bloomberg Barclays U.S. Intermediate Government/Credit 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 aims to provide both the individual investor and the financial professional with the academic foundation upon which to help achieve investment goals.
In the landmark study done by Eugene Fama and Kenneth French and published in “The Cross-Section of Expected Stock Returns”1 it is documented that, over the long term, investors could have received a premium for investing in small cap stocks and value stocks. These returns seem to be compensation for risk. In fixed income, risk as measured by volatility can be well described by bond maturity and credit quality. Matson Money’s vehicles deliberately target specific risk and return tradeoffs. The Funds are broadly 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 | Fama, E.F. and K.R. French. 1992. “The Cross-section of Expected Stock Returns”. The Journal of Finance. 47:427-465. |
1
FREE MARKET FUNDS
Semi-Annual Investment Adviser’s Report (Concluded)
February 28, 2017
(Unaudited)
Bloomberg Barclays U.S. Intermediate Government/Credit Bond Index is an unmanaged index composed of all bonds covered by the Bloomberg Barclays U.S. Intermediate Government/Credit Bond Index with a maturity between one and 9.99 years.
MSCI All Country World Index is a total return, free-float adjusted market capitalization weighted index that captures large and midcap representation across 24 Developed and 21 Emerging Markets countries. With 2,483 constituents, the index covers approximately 85% of the global investable equity opportunity set.
The Russell 2000® Index consists of the smallest 2,000 companies in a group of 3,000 U.S. companies in the Russell 3000® Index, as ranked by market capitalization.
The Russell 2000® Value Index measures the performance of those Russell 2000® Index companies with lower price-to-book ratios and lower forecasted growth values.
The S&P 500® Index is a broad based unmanaged index of 500 stocks, which is widely recognized as representative of the equity market in general.
One cannot invest directly in an index.
Must be preceded or accompanied by a prospectus.
Mutual fund investing involves risk. Principal loss is possible. Investing in micro-cap or small cap companies involve additional risks such as limited liquidity and greater volatility than large companies. Certain of the underlying Funds invest in foreign securities which involve greater volatility and political, economic and currency risks and differences in accounting methods. These risks are greater in emerging markets. Investments in debt securities typically decrease in value when interest rates rise. This risk is usually greater for longer-term debt securities. Growth stocks typically are more volatile than value stocks; however, value stocks have a lower expected growth rate in earnings and sales.
Shares of the Funds are distributed by Quasar Distributors, LLC.
2
FREE MARKET FUNDS
Performance Data
February 28, 2017 (Unaudited)
Free Market U.S. Equity Fund
Total Returns for the Periods Ended February 28, 2017 | |||||
Average Annual | |||||
Six | 1 Year | 3 Years | 5 Years | Since | |
Free Market U.S. Equity Fund | 13.65% | 31.82% | 8.05% | 13.74% | 9.35% |
Russell 2500® Index | 10.72% | 31.75% | 7.33% | 13.10% | 7.96% |
Composite Index*** | 12.45% | 32.86% | 9.08% | 13.68% | 7.79% |
* | Not 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 0.90% (included in the ratio is 0.31% 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 $17.55 per share on February 28, 2017.
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 28, 2017 | |||||
Average Annual | |||||
Six | 1 Year | 3 Years | 5 Years | Since | |
Free Market International Equity Fund | 8.87% | 24.81% | 0.69% | 5.72% | 2.49% |
MSCI World (excluding U.S.) Index | 5.05% | 16.57% | -0.63% | 4.70% | 0.10% |
Composite Index*** | 6.24% | 20.85% | 0.56% | 4.65% | 0.77% |
* | Not 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 0.51% attributable to acquired fund fees and expenses).
The Fund’s aggregate total return since inception is based on a decrease in net asset value from $10.00 per share on December 31, 2007 (commencement of operations) to $9.75 per share on February 28, 2017.
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.
3
FREE MARKET FUNDS
Performance Data
February 28, 2017 (Unaudited)
Free Market Fixed Income Fund
Total Returns for the Periods Ended February 28, 2017 | |||||
Average Annual | |||||
Six | 1 Year | 3 Years | 5 Years | Since | |
Free Market Fixed Income Fund | -0.74% | 0.51% | 0.77% | 0.59% | 1.61% |
Citigroup World Govt. Bond 1-5 Year Currency Hedged U.S. Dollar Index | -0.02% | 0.72% | 1.36% | 1.35% | 2.23% |
Composite Index*** | -0.86% | 0.57% | 1.28% | 1.12% | 2.32% |
* | Not annualized. |
** | The Fund commenced operations on December 31, 2007. |
*** | The Composite Index is comprised of the Three-Month Treasury Bill Index, Bloomberg Barclays Intermediate Government/Credit 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 0.20% 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 $10.28 per share on February 28, 2017.
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.
4
FREE MARKET FUNDS
Fund Expense Examples
February 28, 2017
(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, 2016 through February 28, 2017, 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 Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in each Fund and other funds. To do so, compare these 5% hypothetical examples with the 5% hypothetical examples that appear in the shareholder reports of other funds.
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 | Ending Account Value | Expenses Paid | |
Actual | $1,000.00 | $ 1,136.50 | $3.13 |
Hypothetical (5% return before expenses) | 1,000.00 | 1,021.87 | 2.96 |
Free Market International Equity Fund | |||
Beginning Account Value | Ending Account Value | Expenses Paid | |
Actual | $1,000.00 | $ 1,088.70 | $3.16 |
Hypothetical (5% return before expenses) | 1,000.00 | 1,021.77 | 3.06 |
5
FREE MARKET FUNDS
Fund Expense Examples (Concluded)
February 28, 2017
(Unaudited)
Free Market Fixed Income Fund | |||
Beginning Account Value | Ending Account Value | Expenses Paid | |
Actual | $1,000.00 | $ 992.60 | $2.96 |
Hypothetical (5% return before expenses) | 1,000.00 | 1,021,82 | 3.01 |
* | Expenses are equal to an annualized six-month expense ratio of 0.59%, 0.61% and 0.60% for the Free Market U.S. Equity Fund, Free Market International Equity Fund and Free Market Fixed Income Fund, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (181), then divided by 365 to reflect the one-half year period. The annualized expense ratios do not reflect fees and expenses associated with the underlying funds. If such fees and expenses had been included, the expenses would have been higher. 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 | |
0.01%-0.03% | 0.01%-0.11% | 0.01%-0.05% |
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 13.65% for the Free Market U.S. Equity Fund, 8.87% for the Free Market International Equity Fund and -0.74% for the Free Market Fixed Income Fund.
6
FREE MARKET FUNDS
FREE MARKET U.S. EQUITY FUND
Portfolio of Investments
February 28, 2017
(Unaudited)
Number | Value | |||||||
EQUITY FUNDS — 99.8% | ||||||||
U.S. Large Cap Value Portfolio III (a) | 30,406,205 | $ | 783,567,899 | |||||
U.S. Large Company Portfolio (a) | 21,257,069 | 391,980,361 | ||||||
U.S. Micro Cap Portfolio (b) | 18,680,406 | 387,244,826 | ||||||
U.S. Small Cap Portfolio (b) | 11,312,514 | 387,340,493 | ||||||
U.S. Small Cap Value Portfolio (b) | 17,232,885 | 642,958,922 | ||||||
TOTAL EQUITY FUNDS | ||||||||
(Cost $1,869,635,648) | 2,593,092,501 | |||||||
SHORT-TERM INVESTMENTS — 0.1% | ||||||||
STIT-Government & Agency Portfolio, 0.48% | 1,381,370 | 1,381,370 | ||||||
TOTAL SHORT-TERM INVESTMENTS | ||||||||
(Cost $1,381,370) | 1,381,370 | |||||||
TOTAL INVESTMENTS — 99.9% | ||||||||
(Cost $1,871,017,018) | 2,594,473,871 | |||||||
OTHER ASSETS IN EXCESS OF LIABILITIES — 0.1% | 1,713,616 | |||||||
NET ASSETS — 100.0% | $ | 2,596,187,487 |
Portfolio Holdings Summary Table
% of | Value | |||||||
Equity Funds | 99.8 | % | $ | 2,593,092,501 | ||||
Short-Term Investments | 0.1 | % | 1,381,370 | |||||
Other Assets In Excess Of Liabilities | 0.1 | % | 1,713,616 | |||||
NET ASSETS | 100.0 | % | $ | 2,596,187,487 |
(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
FREE MARKET FUNDS
FREE MARKET INTERNATIONAL EQUITY FUND
Portfolio of Investments
February 28, 2017
(Unaudited)
Number | Value | |||||||
INTERNATIONAL EQUITY FUNDS — 99.8% | ||||||||
Asia Pacific Small Company Portfolio (a) | 1,183,353 | $ | 25,252,759 | |||||
Canadian Small Company Series (b) | 2,130,062 | 22,877,546 | ||||||
Continental Small Company Portfolio (a) | 1,387,691 | 31,722,613 | ||||||
Continental Small Company Series (b) | 393,438 | 29,580,601 | ||||||
DFA International Small Cap Value Portfolio (a) | 37,664,263 | 757,051,684 | ||||||
DFA International Value Portfolio III (c) | 34,393,103 | 505,922,546 | ||||||
DFA International Value Series (b) | 2,809,226 | 59,218,492 | ||||||
Emerging Markets Portfolio (a) | 4,068,244 | 101,258,603 | ||||||
Emerging Markets Small Cap Portfolio (a) | 4,634,204 | 95,742,658 | ||||||
Emerging Markets Value Portfolio (a) | 3,552,364 | 94,563,917 | ||||||
Japanese Small Company Portfolio (a) | 1,830,723 | 43,461,363 | ||||||
Large Cap International Portfolio (a) | 4,618,899 | 94,687,427 | ||||||
United Kingdom Small Company Portfolio (a) | 186,330 | 5,228,408 | ||||||
United Kingdom Small Company Series (b) | 508,706 | 30,324,849 | ||||||
TOTAL INTERNATIONAL EQUITY FUNDS | ||||||||
(Cost $1,748,541,309) | 1,896,893,466 | |||||||
SHORT-TERM INVESTMENTS — 0.1% | ||||||||
STIT-Government & Agency Portfolio, 0.47% | 1,409,101 | 1,409,101 | ||||||
TOTAL SHORT-TERM INVESTMENTS | ||||||||
(Cost $1,409,101) | 1,409,101 | |||||||
TOTAL INVESTMENTS — 99.9% | ||||||||
(Cost $1,749,950,410) | 1,898,302,567 | |||||||
OTHER ASSETS IN EXCESS OF LIABILITIES — 0.1% | 1,837,839 | |||||||
NET ASSETS — 100.0% | $ | 1,900,140,406 |
Portfolio Holdings Summary Table
% of | Value | |||||||
International Equity Funds | 99.8 | % | $ | 1,896,893,466 | ||||
Short-Term Investments | 0.1 | % | 1,409,101 | |||||
Other Assets In Excess Of Liabilities | 0.1 | % | 1,837,839 | |||||
NET ASSETS | 100.0 | % | $ | 1,900,140,406 |
(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.
8
FREE MARKET FUNDS
FREE MARKET FIXED INCOME FUND
Portfolio of Investments
February 28, 2017
(Unaudited)
Number | Value | |||||||
FIXED INCOME FUNDS — 99.4% | ||||||||
DFA Five-Year Global Fixed Income Portfolio (a) | 52,434,319 | $ | 573,631,454 | |||||
DFA Inflation-Protected Securities Portfolio (a) | 9,662,546 | 114,597,790 | ||||||
DFA Intermediate Government Fixed Income Portfolio (a) | 11,062,966 | 137,623,301 | ||||||
DFA One-Year Fixed Income Portfolio (a) | 32,328,088 | 332,979,309 | ||||||
DFA Short-Term Government Portfolio (a) | 8,631,715 | 91,668,813 | ||||||
DFA Two-Year Global Fixed Income Portfolio (a) | 34,584,158 | 344,804,060 | ||||||
iShares 1-3 Year Credit Bond ETF | 5,237,512 | 551,300,513 | ||||||
iShares Intermediate Credit Bond ETF | 1,261,996 | 137,772,104 | ||||||
TOTAL FIXED INCOME FUNDS | ||||||||
(Cost $2,290,828,236) | 2,284,377,344 | |||||||
SHORT-TERM INVESTMENTS — 0.6% | ||||||||
STIT-Government & Agency Portfolio, 0.48% | 13,560,034 | 13,560,034 | ||||||
TOTAL SHORT-TERM INVESTMENTS | ||||||||
(Cost $13,560,034) | 13,560,034 | |||||||
TOTAL INVESTMENTS — 100.0% | ||||||||
(Cost $2,304,388,270) | 2,297,937,378 | |||||||
OTHER ASSETS IN EXCESS OF LIABILITIES — 0.0% | 697,814 | |||||||
NET ASSETS — 100.0% | $ | 2,298,635,192 |
Portfolio Holdings Summary Table
% of | Value | |||||||
Fixed Income Funds | 99.4 | % | $ | 2,284,377,344 | ||||
Short-Term Investments | 0.6 | % | 13,560,034 | |||||
Other Assets In Excess Of Liabilities | 0.0 | % | 697,814 | |||||
NET ASSETS | 100.0 | % | $ | 2,298,635,192 |
(a) | A portfolio of DFA Investment Dimensions Group Inc. |
ETF | Exchange-Traded Fund |
Portfolio holdings are subject to change at any time.
The accompanying notes are an integral part of the financial statements.
9
FREE MARKET FUNDS
Statement of Assets and Liabilities
February 28, 2017
(Unaudited)
Free Market | Free Market | Free Market | ||||||||||
ASSETS | ||||||||||||
Investments in non-affiliated funds, at value * | $ | 2,593,092,501 | $ | 1,896,893,466 | $ | 2,284,377,344 | ||||||
Short-term investments, at value * | 1,381,370 | 1,409,101 | 13,560,034 | |||||||||
Cash and cash equivalents | 49,014 | 41,421 | 283,291 | |||||||||
Receivables | ||||||||||||
Receivable for capital shares sold | 4,150,390 | 3,462,634 | 4,173,752 | |||||||||
Dividends and interest receivable | 690 | 710 | 4,941 | |||||||||
Prepaid expenses and other assets | 30,667 | 40,959 | 45,984 | |||||||||
Total assets | 2,598,704,632 | 1,901,848,291 | 2,302,445,346 | |||||||||
LIABILITIES | ||||||||||||
Payables | ||||||||||||
Capital shares redeemed | 1,147,311 | 646,533 | 695,652 | |||||||||
Advisory fees | 979,216 | 721,443 | 859,952 | |||||||||
Administration and accounting fees | 194,311 | 216,792 | 342,087 | |||||||||
Transfer agent fees | 47,875 | 35,509 | 46,594 | |||||||||
Investments purchased | — | — | 1,799,949 | |||||||||
Other accrued expenses and liabilities | 148,432 | 87,608 | 65,920 | |||||||||
Total liabilities | 2,517,145 | 1,707,885 | 3,810,154 | |||||||||
Net assets | $ | 2,596,187,487 | $ | 1,900,140,406 | $ | 2,298,635,192 | ||||||
NET ASSETS CONSISTS OF: | ||||||||||||
Par value | $ | 147,959 | $ | 194,947 | $ | 223,540 | ||||||
Paid-in capital | 1,802,587,923 | 1,752,643,280 | 2,303,371,718 | |||||||||
Undistributed/accumulated net investment income/(loss) | (2,404,290 | ) | (127,709 | ) | (731,806 | ) | ||||||
Accumulated net realized gain/(loss) from investments | 72,399,042 | (922,269 | ) | 2,222,632 | ||||||||
Net unrealized appreciation/(depreciation) on investments | 723,456,853 | 148,352,157 | (6,450,892 | ) | ||||||||
Net assets | $ | 2,596,187,487 | $ | 1,900,140,406 | $ | 2,298,635,192 | ||||||
Shares outstanding ($0.001 par value, 300,000,000 shares authorized) | 147,959,246 | 194,946,993 | 223,539,609 | |||||||||
Net asset value, offering and redemption price per share | $ | 17.55 | $ | 9.75 | $ | 10.28 | ||||||
*Identified Cost: | ||||||||||||
Investments in non-affiliated funds, at cost | $ | 1,869,635,648 | $ | 1,748,541,309 | $ | 2,290,828,236 | ||||||
Short-term investments, at cost | 1,381,370 | 1,409,101 | 13,560,034 |
The accompanying notes are an integral part of the financial statements.
10
FREE MARKET FUNDS
Statement of Operations
For the Six Months Ended February 28, 2017
(Unaudited)
Free Market | Free Market | Free Market | ||||||||||
INVESTMENT INCOME | ||||||||||||
Dividends from non-affiliated funds | $ | 16,892,618 | $ | 19,207,423 | $ | 16,053,670 | ||||||
Interest income | 9,201 | 2,931 | 15,602 | |||||||||
Total investment income | 16,901,819 | 19,210,354 | 16,069,272 | |||||||||
EXPENSES | ||||||||||||
Advisory fees (Note 2) | 5,993,322 | 4,328,720 | 5,327,972 | |||||||||
Administration and accounting fees (Note 2) | 441,889 | 340,045 | 557,759 | |||||||||
Transfer agent fees (Note 2) | 171,694 | 127,371 | 161,850 | |||||||||
Legal fees | 141,386 | 71,431 | 96,506 | |||||||||
Directors and officers fees | 77,367 | 54,740 | 63,975 | |||||||||
Custodian fees (Note 2) | 68,376 | 54,952 | 36,672 | |||||||||
Printing and shareholder reporting fees | 44,919 | 43,138 | 44,803 | |||||||||
Audit fees | 21,238 | 30,951 | 31,930 | |||||||||
Other expenses | 173,026 | 255,805 | 118,948 | |||||||||
Total expenses | 7,133,217 | 5,307,153 | 6,440,415 | |||||||||
Net investment income/(loss) | 9,768,602 | 13,903,201 | 9,628,857 | |||||||||
NET REALIZED AND UNREALIZED GAIN/(LOSS) FROM INVESTMENTS | ||||||||||||
Net realized gain/(loss) from: | ||||||||||||
Non-affiliated funds | 1,542,904 | (12,459,087 | ) | — | ||||||||
Capital gain distributions from non-affiliated fund investments | 75,947,995 | 24,261,637 | 2,537,822 | |||||||||
Net change in unrealized appreciation/(depreciation) on: | ||||||||||||
Non-affiliated funds | 226,532,289 | 126,110,180 | (26,553,150 | ) | ||||||||
Net realized and unrealized gain/(loss) on investments | 304,023,188 | 137,912,730 | (24,015,328 | ) | ||||||||
NET INCREASE/(DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ | 313,791,790 | $ | 151,815,931 | $ | (14,386,471 | ) |
The accompanying notes are an integral part of the financial statements.
11
FREE MARKET U.S. EQUITY FUND
Statements of Changes in Net Assets
For the | For the | |||||||
INCREASE/(DECREASE) IN NET ASSETS FROM OPERATIONS: | ||||||||
Net investment income/(loss) | $ | 9,768,602 | $ | 23,947,403 | ||||
Net realized gain/(loss) from investments | 77,490,899 | 105,389,548 | ||||||
Net change in unrealized appreciation/(depreciation) on investments | 226,532,289 | 67,953,624 | ||||||
Net increase/(decrease) in net assets resulting from operations | 313,791,790 | 197,290,575 | ||||||
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS FROM: | ||||||||
Net investment income | (21,140,850 | ) | (18,905,890 | ) | ||||
Net realized capital gains | (96,166,053 | ) | (141,345,143 | ) | ||||
Net decrease in net assets from dividends and distributions to shareholders | (117,306,903 | ) | (160,251,033 | ) | ||||
CAPITAL SHARE TRANSACTIONS: | ||||||||
Proceeds from shares sold | 235,318,344 | 450,649,645 | ||||||
Reinvestment of distributions | 117,302,124 | 160,251,033 | ||||||
Shares redeemed | (255,959,362 | ) | (316,329,032 | ) | ||||
Net increase/(decrease) in net assets from capital shares | 96,661,106 | 294,571,646 | ||||||
Total increase/(decrease) in net assets | 293,145,993 | 331,611,188 | ||||||
NET ASSETS: | ||||||||
Beginning of period | 2,303,041,494 | 1,971,430,306 | ||||||
End of period | $ | 2,596,187,487 | $ | 2,303,041,494 | ||||
Undistributed/accumulated net investment income/(loss), end of period | $ | (2,404,290 | ) | $ | 8,967,958 | |||
SHARES TRANSACTIONS: | ||||||||
Shares sold | 13,875,108 | 29,513,009 | ||||||
Dividends and distributions reinvested | 6,792,248 | 10,690,529 | ||||||
Shares redeemed | (15,009,153 | ) | (20,493,548 | ) | ||||
Net increase/(decrease) in shares outstanding | 5,658,203 | 19,709,990 |
The accompanying notes are an integral part of the financial statements.
12
FREE MARKET INTERNATIONAL EQUITY FUND
Statements of Changes in Net Assets
For the | For the | |||||||
INCREASE/(DECREASE) IN NET ASSETS FROM OPERATIONS: | ||||||||
Net investment income/(loss) | $ | 13,903,201 | $ | 39,474,447 | ||||
Net realized gain/(loss) from investments | 11,802,550 | 20,369,711 | ||||||
Net change in unrealized appreciation/(depreciation) on investments | 126,110,180 | (2,762,967 | ) | |||||
Net increase/(decrease) in net assets resulting from operations | 151,815,931 | 57,081,191 | ||||||
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS FROM: | ||||||||
Net investment income | (34,715,335 | ) | (26,567,968 | ) | ||||
Net realized capital gains | (19,714,628 | ) | (25,538,160 | ) | ||||
Net decrease in net assets from dividends and distributions to shareholders | (54,429,963 | ) | (52,106,128 | ) | ||||
CAPITAL SHARE TRANSACTIONS: | ||||||||
Proceeds from shares sold | 196,115,285 | 372,267,753 | ||||||
Reinvestment of distributions | 54,427,744 | 52,101,372 | ||||||
Shares redeemed | (120,240,902 | ) | (199,985,943 | ) | ||||
Net increase/(decrease) in net assets from capital shares | 130,302,127 | 224,383,182 | ||||||
Total increase/(decrease) in net assets | 227,688,095 | 229,358,245 | ||||||
NET ASSETS: | ||||||||
Beginning of period | 1,672,452,311 | 1,443,094,066 | ||||||
End of period | $ | 1,900,140,406 | $ | 1,672,452,311 | ||||
Undistributed/accumulated net investment income/(loss), end of period | $ | (127,709 | ) | $ | 20,684,425 | |||
SHARES TRANSACTIONS: | ||||||||
Shares sold | 20,685,961 | 42,211,355 | ||||||
Dividends and distributions reinvested | 5,909,636 | 5,880,516 | ||||||
Shares redeemed | (12,679,326 | ) | (22,542,599 | ) | ||||
Net increase/(decrease) in shares outstanding | 13,916,271 | 25,549,272 |
The accompanying notes are an integral part of the financial statements.
13
FREE MARKET FIXED INCOME FUND
Statements of Changes in Net Assets
For the | For the | |||||||
INCREASE/(DECREASE) IN NET ASSETS FROM OPERATIONS: | ||||||||
Net investment income/(loss) | $ | 9,628,857 | $ | 11,215,378 | ||||
Net realized gain/(loss) from investments | 2,537,822 | 1,739,792 | ||||||
Net change in unrealized appreciation/(depreciation) on investments | (26,553,150 | ) | 31,859,933 | |||||
Net increase/(decrease) in net assets resulting from operations | (14,386,471 | ) | 44,815,103 | |||||
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS FROM: | ||||||||
Net investment income | (15,200,601 | ) | (6,855,840 | ) | ||||
Net realized capital gains | — | (3,174,042 | ) | |||||
Net decrease in net assets from dividends and distributions to shareholders | (15,200,601 | ) | (10,029,882 | ) | ||||
CAPITAL SHARE TRANSACTIONS: | ||||||||
Proceeds from shares sold | 327,908,018 | 474,436,165 | ||||||
Reinvestment of distributions | 15,200,301 | 10,029,882 | ||||||
Shares redeemed | (141,343,357 | ) | (397,297,819 | ) | ||||
Net increase/(decrease) in net assets from capital shares | 201,764,962 | 87,168,228 | ||||||
Total increase/(decrease) in net assets | 172,177,890 | 121,953,449 | ||||||
NET ASSETS: | ||||||||
Beginning of period | 2,126,457,302 | 2,004,503,853 | ||||||
End of period | $ | 2,298,635,192 | $ | 2,126,457,302 | ||||
Undistributed/accumulated net investment income/(loss), end of period | $ | (731,806 | ) | $ | 4,839,938 | |||
SHARES TRANSACTIONS: | ||||||||
Shares sold | 31,823,755 | 45,946,543 | ||||||
Dividends and distributions reinvested | 1,476,685 | 980,512 | ||||||
Shares redeemed | (13,684,017 | ) | (38,480,626 | ) | ||||
Net increase/(decrease) in shares outstanding | 19,616,423 | 8,446,429 |
The accompanying notes are an integral part of the financial statements.
14
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 | For the | For the | For the | For the | For the | |||||||||||||||||||
Per Share Operating Performance | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 16.18 | $ | 16.08 | $ | 17.37 | $ | 14.66 | $ | 11.70 | $ | 10.33 | ||||||||||||
Net investment income/(loss)(1) | 0.07 | 0.18 | 0.13 | 0.09 | 0.12 | 0.08 | ||||||||||||||||||
Net realized and unrealized gain/(loss) on investments | 2.13 | 1.18 | (0.71 | ) | 3.18 | 3.07 | 1.43 | |||||||||||||||||
Net increase/(decrease) in net assets resulting from operations | 2.20 | 1.36 | (0.58 | ) | 3.27 | 3.19 | 1.51 | |||||||||||||||||
Dividends and distributions to shareholders from: | ||||||||||||||||||||||||
Net investment income/(loss) | (0.15 | ) | (0.15 | ) | (0.11 | ) | (0.10 | ) | (0.15 | ) | (0.06 | ) | ||||||||||||
Net realized capital gains/(loss) | (0.68 | ) | (1.11 | ) | (0.60 | ) | (0.46 | ) | (0.08 | ) | (0.08 | ) | ||||||||||||
Total dividends and distributions to shareholders | (0.83 | ) | (1.26 | ) | (0.71 | ) | (0.56 | ) | (0.23 | ) | (0.14 | ) | ||||||||||||
Net asset value, end of period | $ | 17.55 | $ | 16.18 | $ | 16.08 | $ | 17.37 | $ | 14.66 | $ | 11.70 | ||||||||||||
Total investment return(2) | 13.65 | %(4) | 9.10 | % | (3.55 | )% | 22.49 | % | 27.61 | % | 14.77 | % | ||||||||||||
�� | ||||||||||||||||||||||||
Ratio/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (000’s omitted) | $ | 2,596,187 | $ | 2,303,041 | $ | 1,971,430 | $ | 1,943,442 | $ | 1,355,653 | $ | 933,514 | ||||||||||||
Ratio of expenses to average net assets(3) | 0.59 | %(5) | 0.59 | % | 0.60 | % | 0.60 | % | 0.62 | % | 0.64 | % | ||||||||||||
Ratio of net investment income/(loss) to average net assets(3) | 0.81 | %(5) | 1.15 | % | 0.74 | % | 0.54 | % | 0.91 | % | 0.73 | % | ||||||||||||
Portfolio turnover rate | 6.08 | %(4) | 1 | % | 6 | % | 3 | % | 6 | % | 4 | % |
(1) | The selected per share data is 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) | The Fund also will indirectly bear its prorated share of expenses of the underlying funds. Such expenses are not included in the calculation of this ratio. |
(4) | Not annualized. |
(5) | Annualized. |
The accompanying notes are an integral part of the financial statements.
15
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 | For the | For the | For the | For the | For the | |||||||||||||||||||
Per Share Operating Performance | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 9.24 | $ | 9.28 | $ | 10.92 | $ | 9.36 | $ | 8.04 | $ | 8.78 | ||||||||||||
Net investment income/(loss)(1) | 0.07 | 0.23 | 0.17 | 0.19 | 0.18 | 0.18 | ||||||||||||||||||
Net realized and unrealized gain/(loss) on investments | 0.74 | 0.05 | (1.39 | ) | 1.71 | 1.36 | (0.64 | ) | ||||||||||||||||
Net increase/(decrease) in net assets resulting from operations | 0.81 | 0.28 | (1.22 | ) | 1.90 | 1.54 | (0.46 | ) | ||||||||||||||||
Dividends and distributions to shareholders from: | ||||||||||||||||||||||||
Net investment income/(loss) | (0.19 | ) | (0.16 | ) | (0.22 | ) | (0.19 | ) | (0.15 | ) | (0.17 | ) | ||||||||||||
Net realized capital gains/(loss) | (0.11 | ) | (0.16 | ) | (0.20 | ) | (0.15 | ) | (0.07 | ) | (0.11 | ) | ||||||||||||
Total dividends and distributions to shareholders | (0.30 | ) | (0.32 | ) | (0.42 | ) | (0.34 | ) | (0.22 | ) | (0.28 | ) | ||||||||||||
Net asset value, end of period | $ | 9.75 | $ | 9.24 | $ | 9.28 | $ | 10.92 | $ | 9.36 | $ | 8.04 | ||||||||||||
Total investment return(2) | 8.87 | %(4) | 3.13 | % | (11.25 | )% | 20.49 | % | 19.44 | % | (4.98 | )% | ||||||||||||
Ratio/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period(000’s omitted) | $ | 1,900,140 | $ | 1,672,452 | $ | 1,443,094 | $ | 1,414,618 | $ | 964,096 | $ | 648,710 | ||||||||||||
Ratio of expenses to average net assets(3) | 0.61 | %(5) | 0.63 | % | 0.64 | % | 0.62 | % | 0.65 | % | 0.65 | % | ||||||||||||
Ratio of net investment income/(loss) to average net assets(3) | 1.59 | %(5) | 2.60 | % | 1.72 | % | 1.84 | % | 1.96 | % | 2.21 | % | ||||||||||||
Portfolio turnover rate | 0.73 | %(4) | 1 | % | 3 | % | 2 | % | 3 | % | 3 | % |
(1) | The selected per share data is 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) | The Fund also will indirectly bear its prorated share of expenses of the underlying funds. Such expenses are not included in the calculation of this ratio. |
(4) | Not annualized. |
(5) | Annualized. |
The accompanying notes are an integral part of the financial statements.
16
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 | For the | For the | For the | For the | For the | |||||||||||||||||||
Per Share Operating Performance | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 10.43 | $ | 10.25 | $ | 10.31 | $ | 10.24 | $ | 10.54 | $ | 10.48 | ||||||||||||
Net investment income/(loss)(1) | 0.05 | 0.06 | 0.06 | 0.04 | 0.05 | 0.11 | ||||||||||||||||||
Net realized and unrealized gain/(loss) on investments | (0.12 | ) | 0.17 | (0.02 | ) | 0.09 | (0.21 | 0.09 | ||||||||||||||||
Net increase/(decrease) in net assets resulting from operations | (0.07 | ) | 0.23 | 0.04 | 0.13 | (0.16 | 0.20 | |||||||||||||||||
Dividends and distributions to shareholders from: | ||||||||||||||||||||||||
Net investment income/(loss) | (0.08 | ) | (0.03 | ) | (0.07 | ) | (0.04 | ) | (0.08 | ) | (0.14 | ) | ||||||||||||
Net realized capital gains/(loss) | — | (0.02 | ) | (0.03 | ) | (0.02 | ) | (0.06 | ) | — | (2) | |||||||||||||
Total dividends and distributions to shareholders | (0.08 | ) | (0.05 | ) | (0.10 | ) | (0.06 | ) | (0.14 | ) | (0.14 | ) | ||||||||||||
Net asset value, end of period | $ | 10.28 | $ | 10.43 | $ | 10.25 | $ | 10.31 | $ | 10.24 | $ | 10.54 | ||||||||||||
Total investment return(2) | (0.74 | )%(4) | 2.26 | % | 0.37 | % | 1.34 | % | (1.50 | )% | 1.90 | % | ||||||||||||
Ratio/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (000’s omitted) | $ | 2,298,635 | $ | 2,126,457 | $ | 2,004,504 | $ | 1,824,633 | $ | 1,316,799 | $ | 946,975 | ||||||||||||
Ratio of expenses to average net assets(3) | 0.60 | %(5) | 0.59 | % | 0.60 | % | 0.61 | % | 0.62 | % | 0.63 | % | ||||||||||||
Ratio of net investment income/(loss) to average net assets(3) | 0.89 | %(5) | 0.54 | % | 0.55 | % | 0.37 | % | 0.52 | % | 1.08 | % | ||||||||||||
Portfolio turnover rate | 0.00 | %(4) | 31 | % | 2 | % | 0 | % | 0 | % | 1 | % |
(1) | The selected per share data is 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) | The Fund also will indirectly bear its prorated share of expenses of the underlying funds. Such expenses are not included in the calculation of this ratio. |
(4) | Not annualized. |
(5) | Annualized. |
The accompanying notes are an integral part of the financial statements.
17
FREE MARKET FUNDS
Notes to Financial Statements
February 28, 2017
(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-six 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 84.423 billion shares are currently classified into one hundred and seventy-one 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 (“NAV”) 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 (the “Board”). 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 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 methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The following is a summary of the inputs used, as of February 28, 2017, in valuing the Funds’ investments carried at fair value:
FREE MARKET U.S. EQUITY FUND
Total | Level 1 | Level 2 | Level 3 | |||||||||||||
Equity Funds | $ | 2,593,092,501 | $ | 2,593,092,501 | $ | — | $ | — | ||||||||
Short-Term Investments | 1,381,370 | 1,381,370 | — | — | ||||||||||||
Total | $ | 2,594,473,871 | $ | 2,594,473,871 | $ | — | $ | — |
* | Please refer to the Portfolio of Investments for further details. |
18
FREE MARKET FUNDS
Notes to Financial Statements (Continued)
February 28, 2017
(Unaudited)
FREE MARKET INTERNATIONAL EQUITY FUND
Total | Level 1 | Level 2 | Level 3 | |||||||||||||
International Equity Funds | $ | 1,896,893,466 | $ | 1,754,891,978 | $ | 142,001,488 | $ | — | ||||||||
Short-Term Investments | 1,409,101 | 1,409,101 | — | — | ||||||||||||
Total | $ | 1,898,302,567 | $ | 1,756,301,079 | $ | 142,001,488 | $ | — |
* | Please refer to the Portfolio of Investments for further details. |
FREE MARKET FIXED INCOME FUND
Total | Level 1 | Level 2 | Level 3 | |||||||||||||
Fixed Income Funds | $ | 2,284,377,344 | $ | 2,284,377,344 | $ | — | $ | — | ||||||||
Short-Term Investments | 13,560,034 | 13,560,034 | — | — | ||||||||||||
Total | $ | 2,297,937,378 | $ | 2,297,937,378 | $ | — | $ | — |
* | 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 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.
There were no significant transfers between Levels 1, 2 and 3 for the Funds for the six months ended February 28, 2017.
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
19
FREE MARKET FUNDS
Notes to Financial Statements (Continued)
February 28, 2017
(Unaudited)
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 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 Board deems fair or equitable. Expenses and fees, including investment advisory and administration fees, are accrued daily and taken into account for the purpose of determining the 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 each Fund with the exception of the Free Market Fixed Income Fund which declares and pays quarterly dividends from net investment income. Income dividends and capital gain distributions are determined in accordance with U.S. federal income tax regulations, which may differ from U.S. GAAP.
U.S. TAX STATUS — No provision is made for U.S. income taxes as it is each Fund’s intention to qualify for and elect the tax treatment applicable to regulated investment companies under Subchapter M of the Internal Revenue Code of 1986, as amended, and make the requisite distributions to its shareholders which will be sufficient to relieve it from U.S. income and excise taxes.
CASH AND CASH EQUIVALENTS — Cash and cash equivalents are valued at cost plus accrued interest, which approximates market value.
OTHER — In the normal course of business, the Funds may enter into contracts that provide general indemnifications. Each Fund’s maximum exposure under these arrangements is dependent on claims that may be made against the Funds in the future, and, therefore, cannot be estimated; however, based on experience, the risk of material loss 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, the Adviser 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.
20
FREE MARKET FUNDS
Notes to Financial Statements (Continued)
February 28, 2017
(Unaudited)
BNY Mellon Investment Servicing (US) Inc. (“BNY Mellon”) served as administrator for the Funds through September 30, 2016. Effective October 1, 2016, U.S. Bancorp Fund Services, LLC (“USBFS”) serves as administrator for the Funds. For providing administrative and accounting services, USBFS is entitled to receive a monthly fee, subject to certain minimum and out of pocket expenses.
In addition, BNY Mellon served as the Funds’ transfer and dividend disbursing agent through November 18, 2016. Effective November 19, 2016, USBFS serves as the Funds’ transfer and dividend disbursing agent. For providing transfer agent services, USBFS is entitled to receive a monthly fee, subject to certain minimum and out of pocket expenses.
The Bank of New York Mellon provided certain custodial services to the Funds through November 18, 2016. Effective November 19, 2016, U.S. Bank, N.A. (the “Custodian”) provides certain custodial services to the Funds. The Custodian is entitled to receive a monthly fee, subject to certain minimum and out of pocket expenses.
Foreside Funds Distributors, LLC served as the principal underwriter and distributor of the Funds’ shares pursuant to a Distribution Agreement with RBB through November 18, 2016. Effective November 19, 2016, Quasar 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 period ended February 28, 2017 was $111,767. Employees of Vigilant Compliance, LLC serve as President, Chief Compliance Officer and Assistant Treasurer of the Company. Vigilant Compliance, LLC is compensated for the services provided to the Company. An employee of RBB serves as Treasurer and Secretary, and is compensated for services provided. Certain employees of USBFS serve as officers of the Company. They are not compensated by the Funds or the Company. For the period ended February 28, 2017, the Funds paid $84,315 in officer fees.
4. | Purchases and Sales of Investment Securities |
For the six months ended February 28, 2017, 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 | $ | 268,654,175 | $ | 148,011,929 | ||||
Free Market International Equity Fund | 123,731,000 | 12,900,000 | ||||||
Free Market Fixed Income Fund | 193,439,449 | — |
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.
21
FREE MARKET FUNDS
Notes to Financial Statements (Continued)
February 28, 2017
(Unaudited)
As of February 28, 2017, the federal tax cost, aggregate gross unrealized appreciation and depreciation of securities held by each Fund were as follows*:
Federal | Unrealized | Unrealized | Net Unrealized Appreciation/ (Depreciation) | |||||||||||||
Free Market U.S. Equity Fund | $ | 1,871,017,018 | $ | 723,456,853 | $ | — | $ | 723,456,853 | ||||||||
Free Market International Equity Fund | 1,749,950,410 | 166,149,688 | (17,797,531 | ) | 148,352,157 | |||||||||||
Free Market Fixed Income Fund | 2,304,388,270 | 4,069,937 | (10,520,829 | ) | (6,450,892 | ) |
* | Because tax adjustments are calculated annually at the end of the Funds’ fiscal year, the above table does not reflect tax adjustments for the current fiscal year. |
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.
The following permanent differences as of August 31, 2016, primarily attributable to redesignation of dividends paid and reclassifications of short-term capital gain distributions, were reclassified among the following accounts:
Undistributed | Accumulated | Paid-In | ||||||||||
Free Market U.S. Equity Fund | $ | 56,682 | $ | (56,682 | ) | $ | — | |||||
Free Market International Equity Fund | (161 | ) | 161 | ) | — | |||||||
Free Market Fixed Income Fund | 480,398 | (480,398 | ) | — |
As of August 31, 2016, the components of distributable earnings on a tax basis were as follows:
Undistributed | Undistributed | Unrealized | Other | |||||||||||||
Free Market U.S. Equity Fund | $ | 8,967,958 | $ | 96,165,463 | $ | 491,833,298 | $ | — | ||||||||
Free Market International Equity Fund | 19,468,069 | 19,713,811 | 10,734,330 | — | ||||||||||||
Free Market Fixed Income Fund | 4,839,938 | — | 19,787,068 | — |
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, 2016 were as follows:
Ordinary | Long-Term | Total | |||||||||||
Free Market U.S. Equity Fund | 2016 | $ | 18,905,890 | $ | 141,345,143 | $ | 160,251,033 | ||||||
Free Market International Equity Fund | 2016 | 26,659,496 | 25,446,632 | 52,106,128 | |||||||||
Free Market Fixed Income Fund | 2016 | 7,113,666 | 2,916,216 | 10,029,882 |
Distributions from net investment income and short-term capital gains are treated as ordinary income for federal income tax purposes.
22
FREE MARKET FUNDS
Notes to Financial Statements (Concluded)
February 28, 2017
(Unaudited)
Under the Regulated Investment Company Modernization Act of 2010, the Funds are permitted to carry forward capital losses incurred in taxable years beginning after December 22, 2010 for an unlimited period. Additionally, capital losses that are carried forward will retain their character as either short-term or long-term capital losses rather than being considered all short-term as under the previous law. As of August 31, 2016, the Funds did not have any capital loss carryforwards.
6. | 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.
23
FREE MARKET FUNDS
Other Information
(Unaudited)
Proxy Voting
Policies and procedures that the Funds use to determine how to vote proxies relating to portfolio securities as well as information regarding how the Funds voted proxies relating to portfolio securities for the most recent twelve-month period ended June 30 are available without charge, upon request, by calling Free Market Funds at (866) 780-0357, ext. 3863 and on the 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
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Administrator and Transfer Agent
Matson Money, Inc.
5955 Deerfield Blvd.
Mason, OH 45040
Administrator and Transfer Agent
U.S. Bancorp Fund Services, LLC
P.O. Box 701
Milwaukee, WI 53201
Principal Underwriter
Quasar Distributors, LLC
777 East Wisconsin Avenue, Floor 6
Milwaukee, WI 53202
Custodian
U.S. Bank, N.A.
1555 North Rivercenter Drive, Suite 302
Milwaukee, WI 53212
Independent Registered Public Accounting Firm
PricewaterhouseCoopers LLP
Two Commerce Square, Suite 1800
2001 Market Street
Philadelphia, PA 19103-7042
Legal Counsel
Drinker Biddle & Reath LLP
One Logan Square, Ste. 2000
Philadelphia, PA 19103-6996
MATSON MONEY U.S. EQUITY VI PORTFOLIO
MATSON MONEY INTERNATIONAL EQUITY VI PORTFOLIO
MATSON MONEY FIXED INCOME VI PORTFOLIO
of
The RBB Fund, Inc.
Semi-Annual Report
February 28, 2017
(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.
MATSON MONEY VI PORTFOLIOS
Semi-Annual Investment Adviser’s Report
February 28, 2017
(Unaudited)
February 28, 2017
Dear Shareholder,
The Matson Money VI Funds (the “Funds”) have gained assets since their launch in early February 2014 and have already surpassed the $55 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 past six months ended 02/28/2017, investors experienced broad based positive returns in the equity markets. International equity markets over the past six months have seen a steady increase, returning 7.5% as measured by the MSCI All Country World Index. U.S. stocks outpaced international stocks, over the same time period, with large stocks returning 10.01% as represented by the S&P 500® index, but small and small value stocks in the U.S. performed even better, returning 12.61% and 15.80% respectively as measured by the Russell 2000® and Russell 2000® Value Indices. In contrast to the broad equity markets, rising interest rates drove bond markets negative over the last six months, with Bloomberg Barclays U.S. Intermediate Government/Credit Bond Index posting a loss of 1.21%.
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 aims to provide both the individual investor and the financial professional with the academic foundation upon which to help achieve investment goals.
In the landmark study done by Eugene Fama and Kenneth French and published in “The Cross-Section of Expected Stock Returns”1 it is documented that, over the long term, investors could have received a premium for investing in small cap stocks and value stocks. These returns seem to be compensation for risk. In fixed income, risk as measured by volatility can be well described by bond maturity and credit quality. Matson Money’s vehicles deliberately target specific risk and return tradeoffs. The Funds are broadly 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 | Fama, E.F. and K. R. French. 1992. “The Cross-section of Expected Stock Returns”. The Journal of Finance. 47: 427–465. |
1
MATSON MONEY VI PORTFOLIOS
Semi-Annual Investment Adviser’s Report (Concluded)
February 28, 2017
(Unaudited)
Bloomberg Barclays U.S. Intermediate Government/Credit Bond Index is an unmanaged index composed of all bonds covered by the Bloomberg Barclays U.S. Intermediate Government/Credit Bond Index with a maturity between one and 9.99 years.
MSCI All Country World Index is a total return, free-float adjusted market capitalization weighted index that captures large and midcap representation across 24 Developed and 21 Emerging Markets countries. With 2,483 constituents, the index covers approximately 85% of the global investable equity opportunity set.
The Russell 2000® Index consists of the smallest 2,000 companies in a group of 3,000 U.S. companies in the Russell 3000® Index, as ranked by market capitalization.
The Russell 2000® Value Index measures the performance of those Russell 2000® Index companies with lower price-to-book ratios and lower forecasted growth values.
The S&P 500® Index is a broad based unmanaged index of 500 stocks, which is widely recognized as representative of the equity market in general.
One cannot invest directly in an index.
Must be preceded or accompanied by a prospectus.
Mutual fund investing involves risk. Principal loss is possible. Investing in micro-cap or small cap companies involve additional risks such as limited liquidity and greater volatility than large companies. Certain of the underlying Funds invest in foreign securities which involve greater volatility and political, economic and currency risks and differences in accounting methods. These risks are greater in emerging markets. Investments in debt securities typically decrease in value when interest rates rise. This risk is usually greater for longer-term debt securities. Growth stocks typically are more volatile than value stocks; however, value stocks have a lower expected growth rate in earnings and sales.
Shares of the Funds are distributed by Quasar Distributors, LLC.
2
MATSON MONEY VI PORTFOLIOS
Performance Data
February 28, 2017 (Unaudited)
Matson Money U.S. Equity VI Portfolio
Total Returns for the Periods Ended February 28, 2017 | |||
Average Annual | |||
Six | 1 Year | Since | |
Matson Money U.S. Equity VI Portfolio | 13.27% | 31.07% | 8.15%** |
Russell 2500® Index | 10.72% | 31.75% | 7.33%**** |
Composite Index*** | 12.45% | 32.86% | 9.08%**** |
* | 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. |
**** | Index information is not available as of the date of the inception of the Portfolio. The average annual returns for the Russell 2500® Index and the Composite Index are presented as of March 1, 2014. If the Portfolio had commenced operations on March 1, 2014, its average annual return since inception would have been 7.63%. |
The performance data quoted represents past performance. Past performance is not indicative of future results. Investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher. Returns shown include the reinvestment of all dividends and other distributions and do not reflect taxes that a shareholder would pay on Portfolio distributions or on the redemption of Portfolio shares. For performance data current to the most recent month-end, please call 1-866-780-0357 ext. 3863. The Portfolio’s annual operating expense ratio, as stated in the current prospectus is 1.23% (included in the ratio is 0.30% attributable to acquired fund fees and expenses).
The Portfolio’s aggregate total return since inception is based on an increase in net asset value from $25.00 per share on February 18, 2014 (commencement of operations) to $29.11 per share on February 28, 2017.
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.
3
MATSON MONEY VI PORTFOLIOS
Performance Data
February 28, 2017 (Unaudited)
Matson Money International Equity VI Portfolio
Total Returns for the Periods Ended February 28, 2017 | |||
Average Annual | |||
Six | 1 Year | Since | |
Matson Money International Equity VI Portfolio | 8.47% | 24.17% | 0.42%** |
MSCI World (excluding U.S.) Index | 5.05% | 16.57% | -0.63%**** |
Composite Index*** | 6.24% | 20.85% | 0.95%**** |
* | 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 Company Index, and MSCI Emerging Markets Index, weighted 25%, 25%, 25% and 25%, respectively. |
**** | Index information is not available as of the date of the inception of the Portfolio. The average annual returns for the MSCI World (excluding U.S.) Index and the Composite Index are presented as of March 1, 2014. If the Portfolio had commenced operations on March 1, 2014, its average annual return since inception would have been -0.09%. |
The performance data quoted represents past performance. Past performance is not indicative of future results. Investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher. Returns shown include the reinvestment of all dividends and other distributions and do not reflect taxes that a shareholder would pay on Portfolio distributions or on the redemption of Portfolio shares. For performance data current to the most recent month-end, please call 1-866-780-0357 ext. 3863. The Portfolio’s annual operating expense ratio, as stated in the current prospectus is 1.52% (included in the ratio is 0.50% attributable to acquired fund fees and expenses).
The Portfolio’s aggregate total return since inception is based on a decrease in net asset value from $25.00 per share on February 18, 2014 (commencement of operations) to $23.67 per share on February 28, 2017.
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.
4
MATSON MONEY VI PORTFOLIOS
Performance Data
February 28, 2017 (Unaudited)
Matson Money Fixed Income VI Portfolio
Total Returns for the Periods Ended February 28, 2017 | |||
Average Annual | |||
Six | 1 Year | Since | |
Matson Money Fixed Income VI Portfolio | -0.81% | 0.14% | 0.36%** |
Citigroup World Govt. Bond 1-5 Year Currency Hedged U.S. Dollar Index | -0.02% | 0.72% | 1.36%**** |
Composite Index*** | -0.86% | 0.57% | 1.28%**** |
* | 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 Bloomberg Barclays Aggregate Bond Index, weighted 25%, 25%, 25% and 25%, respectively. |
**** | Index information is not available as of the date of the inception of the Portfolio. The average annual returns for the Citigroup World Govt. Bond 1-5 Year Currency Hedged U.S. Dollar Index and the Composite Index are presented as of March 1, 2014. If the Portfolio had commenced operations on March 1, 2014, its average annual return since inception would have been 0.28%. |
The performance data quoted represents past performance. Past performance is not indicative of future results. Investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher. Returns shown include the reinvestment of all dividends and other distributions and do not reflect taxes that a shareholder would pay on Portfolio distributions or on the redemption of Portfolio shares. For performance data current to the most recent month-end, please call 1-866-780-0357 ext. 3863. The Portfolio’s annual operating expense ratio, as stated in the current prospectus is 1.05% (included in the ratio is 0.20% attributable to acquired fund fees and expenses).
The Portfolio’s aggregate total return since inception is based on a decrease in net asset value from $25.00 per share on February 18, 2014 (commencement of operations) to $24.87 per share on February 28, 2017.
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.
5
MATSON MONEY VI PORTFOLIOS
Fund Expense Examples
February 28, 2017
(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, 2016 through February 28, 2017, 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 the Portfolio’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in each Portfolio and other funds. To do so, compare these 5% hypothetical examples with the 5% hypothetical examples that appear in the shareholder reports of other funds.
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.
Matson Money U.S. Equity VI Portfolio | |||
Beginning Account Value | Ending Account Value | Expenses Paid | |
Actual | $1,000.00 | $1,132.70 | $4.23 |
Hypothetical (5% return before expenses) | 1,000.00 | 1,020.83 | 4.01 |
Matson Money International Equity VI Portfolio | |||
Beginning Account Value | Ending Account Value | Expenses Paid | |
Actual | $1,000.00 | $1,084.70 | $4.60 |
Hypothetical (5% return before expenses) | 1,000.00 | 1,020.38 | 4.46 |
6
MATSON MONEY VI PORTFOLIOS
Fund Expense Examples (Concluded)
February 28, 2017
(Unaudited)
Matson Money Fixed Income VI Portfolio | |||
Beginning Account Value | Ending Account Value | Expenses Paid | |
Actual | $1,000.00 | $ 991.90 | $3.85 |
Hypothetical (5% return before expenses) | 1,000.00 | 1,020.93 | 3.91 |
* | Expenses are equal to an annualized six-month expense ratio of 0.80%, 0.89% and 0.78% 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 (181), then divided by 365 to reflect the one-half year period. The annualized expense ratios do not reflect fees and expenses associated with the underlying funds. If such fees and expenses had been included, the expenses would have been higher. The range of weighted expense ratios of the underlying funds held by the Portfolios, as stated in the underlying funds’ current prospectuses, were as follows: |
Matson Money | Matson Money International | Matson Money Fixed Income VI Portfolio | |
0.01%-0.09% | 0.01%-0.05% | 0.01%-0.05% |
Each Portfolio’s ending account values on the first line in each table are based on the actual six-month total return for each Portfolio of 13.27% for Matson Money U.S. Equity VI Portfolio, 8.47% for the Matson Money International Equity VI Portfolio and -0.81% for the Matson Money Fixed Income VI Portfolio.
7
MATSON MONEY VI PORTFOLIOS
MATSON MONEY U.S. EQUITY VI PORTFOLIO
Portfolio of Investments
February 28, 2017
(Unaudited)
Number | Value | |||||||
EQUITY FUNDS — 98.1% | ||||||||
U.S. Large Cap Value Portfolio III (a) | 195,374 | $ | 5,034,792 | |||||
U.S. Large Company Portfolio (a) | 141,688 | 2,612,726 | ||||||
U.S. Micro Cap Portfolio (b) | 137,895 | 2,858,560 | ||||||
U.S. Small Cap Portfolio (b) | 83,795 | 2,869,144 | ||||||
U.S. Small Cap Value Portfolio (b) | 50,760 | 1,893,869 | ||||||
VA U.S. Large Value Portfolio (b) | 30,977 | 775,669 | ||||||
VA U.S. Targeted Value Portfolio (b) | 146,060 | 2,851,082 | ||||||
TOTAL EQUITY FUNDS | ||||||||
(Cost $17,176,722) | 18,895,842 | |||||||
SHORT-TERM INVESTMENTS — 2.0% | ||||||||
STIT-Government & Agency Portfolio, 0.47% | 382,529 | 382,529 | ||||||
TOTAL SHORT-TERM INVESTMENTS | ||||||||
(Cost $382,529) | 382,529 | |||||||
TOTAL INVESTMENTS — 100.1% | ||||||||
(Cost $17,559,251) | 19,278,371 | |||||||
LIABILITIES IN EXCESS OF OTHER ASSETS — (0.1)% | (24,852 | ) | ||||||
NET ASSETS — 100.0% | $ | 19,253,519 |
Portfolio Holdings Summary Table | ||||||||
% of | Value | |||||||
Equity Funds | 98.1 | % | $ | 18,895,842 | ||||
Short-Term Investments | 2.0 | % | 382,529 | |||||
Liabilities In Excess Of Other Assets | (0.1 | )% | (24,852 | ) | ||||
NET ASSETS | 100.0 | % | $ | 19,253,519 |
(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.
8
MATSON MONEY VI PORTFOLIOS
MATSON MONEY INTERNATIONAL EQUITY VI PORTFOLIO
Portfolio of Investments
February 28, 2017
(Unaudited)
Number | Value | |||||||
INTERNATIONAL EQUITY FUNDS — 98.3% | ||||||||
DFA International Small Cap Value Portfolio (a) | 191,887 | $ | 3,856,938 | |||||
DFA International Value Portfolio III (b) | 277,500 | 4,082,022 | ||||||
Emerging Markets Portfolio (a) | 28,955 | 720,701 | ||||||
Emerging Markets Small Cap Portfolio (a) | 32,545 | 672,382 | ||||||
Emerging Markets Value Portfolio (a) | 25,170 | 670,037 | ||||||
Large Cap International Portfolio (a) | 26,725 | 547,854 | ||||||
VA International Small Portfolio (b) | 195,483 | 2,347,745 | ||||||
VA International Value Portfolio (b) | 57,647 | 666,398 | ||||||
TOTAL INTERNATIONAL EQUITY FUNDS | ||||||||
(Cost $13,494,873) | 13,564,077 | |||||||
SHORT-TERM INVESTMENTS — 1.9% | ||||||||
STIT-Government & Agency Portfolio, 0.47% | 259,075 | 259,075 | ||||||
TOTAL SHORT-TERM INVESTMENTS | ||||||||
(Cost $259,075) | 259,075 | |||||||
TOTAL INVESTMENTS — 100.2% | ||||||||
(Cost $13,753,948) | 13,823,152 | |||||||
LIABILITIES IN EXCESS OF OTHER ASSETS — (0.2)% | (21,530 | ) | ||||||
NET ASSETS — 100.0% | $ | 13,801,622 |
Portfolio Holdings Summary Table | ||||||||
% of | Value | |||||||
International Equity Funds | 98.3 | % | $ | 13,564,077 | ||||
Short-Term Investments | 1.9 | % | 259,075 | |||||
Liabilities In Excess Of Other Assets | (0.2 | )% | (21,530 | ) | ||||
NET ASSETS | 100.0 | % | $ | 13,801,622 |
(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.
9
MATSON MONEY VI PORTFOLIOS
MATSON MONEY FIXED INCOME VI PORTFOLIO
Portfolio of Investments
February 28, 2017
(Unaudited)
Number | Value | |||||||
FIXED INCOME FUNDS — 98.5% | ||||||||
DFA Five-Year Global Fixed Income Portfolio (a) | 219,348 | $ | 2,399,663 | |||||
DFA Inflation Protected Securities Portfolio (a) | 100,825 | 1,195,779 | ||||||
DFA Intermediate Government Fixed Income Portfolio (a) | 116,039 | 1,443,531 | ||||||
DFA One-Year Fixed Income Portfolio (a) | 267,572 | 2,755,989 | ||||||
DFA Short-Term Government Portfolio (a) | 89,689 | 952,496 | ||||||
DFA Two-Year Global Fixed Income Portfolio (a) | 361,324 | 3,602,400 | ||||||
iShares 1-3 Year Credit Bond ETF | 54,715 | 5,759,301 | ||||||
iShares Intermediate Credit Bond ETF | 13,239 | 1,445,302 | ||||||
VA Global Bond Portfolio (a) | 336,945 | 3,598,573 | ||||||
VA Short-Term Fixed Portfolio (a) | 46,384 | 473,117 | ||||||
TOTAL FIXED INCOME FUNDS | ||||||||
(Cost $23,782,029) | 23,626,151 | |||||||
SHORT-TERM INVESTMENTS — 1.5% | ||||||||
STIT-Government & Agency Portfolio, 0.47% | 363,436 | 363,436 | ||||||
TOTAL SHORT-TERM INVESTMENTS | ||||||||
(Cost $363,436) | 363,436 | |||||||
TOTAL INVESTMENTS — 100.0% | ||||||||
(Cost $24,145,465) | 23,989,587 | |||||||
LIABILITIES IN EXCESS OF OTHER ASSETS — 0.0% | (5,330 | ) | ||||||
NET ASSETS — 100.0% | $ | 23,984,257 |
Portfolio Holdings Summary Table | ||||||||
% of | Value | |||||||
Fixed Income Funds | 98.5 | % | $ | 23,626,151 | ||||
Short-Term Investments | 1.5 | % | 363,436 | |||||
Liabilities In Excess Of Other Assets | 0.0 | % | (5,330 | ) | ||||
NET ASSETS | 100.0 | % | $ | 23,984,257 |
(a) | A portfolio of DFA Investment Dimensions Group Inc. |
ETF | Exchange-Traded Fund |
Portfolio holdings are subject to change at any time.
The accompanying notes are an integral part of the financial statements.
10
MATSON MONEY VI PORTFOLIOS
Statement of Assets and Liabilities
February 28, 2017
(Unaudited)
Matson Money | Matson Money | Matson Money | ||||||||||
ASSETS | ||||||||||||
Investments in non-affiliated funds, at value * | $ | 18,895,842 | $ | 13,564,077 | $ | 23,626,151 | ||||||
Short-term investments, at value * | 382,529 | 259,075 | 363,436 | |||||||||
Cash and cash equivalents | 10,635 | 10,772 | 23,746 | |||||||||
Receivables | ||||||||||||
Receivable for capital shares sold | — | — | 4,387 | |||||||||
Dividends and interest receivable | 104 | 54 | 145 | |||||||||
Prepaid expenses and other assets | 179 | 126 | 252 | |||||||||
Total assets | 19,289,289 | 13,834,104 | 24,018,117 | |||||||||
LIABILITIES | ||||||||||||
Payables | ||||||||||||
Advisory fees | 7,349 | 5,301 | 9,116 | |||||||||
Transfer agent fees | 4,653 | 2,559 | 413 | |||||||||
Capital shares redeemed | 2,444 | 4,125 | 95 | |||||||||
Administration and accounting fees | 1,278 | 642 | 2,526 | |||||||||
Other accrued expenses and liabilities | 20,046 | 19,855 | 21,710 | |||||||||
Total liabilities | 35,770 | 32,482 | 33,860 | |||||||||
Net assets | $ | 19,253,519 | $ | 13,801,622 | $ | 23,984,257 | ||||||
NET ASSETS CONSIST OF: | ||||||||||||
Par value | $ | 661 | $ | 583 | $ | 964 | ||||||
Paid-in capital | 16,998,039 | 13,845,869 | 24,120,735 | |||||||||
Undistributed/accumulated net investment income/(loss) | (25,427 | ) | (9,923 | ) | (3,376 | ) | ||||||
Accumulated net realized gain/(loss) from investments | 561,126 | (104,111 | ) | 21,812 | ||||||||
Net unrealized appreciation/(depreciation) on investments | 1,719,120 | 69,204 | (155,878 | ) | ||||||||
Net assets | $ | 19,253,519 | $ | 13,801,622 | $ | 23,984,257 | ||||||
Shares outstanding ($0.001 par value, 100,000,000 shares authorized) | 661,458 | 583,044 | 964,356 | |||||||||
Net asset value, offering and redemption price per share | $ | 29.11 | $ | 23.67 | $ | 24.87 | ||||||
*Identified Cost: | ||||||||||||
Investments in non-affiliated funds, at cost | $ | 17,176,722 | $ | 13,494,873 | $ | 23,782,029 | ||||||
Short-term investments, at cost | 382,529 | 259,075 | 363,436 |
The accompanying notes are an integral part of the financial statements.
11
MATSON MONEY VI PORTFOLIOS
Statement of Operations
For the Six Months Ended February 28, 2017
(Unaudited)
Matson Money | Matson Money | Matson Money | ||||||||||
INVESTMENT INCOME | ||||||||||||
Dividends from non-affiliated funds | $ | 162,522 | $ | 198,139 | $ | 195,940 | ||||||
Interest income | 315 | 177 | 446 | |||||||||
Total investment income | 162,837 | 198,316 | 196,386 | |||||||||
EXPENSES | ||||||||||||
Advisory fees (Note 2) | 45,608 | 32,097 | 56,092 | |||||||||
Audit fees | 13,748 | 14,837 | 12,060 | |||||||||
Custodian fees (Note 2) | 5,217 | 1,994 | 7,287 | |||||||||
Administration and accounting fees (Note 2) | 3,657 | 2,923 | 5,042 | |||||||||
Printing and shareholder reporting fees | 2,100 | 2,058 | 2,805 | |||||||||
Transfer agent fees (Note 2) | 346 | 249 | 1,292 | |||||||||
Directors and officers fees | 215 | 116 | 567 | |||||||||
Legal fees | 67 | — | 261 | |||||||||
Other expenses | 2,423 | 2,545 | 2,302 | |||||||||
Total expenses | 73,381 | 56,819 | 87,708 | |||||||||
Net investment income/(loss) | 89,456 | 141,497 | 108,678 | |||||||||
NET REALIZED AND UNREALIZED GAIN/(LOSS) FROM INVESTMENTS | ||||||||||||
Net realized gain/(loss) from: | ||||||||||||
Non-affiliated funds | 98,100 | (95,894 | ) | (644 | ) | |||||||
Capital gain distributions from non-affiliated fund investments | 528,164 | 129,891 | 31,398 | |||||||||
Net change in unrealized appreciation/(depreciation) on: | ||||||||||||
Non-affiliated funds | 1,580,836 | 893,555 | (313,097 | ) | ||||||||
Net realized and unrealized gain/(loss) on investments | 2,207,100 | 927,552 | (282,343 | ) | ||||||||
NET INCREASE/(DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ | 2,296,556 | $ | 1,069,049 | $ | (173,665 | ) |
The accompanying notes are an integral part of the financial statements.
12
MATSON MONEY U.S. EQUITY VI PORTFOLIO
Statements of Changes in Net Assets
For the | For the | |||||||
INCREASE/(DECREASE) IN NET ASSETS FROM OPERATIONS: | ||||||||
Net investment income/(loss) | $ | 89,456 | $ | 113,218 | ||||
Net realized gain/(loss) from investments | 626,264 | 624,602 | ||||||
Net change in unrealized appreciation/(depreciation) on investments | 1,580,836 | 737,034 | ||||||
Net increase/(decrease) in net assets resulting from operations | 2,296,556 | 1,474,854 | ||||||
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS FROM: | ||||||||
Net investment income | (135,895 | ) | (86,042 | ) | ||||
Net realized capital gains | (659,715 | ) | (484,664 | ) | ||||
Net decrease in net assets from dividends and distributions to shareholders | (795,610 | ) | (570,706 | ) | ||||
CAPITAL SHARE TRANSACTIONS: | ||||||||
Proceeds from shares sold | 1,449,639 | 3,821,426 | ||||||
Reinvestment of distributions | 795,610 | 570,706 | ||||||
Shares redeemed | (1,983,914 | ) | (1,403,047 | ) | ||||
Net increase/(decrease) in net assets from capital shares | 261,335 | 2,989,085 | ||||||
Total increase/(decrease) in net assets | 1,762,281 | 3,893,233 | ||||||
NET ASSETS: | ||||||||
Beginning of period | 17,491,238 | 13,598,005 | ||||||
End of period | $ | 19,253,519 | $ | 17,491,238 | ||||
Undistributed/accumulated net investment income/(loss), end of period | $ | (25,427 | ) | $ | 21,012 | |||
SHARES TRANSACTIONS: | ||||||||
Shares sold | 50,582 | 154,292 | ||||||
Dividends and distributions reinvested | 27,789 | 22,957 | ||||||
Shares redeemed | (69,619 | ) | (54,701 | ) | ||||
Net increase/(decrease) in shares outstanding | 8,752 | 122,548 |
The accompanying notes are an integral part of the financial statements.
13
MATSON MONEY INTERNATIONAL EQUITY VI PORTFOLIO
Statements of Changes in Net Assets
For the | For the | |||||||
INCREASE/(DECREASE) IN NET ASSETS FROM OPERATIONS: | ||||||||
Net investment income/(loss) | $ | 141,497 | $ | 221,669 | ||||
Net realized gain/(loss) from investments | 33,997 | 88,934 | ||||||
Net change in unrealized appreciation/(depreciation) on investments | 893,555 | 109,395 | ||||||
Net increase/(decrease) in net assets resulting from operations | 1,069,049 | 419,998 | ||||||
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS FROM: | ||||||||
Net investment income | (247,347 | ) | (116,572 | ) | ||||
Net realized capital gains | (166,208 | ) | (114,309 | ) | ||||
Net decrease in net assets from dividends and distributions to shareholders | (413,555 | ) | (230,881 | ) | ||||
CAPITAL SHARE TRANSACTIONS: | ||||||||
Proceeds from shares sold | 1,104,621 | 3,132,772 | ||||||
Reinvestment of distributions | 413,555 | 230,881 | ||||||
Shares redeemed | (939,546 | ) | (626,448 | ) | ||||
Net increase/(decrease) in net assets from capital shares | 578,630 | 2,737,205 | ||||||
Total increase/(decrease) in net assets | 1,234,124 | 2,926,322 | ||||||
NET ASSETS: | ||||||||
Beginning of period | 12,567,498 | 9,641,176 | ||||||
End of period | $ | 13,801,622 | $ | 12,567,498 | ||||
Undistributed/accumulated net investment income/(loss), end of period | $ | (9,923 | ) | $ | 95,927 | |||
SHARES TRANSACTIONS: | ||||||||
Shares sold | 47,903 | 146,738 | ||||||
Dividends and distributions reinvested | 18,446 | 10,645 | ||||||
Shares redeemed | (40,930 | ) | (28,686 | ) | ||||
Net increase/(decrease) in shares outstanding | 25,419 | 128,697 |
The accompanying notes are an integral part of the financial statements.
14
MATSON MONEY FIXED INCOME VI PORTFOLIO
Statements of Changes in Net Assets
For the | For the | |||||||
INCREASE/(DECREASE) IN NET ASSETS FROM OPERATIONS: | ||||||||
Net investment income/(loss) | $ | 108,678 | $ | 40,521 | ||||
Net realized gain/(loss) from investments | 30,754 | 113,595 | ||||||
Net change in unrealized appreciation/(depreciation) on investments | (313,097 | ) | 172,554 | |||||
Net increase/(decrease) in net assets resulting from operations | (173,665 | ) | 326,670 | |||||
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS FROM: | ||||||||
Net investment income | (107,491 | ) | — | |||||
Net realized capital gains | (106,213 | ) | (25,180 | ) | ||||
Net decrease in net assets from dividends and distributions to shareholders | (213,704 | ) | (25,180 | ) | ||||
CAPITAL SHARE TRANSACTIONS: | ||||||||
Proceeds from shares sold | 3,262,221 | 5,735,947 | ||||||
Reinvestment of distributions | 213,703 | 25,180 | ||||||
Shares redeemed | (1,031,235 | ) | (2,234,023 | ) | ||||
Net increase/(decrease) in net assets from capital shares | 2,444,689 | 3,527,104 | ||||||
Total increase/(decrease) in net assets | 2,057,320 | 3,828,594 | ||||||
NET ASSETS: | ||||||||
Beginning of period | 21,926,937 | 18,098,343 | ||||||
End of period | $ | 23,984,257 | $ | 21,926,937 | ||||
Undistributed/accumulated net investment income/(loss), end of period | $ | (3,376 | ) | $ | (4,563 | ) | ||
SHARES TRANSACTIONS: | ||||||||
Shares sold | 130,666 | 228,717 | ||||||
Dividends and distributions reinvested | 8,635 | 1,015 | ||||||
Shares redeemed | (41,265 | ) | (89,259 | ) | ||||
Net increase/(decrease) in shares outstanding | 98,036 | 140,473 |
The accompanying notes are an integral part of the financial statements.
15
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 | For the | For the | For the Period February 18, 2014(1) through | |||||||||||||
Per Share Operating Performance | ||||||||||||||||
Net asset value, beginning of period | $ | 26.80 | $ | 25.65 | $ | 26.79 | $ | 25.00 | ||||||||
Net investment income/(loss)(2) | 0.14 | 0.19 | 0.03 | (0.06 | ) | |||||||||||
Net realized and unrealized gain/(loss) on investments | 3.40 | 1.96 | (1.07 | ) | 1.85 | |||||||||||
Net increase/(decrease) in net assets resulting from operations | 3.54 | 2.15 | (1.04 | ) | 1.79 | |||||||||||
Dividends and distributions to shareholders from: | ||||||||||||||||
Net investment income/(loss) | (0.21 | ) | (0.15 | ) | (0.10 | ) | — | |||||||||
Net realized capital gains/(loss) | (1.02 | ) | (0.85 | ) | — | — | ||||||||||
Total dividends and distributions to shareholders | (1.23 | ) | (1.00 | ) | (0.10 | ) | — | |||||||||
Net asset value, end of period | $ | 29.11 | $ | 26.80 | $ | 25.65 | $ | 26.79 | ||||||||
Total investment return(3) | 13.27 | %(4) | 8.68 | % | (3.92 | )% | 7.16 | %(4) | ||||||||
Ratio/Supplemental Data | ||||||||||||||||
Net assets, end of period (000’s omitted) | $ | 19,254 | $ | 17,491 | $ | 13,598 | $ | 7,816 | ||||||||
Ratio of expenses to average net assets with waivers, if any(5) | 0.80 | %(6) | 0.93 | % | 1.13 | % | 1.13 | %(6) | ||||||||
Ratio of expenses to average net assets without waivers, if any(5) | 0.80 | %(6) | 0.93 | % | 1.44 | % | 4.07 | %(6) | ||||||||
Ratio of net investment income/(loss) to average net assets with waivers(5) | 0.98 | %(6) | 0.74 | % | 0.12 | % | (0.47 | )%(6) | ||||||||
Portfolio turnover rate | 9.35 | %(4) | 7.38 | % | 13.65 | % | 1.32 | %(4) |
(1) | Commencement of operations. |
(2) | The selected per share data is 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.
16
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 | For the | For the | For the Period February 18, 2014(1) through | |||||||||||||
Per Share Operating Performance | ||||||||||||||||
Net asset value, beginning of period | $ | 22.54 | $ | 22.48 | $ | 25.82 | $ | 25.00 | ||||||||
Net investment income/(loss)(2) | 0.25 | 0.44 | 0.22 | 0.07 | ||||||||||||
Net realized and unrealized gain/(loss) on investments | 1.62 | 0.10 | (3.26 | ) | 0.75 | |||||||||||
Net increase/(decrease) in net assets resulting from operations | 1.87 | 0.54 | (3.04 | ) | 0.82 | |||||||||||
Dividends and distributions to shareholders from: | ||||||||||||||||
Net investment income/(loss) | (0.44 | ) | (0.24 | ) | (0.30 | ) | — | |||||||||
Net realized capital gains/(loss) | (0.30 | ) | (0.24 | ) | — | (3) | — | |||||||||
Total dividends and distributions to shareholders | (0.74 | ) | (0.48 | ) | (0.30 | ) | — | |||||||||
Net asset value, end of period | $ | 23.67 | $ | 22.54 | $ | 22.48 | $ | 25.82 | ||||||||
Total investment return(4) | 8.47 | %(5) | 2.47 | % | (11.77 | )% | 3.28 | %(5) | ||||||||
Ratio/Supplemental Data | ||||||||||||||||
Net assets, end of period (000’s omitted) | $ | 13,802 | $ | 12,567 | $ | 9,641 | $ | 5,408 | ||||||||
Ratio of expenses to average net assets with waivers, if any(6) | 0.89 | %(7) | 1.02 | % | 1.35 | % | 1.35 | %(7) | ||||||||
Ratio of expenses to average net assets without waivers, if any(6) | 0.89 | %(7) | 1.02 | % | 1.67 | % | 5.07 | %(7) | ||||||||
Ratio of net investment income to average net assets with waivers(6) | 2.20 | %(7) | 2.03 | % | 0.91 | % | 0.49 | %(7) | ||||||||
Portfolio turnover rate | 5.71 | %(7) | 4.52 | % | 14.90 | % | 2.47 | %(5) |
(1) | Commencement of operations. |
(2) | The selected per share data is 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.
17
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 | For the | For the | For the Period February 18, 2014(1) through | |||||||||||||
Per Share Operating Performance | ||||||||||||||||
Net asset value, beginning of period | $ | 25.31 | $ | 24.93 | $ | 25.08 | $ | 25.00 | ||||||||
Net investment income/(loss)(2) | 0.12 | 0.05 | 0.03 | (0.05 | ) | |||||||||||
Net realized and unrealized gain/(loss) on investments | (0.32 | ) | 0.36 | (0.04 | ) | 0.13 | ||||||||||
Net increase/(decrease) in net assets resulting from operations | (0.20 | ) | 0.41 | (0.01 | ) | 0.08 | ||||||||||
Dividends and distributions to shareholders from: | ||||||||||||||||
Net investment income/(loss) | (0.12 | ) | — | (0.14 | ) | — | ||||||||||
Net realized capital gains/(loss) | (0.12 | ) | (0.03 | ) | — | — | ||||||||||
Total dividends and distributions to shareholders | (0.24 | ) | (0.03 | ) | (0.14 | ) | — | |||||||||
Net asset value, end of period | $ | 24.87 | $ | 25.31 | $ | 24.93 | $ | 25.08 | ||||||||
Total investment return(3) | (0.81 | )%(4) | 1.66 | % | (0.06 | )% | 0.32 | %(4) | ||||||||
Ratio/Supplemental Data | ||||||||||||||||
Net assets, end of period (000’s omitted) | $ | 23,984 | $ | 21,927 | $ | 18,098 | $ | 9,927 | ||||||||
Ratio of expenses to average net assets with waivers, if any(5) | 0.78 | %(6) | 0.85 | % | 1.00 | % | 1.00 | %(6) | ||||||||
Ratio of expenses to average net assets without waivers, if any(5) | 0.78 | %(6) | 0.85 | % | 1.37 | % | 3.40 | %(6) | ||||||||
Ratio of net investment income/(loss) to average net assets with waivers(5) | 0.97 | %(6) | 0.21 | % | 0.10 | % | (0.40 | )%(6) | ||||||||
Portfolio turnover rate | 2.44 | %(4) | 40.27 | % | 10.90 | % | 0.55 | %(4) |
(1) | Commencement of operations. |
(2) | The selected per share data is 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.
18
MATSON MONEY VI PORTFOLIOS
Notes to Financial Statements
February 28, 2017
(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-six 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 84.423 billion shares are currently classified into one hundred and seventy-one 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 (“NAV”) 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 (the “Board”). 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 valuation 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 Funds’ own assumptions in determining the fair value of investments). |
The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The following is a summary of the inputs used, as of February 28, 2017, in valuing the Portfolios’ investments carried at fair value:
MATSON MONEY U.S. EQUITY VI PORTFOLIO
Total Fair | Level 1 | Level 2 | Level 3 | |||||||||||||
Equity Funds | $ | 18,895,842 | $ | 18,895,842 | $ | — | $ | — | ||||||||
Short-Term Investments | 382,529 | 382,529 | — | — | ||||||||||||
Total | $ | 19,278,371 | $ | 19,278,371 | $ | — | $ | — |
* | Please refer to the Portfolio of Investments for further details. |
19
MATSON MONEY VI PORTFOLIOS
Notes to Financial Statements (Continued)
February 28, 2017
(Unaudited)
MATSON MONEY INTERNATIONAL EQUITY VI PORTFOLIO
Total Fair | Level 1 | Level 2 | Level 3 | |||||||||||||
International Equity Funds | $ | 13,564,077 | $ | 13,564,077 | $ | — | $ | — | ||||||||
Short-Term Investments | 259,075 | 259,075 | — | — | ||||||||||||
Total | $ | 13,823,152 | $ | 13,823,152 | $ | — | $ | — |
* | Please refer to the Portfolio of Investments for further details. |
MATSON MONEY FIXED INCOME VI PORTFOLIO
Total Fair | Level 1 | Level 2 | Level 3 | |||||||||||||
Fixed Income Funds | $ | 23,626,151 | $ | 23,626,151 | $ | — | $ | — | ||||||||
Short-Term Investments | 363,436 | 363,436 | — | — | ||||||||||||
Total | $ | 23,989,587 | $ | 23,989,587 | $ | — | $ | — |
* | 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 the Portfolios 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 28, 2017, there were no transfers between Levels 1, 2 and 3 for the Portfolios.
USE OF ESTIMATES — The Portfolios 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
20
MATSON MONEY VI PORTFOLIOS
Notes to Financial Statements (Continued)
February 28, 2017
(Unaudited)
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 Portfolios record security transactions based on trade date for financial reporting purposes. The cost of investments sold is determined by use of the specific identification method for both financial reporting and income tax purposes in determining realized gains and losses on investments. Interest income 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 Board deems fair or equitable. Expenses and fees, including investment advisory and administration fees, are accrued daily and taken into account for the purpose of determining the NAV of the Portfolios. In addition to the net annual operating expenses that the Portfolios bear directly, the shareholders indirectly bear the Portfolios’ pro-rata expenses of the underlying mutual funds in which each Portfolio invests.
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS — Dividends from net investment income and distributions from net realized capital gains, if any, are declared and paid at least annually to shareholders and recorded on the ex-dividend date for each Portfolio. Income dividends and capital gain distributions are determined in accordance with U.S. federal income tax regulations, which may differ from U.S. GAAP.
U.S. TAX STATUS — No provision is made for U.S. income taxes as it is each Portfolio’s intention to qualify for and elect the tax treatment applicable to regulated investment companies under Subchapter M of the Internal Revenue Code of 1986, as amended, and make the requisite distributions to its shareholders which will be sufficient to relieve it from U.S. income and excise taxes.
CASH AND CASH EQUIVALENTS — Cash and cash equivalents are valued at cost plus accrued interest, which approximates market value.
OTHER — In the normal course of business, the Portfolios may enter into contracts that provide general indemnifications. Each Portfolio’s maximum exposure under these arrangements is dependent on claims that may be made against the Portfolios in the future, and, therefore, cannot be estimated; however, 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. For its advisory services, 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, computed daily and payable monthly. 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:
21
MATSON MONEY VI PORTFOLIOS
Notes to Financial Statements (Continued)
February 28, 2017
(Unaudited)
acquired fund fees and expenses, brokerage commissions, extraordinary items, interest or taxes. This contractual limitation is in effect until December 31, 2017 and may not be terminated without the approval of the Board. The Adviser may discontinue these arrangements at any time after December 31, 2017.
BNY Mellon Investment Servicing (US) Inc. (“BNY Mellon”) served as administrator for the Portfolios through September 30, 2016. Effective October 1, 2016, U.S. Bancorp Fund Services, LLC (“USBFS”) serves as administrator for the Portfolios. For providing administrative and accounting services, USBFS is entitled to receive a monthly fee, subject to certain minimum and out of pocket expenses.
In addition, BNY Mellon served as the Portfolios’ transfer and dividend disbursing agent through November 18, 2016. Effective November 19, 2016, USBFS serves as the Portfolios’ transfer and dividend disbursing agent. For providing transfer agent services, USBFS is entitled to receive a monthly fee, subject to certain minimum and out of pocket expenses.
The Bank of New York Mellon provided certain custodial services to the Portfolios through November 18, 2016. Effective November 19, 2016, U.S. Bank, N.A. (the “Custodian”) provides certain custodial services to the Portfolios. The Custodian is entitled to receive a monthly fee, subject to certain minimum and out of pocket expenses.
Foreside Funds Distributors, LLC served as the principal underwriter and distributor of the Portfolios’ shares pursuant to a Distribution Agreement with RBB through November 18, 2016. Effective November 19, 2016, Quasar 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 period ended February 28, 2017 was $512. Employees of Vigilant Compliance, LLC serve as President, Chief Compliance Officer and Assistant Treasurer of the Company. Vigilant Compliance, LLC is compensated for the services provided to the Company. An employee of RBB serves as Treasurer and Secretary, and is compensated for services provided. Certain employees of USBFS serve as officers of the Company. They are not compensated by the Portfolios or the Company. For the period ended February 28, 2017, the Portfolios paid $386 in officer fees.
4. | Purchases and Sales of Investment Securities |
For the six months ended February 28, 2017, aggregate purchases and sales of investment securities (excluding short-term investments) of the Portfolios were as follows:
Purchases | Sales | |||||||
Matson Money U.S. Equity VI Portfolio | $ | 1,748,067 | $ | 1,691,728 | ||||
Matson Money International Equity VI Portfolio | 1,101,628 | 731,892 | ||||||
Matson Money Fixed Income VI Portfolio | 3,111,041 | 542,452 |
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.
22
MATSON MONEY VI PORTFOLIOS
Notes to Financial Statements (Continued)
February 28, 2017
(Unaudited)
As of February 28, 2017, the federal tax cost, aggregate gross unrealized appreciation and depreciation of securities held by each Portfolio were as follows*:
Federal Tax | Unrealized | Unrealized | Net | |||||||||||||
Matson Money U.S. Equity VI Portfolio | $ | 17,559,251 | $ | 1,719,120 | $ | — | $ | 1,719,120 | ||||||||
Matson Money International Equity VI Portfolio | 13,753,948 | 258,801 | (189,597 | ) | 69,204 | |||||||||||
Matson Money Fixed Income VI Portfolio | 24,145,465 | 14,140 | (170,018 | ) | (155,878 | ) |
* | Because tax adjustments are calculated annually at the end of the Funds’ fiscal year, the above table does not reflect tax adjustments for the current fiscal year. |
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.
The following permanent differences as of August 31, 2016, primarily attributable to reclassifications of short-term capital gain distributions, were reclassified among the following accounts:
Undistributed | Accumulated | Paid-In | ||||||||||
Matson Money U.S. Equity VI Portfolio | $ | 27,361 | $ | (27,361 | ) | $ | — | |||||
Matson Money International Equity VI Portfolio | 2,820 | (2,820 | ) | — | ||||||||
Matson Money Fixed Income VI Portfolio | 21,451 | (7,960 | ) | (13,491 | ) |
As of August 31, 2016, the components of distributable earnings on a tax basis were as follows:
Undistributed | Undistributed | Unrealized | Qualified | |||||||||||||
Matson Money U.S. Equity VI Portfolio | $ | 21,012 | $ | 653,371 | $ | 79,490 | $ | — | ||||||||
Matson Money International Equity VI Portfolio | 95,927 | 166,207 | (962,459 | ) | — | |||||||||||
Matson Money Fixed Income VI Portfolio | — | 104,780 | 149,684 | (4,563 | ) |
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.
23
MATSON MONEY VI PORTFOLIOS
Notes to Financial Statements (Concluded)
February 28, 2017
(Unaudited)
The tax characters of distributions paid during the fiscal year ended August 31, 2016 were as follows:
Ordinary | Long-Term | Total | |||||||||||
Matson Money U.S. Equity VI Portfolio | 2016 | $ | 86,042 | $ | 484,664 | $ | 570,706 | ||||||
Matson Money International Equity VI Portfolio | 2016 | 116,572 | 114,309 | 230,881 | |||||||||
Matson Money Fixed Income VI Portfolio | 2016 | — | 25,180 | 25,180 |
Distributions from net investment income and short-term capital gains are treated as ordinary income for federal income tax purposes.
Pursuant to federal income tax rules applicable to regulated investment companies, the Portfolios may elect to treat certain capital losses between November 1 and August 31 and late year ordinary losses ((i) ordinary losses between January 1 and August 31, and (ii) specified ordinary and currency losses between November 1 and August 31) as occurring on the first day of the following tax year. For the year ended August 31, 2016, any amount of losses elected within the tax return will not be recognized for federal income tax purposes until September 1, 2016.
For the fiscal year ended August 31, 2016, the Portfolios deferred to September 1, 2016, the following qualified late-year losses:
Late-Year | Short-Term | Long-Term | ||||||||||
Matson Money U.S. Equity VI Portfolio | $ | — | $ | — | $ | — | ||||||
Matson Money International Equity VI Portfolio | — | — | — | |||||||||
Matson Money Fixed Income VI Portfolio | (4,563 | ) | — | — |
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. 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, 2016, the Portfolios did not have any capital loss carryforwards.
6. | Subsequent Events |
Management has evaluated the impact of all subsequent events on the Portfolios through the date the financial statements were issued and has determined that there were no significant events requiring recognition or disclosure in the financial statements.
24
MATSON MONEY VI PORTFOLIOS
Other Information
(Unaudited)
Proxy Voting
Policies and procedures that the Portfolios use to determine how to vote proxies relating to portfolio securities as well as information regarding how the Portfolios voted proxies relating to portfolio securities for the most recent twelve-month period ended June 30 are available without charge, upon request, by calling Matson Money VI Portfolios at (866) 780-0357, ext. 3863 and on the 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.
25
Investment Adviser
Matson Money, Inc.
5955 Deerfield Blvd.
Mason, OH 45040
Administrator and Transfer Agent
U.S. Bancorp Fund Services, LLC
P.O. Box 701
Milwaukee, WI 53201
Principal Underwriter
Quasar Distributors, LLC
777 East Wisconsin Avenue, Floor 6
Milwaukee, WI 53202
Custodian
U.S. Bank, N.A.
1555 North Rivercenter Drive, Suite 302
Milwaukee, WI 53212
Independent Registered Public Accounting Firm
PricewaterhouseCoopers LLP
Two Commerce Square, Suite 1800
2001 Market Street
Philadelphia, PA 19103-7042
Legal Counsel
Drinker Biddle & Reath LLP
One Logan Square, Ste. 2000
Philadelphia, PA 19103-6996
Schneider |
of The RBB Fund, Inc.
Semi-Annual
February 28, 2017 |
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.
SCHNEIDER SMALL CAP VALUE FUND
Semi-Annual Investment Report
Performance Data
February 28, 2017 (Unaudited)
Average Annual Total Returns for the Periods Ended February 28, 2017 | |||||
Six | 1 Year | 5 Years | 10 Years | Since | |
Schneider Small Cap Value | 29.26% | 101.41% | 11.39% | 2.84% | 13.54% |
Russell 2000® Value Index | 14.70% | 38.36% | 11.09% | 4.10% | 7.71%** |
† | Not annualized. |
* | The Fund commenced operations on September 2, 1998. |
** | Benchmark performance is from inception date of the Fund only and is not the inception date of the benchmark itself. |
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, 2017, 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 2.13% 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
SCHNEIDER SMALL CAP VALUE FUND
Fund Expense Examples
February 28, 2017
(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 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, 2016 through February 28, 2017, and held for the entire period.
Actual Expenses
The first line of the accompanying table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The second line of the accompanying table provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare these 5% hypothetical examples with the 5% hypothetical examples that appear in the shareholder reports of other funds.
Please note that the expenses shown in the accompanying table is 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.
Beginning Account Value | Ending Account Value | Expenses Paid | |
Actual | $1,000.00 | $1,292.60 | $6.54 |
Hypothetical (5% return before expenses) | 1,000.00 | 1,019.09 | 5.76 |
* | Expenses are equal to the Fund’s annualized six-month expense ratio of 1.15%, which includes waived fees or reimbursed expenses, multiplied by the average account value over the period, multiplied by the number of days (181) in the most recent fiscal half-year, then divided by 365 to reflect the one-half year period. The Fund’s ending account value on the first line in the table is based on the actual six-month total return for the Fund as of February 28, 2017 of 29.26%. |
2
SCHNEIDER SMALL CAP VALUE FUND
Portfolio Holdings Summary Table
February 28, 2017
(Unaudited)
The following table presents a summary by sector of the portfolio holdings of the Fund:
% of | Value | |
Common Stocks: | ||
Oil & Gas | 30.3% | $ 14,293,872 |
Banks | 12.1 | 5,705,360 |
Commercial Services | 7.4 | 3,500,029 |
Telecommunications | 6.8 | 3,204,388 |
Electronics | 6.7 | 3,141,956 |
Machinery - Manufacturing | 5.5 | 2,595,299 |
Insurance | 5.2 | 2,440,124 |
Real Estate Investment Trusts | 3.8 | 1,776,440 |
Chemical Manufacturing | 2.6 | 1,208,114 |
Coal | 2.4 | 1,146,263 |
Home Builders | 1.8 | 859,716 |
Pharmaceuticals | 1.5 | 698,582 |
Semiconductor & Other Electronic Component Manufacturing | 0.9 | 418,962 |
Shipping | 0.8 | 374,120 |
Real Estate | 0.7 | 347,873 |
Auto Parts | 0.6 | 285,100 |
Health Care Equipment | 0.4 | 189,426 |
Logistics | 0.3 | 126,291 |
Insurance Carriers | 0.2 | 92,299 |
Management, Scientific, and Technical Consulting Services | 0.1 | 50,919 |
Warrants | 0.1 | 70,601 |
Securities Lending Collateral | 34.5 | 16,247,577 |
Short-Term Investments | 10.0 | 4,696,408 |
Liabilities In Excess Of Other Assets | (34.7) | (16,357,013) |
NET ASSETS | 100.0% | $ 47,112,706 |
Portfolio holdings are subject to change at any time.
The accompanying notes are an integral part of the financial statements.
3
SCHNEIDER SMALL CAP VALUE FUND
Portfolio of Investments
February 28, 2017
(Unaudited)
Shares | Value | |||||||
COMMON STOCKS — 90.1% | ||||||||
Auto Parts — 0.6% | ||||||||
Commercial Vehicle Group, Inc.* | 45,254 | $ | 285,100 | |||||
Banks — 12.1% | ||||||||
CIT Group, Inc. | 22,289 | 956,198 | ||||||
KeyCorp (a) | 122,826 | 2,305,448 | ||||||
OFG Bancorp | 38,686 | 499,049 | ||||||
Regions Financial Corp. | 60,070 | 917,269 | ||||||
The Bancorp, Inc.* | 198,339 | 1,027,396 | ||||||
5,705,360 | ||||||||
Chemical Manufacturing — 2.6% | ||||||||
AdvanSix, Inc.* | 26,133 | 712,908 | ||||||
The Chemours Co. | 14,712 | 495,206 | ||||||
1,208,114 | ||||||||
Coal — 2.4% | ||||||||
CONSOL Energy, Inc.* (a) | 73,620 | 1,146,263 | ||||||
Commercial Services — 7.4% | ||||||||
Aegean Marine Petroleum Network, Inc. (a) | 174,918 | 1,766,672 | ||||||
Herc Holdings, Inc.* | 32,029 | 1,655,579 | ||||||
Hudson Global, Inc. | 72,690 | 77,778 | ||||||
3,500,029 | ||||||||
Electronics — 6.7% | ||||||||
Kemet Corp.* | 290,116 | 3,141,956 | ||||||
Health Care Equipment — 0.4% | ||||||||
Invacare Corp. | 15,655 | 189,426 | ||||||
Home Builders — 1.8% | ||||||||
Builders FirstSource, Inc.* (a) | 10,000 | 129,400 | ||||||
Taylor Morrison Home Corp.* | 36,280 | 730,316 | ||||||
859,716 | ||||||||
Insurance — 5.2% | ||||||||
American Equity Investment Life Holding Co. | 47,724 | 1,284,253 | ||||||
Assured Guaranty Ltd. | 23,977 | 985,694 | ||||||
Genworth Financial, Inc.* | 41,608 | 170,177 | ||||||
2,440,124 | ||||||||
Insurance Carriers — 0.2% | ||||||||
Athene Holding Ltd.* | 1,776 | 92,299 | ||||||
Logistics — 0.3% | ||||||||
ModusLink Global Solutions, Inc.* | 87,097 | 126,291 | ||||||
Machinery - Manufacturing — 5.5% | ||||||||
Intevac, Inc.* (a) | 125,842 | 1,271,004 | ||||||
Terex Corp. | 42,391 | 1,324,295 | ||||||
2,595,299 | ||||||||
Management, Scientific, and Technical Consulting Services — 0.1% | ||||||||
R1 RCM, Inc.* | 23,794 |
| 50,919 | |||||
Oil & Gas — 30.3% | ||||||||
Approach Resources, Inc.* (a) | 3,480 | 9,222 | ||||||
Chesapeake Energy Corp.* (a) | 529,269 | 2,884,516 | ||||||
Comstock Resources, Inc.* | 3,500 | 32,795 | ||||||
C&J Energy Services, Inc. (a) | 417,590 | — | ||||||
Goodrich Petroleum Corp* | 4,774 | 65,881 | ||||||
Halcon Resources Corp.* (a) | 264,938 | 2,145,998 | ||||||
Scorpio Tankers, Inc. (a) | 45,029 | 173,362 | ||||||
Swift Energy Co.* | 10,094 | 295,250 | ||||||
Weatherford International PLC* (a) | 1,044,309 | 5,910,789 | ||||||
Whiting Petroleum Corp.* | 165,952 | 1,800,579 | ||||||
Willbros Group, Inc.* | 325,160 | 975,480 | ||||||
14,293,872 | ||||||||
Pharmaceuticals — 1.5% | ||||||||
Endo International PLC* | 41,073 | 560,646 | ||||||
Insys Therapeutics, Inc.* (a) | 10,810 | 137,936 | ||||||
698,582 | ||||||||
Real Estate — 0.7% | ||||||||
Alexander & Baldwin, Inc. | 163 | 7,307 | ||||||
Dundee Corp.* | 3,633 | 13,346 | ||||||
Forestar Group, Inc.* | 24,603 | 327,220 | ||||||
347,873 | ||||||||
Real Estate Investment Trusts — 3.8% | ||||||||
Cousins Properties, Inc. | 29,514 | 252,342 | ||||||
Forest City Realty Trust, Inc. | 23,473 | 536,358 | ||||||
NorthStar Realty Europe Corp. | 68,946 | 837,004 | ||||||
RAIT Financial Trust* | 44,862 | 150,736 | ||||||
1,776,440 | ||||||||
Semiconductor & Other Electronic Component Manufacturing — 0.9% | ||||||||
Axcelis Technologies, Inc.* | 27,117 | 418,962 | ||||||
Shipping — 0.8% | ||||||||
Ardmore Shipping Corp. | 54,616 | 374,120 | ||||||
Telecommunications — 6.8% | ||||||||
Aviat Networks, Inc.* | 164,662 | 2,552,256 | ||||||
UTStarcom Holdings Corp.* | 383,607 | 652,132 | ||||||
3,204,388 | ||||||||
TOTAL COMMON STOCKS (Cost $36,500,872) | 42,455,133 |
The accompanying notes are an integral part of the financial statements.
4
SCHNEIDER SMALL CAP VALUE FUND
Portfolio of Investments (Concluded)
February 28, 2017
(Unaudited)
Shares | Value | |||||||
WARRANTS — 0.1% | ||||||||
Oil & Gas — 0.1% | ||||||||
C&J Energy Services, Inc. | 4,153 | $ | 70,601 | |||||
TOTAL WARRANTS (Cost $—) | 70,601 | |||||||
SECURITIES LENDING COLLATERAL— 34.5% | ||||||||
Mount Vernon Liquid Assets Portfolio, LLC, 0.97% | 16,247,577 | 16,247,577 | ||||||
TOTAL SECURITIES LENDING COLLATERAL (Cost $16,247,577) | 16,247,577 | |||||||
SHORT-TERM INVESTMENTS — 10.0% | ||||||||
STIT-Treasury Obligations Portfolio, 0.38% | 4,696,408 | 4,696,408 | ||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $4,696,408) | 4,696,408 | |||||||
TOTAL INVESTMENTS — 134.7% (Cost $57,444,857) | 63,469,719 | |||||||
LIABILITIES IN EXCESS OF OTHER ASSETS — (34.7)% | (16,357,013 | ) | ||||||
NET ASSETS — 100.0% | $ | 47,112,706 |
* | Non-income producing. |
(a) | All or a portion of the security is on loan. At February 28, 2017, the market value of securities on loan was $15,401,389. |
PLC | Public Limited Company |
The accompanying notes are an integral part of the financial statements.
5
SCHNEIDER SMALL CAP VALUE FUND
Statement of Assets and Liabilities
February 28, 2017
(Unaudited)
ASSETS | ||||
Investments, at value‡^ | $ | 58,773,311 | ||
Short-term investments, at value‡ | 4,696,408 | |||
Cash and cash equivalents | 68,863 | |||
Receivables for: | ||||
Investments sold | 34,289 | |||
Dividends and interest | 12,664 | |||
Prepaid expenses and other assets | 21,085 | |||
Total assets | 63,606,620 | |||
LIABILITIES | ||||
Payables for: | ||||
Securities lending collateral | 16,247,577 | |||
Investments purchased | 174,568 | |||
Administration and accounting fees | 26,026 | |||
Advisory fees | 23,762 | |||
Other accrued expenses and liabilities | 21,981 | |||
Total liabilities | 16,493,914 | |||
Net assets | $ | 47,112,706 | ||
NET ASSETS CONSIST OF: | ||||
Par value | $ | 2,749 | ||
Paid-in capital | 39,191,998 | |||
Undistributed/accumulated net investment income/(loss) | (56,294 | ) | ||
Accumulated net realized gain/(loss) from investments | 1,949,391 | |||
Net unrealized appreciation/(depreciation) on investments | 6,024,862 | |||
Net assets | $ | 47,112,706 | ||
Shares outstanding ($0.001 par value, 100,000,000 shares authorized) | 2,749,259 | |||
Net asset value, offering and redemption price per share | $ | 17.14 | ||
‡Identified Cost: | ||||
Investments in securities, at cost | $ | 36,500,872 | ||
Short-term investments, at cost | $ | 4,696,408 | ||
^Includes market value of securities on loan | $ | 15,401,389 |
The accompanying notes are an integral part of the financial statements.
6
SCHNEIDER SMALL CAP VALUE FUND
Statement of Operations
For the Six Months Ended February 28, 2017
(Unaudited)
INVESTMENT INCOME | ||||
Dividends (net of foreign withholding taxes of $587) | $ | 188,324 | ||
Securities lending income | 22,811 | |||
Interest | 6,195 | |||
Total investment income | 217,330 | |||
EXPENSES | ||||
Advisory fees (Note 2) | 211,963 | |||
Administration and accounting fees (Note 2) | 51,152 | |||
Audit fees | 20,288 | |||
Transfer agent fees (Note 2) | 17,060 | |||
Registration and filing fees | 12,176 | |||
Printing and shareholder reporting fees | 9,460 | |||
Directors and officers fees | 8,625 | |||
Legal fees | 5,961 | |||
Custodian fees (Note 2) | 3,977 | |||
Other expenses | 15,137 | |||
Total expenses before waivers and reimbursements | 355,799 | |||
Less: waivers and reimbursements | (112,042 | ) | ||
Net expenses after waivers and reimbursements | 243,757 | |||
Net investment income/(loss) | (26,427 | ) | ||
NET REALIZED AND UNREALIZED GAIN/(LOSS) FROM INVESTMENTS | ||||
Net realized gain/(loss) from investments | 6,030,093 | |||
Net change in unrealized appreciation/(depreciation) on investments | 4,700,534 | |||
Net realized and unrealized gain/(loss) on investments | 10,730,627 | |||
NET INCREASE/(DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ | 10,704,200 |
The accompanying notes are an integral part of the financial statements.
7
SCHNEIDER SMALL CAP VALUE FUND
Statements of Changes in Net Assets
For the | For the | |||||||
INCREASE/(DECREASE) IN NET ASSETS FROM OPERATIONS: | ||||||||
Net investment income/(loss) | $ | (26,427 | ) | $ | 59,833 | |||
Net realized gain/(loss) from investments | 6,030,093 | (366,594 | ) | |||||
Net change in unrealized appreciation/(depreciation) on investments | 4,700,534 | 5,410,981 | ||||||
Net increase/(decrease) in net assets resulting from operations | 10,704,200 | 5,104,220 | ||||||
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS FROM: | ||||||||
Net investment income | — | (64,790 | ) | |||||
Net realized capital gains | — | (66,774 | ) | |||||
Net decrease in net assets from dividends and distributions to shareholders | — | (131,564 | ) | |||||
CAPITAL SHARE TRANSACTIONS: | ||||||||
Proceeds from shares sold | 5,001,457 | 8,645,264 | ||||||
Reinvestment of distributions | — | 106,161 | ||||||
Redemption fees* | 40,661 | 2,304 | ||||||
Shares redeemed | (5,507,954 | ) | (7,239,161 | ) | ||||
Net increase/(decrease) in net assets from capital shares | (465,836 | ) | 1,514,568 | |||||
Total increase/(decrease) in net assets | 10,238,364 | 6,487,224 | ||||||
NET ASSETS: | ||||||||
Beginning of period | 36,874,342 | 30,387,118 | ||||||
End of period | $ | 47,112,706 | $ | 36,874,342 | ||||
Undistributed/accumulated net investment income/(loss), end of period | $ | (56,294 | ) | $ | (29,867 | ) | ||
SHARES TRANSACTIONS: | ||||||||
Shares sold | 316,725 | 686,021 | ||||||
Dividends and distributions reinvested | — | 9,931 | ||||||
Shares redeemed | (348,641 | ) | (678,484 | ) | ||||
Net increase/(decrease) in shares outstanding | (31,916 | ) | 17,468 |
* | There is a 1.75% redemption fee on shares redeemed which have been held less than one year. 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
SCHNEIDER SMALL CAP VALUE 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 Years Ended August 31, | ||||||||||||||||||||||||
For the | 2016 | 2015 | 2014 | 2013 | 2012 | |||||||||||||||||||
Per Share Operating Performance | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 13.26 | $ | 11.00 | $ | 20.16 | $ | 21.07 | $ | 16.09 | $ | 13.70 | ||||||||||||
Net investment income/(loss) | (0.01 | )(1) | 0.03 | (1) | (0.01 | )(1) | (0.09 | )(1) | 0.08 | (1) | (0.11 | ) | ||||||||||||
Net realized and unrealized gain/(loss) on investments | 3.88 | 2.29 | (4.53 | ) | 2.63 | 4.90 | 2.49 | |||||||||||||||||
Net increase/(decrease) in net assets resulting from operations | 3.87 | 2.32 | (4.54 | ) | 2.54 | 4.98 | 2.38 | |||||||||||||||||
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 | ) | — | — | |||||||||||||||
Redemption fees | 0.01 | — | (2) | — | (2) | — | (2) | — | (2) | 0.01 | ||||||||||||||
Net asset value, end of period | $ | 17.14 | $ | 13.26 | $ | 11.00 | $ | 20.16 | $ | 21.07 | $ | 16.09 | ||||||||||||
Total investment return(3) | 29.26 | %(5) | 21.15 | % | (25.88 | )% | 12.59 | % | 30.95 | % | 17.45 | % | ||||||||||||
Ratio/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (000’s omitted) | $ | 47,113 | $ | 36,874 | $ | 30,387 | $ | 61,240 | $ | 70,556 | $ | 62,691 | ||||||||||||
Ratio of expenses to average net assets(4) | 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 | 1.68 | %(6) | 2.13 | % | 1.82 | % | 1.52 | % | 1.50 | % | 1.52 | % | ||||||||||||
Ratio of net investment income/(loss) to average net assets(4) | (0.12 | )%(6) | 0.23 | % | (0.05 | )% | (0.44 | )% | 0.38 | % | (0.64 | )% | ||||||||||||
Portfolio turnover rate | 47.53 | %(5) | 113.69 | % | 88.80 | % | 72.33 | % | 63.87 | % | 67.85 | % |
(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) | Reflects waivers and reimbursements. |
(5) | Not annualized. |
(6) | Annualized. |
The accompanying notes are an integral part of the financial statements.
9
SCHNEIDER SMALL CAP VALUE FUND
Notes to Financial Statements
February 28, 2017
(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-six active investment portfolios, including the Schneider Small Cap Value Fund (the “Fund”), which commenced investment operations on September 2, 1998. As of the date hereof, the Fund offers Institutional Class Shares.
RBB has authorized capital of one hundred billion shares of common stock of which 84.423 billion shares are currently classified into one hundred and seventy-one 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. Foreign securities are valued based on prices from the primary market in which they are traded, and are translated from the local currency into U.S. dollars using current exchange rates. Investments in other open-end investment companies are valued based on the NAV of the investment companies (which may use fair value pricing as discussed in their prospectuses). If market quotations are unavailable or deemed unreliable, securities will be valued in accordance with procedures adopted by the Company’s Board of Directors (the “Board”). Relying on prices supplied by pricing services or dealers or using fair valuation may result in values that are higher or lower than the values used by other investment companies and investors to price the same investments.
FAIR VALUE MEASUREMENTS — The inputs and valuation techniques used to measure fair value of the Fund’s investments are summarized into three levels as described in the hierarchy below:
● | Level 1 — 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 methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
10
SCHNEIDER SMALL CAP VALUE FUND
Notes to Financial Statements (Continued)
February 28, 2017
(Unaudited)
The following is a summary of the inputs used, as of February 28, 2017, in valuing the Fund’s investments carried at fair value:
Total Fair | Level 1 | Level 2 | Level 3 | |||||||||||||
Common Stocks | $ | 42,455,133 | $ | 42,389,252 | $ | 65,881 | $ | — | ||||||||
Warrants | 70,601 | 70,601 | — | — | ||||||||||||
Short-Term Investments | 4,696,408 | 4,696,408 | — | — | ||||||||||||
Securities Lending Collateral | 16,247,577 | 16,247,577 | — | — | ||||||||||||
Total* | $ | 63,469,719 | $ | 63,403,838 | $ | 65,881 | $ | — |
* | 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 period, management evaluates the classification of Levels 1, 2 and 3 assets. 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 an active market existed for such investments and may differ materially from the values the Fund may ultimately realize. Further, such investments may be subject to legal and other restrictions on resale or otherwise less liquid than publicly traded securities.
For fair valuations using significant unobservable inputs, U.S. generally accepted accounting principles (“U.S. GAAP”) 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 28, 2017, there were no significant transfers between Levels 1, 2 and 3 for the Fund.
11
SCHNEIDER SMALL CAP VALUE FUND
Notes to Financial Statements (Continued)
February 28, 2017
(Unaudited)
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 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. The 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 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.
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 Fund 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 the Fund’s intention to qualify or continue to qualify for and elect the tax treatment applicable to regulated investment companies under Subchapter M of the Internal Revenue Code of 1986, as amended, and make the requisite distributions to its shareholders which will be sufficient to relieve it from U.S. income and excise taxes.
CASH AND CASH EQUIVALENTS — Cash and cash equivalents are valued at cost plus accrued interest, which approximates market value.
REDEMPTION FEES — The Fund imposes a redemption fee of 1.75% on redemptions and exchanges of Fund shares held less than one year. 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.
12
SCHNEIDER SMALL CAP VALUE FUND
Notes to Financial Statements (Continued)
February 28, 2017
(Unaudited)
2. | Investment Adviser and Other Services |
Schneider Capital Management Company (“SCM” or the “Adviser”) serves as the Fund’s investment adviser. For its advisory services, SCM is entitled to receive 1.00% of the Fund’s average daily net assets, computed daily and paid monthly.
SCM has contractually agreed to waive advisory fees and/or reimburse expenses to the extent that Total Annual Operating Expenses (excluding certain items discussed below) of the Fund exceed 1.15%. 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%: acquired fund fees and expenses, brokerage commissions, extraordinary items, interest and taxes. This contractual limitation is in effect until December 31, 2017 and may not be terminated without the approval of the Board.
For the six months ended February 28, 2017, advisory fees and waivers of advisory fees were as follows:
Gross Advisory | Waivers | Net Advisory |
$211,963 | $(112,042) | $99,921 |
The Fund 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”) served as administrator for the Fund through November 18, 2016. Effective November 19, 2016, U.S. Bancorp Fund Services, LLC (“USBFS”) serves as administrator for the Fund. For providing administrative and accounting services, USBFS is entitled to receive a monthly fee, subject to certain minimum and out of pocket expenses.
In addition, BNY Mellon served as the Fund’s transfer and dividend disbursing agent through November 18, 2016. Effective November 19, 2016, USBFS serves as the Fund’s transfer and dividend disbursing agent. For providing transfer agent services, USBFS is entitled to receive a monthly fee, subject to certain minimum and out of pocket expenses.
The Bank of New York Mellon provided certain custodial services to the Fund through November 18, 2016. Effective November 19, 2016, U.S. Bank, N.A. (the “Custodian”) provides certain custodial services to the Fund. The Custodian is entitled to receive a monthly fee, subject to certain minimum and out of pocket expenses.
Foreside Funds Distributors, LLC served as the principal underwriter and distributor of the Fund’s shares pursuant to a Distribution Agreement with RBB through November 18, 2016. Effective November 19, 2016, Quasar 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 period ended February 28, 2017 was $4,916. Employees of Vigilant Compliance, LLC serve as President, Chief Compliance Officer and Assistant Treasurer of the Company. Vigilant Compliance, LLC is compensated for the services provided to the Company. An employee of RBB serves as Treasurer and Secretary, and is compensated for services provided. Certain employees of USBFS serve as officers of the Company. They are not compensated by the Fund or the Company. For the period ended February 28, 2017, the Fund paid $3,709 in officer fees.
13
SCHNEIDER SMALL CAP VALUE FUND
Notes to Financial Statements (Continued)
February 28, 2017
(Unaudited)
4. | Purchases and Sales of Investment Securities |
For the six months ended February 28, 2017, aggregate purchases and sales of investment securities (excluding short-term investments) were as follows:
Purchases | Sales |
$19,455,669 | $22,007,468 |
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 28, 2017, the federal tax cost and aggregate gross unrealized appreciation and depreciation of securities held by the Fund was as follows*:
Federal Tax | Unrealized | Unrealized | Net |
$57,444,857 | $8,933,247 | $(2,908,385) | $6,024,862 |
* | Because tax adjustments are calculated annually at the end of the Fund’s fiscal year, the above table does not reflect tax adjustments for the current fiscal year. |
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.
The following permanent differences as of August 31, 2016, primarily attributable to short-term capital gains being netted against net operating loss, were reclassified among the following accounts:
Undistributed Net | Accumulated | Paid-In |
$1,248 | $67,024 | $(68,272) |
As of August 31, 2016, the components of distributable earnings on a tax basis were as follows:
Capital Loss | Undistributed | Undistributed | Net | Qualified |
$(56,873) | $— | $— | $(349,892) | $(2,379,477) |
14
SCHNEIDER SMALL CAP VALUE FUND
Notes to Financial Statements (Continued)
February 28, 2017
(Unaudited)
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, 2016 was as follows:
Ordinary | Long-Term | Return of | Total |
$63,293 | $— | $68,272 | $131,565 |
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 year ended August 31, 2016, any amount of losses elected within the tax return will not be recognized for federal income tax purposes until September 1, 2016.
For the fiscal year ended August 31, 2016, the Fund deferred to September 1, 2016, the following losses:
Late-Year | Short-Term | Long-Term |
$29,867 | $— | $2,349,610 |
Accumulated capital losses represent net capital loss carryforwards as of August 31, 2016 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, 2016, the Fund had capital loss carryforwards of $56,873, all of which are long-term capital losses and have an unlimited period of capital loss carryforward.
6. | Securities Lending |
The Fund may make secured loans of its 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 Fund 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 Fund will pay administrative and custodial fees in connection with the loan of securities. Collateral is invested in short-term investments and the Fund will bear the risk of loss of the invested collateral. Securities lending will expose the Fund 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 28, 2017 and the income received for the six months ended February 28, 2017 were as follows:
Fair Value of | Fair Value | Income Received |
$15,401,389 | $16,247,577 | $22,811 |
15
SCHNEIDER SMALL CAP VALUE FUND
Notes to Financial Statements (Concluded)
February 28, 2017
(Unaudited)
Securities lending transactions are entered into by the Fund under a Master Securities Lending Agreement (“MSLA”) which permits the Fund, under certain circumstances including an event of default (such as bankruptcy or insolvency), to offset amounts payable by the Fund to the same counterparty against amounts to be received and create one single net payment due to or from the Fund. The following table is a summary of the Fund’s open securities lending transactions which are subject to a MSLA as of February 28, 2017:
Gross Amount Not Offset in the | |||||
Gross Amounts of | Gross Amounts | Net Amounts of | Financial | Cash | Net |
$15,401,389 | $— | $15,401,389 | $(15,401,389) | $— | $— |
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. |
7. | Subsequent Events |
Management has evaluated the impact of all subsequent events on the Fund through the date the financial statements were issued, and has determined that there were no significant events requiring recognition or disclosure in the financial statements.
16
SCHNEIDER SMALL CAP VALUE 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) 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.
17
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Investment Adviser
Schneider Capital Management
460 E. Swedesford Road
Suite 1080
Wayne, PA 19087
Administrator and Transfer Agent
U.S. Bancorp Fund Services, LLC
P.O. Box 701
Milwaukee, WI 53201
Principal Underwriter
Quasar Distributors, LLC
777 East Wisconsin Avenue, Floor 6
Milwaukee, WI 53202
Custodian
U.S. Bank, N.A.
1555 North Rivercenter Drive, Suite 302
Milwaukee, WI 53212
Independent Registered Public Accounting Firm
PricewaterhouseCoopers LLP
Two Commerce Square, Suite 1800
2001 Market Street
Philadelphia, PA 19103-7042
Legal Counsel
Drinker Biddle & Reath LLP
One Logan Square, Ste. 2000
Philadelphia, PA 19103-6996
SUMMIT GLOBAL INVESTMENTS
U.S. LOW VOLATILITY EQUITY FUND
SUMMIT GLOBAL INVESTMENTS
SMALL CAP LOW VOLATILITY FUND
of
The RBB Fund, Inc.
SEMI-ANNUAL REPORT
February 28, 2017
(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 28, 2017
(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 (SGI) to do what we love every day; 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 strongly believe 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 return seems unwarranted. Investing for return must always be weighed against the risk of the investments.
Since our last letter to shareholders dated August 31, 2016, U.S. equities have experienced quite the ride with the U.S. Low Volatility Equity Fund (“the Fund”) Class I Shares returning 4.52% vs. 10.01% for the S&P 500® Index (the “Index”), thus underperforming the Index by 5.49%. The current beta1 for the Fund, as of February 28, 2017 was 0.74.
The riskiest stocks drove the market higher with the S&P 500® High Beta Index (“HBI”) returning 18.08% from August 31, 2016 to February 28, 2017. High risk, high return has proven elusive. Looking back over the past twenty years from February 28, 1997 to February 28, 2017, we find a few important observations or investing lessons. First, the HBI has underperformed both the Index and the S&P 500® Low Beta Index (LBI)2. Second, there are times when the HBI outperforms but these have come prior to large equity bubbles, e.g., the ‘Technology Bubble’ in 20003 and the run up to the “Great Financial Crisis” of 20084. The last observation is that after each run of high risk stocks the HBI significantly underperformed5.
Although SGI underperformed its market benchmark since our last shareholder letter, this is certainly not the “end” of volatility or market corrections. We believe, given the current market conditions and expectations, the market is susceptible to higher volatility and market corrections.
We have been asked if low volatility investing is a crowded trade. Looking at the empirical data the numbers don’t bear it out. Overall passive investing has been growing 2% per annum (over active) or $17 billion per month. Passive strategies now account for 43% of managed assets. Within active strategies only 1% flow into low-volatility equity (for comparison, 23% are in active value strategies.) If active low-volatility equity strategies had inflows of $2 billion per month it would take over 20 years for low volatility to make up 10% of AUM in active strategies.
During the 4th quarter of 2016, the market squarely shifted back to the early acceleration stage and has experienced quite a ride. The flip-side is the market is ‘long in the tooth’. At 91 months between recessions it’s the third longest in history, with only March 1961 to December 1969 and May 1991 to March 2001 with longer periods.
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. |
2 | From February 28, 1997 to February 28, 2017 the S&P 500® High Beta Index returned 179.79% vs. the S&P 500® Index returned 333.94% vs. the S&P 500® Low Beta Index returned 537.69%. Returns are cumulative. |
3 | From February 28, 1997 to August 31, 2000 the S&P 500® High Beta Index returned 201.71% vs. the S&P 500® Index returned 101.67% vs. the S&P 500® Low Beta Index returned 35.48%. Returns are cumulative |
4 | From August 31, 2004 to August 31, 2007 the S&P 500® High Beta Index returned 48.93% vs. the S&P 500® Index returned 41.04% vs. the S&P 500® Low Beta Index returned 34.20%. Returns are cumulative. |
5 | From August 31, 2000 to August 31, 2004 the S&P 500® High Beta Index returned–53.36% vs. the S&P 500® Index returned–22.56% vs. the S&P 500® Low Beta Index returned positive 48.63%. From August 31, 2007 to August 31, 2011 the S&P 500® High Beta Index returned–36.41% vs. the S&P 500® Index returned–9.63% vs. the S&P 500® Low Beta Index returned 12.39%. Returns are cumulative. |
1
SUMMIT GLOBAL INVESTMENTS
U.S. Low Volatility Equity Fund
Semi-Annual Investment Adviser’s Report (Continued)
February 28, 2017
(Unaudited)
Market Valuations Are Stretched
As we wrote in our last letter, the market rise has been supported by increasing earnings until recently (see accompanying chart 1) when the market surged ahead despite falling earnings. This growing disconnect between prices and earnings will be resolved by either a fall in market prices or a dramatic increase in earnings. It’s difficult to believe earnings rebounding so strongly with oil prices rising, wages ticking up, and profit margins decreasing. Our view is to be more cautious ahead. We see little-to-sluggish growth in earnings, unless serious legislation is passed.
Low Volatility seeks to Protect when the VIX Spikes
We believe short-term market timing of asset classes and styles is very difficult. Over full business cycles, the Fund has historically generated market returns with a smoother ride (see accompany chart 2 on VIX). Lower volatility portfolios seek to provide downside protection during periods of increased market risk.
2
SUMMIT GLOBAL INVESTMENTS
U.S. Low Volatility Equity Fund
Semi-Annual Investment Adviser’s Report (Continued)
February 28, 2017
(Unaudited)
The VIX has spiked several times during the last two years (e.g., Russia invading the Ukraine, the Ebola outbreak, Brexit, etc.) Once fear subsided, the VIX fell lower. (The chart 2 shows the relative performance of the Fund and VIX levels.)
With the VIX currently at all-time lows, if there were a ‘good entry point’ for low-volatility equity, now might be that time as valuations have become relatively cheaper.
SGI’s Multi-Factor, Multi-Faceted Investment Approach
We believe a blended or multi-factor approach is more consistent than any single factor which may go in and out of favor. Utilizing a multi-factor approach seeks to provide a smoother ride through full market cycles and seeks to outperform the Index while attempting to limit the potential return extremes of single factor exposure.
SGI’s proprietary investment model blends multiple factors (e.g., risk, valuation, growth, momentum, quality) to quantitatively analyze equities. In addition, we conduct a fundamental risk over-lay to examine risks not easily quantifiable. We believe these processes, utilizing both quantitative and qualitative inputs has better potential to protect and grow client assets.
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 can be effective over full market cycles.
3
SUMMIT GLOBAL INVESTMENTS
U.S. Low Volatility Equity Fund
Semi-Annual Investment Adviser’s Report (Concluded)
February 28, 2017
(Unaudited)
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 may provide lower price fluctuations, the potential for more consistent and reliable returns with smaller drawdowns, and adds increased diversification when combined with other investment strategies. Our approach considers 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, the Fund seeks to outperform the Index over a full market cycle while reducing overall volatility.
Financial markets are always unpredictable, but there are several time-tested investment principles that may help put the odds in your favor. It is our sincere effort to follow such principles and seek to provide acceptable long-term, risk-adjusted returns.
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 should provide access to market returns with less overall risk.
Sincerely,
Summit Global Investments, LLC
Mutual fund investing involves risk. Loss of principle is possible. A portfolio comprised of low volatility stocks may not produce investment exposure that has lower variability to changes in such stocks’ price levels. Investing in low volatility stocks may limit the Fund’s gains in rising markets.
Diversification does not assure a profit, nor does it protect against a loss in a declining market. It is not possible to invest directly with an index.
The Standard & Poor’s 500 Index (S&P 500) is an index of 500 stocks seen as a leading indicator of U.S. equities and a reflection of the performance of the large cap universe, made up of companies selected by economists. The S&P 500 is a market value weighted index and one of the common benchmarks for the U.S. stock market.
The Standard & Poor’s High Beta Index is compiled, maintained and calculated by Standard & Poor’s and consists of the 100 stocks from the S&P 500 Index with the highest sensitivity to market movements, or beta, over the past 12 months. Beta is a measure of relative risk and is the rate of change of a security’s price.
The S&P 500 Low Volatility Index measures performance of the 100 least volatile stocks in the S&P 500. The index benchmarks low volatility or low variance strategies for the U.S. stock market. Constituents are weighted relative to the inverse of their corresponding volatility, with the least volatile stocks receiving the highest weights.
VIX is the ticker symbol for the Chicago Board Options Exchange (CBOE) Volatility Index, which shows the market’s expectation of 30-day volatility. It is constructed using the implied volatilities of a wide range of S&P 500 index options.
Earnings per share (EPS) is the portion of a company’s profit allocated to each outstanding share of common stock. Earnings per share serves as an indicator of a company’s profitability. EPS Growth is not a measure of the Fund’s future performance.
R-squared is a statistical measure of how close the data are to the fitted regression line. It is also known as the coefficient of determination or the coefficient of multiple determination for multiple regression.
4
SUMMIT GLOBAL INVESTMENTS
Small Cap Low Volatility Fund
Semi-Annual Investment Adviser’s Report
February 28, 2017
(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 (“SGI”) to do what we love every day; 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 return seems unwarranted. Investing for return must always be weighed against the risk of the investments.
Since our last letter to shareholders dated August 31, 2016, U.S. equities have experienced quite the ride with the Small-Cap Low Volatility Fund (the “Fund”) Class I Shares returning 11.06% vs. 12.61% for the Russell 2000 Index® (the “Index”), thus underperforming the Index on an absolute basis by 1.55%. The current beta1 for the Fund, as of February 28, 2017 is 0.73, thus outperforming on a risk-adjusted return2 by 1.85%.
Small-cap stocks outperformed large-cap stocks and within both small-cap and large-cap the riskiest stocks drove the market higher. The S&P 500® High Beta Index (“HBI”) returned 18.08% from August 31, 2016 to February 28, 2017. Over time, high risk, high return within asset classes has proven elusive. Looking back over the past twenty years from February 28, 1997, to February 28, 2017, we find a few important observations or investing lessons. First, the HBI has underperformed3. Second, there are times when the HBI outperforms but these have come prior to large market bubbles, e.g., the ‘Technology Bubble’ in 20004 and the run up to the “Great Financial Crisis” of 20085. The last observation is that after each run of high risk stocks the HBI significantly underperformed6.
During the 4th quarter of 2016 the market squarely shifted back to the early acceleration stage. At 91 months between recessions it’s the third longest in history, with only March 1961 to December 1969 and May 1991 to March 2001 with longer periods. We remain cautiously optimistic given the current market conditions with high expectations and the susceptibility to higher volatility and market corrections. The optimism stems from the signs of a strengthening economy.
With the VIX currently at all-time lows, if there were a ‘good entry point’ for low-volatility equity, now might be that time.
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. |
2 | Risk-adjusted return is the return of the Index multiplied by the beta of the fund. This comparison is helpful when attempting to compare return with respect to the same risk. |
3 | From February 28, 1997 to February 28, 2017 the S&P 500® High Beta Index returned 179.79% vs. the S&P 500® Index returned 333.94% vs. the S&P 500® Low Beta Index returned 537.69%. Returns are cumulative. |
4 | From February 28, 1997 to August 31, 2000 the S&P 500® High Beta Index returned 201.71% vs. the S&P 500® Index returned 101.67% vs. the S&P 500® Low Beta Index returned 35.48%. Returns are cumulative. |
5 | From August 31, 2004 to August 31, 2007 the S&P 500® High Beta Index returned 48.93% vs. the S&P 500® Index returned 41.04% vs. the S&P 500® Low Beta Index returned 34.20%. Returns are cumulative. |
6 | From August 31, 2000 to August 31, 2004 the S&P 500® High Beta Index returned–53.36% vs. the S&P 500® Index returned–22.56% vs. the S&P 500® Low Beta Index returned 48.63%. From August 31, 2007 to August 31, 2011 the S&P 500® High Beta Index returned–36.41% vs. the S&P 500® Index returned–9.63% vs. the S&P 500® Low Beta Index returned 12.39%. Returns are cumulative. |
5
SUMMIT GLOBAL INVESTMENTS
Small Cap Low Volatility Fund
Semi-Annual Investment Adviser’s Report (Concluded)
February 28, 2017
(Unaudited)
SGI’s Multi-Factor, Multi-Faceted Investment Approach
We believe a blended or multi-factor approach is more consistent than any single factor which may go in and out of favor. Utilizing a multi-factor approach seeks to provide a smoother ride through full market cycles and seeks to outperform the Index by limiting the potential drastic returns seen in some single factor exposure approaches.
SGI’s proprietary investment model blends multiple factors (e.g., risk, valuation, growth, momentum, quality) to quantitatively analyze equities. In addition, we conduct a fundamental risk over-lay to examine risks not easily quantifiable. We believe these processes, utilizing both quantitative and qualitative inputs has better potential to protect and grow client assets.
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 can be 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 may provide lower price fluctuations, the potential for more consistent and reliable returns with smaller drawdowns, and adds increased diversification when combined with other investment strategies. Our approach considers 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, the Fund seeks to outperform the Index over a full market cycle while reducing overall volatility.
Financial markets are always unpredictable, but there are several time-tested investment principles that may help put the odds in your favor. It is our sincere effort to follow such principles and seek to provide acceptable long-term, risk-adjusted returns.
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 should provide access to market returns with less overall risk.
Sincerely,
Summit Global Investments, LLC
Mutual fund investing involves risk. Loss of principle is possible. A portfolio comprised of low volatility stocks may not produce investment exposure that has lower variability to changes in such stocks’ price levels. Investing in low volatility stocks may limit the Fund’s gains in rising markets. Small-capitalization companies tend to have limited liquidity and greater price volatility than large-capitalization companies.
Diversification does not assure a profit, nor does it protect against a loss in a declining market. It is not possible to invest directly in an index.
The Russell 2000 Index is a small-cap stock market index of the bottom 2,000 stocks in the Russell 3000 Index. The Russell 2000 serves as a benchmark for small-cap stocks in the United States.
6
SUMMIT GLOBAL INVESTMENTS
U.S. LOW VOLATILITY EQUITY FUND - CLASS A SHARES
Performance Data
February 28, 2017
(Unaudited)
Average Annual Total Returns for the periods ended February 28, 2017 | |||
Six | One | Since | |
Class A Shares (without sales charge) | 4.41% | 13.54% | 8.46%* |
Class A Shares (with sales charge) | -1.06% | 7.56% | 4.19%* |
S&P 500® Index (excluding dividends) | 10.01% | 24.98% | 12.63%** |
† | Not annualized. |
* | Class A Shares of the Fund commenced operations on October 29, 2015. |
** | 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/exchange fee to the value of shares redeemed/exchanged within 60 days of purchase. This 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, 2016, are 1.39% and 1.23%, respectively, of average daily net assets for Class A Shares. These ratios may differ from the actual expenses incurred by the Fund for the period covered by this report. The Fund’s investment adviser (the “Adviser”), has contractually agreed to waive management fees and/or reimburse expenses through December 31, 2017 to the extent that total annual fund operating expenses (excluding certain items discussed below) exceed 1.23% of the Fund’s average daily net assets attributable to Class A Shares. In determining the Adviser’s obligation to waive advisory fees and/or reimburse certain expenses, the following expenses are not taken into account and could cause net total annual fund operating expenses to exceed 1.23%: acquired fund fees and expenses, brokerage commissions, extraordinary items, interest or taxes. The contractual limitation may not be terminated before December 31, 2017 without the approval of the Board of Directors of The RBB Fund, Inc. Effective January 1, 2013, if at any time the Fund’s total annual fund operating expenses for a year are less than 1.23% of the Fund’s average daily net assets attributable to Class A Shares, the Adviser is entitled to reimbursement by the Fund of the advisory fees forgone and other payments remitted by the Adviser to the Fund within three years from the date on which such waiver or reimbursement was made.
The Fund’s investments will generally consist of securities, which may include common stocks, preferred stocks, warrants to acquire common stock and securities convertible into common stock. Portfolio composition is subject to change. The Fund evaluates performance as compared to that of the Standard & Poor’s 500® Index (“S&P 500®”). The S&P 500® is a widely recognized, unmanaged index of 500 common stocks which are generally representative of the U.S. stock market as a whole. It is impossible to invest directly in an index.
7
SUMMIT GLOBAL INVESTMENTS
U.S. LOW VOLATILITY EQUITY FUND - CLASS C SHARES
Performance Data (Continued)
February 28, 2017
(Unaudited)
Average Annual Total Returns for the periods ended February 28, 2017 | |||
Six | One | Since | |
Class C Shares | 3.99% | 12.10% | 9.56%* |
S&P 500® Index (excluding dividends) | 10.01% | 24.98% | 15.87%** |
† | Not annualized. |
* | Class C Shares of the Fund commenced operations on December 31, 2015. |
** | 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/exchange fee to the value of shares redeemed/exchanged within 60 days of purchase. This 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, 2016, are 2.14% and 1.98%, respectively, of average daily net assets for Class C Shares. These ratios may differ from the actual expenses incurred by the Fund for the period covered by this report. The Fund’s investment adviser (the “Adviser”), has contractually agreed to waive management fees and/or reimburse expenses through December 31, 2017 to the extent that total annual fund operating expenses (excluding certain items discussed below) exceed 1.98% of the Fund’s average daily net assets attributable to Class C Shares. In determining the Adviser’s obligation to waive advisory fees and/or reimburse expenses, the following expenses are not taken into account and could cause net total annual fund operating expenses to exceed 1.98%: acquired fund fees and expenses, brokerage commissions, extraordinary items, interest or taxes. The contractual limitation may not be terminated before December 31, 2017 without the approval of the Board of Directors of The RBB Fund, Inc. Effective January 1, 2013, if at any time the Fund’s total annual fund operating expenses for a year are less than 1.98% of the Fund’s average daily net assets attributable to Class C Shares, the Adviser is entitled to reimbursement by the Fund of the advisory fees forgone and other payments remitted by the Adviser to the Fund within three years from the date on which such waiver or reimbursement was made.
The Fund’s investments will generally consist of securities, which may include common stocks, preferred stocks, warrants to acquire common stock and securities convertible into common stock. Portfolio composition is subject to change. The Fund evaluates performance as compared to that of the Standard & Poor’s 500® Index (“S&P 500®”). The S&P 500® is a widely recognized, unmanaged index of 500 common stocks which are generally representative of the U.S. stock market as a whole. It is impossible to invest directly in an index.
8
SUMMIT GLOBAL INVESTMENTS
U.S. LOW VOLATILITY EQUITY FUND - CLASS I SHARES
Performance Data (Continued)
February 28, 2017
(Unaudited)
Average Annual Total Returns for the periods ended February 28, 2017 | ||||
Six | One | Three | Since | |
Class I Shares | 4.52% | 13.82% | 10.38% | 12.16%* |
S&P 500® Index (excluding dividends) | 10.01% | 24.98% | 10.63% | 13.88%** |
† | Not annualized. |
* | Class I Shares of the Fund commenced operations on February 29, 2012. |
** | Benchmark performance is from inception date of the Class I Shares only and is not the inception date of the benchmark itself. |
Performance quoted is past performance and does not guarantee future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher. Returns shown do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. Performance data current to the most recent month-end may be obtained by calling (855) 744-8500.
The Fund applies a 1.50% redemption/exchange fee to the value of shares redeemed/exchanged within 60 days of purchase. This 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, 2016, are 1.14% and 0.98%, respectively, of average daily net assets for Class I Shares. These ratios may differ from the actual expenses incurred by the Fund for the period covered by this report. The Fund’s investment adviser (the “Adviser”), has contractually agreed to waive management fees and/or reimburse expenses through December 31, 2017 to the extent that total annual fund operating expenses (excluding certain items discussed below) exceed 0.98% of the Fund’s average daily net assets attributable to Class I Shares. In determining the Adviser’s obligation to waive advisory fees and/or reimburse expenses, the following expenses are not taken into account and could cause net total annual fund operating expenses to exceed 0.98%: acquired fund fees and expenses, brokerage commissions, extraordinary items, interest or taxes. The contractual limitation may not be terminated before December 31, 2017 without the approval of the Board of Directors of The RBB Fund, Inc. Effective January 1, 2013, if at any time the Fund’s total annual fund operating expenses for a year are less than 0.98% of the Fund’s average daily net assets attributable to Class I Shares, the Adviser is entitled to reimbursement by the Fund of the advisory fees forgone and other payments remitted by the Adviser to the Fund within three years from the date on which such waiver or reimbursement was made.
The Fund’s investments will generally consist of securities, which may include common stocks, preferred stocks, warrants to acquire common stock and securities convertible into common stock. Portfolio composition is subject to change. The Fund evaluates performance as compared to that of the Standard & Poor’s 500® Index (“S&P 500®”). The S&P 500® is a widely recognized, unmanaged index of 500 common stocks which are generally representative of the U.S. stock market as a whole. It is impossible to invest directly in an index.
9
SUMMIT GLOBAL INVESTMENTS
SMALL CAP LOW VOLATILITY FUND - CLASS C SHARES
Performance Data (Continued)
February 28, 2017
(Unaudited)
Average Annual Total Returns for the periods ended February 28, 2017 | ||
Six | Since | |
Class C Shares | 10.48% | 19.32%* |
Russell 2000® Index (excluding dividends) | 12.61% | 26.05%** |
† | Not annualized. |
* | Class C Shares of the Fund commenced operations on March 31, 2016. |
** | 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/exchange fee to the value of shares redeemed/exchanged within 60 days of purchase. This 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, 2016, are 5.43% and 2.23%, respectively, of average daily net assets for Class C Shares. These ratios may differ from the actual expenses incurred by the Fund for the period covered by this report. The Fund’s investment adviser (the “Adviser”), has contractually agreed to waive management fees and/or reimburse expenses through December 31, 2017 to the extent that total annual fund operating expenses (excluding certain items discussed below) exceed 2.23% of the Fund’s average daily net assets attributable to Class C Shares. In determining the Adviser’s obligation to waive advisory fees and/or reimburse expenses, the following expenses are not taken into account and could cause net total annual fund operating expenses to exceed 2.23%: acquired fund fees and expenses, brokerage commissions, extraordinary items, interest or taxes. This contractual limitation may not be terminated before December 31, 2017 without the approval of the Board of Directors of The RBB Fund, Inc. If at any time the Fund’s total annual fund operating expenses for a year are less than 2.23% of the Fund’s average daily net assets attributable to Class C Shares, the Adviser is entitled to reimbursement by the Fund of the advisory fees forgone and other payments remitted by the Adviser to the Fund within three years from the date on which such waiver or reimbursement was made.
The Fund’s investments will generally consist of securities, which may include common stocks, preferred stocks, warrants to acquire common stock and securities convertible into common stock. Portfolio composition is subject to change. The Fund evaluates performance as compared to that of the Russell 2000® Index (“Russell 2000®”). The Russell 2000® is a widely recognized, unmanaged index of 2,000 common stocks which are generally representative of the U.S. Small Companies. It is impossible to invest directly in an index.
The Fund invests in equity securities and in stocks of small companies which are subject to market, economic and business risks that may cause their price to rise or fall over time. Stocks of small companies may be more volatile, less liquid or not as readily marketable as those of larger companies. Small companies may also have limited product lines, markets or financial resources and may be dependent on relatively small or inexperienced management groups. Although the Fund seeks lower volatility, there is no guarantee the Fund will perform as expected.
10
SUMMIT GLOBAL INVESTMENTS
SMALL CAP LOW VOLATILITY FUND - CLASS I SHARES
Performance Data (Continued)
February 28, 2017
(Unaudited)
Average Annual Total Returns for the periods ended February 28, 2017 | ||
Six | Since | |
Class I Shares | 11.06% | 20.28%* |
Russell 2000® Index (excluding dividends) | 12.61% | 26.05%** |
† | Not annualized. |
* | Class I Shares of the Fund commenced operations on March 31, 2016. |
** | Benchmark performance is from inception date of the Class I Shares only and is not the inception date of the benchmark itself. |
Performance quoted is past performance and does not guarantee future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher. Returns shown do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. Performance data current to the most recent month-end may be obtained by calling (855) 744-8500.
The Fund applies a 1.50% redemption/exchange fee to the value of shares redeemed/exchanged within 60 days of purchase. This 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, 2016, are 4.43% and 1.23%, respectively, of average daily net assets for Class I Shares. These ratios may differ from the actual expenses incurred by the Fund for the period covered by this report. The Fund’s investment adviser (the “Adviser”), has contractually agreed to waive management fees and/or reimburse expenses through December 31, 2017 to the extent that total annual fund operating expenses (excluding certain items discussed below) exceed 1.23% of the Fund’s average daily net assets attributable to Class I Shares. In determining the Adviser’s obligation to waive advisory fees and/or reimburse expenses, the following expenses are not taken into account and could cause net total annual fund operating expenses to exceed 1.23%: acquired fund fees and expenses, brokerage commissions, extraordinary items, interest or taxes. This contractual limitation may not be terminated before December 31, 2017 without the approval of the Board of Directors of The RBB Fund, Inc. If at any time the Fund’s total annual fund operating expenses for a year are less than 1.23% of the Fund’s average daily net assets attributable to Class I Shares, the Adviser is entitled to reimbursement by the Fund of the advisory fees forgone and other payments remitted by the Adviser to the Fund within three years from the date on which such waiver or reimbursement was made.
The Fund’s investments will generally consist of securities, which may include common stocks, preferred stocks, warrants to acquire common stock and securities convertible into common stock. Portfolio composition is subject to change. The Fund evaluates performance as compared to that of the Russell 2000® Index (“Russell 2000®”). The Russell 2000® is a widely recognized, unmanaged index of 2,000 common stocks which are generally representative of the U.S. Small Companies. It is impossible to invest directly in an index.
The Fund invests in equity securities and in stocks of small companies which are subject to market, economic and business risks that may cause their price to rise or fall over time. Stocks of small companies may be more volatile, less liquid or not as readily marketable as those of larger companies. Small companies may also have limited product lines, markets or financial resources and may be dependent on relatively small or inexperienced management groups. Although the Fund seeks lower volatility, there is no guarantee the Fund will perform as expected.
11
SUMMIT GLOBAL INVESTMENTS
SMALL CAP LOW VOLATILITY FUND - RETAIL SHARES
Performance Data (Concluded)
February 28, 2017
(Unaudited)
Average Annual Total Returns for the periods ended February 28, 2017 | ||
Six | Since | |
Retail Shares | 10.93% | 20.14%* |
Russell 2000® Index (excluding dividends) | 12.61% | 26.05%** |
† | Not annualized. |
* | Retail Shares of the Fund commenced operations on March 31, 2016. |
** | Benchmark performance is from inception date of the Retail 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/exchange fee to the value of shares redeemed/exchanged within 60 days of purchase. This 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, 2016, are 4.68% and 1.48%, respectively, of average daily net assets for Retail 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 (the “Adviser”), has contractually agreed to waive management fees and/or reimburse expenses through December 31, 2017 to the extent that total annual fund operating expenses (excluding certain items discussed below) exceed 1.48% of the Fund’s average daily net assets attributable to Retail Shares. In determining the Adviser’s obligation to waive advisory fees and/or reimburse expenses, the following expenses are not taken into account and could cause net total annual fund operating expenses to exceed 1.48%: acquired fund fees and expenses, brokerage commissions, extraordinary items, interest or taxes. This contractual limitation may not be terminated before December 31, 2017 without the approval of the Board of Directors of The RBB Fund, Inc. If at any time the Fund’s total annual fund operating expenses for a year are less than 1.48% of the Fund’s average daily net assets attributable to Retail Shares, the Adviser is entitled to reimbursement by the Fund of the advisory fees forgone and other payments remitted by the Adviser to the Fund within three years from the date on which such waiver or reimbursement was made.
The Fund’s investments will generally consist of securities, which may include common stocks, preferred stocks, warrants to acquire common stock and securities convertible into common stock. Portfolio composition is subject to change. The Fund evaluates performance as compared to that of the Russell 2000® Index (“Russell 2000®”). The Russell 2000® is a widely recognized, unmanaged index of 2,000 common stocks which are generally representative of the U.S. Small Companies. It is impossible to invest directly in an index.
The Fund invests in equity securities and in stocks of small companies which are subject to market, economic and business risks that may cause their price to rise or fall over time. Stocks of small companies may be more volatile, less liquid or not as readily marketable as those of larger companies. Small companies may also have limited product lines, markets or financial resources and may be dependent on relatively small or inexperienced management groups. Although the Fund seeks lower volatility, there is no guarantee the Fund will perform as expected.
12
SUMMIT GLOBAL INVESTMENTS
Fund Expense Examples
February 28, 2017
(Unaudited)
As a shareholder of the Fund(s), you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments (if applicable); 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(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, 2016 through February 28, 2017 and held for the entire period.
Actual Expenses
The first line of the accompanying table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The second line of the accompanying table provides information about hypothetical account values and hypothetical expenses based on each Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in each Fund and other funds. To do so, compare these 5% hypothetical examples with the 5% hypothetical examples that appear in the shareholder reports of other funds.
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 sales charges (loads), redemption fees or exchange 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.
Summit Global Investments U.S. Low Volatility Equity Fund | |||
Beginning | Ending | Expenses Paid | |
Class A Shares | |||
Actual | $1,000.00 | $ 1,044.10 | $ 6.23 |
Hypothetical (5% return before expenses) | 1,000.00 | 1,018.70 | 6.16 |
Class C Shares | |||
Actual | $1,000.00 | $ 1,039.90 | $ 10.07 |
Hypothetical (5% return before expenses) | 1,000.00 | 1,014.93 | 9.94 |
Class I Shares | |||
Actual | $1,000.00 | $ 1,045.20 | $ 4.97 |
Hypothetical (5% return before expenses) | 1,000.00 | 1,019.93 | 4.91 |
13
SUMMIT GLOBAL INVESTMENTS
Fund Expense Examples (Concluded)
February 28, 2017
(Unaudited)
Summit Global Investments Small Cap Low Volatility Fund | |||
Beginning | Ending | Expenses Paid | |
Class C Shares | |||
Actual | $1,000.00 | $1,104.80 | $ 11.69 |
Hypothetical (5% return before expenses) | 1,000.00 | 1,013.69 | 11.18 |
Class I Shares | |||
Actual | $1,000.00 | $1,110.60 | $ 6.44 |
Hypothetical (5% return before expenses) | 1,000.00 | 1,018.70 | 6.16 |
Retail Shares | |||
Actual | $1,000.00 | $1,109.30 | $ 7.74 |
Hypothetical (5% return before expenses) | 1,000.00 | 1,017.46 | 7.40 |
* | Expenses are equal to the Fund’s annualized six-month expense ratio of 1.23%, 1.99% and 0.98% for Class A Shares, Class C Shares and Class I Shares of the Summit Global Investments U.S. Low Volatility Equity Fund, respectively, which includes waived fees and reimbursed expenses, multiplied by the average account value over the period, multiplied by the number of days (181) in the most recent fiscal half-year, then divided by 365 to reflect the one-half year period. The Fund’s ending account values on the first line in the tables is based on the actual six-month total investment return for the Fund of 4.41%, 3.99% and 4.52% for Class A Shares, Class C Shares and Class I Shares, respectively. |
** | Expenses are equal to the Fund’s annualized six-month expense ratio of 2.24%, 1.23% and 1.48% for Class C Shares, Class I Shares and Retail Shares of the Summit Global Investments Small Cap Low Volatility Fund, respectively, which includes waived fees and reimbursed expenses, multiplied by the average account value over the period, multiplied by the number of days (181) in the most recent fiscal half-year, then divided by 365 to reflect the one-half year period. 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 10.48%, 11.06% and 10.93% for Class C Shares, Class I Shares and Retail Shares, respectively. |
14
SUMMIT GLOBAL INVESTMENTS
U.S. LOW VOLATILITY EQUITY FUND
Portfolio Holdings Summary Table
February 28, 2017
(Unaudited)
The following table presents a summary by sector of the portfolio holdings of the Fund:
Security Type & Sector Classification | % of Net | Value |
COMMON STOCKS: | ||
IT Services | 9.8% | $ 11,155,716 |
Health Care Providers & Services | 8.3 | 9,488,100 |
Food Products | 6.5 | 7,383,244 |
Electric Utilities | 5.7 | 6,494,700 |
Insurance | 5.5 | 6,245,417 |
Food & Staples Retailing | 5.3 | 6,011,606 |
Diversified Telecommunication Services | 5.3 | 5,989,284 |
Pharmaceuticals | 5.0 | 5,683,982 |
Specialty Retail | 4.7 | 5,374,237 |
Software | 3.9 | 4,467,707 |
Commercial Services & Supplies | 3.6 | 4,074,024 |
Media | 3.5 | 4,025,760 |
Multi-Utilities | 3.1 | 3,557,744 |
Air Freight & Logistics | 3.0 | 3,463,947 |
Technology Hardware, Storage & Peripherals | 2.9 | 3,356,255 |
Household Products | 2.7 | 3,070,299 |
Real Estate Investment Trusts | 2.3 | 2,572,639 |
Consumer Finance | 2.2 | 2,505,878 |
Oil, Gas & Consumable Fuels | 2.0 | 2,240,655 |
Health Care Equipment & Supplies | 1.9 | 2,141,467 |
Distributors | 1.8 | 2,000,339 |
Aerospace & Defense | 1.7 | 1,946,034 |
Biotechnology | 1.4 | 1,543,512 |
Banks | 1.3 | 1,507,000 |
Multiline Retail | 1.2 | 1,385,955 |
Hotels, Restaurants & Leisure | 0.9 | 1,033,965 |
Communications Equipment | 0.7 | 844,246 |
Diversified Financial Services | 0.6 | 651,396 |
Internet Software & Services | 0.5 | 560,796 |
Textiles, Apparel & Luxury Goods | 0.4 | 477,295 |
Semiconductors & Semiconductor Equipment | 0.2 | 260,640 |
Life Sciences Tools & Services | 0.2 | 252,288 |
OTHER ASSETS IN EXCESS OF LIABILITIES | 1.9 | 2,130,927 |
NET ASSETS | 100% | $ 113,897,054 |
Portfolio holdings are subject to change at any time.
The accompanying notes are an integral part of the financial statements.
15
SUMMIT GLOBAL INVESTMENTS
U.S. LOW VOLATILITY EQUITY FUND
Portfolio of Investments
February 28, 2017
(Unaudited)
Number | Value | |||||||
COMMON STOCKS - 98.1% | ||||||||
Aerospace & Defense — 1.7% | ||||||||
Lockheed Martin Corp. | 7,300 | $ | 1,946,034 | |||||
Air Freight & Logistics — 3.0% | ||||||||
CH Robinson Worldwide, Inc. | 43,100 | 3,463,947 | ||||||
Banks — 1.3% | ||||||||
US Bancorp | 27,400 | 1,507,000 | ||||||
Biotechnology — 1.4% | ||||||||
Gilead Sciences, Inc. | 21,900 | 1,543,512 | ||||||
Commercial Services & Supplies — 3.6% | ||||||||
Cintas Corp. | 4,500 | 531,045 | ||||||
Republic Services, Inc. | 32,100 | 1,988,595 | ||||||
Waste Management, Inc. | 21,200 | 1,554,384 | ||||||
4,074,024 | ||||||||
Communications Equipment — 0.7% | ||||||||
Cisco Systems, Inc. | 24,700 | 844,246 | ||||||
Consumer Finance — 2.2% | ||||||||
American Express Co. | 31,300 | 2,505,878 | ||||||
Distributors — 1.8% | ||||||||
Genuine Parts Co. | 20,900 | 2,000,339 | ||||||
Diversified Financial Services — 0.6% | ||||||||
Berkshire Hathaway, Inc.* | 3,800 | 651,396 | ||||||
Diversified Telecommunication Services — 5.3% | ||||||||
AT&T, Inc. | 74,200 | 3,100,818 | ||||||
Verizon Communications, Inc. | 58,200 | 2,888,466 | ||||||
5,989,284 | ||||||||
Electric Utilities — 5.7% | ||||||||
Duke Energy Corp. | 13,400 | 1,106,170 | ||||||
Edison International | 29,300 | 2,336,382 | ||||||
PG&E Corp. | 3,700 | 246,975 | ||||||
PPL Corp. | 29,900 | 1,102,712 | ||||||
Southern Co., (The) | 16,900 | 858,858 | ||||||
Xcel Energy, Inc. | 19,300 | 843,603 | ||||||
6,494,700 | ||||||||
Food & Staples Retailing — 5.3% | ||||||||
Sysco Corp. | 55,100 | 2,904,872 | ||||||
Wal-Mart Stores, Inc. | 43,800 | 3,106,734 | ||||||
6,011,606 | ||||||||
Food Products — 6.5% | ||||||||
ConAgra Foods, Inc. | 5,000 | 206,050 | ||||||
General Mills, Inc. | 44,400 | 2,680,428 | ||||||
Hershey Co., (The) | 5,200 | 563,420 | ||||||
Hormel Foods Corp. | 58,300 | 2,055,075 | ||||||
Kellogg Co. | 17,700 | 1,311,039 | ||||||
Lamb Weston Holdings, Inc. | 1,666 | 65,290 | ||||||
McCormick & Co., Inc. | 5,100 | 501,942 | ||||||
7,383,244 | ||||||||
Health Care Equipment & Supplies — 1.9% | ||||||||
Baxter International, Inc. | 20,500 |
| 1,043,860 | |||||
DENTSPLY SIRONA, Inc. | 8,600 | 546,272 | ||||||
Medtronic PLC, (Ireland) | 3,600 | 291,276 | ||||||
Varian Medical Systems, Inc.* | 3,100 | 260,059 | ||||||
2,141,467 | ||||||||
Health Care Providers & Services — 8.3% | ||||||||
Aetna, Inc. | 9,700 | 1,248,972 | ||||||
Anthem, Inc. | 10,900 | 1,796,538 | ||||||
Express Scripts Holding Co.* | 12,000 | 847,800 | ||||||
Henry Schein, Inc.* | 3,000 | 514,680 | ||||||
Laboratory Corp. of America Holdings* | 5,800 | 825,108 | ||||||
McKesson Corp. | 2,800 | 420,364 | ||||||
Patterson Cos, Inc. | 45,800 | 2,081,610 | ||||||
UnitedHealth Group, Inc. | 10,600 | 1,753,028 | ||||||
9,488,100 | ||||||||
Hotels, Restaurants & Leisure — 0.9% | ||||||||
McDonald's Corp. | 8,100 | 1,033,965 | ||||||
Household Products — 2.7% | ||||||||
Colgate-Palmolive Co. | 10,000 | 729,800 | ||||||
Procter & Gamble Co., (The) | 25,700 | 2,340,499 | ||||||
3,070,299 | ||||||||
Insurance — 5.5% | ||||||||
Chubb Ltd., (Switzerland) | 6,500 | 898,105 | ||||||
Cincinnati Financial Corp. | 36,700 | 2,677,632 | ||||||
Principal Financial Group, Inc. | 5,600 | 350,224 | ||||||
Progressive Corp., (The) | 59,200 | 2,319,456 | ||||||
6,245,417 | ||||||||
Internet Software & Services — 0.5% | ||||||||
VeriSign, Inc.* | 6,800 | 560,796 | ||||||
IT Services — 9.8% | ||||||||
Accenture PLC, Class A, (Ireland) | 14,800 | 1,813,000 | ||||||
Fidelity National Information Services, Inc. | 3,200 | 263,264 | ||||||
Fiserv, Inc.* | 20,500 | 2,365,700 | ||||||
International Business Machines Corp. | 17,600 | 3,164,832 | ||||||
Paychex, Inc. | 34,600 | 2,125,132 | ||||||
Total System Services, Inc. | 21,700 | 1,182,216 | ||||||
Western Union Co., (The) | 12,300 | 241,572 | ||||||
11,155,716 | ||||||||
Life Sciences Tools & Services — 0.2% | ||||||||
Thermo Fisher Scientific, Inc. | 1,600 | 252,288 |
The accompanying notes are an integral part of the financial statements.
16
SUMMIT GLOBAL INVESTMENTS
U.S. LOW VOLATILITY EQUITY FUND
Portfolio of Investments (Concluded)
February 28, 2017
(Unaudited)
Number | Value | |||||||
Media — 3.5% | ||||||||
Omnicom Group, Inc. | 28,400 | $ | 2,416,840 | |||||
Scripps Networks Interactive, Inc., Class A | 3,700 | 298,849 | ||||||
Walt Disney Co., (The) | 11,900 | 1,310,071 | ||||||
4,025,760 | ||||||||
Multiline Retail — 1.2% | ||||||||
Dollar General Corp. | 18,900 | 1,380,078 | ||||||
Target Corp. | 100 | 5,877 | ||||||
1,385,955 | ||||||||
Multi-Utilities — 3.1% | ||||||||
CMS Energy Corp. | 5,700 | 253,764 | ||||||
Dominion Resources, Inc. | 15,800 | 1,226,712 | ||||||
DTE Energy Co. | 8,600 | 871,868 | ||||||
WEC Energy Group, Inc. | 20,000 | 1,205,400 | ||||||
3,557,744 | ||||||||
Oil, Gas & Consumable Fuels — 2.0% | ||||||||
Chevron Corp. | 6,700 | 753,750 | ||||||
ConocoPhillips | 5,200 | 247,364 | ||||||
Pioneer Natural Resources Co. | 4,100 | 762,477 | ||||||
Tesoro Corp. | 5,600 | 477,064 | ||||||
2,240,655 | ||||||||
Pharmaceuticals — 5.0% | ||||||||
Johnson & Johnson | 25,400 | 3,104,134 | ||||||
Merck & Co., Inc. | 5,600 | 368,872 | ||||||
Pfizer, Inc. | 64,800 | 2,210,976 | ||||||
5,683,982 | ||||||||
Real Estate Investment Trusts — 2.3% | ||||||||
Apartment Investment & Management Co. | 5,700 | 265,221 | ||||||
Equity Residential | 3,600 | 227,052 | ||||||
Prologis, Inc. | 4,900 | 250,145 | ||||||
Public Storage | 3,800 | 864,348 | ||||||
Quality Care Properties, Inc.* | 1,340 | 25,433 | ||||||
Simon Property Group, Inc. | 5,100 | 940,440 | ||||||
2,572,639 | ||||||||
Semiconductors & Semiconductor Equipment — 0.2% | ||||||||
Intel Corp. | 7,200 | 260,640 | ||||||
Software — 3.9% | ||||||||
CA, Inc. | 35,700 | 1,152,039 | ||||||
Microsoft Corp. | 38,600 | 2,469,628 | ||||||
salesforce.com, Inc.* | 10,400 | 846,040 | ||||||
4,467,707 | ||||||||
Specialty Retail — 4.7% | ||||||||
Bed Bath & Beyond, Inc. | 15,100 | 610,040 | ||||||
Foot Locker, Inc. | 12,600 | 953,442 | ||||||
Home Depot, Inc., (The) | 13,900 | 2,014,249 | ||||||
TJX Cos, Inc., (The) | 22,900 | 1,796,505 | ||||||
5,374,236 | ||||||||
Technology Hardware, Storage & Peripherals — 2.9% | ||||||||
Apple, Inc. | 24,500 |
| 3,356,255 | |||||
Textiles, Apparel & Luxury Goods — 0.4% | ||||||||
VF Corp. | 9,100 | 477,295 | ||||||
TOTAL COMMON STOCKS | ||||||||
(Cost $93,758,251) | 111,766,127 | |||||||
TOTAL INVESTMENTS - 98.1% | ||||||||
(Cost $93,758,251) | 111,766,127 | |||||||
OTHER ASSETS IN EXCESS OF LIABILITIES - 1.9% | 2,130,927 | |||||||
NET ASSETS - 100.0% | $ | 113,897,054 |
* | Non-income producing security. |
PLC Public Limited Company.
The Global Industry Classification Standard (GICS®) was developed by and/or is the exclusive property of MSCI, Inc. and Standard & Poor Financial Services LLC (“S&P”). GICS is a service mark of MSCI and S&P and has been licensed for use by Summit Global Investments, LLC.
The accompanying notes are an integral part of the financial statements.
17
SUMMIT GLOBAL INVESTMENTS
SMALL CAP LOW VOLATILITY FUND
Portfolio Holdings Summary Table
February 28, 2017
(Unaudited)
The following table presents a summary by sector of the portfolio holdings of the Fund:
Security Type & Sector Classification | % of Net | Value |
COMMON STOCKS: | ||
Commercial Services & Supplies | 6.7% | $ 945,593 |
Electric Utilities | 5.4 | 763,435 |
Health Care Providers & Services | 5.3 | 757,771 |
Electronic Equipment, Instruments & Components | 5.3 | 755,725 |
Insurance | 5.0 | 717,651 |
Machinery | 5.0 | 705,460 |
Chemicals | 4.9 | 698,687 |
Banks | 4.9 | 691,507 |
Food Products | 4.1 | 590,122 |
Hotels, Restaurants & Leisure | 3.9 | 558,667 |
Water Utilities | 3.9 | 555,052 |
Health Care Equipment & Supplies | 3.5 | 488,558 |
Real Estate Investment Trusts | 3.4 | 484,329 |
IT Services | 3.0 | 425,712 |
Gas Utilities | 2.7 | 387,783 |
Semiconductors & Semiconductor Equipment | 2.7 | 376,772 |
Multi-Utilities | 2.5 | 344,980 |
Professional Services | 1.9 | 271,360 |
Household Durables | 1.9 | 269,040 |
Internet & Direct Marketing Retail | 1.7 | 232,974 |
Metals & Mining | 1.5 | 208,599 |
Real Estate Management & Development | 1.1 | 161,000 |
Trading Companies & Distributors | 1.1 | 157,625 |
Road & Rail | 1.0 | 147,560 |
Airlines | 1.0 | 139,280 |
Communications Equipment | 1.0 | 139,256 |
Investment Companies | 1.0 | 138,397 |
Thrifts & Mortgage Finance | 1.0 | 137,620 |
Transportation | 0.9 | 128,830 |
Textiles, Apparel & Luxury Goods | 0.9 | 122,805 |
Diversified Financial Services | 0.8 | 118,215 |
Electrical Equipment | 0.8 | 117,300 |
Paper & Forest Products | 0.8 | 117,200 |
Household Products | 0.8 | 109,900 |
Diversified Telecommunication Services | 0.8 | 109,424 |
Life Sciences Tools & Services | 0.8 | 109,125 |
Distributors | 0.6 | 87,804 |
SHORT-TERM INVESTMENTS | 5.9 | 836,321 |
OTHER ASSETS IN EXCESS OF LIABILITIES | 0.5 | 71,044 |
NET ASSETS | 100.0% | $ 14,178,483 |
Portfolio holdings are subject to change at any time.
The accompanying notes are an integral part of the financial statements.
18
SUMMIT GLOBAL INVESTMENTS
SMALL CAP LOW VOLATILITY FUND
Portfolio of Investments
February 28, 2017
(Unaudited)
Number | Value | |||||||
COMMON STOCKS - 93.6% | ||||||||
Airlines — 1.0% | ||||||||
Allegiant Travel Co. | 800 | $ | 139,280 | |||||
Banks — 4.9% | ||||||||
Community Trust Bancorp, Inc. | 3,200 | 146,880 | ||||||
First Busey Corp. | 5,300 | 163,876 | ||||||
Great Southern Bancorp, Inc. | 2,500 | 125,125 | ||||||
Preferred Bank Los Angeles CA | 2,900 | 162,806 | ||||||
Stock Yards Bancorp, Inc. | 2,100 | 92,820 | ||||||
691,507 | ||||||||
Chemicals — 4.9% | ||||||||
Calgon Carbon Corp. | 7,500 | 105,750 | ||||||
Innospec, Inc. | 2,300 | 150,190 | ||||||
Quaker Chemical Corp. | 1,300 | 171,184 | ||||||
Sensient Technologies Corp. | 1,600 | 127,904 | ||||||
Stepan Co. | 1,900 | 143,659 | ||||||
698,687 | ||||||||
Commercial Services & Supplies — 6.7% | ||||||||
Healthcare Services Group, Inc. | 3,000 | 124,140 | ||||||
Herman Miller, Inc. | 3,600 | 107,280 | ||||||
Knoll, Inc. | 4,800 | 107,280 | ||||||
Matthews International Corp. | 2,200 | 144,870 | ||||||
McGrath RentCorp | 4,100 | 154,283 | ||||||
UniFirst Corp. | 1,000 | 133,100 | ||||||
Viad Corp. | 3,700 | 174,640 | ||||||
945,593 | ||||||||
Communications Equipment — 1.0% | ||||||||
Plantronics, Inc. | 2,600 | 139,256 | ||||||
Distributors — 0.6% | ||||||||
Core-Mark Holding Co., Inc. | 2,700 | 87,804 | ||||||
Diversified Financial Services — 0.8% | ||||||||
Compass Diversified Holdings† | 7,100 | 118,215 | ||||||
Diversified Telecommunication Services — 0.8% | ||||||||
ATN International, Inc. | 1,600 | 109,424 | ||||||
Electric Utilities — 5.4% | ||||||||
ALLETE, Inc. | 2,000 | 134,420 | ||||||
El Paso Electric Co. | 2,500 | 122,125 | ||||||
MGE Energy, Inc. | 2,200 | 140,690 | ||||||
Otter Tail Corp. | 3,800 | 142,880 | ||||||
PNM Resources, Inc. | 3,400 | 123,420 | ||||||
Spark Energy, Inc., Class A | 3,700 | 99,900 | ||||||
763,435 | ||||||||
Electrical Equipment — 0.8% | ||||||||
AZZ, Inc. | 2,000 | 117,300 | ||||||
Electronic Equipment, Instruments & Components — 5.3% | ||||||||
Benchmark Electronics, Inc.* | 5,500 |
| 171,050 | |||||
ePlus, Inc.* | 1,400 | 177,730 | ||||||
MTS Systems Corp. | 2,300 | 126,385 | ||||||
Orbotech Ltd., (Israel)* | 4,400 | 132,660 | ||||||
Tech Data Corp.* | 1,700 | 147,900 | ||||||
755,725 | ||||||||
Food Products — 4.1% | ||||||||
B&G Foods, Inc. | 2,600 | 110,500 | ||||||
Cal-Maine Foods, Inc. | 2,400 | 91,080 | ||||||
Fresh Del Monte Produce, Inc. | 2,200 | 127,314 | ||||||
J&J Snack Foods Corp. | 1,100 | 147,180 | ||||||
Sanderson Farms, Inc. | 1,200 | 114,048 | ||||||
590,122 | ||||||||
Gas Utilities — 2.7% | ||||||||
Chesapeake Utilities Corp. | 1,900 | 131,005 | ||||||
Northwest Natural Gas Co. | 2,000 | 120,200 | ||||||
South Jersey Industries, Inc. | 3,900 | 136,578 | ||||||
387,783 | ||||||||
Health Care Equipment & Supplies — 3.5% | ||||||||
Analogic Corp. | 1,400 | 115,290 | ||||||
ICU Medical, Inc.* | 1,100 | 165,440 | ||||||
Masimo Corp.* | 2,300 | 207,828 | ||||||
488,558 | ||||||||
Health Care Providers & Services — 5.3% | ||||||||
Aceto Corp. | 5,400 | 82,836 | ||||||
Chemed Corp. | 900 | 160,695 | ||||||
Ensign Group, Inc., (The) | 5,500 | 103,620 | ||||||
Owens & Minor, Inc. | 3,100 | 111,848 | ||||||
Surgical Care Affiliates, Inc.* | 2,600 | 147,472 | ||||||
US Physical Therapy, Inc. | 2,000 | 151,300 | ||||||
757,771 | ||||||||
Hotels, Restaurants & Leisure — 3.9% | ||||||||
Cheesecake Factory, Inc., (The) | 2,300 | 140,415 | ||||||
International Speedway Corp., Class B | 3,500 | 129,850 | ||||||
Popeyes Louisiana Kitchen, Inc.* | 2,200 | 173,822 | ||||||
Ruth's Hospitality Group, Inc. | 6,800 | 114,580 | ||||||
558,667 | ||||||||
Household Durables — 1.9% | ||||||||
Helen of Troy Ltd.* | 1,200 | 117,240 | ||||||
Hooker Furniture Corp. | 4,600 | 151,800 | ||||||
269,040 | ||||||||
Household Products — 0.8% | ||||||||
WD-40 Co. | 1,000 | 109,900 |
The accompanying notes are an integral part of the financial statements.
19
SUMMIT GLOBAL INVESTMENTS
SMALL CAP LOW VOLATILITY FUND
Portfolio of Investments (Continued)
February 28, 2017
(Unaudited)
Number | Value | |||||||
Insurance — 5.0% | ||||||||
Argo Group International Holdings Ltd., (Bermuda) | 2,180 | $ | 145,951 | |||||
Aspen Insurance Holdings Ltd., (Bermuda) | 2,400 | 134,520 | ||||||
Enstar Group Ltd., (Bermuda)* | 800 | 155,000 | ||||||
Maiden Holdings Ltd., (Bermuda) | 9,000 | 139,050 | ||||||
Navigators Group, Inc., (The) | 2,600 | 143,130 | ||||||
717,651 | ||||||||
Internet & Direct Marketing Retail — 1.7% | ||||||||
FTD Cos, Inc.* | 4,500 | 108,720 | ||||||
PetMed Express, Inc. | 5,900 | 124,254 | ||||||
232,974 | ||||||||
Investment Companies — 1.0% | ||||||||
TPG Specialty Lending, Inc. | 7,090 | 138,397 | ||||||
IT Services — 3.0% | ||||||||
Convergys Corp. | 4,000 | 87,520 | ||||||
CSG Systems International, Inc. | 2,700 | 106,407 | ||||||
TeleTech Holdings, Inc. | 4,200 | 127,260 | ||||||
WNS Holdings Ltd., (India) ADR* | 3,700 | 104,525 | ||||||
425,712 | ||||||||
Life Sciences Tools & Services — 0.8% | ||||||||
INC Research Holdings, Inc.* | 2,500 | 109,125 | ||||||
Machinery — 5.0% | ||||||||
Douglas Dynamics, Inc. | 5,000 | 166,750 | ||||||
Global Brass & Copper Holdings, Inc. | 4,200 | 141,330 | ||||||
Hillenbrand, Inc. | 3,600 | 130,860 | ||||||
Kadant, Inc. | 2,300 | 142,370 | ||||||
Standex International Corp. | 1,300 | 124,150 | ||||||
705,460 | ||||||||
Metals & Mining — 1.5% | ||||||||
Compass Minerals International, Inc. | 1,400 | 106,120 | ||||||
Kaiser Aluminum Corp. | 1,300 | 102,479 | ||||||
208,599 | ||||||||
Multi-Utilities — 2.5% | ||||||||
Avista Corp. | 2,700 | 107,649 | ||||||
NorthWestern Corp. | 2,000 | 117,000 | ||||||
Unitil Corp. | 2,698 | 120,331 | ||||||
344,980 | ||||||||
Paper & Forest Products — 0.8% | ||||||||
Neenah Paper, Inc. | 1,600 | 117,200 | ||||||
Professional Services — 1.9% | ||||||||
CBIZ, Inc.* | 10,900 | 144,970 | ||||||
Exponent, Inc. | 2,200 | 126,390 | ||||||
271,360 | ||||||||
Real Estate Investment Trusts — 3.4% | ||||||||
LTC Properties, Inc. | 2,300 | 110,952 | ||||||
Potlatch Corp. | 3,200 | 141,600 | ||||||
Urban Edge Properties | 4,100 | 113,693 | ||||||
Urstadt Biddle Properties, Inc. | 5,300 | 118,084 | ||||||
484,329 | ||||||||
Real Estate Management & Development — 1.1% | ||||||||
RE/MAX Holdings, Inc., Class A | 2,800 | 161,000 | ||||||
Road & Rail — 1.0% | ||||||||
Landstar System, Inc. | 1,700 | 147,560 | ||||||
Semiconductors & Semiconductor Equipment — 2.7% | ||||||||
Cabot Microelectronics Corp. | 2,600 | 179,972 | ||||||
MKS Instruments, Inc. | 3,000 | 196,800 | ||||||
376,772 | ||||||||
Textiles, Apparel & Luxury Goods — 0.9% | ||||||||
Unifi, Inc.* | 4,500 | 122,805 | ||||||
Thrifts & Mortgage Finance — 1.0% | ||||||||
First Defiance Financial Corp. | 2,800 | 137,620 | ||||||
Trading Companies & Distributors — 1.1% | ||||||||
Applied Industrial Technologies, Inc. | 2,500 | 157,625 | ||||||
Transporatation — 0.9% | ||||||||
Forward Air Corp. | 2,600 | 128,830 | ||||||
Water Utilities — 3.9% | ||||||||
American States Water Co. | 2,800 | 125,216 | ||||||
California Water Service Group | 3,900 | 143,325 | ||||||
Connecticut Water Service, Inc. | 2,300 | 131,215 | ||||||
SJW Corp. | 3,200 | 155,296 | ||||||
555,052 | ||||||||
TOTAL COMMON STOCKS | ||||||||
(Cost $11,209,163) | 13,271,118 |
The accompanying notes are an integral part of the financial statements.
20
SUMMIT GLOBAL INVESTMENTS
SMALL CAP LOW VOLATILITY FUND
Portfolio of Investments (Concluded)
February 28, 2017
(Unaudited)
Number | Value | |||||||
SHORT-TERM INVESTMENTS - 5.9% | ||||||||
Fidelity Investments Money Market Funds - Government Portfolio, 0.45% | 836,321 | $ | 836,321 | |||||
TOTAL SHORT-TERM INVESTMENTS | ||||||||
(Cost $836,321) | 836,321 | |||||||
TOTAL INVESTMENTS - 99.5% | ||||||||
(Cost $12,045,484) | 14,107,439 | |||||||
OTHER ASSETS IN EXCESS OF LIABILITIES - 0.5% | 71,044 | |||||||
NET ASSETS - 100.0% | $ | 14,178,483 |
* | Non-income producing security. |
ADR American Depositary Receipt
† | Master Limited Partnerships |
The Global Industry Classification Standard (GICS®) was developed by and/or is the exclusive property of MSCI, Inc. and Standard & Poor Financial Services LLC (“S&P”). GICS is a service mark of MSCI and S&P and has been licensed for use by Summit Global Investments, LLC.
The accompanying notes are an integral part of the financial statements.
21
SUMMIT GLOBAL INVESTMENTS
Statement Of Assets And Liabilities
February 28, 2017
(Unaudited)
Summit Global Investments | Summit Global Investments Small Cap | |||||||
ASSETS | ||||||||
Investments, at value (cost $93,758,251 and $11,209,163, respectively) | $ | 111,766,127 | $ | 13,271,118 | ||||
Short-term investments, at value (cost $— and $836,321, respectively) | — | 836,321 | ||||||
Receivables for: | ||||||||
Investments sold | 1,871,402 | — | ||||||
Capital shares sold | 851,755 | 63,622 | ||||||
Dividends and interest | 227,186 | 12,821 | ||||||
Due from Advisor | — | 4,119 | ||||||
Prepaid expenses and other assets | 118,907 | 46,604 | ||||||
Total Assets | $ | 114,835,377 | $ | 14,234,605 | ||||
LIABILITIES | ||||||||
Due to Custodian | $ | 709,501 | $ | — | ||||
Payables for: | ||||||||
Capital shares redeemed | 58,139 | — | ||||||
Advisory fees | 54,093 | — | ||||||
Administration and accounting services fees | 32,988 | 9,287 | ||||||
Transfer agent fees | 16,655 | 7,573 | ||||||
Other accrued expenses and liabilities | 66,947 | 39,262 | ||||||
Total Liabilities | 938,323 | 56,122 | ||||||
Net Assets | $ | 113,897,054 | $ | 14,178,483 | ||||
NET ASSETS CONSIST OF: | ||||||||
Par value | $ | 7,611 | $ | 1,183 | ||||
Paid-in Capital | 96,744,652 | 12,122,337 | ||||||
Undistributed net investment income/(loss) | 294,841 | (5,343 | ) | |||||
Accumulated net realized gain/(loss) from investments | (1,157,926 | ) | (1,649 | ) | ||||
Net unrealized appreciation/(depreciation) on investments | 18,007,876 | 2,061,955 | ||||||
Net Assets | $ | 113,897,054 | $ | 14,178,483 |
The accompanying notes are an integral part of the financial statements.
22
SUMMIT GLOBAL INVESTMENTS
Statement Of Assets And Liabilities (Concluded)
February 28, 2017
(Unaudited)
Summit Global Investments | Summit Global Investments Small Cap | |||||||
CLASS A SHARES: | ||||||||
Net assets applicable to Class A Shares | $ | 20,627,229 | $ | — | ||||
Shares outstanding ($0.001 par value, 100,000,000 shares authorized) | 1,379,192 | — | ||||||
Net asset value and redemption price per share | $ | 14.96 | $ | — | ||||
Maximum offering price per share (100/94.75 of $14.96) | $ | 15.79 | $ | — | ||||
CLASS C SHARES: | ||||||||
Net assets applicable to Class C Shares | $ | 1,025,915 | $ | 78,755 | ||||
Shares outstanding ($0.001 par value, 100,000,000 shares authorized) | 69,509 | 6,602 | ||||||
Net asset value, offering and redemption price per share | $ | 14.76 | $ | 11.93 | ||||
CLASS I SHARES: | ||||||||
Net assets applicable to Class I Shares | $ | 92,243,910 | $ | 11,408,650 | ||||
Shares outstanding ($0.001 par value, 100,000,000 shares authorized) | 6,162,316 | 952,179 | ||||||
Net asset value, offering and redemption price per share | $ | 14.97 | $ | 11.98 | ||||
RETAIL SHARES: | ||||||||
Net assets applicable to Retail Shares | $ | — | $ | 2,691,078 | ||||
Shares outstanding ($0.001 par value, 100,000,000 shares authorized) | — | 224,543 | ||||||
Net asset value, offering and redemption price per share | $ | — | $ | 11.98 |
The accompanying notes are an integral part of the financial statements.
23
SUMMIT GLOBAL INVESTMENTS
Statement Of Operations
For the Six Months Ended February 28, 2017
(Unaudited)
Summit Global Investments | Summit Global Investments Small Cap | |||||||
INVESTMENT INCOME | ||||||||
Dividends and interest | $ | 1,444,160 | $ | 101,397 | ||||
Total investment income | 1,444,160 | 101,397 | ||||||
EXPENSES | ||||||||
Advisory fees (Note 2) | 403,008 | 62,705 | ||||||
Administration and accounting fees (Note 2) | 64,322 | 20,475 | ||||||
Transfer agent fees (Note 2) | 60,042 | 26,160 | ||||||
Distribution fees (Class A Shares) (Note 2) | 24,276 | — | ||||||
Directors and officers fees | 16,740 | 599 | ||||||
Legal fees | 16,427 | 1,272 | ||||||
Printing and shareholder reporting fees | 16,301 | 8,325 | ||||||
Audit fees | 13,723 | 23,829 | ||||||
Custodian fees (Note 2) | 8,894 | 6,816 | ||||||
Distribution fees (Class C Shares) (Note 2) | 2,944 | 226 | ||||||
Distribution fees (Retail Shares) (Note 2) | — | 2,943 | ||||||
Shareholder servicing fees | 474 | 39 | ||||||
Other expenses | 43,211 | 47,960 | ||||||
Total expenses before waivers and reimbursements | 670,362 | 201,349 | ||||||
Less: waivers and reimbursements (Note 2) | (78,458 | ) | (116,955 | ) | ||||
Net expenses after waivers and reimbursements | 591,904 | 84,394 | ||||||
Net investment income/(loss) | 852,256 | 17,003 | ||||||
NET REALIZED AND UNREALIZED GAIN/(LOSS) FROM INVESTMENTS | ||||||||
Net realized gain/(loss) from investments | (796,094 | ) | 883 | |||||
Net change in unrealized appreciation/(depreciation) on investments | 4,787,733 | 1,347,916 | ||||||
Net realized and unrealized gain/(loss) on investments | 3,991,639 | 1,348,799 | ||||||
NET INCREASE/(DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ | 4,843,895 | $ | 1,365,802 |
The accompanying notes are an integral part of the financial statements.
24
SUMMIT GLOBAL INVESTMENTS
U.S. LOW VOLATILITY EQUITY FUND
Statements of Changes in Net Assets
For the | For the | |||||||
INCREASE/(DECREASE) IN NET ASSET FROM OPERATIONS: | ||||||||
Net investment income/(loss) | $ | 852,256 | $ | 1,396,218 | ||||
Net realized gain/(loss) on investments | (796,094 | ) | 1,776,859 | |||||
Net change in unrealized appreciation/(depreciation) on investments | 4,787,733 | 9,203,615 | ||||||
Net increase/(decrease) in net assets resulting from operations | 4,843,895 | 12,376,692 | ||||||
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS FROM: | ||||||||
Net investment income | ||||||||
Class A Shares | (180,710 | ) | (7,658 | ) | ||||
Class C Shares | (5,671 | ) | — | |||||
Class I Shares | (1,016,757 | ) | (1,139,884 | ) | ||||
Total net investment income | (1,203,138 | ) | (1,147,542 | ) | ||||
Net realized gains | ||||||||
Class A Shares | (292,536 | ) | (28,208 | ) | ||||
Class C Shares | (11,450 | ) | — | |||||
Class I Shares | (1,371,749 | ) | (4,094,120 | ) | ||||
Total net realized gains | (1,675,735 | ) | (4,122,328 | ) | ||||
Net decrease in net assets from dividends and distributions to shareholders | (2,878,873 | ) | (5,269,870 | ) | ||||
INCREASE/(DECREASE) IN NET ASSETS DERIVED FROM CAPITAL SHARE TRANSACTIONS: | ||||||||
Class A Shares | ||||||||
Proceeds from shares sold | 2,926,893 | 19,363,190 | ||||||
Reinvestment of distributions | 466,338 | 35,866 | ||||||
Shares redeemed | (2,457,583 | ) | (1,140,074 | ) | ||||
Redemption fees* | 349 | 1,780 | ||||||
Total from Class A Shares | 935,997 | 18,260,762 | ||||||
Class C Shares | ||||||||
Proceeds from shares sold | 629,826 | 375,044 | ||||||
Reinvestment of distributions | 17,121 | — | ||||||
Shares redeemed | (19,811 | ) | (5,228 | ) | ||||
Redemption fees* | 2 | 19 | ||||||
Total from Class C Shares | 627,138 | 369,835 | ||||||
Class I Shares | ||||||||
Proceeds from shares sold | 11,220,145 | 42,888,293 | ||||||
Reinvestment of distributions | 2,279,346 | 5,087,374 | ||||||
Shares redeemed | (28,905,798 | ) | (20,808,046 | ) | ||||
Redemption fees* | 4,636 | 15,629 | ||||||
Total from Class I Shares | (15,401,671 | ) | 27,183,250 | |||||
Net increase/(decrease) in net assets from capital shares transactions | (13,838,536 | ) | 45,813,847 | |||||
Total increase/(decrease) in net assets | (11,873,514 | ) | 52,920,669 | |||||
NET ASSETS: | ||||||||
Beginning of period | 125,770,568 | 72,849,899 | ||||||
End of period | $ | 113,897,054 | $ | 125,770,568 | ||||
Undistributed net investment gain/(loss), end of period | $ | 294,841 | $ | 645,723 |
The accompanying notes are an integral part of the financial statements.
25
SUMMIT GLOBAL INVESTMENTS
U.S. LOW VOLATILITY EQUITY FUND
Statements of Changes in Net Assets (Concluded)
For the | For the | |||||||
INCREASE/(DECREASE) IN SHARES OUTSTANDING DERIVED FROM SHARE TRANSACTIONS: | ||||||||
Class A Shares | ||||||||
Shares sold | 203,041 | 1,390,678 | ||||||
Shares reinvested | 31,897 | 2,601 | ||||||
Shares redeemed | (170,215 | ) | (78,810 | ) | ||||
Total from Class A Shares | 64,723 | 1,314,469 | ||||||
Class C Shares | ||||||||
Shares sold | 44,046 | 26,038 | ||||||
Shares reinvested | 1,185 | — | ||||||
Shares redeemed | (1,392 | ) | (368 | ) | ||||
Total from Class C Shares | 43,839 | 25,670 | ||||||
Class I Shares | ||||||||
Shares sold | 773,466 | 3,027,570 | ||||||
Shares reinvested | 155,799 | 368,917 | ||||||
Shares redeemed | (1,988,276 | ) | (1,461,643 | ) | ||||
Total from Class I Shares | (1,059,011 | ) | 1,934,844 | |||||
Net increase/(decrease) in shares outstanding derived from share transactions | (950,449 | ) | 3,274,983 |
* | There is a 1.50% 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.
26
SUMMIT GLOBAL INVESTMENTS
SMALL CAP LOW VOLATILITY FUND
Statements of Changes in Net Assets
For the | For the | |||||||
INCREASE/(DECREASE) IN NET ASSET FROM OPERATIONS: | ||||||||
Net investment income/(loss) | $ | 17,003 | $ | 16,553 | ||||
Net realized gain/(loss) on investments | 883 | |||||||
Net change in unrealized appreciation/(depreciation) on investments | 1,347,916 | 714,039 | ||||||
Net increase/(decrease) in net assets resulting from operations | 1,365,802 | 730,592 | ||||||
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS FROM: | ||||||||
Net investment income | ||||||||
Class C Shares | — | — | ||||||
Class I Shares | (44,499 | ) | — | |||||
Retail Shares | (6,975 | ) | — | |||||
Total net investment income | (51,474 | ) | — | |||||
Net realized gains | ||||||||
Class C Shares | (10 | ) | — | |||||
Class I Shares | (2,052 | ) | — | |||||
Retail Shares | (470 | ) | — | |||||
Total net realized gains | (2,532 | ) | — | |||||
Net decrease in net assets from dividends and distributions to shareholders | (54,006 | ) | — | |||||
INCREASE/(DECREASE) IN NET ASSETS DERIVED FROM CAPITAL SHARE TRANSACTIONS: | ||||||||
Class C Shares | ||||||||
Proceeds from shares sold | 55,192 | 24,330 | ||||||
Reinvestment of distributions | 10 | — | ||||||
Shares redeemed | (7,004 | ) | — | |||||
Redemption fees* | — | 10 | ||||||
Total from Class C Shares | 48,198 | 24,340 | ||||||
Class I Shares | ||||||||
Proceeds from shares sold | 1,144,859 | 9,870,906 | ||||||
Reinvestment of distributions | 46,552 | — | ||||||
Shares redeemed | (959,123 | ) | (397,353 | ) | ||||
Redemption fees* | 45 | 4,233 | ||||||
Total from Class I Shares. | 232,333 | 9,477,786 | ||||||
Retail Shares | ||||||||
Proceeds from shares sold | 600,709 | 1,994,390 | ||||||
Reinvestment of distributions | 7,444 | — | ||||||
Shares redeemed | (152,529 | ) | (97,419 | ) | ||||
Redemption fees* | 74 | 769 | ||||||
Total from Retail Shares. | 455,698 | 1,897,740 | ||||||
Net increase/(decrease) in net assets from capital shares transactions | 736,229 | 11,399,866 | ||||||
Total increase/(decrease) in net assets | 2,048,025 | 12,130,458 | ||||||
NET ASSETS: | ||||||||
Beginning of period | 12,130,458 | — | ||||||
End of period | $ | 14,178,483 | $ | 12,130,458 | ||||
Undistributed net investment gain/(loss), end of period | $ | (5,343 | ) | $ | 29,128 |
The accompanying notes are an integral part of the financial statements.
27
SUMMIT GLOBAL INVESTMENTS
SMALL CAP LOW VOLATILITY FUND
Statements of Changes in Net Assets (Concluded)
For the | For the | |||||||
INCREASE/(DECREASE) IN SHARES OUTSTANDING DERIVED FROM SHARE TRANSACTIONS: | ||||||||
Class C Shares | ||||||||
Shares sold | 4,792 | 2,388 | ||||||
Shares reinvested | 1 | — | ||||||
Shares redeemed | (579 | ) | — | |||||
Total from Class C Shares | 4,214 | 2,388 | ||||||
Class I Shares | ||||||||
Shares sold | 100,073 | 969,650 | ||||||
Shares reinvested | 3,825 | — | ||||||
Shares redeemed | (83,696 | ) | (37,673 | ) | ||||
Total from Class I Shares | 20,202 | 931,977 | ||||||
Retail Shares | ||||||||
Shares sold | 51,637 | 194,884 | ||||||
Shares reinvested | 611 | — | ||||||
Shares redeemed | (13,230 | ) | (9,359 | ) | ||||
Total from Retail Shares | 39,018 | 185,525 | ||||||
Net increase/(decrease) in shares outstanding derived from share transactions | 63,434 | 1,119,890 |
* | There is a 1.50% 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.
28
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 | For the Period October 29, | |||||||
Per Share Operating Performance | ||||||||
Net asset value, beginning of period | $ | 14.67 | $ | 14.69 | ||||
Net investment income/(loss)(2) | 0.09 | 0.14 | ||||||
Net realized and unrealized gain/(loss) from investments(3) | 0.55 | 0.79 | ||||||
Net increase/(decrease) in net assets resulting from operations | 0.64 | 0.93 | ||||||
Dividends and distributions to shareholders from: | ||||||||
Net investment income | (0.13 | ) | (0.20 | ) | ||||
Net realized gains | (0.22 | ) | (0.75 | ) | ||||
Total dividends and distributions to shareholders | (0.35 | ) | (0.95 | ) | ||||
Net asset value, end of period | $ | 14.96 | $ | 14.67 | ||||
Total investment return(4) | 4.41 | %(5) | 6.74 | %(5) | ||||
Ratios/Supplemental Data | ||||||||
Net assets, end of period (000’s omitted) | $ | 20,627 | $ | 19,288 | ||||
Ratio of expenses to average net assets with waivers and reimbursements | 1.23 | %(6) | 1.23 | %(6) | ||||
Ratio of expenses to average net assets without waivers and reimbursements | 1.37 | %(6) | 1.38 | %(6) | ||||
Ratio of net investment income/(loss) to average net assets | 1.29 | %(6) | 1.15 | %(6) | ||||
Portfolio turnover rate(7) | 3.02 | %(5) | 41 | %(5) |
(1) | Commencement of operations. |
(2) | The selected per share data is calculated based on the average shares outstanding method for the period. |
(3) | The amount shown may not correlate with the change in the aggregate gains and losses due to the timing of sales and purchases of the Fund’s shares in relation to fluctuating market values for the Fund’s portfolio. |
(4) | 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 investment return does not reflect Sales Charge. |
(5) | Not annualized. |
(6) | Annualized. |
(7) | Portfolio Turnover Rate is calculated for the Fund, as a whole, for the entire year. |
The accompanying notes are an integral part of the financial statements.
29
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 | For the Period December 31, | |||||||
Per Share Operating Performance | ||||||||
Net asset value, beginning of period | $ | 14.51 | $ | 13.57 | ||||
Net investment income/(loss)(2) | 0.04 | 0.03 | ||||||
Net realized and unrealized gain/(loss) from investments(3) | 0.54 | 0.91 | ||||||
Net increase/(decrease) in net assets resulting from operations | 0.58 | 0.94 | ||||||
Dividends and distributions to shareholders from: | ||||||||
Net investment income | (0.11 | ) | — | |||||
Net realized gains | (0.22 | ) | — | |||||
Total dividends and distributions to shareholders | (0.33 | ) | — | |||||
Net asset value, end of period | $ | 14.76 | $ | 14.51 | ||||
Total investment return(4) | 3.99 | %(5) | 6.93 | %(5) | ||||
Ratios/Supplemental Data | ||||||||
Net assets, end of period (000’s omitted) | $ | 1,026 | $ | 373 | ||||
Ratio of expenses to average net assets with waivers and reimbursements | 1.98 | %(6) | 1.99 | %(6) | ||||
Ratio of expenses to average net assets without waivers and reimbursements | 2.12 | %(6) | 2.16 | %(6) | ||||
Ratio of net investment income/(loss) to average net assets | 0.58 | %(6) | 0.32 | %(6) | ||||
Portfolio turnover rate(7) | 3.02 | %(5) | 41 | %(5) |
(1) | Commencement of operations. |
(2) | The selected per share data is calculated based on the average shares outstanding method for the period. |
(3) | The amount shown may not correlate with the change in the aggregate gains and losses due to the timing of sales and purchases of the Fund’s shares in relation to fluctuating market values for the Fund’s portfolio. |
(4) | 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. |
(7) | Portfolio Turnover Rate is calculated for the Fund, as a whole, for the entire year. |
The accompanying notes are an integral part of the financial statements.
30
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 | For the | For the | For the | For the Period February 29, | |||||||||||||||||||
Per Share Operating Performance | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 14.51 | $ | 13.78 | $ | 13.72 | $ | 11.85 | $ | 10.18 | $ | 10.00 | ||||||||||||
Net investment income/(loss)(2) | 0.11 | 0.21 | 0.21 | 0.16 | 0.15 | 0.08 | ||||||||||||||||||
Net realized and unrealized gain/(loss) from investments(3) | 0.73 | 1.66 | 0.44 | 2.01 | 1.64 | 0.10 | ||||||||||||||||||
Net increase in net assets resulting from operations | 0.84 | 1.87 | 0.65 | 2.17 | 1.79 | 0.18 | ||||||||||||||||||
Dividends and distributions to shareholders from: | ||||||||||||||||||||||||
Net investment income | (0.16 | ) | (0.21 | ) | (0.16 | ) | (0.08 | ) | (0.05 | ) | — | |||||||||||||
Net realized gains | (0.22 | ) | (0.75 | ) | (0.43 | ) | (0.22 | ) | (0.07 | ) | — | |||||||||||||
Total dividends and distributions to shareholders | (0.38 | ) | (0.96 | ) | (0.59 | ) | (0.30 | ) | (0.12 | ) | — | |||||||||||||
Net asset value, end of period | $ | 14.97 | $ | 14.69 | $ | 13.78 | $ | 13.72 | $ | 11.85 | $ | 10.18 | ||||||||||||
Total investment return(4) | 4.52 | %(5) | 13.99 | % | 4.82 | % | 18.57 | % | 17.78 | % | 1.80 | %(5) | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (000’s omitted) | $ | 92,244 | $ | 106,110 | $ | 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 | % | 0.98 | %(6) | ||||||||||||
Ratio of expenses to average net assets without waivers | 1.12 | %(6) | 1.14 | % | 1.20 | % | 1.35 | % | 2.74 | % | 20.03 | %(6) | ||||||||||||
Ratio of net investment income/(loss) to average net asysets | 1.53 | %(6) | 1.49 | % | 1.47 | % | 1.25 | % | 1.34 | % | 1.64 | %(6) | ||||||||||||
Portfolio turnover rate | 3.02 | %(5) | 41 | % | 42 | % | 110 | % | 81 | % | 95 | %(5) |
(1) | Commencement of operations. |
(2) | The selected per share data is 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.
31
SUMMIT GLOBAL INVESTMENTS
SMALL CAP LOW VOLATILITY 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 | For the | |||||||
Per Share Operating Performance | ||||||||
Net asset value, beginning of period | $ | 10.80 | $ | 10.00 | ||||
Net investment income/(loss)(2) | (0.04 | ) | (0.02 | ) | ||||
Net realized and unrealized gain/(loss) from investments(3) | 1.17 | 0.82 | ||||||
Net increase/(decrease) in net assets resulting from operations | 1.13 | 0.80 | ||||||
Dividends and distributions to shareholders from: | ||||||||
Net realized gains | — | (7) | — | |||||
Net asset value, end of period | $ | 11.93 | $ | 10.80 | ||||
Total investment return(4) | 10.48 | %(5) | 8.00 | %(5) | ||||
Ratios/Supplemental Data | ||||||||
Net assets, end of period (000’s omitted) | $ | 79 | $ | 26 | ||||
Ratio of expenses to average net assets with waivers and reimbursements | 2.23 | %(6) | 2.23 | %(6) | ||||
Ratio of expenses to average net assets without waivers and reimbursements | 3.95 | %(6) | 5.43 | %(6) | ||||
Ratio of net investment income/(loss) to average net assets | (0.73 | %)(6) | (0.47 | %)(6) | ||||
Portfolio turnover rate | 0.09 | %(5) | 0.01 | %(5) |
(1) | Commencement of operations. |
(2) | The selected per share data is calculated based on the average shares outstanding method for the period. |
(3) | The amount shown may not correlate with the change in the aggregate gains and losses due to the timing of sales and purchases of the Fund’s shares in relation to fluctuating market values for the Fund’s portfolio. |
(4) | 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. |
(7) | Amount represents less than $0.005 per share. |
The accompanying notes are an integral part of the financial statements.
32
SUMMIT GLOBAL INVESTMENTS
SMALL CAP LOW VOLATILITY 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 | |||||||
Per Share Operating Performance | ||||||||
Net asset value, beginning of period | $ | 10.83 | $ | 10.00 | ||||
Net investment income/(loss)(2) | 0.02 | 0.02 | ||||||
Net realized and unrealized gain/(loss) from investments(3) | 1.18 | 0.81 | ||||||
Net increase/(decrease) in net assets resulting from operations | 1.20 | 0.83 | ||||||
Dividends and distributions to shareholders from: | ||||||||
Net investment income | (0.05 | ) | — | |||||
Net realized gains | — | (7) | — | |||||
Total dividends and distributions to shareholders | (0.05 | ) | — | |||||
Net asset value, end of period | $ | 11.98 | $ | 10.83 | ||||
Total investment return(4) | 11.06 | %(5) | 8.30 | %(5) | ||||
Ratios/Supplemental Data | ||||||||
Net assets, end of period (000’s omitted) | $ | 11,409 | $ | 10,095 | ||||
Ratio of expenses to average net assets with waivers and reimbursements | 1.23 | %(6) | 1.23 | %(6) | ||||
Ratio of expenses to average net assets without waivers and reimbursements | 3.00 | %(6) | 4.43 | %(6) | ||||
Ratio of net investment income/(loss) to average net assets | 0.31 | %(6) | 0.53 | %(6) | ||||
Portfolio turnover rate | 0.09 | %(5) | 0.01 | %(5) |
(1) | Commencement of operations. |
(2) | The selected per share data is calculated based on the average shares outstanding method for the period. |
(3) | The amount shown may not correlate with the change in the aggregate gains and losses due to the timing of sales and purchases of the Fund’s shares in relation to fluctuating market values for the Fund’s portfolio. |
(4) | 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. |
(7) | Amount represents less than $0.005 per share. |
The accompanying notes are an integral part of the financial statements.
33
SUMMIT GLOBAL INVESTMENTS
SMALL CAP LOW VOLATILITY FUND
Financial Highlights
Contained below is per share operating performance data for Retail 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. |
Retail Shares | ||||||||
For the | For the | |||||||
Per Share Operating Performance | ||||||||
Net asset value, beginning of period | $ | 10.83 | $ | 10.00 | ||||
Net investment income/(loss)(2) | — | (7) | 0.01 | |||||
Net realized and unrealized gain/(loss) from investments(3) | 1.18 | 0.82 | ||||||
Net increase/(decrease) in net assets resulting from operations | 1.18 | 0.83 | ||||||
Dividends and distributions to shareholders from: | ||||||||
Net investment income | (0.03 | ) | — | |||||
Net realized gains | — | (7) | — | |||||
Total dividends and distributions to shareholders | (0.03 | ) | — | |||||
Net asset value, end of period | $ | 11.98 | $ | 10.83 | ||||
Total investment return(4) | 10.93 | %(5) | 8.30 | %(5) | ||||
Ratios/Supplemental Data | ||||||||
Net assets, end of period (000’s omitted) | $ | 2,691 | $ | 2,010 | ||||
Ratio of expenses to average net assets with waivers and reimbursements | 1.48 | %(6) | 1.48 | %(6) | ||||
Ratio of expenses to average net assets without waivers and reimbursements | 3.24 | %(6) | 4.68 | %(6) | ||||
Ratio of net investment income/(loss) to average net assets | 0.05 | %(6) | 0.28 | %(6) | ||||
Portfolio turnover rate | 0.09 | %(5) | 0.01 | %(5) |
(1) | Commencement of operations. |
(2) | The selected per share data is calculated based on the average shares outstanding method for the period. |
(3) | The amount shown may not correlate with the change in the aggregate gains and losses due to the timing of sales and purchases of the Fund’s shares in relation to fluctuating market values for the Fund’s portfolio. |
(4) | 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. |
(7) | Amount represents less than $0.005 per share. |
The accompanying notes are an integral part of the financial statements.
34
SUMMIT GLOBAL INVESTMENTS FUNDS
Notes to Financial Statements
February 28, 2017
(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-six active investment portfolios, including the Summit Global Investments U.S. Low Volatility Equity Fund and Summit Global Investments Small Cap Low Volatility Fund, which commenced investment operations on February 29, 2012 and March 31, 2016, respectively. As of February 28, 2017, the Summit Global Investments U.S. Low Volatility Equity Fund offers four classes of shares: Class A Shares, Class C Shares, Class I Shares and Retail Shares (not currently open); the Summit Global Investments Small Cap Low Volatility Fund offers three classes of shares: Retail Shares, Class C Shares and Class I Shares.
RBB has authorized capital of one hundred billion shares of common stock of which 84.423 billion shares are currently classified into one hundred and seventy-one classes of common stock. Each class represents an interest in an active or inactive RBB investment portfolio.
Portfolio Valuation — Each Funds’ net asset value (“NAV”) is calculated once daily at the close of regular trading hours on the New York Stock Exchange (“NYSE”) (generally 4:00 p.m. Eastern time) on each day the NYSE is open. Securities held by the Funds are valued using the closing price or the last sale price on a national securities exchange or the National Association of Securities Dealers Automatic Quotation System (“NASDAQ”) market system where they are primarily traded. Equity securities traded in the over-the-counter 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 (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. 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 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 methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
35
SUMMIT GLOBAL INVESTMENTS FUNDS
Notes to Financial Statements (Continued)
February 28, 2017
(Unaudited)
The following is a summary of the inputs used, as of February 28, 2017, in valuing the Funds’ investments carried at fair value:
Total | Level 1 | Level 2 | Level 3 | |||||||||||||
Summit Global Investments U.S Low Volatility Equity Fund | ||||||||||||||||
Common Stocks | $ | 111,766,127 | $ | 111,766,127 | $ | — | $ | — | ||||||||
Total Investments* | $ | 111,766,127 | $ | 111,766,127 | $ | — | $ | — | ||||||||
Summit Global Investments Small Cap Low Volatility Fund | ||||||||||||||||
Common Stocks | $ | 13,271,118 | $ | 13,271,118 | $ | — | $ | — | ||||||||
Short-Term Investments | 836,321 | 836,321 | — | — | ||||||||||||
Total Investments* | $ | 14,107,439 | $ | 14,107,439 | $ | — | $ | — |
* | 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 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 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.
For the six months ended February 28, 2017, 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.
36
SUMMIT GLOBAL INVESTMENTS FUNDS
Notes to Financial Statements (Continued)
February 28, 2017
(Unaudited)
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 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 Board deems fair or equitable. Expenses and fees, including investment advisory and administration fees, are accrued daily and taken into account for the purpose of determining the NAV of the Funds.
Dividends and Distributions to Shareholders — Dividends from net investment income, if any, are declared and paid annually. 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 each Fund’s intention to qualify or continue to qualify for and elect the tax treatment applicable to regulated investment companies under Subchapter M of the Internal Revenue Code of 1986, as amended, and make the requisite distributions to its shareholders which will be sufficient to relieve it from U.S. income and excise taxes.
Cash and Cash Equivalents — Cash and cash equivalents are valued at cost plus accrued interest, which approximates market value.
Redemption/Exchange Fees — The Funds impose 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 Funds reserve the right to modify or eliminate the redemption/exchange fees or any waivers of such fees at any time.
Other — In the normal course of business, the Funds may enter into contracts that provide general indemnifications. Each Fund’s maximum exposure under these arrangements is dependent on claims that may be made against the Funds in the future, and, therefore, cannot be estimated; however, based on experience, the risk of material loss from such claims is considered remote.
2. Investment Adviser and Other Services
Summit Global Investments, LLC (“Summit” or the “Adviser”) serves as each Fund’s investment adviser. For its advisory services, the Adviser is entitled to recieve 0.70% of the Summit Global Investments U.S. Low Volatility Equity Fund’s average daily net assets and 0.95% of the Summit Global Investments Small Cap Low Volatility Fund’s average daily net assets, computed daily and paid monthly.
For the Summit Global Investments U.S. Low Volatility Equity Fund, the Adviser has contractually agreed to waive management fees and/or reimburse expenses through December 31, 2017 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. This contractual limitation may not be terminated before December 31, 2017 without the approval of the Board. For the Summit Global Investments Small Cap Low Volatility Fund, Summit has contractually agreed to waive management fees and/or reimburse expenses through December 31, 2017 to the extent that Total Annual Fund Operating Expenses (excluding certain items discussed below) exceed 1.23%, 1.48% and 2.23% of the Fund’s average daily net assets attributable to Class I Shares, Retail Shares and Class C Shares, respectively. This contractual limitation may not be
37
SUMMIT GLOBAL INVESTMENTS FUNDS
Notes to Financial Statements (Continued)
February 28, 2017
(Unaudited)
terminated before December 31, 2017 without the approval of the Board. In determining the Adviser’s obligation to waive advisory fees and/or reimburse expenses, the following expenses are not taken into account and could cause net Total Annual Fund Operating Expenses to exceed the limits stated above as applicable: acquired fund fees and expenses, brokerage commissions, extraordinary items, interest or taxes. If at any time the Funds’ Total Annual Fund Operating Expenses for a year are less than the limits stated above, the Adviser is entitled to reimbursement by the Funds of the advisory fees forgone and other payments remitted by the Adviser to the respective Fund within three years from the date on which such waiver or reimbursement was made. There were no fees recouped by the Adviser during the six months ended February 28, 2017.
For the six months ended February 28, 2017, advisory fees and waivers/reimbursements of advisory fees were as follows:
Gross | Waivers | Reimbursements | Net | |||||||||||||
Summit Global Investments U.S. Low Volatility Equity Fund | $ | 403,008 | $ | (78,458 | ) | $ | — | $ | 324,550 | |||||||
Summit Global Investments Small Cap Low Volatility Fund | 62,705 | (62,705 | ) | (54,250 | ) | (54,250 | ) |
As of February 28, 2017, the Funds had amounts available for recoupment as follows:
August 31, | August 31, | August 31, | ||||||||||
Summit Global Investments U.S. Low Volatility Equity Fund | $ | 147,547 | $ | 151,284 | $ | 78,458 | ||||||
Summit Global Investments Small Cap Low Volatility Fund | — | 108,075 | 116,955 |
BNY Mellon Investment Servicing (US) Inc. (“BNY Mellon”) served as administrator for the Funds through September 30, 2016. Effective October 1, 2016, U.S. Bancorp Fund Services, LLC (“USBFS”) serves as administrator for the Funds. For providing administrative and accounting services, USBFS is entitled to receive a monthly fee, subject to certain minimum and out of pocket expenses.
In addition, BNY Mellon served as the Funds’ transfer and dividend disbursing agent through November 18, 2016. Effective November 19, 2016 USBFS serves as the Funds’ transfer and dividend disbursing agent. For providing transfer agent services, USBFS is entitled to receive a monthly fee, subject to certain minimum and out of pocket expenses.
The Bank of New York Mellon provided certain custodial services to the Funds through November 18, 2016. Effective November 19, 2016 U.S. Bank, N.A. (the “Custodian”) provides certain custodial services to the Funds. The Custodian is entitled to receive a monthly fee, subject to certain minimum and out of pocket expenses.
Foreside Funds Distributors, LLC served as the principal underwriter and distributor of the Funds’ shares pursuant to a Distribution Agreement with RBB through November 18, 2016. Effective November 19, 2016 Quasar 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 period ended February 28, 2017 was $9,542 and $341 for Summit Global Investments U.S. Low Volatility Equity Fund and Summit Global Investments Small Cap Low Volatility Fund, respectively. Employees of Vigilant Compliance, LLC serve as President, Chief Compliance Officer and Assistant
38
SUMMIT GLOBAL INVESTMENTS FUNDS
Notes to Financial Statements (Continued)
February 28, 2017
(Unaudited)
Treasurer of the Company. Vigilant Compliance, LLC is compensated for the services provided to the Company. An employee of RBB serves as Treasurer and Secretary, and is compensated for services provided. Certain employees of USBFS serve as officers of the Company. They are not compensated by the Funds or the Company. For the period ended February 28, 2017, the Funds paid $7,198 and $258 for Summit Global Investments U.S. Low Volatility Equity Fund and Summit Global Investments Small Cap Low Volatility Fund, respectively, in officer fees.
4. Purchases and Sales of Investment Securities
For the six months ended February 28, 2017, aggregate purchases and sales of investment securities (excluding short-term investments) of the Funds were as follows:
Purchase | Sales | |||||||
Summit Global Investments U.S. Low Volatility Equity Fund | $ | 3,429,318 | $ | 14,436,946 | ||||
Summit Global Investments Small Cap Low Volatility Fund | 1,018,126 | 11,583 |
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 28, 2017, the federal tax cost, aggregate gross unrealized appreciation and depreciation of securities held by each Fund were as follows*:
Federal Tax | Unrealized | Unrealized | Net Unrealized Appreciation/ (Depreciation) | |||||||||||||
Summit Global Investments U.S. Low Volatility Equity Fund | $ | 93,758,251 | $ | 19,055,889 | $ | (1,048,013 | ) | $ | 18,007,876 | |||||||
Summit Global Investments Small Cap Low Volatility Fund | 12,045,484 | 2,246,125 | (184,170 | ) | 2,061,955 |
* | Because tax adjustments are calculated annually at the end of the Funds’ fiscal year, the above table does not reflect tax adjustments for the current fiscal year. |
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.
39
SUMMIT GLOBAL INVESTMENTS FUNDS
Notes to Financial Statements (Concluded)
February 28, 2017
(Unaudited)
The following permanent differences as of August 31, 2016, primarily attributable to the reclassification of short-term gains in the Summit Global Investments U.S. Low Volatility Equity Fund and disallowed expenses in the Summit Global Investments Small Cap Low Volatility Fund, were reclassified among the following accounts:
Undistributed | Accumulated | Paid-In | ||||||||||
Summit Global Investments U.S. Low Volatility Equity Fund | $ | (303,614 | ) | $ | 303,614 | $ | — | |||||
Summit Global Investments Small Cap Low Volatility Fund | 12,575 | — | (12,575 | ) |
As of August 31, 2016, the components of distributable earnings on a tax basis were as follows:
Undistributed | Undistributed | Unrealized | ||||||||||
Summit Global Investments U.S. Low Volatility Equity Fund | $ | 645,376 | $ | 1,340,810 | $ | 13,193,583 | ||||||
Summit Global Investments Small Cap Low Volatility Fund | 29,128 | — | 714,039 |
The differences between the book and tax basis components of distributable earnings relate primarily to the timing of recognition of income and gains for federal income tax purposes.
The tax character of dividends and distributions paid during the fiscal year ended August 31, 2016, was as follows:
Ordinary | Long-Term | Total | ||||||||||
Summit Global Investments U.S. Low Volatility Equity Fund | $ | 3,040,904 | $ | 2,228,966 | $ | 5,269,870 | ||||||
Summit Global Investments Small Cap Low Volatility Fund | — | — | — |
Dividends from net investment income and short-term capital gains are treated as ordinary income dividends for federal income tax purposes.
Under the Regulated Investment Company Modernization Act of 2010, the Funds are permitted to carry forward capital losses incurred in taxable years beginning after December 22, 2010 for an unlimited period. Additionally, capital losses that are carried forward will retain their character as either short-term or long-term capital losses rather than being considered all short-term as under the previous law. As of August 31, 2016, no Fund had any capital loss carryforwards.
6. Subsequent Events
Management has evaluated the impact of all subsequent events on the Funds through the date the financial statements were issued, and has determined that there were no significant events requiring recognition on disclosure in the consolidated financial statements.
40
SUMMIT GLOBAL INVESTMENTS 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 (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.
41
Investment Adviser
Summit Global Investments, LLC
620 South Main Street
Bountiful, UT 84010
Administrator and Transfer Agent
U.S. Bancorp Fund Services, LLC
P.O. Box 701
Milwaukee, WI 53201
Principal Underwriter
Quasar Distributors, LLC
777 East Wisconsin Avenue, Floor 6
Milwaukee, WI 53202
Custodian
U.S. Bank, N.A.
1555 North Rivercenter Drive, Suite 302
Milwaukee, WI 53212
Independent Registered Public Accounting Firm
Ernst & Young LLP
One Commerce Square
2005 Market Street, Suite 700
Philadelphia, PA 19103
Legal Counsel
Drinker Biddle & Reath LLP
One Logan Square, Ste. 2000
Philadelphia, PA 19103-6996
SUMMIT GLOBAL INVESTMENTS
GLOBAL LOW VOLATILITY FUND
of
The RBB Fund, Inc.
SEMI-ANNUAL REPORT
February 28, 2017
(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
GLOBAL LOW VOLATILITY FUND
Semi-Annual Investment Adviser’s Report
February 28, 2017
(Unaudited)
Dear Shareholder:
It is with humble appreciation and gratitude for your willingness to vote for Summit Global Investments (“SGI”) to take over as manager of the Summit Global Investments Global Low Volatility Fund (the “Fund”). We appreciate the confidence you have placed in us and value the opportunity to work with you. It enables all of us at SGI to do what we love every day; 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 return seems unwarranted. Investing for return must always be weighed against the risk of the investments.
The Fund strategy seeks to de-risk and diversify client’s equity return sources. SGI’s philosophical conviction is that risk management must take primacy in the investment process. Through our low-volatility equity approach, we seek to manage portfolios that potentially will provide clients less volatile return streams, a participative up-side market capture, and more capital protection during negative markets.
By definition, “low-volatility equities” aren’t necessarily “value”, “sector-specific”, “high dividend-yielding”, or any other static categorical classification. This is because risk characteristics (e.g., volatility, beta tendencies, fundamental risks) of most companies are NOT static. A company’s business can be seasonal, cyclical, or simply evolve over time. Consequently, its equity price behavior can be time-varying. We believe these varying risks are effectively managed through SGI’s low-volatility approach.
SGI utilizes quantitative methods to identify statistically-attractive companies based on a diversified set of factors. Yet because there are certain types of information or risks not readily captured by algorithmic or quantitative approaches, SGI also believes in conducting fundamental analysis to supplement its quantitative screening.
A quantitative framework provides a consistent context to efficiently identify high potential companies for inclusion in the portfolio. SGI’s fundamental research looks to confirm or deny that quantitative signaling.
Investment selection includes proprietary quantitative risk and return modeling combined along with qualitative fundamental company analysis.
SGI’s proprietary risk model, expected return model, and portfolio construction constraints are included in its methodology to create a potential portfolio for investment. Portfolios are monitored daily with quantitative models refreshed weekly as new company data is populated. Constraints are consistently applied to ensure broad portfolio diversification and risk controls.
The investment team runs portfolio processes that include:
Risk: Utilizing a risk framework that screens for companies that display liquidity, quality, and market leadership. The resulting opportunity set is positively skewed for companies that have a more leadership position and established position within their respective markets and competitors.
1
SUMMIT GLOBAL INVESTMENTS
GLOBAL LOW VOLATILITY FUND
Semi-Annual Investment Adviser’s Report (continued)
February 28, 2017
(Unaudited)
Rank Model: SGI uses a proprietary multi-factor expected ranking model. It is a proprietary multi-factor model that calculates a rank for all stocks within the opportunity set. The model is customized for return productivity specifically for lower-volatile equities. The factors are diversified across multiple categories: Risk, Quality, Value, Growth, and Momentum. The model’s factor constituents have been consistent over time. The highest ranked companies are the potential candidates for portfolio inclusion.
Model factor characteristics:
● | Customized |
o | Specific for low-volatility equity management |
o | Persistency of impact (i.e. low decay of factor contribution) |
o | Magnitude of contribution |
● | Diversified |
o | Risk, Quality, Value, Growth, Momentum |
Constraints: As part of portfolio construction, SGI incorporates portfolio constraints to ensure diversification and manage overall construction risks:
● | Maximum sector weight: 20% max weight at construction |
● | Maximum security weight: 2% at construction |
● | Number of positions: 50 at construction |
The portfolio construction process brings together SGI’s proprietary elements of risk, our proprietary multi-factor ranking model, and portfolio construction constraints. The portfolio construction outputs a potential portfolio of holdings for review fundamentally by the investment team.
Fundamental Analysis: SGI conducts our bottom-up fundamental analysis (e.g., SWOT analysis) specifically focused on downside risk. SGI’s focus on the qualitative research is to utilize it as a “knock-out” function to identify weakness or potential perceived threats to a company unidentified by the quantitative modeling.
Lead portfolio manager David Harden, while working collaboratively with the entire investment team, makes the final decision on all buy/hold/sell decisions in the portfolio.
Though SGI only started managing the Fund in January 2017, since the previous shareholder letter dated August 31, 2016 through February 28, 2017, the Global Low Volatility Equity Fund (“the Fund”) returned 0.88%. As we move forward the Fund will be managed against the MSCI ACWI Index® (the “Index”). This is a free-float weighted equity index. It was developed with a base value of 100 as of December 31, 1987. It includes both emerging and developed world markets.
Since SGI took over management of the Fund on January 3, 2017 through February 28, 2017 the Fund returned 8.73% vs. 5.59% for the Index, thus outperforming the Index on an absolute basis by 3.14%. The current beta1 for the Fund, as of February 28, 2017 is 0.77, thus outperforming the index on a risk-adjusted return2 by 4.53%.
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. The beta is calculated using sum of the current holdings, where each individual holdings’ beta is multiplied by the holdings’ weight in the Fund. |
2 | Risk-adjusted return is the return of the Index multiplied by the beta of the fund. This comparison is helpful when attempting to compare return with respect to the same risk. |
2
SUMMIT GLOBAL INVESTMENTS
GLOBAL LOW VOLATILITY FUND
Semi-Annual Investment Adviser’s Report (concluded)
February 28, 2017
(Unaudited)
As managers of the Fund we must keep an eye on world events and markets. We believe 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. Global companies’ 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.
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, the Fund’s approach is warranted 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 may provide lower price fluctuations, the potential for more consistent and reliable returns with smaller drawdowns, and adds increased diversification when combined with other investment strategies. Our approach considers 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. The Fund seeks to outperform the Index over a full market cycle while reducing overall volatility.
Financial markets are always unpredictable, but there are several time-tested investment principles that may help put the odds in your favor. It is our sincere effort to follow such principles and seek to provide acceptable long-term, risk-adjusted returns.
While we remain optimistic about the opportunities within the global 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 should provide access to market returns with less overall risk.
Sincerely,
Summit Global Investments, LLC
Mutual fund investing involves risk. Loss of principle is possible. A portfolio comprised of low volatility stocks may not produce investment exposure that has lower variability to changes in such stocks’ price levels. Investing in low volatility stocks may limit the Fund’s gains in rising markets. The Fund invests in foreign securities which involve political, economic and currency risks, greater volatility and differences in accounting methods.
Diversification does not assure a profit, nor does it protect against a loss in a declining market.
The MSCI ACWI Index® (the “Index”) captures large and mid cap representation across 23 Developed Markets (DM) and 23 Emerging Markets (EM) countries*. With 2,480 constituents, the index covers approximately 85% of the global investable equity opportunity set. It is not possible to invest directly with an index.
3
SUMMIT GLOBAL INVESTMENTS
GLOBAL LOW VOLATILITY FUND
Performance Data
February 28, 2017
(Unaudited)
Average Annual Total Returns for the Periods Ended February 28, 2017* | |||||
Six | One | Three | Five | Since | |
Summit Global Investments Global Low Volatility Fund - Class I Shares** | 0.88% | 15.95% | 0.48% | 8.29% | 18.32% |
Russell 1000® Growth Index***†† | 9.15% | 22.15% | 10.47% | 13.79% | 17.70% |
MSCI ACWI Index***†† | 7.76% | 22.75% | 5.37% | 8.84% | 13.43% |
† | Not annualized. |
†† | The table reflects performance for the Russell 1000® Growth Index (the “Prior Benchmark”) and the MSCI ACWI Index (the “New Benchmark”). The Fund’s Adviser believes the New Benchmark is a more appropriate broad-based securities market index for performance comparison purposes than the Prior Benchmark based on the Fund’s holdings. |
* | Returns for periods prior to January 3, 2017 were generated under the Management of the Fund’s former investment adviser. |
** | 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 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. Effective January 3, 2017, the Scotia Dynamic U.S. Growth Fund changed its name to the Summit Global Investments Global Low Volatility Fund (the “Fund”). 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, 2016, are 1.13% 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 (the “Adviser”), has contractually agreed to waive management fees and/or reimburse certain expenses of the Fund through December 31, 2017 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, 2017, unless the Board of Directors of The RBB Fund, Inc. approves its earlier termination.
International investing is subject to special risks including, but not limited to, currency risk associated with securities denominated in other than the U.S. dollar, which may be affected by fluctuations in currency exchange rates, political, social or economic instability, and differences in taxation, auditing, and other financial practices.
The 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.
The MSCI ACWI Index® (the “Index”) captures large and mid cap representation across 23 Developed Markets (DM) and 23 Emerging Markets (EM) countries*. With 2,480 constituents, the index covers approximately 85% of the global investable equity opportunity set. It is not possible to invest directly with an index.
4
SUMMIT GLOBAL INVESTMENTS
GLOBAL LOW VOLATILITY FUND
Fund Expense Examples
February 28, 2017
(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, 2016 through February 28, 2017 and held for the entire period.
Actual Expenses
The first line of the accompanying table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The second line of the accompanying table provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare these 5% hypothetical examples with the 5% hypothetical examples that appear in the shareholder reports of other funds.
Please note that the expenses shown in the accompanying table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as 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 | Ending | Expenses Paid | |
Actual | $1,000.00 | $1,008.80 | $4.18 |
Hypothetical (5% return before expenses) | 1,000.00 | 1,020.63 | 4.21 |
* | 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 (181) in the most recent fiscal half-year, then divided by 365 to reflect the one-half year period. The Fund’s ending account value on the first line in the table is based on the actual six-month total investment return for the Fund as of February 28, 2017 of 0.88% for Class I Shares. |
5
SUMMIT GLOBAL INVESTMENTS
GLOBAL LOW VOLATILITY FUND
Portfolio Holdings Summary Table
February 28, 2017
(Unaudited)
The following table presents a summary by sector of the portfolio holdings of the Fund:
Security Type & Sector Classification | % of Net | Value |
COMMON STOCKS: | ||
Pharmaceuticals | 15.1% | $ 3,617,001 |
Health Care Equipment & Supplies | 6.8 | 1,625,732 |
Diversified Telecommunication Services | 6.4 | 1,530,536 |
Aerospace & Defense | 6.3 | 1,520,388 |
Household Products | 4.5 | 1,086,491 |
Software | 4.5 | 1,074,787 |
Hotels, Restaurants & Leisure | 4.5 | 1,068,298 |
IT Services | 4.3 | 1,018,688 |
Road & Rail | 4.2 | 1,000,973 |
Banks | 4.1 | 995,824 |
Wireless Telecommunication Services | 4.1 | 994,554 |
Real Estate Investment Trusts | 4.1 | 971,593 |
Transportation Infrastructure | 2.3 | 559,332 |
Food Products | 2.2 | 540,326 |
Insurance | 2.2 | 527,809 |
Personal Products | 2.2 | 527,754 |
Household Durables | 2.2 | 525,906 |
Electric Utilities | 2.2 | 525,844 |
Textiles, Apparel & Luxury Goods | 2.2 | 521,299 |
Diversified Financial Services | 2.2 | 521,117 |
Electrical Equipment | 2.1 | 508,502 |
Food & Staples Retailing | 2.1 | 507,859 |
Thrifts & Mortgage Finance | 2.0 | 473,374 |
Capital Markets | 1.9 | 460,224 |
Specialty Retail | 1.8 | 434,565 |
SHORT-TERM INVESTMENTS | 3.7 | 891,209 |
LIABILITIES IN EXCESS OF OTHER ASSETS | (0.2) | (47,809) |
NET ASSETS | 100.0% | $ 23,982,176 |
Portfolio holdings are subject to change at any time.
The accompanying notes are an integral part of the financial statements.
6
SUMMIT GLOBAL INVESTMENTS
GLOBAL LOW VOLATILITY FUND
Portfolio of Investments
February 28, 2017
(Unaudited)
Number | Value | |||||||
COMMON STOCKS - 96.5% | ||||||||
Aerospace & Defense — 6.3% | ||||||||
General Dynamics Corp. | 2,750 | $ | 521,977 | |||||
Raytheon Co. | 3,330 | 513,320 | ||||||
United Technologies Corp. | 4,310 | 485,091 | ||||||
1,520,388 | ||||||||
Banks — 4.1% | ||||||||
Banco de Chile, (Chile) ADR | 6,960 | 502,373 | ||||||
Banco Santander Chile, (Chile) ADR | 22,450 | 493,451 | ||||||
995,824 | ||||||||
Capital Markets — 1.9% | ||||||||
Thomson Reuters Corp. | 10,880 | 460,224 | ||||||
Diversified Financial Services — 2.2% | ||||||||
Berkshire Hathaway, Inc.* | 3,040 | 521,117 | ||||||
Diversified Telecommunication Services — 6.4% | ||||||||
BCE, Inc., (Canada) | 11,180 | 487,895 | ||||||
KT Corp., (South Korea) ADR* | 35,580 | 569,280 | ||||||
Nippon Telegraph & Telephone Corp., (Japan) ADR | 11,180 | 473,361 | ||||||
1,530,536 | ||||||||
Electric Utilities — 2.2% | ||||||||
Duke Energy Corp. | 6,370 | 525,844 | ||||||
Electrical Equipment — 2.1% | ||||||||
ABB Ltd., (Switzerland) ADR | 22,550 | 508,502 | ||||||
Food & Staples Retailing — 2.1% | ||||||||
Wal-Mart Stores, Inc. | 7,160 | 507,859 | ||||||
Food Products — 2.2% | ||||||||
McCormick & Co., Inc. | 5,490 | 540,326 | ||||||
Health Care Equipment & Supplies — 6.8% | ||||||||
ResMed, Inc. | 7,740 | 557,512 | ||||||
Stryker Corp. | 4,120 | 529,667 | ||||||
Varex Imaging Corp.* | 2,240 | 77,997 | ||||||
Varian Medical Systems, Inc.* | 5,490 | 460,556 | ||||||
1,625,732 | ||||||||
Hotels, Restaurants & Leisure — 4.5% | ||||||||
McDonald's Corp. | 4,120 | 525,918 | ||||||
Panera Bread Co.* | 2,350 | 542,380 | ||||||
1,068,298 | ||||||||
Household Durables — 2.2% | ||||||||
Garmin Ltd., (Switzerland) | 10,190 | 525,906 | ||||||
Household Products — 4.5% | ||||||||
Colgate-Palmolive Co. | 7,550 | 550,999 | ||||||
Procter & Gamble Co., (The) | 5,880 | 535,492 | ||||||
1,086,491 | ||||||||
Insurance — 2.2% | ||||||||
Chubb Ltd., (Switzerland) | 3,820 | 527,809 | ||||||
IT Services — 4.3% | ||||||||
Infosys Ltd., (India) ADR | 32,550 |
| 492,807 | |||||
Visa, Inc. | 5,980 | 525,881 | ||||||
1,018,688 | ||||||||
Personal Products — 2.2% | ||||||||
Estee Lauder Cos, Inc., (The) | 6,370 | 527,754 | ||||||
Pharmaceuticals — 15.1% | ||||||||
Eli Lilly & Co. | 6,470 | 535,781 | ||||||
GlaxoSmithKline PLC, (United Kingdon) ADR | 12,450 | 516,426 | ||||||
Johnson & Johnson | 4,220 | 515,726 | ||||||
Merck & Co., Inc. | 8,140 | 536,182 | ||||||
Novartis AG, (Switzerland) ADR | 6,570 | 513,577 | ||||||
Pfizer, Inc. | 14,410 | 491,669 | ||||||
Sanofi, (France) ADR | 11,770 | 507,640 | ||||||
3,617,001 | ||||||||
Real Estate Investment Trusts — 4.1% | ||||||||
Crown Castle International Corp. | 300 | 28,059 | ||||||
Simon Property Group, Inc. | 2,650 | 488,660 | ||||||
Tanger Factory Outlet Centers, Inc. | 13,430 | 454,874 | ||||||
971,593 | ||||||||
Road & Rail — 4.2% | ||||||||
Canadian National Railway Co., (Canada) | 7,060 | 492,576 | ||||||
Union Pacific Corp. | 4,710 | 508,397 | ||||||
1,000,973 | �� | |||||||
Software — 4.5% | ||||||||
Adobe Systems, Inc.* | 4,410 | 521,880 | ||||||
Check Point Software Technologies Ltd., (Israel)* | 5,590 | 552,907 | ||||||
1,074,787 | ||||||||
Specialty Retail — 1.8% | ||||||||
AutoZone, Inc.* | 590 | 434,565 | ||||||
Textiles, Apparel & Luxury Goods — 2.2% | ||||||||
NIKE, Inc. | 9,120 | 521,299 | ||||||
Thrifts & Mortgage Finance — 2.0% | ||||||||
New York Community Bancorp, Inc. | 30,980 | 473,374 | ||||||
Transportation Infrastructure — 2.3% | ||||||||
Grupo Aeroportuario del Pacifico SAB de CV, (Mexico) ADR | 6,470 | 559,332 |
The accompanying notes are an integral part of the financial statements.
7
SUMMIT GLOBAL INVESTMENTS
GLOBAL LOW VOLATILITY FUND
Portfolio of Investments (Concluded)
February 28, 2017
(Unaudited)
Number | Value | |||||||
Wireless Telecommunication Services — 4.1% | ||||||||
China Mobile Ltd., (China) ADR | 9,020 | $ | 498,445 | |||||
NTT DOCOMO, Inc., (Japan) ADR | 20,880 | 496,109 | ||||||
994,554 | ||||||||
TOTAL COMMON STOCKS | ||||||||
(Cost $22,074,084) | 23,138,776 | |||||||
SHORT-TERM INVESTMENTS - 3.7% | ||||||||
Fidelity Investments Money Market Funds - Government Portfolio, 0.43% | 891,209 | 891,209 | ||||||
TOTAL SHORT-TERM INVESTMENTS | ||||||||
(Cost $891,209) | 891,209 | |||||||
TOTAL INVESTMENTS - 100.2% | ||||||||
(Cost $22,965,293) | 24,029,985 | |||||||
LIABILITIES IN EXCESS OF OTHER ASSETS - (0.2)% | (47,809 | ) | ||||||
NET ASSETS - 100.0% | $ | 23,982,176 |
* | Non-income producing security. |
ADR American Depositary Receipt
PLC Public Limited Company
The Global Industry Classification Standard (GICS®) was developed by and/or is the exclusive property of MSCI, Inc. and Standard & Poor Financial Services LLC (“S&P”). GICS is a service mark of MSCI and S&P and has been licensed for use by Summit Global Investments, LLC.
The accompanying notes are an integral part of the financial statements.
8
SUMMIT GLOBAL INVESTMENTS
GLOBAL LOW VOLATILITY FUND
Statement of Assets and Liabilities
February 28, 2017
(Unaudited)
ASSETS | ||||
Investments, at value (Cost $22,074,084) | $ | 23,138,776 | ||
Short-term investments, at value (Cost $891,209) | 891,209 | |||
Receivables for: | ||||
Dividends and interest | 42,765 | |||
Due from Adviser | 8,589 | |||
Capital shares sold | 1,304 | |||
Prepaid and other expenses | 25,191 | |||
Total assets | $ | 24,107,834 | ||
LIABILITIES | ||||
Payables for: | ||||
Capital shares redeemed | $ | 37,016 | ||
Transfer agent fees | 25,375 | |||
Administration and accounting fees | 20,008 | |||
Other accrued expenses and liabilities | 43,259 | |||
Total liabilities | 125,658 | |||
Net assets | $ | 23,982,176 | ||
NET ASSETS CONSIST OF: | ||||
Par value | $ | 954 | ||
Paid-in capital | 27,445,633 | |||
Accumulated net investment income/(loss) | (451,868 | ) | ||
Accumulated net realized gain/(loss) from investments | (4,077,235 | ) | ||
Net unrealized appreciation/(depreciation) on investments | 1,064,692 | |||
Net assets | $ | 23,982,176 | ||
CLASS I SHARES | ||||
Net assets applicable to Class I Shares | $ | 23,982,176 | ||
Shares outstanding ($0.001 par value, 100,000,000 shares authorized) | 953,591 | |||
Net asset value, offering and redemption price per share | $ | 25.15 |
The accompanying notes are an integral part of the financial statements.
9
SUMMIT GLOBAL INVESTMENTS
GLOBAL LOW VOLATILITY FUND
Statement of Operations
For the Six Months Ended February 28, 2017
(Unaudited)
INVESTMENT INCOME | ||||
Dividends (net of foreign withholding taxes of $902) | $ | 75,358 | ||
Interest | 335 | |||
Total investment income | 75,693 | |||
EXPENSES | ||||
Advisory fees (Note 2) | 157,386 | |||
Administration and accounting services fees (Note 2) | 37,963 | |||
Shareholder servicing fees | 24,213 | |||
Custodian fees (Note 2) | 21,606 | |||
Audit fees | 12,210 | |||
Printing and shareholder reporting fees | 9,050 | |||
Legal fees | 7,603 | |||
Directors and officers fees | 6,572 | |||
Transfer agent fees (Note 2) | 4,257 | |||
Other expenses | 32,317 | |||
Total expenses before waivers | 313,177 | |||
Less: waivers (Note 2) | (109,621 | ) | ||
Net expenses after waivers | 203,556 | |||
Net investment income/(loss) | (127,863 | ) | ||
NET REALIZED AND UNREALIZED GAIN/(LOSS) FROM INVESTMENTS | ||||
Net realized gain/(loss) from investments | 4,595,988 | |||
Net change in unrealized appreciation/(depreciation) on investments | (6,158,451 | ) | ||
Net realized and unrealized gain/(loss) on investments | (1,562,463 | ) | ||
NET INCREASE/(DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ | (1,690,326 | ) |
The accompanying notes are an integral part of the financial statements.
10
SUMMIT GLOBAL INVESTMENTS
GLOBAL LOW VOLATILITY FUND
Statements of Changes in Net Assets
For the | For the | |||||||
INCREASE/(DECREASE) IN NET ASSET FORM OPERATIONS: | ||||||||
Net investment income/(loss) | $ | (127,863 | ) | $ | (541,969 | ) | ||
Net realized gain/(loss) on investments | 4,595,988 | (8,186,732 | ) | |||||
Net change in unrealized appreciation/(depreciation) on investments | (6,158,451 | ) | 3,135,496 | |||||
Net increase/(decrease) in net assets resulting from operations | (1,690,326 | ) | (5,593,205 | ) | ||||
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS FROM: | ||||||||
Class I Shares | ||||||||
Net realized gains | — | (5,811,254 | ) | |||||
Net decrease in net assets from dividends and distributions to shareholders | — | (5,811,254 | ) | |||||
INCREASE IN NET ASSETS DERIVED FROM CAPITAL SHARE TRANSACTIONS: | ||||||||
Class I Shares | ||||||||
Proceeds from shares sold | 2,173,557 | 23,276,767 | ||||||
Reinvestment of distributions | — | 5,682,037 | ||||||
Shares redeemed | (40,879,654 | ) | (24,723,652 | ) | ||||
Redemption fees* | 1,045 | 23,883 | ||||||
Net increase/(decrease) in net assets from capital shares transactions | (38,705,052 | ) | 4,259,035 | |||||
Total increase/(decrease) in net assets | (40,395,378 | ) | (7,145,424 | ) | ||||
NET ASSETS: | ||||||||
Beginning of period | 64,377,554 | 71,522,978 | ||||||
End of period | $ | 23,982,176 | $ | 64,377,554 | ||||
Accumulated net investment gain/(loss), end of period | $ | (451,868 | ) | $ | (324,005 | ) | ||
INCREASE IN SHARES OUTSTANDING DERIVED FROM SHARE TRANSACTIONS: | ||||||||
Class I Shares | ||||||||
Shares sold | 89,700 | 855,768 | ||||||
Shares reinvested | — | 215,228 | ||||||
Shares redeemed | (1,718,680 | ) | (1,016,582 | ) | ||||
Net increase/(decrease) in shares outstanding | (1,628,980 | ) | 54,414 |
* | 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.
11
SUMMIT GLOBAL INVESTMENTS
GLOBAL LOW VOLATILITY 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 | For the | For the | For the | For the | For the | |||||||||||||||||||
Per Share Operating Performance | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 24.93 | $ | 28.29 | $ | 27.64 | $ | 27.45 | $ | 22.45 | $ | 18.83 | ||||||||||||
Net investment income/(loss)(3) | (0.06 | ) | (0.19 | ) | (0.21 | ) | (0.20 | ) | (0.14 | ) | (0.16 | ) | ||||||||||||
Net realized and unrealized gain/(loss) from investments | 0.28 | (1.25 | ) | 3.04 | 2.96 | 5.14 | 4.21 | |||||||||||||||||
Net increase/(decrease) in net assets resulting from operations | 0.22 | (1.44 | ) | 2.83 | 2.76 | 5.00 | 4.05 | |||||||||||||||||
Dividends and distributions to shareholders from: | ||||||||||||||||||||||||
Net investment income | — | — | — | — | — | — | ||||||||||||||||||
Net realized gains | — | (1.93 | ) | (2.18 | ) | (2.57 | ) | — | (0.50 | ) | ||||||||||||||
Total dividends and distributions to shareholders | — | (1.93 | ) | (2.18 | ) | (2.57 | ) | — | (0.50 | ) | ||||||||||||||
Redemption fees added to paid-in capital(3) | — | (4) | 0.01 | — | (4) | — | — | 0.07 | ||||||||||||||||
Net asset value, end of period | $ | 25.15 | $ | 24.93 | $ | 28.29 | $ | 27.64 | $ | 27.45 | $ | 22.45 | ||||||||||||
Total investment return(5) | 0.88 | %(6) | (5.44 | )% | 11.49 | % | 10.62 | %(6)(7) | 22.27 | % | 22.31 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (000’s omitted) | $ | 23,982 | $ | 64,378 | $ | 71,523 | $ | 59,924 | $ | 55,737 | $ | 59,007 | ||||||||||||
Ratio of expenses to average net assets with waivers and reimbursements | 0.84 | %(8) | 0.84 | % | 0.84 | % | 0.84 | %(8) | 0.86 | % | 0.95 | % | ||||||||||||
Ratio of expenses to average net assets without waivers and reimbursements | 1.29 | %(8) | 1.13 | % | 1.20 | % | 1.13 | %(8) | 1.13 | % | 1.25 | % | ||||||||||||
Ratio of net investment income/(loss) to average net assets | (0.53 | )%(8) | (0.76 | )% | (0.77 | )% | (0.80 | )%(8) | (0.63 | )% | (0.75 | )% | ||||||||||||
Portfolio turnover rate | 161.97 | %(6) | 374.62 | % | 297.13 | % | 276.74 | %(6) | 345.12 | % | 323.54 | % |
(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 represents 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. |
(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.
12
SUMMIT GLOBAL INVESTMENTS
GLOBAL LOW VOLATILITY FUND
Notes to Financial Statements
February 28, 2017
(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-six active investment portfolios, including the Summit Global Investments Summit Global Low Volatility 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 28, 2017, 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 84.423 billion shares are currently classified into one hundred and seventy-one classes of common stock. Each class represents an interest in an active or inactive RBB investment portfolio.
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. Effective January 3, 2017, the Fund changed its name from the Scotia Dyanmic U.S. Growth Fund to the Summit Global Investments Global Low Volatility Fund.
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 (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. 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 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 methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
13
SUMMIT GLOBAL INVESTMENTS
GLOBAL LOW VOLATILITY FUND
Notes to Financial Statements (Continued)
February 28, 2017
(Unaudited)
The following is a summary of the inputs used, as of February 28, 2017, in valuing the Fund’s investments carried at fair value:
Total | Level 1 | Level 2 | Level 3 | |||||||||||||
Common Stocks | $ | 23,138,776 | $ | 23,138,776 | $ | — | $ | — | ||||||||
Short-Term Investments | 891,209 | 891,209 | — | — | ||||||||||||
Total Investments* | $ | 24,029,985 | $ | 24,029,985 | $ | — | $ | — |
* | 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 28, 2017, 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 losses among classes on a daily basis, when applicable. Expenses incurred on behalf of a specific class, fund or
14
SUMMIT GLOBAL INVESTMENTS
GLOBAL LOW VOLATILITY FUND
Notes to Financial Statements (Continued)
February 28, 2017
(Unaudited)
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 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 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 qualify or continue to qualify for and elect the tax treatment applicable to regulated investment companies under Subchapter M of the Internal Revenue Code of 1986, as amended, and make the requisite distributions to its shareholders which will be sufficient to relieve it from U.S. income and excise taxes.
Cash and Cash Equivalents — 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/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 fees 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 effective as of January 3, 2017. For its advisory services, the Adviser (and prior to January 3, 2017, the Funds’ former investment adviser) is entitled to receive an advisory fee calculated daily and paid 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/or reimburse expenses through December 31, 2017 to the extent that Total Annual Fund Operating Expenses (excluding taxes, extraordinary expenses, brokerage commissions and interest) exceed 0.74%, 0.84% and 0.99% for Institutional Shares, Class I Shares and Class II Shares (Institutional Shares and Class II Shares have not commenced operations as of February 28, 2017). Prior to such date, this contractual agreement may only be terminated by the Board. 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.
For the six months ended February 28, 2017, the Adviser and the Fund’s former investment adviser, in the aggregate, earned fees of $157,386 and waived fees of $109,621.
15
SUMMIT GLOBAL INVESTMENTS
GLOBAL LOW VOLATILITY FUND
Notes to Financial Statements (Continued)
February 28, 2017
(Unaudited)
As of February 28, 2017, the amount of the Adviser’s potential recovery was as follows:
Expiration |
August 31, 2020 |
$37,246 |
BNY Mellon Investment Servicing (US) Inc. (“BNY Mellon”) served as administrator for the Fund through September 30, 2016. Effective October 1, 2016, U.S. Bancorp Fund Services, LLC (“USBFS”) serves as administrator for the Fund. For providing administrative and accounting services, USBFS is entitled to receive a monthly fee, subject to certain minimum and out of pocket expenses.
In addition, BNY Mellon served as the Fund’s transfer and dividend disbursing agent through November 18, 2016. Effective November 19, 2016, USBFS serves as the Fund’s transfer and dividend disbursing agent. For providing transfer agent services, USBFS is entitled to receive a monthly fee, subject to certain minimum and out of pocket expenses.
The Bank of New York Mellon provided certain custodial services to the Fund through November 18, 2016. Effective November 19, 2016, U.S. Bank, N.A. (the “Custodian”) provides certain custodial services to the Fund. The Custodian is entitled to receive a monthly fee, subject to certain minimum and out of pocket expenses.
Foreside Funds Distributors, LLC served as the principal underwriter and distributor of the Fund’s shares pursuant to a Distribution Agreement with RBB through November 18, 2016. Effective November 19, 2016, Quasar 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 aggregate remuneration paid to the Directors by the Fund during the period ended February 28, 2017 was $3,746. Employees of Vigilant Compliance, LLC serve as President, Chief Compliance Officer and Assistant Treasurer of the Company. Vigilant Compliance, LLC is compensated for the services provided to the Company. An employee of RBB serves as Treasurer and Secretary, and is compensated for services provided. Certain employees of USBFS serve as officers of the Company. They are not compensated by the Fund or the Company. For the period ended February 28, 2017, the Fund paid $2,826 in officer fees.
5. Purchases and Sales of Investment Securities
For the six months ended February 28, 2017, aggregate purchases and sales of investment securities (excluding short-term investments) of the Fund were as follows:
Purchase | Sales |
$ 73,274,134 | $ 108,543,222 |
16
SUMMIT GLOBAL INVESTMENTS
GLOBAL LOW VOLATILITY FUND
Notes to Financial Statements (Continued)
February 28, 2017
(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 28, 2017, the federal tax cost and aggregate gross unrealized appreciation and depreciation of securities held by the Fund were as follows*:
Federal Tax Cost | Unrealized Appreciation | Unrealized (Depreciation) | Net Unrealized Appreciation/ (Depreciation) |
$22,965,293 | $1,187,606 | $(122,914) | $1,064,692 |
* | Because tax adjustments are calculated annually at the end of the Fund’s fiscal year, the above table does not reflect tax adjustments for the current fiscal year. |
Distributions to shareholders, if any, from net investment income and realized gains are determined in accordance with federal income tax regulations, which may differ from net investment income and realized gains recognized for financial reporting purposes. Accordingly, the character of distributions and composition of net assets for tax purposes may differ from those reflected in the accompanying financial statements. To the extent these differences are permanent, such amounts are reclassified within the capital accounts based on the tax treatment; temporary differences do not require such reclassification.
The following permanent differences as of August 31, 2016, primarily attributable to short-term capital gains netted against net operating loss, were reclassified among the following accounts:
Undistributed | Accumulated | Paid-In |
$217,964 | $3 | $(217,967) |
As of August 31, 2016, the components of distributable earnings on a tax basis were as follows:
Capital Loss | Net Unrealized (Depreciation) | Qualified |
$(319,048) | $7,162,020 | $(8,617,057) |
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, 2016 was as follows:
Ordinary | Long-Term | Total |
$1,608,803 | $4,202,451 | $5,811,254 |
17
SUMMIT GLOBAL INVESTMENTS
GLOBAL LOW VOLATILITY FUND
Notes to Financial Statements (Concluded)
February 28, 2017
(Unaudited)
Pursuant to federal income tax rules applicable to regulated investment companies, the Fund may elect to treat certain capital losses between November 1 and August 31 and late year ordinary losses ((i) ordinary losses between January 1 and August 31, and (ii) specified ordinary and currency losses between November 1 and August 31) as occurring on the first day of the following tax year. For the year ended August 31, 2016, any amount of losses elected within the tax return will not be recognized for federal income tax purpose until September 1, 2016.
For the fiscal year ended August 31, 2016, the Fund deferred to September 1, 2016, the following losses:
Late-Year | Short-Term | Long-Term |
$324,005 | $9,289,827 | $(996,775) |
Accumulated capital losses represent net capital loss carry forwards as of August 31, 2016 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, 2016, the Fund had short-term capital loss carryforwards of $319,048.
7. Subsequent Events
Management has evaluated the impact of all subsequent events on the Fund through the date the financial statements were issued, and has determined that there was the following subsequent event:
Effective March 24, 2017, subsequent to the end of the reporting period, shareholders of the Fund approved the new investment advisory agreement (the “New Advisory Agreement”) between the Company and Summit Global Investments, LLC (“Summit”), pursuant to which Summit now serves as the investment adviser to the Fund. The Fund paid 0.65% of its average daily net assets to Summit under an interim investment advisory agreement, and under the New Advisory Agreement will pay 0.70%.
18
SUMMIT GLOBAL INVESTMENTS
GLOBAL LOW VOLATILITY 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 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.
Approval of Interim and New Advisory Agreements
As required by the 1940 Act, the Board, including a majority of the Directors who are not “interested persons” of the Company, as that term is defined in the 1940 Act (the “Independent Directors”, considered the approval of an interim advisory agreement between the Company and Summit (the “Interim Advisory Agreement”) and a new investment advisory agreement between the Company and Summit (the “New Advisory Agreement” and, together with the Interim Advisory Agreement, the “Advisory Agreements”) at a meeting of the Board held on November 17, 2016 (the “Meeting”). At the Meeting, the Board, including all of the Independent Directors approved the Advisory Agreements. In approving the Advisory Agreements, the Board considered information provided by Summit with the assistance and advice of counsel to the Independent Directors of the Company.
In considering the approval of the Advisory Agreements, the Board considered that Summit has demonstrated its abilities as an investment adviser while serving as an investment adviser to two other series of the Company. In addition, the Board considered that the material terms of the New Advisory Agreement are substantially similar to those of the Fund’s prior advisory agreement (the “Prior Advisory Agreement”) but that the advisory fee rate would increase from 0.65% of daily net assets to 0.70%. The Board also considered the presentation by Summit and information received at or prior to its November 17, 2016 meeting.
In deciding to approve the Advisory Agreements, the Board did not identify any single factor or group of factors as all important or controlling and considered all factors together. Moreover, not every factor was given the same weight by each Director. The material factors and conclusions that formed the basis for the Board’s determination are described below.
During the course of its deliberations, the Board, including all of the Independent Directors, reached the following conclusions regarding Summit, among others:
● | Services to be Rendered by Summit. The services to be performed by Summit under the Advisory Agreements are substantially the same as the services performed by the Fund’s former investement adviser under its current advisory agreement, and will be adequate and appropriate. |
● | Investment Advisory Fees. While the fees payable by the Fund under the New Advisory Agreement will be higher than the fees paid by the Fund under the current advisory agreement, the advisory fee rate was lower than the median of comparable mutual funds. |
19
SUMMIT GLOBAL INVESTMENTS
GLOBAL LOW VOLATILITY FUND
Other Information (Continued)
(Unaudited)
● | Total Expense Ratio. The expense ratio of the Fund is expected to be the same under the Advisory Agreements. Summit has contractually agreed to waive management fees and reimburse expenses through December 31, 2017 to the extent that Total Annual Fund Operating Expenses (excluding acquired fund fees and expenses, taxes, extraordinary expenses, brokerage commissions and interest) exceed 0.84% of the Fund’s average daily net assets attributable to Class I Shares, the only share class currently in operation. |
In considering the nature, extent and quality of the services to be provided by Summit, the Directors considered oral and written reports describing the portfolio management, shareholder communication and servicing, prospective shareholder assistance and regulatory compliance services proposed to be provided by Summit to the Fund. The Directors also considered the fact that Summit has not experienced any significant legal, compliance or regulatory difficulties. Based on the information provided and the Directors’ prior experience with Summit, the Directors concluded that the nature and extent of the services that Summit will provide under the Advisory Agreements, as well as the quality of those services, would be satisfactory. In concluding that the advisory fees payable by the Fund were reasonable, the Directors reviewed reports comparing the Fund’s expense ratio and advisory fee paid by the Fund to those of other comparable mutual funds and concluded that the advisory fee to be paid by the Fund under the Advisory Agreements and the Fund’s expected expense ratio were within the range of comparable mutual funds.
In considering the overall fairness of the New Advisory Agreement, the Directors assessed the degree to which economies of scale that would be expected to be realized if the Fund’s assets increase, whether the Fund was large enough to generate economies of scale, as well as the extent to which fee levels would reflect those economies of scale for the benefit of the Fund’s shareholders. The Directors noted that the Fund’s advisory fee structure did not contain any breakpoint reductions as the Fund’s assets grow in size, but that the feasibility of incorporating breakpoints would continue to be reviewed on a regular basis. The Directors determined that the fee schedules in the Advisory Agreements are reasonable and appropriate.
The Directors also reviewed information regarding the investment performance of a similarly managed account of Summit. After considering all of the information, the Directors concluded that, although past performance is not a guarantee of future results, the Fund and its shareholders were likely to benefit from Summit’s investment management services. Finally, in addition to the above factors, the Directors also discussed other benefits received by Summit from its management of the Fund, including, without limitation, possible soft dollar benefits and the ability to market its advisory services for similar products in the future. The Directors reviewed reports discussing the manner in which portfolio transactions for the Fund would be conducted, including the use of soft dollars. Based on these reports, the Directors concluded that the research obtained by Summit would be beneficial to the Fund and that Summit would execute the Fund’s portfolio transactions in a manner designed to obtain best execution for the Fund.
After reviewing the information regarding the Fund’s costs, profitabilities and economies of scale, and after considering Summit’s proposed services, the Directors concluded that the investment advisory fees to be paid by the Fund were fair and reasonable and that (i) the Interim Advisory Agreement should for a term ending upon the earlier of May 31, 2017 or the date upon which shareholder approval of the New Advisory Agreement is obtained and (ii) the New Advisory Agreement should be approved, subject to shareholder approval, for an initial term ending August 31, 2017.
20
SUMMIT GLOBAL INVESTMENTS
GLOBAL LOW VOLATILITY FUND
Other Information (Concluded)
(Unaudited)
Special Meeting of Shareholders
A special meeting of shareholders (the “Special Meeting”) of the Summit Global Investments Global Low Volatility Fund (the “Fund”) was scheduled for February 28, 2017, and then adjourned to March 21, 2017 and then March 24, 2017. At the Special Meeting, shareholders voted on one proposal – the approval of an investment advisory agreement between Summit Global Investments, LLC and The RBB Fund, Inc., on behalf of the Fund. Further details regarding the proposal and the Special Meeting are contained in a definitive proxy statement filed with the Securities and Exchange Commission on January 24, 2017.
At the Special Meeting, the proposal was approved by shareholders of the Fund as follows:
Number of | Number of | Number of | |
Proposal | 449,352 | 74,519 | 96,578 |
21
Investment Adviser
Summit Global Investments, LLC
620 South Main Street
Bountiful, UT 84010
Administrator and Transfer Agent
U.S. Bancorp Fund Services, LLC
P.O. Box 701
Milwaukee, WI 53201
Principal Underwriter
Quasar Distributors, LLC
777 East Wisconsin Avenue, Floor 6
Milwaukee, WI 53202
Custodian
U.S. Bank, N.A.
1555 North Rivercenter Drive, Suite 302
Milwaukee, WI 53212
Independent Registered Public Accounting Firm
BBD LLP
1835 Market Street, Floor 26
Philadelphia, PA 19103
Legal Counsel
Drinker Biddle & Reath LLP
One Logan Square, Ste. 2000
Philadelphia, PA 19103-6996
(a) | Schedule of Investments is included as part of the report to shareholders filed under Item 1 of this Form. |
(b) | Not applicable |
(a) | The Registrant’s Principal Executive and Principal Financial Officers have reviewed the Registrant's disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940 (the “Act”)) as of a date within 90 days of the filing of this report, as required by Rule 30a-3(b) under the Act and Rules 13a-15(b) or 15d‑15(b) under the Securities Exchange Act of 1934. Based on their review, such officers have concluded that the disclosure controls and procedures are effective in ensuring that information required to be disclosed in this report is appropriately recorded, processed, summarized and reported and made known to them by others within the Registrant and by the Registrant’s service provider. |
(b) | There were no changes in the Registrant's internal control over financial reporting (as defined in Rule 30a-3(d) under the Act) that occurred during the 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. |
(a) | (1) Not applicable. |
(b) | Certifications pursuant to Section 906 of the Sarbanes‑Oxley Act of 2002. Furnished herewith. |
(Registrant) | The RBB Fund, Inc. | |||
By (Signature and Title)* | /s/ Salvatore Faia | |||
Salvatore Faia, President | ||||
(principal executive officer) | ||||
Date | 5/2/2017 |
By (Signature and Title)* | /s/ Salvatore Faia | |||
Salvatore Faia, President | ||||
(principal executive officer) | ||||
Date | 5/2/2017 | |||
By (Signature and Title)* | /s/ James Shaw | |||
James Shaw, Treasurer | ||||
(principal financial officer) | ||||
Date | 5/2/2017 |
* | Print the name and title of each signing officer under his or her signature. |